================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-7436
-----------------
THE DFA INVESTMENT TRUST COMPANY
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
-----------------
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
-----------------
CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
THE DFA INVESTMENT TRUST COMPANY,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: NOVEMBER 1, 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
[Logo] Dimensional
Semi-Annual Report
SIX MONTHS ENDED: APRIL 30, 2019 (UNAUDITED)
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
TAX-MANAGED U.S. EQUITY PORTFOLIO
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
T.A. U.S. CORE EQUITY 2 PORTFOLIO
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
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]
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
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............................................. 2
Disclosure of Portfolio Holdings........................................ 4
Schedule of Investments/Summary Schedules of Portfolio Holdings
Tax-Managed U.S. Marketwide Value Portfolio......................... 6
Tax-Managed U.S. Equity Portfolio................................... 7
Tax-Managed U.S. Targeted Value Portfolio........................... 10
Tax-Managed U.S. Small Cap Portfolio................................ 13
T.A. U.S. Core Equity 2 Portfolio................................... 16
Tax-Managed DFA International Value Portfolio....................... 19
T.A. World ex U.S. Core Equity Portfolio............................ 23
Statements of Assets and Liabilities.................................... 29
Statements of Operations................................................ 31
Statements of Changes in Net Assets..................................... 33
Financial Highlights.................................................... 35
Notes to Financial Statements........................................... 39
Section 19(a) Notice.................................................... 55
THE DFA INVESTMENT TRUST COMPANY
Disclosure of Fund Expenses............................................. 56
Disclosure of Portfolio Holdings........................................ 57
Summary Schedule of Portfolio Holdings
The Tax-Managed U.S. Marketwide Value Series........................ 58
Statement of Assets and Liabilities..................................... 61
Statement of Operations................................................. 62
Statements of Changes in Net Assets..................................... 63
Financial Highlights.................................................... 64
Notes to Financial Statements........................................... 65
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................ 73
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS......................... 74
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
DFA INVESTMENT DIMENSIONS GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
ADR American Depositary Receipt
SA Special Assessment
GDR Global Depositary Receipt
Investment Footnotes
+ See Note B to Financial Statements.
++ Calculated as a percentage of total net assets.
Percentages shown parenthetically next to the
category headings have been calculated as a
percentage of total investments "Other
Securities" are those securities that are not
among the top 50 holdings in unaffiliated
issuers of the Fund or do not represent more
than 1.0% of the net assets of the Fund. Some of
the individual securities within this category
may include Total or Partial Securities on Loan
and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from
Securities on Loan.
(S) Affiliated Fund.
(double right angle quote) Securities that have generally been fair value
factored. See Note B to Financial Statements.
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 Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or
rounded to zero.
SEC Securities and Exchange Commission
1
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)
--------- --------- ---------- ----------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO (2)
-----------------------------------------------
Actual Fund Return.............................. $1,000.00 $1,059.10 0.37% $1.89
Hypothetical 5% Annual Return................... $1,000.00 $1,022.96 0.37% $1.86
TAX-MANAGED U.S. EQUITY PORTFOLIO
---------------------------------
Actual Fund Return.............................. $1,000.00 $1,094.60 0.22% $1.14
Hypothetical 5% Annual Return................... $1,000.00 $1,023.70 0.22% $1.10
2
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)
--------- --------- ---------- ----------
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
-----------------------------------------
Actual Fund Return............................ $1,000.00 $1,041.60 0.45% $2.28
Hypothetical 5% Annual Return................. $1,000.00 $1,022.56 0.45% $2.26
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
------------------------------------
Actual Fund Return............................ $1,000.00 $1,038.70 0.51% $2.58
Hypothetical 5% Annual Return................. $1,000.00 $1,022.27 0.51% $2.56
T.A. U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------
Actual Fund Return............................ $1,000.00 $1,078.60 0.24% $1.24
Hypothetical 5% Annual Return................. $1,000.00 $1,023.60 0.24% $1.20
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
---------------------------------------------
Actual Fund Return............................ $1,000.00 $1,043.60 0.53% $2.69
Hypothetical 5% Annual Return................. $1,000.00 $1,022.17 0.53% $2.66
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
----------------------------------------
Actual Fund Return............................ $1,000.00 $1,078.40 0.36% $1.86
Hypothetical 5% Annual Return................. $1,000.00 $1,023.01 0.36% $1.81
--------
(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
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
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
-----------------------------
Tax-Managed U.S. Marketwide Value Portfolio.. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
TAX-MANAGED U.S. EQUITY PORTFOLIO
Communication Services....................... 9.9%
Consumer Discretionary....................... 11.0%
Consumer Staples............................. 6.8%
Energy....................................... 5.0%
Financials................................... 14.2%
Health Care.................................. 13.6%
Industrials.................................. 10.8%
Information Technology....................... 22.3%
Materials.................................... 2.9%
Real Estate.................................. 0.2%
Utilities.................................... 3.3%
-----
100.0%
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Communication Services....................... 3.3%
Consumer Discretionary....................... 13.3%
Consumer Staples............................. 4.0%
Energy....................................... 6.7%
Financials................................... 30.1%
Health Care.................................. 4.1%
Industrials.................................. 20.4%
Information Technology....................... 11.5%
Materials.................................... 6.2%
Real Estate.................................. 0.2%
Utilities.................................... 0.2%
-----
100.0%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Communication Services....................... 3.8%
Consumer Discretionary....................... 13.3%
Consumer Staples............................. 4.3%
Energy....................................... 4.5%
Financials................................... 20.9%
Health Care.................................. 9.5%
Industrials.................................. 20.0%
Information Technology....................... 14.6%
Materials.................................... 5.1%
Real Estate.................................. 0.5%
Utilities.................................... 3.5%
-----
100.0%
4
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Communication Services....................... 7.9%
Consumer Discretionary....................... 12.2%
Consumer Staples............................. 5.6%
Energy....................................... 5.5%
Financials................................... 17.8%
Health Care.................................. 11.2%
Industrials.................................. 14.3%
Information Technology....................... 18.8%
Materials.................................... 4.3%
Real Estate.................................. 0.4%
Utilities.................................... 2.0%
-----
100.0%
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Communication Services....................... 4.0%
Consumer Discretionary....................... 15.1%
Consumer Staples............................. 3.6%
Energy....................................... 13.4%
Financials................................... 29.1%
Health Care.................................. 4.8%
Industrials.................................. 9.9%
Information Technology....................... 2.4%
Materials.................................... 13.3%
Real Estate.................................. 3.0%
Utilities.................................... 1.4%
-----
100.0%
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Communication Services....................... 6.2%
Consumer Discretionary....................... 13.4%
Consumer Staples............................. 7.2%
Energy....................................... 7.0%
Financials................................... 17.2%
Health Care.................................. 5.3%
Industrials.................................. 16.0%
Information Technology....................... 9.1%
Materials.................................... 12.0%
Real Estate.................................. 3.5%
Utilities.................................... 3.1%
-----
100.0%
5
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of
The DFA Investment Trust Company............................ $5,250,063,508
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.......... $5,250,063,508
==============
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.
6
TAX-MANAGED U.S. EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (96.4%)
COMMUNICATION SERVICES -- (9.5%)
* Alphabet, Inc., Class A...................... 41,495 $ 49,750,845 1.3%
* Alphabet, Inc., Class C...................... 43,652 51,879,529 1.3%
AT&T, Inc.................................... 1,049,508 32,492,768 0.8%
Comcast Corp., Class A....................... 632,859 27,548,352 0.7%
* Facebook, Inc., Class A...................... 333,191 64,439,139 1.7%
* Netflix, Inc................................. 59,889 22,191,270 0.6%
Verizon Communications, Inc.................. 572,491 32,740,760 0.9%
Walt Disney Co. (The)........................ 272,217 37,285,563 1.0%
Other Securities............................. 69,304,610 1.6%
------------ ----
TOTAL COMMUNICATION SERVICES..................... 387,632,836 9.9%
------------ ----
CONSUMER DISCRETIONARY -- (10.6%)
* Amazon.com, Inc.............................. 57,607 110,981,038 2.8%
Home Depot, Inc. (The)....................... 157,438 32,070,121 0.8%
McDonald's Corp.............................. 107,945 21,326,694 0.6%
Other Securities............................. 267,525,634 6.8%
------------ ----
TOTAL CONSUMER DISCRETIONARY..................... 431,903,487 11.0%
------------ ----
CONSUMER STAPLES -- (6.6%)
Coca-Cola Co. (The).......................... 560,631 27,504,557 0.7%
PepsiCo, Inc................................. 194,139 24,859,499 0.6%
Philip Morris International, Inc............. 217,539 18,830,176 0.5%
Procter & Gamble Co. (The)................... 347,358 36,986,680 1.0%
Walmart, Inc................................. 201,176 20,688,940 0.5%
Other Securities............................. 138,427,822 3.5%
------------ ----
TOTAL CONSUMER STAPLES........................... 267,297,674 6.8%
------------ ----
ENERGY -- (4.8%)
Chevron Corp................................. 267,765 32,147,866 0.8%
Exxon Mobil Corp............................. 593,816 47,671,548 1.2%
Other Securities............................. 116,530,511 3.0%
------------ ----
TOTAL ENERGY..................................... 196,349,925 5.0%
------------ ----
FINANCIALS -- (13.7%)
Bank of America Corp......................... 1,304,159 39,881,182 1.0%
* Berkshire Hathaway, Inc., Class B............ 272,020 58,949,454 1.5%
Citigroup, Inc............................... 331,672 23,449,210 0.6%
JPMorgan Chase & Co.......................... 467,565 54,260,918 1.4%
Wells Fargo & Co............................. 630,299 30,512,775 0.8%
Other Securities............................. 348,827,725 8.9%
------------ ----
TOTAL FINANCIALS................................. 555,881,264 14.2%
------------ ----
HEALTH CARE -- (13.1%)
Abbott Laboratories.......................... 252,206 20,065,509 0.5%
AbbVie, Inc.................................. 215,938 17,143,318 0.4%
Amgen, Inc................................... 89,133 15,983,330 0.4%
Johnson & Johnson............................ 371,427 52,445,492 1.3%
Medtronic P.L.C.............................. 186,734 16,583,847 0.4%
7
TAX-MANAGED U.S. EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Merck & Co., Inc.............................................. 362,748 $ 28,551,895 0.7%
Pfizer, Inc................................................... 808,701 32,841,348 0.8%
Thermo Fisher Scientific, Inc................................. 55,766 15,472,277 0.4%
UnitedHealth Group, Inc....................................... 133,634 31,146,076 0.8%
Other Securities.............................................. 301,415,689 7.8%
-------------- -----
TOTAL HEALTH CARE.................................................. 531,648,781 13.5%
-------------- -----
INDUSTRIALS -- (10.4%)
Boeing Co. (The).............................................. 76,065 28,728,990 0.8%
Honeywell International, Inc.................................. 102,723 17,835,794 0.5%
Union Pacific Corp............................................ 103,280 18,284,691 0.5%
United Technologies Corp...................................... 115,487 16,469,601 0.4%
Other Securities.............................................. 341,048,011 8.6%
-------------- -----
TOTAL INDUSTRIALS.................................................. 422,367,087 10.8%
-------------- -----
INFORMATION TECHNOLOGY -- (21.6%)
Accenture P.L.C., Class A..................................... 88,816 16,224,019 0.4%
* Adobe, Inc.................................................... 69,291 20,042,422 0.5%
Apple, Inc.................................................... 663,945 133,233,843 3.4%
Broadcom, Inc................................................. 55,985 17,825,624 0.5%
Cisco Systems, Inc............................................ 637,693 35,678,923 0.9%
Intel Corp.................................................... 636,880 32,506,355 0.8%
International Business Machines Corp.......................... 118,382 16,605,443 0.4%
Mastercard, Inc., Class A..................................... 126,861 32,253,141 0.8%
Microsoft Corp................................................ 1,018,029 132,954,587 3.4%
Oracle Corp................................................... 335,361 18,555,524 0.5%
* PayPal Holdings, Inc.......................................... 155,771 17,566,296 0.5%
* salesforce.com, Inc........................................... 101,739 16,822,544 0.4%
Texas Instruments, Inc........................................ 132,090 15,564,165 0.4%
# Visa, Inc., Class A........................................... 244,606 40,220,565 1.0%
Other Securities.............................................. 328,910,859 8.4%
-------------- -----
TOTAL INFORMATION TECHNOLOGY....................................... 874,964,310 22.3%
-------------- -----
MATERIALS -- (2.8%)
Other Securities.............................................. 112,083,329 2.9%
-------------- -----
REAL ESTATE -- (0.1%)
Other Securities.............................................. 5,591,640 0.1%
-------------- -----
UTILITIES -- (3.2%)
Other Securities.............................................. 130,791,045 3.3%
-------------- -----
TOTAL COMMON STOCKS................................................ 3,916,511,378 99.8%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
2.370%...................................................... 5,973,104 5,973,104 0.2%
-------------- -----
SECURITIES LENDING COLLATERAL -- (3.4%)
@(S) The DFA Short Term Investment Fund............................ 11,976,141 138,575,929 3.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,039,218,449)............................................ $4,061,060,411 103.5%
============== =====
8
TAX-MANAGED U.S. 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....... $ 387,632,836 -- -- $ 387,632,836
Consumer Discretionary....... 431,903,339 $ 148 -- 431,903,487
Consumer Staples............. 267,297,674 -- -- 267,297,674
Energy....................... 196,349,925 -- -- 196,349,925
Financials................... 555,880,891 373 -- 555,881,264
Health Care.................. 531,648,781 -- -- 531,648,781
Industrials.................. 422,367,087 -- -- 422,367,087
Information Technology....... 874,964,310 -- -- 874,964,310
Materials.................... 112,083,329 -- -- 112,083,329
Real Estate.................. 5,591,640 -- -- 5,591,640
Utilities.................... 130,791,045 -- -- 130,791,045
Temporary Cash Investments...... 5,973,104 -- -- 5,973,104
Securities Lending Collateral... -- 138,575,929 -- 138,575,929
-------------- ------------ -- --------------
TOTAL........................... $3,922,483,961 $138,576,450 -- $4,061,060,411
============== ============ == ==============
See accompanying Notes to Financial Statements.
9
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (91.3%)
COMMUNICATION SERVICES -- (3.0%)
Other Securities............................. $ 156,352,445 3.3%
-------------- ----
CONSUMER DISCRETIONARY -- (12.1%)
* Helen of Troy, Ltd........................... 120,833 17,399,952 0.4%
# Kohl's Corp.................................. 287,863 20,467,059 0.4%
Macy's, Inc.................................. 679,841 16,003,457 0.3%
Marriott Vacations Worldwide Corp............ 186,651 19,715,945 0.4%
PulteGroup, Inc.............................. 999,613 31,447,825 0.7%
Toll Brothers, Inc........................... 777,321 29,615,930 0.6%
Other Securities............................. 493,777,011 10.5%
-------------- ----
TOTAL CONSUMER DISCRETIONARY..................... 628,427,179 13.3%
-------------- ----
CONSUMER STAPLES -- (3.7%)
* Post Holdings, Inc........................... 241,453 27,231,069 0.6%
Other Securities............................. 162,820,704 3.4%
-------------- ----
TOTAL CONSUMER STAPLES........................... 190,051,773 4.0%
-------------- ----
ENERGY -- (6.1%)
Helmerich & Payne, Inc....................... 295,777 17,308,870 0.4%
HollyFrontier Corp........................... 409,728 19,556,317 0.4%
Murphy Oil Corp.............................. 583,871 15,904,646 0.3%
* WPX Energy, Inc.............................. 1,281,782 17,803,952 0.4%
Other Securities............................. 245,826,177 5.2%
-------------- ----
TOTAL ENERGY..................................... 316,399,962 6.7%
-------------- ----
FINANCIALS -- (27.5%)
American Financial Group, Inc................ 177,242 18,349,864 0.4%
Assurant, Inc................................ 256,107 24,330,165 0.5%
Assured Guaranty, Ltd........................ 451,046 21,514,894 0.5%
Axis Capital Holdings, Ltd................... 302,382 17,190,417 0.4%
CIT Group, Inc............................... 300,191 15,991,175 0.3%
CNO Financial Group, Inc..................... 1,201,584 19,886,215 0.4%
First American Financial Corp................ 291,331 16,623,347 0.4%
Hanover Insurance Group, Inc. (The).......... 140,426 16,936,780 0.4%
Kemper Corp.................................. 247,151 22,213,932 0.5%
# New York Community Bancorp, Inc.............. 1,414,903 16,455,334 0.4%
Old Republic International Corp.............. 910,665 20,362,469 0.4%
# People's United Financial, Inc............... 1,314,507 22,727,826 0.5%
Popular, Inc................................. 315,644 18,215,815 0.4%
# Prosperity Bancshares, Inc................... 218,643 16,100,871 0.3%
Reinsurance Group of America, Inc............ 170,010 25,758,215 0.6%
RenaissanceRe Holdings, Ltd.................. 108,094 16,793,484 0.4%
Selective Insurance Group, Inc............... 221,700 15,809,427 0.3%
Unum Group................................... 528,918 19,527,653 0.4%
WR Berkley Corp.............................. 324,057 19,864,694 0.4%
# Zions Bancorp NA............................. 374,079 18,453,317 0.4%
Other Securities............................. 1,039,908,234 21.7%
-------------- ----
TOTAL FINANCIALS................................. 1,423,014,128 30.0%
-------------- ----
10
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (3.7%)
# Perrigo Co. P.L.C............................................. 353,963 $ 16,961,907 0.4%
Other Securities.............................................. 175,409,846 3.7%
-------------- ----
TOTAL HEALTH CARE................................................. 192,371,753 4.1%
-------------- ----
INDUSTRIALS -- (18.6%)
* AECOM......................................................... 587,569 19,918,589 0.4%
AGCO Corp..................................................... 273,209 19,337,733 0.4%
AMERCO........................................................ 56,444 21,063,207 0.5%
#* Genesee & Wyoming, Inc., Class A.............................. 209,015 18,529,180 0.4%
Jacobs Engineering Group, Inc................................. 274,803 21,418,146 0.5%
* JetBlue Airways Corp.......................................... 1,001,202 18,572,297 0.4%
Owens Corning................................................. 335,482 17,200,162 0.4%
Quanta Services, Inc.......................................... 522,356 21,207,654 0.5%
Other Securities.............................................. 808,925,792 16.9%
-------------- ----
TOTAL INDUSTRIALS................................................. 966,172,760 20.4%
-------------- ----
INFORMATION TECHNOLOGY -- (10.5%)
* Arrow Electronics, Inc........................................ 406,704 34,370,555 0.7%
Avnet, Inc.................................................... 397,450 19,320,045 0.4%
* CACI International, Inc., Class A............................. 113,624 22,149,863 0.5%
Jabil, Inc.................................................... 540,808 16,337,810 0.4%
MKS Instruments, Inc.......................................... 172,747 15,721,704 0.3%
SYNNEX Corp................................................... 210,135 22,669,364 0.5%
* Tech Data Corp................................................ 202,316 21,568,909 0.5%
Xerox Corp.................................................... 475,398 15,859,277 0.3%
Other Securities.............................................. 378,354,790 7.9%
-------------- ----
TOTAL INFORMATION TECHNOLOGY...................................... 546,352,317 11.5%
-------------- ----
MATERIALS -- (5.7%)
#* Alcoa Corp.................................................... 590,594 15,757,048 0.3%
Reliance Steel & Aluminum Co.................................. 236,832 21,779,071 0.5%
Other Securities.............................................. 256,463,726 5.4%
-------------- ----
TOTAL MATERIALS................................................... 293,999,845 6.2%
-------------- ----
REAL ESTATE -- (0.2%)
Other Securities.............................................. 8,403,829 0.2%
-------------- ----
UTILITIES -- (0.2%)
Other Securities.............................................. 10,315,250 0.2%
-------------- ----
TOTAL COMMON STOCKS............................................... 4,731,861,241 99.9%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................ 507,605 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES....................................... 4,732,368,846
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
2.370%...................................................... 10,367,991 10,367,991 0.2%
-------------- ----
11
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (8.5%)
@(S) The DFA Short Term Investment Fund.... 37,876,830 $ 438,272,798 9.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,391,444,353).................... $5,181,009,635 109.4%
============== =====
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............... $ 156,352,445 -- -- $ 156,352,445
Consumer Discretionary............... 628,422,892 $ 4,287 -- 628,427,179
Consumer Staples..................... 190,051,773 -- -- 190,051,773
Energy............................... 316,399,962 -- -- 316,399,962
Financials........................... 1,422,998,589 15,539 -- 1,423,014,128
Health Care.......................... 192,371,753 -- -- 192,371,753
Industrials.......................... 966,172,760 -- -- 966,172,760
Information Technology............... 546,343,868 8,449 -- 546,352,317
Materials............................ 293,999,845 -- -- 293,999,845
Real Estate.......................... 8,403,829 -- -- 8,403,829
Utilities............................ 10,315,250 -- -- 10,315,250
Preferred Stocks
Communication Services............... 507,605 -- -- 507,605
Temporary Cash Investments.............. 10,367,991 -- -- 10,367,991
Securities Lending Collateral........... -- 438,272,798 -- 438,272,798
-------------- ------------ -- --------------
TOTAL................................... $4,742,708,562 $438,301,073 -- $5,181,009,635
============== ============ == ==============
See accompanying Notes to Financial Statements.
12
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (89.1%)
COMMUNICATION SERVICES -- (3.4%)
# New York Times Co. (The), Class A....... 213,321 $ 7,071,591 0.2%
Nexstar Media Group, Inc., Class A...... 73,168 8,564,314 0.3%
Telephone & Data Systems, Inc........... 201,647 6,428,506 0.2%
* Zynga, Inc., Class A.................... 1,611,163 9,119,183 0.3%
Other Securities........................ 86,814,170 2.8%
------------ ----
TOTAL COMMUNICATION SERVICES................ 117,997,764 3.8%
------------ ----
CONSUMER DISCRETIONARY -- (11.9%)
Aaron's, Inc............................ 116,009 6,460,541 0.2%
American Eagle Outfitters, Inc.......... 296,064 7,040,402 0.2%
Churchill Downs, Inc.................... 64,854 6,540,526 0.2%
* Crocs, Inc.............................. 238,173 6,633,118 0.2%
* Helen of Troy, Ltd...................... 49,830 7,175,520 0.2%
Strategic Education, Inc................ 49,832 7,143,417 0.2%
# Wendy's Co. (The)....................... 362,549 6,747,037 0.2%
Other Securities........................ 366,414,363 11.9%
------------ ----
TOTAL CONSUMER DISCRETIONARY................ 414,154,924 13.3%
------------ ----
CONSUMER STAPLES -- (3.8%)
* Darling Ingredients, Inc................ 292,864 6,387,364 0.2%
# Sanderson Farms, Inc.................... 46,425 7,039,423 0.2%
Other Securities........................ 118,553,713 3.9%
------------ ----
TOTAL CONSUMER STAPLES...................... 131,980,500 4.3%
------------ ----
ENERGY -- (4.0%)
PBF Energy, Inc., Class A............... 218,320 7,331,186 0.2%
Other Securities........................ 131,210,678 4.3%
------------ ----
TOTAL ENERGY................................ 138,541,864 4.5%
------------ ----
FINANCIALS -- (18.7%)
Cathay General Bancorp.................. 206,467 7,595,921 0.2%
FirstCash, Inc.......................... 83,455 8,151,884 0.3%
Kemper Corp............................. 86,600 7,783,608 0.3%
Primerica, Inc.......................... 56,551 7,368,030 0.2%
Radian Group, Inc....................... 324,032 7,588,829 0.2%
Selective Insurance Group, Inc.......... 96,545 6,884,624 0.2%
TCF Financial Corp...................... 354,252 7,839,597 0.3%
# United Bankshares, Inc.................. 162,418 6,373,282 0.2%
Washington Federal, Inc................. 193,136 6,400,527 0.2%
Other Securities........................ 583,894,421 18.8%
------------ ----
TOTAL FINANCIALS............................ 649,880,723 20.9%
------------ ----
HEALTH CARE -- (8.4%)
* Amedisys, Inc........................... 68,500 8,755,670 0.3%
Chemed Corp............................. 22,874 7,474,766 0.3%
* LHC Group, Inc.......................... 68,923 7,658,035 0.3%
* Omnicell, Inc........................... 93,919 7,547,331 0.3%
13
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- -------------- ---------------
HEALTH CARE -- (Continued)
Other Securities............................. $ 262,407,790 8.3%
-------------- ----
TOTAL HEALTH CARE................................ 293,843,592 9.5%
-------------- ----
INDUSTRIALS -- (17.8%)
* ASGN, Inc.................................... 101,799 6,417,409 0.2%
#* Axon Enterprise, Inc......................... 117,616 7,468,616 0.2%
EMCOR Group, Inc............................. 88,383 7,436,546 0.2%
* FTI Consulting, Inc.......................... 76,280 6,482,274 0.2%
Insperity, Inc............................... 57,030 6,818,507 0.2%
# John Bean Technologies Corp.................. 62,171 6,825,754 0.2%
#* Kirby Corp................................... 79,565 6,502,052 0.2%
#* MasTec, Inc.................................. 126,820 6,423,433 0.2%
Regal Beloit Corp............................ 84,944 7,227,036 0.2%
* Spirit Airlines, Inc......................... 161,347 8,774,050 0.3%
Tetra Tech, Inc.............................. 107,483 6,956,300 0.2%
Other Securities............................. 542,446,169 17.6%
-------------- ----
TOTAL INDUSTRIALS................................ 619,778,146 19.9%
-------------- ----
INFORMATION TECHNOLOGY -- (13.0%)
* CACI International, Inc., Class A............ 47,362 9,232,748 0.3%
#* Cree, Inc.................................... 145,997 9,648,942 0.3%
#* Euronet Worldwide, Inc....................... 49,036 7,350,006 0.2%
* Fair Isaac Corp.............................. 45,659 12,773,105 0.4%
* LiveRamp Holdings, Inc....................... 143,216 8,353,789 0.3%
#* Manhattan Associates, Inc.................... 114,370 7,714,256 0.3%
# Monolithic Power Systems, Inc................ 65,929 10,265,805 0.3%
SYNNEX Corp.................................. 73,232 7,900,268 0.3%
* Tech Data Corp............................... 67,381 7,183,488 0.2%
Other Securities............................. 371,707,528 11.9%
-------------- ----
TOTAL INFORMATION TECHNOLOGY..................... 452,129,935 14.5%
-------------- ----
MATERIALS -- (4.5%)
* Ingevity Corp................................ 56,174 6,460,572 0.2%
# Quaker Chemical Corp......................... 33,824 7,570,488 0.3%
Other Securities............................. 144,538,975 4.6%
-------------- ----
TOTAL MATERIALS.................................. 158,570,035 5.1%
-------------- ----
REAL ESTATE -- (0.4%)
Other Securities............................. 15,551,222 0.5%
-------------- ----
UTILITIES -- (3.2%)
New Jersey Resources Corp.................... 145,601 7,291,698 0.2%
Other Securities............................. 102,910,013 3.3%
-------------- ----
TOTAL UTILITIES.................................. 110,201,711 3.5%
-------------- ----
TOTAL COMMON STOCKS.............................. 3,102,630,416 99.8%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security............................... 326,909 0.0%
-------------- ----
14
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Security................................................ $ 310 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES........................................ 3,102,957,635
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
2.370%...................................................... 7,164,608 7,164,608 0.3%
-------------- -----
SECURITIES LENDING COLLATERAL -- (10.7%)
@(S) The DFA Short Term Investment Fund............................ 32,023,779 370,547,143 11.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,141,265,875)............................................ $3,480,669,386 112.0%
============== =====
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............... $ 117,997,764 -- -- $ 117,997,764
Consumer Discretionary............... 414,152,387 $ 2,537 -- 414,154,924
Consumer Staples..................... 131,980,500 -- -- 131,980,500
Energy............................... 138,541,864 -- -- 138,541,864
Financials........................... 649,869,738 10,985 -- 649,880,723
Health Care.......................... 293,843,592 -- -- 293,843,592
Industrials.......................... 619,778,146 -- -- 619,778,146
Information Technology............... 452,118,299 11,636 -- 452,129,935
Materials............................ 158,570,035 -- -- 158,570,035
Real Estate.......................... 15,551,222 -- -- 15,551,222
Utilities............................ 110,201,711 -- -- 110,201,711
Preferred Stocks
Communication Services............... 326,909 -- -- 326,909
Rights/Warrants
Consumer Discretionary............... -- 310 -- 310
Temporary Cash Investments.............. 7,164,608 -- -- 7,164,608
Securities Lending Collateral........... -- 370,547,143 -- 370,547,143
-------------- ------------ -- --------------
TOTAL................................... $3,110,096,775 $370,572,611 -- $3,480,669,386
============== ============ == ==============
See accompanying Notes to Financial Statements.
15
T.A. U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (93.2%)
COMMUNICATION SERVICES -- (7.3%)
* Alphabet, Inc., Class A...................... 34,928 $ 41,877,275 0.4%
* Alphabet, Inc., Class C...................... 36,723 43,644,551 0.5%
AT&T, Inc.................................... 2,668,735 82,624,036 0.8%
* Charter Communications, Inc., Class A........ 76,071 28,236,794 0.3%
Comcast Corp., Class A....................... 1,995,489 86,863,636 0.9%
* Facebook, Inc., Class A...................... 291,194 56,316,920 0.6%
Verizon Communications, Inc.................. 1,334,445 76,316,910 0.8%
Walt Disney Co. (The)........................ 623,463 85,395,727 0.9%
Other Securities............................. 269,836,096 2.6%
-------------- ----
TOTAL COMMUNICATION SERVICES..................... 771,111,945 7.8%
-------------- ----
CONSUMER DISCRETIONARY -- (11.4%)
* Amazon.com, Inc.............................. 78,026 150,318,650 1.5%
General Motors Co............................ 614,834 23,947,784 0.3%
Home Depot, Inc. (The)....................... 222,660 45,355,842 0.5%
Lowe's Cos., Inc............................. 216,161 24,456,456 0.3%
Other Securities............................. 951,747,801 9.6%
-------------- ----
TOTAL CONSUMER DISCRETIONARY..................... 1,195,826,533 12.2%
-------------- ----
CONSUMER STAPLES -- (5.2%)
Coca-Cola Co. (The).......................... 760,646 37,317,293 0.4%
PepsiCo, Inc................................. 254,543 32,594,231 0.3%
Procter & Gamble Co. (The)................... 458,732 48,845,783 0.5%
Walmart, Inc................................. 364,614 37,496,904 0.4%
Other Securities............................. 389,232,643 3.9%
-------------- ----
TOTAL CONSUMER STAPLES........................... 545,486,854 5.5%
-------------- ----
ENERGY -- (5.2%)
Chevron Corp................................. 543,129 65,208,068 0.7%
ConocoPhillips............................... 413,560 26,103,907 0.3%
Exxon Mobil Corp............................. 1,161,906 93,277,814 1.0%
Other Securities............................. 358,325,255 3.5%
-------------- ----
TOTAL ENERGY..................................... 542,915,044 5.5%
-------------- ----
FINANCIALS -- (16.6%)
American Express Co.......................... 272,571 31,953,498 0.3%
Bank of America Corp......................... 2,305,820 70,511,976 0.7%
* Berkshire Hathaway, Inc., Class B............ 371,183 80,439,068 0.8%
Citigroup, Inc............................... 630,926 44,606,468 0.5%
JPMorgan Chase & Co.......................... 1,060,963 123,124,756 1.3%
U.S. Bancorp................................. 445,407 23,749,101 0.3%
Wells Fargo & Co............................. 1,393,576 67,463,014 0.7%
Other Securities............................. 1,305,206,853 13.2%
-------------- ----
TOTAL FINANCIALS................................. 1,747,054,734 17.8%
-------------- ----
HEALTH CARE -- (10.4%)
Amgen, Inc................................... 138,369 24,812,329 0.3%
CVS Health Corp.............................. 437,696 23,801,908 0.3%
16
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Johnson & Johnson............................ 559,909 $ 79,059,151 0.8%
Merck & Co., Inc............................. 600,469 47,262,915 0.5%
Pfizer, Inc.................................. 1,624,161 65,957,178 0.7%
Thermo Fisher Scientific, Inc................ 99,017 27,472,267 0.3%
UnitedHealth Group, Inc...................... 234,939 54,757,233 0.6%
Other Securities............................. 774,048,087 7.6%
-------------- ----
TOTAL HEALTH CARE................................ 1,097,171,068 11.1%
-------------- ----
INDUSTRIALS -- (13.3%)
Boeing Co. (The)............................. 78,395 29,609,008 0.3%
Caterpillar, Inc............................. 168,010 23,423,954 0.2%
CSX Corp..................................... 311,864 24,833,730 0.3%
Honeywell International, Inc................. 133,998 23,266,073 0.2%
Union Pacific Corp........................... 237,535 42,053,196 0.4%
United Technologies Corp..................... 241,232 34,402,095 0.4%
Other Securities............................. 1,227,325,038 12.5%
-------------- ----
TOTAL INDUSTRIALS................................ 1,404,913,094 14.3%
-------------- ----
INFORMATION TECHNOLOGY -- (17.6%)
Apple, Inc................................... 1,193,559 239,511,485 2.4%
Cisco Systems, Inc........................... 1,030,168 57,637,900 0.6%
Intel Corp................................... 1,852,635 94,558,490 1.0%
International Business Machines Corp......... 204,954 28,748,898 0.3%
Mastercard, Inc., Class A.................... 173,588 44,133,013 0.5%
* Micron Technology, Inc....................... 649,261 27,307,918 0.3%
Microsoft Corp............................... 1,397,830 182,556,598 1.9%
NVIDIA Corp.................................. 138,723 25,108,863 0.3%
Oracle Corp.................................. 481,175 26,623,413 0.3%
QUALCOMM, Inc................................ 407,518 35,099,525 0.4%
Visa, Inc., Class A.......................... 350,018 57,553,460 0.6%
Other Securities............................. 1,030,854,699 10.2%
-------------- ----
TOTAL INFORMATION TECHNOLOGY..................... 1,849,694,262 18.8%
-------------- ----
MATERIALS -- (4.0%)
Other Securities............................. 420,913,803 4.3%
-------------- ----
REAL ESTATE -- (0.4%)
Other Securities............................. 38,251,219 0.4%
-------------- ----
UTILITIES -- (1.8%)
Other Securities............................. 194,044,341 2.0%
-------------- ----
TOTAL COMMON STOCKS.............................. 9,807,382,897 99.7%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security............................... 243,904 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES...................... 9,807,626,801
--------------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government
Money Market Fund, 2.370%.................. 30,639,509 30,639,509 0.3%
-------------- ----
17
T.A. U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (6.5%)
@(S) The DFA Short Term Investment Fund........... 59,613,067 $ 689,782,801 7.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $6,301,046,209)........................... $10,528,049,111 107.0%
=============== =====
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.................... $ 771,111,945 -- -- $ 771,111,945
Consumer Discretionary.................... 1,195,825,017 $ 1,516 -- 1,195,826,533
Consumer Staples.......................... 545,486,854 -- -- 545,486,854
Energy.................................... 542,915,044 -- -- 542,915,044
Financials................................ 1,747,050,573 4,161 -- 1,747,054,734
Health Care............................... 1,097,171,068 -- -- 1,097,171,068
Industrials............................... 1,404,913,094 -- -- 1,404,913,094
Information Technology.................... 1,849,694,262 -- -- 1,849,694,262
Materials................................. 420,913,803 -- -- 420,913,803
Real Estate............................... 38,251,219 -- -- 38,251,219
Utilities................................. 194,044,341 -- -- 194,044,341
Preferred Stocks
Communication Services.................... 243,904 -- -- 243,904
Temporary Cash Investments................... 30,639,509 -- -- 30,639,509
Securities Lending Collateral................ -- 689,782,801 -- 689,782,801
-------------- ------------ -- ---------------
TOTAL........................................ $9,838,260,633 $689,788,478 -- $10,528,049,111
============== ============ == ===============
See accompanying Notes to Financial Statements.
18
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (98.6%)
AUSTRALIA -- (5.8%)
Australia & New Zealand Banking Group, Ltd........ 3,010,395 $ 57,753,153 1.5%
National Australia Bank, Ltd...................... 1,249,963 22,318,125 0.6%
Woodside Petroleum, Ltd........................... 744,102 18,550,258 0.5%
Other Securities.................................. 125,977,465 3.1%
------------ ---
TOTAL AUSTRALIA....................................... 224,599,001 5.7%
------------ ---
AUSTRIA -- (0.1%)
Other Securities.................................. 4,570,162 0.1%
------------ ---
BELGIUM -- (1.1%)
Other Securities.................................. 44,330,866 1.1%
------------ ---
CANADA -- (8.3%)
Bank of Montreal.................................. 423,189 33,419,235 0.9%
Canadian Natural Resources, Ltd................... 1,036,236 31,066,355 0.8%
Suncor Energy, Inc................................ 1,412,388 46,590,870 1.2%
Other Securities.................................. 210,587,037 5.3%
------------ ---
TOTAL CANADA.......................................... 321,663,497 8.2%
------------ ---
DENMARK -- (1.8%)
Vestas Wind Systems A.S........................... 222,153 20,101,262 0.5%
Other Securities.................................. 48,219,034 1.2%
------------ ---
TOTAL DENMARK......................................... 68,320,296 1.7%
------------ ---
FINLAND -- (0.9%)
Other Securities.................................. 33,912,747 0.9%
------------ ---
FRANCE -- (9.9%)
BNP Paribas SA.................................... 550,285 29,293,372 0.7%
Cie de Saint-Gobain............................... 475,996 19,515,812 0.5%
Cie Generale des Etablissements Michelin SCA...... 209,836 27,134,002 0.7%
Orange SA......................................... 1,734,362 27,105,566 0.7%
Peugeot SA........................................ 931,406 24,420,419 0.6%
# Total SA.......................................... 2,033,537 113,045,868 2.9%
Other Securities.................................. 140,875,343 3.6%
------------ ---
TOTAL FRANCE.......................................... 381,390,382 9.7%
------------ ---
GERMANY -- (6.7%)
Bayer AG.......................................... 471,399 31,364,444 0.8%
Bayerische Motoren Werke AG....................... 357,806 30,523,866 0.8%
Daimler AG........................................ 990,591 65,018,407 1.6%
Deutsche Telekom AG............................... 1,350,731 22,631,363 0.6%
Other Securities.................................. 109,951,673 2.8%
------------ ---
TOTAL GERMANY......................................... 259,489,753 6.6%
------------ ---
HONG KONG -- (3.5%)
CK Hutchison Holdings, Ltd........................ 2,105,348 22,135,438 0.6%
Sun Hung Kai Properties, Ltd...................... 1,360,934 23,487,461 0.6%
19
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HONG KONG -- (Continued)
Other Securities...................... $ 88,772,545 2.2%
------------ ----
TOTAL HONG KONG........................... 134,395,444 3.4%
------------ ----
IRELAND -- (0.3%)
Other Securities...................... 13,231,836 0.3%
------------ ----
ISRAEL -- (0.5%)
Other Securities...................... 20,213,735 0.5%
------------ ----
ITALY -- (2.1%)
Intesa Sanpaolo SpA................... 8,083,542 21,179,012 0.5%
Other Securities...................... 62,023,527 1.6%
------------ ----
TOTAL ITALY............................... 83,202,539 2.1%
------------ ----
JAPAN -- (21.8%)
Hitachi, Ltd.......................... 801,900 26,669,771 0.7%
Honda Motor Co., Ltd.................. 1,399,700 39,055,733 1.0%
Mitsubishi Corp....................... 761,900 20,988,573 0.5%
Mitsubishi UFJ Financial Group, Inc... 3,959,034 19,642,847 0.5%
Sumitomo Mitsui Financial Group, Inc.. 807,327 29,343,270 0.8%
Toyota Motor Corp..................... 1,224,488 75,808,594 1.9%
Other Securities...................... 630,993,502 16.1%
------------ ----
TOTAL JAPAN............................... 842,502,290 21.5%
------------ ----
NETHERLANDS -- (3.7%)
ING Groep NV.......................... 1,741,138 22,216,966 0.6%
Koninklijke Ahold Delhaize NV......... 1,350,935 32,559,671 0.8%
Koninklijke DSM NV.................... 201,748 23,074,250 0.6%
Other Securities...................... 64,224,354 1.6%
------------ ----
TOTAL NETHERLANDS......................... 142,075,241 3.6%
------------ ----
NEW ZEALAND -- (0.2%)
Other Securities...................... 7,890,795 0.2%
------------ ----
NORWAY -- (0.9%)
Other Securities...................... 33,084,087 0.8%
------------ ----
PORTUGAL -- (0.0%)
Other Security........................ 1,881,420 0.1%
------------ ----
SINGAPORE -- (1.1%)
Other Securities...................... 42,835,378 1.1%
------------ ----
SPAIN -- (2.8%)
Banco Santander SA.................... 14,084,176 71,397,976 1.8%
Repsol SA............................. 1,100,495 18,673,970 0.5%
Other Securities...................... 17,832,918 0.5%
------------ ----
TOTAL SPAIN............................... 107,904,864 2.8%
------------ ----
SWEDEN -- (2.3%)
Other Securities...................... 89,933,164 2.3%
------------ ----
20
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWITZERLAND -- (8.9%)
Cie Financiere Richemont SA....................... 400,427 $ 29,272,152 0.7%
Novartis AG....................................... 660,996 54,162,056 1.4%
Novartis AG, Sponsored ADR........................ 294,324 24,202,263 0.6%
Swiss Re AG....................................... 186,440 17,950,033 0.5%
UBS Group AG...................................... 1,928,511 25,860,283 0.7%
Zurich Insurance Group AG......................... 134,082 42,741,015 1.1%
Other Securities.................................. 148,942,140 3.8%
-------------- ----
TOTAL SWITZERLAND...................................... 343,129,942 8.8%
-------------- ----
UNITED KINGDOM -- (15.7%)
Anglo American P.L.C.............................. 1,360,585 35,306,772 0.9%
Aviva P.L.C....................................... 4,995,385 28,054,717 0.7%
BP P.L.C., Sponsored ADR.......................... 1,541,046 67,389,953 1.7%
British American Tobacco P.L.C.................... 795,834 31,156,041 0.8%
Glencore P.L.C.................................... 9,178,897 36,417,804 0.9%
HSBC Holdings P.L.C., Sponsored ADR............... 1,195,522 52,088,894 1.3%
Lloyds Banking Group P.L.C........................ 60,864,404 49,777,044 1.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A.. 1,024,535 65,088,692 1.7%
Royal Dutch Shell P.L.C., Sponsored ADR, Class B.. 946,894 61,443,952 1.6%
Vodafone Group P.L.C.............................. 20,021,313 37,137,010 1.0%
Other Securities.................................. 141,146,495 3.5%
-------------- ----
TOTAL UNITED KINGDOM................................... 605,007,374 15.4%
-------------- ----
UNITED STATES -- (0.2%)
Other Securities.................................. 6,416,588 0.2%
-------------- ----
TOTAL COMMON STOCKS.................................... 3,811,981,401 97.1%
-------------- ----
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Volkswagen AG..................................... 203,812 35,586,001 0.9%
Other Securities.................................. 10,806,811 0.3%
-------------- ----
TOTAL GERMANY.......................................... 46,392,812 1.2%
-------------- ----
TOTAL INVESTMENT SECURITIES............................ 3,858,374,213
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.2%)
@(S) The DFA Short Term Investment Fund................ 542,010 6,271,602 0.2%
-------------- ----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,614,055,695)................................ $3,864,645,815 98.5%
============== ====
As of April 30, 2019, Tax-Managed DFA International Value Portfolio had entered
into the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 190 06/21/19 $26,353,093 $28,010,750 $1,657,657
----------- ----------- ----------
TOTAL FUTURES CONTRACTS........................... $26,353,093 $28,010,750 $1,657,657
=========== =========== ==========
21
TAX-MANAGED DFA INTERNATIONAL 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............................ $ 214,103 $ 224,384,898 -- $ 224,599,001
Austria.............................. -- 4,570,162 -- 4,570,162
Belgium.............................. -- 44,330,866 -- 44,330,866
Canada............................... 321,663,497 -- -- 321,663,497
Denmark.............................. 606,478 67,713,818 -- 68,320,296
Finland.............................. -- 33,912,747 -- 33,912,747
France............................... -- 381,390,382 -- 381,390,382
Germany.............................. 5,956,085 253,533,668 -- 259,489,753
Hong Kong............................ -- 134,395,444 -- 134,395,444
Ireland.............................. 4,106,814 9,125,022 -- 13,231,836
Israel............................... -- 20,213,735 -- 20,213,735
Italy................................ 4,758,555 78,443,984 -- 83,202,539
Japan................................ 9,435,092 833,067,198 -- 842,502,290
Netherlands.......................... 7,825,456 134,249,785 -- 142,075,241
New Zealand.......................... -- 7,890,795 -- 7,890,795
Norway............................... 1,234,052 31,850,035 -- 33,084,087
Portugal............................. -- 1,881,420 -- 1,881,420
Singapore............................ -- 42,835,378 -- 42,835,378
Spain................................ 10,379 107,894,485 -- 107,904,864
Sweden............................... -- 89,933,164 -- 89,933,164
Switzerland.......................... 40,797,788 302,332,154 -- 343,129,942
United Kingdom....................... 285,189,566 319,817,808 -- 605,007,374
United States........................ 6,416,588 -- -- 6,416,588
Preferred Stocks
Germany.............................. -- 46,392,812 -- 46,392,812
Securities Lending Collateral........... -- 6,271,602 -- 6,271,602
Futures Contracts**..................... 1,657,657 -- -- 1,657,657
------------ -------------- -- --------------
TOTAL................................... $689,872,110 $3,176,431,362 -- $3,866,303,472
============ ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
22
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (98.8%)
AUSTRALIA -- (4.6%)
BHP Group, Ltd.................................... 414,517 $ 10,969,091 0.3%
Commonwealth Bank of Australia.................... 143,493 7,541,305 0.2%
Macquarie Group, Ltd.............................. 70,545 6,704,200 0.2%
Westpac Banking Corp.............................. 367,982 7,148,565 0.2%
Other Securities.................................. 150,176,602 3.7%
------------ ---
TOTAL AUSTRALIA....................................... 182,539,763 4.6%
------------ ---
AUSTRIA -- (0.4%)
Other Securities.................................. 16,581,482 0.4%
------------ ---
BELGIUM -- (0.8%)
Other Securities.................................. 30,475,723 0.8%
------------ ---
BRAZIL -- (1.7%)
Vale SA........................................... 552,353 7,057,427 0.2%
Other Securities.................................. 58,233,799 1.5%
------------ ---
TOTAL BRAZIL.......................................... 65,291,226 1.7%
------------ ---
CANADA -- (6.5%)
Canadian Natural Resources, Ltd................... 241,723 7,246,856 0.2%
Suncor Energy, Inc................................ 185,607 6,125,031 0.2%
Other Securities.................................. 241,899,105 6.1%
------------ ---
TOTAL CANADA.......................................... 255,270,992 6.5%
------------ ---
CHILE -- (0.3%)
Other Securities.................................. 11,567,513 0.3%
------------ ---
CHINA -- (8.5%)
* Alibaba Group Holding, Ltd., Sponsored ADR........ 47,138 8,747,399 0.2%
China Construction Bank Corp., Class H............ 15,486,200 13,652,096 0.4%
China Mobile, Ltd................................. 770,500 7,351,650 0.2%
China Overseas Land & Investment, Ltd............. 1,624,827 6,087,661 0.2%
Industrial & Commercial Bank of China, Ltd.,
Class H......................................... 8,824,460 6,637,404 0.2%
Ping An Insurance Group Co. of China, Ltd.,
Class H......................................... 833,000 10,083,179 0.3%
Tencent Holdings, Ltd............................. 300,000 14,786,293 0.4%
Other Securities.................................. 267,130,369 6.6%
------------ ---
TOTAL CHINA........................................... 334,476,051 8.5%
------------ ---
COLOMBIA -- (0.1%)
Other Securities.................................. 3,599,086 0.1%
------------ ---
CZECH REPUBLIC -- (0.1%)
Other Securities.................................. 1,840,669 0.0%
------------ ---
DENMARK -- (1.3%)
Other Securities.................................. 52,514,283 1.3%
------------ ---
EGYPT -- (0.0%)
Other Securities.................................. 300,270 0.0%
------------ ---
23
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
FINLAND -- (1.2%)
Other Securities.................................. $ 46,911,125 1.2%
------------ ---
FRANCE -- (5.9%)
Cie Generale des Etablissements Michelin SCA...... 50,834 6,573,371 0.2%
LVMH Moet Hennessy Louis Vuitton SE............... 20,296 7,968,557 0.2%
Orange SA......................................... 418,276 6,537,048 0.2%
Peugeot SA........................................ 246,391 6,460,095 0.2%
Total SA.......................................... 288,924 16,061,505 0.4%
Vinci SA.......................................... 59,854 6,045,031 0.2%
Other Securities.................................. 181,650,205 4.5%
------------ ---
TOTAL FRANCE.......................................... 231,295,812 5.9%
------------ ---
GERMANY -- (5.3%)
Allianz SE........................................ 35,978 8,696,390 0.2%
BASF SE........................................... 153,754 12,552,621 0.3%
Bayerische Motoren Werke AG....................... 73,155 6,240,738 0.2%
Daimler AG........................................ 200,918 13,187,449 0.3%
Deutsche Telekom AG............................... 519,957 8,711,828 0.2%
Other Securities.................................. 158,583,112 4.1%
------------ ---
TOTAL GERMANY......................................... 207,972,138 5.3%
------------ ---
GREECE -- (0.1%)
Other Securities.................................. 2,570,614 0.1%
------------ ---
HONG KONG -- (2.2%)
AIA Group, Ltd.................................... 829,400 8,492,588 0.2%
Other Securities.................................. 79,025,682 2.0%
------------ ---
TOTAL HONG KONG....................................... 87,518,270 2.2%
------------ ---
HUNGARY -- (0.1%)
Other Securities.................................. 3,931,105 0.1%
------------ ---
INDIA -- (2.8%)
Other Securities.................................. 111,532,165 2.8%
------------ ---
INDONESIA -- (0.6%)
Other Securities.................................. 24,181,865 0.6%
------------ ---
IRELAND -- (0.5%)
Other Securities.................................. 19,650,141 0.5%
------------ ---
ISRAEL -- (0.5%)
Other Securities.................................. 21,514,344 0.5%
------------ ---
ITALY -- (2.1%)
Eni SpA........................................... 387,838 6,609,201 0.2%
Other Securities.................................. 75,312,783 1.9%
------------ ---
TOTAL ITALY........................................... 81,921,984 2.1%
------------ ---
JAPAN -- (16.3%)
Honda Motor Co., Ltd.............................. 249,900 6,972,943 0.2%
SoftBank Group Corp............................... 70,596 7,485,387 0.2%
Toyota Motor Corp................................. 270,373 16,738,912 0.5%
24
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
JAPAN -- (Continued)
Other Securities.................................. $610,754,031 15.3%
------------ ----
TOTAL JAPAN........................................... 641,951,273 16.2%
------------ ----
MALAYSIA -- (0.6%)
Other Securities.................................. 24,753,716 0.6%
------------ ----
MEXICO -- (0.8%)
Other Securities.................................. 29,539,153 0.7%
------------ ----
NETHERLANDS -- (2.1%)
Other Securities.................................. 81,462,142 2.1%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities.................................. 13,401,093 0.3%
------------ ----
NORWAY -- (0.7%)
Other Securities.................................. 27,081,517 0.7%
------------ ----
PERU -- (0.0%)
Other Securities.................................. 816,570 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities.................................. 11,243,534 0.3%
------------ ----
POLAND -- (0.3%)
Other Securities.................................. 12,302,778 0.3%
------------ ----
PORTUGAL -- (0.2%)
Other Securities.................................. 7,279,736 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities.................................. 12,127,285 0.3%
------------ ----
SINGAPORE -- (0.8%)
Other Securities.................................. 30,039,391 0.8%
------------ ----
SOUTH AFRICA -- (1.9%)
Other Securities.................................. 73,042,522 1.8%
------------ ----
SOUTH KOREA -- (3.8%)
Samsung Electronics Co., Ltd...................... 475,156 18,681,810 0.5%
Samsung Electronics Co., Ltd., GDR................ 9,769 9,670,262 0.3%
Other Securities.................................. 122,453,275 3.0%
------------ ----
TOTAL SOUTH KOREA..................................... 150,805,347 3.8%
------------ ----
SPAIN -- (1.8%)
Banco Santander SA................................ 1,507,399 7,641,573 0.2%
Iberdrola S.A..................................... 826,824 7,513,675 0.2%
Other Securities.................................. 54,007,674 1.4%
------------ ----
TOTAL SPAIN........................................... 69,162,922 1.8%
------------ ----
SWEDEN -- (2.0%)
Other Securities.................................. 80,350,887 2.0%
------------ ----
25
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SWITZERLAND -- (4.5%)
Nestle SA......................................... 261,736 $ 25,199,315 0.7%
Novartis AG, Sponsored ADR........................ 118,999 9,785,288 0.3%
Roche Holding AG.................................. 49,283 13,003,974 0.3%
Zurich Insurance Group AG......................... 18,766 5,981,995 0.2%
Other Securities.................................. 123,445,532 3.0%
-------------- ----
TOTAL SWITZERLAND..................................... 177,416,104 4.5%
-------------- ----
TAIWAN -- (4.0%)
Taiwan Semiconductor Manufacturing Co., Ltd.,
Sponsored ADR................................... 242,374 10,620,829 0.3%
Other Securities.................................. 146,276,991 3.7%
-------------- ----
TOTAL TAIWAN.......................................... 156,897,820 4.0%
-------------- ----
THAILAND -- (0.7%)
Other Securities.................................. 28,491,428 0.7%
-------------- ----
TURKEY -- (0.2%)
Other Securities.................................. 8,081,726 0.2%
-------------- ----
UNITED KINGDOM -- (11.6%)
Anglo American P.L.C.............................. 444,183 11,526,415 0.3%
BP P.L.C., Sponsored ADR.......................... 513,940 22,474,600 0.6%
Glencore P.L.C.................................... 1,818,167 7,213,683 0.2%
HSBC Holdings P.L.C., Sponsored ADR............... 300,322 13,085,029 0.3%
Lloyds Banking Group P.L.C........................ 7,881,167 6,445,495 0.2%
Rio Tinto P.L.C., Sponsored ADR................... 118,367 6,971,816 0.2%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A.. 181,989 11,561,745 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class B.. 143,548 9,314,830 0.2%
Vodafone Group P.L.C.............................. 3,346,848 6,207,982 0.2%
Other Securities.................................. 363,237,964 9.1%
-------------- ----
TOTAL UNITED KINGDOM.................................. 458,039,559 11.6%
-------------- ----
UNITED STATES -- (0.0%)
Other Securities.................................. 1,371,718 0.0%
-------------- ----
TOTAL COMMON STOCKS................................... 3,889,114,842 98.4%
-------------- ----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Other Securities.................................. 16,855,311 0.4%
-------------- ----
CHILE -- (0.0%)
Other Securities.................................. 243,251 0.0%
-------------- ----
COLOMBIA -- (0.0%)
Other Securities.................................. 672,743 0.0%
-------------- ----
GERMANY -- (0.4%)
Volkswagen AG..................................... 46,130 8,054,394 0.2%
Other Securities.................................. 8,521,272 0.2%
-------------- ----
TOTAL GERMANY......................................... 16,575,666 0.4%
-------------- ----
26
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
SOUTH KOREA -- (0.0%)
Other Security.................................... $ 38,796 0.0%
-------------- ----
UNITED KINGDOM -- (0.0%)
Other Security.................................... 25,851 0.0%
-------------- ----
TOTAL PREFERRED STOCKS................................. 34,411,618 0.8%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................................. 263,661 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES............................ 3,923,790,121
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.3%)
@(S) The DFA Short Term Investment Fund................ 999,174 11,561,437 0.3%
-------------- ----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,366,261,989)................................ $3,935,351,558 99.5%
============== ====
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............................ $ 2,990,755 $ 179,549,008 -- $ 182,539,763
Austria.............................. -- 16,581,482 -- 16,581,482
Belgium.............................. 1,192,544 29,283,179 -- 30,475,723
Brazil............................... 65,291,226 -- -- 65,291,226
Canada............................... 254,633,694 637,298 -- 255,270,992
Chile................................ 11,567,513 -- -- 11,567,513
China................................ 43,264,929 291,211,122 -- 334,476,051
Colombia............................. 3,599,086 -- -- 3,599,086
Czech Republic....................... -- 1,840,669 -- 1,840,669
Denmark.............................. 1,175,309 51,338,974 -- 52,514,283
Egypt................................ 134,872 165,398 -- 300,270
Finland.............................. 183,695 46,727,430 -- 46,911,125
France............................... 2,620,100 228,675,712 -- 231,295,812
Germany.............................. 7,465,463 200,506,675 -- 207,972,138
Greece............................... -- 2,570,614 -- 2,570,614
Hong Kong............................ 343,119 87,175,151 -- 87,518,270
Hungary.............................. -- 3,931,105 -- 3,931,105
India................................ 3,867,842 107,664,323 -- 111,532,165
Indonesia............................ 331,018 23,850,847 -- 24,181,865
Ireland.............................. 5,010,249 14,639,892 -- 19,650,141
Israel............................... 1,898,971 19,615,373 -- 21,514,344
Italy................................ 2,444,622 79,477,362 -- 81,921,984
Japan................................ 13,809,450 628,141,823 -- 641,951,273
Malaysia............................. -- 24,753,716 -- 24,753,716
Mexico............................... 29,538,501 652 -- 29,539,153
Netherlands.......................... 13,933,122 67,529,020 -- 81,462,142
New Zealand.......................... 43,303 13,357,790 -- 13,401,093
Norway............................... 934,536 26,146,981 -- 27,081,517
Peru................................. 816,570 -- -- 816,570
27
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- ------- --------------
Philippines.......................... $ 123,500 $ 11,120,034 -- $ 11,243,534
Poland............................... -- 12,302,778 -- 12,302,778
Portugal............................. -- 7,279,736 -- 7,279,736
Russia............................... 5,371,676 6,755,609 -- 12,127,285
Singapore............................ -- 30,039,391 -- 30,039,391
South Africa......................... 7,382,789 65,659,733 -- 73,042,522
South Korea.......................... 5,849,699 144,955,648 -- 150,805,347
Spain................................ 2,817,772 66,345,150 -- 69,162,922
Sweden............................... 429,545 79,921,342 -- 80,350,887
Switzerland.......................... 19,161,351 158,254,753 -- 177,416,104
Taiwan............................... 11,434,731 145,463,089 -- 156,897,820
Thailand............................. 28,479,050 12,378 -- 28,491,428
Turkey............................... 47,800 8,033,926 -- 8,081,726
United Kingdom....................... 94,665,280 363,374,279 -- 458,039,559
United States........................ 1,349,849 21,869 -- 1,371,718
Preferred Stocks
Brazil............................... 16,855,311 -- -- 16,855,311
Chile................................ 243,251 -- -- 243,251
Colombia............................. 672,743 -- -- 672,743
Germany.............................. -- 16,575,666 -- 16,575,666
South Korea.......................... -- 38,796 -- 38,796
United Kingdom....................... -- 25,851 -- 25,851
Rights/Warrants
Brazil............................... -- 1,297 -- 1,297
Canada............................... -- 44,542 -- 44,542
Hong Kong............................ -- 288 -- 288
India................................ -- 132,213 -- 132,213
Indonesia............................ -- 16,973 -- 16,973
South Korea.......................... -- 34,625 -- 34,625
Sweden............................... -- 29,101 -- 29,101
Switzerland.......................... -- 4,622 -- 4,622
Securities Lending Collateral........... -- 11,561,437 -- 11,561,437
------------ -------------- -- --------------
TOTAL................................... $661,974,836 $3,273,376,722 -- $3,935,351,558
============ ============== == ==============
See accompanying Notes to Financial Statements.
28
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
U.S. TAX-MANAGED TAX-MANAGED TAX-MANAGED
MARKETWIDE U.S. EQUITY U.S. TARGETED U.S. SMALL CAP
VALUE PORTFOLIO PORTFOLIO* VALUE PORTFOLIO* PORTFOLIO+,*
--------------- -------------- ---------------- --------------
ASSETS:
Investments in Affiliated Investment Company at Value....... $ 5,250,064 -- -- --
Investments at Value (including $0, $217,784, $600,133 and
$568,022 of securities on loan, respectively)............. -- $ 3,916,511 $ 4,732,369 $ 3,102,957
Temporary Cash Investments at Value & Cost.................. -- 5,973 10,368 7,165
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $0, $138,561, $438,224 and
$370,509)................................................. -- 138,576 438,273 370,547
Receivables:
Investment Securities/Affiliated Investment Company
Sold................................................... -- -- 788 4,993
Dividends and Interest................................... -- 3,108 1,633 743
Securities Lending Income................................ -- 41 100 177
Fund Shares Sold......................................... 2,144 928 1,133 591
Prepaid Expenses and Other Assets........................... 64 43 123 65
-------------- -------------- -------------- --------------
Total Assets......................................... 5,252,272 4,065,180 5,184,787 3,487,238
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... -- 138,563 438,215 370,533
Investment Securities/Affiliated Investment Company
Purchased.............................................. -- 294 5,604 4,768
Fund Shares Redeemed..................................... 1,717 1,173 1,183 1,797
Due to Advisor........................................... 639 607 1,615 1,003
Accrued Expenses and Other Liabilities...................... 130 338 433 283
-------------- -------------- -------------- --------------
Total Liabilities.................................... 2,486 140,975 447,050 378,384
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 5,249,786 $ 3,924,205 $ 4,737,737 $ 3,108,854
============== ============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 172,282,354 123,294,210 135,355,828 72,424,663
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE........................................... $ 30.47 $ 31.83 $ 35.00 $ 42.92
============== ============== ============== ==============
Investments at Cost......................................... N/A $ 1,894,685 $ 2,942,852 $ 1,763,592
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 2,854,761 $ 1,892,152 $ 2,898,714 $ 1,734,103
Total Distributable Earnings (Loss)......................... 2,395,025 2,032,053 1,839,023 1,374,751
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 5,249,786 $ 3,924,205 $ 4,737,737 $ 3,108,854
============== ============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED............................. 1,700,000,000 1,500,000,000 1,700,000,000 1,500,000,000
============== ============== ============== ==============
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
+ See Note C to the Financial Statements for additional information about the
Due to Advisor payable.
See accompanying Notes to Financial Statements.
29
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED T.A. WORLD EX
T.A. U.S. CORE DFA U.S. CORE
EQUITY 2 INTERNATIONAL EQUITY
PORTFOLIO* VALUE PORTFOLIO* PORTFOLIO*
-------------- ---------------- --------------
ASSETS:
Investments at Value (including $1,008,148, $18,482 and $42,358 of securities
on loan, respectively).......................................................... $ 9,807,627 $ 3,858,374 $ 3,923,790
Temporary Cash Investments at Value & Cost........................................ 30,640 -- --
Collateral from Securities on Loan Invested in Affiliate at Value (including cost
of $689,724, $6,272 and $11,559)................................................ 689,783 6,272 11,561
Segregated Cash for Futures Contracts............................................. -- 1,197 --
Foreign Currencies at Value....................................................... -- 9,259 8,169
Cash.............................................................................. -- 36,075 4,205
Receivables:
Investment Securities Sold..................................................... 107 1,714 1,294
Dividends and Interest......................................................... 6,916 28,391 18,046
Securities Lending Income...................................................... 209 44 155
Fund Shares Sold............................................................... 3,037 1,083 1,970
Futures Margin Variation....................................................... -- 53 --
Unrealized Gain on Foreign Currency Contracts..................................... -- 3 --
Prepaid Expenses and Other Assets................................................. 157 107 92
-------------- -------------- --------------
Total Assets............................................................... 10,538,476 3,942,572 3,969,282
-------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................... 689,798 6,280 11,559
Investment Securities Purchased................................................ 1,325 9,000 1,805
Fund Shares Redeemed........................................................... 3,322 971 1,209
Due to Advisor................................................................. 1,751 1,609 1,038
Accrued Expenses and Other Liabilities............................................ 667 416 451
-------------- -------------- --------------
Total Liabilities.......................................................... 696,863 18,276 16,062
-------------- -------------- --------------
NET ASSETS........................................................................ $ 9,841,613 $ 3,924,296 $ 3,953,220
============== ============== ==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................................... 518,702,301 260,115,004 365,973,729
============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................................................... $ 18.97 $ 15.09 $ 10.80
============== ============== ==============
Investments at Cost............................................................... $ 5,580,684 $ 3,607,784 $ 3,354,703
============== ============== ==============
Foreign Currencies at Cost........................................................ $ -- $ 9,295 $ 8,201
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................... $ 5,527,447 $ 3,709,652 $ 3,410,973
Total Distributable Earnings (Loss)............................................... 4,314,166 214,644 542,247
-------------- -------------- --------------
NET ASSETS........................................................................ $ 9,841,613 $ 3,924,296 $ 3,953,220
============== ============== ==============
(1) NUMBER OF SHARES AUTHORIZED................................................... 2,000,000,000 1,700,000,000 1,500,000,000
============== ============== ==============
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
30
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
U.S. TAX-MANAGED TAX-MANAGED TAX-MANAGED
MARKETWIDE U.S. EQUITY U.S. TARGETED U.S. SMALL CAP
VALUE PORTFOLIO* PORTFOLIO# VALUE PORTFOLIO# PORTFOLIO#
---------------- ----------- ---------------- --------------
INVESTMENT INCOME
Net Investment Income Allocated from
Investment Company:
Dividends (Net of Foreign Taxes Withheld
of $8, $0, $0 and $0, respectively).......... $ 58,961 -- -- --
Income from Securities Lending................. 203 -- -- --
Expenses Allocated from Affiliated
Investment Companies......................... (5,139) -- -- --
-------- -------- -------- --------
Total Net Investment Income Allocated
from Investment Company:................. 54,025 -- -- --
-------- -------- -------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld
of $0, $5, $22 and $10, respectively)........ -- $ 35,128 $ 38,519 $ 21,538
Income from Securities Lending................. -- 271 709 1,035
-------- -------- -------- --------
Total Fund Investment Income............... -- 35,399 39,228 22,573
-------- -------- -------- --------
FUND EXPENSES
Investment Management Fees..................... 8,551 3,582 9,298 7,002
Accounting & Transfer Agent Fees............... 197 215 291 196
Custodian Fees................................. -- 21 34 22
Filing Fees.................................... 41 31 66 39
Shareholders' Reports.......................... 38 27 41 32
Directors'/Trustees' Fees & Expenses........... 19 13 17 11
Professional Fees.............................. 7 26 34 22
Other.......................................... 12 53 74 42
-------- -------- -------- --------
Total Fund Expenses........................ 8,865 3,968 9,855 7,366
-------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed),
and/or Previously Waived Fees Recovered
by Advisor (Note C).......................... (4,887) (28) -- --
-------- -------- -------- --------
Net Expenses................................... 3,978 3,940 9,855 7,366
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)................... 50,047 31,459 29,373 15,207
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............... -- 3,804 52,042 37,516
Affiliated Investment Companies
Shares Sold.............................. -- (1) 12 3
Transactions Allocated from
Affiliated Investment Company**.......... 138,768 -- -- --
Futures.................................... -- -- (3,080) (1,077)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. -- 306,335 91,884 56,912
Affiliated Investment Companies Shares..... -- 11 34 30
Transactions Allocated from
Affiliated Investment Company............ 97,209 -- -- --
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)........ 235,977 310,149 140,892 93,384
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS....................... $286,024 $341,608 $170,265 $108,591
======== ======== ======== ========
--------
** 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.
31
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
TAX-MANAGED T.A. WORLD EX
T.A. U.S. CORE DFA U.S. CORE
EQUITY 2 INTERNATIONAL EQUITY
PORTFOLIO# VALUE PORTFOLIO# PORTFOLIO#
-------------- ---------------- -------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $57, $6,644 and $4,921,
respectively)...................................................... $ 85,400 $ 69,136 $ 49,956
Income from Securities Lending....................................... 1,317 230 866
-------- -------- --------
Total Investment Income.......................................... 86,717 69,366 50,822
-------- -------- --------
FUND EXPENSES
Investment Management Fees........................................... 9,905 9,136 5,701
Accounting & Transfer Agent Fees..................................... 512 252 230
Custodian Fees....................................................... 52 158 338
Filing Fees.......................................................... 94 65 59
Shareholders' Reports................................................ 49 43 34
Directors'/Trustees' Fees & Expenses................................. 34 14 14
Professional Fees.................................................... 64 32 42
Other................................................................ 143 66 83
-------- -------- --------
Total Fund Expenses.............................................. 10,853 9,766 6,501
-------- -------- --------
Fees Paid Indirectly (Note C)........................................ -- (81) (82)
-------- -------- --------
Net Expenses......................................................... 10,853 9,685 6,419
-------- -------- --------
NET INVESTMENT INCOME (LOSS)......................................... 75,864 59,681 44,403
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... 75,119 (39,851) (15,163)
Affiliated Investment Companies Shares Sold...................... 4 1 1
Futures.......................................................... -- (477) (848)
Foreign Currency Transactions.................................... -- 127 123
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 545,999 134,298 248,330
Affiliated Investment Companies Shares........................... 46 -- 1
Futures.......................................................... -- 2,715 --
Translation of Foreign Currency-Denominated Amounts.............. -- (83) (51)
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 621,168 96,730 232,393
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $697,032 $156,411 $276,796
======== ======== ========
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
32
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. TAX-MANAGED U.S. EQUITY TAX-MANAGED U.S. TARGETED
MARKETWIDE VALUE 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)................ $ 50,047 $ 93,786 $ 31,459 $ 56,669 $ 29,373 $ 52,949
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.......... -- -- 3,804 11,732 52,042 161,975
Affiliated Investment Companies
Shares Sold........................... -- -- (1) (52) 12 (61)
Transactions Allocated from
Affiliated Investment
Company*,**........................... 138,768 162,485 -- -- -- --
Futures................................. -- -- -- -- (3,080) 1,400
Foreign Currency Transactions........... -- -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. -- -- 306,335 154,499 91,884 (343,543)
Affiliated Investment Companies
Shares................................ -- -- 11 30 34 11
Transactions Allocated from
Affiliated Investment
Company............................... 97,209 (55,828) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 286,024 200,443 341,608 222,878 170,265 (127,269)
---------- ---------- ---------- ---------- ---------- ----------
Distributions:
Institutional Class Shares.............. (201,292) (239,329) (42,453) (53,147) (182,891) (232,950)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (201,292) (239,329) (42,453) (53,147) (182,891) (232,950)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 559,675 506,746 340,655 371,542 829,215 577,997
Shares Issued in Lieu of Cash
Distributions............................. 199,200 236,687 41,670 52,131 181,352 230,649
Shares Redeemed............................. (581,351) (567,379) (319,559) (341,760) (863,244) (579,068)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Capital Share
Transactions....................... 177,524 176,054 62,766 81,913 147,323 229,578
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in
Net Assets......................... 262,256 137,168 361,921 251,644 134,697 (130,641)
NET ASSETS
Beginning of Period......................... 4,987,530 4,850,362 3,562,284 3,310,640 4,603,040 4,733,681
---------- ---------- ---------- ---------- ---------- ----------
End of Period............................... $5,249,786 $4,987,530 $3,924,205 $3,562,284 $4,737,737 $4,603,040
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 20,171 16,345 12,071 12,475 26,057 15,350
Shares Issued in Lieu of Cash
Distributions............................. 7,382 7,725 1,477 1,747 5,937 6,204
Shares Redeemed............................. (21,114) (18,317) (11,267) (11,419) (27,518) (15,441)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 6,439 5,753 2,281 2,803 4,476 6,113
========== ========== ========== ========== ========== ==========
TAX-MANAGED U.S.
SMALL CAP PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APR 30, OCT 31,
2019 2018
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 15,207 $ 26,961
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.......... 37,516 84,385
Affiliated Investment Companies
Shares Sold........................... 3 (38)
Transactions Allocated from
Affiliated Investment
Company*,**........................... -- --
Futures................................. (1,077) 485
Foreign Currency Transactions........... -- (1)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. 56,912 (108,814)
Affiliated Investment Companies
Shares................................ 30 (7)
Transactions Allocated from
Affiliated Investment
Company............................... -- --
---------- ----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 108,591 2,971
---------- ----------
Distributions:
Institutional Class Shares.............. (94,953) (108,204)
---------- ----------
Total Distributions.................. (94,953) (108,204)
---------- ----------
Capital Share Transactions (1):
Shares Issued............................... 478,843 391,913
Shares Issued in Lieu of Cash
Distributions............................. 93,753 106,587
Shares Redeemed............................. (463,060) (341,292)
---------- ----------
Net Increase (Decrease) from
Capital Share
Transactions....................... 109,536 157,208
---------- ----------
Total Increase (Decrease) in
Net Assets......................... 123,174 51,975
NET ASSETS
Beginning of Period......................... 2,985,680 2,933,705
---------- ----------
End of Period............................... $3,108,854 $2,985,680
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 12,205 8,748
Shares Issued in Lieu of Cash
Distributions............................. 2,487 2,416
Shares Redeemed............................. (11,987) (7,588)
---------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 2,705 3,576
========== ==========
--------
* Net of foreign capital gain taxes withheld for the period ended April 30,
2019 of $0, $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
33
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
T.A. U.S. CORE EQUITY 2 TAX-MANAGED DFA
PORTFOLIO INTERNATIONAL VALUE 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).................... $ 75,864 $ 136,806 $ 59,681 $ 116,657
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............. 75,119 64,808 (39,851) 22,541
Affiliated Investment Companies Shares
Sold...................................... 4 (39) 1 (7)
Futures..................................... -- 754 (477) 1,775
Foreign Currency Transactions............... -- -- 127 (1,905)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 545,999 119,633 134,298 (475,395)
Affiliated Investment Companies
Shares.................................... 46 (36) -- --
Futures..................................... -- -- 2,715 (1,717)
Translation of Foreign Currency-
Denominated Amounts....................... -- -- (83) (217)
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 697,032 321,926 156,411 (338,268)
----------- ----------- ---------- ----------
Distributions:
Institutional Class Shares.................. (136,237) (197,538) (36,711) (113,538)
----------- ----------- ---------- ----------
Total Distributions...................... (136,237) (197,538) (36,711) (113,538)
----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,240,208 1,636,357 717,200 632,830
Shares Issued in Lieu of Cash
Distributions................................. 134,045 195,401 36,393 112,462
Shares Redeemed................................. (1,206,467) (1,074,052) (617,644) (542,908)
----------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 167,786 757,706 135,949 202,384
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets................................. 728,581 882,094 255,649 (249,422)
NET ASSETS
Beginning of Period............................. 9,113,032 8,230,938 3,668,647 3,918,069
----------- ----------- ---------- ----------
End of Period................................... $ 9,841,613 $ 9,113,032 $3,924,296 $3,668,647
=========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 72,422 88,675 50,631 38,896
Shares Issued in Lieu of Cash
Distributions................................. 8,022 10,681 2,607 7,034
Shares Redeemed................................. (71,566) (58,207) (44,247) (33,813)
----------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 8,878 41,149 8,991 12,117
=========== =========== ========== ==========
T.A. WORLD EX U.S. CORE
EQUITY PORTFOLIO
----------------------
SIX MONTHS YEAR
ENDED ENDED
APR 30, OCT 31,
2019 2018
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................... $ 44,403 $ 90,041
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............. (15,163) 17,559
Affiliated Investment Companies Shares
Sold...................................... 1 (4)
Futures..................................... (848) (41)
Foreign Currency Transactions............... 123 (1,043)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 248,330 (498,720)
Affiliated Investment Companies
Shares.................................... 1 2
Futures..................................... -- --
Translation of Foreign Currency-
Denominated Amounts....................... (51) (114)
---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 276,796 (392,320)
---------- ----------
Distributions:
Institutional Class Shares.................. (32,663) (86,018)
---------- ----------
Total Distributions...................... (32,663) (86,018)
---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,039,968 897,782
Shares Issued in Lieu of Cash
Distributions................................. 31,861 84,565
Shares Redeemed................................. (711,445) (524,305)
---------- ----------
Net Increase (Decrease) from
Capital Share Transactions............. 360,384 458,042
---------- ----------
Total Increase (Decrease) in Net
Assets................................. 604,517 (20,296)
NET ASSETS
Beginning of Period............................. 3,348,703 3,368,999
---------- ----------
End of Period................................... $3,953,220 $3,348,703
========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 103,376 78,189
Shares Issued in Lieu of Cash
Distributions................................. 3,207 7,521
Shares Redeemed................................. (71,822) (46,760)
---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed............. 34,761 38,950
========== ==========
--------
* 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.
34
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
APR 30, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................... $ 30.07 $ 30.30 $ 25.79 $ 25.60 $ 25.33
---------- ---------- ---------- ---------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income (Loss)........ 0.30 0.57 0.54 0.47 0.43
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 1.31 0.68 5.14 0.19 0.25
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 1.61 1.25 5.68 0.66 0.68
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income............... (0.24) (0.54) (0.52) (0.47) (0.41)
Net Realized Gains.................. (0.97) (0.94) (0.65) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions............. (1.21) (1.48) (1.17) (0.47) (0.41)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 30.47 $ 30.07 $ 30.30 $ 25.79 $ 25.60
========== ========== ========== ========== ==========
Total Return........................... 5.91%(B) 4.09% 22.41% 2.66% 2.73%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $5,249,786 $4,987,530 $4,850,362 $4,012,475 $3,860,871
Ratio of Expenses to Average Net
Assets............................... 0.37%(C)(D) 0.37%(D) 0.37%(D) 0.37%(D) 0.37%(D)
Ratio of Expenses to Average Net
Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or
Previously Waived Fees Recovered
by Advisor).......................... 0.57%(C)(D) 0.57%(D) 0.57%(D) 0.57%(D) 0.43%(D)
Ratio of Net Investment Income to
Average Net Assets................... 2.05%(C) 1.83% 1.87% 1.90% 1.65%
Portfolio Turnover Rate................ N/A N/A N/A N/A N/A
---------- ---------- ---------- ---------- ----------
TAX-MANAGED U.S. EQUITY PORTFOLIO
----------- -------------------------------------------------------------------------
YEAR SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, APR 30, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2014 2019 2018 2017 2016 2015 2014
---------- ----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net Asset Value, Beginning of
Period............................... $ 22.35 $ 29.44 $ 28.01 $ 22.93 $ 22.46 $ 21.89 $ 19.20
---------- ---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income (Loss)........ 0.35 0.26 0.47 0.44 0.42 0.40 0.34
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 2.98 2.48 1.40 5.09 0.48 0.56 2.69
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 3.33 2.74 1.87 5.53 0.90 0.96 3.03
---------- ---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income............... (0.35) (0.30) (0.44) (0.45) (0.43) (0.39) (0.34)
Net Realized Gains.................. -- (0.05) -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............. (0.35) (0.35) (0.44) (0.45) (0.43) (0.39) (0.34)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 25.33 $ 31.83 $ 29.44 $ 28.01 $ 22.93 $ 22.46 $ 21.89
========== ========== ========== ========== ========== ========== ==========
Total Return........................... 14.98% 9.46%(B) 6.68% 24.27% 4.05% 4.47% 15.89%
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $3,664,174 $3,924,205 $3,562,284 $3,310,640 $2,636,439 $2,494,153 $2,311,451
Ratio of Expenses to Average Net
Assets............................... 0.37%(D) 0.22%(C) 0.21% 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).......................... 0.37%(D) 0.22%(C) 0.21% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets................... 1.45% 1.76%(C) 1.58% 1.70% 1.87% 1.79% 1.66%
Portfolio Turnover Rate................ N/A 2%(B) 1% 8% 4% 1% 2%
---------- ---------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
35
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
--------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
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............................... $ 35.17 $ 37.94 $ 31.47 $ 32.34 $ 33.34 $ 31.06
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income (Loss)........ 0.22 0.41 0.37 0.36 0.39 0.26
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 1.03 (1.33) 7.53 0.28 0.16 3.11
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 1.25 (0.92) 7.90 0.64 0.55 3.37
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income............... (0.20) (0.40) (0.36) (0.37) (0.37) (0.27)
Net Realized Gains.................. (1.22) (1.45) (1.07) (1.14) (1.18) (0.82)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............. (1.42) (1.85) (1.43) (1.51) (1.55) (1.09)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 35.00 $ 35.17 $ 37.94 $ 31.47 $ 32.34 $ 33.34
========== ========== ========== ========== ========== ==========
Total Return........................... 4.16%(B) (2.66%) 25.40% 2.21% 1.89% 11.10%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $4,737,737 $4,603,040 $4,733,681 $3,773,302 $3,670,472 $3,572,307
Ratio of Expenses to Average Net
Assets............................... 0.45%(C) 0.44% 0.44% 0.44% 0.44% 0.43%
Ratio of Net Investment Income to
Average Net Assets................... 1.33%(C) 1.07% 1.04% 1.17% 1.19% 0.80%
Portfolio Turnover Rate................ 14%(B) 14% 14% 20% 14% 7%
---------- ---------- ---------- ---------- ---------- ----------
TAX-MANAGED 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............................... $ 42.82 $ 44.35 $ 36.10 $ 36.77 $ 36.99 $ 34.31
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income (Loss)........ 0.21 0.39 0.36 0.36 0.36 0.25
Net Gains (Losses) on
Securities (Realized and
Unrealized)....................... 1.25 (0.30) 9.10 0.92 0.45 2.69
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations.................... 1.46 0.09 9.46 1.28 0.81 2.94
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income............... (0.19) (0.38) (0.36) (0.37) (0.34) (0.26)
Net Realized Gains.................. (1.17) (1.24) (0.85) (1.58) (0.69) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions............. (1.36) (1.62) (1.21) (1.95) (1.03) (0.26)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period......... $ 42.92 $ 42.82 $ 44.35 $ 36.10 $ 36.77 $ 36.99
========== ========== ========== ========== ========== ==========
Total Return........................... 3.87%(B) 0.12% 26.46% 3.75% 2.31% 8.58%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands).......................... $3,108,854 $2,985,680 $2,933,705 $2,296,694 $2,190,308 $2,092,558
Ratio of Expenses to Average Net
Assets............................... 0.51%(C) 0.52% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to
Average Net Assets................... 1.05%(C) 0.86% 0.87% 1.04% 0.96% 0.70%
Portfolio Turnover Rate................ 8%(B) 12% 11% 10% 8% 7%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
36
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 PORTFOLIO
-------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
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........ $ 17.87 $ 17.56 $ 14.33 $ 14.09 $ 14.21 $ 12.78
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.15 0.28 0.25 0.25 0.24 0.20
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.21 0.44 3.24 0.24 0.05 1.55
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 1.36 0.72 3.49 0.49 0.29 1.75
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................... (0.16) (0.27) (0.26) (0.25) (0.23) (0.20)
Net Realized Gains....................... (0.10) (0.14) -- -- (0.18) (0.12)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.26) (0.41) (0.26) (0.25) (0.41) (0.32)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 18.97 $ 17.87 $ 17.56 $ 14.33 $ 14.09 $ 14.21
========== ========== ========== ========== ========== ==========
Total Return................................ 7.86%(B) 4.05% 24.47% 3.55% 2.14% 13.88%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $9,841,613 $9,113,032 $8,230,938 $6,219,272 $5,549,153 $5,056,211
Ratio of Expenses to Average Net Assets..... 0.24%(C) 0.23% 0.24% 0.24% 0.24% 0.24%
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% 0.24%
Ratio of Net Investment Income to
Average Net Assets........................ 1.68%(C) 1.49% 1.56% 1.82% 1.65% 1.51%
Portfolio Turnover Rate..................... 4%(B) 1% 2% 7% 7% 7%
---------- ---------- ---------- ---------- ---------- ----------
TAX-MANAGED DFA INTERNATIONAL 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........ $ 14.61 $ 16.39 $ 13.37 $ 13.87 $ 15.17 $ 15.99
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.23 0.47 0.45 0.42 0.44 0.66
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 0.40 (1.79) 3.00 (0.50) (1.32) (0.83)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations..... 0.63 (1.32) 3.45 (0.08) (0.88) (0.17)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................... (0.15) (0.46) (0.43) (0.42) (0.41) (0.65)
Net Realized Gains....................... -- -- -- -- (0.01) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.................. (0.15) (0.46) (0.43) (0.42) (0.42) (0.65)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............. $ 15.09 $ 14.61 $ 16.39 $ 13.37 $ 13.87 $ 15.17
========== ========== ========== ========== ========== ==========
Total Return................................ 4.36%(B) (8.27%) 26.13% (0.30%) (5.93%) (1.29%)
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....... $3,924,296 $3,668,647 $3,918,069 $3,005,025 $2,994,931 $2,977,257
Ratio of Expenses to Average Net Assets..... 0.53%(C) 0.53% 0.53% 0.53% 0.53% 0.53%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees
Paid Indirectly))......................... 0.53%(C) 0.53% 0.53% 0.53% 0.53% 0.53%
Ratio of Net Investment Income to
Average Net Assets........................ 3.27%(C) 2.89% 3.01% 3.32% 2.99% 4.13%
Portfolio Turnover Rate..................... 9%(B) 21% 16% 18% 25% 13%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
37
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
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............... $ 10.11 $ 11.53 $ 9.38 $ 9.30 $ 9.94 $ 10.25
---------- ---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................... 0.13 0.29 0.25 0.23 0.24 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.65 (1.44) 2.15 0.08 (0.65) (0.30)
---------- ---------- ---------- ---------- ---------- ----------
Total from Investment Operations............ 0.78 (1.15) 2.40 0.31 (0.41) (0.02)
---------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income........................... (0.09) (0.27) (0.25) (0.23) (0.23) (0.27)
Net Realized Gains.............................. -- -- -- -- -- (0.02)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions......................... (0.09) (0.27) (0.25) (0.23) (0.23) (0.29)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period..................... $ 10.80 $ 10.11 $ 11.53 $ 9.38 $ 9.30 $ 9.94
========== ========== ========== ========== ========== ==========
Total Return....................................... 7.84%(B) (10.19%) 25.86% 3.48% (4.15%) (0.25%)
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands).............. $3,953,220 $3,348,703 $3,368,999 $2,407,348 $2,124,313 $1,995,500
Ratio of Expenses to Average Net Assets............ 0.36%(C) 0.36% 0.39% 0.45% 0.45% 0.45%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))..................................... 0.36%(C) 0.36% 0.39% 0.45% 0.45% 0.45%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.49%(C) 2.47% 2.42% 2.57% 2.42% 2.71%
Portfolio Turnover Rate............................ 3%(B) 6% 4% 7% 5% 8%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
38
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
two operational portfolios, seven of which (the "Portfolios"), are included in
this section of the report. The remaining ninety-five portfolios are presented
in separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under the Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies."
Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") invests
substantially all of its assets in The Tax-Managed U.S. Marketwide Value Series
(the "Series"), a corresponding series of The DFA Investment Trust Company. As
of April 30, 2019, the Feeder Fund owned 74% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the Feeder
Fund.
Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value
Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2
Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S.
Core Equity Portfolio each invests directly in securities.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, 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)
Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S.
Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, and T.A. U.S.
Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed DFA
International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the
"International Equity Portfolios"), including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Domestic Equity Portfolios and the International Equity
Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Domestic Equity Portfolios and the International Equity Portfolios value
the securities within the range of the most recent quoted bid and ask prices.
Price information on listed securities is taken from the exchange where the
security is primarily traded.
39
Generally, securities issued by open-end management investment companies are
valued using their respective net asset values or public offering prices, as
appropriate, for purchase orders placed at the close of the New York Stock
Exchange (NYSE). These securities are generally categorized as Level 1 in the
hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios and the
International Equity Portfolios may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time that the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the 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 the International Equity Portfolios use
fair value pricing, the values assigned to the foreign investments may not be
the quoted or published prices of the investments on their primary markets or
exchanges. These securities are generally categorized as Level 2 in the
hierarchy.
Futures contracts held by the Portfolios are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
Tax-Managed U.S. Marketwide Value Portfolio's investments reflect its
proportionate interest in the net assets of the Series. These valuations are
classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings (except for the Feeder Fund). The 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 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 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.
40
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates 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 Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of 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 and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Portfolios estimate the character of
received distributions that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Expenses directly attributable
to a Portfolio are directly charged. Common expenses of the Fund or the
Portfolios are allocated using methods approved by the Board, generally based
on average net assets.
The Feeder Fund recognizes its pro-rata shares of net investment income and
realized and unrealized gains/losses of investment securities, on a daily
basis, from its Series, which is treated as a partnership for federal income
tax purposes.
The International Equity Portfolios may be subject to taxes imposed by
countries in which they invest with respect to their investments in issuers
existing or operating in such countries. Such taxes are generally based on
income earned or repatriated and capital gains realized on the sale of such
investments. The International Equity Portfolios accrue such taxes when the
related income or capital gains are earned or throughout the holding period.
Some countries require governmental approval for the repatriation of investment
income, capital or the proceeds of sales earned by foreign investors.
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.
T.A. World ex U.S. Core Equity Portfolio 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.
41
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
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:
Tax-Managed U.S. Marketwide Value Portfolio....... 0.35%
Tax-Managed U.S. Equity Portfolio................. 0.20%
Tax-Managed U.S. Targeted Value Portfolio......... 0.42%
Tax-Managed U.S. Small Cap Portfolio*............. 0.48%
T.A. U.S. Core Equity 2 Portfolio................. 0.22%
Tax-Managed DFA International Value Portfolio..... 0.50%
T.A. World ex U.S. Core Equity Portfolio.......... 0.32%
* Effective February 28, 2019, the management fee payable by the Portfolio was
reduced from 0.50% to 0.45%.
Due to administrative oversight, the reduction in the management fee payable
by the Tax-Managed U.S. Small Cap Portfolio was applied incorrectly and the
Tax-Managed U.S. Small Cap Portfolio overpaid its investment management fee in
the amount (in thousands) of $258 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 Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio,
and T.A. World ex U.S. Core Equity Portfolio, as described in the notes below.
The Fee Waiver Agreements for the Portfolios 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. Pursuant to a Fee
Waiver Agreement with the Feeder Fund, the Advisor has contractually agreed to
waive certain management fees paid by the Feeder Fund, as described in the
notes below. The Fee Waiver Agreement for the Feeder Fund will remain in effect
permanently, unless terminated by the 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 for the non-feeder Portfolios, 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 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.
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
-------------------------- ---------- ---------------- ----------------- -----------------
Tax-Managed U.S. Marketwide Value Portfolio (1)... 0.35% -- $4,887 --
Tax-Managed U.S. Equity Portfolio (2)............. 0.22% -- 28 $28
T.A. U.S. Core Equity 2 Portfolio (3)............. 0.30% -- -- --
T.A. World ex U.S. Core Equity Portfolio (4)...... 0.39% -- -- --
42
(1) Effective July 21, 2015, the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Feeder Fund
to the extent necessary to limit the total management fees paid to the
Advisor by the Feeder Fund, including the proportionate share of the
management fees the Feeder Fund pays indirectly through its investment in
other funds managed by the Advisor, except for the fees paid indirectly
through its investment of securities lending cash collateral in The DFA
Short Term Investment Fund (the "Money Market Series"), to the rate listed
above as a percentage of the average net assets of a class of the Feeder
Fund on an annualized basis.
(2) The Advisor has contractually agreed to waive its management fee and assume
the ordinary operating expenses of a class of the Tax-Managed U.S. Equity
Portfolio (excluding the expenses that the Portfolio incurs indirectly
through investment in other investment companies) ("Portfolio Expenses") to
the extent necessary to reduce the expenses of a class of the Portfolio
when its total operating expenses exceed the rate listed above as a
percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for a class of the Portfolio, the Advisor retains the
right to recover any fees previously waived and/or any expenses previously
assumed to the extent that such recovery will not cause the annualized
Portfolio Expenses for such class of shares of the Portfolio to exceed the
Expense Limitation Amount.
(3) The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of the
T.A. U.S. Core Equity 2 Portfolio (excluding the expenses that the
Portfolio incurs indirectly through investment in other investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of a class of the Portfolio to the rate listed above as
a percentage of the average net assets of a class of the Portfolio on an
annualized basis (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for such class of shares of the Portfolio, the Advisor
retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the applicable Expense Limitation Amount.
(4) The Advisor has agreed to waive all or a portion of its management fee and
to assume the expenses of a class of the T.A. World ex U.S. Core Equity
Portfolio (including the expenses that the Portfolio bears as a shareholder
of other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending
cash collateral in the Money Market Series and its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses of a class of the Portfolio to
the rate listed above as a percentage of the average net assets of a class
of the Portfolio on an annualized basis (the "Expense Limitation Amount").
Prior to January 1, 2017, the Expense Limitation Amount was 0.60% of the
average net assets of such class of the Portfolio on an annualized basis.
At any time that the Portfolio Expenses of a class of the Portfolio are
less than the Expense Limitation Amount for a class of the Portfolio, the
Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery will not cause
the annualized Portfolio Expenses for such class of shares of the Portfolio
to exceed the Expense Limitation Amount.
EARNED INCOME CREDIT:
Additionally, certain Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of each Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the six months ended April 30, 2019, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Tax-Managed DFA International Value Portfolio..... $81
T.A. World ex U.S. Core Equity Portfolio.......... 82
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
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):
Tax-Managed U.S. Marketwide Value Portfolio....... $138
Tax-Managed U.S. Equity Portfolio................. 129
Tax-Managed U.S. Targeted Value Portfolio......... 138
Tax-Managed U.S. Small Cap Portfolio.............. 82
T.A. U.S. Core Equity 2 Portfolio................. 176
Tax-Managed DFA International Value Portfolio..... 117
43
T.A. World ex U.S. Core Equity Portfolio..... $72
E. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
OTHER INVESTMENT
SECURITIES
------------------
PURCHASES SALES
--------- --------
Tax-Managed U.S. Equity Portfolio........... $126,859 $ 55,997
Tax-Managed U.S. Targeted Value Portfolio... 672,457 647,777
Tax-Managed U.S. Small Cap Portfolio........ 289,860 246,001
T.A. U.S. Core Equity 2 Portfolio........... 439,726 321,148
Tax-Managed DFA International Value
Portfolio................................. 447,143 311,730
T.A. World ex U.S. Core Equity Portfolio.... 483,189 122,056
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 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/ BALANCE AT SHARES AS OF DIVIDEND
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION APRIL 30, 2019 APRIL 30, 2019 INCOME
---------------- ---------- ---------- ------------ ------------- -------------- -------------- --------
TAX-MANAGED
U.S. EQUITY
PORTFOLIO
The DFA
Short Term
Investment
Fund $136,946 $ 315,867 $ 314,247 $(1) $11 $138,576 11,976 $1,690
-------- ---------- ---------- --- --- -------- ------ ------
TOTAL $136,946 $ 315,867 $ 314,247 $(1) $11 $138,576 11,976 $1,690
======== ========== ========== === === ======== ====== ======
TAX-MANAGED
U.S.
TARGETED
VALUE
PORTFOLIO
The DFA
Short Term
Investment
Fund $386,467 $1,054,460 $1,002,700 $12 $34 $438,273 37,877 $5,498
-------- ---------- ---------- --- --- -------- ------ ------
TOTAL $386,467 $1,054,460 $1,002,700 $12 $34 $438,273 37,877 $5,498
======== ========== ========== === === ======== ====== ======
TAX-MANAGED
U.S. SMALL
CAP
PORTFOLIO
The DFA
Short Term
Investment
Fund $371,336 $ 705,725 $ 706,547 $ 3 $30 $370,547 32,024 $5,010
-------- ---------- ---------- --- --- -------- ------ ------
TOTAL $371,336 $ 705,725 $ 706,547 $ 3 $30 $370,547 32,024 $5,010
======== ========== ========== === === ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
-------------
TAX-MANAGED
U.S. EQUITY
PORTFOLIO
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
TAX-MANAGED
U.S.
TARGETED
VALUE
PORTFOLIO
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
TAX-MANAGED
U.S. SMALL
CAP
PORTFOLIO
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
44
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF DIVIDEND
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION APRIL 30, 2019 APRIL 30, 2019 INCOME
---------------- ---------- ---------- ------------ ------------- -------------- -------------- --------
T.A. U.S.
CORE
EQUITY 2
PORTFOLIO
The DFA
Short Term
Investment
Fund $544,198 $1,241,126 $1,095,591 $4 $46 $689,783 59,613 $7,511
-------- ---------- ---------- -- --- -------- ------ ------
TOTAL $544,198 $1,241,126 $1,095,591 $4 $46 $689,783 59,613 $7,511
======== ========== ========== == === ======== ====== ======
TAX-MANAGED
DFA
INTERNATIONAL
VALUE
PORTFOLIO
The DFA
Short Term
Investment
Fund $ 9,492 $ 86,412 $ 89,633 $1 -- $ 6,272 542 $ 92
-------- ---------- ---------- -- --- -------- ------ ------
TOTAL $ 9,492 $ 86,412 $ 89,633 $1 -- $ 6,272 542 $ 92
======== ========== ========== == === ======== ====== ======
T.A. WORLD
EX U.S.
CORE
EQUITY
PORTFOLIO
The DFA
Short Term
Investment
Fund $ 20,259 $ 55,939 $ 64,639 $1 $ 1 $ 11,561 999 $ 201
-------- ---------- ---------- -- --- -------- ------ ------
TOTAL $ 20,259 $ 55,939 $ 64,639 $1 $ 1 $ 11,561 999 $ 201
======== ========== ========== == === ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
-------------
T.A. U.S.
CORE
EQUITY 2
PORTFOLIO
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
TAX-MANAGED
DFA
INTERNATIONAL
VALUE
PORTFOLIO
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
T.A. WORLD
EX U.S.
CORE
EQUITY
PORTFOLIO
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
F. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent 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 following permanent differences as of October 31, 2018,
primarily attributable to net foreign currency gains/losses, realized gains on
securities considered to be "passive foreign investment companies,"
non-deductible expenses, foreign capital gains tax, tax equalization, were
reclassified to the 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
-------------- ------------- ---------- --------
Tax-Managed U.S. Marketwide Value Portfolio
2017......................................... $82,721 $101,284 -- $184,005
2018......................................... 87,938 151,391 -- 239,329
45
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
Tax-Managed U.S. Equity Portfolio
2017.......................................... $ 52,066 -- -- $ 52,066
2018.......................................... 53,147 -- -- 53,147
Tax-Managed U.S. Targeted Value Portfolio
2017.......................................... 43,922 $127,982 -- 171,904
2018.......................................... 50,864 182,086 -- 232,950
Tax-Managed U.S. Small Cap Portfolio
2017.......................................... 22,983 54,088 -- 77,071
2018.......................................... 26,140 82,064 -- 108,204
T.A. U.S. Core Equity 2 Portfolio
2017.......................................... 115,587 231 -- 115,818
2018.......................................... 130,213 67,325 -- 197,538
Tax-Managed DFA International Value Portfolio
2017.......................................... 99,420 -- -- 99,420
2018.......................................... 113,538 -- -- 113,538
T.A. World ex U.S. Core Equity Portfolio
2017.......................................... 68,459 -- -- 68,459
2018.......................................... 86,018 -- -- 86,018
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
-------------- ------------- -------
Tax-Managed U.S. Marketwide Value Portfolio....... $(8,839) -- $(8,839)
Tax-Managed U.S. Equity Portfolio................. (906) -- (906)
Tax-Managed U.S. Targeted Value Portfolio......... (2,938) $(5,931) (8,869)
Tax-Managed U.S. Small Cap Portfolio.............. (1,158) (2,930) (4,088)
T.A. U.S. Core Equity 2 Portfolio................. (4,440) -- (4,440)
Tax-Managed DFA International Value Portfolio..... (1,876) -- (1,876)
T.A. World ex U.S. Core Equity Portfolio.......... (2,431) -- (2,431)
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)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Marketwide Value Portfolio....... $ 3,222 $160,444 -- $2,143,895 $2,307,561
Tax-Managed U.S. Equity Portfolio................. 10,331 6,327 -- 1,716,354 1,733,012
46
UNDISTRIBUTED TOTAL NET
NET INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
-------------- ------------- ------------- -------------- -------------
Tax-Managed U.S. Targeted Value Portfolio......... -- $156,564 -- $1,695,212 $1,851,776
Tax-Managed U.S. Small Cap Portfolio.............. -- 81,531 -- 1,279,657 1,361,188
T.A. U.S. Core Equity 2 Portfolio................. $20,036 52,768 -- 3,680,725 3,753,529
Tax-Managed DFA International Value Portfolio..... 13,193 -- $(17,691) 99,550 95,052
T.A. World ex U.S. Core Equity Portfolio.......... 12,190 -- (30,986) 316,971 298,175
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011, will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2018, the Portfolios had the following
capital loss carryforwards available to offset future realized capital gains
with no expiration date (amounts in thousands):
UNLIMITED TOTAL
--------- -------
Tax-Managed U.S. Marketwide Value Portfolio....... -- --
Tax-Managed U.S. Equity Portfolio................. -- --
Tax-Managed U.S. Targeted Value Portfolio......... -- --
Tax-Managed U.S. Small Cap Portfolio.............. -- --
T.A. U.S. Core Equity 2 Portfolio................. -- --
Tax-Managed DFA International Value Portfolio..... $17,691 $17,691
T.A. World ex U.S. Core Equity Portfolio.......... 30,986 30,986
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):
Tax-Managed DFA International Value Portfolio..... $20,681
T.A. World ex U.S. Core Equity Portfolio.......... 13,739
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)
---------- ------------ -------------- --------------
Tax-Managed U.S. Marketwide Value Portfolio....... $2,997,106 $2,251,361 -- $2,251,361
Tax-Managed U.S. Equity Portfolio................. 2,038,369 2,077,709 $ (55,867) 2,021,842
Tax-Managed U.S. Targeted Value Portfolio......... 3,394,090 1,870,761 (81,195) 1,789,566
Tax-Managed U.S. Small Cap Portfolio.............. 2,144,076 1,406,807 (67,403) 1,339,404
T.A. U.S. Core Equity 2 Portfolio................. 6,300,991 4,437,229 (210,226) 4,227,003
Tax-Managed DFA International Value Portfolio..... 3,629,540 501,312 (250,722) 250,590
T.A. World ex U.S. Core Equity Portfolio.......... 3,369,911 902,601 (333,512) 569,089
47
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FORWARD CURRENCY CONTRACTS: The T.A. World ex U.S. Core Equity Portfolio
may acquire and sell forward currency contracts to hedge against adverse
changes in the relationship of the U.S. dollar to foreign currencies (foreign
exchange rate risk). The decision to hedge the T.A. World ex U.S. Core Equity
Portfolio's currency exposure with respect to a foreign market will be based
primarily on the Portfolio's existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the T.A.
World ex U.S. Core Equity Portfolio as an unrealized gain or loss, which is
presented in the Portfolio's Statement of Operations as the change in
unrealized appreciation or depreciation of forward currency contracts. When the
contract is closed or offset with the same counterparty, the T.A. World ex U.S.
Core Equity 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.
3. FUTURES CONTRACTS: The Portfolios may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities . Upon entering
into a futures contract, a Portfolio deposits cash or pledges U.S. Government
securities to a broker, in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contract is closed. When the contract is
closed, the Portfolio records a realized gain or loss, which is presented in
the Statement of Operations as a net realized gain or loss on futures, equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
48
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
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
-------
Tax-Managed DFA International Value Portfolio..... $22,588
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
AT EQUITY
APRIL 30, 2019 CONTRACTS *,(1)
-------------- ---------------
Tax-Managed DFA International Value Portfolio..... $1,658 $1,658
(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 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
--------------------
EQUITY
TOTAL CONTRACTS (1)
------- -------------
Tax-Managed U.S. Targeted Value Portfolio......... $(3,080) $(3,080)*
Tax-Managed U.S. Small Cap Portfolio.............. (1,077) (1,077)*
Tax-Managed DFA International Value Portfolio..... (477) (477)
T.A. World ex U.S. Core Equity Portfolio.......... (848) (848)*
CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON
DERIVATIVES
--------------------
EQUITY
TOTAL CONTRACTS (2)
------ -------------
Tax-Managed DFA International Value Portfolio..... $2,715 $2,715
(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.
49
* 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.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective 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):
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
------------- ------------ ------------ -------- --------------- ----------------
Tax-Managed U.S. Equity Portfolio.............. 3.14% $ 3,500 21 $ 6 $15,257 --
Tax-Managed U.S. Targeted Value Portfolio...... 3.12% 25,080 7 15 37,950 --
Tax-Managed U.S. Small Cap Portfolio........... 3.12% 2,980 7 2 11,483 --
T.A. U.S. Core Equity 2 Portfolio.............. 3.05% 14,553 25 31 59,495 --
Tax-Managed DFA International Value Portfolio.. 3.08% 9,026 6 5 15,266 --
T.A. World ex U.S. Core Equity Portfolio....... 3.10% 14,874 17 22 46,858 --
* 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
50
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.
I. 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 a common investment advisor (or affiliated investment
advisors), common Directors/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 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)
--------- --------- -------- --------------------
Tax-Managed U.S. Equity Portfolio................. $10,382 $ 13,135 $ (3,612)
Tax-Managed U.S. Targeted Value Portfolio......... 59,389 180,674 (46,723)
Tax-Managed U.S. Small Cap Portfolio.............. 32,855 50,371 (19,332)
T.A. U.S. Core Equity 2 Portfolio................. 20,460 10,948 (5,509)
Tax-Managed DFA International Value Portfolio..... 20,784 28,853 (10,610)
T.A. World ex U.S. Core Equity Portfolio.......... 13,728 6,307 (1,144)
J. SECURITIES LENDING:
As of April 30, 2019, certain of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral.
Additionally, the following Portfolios received non-cash collateral consisting
of short- and/or long-term U.S. Treasuries and U.S. government agency
securities as follows (amounts in thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
Tax-Managed U.S. Equity Portfolio................. $ 84,362
Tax-Managed U.S. Targeted Value Portfolio......... 179,996
Tax-Managed U.S. Small Cap Portfolio.............. 213,994
T.A. U.S. Core Equity 2 Portfolio................. 344,925
Tax-Managed DFA International Value Portfolio..... 13,148
T.A. World ex U.S. Core Equity Portfolio.......... 34,711
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
51
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, cash collateral being maintained by
the borrower is insufficient to cover the value of loaned securities, and such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, the Portfolios with securities
on loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management 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 Portfolios also may
invest the cash collateral received for the loaned securities in securities of
the U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated or
unaffiliated money market funds that are registered or unregistered. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. Additionally, 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
TAX-MANAGED U.S. EQUITY PORTFOLIO
Common Stocks.............................. $138,576 -- -- -- $138,576
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO
Common Stocks.............................. 438,273 -- -- -- 438,273
TAX-MANAGED U.S. SMALL CAP PORTFOLIO
Common Stocks.............................. 370,547 -- -- -- 370,547
T.A. U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Rights/Warrants............. 689,783 -- -- -- 689,783
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO
Common Stocks.............................. 6,272 -- -- -- 6,272
T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks.............................. 11,561 -- -- -- 11,561
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.
52
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 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.
M. 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
------------ --------------
Tax-Managed U.S. Marketwide Value Portfolio....... 3 91%
Tax-Managed U.S. Equity Portfolio................. 3 87%
Tax-Managed U.S. Targeted Value Portfolio......... 3 96%
Tax-Managed U.S. Small Cap Portfolio.............. 3 93%
T.A. U.S. Core Equity 2 Portfolio................. 3 87%
Tax-Managed DFA International Value Portfolio..... 3 94%
T.A. World ex U.S. Core Equity Portfolio.......... 3 86%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured
53
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 Tax-Managed U.S. Marketwide 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 Tax-Managed U.S. Marketwide Value Series
arising from the Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the net asset value of The Tax-Managed U.S.
Marketwide Value Series will be made relating to the Lawsuits. However, even if
the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs
seek, the amount would be less than 1% of the net asset value of The
Tax-Managed U.S. Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
N. 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.
54
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION
SOURCES
---------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING 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
-------------- ----------------- ------------- --------
Tax-Managed U.S. Marketwide Value Portfolio
December 18, 2018.......................... 75% 0% 25%
Tax-Managed U.S. Equity Portfolio
December 18, 2018.......................... 91% 0% 9%
Tax-Managed U.S. Targeted Value Portfolio
December 18, 2018.......................... 82% 0% 18%
Tax-Managed U.S. Small Cap Portfolio
December 18, 2018.......................... 87% 0% 13%
T.A. U.S. Core Equity 2 Portfolio
December 18, 2018.......................... 94% 0% 6%
Tax-Managed DFA International Value Portfolio
December 18, 2018.......................... 94% 0% 6%
T.A. World ex U.S. Core Equity Portfolio
December 18, 2018.......................... 90% 0% 10%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
55
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED APRIL 30, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
11/01/18 04/30/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,059.90 0.21% $1.07
Hypothetical 5% Annual Return................ $1,000.00 $1,023.75 0.21% $1.05
--------
(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.
56
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-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 EQUITY PORTFOLIO
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Communication Services....................... 12.6%
Consumer Discretionary....................... 6.4%
Consumer Staples............................. 6.0%
Energy....................................... 12.0%
Financials................................... 22.2%
Health Care.................................. 13.1%
Industrials.................................. 12.9%
Information Technology....................... 12.3%
Materials.................................... 2.2%
Real Estate.................................. 0.2%
Utilities.................................... 0.1%
----
100.0%
57
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
APRIL 30, 2019
(UNAUDITED)
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (97.6%)
COMMUNICATION SERVICES -- (12.3%)
AT&T, Inc......................................... 7,170,552 $ 222,000,290 3.1%
* Charter Communications, Inc., Class A............. 339,394 125,979,659 1.8%
Comcast Corp., Class A............................ 7,135,970 310,628,774 4.4%
Walt Disney Co. (The)............................. 498,015 68,213,115 1.0%
Other Securities.................................. 166,040,259 2.2%
-------------- ----
TOTAL COMMUNICATION SERVICES.......................... 892,862,097 12.5%
-------------- ----
CONSUMER DISCRETIONARY -- (6.2%)
Carnival Corp..................................... 489,649 26,862,144 0.4%
Ford Motor Co..................................... 2,868,969 29,980,726 0.4%
General Motors Co................................. 1,095,598 42,673,542 0.6%
Royal Caribbean Cruises, Ltd...................... 322,500 39,003,150 0.6%
Other Securities.................................. 316,503,254 4.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY.......................... 455,022,816 6.4%
-------------- ----
CONSUMER STAPLES -- (5.8%)
Archer-Daniels-Midland Co......................... 813,476 36,281,030 0.5%
Mondelez International, Inc., Class A............. 2,081,099 105,823,884 1.5%
Tyson Foods, Inc., Class A........................ 405,030 30,381,300 0.4%
Walgreens Boots Alliance, Inc..................... 659,669 35,338,468 0.5%
Walmart, Inc...................................... 1,173,687 120,701,971 1.7%
Other Securities.................................. 96,194,008 1.4%
-------------- ----
TOTAL CONSUMER STAPLES................................ 424,720,661 6.0%
-------------- ----
ENERGY -- (11.7%)
Chevron Corp...................................... 1,135,536 136,332,452 1.9%
ConocoPhillips.................................... 1,439,649 90,870,645 1.3%
Exxon Mobil Corp.................................. 2,833,988 227,512,557 3.2%
Marathon Petroleum Corp........................... 1,004,662 61,153,776 0.9%
Phillips 66....................................... 775,455 73,102,143 1.0%
Valero Energy Corp................................ 605,899 54,930,803 0.8%
Other Securities.................................. 208,621,242 2.9%
-------------- ----
TOTAL ENERGY.......................................... 852,523,618 12.0%
-------------- ----
FINANCIALS -- (21.7%)
Bank of America Corp.............................. 5,929,138 181,313,009 2.6%
Bank of New York Mellon Corp. (The)............... 687,988 34,165,484 0.5%
Capital One Financial Corp........................ 372,872 34,613,708 0.5%
Citigroup, Inc.................................... 1,870,326 132,232,048 1.9%
Goldman Sachs Group, Inc. (The)................... 209,155 43,069,198 0.6%
JPMorgan Chase & Co............................... 2,307,658 267,803,711 3.8%
MetLife, Inc...................................... 949,912 43,819,441 0.6%
Morgan Stanley.................................... 1,036,923 50,031,535 0.7%
PNC Financial Services Group, Inc. (The).......... 217,040 29,719,287 0.4%
Prudential Financial, Inc......................... 497,625 52,603,939 0.8%
Wells Fargo & Co.................................. 2,670,867 129,296,671 1.8%
Other Securities.................................. 579,828,564 8.0%
-------------- ----
TOTAL FINANCIALS...................................... 1,578,496,595 22.2%
-------------- ----
58
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (12.8%)
Abbott Laboratories......................................... 915,297 $ 72,821,029 1.0%
Anthem, Inc................................................. 504,640 132,735,459 1.9%
* Cigna Corp.................................................. 256,808 40,791,383 0.6%
CVS Health Corp............................................. 1,510,745 82,154,313 1.2%
Danaher Corp................................................ 405,225 53,667,999 0.8%
Humana, Inc................................................. 198,071 50,589,314 0.7%
Medtronic P.L.C............................................. 814,175 72,306,882 1.0%
Pfizer, Inc................................................. 3,696,959 150,133,505 2.1%
Thermo Fisher Scientific, Inc............................... 435,609 120,859,717 1.7%
Other Securities............................................ 153,707,346 2.0%
-------------- -----
TOTAL HEALTH CARE................................................. 929,766,947 13.0%
-------------- -----
INDUSTRIALS -- (12.6%)
CSX Corp.................................................... 1,055,544 84,052,969 1.2%
Delta Air Lines, Inc........................................ 433,135 25,247,439 0.4%
Ingersoll-Rand P.L.C........................................ 213,109 26,129,294 0.4%
Norfolk Southern Corp....................................... 545,229 111,237,621 1.6%
Republic Services, Inc...................................... 429,755 35,592,309 0.5%
Southwest Airlines Co....................................... 531,263 28,810,392 0.4%
Union Pacific Corp.......................................... 563,195 99,708,043 1.4%
United Technologies Corp.................................... 210,708 30,049,068 0.4%
Other Securities............................................ 476,387,299 6.6%
-------------- -----
TOTAL INDUSTRIALS................................................. 917,214,434 12.9%
-------------- -----
INFORMATION TECHNOLOGY -- (12.0%)
Cisco Systems, Inc.......................................... 4,221,011 236,165,565 3.3%
Intel Corp.................................................. 4,943,498 252,316,138 3.6%
* Micron Technology, Inc...................................... 842,584 35,439,083 0.5%
Other Securities............................................ 349,375,352 4.9%
-------------- -----
TOTAL INFORMATION TECHNOLOGY...................................... 873,296,138 12.3%
-------------- -----
MATERIALS -- (2.2%)
Other Securities............................................ 156,737,321 2.2%
-------------- -----
REAL ESTATE -- (0.2%)
Other Securities............................................ 13,680,800 0.2%
-------------- -----
UTILITIES -- (0.1%)
Other Securities............................................ 10,358,411 0.1%
-------------- -----
TOTAL COMMON STOCKS............................................... 7,104,679,838 99.8%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money Market
Fund, 2.370%.............................................. 11,086,205 11,086,205 0.2%
-------------- -----
SECURITIES LENDING COLLATERAL -- (2.3%)
@(S) The DFA Short Term Investment Fund.......................... 14,329,949 165,811,845 2.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,155,453,522)........................................ $7,281,577,888 102.3%
============== =====
59
THE TAX-MANAGED U.S. MARKETWIDE 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
Communication Services............... $ 892,862,097 -- -- $ 892,862,097
Consumer Discretionary............... 455,021,828 $ 988 -- 455,022,816
Consumer Staples..................... 424,720,661 -- -- 424,720,661
Energy............................... 852,523,618 -- -- 852,523,618
Financials........................... 1,578,492,590 4,005 -- 1,578,496,595
Health Care.......................... 929,766,947 -- -- 929,766,947
Industrials.......................... 917,214,434 -- -- 917,214,434
Information Technology............... 873,296,138 -- -- 873,296,138
Materials............................ 156,737,321 -- -- 156,737,321
Real Estate.......................... 13,680,800 -- -- 13,680,800
Utilities............................ 10,358,411 -- -- 10,358,411
Temporary Cash Investments.............. 11,086,205 -- -- 11,086,205
Securities Lending Collateral........... -- 165,811,845 -- 165,811,845
-------------- ------------ -- --------------
TOTAL................................... $7,115,761,050 $165,816,838 -- $7,281,577,888
============== ============ == ==============
See accompanying Notes to Financial Statements.
60
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED
U.S. MARKETWIDE
VALUE SERIES*
---------------
ASSETS:
Investments at Value (including $249,781 of securities on loan,
respectively)................................................... $7,104,680
Temporary Cash Investments at Value & Cost........................ 11,086
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $165,796).................................... 165,812
Receivables:
Investment Securities Sold..................................... 5,729
Dividends and Interest......................................... 7,130
Securities Lending Income...................................... 43
Prepaid Expenses and Other Assets................................. 9
----------
Total Assets............................................... 7,294,489
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................... 165,794
Investment Securities Purchased................................ 11,512
Due to Advisor................................................. 1,155
Accrued Expenses and Other Liabilities............................ 613
----------
Total Liabilities.......................................... 179,074
----------
NET ASSETS........................................................ $7,115,415
==========
Investments at Cost............................................... $3,978,570
==========
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
61
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED
U.S. MARKETWIDE
VALUE SERIES#
---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $10)......... $ 80,228
Income from Securities Lending........................... 277
--------
Total Investment Income.............................. 80,505
--------
EXPENSES
Investment Management Fees............................... 6,648
Accounting & Transfer Agent Fees......................... 145
Custodian Fees........................................... 37
Shareholders' Reports.................................... 3
Directors'/Trustees' Fees & Expenses..................... 25
Professional Fees........................................ 44
Other.................................................... 91
--------
Total Expenses....................................... 6,993
--------
Net Expenses............................................. 6,993
--------
NET INVESTMENT INCOME (LOSS)............................. 73,512
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................... 181,796
Affiliated Investment Companies Shares Sold............ 2
Futures................................................ (2,040)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. 134,631
Affiliated Investment Companies Shares................. 9
--------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. 314,398
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $387,910
========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
62
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE TAX-MANAGED U.S.
MARKETWIDE VALUE SERIES
----------------------
SIX MONTHS YEAR
ENDED ENDED
APR 30, OCT 31,
2019 2018
----------- ----------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)...................... $ 73,512 $ 139,407
Net Realized Gain (Loss) on:
Investment Securities Sold*,**................... 181,796 226,155
Affiliated Investment Companies Shares Sold...... 2 (25)
Futures.......................................... (2,040) 697
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency....... 134,631 (80,044)
Affiliated Investment Companies Shares........... 9 2
---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 387,910 286,192
---------- ----------
Transactions in Interest:
Contributions.................................... 223,153 198,216
Withdrawals...................................... (325,434) (321,718)
---------- ----------
Net Increase (Decrease) from Transactions in
Interest..................................... (102,281) (123,502)
---------- ----------
Total Increase (Decrease) in Net Assets........ 285,629 162,690
NET ASSETS
Beginning of Period.............................. 6,829,786 6,667,096
---------- ----------
End of Period.................................... $7,115,415 $6,829,786
========== ==========
--------
* 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.
63
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
THE TAX-MANAGED U.S. MARKETWIDE 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.................................. 5.99%(B) 4.26% 22.61% 2.79% 2.93% 15.17%
---------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)......... $7,115,415 $6,829,786 $6,667,096 $5,538,404 $5,348,412 $5,143,977
Ratio of Expenses to Average Net Assets....... 0.21%(C) 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net
Assets...................................... 2.21%(C) 1.99% 2.02% 2.05% 1.82% 1.61%
Portfolio Turnover Rate....................... 5%(B) 5% 7% 9% 6% 2%
---------- ---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
64
THE DFA INVESTMENT TRUST COMPANY
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven operational portfolios, one of which, The Tax-Managed
U.S. Marketwide Value Series (the "Series"), is presented in this section of
the report. The remaining ten operational portfolios are presented in separate
reports. The Series is an investment company, and accordingly, follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Series uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series values the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
65
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedule of Portfolio Holdings. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses. 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 $191 (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 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.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities are accounted for on the basis of identified cost. Dividend income
and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Series estimates the character of 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 Series are
directly charged. Common expenses of the Trust or its Series are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the six months ended April 30, 2019, the Series'
investment management fee was accrued daily and paid monthly to the Advisor
based on the following effective annual rate of average daily net assets:
The Tax-Managed U.S. Marketwide Value Series...... 0.20%
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 amount paid by the Trust
to the CCO was $41 (in thousands). The total related amount paid by the Series
is included in Other Expenses on the Statement of Operations.
66
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended April 30, 2019, the Series made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. government securities (amounts in thousands):
OTHER INVESTMENT
SECURITIES
------------------
PURCHASES SALES
--------- --------
The Tax-Managed U.S. Marketwide Value Series...... $433,205 $357,905
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 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/ BALANCE AT SHARES AS OF DIVIDEND
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION APRIL 30, 2019 APRIL 30, 2019 INCOME
---------------- --------- ---------- ------------ ------------- -------------- -------------- --------
THE
TAX-MANAGED
U.S.
MARKETWIDE
VALUE
SERIES
The DFA
Short Term
Investment
Fund $132,755 $451,173 $418,127 $2 $9 $165,812 14,330 $1,771
-------- -------- -------- -- -- -------- ------ ------
TOTAL $132,755 $451,173 $418,127 $2 $9 $165,812 14,330 $1,771
======== ======== ======== == == ======== ====== ======
CAPITAL GAIN
DISTRIBUTIONS
-------------
THE
TAX-MANAGED
U.S.
MARKETWIDE
VALUE
SERIES
The DFA
Short Term
Investment
Fund --
--
TOTAL --
==
E. FEDERAL INCOME TAXES:
The Series is treated as a partnership for federal income tax purposes and
therefore, no provision for federal income taxes is required. Any net
investment income and realized and unrealized gains and losses have been deemed
to have been "passed down" to its partners.
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 Tax-Managed U.S. Marketwide Value Series...... $4,155,454 $3,282,037 $(155,912) $3,126,125
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. The Series is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
67
F. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. Government
securities to a broker, 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 Statement
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. The Series will be subject to equity price risk
when entering into stock index futures. Counterparty credit risk related to
exchange-traded futures is minimal because the exchange's clearinghouse, as
counterparty to all exchange-traded futures, guarantees the futures against
default.
The following is a summary of the 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 Tax-Managed U.S. Marketwide Value Series...... $(2,040) $(2,040)*
(1) Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
* As of April 30, 2019, there were no futures contracts outstanding. During
the six months ended April 30, 2019, the Series had limited activity in
futures contracts.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective 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.
68
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 Tax-Managed U.S. Marketwide Value
Series................................ 3.06% $7,652 27 $18 $28,250 --
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2019, that the 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.
The Series 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 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 Tax-Managed U.S. Marketwide Value Series...... $154,546 $8,366 $331
69
I. SECURITIES LENDING:
As of April 30, 2019, the Series had securities on loan to brokers/dealers,
for which the Series received cash collateral. Additionally, the Series
received non-cash collateral consisting of short- and/or long-term U.S.
Treasuries and U.S. government agency securities as follows (amounts in
thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The Tax-Managed U.S. Marketwide Value Series...... $90,883
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Series could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series 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, the Series will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or, other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible for
taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of 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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks, Rights/Warrants.............. $165,812 -- -- -- $165,812
70
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust.
In the normal course of business, the Trust enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Trust's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Trust
and/or its affiliates that have not yet occurred. However, based on experience,
the Trust expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. 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
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.
L. 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 Tax-Managed U.S. Marketwide Value Series has been named as a defendant
in a multi-district litigation pending in the United States District Court for
the Southern District of New York (the "Court"), captioned IN RE TRIBUNE
COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune
MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune
Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and
reorganization. In connection with the LBO, thousands of Tribune shareholders,
including The Tax-Managed U.S. Marketwide Value Series, sold Tribune shares
back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured creditors of Tribune (the "Committee
Action," and with the Individual Creditor Actions, collectively referred to as
the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO.
On September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs 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'
71
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 Tax-Managed U.S. Marketwide 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 Tax-Managed U.S. Marketwide Value Series
arising from the Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the net asset value of The Tax-Managed U.S.
Marketwide Value Series will be made relating to the Lawsuits. However, even if
the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs
seek, the amount would be less than 1% of the net asset value of The
Tax-Managed U.S. Marketwide Value Series at this time.
The Tax-Managed U.S. Marketwide Value Series also cannot quantify the cost
of the Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the net asset value of The Tax-Managed U.S. Marketwide
Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees
and costs relating to the Lawsuits will be borne by The Tax-Managed U.S.
Marketwide Value Series as incurred and in a manner similar to any other
expenses incurred by The Tax-Managed U.S. Marketwide Value Series.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
72
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.
73
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
At the Board meeting held on December 18-19, 2018 (the "Meeting"), the Board
of Directors of DFA Investment Dimensions Group Inc. and the Board of Trustees
of The DFA Investment Trust Company (together, the "Board") considered the
continuation of the investment management agreements for each portfolio/series
(collectively, the "Funds") and, if applicable, a Fund's sub-advisory
agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia
Limited serves as a sub-advisor. (The investment management agreements and the
sub-advisory agreements are referred to as the "Management Agreements," and the
Advisor and sub-advisors are referred to as the "Advisor.")
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreements. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by 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. With
respect to the Tax-Managed U.S. Small Cap Portfolio, the Board also considered
the proposed reduction of the management fee for the Fund. 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.
74
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
CONTINUED
The Board considered the profitability of each Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to each Fund. The Board considered the profitability to the
Advisor of managing and servicing the Funds and the Advisor's unregistered
clients, such as collective trusts, group trusts and separate accounts. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to each Fund as it grows larger, and the extent to which
this is reflected in the level of management fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fees charged were inapplicable to
each Fund at the present time, due to the current level of fees and expenses
and the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for each Fund was
in the best interests of the Fund and its shareholders.
75
[Graphic] Recycled Recyclable DFA043019-002S
00230829
THE DFA SHORT TERM INVESTMENT FUND
SEMI-ANNUAL REPORT
SIX MONTHS ENDED APRIL 30, 2019
(UNAUDITED)
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 the 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 the
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 the 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.
TABLE OF CONTENTS
Page
----
SCHEDULE OF PORTFOLIO HOLDINGS 1
SCHEDULE OF INVESTMENTS 2
STATEMENT OF ASSETS AND LIABILITIES 6
STATEMENT OF OPERATIONS 7
STATEMENTS OF CHANGES IN NET ASSETS 8
FINANCIAL HIGHLIGHTS 9
NOTES TO FINANCIAL STATEMENTS 10
SUPPLEMENTAL INFORMATION 16
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT 17
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Portfolio Holdings
April 30, 2019 (Unaudited)
The following table indicates the allocation of investments among the asset
classes in the Fund as of April 30, 2019:
PERCENT OF
SECURITY ALLOCATION INVESTMENTS
------------------- -----------
Commercial Paper 58.0%
Repurchase Agreements 19.8
Yankee Certificates of Deposit 10.7
U.S. Government Agency Securities 7.5
U.S. Treasury Obligations 2.4
Corporate Bonds 1.2
Yankee Bonds 0.4
-----
TOTAL INVESTMENTS 100.0%
See Notes to Financial Statements.
1
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments
April 30, 2019 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- ------------- ------------
CORPORATE BONDS - 1.2%
(r)Apple, Inc. 3.03% (US0003M + 30 bps) 05/06/19 20,000,000 20,001,213
(r)Merck & Co., Inc. 3.06% (US0003M + 38 bps) 02/10/20 4,654,000 4,665,961
(r)++Roche Holdings, Inc. 2.94% (US0003M + 34 bps) 09/30/19 6,850,000 6,858,882
(r)Toyota Motor Credit Corp. 2.74% (US0003M + 6 bps) 05/15/19 150,000,000 150,000,294
(r)Toyota Motor Credit Corp. 2.68% (US0003M + 10 bps) 07/25/19 75,000,000 75,005,251
(r)Toyota Motor Credit Corp. 2.84% (US0003M + 26 bps) 04/17/20 580,000 581,035
----------- -----------
TOTAL CORPORATE BONDS (Cost $257,121,733) 257,084,000 257,112,636
----------- -----------
YANKEE BONDS - 0.4%
(r)++CPPIB Capital, Inc. 2.62% (US0003M + 1 bps) 12/27/19 50,000,000 49,981,010
(r)Province of Quebec 2.87% (US0003M + 28 bps) 07/21/19 31,690,000 31,711,047
(r)Shell International Finance BV 2.94% (US0003M + 35 bps) 09/12/19 9,532,000 9,546,343
(r)Svenska Handelsbanken AB 3.10% (US0001M + 49 bps) 06/17/19 2,000,000 2,001,120
----------- -----------
TOTAL YANKEE BONDS (Cost $93,265,798) 93,222,000 93,239,520
----------- -----------
COMMERCIAL PAPER - 58.0%
(y)++Archer-Daniels-Midland Co. 2.44% 05/02/19 40,000,000 39,994,629
(y)++Archer-Daniels-Midland Co. 2.46% 05/07/19 10,000,000 9,995,275
(y)++Archer-Daniels-Midland Co. 2.50% 05/10/19 89,975,000 89,914,092
(y)++Archer-Daniels-Midland Co. 2.51% 05/13/19 16,597,000 16,582,346
(y)++Archer-Daniels-Midland Co. 2.45% 05/14/19 35,000,000 34,966,680
(y)++Archer-Daniels-Midland Co. 2.48% 05/24/19 100,000,000 99,836,267
(y)++Archer-Daniels-Midland Co. 2.47% 05/29/19 97,500,000 97,306,866
(r)++Australia & New Zealand Banking Group 2.79% (US0003M + 10 bps) 05/13/19 20,000,000 20,000,519
(r)++Bank of Nova Scotia 2.69% (US0001M + 22 bps) 10/09/19 100,000,000 100,052,191
(y)Banque Et Caisse d'Epargne de I'Etat 2.55% 05/10/19 28,500,000 28,480,865
(y)Banque Et Caisse d'Epargne de I'Etat 2.58% 05/15/19 88,450,000 88,360,444
(y)Banque Et Caisse d'Epargne de I'Etat 2.53% 06/17/19 68,640,000 68,413,579
(y)++BNG Bank NV 2.45% 05/03/19 200,000,000 199,959,999
(y)++BNG Bank NV 2.51% 05/14/19 175,000,000 174,834,830
(y)++BNG Bank NV 2.50% 05/17/19 36,400,000 36,358,214
(y)++BNG Bank NV 2.53% 05/21/19 100,000,000 99,858,017
(y)++BNG Bank NV 2.51% 06/03/19 100,000,000 99,769,083
(y)++Caisse des Depots et Consignations 2.45% 05/03/19 57,000,000 56,988,396
(y)++Caisse des Depots et Consignations 2.55% 07/11/19 25,000,000 24,874,000
(y)++Caisse des Depots et Consignations 2.54% 07/22/19 40,000,000 39,765,940
(y)++Caisse des Depots et Consignations 2.54% 07/26/19 138,400,000 137,548,782
(y)++Chevron Corp. 2.41% 05/20/19 100,000,000 99,865,389
(y)++Cisco Systems, Inc. 2.52% 05/16/19 10,000,000 9,989,196
(y)++Cisco Systems, Inc. 2.52% 05/30/19 20,000,000 19,959,333
(y)++Cisco Systems, Inc. 2.53% 06/06/19 100,000,000 99,748,503
(y)++Coca-Cola Co. 2.51% 06/20/19 100,000,000 99,648,525
(y)++Coca-Cola Co. 2.53% 07/16/19 41,400,000 41,178,537
(y)++Commonwealth Bank of Australia 2.55% 05/07/19 150,000,000 149,929,650
(y)++Commonwealth Bank of Australia 2.55% 05/08/19 84,958,000 84,912,425
(y)++Commonwealth Bank of Australia 2.56% 05/15/19 40,000,000 39,959,583
(r)++Commonwealth Bank of Australia 2.67% (US0001M + 20 bps) 09/06/19 25,000,000 25,009,884
(y)CPPIB Capital, Inc. 2.54% 05/01/19 60,550,000 60,545,972
(y)++DBS Bank, Ltd. 2.50% 05/24/19 192,000,000 191,679,231
(y)++DBS Bank, Ltd. 2.54% 06/03/19 100,000,000 99,762,944
(y)++DBS Bank, Ltd. 2.54% 06/13/19 9,000,000 8,972,390
(y)++DBS Bank, Ltd. 2.56% 07/01/19 100,000,000 99,565,828
(y)++DBS Bank, Ltd. 2.54% 07/03/19 65,000,000 64,708,684
(y)++DBS Bank, Ltd. 2.53% 07/11/19 15,900,000 15,819,737
(y)++DNB NORBANK ASA 2.55% 05/14/19 150,000,000 149,860,233
(y)++DNB NORBANK ASA 2.54% 05/21/19 150,000,000 149,789,825
(y)++DNB NORBANK ASA 2.53% 06/10/19 99,000,000 98,725,792
(y)++DNB NORBANK ASA 2.52% 07/01/19 50,000,000 49,787,220
(y)++Emerson Electric Co. 2.44% 05/08/19 33,676,000 33,657,800
(y)++Emerson Electric Co. 2.43% 05/20/19 12,000,000 11,983,647
(y)++Equinor ASA 2.55% 05/29/19 50,000,000 49,900,514
(y)++Erste Abwicklungsanstalt 2.51% 05/09/19 100,000,000 99,939,625
(y)++Erste Abwicklungsanstalt 2.51% 05/14/19 108,000,000 107,898,066
(y)++Erste Abwicklungsanstalt 2.52% 05/15/19 100,000,000 99,898,750
(y)++Erste Abwicklungsanstalt 2.57% 05/20/19 32,200,000 32,156,476
(y)Exxon Mobil Corp. 2.42% 05/07/19 150,000,000 149,930,000
(y)++Hydro-Quebec 2.50% 05/06/19 44,700,000 44,682,068
(y)++IBM Corp. 2.49% 05/15/19 100,000,000 99,898,750
See Notes to Financial Statements.
2
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2019 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- ------------- ------------
COMMERCIAL PAPER - 58.0% (CONTINUED)
(y)++John Deere Capital Corp. 2.54% 05/13/19 38,400,000 38,366,304
(y)++John Deere Capital Corp. 2.52% 05/21/19 35,500,000 35,449,596
(y)++John Deere Capital Corp. 2.51% 05/22/19 63,800,000 63,705,179
(y)++John Deere Capital Corp. 2.49% 06/03/19 75,000,000 74,827,946
(y)++John Deere Capital Corp. 2.48% 06/11/19 50,000,000 49,857,200
(y)++Kimberly-Clark Worldwide 2.42% 05/06/19 18,000,000 17,992,719
(y)++Kimberly-Clark Worldwide 2.42% 05/07/19 97,300,000 97,254,026
(y)++Kimberly-Clark Worldwide 2.41% 05/09/19 74,000,000 73,954,953
(y)++Kreditanstalt Fur Wiederaufbau 2.51% 05/09/19 50,000,000 49,969,625
(y)++Kreditanstalt Fur Wiederaufbau 2.52% 07/02/19 95,000,000 94,577,559
(y)++Kreditanstalt Fur Wiederaufbau 2.52% 07/16/19 75,000,000 74,591,579
(y)++Landesbank Hessen-Thuringen 2.60% 05/01/19 200,000,000 199,986,221
(y)++Landesbank Hessen-Thuringen 2.56% 05/09/19 50,000,000 49,969,000
(y)++Landesbank Hessen-Thuringen 2.52% 05/30/19 150,000,000 149,690,000
(y)++Landesbank Hessen-Thuringen 2.52% 06/04/19 100,000,000 99,758,694
(y)National Rural Utilities Cooperative Finance Corp. 2.46% 05/02/19 37,500,000 37,494,965
(y)National Rural Utilities Cooperative Finance Corp. 2.44% 05/07/19 41,000,000 40,980,628
(y)National Rural Utilities Cooperative Finance Corp. 2.48% 05/21/19 57,810,000 57,727,245
(y)++Nederlandse Waterschaps NV 2.51% 05/13/19 10,925,000 10,915,216
(y)++Nederlandse Waterschaps NV 2.51% 06/04/19 150,000,000 149,637,896
(y)++Nederlandse Waterschaps NV 2.53% 06/10/19 125,000,000 124,644,240
(y)++Nederlandse Waterschaps NV 2.53% 06/25/19 175,000,000 174,312,639
(y)++Nederlandse Waterschaps NV 2.52% 07/02/19 150,000,000 149,337,188
(y)++Nederlandse Waterschaps NV 2.53% 07/03/19 40,000,000 39,820,587
(y)Nestle Finance International, Ltd. 2.51% 07/29/19 100,000,000 99,380,000
(y)++Nordea Bank AB 2.55% 05/20/19 61,000,000 60,918,294
(y)++Nordea Bank AB 2.56% 05/22/19 50,000,000 49,926,270
(y)++Nordea Bank AB 2.54% 06/07/19 200,000,000 199,485,733
(y)++Nordea Bank AB 2.52% 07/23/19 50,000,000 49,708,800
(y)++Novartis Finance Corp. 2.46% 05/13/19 30,000,000 29,973,729
(y)++Novartis Finance Corp. 2.46% 06/03/19 21,945,000 21,893,869
(y)++Novartis Finance Corp. 2.50% 06/07/19 20,600,000 20,546,226
(y)++NRW.Bank 2.45% 05/02/19 65,000,000 64,991,146
(y)++NRW.Bank 2.54% 05/03/19 50,000,000 49,989,784
(y)++NRW.Bank 2.57% 05/06/19 150,000,000 149,938,650
(y)++NRW.Bank 2.51% 05/17/19 75,000,000 74,912,840
(y)++NRW.Bank 2.52% 06/05/19 200,000,000 199,505,199
(y)++NRW.Bank 2.48% 06/14/19 100,000,000 99,690,000
(y)Oesterreich Kontrollbank 2.55% 05/13/19 66,400,000 66,341,854
(y)Oesterreich Kontrollbank 2.50% 07/26/19 146,600,000 145,718,543
(r)++Oversea-Chinese Banking Corp., Ltd. 2.62% (US0003M + 1 bps) 12/05/19 25,000,000 24,999,873
(r)++Oversea-Chinese Banking Corp., Ltd. 2.63% (US0003M + 3 bps) 12/11/19 100,000,000 99,999,436
(r)++Oversea-Chinese Banking Corp., Ltd. 2.72% (US0003M + 4 bps) 02/18/20 50,000,000 49,999,830
(r)++Oversea-Chinese Banking Corp., Ltd. 2.66% (US0003M + 5 bps) 03/06/20 200,000,000 199,998,941
(y)PACCAR Financial Corp. 2.45% 05/20/19 25,000,000 24,965,931
(y)++Pfizer, Inc. 2.52% 05/28/19 111,000,000 110,789,433
(y)++PSP Capital, Inc. 2.52% 05/01/19 35,800,000 35,797,618
(y)++PSP Capital, Inc. 2.53% 05/06/19 95,000,000 94,961,889
(y)++PSP Capital, Inc. 2.55% 05/15/19 200,000,000 199,797,499
(y)++PSP Capital, Inc. 2.55% 05/22/19 60,000,000 59,910,716
(y)++PSP Capital, Inc. 2.53% 05/30/19 35,000,000 34,928,833
(y)++PSP Capital, Inc. 2.52% 06/11/19 50,000,000 49,856,734
(y)++PSP Capital, Inc. 2.52% 06/20/19 100,000,000 99,650,367
(y)++Roche Holdings, Inc. 2.46% 05/13/19 30,000,000 29,973,729
(r)++Royal Bank of Canada NY 2.77% (US0003M + 16 bps) 09/03/19 100,000,000 100,053,294
(r)++Royal Bank of Canada NY 2.72% (US0001M + 24 bps) 10/11/19 75,000,000 75,041,898
(r)++Royal Bank of Canada NY 2.74% (US0003M + 14 bps) 01/16/20 30,000,000 30,022,982
(r)++Royal Bank of Canada NY 2.64% (US0001M + 16 bps) 03/05/20 75,000,000 74,984,288
(r)++Royal Bank of Canada NY 2.64% (US0003M + 5 bps) 04/01/20 60,000,000 59,999,695
(y)++Sanofi-Aventis 2.51% 06/25/19 50,450,000 50,255,924
(y)++Simon Property Group, LP 2.54% 05/02/19 20,000,000 19,997,314
(y)++Simon Property Group, LP 2.51% 05/23/19 30,000,000 29,952,946
(y)++Simon Property Group, LP 2.53% 06/04/19 30,000,000 29,928,046
(y)++Simon Property Group, LP 2.47% 06/10/19 50,000,000 49,859,063
(y)++Simon Property Group, LP 2.47% 06/17/19 45,000,000 44,850,960
(y)++Simon Property Group, LP 2.52% 06/18/19 25,000,000 24,915,441
(y)++Skandinaviska Enskilda Banken AB 2.59% 05/02/19 150,000,000 149,980,692
(y)++Skandinaviska Enskilda Banken AB 2.57% 05/06/19 100,000,000 99,961,217
See Notes to Financial Statements.
3
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (continued)
April 30, 2019 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ------------------------- -------- -------------- --------------
COMMERCIAL PAPER - 58.0% (CONTINUED)
(y)++Skandinaviska Enskilda Banken AB 2.56% 05/09/19 80,000,000 79,953,300
(y)++Skandinaviska Enskilda Banken AB 2.52% 05/22/19 32,120,000 32,073,480
(y)++Skandinaviska Enskilda Banken AB 2.55% 05/28/19 50,000,000 49,907,250
(y)++Skandinaviska Enskilda Banken AB 2.52% 07/15/19 25,000,000 24,868,478
(y)++Sumitomo Mitsui Bank NY 2.56% 05/21/19 275,000,000 274,611,790
(y)++Sumitomo Mitsui Bank NY 2.56% 05/23/19 50,000,000 49,922,567
(y)++Sumitomo Mitsui Bank NY 2.54% 06/05/19 50,000,000 49,877,400
(y)++Sumitomo Mitsui Bank NY 2.53% 07/22/19 65,000,000 64,620,702
(y)++Svenska Handelsbanken NY 2.56% 05/16/19 50,000,000 49,946,200
(y)++Svenska Handelsbanken NY 2.52% 07/08/19 100,000,000 99,518,342
(y)++Svenska Handelsbanken NY 2.52% 07/24/19 200,000,000 198,810,944
(r)++Toronto Dominion Bank NY 2.76% (US0001M + 27 bps) 05/23/19 80,000,000 80,015,498
(r)++Toronto Dominion Bank NY 2.59% (US0001M + 11 bps) 10/17/19 100,000,000 99,997,741
(r)++Toronto Dominion Bank NY 2.85% (US0001M + 37 bps) 11/20/19 45,000,000 45,060,931
(r)++Toronto Dominion Bank NY 2.81% (US0003M + 21 bps) 12/06/19 100,000,000 100,111,662
(y)++Total Capital Canada, Ltd. 2.42% 05/02/19 80,000,000 79,989,200
(y)++Total Capital Canada, Ltd. 2.54% 05/28/19 214,000,000 213,582,391
(y)++Total Capital Canada, Ltd. 2.52% 07/03/19 50,000,000 49,775,734
(y)++Total Capital Canada, Ltd. 2.52% 07/23/19 150,000,000 149,112,401
(r)Toyota Motor Credit Corp. 2.64% (US0003M + 3 bps) 12/12/19 100,000,000 99,999,594
(r)Toyota Motor Credit Corp. 2.62% (US0003M + 3 bps) 01/03/20 150,000,000 149,999,445
(r)Toyota Motor Credit Corp. 2.63% (US0001M + 15 bps) 01/21/20 150,000,000 149,956,941
(y)++United Overseas Bank 2.50% 05/02/19 100,000,000 99,986,572
(y)++United Overseas Bank 2.56% 05/06/19 11,000,000 10,995,551
(y)++United Overseas Bank 2.54% 05/28/19 20,000,000 19,961,873
(y)++United Overseas Bank 2.53% 05/29/19 150,000,000 149,703,959
(y)++United Overseas Bank 2.49% 06/03/19 200,000,000 199,536,655
(y)++United Overseas Bank 2.56% 06/25/19 50,000,000 49,808,667
(y)++United Overseas Bank 2.55% 08/02/19 100,000,000 99,345,133
(y)++Wal-Mart Stores, Inc. 2.50% 05/20/19 70,000,000 69,905,383
(r)++Westpac Banking Corp. 2.75% (US0003M + 10 bps) 05/24/19 50,000,000 50,002,359
-------------- --------------
TOTAL COMMERCIAL PAPER (Cost $12,187,596,718) 12,209,996,000 12,187,360,465
-------------- --------------
YANKEE CERTIFICATES OF DEPOSIT - 10.7%
(r)Bank of Montreal Chicago 2.75% (US0001M + 26 bps) 05/03/19 150,000,000 150,000,517
(r)Bank of Montreal Chicago 2.87% (US0003M + 13 bps) 05/07/19 100,000,000 100,001,719
(r)Bank of Montreal Chicago 2.80% (US0001M + 33 bps) 08/06/19 100,000,000 100,057,164
(r)Bank of Montreal Chicago 2.70% (US0001M + 22 bps) 10/04/19 200,000,000 200,083,857
(r)Bank of Montreal Chicago 2.87% (US0001M + 39 bps) 12/04/19 70,000,000 70,103,499
(r)Bank of Montreal Chicago 2.68% (US0003M + 5 bps) 03/02/20 25,000,000 24,999,856
(r)Bank of Nova Scotia 2.73% (US0001M + 26 bps) 05/07/19 30,000,000 30,000,480
(r)Bank of Nova Scotia 2.70% (US0003M + 9 bps) 09/06/19 150,000,000 150,050,872
(r)Bank of Nova Scotia 2.71% (US0001M + 22 bps) 09/20/19 100,000,000 100,049,847
(r)Bank of Nova Scotia 2.99% (US0003M + 26 bps) 11/04/19 26,000,000 26,034,190
(r)Bank of Nova Scotia 2.74% (US0003M ) 11/04/19 150,000,000 149,999,865
(r)Bank of Nova Scotia 2.82% (US0003M + 22 bps) 12/30/19 20,000,000 20,026,136
(r)Bank of Nova Scotia 2.86% (US0003M + 18 bps) 02/18/20 1,840,000 1,842,014
(r)Bank of Nova Scotia 2.69% (US0003M + 5 bps) 02/27/20 65,000,000 65,004,987
(r)Bank of Nova Scotia 2.65% (US0003M + 5 bps) 04/03/20 40,000,000 39,999,803
(r)Canadian Imperial Bank of Commerce 2.76% (US0001M + 27 bps) 07/19/19 100,000,000 100,036,191
(r)Canadian Imperial Bank of Commerce 2.58% (US0001M + 11 bps) 10/15/19 100,000,000 100,005,349
(r)Canadian Imperial Bank of Commerce 2.66% (US0001M + 18 bps) 04/06/20 102,500,000 102,482,162
(r)Nordea Bank AB 2.65% (US0001M + 17 bps) 06/10/19 75,000,000 75,015,663
(r)Oversea-Chinese Banking Corp., Ltd. 2.74% (US0001M + 25 bps) 05/03/19 100,000,000 100,000,401
(r)Oversea-Chinese Banking Corp., Ltd. 2.58% (US0001M + 10 bps) 09/04/19 125,000,000 125,003,284
(r)Royal Bank of Canada NY 2.76% (US0003M + 12 bps) 05/20/19 100,000,000 100,006,815
(r)Royal Bank of Canada NY 2.82% (US0001M + 35 bps) 09/06/19 100,000,000 100,090,840
(r)Royal Bank of Canada NY 2.81% (US0003M + 21 bps) 12/10/19 75,000,000 75,080,783
(r)Svenska Handelsbanken NY 2.79% (US0001M + 30 bps) 08/19/19 40,000,000 40,027,405
(r)Toronto Dominion Bank NY 2.82% (US0003M + 21 bps) 12/03/19 100,000,000 100,110,148
-------------- --------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $2,245,397,558) 2,245,340,000 2,246,113,847
-------------- --------------
U.S. GOVERNMENT AGENCY SECURITIES - 7.5%
(y)Federal Home Loan Bank 2.41% 05/08/19 99,590,000 99,543,331
(y)Federal Home Loan Bank 2.41% 05/10/19 100,000,000 99,939,750
(y)Federal Home Loan Bank 2.42% 05/16/19 100,000,000 99,899,583
(y)Federal Home Loan Bank 2.40% 05/17/19 210,000,000 209,775,067
(y)Federal Home Loan Bank 2.41% 05/22/19 136,000,000 135,808,807
(y)Federal Home Loan Bank 2.40% 05/24/19 100,000,000 99,846,028
See Notes to Financial Statements.
4
THE DFA SHORT TERM INVESTMENT FUND
Schedule of Investments (concluded)
April 30, 2019 (Unaudited)
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $
-------------------- ---- -------- ------------- ---------------
U.S. GOVERNMENT AGENCY SECURITIES - 7.5% (CONTINUED)
(y)Federal Home Loan Bank 2.44% 05/29/19 98,900,000 98,714,618
(y)Federal Home Loan Bank 2.39% 06/07/19 250,000,000 249,380,765
(y)Federal Home Loan Bank 2.40% 06/11/19 75,000,000 74,794,146
(y)Federal Home Loan Bank 2.41% 06/12/19 113,000,000 112,682,281
(y)Federal Home Loan Bank 2.43% 06/14/19 100,000,000 99,705,444
(y)Federal Home Loan Bank 2.41% 06/25/19 100,000,000 99,631,806
(y)Federal Home Loan Bank 2.42% 07/18/19 100,000,000 99,477,833
------------- ---------------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES (Cost $1,579,207,064) 1,582,490,000 1,579,199,459
------------- ---------------
REPURCHASE AGREEMENTS - 19.8%
Bank of America Securities LLC (Purchased on 4/30/19, Proceeds at
maturity $150,011,375, collateralized by U.S. Treasury Securities,
0.00% - 1.75%, 9/5/19 - 10/31/20, market value $153,000,062) 2.73% 05/01/19 150,000,000 150,000,000
Barclays Bank PLC (Purchased on 4/30/19, Proceeds at maturity
$750,057,292, collateralized by U.S. Treasury Securities, 1.13% -
2.88%, 12/31/20 - 8/15/27, market value $765,000,086) 2.75% 05/01/19 750,000,000 750,000,000
Goldman Sachs & Co. (Purchased on 4/30/19, Proceeds at maturity
$300,022,583, collateralized by U.S. Government Agency Backed
Securities, 2.50% - 8.50%, 6/20/24 - 2/15/58, market value
$306,000,000) 2.71% 05/01/19 300,000,000 300,000,000
HSBC Securities (USA), Inc. (Purchased on 4/30/19, Proceeds at
maturity $600,045,833, collateralized by U.S. Treasury Securities,
0.00% - 6.88%, 5/15/19 - 2/15/29, market value $612,000,000) 2.75% 05/01/19 600,000,000 600,000,000
JPMorgan Securities, Inc. (Purchased on 4/30/19, Proceeds at maturity
$200,015,167, collateralized by a U.S. Treasury Security, 2.88%,
5/15/28, market value $204,000,081) 2.73% 05/01/19 200,000,000 200,000,000
JPMorgan Securities, Inc. (Purchased on 4/30/19, Proceeds at maturity
$700,053,278, collateralized by U.S. Government Agency Backed
Securities, 2.49% - 8.00%, 11/15/23 - 2/15/59, market value
$714,000,000) 2.74% 05/01/19 700,000,000 700,000,000
Mizuho Securities USA, Inc. (Purchased on 4/30/19, Proceeds at
maturity $400,030,222, collateralized by U.S. Treasury Securities,
0.00% - 2.00%, 6/18/19 - 7/31/22, market value $408,000,097) 2.72% 05/01/19 400,000,000 400,000,000
RBC Dominion Securities (Purchased on 4/30/19, Proceeds at maturity
$700,052,889, collateralized by U.S. Treasury Securities, 0.00%
-2.75%, 9/26/19 - 2/15/28, market value $714,000,030) 2.72% 05/01/19 700,000,000 700,000,000
Toronto Dominion Securities USA LLC (Purchased on 4/30/19, Proceeds
at maturity $350,026,736, collateralized by U.S. Government Agency
Backed Securities, 0.13% - 4.38%, 5/30/19 -11/16/28, market value
$357,000,002) 2.75% 05/01/19 350,000,000 350,000,000
------------- ---------------
TOTAL REPURCHASE AGREEMENTS (Cost $4,150,000,000) 4,150,000,000 4,150,000,000
------------- ---------------
U.S. TREASURY OBLIGATIONS - 2.4%
(y)U.S. Treasury Bill 2.39% 05/16/19 150,000,000 149,850,354
(y)U.S. Treasury Bill 2.43% 05/21/19 100,000,000 99,867,292
(y)U.S. Treasury Bill 2.38% 06/04/19 100,000,000 99,773,508
(y)U.S. Treasury Bill 2.39% 06/18/19 150,000,000 149,522,250
------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $499,017,834) 500,000,000 499,013,404
------------- ---------------
TOTAL INVESTMENTS (Cost $21,011,606,705) - 100.0% $21,012,039,331
===============
US0001M--1 Month US Dollar LIBOR
US0003M--3 Month US Dollar LIBOR
++ Rule 144A, Section 4(2), or other security, which is restricted as to resale
to institutional investors. This security has been deemed to be liquid based
upon the Fund's liquidity guidelines. The aggregate value of these
securities at April 30, 2019 was $10,975,904,351, which represented 52.2% of
the total investments of the Fund.
(r)The adjustable/variable rate shown is effective as of April 30, 2019.
(y)The rate shown is the effective yield.
See Notes to Financial Statements.
5
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 2019 (UNAUDITED)
ASSETS:
Investments, at value $16,862,039,331
Repurchase agreements, at value 4,150,000,000
---------------
Total Investments 21,012,039,331
---------------
Cash 843,842,247
Interest receivable 14,642,413
Prepaid expenses 20,675
---------------
Total Assets 21,870,544,666
---------------
LIABILITIES:
Payable for investments purchased 99,353,445
Distributions payable 45,648,633
Accrued expenses and other payables:
Investment Management Fees 907,857
Director/Trustee Fees 608,929
Transfer Agent Fees 8,268
Professional Fees 65,213
CCO Fees 2,579
Other Expenses 104,426
---------------
Total Liabilities 146,699,350
---------------
Net Assets $21,723,845,316
===============
NET ASSETS CONSIST OF:
Capital $21,723,671,852
Total Distributable Earnings / (Loss) 173,464
---------------
NET ASSETS $21,723,845,316
===============
Shares of Beneficial Interest (Unlimited Number of Shares
Authorized, No Par value) 1,877,467,729
===============
Net Asset Value (Offering and Redemption Price Per Share) $ 11.5708
===============
Investments at cost $21,011,606,705
See Notes to Financial Statements.
6
THE DFA SHORT TERM INVESTMENT FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2019 (UNAUDITED)
INVESTMENT INCOME:
Interest $257,597,124
------------
Total Investment Income 257,597,124
------------
EXPENSES:
Investment Management Fees 5,095,611
Administration Fees 596,267
Transfer Agent Fees 55,941
Professional Fees 45,522
Director/Trustee Fees 20,484
CCO Fees 9,726
Other Expenses 178,727
------------
Total Expenses Before Fee Reductions 6,002,278
------------
Fees Paid Indirectly (596,267)
------------
Net Expenses 5,406,011
------------
Net Investment Income 252,191,113
------------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS
Net Realized Losses from Investment Transactions (92,854)
Net Change in Unrealized Appreciation on Investments 783,595
------------
Net Realized and Unrealized Gains from Investments 690,741
------------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $252,881,854
============
See Notes to Financial Statements.
7
THE DFA SHORT TERM INVESTMENT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS FOR THE YEAR
ENDED ENDED
APRIL 30, 2019 OCTOBER 31, 2018
---------------- -----------------
(UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net Investment Income $ 252,191,113 $ 456,986,745
Net Realized Gains (Losses) from Investment Transactions (92,854) 34,677
Net Change in Unrealized Appreciation (Depreciation) on
Investments 783,595 (2,650,644)
---------------- -----------------
Change in net assets resulting from operations 252,881,854 454,370,778
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Total Distributions Paid (252,225,537) (457,097,559)
---------------- -----------------
Change in Net Assets from Distributions to Shareholders (252,225,537) (457,097,559)
---------------- -----------------
CAPITAL TRANSACTIONS:
Proceeds from Shares Issued 49,601,530,882 117,235,760,486
Dividends Reinvested 96,499 145,455
Cost of Shares Redeemed (48,655,940,095) (121,732,128,948)
---------------- -----------------
Change in Net Assets from Capital Transactions 945,687,286 (4,496,223,007)
---------------- -----------------
Change in Net Assets 946,343,603 (4,498,949,788)
NET ASSETS:
Beginning of Period 20,777,501,713 25,276,451,501
---------------- -----------------
End of Period $ 21,723,845,316 $ 20,777,501,713
================ =================
SHARES TRANSACTIONS:
Shares Issued 4,286,844,933 10,132,257,344
Reinvested 8,340 12,571
Shares Redeemed (4,205,141,464) (10,520,890,040)
---------------- -----------------
Change in Shares 81,711,809 (388,620,125)
================ =================
See Notes to Financial Statements.
8
THE DFA SHORT TERM INVESTMENT FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FOR THE FOR THE FOR THE FOR THE FOR THE
FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
PERIOD ENDED OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31,
APRIL 30, 2019 2018 2017 2016/(a)/ 2015 2014
-------------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 11.5703 $ 11.5715 $ 11.5723 $ 11.5700 $ 11.57 $ 11.57
----------- ----------- ----------- ----------- ----------- -----------
INVESTMENT ACTIVITIES:
Net Investment
Income 0.1421 0.2041 0.1090 0.0472 0.01 0.01
Net Realized and
Unrealized
Gain/(Losses) on
Investments 0.0005 (0.0012) (0.0007) 0.0024 --/(b)/ --/(b)/
----------- ----------- ----------- ----------- ----------- -----------
Total from Investment
Activities 0.1426 0.2029 0.1083 0.0496 0.01 0.01
----------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment
Income (0.1421) (0.2041) (0.1091) (0.0472) (0.01) (0.01)
Net Realized Gains --/(b)/ --/(b)/ --/(b)/ (0.0001) --/(b)/ --/(b)/
----------- ----------- ----------- ----------- ----------- -----------
TOTAL DISTRIBUTIONS (0.1421) (0.2041) (0.1091) (0.0473) (0.01) (0.01)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End
of Period $ 11.5708 $ 11.5703 $ 11.5715 $ 11.5723 $ 11.57 $ 11.57
=========== =========== =========== =========== =========== ===========
Total Return 1.24%/(c)/ 1.77% 0.94% 0.43% 0.11% 0.08%
SUPPLEMENTAL DATA:
NET ASSETS, END OF
PERIOD (000'S) $21,723,845 $20,777,502 $25,276,452 $22,432,814 $23,230,655 $24,343,666
Ratios to Average Net
Assets:
Net Investment
Income/(d) / 2.47% 1.74% 0.95% 0.41% 0.11% 0.08%
Gross Expenses/(d) / 0.06% 0.06% 0.06% 0.06% 0.06% 0.06%
Net Expenses/(d)(e) / 0.05% 0.05% 0.05% 0.05% 0.06% 0.06%
(a) As a result of the SEC's rules on money market reform, the financial
highlight values are now presented to 4 digits beginning in 2016.
(b) Amount less than $0.005.
(c) Not annualized.
(d) Annualized for periods less than one year.
(e) Ratio as disclosed reflects the impact of custody fee credits earned by the
fund on cash balances.
See Notes to Financial Statements.
9
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements
April 30, 2019 (Unaudited)
A. ORGANIZATION
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940 (the
"1940 Act"). The Trust consists of eleven series, one of which, The DFA Short
Term Investment Fund (the "Fund"), is included in this report. The remaining
series are presented in separate reports. The Fund is an investment company
and, accordingly, follows the accounting and reporting guidance under Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC")
Topic 946, "Financial Services - Investment Companies."
The investment objective of the Fund is to seek to provide a high level of
current income consistent with liquidity and the preservation of capital. As a
money market fund, the Fund will pursue its investment objective by investing
in U.S. dollar-denominated short-term debt securities that meet the strict
standards established by the Board of Trustees of the Trust (the "Board"),
which are in accordance with Rule 2a-7 under the 1940 Act.
The Board is responsible for establishing the Trust's policies and for
overseeing the management of the Trust. Under the Trust's organizational
documents, its officers and trustees are indemnified against certain
liabilities arising out of the performance of their duties to the Trust. In the
normal course of business, the Trust enters into contracts that contain a
variety of representations and warranties that provide general indemnification.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust and/or its affiliates
that have not yet occurred. However, based on prior experience, the Trust
expects the risk of loss to be remote.
B. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with accounting
principles generally accepted in the United States of America ("U.S. GAAP").
Such policies are consistently followed by the Trust in preparation of its
financial statements. The preparation of financial statements in accordance
with U.S. GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates
and those differences could be material.
1. SECURITY VALUATION - The Fund utilizes a fair value hierarchy which
prioritizes the inputs to valuation techniques used to measure fair value into
three broad levels described below:
.. Level 1 - inputs are quoted prices in active markets for identical
securities
.. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
.. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The securities held by the Fund are valued at market value or fair value in
accordance with procedures adopted by the Board. Debt securities are valued on
the basis of evaluated prices provided by one or more pricing services or other
reasonably reliable sources, including broker/dealers that typically handle the
purchase and sale of such securities.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board. These valuations are generally categorized as Level 2 in the
hierarchy.
Changes in valuation techniques may result in transfers in or out of an
assigned level within the disclosure hierarchy. The Fund determines transfers
between fair value hierarchy levels at the reporting period end. During the
six-months ended April 30, 2019, only securities classified as Level 2 in the
fair value hierarchy were held by the Fund.
A summary of the inputs used to value the Fund's investments is disclosed
previously in this Note. A valuation hierarchy table has been provided below.
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
10
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2019 (Unaudited)
When determining the fair value of the Fund's investments, additional
consideration is given to those assets or liabilities that have experienced a
decrease in the volume or level of activity or have identified circumstances
that indicate that a transaction is not orderly.
The following table provides the fair value measurements of the Fund's
investments by level within the fair value hierarchy as of April 30, 2019:
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
IN IN IN
SECURITIES SECURITIES SECURITIES
----------- --------------- -----------
THE DFA SHORT TERM INVESTMENT FUND
Corporate Bonds $-- $ 257,112,636 $--
Yankee Bonds -- 93,239,520 --
Commercial Paper -- 12,187,360,465 --
Yankee Certificates of Deposit -- 2,246,113,847 --
U.S. Government Agency Securities -- 1,579,199,459 --
Repurchase Agreements -- 4,150,000,000 --
U.S. Treasury Obligations -- 499,013,404 --
--- --------------- ---
Total Investments $-- $21,012,039,331 $--
=== =============== ===
2. DEFERRED COMPENSATION PLAN - Each eligible trustee (each a "Trustee" and
collectively, the "Trustees") of the Trust may elect participation in The Fee
Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the
Plan effective January 1, 2002, such Trustees may defer payment of all or a
portion of their total fees earned as a Trustee. These deferred amounts may be
treated as though such amounts had been invested in shares of the following
funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core
Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA
International Value Portfolio; International Core Equity Portfolio; Emerging
Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Director/Trustee Fees.
Each Trustee has the option to receive the distribution of proceeds in one of
the following methods: lump sum; annual installments over a period of
agreed-upon years; or quarterly installments over a period of agreed-upon
years. Each Trustee shall have the right in a notice of election to defer
compensation (the "Notice") to elect to defer the receipt of the Trustee's
deferred compensation until a date specified by such Trustee in the Notice,
which date may not be sooner than the earlier of: (i) the first business day of
January following the year in which such Trustee ceases to be a member of the
Board; and (ii) five years following the effective date of the Trustee's first
deferral election. If a Trustee who elects to defer fees fails to designate in
the Notice a time or date as of which payment of the Trustee's deferred fee
account shall commence, payment of such amount shall commence as of the first
business day of January following the year in which the Trustee ceases to be a
member of the Board (unless the Trustee files an amended Notice selecting a
different distribution date). As of April 30, 2019, none of the Trustees have
requested or received a distribution of proceeds of a deferred fee account.
At April 30, 2019, the Fund's total liability of $596,706 for deferred
compensation to Trustees is included in the "Director/Trustee Fees" payable (a
line item which also includes Trustee fees/expenses, currently in a prepaid
state) on the Statement of Assets and Liabilities.
3. SECURITY TRANSACTIONS AND RELATED INCOME - Security transactions are
accounted for as of the trade date. Costs used in determining realized gains
and losses on the sale of investment securities are on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. The Fund generally declares distributions from net investment
income on a daily basis and pays dividends monthly. Any capital gains are
distributed at least annually. The Fund does not expect to realize any
long-term capital gains and losses. The Fund may distribute such income
dividends and capital gains more frequently, if necessary, in order to reduce
or eliminate federal excise or income taxes on the Fund. Interest income is
recognized on an accrual basis and includes amortization or accretion of premia
or discount using the straight-line method. Costs used in determining net
realized gains and losses on the sales of investment securities are those of
the specific securities sold, adjusted for the accretion or amortization of
purchase discounts or premia during the respective holding period.
11
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2019 (Unaudited)
4. ALLOCATIONS - The Trust bears all of its own fees, expenses, charges,
assessments, taxes, and other costs incurred in its operation, whether incurred
directly by the Trust or by Dimensional Fund Advisors LP, the Fund's investment
adviser (the "Advisor" or "DFA"), on its behalf. Expenses directly attributable
to the Fund are charged to the Fund. Expenses not directly attributable to the
Fund are allocated among the respective portfolios in the Trust on the basis of
their relative net assets.
C. FEDERAL INCOME TAXES
The Fund is classified as a regulated investment company for tax purposes. As a
regulated investment company, the Fund generally pays no U.S. federal income
tax on the income and gains that the Fund distributes to shareholders.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulation, which may
differ from those amounts determined under U.S. GAAP. These book/tax
differences are either temporary (e.g., wash sale losses) or permanent (e.g.,
reclassification of certain gain/loss and distributions) in nature. To the
extent these differences are permanent, they are charged or credited to paid-in
capital, undistributed net investment income or accumulated net realized gains,
as appropriate, in the period that the differences arise. There were no
permanent differences as of April 30, 2019, attributable to distribution
redesignations.
As of April 30, 2019, the tax cost of securities and the breakdown of
unrealized appreciation and depreciation of securities for federal income tax
purposes are as follows:
Net Unrealized
Tax Cost of Unrealized Unrealized Appreciation /
Securities Appreciation Depreciation (Depreciation)
--------------- ------------ ------------ --------------
The DFA Short Term Investment Fund $21,011,606,705 $1,124,146 $(691,520) $432,626
ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum threshold for
financial statement recognition of the benefit of a tax position taken or
expected to be taken in a tax return.
For all open tax years and all major taxing jurisdictions, management of the
Fund has concluded that there are no significant uncertain tax positions that
would require recognition in the Fund's financial statements. The Fund is not
aware of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. Each of the Fund's federal tax returns for the prior three
fiscal years remains subject to examination by the Internal Revenue Service.
The tax character of distributions paid to shareholders during the years ended
October 31, 2018 and October 31, 2017 was as follows:
Distributions Paid From
------------------------------------------
Total
Net Investment Long-Term Distributions
Income Capital Gains Paid
-------------- ------------- -------------
The DFA Short Term Investment Fund
2018 $446,030,092 $ -- $446,030,092
2017 232,171,035 985 232,172,020
12
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2019 (Unaudited)
As of October 31, 2018, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
Undistributed
-------------------------------
Long- Total
Term Accumulated Unrealized Accumulated
Ordinary Capital Accumulated Distributions Capital And Appreciation Earnings
Income Gains Earnings Payable Other Losses (Depreciation) (Deficit)
----------- ------- ----------- ------------- ------------ -------------- -----------
The DFA Short Term Investment Fund $38,930,144 $-- $38,930,144 $(38,381,669) $-- $(350,969) $197,506
D. FINANCIAL INSTRUMENTS
REPURCHASE AGREEMENTS - The Fund may engage in repurchase agreement
transactions with counterparties with creditworthiness and other
characteristics deemed appropriate by the Advisor. The Fund, through its
custodian, receives delivery of underlying securities collateralizing a
repurchase agreement. Collateral for certain tri-party repurchase agreements is
held at the counterparty's custodian in a segregated account for the benefit of
the Fund and the counterparty. The counterparty will be required to maintain
collateral with a value at least equal, at all times, to the value of the
repurchase obligation including interest. A repurchase agreement transaction
involves certain risks in the event of default or insolvency of the
counterparty. These risks include possible delay or restrictions upon the
Fund's ability to dispose of the collateral and a possible decline in the value
of the collateral during the period while the Fund seeks to assert its rights.
Repurchase agreements ("RA") permit the Fund, under certain circumstances
including an event of default (such as bankruptcy or insolvency), to offset
payables and/or receivables under the RA with collateral held and/or posted to
the counterparty and create one single net payment due to or from the Fund.
However, bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against such a right of offset in the event of
the RA counterparty's bankruptcy or insolvency. Pursuant to the terms of the
RA, the Fund receives securities as collateral with a market value in excess of
the repurchase price to be received by the Fund upon the maturity of the
repurchase transaction. Upon a bankruptcy or insolvency of the RA counterparty,
the Fund would recognize a liability with respect to such excess collateral to
reflect the Fund's obligation under bankruptcy law to return the excess to the
counterparty.
E. RELATED PARTY TRANSACTIONS
INVESTMENT MANAGER - Dimensional Fund Advisors LP serves as investment advisor
to the Fund. Pursuant to an investment management agreement with the Trust with
respect to the Fund (the "Investment Management Agreement"), the Advisor
manages the investment and reinvestment of the Fund's assets. DFA has served as
the Fund's investment advisor since the Fund's commencement of operations.
Pursuant to the terms of the investment management agreement, the Advisor
receives a management fee calculated daily and payable monthly from the Fund at
an annual rate of 0.05% of the average daily net assets.
FEES PAID TO OFFICERS AND TRUSTEES - Certain Officers and Trustees of the
Advisor are also Officers and Trustees of the Trust; however, such Officers and
Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive
no compensation from the Trust. Amounts paid to the Trust's CCO are reflected
on the Statement of Operations as "CCO fees".
At April 30, 2019, the following number of shareholders held the approximate
percentage of the Fund's outstanding shares:
Number of Approximate Percentage
Shareholders of Outstanding Shares
------------ ----------------------
The DFA Short Term Investment Fund 6 51%
13
THE DFA SHORT TERM INVESTMENT FUND
Notes to Financial Statements - (continued)
April 30, 2019 (Unaudited)
F. INTEREST RATE AND CREDIT RISKS
The Fund invests primarily in money market instruments maturing in 397 calendar
days or less and which are considered Eligible Securities (as defined in Rule
2a-7 under the 1940 Act). The ability of the issuers of the securities held by
the Fund to meet their obligations may be affected by economic developments in
a specific industry, state or region.
The Fund is subject to the risk that the Advisor's security selection and
expectations regarding interest rate trends will cause the yields of the Fund
to lag the performance of other mutual funds with similar investment objectives
or the performance of short-term debt instruments. The emphasis of the Fund on
quality and liquidity also could cause the Fund to underperform when compared
to other money market funds, particularly those that take greater maturity and
credit risks.
G. LINE OF CREDIT AND INTERFUND LENDING PROGRAM
The Fund, together with other Dimensional-advised portfolios, has entered into
a $700 million unsecured line of credit with its custodian bank effective
January 4, 2019. A similar line of credit for $700 million 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 to by the parties at the time of
borrowing. There is no commitment fee on the unused portion of the line of
credit. The agreement for the line of credit expires on January 3, 2020. There
were no borrowings by the Fund under this line of credit during the six-month
period ended April 30, 2019.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Fund may
participate in an interfund lending program among certain portfolios managed by
the Advisor (portfolios that operate as feeder funds do not participate in the
program). The program allows the participating portfolios to borrow money from
and loan money to each other for temporary or emergency purposes, subject to
the conditions in the Order. A loan can only be made through the program if the
interfund loan rate on that day is more favorable to both the borrowing and
lending portfolios as compared to rates available through short-term bank loans
or investments in overnight repurchase agreements and money market funds,
respectively, as detailed in the Order. Further, a portfolio may participate in
the program only if and to the extent that such participation is consistent
with its investment objective and limitations. Interfund loans have a maximum
duration of seven days and may be called on one business day's notice.
For the six months ended April 30, 2019, activity by the Fund under the
interfund lending program was as follows:
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE LOAN DAYS EXPENSE/ BORROWED/LOANED
LENDER BORROWER INTEREST RATE BALANCE OUTSTANDING* INCOME DURING THE PERIOD
------------------- --------------------- ------------- ------------ ------------ -------- -----------------
The DFA Short Term The Emerging Markets
Investment Fund Small Cap Series 2.80% -- 2 -- $100
* Number of Days Outstanding represents the total of single or consecutive days
during the six months ended April 30, 2019, that the Funds' interfund lending
program was used.
H. RECENTLY ISSUED ACCOUNTING STANDARDS
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.
I. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date these financials statements were issued and has determined
that there are no subsequent events requiring recognition or disclosure in the
financial statements.
14
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information
April 30, 2019 (Unaudited)
EXPENSE EXAMPLES
The following Expense Tables are shown so that you can understand the impact of
fees on your investment. All mutual funds have operating expenses. As a
shareholder of the Fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses, legal and audit services, which are deducted from a
fund's gross income, directly reduce the investment return of the fund. A
fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the Fund and
to compare these costs with those of other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of
the period and held for the entire period from November 1, 2018 to April 30,
2019.
Actual Expenses
---------------
The table below provides information about actual account values and actual
expenses. You may use the information below, together with the amount you
invested, to estimate the expenses that you paid over the period. Simply divide
your account value by $1,000 (for example, an $8,600 account value divided by
$1,000 = 8.6), then multiply the result by the number in the table under the
heading entitled "Expenses Paid During Period" to estimate the expenses you
paid on your account during this period.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
11/1/18 4/30/19 11/1/18 - 4/30/19 11/1/18 - 4/30/19
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund $1,000.00 $1,012.40 $0.26 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2018 to April 30, 2019, divided by the number of
days in the fiscal year.
Hypothetical Example for Comparison Purposes
--------------------------------------------
The table below provides information about hypothetical account values and
hypothetical expenses based on the Fund's actual expense ratio and an assumed
rate of return of 5% per year before expenses, which is not the Fund's actual
return. The hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid for the period.
You may use this information to compare this 5% hypothetical example with the
5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads), redemption fees, or exchange fees. Therefore, the table is
useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
Annualized
Beginning Ending Expenses Paid Expense Ratio
Account Value Account Value During Period* During Period
11/1/18 4/30/19 11/1/18 - 4/30/19 11/1/18 - 4/30/19
------------- ------------- ----------------- -----------------
The DFA Short Term Investment Fund $1,000.00 $1,024.53 $0.27 0.05%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in
the period from November 1, 2018 to April 30, 2019, divided by the number of
days in the fiscal year.
15
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (continued)
April 30, 2019 (Unaudited)
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund and the Trust use in
voting proxies relating to securities held in the portfolios is available
(1) without charge, upon request, by calling collect: (512) 306-7400 (2) from
the Advisor's website at http://us.dimensional.com; and (3) on the SEC's
website at http://www.sec.gov. Information regarding how the Advisor votes
these proxies is available from the EDGAR database on the SEC's website at
http://www.sec.gov and from the Advisor's website at http://us.dimensional.com
and reflects the twelve-month period beginning July 1st and ending June 30th.
PORTFOLIO HOLDINGS INFORMATION
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters on Form N-Q. For the Trust or
the Fund, this would be for the fiscal quarters ending January 31 and July 31.
The Form N-Q filing must be made within 60 days of the end of the quarter. The
Trust filed its most recent Form N-Q with the SEC on April 1, 2019. The Forms
N-Q are available upon request, without charge, by calling collect: (512)
306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave
Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at
http://www.sec.gov.
16
THE DFA SHORT TERM INVESTMENT FUND
Supplemental Information - (concluded)
April 30, 2019 (Unaudited)
BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT
At the Board meeting held on December 18-19, 2018 (the "Meeting"), the Board
of Trustees of The DFA Investment Trust Company (the "Board") considered the
continuation of the investment management agreement (the "Management
Agreement") for the Fund.
Prior to the Meeting, independent counsel to the Independent Board Members
sent to the Advisor a request for information, which identified the information
that the Independent Board Members wished to receive in order to consider the
continuation of the Management Agreement. The Independent Board Members met
with their independent counsel in advance of the Meeting to discuss the
materials provided by the Advisor, the independent reports prepared by Access
Data Inc. (the "Access Data Reports"), and issues related to the continuation
of the Management Agreement. Also in advance of the Meeting, management
provided additional materials to address and respond to questions that the
Independent Board Members posed after their review and analysis of materials
provided by the Advisor and the Access Data Reports.
At the Meeting, the Board considered a number of factors when considering
the continuation of each Management Agreement for the Fund, including: (i) the
nature, extent and quality of services provided by the Advisor to the Fund;
(ii) the performance of the Fund and the Advisor; (iii) the fees and expenses
borne by the Fund; (iv) the profitability realized by the Advisor from the
relationship with the Fund; and (v) whether economies of scale are realized by
the Advisor with respect to the Fund as it grows larger, and the extent to
which this is reflected in the level of the management fee charged.
When considering the nature and quality of the services provided by the
Advisor to the Fund, the Board reviewed: (a) the scope and depth of the
Advisor's organization; (b) the experience and expertise of its investment
professionals currently providing management services to the Fund; and (c) the
Advisor's global investment advisory capabilities. The Board evaluated the
Advisor's portfolio management process and discussed the unique features of the
Advisor's investment approach. The Board also considered the nature and
character of non-investment advisory services provided by the Advisor,
including administrative services. After analyzing the caliber of services
provided by the Advisor to the Fund, both quantitatively and qualitatively,
including the impact of these services on investment performance, the Board
concluded that the nature, extent and quality of services provided to the Fund
were consistent with the operational requirements of the Fund and met the needs
of the shareholders of the Fund.
In considering the performance of the Fund, the Board analyzed the Access
Data Reports, which compared the performance of the Fund with other funds in
its respective peer group and investment category. The Board also reviewed the
performance analysis prepared by the Advisor, which presented the performance
of the Fund and its benchmark index, over multiple performance periods, along
with the Advisor's explanation of the performance. The Board concluded that the
Advisor's explanations provided a sound basis for understanding the comparative
performance of the Fund. The Board determined, among other things, that after
considering the Fund's investment strategies and the expectations of its
shareholder base, the performance of the Fund was reasonable as compared with
relevant performance standards and appropriate market indexes.
When considering the fees and expenses borne by the Fund, and considering
the reasonableness of the management fees paid to the Advisor in light of the
services provided to the Fund and any additional benefits received by the
Advisor in connection with providing such services, the Board compared the fees
charged by the Advisor to the Fund to the fees charged to the funds in its peer
group for comparable services as provided in the Access Data Reports. The Board
concluded that the effective management fees and total expenses of the Fund
over various periods were favorable in relation to those of its peer funds, and
that the management fees were fair, both on an absolute basis and in comparison
with the fees of other funds identified in the peer groups and the industry at
large.
The Board considered the profitability of the Fund to the Advisor by
reviewing the profitability analysis provided by the Advisor, including
information about its fee revenues and income. The Board reviewed the overall
profitability of the Advisor, and the compensation that it received for
providing services to the Fund. The Board considered the profitability to the
Advisor of managing and servicing the Fund and the Advisor's unregistered
clients, such as collective trusts, group trusts and separate accounts. Upon
closely examining the Advisor's profitability, the Board concluded, among other
things, that it was reasonable.
The Board also discussed whether economies of scale are realized by the
Advisor with respect to the Fund as it grows larger, and the extent to which
this is reflected in the level of management fees charged. For several reasons,
the Board concluded that economies of scale and the reflection of such
economies of scale in the level of management fees charged were inapplicable to
the Fund at the present time, due to the current level of fees and expenses and
the profitability of the Fund.
After full consideration of the factors discussed above, with no single
factor identified as being of paramount importance, the Board, including the
Independent Board Members, with the assistance of independent counsel,
concluded that the continuation of the Management Agreement for the Fund was in
the best interests of the Fund and its shareholders.
17
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant that provided a summary schedule of portfolio holdings in a report
to stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF
INVESTMENTS IS PROVIDED
The U.S. Large Cap Value Series
The DFA International Value Series
The Japanese Small Company Series
The Asia Pacific Small Company Series
The United Kingdom Small Company
Series
The Continental Small Company Series
The Canadian Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
The Tax-Managed U.S. Marketwide Value
Series
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (96.8%)
COMMUNICATION SERVICES -- (9.1%)
# Altice USA, Inc., Class A.......................... 584,995 $ 13,782,482
AT&T, Inc.......................................... 35,433,006 1,097,005,866
# CenturyLink, Inc................................... 7,391,428 84,410,108
* Charter Communications, Inc., Class A.............. 940,732 349,190,311
Comcast Corp., Class A............................. 21,941,529 955,114,757
# * Discovery, Inc., Class A........................... 1,025,284 31,681,276
* Discovery, Inc., Class C........................... 1,468,143 42,223,793
# * DISH Network Corp., Class A........................ 438,597 15,403,527
# * GCI Liberty, Inc., Class A......................... 59,566 3,551,325
Interpublic Group of Cos., Inc. (The).............. 407,368 9,369,464
* Liberty Broadband Corp., Class A................... 27,366 2,692,541
# * Liberty Broadband Corp., Class C................... 172,660 17,043,269
# * Liberty Media Corp.-Liberty Formula One, Class A... 39,281 1,483,251
* Liberty Media Corp.-Liberty Formula One, Class C... 78,562 3,048,991
* Liberty Media Corp.-Liberty SiriusXM, Class A...... 157,126 6,275,612
* Liberty Media Corp.-Liberty SiriusXM, Class C...... 314,252 12,620,360
* Madison Square Garden Co. (The), Class A........... 12,058 3,767,401
News Corp., Class A................................ 527,829 6,555,636
News Corp., Class B................................ 64,856 810,051
# * Sprint Corp........................................ 2,014,058 11,238,444
* T-Mobile US, Inc................................... 1,093,947 79,847,191
Viacom, Inc., Class A.............................. 4,879 169,057
Viacom, Inc., Class B.............................. 1,836,044 53,080,032
Walt Disney Co. (The).............................. 113,677 15,570,339
--------------
TOTAL COMMUNICATION SERVICES............................ 2,815,935,084
--------------
CONSUMER DISCRETIONARY -- (7.1%)
Advance Auto Parts, Inc............................ 259,412 43,145,404
Aramark............................................ 948,310 29,473,475
# Autoliv, Inc....................................... 418,017 32,810,154
BorgWarner, Inc.................................... 1,108,515 46,302,672
# * Caesars Entertainment Corp......................... 154,842 1,449,321
# * CarMax, Inc........................................ 262,735 20,456,547
Carnival Corp...................................... 1,353,266 74,240,173
* Dollar Tree, Inc................................... 797,992 88,800,550
DR Horton, Inc..................................... 3,053,585 135,304,351
Foot Locker, Inc................................... 499,764 28,591,498
Ford Motor Co...................................... 16,051,999 167,743,390
# Gap, Inc. (The).................................... 783,458 20,432,585
Garmin, Ltd........................................ 537,036 46,045,467
General Motors Co.................................. 6,055,833 235,874,695
Gentex Corp........................................ 1,387,044 31,943,623
Goodyear Tire & Rubber Co. (The)................... 1,225,284 23,537,706
# Harley-Davidson, Inc............................... 509,141 18,955,319
# Hyatt Hotels Corp., Class A........................ 139,548 10,707,518
# Kohl's Corp........................................ 1,636,864 116,381,030
Lear Corp.......................................... 355,345 50,814,335
Lennar Corp., Class A.............................. 939,354 48,874,589
Lennar Corp., Class B.............................. 37,985 1,584,734
# * LKQ Corp........................................... 1,629,947 49,061,405
# Macy's, Inc........................................ 2,356,380 55,469,185
MGM Resorts International.......................... 2,471,336 65,811,678
* Mohawk Industries, Inc............................. 582,542 79,371,347
# Newell Brands, Inc................................. 686,895 9,877,550
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
CONSUMER DISCRETIONARY -- (Continued)
* Norwegian Cruise Line Holdings, Ltd................ 1,521,501 $ 85,797,441
PulteGroup, Inc.................................... 2,391,049 75,222,401
PVH Corp........................................... 453,566 58,505,478
* Qurate Retail, Inc................................. 2,762,021 47,092,458
Ralph Lauren Corp.................................. 326,288 42,932,975
Royal Caribbean Cruises, Ltd....................... 1,239,713 149,930,890
* Skechers U.S.A., Inc., Class A..................... 31,900 1,009,954
Tapestry, Inc...................................... 359,565 11,603,163
Target Corp........................................ 1,473,116 114,048,641
Toll Brothers, Inc................................. 212,428 8,093,507
# * Veoneer, Inc....................................... 324,704 7,166,217
# Whirlpool Corp..................................... 504,658 70,056,624
--------------
TOTAL CONSUMER DISCRETIONARY............................ 2,204,520,050
--------------
CONSUMER STAPLES -- (5.1%)
Archer-Daniels-Midland Co.......................... 1,273,313 56,789,760
Bunge, Ltd......................................... 586,005 30,712,522
# Conagra Brands, Inc................................ 318,122 9,791,795
# Constellation Brands, Inc., Class A................ 211,260 44,717,404
# Coty, Inc., Class A................................ 419,572 4,539,769
Ingredion, Inc..................................... 246,558 23,361,370
# JM Smucker Co. (The)............................... 897,022 110,001,808
# Kraft Heinz Co. (The).............................. 974,551 32,394,075
Kroger Co. (The)................................... 2,545,010 65,610,358
Molson Coors Brewing Co., Class B.................. 1,072,046 68,814,633
Mondelez International, Inc., Class A.............. 3,530,822 179,542,299
* Pilgrim's Pride Corp............................... 6,211 167,138
* Post Holdings, Inc................................. 394,384 44,478,627
# Seaboard Corp...................................... 13 58,443
Tyson Foods, Inc., Class A......................... 1,750,467 131,302,530
* US Foods Holding Corp.............................. 1,060,209 38,750,639
Walgreens Boots Alliance, Inc...................... 3,401,321 182,208,766
Walmart, Inc....................................... 5,346,820 549,866,969
--------------
TOTAL CONSUMER STAPLES............................................. 1,573,108,905
--------------
ENERGY -- (14.1%)
Anadarko Petroleum Corp............................ 1,045,026 76,130,144
# Apache Corp........................................ 2,420,600 79,661,946
# Baker Hughes a GE Co............................... 820,593 19,710,644
Chevron Corp....................................... 8,332,828 1,000,439,330
# Cimarex Energy Co.................................. 164,116 11,268,205
Concho Resources, Inc.............................. 803,854 92,748,674
ConocoPhillips..................................... 5,133,675 324,037,566
Devon Energy Corp.................................. 1,783,080 57,308,191
Diamondback Energy, Inc............................ 521,040 55,433,446
Exxon Mobil Corp................................... 14,447,635 1,159,856,138
# Helmerich & Payne, Inc............................. 360,314 21,085,575
# Hess Corp.......................................... 942,191 60,413,287
HollyFrontier Corp................................. 1,384,206 66,068,152
Kinder Morgan, Inc................................. 7,052,891 140,140,944
Marathon Oil Corp.................................. 6,031,073 102,769,484
Marathon Petroleum Corp............................ 3,692,836 224,782,927
Murphy Oil Corp.................................... 727,091 19,805,959
National Oilwell Varco, Inc........................ 1,225,519 32,035,067
# Noble Energy, Inc.................................. 2,942,820 79,632,709
Occidental Petroleum Corp.......................... 3,079,335 181,311,245
* Parsley Energy, Inc., Class A...................... 301,021 6,008,379
PBF Energy, Inc., Class A.......................... 24,537 823,952
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
ENERGY -- (Continued)
Phillips 66........................................ 1,085,777 $ 102,356,198
Pioneer Natural Resources Co....................... 347,819 57,897,951
Schlumberger, Ltd.................................. 1,545,495 65,961,727
# Targa Resources Corp............................... 1,077,933 43,279,010
# TechnipFMC P.L.C................................... 1,440,051 35,410,854
# * Transocean, Ltd.................................... 586,439 4,609,410
Valero Energy Corp................................. 2,510,791 227,628,312
Williams Cos., Inc. (The).......................... 833,584 23,615,435
# * WPX Energy, Inc.................................... 336,015 4,667,248
--------------
TOTAL ENERGY............................................ 4,376,898,109
--------------
FINANCIALS -- (21.9%)
Aflac, Inc......................................... 2,358,348 118,813,572
* Alleghany Corp..................................... 33,873 22,250,496
Allstate Corp. (The)............................... 958,907 94,989,328
Ally Financial, Inc................................ 2,960,989 87,970,983
American Financial Group, Inc...................... 352,608 36,505,506
American International Group, Inc.................. 1,399,338 66,566,509
* Arch Capital Group, Ltd............................ 538,218 18,181,004
Assurant, Inc...................................... 226,026 21,472,470
* Athene Holding, Ltd., Class A...................... 102,152 4,613,184
Axis Capital Holdings, Ltd......................... 110,882 6,303,642
Bank of America Corp............................... 17,339,347 530,237,201
Bank of New York Mellon Corp. (The)................ 3,775,210 187,476,929
# BB&T Corp.......................................... 2,089,291 106,971,699
* Berkshire Hathaway, Inc., Class B.................. 2,954,909 640,358,329
BOK Financial Corp................................. 6,114 532,774
Capital One Financial Corp......................... 2,121,634 196,951,284
Chubb, Ltd......................................... 590,560 85,749,312
CIT Group, Inc..................................... 473,057 25,199,746
Citigroup, Inc..................................... 7,147,502 505,328,391
Citizens Financial Group, Inc...................... 912,076 33,017,151
CNA Financial Corp................................. 195,005 9,034,582
Comerica, Inc...................................... 32,500 2,554,175
East West Bancorp, Inc............................. 27,696 1,425,790
Everest Re Group, Ltd.............................. 128,591 30,283,181
Fifth Third Bancorp................................ 4,857,785 140,001,364
Goldman Sachs Group, Inc. (The).................... 1,573,221 323,957,668
Hartford Financial Services Group, Inc. (The)...... 2,304,192 120,532,284
# Huntington Bancshares, Inc......................... 6,621,934 92,177,321
Invesco, Ltd....................................... 920,299 20,218,969
# Janus Henderson Group P.L.C........................ 19,392 486,158
Jefferies Financial Group, Inc..................... 303,442 6,241,802
JPMorgan Chase & Co................................ 8,086,435 938,430,782
KeyCorp............................................ 4,138,937 72,638,344
Lincoln National Corp.............................. 841,098 56,118,059
Loews Corp......................................... 1,192,580 61,167,428
M&T Bank Corp...................................... 137,746 23,426,462
* Markel Corp........................................ 10 10,715
MetLife, Inc....................................... 1,722,503 79,459,063
Morgan Stanley..................................... 5,549,021 267,740,263
# New York Community Bancorp, Inc.................... 922,610 10,729,954
Old Republic International Corp.................... 816,263 18,251,641
# PacWest Bancorp.................................... 282,094 11,156,818
# People's United Financial, Inc..................... 396,896 6,862,332
PNC Financial Services Group, Inc. (The)........... 1,313,525 179,860,978
Principal Financial Group, Inc..................... 1,705,517 97,487,352
# Prosperity Bancshares, Inc......................... 53,792 3,961,243
Prudential Financial, Inc.......................... 751,138 79,402,798
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
FINANCIALS -- (Continued)
Regions Financial Corp............................. 6,240,662 $ 96,917,481
Reinsurance Group of America, Inc.................. 239,920 36,350,279
# RenaissanceRe Holdings, Ltd........................ 118,695 18,440,455
# Santander Consumer USA Holdings, Inc............... 809,133 17,274,990
State Street Corp.................................. 412,299 27,896,150
SunTrust Banks, Inc................................ 1,285,995 84,206,953
Synchrony Financial................................ 949,129 32,906,303
Synovus Financial Corp............................. 261,271 9,630,449
Travelers Cos., Inc. (The)......................... 1,165,331 167,516,331
Unum Group......................................... 831,133 30,685,430
Voya Financial, Inc................................ 184,436 10,123,692
Wells Fargo & Co................................... 15,105,491 731,256,819
WR Berkley Corp.................................... 534,336 32,754,797
# Zions Bancorp NA................................... 922,609 45,512,302
--------------
TOTAL FINANCIALS........................................ 6,784,579,467
--------------
HEALTH CARE -- (13.9%)
Abbott Laboratories................................ 4,087,436 325,196,408
Allergan P.L.C..................................... 496,938 73,049,886
Anthem, Inc........................................ 1,376,563 362,077,366
Becton Dickinson and Co............................ 47,308 11,388,928
* Bio-Rad Laboratories, Inc., Class A................ 21,944 6,603,608
Cardinal Health, Inc............................... 1,267,590 61,744,309
* Centene Corp....................................... 1,547,126 79,769,817
* Cigna Corp......................................... 1,485,867 236,015,114
CVS Health Corp.................................... 5,855,936 318,445,800
Danaher Corp....................................... 1,886,239 249,813,493
* DaVita, Inc........................................ 1,134,770 62,684,695
DENTSPLY SIRONA, Inc............................... 220,294 11,263,632
# * Henry Schein, Inc.................................. 164,463 10,535,500
Humana, Inc........................................ 529,635 135,274,075
* IQVIA Holdings, Inc................................ 543,735 75,524,791
* Jazz Pharmaceuticals P.L.C......................... 204,648 26,557,171
* Laboratory Corp. of America Holdings............... 757,506 121,140,359
McKesson Corp...................................... 681,683 81,290,698
Medtronic P.L.C.................................... 4,359,974 387,209,291
* Mylan NV........................................... 3,245,750 87,602,792
# PerkinElmer, Inc................................... 110,802 10,619,264
# Perrigo Co. P.L.C.................................. 386,545 18,523,236
Pfizer, Inc........................................ 24,583,746 998,345,925
Quest Diagnostics, Inc............................. 955,008 92,043,671
* STERIS P.L.C....................................... 209,661 27,461,398
# * Syneos Health, Inc................................. 13,705 643,176
Thermo Fisher Scientific, Inc...................... 1,073,774 297,918,596
* United Therapeutics Corp........................... 191,973 19,690,671
# Universal Health Services, Inc., Class B........... 538,930 68,374,049
* WellCare Health Plans, Inc......................... 37,753 9,753,488
Zimmer Biomet Holdings, Inc........................ 322,650 39,737,574
--------------
TOTAL HEALTH CARE....................................... 4,306,298,781
--------------
INDUSTRIALS -- (10.2%)
Acuity Brands, Inc................................. 4,965 726,528
# * AECOM.............................................. 520,350 17,639,865
AGCO Corp.......................................... 438,069 31,006,524
# Alaska Air Group, Inc.............................. 606,171 37,521,985
# AMERCO............................................. 77,034 28,746,778
Arconic, Inc....................................... 2,007,289 43,116,568
Arcosa, Inc........................................ 81,906 2,549,734
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
INDUSTRIALS -- (Continued)
Carlisle Cos., Inc................................. 360,870 $ 51,034,235
Cummins, Inc....................................... 400,577 66,611,949
Delta Air Lines, Inc............................... 2,950,569 171,988,667
Dover Corp......................................... 724,763 71,055,765
Eaton Corp. P.L.C.................................. 1,816,899 150,475,575
FedEx Corp......................................... 1,023,792 193,967,632
Fluor Corp......................................... 790,150 31,392,660
Fortune Brands Home & Security, Inc................ 462,957 24,434,870
# * Gardner Denver Holdings, Inc....................... 81,351 2,745,596
General Electric Co................................ 9,060,025 92,140,454
# * Genesee & Wyoming, Inc., Class A................... 58,287 5,167,143
Hubbell, Inc....................................... 27,996 3,572,290
Ingersoll-Rand P.L.C............................... 830,409 101,816,447
Jacobs Engineering Group, Inc...................... 415,660 32,396,540
* JetBlue Airways Corp............................... 2,305,410 42,765,355
Johnson Controls International P.L.C............... 2,804,749 105,178,087
Kansas City Southern............................... 678,198 83,513,302
L3 Technologies, Inc............................... 393,538 86,019,536
ManpowerGroup, Inc................................. 395,462 37,980,170
Nielsen Holdings P.L.C............................. 1,268,599 32,387,332
Norfolk Southern Corp.............................. 1,385,379 282,645,024
nVent Electric P.L.C............................... 1,031,245 28,823,298
Oshkosh Corp....................................... 362,340 29,925,661
Owens Corning...................................... 810,816 41,570,536
PACCAR, Inc........................................ 768,804 55,100,183
Pentair P.L.C...................................... 1,025,620 39,988,924
Quanta Services, Inc............................... 653,713 26,540,748
Republic Services, Inc............................. 1,904,674 157,745,101
# * Sensata Technologies Holding P.L.C................. 635,184 31,721,089
# Snap-on, Inc....................................... 315,643 53,116,404
Southwest Airlines Co.............................. 1,385,529 75,137,238
Stanley Black & Decker, Inc........................ 1,036,769 151,990,335
Textron, Inc....................................... 1,940,539 102,848,567
* United Continental Holdings, Inc................... 1,791,923 159,230,278
* United Rentals, Inc................................ 37,200 5,242,224
United Technologies Corp........................... 2,077,962 296,338,161
# Wabtec Corp........................................ 304,785 22,575,425
# * XPO Logistics, Inc................................. 847,283 57,683,027
--------------
TOTAL INDUSTRIALS....................................... 3,166,173,810
--------------
INFORMATION TECHNOLOGY -- (10.3%)
* Akamai Technologies, Inc........................... 37,876 3,032,353
Amdocs, Ltd........................................ 700,307 38,572,910
Analog Devices, Inc................................ 609,183 70,811,432
* Arrow Electronics, Inc............................. 652,120 55,110,661
Avnet, Inc......................................... 494,284 24,027,145
Broadcom, Inc...................................... 457,974 145,818,922
* Ciena Corp......................................... 75,200 2,884,672
Cisco Systems, Inc................................. 4,131,076 231,133,702
Corning, Inc....................................... 3,685,701 117,389,577
Cypress Semiconductor Corp......................... 93,842 1,612,206
* Dell Technologies, Class C......................... 395,882 26,686,406
Dolby Laboratories, Inc., Class A.................. 16,857 1,090,479
DXC Technology Co.................................. 1,347,255 88,568,544
Fidelity National Information Services, Inc........ 1,231,562 142,774,983
* Flex, Ltd.......................................... 1,392,460 15,372,758
Hewlett Packard Enterprise Co...................... 7,597,949 120,123,574
HP, Inc............................................ 9,619,949 191,917,982
Intel Corp......................................... 22,465,295 1,146,628,657
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
INFORMATION TECHNOLOGY -- (Continued)
# * IPG Photonics Corp................................. 1,434 $ 250,563
Jabil, Inc......................................... 235,135 7,103,428
Juniper Networks, Inc.............................. 2,261,055 62,789,497
Lam Research Corp.................................. 71,254 14,780,217
Leidos Holdings, Inc............................... 739,121 54,310,611
# Marvell Technology Group, Ltd...................... 1,039,678 26,012,744
* Micron Technology, Inc............................. 5,266,057 221,490,357
MKS Instruments, Inc............................... 500 45,505
* Nuance Communications, Inc......................... 5,268 88,660
* ON Semiconductor Corp.............................. 1,905,615 43,943,482
* Qorvo, Inc......................................... 497,144 37,589,058
Skyworks Solutions, Inc............................ 258,206 22,768,605
SS&C Technologies Holdings, Inc.................... 125,493 8,490,856
SYNNEX Corp........................................ 39,666 4,279,168
TE Connectivity, Ltd............................... 990,455 94,737,021
# Western Digital Corp............................... 1,416,253 72,398,853
* Worldpay, Inc., Class A............................ 338,367 39,659,996
Xerox Corp......................................... 1,739,519 58,030,354
--------------
TOTAL INFORMATION TECHNOLOGY............................ 3,192,325,938
--------------
MATERIALS -- (4.5%)
Air Products & Chemicals, Inc...................... 389,905 80,238,550
# Albemarle Corp..................................... 584,580 43,878,575
# * Alcoa Corp......................................... 830,728 22,163,823
Ashland Global Holdings, Inc....................... 317,279 25,550,478
Ball Corp.......................................... 481,524 28,862,549
CF Industries Holdings, Inc........................ 1,284,847 57,535,449
* Dow, Inc........................................... 1,044,326 59,244,614
DowDuPont, Inc..................................... 3,134,679 120,528,408
Eastman Chemical Co................................ 1,058,943 83,529,424
Freeport-McMoRan, Inc.............................. 6,322,109 77,825,162
Huntsman Corp...................................... 582,473 12,954,199
# International Flavors & Fragrances, Inc............ 30,072 4,143,621
International Paper Co............................. 1,927,977 90,248,603
Linde P.L.C........................................ 363,794 65,577,506
LyondellBasell Industries NV, Class A.............. 458,633 40,465,190
# Martin Marietta Materials, Inc..................... 262,481 58,244,534
Mosaic Co. (The)................................... 1,232,432 32,178,799
# Newmont Goldcorp Corp.............................. 2,941,540 91,364,232
Nucor Corp......................................... 2,517,086 143,650,098
Packaging Corp. of America......................... 60,987 6,047,471
Reliance Steel & Aluminum Co....................... 456,094 41,942,404
# Royal Gold, Inc.................................... 121,993 10,620,711
# Sonoco Products Co................................. 172,782 10,895,633
Steel Dynamics, Inc................................ 1,698,064 53,794,667
# Valvoline, Inc..................................... 1,033,732 19,124,042
# Vulcan Materials Co................................ 517,644 65,280,085
# Westlake Chemical Corp............................. 371,564 25,916,589
WestRock Co........................................ 1,056,585 40,551,732
--------------
TOTAL MATERIALS......................................... 1,412,357,148
--------------
REAL ESTATE -- (0.3%)
* CBRE Group, Inc., Class A.......................... 735,801 38,313,158
# * Howard Hughes Corp. (The).......................... 10,913 1,211,343
Jones Lang LaSalle, Inc............................ 309,764 47,880,222
--------------
TOTAL REAL ESTATE....................................... 87,404,723
--------------
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
----------- ---------------
UTILITIES -- (0.3%)
MDU Resources Group, Inc........................... 248,941 $ 6,509,807
NRG Energy, Inc.................................... 1,445,428 59,508,271
Vistra Energy Corp................................. 1,043,212 28,427,527
---------------
TOTAL UTILITIES............................................ 94,445,605
---------------
TOTAL COMMON STOCKS........................................ 30,014,047,620
---------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
State Street Institutional U.S. Government Money
Market Fund 2.370%............................... 276,182,719 276,182,719
---------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@ (S) The DFA Short Term Investment Fund................. 60,841,593 703,998,078
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $23,161,639,466)................................... $30,994,228,417
===============
P.L.C. Public Limited Company
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
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
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
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.
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
COMMON STOCKS -- (93.8%)
AUSTRALIA -- (5.7%)
AMP, Ltd........................................... 7,180,545 $ 11,509,945
Aurizon Holdings, Ltd.............................. 1,818,522 6,102,061
# Australia & New Zealand Banking Group, Ltd......... 10,445,267 200,388,023
# Bank of Queensland, Ltd............................ 1,684,752 11,010,887
Bendigo & Adelaide Bank, Ltd....................... 2,091,342 15,190,066
BlueScope Steel, Ltd............................... 3,397,511 32,285,832
Boral, Ltd......................................... 3,519,492 12,049,475
# Challenger, Ltd.................................... 39,058 226,105
Crown Resorts, Ltd................................. 89,944 843,136
Downer EDI, Ltd.................................... 2,503,006 13,666,131
Fortescue Metals Group, Ltd........................ 11,576,950 58,500,714
# Harvey Norman Holdings, Ltd........................ 2,695,782 7,925,949
Incitec Pivot, Ltd................................. 7,668,070 18,222,431
LendLease Group.................................... 1,329,871 12,470,699
National Australia Bank, Ltd....................... 3,921,197 70,013,084
Newcrest Mining, Ltd............................... 1,312,121 23,178,904
Oil Search, Ltd.................................... 377,979 2,069,975
Origin Energy, Ltd................................. 4,569,716 23,746,841
QBE Insurance Group, Ltd........................... 3,591,778 32,760,781
Qube Holdings, Ltd................................. 11,942 23,837
Santos, Ltd........................................ 5,515,003 27,909,269
South32, Ltd....................................... 16,852,355 39,802,239
Star Entertainment Grp, Ltd. (The)................. 3,958,059 12,673,640
Suncorp Group, Ltd................................. 2,432,536 22,764,285
Tabcorp Holdings, Ltd.............................. 4,043,385 13,653,247
# Westpac Banking Corp............................... 124,729 2,423,035
# Whitehaven Coal, Ltd............................... 4,495,686 13,333,452
Woodside Petroleum, Ltd............................ 2,358,510 58,797,004
WorleyParsons, Ltd................................. 648,053 6,530,265
------------
TOTAL AUSTRALIA........................................ 750,071,312
------------
AUSTRIA -- (0.1%)
Raiffeisen Bank International AG................... 321,838 8,584,145
Voestalpine AG..................................... 19,052 612,980
------------
TOTAL AUSTRIA.......................................... 9,197,125
------------
BELGIUM -- (0.9%)
Ageas.............................................. 585,067 30,918,119
KBC Group NV....................................... 565,642 41,990,917
Solvay SA.......................................... 314,975 37,978,341
UCB SA............................................. 153,708 12,216,550
------------
TOTAL BELGIUM.......................................... 123,103,927
------------
CANADA -- (8.2%)
# AltaGas, Ltd....................................... 455,083 6,049,883
# ARC Resources, Ltd................................. 908,544 5,771,229
Bank of Montreal................................... 1,395,536 110,205,478
# Bank of Nova Scotia (The).......................... 993,350 54,693,851
Barrick Gold Corp.................................. 2,326,768 29,577,412
Barrick Gold Corp.................................. 789,440 10,041,677
* Bausch Health Cos., Inc............................ 863,983 19,949,367
Cameco Corp........................................ 468,671 5,170,529
Cameco Corp........................................ 571,821 6,312,904
Canadian Imperial Bank of Commerce................. 133,004 11,201,597
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
CANADA -- (Continued)
Canadian Natural Resources, Ltd.................... 496,828 $ 14,915,595
Canadian Natural Resources, Ltd.................... 2,862,125 85,806,507
# Cenovus Energy, Inc................................ 2,110,053 20,910,625
# Crescent Point Energy Corp......................... 339,851 1,318,623
Empire Co., Ltd., Class A.......................... 377,027 8,386,508
Encana Corp........................................ 1,615,618 11,191,263
Encana Corp........................................ 846,145 5,863,785
Fairfax Financial Holdings, Ltd.................... 101,784 48,539,047
First Quantum Minerals, Ltd........................ 1,844,735 19,484,211
# Genworth MI Canada, Inc............................ 153,865 4,781,220
Great-West Lifeco, Inc............................. 466,411 11,722,071
Husky Energy, Inc.................................. 1,715,497 18,618,591
* IA Financial Crop., Inc............................ 573,199 22,821,852
# Imperial Oil, Ltd.................................. 187,707 5,453,129
Imperial Oil, Ltd.................................. 470,908 13,694,005
* Kinross Gold Corp.................................. 6,772,750 21,536,101
Linamar Corp....................................... 182,108 6,908,060
Lundin Mining Corp................................. 3,704,564 19,881,925
Magna International, Inc........................... 783,707 43,605,457
Manulife Financial Corp............................ 1,802,195 33,186,647
# Manulife Financial Corp............................ 1,408,975 25,939,230
Metro, Inc......................................... 19,025 688,746
# Nutrien, Ltd....................................... 603,968 32,722,975
* Seven Generations Energy, Ltd., Class A............ 767,641 6,016,444
SNC-Lavalin Group, Inc............................. 22,072 550,276
# * Stars Group, Inc. (The)............................ 255,891 4,833,781
Sun Life Financial, Inc............................ 794,449 33,006,667
Sun Life Financial, Inc............................ 406,283 16,872,933
Suncor Energy, Inc................................. 3,145,721 103,738,099
Suncor Energy, Inc................................. 1,502,973 49,598,109
Teck Resources, Ltd., Class B...................... 1,355,792 32,060,529
Teck Resources, Ltd., Class B...................... 1,867,648 44,169,875
TMX Group, Ltd..................................... 135,224 8,625,993
Tourmaline Oil Corp................................ 1,225,804 18,327,129
# * Turquoise Hill Resources, Ltd...................... 1,744,848 2,604,834
* Turquoise Hill Resources, Ltd...................... 127,382 191,073
West Fraser Timber Co., Ltd........................ 24,306 1,251,314
Wheaton Precious Metals Corp....................... 230,837 5,004,546
Whitecap Resources, Inc............................ 46,739 188,044
WSP Global, Inc.................................... 17,433 941,333
--------------
TOTAL CANADA............................................ 1,064,931,079
--------------
DENMARK -- (1.6%)
AP Moller - Maersk A.S., Class A................... 7,614 9,313,621
AP Moller - Maersk A.S., Class B................... 7,899 10,182,554
Carlsberg A.S., Class B............................ 288,439 37,295,395
Danske Bank A.S.................................... 950,671 16,896,996
* Drilling Co. of 1972 A.S. (The).................... 31,026 2,381,847
DSV A.S............................................ 281,831 26,116,660
# H Lundbeck A.S..................................... 217,057 9,150,789
ISS A.S............................................ 553,648 17,241,493
Rockwool International A.S., Class B............... 21,183 5,667,483
Tryg A.S........................................... 158,072 4,837,741
Vestas Wind Systems A.S............................ 774,838 70,110,338
--------------
TOTAL DENMARK........................................... 209,194,917
--------------
FINLAND -- (0.7%)
Fortum Oyj......................................... 1,162,352 24,654,081
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
FINLAND -- (Continued)
Nokia Oyj.......................................... 2,305,317 $ 12,113,547
Stora Enso Oyj, Class R............................ 1,157,812 14,418,826
UPM-Kymmene Oyj.................................... 1,258,242 35,526,226
--------------
TOTAL FINLAND.......................................... 86,712,680
--------------
FRANCE -- (9.7%)
Amundi SA.......................................... 15,838 1,139,500
Arkema SA.......................................... 208,829 21,441,847
# AXA SA............................................. 2,698,893 71,970,160
BNP Paribas SA..................................... 1,990,380 105,954,082
Bollore SA......................................... 1,707,770 8,123,497
# Bouygues SA........................................ 1,023,747 38,536,263
Carrefour SA....................................... 2,420,581 47,177,203
# Casino Guichard Perrachon SA....................... 97,923 4,009,438
Cie de Saint-Gobain................................ 1,557,425 63,854,347
# Cie Generale des Etablissements Michelin SCA....... 637,668 82,457,178
# CNP Assurances..................................... 584,638 13,809,589
Credit Agricole SA................................. 1,053,519 14,466,969
Electricite de France SA........................... 1,705,570 24,631,730
Engie SA........................................... 2,682,613 39,816,693
Iliad SA........................................... 12,285 1,251,560
# Natixis SA......................................... 3,147,635 18,548,195
Orange SA.......................................... 5,978,647 93,437,594
# Peugeot SA......................................... 3,133,702 82,162,147
Renault SA......................................... 1,007,824 68,760,191
# Sanofi............................................. 203,592 17,763,253
# SCOR SE............................................ 331,761 13,544,005
SES SA............................................. 240,518 4,095,463
# Societe Generale SA................................ 1,417,282 44,944,160
# Total SA........................................... 6,874,996 382,186,256
# Valeo SA........................................... 27,832 1,012,326
--------------
TOTAL FRANCE........................................... 1,265,093,646
--------------
GERMANY -- (6.2%)
1&1 Drillisch AG................................... 13,439 501,847
BASF SE............................................ 28,252 2,306,520
Bayer AG........................................... 1,485,062 98,808,321
Bayerische Motoren Werke AG........................ 1,225,665 104,559,550
* Commerzbank AG..................................... 3,217,449 29,000,128
Continental AG..................................... 36,397 6,037,926
Daimler AG......................................... 3,530,733 231,743,105
Deutsche Bank AG................................... 1,938,873 16,078,052
Deutsche Bank AG................................... 1,679,248 13,904,173
Deutsche Lufthansa AG.............................. 1,604,407 38,816,596
Deutsche Telekom AG................................ 147,227 2,466,774
Evonik Industries AG............................... 444,408 13,266,759
Fraport AG Frankfurt Airport Services Worldwide.... 186,460 15,521,879
Hapag-Lloyd AG..................................... 24,436 752,339
HeidelbergCement AG................................ 722,761 58,485,865
* Innogy SE.......................................... 306,432 13,293,069
METRO AG........................................... 392,239 6,664,735
Muenchener Rueckversicherungs-Gesellschaft AG in
Muenchen......................................... 195,269 48,593,440
RWE AG............................................. 1,563,452 40,102,607
* Talanx AG.......................................... 207,392 8,299,871
Telefonica Deutschland Holding AG.................. 3,588,412 11,652,781
Uniper SE.......................................... 842,588 25,566,999
Volkswagen AG...................................... 125,075 22,425,566
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
GERMANY -- (Continued)
Wacker Chemie AG................................... 14,750 $ 1,296,647
------------
TOTAL GERMANY.......................................... 810,145,549
------------
HONG KONG -- (3.3%)
Bank of East Asia, Ltd. (The)...................... 75,125 237,132
BOC Aviation, Ltd.................................. 647,400 5,564,718
Cathay Pacific Airways, Ltd........................ 5,830,000 9,817,815
CK Asset Holdings, Ltd............................. 2,590,500 20,829,016
CK Hutchison Holdings, Ltd......................... 7,657,984 80,515,350
Great Eagle Holdings, Ltd.......................... 23,627 111,347
Guoco Group, Ltd................................... 9,000 134,083
# Hang Lung Group, Ltd............................... 3,168,000 9,448,260
Hang Lung Properties, Ltd.......................... 5,009,000 11,789,811
Henderson Land Development Co., Ltd................ 2,051,350 12,642,780
Hopewell Holdings, Ltd............................. 938,669 4,642,611
Kerry Properties, Ltd.............................. 3,067,000 13,127,886
Melco International Development, Ltd............... 257,000 631,528
MTR Corp., Ltd..................................... 2,030,502 12,096,571
New World Development Co., Ltd..................... 22,685,168 37,582,754
# NWS Holdings, Ltd.................................. 3,732,400 7,761,630
Shangri-La Asia, Ltd............................... 3,398,000 4,817,627
Sino Land Co., Ltd................................. 8,949,867 15,743,308
SJM Holdings, Ltd.................................. 5,295,000 6,402,686
Sun Hung Kai Properties, Ltd....................... 4,291,920 74,071,412
Swire Pacific, Ltd., Class A....................... 2,580,500 32,678,055
Swire Pacific, Ltd., Class B....................... 3,447,500 6,837,676
WH Group, Ltd...................................... 8,773,000 10,380,327
Wharf Holdings, Ltd. (The)......................... 5,693,990 16,364,336
Wheelock & Co., Ltd................................ 3,072,000 21,892,343
Xinyi Glass Holdings, Ltd.......................... 1,106,000 1,264,962
Yue Yuen Industrial Holdings, Ltd.................. 3,053,000 9,861,127
------------
TOTAL HONG KONG........................................ 427,247,151
------------
IRELAND -- (0.3%)
AIB Group P.L.C.................................... 663,729 3,083,599
Bank of Ireland Group P.L.C........................ 2,070,103 13,233,160
CRH P.L.C.......................................... 293,793 9,883,404
CRH P.L.C., Sponsored ADR.......................... 198,709 6,686,558
Paddy Power Betfair P.L.C.......................... 93,007 7,799,027
------------
TOTAL IRELAND.......................................... 40,685,748
------------
ISRAEL -- (0.5%)
Bank Hapoalim BM................................... 2,736,994 20,149,231
Bank Leumi Le-Israel BM............................ 3,135,283 21,470,231
* First International Bank Of Israel, Ltd............ 86,561 2,175,354
Israel Discount Bank, Ltd., Class A................ 3,467,375 13,535,513
Mizrahi Tefahot Bank, Ltd.......................... 83,997 1,818,291
------------
TOTAL ISRAEL........................................... 59,148,620
------------
ITALY -- (1.9%)
Assicurazioni Generali SpA......................... 836,611 16,231,960
Eni SpA............................................ 256,573 4,372,296
# Fiat Chrysler Automobiles NV....................... 2,776,827 42,794,775
Fiat Chrysler Automobiles NV....................... 1,744,870 26,888,447
Intesa Sanpaolo SpA................................ 20,933,480 54,846,059
Mediobanca Banca di Credito Finanziario SpA........ 872,238 9,245,116
* Telecom Italia SpA................................. 63,812,045 35,720,397
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
ITALY -- (Continued)
* Telecom Italia SpA, Sponsored ADR.................. 1,847,002 $ 10,195,451
UniCredit SpA...................................... 3,293,998 45,602,449
------------
TOTAL ITALY............................................ 245,896,950
------------
JAPAN -- (20.7%)
AGC, Inc........................................... 895,500 30,552,492
Aisin Seiki Co., Ltd............................... 410,900 15,895,627
Alfresa Holdings Corp.............................. 26,900 750,616
Amada Holdings Co., Ltd............................ 907,100 10,168,674
Aozora Bank, Ltd................................... 173,800 4,246,547
Asahi Kasei Corp................................... 173,500 1,788,154
Bank of Kyoto, Ltd. (The).......................... 113,679 4,926,226
Brother Industries, Ltd............................ 100,900 1,992,267
Canon Marketing Japan, Inc......................... 163,400 3,545,439
Chiba Bank, Ltd. (The)............................. 1,064,000 5,588,579
Chugoku Bank, Ltd. (The)........................... 256,900 2,487,678
Citizen Watch Co., Ltd............................. 1,284,600 7,242,867
Coca-Cola Bottlers Japan Holdings, Inc............. 411,957 10,172,049
Concordia Financial Group, Ltd..................... 2,530,100 9,877,758
Cosmo Energy Holdings Co., Ltd..................... 104,300 2,153,863
Credit Saison Co., Ltd............................. 393,600 5,035,941
Dai Nippon Printing Co., Ltd....................... 474,300 11,258,949
Daicel Corp........................................ 1,087,400 12,199,161
Daido Steel Co., Ltd............................... 112,900 4,606,380
Dai-ichi Life Holdings, Inc........................ 1,805,447 26,061,286
# Daio Paper Corp.................................... 39,000 451,522
Daiwa Securities Group, Inc........................ 4,606,000 21,440,152
DeNA Co., Ltd...................................... 275,400 4,300,864
Denka Co., Ltd..................................... 234,800 7,089,867
Denso Corp......................................... 810,100 35,397,313
Dentsu, Inc........................................ 30,600 1,252,158
DIC Corp........................................... 361,500 10,618,526
Dowa Holdings Co., Ltd............................. 189,000 6,162,774
Ebara Corp......................................... 278,900 8,583,659
Fuji Media Holdings, Inc........................... 52,200 702,492
FUJIFILM Holdings Corp............................. 111,400 5,204,192
Fukuoka Financial Group, Inc....................... 386,600 9,024,120
Fukuyama Transporting Co., Ltd..................... 50,893 1,960,754
Furukawa Electric Co., Ltd......................... 392,700 10,365,297
Fuyo General Lease Co., Ltd........................ 5,300 264,719
Glory, Ltd......................................... 185,800 4,691,230
GS Yuasa Corp...................................... 11,000 221,010
Gunma Bank, Ltd. (The)............................. 661,596 2,623,660
H2O Retailing Corp................................. 331,600 4,224,642
Hachijuni Bank, Ltd. (The)......................... 622,531 2,505,776
Hankyu Hanshin Holdings, Inc....................... 676,200 25,281,111
Haseko Corp........................................ 209,000 2,527,639
Heiwa Corp......................................... 173,900 3,465,154
Hiroshima Bank, Ltd. (The)......................... 381,000 2,055,164
Hitachi Capital Corp............................... 199,000 4,633,887
# Hitachi Chemical Co., Ltd.......................... 413,300 11,023,474
Hitachi Metals, Ltd................................ 1,026,900 11,869,751
Hitachi Transport System, Ltd...................... 49,000 1,358,818
Hitachi, Ltd....................................... 2,597,600 86,391,566
Hokuhoku Financial Group, Inc...................... 191,900 2,116,551
Honda Motor Co., Ltd., Sponsored ADR............... 26,040 726,256
Honda Motor Co., Ltd............................... 4,590,300 128,082,826
House Foods Group, Inc............................. 200 8,070
# Ibiden Co., Ltd.................................... 507,300 9,101,639
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
JAPAN -- (Continued)
Idemitsu Kosan Co., Ltd.............................. 556,596 $18,084,912
IHI Corp............................................. 3,200 76,395
# Iida Group Holdings Co., Ltd......................... 655,750 11,111,986
Inpex Corp........................................... 2,842,483 27,653,993
Isetan Mitsukoshi Holdings, Ltd...................... 606,900 5,785,333
ITOCHU Corp.......................................... 1,580,600 28,519,475
Itoham Yonekyu Holdings, Inc......................... 183,100 1,145,218
Iyo Bank, Ltd. (The)................................. 492,300 2,738,303
J Front Retailing Co., Ltd........................... 1,025,800 12,534,125
Japan Post Holdings Co., Ltd......................... 1,147,210 12,848,342
JFE Holdings, Inc.................................... 1,980,900 34,087,025
JGC Corp............................................. 45,800 659,907
JSR Corp............................................. 706,100 10,774,032
JTEKT Corp........................................... 980,500 12,648,159
JXTG Holdings, Inc................................... 9,040,403 43,983,264
Kamigumi Co., Ltd.................................... 342,200 8,174,685
Kandenko Co., Ltd.................................... 402,500 3,393,196
Kaneka Corp.......................................... 250,708 9,681,013
Kawasaki Heavy Industries, Ltd....................... 677,300 15,823,748
Kinden Corp.......................................... 222,800 3,579,744
Kobe Steel, Ltd...................................... 1,581,200 12,108,787
Kokuyo Co., Ltd...................................... 160,600 2,036,666
Konica Minolta, Inc.................................. 2,140,500 21,494,110
K's Holdings Corp.................................... 403,300 3,597,461
Kuraray Co., Ltd..................................... 1,529,300 20,547,279
Kurita Water Industries, Ltd......................... 7,500 195,234
Kyocera Corp......................................... 295,200 19,183,408
Kyushu Financial Group, Inc.......................... 668,749 2,698,918
Lintec Corp.......................................... 9,400 203,010
LIXIL Group Corp..................................... 1,241,600 16,220,854
Mabuchi Motor Co., Ltd............................... 81,200 3,011,545
Maeda Corp........................................... 377,800 3,762,449
Maeda Road Construction Co., Ltd..................... 10,100 200,426
Marubeni Corp........................................ 2,768,100 19,835,058
Maruichi Steel Tube, Ltd............................. 15,500 428,526
Mazda Motor Corp..................................... 2,910,900 34,450,366
Mebuki Financial Group, Inc.......................... 1,258,420 3,208,453
Medipal Holdings Corp................................ 181,950 4,091,384
Mitsubishi Chemical Holdings Corp.................... 2,764,000 19,706,345
Mitsubishi Corp...................................... 2,386,000 65,728,752
Mitsubishi Gas Chemical Co., Inc..................... 727,100 10,915,836
Mitsubishi Heavy Industries, Ltd..................... 830,200 34,598,615
Mitsubishi Logistics Corp............................ 89,600 2,398,031
Mitsubishi Materials Corp............................ 518,200 13,477,942
Mitsubishi Motors Corp............................... 604,100 3,392,348
Mitsubishi Tanabe Pharma Corp........................ 126,900 1,597,302
# Mitsubishi UFJ Financial Group, Inc., Sponsored ADR.. 4,407,514 21,861,269
Mitsubishi UFJ Financial Group, Inc.................. 11,934,650 59,214,066
Mitsubishi UFJ Lease & Finance Co., Ltd.............. 1,638,400 8,354,080
Mitsui & Co., Ltd., Sponsored ADR.................... 11,723 3,783,715
Mitsui & Co., Ltd.................................... 1,157,000 18,713,996
Mitsui Chemicals, Inc................................ 823,660 20,247,128
Mitsui Fudosan Co., Ltd.............................. 170,500 3,949,108
Mitsui OSK Lines, Ltd................................ 546,400 13,907,746
Mizuho Financial Group, Inc.......................... 28,808,800 44,991,492
# Mizuho Financial Group, Inc., ADR.................... 64,489 202,495
MS&AD Insurance Group Holdings, Inc.................. 666,953 20,731,362
Nagase & Co., Ltd.................................... 251,300 3,840,263
NEC Corp............................................. 1,092,610 36,900,770
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
JAPAN -- (Continued)
NGK Insulators, Ltd................................ 20,600 $ 305,988
NGK Spark Plug Co., Ltd............................ 17,400 339,266
NH Foods, Ltd...................................... 423,867 17,082,394
NHK Spring Co., Ltd................................ 883,400 7,957,182
# Nikon Corp......................................... 563,500 7,858,449
Nippo Corp......................................... 285,900 5,812,684
Nippon Electric Glass Co., Ltd..................... 232,300 6,383,371
Nippon Express Co., Ltd............................ 309,824 17,038,288
Nippon Kayaku Co., Ltd............................. 162,000 1,903,737
# Nippon Paper Industries Co., Ltd................... 475,600 9,425,222
Nippon Shokubai Co., Ltd........................... 115,900 8,062,818
Nippon Steel Corp.................................. 2,142,693 38,325,878
Nippon Yusen K.K................................... 771,300 13,179,895
Nipro Corp......................................... 136,100 1,690,629
Nishi-Nippon Financial Holdings, Inc............... 27,400 226,729
Nissan Motor Co., Ltd.............................. 6,443,700 51,730,282
Nisshinbo Holdings, Inc............................ 493,000 4,401,174
NOK Corp........................................... 423,620 6,804,929
Nomura Holdings, Inc............................... 4,897,402 18,542,632
Nomura Real Estate Holdings, Inc................... 521,500 11,089,829
NSK, Ltd........................................... 1,136,400 11,811,354
NTN Corp........................................... 1,823,100 6,017,736
Obayashi Corp...................................... 2,342,282 23,026,042
Oji Holdings Corp.................................. 3,422,700 20,537,805
ORIX Corp.......................................... 3,324,900 47,099,975
Rengo Co., Ltd..................................... 899,500 7,933,973
Resona Holdings, Inc............................... 2,696,600 11,447,388
Ricoh Co., Ltd..................................... 2,004,400 20,278,415
Rohm Co., Ltd...................................... 134,800 9,940,196
Sankyo Co., Ltd.................................... 26,400 1,042,624
Sawai Pharmaceutical Co., Ltd...................... 7,500 402,975
Sega Sammy Holdings, Inc........................... 52,200 661,185
Seino Holdings Co., Ltd............................ 481,500 6,554,932
Sekisui House, Ltd................................. 2,745,400 44,264,827
# Shimamura Co., Ltd................................. 73,300 5,465,542
Shimizu Corp....................................... 746,000 6,389,692
* Shinsei Bank, Ltd.................................. 313,400 4,370,146
Shizuoka Bank, Ltd. (The).......................... 851,000 6,538,962
Sojitz Corp........................................ 3,995,200 13,754,476
Sompo Holdings, Inc................................ 309,710 11,689,434
Sumitomo Bakelite Co., Ltd......................... 3,400 132,711
Sumitomo Chemical Co., Ltd......................... 7,962,000 39,722,424
Sumitomo Corp...................................... 1,701,500 24,387,302
Sumitomo Electric Industries, Ltd.................. 3,161,100 42,060,595
Sumitomo Forestry Co., Ltd......................... 598,600 8,235,414
Sumitomo Heavy Industries, Ltd..................... 524,600 18,653,362
Sumitomo Metal Mining Co., Ltd..................... 961,164 30,232,310
Sumitomo Mitsui Financial Group, Inc............... 2,857,600 103,862,905
Sumitomo Mitsui Trust Holdings, Inc................ 391,543 13,661,411
Sumitomo Osaka Cement Co., Ltd..................... 16,700 680,524
Sumitomo Rubber Industries, Ltd.................... 770,500 9,474,327
Suzuken Co., Ltd................................... 1,300 74,958
T&D Holdings, Inc.................................. 1,703,900 18,455,091
Taiheiyo Cement Corp............................... 528,721 17,050,625
Taiyo Yuden Co., Ltd............................... 216,000 5,260,385
Takashimaya Co., Ltd............................... 463,917 5,216,373
* Takeda Pharmaceutical Co, Ltd., Sponsored ADR...... 426,545 7,797,236
Takeda Pharmaceutical Co., Ltd..................... 246,632 9,101,146
TDK Corp........................................... 50,300 4,406,987
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
JAPAN -- (Continued)
Teijin, Ltd........................................ 855,090 $ 14,709,359
THK Co., Ltd....................................... 197,800 5,230,590
Toda Corp.......................................... 717,800 4,439,357
Toho Holdings Co., Ltd............................. 194,600 4,559,667
Tokai Rika Co., Ltd................................ 170,600 2,962,345
Tokio Marine Holdings, Inc......................... 11,719 593,746
Tokyo Broadcasting System Holdings, Inc............ 56,000 1,065,216
Tokyo Tatemono Co., Ltd............................ 870,300 9,823,582
Tokyu Fudosan Holdings Corp........................ 2,556,700 14,424,505
Toppan Printing Co., Ltd........................... 656,900 10,662,179
Toray Industries, Inc.............................. 1,598,700 10,940,022
Tosoh Corp......................................... 1,241,700 20,020,714
Toyo Seikan Group Holdings, Ltd.................... 503,949 10,104,791
Toyoda Gosei Co., Ltd.............................. 310,400 6,461,661
Toyota Industries Corp............................. 235,200 13,332,009
Toyota Motor Corp., Sponsored ADR.................. 203,175 25,112,430
Toyota Motor Corp.................................. 3,388,190 209,764,343
Toyota Tsusho Corp................................. 524,100 17,408,368
TS Tech Co., Ltd................................... 145,000 4,354,719
TV Asahi Holdings Corp............................. 31,700 559,433
Ube Industries, Ltd................................ 504,100 10,785,572
# Universal Entertainment Corp....................... 32,900 1,036,721
Wacoal Holdings Corp............................... 69,200 1,709,095
# Yamada Denki Co., Ltd.............................. 1,863,600 8,834,259
Yamaguchi Financial Group, Inc..................... 399,348 2,954,658
Yamato Kogyo Co., Ltd.............................. 51,100 1,418,790
Yokohama Rubber Co., Ltd. (The).................... 563,500 10,617,889
Zeon Corp.......................................... 404,300 3,971,226
--------------
TOTAL JAPAN............................................ 2,709,079,023
--------------
NETHERLANDS -- (3.6%)
# ABN AMRO Group NV.................................. 1,329,121 31,303,829
# Aegon NV........................................... 4,382,746 22,878,597
Aegon NV........................................... 503,770 2,619,604
Akzo Nobel NV...................................... 29,483 2,505,010
ArcelorMittal...................................... 1,780,735 38,741,800
# ArcelorMittal...................................... 726,121 15,858,485
ASR Nederland NV................................... 220,750 9,822,060
* Coca-Cola European Partners P.L.C.................. 24,638 1,317,805
# ING Groep NV, Sponsored ADR........................ 921,132 11,753,644
# ING Groep NV....................................... 6,111,967 77,988,856
Koninklijke Ahold Delhaize NV...................... 5,195,538 125,220,704
# Koninklijke DSM NV................................. 631,262 72,198,472
Koninklijke Philips NV............................. 79,715 3,423,259
Koninklijke Philips NV............................. 13,510 580,930
Koninklijke Vopak NV............................... 156,800 7,001,596
NN Group NV........................................ 827,562 36,114,501
Randstad NV........................................ 196,794 11,254,891
--------------
TOTAL NETHERLANDS...................................... 470,584,043
--------------
NEW ZEALAND -- (0.2%)
Air New Zealand, Ltd............................... 2,720,019 4,870,953
Auckland International Airport, Ltd................ 1,946,257 10,361,230
EBOS Group, Ltd.................................... 53,713 768,441
# Fletcher Building, Ltd............................. 1,637,344 5,641,173
# Fonterra Co-operative Group, Ltd................... 284,937 809,227
Ryman Healthcare, Ltd.............................. 18,786 152,558
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
NEW ZEALAND -- (Continued)
SKYCITY Entertainment Group, Ltd................... 266,175 $ 725,356
------------
TOTAL NEW ZEALAND...................................... 23,328,938
------------
NORWAY -- (0.8%)
Aker ASA, Class A.................................. 4,483 307,159
Austevoll Seafood ASA.............................. 90,175 1,050,527
DNB ASA............................................ 2,105,139 40,480,141
Equinor ASA........................................ 106,659 2,377,603
# Norsk Hydro ASA.................................... 5,166,320 22,251,767
Norsk Hydro ASA, Sponsored ADR..................... 46,000 200,100
SpareBank 1 SR-Bank ASA............................ 354,848 4,102,833
Storebrand ASA..................................... 1,436,496 12,140,277
# Subsea 7 SA........................................ 981,127 12,464,667
Yara International ASA............................. 293,899 13,288,355
------------
TOTAL NORWAY........................................... 108,663,429
------------
PORTUGAL -- (0.0%)
EDP Renovaveis SA.................................. 541,158 5,381,120
------------
SINGAPORE -- (1.1%)
CapitaLand, Ltd.................................... 8,246,300 21,428,939
City Developments, Ltd............................. 1,714,600 11,285,798
Frasers Property, Ltd.............................. 492,700 674,242
Golden Agri-Resources, Ltd......................... 13,962,500 2,968,733
Hongkong Land Holdings, Ltd........................ 1,260,100 8,797,888
Hutchison Port Holdings Trust...................... 16,251,500 3,817,624
# Keppel Corp., Ltd.................................. 6,501,200 32,398,102
# Olam International, Ltd............................ 480,500 699,214
# Sembcorp Industries, Ltd........................... 5,691,700 11,130,941
Singapore Airlines, Ltd............................ 3,017,400 21,499,970
# Singapore Press Holdings, Ltd...................... 2,798,900 5,172,917
United Industrial Corp., Ltd....................... 1,576,470 3,671,741
UOL Group, Ltd..................................... 1,203,774 6,718,571
# Wilmar International, Ltd.......................... 5,258,600 14,063,502
------------
TOTAL SINGAPORE........................................ 144,328,182
------------
SPAIN -- (2.5%)
# Banco Bilbao Vizcaya Argentaria SA................. 1,110,091 6,750,295
# Banco de Sabadell SA............................... 18,523,466 21,567,514
Banco Santander SA................................. 46,001,071 233,196,700
# Banco Santander SA, Sponsored ADR.................. 71,002 354,300
Bankia SA.......................................... 1,716,143 4,753,139
Repsol SA.......................................... 3,644,863 61,848,581
------------
TOTAL SPAIN............................................ 328,470,529
------------
SWEDEN -- (2.4%)
# BillerudKorsnas AB................................. 504,958 6,864,331
Boliden AB......................................... 1,195,043 35,564,394
# Dometic Group AB................................... 114,399 1,045,122
Getinge AB, Class B................................ 559,676 7,885,383
# Holmen AB, Class A................................. 5,562 125,183
Holmen AB, Class B................................. 476,284 10,016,257
# Husqvarna AB, Class B.............................. 132,968 1,214,049
ICA Gruppen AB..................................... 167,988 6,078,558
# Intrum AB.......................................... 190,801 4,858,622
Millicom International Cellular SA................. 133,262 7,794,760
Nordea Bank Abp.................................... 4,139,333 32,565,584
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SWEDEN -- (Continued)
Pandox AB.......................................... 89,620 $ 1,537,868
Skandinaviska Enskilda Banken AB, Class A.......... 4,478,462 42,758,572
# Skandinaviska Enskilda Banken AB, Class C.......... 28,685 277,771
# SKF AB, Class B.................................... 678,345 12,591,423
SSAB AB, Class A................................... 546,342 2,064,107
SSAB AB, Class B................................... 1,359,160 4,383,053
# Svenska Cellulosa AB SCA, Class A.................. 63,918 624,358
Svenska Cellulosa AB SCA, Class B.................. 1,727,990 15,085,094
# Svenska Handelsbanken AB, Class A.................. 2,560,946 27,973,439
Svenska Handelsbanken AB, Class B.................. 36,751 399,534
Swedbank AB, Class A............................... 1,115,007 18,218,336
Tele2 AB, Class B.................................. 140,411 1,875,826
Telefonaktiebolaget LM Ericsson, Class A........... 24,165 240,360
Telefonaktiebolaget LM Ericsson, Class B........... 2,283,346 22,587,254
Telia Co. AB....................................... 7,857,507 33,477,107
Trelleborg AB, Class B............................. 636,361 10,524,635
--------------
TOTAL SWEDEN........................................... 308,630,980
--------------
SWITZERLAND -- (8.3%)
ABB, Ltd........................................... 1,842,846 37,904,965
Adecco Group AG.................................... 683,506 39,269,454
* Alcon, Inc......................................... 93,915 5,465,876
* Alcon, Inc......................................... 545,098 31,391,447
Baloise Holding AG................................. 183,510 31,461,189
Banque Cantonale Vaudoise.......................... 3,001 2,369,511
Cie Financiere Richemont SA........................ 1,165,784 85,221,543
Clariant AG........................................ 1,326,060 27,282,923
Credit Suisse Group AG............................. 1,363,427 18,132,066
# Credit Suisse Group AG, Sponsored ADR.............. 1,052,790 14,002,107
Dufry AG........................................... 159,126 15,573,850
Flughafen Zurich AG................................ 44,330 7,307,732
Helvetia Holding AG................................ 3,042 1,933,112
Julius Baer Group, Ltd............................. 716,015 34,587,016
LafargeHolcim, Ltd................................. 853,272 43,804,798
LafargeHolcim, Ltd................................. 375,078 19,335,519
Lonza Group AG..................................... 18,895 5,835,326
Novartis AG, Sponsored ADR......................... 381,021 31,331,357
Novartis AG........................................ 2,588,680 212,116,609
# Swatch Group AG (The).............................. 144,166 43,997,859
Swatch Group AG (The).............................. 195,503 11,471,852
Swiss Life Holding AG.............................. 104,266 49,018,398
Swiss Prime Site AG................................ 120,516 9,677,956
Swiss Re AG........................................ 388,742 37,427,224
# Swisscom AG........................................ 60,068 27,988,936
UBS Group AG....................................... 6,275,625 84,152,716
* UBS Group AG....................................... 1,233,581 16,579,329
# Vifor Pharma AG.................................... 32,760 4,278,098
Zurich Insurance Group AG.......................... 445,436 141,990,622
--------------
TOTAL SWITZERLAND...................................... 1,090,909,390
--------------
UNITED KINGDOM -- (14.9%)
3i Group P.L.C..................................... 830,059 11,614,534
Anglo American P.L.C............................... 5,039,458 130,772,421
Antofagasta P.L.C.................................. 246,621 2,931,773
Aviva P.L.C........................................ 16,319,347 91,651,527
Banco Esprito Santa S.A............................ 241,441 6,120,298
Barclays P.L.C., Sponsored ADR..................... 6,631,947 56,769,466
Barclays P.L.C..................................... 2,387,374 5,123,317
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
UNITED KINGDOM -- (Continued)
Barratt Developments P.L.C......................... 3,934,603 $ 30,952,895
BP P.L.C., Sponsored ADR........................... 3,666,922 160,354,499
British American Tobacco P.L.C., Sponsored ADR..... 700,073 27,442,862
British American Tobacco P.L.C..................... 2,179,454 85,323,269
Glencore P.L.C..................................... 26,606,474 105,562,725
GVC Holdings P.L.C................................. 69,102 589,679
HSBC Holdings P.L.C................................ 13,949,143 121,538,391
# HSBC Holdings P.L.C., Sponsored ADR................ 2,687,511 117,094,854
Investec P.L.C..................................... 999,530 6,343,521
J Sainsbury P.L.C.................................. 8,162,535 23,714,088
John Wood Group P.L.C.............................. 927,122 5,683,953
Kingfisher P.L.C................................... 8,242,918 28,423,116
Lloyds Banking Group P.L.C......................... 181,694,609 148,596,224
# Lloyds Banking Group P.L.C., ADR................... 1,479,223 4,807,475
Melrose Industries P.L.C........................... 5,132,109 13,579,295
Micro Focus International P.L.C.................... 187,071 4,693,623
Pearson P.L.C...................................... 748,020 8,103,218
# Pearson P.L.C., Sponsored ADR...................... 1,119,256 12,132,735
Phoenix Group Holdings P.L.C....................... 53,755 508,116
Royal Bank of Scotland Group P.L.C................. 5,939,548 18,598,699
# Royal Bank of Scotland Group P.L.C.,
Sponsored ADR.................................... 1,051,278 6,717,666
Royal Dutch Shell P.L.C., Class A.................. 136,125 4,337,137
Royal Dutch Shell P.L.C., Sponsored ADR, Class A... 3,293,873 209,259,728
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B... 3,161,550 205,152,979
Royal Mail P.L.C................................... 2,173,930 7,173,086
Standard Chartered P.L.C........................... 4,966,711 45,411,496
Standard Life Aberdeen P.L.C....................... 1,614,944 5,884,078
Vodafone Group P.L.C............................... 58,351,986 108,235,575
Vodafone Group P.L.C., Sponsored ADR............... 4,011,201 74,287,448
Wm Morrison Supermarkets P.L.C..................... 9,487,736 26,742,336
WPP P.L.C., Sponsored ADR.......................... 81,963 5,106,295
WPP P.L.C.......................................... 1,455,595 18,162,614
---------------
TOTAL UNITED KINGDOM...................................... 1,945,497,011
---------------
UNITED STATES -- (0.2%)
Newmont Goldcorp Corp.............................. 303,662 9,431,744
* Newmont Goldcorp Corp.............................. 631,190 19,505,304
---------------
TOTAL UNITED STATES....................................... 28,937,048
---------------
TOTAL COMMON STOCKS....................................... 12,255,238,397
---------------
PREFERRED STOCKS -- (1.2%)
GERMANY -- (1.2%)
Bayerische Motoren Werke AG........................ 148,786 11,001,345
Porsche Automobil Holding SE....................... 322,304 22,405,814
Volkswagen AG...................................... 689,777 120,436,504
---------------
TOTAL GERMANY............................................. 153,843,663
---------------
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
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,499,891,299).................................. $13,063,995,292
===============
ADR American Depositary Receipt
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
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.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from
Securities on Loan.
(S) Affiliated Fund.
As of 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
============ ============ ==========
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.
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (96.7%)
COMMUNICATION SERVICES -- (2.8%)
# Aeria, Inc......................................... 15,800 $ 87,054
# Akatsuki, Inc...................................... 26,400 1,202,493
* AlphaPolis Co., Ltd................................ 11,300 201,694
Amuse, Inc......................................... 33,598 798,450
AOI TYO Holdings, Inc.............................. 166,231 1,140,846
Asahi Broadcasting Group Holdings Corp............. 72,200 499,738
Asahi Net, Inc..................................... 82,400 443,463
Ateam, Inc......................................... 94,800 1,419,415
* Atrae, Inc......................................... 36,800 1,128,324
Avex, Inc.......................................... 286,800 3,634,469
# * Bengo4.com, Inc.................................... 33,300 1,300,870
# * CareerIndex, Inc................................... 25,100 179,667
Carta Holdings, Inc................................ 70,100 753,231
Ceres, Inc......................................... 21,200 404,670
COLOPL, Inc........................................ 380,200 2,314,406
* COOKPAD, Inc....................................... 201,500 491,176
# * Cyberstep, Inc..................................... 29,500 281,826
# Dip Corp........................................... 243,500 3,721,906
* eBook Initiative Japan Co., Ltd.................... 9,100 138,107
# * Extreme Co., Ltd................................... 17,300 326,757
F@N Communications, Inc............................ 368,300 2,261,080
# Faith, Inc......................................... 54,410 419,011
# Freebit Co., Ltd................................... 69,000 701,346
* Full Speed, Inc.................................... 41,900 203,811
Gakken Holdings Co., Ltd........................... 38,900 1,821,902
Gree, Inc.......................................... 973,000 3,797,374
Gurunavi, Inc...................................... 219,500 1,223,862
# IMAGICA GROUP, Inc................................. 110,000 566,304
Intage Holdings, Inc............................... 260,600 2,195,416
Internet Initiative Japan, Inc..................... 193,800 3,933,399
ITmedia, Inc....................................... 20,400 83,974
* Itokuro, Inc....................................... 55,100 1,185,005
* Kadokawa Dwango.................................... 218,016 2,749,840
Kamakura Shinsho, Ltd.............................. 56,100 734,043
# * KLab, Inc.......................................... 141,900 1,056,600
LIFULL Co., Ltd.................................... 462,800 2,510,270
Macromill, Inc..................................... 247,200 2,835,147
MarkLines Co., Ltd................................. 66,400 945,647
Marvelous, Inc..................................... 241,800 1,864,897
# Members Co., Ltd................................... 45,500 740,018
Mixi, Inc.......................................... 180,400 3,898,100
# * Mobile Factory, Inc................................ 22,300 308,075
MTI, Ltd........................................... 192,600 1,121,021
* Mynet, Inc......................................... 17,800 151,386
Okinawa Cellular Telephone Co...................... 85,500 2,683,772
Proto Corp......................................... 91,800 1,722,585
* Sharingtechnology, Inc............................. 13,400 144,803
# Shobunsha Publications, Inc........................ 252,700 921,489
SKY Perfect JSAT Holdings, Inc..................... 1,132,900 4,532,568
SoldOut, Inc....................................... 6,300 224,549
# * Synchro Food Co., Ltd.............................. 47,900 240,291
Toei Animation Co., Ltd............................ 77,700 3,862,408
Toei Co., Ltd...................................... 37,000 4,804,862
Tohokushinsha Film Corp............................ 87,200 460,089
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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COMMUNICATION SERVICES -- (Continued)
Tow Co., Ltd....................................... 135,400 $ 883,585
Tv Tokyo Holdings Corp............................. 103,500 2,181,528
* Usen-Next Holdings Co., Ltd........................ 97,100 729,622
ValueCommerce Co., Ltd............................. 107,000 2,711,720
* V-Cube, Inc........................................ 112,200 524,580
* Vector, Inc........................................ 206,200 2,454,993
* Vision, Inc........................................ 42,800 1,969,713
# * WirelessGate, Inc.................................. 30,400 112,478
Wowow, Inc......................................... 42,100 1,090,942
* Zappallas, Inc..................................... 55,900 210,222
Zenrin Co., Ltd.................................... 287,150 6,271,444
ZIGExN Co., Ltd.................................... 445,600 2,326,227
-----------
TOTAL COMMUNICATION SERVICES............................ 98,840,560
-----------
CONSUMER DISCRETIONARY -- (17.8%)
Adastria Co., Ltd.................................. 150,440 3,699,039
# Adventure, Inc..................................... 8,800 360,775
# Aeon Fantasy Co., Ltd.............................. 60,932 1,456,733
* AGORA Hospitality Group Co., Ltd................... 341,200 101,220
Ahresty Corp....................................... 152,800 876,641
Aigan Co., Ltd..................................... 86,100 203,778
Ainavo Holdings Co., Ltd........................... 1,700 14,161
Aisan Industry Co., Ltd............................ 273,500 1,853,897
* Akebono Brake Industry Co., Ltd.................... 396,600 461,063
Alleanza Holdings Co., Ltd......................... 75,600 581,798
Alpen Co., Ltd..................................... 132,500 2,060,230
Alpha Corp......................................... 52,600 597,635
Amiyaki Tei Co., Ltd............................... 32,000 997,164
* Anrakutei Co., Ltd................................. 1,300 56,718
AOKI Holdings, Inc................................. 287,400 3,003,651
Aoyama Trading Co., Ltd............................ 343,700 7,549,367
Arata Corp......................................... 102,100 3,647,534
Arcland Sakamoto Co., Ltd.......................... 228,600 2,971,387
Arcland Service Holdings Co., Ltd.................. 106,900 1,904,792
Asahi Co., Ltd..................................... 111,900 1,360,037
Asante, Inc........................................ 49,700 970,914
Ashimori Industry Co., Ltd......................... 30,899 449,550
# ASKUL Corp......................................... 32,900 884,328
# Asti Corp.......................................... 20,800 374,038
# Atom Corp.......................................... 738,900 6,394,627
Atsugi Co., Ltd.................................... 125,900 1,062,355
* Aucfan Co., Ltd.................................... 3,100 28,822
# Aucnet, Inc........................................ 15,000 170,479
Autobacs Seven Co., Ltd............................ 553,000 9,644,305
Baroque Japan, Ltd................................. 96,500 835,374
* Beaglee, Inc....................................... 35,400 321,121
# Beauty Garage, Inc................................. 17,400 221,468
# Beenos, Inc........................................ 48,200 613,571
Belluna Co., Ltd................................... 383,700 2,895,292
# Bookoff Group Holdings, Ltd........................ 68,800 529,029
BRONCO BILLY Co., Ltd.............................. 75,800 1,576,433
# Can Do Co., Ltd.................................... 67,900 1,041,928
# Central Automotive Products, Ltd................... 85,400 1,305,786
Central Sports Co., Ltd............................ 52,100 1,473,011
# Chikaranomoto Holdings Co., Ltd.................... 35,400 242,654
CHIMNEY Co., Ltd................................... 37,900 921,135
Chiyoda Co., Ltd................................... 123,100 1,950,727
Chofu Seisakusho Co., Ltd.......................... 142,400 3,006,583
Chori Co., Ltd..................................... 82,100 1,225,695
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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CONSUMER DISCRETIONARY -- (Continued)
Chuo Spring Co., Ltd............................... 20,000 $ 528,071
Cleanup Corp....................................... 149,800 838,166
Coco's Japan Co., Ltd.............................. 54,300 925,865
# Colowide Co., Ltd.................................. 298,800 6,002,690
Corona Corp........................................ 105,500 996,756
# Create Restaurants Holdings, Inc................... 346,200 4,154,894
Cross Plus, Inc.................................... 9,800 56,030
Daido Metal Co., Ltd............................... 312,200 1,968,239
Daidoh, Ltd........................................ 82,300 238,979
Daikoku Denki Co., Ltd............................. 62,000 846,046
Daikyonishikawa Corp............................... 271,700 2,740,325
Dainichi Co., Ltd.................................. 66,800 401,042
Daisyo Corp........................................ 1,900 26,663
DCM Holdings Co., Ltd.............................. 813,400 8,062,569
DD Holdings Co., Ltd............................... 29,600 497,820
Descente, Ltd...................................... 182,100 3,857,527
Doshisha Co., Ltd.................................. 176,500 2,823,416
Doutor Nichires Holdings Co., Ltd.................. 209,386 3,993,851
Dynic Corp......................................... 42,200 278,559
Eagle Industry Co., Ltd............................ 202,100 2,315,954
# EAT&Co, Ltd........................................ 33,000 486,532
# EDION Corp......................................... 552,600 4,686,092
* Enigmo, Inc........................................ 91,700 2,449,869
# ES-Con Japan, Ltd.................................. 194,100 1,383,071
ESCRIT, Inc........................................ 47,100 270,359
ESTELLE Holdings Co., Ltd.......................... 12,600 71,934
Evolable Asia Corp................................. 31,400 595,157
Exedy Corp......................................... 225,100 5,158,202
# FCC Co., Ltd....................................... 286,300 5,928,062
Felissimo Corp..................................... 21,200 189,617
# Fields Corp........................................ 119,200 841,051
# Fine Sinter Co., Ltd............................... 10,300 211,491
First Juken Co., Ltd............................... 50,100 547,628
First-corp, Inc.................................... 43,100 360,284
FJ Next Co., Ltd................................... 116,100 930,662
Foster Electric Co., Ltd........................... 151,200 2,357,582
France Bed Holdings Co., Ltd....................... 153,900 1,267,706
F-Tech, Inc........................................ 104,800 832,721
Fuji Co., Ltd...................................... 148,400 2,474,551
Fuji Corp.......................................... 40,200 811,407
Fuji Corp., Ltd.................................... 200,800 1,517,247
# Fuji Kyuko Co., Ltd................................ 156,200 5,920,074
Fujibo Holdings, Inc............................... 77,700 1,932,929
Fujikura Composites, Inc........................... 145,600 625,110
Fujio Food System Co., Ltd......................... 58,100 1,519,924
Fujishoji Co., Ltd................................. 55,100 474,315
Fujita Kanko, Inc.................................. 58,300 1,441,692
Fujitsu General, Ltd............................... 512,500 7,483,806
FuKoKu Co., Ltd.................................... 67,200 498,553
# * Funai Electric Co., Ltd............................ 133,100 963,183
Furukawa Battery Co., Ltd. (The)................... 101,100 606,131
Furyu Corp......................................... 97,600 884,127
Futaba Industrial Co., Ltd......................... 441,000 2,781,805
# Gakkyusha Co., Ltd................................. 50,900 586,337
# Genki Sushi Co., Ltd............................... 38,000 1,478,952
# Geo Holdings Corp.................................. 245,000 3,338,305
Gfoot Co., Ltd..................................... 98,100 568,314
GLOBERIDE, Inc..................................... 63,399 1,830,684
# Gokurakuyu Holdings Co., Ltd....................... 82,500 429,316
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER DISCRETIONARY -- (Continued)
Golf Digest Online, Inc............................ 71,200 $ 420,353
Greens Co., Ltd.................................... 26,500 365,033
GSI Creos Corp..................................... 31,592 332,315
G-Tekt Corp........................................ 141,000 2,011,512
Gunze, Ltd......................................... 121,100 5,157,778
H2O Retailing Corp................................. 282,200 3,595,277
# Hagihara Industries, Inc........................... 99,300 1,298,006
Hakuyosha Co., Ltd................................. 13,600 368,143
# Hamee Corp......................................... 36,100 250,985
# Handsman Co., Ltd.................................. 40,500 448,586
Happinet Corp...................................... 123,800 1,471,948
# Harada Industry Co., Ltd........................... 65,600 487,219
Hard Off Corp. Co., Ltd............................ 69,200 470,446
Haruyama Holdings, Inc............................. 57,900 435,996
Heian Ceremony Service Co., Ltd.................... 8,300 65,533
# Hiday Hidaka Corp.................................. 180,165 3,283,101
HI-LEX Corp........................................ 109,700 2,032,613
Himaraya Co., Ltd.................................. 35,900 277,645
Hinokiya Group Co., Ltd............................ 49,000 1,004,178
# Hiramatsu, Inc..................................... 266,500 819,297
H-One Co., Ltd..................................... 144,500 1,245,215
Honeys Holdings Co., Ltd........................... 123,740 1,142,427
# Hoosiers Holdings.................................. 368,500 2,188,190
* Hotland Co., Ltd................................... 66,900 920,377
# House Do Co., Ltd.................................. 28,700 358,837
HUB Co., Ltd....................................... 33,900 368,502
# I K K, Inc......................................... 66,200 437,539
I.K Co., Ltd....................................... 29,500 150,841
IBJ, Inc........................................... 57,900 469,738
Ichibanya Co., Ltd................................. 117,158 4,801,273
Ichikoh Industries, Ltd............................ 153,100 959,123
# IDOM, Inc.......................................... 240,500 585,664
IJTT Co., Ltd...................................... 170,180 915,295
Imasen Electric Industrial......................... 128,100 1,204,444
# Istyle, Inc........................................ 307,900 2,196,618
Janome Sewing Machine Co., Ltd..................... 104,900 438,524
# Japan Best Rescue System Co., Ltd.................. 86,500 1,273,005
Japan Wool Textile Co., Ltd. (The)................. 375,600 3,027,870
# JFLA Holdings, Inc................................. 106,300 367,787
JINS, Inc.......................................... 107,700 5,772,219
# Joban Kosan Co., Ltd............................... 44,899 668,212
Jolly - Pasta Co., Ltd............................. 23,200 398,743
Joshin Denki Co., Ltd.............................. 133,200 2,864,484
JP-Holdings, Inc................................... 356,800 923,879
JVC Kenwood Corp................................... 747,400 1,986,844
Kappa Create Co., Ltd.............................. 47,600 622,307
Kasai Kogyo Co., Ltd............................... 204,200 1,694,498
Kawai Musical Instruments Manufacturing Co., Ltd... 37,400 990,017
Keihin Corp........................................ 340,100 5,605,153
Keiyo Co., Ltd..................................... 282,600 1,225,644
KFC Holdings Japan, Ltd............................ 69,400 1,241,031
King Co., Ltd...................................... 47,900 295,998
# Kintetsu Department Store Co., Ltd................. 61,400 1,803,114
Ki-Star Real Estate Co., Ltd....................... 50,600 750,795
* KNT-CT Holdings Co., Ltd........................... 90,300 1,129,267
Kohnan Shoji Co., Ltd.............................. 171,100 3,784,858
* Kojima Co., Ltd.................................... 251,600 1,235,007
Komatsu Matere Co., Ltd............................ 231,000 1,801,873
KOMEDA Holdings Co., Ltd........................... 384,600 7,051,931
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER DISCRETIONARY -- (Continued)
# Komehyo Co., Ltd................................... 53,500 $ 568,113
Komeri Co., Ltd.................................... 245,500 5,188,983
Konaka Co., Ltd.................................... 144,506 596,557
Koshidaka Holdings Co., Ltd........................ 258,600 3,626,361
Kourakuen Holdings Corp............................ 82,400 2,374,396
# KU Holdings Co., Ltd............................... 127,700 1,005,465
Kura Corp.......................................... 83,700 3,621,942
Kurabo Industries, Ltd............................. 126,500 2,379,556
Kushikatsu Tanaka Holdings Co...................... 12,100 343,521
# * KYB Corp........................................... 153,900 4,175,555
Kyoritsu Maintenance Co., Ltd...................... 94,762 4,869,437
# Kyoto Kimono Yuzen Co., Ltd........................ 29,100 103,134
# * Laox Co., Ltd...................................... 153,800 454,238
# LEC, Inc........................................... 184,500 2,413,852
* LIKE Kidsnext Co., Ltd............................. 43,600 329,436
* Litalico, Inc...................................... 36,800 597,208
LIXIL VIVA Corp.................................... 173,500 2,043,208
Look Holdings, Inc................................. 36,700 478,357
Mamiya-Op Co., Ltd................................. 32,700 303,026
Mars Group Holdings Corp........................... 96,500 1,893,301
Maruzen CHI Holdings Co., Ltd...................... 113,100 373,924
Matsuya Co., Ltd................................... 165,400 1,478,314
Matsuyafoods Holdings Co., Ltd..................... 68,700 2,265,737
Media Do Holdings Co., Ltd......................... 37,400 1,000,685
Meiko Network Japan Co., Ltd....................... 125,100 1,245,517
Meiwa Estate Co., Ltd.............................. 89,900 452,078
Mikuni Corp........................................ 174,900 747,798
Misawa Homes Co., Ltd.............................. 131,500 920,278
Mitsuba Corp....................................... 217,290 1,407,165
Mizuno Corp........................................ 147,900 3,400,304
Monogatari Corp. (The)............................. 40,800 3,268,396
Morito Co., Ltd.................................... 114,300 862,667
MRK Holdings, Inc.................................. 7,200 12,856
MrMax Holdings, Ltd................................ 176,100 729,457
Murakami Corp...................................... 30,000 697,270
Musashi Seimitsu Industry Co., Ltd................. 380,200 5,935,332
Nafco Co., Ltd..................................... 47,500 620,329
Nagawa Co., Ltd.................................... 48,100 2,659,448
* Naigai Co., Ltd.................................... 21,500 101,921
# Nakayamafuku Co., Ltd.............................. 72,300 328,628
Nextage Co., Ltd................................... 211,200 2,272,547
Nichirin Co., Ltd.................................. 69,660 1,109,810
Nihon Eslead Corp.................................. 59,800 836,821
# Nihon House Holdings Co., Ltd...................... 312,800 1,277,205
Nihon Plast Co., Ltd............................... 122,500 860,199
Nihon Tokushu Toryo Co., Ltd....................... 87,400 944,957
Nikki Co., Ltd..................................... 2,100 38,612
Nippon Felt Co., Ltd............................... 77,600 323,507
Nippon Piston Ring Co., Ltd........................ 46,000 665,305
Nippon Seiki Co., Ltd.............................. 356,000 5,914,688
# Nippon View Hotel Co., Ltd......................... 41,400 439,790
Nishikawa Rubber Co., Ltd.......................... 31,700 517,599
Nishimatsuya Chain Co., Ltd........................ 372,800 2,971,918
# Nissan Shatai Co., Ltd............................. 530,700 4,881,282
Nissan Tokyo Sales Holdings Co., Ltd............... 174,100 457,906
Nissin Kogyo Co., Ltd.............................. 316,900 4,224,348
Nittan Valve Co., Ltd.............................. 93,500 269,561
Nojima Corp........................................ 228,900 3,938,136
Ohashi Technica, Inc............................... 73,600 953,105
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER DISCRETIONARY -- (Continued)
Ohsho Food Service Corp............................ 108,000 $7,033,322
# * Oisix ra daichi, Inc............................... 63,300 944,208
* Omikenshi Co., Ltd................................. 4,800 22,620
Onward Holdings Co., Ltd........................... 825,300 4,553,068
# Ootoya Holdings Co., Ltd........................... 39,600 784,072
* Open Door, Inc..................................... 69,400 2,009,857
# * Otsuka Kagu, Ltd................................... 70,200 188,658
Ozu Corp........................................... 23,000 396,077
Pacific Industrial Co., Ltd........................ 372,500 6,108,174
PAL GROUP Holdings Co., Ltd........................ 82,400 2,527,103
# PAPYLESS Co., Ltd.................................. 34,600 696,708
Parco Co., Ltd..................................... 153,800 1,477,502
# Paris Miki Holdings, Inc........................... 180,100 634,831
PC Depot Corp...................................... 223,881 823,941
People Co., Ltd.................................... 19,600 205,960
# Pepper Food Service Co., Ltd....................... 70,600 1,430,395
# PIA Corp........................................... 35,500 1,503,908
Piolax, Inc........................................ 225,200 4,239,919
Plenus Co., Ltd.................................... 151,700 2,505,993
Press Kogyo Co., Ltd............................... 619,600 3,355,969
# Pressance Corp..................................... 281,800 3,451,895
Raccoon Holdings, Inc.............................. 87,200 546,864
Regal Corp......................................... 1,500 36,179
Renaissance, Inc................................... 93,100 1,723,994
# * Renown, Inc........................................ 345,000 314,039
# Resol Holdings Co., Ltd............................ 16,799 609,611
Resorttrust, Inc................................... 302,600 4,235,948
Rhythm Watch Co., Ltd.............................. 53,800 613,568
Riberesute Corp.................................... 60,400 480,170
# Ride On Express Holdings Co., Ltd.................. 52,500 566,399
Right On Co., Ltd.................................. 106,825 748,001
Riken Corp......................................... 69,100 3,313,141
Ringer Hut Co., Ltd................................ 176,100 3,730,330
Riso Kyoiku Co., Ltd............................... 688,700 2,635,308
Round One Corp..................................... 516,800 6,963,982
Royal Holdings Co., Ltd............................ 224,700 5,501,634
* Royal Hotel, Ltd. (The)............................ 2,100 33,639
Sac's Bar Holdings, Inc............................ 138,350 1,380,989
# Saizeriya Co., Ltd................................. 228,500 5,140,772
Sakai Ovex Co., Ltd................................ 30,999 482,967
San Holdings, Inc.................................. 31,100 696,965
* Sanden Holdings Corp............................... 97,400 701,861
# Sanei Architecture Planning Co., Ltd............... 80,900 1,147,181
Sangetsu Corp...................................... 367,050 6,880,380
Sankyo Seiko Co., Ltd.............................. 247,400 1,128,822
Sanoh Industrial Co., Ltd.......................... 193,000 917,073
# Sanyei Corp........................................ 4,300 121,468
# Sanyo Electric Railway Co., Ltd.................... 127,298 2,543,609
Sanyo Housing Nagoya Co., Ltd...................... 79,600 678,611
Sanyo Shokai, Ltd.................................. 100,699 1,704,008
# Scroll Corp........................................ 206,200 685,855
# Seiko Holdings Corp................................ 217,782 4,942,324
Seiren Co., Ltd.................................... 380,600 5,702,725
* Senshukai Co., Ltd................................. 230,700 499,392
SFP Holdings Co., Ltd.............................. 67,100 1,104,741
Shidax Corp........................................ 143,400 398,062
Shikibo, Ltd....................................... 65,500 599,251
Shimachu Co., Ltd.................................. 273,900 6,623,198
Shimojima Co., Ltd................................. 40,900 438,935
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER DISCRETIONARY -- (Continued)
Shoei Co., Ltd..................................... 92,700 $4,030,418
Showa Corp......................................... 399,000 5,860,580
Snow Peak, Inc..................................... 57,900 824,264
SNT Corp........................................... 233,800 768,999
Soft99 Corp........................................ 83,400 675,789
Sotoh Co., Ltd..................................... 44,500 390,648
# Space Value Holdings Co., Ltd...................... 235,300 1,285,569
SPK Corp........................................... 22,200 482,453
SRS Holdings Co., Ltd.............................. 100,500 909,954
St Marc Holdings Co., Ltd.......................... 125,700 2,822,433
Starts Corp., Inc.................................. 267,400 5,954,604
Step Co., Ltd...................................... 64,000 866,546
Studio Alice Co., Ltd.............................. 64,700 1,193,339
* Studio Atao Co., Ltd............................... 500 9,714
# Suminoe Textile Co., Ltd........................... 39,100 1,054,323
Sumitomo Riko Co., Ltd............................. 293,300 2,584,392
Suncall Corp....................................... 132,600 724,601
Sushiro Global Holdings, Ltd....................... 85,300 5,584,285
# Syuppin Co., Ltd................................... 122,600 817,863
T RAD Co., Ltd..................................... 49,000 1,050,367
Tachikawa Corp..................................... 73,900 840,513
Tachi-S Co., Ltd................................... 226,340 3,491,337
Taiho Kogyo Co., Ltd............................... 120,900 956,217
# Take And Give Needs Co., Ltd....................... 65,910 869,037
# Takihyo Co., Ltd................................... 36,100 591,544
# Tama Home Co., Ltd................................. 129,600 1,278,830
Tamron Co., Ltd.................................... 134,200 2,627,696
Tbk Co., Ltd....................................... 163,200 596,361
Tear Corp.......................................... 60,900 374,820
# Temairazu, Inc..................................... 8,500 213,669
# Tenpos Holdings Co., Ltd........................... 33,300 647,590
T-Gaia Corp........................................ 160,300 2,606,020
Tigers Polymer Corp................................ 87,800 477,986
# * TKP Corp........................................... 7,300 336,597
Toa Corp........................................... 187,600 2,064,263
Toabo Corp......................................... 52,099 215,539
Tokai Rika Co., Ltd................................ 218,300 3,790,621
# Token Corp......................................... 50,050 3,055,595
# * Tokyo Base Co., Ltd................................ 98,400 945,100
Tokyo Dome Corp.................................... 667,400 6,628,425
Tokyo Individualized Educational Institute, Inc.... 98,900 893,809
# Tokyo Radiator Manufacturing Co., Ltd.............. 24,300 196,126
Tokyotokeiba Co., Ltd.............................. 89,900 2,622,874
Tokyu Recreation Co., Ltd.......................... 20,700 924,740
Tomy Co., Ltd...................................... 685,193 7,347,100
Topre Corp......................................... 263,500 4,942,788
# Toridoll Holdings Corp............................. 144,100 3,227,422
Torikizoku Co., Ltd................................ 42,500 725,271
# Tosho Co., Ltd..................................... 124,000 3,186,275
Toyo Tire Corp..................................... 208,900 2,443,802
TPR Co., Ltd....................................... 171,400 3,378,709
TSI Holdings Co., Ltd.............................. 507,795 3,157,875
Tsukada Global Holdings, Inc....................... 109,700 599,371
Tsukamoto Corp. Co., Ltd........................... 19,000 202,033
Tsutsumi Jewelry Co., Ltd.......................... 57,100 930,630
# Umenohana Co., Ltd................................. 22,200 528,576
Unipres Corp....................................... 314,000 4,852,696
United Arrows, Ltd................................. 177,600 5,609,835
* Unitika, Ltd....................................... 460,900 1,828,438
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER DISCRETIONARY -- (Continued)
# * VIA Holdings, Inc.................................. 155,400 $ 908,192
Village Vanguard Co., Ltd.......................... 38,600 328,252
# * Visionary Holdings Co., Ltd........................ 501,100 294,608
VT Holdings Co., Ltd............................... 611,700 2,468,512
Wacoal Holdings Corp............................... 242,400 5,986,772
Waseda Academy Co., Ltd............................ 27,000 176,434
WATAMI Co., Ltd.................................... 177,900 2,490,298
Watts Co., Ltd..................................... 59,800 377,110
Weds Co., Ltd...................................... 14,500 78,692
# Xebio Holdings Co., Ltd............................ 202,000 2,126,622
Yachiyo Industry Co., Ltd.......................... 54,900 372,939
# Yagi & Co., Ltd.................................... 18,600 250,884
Yamato International, Inc.......................... 119,800 449,259
# Yasunaga Corp...................................... 54,500 861,833
Yellow Hat, Ltd.................................... 261,800 3,312,909
Yomiuri Land Co., Ltd.............................. 29,300 1,156,350
Yondoshi Holdings, Inc............................. 132,420 2,917,516
Yorozu Corp........................................ 150,500 2,191,929
Yossix Co., Ltd.................................... 22,600 590,222
# Yume No Machi Souzou Iinkai Co., Ltd............... 123,400 1,851,365
Yutaka Giken Co., Ltd.............................. 8,700 144,083
# Zojirushi Corp..................................... 285,400 2,944,853
------------
TOTAL CONSUMER DISCRETIONARY............................ 640,292,323
------------
CONSUMER STAPLES -- (6.9%)
Aeon Hokkaido Corp................................. 256,300 1,695,508
AFC-HD AMS Life Science Co., Ltd................... 51,100 314,731
# Albis Co., Ltd..................................... 38,700 790,301
Arcs Co., Ltd...................................... 332,000 6,730,511
Artnature, Inc..................................... 130,100 733,292
Axial Retailing, Inc............................... 121,300 3,613,473
Belc Co., Ltd...................................... 82,600 3,702,598
# Bourbon Corp....................................... 50,700 855,148
Bull-Dog Sauce Co., Ltd............................ 1,500 27,666
Cawachi, Ltd....................................... 43,300 766,660
# C'BON COSMETICS Co., Ltd........................... 8,200 187,059
Chubu Shiryo Co., Ltd.............................. 175,100 1,938,927
Chuo Gyorui Co., Ltd............................... 9,800 248,251
cocokara fine, Inc................................. 149,160 5,938,835
# Como Co., Ltd...................................... 2,600 54,768
# Cota Co., Ltd...................................... 84,221 949,728
Create SD Holdings Co., Ltd........................ 189,800 4,389,925
Daikokutenbussan Co., Ltd.......................... 45,600 1,565,215
Delica Foods Holdings Co., Ltd..................... 31,100 391,874
DyDo Group Holdings, Inc........................... 73,000 3,264,057
Earth Corp......................................... 15,300 701,678
Ebara Foods Industry, Inc.......................... 25,200 494,170
Eco's Co., Ltd..................................... 54,000 715,223
Ensuiko Sugar Refining Co., Ltd.................... 86,200 179,828
Feed One Co., Ltd.................................. 968,940 1,490,464
* First Baking Co., Ltd.............................. 12,000 108,205
Fujicco Co., Ltd................................... 152,300 3,011,905
Fujiya Co., Ltd.................................... 75,700 1,405,983
G-7 Holdings, Inc.................................. 44,800 1,013,210
# Genky DrugStores Co., Ltd.......................... 54,000 1,268,009
# HABA Laboratories, Inc............................. 16,100 1,079,639
# Hagoromo Foods Corp................................ 19,500 459,311
Halows Co., Ltd.................................... 59,300 1,174,222
Hayashikane Sangyo Co., Ltd........................ 29,400 153,891
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER STAPLES -- (Continued)
Heiwado Co., Ltd................................... 235,500 $4,339,185
Hokkaido Coca-Cola Bottling Co., Ltd............... 18,699 628,153
Hokuto Corp........................................ 189,700 3,264,956
Ichimasa Kamaboko Co., Ltd......................... 40,600 423,956
Imuraya Group Co., Ltd............................. 59,000 1,299,166
Inageya Co., Ltd................................... 170,500 2,042,813
Itochu-Shokuhin Co., Ltd........................... 36,200 1,524,586
Itoham Yonekyu Holdings, Inc....................... 70,000 437,822
Iwatsuka Confectionery Co., Ltd.................... 4,900 180,010
Japan Meat Co., Ltd................................ 76,100 1,169,960
J-Oil Mills, Inc................................... 75,900 2,717,718
Kadoya Sesame Mills, Inc........................... 14,900 668,403
Kakiyasu Honten Co., Ltd........................... 65,000 1,228,744
Kameda Seika Co., Ltd.............................. 93,400 4,386,304
Kaneko Seeds Co., Ltd.............................. 39,500 477,270
# Kanemi Co., Ltd.................................... 5,400 145,020
Kansai Super Market, Ltd........................... 88,800 841,584
Kato Sangyo Co., Ltd............................... 188,000 6,137,253
Kenko Mayonnaise Co., Ltd.......................... 93,700 1,917,233
# Key Coffee, Inc.................................... 138,900 2,616,994
Kirindo Holdings Co., Ltd.......................... 47,900 742,805
# Kitanotatsujin Corp................................ 378,400 1,821,661
Kotobuki Spirits Co., Ltd.......................... 159,100 7,146,786
Kyokuyo Co., Ltd................................... 70,399 1,751,362
# Lacto Japan Co., Ltd............................... 28,400 1,183,201
Life Corp.......................................... 151,600 2,949,144
Mandom Corp........................................ 132,000 3,417,602
Marudai Food Co., Ltd.............................. 157,300 2,752,198
Maruha Nichiro Corp................................ 119,907 3,810,798
Maxvalu Nishinihon Co., Ltd........................ 22,500 351,866
Maxvalu Tokai Co., Ltd............................. 49,300 955,703
Medical System Network Co., Ltd.................... 165,300 738,852
Megmilk Snow Brand Co., Ltd........................ 178,700 3,960,263
# Meito Sangyo Co., Ltd.............................. 66,200 863,730
Milbon Co., Ltd.................................... 168,752 8,639,664
Ministop Co., Ltd.................................. 116,300 1,833,220
Mitsubishi Shokuhin Co., Ltd....................... 116,300 3,010,262
Mitsui Sugar Co., Ltd.............................. 126,370 3,051,104
Miyoshi Oil & Fat Co., Ltd......................... 48,100 507,407
Morinaga Milk Industry Co., Ltd.................... 294,800 9,760,883
Morozoff, Ltd...................................... 20,400 933,772
Nagatanien Holdings Co., Ltd....................... 83,000 1,674,169
Nakamuraya Co., Ltd................................ 27,400 1,076,302
# Natori Co., Ltd.................................... 68,500 1,032,181
Nichimo Co., Ltd................................... 17,000 260,048
Nihon Chouzai Co., Ltd............................. 52,760 1,919,379
Niitaka Co., Ltd................................... 2,860 40,306
Nippon Beet Sugar Manufacturing Co., Ltd........... 70,200 1,180,808
Nippon Flour Mills Co., Ltd........................ 425,300 7,187,396
Nishimoto Co., Ltd................................. 1,700 61,490
Nisshin Oillio Group, Ltd. (The)................... 201,900 5,778,649
Nissin Sugar Co., Ltd.............................. 117,300 2,082,501
Nitto Fuji Flour Milling Co., Ltd.................. 7,700 428,906
Noevir Holdings Co., Ltd........................... 23,200 1,219,317
Oenon Holdings, Inc................................ 444,900 1,596,211
# OIE Sangyo Co., Ltd................................ 20,900 248,003
Okuwa Co., Ltd..................................... 180,900 1,829,525
Olympic Group Corp................................. 62,300 433,473
OUG Holdings, Inc.................................. 19,400 462,499
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
CONSUMER STAPLES -- (Continued)
Pickles Corp....................................... 28,800 $ 536,011
Plant Co., Ltd..................................... 29,100 269,301
Prima Meat Packers, Ltd............................ 228,000 4,185,192
Qol Holdings Co., Ltd.............................. 162,900 2,474,717
Retail Partners Co., Ltd........................... 111,200 1,161,211
Riken Vitamin Co., Ltd............................. 80,200 2,640,480
# Rock Field Co., Ltd................................ 149,800 2,143,454
Rokko Butter Co., Ltd.............................. 92,800 1,798,480
S Foods, Inc....................................... 135,462 4,697,767
# S&B Foods, Inc..................................... 40,898 1,498,986
# Sagami Rubber Industries Co., Ltd.................. 63,300 1,079,312
San-A Co., Ltd..................................... 141,200 5,541,661
Sapporo Holdings, Ltd.............................. 289,500 5,937,026
Sato Foods Co., Ltd................................ 800 26,059
Satudora Holdings Co., Ltd......................... 1,300 23,259
Shinobu Foods Products Co., Ltd.................... 1,600 10,341
# Shoei Foods Corp................................... 83,600 2,343,848
Showa Sangyo Co., Ltd.............................. 145,400 3,930,667
Sogo Medical Holdings Co., Ltd..................... 131,900 2,448,601
Starzen Co., Ltd................................... 54,400 1,965,889
Toho Co., Ltd...................................... 55,000 1,086,437
Tohto Suisan Co., Ltd.............................. 18,099 377,870
# Torigoe Co., Ltd. (The)............................ 105,400 726,226
Toyo Sugar Refining Co., Ltd....................... 15,700 138,003
Transaction Co., Ltd............................... 92,400 672,889
United Super Markets Holdings, Inc................. 441,700 3,993,116
Uoriki Co., Ltd.................................... 15,300 201,431
Valor Holdings Co., Ltd............................ 267,200 6,518,164
Warabeya Nichiyo Holdings Co., Ltd................. 101,560 1,633,562
# Watahan & Co., Ltd................................. 46,000 985,945
Yaizu Suisankagaku Industry Co., Ltd............... 62,100 620,462
# Yakuodo Co., Ltd................................... 81,300 1,991,044
# YA-MAN, Ltd........................................ 177,800 1,710,710
Yamatane Corp...................................... 67,600 984,370
Yamaya Corp........................................ 28,500 548,927
Yamazawa Co., Ltd.................................. 7,700 111,925
Yaoko Co., Ltd..................................... 3,200 152,285
Yokohama Reito Co., Ltd............................ 359,400 2,846,668
Yomeishu Seizo Co., Ltd............................ 51,100 974,384
# Yuasa Funashoku Co., Ltd........................... 14,300 475,264
Yutaka Foods Corp.................................. 3,900 63,168
------------
TOTAL CONSUMER STAPLES................................. 248,079,953
------------
ENERGY -- (1.1%)
# BP Castrol K.K..................................... 52,100 682,406
Fuji Kosan Co., Ltd................................ 33,100 208,516
Fuji Oil Co., Ltd.................................. 247,600 619,671
Itochu Enex Co., Ltd............................... 377,700 3,092,608
# Iwatani Corp....................................... 293,300 9,192,515
Japan Oil Transportation Co., Ltd.................. 16,600 427,707
Japan Petroleum Exploration Co., Ltd............... 288,200 6,256,558
Mitsuuroko Group Holdings Co., Ltd................. 208,600 1,683,909
Modec, Inc......................................... 156,900 4,824,454
Nippon Coke & Engineering Co., Ltd................. 647,800 582,308
Sala Corp.......................................... 356,800 1,962,969
San-Ai Oil Co., Ltd................................ 398,400 3,362,940
# Shinko Plantech Co., Ltd........................... 328,800 3,441,717
Sinanen Holdings Co., Ltd.......................... 57,200 1,074,912
Toa Oil Co., Ltd................................... 51,700 834,763
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
ENERGY -- (Continued)
# Toyo Kanetsu K.K................................... 63,200 $ 1,205,214
-----------
TOTAL ENERGY............................................ 39,453,167
-----------
FINANCIALS -- (8.1%)
77 Bank, Ltd. (The)................................ 471,152 6,761,005
Advance Create Co., Ltd............................ 41,800 689,904
Aichi Bank, Ltd. (The)............................. 72,200 2,357,602
* Aiful Corp......................................... 2,481,200 5,821,476
Aizawa Securities Co., Ltd......................... 271,900 1,635,137
# Akatsuki Corp...................................... 112,400 288,327
Akita Bank, Ltd. (The)............................. 116,540 2,301,455
# * Anicom Holdings, Inc............................... 141,000 4,376,067
# Aomori Bank, Ltd. (The)............................ 142,900 3,737,999
# Asax Co., Ltd...................................... 9,300 44,469
Awa Bank, Ltd. (The)............................... 255,400 6,429,700
Bank of Iwate, Ltd. (The).......................... 119,900 3,453,048
# Bank of Kochi, Ltd. (The).......................... 52,700 391,283
# Bank of Nagoya, Ltd. (The)......................... 96,830 3,140,077
Bank of Okinawa, Ltd. (The)........................ 166,360 5,176,086
Bank of Saga, Ltd. (The)........................... 109,600 1,735,839
Bank of the Ryukyus, Ltd........................... 208,080 2,252,706
# Bank of Toyama, Ltd. (The)......................... 13,000 369,895
Chiba Kogyo Bank, Ltd. (The)....................... 408,600 1,053,378
Chugoku Bank, Ltd. (The)........................... 309,700 2,998,965
# Chukyo Bank, Ltd. (The)............................ 81,500 1,607,823
Daishi Hokuetsu Financial Group, Inc............... 293,700 8,644,070
Daito Bank, Ltd. (The)............................. 62,800 355,047
DSB Co., Ltd....................................... 61,300 246,474
eGuarantee, Inc.................................... 219,900 2,352,228
Ehime Bank, Ltd. (The)............................. 245,200 2,332,661
# Entrust, Inc....................................... 21,000 95,277
FIDEA Holdings Co., Ltd............................ 1,258,300 1,482,376
Financial Products Group Co., Ltd.................. 497,600 4,282,399
# First Bank of Toyama, Ltd. (The)................... 281,800 963,424
# First Brothers Co., Ltd............................ 43,700 458,821
Fukui Bank, Ltd. (The)............................. 173,300 2,530,275
Fukuoka Financial Group, Inc....................... 68,476 1,598,385
* Fukushima Bank, Ltd. (The)......................... 204,100 588,541
Fuyo General Lease Co., Ltd........................ 150,600 7,522,015
GCA Corp........................................... 142,800 1,053,212
GMO Financial Holdings, Inc........................ 251,400 1,350,629
* Hirose Tusyo, Inc.................................. 20,800 335,541
Hiroshima Bank, Ltd. (The)......................... 599,500 3,233,782
Hokkoku Bank, Ltd. (The)........................... 175,200 5,406,437
Hokuhoku Financial Group, Inc...................... 921,300 10,161,429
Hyakugo Bank, Ltd. (The)........................... 1,680,509 5,436,126
Hyakujushi Bank, Ltd. (The)........................ 168,100 3,502,855
IBJ Leasing Co., Ltd............................... 217,200 5,108,994
Ichiyoshi Securities Co., Ltd...................... 288,400 2,101,987
IwaiCosmo Holdings, Inc............................ 148,600 1,598,522
Iyo Bank, Ltd. (The)............................... 30,200 167,980
# J Trust Co., Ltd................................... 505,700 1,668,250
Jaccs Co., Ltd..................................... 181,100 3,146,563
Jafco Co., Ltd..................................... 232,900 8,816,619
* Japan Asia Investment Co., Ltd..................... 127,300 221,411
# Japan Investment Adviser Co., Ltd.................. 75,600 1,861,455
Japan Securities Finance Co., Ltd.................. 828,500 4,305,063
Jimoto Holdings, Inc............................... 1,008,300 927,748
Juroku Bank, Ltd. (The)............................ 234,500 4,790,378
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
FINANCIALS -- (Continued)
# kabu.com Securities Co., Ltd....................... 1,103,500 $ 5,543,593
Kansai Mirai Financial Group, Inc.................. 27,753 193,910
Keiyo Bank, Ltd. (The)............................. 786,200 4,861,598
Kita-Nippon Bank, Ltd. (The)....................... 53,706 920,258
Kiyo Bank, Ltd. (The).............................. 475,090 6,478,044
# Kosei Securities Co., Ltd. (The)................... 33,999 216,408
Kyokuto Securities Co., Ltd........................ 188,600 1,675,501
Kyushu Financial Group, Inc........................ 282,627 1,140,618
Kyushu Leasing Service Co., Ltd.................... 25,400 158,816
# * M&A Capital Partners Co., Ltd...................... 34,700 1,485,292
# Marusan Securities Co., Ltd........................ 404,100 2,291,647
Mercuria Investment Co., Ltd....................... 81,600 509,548
# Michinoku Bank, Ltd. (The)......................... 329,298 4,806,443
Mito Securities Co., Ltd........................... 424,800 845,679
Miyazaki Bank, Ltd. (The).......................... 125,900 3,039,166
# Monex Group, Inc................................... 1,271,900 3,874,388
# Money Partners Group Co., Ltd...................... 149,100 392,557
Musashino Bank, Ltd. (The)......................... 241,200 4,687,200
# Nagano Bank, Ltd. (The)............................ 58,399 897,731
Nanto Bank, Ltd. (The)............................. 188,800 3,539,733
NEC Capital Solutions, Ltd......................... 72,000 1,120,452
# Newton Financial Consulting, Inc................... 3,300 46,609
Nishi-Nippon Financial Holdings, Inc............... 732,700 6,062,936
North Pacific Bank, Ltd............................ 2,218,700 5,442,077
# OAK Capital Corp................................... 354,100 457,022
Ogaki Kyoritsu Bank, Ltd. (The).................... 287,300 6,494,185
Oita Bank, Ltd. (The).............................. 88,889 2,675,379
Okasan Securities Group, Inc....................... 1,129,300 4,136,555
Ricoh Leasing Co., Ltd............................. 110,300 3,223,746
San ju San Financial Group, Inc.................... 126,510 1,708,230
San-In Godo Bank, Ltd. (The)....................... 1,014,800 6,724,928
Sawada Holdings Co., Ltd........................... 150,600 1,322,953
Senshu Ikeda Holdings, Inc......................... 1,953,300 4,853,536
# Shiga Bank, Ltd. (The)............................. 338,200 8,093,591
Shikoku Bank, Ltd. (The)........................... 408,400 3,733,603
# Shimane Bank, Ltd. (The)........................... 29,800 217,770
Shimizu Bank, Ltd. (The)........................... 39,200 621,282
# Sparx Group Co., Ltd............................... 693,300 1,500,320
Strike Co., Ltd.................................... 39,000 711,586
# Taiko Bank, Ltd. (The)............................. 41,100 615,116
Tochigi Bank, Ltd. (The)........................... 806,200 1,634,590
Toho Bank, Ltd. (The).............................. 1,414,800 3,670,999
Tohoku Bank, Ltd. (The)............................ 70,400 685,528
Tokai Tokyo Financial Holdings, Inc................ 1,635,800 5,436,143
# Tokyo Kiraboshi Financial Group, Inc............... 234,538 3,389,039
Tomato Bank, Ltd................................... 54,500 522,872
TOMONY Holdings, Inc............................... 974,950 3,548,309
Tottori Bank, Ltd. (The)........................... 67,800 860,835
Towa Bank, Ltd. (The).............................. 167,100 1,071,846
# Toyo Securities Co., Ltd........................... 513,300 599,196
Tsukuba Bank, Ltd.................................. 284,400 502,168
Yamagata Bank, Ltd. (The).......................... 203,500 3,279,629
Yamanashi Chuo Bank, Ltd. (The).................... 248,700 2,917,508
------------
TOTAL FINANCIALS........................................ 290,707,883
------------
HEALTH CARE -- (4.9%)
# Advantage Risk Management Co., Ltd................. 38,800 321,435
As One Corp........................................ 33,568 2,686,622
ASKA Pharmaceutical Co., Ltd....................... 181,500 1,897,291
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
HEALTH CARE -- (Continued)
Biofermin Pharmaceutical Co., Ltd.................. 27,300 $ 559,792
BML, Inc........................................... 202,200 5,713,154
Carenet, Inc....................................... 25,600 184,034
Charm Care Corp. KK................................ 36,700 553,261
CMIC Holdings Co., Ltd............................. 86,100 1,269,325
Create Medic Co., Ltd.............................. 44,100 384,374
# Daiken Medical Co., Ltd............................ 118,800 609,442
Daito Pharmaceutical Co., Ltd...................... 84,280 2,722,224
# Dvx, Inc........................................... 45,800 378,443
Eiken Chemical Co., Ltd............................ 228,800 4,115,122
# Elan Corp.......................................... 105,700 1,612,179
# EM Systems Co., Ltd................................ 139,300 1,880,383
EPS Holdings, Inc.................................. 228,900 4,103,831
FALCO HOLDINGS Co., Ltd............................ 67,300 862,717
FINDEX, Inc........................................ 119,200 898,195
Fuji Pharma Co., Ltd............................... 120,400 1,827,458
Fukuda Denshi Co., Ltd............................. 53,100 3,702,756
Fuso Pharmaceutical Industries, Ltd................ 48,000 1,064,713
Hogy Medical Co., Ltd.............................. 155,200 5,081,010
# I'rom Group Co., Ltd............................... 31,800 531,293
Iwaki & Co., Ltd................................... 196,300 809,839
* Japan Animal Referral Medical Center Co., Ltd...... 13,900 355,769
# Japan Lifeline Co., Ltd............................ 462,300 7,332,234
Japan Medical Dynamic Marketing, Inc............... 109,400 1,216,232
JCR Pharmaceuticals Co., Ltd....................... 33,400 1,884,366
Jeol, Ltd.......................................... 250,200 5,069,415
JMS Co., Ltd....................................... 89,157 536,080
Kanamic Network Co., Ltd........................... 40,600 704,637
Kawasumi Laboratories, Inc......................... 93,180 613,316
Kissei Pharmaceutical Co., Ltd..................... 209,800 5,204,861
KYORIN Holdings, Inc............................... 270,900 5,090,813
Linical Co., Ltd................................... 84,500 962,072
Mani, Inc.......................................... 170,700 9,863,654
# * Medical Data Vision Co., Ltd....................... 152,500 1,387,689
Medius Holdings Co., Ltd........................... 75,300 505,125
* MedPeer, Inc....................................... 20,000 440,890
Menicon Co., Ltd................................... 197,600 5,702,965
Miraca Holdings, Inc............................... 472,500 12,110,780
Mizuho Medy Co., Ltd............................... 26,200 661,543
Mochida Pharmaceutical Co., Ltd.................... 84,298 3,915,229
N Field Co., Ltd................................... 63,000 410,476
Nagaileben Co., Ltd................................ 5,400 121,667
Nakanishi, Inc..................................... 199,300 3,837,617
NichiiGakkan Co., Ltd.............................. 283,400 3,475,122
Nichi-iko Pharmaceutical Co., Ltd.................. 366,450 4,392,340
Nikkiso Co., Ltd................................... 420,800 5,216,578
Nippon Chemiphar Co., Ltd.......................... 17,100 445,855
Nissui Pharmaceutical Co., Ltd..................... 94,200 999,816
Paramount Bed Holdings Co., Ltd.................... 149,800 7,039,352
* Pharma Foods International Co., Ltd................ 15,000 63,124
Rion Co., Ltd...................................... 65,300 1,173,954
# Seed Co., Ltd...................................... 94,700 973,005
Seikagaku Corp..................................... 246,100 2,710,047
# * Shin Nippon Biomedical Laboratories, Ltd........... 127,300 877,487
Ship Healthcare Holdings, Inc...................... 128,500 5,286,658
Shofu, Inc......................................... 69,200 786,991
Software Service, Inc.............................. 24,900 2,225,137
Solasto Corp....................................... 344,900 3,458,472
St-Care Holding Corp............................... 93,200 436,891
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
HEALTH CARE -- (Continued)
Techno Medica Co., Ltd............................. 27,800 $ 526,152
Toho Holdings Co., Ltd............................. 198,400 4,648,705
Tokai Corp......................................... 160,800 3,715,648
Torii Pharmaceutical Co., Ltd...................... 114,500 2,275,985
Towa Pharmaceutical Co., Ltd....................... 216,000 5,318,617
Tsukui Corp........................................ 422,300 2,638,089
# Uchiyama Holdings Co., Ltd......................... 26,400 115,566
UNIMAT Retirement Community Co., Ltd............... 27,300 449,101
Value HR Co., Ltd.................................. 23,200 537,962
# Vital KSK Holdings, Inc............................ 329,400 3,143,037
* Wakamoto Pharmaceutical Co., Ltd................... 112,300 283,840
WIN-Partners Co., Ltd.............................. 125,700 1,374,394
------------
TOTAL HEALTH CARE...................................... 176,284,248
------------
INDUSTRIALS -- (29.1%)
A&A Material Corp.................................. 26,000 243,589
Abist Co., Ltd..................................... 22,400 638,256
Advan Co., Ltd..................................... 197,900 1,845,353
# Advanex, Inc....................................... 22,099 350,558
Aeon Delight Co., Ltd.............................. 117,300 3,949,385
Aichi Corp......................................... 266,400 1,820,263
Aida Engineering, Ltd.............................. 353,300 2,787,459
Airtech Japan, Ltd................................. 22,000 121,709
AIT Corp........................................... 72,800 708,443
Ajis Co., Ltd...................................... 31,200 969,379
# Alconix Corp....................................... 169,400 2,017,180
Alinco, Inc........................................ 99,200 867,329
Alps Logistics Co., Ltd............................ 111,600 837,428
Altech Co., Ltd.................................... 10,900 22,487
Altech Corp........................................ 125,700 2,192,445
Anest Iwata Corp................................... 248,900 2,174,056
* Arrk Corp.......................................... 606,500 568,286
Asahi Diamond Industrial Co., Ltd.................. 364,700 2,581,915
# Asahi Kogyosha Co., Ltd............................ 30,100 819,162
Asanuma Corp....................................... 51,700 1,145,916
# Asukanet Co., Ltd.................................. 66,800 959,810
Asunaro Aoki Construction Co., Ltd................. 135,400 1,053,093
Bando Chemical Industries, Ltd..................... 261,100 2,545,348
BayCurrent Consulting, Inc......................... 100,800 3,652,713
Bell System24 Holdings, Inc........................ 266,700 3,890,872
Br Holdings Corp................................... 194,000 556,671
# Bunka Shutter Co., Ltd............................. 430,700 3,177,443
Canare Electric Co., Ltd........................... 23,500 408,026
Career Design Center Co., Ltd...................... 33,900 448,698
Central Glass Co., Ltd............................. 238,300 5,569,081
Central Security Patrols Co., Ltd.................. 41,300 1,959,085
# Chilled & Frozen Logistics Holdings Co., Ltd.,
Class H.......................................... 104,200 1,168,027
Chiyoda Integre Co., Ltd........................... 78,300 1,463,525
Chodai Co., Ltd.................................... 3,900 27,584
Chudenko Corp...................................... 236,200 4,836,258
Chugai Ro Co., Ltd................................. 44,000 735,768
# Chuo Warehouse Co., Ltd............................ 16,300 154,170
# CKD Corp........................................... 398,200 4,631,419
CMC Corp........................................... 14,600 269,365
Comany, Inc........................................ 4,700 56,778
# Cosel Co., Ltd..................................... 175,000 1,880,435
Creek & River Co., Ltd............................. 72,100 796,568
CTI Engineering Co., Ltd........................... 83,400 1,146,229
CTS Co., Ltd....................................... 197,400 1,206,993
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDUSTRIALS -- (Continued)
Dai-Dan Co., Ltd.................................... 114,900 $ 2,553,985
Daido Kogyo Co., Ltd................................ 46,800 365,477
# Daihatsu Diesel Manufacturing Co., Ltd.............. 124,100 723,218
Daihen Corp......................................... 160,000 4,478,619
Daiho Corp.......................................... 132,300 3,548,551
Dai-Ichi Cutter Kogyo K.K........................... 25,300 413,533
Daiichi Jitsugyo Co., Ltd........................... 66,200 2,043,631
# Daiichi Kensetsu Corp............................... 24,900 356,886
# Daiki Axis Co., Ltd................................. 51,700 400,598
* Daikokuya Holdings Co., Ltd......................... 138,700 38,872
Daiohs Corp......................................... 18,400 231,175
Daiseki Co., Ltd.................................... 302,863 8,320,277
Daiseki Eco. Solution Co., Ltd...................... 46,559 253,971
Daisue Construction Co., Ltd........................ 59,100 493,238
Daiwa Industries, Ltd............................... 240,700 2,811,339
Denyo Co., Ltd...................................... 124,600 1,583,837
# DMG Mori Co., Ltd................................... 398,300 5,743,551
DMW Corp............................................ 4,800 92,659
Duskin Co., Ltd..................................... 346,300 8,546,394
Ebara Jitsugyo Co., Ltd............................. 43,300 814,700
Eidai Co., Ltd...................................... 185,600 686,119
Endo Lighting Corp.................................. 21,500 157,670
en-japan, Inc....................................... 29,100 947,637
# Enshu, Ltd.......................................... 36,099 386,970
EPCO Co., Ltd....................................... 28,000 245,186
ERI Holdings Co., Ltd............................... 1,500 12,881
Escrow Agent Japan, Inc............................. 171,400 464,270
F&M Co., Ltd........................................ 41,700 453,202
* FDK Corp............................................ 47,198 457,208
# Freund Corp......................................... 83,900 606,195
Fudo Tetra Corp..................................... 126,080 1,734,525
# Fuji Corp........................................... 484,400 7,322,266
Fuji Die Co., Ltd................................... 61,100 349,857
Fuji Furukawa Engineering & Construction Co., Ltd... 1,200 20,005
Fujikura, Ltd....................................... 1,953,600 8,060,828
# Fujimak Corp........................................ 12,600 89,886
Fujisash Co., Ltd................................... 677,400 525,175
Fujitec Co., Ltd.................................... 527,900 6,483,660
Fukuda Corp......................................... 75,000 2,963,912
Fukushima Industries Corp........................... 97,600 3,384,022
Fukuvi Chemical Industry Co., Ltd................... 10,600 54,820
Fukuyama Transporting Co., Ltd...................... 57,557 2,217,497
FULLCAST Holdings Co., Ltd.......................... 140,900 3,107,332
Funai Soken Holdings, Inc........................... 308,470 8,002,785
Furukawa Co., Ltd................................... 238,200 2,970,829
Furusato Industries, Ltd............................ 66,800 979,255
Futaba Corp......................................... 268,000 4,354,625
G Three Holdings Corp............................... 2,520 6,448
Gakujo Co., Ltd..................................... 27,600 283,499
Gecoss Corp......................................... 100,700 904,804
Giken, Ltd.......................................... 90,100 2,824,918
Glory, Ltd.......................................... 266,855 6,737,772
# * Grace Technology, Inc............................... 54,300 936,256
GS Yuasa Corp....................................... 258,899 5,201,752
Hamakyorex Co., Ltd................................. 132,900 4,918,155
Hanwa Co., Ltd...................................... 285,000 8,214,671
# Hashimoto Sogyo Holdings Co., Ltd................... 4,070 52,638
Hazama Ando Corp.................................... 1,528,900 10,281,112
# Helios Techno Holdings Co., Ltd..................... 138,300 817,596
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDUSTRIALS -- (Continued)
Hibiya Engineering, Ltd............................ 144,700 $2,423,232
Hirakawa Hewtech Corp.............................. 81,000 1,010,608
# Hirano Tecseed Co., Ltd............................ 70,400 1,182,543
# Hirata Corp........................................ 53,200 3,668,106
Hisaka Works, Ltd.................................. 163,300 1,449,581
Hitachi Zosen Corp................................. 1,245,379 3,859,997
HITO Communications Holdings....................... 50,900 861,737
# Hoden Seimitsu Kako Kenkyusho Co., Ltd............. 30,300 276,957
Hokuetsu Industries Co., Ltd....................... 155,000 1,683,953
Hokuriku Electrical Construction Co., Ltd.......... 81,500 669,022
Hosokawa Micron Corp............................... 55,000 2,596,521
Howa Machinery, Ltd................................ 59,700 520,346
HyAS&Co, Inc....................................... 30,100 82,948
Ichikawa Co., Ltd.................................. 1,000 12,278
Ichiken Co., Ltd................................... 35,400 621,078
Ichinen Holdings Co., Ltd.......................... 157,800 1,723,256
# Idec Corp.......................................... 230,200 4,699,007
Ihara Science Corp................................. 50,800 580,285
Iino Kaiun Kaisha, Ltd............................. 650,500 2,271,242
Inaba Denki Sangyo Co., Ltd........................ 201,800 8,220,969
Inaba Seisakusho Co., Ltd.......................... 68,100 868,264
Inabata & Co., Ltd................................. 337,600 4,640,138
Insource Co., Ltd.................................. 45,100 949,349
Interworks, Inc.................................... 8,400 50,670
Inui Global Logistics Co., Ltd..................... 146,080 1,149,722
# IR Japan Holdings, Ltd............................. 61,000 1,052,961
Iseki & Co., Ltd................................... 147,000 2,300,513
# Ishii Iron Works Co., Ltd.......................... 11,000 196,487
# Isolite Insulating Products Co., Ltd............... 48,000 221,112
Itoki Corp......................................... 252,700 1,246,530
# Iwaki Co., Ltd..................................... 32,400 282,391
Iwasaki Electric Co., Ltd.......................... 35,800 439,134
JAC Recruitment Co., Ltd........................... 104,400 2,560,382
Jalux, Inc......................................... 44,600 1,013,292
Jamco Corp......................................... 68,500 1,379,640
Japan Asia Group, Ltd.............................. 189,000 603,619
# Japan Elevator Service Holdings Co., Ltd........... 104,100 2,123,582
Japan Foundation Engineering Co., Ltd.............. 134,500 456,863
Japan Pulp & Paper Co., Ltd........................ 84,400 3,231,669
Japan Steel Works, Ltd. (The)...................... 339,800 6,567,389
Japan Transcity Corp............................... 271,200 1,083,150
JK Holdings Co., Ltd............................... 111,140 582,287
* JMC Corp........................................... 6,800 70,778
Juki Corp.......................................... 235,300 2,714,621
Kamei Corp......................................... 172,600 1,728,170
Kanaden Corp....................................... 135,500 1,538,435
Kanagawa Chuo Kotsu Co., Ltd....................... 42,300 1,455,757
Kanamoto Co., Ltd.................................. 243,500 5,780,260
Kandenko Co., Ltd.................................. 286,200 2,412,752
Kanematsu Corp..................................... 644,825 7,157,135
Katakura Industries Co., Ltd....................... 182,800 2,101,992
# Kato Works Co., Ltd................................ 61,100 1,541,059
KAWADA TECHNOLOGIES, Inc........................... 47,300 2,953,350
Kawagishi Bridge Works Co., Ltd.................... 11,700 264,306
Kawanishi Warehouse Co., Ltd....................... 1,700 19,181
Kawasaki Kinkai Kisen Kaisha, Ltd.................. 9,599 265,841
# * Kawasaki Kisen Kaisha, Ltd......................... 684,200 9,946,187
Kawata Manufacturing Co., Ltd...................... 28,600 381,006
Keihin Co., Ltd.................................... 24,900 292,148
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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INDUSTRIALS -- (Continued)
KFC, Ltd........................................... 7,800 $ 115,818
* KI Holdings Co., Ltd............................... 104,000 426,735
Kimura Chemical Plants Co., Ltd.................... 107,500 358,981
Kimura Unity Co., Ltd.............................. 19,600 197,701
King Jim Co., Ltd.................................. 105,700 837,670
* Kinki Sharyo Co., Ltd. (The)....................... 26,999 495,127
Kintetsu World Express, Inc........................ 293,300 4,436,892
Kitagawa Corp...................................... 57,700 1,204,037
Kitano Construction Corp........................... 26,172 710,689
Kito Corp.......................................... 160,700 2,553,638
Kitz Corp.......................................... 623,900 4,768,368
Kobayashi Metals, Ltd.............................. 7,900 23,559
* Kobe Electric Railway Co., Ltd..................... 34,699 1,245,812
# Kobelco Eco-Solutions Co., Ltd..................... 21,399 368,302
Koike Sanso Kogyo Co., Ltd......................... 14,500 305,720
# Kokusai Co., Ltd................................... 51,600 346,545
Kokuyo Co., Ltd.................................... 281,925 3,575,263
KOMAIHALTEC, Inc................................... 24,900 403,470
Komatsu Wall Industry Co., Ltd..................... 53,500 897,546
Komori Corp........................................ 396,800 4,588,339
Kondotec, Inc...................................... 129,900 1,141,292
Konoike Transport Co., Ltd......................... 202,500 3,273,945
* Kosaido Co., Ltd................................... 212,900 1,465,020
# Kozo Keikaku Engineering, Inc...................... 20,700 454,086
KRS Corp........................................... 46,500 850,479
Kumagai Gumi Co., Ltd.............................. 299,100 8,776,101
Kuroda Precision Industries, Ltd................... 16,300 203,616
Kyodo Printing Co., Ltd............................ 52,000 1,169,561
Kyokuto Boeki Kaisha, Ltd.......................... 45,000 653,686
Kyokuto Kaihatsu Kogyo Co., Ltd.................... 237,800 3,351,125
Kyoritsu Printing Co., Ltd......................... 199,200 371,137
# Like Co., Ltd...................................... 63,200 707,783
Link And Motivation, Inc........................... 210,200 1,610,361
Lonseal Corp....................................... 13,900 225,801
Maeda Corp......................................... 174,800 1,740,805
Maeda Kosen Co., Ltd............................... 135,500 2,591,222
Maeda Road Construction Co., Ltd................... 274,000 5,437,294
Maezawa Industries, Inc............................ 25,300 82,304
Maezawa Kasei Industries Co., Ltd.................. 95,100 887,618
Maezawa Kyuso Industries Co., Ltd.................. 74,400 1,300,726
Makino Milling Machine Co., Ltd.................... 177,900 7,547,987
Marubeni Construction Material Lease Co., Ltd...... 3,900 64,826
Marufuji Sheet Piling Co., Ltd..................... 11,800 247,350
Maruka Corp........................................ 43,700 838,715
Marumae Co., Ltd................................... 26,300 225,433
# Maruwa Unyu Kikan Co., Ltd......................... 74,700 2,639,692
Maruyama Manufacturing Co., Inc.................... 27,900 356,238
Maruzen Co., Ltd................................... 67,300 1,398,402
Maruzen Showa Unyu Co., Ltd........................ 78,400 2,078,735
# Matching Service Japan Co., Ltd.................... 50,000 773,565
Matsuda Sangyo Co., Ltd............................ 100,082 1,265,786
Matsui Construction Co., Ltd....................... 146,300 927,769
Max Co., Ltd....................................... 206,800 3,167,992
Meidensha Corp..................................... 277,110 3,949,884
Meiji Electric Industries Co., Ltd................. 54,800 908,852
Meiji Shipping Co., Ltd............................ 111,000 341,408
Meisei Industrial Co., Ltd......................... 297,400 1,995,386
Meitec Corp........................................ 216,400 10,071,077
Meiwa Corp......................................... 170,200 694,526
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDUSTRIALS -- (Continued)
# Mesco, Inc......................................... 29,800 $ 292,689
METAWATER Co., Ltd................................. 74,900 2,246,688
# Mie Kotsu Group Holdings, Inc...................... 391,400 2,078,554
# Mirait Holdings Corp............................... 438,355 6,448,585
Mitani Corp........................................ 73,800 3,879,853
Mitani Sangyo Co., Ltd............................. 135,600 359,180
Mitsubishi Kakoki Kaisha, Ltd...................... 44,100 621,321
Mitsubishi Logisnext Co., Ltd...................... 204,400 2,300,969
Mitsubishi Pencil Co., Ltd......................... 121,400 2,499,501
Mitsuboshi Belting, Ltd............................ 166,400 3,161,269
* Mitsui E&S Holdings Co., Ltd....................... 639,200 6,316,309
Mitsui Matsushima Holdings Co., Ltd................ 65,700 751,918
Mitsui-Soko Holdings Co., Ltd...................... 173,600 2,759,599
Mitsumura Printing Co., Ltd........................ 9,300 192,735
Miyaji Engineering Group, Inc...................... 41,517 703,753
# Mori-Gumi Co., Ltd................................. 69,500 251,885
Morita Holdings Corp............................... 224,500 3,811,834
# Musashi Co., Ltd................................... 5,000 101,927
NAC Co., Ltd....................................... 76,500 687,726
Nachi-Fujikoshi Corp............................... 111,500 5,536,874
# Nadex Co., Ltd..................................... 40,600 311,483
Nagase & Co., Ltd.................................. 269,700 4,121,444
Naigai Trans Line, Ltd............................. 42,000 503,087
Nakabayashi Co., Ltd............................... 108,600 499,580
Nakakita Seisakusho Co., Ltd....................... 3,700 97,799
Nakamoto Packs Co., Ltd............................ 38,500 544,603
Nakanishi Manufacturing Co., Ltd................... 5,700 48,715
Nakano Corp........................................ 108,100 462,364
Namura Shipbuilding Co., Ltd....................... 420,428 1,421,744
Narasaki Sangyo Co., Ltd........................... 25,400 418,730
# Nexyz Group Corp................................... 58,000 1,283,023
Nice Holdings, Inc................................. 50,900 456,370
# Nichias Corp....................................... 480,100 9,281,448
# Nichiban Co., Ltd.................................. 81,800 1,705,538
Nichiden Corp...................................... 99,600 1,490,614
Nichiha Corp....................................... 213,280 5,866,871
Nichireki Co., Ltd................................. 192,500 1,832,409
# Nihon Dengi Co., Ltd............................... 30,200 761,301
Nihon Flush Co., Ltd............................... 64,200 1,293,369
Nikkato Corp....................................... 53,000 432,152
# Nikko Co., Ltd..................................... 36,100 794,282
Nikkon Holdings Co., Ltd........................... 385,300 9,092,278
Nippi, Inc......................................... 11,900 319,952
Nippon Air Conditioning Services Co., Ltd.......... 202,100 1,273,151
# Nippon Carbon Co., Ltd............................. 74,000 3,265,550
Nippon Concept Corp................................ 40,400 395,225
Nippon Densetsu Kogyo Co., Ltd..................... 272,400 5,876,554
Nippon Dry-Chemical Co., Ltd....................... 4,300 43,290
Nippon Filcon Co., Ltd............................. 13,100 60,442
Nippon Hume Corp................................... 165,600 1,155,414
Nippon Kanzai Co., Ltd............................. 77,200 1,399,234
Nippon Koei Co., Ltd............................... 85,900 1,969,141
Nippon Parking Development Co., Ltd., Class C...... 1,511,300 2,373,785
Nippon Rietec Co., Ltd............................. 9,300 119,867
Nippon Road Co., Ltd. (The)........................ 51,100 2,943,539
Nippon Seisen Co., Ltd............................. 24,300 633,718
* Nippon Sharyo, Ltd................................. 54,899 1,210,178
Nippon Sheet Glass Co., Ltd........................ 772,500 6,395,948
Nippon Steel Trading Corp.......................... 117,460 4,914,085
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDUSTRIALS -- (Continued)
Nippon Thompson Co., Ltd........................... 398,800 $2,072,565
Nippon Tungsten Co., Ltd........................... 6,699 139,877
Nishimatsu Construction Co., Ltd................... 389,300 8,444,730
Nishi-Nippon Railroad Co., Ltd..................... 212,900 5,014,660
Nishio Rent All Co., Ltd........................... 138,000 3,829,389
# Nissei ASB Machine Co., Ltd........................ 63,900 2,361,935
# Nissei Corp........................................ 38,900 394,820
Nissei Plastic Industrial Co., Ltd................. 169,000 1,507,830
Nisshinbo Holdings, Inc............................ 972,780 8,684,328
Nissin Corp........................................ 109,100 1,874,039
Nissin Electric Co., Ltd........................... 384,200 3,642,513
Nitta Corp......................................... 160,700 5,293,754
Nitto Boseki Co., Ltd.............................. 200,000 4,170,500
Nitto Kogyo Corp................................... 195,500 3,838,181
Nitto Kohki Co., Ltd............................... 80,100 1,650,327
Nitto Seiko Co., Ltd............................... 198,900 1,176,087
Nittoc Construction Co., Ltd....................... 170,600 873,185
Nittoku Engineering Co., Ltd....................... 4,500 113,097
NJS Co., Ltd....................................... 42,800 584,258
# nms Holdings Co.................................... 44,200 170,929
Noda Corp.......................................... 145,800 1,053,437
Nomura Co., Ltd.................................... 318,800 8,917,729
Noritake Co., Ltd.................................. 74,500 3,633,587
Noritsu Koki Co., Ltd.............................. 154,700 2,984,977
Noritz Corp........................................ 220,100 3,414,050
# NS Tool Co., Ltd................................... 61,700 1,412,053
NS United Kaiun Kaisha, Ltd........................ 67,800 1,489,156
NTN Corp........................................... 945,200 3,119,941
Obara Group, Inc................................... 90,600 3,465,064
Ochi Holdings Co., Ltd............................. 7,300 80,125
Odawara Engineering Co., Ltd....................... 6,500 133,801
Odelic Co., Ltd.................................... 27,800 983,023
Ohba Co., Ltd...................................... 84,000 519,819
Ohmoto Gumi Co., Ltd............................... 4,100 178,075
Oiles Corp......................................... 177,470 2,966,104
Okabe Co., Ltd..................................... 291,100 2,663,887
# Okada Aiyon Corp................................... 38,600 455,534
Okamoto Machine Tool Works, Ltd.................... 21,699 581,859
Okamura Corp....................................... 475,200 4,796,543
# OKK Corp........................................... 28,700 207,322
OKUMA Corp......................................... 108,300 6,379,911
Okumura Corp....................................... 247,480 8,006,256
Onoken Co., Ltd.................................... 128,700 1,833,629
Organo Corp........................................ 53,300 1,586,522
Oriental Consultants Holdings Co., Ltd............. 4,700 85,274
Origin Co., Ltd.................................... 26,700 495,708
OSG Corp........................................... 243,700 4,906,001
OSJB Holdings Corp................................. 1,031,600 2,464,761
# Outsourcing, Inc................................... 557,700 7,332,529
Oyo Corp........................................... 165,400 1,743,785
# Paraca, Inc........................................ 37,900 680,700
Parker Corp........................................ 34,000 149,272
* Pasco Corp......................................... 7,800 69,665
Pasona Group, Inc.................................. 134,000 2,125,429
Pegasus Sewing Machine Manufacturing Co., Ltd...... 150,600 867,867
Penta-Ocean Construction Co., Ltd.................. 1,583,500 7,264,498
# * Phil Co., Inc...................................... 8,900 309,360
Prestige International, Inc........................ 400,100 5,743,940
Pronexus, Inc...................................... 124,000 1,476,427
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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INDUSTRIALS -- (Continued)
PS Mitsubishi Construction Co., Ltd................ 243,400 $ 1,434,219
Punch Industry Co., Ltd............................ 107,900 625,059
Quick Co., Ltd..................................... 77,900 1,211,584
Raito Kogyo Co., Ltd............................... 299,700 3,869,635
# Rasa Corp.......................................... 63,200 473,573
Relia, Inc......................................... 204,700 2,166,284
Rheon Automatic Machinery Co., Ltd................. 152,100 2,306,009
# Rix Corp........................................... 17,100 229,267
# * Rozetta Corp....................................... 22,800 878,878
Ryobi, Ltd......................................... 178,440 4,070,892
S LINE Co., Ltd.................................... 23,800 219,541
Sakai Heavy Industries, Ltd........................ 24,500 699,312
# Sakai Moving Service Co., Ltd...................... 86,600 5,101,455
* Sanix, Inc......................................... 134,800 279,597
Sanki Engineering Co., Ltd......................... 337,700 3,695,452
Sanko Gosei, Ltd................................... 139,300 437,200
# Sanko Metal Industrial Co., Ltd.................... 17,700 427,699
Sankyo Tateyama, Inc............................... 210,300 2,339,068
# Sanoyas Holdings Corp.............................. 159,500 346,211
# Sansei Technologies, Inc........................... 88,000 1,224,439
# Sansha Electric Manufacturing Co., Ltd............. 66,700 565,205
Sanyo Denki Co., Ltd............................... 38,600 1,816,589
Sanyo Engineering & Construction, Inc.............. 78,500 477,892
Sanyo Industries, Ltd.............................. 9,900 165,364
Sanyo Trading Co., Ltd............................. 80,000 1,626,218
Sata Construction Co., Ltd......................... 91,299 323,705
Sato Holdings Corp................................. 214,300 5,217,466
Sato Shoji Corp.................................... 93,000 783,292
Sawafuji Electric Co., Ltd......................... 1,900 30,672
SBS Holdings, Inc.................................. 149,200 2,521,105
# SEC Carbon, Ltd.................................... 10,900 970,917
# Secom Joshinetsu Co., Ltd.......................... 32,000 1,037,118
# Seibu Electric & Machinery Co., Ltd................ 10,300 90,543
# Seika Corp......................................... 67,000 823,695
Seikitokyu Kogyo Co., Ltd.......................... 208,430 1,064,518
Sekisui Jushi Corp................................. 223,200 4,321,031
Senko Group Holdings Co., Ltd...................... 900,100 7,239,214
Senshu Electric Co., Ltd........................... 54,200 1,259,658
Shibusawa Warehouse Co., Ltd. (The)................ 62,200 979,076
Shibuya Corp....................................... 99,400 3,089,929
Shima Seiki Manufacturing, Ltd..................... 211,500 7,116,557
# Shin Nippon Air Technologies Co., Ltd.............. 116,680 1,880,791
# Shin-Keisei Electric Railway Co., Ltd.............. 41,099 764,741
Shinki Bus Co., Ltd................................ 400 12,688
Shinmaywa Industries, Ltd.......................... 707,200 8,732,442
Shinnihon Corp..................................... 208,700 1,794,141
Shinsho Corp....................................... 36,300 868,714
Shinwa Co., Ltd.................................... 69,000 1,407,204
* Shoko Co., Ltd..................................... 44,400 259,406
# Showa Aircraft Industry Co., Ltd................... 48,937 597,695
# SIGMAXYZ, Inc...................................... 133,700 1,309,082
Sinfonia Technology Co., Ltd....................... 173,200 2,465,159
Sinko Industries, Ltd.............................. 151,700 2,183,301
Sintokogio, Ltd.................................... 328,700 3,092,789
SMS Co., Ltd....................................... 551,200 10,697,555
Soda Nikka Co., Ltd................................ 126,500 653,001
Sodick Co., Ltd.................................... 209,900 1,896,206
Space Co., Ltd..................................... 100,062 1,161,312
# S-Pool, Inc........................................ 54,500 1,241,033
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDUSTRIALS -- (Continued)
Star Micronics Co., Ltd............................ 263,600 $4,302,199
Subaru Enterprise Co., Ltd......................... 8,100 419,000
Sugimoto & Co., Ltd................................ 70,500 1,262,081
# Sumiseki Holdings, Inc............................. 476,200 509,786
Sumitomo Densetsu Co., Ltd......................... 129,500 2,225,077
Sumitomo Mitsui Construction Co., Ltd.............. 1,393,140 9,092,070
Sumitomo Precision Products Co., Ltd............... 21,184 591,113
Sumitomo Warehouse Co., Ltd. (The)................. 473,900 6,078,256
Suzumo Machinery Co., Ltd.......................... 2,200 24,089
SWCC Showa Holdings Co., Ltd....................... 98,700 686,740
# Tacmina Corp....................................... 14,200 244,361
Tadano, Ltd........................................ 825,100 8,729,780
Taihei Dengyo Kaisha, Ltd.......................... 121,700 2,684,077
Taiheiyo Kouhatsu, Inc............................. 44,200 293,392
Taikisha, Ltd...................................... 184,900 5,587,956
Taisei Oncho Co., Ltd.............................. 13,300 210,046
# Takadakiko Co., Ltd................................ 7,500 173,134
Takagi Seiko Corp.................................. 2,300 76,437
Takamatsu Construction Group Co., Ltd.............. 106,200 2,290,832
Takamatsu Machinery Co., Ltd....................... 41,800 365,666
Takamiya Co., Ltd.................................. 128,600 779,096
Takano Co., Ltd.................................... 60,100 447,576
Takaoka Toko Co., Ltd.............................. 55,020 637,556
Takara Printing Co., Ltd........................... 21,455 331,683
Takara Standard Co., Ltd........................... 267,900 4,078,067
Takasago Thermal Engineering Co., Ltd.............. 350,100 5,552,620
Takashima & Co., Ltd............................... 26,600 408,104
Takeei Corp........................................ 162,900 1,150,006
Takeuchi Manufacturing Co., Ltd.................... 289,400 5,488,011
# Takigami Steel Construction Co., Ltd. (The)........ 5,300 233,801
Takisawa Machine Tool Co., Ltd..................... 45,100 633,155
Takuma Co., Ltd.................................... 303,000 3,653,442
# Tanabe Engineering Corp............................ 39,500 277,917
Tanseisha Co., Ltd................................. 268,249 2,995,513
Tatsuta Electric Wire and Cable Co., Ltd........... 317,600 1,394,872
TECHNO ASSOCIE Co., Ltd............................ 56,800 552,622
Techno Ryowa, Ltd.................................. 71,390 529,358
Techno Smart Corp.................................. 49,500 412,745
Teikoku Electric Manufacturing Co., Ltd............ 127,100 1,296,052
Teikoku Sen-I Co., Ltd............................. 128,500 2,860,307
Tekken Corp........................................ 97,800 2,557,151
Tenox Corp......................................... 22,500 164,301
Teraoka Seisakusho Co., Ltd........................ 76,000 352,877
Terasaki Electric Co., Ltd......................... 24,400 202,035
Toa Corp........................................... 117,000 1,680,711
TOA ROAD Corp...................................... 26,500 678,955
# Toba, Inc.......................................... 9,800 241,259
Tobishima Corp..................................... 151,070 1,933,820
Tocalo Co., Ltd.................................... 474,700 3,906,678
Toenec Corp........................................ 58,600 1,627,219
# Togami Electric Manufacturing Co., Ltd............. 17,800 240,929
# TOKAI Holdings Corp................................ 743,300 6,208,929
Tokai Lease Co., Ltd............................... 19,300 281,510
Tokyo Energy & Systems, Inc........................ 184,200 1,589,741
# Tokyo Keiki, Inc................................... 66,022 658,287
Tokyo Sangyo Co., Ltd.............................. 146,700 677,526
Tokyu Construction Co., Ltd........................ 661,700 4,751,915
Toli Corp.......................................... 284,300 665,672
Tomoe Corp......................................... 159,000 513,236
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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INDUSTRIALS -- (Continued)
# Tomoe Engineering Co., Ltd......................... 58,900 $ 1,296,992
Tonami Holdings Co., Ltd........................... 40,900 2,247,482
Toppan Forms Co., Ltd.............................. 366,900 3,355,466
Torishima Pump Manufacturing Co., Ltd.............. 143,800 1,305,782
Toshiba Machine Co., Ltd........................... 157,000 3,590,350
Toshiba Plant Systems & Services Corp.............. 172,350 3,094,896
# Tosho Printing Co., Ltd............................ 175,399 1,534,047
Totech Corp........................................ 57,000 1,120,758
Totetsu Kogyo Co., Ltd............................. 193,200 5,672,812
Totoku Electric Co., Ltd........................... 17,700 302,640
Toyo Construction Co., Ltd......................... 595,000 2,191,938
Toyo Denki Seizo K.K............................... 41,250 564,849
* Toyo Engineering Corp.............................. 221,078 1,179,067
# Toyo Logistics Co., Ltd............................ 80,800 230,742
Toyo Machinery & Metal Co., Ltd.................... 109,300 614,483
Toyo Tanso Co., Ltd................................ 81,500 1,617,491
# Toyo Wharf & Warehouse Co., Ltd.................... 41,300 554,018
Trancom Co., Ltd................................... 56,800 3,303,854
# Trinity Industrial Corp............................ 36,000 226,554
Trusco Nakayama Corp............................... 154,100 3,894,841
Trust Tech, Inc.................................... 77,100 2,628,072
Tsubaki Nakashima Co., Ltd......................... 333,200 6,226,046
Tsubakimoto Chain Co............................... 208,840 7,784,444
Tsubakimoto Kogyo Co., Ltd......................... 28,800 944,293
Tsudakoma Corp..................................... 31,998 547,370
# Tsugami Corp....................................... 333,500 3,023,076
Tsukishima Kikai Co., Ltd.......................... 210,100 2,756,547
Tsurumi Manufacturing Co., Ltd..................... 141,900 2,543,254
Uchida Yoko Co., Ltd............................... 54,000 1,723,691
Ueki Corp.......................................... 34,800 730,377
Union Tool Co...................................... 52,300 1,443,952
Ushio, Inc......................................... 799,700 9,721,789
# UT Group Co., Ltd.................................. 204,000 5,883,805
Utoc Corp.......................................... 102,200 499,260
Waida Manufacturing Co., Ltd....................... 4,300 58,813
Wakachiku Construction Co., Ltd.................... 99,200 1,275,556
Wakita & Co., Ltd.................................. 294,800 3,096,641
WDB Holdings Co., Ltd.............................. 65,900 1,957,858
Weathernews, Inc................................... 40,200 1,220,965
Will Group, Inc.................................... 101,200 1,035,137
World Holdings Co., Ltd............................ 45,300 770,210
Yahagi Construction Co., Ltd....................... 200,200 1,404,420
YAMABIKO Corp...................................... 256,528 2,537,353
YAMADA Consulting Group Co., Ltd................... 78,800 1,714,225
# Yamashina Corp..................................... 224,200 139,298
Yamato Corp........................................ 117,000 548,136
# Yamaura Corp....................................... 46,400 375,495
Yamazen Corp....................................... 465,300 4,895,693
Yasuda Logistics Corp.............................. 122,200 948,108
Yokogawa Bridge Holdings Corp...................... 239,000 3,888,967
Yondenko Corp...................................... 27,360 649,936
Yuasa Trading Co., Ltd............................. 128,600 3,668,590
Yuken Kogyo Co., Ltd............................... 24,000 375,728
# Yumeshin Holdings Co., Ltd......................... 362,700 2,627,207
Yurtec Corp........................................ 277,500 1,958,285
Zaoh Co., Ltd...................................... 21,500 259,498
# Zenitaka Corp. (The)............................... 19,600 940,294
Zuiko Corp......................................... 29,000 936,259
--------------
TOTAL INDUSTRIALS...................................... 1,046,158,415
--------------
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
INFORMATION TECHNOLOGY -- (13.4%)
A&D Co., Ltd....................................... 141,000 $1,156,039
Access Co., Ltd.................................... 208,000 1,676,956
Ad-sol Nissin Corp................................. 43,000 648,974
Adtec Plasma Technology Co., Ltd................... 30,700 232,844
# AGS Corp........................................... 11,600 74,322
Ai Holdings Corp................................... 301,400 4,925,164
Aichi Tokei Denki Co., Ltd......................... 18,900 702,242
Aiphone Co., Ltd................................... 74,900 1,182,653
* Allied Telesis Holdings K.K........................ 381,000 280,952
Alpha Systems, Inc................................. 60,520 1,490,757
Amano Corp......................................... 379,800 9,925,195
AOI Electronics Co., Ltd........................... 31,400 677,578
Argo Graphics, Inc................................. 122,200 2,513,620
* Arisawa Manufacturing Co., Ltd..................... 206,500 1,584,507
ArtSpark Holdings, Inc............................. 48,100 277,313
Asahi Intelligence Service Co., Ltd................ 1,300 12,287
# Aval Data Corp..................................... 25,400 438,035
Avant Corp......................................... 54,500 803,420
* Axell Corp......................................... 44,900 211,379
Azia Co., Ltd...................................... 14,300 157,263
# Billing System Corp................................ 10,000 298,851
# * BrainPad, Inc...................................... 7,200 403,334
Broadleaf Co., Ltd................................. 722,700 3,723,883
Business Brain Showa-Ota, Inc...................... 10,100 184,146
CAC Holdings Corp.................................. 94,200 1,346,165
Canon Electronics, Inc............................. 147,700 2,434,060
Capital Asset Planning, Inc........................ 13,200 163,629
CDS Co., Ltd....................................... 13,200 154,010
* Change, Inc........................................ 10,000 339,601
Chino Corp......................................... 47,400 557,328
Citizen Watch Co., Ltd............................. 899,600 5,072,150
# CMK Corp........................................... 392,800 2,726,730
Computer Engineering & Consulting, Ltd............. 173,300 3,431,635
Computer Institute of Japan, Ltd................... 102,900 846,923
Comture Corp....................................... 82,500 2,844,168
# CONEXIO Corp....................................... 128,600 1,596,840
# Core Corp.......................................... 44,500 535,735
Cresco, Ltd........................................ 41,200 1,254,888
# * CRI Middleware Co., Ltd............................ 6,400 199,525
# Cube System, Inc................................... 58,300 414,035
# Cyber Com Co., Ltd................................. 14,800 287,821
Cybernet Systems Co., Ltd.......................... 49,900 246,056
Cybozu, Inc........................................ 141,600 1,345,676
# Dai-ichi Seiko Co., Ltd............................ 72,300 741,828
# Daiko Denshi Tsushin, Ltd.......................... 37,200 237,111
# Daishinku Corp..................................... 64,099 610,306
Daitron Co., Ltd................................... 54,400 813,254
Daiwabo Holdings Co., Ltd.......................... 137,900 7,057,140
Denki Kogyo Co., Ltd............................... 75,300 2,208,346
Densan System Co., Ltd............................. 50,300 1,451,843
# Dexerials Corp..................................... 465,500 2,945,157
Digital Arts, Inc.................................. 88,000 7,598,454
# Digital Hearts Holdings Co., Ltd................... 109,300 1,228,937
Digital Information Technologies Corp.............. 54,900 753,779
DKK-Toa Corp....................................... 11,900 87,622
Double Standard, Inc............................... 9,300 429,392
DTS Corp........................................... 166,200 5,886,416
Ebase Co., Ltd..................................... 18,600 180,483
# E-Guardian, Inc.................................... 74,000 1,411,992
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INFORMATION TECHNOLOGY -- (Continued)
Eizo Corp.......................................... 132,900 $ 5,107,767
Elecom Co., Ltd.................................... 137,400 4,610,315
Elematec Corp...................................... 61,471 1,131,099
# Enomoto Co., Ltd................................... 30,200 249,517
Enplas Corp........................................ 63,500 1,799,487
ESPEC Corp......................................... 166,000 3,279,611
# Excel Co., Ltd..................................... 56,000 992,694
Fenwal Controls of Japan, Ltd...................... 21,600 301,253
Ferrotec Holdings Corp............................. 260,500 2,913,993
# * FFRI, Inc.......................................... 20,500 598,567
# Fixstars Corp...................................... 115,700 1,528,777
Focus Systems Corp................................. 1,900 16,385
Forval Corp........................................ 52,300 470,005
# Fronteo, Inc....................................... 118,100 535,449
FTGroup Co., Ltd................................... 67,000 817,428
Fuji Soft, Inc..................................... 80,000 3,164,337
Fujitsu Frontech, Ltd.............................. 88,800 847,588
Fukui Computer Holdings, Inc....................... 48,600 977,320
Furuno Electric Co., Ltd........................... 194,900 1,642,300
Furuya Metal Co., Ltd.............................. 6,700 290,723
Future Corp........................................ 150,800 2,520,797
Future Innovation Group, Inc....................... 11,900 34,080
# Geomatec Co., Ltd.................................. 29,900 198,472
# GL Sciences, Inc................................... 46,700 723,204
GMO Cloud K.K...................................... 16,800 632,522
GMO internet, Inc.................................. 192,900 2,994,081
GMO Pepabo, Inc.................................... 800 25,598
# * Gunosy, Inc........................................ 44,800 671,826
Hagiwara Electric Holdings Co., Ltd................ 51,100 1,419,510
Hakuto Co., Ltd.................................... 100,600 1,091,523
Hibino Corp........................................ 26,300 566,733
Hioki EE Corp...................................... 69,700 2,515,787
Hochiki Corp....................................... 120,000 1,368,964
# Hokuriku Electric Industry Co., Ltd................ 48,200 463,895
Honda Tsushin Kogyo Co., Ltd....................... 113,800 570,160
Hosiden Corp....................................... 423,800 4,054,315
Ibiden Co., Ltd.................................... 140,378 2,518,569
# Icom, Inc.......................................... 79,000 1,482,172
ID Holdings Corp................................... 52,100 631,773
# Ikegami Tsushinki Co., Ltd......................... 40,799 429,686
Ines Corp.......................................... 166,100 2,074,653
I-Net Corp......................................... 80,390 961,829
Infocom Corp....................................... 188,000 3,615,420
# Infomart Corp...................................... 769,400 11,194,230
Information Services International-Dentsu, Ltd..... 90,100 3,095,067
Innotech Corp...................................... 116,200 1,042,873
Intelligent Wave, Inc.............................. 33,500 223,353
# Inter Action Corp.................................. 27,600 476,789
I-O Data Device, Inc............................... 56,200 599,373
Iriso Electronics Co., Ltd......................... 154,500 8,040,836
ISB Corp........................................... 13,700 230,967
Ishii Hyoki Co., Ltd............................... 31,000 175,238
* ITbook Holdings Co., Ltd........................... 101,500 324,128
* Itfor, Inc......................................... 145,300 1,220,206
Iwatsu Electric Co., Ltd........................... 68,500 493,618
Japan Aviation Electronics Industry, Ltd........... 382,900 6,195,136
Japan Cash Machine Co., Ltd........................ 154,800 1,648,573
# * Japan Display, Inc................................. 3,483,900 2,459,652
# Japan Electronic Materials Corp.................... 51,800 321,139
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
INFORMATION TECHNOLOGY -- (Continued)
Japan Material Co., Ltd............................ 481,200 $7,184,770
Jastec Co., Ltd.................................... 83,900 713,165
JBCC Holdings, Inc................................. 117,800 1,604,888
* JIG-SAW, Inc....................................... 26,700 715,065
Justsystems Corp................................... 270,000 7,748,460
Kaga Electronics Co., Ltd.......................... 133,600 2,466,968
Kanematsu Electronics, Ltd......................... 89,400 2,652,293
KEL Corp........................................... 27,900 206,190
Koa Corp........................................... 163,500 2,258,062
KSK Co., Ltd....................................... 1,500 26,254
# Kyoden Co., Ltd.................................... 110,000 390,229
Kyosan Electric Manufacturing Co., Ltd............. 319,900 1,253,276
Kyowa Electronic Instruments Co., Ltd.............. 142,900 538,560
# LAC Co., Ltd....................................... 100,100 1,417,827
Lasertec Corp...................................... 210,200 9,551,290
Macnica Fuji Electronics Holdings, Inc............. 389,750 5,642,531
# Mamezou Holdings Co., Ltd.......................... 124,900 1,238,952
Marubun Corp....................................... 112,200 653,678
# Maruwa Co., Ltd.................................... 70,000 3,811,437
# Maxell Holdings, Ltd............................... 396,400 6,032,264
MCJ Co., Ltd....................................... 537,300 3,868,664
# Megachips Corp..................................... 112,800 1,513,095
# Meiko Electronics Co., Ltd......................... 179,500 3,521,735
# * Metaps, Inc........................................ 12,800 137,507
Micronics Japan Co., Ltd........................... 223,800 1,733,593
# Mimaki Engineering Co., Ltd........................ 136,300 752,892
Mimasu Semiconductor Industry Co., Ltd............. 119,981 1,789,399
Miraial Co., Ltd................................... 48,000 537,213
# Miroku Jyoho Service Co., Ltd...................... 140,300 3,782,394
Mitachi Co., Ltd................................... 17,900 122,147
Mitsubishi Research Institute, Inc................. 56,200 1,561,189
Mitsui High-Tec, Inc............................... 184,400 2,138,188
Mutoh Holdings Co., Ltd............................ 14,600 244,219
Nagano Keiki Co., Ltd.............................. 96,400 698,052
Nakayo, Inc........................................ 77,100 969,916
NEC Networks & System Integration Corp............. 175,600 4,230,237
# NF Corp............................................ 22,500 378,565
Nichicon Corp...................................... 397,800 3,882,237
# * Nihon Dempa Kogyo Co., Ltd......................... 73,100 318,139
Nihon Denkei Co., Ltd.............................. 31,800 410,845
Nippon Chemi-Con Corp.............................. 83,600 1,707,649
# Nippon Computer Dynamics Co., Ltd.................. 38,600 342,460
# Nippon Information Development Co., Ltd............ 12,600 143,528
# Nippon Kodoshi Corp................................ 56,200 797,962
Nippon Signal Co., Ltd............................. 372,300 3,458,958
Nippon Systemware Co., Ltd......................... 55,400 1,092,051
Nissha Co., Ltd.................................... 253,600 2,952,968
Nohmi Bosai, Ltd................................... 167,400 3,023,220
NSD Co., Ltd....................................... 293,480 7,269,800
NuFlare Technology, Inc............................ 35,300 2,192,925
# Ohara, Inc......................................... 35,900 451,731
# Ohizumi Manufacturing Co., Ltd..................... 27,100 157,741
# Okaya Electric Industries Co., Ltd................. 77,800 257,865
Oki Electric Industry Co., Ltd..................... 694,400 8,139,537
ONO Sokki Co., Ltd................................. 37,400 206,602
# Optex Group Co., Ltd............................... 271,520 4,548,473
# Oro Co., Ltd....................................... 7,900 489,699
Osaki Electric Co., Ltd............................ 324,800 2,159,949
# Oval Corp.......................................... 35,600 83,520
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
INFORMATION TECHNOLOGY -- (Continued)
Paltek Corp........................................ 38,500 $ 198,904
PCI Holdings, Inc.................................. 12,800 274,541
Poletowin Pitcrew Holdings, Inc.................... 221,100 2,002,058
# Pro-Ship, Inc...................................... 38,300 408,017
Rakus Co., Ltd..................................... 122,500 2,139,556
# RECOMM Co., Ltd.................................... 404,200 611,696
# Remixpoint, Inc.................................... 150,200 436,317
Renesas Easton Co., Ltd............................ 105,100 391,934
Restar Holdings Corp............................... 161,100 2,613,150
Riken Keiki Co., Ltd............................... 113,500 2,150,644
Riso Kagaku Corp................................... 134,300 2,229,503
Roland DG Corp..................................... 104,400 2,258,841
# Rorze Corp......................................... 74,600 1,758,158
RS Technologies Co., Ltd........................... 23,400 687,994
Ryoden Corp........................................ 110,600 1,518,442
Ryosan Co., Ltd.................................... 187,200 5,049,263
Ryoyo Electro Corp................................. 168,200 2,589,693
# Saison Information Systems Co., Ltd................ 23,800 304,491
# Sakura Internet, Inc............................... 151,000 733,002
Samco, Inc......................................... 14,700 120,790
Sanken Electric Co., Ltd........................... 193,200 4,153,925
Sanshin Electronics Co., Ltd....................... 150,100 2,531,951
Satori Electric Co., Ltd........................... 88,480 793,311
Saxa Holdings, Inc................................. 32,600 514,572
Scala, Inc......................................... 120,700 982,015
# Seikoh Giken Co., Ltd.............................. 18,000 413,455
SEMITEC Corp....................................... 5,500 248,764
# Shibaura Electronics Co., Ltd...................... 58,000 2,078,733
Shibaura Mechatronics Corp......................... 31,800 1,093,745
# * SHIFT, Inc......................................... 41,800 2,302,697
Shindengen Electric Manufacturing Co., Ltd......... 53,700 2,209,691
# * Shinkawa, Ltd...................................... 88,400 396,985
Shinko Electric Industries Co., Ltd................ 566,300 4,997,717
Shinko Shoji Co., Ltd.............................. 157,100 2,646,871
# Shirai Electronics Industrial Co., Ltd............. 51,100 158,211
Shizuki Electric Co., Inc.......................... 127,100 709,730
# Showa Shinku Co., Ltd.............................. 25,400 291,958
Sigma Koki Co., Ltd................................ 31,600 381,430
# Siix Corp.......................................... 242,700 3,890,921
SK-Electronics Co., Ltd............................ 64,100 1,022,465
# SMK Corp........................................... 36,599 847,177
# Softbank Technology Corp........................... 74,000 1,653,705
Softbrain Co., Ltd................................. 111,300 531,096
Softcreate Holdings Corp........................... 58,200 825,438
Soliton Systems K.K................................ 49,000 455,741
# * So-net Media Networks Corp......................... 14,900 142,459
# Soshin Electric Co., Ltd........................... 58,400 274,725
# Sourcenext Corp.................................... 364,000 1,680,740
SRA Holdings....................................... 75,600 1,638,125
# Sumida Corp........................................ 206,049 3,076,817
Sun-Wa Technos Corp................................ 82,000 653,238
# Suzuki Co., Ltd.................................... 77,300 478,698
# System Information Co., Ltd........................ 54,800 459,831
System Research Co., Ltd........................... 13,600 322,604
Systemsoft Corp.................................... 255,800 230,393
Systena Corp....................................... 564,200 6,792,187
Tachibana Eletech Co., Ltd......................... 129,360 2,019,537
# Takachiho Koheki Co., Ltd.......................... 37,400 321,057
# TAKEBISHI Corp..................................... 53,100 656,815
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INFORMATION TECHNOLOGY -- (Continued)
Tamura Corp........................................ 651,300 $ 4,046,106
Tazmo Co., Ltd..................................... 39,500 319,262
TDC Soft, Inc...................................... 109,900 851,234
# TechMatrix Corp.................................... 107,300 1,911,953
# Techno Horizon Holdings Co., Ltd................... 53,800 189,859
Tecnos Japan, Inc.................................. 109,700 663,342
Teikoku Tsushin Kogyo Co., Ltd..................... 53,800 590,399
# * Terilogy Co., Ltd.................................. 8,800 74,207
# TESEC Corp......................................... 19,400 232,298
TKC Corp........................................... 119,000 4,659,487
Tokyo Electron Device, Ltd......................... 45,600 795,134
Tokyo Seimitsu Co., Ltd............................ 315,100 9,152,729
Tomen Devices Corp................................. 15,300 328,023
Topcon Corp........................................ 862,100 10,476,108
# Torex Semiconductor, Ltd........................... 45,500 533,402
Toshiba TEC Corp................................... 212,600 5,875,105
Toukei Computer Co., Ltd........................... 22,710 618,227
Towa Corp.......................................... 169,300 1,408,788
Toyo Corp.......................................... 165,500 1,349,925
# Tri Chemical Laboratories, Inc..................... 37,100 1,955,945
# Tsuzuki Denki Co., Ltd............................. 41,500 342,909
Ulvac, Inc......................................... 361,900 12,191,101
# UMC Electronics Co., Ltd........................... 51,600 669,400
Uniden Holdings Corp............................... 44,000 971,677
UNIRITA, Inc....................................... 8,100 117,426
# UNITED, Inc........................................ 80,100 1,030,214
V Technology Co., Ltd.............................. 38,600 5,188,729
# VINX Corp.......................................... 9,400 93,574
Wacom Co., Ltd..................................... 1,108,900 4,484,181
# YAC Holdings Co., Ltd.............................. 87,500 683,899
# Yamaichi Electronics Co., Ltd...................... 153,400 1,746,012
Yashima Denki Co., Ltd............................. 129,600 1,026,786
# Yokowo Co., Ltd.................................... 100,000 1,600,442
Zuken, Inc......................................... 113,200 1,557,166
------------
TOTAL INFORMATION TECHNOLOGY............................ 482,866,707
------------
MATERIALS -- (9.9%)
Achilles Corp...................................... 109,000 1,933,163
ADEKA Corp......................................... 665,700 10,001,126
Agro-Kanesho Co., Ltd.............................. 1,300 26,514
Aichi Steel Corp................................... 81,700 2,509,023
Arakawa Chemical Industries, Ltd................... 132,600 1,788,897
Araya Industrial Co., Ltd.......................... 26,500 374,605
Asahi Holdings, Inc................................ 299,850 5,836,776
Asahi Printing Co., Ltd............................ 25,700 247,787
ASAHI YUKIZAI Corp................................. 98,600 1,597,199
Asahipen Corp...................................... 2,100 32,844
Asia Pile Holdings Corp............................ 220,000 1,196,898
C Uyemura & Co., Ltd............................... 34,200 2,113,040
Carlit Holdings Co., Ltd........................... 139,400 1,068,874
Chuetsu Pulp & Paper Co., Ltd...................... 44,400 560,748
* Chugai Mining Co., Ltd............................. 652,700 111,562
# Chugoku Marine Paints, Ltd......................... 478,100 4,527,351
CI Takiron Corp.................................... 324,200 1,960,082
# CK-San-Etsu Co., Ltd............................... 21,200 551,879
Dai Nippon Toryo Co., Ltd.......................... 145,500 1,374,960
Daido Steel Co., Ltd............................... 86,300 3,521,086
# Daiichi Kigenso Kagaku-Kogyo Co., Ltd.............. 130,800 1,008,860
Daiken Corp........................................ 93,900 1,775,023
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
MATERIALS -- (Continued)
# Daiki Aluminium Industry Co., Ltd.................. 202,100 $ 1,179,547
Dainichiseika Color & Chemicals Manufacturing Co.,
Ltd.............................................. 93,400 2,720,579
# Daio Paper Corp.................................... 290,600 3,364,417
# DKS Co., Ltd....................................... 67,300 2,198,434
Dowa Holdings Co., Ltd............................. 98,100 3,198,773
Dynapac Co., Ltd................................... 8,500 113,119
Fuji Seal International, Inc....................... 67,600 2,364,060
Fujikura Kasei Co., Ltd............................ 184,200 1,008,303
Fujimori Kogyo Co., Ltd............................ 120,900 3,536,556
Fumakilla, Ltd..................................... 30,301 400,050
Fuso Chemical Co., Ltd............................. 142,200 2,544,966
Geostr Corp........................................ 111,400 388,879
Godo Steel, Ltd.................................... 67,700 1,056,646
Gun-Ei Chemical Industry Co., Ltd.................. 31,600 778,033
Hakudo Co., Ltd.................................... 46,300 644,302
Harima Chemicals Group, Inc........................ 106,100 1,047,665
Hodogaya Chemical Co., Ltd......................... 44,900 1,233,813
Hokkan Holdings, Ltd............................... 54,100 895,875
Hokko Chemical Industry Co., Ltd................... 135,500 638,496
Hokuetsu Corp...................................... 1,042,799 5,688,458
Honshu Chemical Industry Co., Ltd.................. 28,200 305,774
Ise Chemicals Corp................................. 14,800 453,648
# Ishihara Chemical Co., Ltd......................... 35,500 553,193
Ishihara Sangyo Kaisha, Ltd........................ 222,050 2,495,640
Ishizuka Glass Co., Ltd............................ 15,400 271,136
Japan Pure Chemical Co., Ltd....................... 1,000 19,994
JCU Corp........................................... 181,800 3,097,824
JSP Corp........................................... 102,700 2,154,095
Kanto Denka Kogyo Co., Ltd......................... 335,900 2,511,793
Katakura & Co-op Agri Corp......................... 21,500 222,077
# KeePer Technical Laboratory Co., Ltd............... 51,000 622,221
KH Neochem Co., Ltd................................ 230,400 6,730,250
Kimoto Co., Ltd.................................... 247,400 376,793
Koatsu Gas Kogyo Co., Ltd.......................... 225,193 1,683,427
Kogi Corp.......................................... 5,499 68,370
Kohsoku Corp....................................... 72,200 765,017
Konishi Co., Ltd................................... 260,700 4,015,894
# Konoshima Chemical Co., Ltd........................ 39,000 301,068
Krosaki Harima Corp................................ 41,200 2,177,341
# Kumiai Chemical Industry Co., Ltd.................. 697,587 5,122,257
# Kunimine Industries Co., Ltd....................... 38,600 294,734
Kureha Corp........................................ 141,650 8,479,560
Kurimoto, Ltd...................................... 67,900 888,058
Kuriyama Holdings Corp............................. 92,600 774,723
# Kyoei Steel, Ltd................................... 158,900 2,640,273
Kyowa Leather Cloth Co., Ltd....................... 91,900 648,540
Lintec Corp........................................ 196,000 4,232,976
MEC Co., Ltd....................................... 131,000 1,405,516
Mitani Sekisan Co., Ltd............................ 73,600 2,006,255
Mitsubishi Paper Mills, Ltd........................ 405,600 2,058,822
Mitsubishi Steel Manufacturing Co., Ltd............ 53,500 776,480
# Mitsui Mining & Smelting Co., Ltd.................. 484,900 12,611,807
Molitec Steel Co., Ltd............................. 83,100 299,575
MORESCO Corp....................................... 47,800 643,823
Mory Industries, Inc............................... 39,300 900,803
Nakayama Steel Works, Ltd.......................... 220,200 1,025,889
Neturen Co., Ltd................................... 261,200 2,246,475
* New Japan Chemical Co., Ltd........................ 200,600 365,504
Nicca Chemical Co., Ltd............................ 49,300 462,927
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
MATERIALS -- (Continued)
Nichia Steel Works, Ltd............................ 138,600 $ 429,939
# Nihon Kagaku Sangyo Co., Ltd....................... 90,200 872,828
Nihon Nohyaku Co., Ltd............................. 243,500 1,035,589
Nihon Parkerizing Co., Ltd......................... 508,500 6,637,877
Nihon Yamamura Glass Co., Ltd...................... 110,400 1,459,182
Nippon Carbide Industries Co., Inc................. 49,300 673,359
Nippon Chemical Industrial Co., Ltd................ 42,600 812,209
Nippon Concrete Industries Co., Ltd................ 306,600 779,496
Nippon Denko Co., Ltd.............................. 970,214 2,032,732
Nippon Fine Chemical Co., Ltd...................... 81,500 968,157
Nippon Kinzoku Co., Ltd............................ 27,000 289,379
Nippon Koshuha Steel Co., Ltd...................... 26,799 127,861
Nippon Light Metal Holdings Co., Ltd............... 4,755,800 10,512,940
Nippon Pillar Packing Co., Ltd..................... 157,500 1,854,728
Nippon Soda Co., Ltd............................... 193,300 5,341,249
# Nippon Yakin Kogyo Co., Ltd........................ 1,240,500 2,843,129
Nitta Gelatin, Inc................................. 100,500 615,464
Nittetsu Mining Co., Ltd........................... 43,700 1,682,614
# Nitto FC Co., Ltd.................................. 126,300 999,911
Nozawa Corp........................................ 52,500 360,842
Oat Agrio Co., Ltd................................. 18,000 273,101
Okamoto Industries, Inc............................ 82,600 4,277,500
Okura Industrial Co., Ltd.......................... 60,900 1,009,320
Osaka Organic Chemical Industry, Ltd............... 98,800 1,006,320
Osaka Soda Co., Ltd................................ 108,599 2,625,157
Osaka Steel Co., Ltd............................... 94,200 1,613,425
# OSAKA Titanium Technologies Co., Ltd............... 155,500 2,160,034
Pacific Metals Co., Ltd............................ 126,799 2,785,979
Pack Corp. (The)................................... 96,200 3,099,193
# Rasa Industries, Ltd............................... 46,100 647,862
Riken Technos Corp................................. 248,500 1,162,334
Sakai Chemical Industry Co., Ltd................... 112,100 2,774,916
Sakata INX Corp.................................... 307,900 2,799,866
Sanyo Chemical Industries, Ltd..................... 96,300 4,874,098
Sanyo Special Steel Co., Ltd....................... 147,060 2,948,885
Seiko PMC Corp..................................... 78,600 560,630
Sekisui Plastics Co., Ltd.......................... 179,100 1,334,977
Shikoku Chemicals Corp............................. 260,000 2,812,577
Shinagawa Refractories Co., Ltd.................... 44,300 1,323,372
Shin-Etsu Polymer Co., Ltd......................... 336,500 2,562,191
Shinko Wire Co., Ltd............................... 4,600 41,181
SK Kaken Co., Ltd.................................. 1,600 661,295
Soken Chemical & Engineering Co., Ltd.............. 46,400 657,362
Stella Chemifa Corp................................ 82,400 2,288,281
Sumitomo Bakelite Co., Ltd......................... 36,700 1,432,500
Sumitomo Osaka Cement Co., Ltd..................... 234,999 9,576,189
Sumitomo Seika Chemicals Co., Ltd.................. 70,900 2,754,698
# T Hasegawa Co., Ltd................................ 194,600 3,144,391
T&K Toka Co., Ltd.................................. 146,900 1,296,362
Taisei Lamick Co., Ltd............................. 43,900 1,111,460
Taiyo Holdings Co., Ltd............................ 140,400 4,945,526
Takasago International Corp........................ 104,000 3,163,517
Takemoto Yohki Co., Ltd............................ 44,700 563,855
Taoka Chemical Co., Ltd............................ 1,600 71,164
Tayca Corp......................................... 139,300 3,145,041
Tenma Corp......................................... 129,800 2,412,586
Toagosei Co., Ltd.................................. 871,100 9,509,470
# Toda Kogyo Corp.................................... 24,800 496,476
Toho Acetylene Co., Ltd............................ 12,700 160,549
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
MATERIALS -- (Continued)
Toho Chemical Industry Co., Ltd.................... 47,000 $ 178,779
Toho Titanium Co., Ltd............................. 211,900 1,783,068
# Toho Zinc Co., Ltd................................. 93,799 2,455,296
Tohoku Steel Co., Ltd.............................. 16,300 204,192
Tokushu Tokai Paper Co., Ltd....................... 71,058 2,625,730
Tokuyama Corp...................................... 257,798 6,405,003
Tokyo Ohka Kogyo Co., Ltd.......................... 242,500 7,765,614
Tokyo Printing Ink Manufacturing Co., Ltd.......... 10,200 233,132
# Tokyo Rope Manufacturing Co., Ltd.................. 100,300 987,621
Tokyo Steel Manufacturing Co., Ltd................. 819,300 7,016,341
Tokyo Tekko Co., Ltd............................... 74,900 829,052
Tomoegawa Co., Ltd................................. 33,600 309,712
Tomoku Co., Ltd.................................... 81,500 1,296,961
Topy Industries, Ltd............................... 114,200 2,642,834
# Toyo Gosei Co., Ltd................................ 32,800 522,466
Toyo Ink SC Holdings Co., Ltd...................... 275,600 6,603,712
Toyobo Co., Ltd.................................... 715,200 9,332,148
# TYK Corp........................................... 183,700 610,498
# UACJ Corp.......................................... 183,541 3,712,641
Valqua, Ltd........................................ 126,199 2,707,682
# Vertex Corp........................................ 45,998 446,570
Wavelock Holdings Co., Ltd......................... 30,900 224,881
Wood One Co., Ltd.................................. 48,500 473,432
Yamato Kogyo Co., Ltd.............................. 201,800 5,602,970
Yodogawa Steel Works, Ltd.......................... 154,200 2,942,100
Yoshicon Co., Ltd.................................. 3,100 32,232
# Yotai Refractories Co., Ltd........................ 118,000 554,830
Yushiro Chemical Industry Co., Ltd................. 73,800 883,112
------------
TOTAL MATERIALS......................................... 355,625,554
------------
REAL ESTATE -- (1.6%)
# AD Works Co., Ltd.................................. 1,948,800 596,523
Airport Facilities Co., Ltd........................ 146,470 725,358
Anabuki Kosan, Inc................................. 4,600 121,707
Aoyama Zaisan Networks Co., Ltd.................... 52,600 752,217
Apaman Co., Ltd.................................... 77,800 526,638
Arealink Co., Ltd.................................. 28,100 286,899
B-Lot Co., Ltd..................................... 11,000 169,547
# Cosmos Initia Co., Ltd............................. 99,600 503,060
CRE, Inc........................................... 65,900 573,032
Daibiru Corp....................................... 351,200 3,114,439
Dear Life Co., Ltd................................. 128,900 489,232
Goldcrest Co., Ltd................................. 139,170 1,834,070
# Good Com Asset Co., Ltd............................ 6,200 84,554
Grandy House Corp.................................. 117,800 474,801
Heiwa Real Estate Co., Ltd......................... 236,600 4,564,082
# Ichigo, Inc........................................ 860,300 2,778,771
Intellex Co., Ltd.................................. 30,000 196,817
* Japan Asset Marketing Co., Ltd..................... 1,648,500 1,557,783
Japan Corporate Housing Service, Inc............... 10,500 79,145
Japan Property Management Center Co., Ltd.......... 82,200 668,484
Kabuki-Za Co., Ltd................................. 15,600 803,689
Keihanshin Building Co., Ltd....................... 291,800 2,676,173
Kenedix, Inc....................................... 1,050,600 5,002,904
Land Business Co., Ltd............................. 11,000 77,483
* LAND Co., Ltd...................................... 1,824,900 131,656
# * Leopalace21 Corp................................... 2,072,900 3,511,401
Mugen Estate Co., Ltd.............................. 83,200 442,219
# Nippon Commercial Development Co., Ltd............. 85,500 1,141,421
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
REAL ESTATE -- (Continued)
Nisshin Fudosan Co................................. 235,100 $ 959,154
# * Prospect Co., Ltd.................................. 3,669,000 591,290
Raysum Co., Ltd.................................... 103,800 945,376
SAMTY Co., Ltd..................................... 99,900 1,296,171
Sankyo Frontier Co., Ltd........................... 23,100 723,356
Sansei Landic Co., Ltd............................. 40,600 275,805
# Shinoken Group Co., Ltd............................ 142,500 923,046
# Star Mica Co., Ltd................................. 87,200 1,040,252
Sun Frontier Fudousan Co., Ltd..................... 246,800 2,525,054
# Takara Leben Co., Ltd.............................. 667,100 2,074,593
# Tateru, Inc........................................ 112,500 269,265
TOC Co., Ltd....................................... 401,550 2,510,108
Tokyo Rakutenchi Co., Ltd.......................... 21,100 955,152
# Tokyo Theatres Co., Inc............................ 55,299 661,533
Tosei Corp......................................... 239,800 1,994,259
Unizo Holdings Co., Ltd............................ 209,900 3,721,143
Urbanet Corp. Co., Ltd............................. 114,800 356,467
--------------
TOTAL REAL ESTATE 55,706,129
--------------
UTILITIES -- (1.1%)
EF-ON, Inc......................................... 100,120 752,756
# eRex Co., Ltd...................................... 249,500 2,280,664
Hiroshima Gas Co., Ltd............................. 337,400 1,077,947
Hokkaido Electric Power Co., Inc................... 1,289,300 7,231,167
Hokkaido Gas Co., Ltd.............................. 103,200 1,323,478
* Hokuriku Electric Power Co......................... 643,700 4,786,535
# Hokuriku Gas Co., Ltd.............................. 10,100 268,227
K&O Energy Group, Inc.............................. 109,300 1,583,928
Nippon Gas Co., Ltd................................ 105,000 2,763,334
Okinawa Electric Power Co., Inc. (The)............. 358,321 5,920,917
# * RENOVA, Inc........................................ 186,500 1,623,179
Saibu Gas Co., Ltd................................. 247,900 5,215,598
Shizuoka Gas Co., Ltd.............................. 403,600 3,276,716
# Toell Co., Ltd..................................... 60,800 420,484
West Holdings Corp................................. 107,700 1,431,957
--------------
TOTAL UTILITIES........................................... 39,956,887
--------------
TOTAL COMMON STOCKS....................................... 3,473,971,826
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.3%)
@ (S) The DFA Short Term Investment Fund................. 10,295,555 119,129,871
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $3,311,087,347)................................. $3,593,101,697
==============
(double right angle quote) Securities that have generally been fair value
factored. See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from
Securities on Loan.
(S) Affiliated Fund.
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.
THE ASIA PACIFIC SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (95.0%)
AUSTRALIA -- (51.3%)
* 3P Learning, Ltd................................... 93,233 $ 70,357
* 88 Energy, Ltd..................................... 604,262 5,965
A2B Australia, Ltd................................. 212,947 300,466
Accent Group, Ltd.................................. 1,949,380 2,220,315
# Adairs, Ltd........................................ 486,486 643,285
Adelaide Brighton, Ltd............................. 2,667,604 8,150,738
# Ainsworth Game Technology, Ltd..................... 384,348 223,505
# * Alkane Resources, Ltd.............................. 1,385,657 234,501
Alliance Aviation Services, Ltd.................... 40,111 73,628
ALS, Ltd........................................... 2,248,565 12,604,830
Altium, Ltd........................................ 688,857 16,462,526
* Altura Mining, Ltd................................. 82,065 6,071
# AMA Group, Ltd..................................... 1,621,708 1,316,434
# * Amaysim Australia, Ltd............................. 1,339,423 622,962
Ansell, Ltd........................................ 874,039 16,640,182
# AP Eagers, Ltd..................................... 314,888 1,926,394
APN Property Group, Ltd............................ 26,661 8,320
Apollo Tourism & Leisure, Ltd...................... 131,394 80,432
Appen, Ltd......................................... 685,679 12,282,560
# ARB Corp., Ltd..................................... 586,518 7,501,647
Ardent Leisure Group, Ltd.......................... 3,969,602 3,580,038
# ARQ Group, Ltd..................................... 982,475 1,215,107
* Asaleo Care, Ltd................................... 554,155 359,487
# AUB Group, Ltd..................................... 419,285 3,741,971
* Aurelia Metals, Ltd................................ 2,048,667 1,077,980
Ausdrill, Ltd...................................... 3,379,624 3,913,906
Austal, Ltd........................................ 1,484,908 2,796,646
# * Australian Agricultural Co., Ltd................... 3,143,444 2,616,699
Australian Finance Group, Ltd...................... 677,484 573,381
Australian Pharmaceutical Industries, Ltd.......... 3,189,340 3,239,882
Australian Vintage, Ltd............................ 4,317,004 1,475,771
Auswide Bank, Ltd.................................. 102,961 357,319
# Automotive Holdings Group, Ltd..................... 1,525,769 2,584,805
Aveo Group......................................... 2,903,443 4,364,903
AVJennings, Ltd.................................... 7,058,528 2,750,982
* AVZ Minerals, Ltd.................................. 254,799 7,205
* Axsesstoday, Ltd................................... 20,251 8,700
# Baby Bunting Group, Ltd............................ 318,497 550,474
# Bank of Queensland, Ltd............................ 766,622 5,010,344
Bapcor, Ltd........................................ 1,694,969 6,806,042
* Base Resources, Ltd................................ 375,988 70,382
Beach Energy, Ltd.................................. 6,100,551 9,148,070
# Bega Cheese, Ltd................................... 1,467,014 5,243,714
Bell Financial Group, Ltd.......................... 122,493 64,835
# * Bellamy's Australia, Ltd........................... 602,826 4,584,080
Berkeley Energia, Ltd.............................. 27,600 6,807
# Bingo Industries, Ltd.............................. 371,091 441,345
# Blackmores, Ltd.................................... 97,753 6,373,318
Bravura Solutions, Ltd............................. 969,689 3,949,836
Breville Group, Ltd................................ 830,596 11,257,259
Brickworks, Ltd.................................... 456,011 5,262,219
* Bubs Australia, Ltd................................ 114,559 96,867
* Buru Energy, Ltd................................... 678,801 121,805
# BWX, Ltd........................................... 335,452 511,710
* Byron Energy, Ltd.................................. 41,456 9,209
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
AUSTRALIA -- (Continued)
* Cann Group, Ltd.................................... 35,345 $ 60,340
Capitol Health, Ltd................................ 3,495,372 652,351
# * Cardno, Ltd........................................ 1,127,842 791,683
* Carnarvon Petroleum, Ltd........................... 5,027,591 1,543,886
carsales.com, Ltd.................................. 1,702,940 16,178,085
* Cash Converters International, Ltd................. 3,582,331 391,242
# * Catapult Group International, Ltd.................. 384,667 325,733
Cedar Woods Properties, Ltd........................ 406,549 1,632,986
Centuria Capital Group............................. 130,290 128,636
* Champion Iron, Ltd................................. 21,501 33,702
Citadel Group, Ltd. (The).......................... 83,353 404,343
City Chic Collective, Ltd.......................... 75,568 86,645
# Class, Ltd......................................... 376,569 462,512
# Clean Seas Seafood, Ltd............................ 87,730 59,710
# * Clean TeQ Holdings, Ltd............................ 86,928 19,035
Cleanaway Waste Management, Ltd.................... 10,528,922 16,719,843
Clinuvel Pharmaceuticals, Ltd...................... 34,474 582,041
Clover Corp., Ltd.................................. 305,525 475,027
Codan, Ltd......................................... 642,673 1,474,022
# Collection House, Ltd.............................. 2,180,326 2,014,800
Collins Foods, Ltd................................. 816,595 4,293,367
# * Cooper Energy, Ltd................................. 10,067,389 3,830,163
# Corporate Travel Management, Ltd................... 545,523 10,264,542
Costa Group Holdings, Ltd.......................... 1,857,144 7,434,160
# Credit Corp. Group, Ltd............................ 560,652 9,432,978
* CSG, Ltd........................................... 1,608,459 203,872
CSR, Ltd........................................... 3,957,955 9,942,775
* CuDeco, Ltd........................................ 387,893 12,059
* Dacian Gold, Ltd................................... 68,612 95,347
Data#3, Ltd........................................ 821,486 1,031,771
Decmil Group, Ltd.................................. 591,286 394,211
# Dicker Data, Ltd................................... 193,123 576,003
# Domain Holdings Australia, Ltd..................... 1,651,808 3,148,600
# Domino's Pizza Enterprises, Ltd.................... 166,271 5,040,230
Downer EDI, Ltd.................................... 2,028,028 11,072,805
DuluxGroup, Ltd.................................... 2,924,888 20,107,769
DWS, Ltd........................................... 514,109 369,797
# Eclipx Group, Ltd.................................. 2,757,791 1,974,564
Elders, Ltd........................................ 987,192 4,207,399
* Electro Optic Systems Holdings, Ltd................ 456,109 888,471
# Emeco Holdings, Ltd................................ 251,980 370,040
# * EML Payments, Ltd.................................. 436,776 604,101
# * Energy World Corp., Ltd............................ 87,518 4,867
# EQT Holdings, Ltd.................................. 93,813 1,806,437
ERM Power, Ltd..................................... 1,065,441 1,309,832
Estia Health, Ltd.................................. 1,409,903 2,873,477
Euroz, Ltd......................................... 101,762 88,881
EVENT Hospitality and Entertainment, Ltd........... 544,188 5,027,704
# * FAR, Ltd........................................... 8,256,005 325,371
* FBR, Ltd........................................... 188,610 10,399
# Finbar Group, Ltd.................................. 203,868 121,302
Fleetwood Corp., Ltd............................... 338,355 464,335
FlexiGroup, Ltd.................................... 1,878,458 1,850,100
# Freedom Foods Group, Ltd........................... 69,806 255,528
# G8 Education, Ltd.................................. 2,932,110 6,306,108
# * Galaxy Resources, Ltd.............................. 2,797,281 2,886,862
# GBST Holdings, Ltd................................. 178,479 320,087
# Genworth Mortgage Insurance Australia, Ltd......... 1,921,522 3,240,687
# * Gold Road Resources, Ltd........................... 3,490,958 2,305,439
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
AUSTRALIA -- (Continued)
GR Engineering Services, Ltd....................... 55,230 $ 38,560
GrainCorp, Ltd., Class A........................... 1,833,496 11,627,510
Grange Resources, Ltd.............................. 449,866 84,222
GUD Holdings, Ltd.................................. 959,446 7,995,049
GWA Group, Ltd..................................... 1,988,370 4,722,468
Hansen Technologies, Ltd........................... 1,182,313 2,511,065
Healius, Ltd....................................... 3,214,850 7,067,349
# Healthscope, Ltd................................... 5,420,705 9,365,533
Helloworld Travel, Ltd............................. 37,164 115,635
# * Highfield Resources, Ltd........................... 160,730 90,189
* Hills, Ltd......................................... 95,956 10,150
* Horizon Oil, Ltd................................... 714,889 60,233
# HT&E, Ltd.......................................... 1,761,318 2,148,756
# HUB24, Ltd......................................... 22,060 233,452
IDP Education, Ltd................................. 583,182 6,417,685
Iluka Resources, Ltd............................... 763,938 4,661,704
* Image Resources NL................................. 243,336 33,473
Imdex, Ltd......................................... 2,184,909 1,602,846
# IMF Bentham, Ltd................................... 2,010,160 3,917,733
# * Immutep, Ltd....................................... 1,409,121 27,864
* ImpediMed, Ltd..................................... 115,197 21,188
# Independence Group NL.............................. 3,525,457 11,114,293
# Infigen Energy..................................... 5,283,489 1,715,259
Infomedia, Ltd..................................... 2,700,601 3,409,682
# Inghams Group, Ltd................................. 1,624,090 5,096,359
Integral Diagnostics, Ltd.......................... 1,449 3,130
# Integrated Research, Ltd........................... 555,701 973,359
# InvoCare, Ltd...................................... 975,382 10,524,258
ioneer, Ltd........................................ 290,821 40,084
# IOOF Holdings, Ltd................................. 2,254,189 10,318,717
IPH, Ltd........................................... 932,331 4,690,392
IRESS, Ltd......................................... 1,095,248 11,070,199
# * iSelect, Ltd....................................... 96,851 40,982
iSentia Group, Ltd................................. 1,014,066 154,025
IVE Group, Ltd..................................... 502,966 773,023
# Japara Healthcare, Ltd............................. 1,713,716 1,861,054
# JB Hi-Fi, Ltd...................................... 862,756 15,680,993
Jumbo Interactive, Ltd............................. 208,843 2,534,790
# Jupiter Mines, Ltd................................. 1,388,004 347,848
K&S Corp., Ltd..................................... 197,087 243,656
# * Karoon Energy, Ltd................................. 1,714,597 1,155,406
* Kingsgate Consolidated, Ltd........................ 1,797,365 336,408
# Kogan.com, Ltd..................................... 203,396 805,309
Lifestyle Communities, Ltd......................... 96,718 355,359
Link Administration Holdings, Ltd.................. 271,150 1,454,436
# Lovisa Holdings, Ltd............................... 104,858 745,899
# * Lynas Corp., Ltd................................... 4,538,007 6,336,815
MACA, Ltd.......................................... 705,456 512,523
* Macmahon Holdings, Ltd............................. 4,688,396 645,566
* Mastermyne Group, Ltd.............................. 17,500 10,608
MaxiTRANS Industries, Ltd.......................... 872,413 197,057
* Mayne Pharma Group, Ltd............................ 9,688,305 4,788,545
# McMillan Shakespeare, Ltd.......................... 461,967 4,320,551
McPherson's, Ltd................................... 470,863 398,195
* Medusa Mining, Ltd................................. 155,314 43,811
# * Mesoblast, Ltd..................................... 585,984 678,788
# * Metals X, Ltd...................................... 3,061,840 605,459
# Metcash, Ltd....................................... 7,684,060 15,548,215
# Michael Hill International, Ltd.................... 1,490,263 677,050
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
AUSTRALIA -- (Continued)
# Michael Hill International, Ltd.................... 94,305 $ 42,574
Midway, Ltd........................................ 3,757 9,486
* Millennium Minerals, Ltd........................... 1,328,072 140,596
* Mincor Resources NL................................ 952,401 302,270
Mineral Resources, Ltd............................. 1,194,671 13,141,851
* MMA Offshore, Ltd.................................. 4,729,196 583,107
# MNF Group, Ltd..................................... 194,514 610,016
Moelis Australia, Ltd.............................. 19,541 57,929
Monadelphous Group, Ltd............................ 726,646 9,704,084
# Monash IVF Group, Ltd.............................. 841,142 637,277
# Money3 Corp., Ltd.................................. 764,767 1,052,869
# Mortgage Choice, Ltd............................... 793,228 475,565
Motorcycle Holdings, Ltd........................... 19,615 20,488
Mount Gibson Iron, Ltd............................. 4,351,406 3,668,560
* Myanmar Metals, Ltd................................ 825,831 46,137
# * Myer Holdings, Ltd................................. 2,931,633 1,470,582
MyState, Ltd....................................... 488,761 1,452,093
Navigator Global Investments, Ltd.................. 948,747 2,683,263
# Navitas, Ltd....................................... 1,792,167 7,310,037
# Neometals, Ltd..................................... 626,513 97,214
# * NetComm Wireless, Ltd.............................. 180,398 138,430
Netwealth Group, Ltd............................... 9,090 60,990
New Hope Corp., Ltd................................ 1,721,130 3,269,044
# * NEXTDC, Ltd........................................ 1,141,663 5,145,080
nib holdings, Ltd.................................. 3,369,261 13,658,663
# Nick Scali, Ltd.................................... 352,697 1,573,045
# Nine Entertainment Co. Holdings, Ltd............... 11,745,187 14,477,785
NRW Holdings, Ltd.................................. 2,249,086 4,661,322
# Nufarm, Ltd........................................ 1,894,118 6,767,686
# OFX Group, Ltd..................................... 1,746,689 1,885,284
OM Holdings, Ltd................................... 342,290 246,430
* OneMarket, Ltd..................................... 112,823 64,353
* Onevue Holdings, Ltd............................... 857,257 290,492
oOh!media, Ltd..................................... 1,178,418 3,136,252
* Orocobre, Ltd...................................... 23,186 54,585
Orora, Ltd......................................... 6,055,609 12,939,752
Ovato, Ltd......................................... 2,421,092 126,584
OZ Minerals, Ltd................................... 2,477,965 17,448,010
# Pacific Current Group, Ltd......................... 193,128 643,859
Pacific Energy, Ltd................................ 33,400 15,083
Pacific Smiles Group, Ltd.......................... 256,946 231,854
Pact Group Holdings, Ltd........................... 1,622,656 3,009,506
* Paladin Energy, Ltd................................ 576,526 52,916
* Panoramic Resources, Ltd........................... 3,017,715 895,686
# * Pantoro, Ltd....................................... 506,265 80,352
# Paragon Care, Ltd.................................. 834,834 258,954
Peet, Ltd.......................................... 805,682 576,811
Pendal Group, Ltd.................................. 1,960,399 12,626,707
# Perpetual, Ltd..................................... 353,370 10,201,748
# * Perseus Mining, Ltd................................ 6,569,858 2,090,698
# Pioneer Credit, Ltd................................ 166,590 296,073
# Platinum Asset Management, Ltd..................... 1,861,171 6,540,764
# * Praemium, Ltd...................................... 1,152,591 362,010
Premier Investments, Ltd........................... 829,371 9,985,023
* Prime Media Group, Ltd............................. 62,765 12,153
# Pro Medicus, Ltd................................... 243,898 3,520,985
PWR Holdings, Ltd.................................. 113,712 315,271
QMS Media, Ltd..................................... 416,148 208,331
Qube Holdings, Ltd................................. 2,733,942 5,457,226
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
AUSTRALIA -- (Continued)
* Ramelius Resources, Ltd............................ 3,194,151 $ 1,691,436
Reckon, Ltd........................................ 446,073 221,563
* Red 5, Ltd......................................... 682,020 50,564
* Red River Resources, Ltd........................... 614,980 99,971
* Redbubble, Ltd..................................... 30,966 20,567
Reece, Ltd......................................... 900,041 6,551,365
Regis Healthcare, Ltd.............................. 1,336,461 3,188,102
Regis Resources, Ltd............................... 3,349,243 11,331,219
Reject Shop, Ltd. (The)............................ 107,368 177,938
# Reliance Worldwide Corp., Ltd...................... 2,522,061 8,678,289
Resolute Mining, Ltd............................... 6,407,325 5,124,930
Rhipe, Ltd......................................... 171,838 294,480
Ridley Corp., Ltd.................................. 1,837,627 1,785,780
* RPMGlobal Holdings, Ltd............................ 52,065 22,060
Ruralco Holdings, Ltd.............................. 241,336 743,595
RXP Services, Ltd.................................. 364,327 111,697
Salmat, Ltd........................................ 645,788 255,321
Sandfire Resources NL.............................. 1,360,365 6,766,477
* Saracen Mineral Holdings, Ltd...................... 6,775,200 13,364,005
# SeaLink Travel Group, Ltd.......................... 182,139 514,945
Select Harvests, Ltd............................... 657,942 2,971,491
* Senex Energy, Ltd.................................. 12,561,041 3,141,385
# Servcorp, Ltd...................................... 343,996 747,851
Service Stream, Ltd................................ 2,182,851 3,632,954
Seven Group Holdings, Ltd.......................... 216,937 2,999,762
* Seven West Media, Ltd.............................. 4,952,693 1,976,573
SG Fleet Group, Ltd................................ 355,767 614,819
* Sheffield Resources, Ltd........................... 142,244 52,609
Shriro Holdings, Ltd............................... 105,523 48,653
Sigma Healthcare, Ltd.............................. 3,411,098 1,261,590
# * Silver Lake Resources, Ltd......................... 2,737,039 1,523,144
# Sims Metal Management, Ltd......................... 1,382,214 10,067,792
SmartGroup Corp., Ltd.............................. 525,097 3,142,056
Southern Cross Media Group, Ltd.................... 3,928,938 3,490,062
# Spark Infrastructure Group......................... 9,801,431 15,635,284
# SpeedCast International, Ltd....................... 1,939,251 5,304,219
SRG Global, Ltd.................................... 268,763 66,285
St Barbara, Ltd.................................... 3,784,439 8,549,016
Stanmore Coal, Ltd................................. 11,342 10,568
Steadfast Group, Ltd............................... 5,773,132 13,879,219
* Strike Energy, Ltd................................. 1,969,468 88,835
# Sundance Energy Australia, Ltd..................... 2,937,895 966,724
Sunland Group, Ltd................................. 1,211,896 1,372,936
# Super Retail Group, Ltd............................ 1,111,568 6,789,416
# * Superloop, Ltd..................................... 466,251 556,261
# * Syrah Resources, Ltd............................... 1,509,884 1,184,330
Tassal Group, Ltd.................................. 1,469,560 5,307,012
Technology One, Ltd................................ 1,774,751 11,006,789
# * Thorn Group, Ltd................................... 744,756 230,965
* Tiger Resources, Ltd............................... 9,447,997 73
Tribune Resources, Ltd............................. 3,093 9,378
* Troy Resources, Ltd................................ 372,547 22,144
# Villa World, Ltd................................... 907,350 1,435,160
# * Village Roadshow, Ltd.............................. 968,676 2,455,560
# * Virgin Australia Holdings, Ltd..................... 11,131,924 1,410,807
Virtus Health, Ltd................................. 578,909 1,621,331
Vita Group, Ltd.................................... 374,497 454,873
* Vocus Group, Ltd................................... 3,878,951 10,685,734
Webjet, Ltd........................................ 897,139 10,661,960
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
AUSTRALIA -- (Continued)
Webster, Ltd....................................... 78,767 $ 84,252
Western Areas, Ltd................................. 2,043,870 3,265,895
# * Westgold Resources, Ltd............................ 1,773,640 1,858,151
WPP AUNZ, Ltd...................................... 1,716,960 671,060
Xenith IP Group, Ltd............................... 9,607 14,499
------------
TOTAL AUSTRALIA......................................... 916,133,621
------------
CANADA -- (0.0%)
* Great Panther Mining, Ltd.......................... 443,915 390,998
------------
CHINA -- (0.2%)
APT Satellite Holdings, Ltd........................ 2,938,500 1,320,107
China Flavors & Fragrances Co., Ltd................ 1,601,028 453,507
# China Goldjoy Group, Ltd........................... 14,128,000 568,192
* China Medical & HealthCare Group, Ltd.............. 39,706,800 912,106
Nanfang Communication Holdings, Ltd................ 332,000 189,744
* Strong Petrochemical Holdings, Ltd................. 234,000 12,207
Xinghua Port Holdings, Ltd......................... 1,173,750 178,562
------------
TOTAL CHINA............................................. 3,634,425
------------
HONG KONG -- (27.3%)
Aeon Credit Service Asia Co., Ltd.................. 752,000 750,030
Aeon Stores Hong Kong Co., Ltd..................... 248,000 132,220
# Agritrade Resources, Ltd........................... 26,140,000 4,258,643
Alco Holdings, Ltd................................. 1,100,000 104,942
Allied Group, Ltd.................................. 661,200 3,725,805
Allied Properties HK, Ltd.......................... 12,731,857 2,923,194
Alltronics Holdings, Ltd........................... 2,500,600 289,279
# APAC Resources, Ltd................................ 3,586,513 516,792
# * Applied Development Holdings, Ltd.................. 14,125,000 698,241
Arts Optical International Hldgs, Ltd.............. 730,000 170,529
Asia Financial Holdings, Ltd....................... 2,404,908 1,461,964
* Asia Investment Finance Group, Ltd................. 15,652,000 114,074
Asia Satellite Telecommunications Holdings, Ltd.... 934,500 795,792
Asia Standard Hotel Group, Ltd..................... 32,411,654 1,612,101
# Asia Standard International Group, Ltd............. 13,222,917 2,699,282
# Asiasec Properties, Ltd............................ 1,542,000 531,513
Associated International Hotels, Ltd............... 952,000 2,791,511
* Auto Italia Holdings............................... 1,900,000 16,000
Automated Systems Holdings, Ltd.................... 404,400 53,677
* BeijingWest Industries International, Ltd.......... 1,277,600 131,964
Best Food Holding Co., Ltd......................... 996,000 135,402
* Bison Finance Group, Ltd........................... 788,000 115,319
BOCOM International Holdings Co., Ltd.............. 146,000 29,642
# BOE Varitronix, Ltd................................ 3,234,293 973,745
* Bonjour Holdings, Ltd.............................. 14,578,600 373,902
Bossini International Holdings, Ltd................ 287,500 9,898
# Bright Smart Securities & Commodities Group, Ltd... 6,830,000 1,579,233
* Brightoil Petroleum Holdings, Ltd.................. 9,102,000 1,740,389
* Brockman Mining, Ltd............................... 22,810,814 502,601
* Burwill Holdings, Ltd.............................. 36,586,960 648,709
Cafe de Coral Holdings, Ltd........................ 3,082,000 7,593,325
# Camsing International Holding, Ltd................. 3,218,000 3,424,134
* Cash Financial Services Group, Ltd................. 1,836,000 15,942
Century City International Holdings, Ltd........... 6,871,460 613,773
CGN Mining Co., Ltd................................ 4,855,000 241,770
* Champion Technology Holdings, Ltd.................. 2,131,743 56,123
Chen Hsong Holdings................................ 1,212,000 458,749
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
HONG KONG -- (Continued)
Cheuk Nang Holdings, Ltd........................... 679,350 $ 367,355
Chevalier International Holdings, Ltd.............. 820,989 1,287,343
* China Baoli Technologies Holdings, Ltd............. 1,147,500 30,643
* China Best Group Holding, Ltd...................... 4,250,000 104,177
* China Chuanglian Education Financial Group, Ltd.... 2,164,000 14,289
China Display Optoelectronics Technology Holdings,
Ltd.............................................. 5,256,000 510,329
* China Energy Development Holdings, Ltd............. 56,266,000 1,221,186
* China Fortune Financial Group, Ltd................. 612,000 4,987
* China LNG Group, Ltd............................... 1,134,001 151,936
* China Ludao Technology Co., Ltd.................... 580,000 94,169
China Motor Bus Co., Ltd........................... 60,600 792,030
# China New Higher Education Group Ltd............... 477,000 213,301
* China Shandong Hi-Speed Financial Group, Ltd....... 9,144,000 417,171
* China Solar Energy Holdings, Ltd................... 1,669,500 7,183
# China Star Entertainment, Ltd...................... 9,500,000 703,137
# * China Strategic Holdings, Ltd...................... 79,596,250 809,264
* China Ting Group Holdings, Ltd..................... 2,565,151 96,633
* China Tonghai International Financial, Ltd......... 1,300,000 96,261
Chinese Estates Holdings, Ltd...................... 3,152,000 3,290,536
* Chinlink International Holdings, Ltd............... 909,800 110,405
Chinney Investments, Ltd........................... 1,180,000 416,951
Chong Hing Bank, Ltd............................... 196,000 371,234
Chow Sang Sang Holdings International, Ltd......... 2,454,000 4,077,962
CHTC Fong's International Co., Ltd................. 42,000 4,769
Chuang's China Investments, Ltd.................... 8,571,407 558,149
Chuang's Consortium International, Ltd............. 7,399,043 1,687,515
CITIC Telecom International Holdings, Ltd.......... 12,913,125 5,351,095
# CK Life Sciences Intl Holdings, Inc................ 23,450,000 1,362,257
* CMIC Ocean En-Tech Holding Co., Ltd................ 3,163,000 167,327
* CMMB Vision Holdings, Ltd.......................... 9,204,000 94,973
CNQC International Holdings, Ltd................... 4,480,000 907,979
CNT Group, Ltd..................................... 8,303,264 367,855
# * Common Splendor International Health Industry
Group, Ltd....................................... 14,974,000 1,012,427
Continental Holdings, Ltd.......................... 450,000 5,708
# Convenience Retail Asia, Ltd....................... 142,000 72,439
# * Convoy Global Holdings, Ltd........................ 38,622,000 154,098
# * Cosmopolitan International Holdings, Ltd........... 4,146,000 802,096
# Cowell e Holdings, Inc............................. 5,499,000 1,246,698
* CP Lotus Corp...................................... 11,880,000 110,436
Crocodile Garments................................. 2,196,000 203,836
Cross-Harbour Holdings, Ltd. (The)................. 1,539,645 2,159,121
CSI Properties, Ltd................................ 47,326,383 2,655,388
* CST Group, Ltd..................................... 140,296,000 429,215
CW Group Holdings, Ltd............................. 1,361,500 15,030
Dah Sing Banking Group, Ltd........................ 4,065,516 7,780,523
Dah Sing Financial Holdings, Ltd................... 1,713,344 9,000,121
Dickson Concepts International, Ltd................ 1,495,000 806,166
* Digital Domain Holdings, Ltd....................... 33,130,000 516,676
# * Dingyi Group Investment, Ltd....................... 1,915,000 131,946
* DTXS Silk Road Investment Holdings Co., Ltd........ 42,000 20,511
Dynamic Holdings, Ltd.............................. 70,000 70,127
Eagle Nice International Holdings, Ltd............. 2,192,000 823,664
EcoGreen International Group, Ltd.................. 1,994,640 417,610
* eForce Holdings, Ltd............................... 8,360,000 195,526
Emperor Capital Group, Ltd......................... 32,445,000 1,512,819
Emperor Entertainment Hotel, Ltd................... 5,040,000 1,079,650
# Emperor International Holdings, Ltd................ 10,008,753 2,991,141
Emperor Watch & Jewellery, Ltd..................... 34,640,000 1,056,015
* Energy International Investments Holdings, Ltd..... 680,000 13,097
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
HONG KONG -- (Continued)
* ENM Holdings, Ltd.................................. 16,656,000 $ 1,891,796
* EPI Holdings, Ltd.................................. 1,005,000 15,439
# * Esprit Holdings, Ltd............................... 17,811,150 3,615,272
* Eternity Investment, Ltd........................... 820,000 18,817
Fairwood Holdings, Ltd............................. 871,100 3,048,168
Far East Consortium International, Ltd............. 10,816,130 5,107,005
* Far East Holdings International, Ltd............... 1,911,000 95,058
# * FIH Mobile, Ltd.................................... 28,627,000 4,278,935
First Pacific Co., Ltd............................. 14,280,000 5,922,492
* First Shanghai Investments, Ltd.................... 7,496,000 555,277
Fountain SET Holdings, Ltd......................... 6,628,000 1,164,012
Four Seas Mercantile Holdings, Ltd................. 610,000 268,548
Freeman Fintech Corp, Ltd.......................... 18,264,000 793,828
Future Bright Holdings, Ltd........................ 3,288,000 230,819
Get Nice Financial Group, Ltd...................... 2,090,600 261,516
Get Nice Holdings, Ltd............................. 56,380,000 2,013,389
Giordano International, Ltd........................ 13,576,000 6,459,639
# Global Brands Group Holding, Ltd................... 7,156,599 875,454
Glorious Sun Enterprises, Ltd...................... 4,328,000 502,703
Gold Peak Industries Holdings, Ltd................. 3,029,642 309,810
Golden Resources Development International, Ltd.... 3,150,500 244,967
# * Gold-Finance Holdings, Ltd......................... 9,580,000 191,727
# * Good Resources Holdings, Ltd....................... 9,720,000 201,144
# Goodbaby International Holdings, Ltd............... 6,505,000 1,847,167
* GR Properties, Ltd................................. 2,204,000 375,364
Great Eagle Holdings, Ltd.......................... 736,248 3,469,732
# * Great Harvest Maeta Group Holdings, Ltd............ 130,000 29,501
* Greater Bay Area Investments Group Holdings, Ltd... 18,640,000 23,761
* Greenheart Group, Ltd.............................. 1,069,400 65,525
* Greentech Technology International, Ltd............ 6,240,000 50,830
* G-Resources Group, Ltd............................. 244,593,600 2,343,232
Guangnan Holdings, Ltd............................. 2,363,600 310,313
# Guotai Junan International Holdings, Ltd........... 35,903,797 7,247,040
# Haitong International Securities Group, Ltd........ 20,886,400 7,576,666
Hanison Construction Holdings, Ltd................. 2,405,649 414,230
* Hao Tian Development Group, Ltd.................... 19,412,400 529,869
Harbour Centre Development, Ltd.................... 935,500 1,717,497
HKBN, Ltd.......................................... 6,569,500 11,764,776
* HKBridge Financial Holdings, Ltd................... 103,000 8,674
HKR International, Ltd............................. 7,066,969 3,890,131
Hon Kwok Land Investment Co., Ltd.................. 388,800 203,118
Hong Kong Ferry Holdings Co., Ltd.................. 866,300 979,753
* Hong Kong Finance Investment Holding Group, Ltd.... 7,208,000 836,820
# Hong Kong International Construction Investment
Management Group Co., Ltd........................ 2,892,000 1,094,907
Hong Kong Shanghai Alliance Holdings, Ltd.......... 1,248,002 100,190
# * Hong Kong Television Network, Ltd.................. 4,801,751 2,131,551
Hongkong & Shanghai Hotels, Ltd. (The)............. 3,635,345 5,322,900
Hongkong Chinese, Ltd.............................. 5,038,000 750,812
Honma Golf, Ltd.................................... 973,500 970,574
Hop Hing Group Holdings, Ltd....................... 13,596,000 260,419
Hopewell Holdings, Ltd............................. 3,604,500 17,827,682
# * Hsin Chong Group Holdings, Ltd..................... 10,243,403 457,015
# Huarong International Financial Holdings, Ltd...... 732,000 57,970
Hung Hing Printing Group, Ltd...................... 3,040,000 527,076
Hutchison Telecommunications Hong Kong Holdings,
Ltd.............................................. 14,106,000 5,974,282
I-CABLE Communications, Ltd........................ 4,080,000 54,043
IGG, Inc........................................... 12,149,000 15,403,135
* Imagi International Holdings, Ltd.................. 2,590,300 727,593
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
HONG KONG -- (Continued)
International Housewares Retail Co., Ltd........ 1,459,000 $ 383,178
IPE Group, Ltd.................................. 3,345,000 413,753
* IRC, Ltd........................................ 16,960,266 383,325
IT, Ltd......................................... 5,154,532 2,499,989
# ITC Properties Group, Ltd....................... 6,476,100 1,601,384
# Jacobson Pharma Corp., Ltd...................... 2,284,000 431,545
Johnson Electric Holdings, Ltd.................. 2,746,492 6,465,844
Kader Holdings Co., Ltd......................... 788,000 88,369
Kam Hing International Holdings, Ltd............ 1,830,000 140,970
Karrie International Holdings, Ltd.............. 2,278,000 340,120
Keck Seng Investments........................... 912,600 604,749
Kerry Logistics Network, Ltd.................... 3,322,500 5,928,318
Kin Yat Holdings, Ltd........................... 242,000 48,398
Kingmaker Footwear Holdings, Ltd................ 2,248,955 472,434
Kowloon Development Co., Ltd.................... 2,995,000 4,072,734
* Kwan On Holdings, Ltd........................... 2,340,000 211,472
Kwoon Chung Bus Holdings, Ltd................... 44,000 23,622
# Lai Sun Development Co., Ltd.................... 2,010,008 3,145,647
Lai Sun Garment International, Ltd.............. 677,602 1,007,979
Lam Soon Hong Kong, Ltd......................... 302,310 610,216
* Landing International Development, Ltd.......... 2,674,000 854,655
Landsea Green Group Co., Ltd.................... 2,892,000 362,052
Langham Hospitality Investments and Langham
Hospitality Investments, Ltd.................. 1,202,000 491,807
# * Lerthai Group, Ltd.............................. 40,000 42,231
* Leyou Technologies Holdings, Ltd................ 45,000 12,913
Li & Fung, Ltd.................................. 6,380,000 1,060,054
Lifestyle International Holdings, Ltd........... 2,950,500 5,142,237
Lippo China Resources, Ltd...................... 20,922,000 481,370
Lippo, Ltd...................................... 1,161,700 466,055
Liu Chong Hing Investment, Ltd.................. 1,401,200 2,439,325
L'Occitane International SA..................... 2,071,750 3,722,962
# Luk Fook Holdings International, Ltd............ 3,863,000 13,841,104
Luks Group Vietnam Holdings Co., Ltd............ 514,913 123,549
Lung Kee Bermuda Holdings....................... 1,577,875 687,933
# Macau Legend Development, Ltd................... 18,092,000 2,906,625
Magnificent Hotel Investment, Ltd............... 13,170,000 320,520
* Magnus Concordia Group, Ltd..................... 8,740,000 210,240
# Man Wah Holdings, Ltd........................... 15,486,000 7,967,307
# * Mason Group Holdings, Ltd....................... 90,933,399 1,483,950
Master Glory Group, Ltd......................... 19,743 831
Master Glory Group, Ltd......................... 953,238 40,099
Matrix Holdings, Ltd............................ 1,067,414 462,080
* Maxnerva Technology Services, Ltd............... 982,000 89,260
# Mega Expo Holdings, Ltd......................... 870,000 491,618
* Mei Ah Entertainment Group, Ltd................. 1,080,000 37,157
# * Meilleure Health International Industry Group,
Ltd........................................... 2,190,000 309,743
Melbourne Enterprises, Ltd...................... 39,500 1,200,739
Melco International Development, Ltd............ 138,000 339,108
# Microport Scientific Corp....................... 3,994,000 3,763,798
Midland Holdings, Ltd........................... 3,801,897 830,079
Million Hope Industries Holdings, Ltd........... 962,259 89,543
Ming Fai International Holdings, Ltd............ 2,148,000 309,612
# Miramar Hotel & Investment...................... 1,081,000 2,271,702
Modern Dental Group, Ltd........................ 2,546,000 438,238
# * Mongolian Mining Corp........................... 21,104,000 396,182
NagaCorp., Ltd.................................. 3,750,000 4,815,564
Nameson Holdings, Ltd........................... 7,900,000 714,029
Nanyang Holdings, Ltd........................... 133,500 1,037,046
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
HONG KONG -- (Continued)
National Electronics Hldgs......................... 2,668,600 $ 421,437
* National United Resources Holdings, Ltd............ 18,280,000 61,983
* Neo-Neon Holdings, Ltd............................. 2,625,500 221,086
* New Century Group Hong Kong, Ltd................... 13,351,464 216,003
* NEW Concepts Holdings, Ltd......................... 1,012,000 180,120
* New Sports Group, Ltd.............................. 3,081,000 196,907
* New Times Energy Corp., Ltd........................ 10,056,600 129,567
# * NewOcean Energy Holdings, Ltd...................... 10,596,000 2,919,792
* Newtree Group Holdings, Ltd........................ 9,054,000 634,404
* Nimble Holdings Co., Ltd........................... 1,002,000 103,995
* OCI International Holdings, Ltd.................... 56,000 9,983
# OP Financial, Ltd.................................. 8,140,000 2,584,049
* Orange Sky Golden Harvest Entertainment Holdings,
Ltd.............................................. 10,874,706 408,747
Oriental Watch Holdings............................ 3,372,800 998,232
# Oshidori International Holdings, Ltd............... 15,482,400 2,453,527
* Pacific Andes International Holdings, Ltd.......... 19,435,067 67,882
# Pacific Basin Shipping, Ltd........................ 33,384,000 6,859,125
Pacific Textiles Holdings, Ltd..................... 8,124,000 6,874,223
Pak Fah Yeow International, Ltd.................... 5,000 1,882
Paliburg Holdings, Ltd............................. 3,180,830 1,306,868
* Paradise Entertainment, Ltd........................ 3,652,000 581,913
PC Partner Group, Ltd.............................. 2,502,000 687,818
Pegasus International Holdings, Ltd................ 172,000 20,262
Perfect Shape Medical, Ltd......................... 3,908,000 1,221,624
# Pico Far East Holdings, Ltd........................ 5,886,000 2,164,901
Playmates Holdings, Ltd............................ 7,082,000 1,046,366
Playmates Toys, Ltd................................ 6,288,000 577,344
Plover Bay Technologies, Ltd....................... 2,192,000 355,654
# Pokfulam Development Co............................ 234,000 524,223
Polytec Asset Holdings, Ltd........................ 13,298,026 1,899,344
* PT International Development Co., Ltd.............. 3,553,150 240,021
Public Financial Holdings, Ltd..................... 3,124,000 1,366,220
* PYI Corp., Ltd..................................... 30,759,973 459,145
* Rare Earth Magnesium Technology Group Holdings,
Ltd.............................................. 7,480,000 212,806
# * Realord Group Holdings, Ltd........................ 3,514,000 2,141,091
Regal Hotels International Holdings, Ltd........... 2,977,800 1,864,844
* Regent Pacific Group, Ltd.......................... 10,370,000 331,128
# Regina Miracle International Holdings, Ltd......... 2,217,000 1,778,672
# Sa Sa International Holdings, Ltd.................. 14,969,522 5,082,577
Safety Godown Co., Ltd............................. 400,000 798,299
SAS Dragon Holdings, Ltd........................... 2,182,000 718,086
# SEA Holdings, Ltd.................................. 1,683,523 2,150,180
Shenwan Hongyuan HK, Ltd........................... 4,291,250 1,002,774
Shun Ho Property Investments, Ltd.................. 1,254,757 456,965
Shun Tak Holdings, Ltd............................. 13,633,419 6,073,759
# * Shunten International Holdings, Ltd................ 9,192,000 545,996
* Silver Base Group Holdings, Ltd.................... 6,728,515 217,913
* Sincere Watch Hong Kong, Ltd....................... 4,450,000 81,792
Sing Tao News Corp., Ltd........................... 1,974,000 254,358
Singamas Container Holdings, Ltd................... 12,548,000 2,223,759
SIS International Holdings......................... 34,000 17,441
SITC International Holdings Co., Ltd............... 4,366,000 4,647,896
# Sitoy Group Holdings, Ltd.......................... 2,487,000 582,646
SmarTone Telecommunications Holdings, Ltd.......... 4,266,981 4,446,989
* SOCAM Development, Ltd............................. 1,448,170 359,824
# * Solartech International Holdings, Ltd.............. 14,860,000 144,374
* Solomon Systech International, Ltd................. 11,998,000 367,361
Soundwill Holdings, Ltd............................ 645,500 966,584
Sounth China Financial Holding, Ltd................ 98,000 8,521
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
HONG KONG -- (Continued)
* South China Holdings Co., Ltd.................... 17,774,503 $ 481,990
* South Shore Holdings, Ltd........................ 156,750 6,496
Stella International Holdings, Ltd............... 2,268,000 4,024,481
Stelux Holdings International, Ltd............... 847,400 23,919
* Success Universe Group, Ltd...................... 6,716,000 223,140
# * Summit Ascent Holdings, Ltd...................... 8,864,000 1,842,218
Sun Hing Vision Group Holdings, Ltd.............. 358,000 131,637
Sun Hung Kai & Co., Ltd.......................... 5,148,429 2,567,618
SUNeVision Holdings, Ltd......................... 1,115,000 951,840
* Synergy Group Holdings International, Ltd........ 652,000 78,188
TAI Cheung Holdings, Ltd......................... 2,170,000 2,299,197
Tai Sang Land Development, Ltd................... 798,910 551,859
# Tai United Holdings, Ltd......................... 670,000 47,781
* Talent Property Group, Ltd....................... 14,355,000 114,499
# Tan Chong International, Ltd..................... 1,176,000 375,871
# Tao Heung Holdings, Ltd.......................... 1,468,000 286,452
Television Broadcasts, Ltd....................... 2,851,600 5,602,391
* Termbray Industries International Holdings, Ltd.. 1,876,900 93,462
Tern Properties Co., Ltd......................... 7,200 4,054
Texwinca Holdings, Ltd........................... 7,156,000 2,844,809
* TFG International Group, Ltd..................... 1,376,000 41,051
* Theme International Holdings, Ltd................ 3,620,000 53,641
Tian Teck Land, Ltd.............................. 1,024,000 1,139,776
TK Group Holdings, Ltd........................... 1,208,000 815,696
# * TOM Group, Ltd................................... 1,146,000 267,661
# * Town Health International Medical Group, Ltd..... 5,764,157 506,994
Tradelink Electronic Commerce, Ltd............... 5,738,000 1,039,043
Transport International Holdings, Ltd............ 1,455,464 4,443,966
* Trinity, Ltd..................................... 8,046,000 389,968
Tsui Wah Holdings, Ltd........................... 4,630,000 496,103
Union Medical Healthcare, Ltd.................... 1,726,097 1,198,281
# United Laboratories International Holdings, Ltd.
(The).......................................... 6,898,000 4,039,304
* Universal Technologies Holdings, Ltd............. 7,410,000 219,086
* Up Energy Development Group, Ltd................. 3,929,000 12,120
* Value Convergence Holdings, Ltd.................. 8,372,000 757,706
Value Partners Group, Ltd........................ 8,223,000 6,197,904
Vanke Property Overseas, Ltd..................... 49,000 31,285
Vantage International Holdings, Ltd.............. 3,160,000 290,524
Vedan International Holdings, Ltd................ 3,576,000 351,613
Victory City International Holdings, Ltd......... 56,303,490 652,814
Vitasoy International Holdings, Ltd.............. 2,209,000 11,122,740
# VPower Group International Holdings, Ltd......... 1,330,000 480,216
# VSTECS Holdings, Ltd............................. 7,381,600 4,041,797
VTech Holdings, Ltd.............................. 1,289,400 11,780,847
Wai Kee Holdings, Ltd............................ 7,224,738 4,902,866
* Wan Kei Group Holdings, Ltd...................... 655,000 61,020
Wang On Group, Ltd............................... 36,500,000 413,877
# * We Solutions, Ltd................................ 8,436,000 487,677
Win Hanverky Holdings, Ltd....................... 3,310,000 417,466
Winfull Group Holdings, Ltd...................... 9,512,000 129,739
Wing On Co. International, Ltd................... 759,000 2,587,981
Wing Tai Properties, Ltd......................... 2,165,331 1,644,545
* Wonderful Sky Financial Group Holdings, Ltd...... 1,386,000 226,309
Wong's International Holdings, Ltd............... 91,641 40,410
Yangtzekiang Garment, Ltd........................ 388,500 188,543
* Yat Sing Holdings, Ltd........................... 1,385,000 28,082
YGM Trading, Ltd................................. 447,000 422,636
YT Realty Group, Ltd............................. 3,450,008 1,030,072
YTO Express Holdings, Ltd........................ 144,000 61,097
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
HONG KONG -- (Continued)
# * Yunfeng Financial Group, Ltd....................... 280,000 $ 176,445
------------
TOTAL HONG KONG......................................... 486,812,105
------------
NEW ZEALAND -- (6.4%)
Abano Healthcare Group, Ltd........................ 49,184 149,875
Air New Zealand, Ltd............................... 351,578 629,599
# Arvida Group, Ltd.................................. 513,989 446,522
* CBL Corp., Ltd..................................... 47,180 18,730
Chorus, Ltd........................................ 2,976,900 11,914,380
# Colonial Motor Co., Ltd. (The)..................... 144,588 813,824
# Comvita, Ltd....................................... 25,647 71,248
EBOS Group, Ltd.................................... 417,915 5,978,867
Freightways, Ltd................................... 983,165 5,588,374
Genesis Energy, Ltd................................ 2,280,215 4,653,787
# Gentrack Group, Ltd................................ 71,302 261,898
Hallenstein Glasson Holdings, Ltd.................. 294,639 970,321
Heartland Group Holdings, Ltd...................... 1,549,847 1,606,596
Infratil, Ltd...................................... 4,020,366 11,652,402
Investore Property, Ltd............................ 195,946 214,574
# Kathmandu Holdings, Ltd............................ 858,047 1,347,377
Mainfreight, Ltd................................... 459,650 10,749,200
Metlifecare, Ltd................................... 947,577 3,131,116
# Metro Performance Glass, Ltd....................... 76,447 21,445
# Millennium & Copthorne Hotels New Zealand, Ltd..... 395,725 746,090
NEW Zealand King Salmon Investments, Ltd........... 13,526 26,832
New Zealand Refining Co., Ltd. (The)............... 776,279 1,079,049
NZME, Ltd.......................................... 16,366 6,005
NZME, Ltd.......................................... 945,851 346,810
# NZX, Ltd........................................... 1,162,123 783,656
Oceania Healthcare, Ltd............................ 481,603 344,496
* Pacific Edge, Ltd.................................. 442,720 80,294
PGG Wrightson, Ltd................................. 1,130,027 399,753
Port of Tauranga, Ltd.............................. 736,789 2,904,707
* Pushpay Holdings, Ltd.............................. 616,231 1,557,230
Restaurant Brands New Zealand, Ltd................. 153,540 872,831
* Rubicon, Ltd....................................... 1,442,620 187,231
Sanford, Ltd....................................... 394,979 1,799,980
# Scales Corp., Ltd.................................. 316,974 1,053,892
Scott Technology, Ltd.............................. 45,734 74,924
* Serko, Ltd......................................... 24,873 60,800
# Skellerup Holdings, Ltd............................ 743,486 1,087,350
SKY Network Television, Ltd........................ 378,345 308,737
SKYCITY Entertainment Group, Ltd................... 4,719,639 12,861,540
# Steel & Tube Holdings, Ltd......................... 438,720 363,310
Summerset Group Holdings, Ltd...................... 1,308,982 4,906,759
* Synlait Milk, Ltd.................................. 324,748 2,294,122
Tourism Holdings, Ltd.............................. 563,982 1,522,417
# * TOWER, Ltd......................................... 2,065,565 1,074,816
Trade Me Group, Ltd................................ 2,239,106 9,621,049
# Trustpower, Ltd.................................... 235,886 1,094,397
# Turners Automotive Group, Ltd...................... 17,908 28,723
Vector, Ltd........................................ 922,764 2,261,382
# Vista Group International, Ltd..................... 185,207 623,797
# Warehouse Group, Ltd. (The)........................ 303,126 433,035
Z Energy, Ltd...................................... 623,171 2,634,850
------------
TOTAL NEW ZEALAND....................................... 113,660,999
------------
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SINGAPORE -- (9.8%)
* Abterra, Ltd....................................... 230,320 $ 1,236
Accordia Golf Trust................................ 4,271,400 1,901,381
# AEM Holdings, Ltd.................................. 1,805,200 1,515,915
Amara Holdings, Ltd................................ 974,800 358,308
# Ascendas India Trust............................... 3,944,200 3,770,291
* ASL Marine Holdings, Ltd........................... 28,850 1,337
Avarga, Ltd........................................ 3,076,900 532,136
* Baker Technology, Ltd.............................. 289,580 114,216
Banyan Tree Holdings, Ltd.......................... 1,193,800 500,555
# Best World International, Ltd...................... 2,911,550 3,467,915
# Bonvests Holdings, Ltd............................. 950,000 907,388
Boustead Singapore, Ltd............................ 1,898,536 1,123,912
# BreadTalk Group, Ltd............................... 2,058,300 1,279,109
# Bukit Sembawang Estates, Ltd....................... 1,192,003 4,994,393
# Bund Center Investment, Ltd........................ 659,825 288,900
# Centurion Corp., Ltd............................... 1,404,600 449,606
# China Aviation Oil Singapore Corp., Ltd............ 2,658,299 2,684,249
# China Sunsine Chemical Holdings, Ltd............... 1,897,200 1,621,708
# Chip Eng Seng Corp., Ltd........................... 3,974,600 2,323,509
Chuan Hup Holdings, Ltd............................ 3,800,000 1,020,591
# CITIC Envirotech, Ltd.............................. 1,980,800 582,343
Civmec, Ltd........................................ 162,700 43,055
# * COSCO Shipping International Singapore Co., Ltd.... 8,001,500 2,093,739
# * Creative Technology, Ltd........................... 452,700 1,400,476
# CSE Global, Ltd.................................... 4,172,800 1,611,374
* Del Monte Pacific, Ltd............................. 2,449,764 245,126
Delfi, Ltd......................................... 788,500 783,882
# Delong Holdings, Ltd............................... 148,300 666,331
Duty Free International, Ltd....................... 720,700 102,938
* Dyna-Mac Holdings, Ltd............................. 2,007,300 154,747
Elec & Eltek International Co., Ltd................ 163,500 225,211
EnGro Corp., Ltd................................... 151,400 91,285
# * Ezion Holdings, Ltd................................ 44,905,878 1,419,714
# * Ezra Holdings, Ltd................................. 12,922,168 98,125
Far East Orchard, Ltd.............................. 1,180,903 1,103,455
# First Resources, Ltd............................... 5,081,700 6,836,379
First Sponsor Group, Ltd........................... 484,728 456,796
Food Empire Holdings, Ltd.......................... 1,418,200 568,191
# Fragrance Group, Ltd............................... 6,077,000 598,165
Frencken Group, Ltd................................ 1,066,300 518,519
Fu Yu Corp., Ltd................................... 2,653,800 419,841
* Gallant Venture, Ltd............................... 5,118,600 480,650
# Geo Energy Resources, Ltd.......................... 3,932,300 506,394
GK Goh Holdings, Ltd............................... 1,484,065 927,580
# GL, Ltd............................................ 3,457,800 2,021,500
Golden Agri-Resources, Ltd......................... 29,343,400 6,239,048
# Golden Energy & Resources, Ltd..................... 603,700 104,402
GP Industries, Ltd................................. 2,540,709 1,083,075
# GuocoLand, Ltd..................................... 1,679,514 2,408,860
# Halcyon Agri Corp., Ltd............................ 1,718,048 656,817
# Hanwell Holdings, Ltd.............................. 1,888,219 361,440
Haw Par Corp., Ltd................................. 254,300 2,711,697
# Health Management International, Ltd............... 1,813,630 714,244
# Hiap Hoe, Ltd...................................... 498,000 313,351
# Hi-P International, Ltd............................ 1,239,900 1,334,064
Ho Bee Land, Ltd................................... 1,630,100 3,057,566
Hong Fok Corp., Ltd................................ 3,489,094 2,274,150
* Hong Leong Asia, Ltd............................... 1,866,400 768,852
# Hong Leong Finance, Ltd............................ 652,600 1,334,469
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SINGAPORE -- (Continued)
Hotel Grand Central, Ltd........................... 1,626,983 $1,645,441
Hour Glass, Ltd. (The)............................. 1,814,832 1,047,175
# Hutchison Port Holdings Trust...................... 14,817,100 3,480,670
# Hwa Hong Corp., Ltd................................ 2,123,500 483,125
# * Hyflux, Ltd........................................ 3,707,700 93,806
# iFAST Corp., Ltd................................... 910,700 749,571
# Indofood Agri Resources, Ltd....................... 3,609,300 743,660
Isetan Singapore, Ltd.............................. 119,000 273,658
# Japfa, Ltd......................................... 4,050,200 1,909,124
# Keppel Infrastructure Trust........................ 15,573,346 5,438,992
# * Keppel Telecommunications & Transportation, Ltd.... 1,369,300 1,922,920
Koh Brothers Group, Ltd............................ 1,432,000 258,700
# KSH Holdings, Ltd.................................. 1,278,300 498,652
# Lian Beng Group, Ltd............................... 2,710,300 1,046,157
Low Keng Huat Singapore, Ltd....................... 912,900 369,390
Lum Chang Holdings, Ltd............................ 1,094,030 285,823
# Mandarin Oriental International, Ltd............... 1,299,100 2,508,062
* Marco Polo Marine, Ltd............................. 3,322,500 41,555
# Memtech International, Ltd......................... 214,100 165,588
Metro Holdings, Ltd................................ 2,884,792 2,185,776
Mewah International, Inc........................... 89,000 18,298
# * Midas Holdings, Ltd................................ 9,643,353 255,246
# * mm2 Asia, Ltd...................................... 2,962,400 600,271
Nera Telecommunications, Ltd....................... 1,143,400 260,473
NetLink NBN Trust.................................. 650,100 396,828
New Toyo International Holdings, Ltd............... 1,066,600 176,858
NSL, Ltd........................................... 409,900 352,439
# OUE, Ltd........................................... 2,192,100 2,837,803
# Oxley Holdings, Ltd................................ 7,224,975 1,722,610
* Pacc Offshore Services Holdings, Ltd............... 1,132,900 150,800
# Pan-United Corp., Ltd.............................. 2,435,750 572,554
# Penguin International, Ltd......................... 446,032 147,383
Perennial Real Estate Holdings, Ltd................ 167,100 81,700
# Q&M Dental Group Singapore, Ltd.................... 2,206,500 770,549
# QAF, Ltd........................................... 1,552,380 959,200
# * Raffles Education Corp., Ltd....................... 5,429,723 367,853
# Raffles Medical Group, Ltd......................... 7,251,456 5,759,280
# RHT Health Trust................................... 3,131,500 41,420
# Riverstone Holdings, Ltd........................... 1,315,500 995,233
# Roxy-Pacific Holdings, Ltd......................... 505,740 146,959
SBS Transit, Ltd................................... 902,200 2,674,304
* Sembcorp Marine, Ltd............................... 1,008,100 1,267,301
Sheng Siong Group, Ltd............................. 5,350,000 4,052,477
SHS Holdings, Ltd.................................. 2,175,300 301,283
# SIA Engineering Co., Ltd........................... 1,174,900 2,161,242
# SIIC Environment Holdings, Ltd..................... 4,986,920 1,138,657
# Sinarmas Land, Ltd................................. 6,897,100 1,318,877
# Sing Holdings, Ltd................................. 1,668,000 489,811
Sing Investments & Finance, Ltd.................... 328,475 360,305
Singapore Post, Ltd................................ 11,080,000 8,470,151
# Singapore Press Holdings, Ltd...................... 674,600 1,246,793
Singapore Reinsurance Corp., Ltd................... 1,514,530 328,406
Singapore Shipping Corp., Ltd...................... 1,640,700 344,106
Singapura Finance, Ltd............................. 60,124 42,229
# * Sino Grandness Food Industry Group, Ltd............ 4,412,635 159,223
Stamford Land Corp., Ltd........................... 3,297,700 1,187,063
# StarHub, Ltd....................................... 5,764,100 6,573,269
Straco Corp., Ltd.................................. 130,000 76,522
# Sunningdale Tech, Ltd.............................. 1,184,660 1,168,373
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SINGAPORE -- (Continued)
* SunVic Chemical Holdings, Ltd...................... 526,945 $ 8,523
# * Swiber Holdings, Ltd............................... 2,895,250 43,426
# * Thomson Medical Group, Ltd......................... 4,294,500 237,045
Tuan Sing Holdings, Ltd............................ 5,018,266 1,438,882
# UMS Holdings, Ltd.................................. 3,967,175 2,133,530
# United Engineers, Ltd.............................. 3,318,328 6,174,569
United Industrial Corp., Ltd....................... 93,169 216,999
# United Overseas Insurance, Ltd..................... 181,850 958,552
UOB-Kay Hian Holdings, Ltd......................... 2,086,021 1,949,513
# Valuetronics Holdings, Ltd......................... 3,369,750 1,697,310
* Vibrant Group, Ltd................................. 1,771,125 178,227
Vicom, Ltd......................................... 119,500 597,492
Wee Hur Holdings, Ltd.............................. 2,769,000 458,018
Wing Tai Holdings, Ltd............................. 4,029,267 6,080,561
Yeo Hiap Seng, Ltd................................. 223,731 162,178
# * Yongnam Holdings, Ltd.............................. 2,817,300 370,199
Zhongmin Baihui Retail Group, Ltd.................. 26,900 14,042
--------------
TOTAL SINGAPORE........................................... 174,015,566
--------------
TOTAL COMMON STOCKS....................................... 1,694,647,714
--------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRALIA -- (0.0%)
* Amaysim Australia, Ltd. Rights 03/25/19............ 536,086 0
--------------
HONG KONG -- (0.0%)
* I-Cable Communications, Ltd. Rights 05/24/19....... 3,060,000 1,560
--------------
SINGAPORE -- (0.0%)
# * Ezion Holdings, Ltd. Warrants 04/16/23............. 5,659,201 0
--------------
TOTAL RIGHTS/WARRANTS..................................... 1,560
--------------
TOTAL INVESTMENT SECURITIES............................... 1,694,649,274
--------------
SECURITIES LENDING COLLATERAL -- (5.0%)
@ (S) The DFA Short Term Investment Fund................. 7,783,244 90,059,920
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,759,922,077)................................... $1,784,709,194
==============
CP Certificate Participation
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.
@ Security purchased with cash proceeds from Securities
on Loan.
(S) Affiliated Fund.
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
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- -------------- ------- --------------
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.
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (99.2%)
COMMUNICATION SERVICES -- (6.4%)
4imprint Group P.L.C............................... 120,437 $ 4,207,120
Ascential P.L.C.................................... 661,937 3,080,875
Auto Trader Group P.L.C............................ 4,801,178 35,492,046
Bloomsbury Publishing P.L.C........................ 140,804 436,254
Centaur Media P.L.C................................ 537,905 365,313
Cineworld Group P.L.C.............................. 5,201,644 21,585,272
Daily Mail & General Trust P.L.C................... 952,797 8,173,034
Entertainment One, Ltd............................. 2,492,334 15,523,642
Euromoney Institutional Investor P.L.C............. 650,007 10,422,149
* Frontier Developments PLC.......................... 3,416 43,631
Future P.L.C....................................... 58,536 647,051
Gamma Communications P.L.C......................... 10,029 144,322
Huntsworth P.L.C................................... 1,049,610 1,220,926
Inmarsat P.L.C..................................... 2,400,987 17,116,231
ITE Group P.L.C.................................... 4,483,302 4,257,410
KCOM Group P.L.C................................... 3,365,144 4,294,541
Kin & Carta P.L.C.................................. 972,688 1,385,031
Reach P.L.C........................................ 1,819,647 1,753,692
Rightmove P.L.C.................................... 1,959,819 13,858,080
STV Group P.L.C.................................... 4,868 23,825
# TalkTalk Telecom Group P.L.C....................... 3,686,790 5,973,441
Tarsus Group P.L.C................................. 244,568 1,006,290
------------
TOTAL COMMUNICATION SERVICES........................... 151,010,176
------------
CONSUMER DISCRETIONARY -- (21.4%)
888 Holdings P.L.C................................. 1,648,130 3,108,627
AA P.L.C........................................... 3,904,659 3,780,341
* ASOS P.L.C......................................... 13,101 671,820
B&M European Value Retail SA....................... 5,334,358 27,500,076
BCA Marketplace P.L.C.............................. 1,766,162 4,754,668
Bellway P.L.C...................................... 860,052 34,924,504
* Boohoo Group P.L.C................................. 3,046,795 9,798,095
Bovis Homes Group P.L.C............................ 1,262,993 18,311,818
Card Factory P.L.C................................. 1,978,052 5,293,639
* Carpetright P.L.C.................................. 406,341 167,590
Connect Group P.L.C................................ 1,268,381 637,845
Countryside Properties P.L.C....................... 2,491,284 11,035,149
Crest Nicholson Holdings P.L.C..................... 1,346,209 6,767,030
# Debenhams P.L.C.................................... 6,862,458 163,760
DFS Furniture P.L.C................................ 1,080,912 3,546,055
Dignity P.L.C...................................... 333,551 3,100,251
Dixons Carphone P.L.C.............................. 5,718,379 10,840,985
Domino's Pizza Group P.L.C......................... 3,552,860 12,425,385
Dunelm Group P.L.C................................. 713,609 7,963,498
* EI Group P.L.C..................................... 3,877,460 10,754,642
* Findel P.L.C....................................... 246,067 552,686
Fuller Smith & Turner P.L.C., Class A.............. 140,561 2,113,966
* GAME Digital P.L.C................................. 15,397 5,690
Games Workshop Group P.L.C......................... 223,955 12,166,421
Gocompare.Com Group P.L.C.......................... 1,864,523 2,141,778
Greene King P.L.C.................................. 2,728,082 22,847,410
Greggs P.L.C....................................... 734,900 17,259,023
GVC Holdings P.L.C................................. 942,838 8,045,664
Gym Group P.L.C. (The)............................. 725,657 2,176,316
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CONSUMER DISCRETIONARY -- (Continued)
Halfords Group P.L.C............................... 1,391,797 $ 4,245,867
Headlam Group P.L.C................................ 476,333 2,668,056
Henry Boot P.L.C................................... 478,544 1,751,933
Hollywood Bowl Group P.L.C......................... 163,205 510,104
Hostelworld Group P.L.C............................ 226,453 732,847
Inchcape P.L.C..................................... 2,863,449 22,988,943
J D Wetherspoon P.L.C.............................. 522,819 9,331,963
JD Sports Fashion P.L.C............................ 2,029,276 16,681,031
John Menzies P.L.C................................. 528,218 3,376,908
* JPJ Group P.L.C.................................... 396,416 3,684,544
Lookers P.L.C...................................... 1,995,121 2,356,322
Marston's P.L.C.................................... 4,559,734 6,052,409
McCarthy & Stone P.L.C............................. 2,354,144 3,929,887
Merlin Entertainments P.L.C........................ 4,473,988 21,395,018
Millennium & Copthorne Hotels P.L.C................ 1,670,579 9,728,091
* Mitchells & Butlers P.L.C.......................... 1,629,024 5,432,197
MJ Gleeson P.L.C................................... 201,540 2,195,293
Moneysupermarket.com Group P.L.C................... 3,912,801 18,585,395
* Mothercare P.L.C................................... 1,543,280 407,468
Motorpoint group P.L.C............................. 44,038 105,797
# N Brown Group P.L.C................................ 1,128,966 1,591,400
* Ocado Group P.L.C.................................. 481,905 8,579,046
# On the Beach Group P.L.C........................... 763,275 4,554,489
# Pendragon P.L.C.................................... 7,772,229 2,329,152
Pets at Home Group P.L.C........................... 2,578,831 5,104,345
Photo-Me International P.L.C....................... 1,513,993 1,799,981
Playtech P.L.C..................................... 1,580,065 9,035,413
Rank Group P.L.C................................... 874,026 1,825,012
Redrow P.L.C....................................... 1,760,115 14,167,628
Restaurant Group P.L.C. (The)...................... 3,143,360 5,911,749
Revolution Bars Group P.L.C........................ 17,764 16,225
* Sportech P.L.C..................................... 408,363 164,896
* Sports Direct International P.L.C.................. 1,385,516 5,387,982
SSP Group P.L.C.................................... 2,923,877 26,576,348
Superdry P.L.C..................................... 287,961 1,941,934
Ted Baker P.L.C.................................... 196,229 4,126,061
Telford Homes P.L.C................................ 122,435 445,760
# * Thomas Cook Group P.L.C............................ 8,571,929 2,988,161
Topps Tiles P.L.C.................................. 925,429 909,613
Vitec Group P.L.C. (The)........................... 188,614 2,854,021
WH Smith P.L.C..................................... 718,011 19,209,836
William Hill P.L.C................................. 5,449,085 11,446,922
------------
TOTAL CONSUMER DISCRETIONARY............................ 509,980,779
------------
CONSUMER STAPLES -- (5.2%)
A.G. Barr P.L.C.................................... 735,919 8,170,651
Anglo-Eastern Plantations P.L.C.................... 107,628 740,364
Britvic P.L.C...................................... 1,760,993 21,022,606
Carr's Group P.L.C................................. 349,511 668,460
Cranswick P.L.C.................................... 343,025 12,979,793
Devro P.L.C........................................ 1,052,919 2,730,854
Fevertree Drinks P.L.C............................. 414,912 17,059,779
Greencore Group P.L.C.............................. 3,518,843 10,556,249
Hilton Food Group P.L.C............................ 214,700 2,849,834
# Majestic Wine P.L.C................................ 109,075 365,968
McBride P.L.C...................................... 1,141,195 1,598,425
McBride P.L.C...................................... 17,117,925 22,322
McColl's Retail Group P.L.C........................ 60,390 67,598
* Premier Foods P.L.C................................ 4,896,591 2,262,516
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CONSUMER STAPLES -- (Continued)
PZ Cussons P.L.C................................... 1,712,581 $ 4,582,037
* REA Holdings P.L.C................................. 50,639 125,857
Stock Spirits Group P.L.C.......................... 1,064,915 3,127,048
Tate & Lyle P.L.C.................................. 3,470,820 34,787,259
------------
TOTAL CONSUMER STAPLES.................................. 123,717,620
------------
ENERGY -- (4.3%)
* Amerisur Resources P.L.C........................... 1,006,443 168,755
Anglo Pacific Group P.L.C.......................... 858,448 2,389,911
* Cairn Energy P.L.C................................. 4,861,884 10,847,230
Diversified Gas & Oil P.L.C........................ 185,255 298,720
* EnQuest P.L.C...................................... 11,246,628 3,136,841
* Genel Energy P.L.C................................. 529,589 1,593,243
* Gulf Keystone Petroleum, Ltd....................... 1,366,284 4,531,365
* Gulf Marine Services P.L.C......................... 125,859 20,135
Hunting P.L.C...................................... 1,246,189 9,577,278
* Hurricane Energy P.L.C............................. 1,136,879 694,986
John Wood Group P.L.C.............................. 3,091,313 18,952,064
* Lamprell P.L.C..................................... 1,219,262 1,053,473
* Nostrum Oil & Gas P.L.C............................ 184,064 224,967
* Ophir Energy P.L.C................................. 4,489,031 3,323,384
# * Pantheon Resources P.L.C........................... 379,233 105,646
Petrofac, Ltd...................................... 1,736,856 10,026,953
* Premier Oil P.L.C.................................. 5,111,162 6,628,066
* Rockhopper Exploration P.L.C....................... 95,701 30,017
* Savannah Petroleum P.L.C........................... 28,000 7,841
Soco International P.L.C........................... 1,265,317 1,242,193
Tullow Oil P.L.C................................... 9,672,607 28,361,260
------------
TOTAL ENERGY............................................ 103,214,328
------------
FINANCIALS -- (13.8%)
# Arrow Global Group P.L.C........................... 1,078,018 2,710,611
Ashmore Group P.L.C................................ 2,500,969 15,005,817
Bank of Georgia Group P.L.C........................ 259,716 5,829,074
Beazley P.L.C...................................... 3,039,405 22,902,309
Brewin Dolphin Holdings P.L.C...................... 1,971,669 8,434,730
Burford Capital, Ltd............................... 173,096 3,703,722
Charles Stanley Group P.L.C........................ 122,025 466,639
Charles Taylor P.L.C............................... 206,958 630,283
Chesnara P.L.C..................................... 725,596 3,473,836
City of London Investment Group P.L.C.............. 5,500 29,864
Close Brothers Group P.L.C......................... 1,032,305 20,929,857
CMC Markets P.L.C.................................. 688,906 703,994
CME Group, Inc..................................... 1 129
CYBG P.L.C......................................... 6,092,424 16,165,895
* Georgia Capital P.L.C.............................. 186,415 2,459,641
Hansard Global P.L.C............................... 16,468 7,955
Hastings Group Holdings P.L.C...................... 1,917,394 4,778,762
Hiscox, Ltd........................................ 880,627 19,261,692
IG Group Holdings P.L.C............................ 2,463,141 16,385,306
Intermediate Capital Group P.L.C................... 1,891,309 29,227,307
International Personal Finance P.L.C............... 1,344,149 3,202,400
* IP Group P.L.C..................................... 3,052,685 3,985,017
Jupiter Fund Management P.L.C...................... 2,680,081 13,152,084
Just Group P.L.C................................... 4,611,315 4,119,373
Lancashire Holdings, Ltd........................... 1,449,448 13,023,931
Liontrust Asset Management P.L.C................... 1,513 13,395
Man Group P.L.C.................................... 10,998,653 22,537,062
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
FINANCIALS -- (Continued)
# * Metro Bank P.L.C................................... 97,643 $ 957,654
Non-Standard Finance P.L.C......................... 215,168 148,807
Numis Corp. P.L.C.................................. 119,175 429,105
OneSavings Bank P.L.C.............................. 1,361,876 7,743,431
Paragon Banking Group P.L.C........................ 1,986,747 11,899,285
Phoenix Group Holdings P.L.C....................... 2,445,112 23,112,287
* Provident Financial P.L.C.......................... 1,085,414 7,535,502
Quilter P.L.C...................................... 7,422,340 14,314,982
Rathbone Brothers P.L.C............................ 318,681 10,484,555
River & Mercantile Group P.L.C..................... 10,512 35,294
S&U P.L.C.......................................... 20,717 591,361
Saga P.L.C......................................... 6,657,190 5,119,650
TP ICAP P.L.C...................................... 3,396,565 12,469,621
Waterloo Investment Holdings, Ltd.................. 4,000 40
------------
TOTAL FINANCIALS........................................ 327,982,259
------------
HEALTH CARE -- (3.3%)
Alliance Pharma P.L.C.............................. 841,103 859,434
* BTG P.L.C.......................................... 2,027,017 22,098,966
CareTech Holdings P.L.C............................ 206,325 898,262
# * Circassia Pharmaceuticals P.L.C.................... 516,889 213,469
Consort Medical P.L.C.............................. 292,501 3,524,297
ConvaTec Group P.L.C............................... 5,452,293 9,875,152
# CVS Group P.L.C.................................... 102,232 835,650
EMIS Group P.L.C................................... 136,555 1,993,304
Genus P.L.C........................................ 127,231 4,006,493
Hikma Pharmaceuticals P.L.C........................ 359,971 8,306,681
* Indivior P.L.C..................................... 4,141,064 2,068,753
Integrated Diagnostics Holdings P.L.C.............. 330,094 1,604,948
# Mediclinic International P.L.C..................... 1,621,434 7,264,999
Spire Healthcare Group P.L.C....................... 1,437,036 2,515,240
UDG Healthcare P.L.C............................... 931,878 8,000,108
* Vectura Group P.L.C................................ 4,014,799 3,820,464
------------
TOTAL HEALTH CARE....................................... 77,886,220
------------
INDUSTRIALS -- (27.3%)
Aggreko P.L.C...................................... 1,607,013 17,915,344
Air Partner P.L.C.................................. 253,425 299,604
Avon Rubber P.L.C.................................. 195,186 3,755,621
Babcock International Group P.L.C.................. 2,995,017 20,559,743
Balfour Beatty P.L.C............................... 4,399,129 14,441,081
BBA Aviation P.L.C................................. 7,186,917 25,539,590
Biffa P.L.C........................................ 813,260 2,518,696
Bodycote P.L.C..................................... 1,383,148 15,495,835
Braemar Shipping Services P.L.C.................... 144,282 361,984
Chemring Group P.L.C............................... 1,734,909 3,481,132
Clarkson P.L.C..................................... 163,550 5,539,827
# Clipper Logistics P.L.C............................ 175,891 662,700
* Cobham P.L.C....................................... 16,450,293 24,803,343
Costain Group P.L.C................................ 719,416 3,018,041
Dart Group P.L.C................................... 258,400 3,143,084
De La Rue P.L.C.................................... 718,827 4,140,694
# * Dialight P.L.C..................................... 105,397 676,576
Diploma P.L.C...................................... 752,989 15,746,971
* Firstgroup P.L.C................................... 7,962,112 11,488,021
G4S P.L.C.......................................... 8,580,996 24,252,553
Galliford Try P.L.C................................ 755,660 5,356,533
Go-Ahead Group P.L.C. (The)........................ 329,220 8,335,913
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDUSTRIALS -- (Continued)
Goodwin P.L.C................................ 383 $ 15,502
Grafton Group P.L.C.......................... 1,602,051 18,464,389
Hays P.L.C................................... 9,878,691 19,584,251
HomeServe P.L.C.............................. 1,967,670 27,888,245
Howden Joinery Group P.L.C................... 4,476,142 29,725,561
IMI P.L.C.................................... 1,817,981 24,967,382
# Interserve P.L.C............................. 629,566 49,257
IWG P.L.C.................................... 4,123,173 18,309,774
James Fisher & Sons P.L.C.................... 301,008 7,758,123
John Laing Group P.L.C....................... 2,104,166 10,564,295
Keller Group P.L.C........................... 477,111 4,380,723
Kier Group P.L.C............................. 929,137 4,560,635
Mears Group P.L.C............................ 763,170 2,384,753
Meggitt P.L.C................................ 3,974,849 28,284,320
# Mitie Group P.L.C............................ 2,310,926 3,955,362
Morgan Advanced Materials P.L.C.............. 1,779,476 6,480,700
Morgan Sindall Group P.L.C................... 222,427 3,805,488
National Express Group P.L.C................. 2,851,815 15,290,858
Norcros P.L.C................................ 116,690 327,113
Northgate P.L.C.............................. 2,144,364 10,276,198
Pagegroup P.L.C.............................. 2,344,376 16,481,507
PayPoint P.L.C............................... 389,513 5,121,427
Polypipe Group P.L.C......................... 1,451,990 8,324,871
Porvair P.L.C................................ 15,572 114,033
QinetiQ Group P.L.C.......................... 3,901,654 15,370,290
Redde P.L.C.................................. 210,332 330,688
Renewi P.L.C................................. 4,168,554 1,803,178
# * Renold P.L.C................................. 193,435 85,674
Ricardo P.L.C................................ 298,879 3,001,203
Robert Walters P.L.C......................... 386,365 2,973,662
Rotork P.L.C................................. 5,721,728 23,337,341
Royal Mail P.L.C............................. 2,569,484 8,478,254
RPS Group P.L.C.............................. 1,379,834 3,492,408
Senior P.L.C................................. 3,210,727 9,715,582
Severfield P.L.C............................. 1,090,941 1,082,561
SIG P.L.C.................................... 4,528,627 8,959,580
Speedy Hire P.L.C............................ 2,895,508 2,227,677
Spirax-Sarco Engineering P.L.C............... 57,805 6,232,387
Staffline Group P.L.C........................ 2,683 30,878
Stagecoach Group P.L.C....................... 3,009,333 5,172,214
SThree P.L.C................................. 656,206 2,580,822
Stobart Group, Ltd........................... 1,732,886 3,365,304
T Clarke P.L.C............................... 147,457 246,697
Travis Perkins P.L.C......................... 1,643,485 29,988,227
Trifast P.L.C................................ 512,824 1,618,870
Tyman P.L.C.................................. 794,254 2,638,875
Ultra Electronics Holdings P.L.C............. 633,752 13,181,870
Vesuvius P.L.C............................... 1,658,142 13,377,649
* Volex P.L.C.................................. 307,047 376,982
Volution Group P.L.C......................... 338,389 765,307
Vp P.L.C..................................... 159,998 1,658,254
Weir Group P.L.C (The)....................... 34,315 745,833
Wilmington PL.C.............................. 334,384 872,842
Wincanton P.L.C.............................. 718,070 2,309,942
* Wizz Air Holdings P.L.C...................... 58,373 2,589,447
XP Power, Ltd................................ 92,520 3,239,941
------------
TOTAL INDUSTRIALS................................. 650,498,092
------------
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INFORMATION TECHNOLOGY -- (5.9%)
AVEVA Group P.L.C.................................. 289,873 $ 12,665,542
Computacenter P.L.C................................ 527,576 8,313,474
DiscoverIE Group P.L.C............................. 426,968 2,371,744
Electrocomponents P.L.C............................ 3,231,445 27,248,613
Equiniti Group P.L.C............................... 2,267,873 6,356,959
FDM Group Holdings P.L.C........................... 290,887 3,714,103
iomart Group P.L.C................................. 61,804 281,020
# * IQE P.L.C.......................................... 333,707 347,414
Kainos Group P.L.C................................. 208,006 1,434,441
NCC Group P.L.C.................................... 1,458,834 3,322,649
Oxford Instruments P.L.C........................... 340,016 5,152,933
Renishaw P.L.C..................................... 245,828 14,517,361
RM P.L.C........................................... 336,909 1,012,686
SDL P.L.C.......................................... 459,363 3,156,867
Smart Metering Systems P.L.C....................... 205,617 1,325,103
Softcat P.L.C...................................... 758,809 8,994,428
Spectris P.L.C..................................... 786,835 28,271,770
Spirent Communications P.L.C....................... 3,908,618 8,084,545
# Strix Group P.L.C.................................. 150,422 334,815
# * Telit Communications P.L.C......................... 82,391 198,534
TT Electronics P.L.C............................... 951,216 3,070,417
Xaar P.L.C......................................... 155,393 196,918
------------
TOTAL INFORMATION TECHNOLOGY............................ 140,372,336
------------
MATERIALS -- (6.5%)
* Acacia Mining P.L.C................................ 741,235 1,420,339
* Carclo P.L.C....................................... 205,594 63,586
Castings P.L.C..................................... 159,566 748,140
Centamin P.L.C..................................... 8,423,834 9,754,068
Central Asia Metals P.L.C.......................... 281,051 836,553
Elementis P.L.C.................................... 4,004,056 8,512,238
Essentra P.L.C..................................... 1,174,358 6,476,652
Ferrexpo P.L.C..................................... 2,362,974 6,401,196
Forterra P.L.C..................................... 1,176,302 4,789,336
* Gem Diamonds, Ltd.................................. 679,902 798,541
Highland Gold Mining, Ltd.......................... 1,213,571 2,599,944
Hill & Smith Holdings P.L.C........................ 514,928 8,567,721
Hochschild Mining P.L.C............................ 1,415,805 3,443,557
Ibstock P.L.C...................................... 2,674,723 9,116,302
KAZ Minerals P.L.C................................. 1,661,200 14,085,960
* Lonmin P.L.C....................................... 1,584,135 1,432,720
Low & Bonar P.L.C.................................. 2,377,348 482,987
Marshalls P.L.C.................................... 1,413,639 11,898,540
* Petra Diamonds, Ltd................................ 5,639,982 1,492,736
* Petropavlovsk P.L.C................................ 740,190 81,081
Rhi Magnesita NV................................... 47,107 3,052,924
RPC Group P.L.C.................................... 2,589,442 26,689,032
Scapa Group P.L.C.................................. 146,041 754,619
* Sirius Minerals P.L.C.............................. 1,194,227 272,132
Synthomer P.L.C.................................... 1,832,121 10,033,204
Victrex P.L.C...................................... 625,988 19,912,150
Zotefoams P.L.C.................................... 90,496 721,512
------------
TOTAL MATERIALS......................................... 154,437,770
------------
REAL ESTATE -- (3.0%)
Capital & Counties Properties P.L.C................ 4,730,124 14,956,935
CLS Holdings P.L.C................................. 508,554 1,597,301
* Countrywide P.L.C.................................. 1,699,141 144,019
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
REAL ESTATE -- (Continued)
Daejan Holdings P.L.C.............................. 46,247 $ 3,501,913
* Foxtons Group P.L.C................................ 1,145,927 1,008,176
# Grainger P.L.C..................................... 4,344,203 14,286,578
Harworth Group P.L.C............................... 30,680 54,690
Helical P.L.C...................................... 670,135 3,011,960
LSL Property Services P.L.C........................ 404,839 1,407,746
* Raven Property Group, Ltd.......................... 1,003,570 550,547
Savills P.L.C...................................... 1,028,033 12,118,217
St. Modwen Properties P.L.C........................ 2,832,022 15,198,773
U & I Group P.L.C.................................. 851,229 1,985,270
Urban & Civic P.L.C................................ 391,179 1,481,231
# Watkin Jones P.L.C................................. 274,194 799,349
--------------
TOTAL REAL ESTATE......................................... 72,102,705
--------------
UTILITIES -- (2.1%)
Drax Group P.L.C................................... 2,899,857 12,915,265
Pennon Group P.L.C................................. 2,915,542 28,482,980
Telecom Plus P.L.C................................. 394,631 7,270,591
--------------
TOTAL UTILITIES........................................... 48,668,836
--------------
TOTAL COMMON STOCKS....................................... 2,359,871,121
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.8%)
@ (S) The DFA Short Term Investment Fund................. 1,636,823 18,939,683
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,218,764,430)................................... $2,378,810,804
==============
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.
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
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- -------------- ------- --------------
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.
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (91.3%)
AUSTRIA -- (3.0%)
Agrana Beteiligungs AG............................. 83,446 $ 1,874,183
# ANDRITZ AG......................................... 510,397 24,374,529
Atrium European Real Estate, Ltd................... 968,162 3,761,525
Austria Technologie & Systemtechnik AG............. 173,991 3,472,263
CA Immobilien Anlagen AG........................... 496,800 17,426,988
DO & CO AG......................................... 52,537 4,440,438
EVN AG............................................. 230,431 3,447,546
# FACC AG............................................ 168,506 2,769,925
Flughafen Wien AG.................................. 29,476 1,295,257
# IMMOFINANZ AG...................................... 669,588 17,172,952
Josef Manner & Co. AG.............................. 870 88,199
Kapsch TrafficCom AG............................... 35,686 1,320,923
# Lenzing AG......................................... 92,686 10,419,330
Mayr Melnhof Karton AG............................. 56,424 7,306,624
Oberbank AG........................................ 40,168 4,280,145
Oesterreichische Post AG........................... 241,483 9,403,896
Palfinger AG....................................... 96,606 3,152,802
# POLYTEC Holding AG................................. 105,679 1,221,838
# Porr AG............................................ 75,463 2,010,578
Rosenbauer International AG........................ 19,948 991,575
S IMMO AG.......................................... 363,879 7,966,178
Schoeller-Bleckmann Oilfield Equipment AG.......... 75,301 7,034,498
# * Semperit AG Holding................................ 69,672 1,079,707
Strabag SE......................................... 111,162 3,734,791
Telekom Austria AG................................. 1,083,156 8,119,549
UBM Development AG................................. 16,910 797,126
UNIQA Insurance Group AG........................... 958,393 10,213,610
Vienna Insurance Group AG Wiener Versicherung
Gruppe........................................... 267,304 7,443,046
Voestalpine AG..................................... 55,580 1,788,233
Wienerberger AG.................................... 617,965 14,201,392
# * Zumtobel Group AG.................................. 182,287 1,313,440
------------
TOTAL AUSTRIA........................................... 183,923,086
------------
BELGIUM -- (4.1%)
Ackermans & van Haaren NV.......................... 174,099 28,051,355
* AGFA-Gevaert NV.................................... 1,361,710 5,890,939
* Argenx SE.......................................... 195,734 25,084,753
Atenor............................................. 17,052 1,276,972
Banque Nationale de Belgique....................... 87 247,986
Barco NV........................................... 74,142 13,186,618
# Bekaert SA......................................... 253,902 6,949,166
# * Biocartis NV....................................... 231,370 2,993,236
# bpost SA........................................... 525,510 6,326,639
# * Celyad SA.......................................... 42,190 880,867
Cie d'Entreprises CFE.............................. 48,396 4,821,878
# Cie Immobiliere de Belgique SA..................... 16,878 1,116,773
Co.Br.Ha Societe Commerciale de Brasserie SA....... 111 512,493
Deceuninck NV...................................... 435,935 1,115,674
D'ieteren SA....................................... 202,237 8,376,415
Econocom Group SA.................................. 727,792 3,036,222
Elia System Operator SA............................ 191,890 12,951,515
# Euronav NV......................................... 1,282,924 12,153,335
EVS Broadcast Equipment SA......................... 61,796 1,579,901
* Exmar NV........................................... 134,980 897,856
Fagron............................................. 282,720 5,615,352
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
BELGIUM -- (Continued)
* Galapagos NV....................................... 83,035 $ 9,504,131
* Galapagos NV....................................... 220,186 25,291,182
Gimv NV............................................ 91,118 5,479,484
# * Ion Beam Applications.............................. 126,538 2,280,352
Jensen-Group NV.................................... 20,645 782,718
Kinepolis Group NV................................. 98,670 5,875,363
# Lotus Bakeries NV.................................. 1,729 4,542,327
# * MDxHealth.......................................... 239,516 376,941
# Melexis NV......................................... 110,146 8,851,752
# * Nyrstar NV......................................... 84,985 21,544
# Ontex Group NV..................................... 487,570 12,274,344
Orange Belgium SA.................................. 168,305 3,531,083
* Oxurion NV......................................... 66,163 295,389
Picanol............................................ 28,690 2,337,764
Recticel SA........................................ 270,323 2,826,807
Resilux............................................ 5,788 961,527
Roularta Media Group NV............................ 19,318 307,022
Sioen Industries NV................................ 53,303 1,516,872
Sipef NV........................................... 35,643 1,951,961
Telenet Group Holding NV........................... 104,065 5,527,181
TER Beke SA........................................ 3,565 555,418
* Tessenderlo Group SA............................... 214,654 7,762,407
Van de Velde NV.................................... 38,052 1,285,724
* Viohalco SA........................................ 583,796 2,210,465
------------
TOTAL BELGIUM........................................... 249,415,703
------------
DENMARK -- (5.1%)
* Agat Ejendomme A.S................................. 307,965 205,319
# * ALK-Abello A.S..................................... 43,332 7,371,381
Alm Brand A.S...................................... 563,835 5,385,982
# Ambu A.S., Class B................................. 755,139 21,726,594
Arkil Holding A.S., Class B........................ 92 21,074
* Bang & Olufsen A.S................................. 256,627 2,234,269
BankNordik P/F..................................... 10,800 183,419
# * Bavarian Nordic A.S................................ 185,816 3,903,536
Brodrene Hartmann A.S.............................. 16,148 716,765
Columbus A.S....................................... 430,058 862,167
# D/S Norden A.S..................................... 217,180 3,445,128
DFDS A.S........................................... 306,367 14,566,516
Djurslands Bank A.S................................ 8,970 331,602
# FLSmidth & Co. A.S................................. 296,273 14,891,385
Fluegger Group A.S., Class B....................... 4,198 192,554
GN Store Nord A.S.................................. 418,163 21,433,061
GronlandsBANKEN A.S................................ 1,125 92,077
# * H+H International A.S., Class B.................... 106,543 1,773,227
Harboes Bryggeri A.S., Class B..................... 17,239 224,410
IC Group A.S....................................... 43,760 254,652
# ISS A.S............................................ 612,951 19,088,284
# Jeudan A.S......................................... 7,494 1,131,661
Jyske Bank A.S..................................... 500,030 20,168,442
Lan & Spar Bank.................................... 4,981 347,275
Matas A.S.......................................... 125,052 1,242,498
* Nilfisk Holding A.S................................ 198,988 8,416,452
# * NKT A.S............................................ 206,194 3,803,282
NNIT A.S........................................... 71,616 1,889,022
Pandora A.S........................................ 170,189 7,148,653
Parken Sport & Entertainment A.S................... 36,911 598,942
Per Aarsleff Holding A.S........................... 140,173 4,646,057
# Ringkjoebing Landbobank A.S........................ 177,874 11,488,923
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
DENMARK -- (Continued)
# Roblon A.S., Class B............................... 973 $ 26,334
Rockwool International A.S., Class A............... 775 184,318
Rockwool International A.S., Class B............... 50,812 13,594,681
Royal Unibrew A.S.................................. 364,385 26,147,290
RTX A.S............................................ 57,507 1,392,650
Scandinavian Tobacco Group A.S., Class A........... 282,602 3,362,369
# Schouw & Co., A.S.................................. 88,411 6,291,207
SimCorp A.S........................................ 277,672 27,259,105
Solar A.S., Class B................................ 37,386 1,775,838
Spar Nord Bank A.S................................. 593,003 5,100,354
Sydbank A.S........................................ 505,787 10,926,927
Tivoli A.S......................................... 9,878 1,036,372
Topdanmark A.S..................................... 475,380 25,649,109
* TORM P.L.C......................................... 93,974 744,924
United International Enterprises................... 10,336 2,150,409
# * Veloxis Pharmaceuticals A.S........................ 120,013 43,378
* Vestjysk Bank A.S.................................. 1,610,355 786,331
* Zealand Pharma A.S................................. 185,786 3,833,501
------------
TOTAL DENMARK........................................... 310,089,706
------------
FINLAND -- (5.5%)
# * Afarak Group Oyj................................... 316,672 298,817
# Ahlstrom-Munksjo Oyj............................... 178,111 2,678,336
Aktia Bank Oyj..................................... 294,884 2,871,404
Alandsbanken Abp, Class B.......................... 21,354 345,309
Alma Media Oyj..................................... 129,772 889,797
Apetit Oyj......................................... 19,668 192,100
Asiakastieto Group Oyj............................. 1,406 42,254
Aspo Oyj........................................... 92,762 884,747
Atria Oyj.......................................... 81,692 744,159
# * BasWare Oyj........................................ 56,551 1,306,223
# Bittium Oyj........................................ 204,447 1,547,872
Cargotec Oyj, Class B.............................. 285,341 11,714,821
# Caverion Oyj....................................... 696,383 5,074,633
# Citycon Oyj........................................ 528,288 5,397,935
Cramo Oyj.......................................... 263,681 5,549,434
Digia Oyj.......................................... 69,731 231,942
# Finnair Oyj........................................ 487,004 4,073,088
Fiskars Oyj Abp.................................... 217,953 4,966,668
* F-Secure Oyj....................................... 614,091 1,895,774
Glaston Oyj ABP.................................... 9,217 20,747
* HKScan Oyj, Class A................................ 257,744 639,451
# Huhtamaki Oyj...................................... 732,278 28,003,154
Ilkka-Yhtyma Oyj................................... 61,503 261,519
Kemira Oyj......................................... 740,091 10,489,717
Kesko Oyj, Class A................................. 44,025 2,117,422
Kesko Oyj, Class B................................. 447,808 23,285,971
# Konecranes Oyj..................................... 453,082 18,938,815
Lassila & Tikanoja Oyj............................. 209,198 3,397,978
# Lehto Group Oyj.................................... 129,587 615,358
Metsa Board Oyj.................................... 1,431,405 8,007,197
# Metso Oyj.......................................... 700,671 26,217,174
Nokian Renkaat Oyj................................. 833,611 27,942,455
Olvi Oyj, Class A.................................. 93,741 3,472,582
Oriola Oyj, Class A................................ 6,054 15,675
Oriola Oyj, Class B................................ 914,957 2,361,142
Orion Oyj, Class A................................. 142,119 4,768,027
# Orion Oyj, Class B................................. 680,891 22,703,962
# Outokumpu Oyj...................................... 2,921,503 11,185,775
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
FINLAND -- (Continued)
* Outotec Oyj........................................ 1,208,606 $ 6,384,721
# Pihlajalinna Oyj................................... 77,064 929,612
Ponsse Oyj......................................... 71,769 2,416,148
* QT Group Oyj....................................... 55,899 781,636
Raisio Oyj, Class V................................ 807,089 2,705,042
Ramirent Oyj....................................... 550,202 3,864,716
Rapala VMC Oyj..................................... 113,078 387,108
Raute Oyj, Class A................................. 2,644 78,949
# Revenio Group Oyj.................................. 121,898 2,808,093
Sanoma Oyj......................................... 749,458 7,651,331
* SRV Group Oyj...................................... 66,041 127,681
* Stockmann Oyj Abp, Class A......................... 49,045 149,735
# * Stockmann Oyj Abp, Class B......................... 189,838 506,021
Teleste Oyj........................................ 52,966 347,420
Tieto Oyj.......................................... 375,516 10,691,520
# Tikkurila Oyj...................................... 249,076 4,176,681
Tokmanni Group Corp................................ 312,819 2,739,343
Uponor Oyj......................................... 361,379 4,327,696
Vaisala Oyj, Class A............................... 116,031 2,514,948
# Valmet Oyj......................................... 919,512 25,329,801
Viking Line Abp.................................... 7,869 141,561
# YIT Oyj............................................ 1,430,763 8,778,815
------------
TOTAL FINLAND........................................... 332,988,012
------------
FRANCE -- (11.2%)
ABC arbitrage...................................... 116,625 861,444
Actia Group........................................ 51,304 245,611
* Air France-KLM..................................... 1,450,296 16,735,709
Akka Technologies.................................. 77,126 5,664,217
AKWEL.............................................. 58,127 1,134,360
# Albioma SA......................................... 177,226 4,170,104
Altamir............................................ 136,094 2,409,848
Alten SA........................................... 182,661 19,948,763
# Altran Technologies SA............................. 1,621,281 21,137,463
* Amplitude Surgical SAS............................. 19,526 57,630
Antalis International SAS.......................... 5,899 6,485
APRIL SA........................................... 75,626 1,814,760
Assystem SA........................................ 62,252 2,449,792
Aubay.............................................. 40,157 1,432,093
# Axway Software SA.................................. 38,973 557,003
* Baikowski SAS...................................... 8,805 148,282
# Bastide le Confort Medical......................... 18,094 788,076
# Beneteau SA........................................ 241,400 3,064,651
Bigben Interactive................................. 89,162 1,067,210
Boiron SA.......................................... 40,254 2,148,175
Bonduelle SCA...................................... 92,418 2,959,997
# * Bourbon Corp....................................... 163,857 384,458
Burelle SA......................................... 1,029 1,085,357
# Casino Guichard Perrachon SA....................... 271,603 11,120,732
Catering International Services.................... 14,124 191,719
* Cegedim SA......................................... 29,922 870,963
* CGG SA............................................. 4,375,479 7,909,766
Chargeurs SA....................................... 121,828 2,595,891
Cie des Alpes...................................... 67,699 2,043,808
Cie Plastic Omnium SA.............................. 335,529 10,165,655
* Coface SA.......................................... 672,871 6,787,145
* DBV Technologies SA................................ 11,968 233,655
Derichebourg SA.................................... 644,921 2,810,357
Devoteam SA........................................ 36,203 4,244,349
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
FRANCE -- (Continued)
# Edenred............................................ 693,381 $32,691,352
# Electricite de Strasbourg SA....................... 21,353 2,520,609
# Elior Group SA..................................... 858,106 11,886,624
# Elis SA............................................ 1,046,857 18,682,811
Eramet............................................. 65,268 4,570,653
# * Erytech Pharma SA.................................. 3,609 28,731
Esso SA Francaise.................................. 16,391 562,753
* Etablissements Maurel et Prom...................... 200,110 756,475
Euronext NV........................................ 368,245 25,586,440
# Europcar Mobility Group............................ 662,189 5,524,043
Eutelsat Communications SA......................... 1,246,264 22,523,516
Exel Industries, Class A........................... 10,419 759,602
Fleury Michon SA................................... 6,124 277,530
* Fnac Darty S.A..................................... 123,492 10,856,747
Gaumont SA......................................... 11,360 1,589,125
Gaztransport Et Technigaz SA....................... 126,899 11,483,138
GEA................................................ 2,433 240,105
Getlink SE......................................... 1,084,454 17,455,300
Gevelot SA......................................... 3,466 758,551
GL Events.......................................... 64,244 1,583,237
Groupe Crit........................................ 23,123 1,770,257
# Groupe Gorge....................................... 22,858 383,227
Groupe Open........................................ 30,206 567,134
Groupe SFPI........................................ 29,940 77,575
Guerbet............................................ 38,347 2,289,691
Haulotte Group SA.................................. 75,426 737,705
HERIGE SADCS....................................... 4,147 120,495
* HiPay Group SA..................................... 4,778 36,030
* ID Logistics Group................................. 13,767 2,460,515
# Imerys SA.......................................... 208,694 11,120,218
Ingenico Group SA.................................. 419,926 35,441,818
Interparfums SA.................................... 6,461 324,091
IPSOS.............................................. 232,649 6,748,261
Jacquet Metal Service SA........................... 76,405 1,523,784
Kaufman & Broad SA................................. 119,647 4,773,862
Korian SA.......................................... 371,941 14,972,105
# Lagardere SCA...................................... 778,374 21,199,658
Lanson-BCC......................................... 8,795 292,106
* Latecoere SACA..................................... 429,909 1,571,837
Laurent-Perrier.................................... 13,221 1,399,273
Le Belier.......................................... 10,566 393,307
Lectra............................................. 162,586 3,913,789
Linedata Services.................................. 14,505 453,971
LISI............................................... 111,918 3,746,405
LNA Sante SA....................................... 36,391 1,880,592
Maisons du Monde SA................................ 269,238 5,796,985
# Maisons France Confort SA.......................... 15,908 659,316
Manitou BF SA...................................... 60,874 2,002,606
Manutan International.............................. 15,102 1,148,717
Mersen SA.......................................... 122,759 4,368,989
# * METabolic EXplorer SA.............................. 156,395 314,436
Metropole Television SA............................ 285,999 5,676,820
Mr Bricolage SA.................................... 29,965 183,034
Neopost SA......................................... 287,438 7,050,468
# Nexans SA.......................................... 221,611 7,772,931
Nexity SA.......................................... 296,539 13,870,405
# * Nicox.............................................. 145,865 890,055
NRJ Group.......................................... 81,965 643,839
Oeneo SA........................................... 172,372 1,964,671
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
FRANCE -- (Continued)
* OL Groupe SA....................................... 10,735 $ 35,854
# * Onxeo SA........................................... 246,319 226,623
# * Onxeo SA........................................... 48,958 45,954
# * Pierre & Vacances SA............................... 29,600 591,880
# Plastivaloire...................................... 52,074 567,347
PSB Industries SA.................................. 8,805 313,604
# Rallye SA.......................................... 156,235 1,819,749
# * Recylex SA......................................... 102,008 572,640
Rexel SA........................................... 2,315,771 31,132,984
Robertet SA........................................ 4,305 2,749,318
Rothschild & Co.................................... 95,569 3,288,978
Rubis SCA.......................................... 544,052 29,841,360
Samse SA........................................... 8,068 1,253,673
Savencia SA........................................ 33,317 2,539,911
Seche Environnement SA............................. 15,254 518,196
Societe BIC SA..................................... 180,119 15,516,601
# * Societe des Bains de Mer et du Cercle des
Etrangers a Monaco............................... 60,012 3,279,295
Societe Marseillaise du Tunnel Prado-Carenage SA... 5,211 118,340
Societe pour l'Informatique Industrielle........... 41,060 1,008,736
# * SOITEC............................................. 121,539 12,310,006
# * Solocal Group...................................... 3,930,265 4,181,426
Somfy SA........................................... 102,875 9,317,897
Sopra Steria Group................................. 101,694 12,987,925
# SPIE SA............................................ 816,988 15,772,249
# * SRP Groupe SA...................................... 55,158 173,563
* Stallergenes Greer P.L.C........................... 18,020 742,832
Stef SA............................................ 27,648 2,618,656
Sword Group........................................ 36,122 1,315,396
Synergie SA........................................ 69,728 2,793,605
# Tarkett SA......................................... 211,769 5,133,243
# * Technicolor SA..................................... 1,999,083 2,399,205
# Television Francaise 1............................. 615,411 6,726,875
TFF Group.......................................... 14,788 665,048
# Thermador Groupe................................... 37,127 2,119,170
Total Gabon........................................ 3,107 543,296
* Touax SA........................................... 9,530 65,475
Trigano SA......................................... 54,707 5,245,364
Union Financiere de France BQE SA.................. 18,317 417,862
# * Vallourec SA....................................... 2,261,226 5,609,586
* Valneva SE......................................... 29,048 107,247
Vetoquinol SA...................................... 19,343 1,215,203
# Vicat SA........................................... 120,155 6,354,285
VIEL & Cie SA...................................... 162,802 913,262
Vilmorin & Cie SA.................................. 35,320 1,965,447
* Virbac SA.......................................... 21,012 3,742,859
Vranken-Pommery Monopole SA........................ 21,530 563,034
XPO Logistics Europe SADIR......................... 33 10,522
------------
TOTAL FRANCE............................................ 681,555,429
------------
GERMANY -- (16.3%)
7C Solarparken AG.................................. 12,773 44,067
Aareal Bank AG..................................... 455,580 15,935,337
Adler Modemaerkte AG............................... 47,849 176,752
ADLER Real Estate AG............................... 245,889 3,536,234
# ADO Properties SA.................................. 220,260 11,577,926
* ADVA Optical Networking SE......................... 364,431 3,127,944
# * AIXTRON SE......................................... 549,541 6,362,533
All for One Group AG............................... 4,222 241,174
# Allgeier SE........................................ 46,014 1,318,978
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
GERMANY -- (Continued)
Amadeus Fire AG.................................... 41,125 $ 5,488,143
Atoss Software AG.................................. 1,333 164,107
Aurubis AG......................................... 300,477 14,692,200
Basler AG.......................................... 10,445 1,890,342
Bauer AG........................................... 74,713 1,880,956
BayWa AG........................................... 106,449 3,137,843
BayWa AG........................................... 124 4,448
Bechtle AG......................................... 225,300 23,193,822
Bertrandt AG....................................... 42,139 3,288,509
bet-at-home.com AG................................. 21,796 1,800,949
Bijou Brigitte AG.................................. 22,217 1,099,275
Bilfinger SE....................................... 240,674 8,900,239
Borussia Dortmund GmbH & Co. KGaA.................. 602,892 5,790,616
CANCOM SE.......................................... 251,598 12,734,341
Carl Zeiss Meditec AG.............................. 20,245 1,991,293
* CECONOMY AG........................................ 1,011,524 6,794,390
CENIT AG........................................... 53,174 815,185
CENTROTEC Sustainable AG........................... 42,180 557,634
Cewe Stiftung & Co. KGAA........................... 43,060 4,067,587
comdirect bank AG.................................. 217,781 2,538,678
CompuGroup Medical SE.............................. 182,337 12,099,700
Corestate Capital Holding SA....................... 55,837 2,243,136
CropEnergies AG.................................... 145,642 954,717
CTS Eventim AG & Co. KGaA.......................... 442,453 22,724,048
Data Modul AG Produktion Und Vertrieb Von
Elektronischen Systemen.......................... 11,455 915,441
* DEAG Deutsche Entertainment AG..................... 44,855 229,924
Delticom AG........................................ 28,981 221,667
Deutsche Beteiligungs AG........................... 95,542 3,796,000
Deutsche EuroShop AG............................... 394,656 11,860,629
Deutsche Pfandbriefbank AG......................... 1,019,760 14,238,801
Deutz AG........................................... 1,027,597 10,154,704
* Dialog Semiconductor P.L.C......................... 621,432 24,176,299
DIC Asset AG....................................... 435,337 4,776,516
Diebold Nixdorf AG................................. 32,530 2,195,253
DMG Mori AG........................................ 15,692 809,239
# Dr Hoenle AG....................................... 35,751 2,257,711
Draegerwerk AG & Co. KGaA.......................... 17,850 833,331
Duerr AG........................................... 410,542 18,566,328
Eckert & Ziegler Strahlen- und Medizintechnik AG... 32,518 2,869,432
EDAG Engineering Group AG.......................... 52,516 825,374
Elmos Semiconductor AG............................. 92,807 2,557,055
# ElringKlinger AG................................... 204,148 1,548,435
Energiekontor AG................................... 2,066 35,402
# * Evotec SE.......................................... 793,010 19,792,912
# Ferratum Oyj....................................... 64,645 873,340
Fielmann AG........................................ 167,571 11,914,163
# First Sensor AG.................................... 44,242 1,187,830
FORTEC Elektronik AG............................... 372 8,750
Francotyp-Postalia Holding AG, Class A............. 55,619 225,600
Freenet AG......................................... 981,903 23,070,010
FRIWO AG........................................... 513 13,821
Fuchs Petrolub SE.................................. 74,674 2,981,806
GEA Group AG....................................... 464,920 13,025,977
Gerresheimer AG.................................... 262,222 19,756,453
Gesco AG........................................... 56,186 1,627,394
GFT Technologies SE................................ 121,382 1,237,842
Grand City Properties SA........................... 780,011 18,380,156
GRENKE AG.......................................... 69,704 7,436,222
H&R GmbH & Co. KGaA................................ 70,149 580,616
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
GERMANY -- (Continued)
Hamburger Hafen und Logistik AG.................... 182,979 $ 4,618,730
Hapag-Lloyd AG..................................... 58,492 1,800,861
Hawesko Holding AG................................. 52 2,218
# * Heidelberger Druckmaschinen AG..................... 1,982,859 3,715,131
Hella GmbH & Co KGaA............................... 247,008 13,474,074
Highlight Communications AG........................ 98,406 502,765
* HolidayCheck Group AG.............................. 214,527 753,278
Hornbach Baumarkt AG............................... 33,693 651,299
Hornbach Holding AG & Co. KGaA..................... 22,731 1,232,323
Hugo Boss AG....................................... 488,688 34,146,665
Indus Holding AG................................... 133,474 7,112,259
Isra Vision AG..................................... 111,249 4,473,433
IVU Traffic Technologies AG........................ 49,140 449,704
Jenoptik AG........................................ 391,123 15,480,134
K+S AG............................................. 1,567,865 31,925,446
Kloeckner & Co. SE................................. 575,851 4,051,747
Koenig & Bauer AG.................................. 95,477 4,641,604
Krones AG.......................................... 114,135 10,648,367
KSB SE & Co. KGaA.................................. 3,466 1,286,408
KWS Saat SE........................................ 80,955 5,492,845
Lanxess AG......................................... 561,292 32,503,778
LEG Immobilien AG.................................. 1,480 172,686
# Leifheit AG........................................ 60,321 1,473,859
# Leoni AG........................................... 245,460 5,676,005
* LPKF Laser & Electronics AG........................ 79,814 789,166
# * Manz AG............................................ 30,876 858,412
MasterFlex SE...................................... 21,291 155,260
Mediclin AG........................................ 88,966 554,186
# * Medigene AG........................................ 88,650 882,272
METRO AG........................................... 422,765 7,183,418
MLP SE............................................. 415,171 2,092,741
Nemetschek SE...................................... 147,899 27,361,339
Nexus AG........................................... 80,634 2,309,650
* Nordex SE.......................................... 508,398 8,258,383
Norma Group SE..................................... 237,761 11,242,270
OHB SE............................................. 38,414 1,537,956
# OSRAM Licht AG..................................... 537,458 18,485,862
# Paragon GmbH & Co. KGaA............................ 14,660 464,389
Patrizia Immobilien AG............................. 358,404 7,475,552
# * Petro Welt Technologies AG......................... 12,774 72,324
Pfeiffer Vacuum Technology AG...................... 56,577 9,510,720
# PNE AG............................................. 493,007 1,360,748
Progress-Werk Oberkirch AG......................... 8,558 254,967
ProSiebenSat.1 Media SE............................ 1,109,960 17,546,858
PSI Software AG.................................... 48,600 1,009,411
QSC AG............................................. 717,814 1,211,490
* R Stahl AG......................................... 14,952 422,944
Rheinmetall AG..................................... 339,164 39,081,174
RHOEN-KLINIKUM AG.................................. 233,180 6,880,436
RIB Software SE.................................... 292,708 5,766,906
* Rocket Internet SE................................. 497,217 13,136,788
# S&T AG............................................. 298,480 8,064,481
SAF-Holland SA..................................... 362,112 4,518,588
Salzgitter AG...................................... 310,376 10,258,300
# * Schaltbau Holding AG............................... 32,728 1,039,219
# Schloss Wachenheim AG.............................. 8,017 157,929
Scout24 AG......................................... 271,406 13,998,661
Secunet Security Networks AG....................... 5,929 726,107
# * Senvion SA......................................... 31,747 35,436
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
GERMANY -- (Continued)
# * SGL Carbon SE...................................... 276,966 $ 2,479,741
# * Shop Apotheke Europe NV............................ 24,231 939,145
SHW AG............................................. 25,624 594,082
Siltronic AG....................................... 153,046 15,036,459
Sixt Leasing SE.................................... 62,457 905,636
Sixt SE............................................ 96,696 10,782,818
* SLM Solutions Group AG............................. 9,386 108,938
# SMA Solar Technology AG............................ 87,177 1,989,542
* SMT Scharf AG...................................... 22,763 330,403
Softing AG......................................... 26,963 234,515
Software AG........................................ 395,714 15,102,112
Stabilus SA........................................ 170,155 9,495,113
STRATEC SE......................................... 24,452 1,724,278
Stroeer SE & Co. KGaA.............................. 216,062 14,632,529
Suedzucker AG...................................... 584,233 8,990,963
# * SUESS MicroTec SE.................................. 137,494 1,809,782
Surteco Group SE................................... 45,548 1,281,161
Syzygy AG.......................................... 2,030 21,006
TAG Immobilien AG.................................. 1,024,715 23,076,543
Takkt AG........................................... 199,472 3,139,588
Technotrans SE..................................... 47,270 1,297,443
* Tele Columbus AG................................... 296,432 638,370
TLG Immobilien AG.................................. 722,981 21,299,555
# * Tom Tailor Holding SE.............................. 214,000 590,513
Traffic Systems SE................................. 35,766 559,526
VERBIO Vereinigte BioEnergie AG.................... 147,791 1,282,204
Vossloh AG......................................... 68,437 3,150,023
Wacker Chemie AG................................... 89,853 7,898,822
Wacker Neuson SE................................... 220,998 6,141,748
Washtec AG......................................... 76,707 6,038,770
Wuestenrot & Wuerttembergische AG.................. 114,555 2,351,079
XING SE............................................ 20,306 7,556,970
Zeal Network SE.................................... 48,021 1,092,577
------------
TOTAL GERMANY........................................... 989,715,452
------------
IRELAND -- (0.5%)
C&C Group P.L.C.................................... 1,085,694 4,114,504
C&C Group P.L.C.................................... 399,607 1,512,914
* Cairn Homes P.L.C.................................. 538,940 775,764
Datalex P.L.C...................................... 107,125 110,168
FBD Holdings P.L.C................................. 125,459 1,249,971
FBD Holdings P.L.C................................. 2,063 20,902
Glanbia P.L.C...................................... 181,510 3,338,243
Glanbia P.L.C...................................... 700,613 12,930,874
* IFG Group P.L.C.................................... 313,153 760,286
* Independent News & Media P.L.C..................... 1,939,277 224,215
Irish Continental Group P.L.C...................... 494,297 2,790,834
Irish Continental Group P.L.C...................... 234,200 1,320,384
Kingspan Group P.L.C............................... 28,055 1,474,964
* Permanent TSB Group Holdings P.L.C................. 147,302 227,261
Smurfit Kappa Group P.L.C.......................... 2,223 65,188
------------
TOTAL IRELAND........................................... 30,916,472
------------
ISRAEL -- (2.8%)
Adgar Investment and Development, Ltd.............. 6,982 12,657
* ADO Group, Ltd..................................... 98,830 2,072,693
Afcon Holdings, Ltd................................ 1,840 101,427
* Africa Israel Properties, Ltd...................... 98,160 2,668,819
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
ISRAEL -- (Continued)
Africa Israel Residences, Ltd...................... 2,237 $ 43,138
* Airport City, Ltd.................................. 462,195 7,675,252
* Albaad Massuot Yitzhak, Ltd........................ 2,660 21,684
* Allot, Ltd......................................... 186,140 1,396,795
# Alony Hetz Properties & Investments, Ltd........... 589,102 7,179,280
# Alrov Properties and Lodgings, Ltd................. 49,177 1,766,428
Amot Investments, Ltd.............................. 698,200 4,116,367
Arad, Ltd.......................................... 15,796 204,782
* Arko Holdings, Ltd................................. 1,440,389 593,238
Ashtrom Group, Ltd................................. 59,873 392,343
Ashtrom Properties, Ltd............................ 193,644 971,928
AudioCodes, Ltd.................................... 178,789 2,585,039
# Avgol Industries 1953, Ltd......................... 468,925 502,513
* Azorim-Investment Development & Construction Co.,
Ltd.............................................. 434,861 519,905
Bayside Land Corp.................................. 6,295 3,088,077
Bet Shemesh Engines Holdings 1997, Ltd............. 15,850 402,252
Bezeq The Israeli Telecommunication Corp., Ltd..... 334,360 228,726
Big Shopping Centers, Ltd.......................... 32,063 2,245,301
# * BioLine RX, Ltd.................................... 96,617 38,963
Blue Square Real Estate, Ltd....................... 35,391 1,401,099
* Bonus Biogroup, Ltd................................ 613,036 85,401
* Brack Capital Properties NV........................ 17,815 1,879,648
# Brainsway, Ltd..................................... 46,759 257,044
Camtek, Ltd........................................ 106,833 1,110,923
# Carasso Motors, Ltd................................ 94,524 455,470
Castro Model, Ltd.................................. 145 2,780
* Cellcom Israel, Ltd................................ 379,471 1,588,957
* Ceragon Networks, Ltd.............................. 266,244 1,019,715
* Clal Biotechnology Industries, Ltd................. 182,384 148,619
* Clal Insurance Enterprises Holdings, Ltd........... 173,588 2,409,915
Cohen Development & Industrial Buildings, Ltd...... 3,184 85,911
# * Compugen, Ltd...................................... 192,244 666,577
Danel Adir Yeoshua, Ltd............................ 21,382 1,249,208
Delek Automotive Systems, Ltd...................... 222,032 1,000,125
Delek Group, Ltd................................... 6,139 1,169,095
# Delta-Galil Industries, Ltd........................ 71,758 2,167,639
Dexia Israel Bank, Ltd............................. 1,031 203,553
# Direct Insurance Financial Investments, Ltd........ 111,207 1,251,673
Dor Alon Energy in Israel 1988, Ltd................ 9,069 149,759
# * El Al Israel Airlines.............................. 979,163 246,300
# Electra Consumer Products 1970, Ltd................ 43,078 568,697
Electra, Ltd....................................... 12,443 3,407,946
* Elron Electronic Industries, Ltd................... 92,425 225,776
# * Energix-Renewable Energies, Ltd.................... 757,422 1,338,695
# * Enlight Renewable Energy, Ltd...................... 2,163,770 1,410,765
* Equital, Ltd....................................... 110,847 3,306,168
* Evogene, Ltd....................................... 79,189 162,476
* First International Bank Of Israel, Ltd............ 47,441 1,192,229
FMS Enterprises Migun, Ltd......................... 19,186 529,672
# * Foresight Autonomous Holdings, Ltd................. 172,589 46,266
Formula Systems 1985, Ltd.......................... 62,629 2,991,249
Fox Wizel, Ltd..................................... 57,012 1,607,299
Gilat Satellite Networks, Ltd...................... 225,761 2,015,380
Hadera Paper, Ltd.................................. 24,065 1,723,529
# Hamlet Israel-Canada, Ltd.......................... 32,722 715,369
Harel Insurance Investments & Financial Services,
Ltd.............................................. 796,762 5,972,845
Hilan, Ltd......................................... 95,929 2,647,015
IDI Insurance Co., Ltd............................. 44,710 2,088,923
* Industrial Buildings Corp., Ltd.................... 996,271 1,727,214
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
ISRAEL -- (Continued)
# Inrom Construction Industries, Ltd................. 359,992 $ 1,320,822
Intec Pharma, Ltd.................................. 24,773 151,115
# * Intercure, Ltd..................................... 33,315 94,112
Israel Canada T.R, Ltd............................. 2,330 2,644
Israel Land Development - Urban Renewal, Ltd....... 29,765 275,358
Isras Investment Co., Ltd.......................... 5,066 734,211
Issta Lines, Ltd................................... 11,573 206,919
# * Kamada, Ltd........................................ 204,692 1,195,265
Kenon Holdings, Ltd................................ 101,622 1,994,993
Kerur Holdings, Ltd................................ 30,969 813,642
Klil Industries, Ltd............................... 5,406 444,543
Maabarot Products, Ltd............................. 25,295 285,643
# Magic Software Enterprises, Ltd.................... 127,159 1,237,694
Matrix IT, Ltd..................................... 238,821 3,183,164
# Maytronics, Ltd.................................... 279,074 1,895,377
Mediterranean Towers, Ltd.......................... 291,699 553,914
Mega Or Holdings, Ltd.............................. 77,313 1,014,246
Meitav Dash Investments, Ltd....................... 91,774 288,390
Melisron, Ltd...................................... 79,406 4,012,863
Menora Mivtachim Holdings, Ltd..................... 181,505 2,336,422
Migdal Insurance & Financial Holding, Ltd.......... 2,398,189 2,488,750
Minrav Holdings, Ltd............................... 263 34,350
Mivtach Shamir Holdings, Ltd....................... 23,078 417,677
Naphtha Israel Petroleum Corp., Ltd................ 241,939 1,469,879
# Nawi Brothers, Ltd................................. 98,368 576,409
Neto ME Holdings, Ltd.............................. 8,982 766,688
* Nova Measuring Instruments, Ltd.................... 176,385 4,937,244
NR Spuntech Industries, Ltd........................ 76,176 212,121
* Oil Refineries, Ltd................................ 10,199,710 5,010,534
One Software Technologies, Ltd..................... 552 25,939
OPC Energy, Ltd.................................... 17,219 115,299
* Partner Communications Co., Ltd.................... 816,972 3,693,883
Paz Oil Co., Ltd................................... 56,718 8,268,631
* Perion Network, Ltd................................ 5,485 15,981
Phoenix Holdings, Ltd. (The)....................... 555,047 3,168,522
Plasson Industries, Ltd............................ 20,285 861,377
Rami Levy Chain Stores Hashikma Marketing 2006,
Ltd.............................................. 50,072 2,616,614
# * Redhill Biopharma, Ltd............................. 572,172 450,424
# Scope Metals Group, Ltd............................ 46,613 1,244,621
# Shapir Engineering and Industry, Ltd............... 581,522 2,095,313
# * Shikun & Binui, Ltd................................ 1,298,894 3,360,235
Shufersal, Ltd..................................... 846,453 5,628,709
Summit Real Estate Holdings, Ltd................... 190,940 1,739,436
* Suny Cellular Communication, Ltd................... 473,129 283,775
# Tadiran Holdings, Ltd.............................. 14,981 413,957
* Tower Semiconductor, Ltd........................... 327,213 5,971,700
# * Union Bank of Israel............................... 199,952 966,637
YH Dimri Construction & Development, Ltd........... 1,529 28,362
------------
TOTAL ISRAEL............................................ 169,958,935
------------
ITALY -- (9.6%)
# * A.S. Roma SpA...................................... 856,401 524,737
A2A SpA............................................ 9,147,046 15,308,821
ACEA SpA........................................... 406,026 7,383,756
* Aeffe SpA.......................................... 264,395 875,324
Amplifon SpA....................................... 570,479 10,974,806
Anima Holding SpA.................................. 1,796,542 7,159,961
# Aquafil SpA........................................ 65,942 716,888
* Arnoldo Mondadori Editore SpA...................... 1,200,844 2,300,902
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
ITALY -- (Continued)
Ascopiave SpA...................................... 533,953 $ 2,298,421
# * Astaldi SpA........................................ 116,542 91,144
Autogrill SpA...................................... 958,111 9,310,828
Autostrade Meridionali SpA......................... 3,917 135,073
Avio SpA........................................... 73,979 1,049,759
# Azimut Holding SpA................................. 909,734 18,396,292
# B&C Speakers SpA................................... 18,289 242,917
# * Banca Carige SpA................................... 148,414,098 183,107
Banca Farmafactoring SpA........................... 600,801 3,548,077
Banca Finnat Euramerica SpA........................ 616,149 232,835
Banca Generali SpA................................. 422,144 11,927,642
Banca IFIS SpA..................................... 158,534 2,738,122
Banca Mediolanum SpA............................... 293,114 2,152,849
# * Banca Monte dei Paschi di Siena SpA................ 213,039 323,730
Banca Popolare di Sondrio SCPA..................... 3,145,191 8,562,240
Banca Profilo SpA.................................. 1,814,636 340,723
# Banca Sistema SpA.................................. 331,868 624,874
# * Banco BPM SpA...................................... 12,445,367 29,626,415
# Banco di Desio e della Brianza SpA................. 238,796 545,164
BasicNet SpA....................................... 164,744 1,008,438
BE................................................. 564,587 671,279
Biesse SpA......................................... 88,272 1,967,053
# BPER Banca......................................... 3,576,937 17,197,492
# Brembo SpA......................................... 1,149,779 15,124,401
Brunello Cucinelli SpA............................. 245,252 8,916,347
# Buzzi Unicem SpA................................... 616,834 13,752,703
Cairo Communication SpA............................ 546,490 2,255,733
# Carraro SpA........................................ 162,374 430,607
Cembre SpA......................................... 17,131 442,731
Cementir Holding SpA............................... 357,880 2,598,832
Cerved Group SpA................................... 1,380,566 13,492,487
CIR-Compagnie Industriali Riunite SpA.............. 2,650,178 3,262,774
Credito Emiliano SpA............................... 577,631 3,299,940
* Credito Valtellinese SpA........................... 46,943,662 3,779,995
# * d'Amico International Shipping SA.................. 2,577,810 262,340
Danieli & C Officine Meccaniche SpA................ 91,752 1,869,653
Datalogic SpA...................................... 126,734 3,007,740
De' Longhi SpA..................................... 420,811 10,786,534
DeA Capital SpA.................................... 778,374 1,355,080
DiaSorin SpA....................................... 161,158 15,754,301
doBank SpA......................................... 60,673 856,954
El.En. SpA......................................... 17,150 348,466
# * Elica SpA.......................................... 109,441 286,295
Emak SpA........................................... 388,913 593,498
Enav SpA........................................... 1,325,433 7,238,055
# * ePrice SpA......................................... 99,656 156,195
ERG SpA............................................ 420,457 7,767,205
# Esprinet SpA....................................... 235,490 960,144
# * Eurotech SpA....................................... 276,627 1,181,744
# * Exprivia SpA....................................... 109,673 148,295
Falck Renewables SpA............................... 988,254 3,536,128
* Fiera Milano SpA................................... 171,549 901,129
# Fila SpA........................................... 141,852 2,203,468
* Fincantieri SpA.................................... 3,883,790 4,755,830
FNM SpA............................................ 1,231,913 704,108
# * GEDI Gruppo Editoriale SpA......................... 927,122 358,232
# Gefran SpA......................................... 37,987 327,393
# Geox SpA........................................... 604,392 1,126,497
Gruppo MutuiOnline SpA............................. 166,775 3,226,494
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
ITALY -- (Continued)
* Guala Closures SpA................................. 12,688 $ 94,316
Hera SpA........................................... 6,378,888 22,707,242
# IMA Industria Macchine Automatiche SpA............. 126,854 9,975,273
# * IMMSI SpA.......................................... 1,338,219 794,523
Infrastrutture Wireless Italiane SpA............... 6,937 57,501
* Intek Group SpA.................................... 1,988,417 714,805
Interpump Group SpA................................ 548,784 20,636,609
Iren SpA........................................... 5,007,895 11,712,772
Italgas SpA........................................ 3,818,401 23,851,645
Italmobiliare SpA.................................. 54,033 1,203,038
IVS Group SA....................................... 56,191 677,876
# * Juventus Football Club SpA......................... 3,178,690 4,502,210
La Doria SpA....................................... 80,464 734,068
# Maire Tecnimont SpA................................ 1,175,046 4,204,580
MARR SpA........................................... 233,653 5,675,184
Massimo Zanetti Beverage Group SpA................. 65,668 452,286
# * Mediaset SpA....................................... 3,820,606 12,719,171
# * Openjobmetis SpA agenzia per il lavoro............. 63,025 529,889
# * OVS SpA............................................ 977,759 2,040,330
Piaggio & C SpA.................................... 1,436,521 3,969,166
Prima Industrie SpA................................ 32,468 735,109
Prysmian SpA....................................... 144,791 2,795,694
RAI Way SpA........................................ 537,647 2,829,638
Reno de Medici SpA................................. 1,282,618 1,015,817
Reply SpA.......................................... 147,345 9,604,524
# Retelit SpA........................................ 812,002 1,388,641
# * Rizzoli Corriere Della Sera Mediagroup SpA......... 1,132,439 1,646,544
Sabaf SpA.......................................... 49,948 877,234
SAES Getters SpA................................... 58,626 1,419,588
# * Safilo Group SpA................................... 233,748 247,526
* Saipem SpA......................................... 5,016,428 25,445,731
# Salini Impregilo SpA............................... 1,282,257 2,677,625
Salvatore Ferragamo SpA............................ 377,547 8,565,724
Saras SpA.......................................... 4,486,402 8,015,415
Servizi Italia SpA................................. 62,874 277,687
Sesa SpA........................................... 54,398 1,693,602
Societa Cattolica di Assicurazioni SC.............. 1,205,206 11,228,919
Societa Iniziative Autostradali e Servizi SpA...... 628,235 10,358,615
# * Sogefi SpA......................................... 332,859 528,123
# SOL SpA............................................ 169,975 2,286,271
# Tamburi Investment Partners SpA.................... 802,919 5,723,338
Technogym SpA...................................... 653,410 8,018,112
* Tinexta S.p.A...................................... 119,871 1,526,992
# * Tiscali SpA........................................ 9,160,788 150,237
# Tod's SpA.......................................... 73,658 3,622,398
# * TREVI - Finanziaria Industriale SpA................ 509,518 171,819
# TXT e-solutions SpA................................ 34,904 368,274
Unieuro SpA........................................ 45,290 748,446
# Unione di Banche Italiane SpA...................... 7,724,232 24,114,133
Unipol Gruppo SpA.................................. 3,241,237 16,511,324
# UnipolSai Assicurazioni SpA........................ 348,889 956,028
Zignago Vetro SpA.................................. 198,723 2,535,138
------------
TOTAL ITALY............................................. 580,824,747
------------
NETHERLANDS -- (6.0%)
# Aalberts NV........................................ 686,058 26,992,853
# Accell Group NV.................................... 154,132 4,394,728
* AFC Ajax NV........................................ 13,955 306,328
# * Altice Europe NV................................... 4,683,910 14,864,149
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
NETHERLANDS -- (Continued)
* Altice Europe NV, Class B.......................... 159,363 $ 503,438
# AMG Advanced Metallurgical Group NV................ 184,488 5,608,998
# Amsterdam Commodities NV........................... 117,896 2,687,635
APERAM SA.......................................... 390,560 12,049,096
# Arcadis NV......................................... 500,819 9,463,267
# * Argenx SE.......................................... 2,413 309,073
ASM International NV............................... 328,973 22,429,178
* Basic-Fit NV....................................... 166,836 5,921,962
# BE Semiconductor Industries NV..................... 589,568 16,982,847
# * Beter Bed Holding NV............................... 22,883 112,209
BinckBank NV....................................... 388,322 2,755,569
# Boskalis Westminster............................... 653,419 17,933,132
# Brunel International NV............................ 155,662 2,525,954
# Corbion NV......................................... 400,740 12,819,624
# Flow Traders....................................... 226,049 6,478,071
# ForFarmers NV...................................... 213,722 1,827,368
# * Fugro NV........................................... 597,586 5,446,469
# GrandVision NV..................................... 216,926 4,881,607
* Heijmans NV........................................ 163,686 1,858,487
Hunter Douglas NV.................................. 24,041 1,698,443
IMCD NV............................................ 340,422 27,524,564
# Intertrust NV...................................... 455,266 8,653,925
KAS Bank NV........................................ 99,500 1,391,971
# Kendrion NV........................................ 103,326 2,536,165
Koninklijke BAM Groep NV........................... 1,876,205 9,162,296
Koninklijke Vopak NV............................... 186,634 8,333,775
# * Lucas Bols NV...................................... 20,321 353,737
Nederland Apparatenfabriek......................... 33,193 1,852,312
# * OCI NV............................................. 340,695 9,895,105
# Ordina NV.......................................... 673,792 1,442,586
# PostNL NV.......................................... 3,007,302 7,800,799
SBM Offshore NV.................................... 1,376,758 25,547,688
# SIF Holding NV..................................... 35,317 417,663
Signify NV......................................... 712,323 21,376,410
Sligro Food Group NV............................... 166,919 6,100,342
# * Takeaway.com NV.................................... 233,901 20,160,199
TKH Group NV....................................... 264,245 14,217,173
# * TomTom NV.......................................... 970,108 8,385,554
Van Lanschot Kempen NV............................. 77,449 2,016,761
# Wessanen........................................... 484,021 6,284,000
------------
TOTAL NETHERLANDS....................................... 364,303,510
------------
NORWAY -- (2.5%)
ABG Sundal Collier Holding ASA..................... 2,436,095 1,215,566
AF Gruppen ASA..................................... 65,387 1,164,552
* Akastor ASA........................................ 1,077,318 1,665,865
* Aker Solutions ASA................................. 1,116,886 5,734,076
American Shipping Co. ASA.......................... 195,707 775,041
# * Archer, Ltd........................................ 745,010 480,063
Arendals Fossekompani A.S.......................... 90 30,638
# Atea ASA........................................... 515,668 7,371,604
Austevoll Seafood ASA.............................. 189,139 2,203,444
* Avance Gas Holding, Ltd............................ 403,745 1,151,464
# * Axactor SE......................................... 845,257 2,062,876
# B2Holding ASA...................................... 927,595 1,435,444
Bakkafrost P/F..................................... 1,828 93,892
Bonheur ASA........................................ 140,320 2,252,180
Borregaard ASA..................................... 705,375 7,160,919
# * BW LPG, Ltd........................................ 723,962 3,332,818
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
NORWAY -- (Continued)
* BW Offshore, Ltd................................... 837,993 $ 4,672,168
Data Respons ASA................................... 14,736 52,994
DNO ASA............................................ 3,966,806 9,005,924
# * DOF ASA............................................ 847,189 465,438
Entra ASA.......................................... 43,246 627,696
Europris ASA....................................... 1,190,528 3,720,396
* FLEX LNG, Ltd...................................... 152,258 2,097,167
# * Frontline, Ltd..................................... 567,154 4,710,436
# * Funcom NV.......................................... 448,602 835,315
Grieg Seafood ASA.................................. 372,209 4,300,239
* Hexagon Composites ASA............................. 624,367 2,942,337
Hoegh LNG Holdings, Ltd............................ 261,397 1,189,832
# * IDEX ASA........................................... 506,708 203,550
Itera ASA.......................................... 10,713 10,586
* Kongsberg Automotive ASA........................... 2,171,519 1,994,527
Kongsberg Gruppen ASA.............................. 69,528 1,007,928
Kvaerner ASA....................................... 1,605,790 2,235,351
Magnora ASA........................................ 220,956 205,124
# * NEL ASA............................................ 8,250,620 6,933,326
# * Next Biometrics Group A.S.......................... 13,526 13,148
# * Nordic Nanovector ASA.............................. 328,770 1,755,127
# * Nordic Semiconductor ASA........................... 943,456 4,496,034
# Norway Royal Salmon ASA............................ 92,921 2,009,933
# * Norwegian Air Shuttle ASA.......................... 490,935 2,057,252
* Norwegian Finans Holding ASA....................... 548,148 4,516,630
Norwegian Property ASA............................. 817,711 1,007,334
# Ocean Yield ASA.................................... 347,647 2,642,147
# * Odfjell Drilling, Ltd.............................. 624,875 2,166,852
Odfjell SE, Class A................................ 137,586 450,541
Olav Thon Eiendomsselskap ASA...................... 111,765 2,058,992
* Otello Corp. ASA................................... 367,975 634,702
# * Panoro Energy ASA.................................. 321,667 628,095
* Petroleum Geo-Services ASA......................... 2,204,670 4,893,929
# * PhotoCure ASA...................................... 106,211 607,004
* Prosafe SE......................................... 319,687 602,639
# * Protector Forsikring ASA........................... 428,366 2,908,062
* Q-Free ASA......................................... 179,836 164,596
# * REC Silicon ASA.................................... 15,518,466 1,256,853
Sbanken ASA........................................ 442,522 4,355,677
# Scatec Solar ASA................................... 570,555 5,419,729
Selvaag Bolig ASA.................................. 296,654 1,684,182
Solon Eiendom ASA.................................. 56,855 258,939
# * Solstad Offshore ASA............................... 675,336 106,673
Spectrum ASA....................................... 248,097 1,604,422
Stolt-Nielsen, Ltd................................. 188,039 2,356,844
# * Thin Film Electronics ASA.......................... 2,062,851 56,602
Tomra Systems ASA.................................. 75,820 2,287,380
Treasure ASA....................................... 306,583 507,045
Veidekke ASA....................................... 710,316 7,948,267
# Wallenius Wilhelmsen ASA........................... 105,450 374,471
Wilh Wilhelmsen Holding ASA, Class A............... 68,304 1,234,463
# XXL ASA............................................ 234,858 716,880
------------
TOTAL NORWAY............................................ 149,122,220
------------
PORTUGAL -- (1.2%)
Altri SGPS SA...................................... 569,324 4,463,668
* Banco Comercial Portugues SA, Class R.............. 64,683,272 18,156,134
# CTT-Correios de Portugal SA........................ 1,106,710 3,138,342
Ibersol SGPS SA.................................... 36,721 326,939
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
PORTUGAL -- (Continued)
# * Mota-Engil SGPS SA................................. 760,385 $ 2,027,051
Navigator Co. SA (The)............................. 2,015,028 8,910,020
NOS SGPS SA........................................ 2,046,029 13,751,048
Novabase SGPS SA................................... 72,649 203,979
REN - Redes Energeticas Nacionais SGPS SA.......... 3,152,817 9,024,552
Semapa-Sociedade de Investimento e Gestao.......... 174,523 2,863,479
Sonae Capital SGPS SA.............................. 789,547 808,553
Sonae SGPS SA...................................... 6,828,206 7,618,044
# * Teixeira Duarte SA................................. 797,539 130,289
-----------
TOTAL PORTUGAL.......................................... 71,422,098
-----------
SPAIN -- (5.4%)
Acciona SA......................................... 206,462 23,945,626
Acerinox SA........................................ 1,257,724 13,099,763
# * Adveo Group International SA....................... 84,445 34,457
Alantra Partners SA................................ 58,864 1,022,912
Almirall SA........................................ 472,247 7,620,737
# * Amper SA........................................... 6,171,198 1,848,501
Applus Services SA................................. 915,222 11,501,508
# Atresmedia Corp. de Medios de Comunicacion SA...... 609,294 3,290,995
Azkoyen SA......................................... 67,253 598,483
Bolsas y Mercados Espanoles SHMSF SA............... 501,422 14,242,387
Cellnex Telecom SA................................. 981,389 30,230,783
Cia de Distribucion Integral Logista Holdings SA... 363,381 8,621,181
CIE Automotive SA.................................. 504,560 14,101,111
Construcciones y Auxiliar de Ferrocarriles SA...... 129,944 6,128,396
# * Deoleo SA.......................................... 2,541,069 160,128
# Distribuidora Internacional de Alimentacion SA..... 3,849,981 2,682,347
# * Duro Felguera SA................................... 16,320,605 223,763
# Ebro Foods SA...................................... 533,238 11,255,565
# * eDreams ODIGEO SA.................................. 408,701 1,433,319
Elecnor SA......................................... 200,108 2,653,860
Ence Energia y Celulosa SA......................... 1,139,858 6,141,898
Ercros SA.......................................... 793,840 2,709,674
Euskaltel SA....................................... 530,684 4,986,524
Faes Farma SA...................................... 1,982,309 9,097,838
* Fluidra SA......................................... 357,448 3,910,568
* Fomento de Construcciones y Contratas SA........... 303,000 3,715,367
* Global Dominion Access SA.......................... 710,368 3,798,046
Grupo Catalana Occidente SA........................ 247,676 9,348,105
* Grupo Empresarial San Jose SA...................... 153,495 1,317,879
# * Grupo Ezentis SA................................... 1,683,706 1,009,087
Iberpapel Gestion SA............................... 46,287 1,604,972
* Indra Sistemas SA.................................. 859,495 10,136,579
Laboratorios Farmaceuticos Rovi SA................. 72,405 1,495,837
* Liberbank SA....................................... 13,599,029 6,032,831
* Masmovil Ibercom SA................................ 320,134 7,018,171
# Mediaset Espana Comunicacion SA.................... 1,072,499 8,317,347
Melia Hotels International SA...................... 793,796 7,867,926
Miquel y Costas & Miquel SA........................ 145,855 2,588,109
# * Natra SA........................................... 244,091 245,843
# Obrascon Huarte Lain SA............................ 926,681 1,134,727
Parques Reunidos Servicios Centrales SAU, Class C.. 45,336 705,368
* Pharma Mar SA...................................... 1,334,762 3,161,490
Prim SA............................................ 39,523 498,831
# * Promotora de Informaciones SA, Class A............. 2,378,213 4,342,386
Prosegur Cia de Seguridad SA....................... 1,802,082 9,377,249
* Quabit Inmobiliaria SA............................. 822,731 1,133,626
* Realia Business SA................................. 1,782,137 1,900,179
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SPAIN -- (Continued)
Renta 4 Banco SA................................... 442 $ 3,762
# Sacyr S.A.......................................... 3,110,695 7,637,000
# * Solaria Energia y Medio Ambiente SA................ 395,783 2,311,016
* Talgo SA........................................... 644,045 4,254,412
Tecnicas Reunidas SA............................... 202,691 6,053,277
Telepizza Group SA................................. 141,409 953,438
# Tubacex SA......................................... 799,622 2,485,564
# * Tubos Reunidos SA.................................. 785,848 202,013
Unicaja Banco SA................................... 1,813,219 2,089,437
Vidrala SA......................................... 110,249 10,352,833
Viscofan SA........................................ 281,337 16,925,293
* Vocento SA......................................... 352,577 553,581
Zardoya Otis SA.................................... 1,139,409 9,209,422
------------
TOTAL SPAIN............................................. 331,323,327
------------
SWEDEN -- (7.2%)
* AcadeMedia AB...................................... 300,778 1,711,572
AddLife AB, Class B................................ 106,038 2,844,744
AddNode Group AB................................... 66,817 1,016,912
AddTech AB, Class B................................ 371,039 9,024,731
# AF POYRY AB, Class B............................... 691,852 12,907,225
# Alimak Group AB.................................... 246,227 4,130,060
* Arise AB........................................... 36,861 78,323
Arjo AB, Class B................................... 632,168 2,346,754
Atrium Ljungberg AB, Class B....................... 227,594 3,714,847
# Attendo AB......................................... 668,745 3,643,950
Avanza Bank Holding AB............................. 813,250 6,513,796
BE Group AB........................................ 27,710 123,761
Beijer Alma AB..................................... 282,817 3,976,799
* Beijer Electronics Group AB........................ 91,696 525,728
Beijer Ref AB...................................... 441,215 9,333,355
Bergman & Beving AB................................ 187,937 2,005,763
Besqab AB.......................................... 21,962 204,816
Betsson AB......................................... 985,787 7,482,873
Bilia AB, Class A.................................. 648,517 5,565,535
# BillerudKorsnas AB................................. 268,265 3,646,758
BioGaia AB, Class B................................ 122,115 5,923,870
Biotage AB......................................... 460,673 6,251,585
Bjorn Borg AB...................................... 99,769 297,447
Bonava AB.......................................... 12,198 154,404
# Bonava AB, Class B................................. 443,063 5,642,198
Bravida Holding AB................................. 773,585 6,775,490
Bufab AB........................................... 209,370 2,374,275
# Bulten AB.......................................... 119,933 1,014,125
Bure Equity AB..................................... 451,708 8,397,665
# * Byggmax Group AB................................... 369,474 1,651,113
Catena AB.......................................... 148,096 3,811,662
# * Cavotec SA......................................... 79,682 98,898
# Clas Ohlson AB, Class B............................ 148,783 1,236,032
Cloetta AB, Class B................................ 1,644,759 5,023,545
* CLX Communications AB.............................. 27,728 355,996
* Collector AB....................................... 140,712 785,968
Concentric AB...................................... 370,992 5,948,927
Coor Service Management Holding AB................. 232,307 2,008,198
Corem Property Group AB............................ 163,626 236,822
Dedicare AB, Class B............................... 20,550 105,395
Dios Fastigheter AB................................ 842,290 5,996,190
# Dometic Group AB................................... 801,797 7,325,024
* Doro AB............................................ 155,569 621,647
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SWEDEN -- (Continued)
# Duni AB............................................ 218,979 $ 2,703,498
# Dustin Group AB.................................... 447,207 4,008,369
Eastnine AB........................................ 126,421 1,442,476
Elanders AB, Class B............................... 54,920 517,451
# * Eltel AB........................................... 192,132 383,391
* Enea AB............................................ 83,607 1,348,213
eWork Group AB..................................... 32,666 290,302
# Fagerhult AB....................................... 211,351 1,805,249
# Fenix Outdoor International AG..................... 18,629 1,886,535
# * Fingerprint Cards AB, Class B...................... 634,700 933,423
Granges AB......................................... 548,678 5,957,257
Gunnebo AB......................................... 175,854 465,977
Haldex AB.......................................... 234,732 1,804,813
Heba Fastighets AB, Class B........................ 64,591 1,030,145
* Hembla AB.......................................... 141,182 2,670,186
Hemfosa Fastigheter AB............................. 1,370,174 11,338,714
Hiq International AB............................... 134,926 47,593
HIQ International AB............................... 131,912 741,993
# HMS Networks AB.................................... 122,484 2,230,255
Hoist Finance AB................................... 445,011 2,025,164
Holmen AB, Class B................................. 121,708 2,559,520
Humana AB.......................................... 49,221 311,377
Indutrade AB....................................... 92,355 2,823,728
Inwido AB.......................................... 356,017 2,350,093
# JM AB.............................................. 535,651 10,203,207
KappAhl AB......................................... 488,702 893,897
Kindred Group P.L.C................................ 1,152,560 10,065,005
# Klovern AB, Class B................................ 4,139,138 5,601,926
KNOW IT AB......................................... 201,190 4,740,987
Kungsleden AB...................................... 1,447,681 10,999,677
Lagercrantz Group AB, Class B...................... 464,919 5,663,408
Lindab International AB............................ 605,276 6,827,494
Loomis AB, Class B................................. 400,228 14,807,340
# * Medivir AB, Class B................................ 169,635 314,196
# Mekonomen AB....................................... 282,646 2,065,365
Modern Times Group MTG AB, Class B................. 110,530 1,428,047
Momentum Group AB, Class B......................... 180,501 1,866,312
# * MQ Holding AB...................................... 25,122 11,307
Mycronic AB........................................ 476,989 6,696,710
Nederman Holding AB................................ 29,566 373,593
# * Net Insight AB, Class B............................ 1,129,868 247,586
NetEnt AB.......................................... 1,474,929 4,687,576
New Wave Group AB, Class B......................... 436,499 3,143,500
Nobia AB........................................... 838,070 5,266,385
Nobina AB.......................................... 719,169 4,617,549
Nolato AB, Class B................................. 174,895 8,117,239
Nordic Waterproofing Holding A.S................... 53,122 512,914
NP3 Fastigheter AB................................. 141,534 1,116,762
* Nyfosa AB.......................................... 1,212,212 7,217,382
OEM International AB, Class B...................... 46,319 1,047,472
Opus Group AB...................................... 1,440,504 758,480
Oriflame Holding AG................................ 241,499 4,981,215
Peab AB............................................ 1,265,537 11,575,839
Platzer Fastigheter Holding AB, Class B............ 236,965 1,932,455
# Pricer AB, Class B................................. 884,404 1,144,991
Proact IT Group AB................................. 60,384 1,609,694
* Qliro Group AB..................................... 819,636 1,061,649
Ratos AB, Class B.................................. 1,226,956 2,787,216
# * RaySearch Laboratories AB.......................... 155,570 1,976,957
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SWEDEN -- (Continued)
# * Recipharm AB, Class B.............................. 323,845 $ 4,632,757
Resurs Holding AB.................................. 564,295 3,493,234
Rottneros AB....................................... 704,234 1,070,498
Sagax AB, Class B.................................. 156,242 2,752,903
* SAS AB............................................. 2,103,222 3,835,925
Scandi Standard AB................................. 389,635 2,671,641
Scandic Hotels Group AB............................ 466,040 4,338,421
# Sectra AB, Class B................................. 104,792 3,551,307
Semcon AB.......................................... 115,027 701,448
* Sensys Gatso Group AB.............................. 2,274,070 383,280
SkiStar AB......................................... 330,885 4,001,472
# Sweco AB, Class B.................................. 299,211 7,636,653
Systemair AB....................................... 84,050 1,017,834
Thule Group AB..................................... 742,478 17,296,696
# Troax Group AB..................................... 62,703 2,245,735
VBG Group AB, Class B.............................. 26,108 428,265
Vitrolife AB....................................... 389,509 8,200,189
Wallenstam AB, Class B............................. 615,562 5,923,934
# Wihlborgs Fastigheter AB........................... 1,068,982 14,222,425
------------
TOTAL SWEDEN............................................ 439,276,449
------------
SWITZERLAND -- (10.9%)
Allreal Holding AG................................. 103,332 16,488,981
* Alpiq Holding AG................................... 7,272 504,140
ALSO Holding AG.................................... 41,139 5,162,523
# ams AG............................................. 285,353 12,045,395
APG SGA SA......................................... 8,652 2,476,922
# Arbonia AG......................................... 328,378 3,545,725
* Aryzta AG.......................................... 5,645,125 8,441,100
Ascom Holding AG................................... 232,217 3,168,397
# Autoneum Holding AG................................ 20,419 2,703,434
Bachem Holding AG, Class B......................... 3,538 451,927
# Banque Cantonale de Geneve......................... 9,148 1,805,158
Banque Cantonale du Jura SA........................ 4,071 227,206
Banque Cantonale Vaudoise.......................... 7,626 6,021,290
Belimo Holding AG.................................. 2,959 15,545,362
Bell Food Group AG................................. 12,884 3,710,963
Bellevue Group AG.................................. 55,759 1,101,685
Berner Kantonalbank AG............................. 28,221 6,594,632
# BFW Liegenschaften AG.............................. 2,894 122,994
BKW AG............................................. 143,339 9,138,969
# Bobst Group SA..................................... 60,527 4,344,922
Bossard Holding AG, Class A........................ 42,302 6,897,600
Bucher Industries AG............................... 52,624 17,850,126
Burckhardt Compression Holding AG.................. 11,896 3,590,787
Burkhalter Holding AG.............................. 28,526 2,193,967
Calida Holding AG.................................. 29,555 916,525
Carlo Gavazzi Holding AG........................... 2,376 612,039
Cembra Money Bank AG............................... 208,404 19,354,771
Cham Group AG...................................... 2,461 1,006,660
Cicor Technologies, Ltd............................ 14,473 844,323
Cie Financiere Tradition SA........................ 10,069 1,069,496
Coltene Holding AG................................. 25,919 2,555,154
Conzzeta AG........................................ 9,126 7,869,916
COSMO Pharmaceuticals NV........................... 313 29,527
Daetwyler Holding AG............................... 46,131 7,153,046
DKSH Holding AG.................................... 194,599 11,950,202
dormakaba Holding AG............................... 24,489 18,498,777
* Dottikon Es Holding AG............................. 143 62,302
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SWITZERLAND -- (Continued)
Dufry AG........................................... 76,498 $ 7,486,950
EFG International AG............................... 624,475 4,694,657
Emmi AG............................................ 16,371 14,443,295
Energiedienst Holding AG........................... 76,963 2,318,347
# * Evolva Holding SA.................................. 3,349,123 758,730
# Feintool International Holding AG.................. 14,850 1,072,469
Flughafen Zurich AG................................ 68,686 11,322,781
Forbo Holding AG................................... 8,555 13,744,140
# * GAM Holding AG..................................... 1,257,924 5,217,894
Georg Fischer AG................................... 28,475 27,693,978
Gurit Holding AG................................... 3,022 3,260,479
Helvetia Holding AG................................ 44,844 28,497,194
Hiag Immobilien Holding AG......................... 17,252 2,210,830
# * HOCHDORF Holding AG................................ 7,010 947,812
Huber & Suhner AG.................................. 86,847 6,944,922
Hypothekarbank Lenzburg AG......................... 6 26,618
# Implenia AG........................................ 105,240 3,312,264
# Inficon Holding AG................................. 14,476 8,139,352
Interroll Holding AG............................... 4,807 10,489,872
Intershop Holding AG............................... 9,875 4,839,156
Investis Holding SA................................ 1,343 87,994
Jungfraubahn Holding AG............................ 11,706 1,661,584
Kardex AG.......................................... 47,685 7,411,103
# Komax Holding AG................................... 30,538 7,010,907
# Kudelski SA........................................ 235,411 1,498,362
* Lastminute.com NV.................................. 22,489 467,441
LEM Holding SA..................................... 3,811 5,214,881
Liechtensteinische Landesbank AG................... 59,087 4,030,227
# Luzerner Kantonalbank AG........................... 19,197 8,945,856
# * MCH Group AG....................................... 8,468 146,793
# * Meier Tobler Group AG.............................. 22,913 402,815
Metall Zug AG...................................... 1,019 2,683,167
# * Meyer Burger Technology AG......................... 1,377,244 947,573
Mikron Holding AG.................................. 8,692 67,848
# Mobilezone Holding AG.............................. 256,704 2,340,033
Mobimo Holding AG.................................. 50,411 11,624,256
* Newron Pharmaceuticals SpA......................... 34,584 310,518
OC Oerlikon Corp. AG............................... 1,622,924 21,210,174
* Orascom Development Holding AG..................... 94,819 1,535,543
# Orell Fuessli Holding AG........................... 5,028 478,833
Orior AG........................................... 35,374 2,699,375
Panalpina Welttransport Holding AG................. 72,893 15,626,409
Phoenix Mecano AG.................................. 4,259 1,991,928
Plazza AG, Class A................................. 7,153 1,755,783
PSP Swiss Property AG.............................. 325,433 33,206,495
Rieter Holding AG.................................. 18,515 2,676,205
Romande Energie Holding SA......................... 2,625 3,090,561
# Schaffner Holding AG............................... 3,310 767,837
* Schmolz + Bickenbach AG............................ 3,372,134 1,554,137
Schweiter Technologies AG.......................... 6,432 6,248,577
SFS Group AG....................................... 119,799 11,064,607
Siegfried Holding AG............................... 30,515 11,577,739
St Galler Kantonalbank AG.......................... 15,021 6,799,290
Sulzer AG.......................................... 128,023 13,509,693
Sunrise Communications Group AG.................... 266,460 17,693,503
Swissquote Group Holding SA........................ 68,671 2,689,892
Tamedia AG......................................... 15,821 1,675,756
Tecan Group AG..................................... 1,965 443,601
Thurgauer Kantonalbank............................. 3,152 335,495
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SWITZERLAND -- (Continued)
# Tornos Holding AG.................................. 26,632 $ 209,144
# u-blox Holding AG.................................. 48,136 4,039,991
Valiant Holding AG................................. 106,613 11,955,741
Valora Holding AG.................................. 26,121 6,648,626
VAT Group AG....................................... 198,115 24,623,674
Vaudoise Assurances Holding SA..................... 6,373 3,196,393
Vetropack Holding AG............................... 1,292 2,813,867
* Von Roll Holding AG................................ 339,643 423,961
Vontobel Holding AG................................ 180,762 10,659,512
VP Bank AG......................................... 22,487 3,276,973
VZ Holding AG...................................... 16,741 4,084,321
Walliser Kantonalbank.............................. 18,991 2,198,512
Warteck Invest AG.................................. 2 3,906
# Ypsomed Holding AG................................. 21,974 2,877,980
Zehnder Group AG................................... 73,360 2,525,439
Zug Estates Holding AG, Class B.................... 1,110 1,977,809
Zuger Kantonalbank AG.............................. 688 4,189,929
--------------
TOTAL SWITZERLAND......................................... 662,667,252
--------------
UNITED KINGDOM -- (0.0%)
Rhi Magnesita NV................................... 47,928 2,960,228
--------------
TOTAL COMMON STOCKS....................................... 5,550,462,626
--------------
PREFERRED STOCKS -- (0.5%)
GERMANY -- (0.5%)
Biotest AG......................................... 95,389 2,401,946
Draegerwerk AG & Co. KGaA.......................... 57,452 3,452,108
Fuchs Petrolub SE.................................. 5,953 259,567
Jungheinrich AG.................................... 365,498 12,753,734
Sixt SE............................................ 117,444 9,023,034
STO SE & Co. KGaA.................................. 13,302 1,326,605
Villeroy & Boch AG................................. 50,436 821,069
--------------
TOTAL GERMANY............................................. 30,038,063
--------------
RIGHTS/WARRANTS -- (0.0%)
AUSTRIA -- (0.0%)
* Intercell AG Rights 05/16/13....................... 254,689 0
--------------
SWEDEN -- (0.0%)
# * Anoto Group AB Warrants 04/30/21................... 24,130 0
* MQ Holding AB Rights 05/17/19...................... 50,244 9,338
--------------
TOTAL SWEDEN.............................................. 9,338
--------------
SWITZERLAND -- (0.0%)
* Bachem Holding Ltd Rights 05/06/19................. 3,538 34,722
--------------
TOTAL RIGHTS/WARRANTS..................................... 44,060
--------------
TOTAL INVESTMENT SECURITIES............................... 5,580,544,749
--------------
SECURITIES LENDING COLLATERAL -- (8.2%)
@ (S) The DFA Short Term Investment Fund................. 43,031,340 497,915,630
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,402,747,530)..................................... $6,078,460,379
==============
P.L.C Public Limited Company
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
SA Special Assessment
(double right angle quote) Securities that have generally been fair value
factored. See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
@ Security purchased with cash proceeds from
Securities on Loan.
(S) Affiliated Fund.
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
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.
THE CANADIAN SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (88.2%)
COMMUNICATION SERVICES -- (2.1%)
* Aimia, Inc......................................... 1,049,417 $ 3,282,121
# Cineplex, Inc...................................... 401,438 7,676,974
Cogeco Communications, Inc......................... 95,472 6,340,333
Cogeco, Inc........................................ 37,500 2,303,687
Corus Entertainment, Inc., Class B................. 835,828 4,754,056
# DHX Media, Ltd..................................... 782,135 1,085,893
* Glacier Media, Inc................................. 171,625 83,270
Mediagrif Interactive Technologies, Inc............ 30,070 227,371
* TeraGo, Inc........................................ 2,400 21,408
Torstar Corp., Class B............................. 24,236 12,663
# * Yellow Pages, Ltd.................................. 105,820 549,755
-----------
TOTAL COMMUNICATION SERVICES............................ 26,337,531
-----------
CONSUMER DISCRETIONARY -- (5.5%)
* Aritzia, Inc....................................... 440,653 6,390,899
# AutoCanada, Inc.................................... 178,738 1,583,653
BMTC Group, Inc.................................... 20,581 206,778
BRP, Inc........................................... 14,200 441,359
Dorel Industries, Inc., Class B.................... 212,497 1,870,075
Gamehost, Inc...................................... 72,373 551,022
* Great Canadian Gaming Corp......................... 418,284 16,076,318
# Hudson's Bay Co.................................... 662,726 3,685,384
* Indigo Books & Music, Inc.......................... 12,232 84,639
* Intertain Group, Ltd. (The)........................ 70,628 625,778
Leon's Furniture, Ltd.............................. 161,275 1,747,938
# Linamar Corp....................................... 322,683 12,240,614
Martinrea International, Inc....................... 647,360 6,586,189
MTY Food Group, Inc................................ 121,405 5,015,855
# Park Lawn Corp..................................... 43,100 818,118
Pizza Pizza Royalty Corp........................... 161,012 1,264,347
* Points International, Ltd.......................... 46,559 599,494
Pollard Banknote, Ltd.............................. 25,700 424,912
# * Real Matters, Inc.................................. 56,000 238,262
Recipe Unlimited Corp.............................. 104,877 2,113,667
Reitmans Canada, Ltd., Class A..................... 259,012 645,742
# * Roots Corp......................................... 5,800 18,270
# Sleep Country Canada Holdings, Inc................. 242,248 3,359,683
# Uni-Select, Inc.................................... 305,382 3,259,657
Zenith Capital Corp................................ 111,820 6,761
-----------
TOTAL CONSUMER DISCRETIONARY............................ 69,855,414
-----------
CONSUMER STAPLES -- (4.5%)
# Alcanna, Inc....................................... 215,711 845,326
Andrew Peller, Ltd., Class A....................... 170,200 1,678,243
# Clearwater Seafoods, Inc........................... 104,195 391,208
Corby Spirit and Wine, Ltd......................... 81,567 1,086,180
Cott Corp.......................................... 96,682 1,499,538
Cott Corp.......................................... 909,370 14,091,603
# High Liner Foods, Inc.............................. 120,134 672,542
Jamieson Wellness, Inc............................. 183,395 2,464,067
KP Tissue, Inc..................................... 33,800 207,387
Lassonde Industries, Inc., Class A................. 17,200 2,201,836
Maple Leaf Foods, Inc.............................. 368,672 8,602,438
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
CONSUMER STAPLES -- (Continued)
North West Co., Inc. (The)......................... 349,536 $ 7,383,645
Premium Brands Holdings Corp....................... 182,119 10,947,259
Rogers Sugar, Inc.................................. 669,336 3,072,640
# * SunOpta, Inc....................................... 343,650 1,218,435
-----------
TOTAL CONSUMER STAPLES.................................. 56,362,347
-----------
ENERGY -- (17.1%)
# * Advantage Oil & Gas, Ltd........................... 1,225,742 2,031,162
# * Africa Oil Corp.................................... 1,333,299 1,214,171
# AKITA Drilling, Ltd., Class A...................... 71,362 170,988
# ARC Resources, Ltd................................. 974,501 6,190,189
# * Athabasca Oil Corp................................. 3,069,410 2,291,117
# * Baytex Energy Corp................................. 3,175,275 6,446,777
# * Bellatrix Exploration, Ltd......................... 299,839 58,191
Birchcliff Energy, Ltd............................. 1,785,429 4,664,478
# Bonavista Energy Corp.............................. 1,749,900 1,371,497
# Bonterra Energy Corp............................... 179,118 894,454
# * Calfrac Well Services, Ltd......................... 797,615 1,863,503
* Canacol Energy, Ltd................................ 921,341 2,750,889
# Cardinal Energy, Ltd............................... 763,603 1,778,339
# CES Energy Solutions Corp.......................... 1,549,897 3,019,505
Computer Modelling Group, Ltd...................... 478,283 2,106,344
# Crescent Point Energy Corp......................... 1,568,782 6,042,334
# * Crew Energy, Inc................................... 1,141,376 962,719
# * Delphi Energy Corp................................. 1,106,839 247,855
# * Denison Mines Corp................................. 3,394,735 1,849,785
Enerflex, Ltd...................................... 661,336 9,147,239
# * Energy Fuels, Inc.................................. 347,960 1,041,516
# Enerplus Corp...................................... 1,620,918 14,833,511
# Ensign Energy Services, Inc........................ 976,563 4,103,941
* Epsilon Energy, Ltd................................ 156,036 650,672
# * Essential Energy Services Trust.................... 1,034,741 285,776
# * Fission Uranium Corp............................... 1,962,000 790,834
# Freehold Royalties, Ltd............................ 712,794 4,894,905
# Frontera Energy Corp............................... 198,580 1,768,351
* GASFRAC Energy Services, Inc....................... 91,560 9
* Gear Energy, Ltd................................... 901,000 531,306
Gibson Energy, Inc................................. 851,118 14,033,886
# * Gran Tierra Energy, Inc............................ 2,888,144 6,941,721
# High Arctic Energy Services, Inc................... 132,600 383,042
* International Petroleum Corp....................... 236,516 1,232,278
# * Kelt Exploration, Ltd.............................. 974,740 4,030,798
Kinder Morgan Canada, Ltd.......................... 25,200 281,965
* MEG Energy Corp.................................... 1,549,736 6,894,399
# Mullen Group, Ltd.................................. 745,070 5,572,592
North American Construction Group, Ltd............. 181,334 2,355,163
* NuVista Energy, Ltd................................ 1,091,726 3,552,978
# * Obsidian Energy, Ltd............................... 3,770,541 1,097,642
# * Painted Pony Energy, Ltd........................... 782,649 923,032
# * Paramount Resources, Ltd., Class A................. 409,113 2,723,960
* Parex Resources, Inc............................... 1,044,698 17,795,035
Pason Systems, Inc................................. 481,001 7,162,775
# * Pengrowth Energy Corp.............................. 3,196,369 1,479,248
# Peyto Exploration & Development Corp............... 1,155,732 5,219,212
* PHX Energy Services Corp........................... 285,274 704,827
# * Pine Cliff Energy, Ltd............................. 496,700 87,127
Pinnacle Renewable Energy, Inc..................... 3,900 35,428
# * Precision Drilling Corp............................ 2,116,935 5,198,713
* Pulse Seismic, Inc................................. 308,039 544,937
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
ENERGY -- (Continued)
# * Questerre Energy Corp., Class A.................... 797,460 $ 226,196
# Secure Energy Services, Inc........................ 1,108,215 6,634,235
* Seven Generations Energy, Ltd., Class A............ 248,776 1,949,801
ShawCor, Ltd....................................... 495,943 7,359,369
# * STEP Energy Services, Ltd.......................... 24,196 41,901
* Storm Resources, Ltd............................... 5,600 8,778
* Strad Energy Services, Ltd......................... 17,174 20,639
# Surge Energy, Inc.................................. 2,014,064 2,179,886
* Tamarack Valley Energy, Ltd........................ 1,457,940 2,981,828
* Tervita Corp....................................... 70,398 336,829
# Tidewater Midstream and Infrastructure, Ltd........ 1,159,300 1,332,628
TORC Oil & Gas, Ltd................................ 1,100,490 3,942,937
Total Energy Services, Inc......................... 287,079 2,100,005
TransGlobe Energy Corp............................. 498,445 974,790
# * Trican Well Service, Ltd........................... 1,868,981 1,967,055
* Western Energy Services Corp....................... 7,443 1,931
Whitecap Resources, Inc............................ 2,833,976 11,401,904
* Yangarra Resources, Ltd............................ 479,471 1,109,472
------------
TOTAL ENERGY............................................ 216,823,299
------------
FINANCIALS -- (8.9%)
# AGF Management, Ltd., Class B...................... 496,635 2,053,712
# Alaris Royalty Corp................................ 353,745 4,787,189
Canaccord Genuity Group, Inc....................... 982,516 4,187,629
# Canadian Western Bank.............................. 643,831 14,436,578
# Chesswood Group, Ltd............................... 77,342 593,473
Clairvest Group, Inc............................... 1,900 67,735
* Echelon Financial Holdings, Inc.................... 15,650 164,479
# ECN Capital Corp................................... 2,446,608 7,834,551
E-L Financial Corp., Ltd........................... 6,978 4,192,946
Element Fleet Management Corp...................... 2,883,697 17,887,230
# Equitable Group, Inc............................... 77,602 4,230,256
Fiera Capital Corp................................. 331,137 3,079,769
Firm Capital Mortgage Investment Corp.............. 165,218 1,647,617
# First National Financial Corp...................... 94,437 2,266,996
# Genworth MI Canada, Inc............................ 297,480 9,243,929
# Gluskin Sheff + Associates, Inc.................... 177,796 1,912,399
GMP Capital, Inc................................... 376,387 559,088
# goeasy, Ltd........................................ 62,639 2,272,341
* GoldMoney, Inc..................................... 125,000 232,328
Guardian Capital Group, Ltd., Class A.............. 83,014 1,465,463
# * Home Capital Group, Inc............................ 541,770 7,659,270
Kingsway Financial Services, Inc................... 13,070 29,408
# Laurentian Bank of Canada.......................... 326,390 10,339,622
# Sprott, Inc........................................ 1,412,088 3,162,098
# * Street Capital Group, Inc.......................... 120,227 43,749
# Timbercreek Financial Corp......................... 521,704 3,637,169
TMX Group, Ltd..................................... 55,432 3,536,029
* Trisura Group, Ltd................................. 27,911 593,554
------------
TOTAL FINANCIALS........................................ 112,116,607
------------
HEALTH CARE -- (1.6%)
* Aeterna Zentaris, Inc.............................. 5,100 20,252
* CRH Medical Corp................................... 507,691 1,546,152
# Extendicare, Inc................................... 715,830 4,365,404
* Knight Therapeutics, Inc........................... 906,725 4,940,727
# Medical Facilities Corp............................ 256,216 3,136,480
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
HEALTH CARE -- (Continued)
# Sienna Senior Living, Inc.......................... 462,615 $ 6,381,373
------------
TOTAL HEALTH CARE....................................... 20,390,388
------------
INDUSTRIALS -- (9.8%)
Aecon Group, Inc................................... 501,802 7,172,881
# AG Growth International, Inc....................... 118,358 5,169,162
Algoma Central Corp................................ 43,100 423,697
* ATS Automation Tooling Systems, Inc................ 552,999 8,854,093
# Badger Daylighting, Ltd............................ 195,181 6,583,735
# Bird Construction, Inc............................. 291,744 1,724,724
* Black Diamond Group, Ltd........................... 316,392 623,479
Calian Group, Ltd.................................. 34,555 893,473
# CanWel Building Materials Group, Ltd............... 465,422 1,684,927
Cargojet, Inc...................................... 16,249 952,720
Cervus Equipment Corp.............................. 45,297 448,000
# * DIRTT Environmental Solutions...................... 211,768 1,458,997
# Exchange Income Corp............................... 69,084 1,830,620
# Exco Technologies, Ltd............................. 190,848 1,334,811
* Heroux-Devtek, Inc................................. 223,854 2,539,808
Horizon North Logistics, Inc....................... 1,094,944 1,945,187
* IBI Group, Inc..................................... 102,600 382,156
# K-Bro Linen, Inc................................... 71,253 2,107,753
Magellan Aerospace Corp............................ 109,476 1,532,190
Morneau Shepell, Inc............................... 343,611 7,132,807
# NFI Group, Inc..................................... 330,420 8,356,072
# Richelieu Hardware, Ltd............................ 309,896 4,813,716
Rocky Mountain Dealerships, Inc.................... 120,855 830,839
Russel Metals, Inc................................. 389,996 6,870,124
# Savaria Corp....................................... 143,200 1,378,876
Stantec, Inc....................................... 601,433 15,061,638
# Stuart Olson, Inc.................................. 168,559 583,798
TFI International, Inc............................. 556,989 18,293,286
Transcontinental, Inc., Class A.................... 528,784 6,354,723
Wajax Corp......................................... 153,366 1,819,053
# Westshore Terminals Investment Corp................ 314,049 4,927,454
------------
TOTAL INDUSTRIALS....................................... 124,084,799
------------
INFORMATION TECHNOLOGY -- (3.5%)
# Absolute Software Corp............................. 288,588 1,917,170
* Celestica, Inc..................................... 36,408 259,589
* Celestica, Inc..................................... 789,256 5,626,181
* Descartes Systems Group, Inc. (The)................ 356,870 14,251,359
Enghouse Systems, Ltd.............................. 251,614 6,150,898
Evertz Technologies, Ltd........................... 184,453 2,335,092
# * EXFO, Inc.......................................... 60,487 275,413
* Kinaxis, Inc....................................... 139,674 7,632,704
* Photon Control, Inc................................ 325,194 332,549
Pivot Technology Solutions, Inc.................... 27,500 24,632
# Quarterhill, Inc................................... 951,176 1,057,888
# * Sierra Wireless, Inc............................... 291,224 3,899,797
* Solium Capital, Inc................................ 5,466 78,051
Vecima Networks, Inc............................... 6,059 41,835
------------
TOTAL INFORMATION TECHNOLOGY............................ 43,883,158
------------
MATERIALS -- (24.6%)
* 5N Plus, Inc....................................... 548,929 1,495,552
# Acadian Timber Corp................................ 69,939 871,812
AirBoss of America Corp............................ 98,662 696,680
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
MATERIALS -- (Continued)
* Alacer Gold Corp................................... 2,184,997 $ 5,789,908
Alamos Gold, Inc., Class A......................... 2,957,288 13,730,185
# * Alio Gold, Inc..................................... 204,318 141,835
Altius Minerals Corp............................... 257,186 2,455,332
# * Americas Silver Corp............................... 162,412 292,165
* Amerigo Resources, Ltd............................. 479,200 296,884
* Argonaut Gold, Inc................................. 1,141,697 1,474,312
# * Asanko Gold, Inc................................... 949,993 616,925
* B2Gold Corp........................................ 6,133,819 16,665,747
Caledonia Mining Corp. P.L.C....................... 540 3,023
* Canfor Corp........................................ 344,233 3,599,839
Canfor Pulp Products, Inc.......................... 220,215 2,411,401
# * Capstone Mining Corp............................... 3,001,355 1,478,610
# Cascades, Inc...................................... 563,270 3,376,172
* Centerra Gold, Inc................................. 1,682,253 8,563,833
# * China Gold International Resources Corp., Ltd...... 1,668,100 2,178,977
# * Conifex Timber, Inc................................ 37,840 39,543
# * Continental Gold, Inc.............................. 939,248 1,906,960
# * Copper Mountain Mining Corp........................ 972,155 761,934
* Detour Gold Corp................................... 1,259,316 11,185,982
* Dundee Precious Metals, Inc........................ 1,388,522 4,363,423
# * eCobalt Solutions, Inc............................. 100,900 23,348
* Eldorado Gold Corp................................. 1,158,414 4,824,923
# * Endeavour Mining Corp.............................. 502,056 7,127,788
# * Endeavour Silver Corp.............................. 746,544 1,627,162
* ERO Copper Corp.................................... 31,400 430,558
# * First Majestic Silver Corp......................... 1,147,531 7,049,475
* First Mining Gold Corp............................. 749,400 148,235
* Fortuna Silver Mines, Inc.......................... 1,152,121 3,525,936
* Golden Star Resources, Ltd......................... 463,313 1,902,084
# * Great Panther Mining, Ltd.......................... 719,621 633,838
# * Guyana Goldfields, Inc............................. 979,918 680,245
Hudbay Minerals, Inc............................... 1,922,188 12,798,326
* IAMGOLD Corp....................................... 3,323,246 9,996,776
# * Imperial Metals Corp............................... 346,592 651,946
* Interfor Corp...................................... 483,839 6,031,284
* International Tower Hill Mines, Ltd................ 13,001 6,017
# Intertape Polymer Group, Inc....................... 413,137 5,742,040
* IPL Plastics, Inc.................................. 7,900 57,553
# * Ivanhoe Mines, Ltd., Class A....................... 3,744,528 9,111,862
Labrador Iron Ore Royalty Corp..................... 384,556 8,898,437
# * Largo Resources, Ltd............................... 522,593 659,239
* Leagold Mining Corp................................ 268,242 308,347
# Lucara Diamond Corp................................ 2,171,449 2,706,815
# * Lundin Gold, Inc................................... 151,909 595,299
* Major Drilling Group International, Inc............ 605,112 1,860,910
# * Mandalay Resources Corp............................ 4,635 346
# * Marathon Gold Corp................................. 147,500 89,180
# Mountain Province Diamonds, Inc.................... 102,431 107,041
# * Nemaska Lithium, Inc............................... 275,000 68,765
# * New Gold, Inc...................................... 4,348,961 3,733,153
# Norbord, Inc....................................... 250,961 6,391,574
# * Northern Dynasty Minerals, Ltd..................... 76,877 44,185
# OceanaGold Corp.................................... 4,416,629 12,395,704
* Orbite Technologies, Inc........................... 73,500 7,717
Osisko Gold Royalties, Ltd......................... 956,253 10,806,657
# * Osisko Mining, Inc................................. 486,477 1,009,484
Pan American Silver Corp........................... 1,525,893 19,431,017
# * PolyMet Mining Corp................................ 642,081 349,869
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
MATERIALS -- (Continued)
# * Premier Gold Mines, Ltd............................ 1,039,349 $ 1,303,356
# * Pretium Resources, Inc............................. 293,903 2,236,602
# * Pretium Resources, Inc............................. 794,788 6,033,436
* Roxgold, Inc....................................... 1,208,860 785,033
* Sabina Gold & Silver Corp.......................... 1,690,021 1,324,567
# * Sandstorm Gold, Ltd................................ 1,264,677 6,806,241
# * Seabridge Gold, Inc................................ 68,095 818,340
* SEMAFO, Inc........................................ 2,376,290 6,314,542
* SSR Mining, Inc.................................... 826,105 9,508,501
# Stelco Holdings, Inc............................... 7,500 83,974
# Stella-Jones, Inc.................................. 307,602 10,504,435
# * Stornoway Diamond Corp............................. 1,731,297 87,230
# Supremex, Inc...................................... 91 209
# * Tanzanian Gold Corp................................ 207,891 178,454
* Taseko Mines, Ltd.................................. 1,417,826 994,817
* Teranga Gold Corp.................................. 655,298 1,589,698
# * TMAC Resources, Inc................................ 93,713 271,409
* Torex Gold Resources, Inc.......................... 632,604 6,048,860
# * Trevali Mining Corp................................ 3,825,789 999,497
* Wesdome Gold Mines, Ltd............................ 900,529 2,843,351
# Western Forest Products, Inc....................... 3,049,303 4,279,085
Winpak, Ltd........................................ 205,835 6,781,785
Yamana Gold, Inc................................... 6,834,589 14,998,650
------------
TOTAL MATERIALS......................................... 311,022,241
------------
REAL ESTATE -- (4.1%)
Altus Group, Ltd................................... 259,653 5,244,615
Brookfield Real Estate Services, Inc............... 38,769 498,612
Colliers International Group, Inc.................. 224,919 14,451,763
DREAM Unlimited Corp., Class A..................... 439,785 2,455,469
FirstService Corp.................................. 1,234 107,630
FirstService Corp.................................. 170,482 14,835,255
Genesis Land Development Corp...................... 76,842 140,239
Information Services Corp.......................... 14,174 178,907
Invesque, Inc...................................... 197,966 1,358,047
* Mainstreet Equity Corp............................. 30,149 1,165,160
Melcor Developments, Ltd........................... 54,040 554,236
Morguard Corp...................................... 22,168 3,206,144
# Tricon Capital Group, Inc.......................... 1,029,132 8,181,127
------------
TOTAL REAL ESTATE....................................... 52,377,204
------------
UTILITIES -- (6.5%)
# Boralex, Inc., Class A............................. 485,312 6,625,630
Capital Power Corp................................. 724,420 16,330,137
Innergex Renewable Energy, Inc..................... 740,781 7,829,706
# Just Energy Group, Inc............................. 654,141 2,387,661
* Maxim Power Corp................................... 92,234 136,317
# Northland Power, Inc............................... 513,208 9,124,889
Polaris Infrastructure, Inc........................ 98,922 815,920
Superior Plus Corp................................. 1,170,310 10,203,195
TransAlta Corp..................................... 2,047,057 13,813,089
# TransAlta Renewables, Inc.......................... 906,016 9,380,042
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
UTILITIES -- (Continued)
# Valener, Inc....................................... 289,365 $ 5,652,521
--------------
TOTAL UTILITIES......................................... 82,299,107
--------------
TOTAL COMMON STOCKS..................................... 1,115,552,095
--------------
RIGHTS/WARRANTS -- (0.0%)
ENERGY -- (0.0%)
# * Tervita Corp. Warrants 07/19/20.................... 9,964 632
--------------
MATERIALS -- (0.0%)
* Pan American Silver Corp. Rights 02/22/29.......... 1,876,416 356,270
--------------
TOTAL RIGHTS/WARRANTS................................... 356,902
--------------
TOTAL INVESTMENT SECURITIES............................. 1,115,908,997
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (11.8%)
@ (S) The DFA Short Term Investment Fund................ 12,859,477 148,797,008
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,501,829,776)................................ $1,264,706,005
==============
P.L.C. PublicLimited Company
(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.
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.
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (95.9%)
BRAZIL -- (6.1%)
Ambev SA, ADR...................................... 5,984,451 $28,186,764
Ambev SA........................................... 855,320 4,028,910
Atacadao S.A....................................... 459,081 2,482,089
* B2W Cia Digital.................................... 82,600 805,756
B3 SA - Brasil Bolsa Balcao........................ 1,910,917 16,788,934
Banco Bradesco SA, ADR............................. 1,268,081 11,488,812
Banco Bradesco SA.................................. 1,230,994 9,732,171
Banco BTG Pactual SA............................... 83,656 882,835
Banco do Brasil SA................................. 716,865 9,082,618
Banco Santander Brasil SA.......................... 374,457 4,298,363
BB Seguridade Participacoes SA..................... 636,043 4,584,064
# Braskem SA, Sponsored ADR.......................... 144,940 3,543,783
* BRF SA............................................. 891,940 7,063,002
CCR SA............................................. 2,924,049 8,717,486
Centrais Eletricas Brasileiras SA.................. 270,077 2,252,306
* Centrais Eletricas Brasileiras SA, ADR............. 42,419 375,408
Cia de Saneamento Basico do Estado de Sao Paulo.... 457,600 5,484,991
Cia de Saneamento Basico do Estado de Sao Paulo,
ADR.............................................. 75,638 904,631
Cia Energetica de Minas Gerais..................... 193,500 871,986
* Cia Siderurgica Nacional SA, Sponsored ADR......... 380,551 1,389,011
* Cia Siderurgica Nacional SA........................ 860,290 3,190,078
Cielo SA........................................... 1,808,236 3,541,673
Cosan SA........................................... 324,677 3,880,955
Embraer SA, Sponsored ADR.......................... 329,053 6,584,351
Engie Brasil Energia SA............................ 271,376 3,079,115
Equatorial Energia SA.............................. 333,000 6,972,355
# Gerdau SA, Sponsored ADR........................... 631,681 2,261,418
Gerdau SA.......................................... 176,416 522,801
Hapvida Participacoes e Investimentos S.A.......... 229,609 1,771,944
Hypera SA.......................................... 385,349 2,759,583
IRB Brasil Resseguros S/A.......................... 194,968 4,668,969
Itau Unibanco Holding SA........................... 619,039 4,633,596
JBS SA............................................. 3,172,448 15,995,332
Klabin SA.......................................... 759,700 3,216,194
Kroton Educacional SA.............................. 2,692,854 6,695,908
Localiza Rent a Car SA............................. 970,006 8,955,196
Lojas Americanas SA................................ 166,884 544,775
Lojas Renner SA.................................... 1,274,302 15,235,336
M Dias Branco SA................................... 33,900 359,568
Magazine Luiza SA.................................. 114,700 5,594,737
Natura Cosmeticos SA............................... 339,200 4,519,091
Petrobras Distribuidora S.A........................ 550,056 3,324,661
Petroleo Brasileiro SA, Sponsored ADR.............. 1,299,604 17,934,535
Petroleo Brasileiro SA, Sponsored ADR.............. 556,265 8,471,916
Petroleo Brasileiro SA............................. 2,884,877 22,042,517
Porto Seguro SA.................................... 331,829 4,579,987
Raia Drogasil SA................................... 402,200 7,091,915
* Rumo SA............................................ 1,776,456 8,200,213
* Suzano Papel e Celulose SA, Sponsored ADR.......... 45,406 937,189
Suzano SA.......................................... 725,080 7,531,690
Telefonica Brasil SA, ADR.......................... 66,193 787,697
TIM Participacoes SA............................... 1,073,613 3,200,769
Ultrapar Participacoes SA.......................... 622,968 3,336,392
# Ultrapar Participacoes SA, Sponsored ADR........... 519,216 2,782,998
Vale SA, Sponsored ADR............................. 1,665,739 21,288,138
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
BRAZIL -- (Continued)
Vale SA................................................... 3,260,013 $ 41,653,268
WEG SA.................................................... 363,333 1,721,641
------------
TOTAL BRAZIL.................................................. 382,832,421
------------
CHILE -- (1.2%)
AES Gener SA.............................................. 2,468,815 670,659
Aguas Andinas SA, Class A................................. 4,770,656 2,746,948
# Banco de Chile, ADR....................................... 128,472 3,777,085
Banco de Credito e Inversiones SA......................... 78,219 5,207,964
Banco Santander Chile, ADR................................ 227,071 6,357,988
Cencosud SA............................................... 2,652,360 5,032,161
Cia Cervecerias Unidas SA................................. 109,017 1,506,569
# Cia Cervecerias Unidas SA, Sponsored ADR.................. 122,813 3,382,270
Colbun SA................................................. 11,908,297 2,661,917
Embotelladora Andina SA, ADR, Class B..................... 22,761 482,533
Empresa Nacional de Telecomunicaciones SA................. 198,858 2,082,475
Empresas CMPC SA.......................................... 1,691,695 5,694,266
Empresas COPEC SA......................................... 319,791 4,013,323
Enel Americas SA, ADR..................................... 853,477 7,459,390
Enel Chile SA, ADR........................................ 808,893 4,068,732
Itau CorpBanca............................................ 231,853,767 2,071,040
Itau CorpBanca, ADR....................................... 30,902 411,769
# Latam Airlines Group SA, Sponsored ADR.................... 509,653 5,004,792
Latam Airlines Group SA................................... 35,910 356,131
SACI Falabella............................................ 783,273 5,782,204
# Sociedad Quimica y Minera de Chile SA, Sponsored ADR...... 153,936 5,486,279
------------
TOTAL CHILE................................................... 74,256,495
------------
CHINA -- (17.5%)
AAC Technologies Holdings, Inc............................ 922,500 5,992,705
Agile Group Holdings, Ltd................................. 3,456,000 5,221,230
Agricultural Bank of China, Ltd., Class H................. 12,316,000 5,692,280
Air China, Ltd., Class H.................................. 2,406,000 2,869,589
* Alibaba Group Holding, Ltd., Sponsored ADR................ 538,538 99,936,497
Alibaba Health Information Technology, Ltd................ 1,428,000 1,710,407
* Aluminum Corp. of China, Ltd., ADR........................ 90,448 870,110
* Aluminum Corp. of China, Ltd., Class H.................... 3,718,000 1,446,176
Angang Steel Co., Ltd., Class H........................... 2,354,000 1,583,920
# Anhui Conch Cement Co., Ltd., Class H..................... 1,609,000 9,821,038
ANTA Sports Products, Ltd................................. 1,125,000 7,912,275
BAIC Motor Corp., Ltd., Class H........................... 3,597,500 2,525,330
* Baidu, Inc., Sponsored ADR................................ 106,675 17,732,585
Bank of China, Ltd., Class H.............................. 32,226,181 15,388,162
Bank of Communications Co., Ltd., Class H................. 3,273,515 2,760,968
BBMG Corp., Class H....................................... 3,531,500 1,243,878
Beijing Capital International Airport Co., Ltd., Class H.. 1,452,000 1,292,547
Beijing Enterprises Holdings, Ltd......................... 545,472 2,906,449
Beijing Enterprises Water Group, Ltd...................... 5,806,000 3,602,585
Brilliance China Automotive Holdings, Ltd................. 2,582,000 2,844,192
# BYD Co., Ltd., Class H.................................... 662,386 4,519,901
CGN Power Co., Ltd., Class H.............................. 4,916,000 1,297,010
China Cinda Asset Management Co., Ltd., Class H........... 9,500,000 2,533,552
China CITIC Bank Corp., Ltd., Class H..................... 7,325,928 4,700,776
China Coal Energy Co., Ltd., Class H...................... 2,166,777 956,545
China Communications Construction Co., Ltd., Class H...... 4,611,000 4,441,229
China Communications Services Corp., Ltd., Class H........ 2,176,000 1,755,019
China Conch Venture Holdings, Ltd......................... 1,450,500 4,903,043
China Construction Bank Corp., Class H.................... 48,066,590 42,373,835
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
China Eastern Airlines Corp., Ltd., ADR................ 2,200 $ 75,680
China Eastern Airlines Corp., Ltd., Class H............ 2,220,000 1,577,547
China Everbright Bank Co., Ltd., Class H............... 2,002,000 988,826
China Everbright International, Ltd.................... 2,975,703 2,917,799
# China Evergrande Group................................. 3,151,000 10,105,136
China Galaxy Securities Co., Ltd., Class H............. 3,482,000 2,281,563
China Gas Holdings, Ltd................................ 1,752,800 5,654,046
China Hongqiao Group, Ltd.............................. 2,630,000 2,168,040
China Huarong Asset Management Co., Ltd., Class H...... 20,946,000 4,492,045
* China Huishan Dairy Holdings Co., Ltd.................. 2,888,000 115,965
# China International Capital Corp., Ltd., Class H....... 1,015,600 2,184,419
China International Marine Containers Group Co., Ltd.,
Class H.............................................. 346,600 437,162
China Jinmao Holdings Group, Ltd....................... 6,254,000 4,054,911
# China Life Insurance Co., Ltd., ADR.................... 539,265 7,635,992
China Longyuan Power Group Corp., Ltd., Class H........ 2,767,000 1,908,121
China Mengniu Dairy Co., Ltd........................... 1,227,000 4,533,022
China Merchants Bank Co., Ltd., Class H................ 2,139,054 10,586,182
China Merchants Port Holdings Co., Ltd................. 1,470,638 2,974,566
# China Merchants Securities Co., Ltd., Class H.......... 281,400 385,197
China Minsheng Banking Corp., Ltd., Class H............ 5,119,600 3,847,644
China Mobile, Ltd., Sponsored ADR...................... 902,501 43,022,223
China Molybdenum Co., Ltd., Class H.................... 4,872,966 1,838,402
China National Building Material Co., Ltd., Class H.... 7,488,000 6,969,198
China Oilfield Services, Ltd., Class H................. 1,908,000 2,043,313
China Overseas Land & Investment, Ltd.................. 5,578,000 20,898,824
China Pacific Insurance Group Co., Ltd., Class H....... 1,845,000 7,571,672
China Petroleum & Chemical Corp., ADR.................. 123,421 9,471,304
China Petroleum & Chemical Corp., Class H.............. 10,440,800 8,025,935
China Railway Construction Corp., Ltd., Class H........ 2,218,500 2,621,424
China Railway Group, Ltd., Class H..................... 3,567,000 2,813,557
China Railway Signal & Communication Corp., Ltd.,
Class H.............................................. 1,662,000 1,220,425
China Reinsurance Group Corp., Class H................. 5,460,000 1,114,059
China Resources Beer Holdings Co., Ltd................. 849,611 3,887,348
China Resources Cement Holdings, Ltd................... 4,378,000 4,389,641
China Resources Gas Group, Ltd......................... 1,108,000 5,143,005
China Resources Land, Ltd.............................. 3,844,666 16,744,123
China Resources Pharmaceutical Group, Ltd.............. 1,569,000 2,232,713
China Resources Power Holdings Co., Ltd................ 1,790,517 2,505,494
China Shenhua Energy Co., Ltd., Class H................ 2,188,000 4,843,051
China Southern Airlines Co., Ltd., Sponsored ADR....... 12,306 529,158
China Southern Airlines Co., Ltd., Class H............. 3,138,000 2,728,118
China State Construction International Holdings, Ltd... 1,914,250 1,986,716
China Taiping Insurance Holdings Co., Ltd.............. 1,595,306 4,851,517
# China Telecom Corp., Ltd., ADR......................... 55,096 2,856,177
China Telecom Corp., Ltd., Class H..................... 3,440,000 1,782,888
China Unicom Hong Kong, Ltd............................ 4,736,000 5,623,397
China Unicom Hong Kong, Ltd., ADR...................... 508,463 6,035,456
China Vanke Co., Ltd., Class H......................... 1,335,700 5,168,090
Chongqing Rural Commercial Bank Co., Ltd., Class H..... 3,392,000 1,984,204
CIFI Holdings Group Co., Ltd........................... 626,000 415,980
CITIC Securities Co., Ltd., Class H.................... 1,616,000 3,502,729
CITIC, Ltd............................................. 2,553,000 3,717,816
CNOOC, Ltd............................................. 1,832,000 3,327,523
CNOOC, Ltd., Sponsored ADR............................. 104,426 18,972,116
* COSCO SHIPPING Development Co., Ltd., Class H.......... 1,035,000 139,950
* COSCO SHIPPING Holdings Co., Ltd., Class H............. 3,060,000 1,423,472
Country Garden Holdings Co., Ltd....................... 7,976,686 12,854,082
* Country Garden Services Holdings Co., Ltd.............. 542,492 1,002,002
CRRC Corp., Ltd., Class H.............................. 2,686,000 2,346,399
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
CSC Financial Co., Ltd., Class H....................... 542,500 $ 463,151
CSPC Pharmaceutical Group, Ltd......................... 5,148,000 9,936,826
* Ctrip.com International, Ltd., ADR..................... 60,207 2,652,118
Dali Foods Group Co., Ltd.............................. 1,145,500 813,551
Dalian Port PDA Co., Ltd., Class H..................... 155,000 19,975
Datang International Power Generation Co., Ltd.,
Class H.............................................. 2,836,000 734,229
Dongfeng Motor Group Co., Ltd., Class H................ 3,018,000 2,932,040
ENN Energy Holdings, Ltd............................... 709,600 6,706,416
# Everbright Securities Co., Ltd., Class H............... 129,400 124,312
Fosun International, Ltd............................... 1,692,222 2,628,702
Fullshare Holdings, Ltd................................ 4,520,000 507,106
Fuyao Glass Industry Group Co., Ltd., Class H.......... 716,400 2,519,808
Geely Automobile Holdings, Ltd......................... 5,029,000 10,130,327
GF Securities Co., Ltd., Class H....................... 1,142,800 1,547,118
# Great Wall Motor Co., Ltd., Class H.................... 5,681,500 4,626,450
Guangdong Investment, Ltd.............................. 1,340,000 2,506,694
Guangshen Railway Co., Ltd., Sponsored ADR............. 27,353 501,927
Guangzhou Automobile Group Co., Ltd., Class H.......... 2,175,162 2,342,708
Guangzhou Baiyunshan Pharmaceutical Holdings Co.,
Ltd., Class H........................................ 168,000 871,917
# Guangzhou R&F Properties Co., Ltd., Class H............ 2,051,600 4,081,427
Guotai Junan Securities Co., Ltd., Class H............. 302,400 646,040
Haier Electronics Group Co., Ltd....................... 1,372,000 3,922,455
Haitian International Holdings, Ltd.................... 43,000 107,827
Haitong Securities Co., Ltd., Class H.................. 2,657,600 3,427,491
Hanergy Thin Film Power Group, Ltd..................... 5,416,000 2,588,976
Hengan International Group Co., Ltd.................... 853,000 7,499,596
Huadian Power International Corp., Ltd., Class H....... 1,738,000 742,566
Huaneng Power International, Inc., Sponsored ADR....... 33,132 842,547
Huaneng Power International, Inc., Class H............. 1,598,000 1,022,968
Huatai Securities Co., Ltd., Class H................... 1,105,800 2,084,013
Huishang Bank Corp., Ltd., Class H..................... 800,800 342,774
Industrial & Commercial Bank of China, Ltd., Class H... 37,297,185 28,053,442
* JD.com, Inc., ADR...................................... 302,812 9,166,119
Jiangsu Expressway Co., Ltd., Class H.................. 1,192,000 1,697,447
Jiangxi Copper Co., Ltd., Class H...................... 1,322,000 1,753,594
Jiayuan International Group, Ltd....................... 142,000 63,554
Kingboard Holdings, Ltd................................ 336,000 1,095,518
Kunlun Energy Co., Ltd................................. 5,458,000 5,773,244
Lee & Man Paper Manufacturing, Ltd..................... 755,000 612,826
Legend Holdings Corp., Class H......................... 337,700 921,130
Lenovo Group, Ltd...................................... 10,679,278 9,896,187
Logan Property Holdings Co., Ltd....................... 2,282,000 3,631,505
Longfor Group Holdings, Ltd............................ 1,986,000 7,343,279
Maanshan Iron & Steel Co., Ltd., Class H............... 1,996,000 920,072
Metallurgical Corp. of China, Ltd., Class H............ 2,643,000 731,580
Minth Group, Ltd....................................... 76,000 240,272
Momo, Inc., Sponsored ADR.............................. 142,815 5,008,522
NetEase, Inc., ADR..................................... 51,056 14,526,964
New China Life Insurance Co., Ltd., Class H............ 465,300 2,580,554
* New Oriental Education & Technology Group, Inc.,
Sponsored ADR........................................ 25,455 2,429,934
Nexteer Automotive Group, Ltd.......................... 331,000 519,023
Nine Dragons Paper Holdings, Ltd....................... 3,616,000 3,346,747
Orient Securities Co., Ltd., Class H................... 778,800 563,254
People's Insurance Co. Group of China, Ltd. (The),
Class H.............................................. 5,449,000 2,231,303
PetroChina Co., Ltd., ADR.............................. 118,623 7,507,650
PetroChina Co., Ltd., Class H.......................... 3,056,000 1,937,179
PICC Property & Casualty Co., Ltd., Class H............ 6,075,198 6,825,666
Ping An Insurance Group Co. of China, Ltd., Class H.... 3,690,000 44,666,184
Postal Savings Bank of China Co., Ltd., Class H........ 958,000 582,972
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
CHINA -- (Continued)
Red Star Macalline Group Corp., Ltd., Class H............... 350,809 $ 332,622
# * Semiconductor Manufacturing International Corp.............. 3,574,600 3,827,356
# * Semiconductor Manufacturing International Corp., ADR........ 8,235 43,893
# Shanghai Electric Group Co., Ltd., Class H.................. 2,292,000 894,665
Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H...... 511,500 1,759,344
Shanghai Pharmaceuticals Holding Co., Ltd., Class H......... 723,000 1,514,113
Shenzhen International Holdings, Ltd........................ 270,500 584,715
Shenzhou International Group Holdings, Ltd.................. 574,000 7,715,033
Shimao Property Holdings, Ltd............................... 2,297,871 7,003,916
Sino Biopharmaceutical, Ltd................................. 7,435,000 7,158,320
Sinopec Engineering Group Co., Ltd., Class H................ 762,000 736,874
Sinopec Shanghai Petrochemical Co., Ltd., Sponsored ADR..... 7,417 332,897
Sinopec Shanghai Petrochemical Co., Ltd., Class H........... 5,113,000 2,315,824
Sinopharm Group Co., Ltd., Class H.......................... 1,034,000 4,063,928
# Sinotruk Hong Kong, Ltd..................................... 1,021,000 2,216,427
Sun Art Retail Group, Ltd................................... 2,963,500 2,589,903
Sunac China Holdings, Ltd................................... 2,940,000 15,151,586
Sunny Optical Technology Group Co., Ltd..................... 581,700 7,115,994
Tencent Holdings, Ltd....................................... 3,697,300 182,231,202
Tingyi Cayman Islands Holding Corp.......................... 3,242,000 5,338,693
TravelSky Technology, Ltd., Class H......................... 963,000 2,476,902
Tsingtao Brewery Co., Ltd., Class H......................... 320,000 2,041,293
United Energy Group, Ltd.................................... 3,164,000 593,349
Want Want China Holdings, Ltd............................... 6,644,000 5,274,892
# * Weibo Corp., Sponsored ADR.................................. 7,032 481,692
Weichai Power Co., Ltd., Class H............................ 3,524,800 5,771,283
# Xinjiang Goldwind Science & Technology Co., Ltd., Class H... 788,159 860,814
Yanzhou Coal Mining Co., Ltd., Class H...................... 3,460,000 3,693,950
Yum China Holdings, Inc..................................... 110,332 5,245,183
* YY, Inc., ADR............................................... 16,883 1,428,471
Zhejiang Expressway Co., Ltd., Class H...................... 904,000 969,626
Zhongsheng Group Holdings, Ltd.............................. 1,061,500 2,792,542
Zhuzhou CRRC Times Electric Co., Ltd., Class H.............. 476,700 2,421,723
Zijin Mining Group Co., Ltd., Class H....................... 7,745,000 3,025,524
Zoomlion Heavy Industry Science and Technology Co., Ltd.,
Class H................................................... 724,400 425,192
* ZTE Corp., Class H.......................................... 319,685 1,019,130
--------------
TOTAL CHINA...................................................... 1,094,309,844
--------------
COLOMBIA -- (0.4%)
Banco de Bogota SA.......................................... 51,765 1,102,783
Bancolombia SA, Sponsored ADR............................... 111,500 5,655,280
Bancolombia SA.............................................. 248,044 3,022,635
Cementos Argos SA........................................... 306,742 765,610
Ecopetrol SA, Sponsored ADR................................. 145,775 2,695,380
Ecopetrol SA................................................ 3,327,922 3,072,403
Grupo Argos SA.............................................. 289,800 1,649,214
Grupo Aval Acciones y Valores SA, ADR....................... 81,955 644,166
Grupo de Inversiones Suramericana SA........................ 272,860 3,038,107
* Grupo Energia Bogota SA ESP................................. 936,969 646,236
Grupo Nutresa SA............................................ 171,224 1,419,254
Interconexion Electrica SA ESP.............................. 600,993 2,940,604
--------------
TOTAL COLOMBIA................................................... 26,651,672
--------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S..................................................... 305,092 7,106,399
Komercni banka A.S.......................................... 51,559 1,955,943
Moneta Money Bank A.S....................................... 44,477 142,563
O2 Czech Republic A.S....................................... 70,083 763,211
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
CZECH REPUBLIC -- (Continued)
Philip Morris CR A.S............................... 755 $ 452,873
-----------
TOTAL CZECH REPUBLIC................................... 10,420,989
-----------
EGYPT -- (0.1%)
# Commercial International Bank Egypt S.A.E., GDR.... 1,751,028 7,674,996
Commercial International Bank Egypt S.A.E., GDR.... 110,141 481,867
* Egyptian Financial Group-Hermes Holding Co., GDR... 33,850 60,591
* Egyptian Financial Group-Hermes Holding Co., GDR... 17,482 31,472
-----------
TOTAL EGYPT............................................ 8,248,926
-----------
GREECE -- (0.3%)
Aegean Airlines SA................................. 4,877 46,118
* Alpha Bank AE...................................... 105,217 163,810
* Eurobank Ergasias SA............................... 290,840 243,675
* FF Group........................................... 12,618 28,390
Hellenic Petroleum SA.............................. 109,986 1,020,294
Hellenic Telecommunications Organization SA........ 340,319 4,726,657
JUMBO SA........................................... 168,373 3,072,979
Motor Oil Hellas Corinth Refineries SA............. 96,253 2,454,659
* National Bank of Greece SA......................... 226,062 497,355
OPAP SA............................................ 278,698 3,007,478
* Piraeus Bank SA.................................... 11,341 23,120
Terna Energy SA.................................... 69,082 539,626
Titan Cement Co. SA................................ 61,385 1,330,894
-----------
TOTAL GREECE........................................... 17,155,055
-----------
HUNGARY -- (0.5%)
MOL Hungarian Oil & Gas P.L.C...................... 1,279,647 14,735,985
OTP Bank P.L.C..................................... 262,272 11,663,491
Richter Gedeon Nyrt................................ 151,458 3,005,188
-----------
TOTAL HUNGARY.......................................... 29,404,664
-----------
INDIA -- (13.6%)
* 3M India, Ltd...................................... 1,473 485,528
* 5Paisa Capital, Ltd................................ 4,048 16,744
ABB India, Ltd..................................... 42,536 902,823
ACC, Ltd........................................... 89,253 2,094,474
Adani Enterprises, Ltd............................. 274,364 499,708
* Adani Gas, Ltd..................................... 274,364 520,632
* Adani Green Energy, Ltd............................ 208,791 119,417
Adani Ports & Special Economic Zone, Ltd........... 1,059,392 5,967,607
* Adani Power, Ltd................................... 1,288,677 825,862
* Adani Transmissions, Ltd........................... 323,333 1,013,826
* Aditya Birla Capital, Ltd.......................... 895,470 1,257,513
* Aditya Birla Fashion and Retail, Ltd............... 411,628 1,288,987
AIA Engineering, Ltd............................... 15,720 409,364
Ambuja Cements, Ltd................................ 819,644 2,595,900
Apollo Hospitals Enterprise, Ltd................... 106,015 1,859,108
Apollo Tyres, Ltd.................................. 79,582 235,001
Ashok Leyland, Ltd................................. 3,332,094 4,173,783
Asian Paints, Ltd.................................. 448,324 9,436,610
Astral Polytechnik, Ltd............................ 7,001 124,861
Aurobindo Pharma, Ltd.............................. 652,018 7,658,331
* Avenue Supermarts, Ltd............................. 16,071 298,067
* Axis Bank, Ltd..................................... 1,624,999 17,870,516
Bajaj Auto, Ltd.................................... 152,968 6,574,098
Bajaj Finance, Ltd................................. 249,497 11,123,179
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Bajaj Finserv, Ltd................................. 46,272 $ 5,001,736
Bajaj Holdings & Investment, Ltd................... 65,332 2,902,395
Balkrishna Industries, Ltd......................... 135,519 1,784,735
* Bank of Baroda..................................... 932,221 1,562,632
Bata India, Ltd.................................... 31,465 658,362
Bayer CropScience, Ltd............................. 3,410 205,819
Berger Paints India, Ltd........................... 372,075 1,722,595
Bharat Electronics, Ltd............................ 1,847,465 2,312,101
Bharat Forge, Ltd.................................. 405,941 2,748,665
Bharat Heavy Electricals, Ltd...................... 1,489,333 1,512,988
Bharat Petroleum Corp., Ltd........................ 829,380 4,545,032
Bharti Airtel, Ltd................................. 2,008,582 9,233,966
Bharti Infratel, Ltd............................... 472,935 1,785,677
Biocon, Ltd........................................ 128,660 1,100,374
Bosch, Ltd......................................... 6,941 1,796,509
Britannia Industries, Ltd.......................... 63,182 2,632,730
Cadila Healthcare, Ltd............................. 462,720 2,182,296
* Canara Bank........................................ 283,414 1,058,171
Castrol India, Ltd................................. 499,613 1,100,146
Cholamandalam Investment and Finance Co., Ltd...... 112,767 2,249,995
Cipla, Ltd......................................... 555,658 4,497,535
City Union Bank, Ltd............................... 91,754 269,097
Coal India, Ltd.................................... 745,896 2,708,059
Colgate-Palmolive India, Ltd....................... 115,396 2,007,809
Container Corp. Of India, Ltd...................... 312,698 2,224,579
Coromandel International, Ltd...................... 5,122 31,889
Crompton Greaves Consumer Electricals, Ltd......... 6,221 21,237
Cummins India, Ltd................................. 97,690 1,015,956
Dabur India, Ltd................................... 743,476 4,251,134
Dewan Housing Finance Corp., Ltd................... 360,475 688,628
Divi's Laboratories, Ltd........................... 118,905 2,983,463
DLF, Ltd........................................... 786,711 1,946,839
Dr Reddy's Laboratories, Ltd., ADR................. 148,465 6,219,199
Dr Reddy's Laboratories, Ltd....................... 71,015 2,989,089
Edelweiss Financial Services, Ltd.................. 878,090 1,879,906
Eicher Motors, Ltd................................. 20,610 6,026,820
Emami, Ltd......................................... 180,662 998,927
Endurance Technologies, Ltd........................ 12,854 218,619
Exide Industries, Ltd.............................. 403,542 1,241,573
Federal Bank, Ltd.................................. 2,661,927 3,554,810
* Future Retail, Ltd................................. 173,866 1,041,570
GAIL India, Ltd.................................... 1,127,882 5,760,047
GAIL India, Ltd., GDR.............................. 51,184 1,569,748
General Insurance Corp. of India................... 3,917 13,514
Gillette India, Ltd................................ 1,424 155,797
GlaxoSmithKline Consumer Healthcare, Ltd........... 13,803 1,447,720
GlaxoSmithKline Pharmaceuticals, Ltd............... 27,076 498,781
Glenmark Pharmaceuticals, Ltd...................... 177,039 1,614,589
Godrej Consumer Products, Ltd...................... 506,589 4,752,354
Godrej Industries, Ltd............................. 102,233 758,183
* Godrej Properties, Ltd............................. 20,013 235,633
Graphite India, Ltd................................ 47,786 264,100
Grasim Industries, Ltd............................. 377,779 4,892,885
GRUH Finance, Ltd.................................. 249,522 1,141,227
Havells India, Ltd................................. 234,115 2,605,621
HCL Technologies, Ltd.............................. 862,054 14,630,281
HDFC Bank, Ltd..................................... 1,383,984 46,006,901
HEG, Ltd........................................... 9,287 216,666
Hero MotoCorp, Ltd................................. 85,976 3,097,456
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Hindalco Industries, Ltd........................... 2,322,605 $ 6,870,145
Hindustan Petroleum Corp., Ltd..................... 726,814 3,058,878
Hindustan Unilever, Ltd............................ 992,915 25,013,151
Honeywell Automation India, Ltd.................... 255 88,334
Housing Development Finance Corp., Ltd............. 1,308,824 37,558,103
ICICI Bank, Ltd., Sponsored ADR.................... 1,010,599 11,571,353
ICICI Lombard General Insurance Co., Ltd........... 48,718 761,603
ICICI Prudential Life Insurance Co., Ltd........... 237,801 1,259,237
* IDFC First Bank, Ltd............................... 2,686,862 1,920,355
IIFL Holdings, Ltd................................. 120,008 743,874
Indiabulls Housing Finance, Ltd.................... 888,168 8,828,967
Indiabulls Ventures, Ltd........................... 103,518 439,158
* Indian Bank........................................ 114,252 415,607
Indian Hotels Co., Ltd. (The)...................... 149,470 330,967
Indian Oil Corp., Ltd.............................. 1,482,131 3,384,207
Indraprastha Gas, Ltd.............................. 274,014 1,229,141
IndusInd Bank, Ltd................................. 173,449 3,992,808
Info Edge India, Ltd............................... 29,418 817,717
Infosys, Ltd., Sponsored ADR....................... 1,695,776 18,246,550
Infosys, Ltd....................................... 3,610,458 38,758,739
InterGlobe Aviation, Ltd........................... 133,462 2,907,830
ITC, Ltd........................................... 4,651,620 20,171,803
* Jindal Steel & Power, Ltd.......................... 1,051,483 2,694,349
JSW Steel, Ltd..................................... 2,677,650 11,935,549
Jubilant Foodworks, Ltd............................ 107,404 2,056,247
Kansai Nerolac Paints, Ltd......................... 127,527 806,719
Kotak Mahindra Bank, Ltd........................... 538,866 10,734,568
L&T Finance Holdings, Ltd.......................... 1,403,145 2,640,362
Larsen & Toubro Infotech, Ltd...................... 76,384 1,878,559
Larsen & Toubro, Ltd............................... 562,297 10,896,976
LIC Housing Finance, Ltd........................... 915,481 6,535,507
Lupin, Ltd......................................... 490,576 6,145,278
Mahindra & Mahindra Financial Services, Ltd........ 539,797 3,096,178
Mahindra & Mahindra, Ltd........................... 947,433 8,802,313
Mangalore Refinery & Petrochemicals, Ltd........... 285,511 299,465
Marico, Ltd........................................ 748,884 3,873,842
Maruti Suzuki India, Ltd........................... 138,331 13,199,522
Mindtree, Ltd...................................... 189,573 2,671,744
Motherson Sumi Systems, Ltd........................ 1,437,389 3,031,087
Motilal Oswal Financial Services, Ltd.............. 23,089 235,353
Mphasis, Ltd....................................... 170,865 2,369,580
MRF, Ltd........................................... 2,969 2,268,756
Muthoot Finance, Ltd............................... 360,148 3,092,329
Natco Pharma, Ltd.................................. 5,022 39,004
NBCC India, Ltd.................................... 239,532 199,873
Nestle India, Ltd.................................. 37,106 5,798,744
NHPC, Ltd.......................................... 3,026,547 1,016,385
NTPC, Ltd.......................................... 1,784,906 3,426,496
Oberoi Realty, Ltd................................. 85,041 620,091
Odisha Cement, Ltd................................. 78,770 1,295,973
Oil & Natural Gas Corp., Ltd....................... 974,121 2,371,651
Oil India, Ltd..................................... 345,413 903,844
Oracle Financial Services Software, Ltd............ 36,515 1,848,231
Page Industries, Ltd............................... 6,472 2,158,182
Petronet LNG, Ltd.................................. 1,989,103 6,870,881
Pfizer, Ltd........................................ 2,325 105,374
PI Industries, Ltd................................. 805 12,155
Pidilite Industries, Ltd........................... 195,176 3,457,196
Piramal Enterprises, Ltd........................... 119,497 4,040,528
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
PNB Housing Finance, Ltd........................... 26,993 $ 274,985
Power Finance Corp., Ltd........................... 1,462,437 2,424,201
Power Grid Corp. of India, Ltd..................... 1,910,627 5,125,461
Procter & Gamble Hygiene & Health Care, Ltd........ 10,744 1,578,662
* Punjab National Bank............................... 1,362,458 1,666,122
Rajesh Exports, Ltd................................ 161,667 1,557,373
Ramco Cements, Ltd. (The).......................... 96,533 1,073,614
RBL Bank, Ltd...................................... 362,712 3,525,090
REC, Ltd........................................... 2,124,950 4,502,009
Reliance Industries, Ltd........................... 3,145,620 63,001,853
Reliance Industries, Ltd., GDR..................... 3,374 135,129
Sanofi India, Ltd.................................. 529 42,643
SBI Life Insurance Co., Ltd........................ 26,108 240,407
Shree Cement, Ltd.................................. 10,928 3,107,463
Shriram Transport Finance Co., Ltd................. 342,689 5,469,217
Siemens, Ltd....................................... 82,309 1,387,626
SRF, Ltd........................................... 7,970 293,955
* State Bank of India................................ 1,485,493 6,650,430
* Steel Authority of India, Ltd...................... 899,628 722,064
Sun Pharmaceutical Industries, Ltd................. 747,796 4,901,227
Sun TV Network, Ltd................................ 154,048 1,272,630
Sundaram Finance Holdings, Ltd..................... 27,690 31,872
Sundaram Finance, Ltd.............................. 46,405 962,308
Supreme Industries, Ltd............................ 3,625 59,544
Tata Chemicals, Ltd................................ 100,083 828,501
Tata Communications, Ltd........................... 109,030 887,484
Tata Consultancy Services, Ltd..................... 1,381,009 44,807,519
Tata Global Beverages, Ltd......................... 335,765 1,009,782
# * Tata Motors, Ltd., Sponsored ADR................... 41,094 632,848
* Tata Motors, Ltd................................... 4,224,425 13,042,587
Tata Power Co., Ltd. (The)......................... 1,856,520 1,806,700
Tata Steel, Ltd.................................... 841,300 6,769,412
Tech Mahindra, Ltd................................. 939,022 11,291,990
Titan Co., Ltd..................................... 364,783 6,090,957
Torrent Pharmaceuticals, Ltd....................... 105,606 2,733,726
TVS Motor Co., Ltd................................. 131,305 922,739
UltraTech Cement, Ltd.............................. 79,522 5,279,619
United Breweries, Ltd.............................. 88,189 1,800,058
* United Spirits, Ltd................................ 345,436 2,787,070
UPL, Ltd........................................... 1,089,936 15,182,633
Vadafone Idea, Ltd................................. 12,766,215 2,835,764
Vakrangee, Ltd..................................... 90,055 81,351
Vedanta, Ltd....................................... 4,103,469 9,881,279
Vodafone Idea, Ltd................................. 5,576,048 1,230,508
Voltas, Ltd........................................ 141,440 1,226,774
Whirlpool of India, Ltd............................ 13,680 273,666
Wipro, Ltd......................................... 1,877,725 8,069,303
Yes Bank, Ltd...................................... 3,352,181 8,040,031
Zee Entertainment Enterprises, Ltd................. 890,630 5,566,882
------------
TOTAL INDIA............................................. 846,809,590
------------
INDONESIA -- (2.7%)
Ace Hardware Indonesia Tbk PT...................... 5,621,000 651,242
Adaro Energy Tbk PT................................ 56,601,000 5,192,459
Astra Agro Lestari Tbk PT.......................... 1,255,245 958,170
Astra International Tbk PT......................... 22,239,310 11,905,111
Bank Central Asia Tbk PT........................... 8,457,600 17,084,977
Bank Danamon Indonesia Tbk PT...................... 4,749,479 2,951,145
Bank Mandiri Persero Tbk PT........................ 15,448,034 8,416,149
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDONESIA -- (Continued)
Bank Negara Indonesia Persero Tbk PT............... 13,179,322 $ 8,894,168
* Bank Pan Indonesia Tbk PT.......................... 3,188,400 289,766
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk
PT............................................... 1,514,200 215,925
* Bank Permata Tbk PT................................ 7,825,200 516,546
Bank Rakyat Indonesia Persero Tbk PT............... 63,168,800 19,421,570
Bank Tabungan Negara Persero Tbk PT................ 9,133,700 1,626,453
Barito Pacific Tbk PT.............................. 12,319,700 3,486,401
Bayan Resources Tbk PT............................. 79,500 97,124
Bukit Asam Tbk PT.................................. 8,340,900 2,320,463
* Bumi Serpong Damai Tbk PT.......................... 14,811,100 1,493,010
Charoen Pokphand Indonesia Tbk PT.................. 11,695,400 4,329,116
Gudang Garam Tbk PT................................ 812,100 4,818,841
Indah Kiat Pulp & Paper Corp. Tbk PT............... 4,970,400 2,583,859
Indo Tambangraya Megah Tbk PT...................... 623,300 841,732
Indocement Tunggal Prakarsa Tbk PT................. 1,672,900 2,586,907
Indofood CBP Sukses Makmur Tbk PT.................. 3,456,800 2,361,936
Indofood Sukses Makmur Tbk PT...................... 14,411,400 7,036,555
Indosat Tbk PT..................................... 1,720,800 315,341
Japfa Comfeed Indonesia Tbk PT..................... 1,452,100 159,128
Jasa Marga Persero Tbk PT.......................... 3,871,113 1,658,807
Kalbe Farma Tbk PT................................. 27,775,800 3,013,523
Matahari Department Store Tbk PT................... 3,036,900 869,512
Mayora Indah Tbk PT................................ 18,503,625 3,377,791
Media Nusantara Citra Tbk PT....................... 6,042,300 398,897
* Mitra Keluarga Karyasehat Tbk PT................... 2,587,500 392,068
Pabrik Kertas Tjiwi Kimia Tbk PT................... 493,400 349,216
Pakuwon Jati Tbk PT................................ 46,392,900 2,327,193
Perusahaan Gas Negara Persero Tbk.................. 14,270,600 2,325,935
Sarana Menara Nusantara Tbk PT..................... 15,733,500 856,200
Semen Baturaja Persero Tbk PT...................... 1,298,200 89,312
Semen Indonesia Persero Tbk PT..................... 4,499,500 4,271,320
Sinar Mas Agro Resources & Technology Tbk PT....... 1,035,900 267,804
* Smartfren Telecom Tbk PT........................... 16,517,200 361,791
Surya Citra Media Tbk PT........................... 8,971,800 1,171,353
Telekomunikasi Indonesia Persero Tbk PT............ 37,216,900 9,910,386
Telekomunikasi Indonesia Persero Tbk PT, Sponsored
ADR.............................................. 196,768 5,263,544
* Totalindo Eka Persada Tbk PT....................... 722,000 34,964
Tower Bersama Infrastructure Tbk PT................ 2,333,400 647,549
Unilever Indonesia Tbk PT.......................... 2,015,700 6,437,659
United Tractors Tbk PT............................. 4,272,296 8,158,505
* Vale Indonesia Tbk PT.............................. 4,292,200 920,020
Waskita Karya Persero Tbk PT....................... 15,857,379 2,364,474
* XL Axiata Tbk PT................................... 12,061,400 2,473,106
------------
TOTAL INDONESIA........................................ 168,495,023
------------
MALAYSIA -- (2.9%)
AFFIN Bank Bhd..................................... 538,890 292,104
# AirAsia Group Bhd.................................. 6,063,200 4,005,381
Alliance Bank Malaysia Bhd......................... 1,892,200 1,859,291
AMMB Holdings Bhd.................................. 3,674,859 3,972,870
Astro Malaysia Holdings Bhd........................ 2,812,500 986,909
Axiata Group Bhd................................... 4,573,695 4,394,232
Batu Kawan Bhd..................................... 105,400 428,331
BIMB Holdings Bhd.................................. 1,193,855 1,339,921
Boustead Holdings Bhd.............................. 264,800 81,999
British American Tobacco Malaysia Bhd.............. 247,500 2,088,180
Bursa Malaysia Bhd................................. 406,600 663,834
Carlsberg Brewery Malaysia Bhd, Class B............ 35,900 219,382
CIMB Group Holdings Bhd............................ 4,938,173 6,298,409
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
Dialog Group Bhd................................... 1,487,318 $ 1,157,754
DiGi.Com Bhd....................................... 5,082,520 5,654,688
* FGV Holdings Bhd................................... 3,312,000 999,948
Fraser & Neave Holdings Bhd........................ 118,800 1,003,066
Gamuda Bhd......................................... 2,962,200 2,507,461
Genting Bhd........................................ 5,238,500 8,924,013
Genting Malaysia Bhd............................... 4,360,000 3,355,761
# Genting Plantations Bhd............................ 415,400 1,054,197
HAP Seng Consolidated Bhd.......................... 973,700 2,328,015
# Hartalega Holdings Bhd............................. 2,213,600 2,694,217
Heineken Malaysia Bhd.............................. 44,800 265,549
Hong Leong Bank Bhd................................ 446,566 2,159,771
Hong Leong Financial Group Bhd..................... 667,383 3,102,288
IHH Healthcare Bhd................................. 1,798,500 2,419,161
IJM Corp. Bhd...................................... 5,975,162 3,382,877
Inari Amertron Bhd................................. 3,266,200 1,368,387
IOI Corp. Bhd...................................... 3,070,405 3,346,496
# IOI Properties Group Bhd........................... 2,847,529 943,986
Kuala Lumpur Kepong Bhd............................ 692,500 4,148,332
Lotte Chemical Titan Holding Bhd................... 9,800 8,374
Malayan Banking Bhd................................ 4,762,143 10,655,785
Malaysia Airports Holdings Bhd..................... 2,790,541 5,153,729
Malaysia Building Society Bhd...................... 3,920,810 944,067
Maxis Bhd.......................................... 2,881,400 3,736,348
MISC Bhd........................................... 2,133,598 3,564,433
MMC Corp. Bhd...................................... 1,596,500 405,494
Nestle Malaysia Bhd................................ 44,500 1,571,388
Petronas Chemicals Group Bhd....................... 3,389,400 7,379,073
Petronas Dagangan Bhd.............................. 307,800 1,801,299
Petronas Gas Bhd................................... 890,500 3,810,320
PPB Group Bhd...................................... 947,980 4,292,922
# Press Metal Aluminium Holdings Bhd................. 1,919,800 2,207,505
Public Bank Bhd.................................... 3,656,014 19,903,116
QL Resources Bhd................................... 831,990 1,371,788
RHB Bank Bhd....................................... 1,697,005 2,448,045
* Sapura Energy Bhd.................................. 1,536,800 120,461
Sime Darby Bhd..................................... 4,705,061 2,642,763
Sime Darby Plantation Bhd.......................... 3,100,461 3,864,847
Sime Darby Property Bhd............................ 3,068,061 823,857
SP Setia Bhd Group................................. 1,667,711 915,347
# Sunway Bhd......................................... 3,620,874 1,463,525
# Telekom Malaysia Bhd............................... 1,604,564 1,130,416
Tenaga Nasional Bhd................................ 3,718,850 11,067,788
# Top Glove Corp. Bhd................................ 2,541,300 2,995,041
UMW Holdings Bhd................................... 936,466 1,235,562
United Plantations Bhd............................. 46,700 301,858
Westports Holdings Bhd............................. 1,630,900 1,502,078
YTL Corp. Bhd...................................... 13,545,299 3,696,800
YTL Power International Bhd........................ 2,843,597 611,861
------------
TOTAL MALAYSIA......................................... 179,072,700
------------
MEXICO -- (3.6%)
Alfa S.A.B. de C.V., Class A....................... 11,166,689 11,250,479
America Movil S.A.B. de C.V., Sponsored ADR,
Class L.......................................... 109,448 1,616,547
# America Movil S.A.B. de C.V., Series L............. 48,207,854 35,778,745
Arca Continental S.A.B. de C.V..................... 697,902 3,968,868
Banco Santander Mexico SA Institucion de Banca
Multiple Grupo Financiero Santand, ADR........... 122,692 1,034,294
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MEXICO -- (Continued)
Banco Santander Mexico SA Institucion de Banca Multiple
Grupo Financiero Santand, Class B......................... 2,874,373 $ 4,826,063
# Becle S.A.B. de C.V......................................... 789,596 1,218,688
# * Cemex S.A.B. de C.V......................................... 24,758,419 11,466,494
Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR............... 25,753 1,651,282
Coca-Cola Femsa S.A.B. de C.V............................... 390,519 2,483,880
El Puerto de Liverpool S.A.B. de C.V........................ 293,210 1,896,811
# Fomento Economico Mexicano S.A.B. de C.V.................... 1,232,252 12,043,183
# Gruma S.A.B. de C.V., Class B............................... 573,607 5,733,725
Grupo Aeroportuario del Pacifico S.A.B. de C.V., ADR........ 13,641 1,382,788
# Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B.... 533,221 5,403,160
Grupo Aeroportuario del Sureste S.A.B. de C.V., ADR......... 32,374 5,327,142
# Grupo Bimbo S.A.B. de C.V., Class A......................... 2,617,893 5,813,627
Grupo Carso S.A.B. de C.V., Series A1....................... 793,269 3,079,722
# Grupo Elektra S.A.B. de C.V................................. 95,655 5,096,151
Grupo Financiero Banorte S.A.B. de C.V...................... 2,860,580 18,125,193
Grupo Financiero Inbursa S.A.B. de C.V...................... 3,950,124 6,036,322
Grupo Lala S.A.B. de C.V.................................... 676,654 904,454
# Grupo Mexico S.A.B. de C.V., Series B....................... 6,360,255 18,670,369
Grupo Televisa S.A.B., Sponsored ADR........................ 202,737 2,055,753
# Grupo Televisa S.A.B., Series CPO........................... 3,716,830 7,571,783
# * Impulsora del Desarrollo y el Empleo en America Latina
S.A.B. de C.V............................................. 2,300,948 4,259,565
# Industrias Penoles S.A.B. de C.V............................ 374,851 4,310,507
Infraestructura Energetica Nova S.A.B. de C.V............... 759,365 3,318,611
Kimberly-Clark de Mexico S.A.B. de C.V., Class A............ 2,758,212 4,763,427
Megacable Holdings S.A.B. de C.V............................ 250,780 1,101,923
# Mexichem S.A.B. de C.V...................................... 3,426,482 7,958,117
* Organizacion Soriana S.A.B. de C.V., Class B................ 1,059,965 1,283,739
# Promotora y Operadora de Infraestructura S.A.B. de C.V...... 284,767 2,890,217
Wal-Mart de Mexico S.A.B. de C.V............................ 7,198,435 21,149,811
------------
TOTAL MEXICO..................................................... 225,471,440
------------
PERU -- (0.3%)
Cementos Pacasmayo SAA, ADR................................. 15,158 144,004
Cia de Minas Buenaventura SAA, ADR.......................... 125,122 2,028,228
Credicorp, Ltd.............................................. 70,995 16,818,715
Grana y Montero SAA, Sponsored ADR.......................... 108,988 392,357
------------
TOTAL PERU....................................................... 19,383,304
------------
PHILIPPINES -- (1.4%)
Aboitiz Equity Ventures, Inc................................ 2,290,670 2,445,439
Aboitiz Power Corp.......................................... 1,962,800 1,421,081
Alliance Global Group, Inc.................................. 9,328,900 2,678,501
Ayala Corp.................................................. 321,242 5,572,217
Ayala Land, Inc............................................. 9,812,818 9,232,028
Bank of the Philippine Islands.............................. 1,087,292 1,771,526
BDO Unibank, Inc............................................ 1,553,962 4,000,799
Bloomberry Resorts Corp..................................... 1,369,000 334,829
DMCI Holdings, Inc.......................................... 12,758,800 2,733,118
Emperador, Inc.............................................. 1,850,900 263,980
Globe Telecom, Inc.......................................... 65,910 2,252,786
GT Capital Holdings, Inc.................................... 155,895 2,589,950
International Container Terminal Services, Inc.............. 1,859,110 4,510,271
JG Summit Holdings, Inc..................................... 3,900,510 4,938,843
Jollibee Foods Corp......................................... 639,740 3,739,512
LT Group, Inc............................................... 4,703,300 1,448,179
Manila Electric Co.......................................... 295,630 2,187,156
Megaworld Corp.............................................. 27,678,000 2,975,688
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
PHILIPPINES -- (Continued)
Metro Pacific Investments Corp..................... 20,451,700 $ 1,793,981
Metropolitan Bank & Trust Co....................... 1,471,167 2,097,229
* Philippine National Bank........................... 43,048 43,358
# PLDT, Inc., Sponsored ADR.......................... 121,988 2,885,016
PLDT, Inc.......................................... 117,390 2,769,370
Puregold Price Club, Inc........................... 2,074,700 1,669,979
Robinsons Land Corp................................ 3,184,682 1,496,240
Robinsons Retail Holdings, Inc..................... 541,860 811,009
San Miguel Corp.................................... 1,462,960 5,070,460
Security Bank Corp................................. 429,970 1,485,422
Semirara Mining & Power Corp....................... 1,838,000 841,225
SM Investments Corp................................ 189,763 3,462,042
SM Prime Holdings, Inc............................. 7,730,810 6,153,822
* Top Frontier Investment Holdings, Inc.............. 36,799 189,645
Universal Robina Corp.............................. 1,309,160 3,824,195
-----------
TOTAL PHILIPPINES...................................... 89,688,896
-----------
POLAND -- (1.6%)
* Alior Bank SA...................................... 227,085 3,497,528
AmRest Holdings SE................................. 39,645 428,031
Bank Handlowy w Warszawie SA....................... 53,319 868,024
* Bank Millennium SA................................. 1,435,638 3,627,263
# Bank Pekao SA...................................... 120,869 3,607,462
CCC SA............................................. 41,478 2,255,875
* CD Projekt SA...................................... 82,087 4,619,419
* Cyfrowy Polsat SA.................................. 563,870 3,914,606
* Dino Polska SA..................................... 82,960 2,754,583
Grupa Azoty SA..................................... 80,163 868,528
Grupa Lotos SA..................................... 352,784 7,686,446
# ING Bank Slaski SA................................. 38,424 1,940,144
* Jastrzebska Spolka Weglowa SA...................... 115,275 1,754,893
* KGHM Polska Miedz SA............................... 384,416 10,379,394
LPP SA............................................. 2,207 4,948,548
mBank SA........................................... 30,837 3,577,762
* Orange Polska SA................................... 531,341 687,090
* PGE Polska Grupa Energetyczna SA................... 1,838,184 4,576,222
Polski Koncern Naftowy Orlen S.A................... 565,808 14,526,818
Polskie Gornictwo Naftowe i Gazownictwo SA......... 1,863,953 2,834,458
Powszechna Kasa Oszczednosci Bank Polski SA........ 665,637 6,851,311
Powszechny Zaklad Ubezpieczen SA................... 808,411 8,898,439
Santander Bank Polska SA........................... 33,813 3,516,503
* Tauron Polska Energia SA........................... 463,794 210,358
-----------
TOTAL POLAND........................................... 98,829,705
-----------
RUSSIA -- (1.8%)
Gazprom PJSC, Sponsored ADR........................ 2,221,918 11,108,108
Gazprom PJSC, Sponsored ADR........................ 42,939 215,554
Lukoil PJSC, Sponsored ADR(BYZF386)................ 68,365 5,845,208
Lukoil PJSC, Sponsored ADR(BYZDW2900).............. 171,816 14,588,323
Magnitogorsk Iron & Steel Works PJSC, GDR.......... 199,210 1,774,858
* Mail.Ru Group, Ltd., GDR........................... 52,592 1,214,875
MMC Norilsk Nickel PJSC, ADR....................... 36,191 810,859
MMC Norilsk Nickel PJSC, ADR....................... 406,377 9,035,237
Novatek PJSC, GDR.................................. 41,558 8,017,684
Novolipetsk Steel PJSC, GDR........................ 111,869 2,954,689
PhosAgro PJSC, GDR................................. 83,207 1,050,025
PhosAgro PJSC, GDR................................. 27,937 351,727
Rosneft Oil Co. PJSC, GDR.......................... 71,061 472,698
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
RUSSIA -- (Continued)
Rosneft Oil Co. PJSC, GDR.......................... 700,727 $ 4,669,225
Rostelecom PJSC, Sponsored ADR..................... 20,806 140,753
Rostelecom PJSC, Sponsored ADR..................... 78,867 542,645
RusHydro PJSC, ADR................................. 12,131 9,417
RusHydro PJSC, ADR................................. 1,196,354 941,454
Sberbank of Russia PJSC, Sponsored ADR............. 1,818,206 26,062,001
Severstal PJSC, GDR................................ 191,829 3,108,134
Severstal PJSC, GDR................................ 3,447 55,807
Tatneft PJSC, Sponsored ADR........................ 137,960 9,714,772
Tatneft PJSC, Sponsored ADR........................ 26,646 1,872,548
VEON, Ltd.......................................... 346,509 810,831
VTB Bank PJSC, GDR................................. 1,358,280 1,519,125
VTB Bank PJSC, GDR................................. 1,913,221 2,135,155
X5 Retail Group NV, GDR............................ 104,478 3,170,907
------------
TOTAL RUSSIA............................................ 112,192,619
------------
SOUTH AFRICA -- (7.2%)
Absa Group, Ltd.................................... 2,048,444 23,597,404
Anglo American Platinum, Ltd....................... 87,998 4,451,591
AngloGold Ashanti, Ltd............................. 30,125 358,423
AngloGold Ashanti, Ltd., Sponsored ADR............. 1,637,102 19,317,804
Aspen Pharmacare Holdings, Ltd..................... 574,874 4,142,476
# Assore, Ltd........................................ 37,362 969,716
AVI, Ltd........................................... 384,243 2,469,543
Bid Corp., Ltd..................................... 668,539 14,133,564
Bidvest Group, Ltd. (The).......................... 983,621 14,960,971
Capitec Bank Holdings, Ltd......................... 75,595 7,071,085
Clicks Group, Ltd.................................. 444,655 6,085,608
Discovery, Ltd..................................... 761,043 7,669,145
Distell Group Holdings, Ltd........................ 19,337 185,201
Exxaro Resources, Ltd.............................. 631,839 7,230,263
FirstRand, Ltd..................................... 4,821,116 22,943,864
Foschini Group, Ltd. (The)......................... 501,026 6,491,789
Gold Fields, Ltd................................... 61,553 231,976
Gold Fields, Ltd., Sponsored ADR................... 3,517,277 13,189,789
# * Impala Platinum Holdings, Ltd...................... 1,026,619 4,128,747
Imperial Logistics, Ltd............................ 555,326 2,429,264
Investec, Ltd...................................... 738,692 4,726,844
Kumba Iron Ore, Ltd................................ 164,394 4,943,970
Liberty Holdings, Ltd.............................. 287,868 2,083,985
Life Healthcare Group Holdings, Ltd................ 3,722,374 6,789,538
MMI Holdings, Ltd.................................. 965,496 1,207,272
Mondi, Ltd......................................... 295,967 6,540,104
# Mr. Price Group, Ltd............................... 439,100 6,654,620
# MTN Group, Ltd..................................... 4,040,869 29,276,612
* Multichoice Group, Ltd............................. 269,196 2,417,213
Naspers, Ltd., Class N............................. 269,196 69,250,754
Nedbank Group, Ltd................................. 764,770 14,265,789
NEPI Rockcastle P.L.C.............................. 355,850 2,970,847
Netcare, Ltd....................................... 2,825,287 4,755,674
Oceana Group, Ltd.................................. 114,893 561,326
Old Mutual, Ltd.................................... 77,296 124,330
Pick n Pay Stores, Ltd............................. 261,842 1,271,275
Pioneer Foods Group, Ltd........................... 31,622 190,445
PSG Group, Ltd..................................... 301,924 5,599,522
Sanlam, Ltd........................................ 3,708,837 19,859,275
Sappi, Ltd......................................... 1,893,884 9,043,418
Sasol, Ltd., Sponsored ADR......................... 742,393 24,498,969
Shoprite Holdings, Ltd............................. 724,615 8,746,822
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH AFRICA -- (Continued)
* Sibanye Gold, Ltd.................................. 3,531,257 $ 3,324,602
SPAR Group, Ltd. (The)............................. 287,889 3,908,806
Standard Bank Group, Ltd........................... 2,064,368 28,830,652
# * Steinhoff International Holdings NV................ 3,896,458 560,386
# Telkom SA SOC, Ltd................................. 77,207 459,517
Tiger Brands, Ltd.................................. 444,130 7,725,298
Truworths International, Ltd....................... 821,083 4,353,556
# Vodacom Group, Ltd................................. 888,759 7,172,247
# Woolworths Holdings, Ltd........................... 2,502,184 8,354,182
------------
TOTAL SOUTH AFRICA...................................... 452,526,073
------------
SOUTH KOREA -- (15.5%)
Amorepacific Corp.................................. 27,561 4,907,866
AMOREPACIFIC Group................................. 27,890 1,796,969
BGF Co., Ltd....................................... 212,223 1,497,431
BGF retail Co., Ltd................................ 5,922 1,109,124
BNK Financial Group, Inc........................... 525,177 3,151,615
* Celltrion Pharm, Inc............................... 11,585 590,334
# * Celltrion, Inc..................................... 79,315 14,425,747
Cheil Worldwide, Inc............................... 93,735 2,045,004
CJ CGV Co., Ltd.................................... 4,832 177,905
CJ CheilJedang Corp................................ 19,918 5,373,410
CJ Corp............................................ 44,364 4,537,450
CJ ENM Co., Ltd.................................... 13,021 2,443,372
# * CJ Logistics Corp.................................. 10,274 1,387,268
Com2uSCorp......................................... 11,105 949,501
Cosmax, Inc........................................ 6,422 762,960
Cuckoo Holdings Co., Ltd........................... 768 95,619
Daelim Industrial Co., Ltd......................... 58,487 4,852,942
* Daewoo Engineering & Construction Co., Ltd......... 249,616 1,078,781
* Daewoo Shipbuilding & Marine Engineering Co., Ltd.. 71,856 1,790,947
Daewoong Pharmaceutical Co., Ltd................... 1,896 330,205
DB Insurance Co., Ltd.............................. 171,260 10,033,254
# DGB Financial Group, Inc........................... 320,239 2,308,509
Dongsuh Cos., Inc.................................. 31,182 522,465
Doosan Bobcat, Inc................................. 62,510 1,714,077
# Doosan Corp........................................ 16,851 1,481,489
* Doosan Heavy Industries & Construction Co., Ltd.... 239,641 1,436,252
# * Doosan Infracore Co., Ltd.......................... 492,270 3,067,152
Douzone Bizon Co., Ltd............................. 19,977 978,725
E-MART, Inc........................................ 42,516 6,270,342
Fila Korea, Ltd.................................... 75,486 5,338,489
Grand Korea Leisure Co., Ltd....................... 41,934 835,480
Green Cross Corp................................... 4,294 530,202
Green Cross Holdings Corp.......................... 23,565 491,891
GS Engineering & Construction Corp................. 155,729 5,418,317
GS Holdings Corp................................... 190,987 8,511,302
GS Home Shopping, Inc.............................. 4,597 674,386
GS Retail Co., Ltd................................. 53,143 1,783,382
Hana Financial Group, Inc.......................... 580,821 18,319,521
* Hanall Biopharma Co., Ltd.......................... 12,811 358,886
# Hanjin Kal Corp.................................... 63,239 2,004,661
Hankook Tire Co., Ltd.............................. 148,630 5,057,272
Hanmi Pharm Co., Ltd............................... 6,448 2,402,783
Hanmi Science Co., Ltd............................. 10,613 684,473
Hanon Systems...................................... 266,528 2,865,933
# Hanssem Co., Ltd................................... 16,476 1,454,210
* Hanwha Aerospace Co., Ltd.......................... 61,456 1,626,771
Hanwha Chemical Corp............................... 268,962 4,753,249
THE EMERGING MARKETS SERIES CONTINUED
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Hanwha Corp........................................ 166,569 $ 4,226,231
Hanwha Life Insurance Co., Ltd..................... 1,038,851 3,551,606
HDC Holdings Co., Ltd.............................. 163,056 2,404,418
Hite Jinro Co., Ltd................................ 48,621 845,413
# * HLB, Inc........................................... 28,982 2,084,789
# Hotel Shilla Co., Ltd.............................. 55,107 5,437,084
# * Hugel, Inc......................................... 2,135 758,927
* Hyosung Advanced Materials Corp.................... 7,969 884,456
Hyosung Chemical Corp.............................. 5,674 672,552
Hyosung Corp....................................... 39,608 2,546,914
Hyosung TNC Co., Ltd............................... 7,698 1,095,215
Hyundai Construction Equipment Co., Ltd............ 16,066 674,953
Hyundai Department Store Co., Ltd.................. 28,328 2,463,339
Hyundai Elevator Co., Ltd.......................... 16,325 1,202,185
Hyundai Engineering & Construction Co., Ltd........ 115,296 5,187,551
Hyundai Glovis Co., Ltd............................ 27,895 3,816,016
Hyundai Greenfood Co., Ltd......................... 51,951 620,735
* Hyundai Heavy Industries Co., Ltd.................. 60,096 6,417,032
Hyundai Heavy Industries Holdings Co., Ltd......... 20,482 5,999,524
Hyundai Home Shopping Network Corp................. 5,020 430,046
Hyundai Marine & Fire Insurance Co., Ltd........... 208,568 6,826,452
# * Hyundai Merchant Marine Co., Ltd................... 188,580 649,879
# Hyundai Mipo Dockyard Co., Ltd..................... 40,720 1,964,055
Hyundai Mobis Co., Ltd............................. 59,300 11,828,874
Hyundai Motor Co................................... 128,680 15,274,378
# * Hyundai Rotem Co., Ltd............................. 32,868 609,922
Hyundai Steel Co................................... 191,753 7,615,088
Hyundai Wia Corp................................... 18,822 805,313
# * Iljin Materials Co., Ltd........................... 17,651 566,178
Industrial Bank of Korea........................... 481,487 5,838,586
Innocean Worldwide, Inc............................ 3,114 189,859
Jeil Pharmaceutical Co., Ltd....................... 157 5,736
# Kakao Corp......................................... 28,969 2,982,729
Kangwon Land, Inc.................................. 104,801 3,052,936
KB Financial Group, Inc............................ 413,344 16,321,028
# KB Financial Group, Inc., ADR...................... 63,998 2,529,841
KCC Corp........................................... 11,809 3,588,919
KEPCO Plant Service & Engineering Co., Ltd......... 30,975 972,267
Kia Motors Corp.................................... 410,443 15,910,367
# KIWOOM Securities Co., Ltd......................... 25,281 1,783,452
Koh Young Technology, Inc.......................... 2,393 198,104
Kolon Industries, Inc.............................. 40,014 1,586,499
Korea Aerospace Industries, Ltd.................... 37,044 1,109,710
# * Korea Electric Power Corp., Sponsored ADR.......... 130,759 1,591,337
* Korea Electric Power Corp.......................... 150,306 3,638,688
Korea Gas Corp..................................... 41,078 1,622,268
Korea Investment Holdings Co., Ltd................. 87,714 5,149,288
Korea Kolmar Co., Ltd.............................. 15,861 1,006,965
Korea Petrochemical Ind Co., Ltd................... 3,924 505,153
Korea Zinc Co., Ltd................................ 9,767 3,788,343
Korean Air Lines Co., Ltd.......................... 185,901 5,279,662
Korean Reinsurance Co.............................. 69,779 544,829
KT Corp., Sponsored ADR............................ 82,100 987,663
KT&G Corp.......................................... 98,283 8,597,030
Kumho Petrochemical Co., Ltd....................... 36,680 2,888,079
* Kumho Tire Co., Inc................................ 149,636 579,294
LG Chem, Ltd....................................... 41,518 12,879,028
LG Corp............................................ 147,582 9,228,768
# * LG Display Co., Ltd., ADR.......................... 808,137 6,747,944
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * LG Display Co., Ltd................................ 525,059 $ 8,928,504
LG Electronics, Inc................................ 226,351 14,706,488
LG Household & Health Care, Ltd.................... 13,212 16,099,175
LG Innotek Co., Ltd................................ 40,182 4,214,970
LG Uplus Corp...................................... 427,869 5,241,039
LIG Nex1 Co., Ltd.................................. 2,016 64,611
Lotte Chemical Corp................................ 42,891 9,882,509
Lotte Chilsung Beverage Co., Ltd................... 40 59,273
Lotte Confectionery Co., Ltd....................... 237 37,453
Lotte Corp......................................... 22,342 938,843
LOTTE Fine Chemical Co., Ltd....................... 26,238 1,081,457
LOTTE Himart Co., Ltd.............................. 14,100 573,871
Lotte Shopping Co., Ltd............................ 21,751 3,320,893
LS Corp............................................ 41,095 1,744,850
LS Industrial Systems Co., Ltd..................... 29,426 1,212,956
Macquarie Korea Infrastructure Fund................ 501,890 4,834,378
# Mando Corp......................................... 96,447 2,761,192
Medy-Tox, Inc...................................... 7,354 3,526,769
Meritz Financial Group, Inc........................ 132,014 1,494,368
Meritz Fire & Marine Insurance Co., Ltd............ 174,445 3,552,951
# Meritz Securities Co., Ltd......................... 775,459 3,365,472
# Mirae Asset Daewoo Co., Ltd........................ 800,765 5,359,028
NAVER Corp......................................... 127,452 13,052,674
NCSoft Corp........................................ 16,404 7,387,326
# * Netmarble Corp..................................... 13,796 1,507,686
Nexen Tire Corp.................................... 44,385 382,534
NH Investment & Securities Co., Ltd................ 340,746 4,020,265
* NHN Corp........................................... 18,836 1,355,749
NongShim Co., Ltd.................................. 5,761 1,384,233
OCI Co., Ltd....................................... 46,230 3,688,040
Orange Life Insurance, Ltd......................... 3,478 106,055
Orion Corp......................................... 8,589 712,555
Orion Holdings Corp................................ 67,257 1,100,933
Ottogi Corp........................................ 1,212 753,019
* Pan Ocean Co., Ltd................................. 431,074 1,760,346
Paradise Co., Ltd.................................. 42,701 679,683
# * Pearl Abyss Corp................................... 9,265 1,384,232
POSCO, Sponsored ADR............................... 104,186 5,747,942
POSCO.............................................. 70,065 15,336,072
# POSCO Chemtech Co., Ltd............................ 25,913 1,276,640
Posco International Corp........................... 99,219 1,555,580
S-1 Corp........................................... 25,840 2,168,669
# * Samsung Biologics Co., Ltd......................... 6,740 1,964,398
Samsung C&T Corp................................... 51,407 4,518,538
Samsung Card Co., Ltd.............................. 54,707 1,739,199
# Samsung Electro-Mechanics Co., Ltd................. 47,511 4,428,419
Samsung Electronics Co., Ltd., GDR................. 52,509 51,978,277
Samsung Electronics Co., Ltd....................... 4,912,950 193,163,506
* Samsung Engineering Co., Ltd....................... 229,832 3,357,460
Samsung Fire & Marine Insurance Co., Ltd........... 63,656 16,571,637
* Samsung Heavy Industries Co., Ltd.................. 840,137 5,925,594
Samsung Life Insurance Co., Ltd.................... 111,334 8,098,257
# Samsung SDI Co., Ltd............................... 39,931 8,107,831
Samsung SDS Co., Ltd............................... 29,343 5,456,438
Samsung Securities Co., Ltd........................ 124,839 3,815,095
Seoul Semiconductor Co., Ltd....................... 43,467 714,844
SFA Engineering Corp............................... 28,906 1,039,838
Shinhan Financial Group Co., Ltd................... 305,033 11,528,688
Shinhan Financial Group Co., Ltd., ADR............. 67,490 2,557,871
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SOUTH KOREA -- (Continued)
Shinsegae International, Inc....................... 519 $ 139,860
Shinsegae, Inc..................................... 14,738 4,294,650
SK Discovery Co., Ltd.............................. 40,851 1,063,221
SK Holdings Co., Ltd............................... 38,964 8,568,651
SK Hynix, Inc...................................... 821,484 55,590,456
SK Innovation Co., Ltd............................. 98,190 15,352,873
SK Materials Co., Ltd.............................. 9,016 1,329,480
SK Networks Co., Ltd............................... 327,565 1,643,670
SK Telecom Co., Ltd., Sponsored ADR................ 24,883 587,239
SK Telecom Co., Ltd................................ 18,352 3,892,564
SKC Co., Ltd....................................... 45,410 1,390,413
S-Oil Corp......................................... 39,787 3,137,152
Ssangyong Cement Industrial Co., Ltd............... 246,810 1,219,177
Taekwang Industrial Co., Ltd....................... 497 637,715
Tongyang Life Insurance Co., Ltd................... 44,805 173,954
Woongjin Coway Co., Ltd............................ 80,403 6,041,887
* Woori Financial Group, Inc., Sponsored ADR......... 3,749 134,252
Woori Financial Group, Inc......................... 807,880 9,578,511
Young Poong Corp................................... 516 342,452
Youngone Corp...................................... 47,262 1,495,164
Yuhan Corp......................................... 9,855 2,073,263
* Yungjin Pharmaceutical Co., Ltd.................... 60,994 343,002
------------
TOTAL SOUTH KOREA...................................... 965,148,199
------------
TAIWAN -- (15.0%)
Accton Technology Corp............................. 685,000 2,909,890
# Acer, Inc.......................................... 5,009,811 3,405,415
Advantech Co., Ltd................................. 373,663 3,027,534
Airtac International Group......................... 218,518 2,927,403
ASE Technology Holding Co., Ltd., ADR.............. 133,966 609,546
ASE Technology Holding Co., Ltd.................... 7,079,782 16,445,809
Asia Cement Corp................................... 3,763,758 5,094,305
* Asia Pacific Telecom Co., Ltd...................... 2,696,000 705,814
Asustek Computer, Inc.............................. 1,099,180 8,403,398
# AU Optronics Corp., Sponsored ADR.................. 169,591 591,873
# AU Optronics Corp.................................. 22,720,873 8,125,862
# Brighton-Best International Taiwan, Inc............ 175,000 196,906
Catcher Technology Co., Ltd........................ 1,524,429 12,086,180
Cathay Financial Holding Co., Ltd.................. 6,545,450 9,478,238
Chailease Holding Co., Ltd......................... 2,451,916 10,453,328
Chang Hwa Commercial Bank, Ltd..................... 9,221,974 5,524,308
# Cheng Shin Rubber Industry Co., Ltd................ 3,477,965 4,646,380
Chicony Electronics Co., Ltd....................... 1,172,497 2,890,362
China Airlines, Ltd................................ 9,779,536 3,102,415
China Development Financial Holding Corp........... 22,365,121 7,209,164
China Life Insurance Co., Ltd...................... 4,867,354 4,052,578
China Motor Corp................................... 825,000 740,849
* China Petrochemical Development Corp............... 3,819,000 1,442,481
China Steel Corp................................... 15,533,932 12,551,508
Chipbond Technology Corp........................... 1,246,000 2,827,674
# Chroma ATE, Inc.................................... 730,000 3,497,150
# Chunghwa Telecom Co., Ltd., Sponsored ADR.......... 254,851 9,184,830
Chunghwa Telecom Co., Ltd.......................... 1,536,000 5,533,007
Compal Electronics, Inc............................ 8,616,541 5,569,847
CTBC Financial Holding Co., Ltd.................... 20,702,175 14,182,059
CTCI Corp.......................................... 1,199,000 1,859,153
Delta Electronics, Inc............................. 1,961,486 10,352,883
E Ink Holdings, Inc................................ 1,072,000 1,287,178
E.Sun Financial Holding Co., Ltd................... 15,030,377 12,341,555
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Eclat Textile Co., Ltd............................. 258,402 $ 3,693,995
Eternal Materials Co., Ltd......................... 1,630,591 1,348,929
Eva Airways Corp................................... 8,054,441 3,950,126
Evergreen Marine Corp. Taiwan, Ltd................. 5,141,782 2,257,337
Far Eastern New Century Corp....................... 7,623,085 8,324,372
Far EasTone Telecommunications Co., Ltd............ 2,601,000 6,382,697
Feng Hsin Steel Co., Ltd........................... 7,000 13,775
Feng TAY Enterprise Co., Ltd....................... 500,424 4,057,710
First Financial Holding Co., Ltd................... 15,909,988 11,358,757
Formosa Chemicals & Fibre Corp..................... 2,951,518 10,620,571
# Formosa Petrochemical Corp......................... 1,719,000 6,379,271
Formosa Plastics Corp.............................. 3,312,153 12,020,192
Formosa Sumco Technology Corp...................... 29,000 110,770
Formosa Taffeta Co., Ltd........................... 1,608,000 1,939,396
Foxconn Technology Co., Ltd........................ 1,494,627 3,353,227
Fubon Financial Holding Co., Ltd................... 8,817,233 13,030,011
General Interface Solution Holding, Ltd............ 608,000 2,359,022
Giant Manufacturing Co., Ltd....................... 489,506 3,733,285
# Globalwafers Co., Ltd.............................. 293,000 3,211,784
# Gourmet Master Co., Ltd............................ 133,840 853,838
HannStar Display Corp.............................. 2,123,000 549,762
Highwealth Construction Corp....................... 1,290,190 2,066,602
# Hiwin Technologies Corp............................ 452,627 4,310,551
Hon Hai Precision Industry Co., Ltd................ 9,612,322 27,061,841
Hota Industrial Manufacturing Co., Ltd............. 230,235 838,766
# Hotai Motor Co., Ltd............................... 390,000 5,902,271
# * HTC Corp........................................... 301,235 408,175
Hua Nan Financial Holdings Co., Ltd................ 12,116,935 7,923,944
Innolux Corp....................................... 29,692,241 9,527,732
# International CSRC Investment Holdings Co.......... 1,077,000 1,465,587
Inventec Corp...................................... 5,188,550 4,168,719
Kenda Rubber Industrial Co., Ltd................... 494,377 482,396
King Slide Works Co., Ltd.......................... 57,000 599,378
King's Town Bank Co., Ltd.......................... 1,629,000 1,742,912
# Largan Precision Co., Ltd.......................... 133,860 20,095,388
Lien Hwa Industrial Corp........................... 83,600 91,733
# Lite-On Technology Corp............................ 4,435,410 6,258,175
Long Chen Paper Co., Ltd........................... 231,943 136,025
# Macronix International............................. 5,042,074 3,923,122
Makalot Industrial Co., Ltd........................ 103,000 710,639
MediaTek, Inc...................................... 1,092,995 10,475,837
Mega Financial Holding Co., Ltd.................... 17,948,369 17,231,475
Merida Industry Co., Ltd........................... 164,287 957,353
Micro-Star International Co., Ltd.................. 2,008,000 5,577,570
# Nan Ya Plastics Corp............................... 4,331,599 10,958,515
Nanya Technology Corp.............................. 2,714,010 5,763,852
Nien Made Enterprise Co., Ltd...................... 257,000 2,016,574
Novatek Microelectronics Corp...................... 883,000 5,776,285
Parade Technologies, Ltd........................... 82,000 1,390,205
# Pegatron Corp...................................... 4,155,345 7,855,547
Phison Electronics Corp............................ 295,000 2,778,306
Pou Chen Corp...................................... 5,983,487 7,279,198
Powertech Technology, Inc.......................... 2,453,819 6,126,585
Poya International Co., Ltd........................ 55,275 670,066
President Chain Store Corp......................... 795,831 7,425,232
Qisda Corp......................................... 3,366,000 2,143,857
# Quanta Computer, Inc............................... 3,869,000 7,419,448
Radiant Opto-Electronics Corp...................... 819,000 2,768,006
Realtek Semiconductor Corp......................... 728,950 4,942,516
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Ruentex Development Co., Ltd....................... 1,044,230 $ 1,434,340
Ruentex Industries, Ltd............................ 876,109 2,094,001
Shin Kong Financial Holding Co., Ltd............... 16,193,329 4,588,166
Silergy Corp....................................... 85,000 1,394,155
Simplo Technology Co., Ltd......................... 338,000 2,870,600
Sino-American Silicon Products, Inc................ 1,508,000 3,269,527
SinoPac Financial Holdings Co., Ltd................ 17,621,623 6,792,643
St Shine Optical Co., Ltd.......................... 7,000 130,782
# Standard Foods Corp................................ 624,418 1,104,996
Synnex Technology International Corp............... 2,164,343 2,700,750
# TA Chen Stainless Pipe............................. 1,806,000 2,565,714
Taichung Commercial Bank Co., Ltd.................. 438,442 170,292
# * TaiMed Biologics, Inc.............................. 144,000 732,495
Taishin Financial Holding Co., Ltd................. 16,620,662 7,536,622
Taiwan Business Bank............................... 6,908,631 2,852,583
Taiwan Cement Corp................................. 8,576,292 11,665,018
Taiwan Cooperative Financial Holding Co., Ltd...... 13,888,806 9,218,335
Taiwan FamilyMart Co., Ltd......................... 85,000 608,220
Taiwan Fertilizer Co., Ltd......................... 1,322,000 1,925,095
Taiwan Glass Industry Corp......................... 2,181,374 872,709
Taiwan High Speed Rail Corp........................ 2,031,000 2,473,288
Taiwan Mobile Co., Ltd............................. 2,215,300 8,100,106
Taiwan Secom Co., Ltd.............................. 427,670 1,195,800
Taiwan Semiconductor Manufacturing Co., Ltd.,
Sponsored ADR.................................... 1,789,741 78,426,451
Taiwan Semiconductor Manufacturing Co., Ltd........ 22,792,808 191,369,111
# * Tatung Co., Ltd.................................... 3,114,000 2,403,301
TCI Co., Ltd....................................... 99,000 1,478,013
Teco Electric and Machinery Co., Ltd............... 3,222,000 2,414,433
Tong Yang Industry Co., Ltd........................ 140,000 199,985
Transcend Information, Inc......................... 333,181 754,908
Tripod Technology Corp............................. 893,870 2,870,028
Unimicron Technology Corp.......................... 2,224,000 2,485,745
Uni-President Enterprises Corp..................... 5,022,033 11,935,749
United Microelectronics Corp....................... 33,504,000 14,609,350
Vanguard International Semiconductor Corp.......... 1,133,000 2,517,555
Voltronic Power Technology Corp.................... 75,350 1,488,475
Walsin Lihwa Corp.................................. 6,242,000 3,507,763
# Walsin Technology Corp............................. 706,000 4,365,392
Wan Hai Lines, Ltd................................. 1,467,800 774,546
Win Semiconductors Corp............................ 1,053,034 7,087,422
Winbond Electronics Corp........................... 7,122,407 3,709,449
Wintek Corp........................................ 604,760 6,715
Wistron Corp....................................... 6,755,699 5,608,375
WPG Holdings, Ltd.................................. 2,879,039 3,799,853
# Yageo Corp......................................... 414,682 4,113,565
Yuanta Financial Holding Co., Ltd.................. 16,914,806 9,810,730
Yulon Motor Co., Ltd............................... 826,000 521,657
Zhen Ding Technology Holding, Ltd.................. 1,297,700 4,642,729
------------
TOTAL TAIWAN............................................ 937,273,629
------------
THAILAND -- (3.2%)
Advanced Info Service PCL.......................... 1,483,600 8,829,569
AEON Thana Sinsap Thailand PCL..................... 4,400 25,428
Airports of Thailand PCL........................... 4,615,300 9,902,836
B Grimm Power PCL.................................. 674,700 713,269
Bangchak Corp. PCL................................. 1,453,500 1,479,679
Bangkok Bank PCL................................... 207,800 1,360,382
Bangkok Dusit Medical Services PCL, Class F........ 3,640,100 2,907,519
Bangkok Expressway & Metro PCL..................... 14,823,799 5,061,219
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (Continued)
Bangkok Life Assurance PCL.......................... 845,800 $ 748,437
Banpu PCL........................................... 5,246,650 2,695,225
Banpu Power PCL..................................... 910,600 650,327
Berli Jucker PCL.................................... 1,309,800 2,112,911
BTS Group Holdings PCL.............................. 6,576,800 2,430,892
Bumrungrad Hospital PCL............................. 402,600 2,232,113
Carabao Group PCL, Class F.......................... 298,700 545,005
Central Pattana PCL................................. 1,713,700 4,052,760
Central Plaza Hotel PCL............................. 1,495,000 2,001,919
CH Karnchang PCL.................................... 500,300 419,202
Charoen Pokphand Foods PCL.......................... 7,313,600 6,242,619
CP ALL PCL.......................................... 5,689,600 13,811,872
Electricity Generating PCL.......................... 166,200 1,540,962
Energy Absolute PCL................................. 2,027,900 3,541,282
Esso Thailand PCL................................... 1,635,000 568,473
Global Power Synergy PCL............................ 530,900 1,035,193
Glow Energy PCL..................................... 737,100 2,112,597
Home Product Center PCL............................. 6,546,913 3,219,625
Indorama Ventures PCL............................... 1,976,800 2,832,846
Intouch Holdings PCL................................ 1,037,786 1,934,167
IRPC PCL............................................ 23,713,100 4,196,680
Jasmine International PCL........................... 5,215,000 914,769
Kasikornbank PCL.................................... 990,400 5,925,337
Kasikornbank PCL.................................... 179,400 1,073,309
Kiatnakin Bank PCL.................................. 753,600 1,557,951
Krung Thai Bank PCL................................. 5,671,687 3,357,710
Krungthai Card PCL.................................. 1,904,000 2,415,411
Land & Houses PCL................................... 790,000 277,150
Land & Houses PCL................................... 2,877,040 1,009,330
Minor International PCL............................. 2,330,270 2,737,200
MK Restaurants Group PCL............................ 512,600 1,168,102
Muangthai Capital PCL............................... 1,772,300 2,858,996
Pruksa Holding PCL.................................. 1,867,300 1,099,616
PTT Exploration & Production PCL.................... 1,864,655 7,797,383
PTT Global Chemical PCL............................. 4,344,272 9,355,323
PTT PCL............................................. 16,434,000 25,094,988
Ratch Group PCL..................................... 661,500 1,289,847
Robinson PCL........................................ 646,300 1,179,232
Siam Cement PCL (The)............................... 151,800 2,196,761
Siam Cement PCL (The)............................... 223,000 3,227,126
Siam City Cement PCL................................ 111,567 758,341
Siam Commercial Bank PCL (The)...................... 1,265,966 5,194,723
Siam Global House PCL............................... 2,427,844 1,315,637
Srisawad Corp. PCL.................................. 1,162,611 1,993,828
Star Petroleum Refining PCL......................... 4,448,400 1,476,994
Supalai PCL......................................... 280,100 193,899
Thai Oil PCL........................................ 3,024,200 6,559,933
Thai Union Group PCL, Class F....................... 3,618,740 2,142,339
Thanachart Capital PCL.............................. 1,977,100 3,282,265
Tisco Financial Group PCL........................... 724,600 1,900,869
TMB Bank PCL........................................ 26,863,500 1,699,742
TOA Paint Thailand PCL.............................. 399,000 393,688
Total Access Communication PCL...................... 769,300 1,222,928
Total Access Communication PCL...................... 1,459,300 2,319,796
TPI Polene PCL...................................... 1,123,700 69,692
TPI Polene Power PCL................................ 2,998,600 582,344
True Corp. PCL...................................... 26,292,131 4,241,330
TTW PCL............................................. 914,000 355,007
VGI Global Media PCL................................ 3,447,200 1,041,988
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (Continued)
WHA Corp. PCL...................................... 14,117,300 $ 1,936,845
--------------
TOTAL THAILAND.......................................... 202,422,737
--------------
TURKEY -- (0.8%)
# * Akbank Turk A.S.................................... 4,695,174 4,827,114
# Anadolu Efes Biracilik Ve Malt Sanayii A.S......... 316,851 1,052,829
# * Arcelik A.S........................................ 325,341 1,001,426
# Aselsan Elektronik Sanayi Ve Ticaret A.S........... 141,812 486,626
BIM Birlesik Magazalar A.S......................... 361,723 5,034,216
Coca-Cola Icecek A.S............................... 204,766 1,087,549
# Enka Insaat ve Sanayi A.S.......................... 806,244 725,994
Eregli Demir ve Celik Fabrikalari TAS.............. 2,461,933 3,785,357
Ford Otomotiv Sanayi A.S........................... 126,138 1,114,989
# KOC Holding A.S.................................... 540,881 1,470,501
# * Koza Altin Isletmeleri A.S......................... 67,645 483,024
# Petkim Petrokimya Holding A.S...................... 1,767,718 1,326,129
Soda Sanayii A.S................................... 477,309 621,014
TAV Havalimanlari Holding A.S...................... 540,265 2,293,330
Tekfen Holding A.S................................. 423,774 1,892,816
Tofas Turk Otomobil Fabrikasi A.S.................. 285,875 859,921
Tupras Turkiye Petrol Rafinerileri A.S............. 188,145 3,891,381
# * Turk Hava Yollari AO............................... 1,606,643 3,859,083
* Turk Telekomunikasyon A.S.......................... 802,767 574,122
# Turkcell Iletisim Hizmetleri A.S................... 1,664,980 3,491,937
# Turkcell Iletisim Hizmetleri A.S., ADR............. 73,838 385,434
Turkiye Garanti Bankasi A.S........................ 2,660,861 3,653,356
# Turkiye Halk Bankasi A.S........................... 1,332,954 1,309,972
# * Turkiye Is Bankasi, Class C........................ 2,612,331 2,352,391
# Turkiye Sise ve Cam Fabrikalari A.S................ 1,624,463 1,662,120
Turkiye Vakiflar Bankasi TAO, Class D.............. 1,962,311 1,332,848
* Yapi ve Kredi Bankasi A.S.......................... 2,425,128 843,027
--------------
TOTAL TURKEY............................................ 51,418,506
--------------
TOTAL COMMON STOCKS..................................... 5,992,012,487
--------------
PREFERRED STOCKS -- (1.8%)
BRAZIL -- (1.7%)
Banco Bradesco SA.................................. 2,296,111 20,834,875
Centrais Eletricas Brasileiras SA, Class B......... 208,452 1,842,050
Cia Brasileira de Distribuicao..................... 338,040 8,319,313
Cia Energetica de Minas Gerais..................... 1,249,530 4,697,170
Gerdau SA.......................................... 1,407,421 5,078,934
Itau Unibanco Holding SA........................... 4,269,308 36,834,228
Lojas Americanas SA................................ 681,959 2,734,027
Petroleo Brasileiro SA............................. 2,860,161 19,774,799
Telefonica Brasil SA............................... 314,262 3,732,417
--------------
TOTAL BRAZIL............................................ 103,847,813
--------------
CHILE -- (0.0%)
Embotelladora Andina SA, Class B................... 395,915 1,413,439
--------------
COLOMBIA -- (0.1%)
Banco Davivienda SA................................ 172,705 2,136,612
Bancolombia SA..................................... 30,330 383,669
Grupo Argos SA..................................... 55,405 263,894
Grupo Aval Acciones y Valores SA................... 3,971,981 1,529,457
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
COLOMBIA -- (Continued)
Grupo de Inversiones Suramericana SA............... 130,814 $ 1,410,400
--------------
TOTAL COLOMBIA............................................ 5,724,032
--------------
SOUTH KOREA -- (0.0%)
# * CJ Corp............................................ 6,654 208,929
--------------
TOTAL PREFERRED STOCKS.................................... 111,194,213
--------------
RIGHTS/WARRANTS -- (0.0%)
HONG KONG -- (0.0%)
* China International Marine Containers Co., Ltd.
Rights 05/03/19.................................. 3,365 0
* Haitong Securities Co., Ltd. Rights 05/23/19....... 94,914 0
--------------
TOTAL HONG KONG........................................... 0
--------------
INDIA -- (0.0%)
Bharti Airtel, Ltd. Rights 05/17/19................ 569,597 821,388
--------------
SOUTH KOREA -- (0.0%)
Doosan Heavy Industries & Construction Co., Ltd.
Rights 05/09/2019................................ 139,113 171,487
--------------
THAILAND -- (0.0%)
* MINT W6 Warrants 04/26/20.......................... 116,514 0
--------------
TOTAL RIGHTS/WARRANTS..................................... 992,875
--------------
TOTAL INVESTMENT SECURITIES............................... 6,104,199,575
--------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@ (S) The DFA Short Term Investment Fund................. 12,258,452 141,842,552
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,301,030,994)................................. $6,246,042,127
==============
ADR American Depositary Receipt
CP Certificate Participation
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.
@ Security purchased with cash proceeds from
Securities on Loan.
(S) Affiliated Fund.
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
=========== =========== ==========
THE EMERGING MARKETS 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
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.
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (94.7%)
BRAZIL -- (7.7%)
AES Tiete Energia SA............................... 2,418,408 $ 6,661,086
AES Tiete Energia SA............................... 878 484
Aliansce Shopping Centers SA....................... 1,143,577 5,541,293
Alliar Medicos A Frente SA......................... 298,600 1,141,520
Alupar Investimento SA............................. 1,525,352 9,087,303
Anima Holding SA................................... 381,200 1,939,491
Arezzo Industria e Comercio SA..................... 530,586 6,901,096
* Azul SA, ADR....................................... 461,836 11,989,225
* B2W Cia Digital.................................... 204,583 1,995,695
BR Malls Participacoes SA.......................... 8,819,000 27,664,099
BR Properties SA................................... 1,222,253 2,727,478
BrasilAgro - Co. Brasileira de Propriedades
Agricolas........................................ 281,842 1,114,114
* BRF SA............................................. 756,646 5,991,650
Camil Alimentos S.A................................ 576,622 1,014,688
Cia de Locacao das Americas........................ 529,354 5,535,058
Cia de Saneamento de Minas Gerais-COPASA........... 700,092 12,319,591
Cia de Saneamento do Parana........................ 845,507 16,905,396
Cia de Saneamento do Parana........................ 9,900 53,223
Cia Energetica de Minas Gerais..................... 1,151,389 5,188,606
Cia Hering......................................... 1,449,301 11,801,836
# Cia Paranaense de Energia, Sponsored ADR........... 127,664 1,330,259
Cia Paranaense de Energia.......................... 213,600 2,074,934
* Cia Siderurgica Nacional SA........................ 5,378,927 19,945,831
Construtora Tenda SA............................... 1,340,900 6,145,207
* Cosan Logistica SA................................. 1,148,662 4,265,262
Cosan SA........................................... 151,300 1,808,531
CSU Cardsystem SA.................................. 276,835 482,913
CVC Brasil Operadora e Agencia de Viagens SA....... 1,279,587 18,532,490
Cyrela Brazil Realty SA Empreendimentos e
Participacoes.................................... 3,078,900 13,961,093
Cyrela Commercial Properties SA Empreendimentos e
Participacoes.................................... 37,800 117,417
Dimed SA Distribuidora da Medicamentos............. 1,100 101,553
Direcional Engenharia SA........................... 1,528,977 3,213,070
Duratex SA......................................... 3,345,190 8,480,066
EcoRodovias Infraestrutura e Logistica SA.......... 2,499,807 5,170,344
EDP - Energias do Brasil SA........................ 3,355,514 14,984,328
Embraer SA......................................... 811,595 4,065,116
Embraer SA, Sponsored ADR.......................... 491,786 9,840,638
Enauta Participacoes SA............................ 923,124 3,154,692
Energisa SA........................................ 760,284 8,104,836
* Eneva SA........................................... 690,500 3,499,078
Equatorial Energia SA.............................. 1,832,058 38,359,634
Estacio Participacoes SA........................... 3,056,890 21,189,531
* Even Construtora e Incorporadora SA................ 2,083,304 3,458,802
Ez Tec Empreendimentos e Participacoes SA.......... 921,263 5,077,274
Fleury SA.......................................... 1,867,731 9,883,813
Fras-Le SA......................................... 242,460 314,120
* Gafisa SA.......................................... 303,161 446,882
# * Gafisa SA, ADR..................................... 70,312 207,420
# * Gol Linhas Aereas Inteligentes SA, ADR............. 372,923 4,217,759
Grendene SA........................................ 2,754,123 5,155,508
Guararapes Confeccoes SA........................... 97,278 3,574,708
* Helbor Empreendimentos SA.......................... 2,524,448 817,640
Hypera SA.......................................... 156,200 1,118,588
Iguatemi Empresa de Shopping Centers SA............ 96,195 936,657
Industrias Romi SA................................. 166,400 381,509
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
BRAZIL -- (Continued)
Instituto Hermes Pardini SA............................ 401,958 $ 2,091,235
International Meal Co. Alimentacao SA, Class A......... 1,545,395 2,904,685
Iochpe-Maxion SA....................................... 1,144,900 5,804,650
JHSF Participacoes SA.................................. 1,107,047 688,887
JSL SA................................................. 637,228 1,647,877
Kepler Weber SA........................................ 168,646 791,812
Kroton Educacional SA.................................. 454,700 1,130,633
Light SA............................................... 1,274,552 6,887,801
Linx SA................................................ 58,936 483,530
Localiza Rent a Car SA................................. 434,334 4,009,816
* LOG Commercial Properties e Participacoes SA........... 75,529 337,857
M Dias Branco SA....................................... 10,414 110,458
Mahle-Metal Leve SA.................................... 500,114 3,069,992
Marcopolo SA........................................... 597,500 454,095
* Marfrig Global Foods SA................................ 366,740 684,639
* Marisa Lojas SA........................................ 722,120 1,482,509
* Mills Estruturas e Servicos de Engenharia SA........... 1,289,420 1,548,843
Movida Participacoes SA................................ 1,036,188 3,168,472
MRV Engenharia e Participacoes SA...................... 3,320,154 12,286,204
Multiplan Empreendimentos Imobiliarios SA.............. 58,480 357,344
Natura Cosmeticos SA................................... 268,318 3,574,745
Odontoprev SA.......................................... 2,753,869 11,728,753
Omega Geracao SA....................................... 164,649 890,199
Ouro Fino Saude Animal Participacoes SA................ 6,000 46,334
* Paranapanema SA........................................ 3,272,543 1,168,438
* Petro Rio SA........................................... 920,044 4,329,094
Porto Seguro SA........................................ 503,642 6,951,393
Portobello SA.......................................... 913,051 1,124,694
* Profarma Distribuidora de Produtos Farmaceuticos SA.... 166,002 174,423
Qualicorp Consultoria e Corretora de Seguros SA........ 2,402,763 10,539,778
Restoque Comercio e Confeccoes de Roupas SA............ 137,181 1,032,414
Santos Brasil Participacoes SA......................... 2,973,690 2,889,434
* Sao Carlos Empreendimentos e Participacoes SA.......... 84,509 700,452
Sao Martinho SA........................................ 1,629,144 7,931,539
Ser Educacional SA..................................... 537,517 3,162,510
SLC Agricola SA........................................ 632,873 6,633,618
Smiles Fidelidade SA................................... 564,900 7,059,269
Sonae Sierra Brasil SA................................. 286,546 2,141,184
* Springs Global Participacoes SA........................ 148,300 324,883
Sul America SA......................................... 2,954,999 23,512,786
T4F Entretenimento SA.................................. 319,100 486,654
* Technos SA............................................. 272,800 160,016
* Tecnisa SA............................................. 2,018,036 679,352
Tegma Gestao Logistica SA.............................. 373,002 2,330,609
* Terra Santa Agro SA.................................... 400 1,336
TOTVS SA............................................... 581,526 6,607,072
Transmissora Alianca de Energia Eletrica SA............ 3,505,351 23,466,748
Trisul SA.............................................. 249,600 309,366
Tupy SA................................................ 707,008 3,155,400
Unipar Carbocloro SA................................... 2,063 20,256
Usinas Siderurgicas de Minas Gerais SA................. 61,900 166,704
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A........................ 781,650 3,538,366
Via Varejo SA.......................................... 5,702,519 5,962,696
* Vulcabras Azaleia SA................................... 815,809 1,285,787
Wiz Solucoes e Corretagem de Seguros SA................ 677,744 1,415,604
------------
TOTAL BRAZIL............................................... 555,433,680
------------
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
CHILE -- (1.7%)
AES Gener SA....................................... 7,561,581 $ 2,054,120
Banvida SA......................................... 28,774 15,082
Besalco SA......................................... 3,002,361 2,748,359
CAP SA............................................. 790,612 9,032,564
Cementos BIO BIO SA................................ 352,724 480,159
* Cia Pesquera Camanchaca SA......................... 1,358,085 142,606
* Cia Sud Americana de Vapores SA.................... 163,561,783 5,221,033
* Clinica Las Condes SA.............................. 3,871 236,901
Cristalerias de Chile SA........................... 130,323 1,029,423
Embotelladora Andina SA, ADR, Class B.............. 20,423 432,968
Empresa Nacional de Telecomunicaciones SA.......... 682,558 7,147,863
Empresas Hites SA.................................. 1,238,776 791,039
* Empresas La Polar SA............................... 22,027,880 832,591
Empresas Lipigas SA................................ 3,250 25,878
Empresas Tricot SA................................. 70,631 88,976
Engie Energia Chile SA............................. 6,067,790 11,637,471
* Enjoy SA........................................... 2,562,139 186,495
Forus SA........................................... 817,277 2,138,218
Grupo Security SA.................................. 8,442,026 3,433,896
Hortifrut SA....................................... 72,075 202,189
Instituto de Diagnostico SA........................ 2,928 9,511
Inversiones Aguas Metropolitanas SA................ 3,850,330 5,940,070
Inversiones La Construccion SA..................... 362,765 6,341,023
Masisa SA.......................................... 19,941,198 1,437,368
Multiexport Foods SA............................... 5,177,562 2,981,322
Parque Arauco SA................................... 5,935,365 16,387,320
PAZ Corp. SA....................................... 1,331,427 1,965,786
Ripley Corp. SA.................................... 8,768,391 7,551,717
Salfacorp SA....................................... 3,334,338 4,366,688
Sigdo Koppers SA................................... 1,132,172 2,144,658
* SMU SA............................................. 4,871,525 1,287,469
Sociedad Matriz SAAM SA............................ 39,497,287 3,805,105
Socovesa SA........................................ 3,154,986 1,855,097
SONDA SA........................................... 3,828,655 5,972,770
Vina Concha y Toro SA.............................. 4,495,173 9,464,221
------------
TOTAL CHILE............................................. 119,387,956
------------
CHINA -- (17.1%)
* 21Vianet Group, Inc., ADR.......................... 536,547 4,217,259
361 Degrees International, Ltd..................... 5,491,000 1,208,681
3SBio, Inc......................................... 6,733,500 12,449,665
# * 500.com, Ltd., ADR, Class A........................ 76,699 977,145
* 51job, Inc., ADR................................... 126,147 11,648,414
* A8 New Media Group, Ltd............................ 5,228,000 177,451
AAG Energy Holdings, Ltd........................... 84,601 16,744
Agile Group Holdings, Ltd.......................... 512,000 773,516
Ajisen China Holdings, Ltd......................... 4,219,000 1,795,341
AKM Industrial Co., Ltd............................ 2,660,000 465,550
# Alibaba Pictures Group, Ltd........................ 59,170,000 13,299,236
AMVIG Holdings, Ltd................................ 2,508,000 607,680
Anhui Expressway Co., Ltd., Class H................ 2,962,000 2,002,590
* Anton Oilfield Services Group...................... 12,002,000 1,654,857
* Aowei Holdings, Ltd................................ 1,795,000 356,803
Art Group Holdings, Ltd............................ 320,000 12,774
# Asia Cement China Holdings Corp.................... 3,072,500 3,647,959
Asia Television Holdings, Ltd...................... 3,434,000 100,032
Asian Citrus Holdings, Ltd......................... 2,314,000 33,184
Ausnutria Dairy Corp., Ltd......................... 1,950,000 3,142,545
# AVIC International Holding HK, Ltd................. 39,043,722 1,247,156
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
AVIC International Holdings, Ltd., Class H......... 1,960,000 $ 1,238,413
AviChina Industry & Technology Co., Ltd., Class H.. 14,492,000 8,527,837
BAIOO Family Interactive, Ltd...................... 5,590,000 362,467
Bank of Chongqing Co., Ltd., Class H............... 2,533,500 1,645,243
Bank of Tianjin Co., Ltd., Class H................. 22,500 12,897
# * Bank of Zhengzhou Co., Ltd., Class H............... 105,000 42,830
* Baoye Group Co., Ltd., Class H..................... 1,758,000 1,202,909
# * Baozun, Inc., Sponsored ADR........................ 202,391 9,815,963
BBI Life Sciences Corp............................. 1,299,000 391,196
Beijing Capital International Airport Co., Ltd.,
Class H.......................................... 3,162,000 2,814,762
# Beijing Capital Land, Ltd., Class H................ 7,522,500 3,155,387
# Beijing Enterprises Clean Energy Group, Ltd........ 59,768,570 960,931
# Beijing Enterprises Environment Group, Ltd......... 622,000 63,471
Beijing Enterprises Medical & Health Group, Ltd.... 29,094,000 897,642
Beijing Enterprises Water Group, Ltd............... 3,228,000 2,002,953
# Beijing Gas Blue Sky Holdings, Ltd................. 15,784,000 524,080
Beijing Jingneng Clean Energy Co., Ltd., Class H... 9,098,000 1,823,413
# Beijing North Star Co., Ltd., Class H.............. 5,840,000 2,317,773
# Beijing Properties Holdings, Ltd................... 10,632,000 327,921
Beijing Urban Construction Design & Development
Group Co., Ltd., Class H......................... 2,032,000 707,332
# Best Pacific International Holdings, Ltd........... 2,128,000 800,160
BII Railway Transportation Technology Holdings
Co., Ltd......................................... 2,636,000 241,829
Billion Industrial Holdings, Ltd................... 44,000 73,952
# * Bitauto Holdings, Ltd., ADR........................ 171,973 2,208,133
* Boer Power Holdings, Ltd........................... 1,245,000 93,925
Bosideng International Holdings, Ltd............... 19,416,000 5,344,914
* Boyaa Interactive International, Ltd............... 3,127,000 830,554
Brilliance China Automotive Holdings, Ltd.......... 3,384,000 3,727,632
Brilliant Circle Holdings International, Ltd....... 250,000 25,976
BYD Electronic International Co., Ltd.............. 3,942,500 7,068,088
C C Land Holdings, Ltd............................. 15,159,015 3,499,576
# * C.banner International Holdings, Ltd............... 4,867,000 245,132
Cabbeen Fashion, Ltd............................... 1,566,000 464,974
# Canvest Environmental Protection Group Co., Ltd.... 4,729,000 2,295,820
# Capital Environment Holdings, Ltd.................. 21,762,000 548,536
# * CAR, Inc........................................... 5,896,000 4,775,505
# Carnival Group International Holdings, Ltd......... 31,930,000 195,366
Carrianna Group Holdings Co., Ltd.................. 2,031,257 233,243
CECEP COSTIN New Materials Group, Ltd.............. 4,494,000 64,447
# Central China Real Estate, Ltd..................... 6,528,626 3,251,539
# Central China Securities Co., Ltd., Class H........ 4,469,000 1,152,279
Century Sunshine Group Holdings, Ltd............... 12,390,000 340,016
CGN Meiya Power Holdings Co., Ltd.................. 9,134,000 1,369,668
Changshouhua Food Co., Ltd......................... 1,773,000 750,395
* Changyou.com, Ltd., ADR............................ 98,471 1,915,261
# Chaowei Power Holdings, Ltd........................ 4,399,000 2,024,794
* Cheetah Mobile, Inc., ADR.......................... 205,689 1,295,841
Chiho Environmental Group, Ltd..................... 2,108,000 301,180
# China Aerospace International Holdings, Ltd........ 16,486,500 1,137,341
China Agri-Industries Holdings, Ltd................ 14,132,800 4,555,423
China Aircraft Leasing Group Holdings, Ltd......... 1,897,000 2,177,106
China All Access Holdings, Ltd..................... 6,278,000 372,535
* China Animal Healthcare, Ltd....................... 3,671,000 233,977
# China Animation Characters Co., Ltd................ 5,184,000 1,497,338
# China Aoyuan Group, Ltd............................ 8,910,000 10,815,219
# China Beidahuang Industry Group Holdings, Ltd...... 4,032,000 117,012
China BlueChemical, Ltd., Class H.................. 12,142,000 4,138,502
# China Chengtong Development Group, Ltd............. 2,628,000 93,915
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
China City Infrastructure Group, Ltd...................... 1,220,000 $ 38,813
China Communications Services Corp., Ltd., Class H........ 9,412,000 7,591,104
China Conch Venture Holdings, Ltd......................... 1,377,000 4,654,595
China Datang Corp. Renewable Power Co., Ltd., Class H..... 15,221,000 1,744,903
China Daye Non-Ferrous Metals Mining, Ltd................. 7,434,000 50,390
* China Distance Education Holdings, Ltd., ADR.............. 30,224 196,758
China Dongxiang Group Co., Ltd............................ 24,374,985 3,607,848
# China Dynamics Holdings, Ltd.............................. 10,040,000 161,454
# China Electronics Huada Technology Co., Ltd............... 5,858,000 561,033
# China Electronics Optics Valley Union Holding Co., Ltd.... 14,592,000 1,081,954
China Energine International Holdings, Ltd................ 5,728,000 158,479
China Energy Engineering Corp., Ltd., Class H............. 404,000 48,422
China Everbright, Ltd..................................... 6,106,000 11,131,587
China Fiber Optic Network System Group, Ltd............... 9,639,999 258,056
China Financial Services Holdings, Ltd.................... 7,270,000 481,726
China Foods, Ltd.......................................... 6,558,000 2,570,826
China Glass Holdings, Ltd................................. 4,476,000 365,725
# China Grand Pharmaceutical and Healthcare Holdings, Ltd.,
Class A................................................. 4,964,000 2,927,575
* China Greenfresh Group Co., Ltd........................... 2,833,000 310,772
# China Greenland Broad Greenstate Group Co., Ltd........... 5,628,000 415,663
China Hanking Holdings, Ltd............................... 4,368,000 556,550
# China Harmony New Energy Auto Holding, Ltd................ 5,776,500 2,051,144
China High Precision Automation Group, Ltd................ 1,289,000 37,587
# China High Speed Transmission Equipment Group Co., Ltd.... 2,578,000 1,954,321
* China Huiyuan Juice Group, Ltd............................ 4,929,500 238,030
China International Marine Containers Group Co., Ltd.,
Class H................................................. 1,348,600 1,700,971
* China ITS Holdings Co., Ltd............................... 1,994,412 61,671
China Jinmao Holdings Group, Ltd.......................... 3,042,300 1,972,538
China Lesso Group Holdings, Ltd........................... 7,773,000 5,504,263
China Lilang, Ltd......................................... 3,376,000 3,521,794
# * China Logistics Property Holdings Co., Ltd................ 1,731,000 655,706
# China Longevity Group Co., Ltd............................ 1,076,350 35,262
China LotSynergy Holdings, Ltd............................ 30,380,000 186,196
China Machinery Engineering Corp., Class H................ 6,507,000 3,153,322
# China Maple Leaf Educational Systems, Ltd................. 9,306,000 4,352,899
China Medical System Holdings, Ltd........................ 7,509,500 6,670,927
China Meidong Auto Holdings, Ltd.......................... 2,426,000 1,405,792
China Merchants Land, Ltd................................. 11,282,000 1,970,166
China Metal Resources Utilization, Ltd.................... 932,000 456,371
# China Minsheng Financial Holding Corp., Ltd............... 4,620,000 82,127
# * China Modern Dairy Holdings, Ltd.......................... 4,012,000 602,241
China National Building Material Co., Ltd., Class H....... 4,270,450 3,974,574
# China New Town Development Co., Ltd....................... 11,720,648 280,161
China NT Pharma Group Co., Ltd............................ 5,561,500 595,838
China Nuclear Energy Technology Corp., Ltd................ 3,078,000 208,111
# China Oceanwide Holdings, Ltd............................. 4,994,000 343,828
China Oil & Gas Group, Ltd................................ 32,918,000 2,018,623
# China Oriental Group Co., Ltd............................. 8,006,000 4,916,255
* China Outfitters Holdings, Ltd............................ 24,000 633
China Overseas Grand Oceans Group, Ltd.................... 11,892,749 6,342,168
China Overseas Property Holdings, Ltd..................... 10,065,000 4,763,367
* China Pioneer Pharma Holdings, Ltd........................ 3,489,000 423,225
# China Power Clean Energy Development Co., Ltd............. 3,688,999 2,517,028
China Power International Development, Ltd................ 28,927,333 7,707,452
China Properties Group, Ltd............................... 2,751,000 406,475
* China Rare Earth Holdings, Ltd............................ 7,602,799 320,125
China Resources Cement Holdings, Ltd...................... 732,000 733,946
China Resources Medical Holdings Co., Ltd................. 4,665,000 3,391,282
# China Ruifeng Renewable Energy Holdings, Ltd.............. 5,192,000 321,217
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
* China Rundong Auto Group, Ltd...................... 160,000 $ 24,496
* China Saite Group Co., Ltd......................... 2,376,000 93,880
China Sandi Holdings, Ltd.......................... 132,000 8,744
China Sanjiang Fine Chemicals Co., Ltd............. 5,329,000 1,387,846
China SCE Group Holdings, Ltd...................... 12,989,200 6,139,490
# * China Shengmu Organic Milk, Ltd.................... 11,882,000 545,497
China Shineway Pharmaceutical Group, Ltd........... 2,291,200 2,291,405
* China Silver Group, Ltd............................ 7,204,000 625,090
# China Singyes Solar Technologies Holdings, Ltd..... 3,426,655 432,438
China South City Holdings, Ltd..................... 25,324,000 3,843,384
China Starch Holdings, Ltd......................... 7,505,000 191,426
China State Construction International Holdings,
Ltd.............................................. 156,000 161,906
China Sunshine Paper Holdings Co., Ltd............. 1,834,500 294,877
China Suntien Green Energy Corp., Ltd., Class H.... 11,039,000 3,179,538
China Taifeng Beddings Holdings, Ltd............... 1,336,000 34,487
# China Tian Lun Gas Holdings, Ltd................... 1,933,500 2,011,718
# * China Tianrui Group Cement Co., Ltd................ 148,000 116,863
China Traditional Chinese Medicine Holdings Co.,
Ltd.............................................. 12,676,000 7,195,273
China Travel International Investment Hong Kong,
Ltd.............................................. 16,015,900 3,701,656
China Vast Industrial Urban Development Co., Ltd... 1,601,000 689,829
China Water Affairs Group, Ltd..................... 6,610,000 6,797,120
China Water Industry Group, Ltd.................... 8,432,000 1,130,642
China Wood Optimization Holding, Ltd............... 2,740,000 698,330
China XLX Fertiliser, Ltd.......................... 2,043,000 729,265
China Yuhua Education Corp., Ltd................... 2,810,000 1,257,172
# * China Yurun Food Group, Ltd........................ 9,253,000 1,572,544
China ZhengTong Auto Services Holdings, Ltd........ 6,456,000 3,581,427
# China Zhongwang Holdings, Ltd...................... 11,658,800 6,366,450
# Chinasoft International, Ltd....................... 15,102,000 8,632,710
Chongqing Machinery & Electric Co., Ltd., Class H.. 8,030,000 758,101
* Chu Kong Petroleum & Natural Gas Steel Pipe
Holdings, Ltd.................................... 2,388,000 210,433
Chu Kong Shipping Enterprise Group Co., Ltd........ 1,366,000 311,709
CIFI Holdings Group Co., Ltd....................... 17,374,000 11,545,106
CIMC Enric Holdings, Ltd........................... 4,218,000 4,109,109
# * CIMC-TianDa Holdings Co., Ltd...................... 9,220,000 341,546
CITIC Dameng Holdings, Ltd......................... 6,073,000 344,945
CITIC Resources Holdings, Ltd...................... 18,534,600 1,750,944
Citychamp Watch & Jewellery Group, Ltd............. 11,770,000 2,612,390
Clear Media, Ltd................................... 383,000 317,574
Coastal Greenland, Ltd............................. 5,336,000 159,064
* COFCO Meat Holdings, Ltd........................... 2,330,000 953,846
* Cogobuy Group...................................... 4,572,000 1,683,118
# Colour Life Services Group Co., Ltd................ 2,408,000 1,751,573
# Comba Telecom Systems Holdings, Ltd................ 11,485,338 2,789,663
Concord New Energy Group, Ltd...................... 40,614,964 1,993,026
Consun Pharmaceutical Group, Ltd................... 2,763,000 1,938,005
# * Coolpad Group, Ltd................................. 18,661,174 266,856
* COSCO SHIPPING Development Co., Ltd., Class H...... 15,682,000 2,120,476
# COSCO SHIPPING Energy Transportation Co., Ltd.,
Class H.......................................... 9,348,000 6,044,007
# COSCO SHIPPING International Hong Kong Co., Ltd.... 3,737,000 1,301,813
COSCO SHIPPING Ports, Ltd.......................... 10,720,143 10,692,087
Coslight Technology International Group Co., Ltd... 966,000 283,199
Cosmo Lady China Holdings Co., Ltd................. 4,645,000 1,434,407
* Country Garden Services Holdings Co., Ltd.......... 4,531,000 8,368,914
# CP Pokphand Co., Ltd............................... 42,714,594 3,537,430
# CPMC Holdings, Ltd................................. 2,640,000 1,114,018
# CRCC High-Tech Equipment Corp., Ltd., Class H...... 3,644,000 925,172
* CSMall Group, Ltd.................................. 947,266 111,195
# * CSSC Offshore and Marine Engineering Group Co.,
Ltd., Class H.................................... 1,142,000 1,083,531
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
# CT Environmental Group, Ltd...................... 18,320,000 $ 794,004
# CWT International, Ltd........................... 24,080,000 405,180
Cybernaut International Holdings Co., Ltd........ 3,760,000 96,506
# Da Ming International Holdings, Ltd.............. 880,000 224,155
DaChan Food Asia, Ltd............................ 1,267,955 66,679
Dah Chong Hong Holdings, Ltd..................... 6,486,747 2,374,113
# Dalian Port PDA Co., Ltd., Class H............... 4,868,400 627,404
* Daphne International Holdings, Ltd............... 6,652,000 212,086
Dawnrays Pharmaceutical Holdings, Ltd............ 6,951,886 1,266,919
# DBA Telecommunication Asia Holdings, Ltd......... 876,000 42,500
# * Differ Group Holding Co., Ltd.................... 11,998,000 727,111
Digital China Holdings, Ltd...................... 6,557,500 3,128,531
* Dongfang Electric Corp., Ltd., Class H........... 2,218,000 1,694,769
# Dongjiang Environmental Co., Ltd., Class H....... 1,268,975 1,413,886
Dongyue Group, Ltd............................... 8,207,000 5,983,019
# * Dynagreen Environmental Protection Group Co.,
Ltd., Class H.................................. 3,006,000 1,492,928
# Dynasty Fine Wines Group, Ltd.................... 1,508,000 276,810
E-Commodities Holdings, Ltd...................... 8,448,000 593,565
Embry Holdings, Ltd.............................. 470,000 137,437
Essex Bio-technology, Ltd........................ 698,000 644,001
EVA Precision Industrial Holdings, Ltd........... 5,156,435 532,726
EverChina International Holdings Co., Ltd........ 12,045,000 346,123
* Evergreen International Holdings, Ltd............ 634,000 34,912
# * Fang Holdings, Ltd., ADR......................... 588,287 894,196
Fantasia Holdings Group Co., Ltd................. 13,855,500 2,628,469
Far East Horizon, Ltd............................ 11,914,000 13,243,295
Feiyu Technology International Co., Ltd.......... 1,515,000 60,656
# * First Tractor Co., Ltd., Class H................. 2,667,176 680,853
* Forgame Holdings, Ltd............................ 23,400 21,792
# Fu Shou Yuan International Group, Ltd............ 5,744,000 4,928,751
# Fufeng Group, Ltd................................ 9,461,600 5,012,916
# * Fuguiniao Co., Ltd., Class H..................... 1,930,000 178,982
Future Land Development Holdings, Ltd............ 8,616,000 10,275,035
# GCL New Energy Holdings, Ltd..................... 17,178,000 646,100
# GCL-Poly Energy Holdings, Ltd.................... 80,265,000 5,735,845
Gemdale Properties & Investment Corp., Ltd....... 24,280,000 3,255,943
Genertec Universal Medical Group Co., Ltd........ 5,810,000 4,632,533
# Glorious Property Holdings, Ltd.................. 21,037,501 1,034,200
Golden Eagle Retail Group, Ltd................... 3,141,000 3,726,075
Golden Meditech Holdings, Ltd.................... 356,000 36,345
Golden Throat Holdings Group Co., Ltd............ 991,500 177,907
Golden Wheel Tiandi Holdings Co., Ltd............ 546,000 48,605
Goldlion Holdings, Ltd........................... 1,872,962 763,148
Goldpac Group, Ltd............................... 2,314,000 649,234
# * GOME Retail Holdings, Ltd........................ 79,929,000 9,179,517
Good Friend International Holdings, Inc.......... 398,667 66,339
# Grand Baoxin Auto Group, Ltd..................... 4,173,992 1,462,689
Greater China Financial Holdings, Ltd............ 1,780,000 45,351
Greatview Aseptic Packaging Co., Ltd............. 7,076,000 4,308,785
Greenland Hong Kong Holdings, Ltd................ 7,333,000 3,014,440
Greentown China Holdings, Ltd.................... 6,186,648 5,608,716
# Greentown Service Group Co., Ltd................. 4,406,000 3,802,841
Ground International Development, Ltd............ 370,000 15,479
Guangdong Land Holdings, Ltd..................... 4,818,800 994,355
Guangdong Yueyun Transportation Co., Ltd.,
Class H........................................ 1,308,000 531,806
Guangshen Railway Co., Ltd., Class H............. 3,364,000 1,206,504
* Guodian Technology & Environment Group Corp.,
Ltd., Class H.................................. 1,369,000 62,837
* Guolian Securities Co., Ltd., Class H............ 1,658,000 604,084
# Guorui Properties, Ltd........................... 3,888,000 816,113
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
* Haichang Ocean Park Holdings, Ltd.................. 5,878,000 $ 1,245,872
# * Hailiang Education Group, Inc., ADR................ 30,293 1,744,574
# Haitian International Holdings, Ltd................ 4,306,000 10,797,725
* Hanergy Thin Film Power Group, Ltd................. 17,084,000 8,166,556
Harbin Bank Co., Ltd., Class H..................... 1,594,000 365,591
# Harbin Electric Co., Ltd., Class H................. 5,127,413 2,746,599
# * Harmonicare Medical Holdings, Ltd.................. 2,403,000 624,888
# HC Group, Inc...................................... 3,644,500 1,860,732
Health and Happiness H&H International Holdings,
Ltd.............................................. 1,402,000 8,611,337
Henderson Investment, Ltd.......................... 1,863,000 166,200
Hengdeli Holdings, Ltd............................. 14,521,399 759,302
# * HengTen Networks Group, Ltd........................ 38,840,000 1,112,912
Hi Sun Technology China, Ltd....................... 12,972,000 2,234,312
Hilong Holding, Ltd................................ 6,316,000 764,863
Hisense Home Appliances Group Co., Ltd., Class H... 2,660,000 3,627,789
HKC Holdings, Ltd.................................. 1,441,577 1,160,005
* Honghua Group, Ltd................................. 19,908,000 1,701,998
Honworld Group, Ltd................................ 1,187,500 667,402
Hopefluent Group Holdings, Ltd..................... 1,725,670 517,530
Hopson Development Holdings, Ltd................... 4,514,000 4,956,803
HOSA International, Ltd............................ 3,700,000 51,316
Hua Han Health Industry Holdings, Ltd.............. 25,871,698 524,373
# Hua Hong Semiconductor, Ltd........................ 2,513,000 5,956,646
Huadian Fuxin Energy Corp., Ltd., Class H.......... 16,972,000 3,654,821
Huaneng Renewables Corp., Ltd., Class H............ 29,660,000 8,549,784
Huaxi Holdings Co., Ltd............................ 444,000 123,413
Huazhong In-Vehicle Holdings Co., Ltd.............. 3,530,000 638,944
# * Hydoo International Holding, Ltd................... 2,110,000 101,885
IMAX China Holding, Inc............................ 853,400 2,350,799
Inner Mongolia Yitai Coal Co., Ltd., Class H....... 224,800 199,173
# Inspur International, Ltd.......................... 876,000 473,420
# * Jiangnan Group, Ltd................................ 11,016,000 582,367
# Jiayuan International Group, Ltd................... 3,227,816 1,444,644
# Jinchuan Group International Resources Co., Ltd.... 12,519,000 1,166,177
# Jingrui Holdings, Ltd.............................. 1,393,000 501,404
# * JinkoSolar Holding Co., Ltd., ADR.................. 170,941 3,326,512
JNBY Design, Ltd................................... 1,084,000 2,141,964
Joy City Property, Ltd............................. 18,494,000 2,638,773
Ju Teng International Holdings, Ltd................ 5,896,000 1,724,364
# * Jumei International Holding, Ltd., ADR............. 134,565 326,993
# Jutal Offshore Oil Services, Ltd................... 1,158,000 119,722
K Wah International Holdings, Ltd.................. 6,677,948 4,191,254
Kai Yuan Holdings, Ltd............................. 13,400,000 92,600
Kaisa Group Holdings, Ltd.......................... 17,106,000 7,263,853
Kangda International Environmental Co., Ltd........ 4,479,000 628,571
# Kasen International Holdings, Ltd.................. 4,649,000 3,776,889
Kinetic Mines and Energy, Ltd...................... 312,000 18,287
Kingboard Holdings, Ltd............................ 4,077,921 13,295,945
Kingboard Laminates Holdings, Ltd.................. 5,917,000 6,222,854
# Kingdee International Software Group Co., Ltd...... 15,099,200 18,533,768
Kingsoft Corp., Ltd................................ 4,644,000 11,895,212
Kong Sun Holdings, Ltd............................. 1,325,000 15,539
Koradior Holdings, Ltd............................. 1,008,000 1,206,391
# KuangChi Science, Ltd.............................. 8,317,000 700,317
KWG Group Holdings, Ltd............................ 10,440,950 12,245,803
* Labixiaoxin Snacks Group, Ltd...................... 1,152,000 64,414
Lai Fung Holdings, Ltd............................. 627,532 786,163
* Launch Tech Co., Ltd., Class H..................... 56,500 53,777
Le Saunda Holdings, Ltd............................ 1,765,799 157,513
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
Lee & Man Chemical Co., Ltd........................ 1,070,785 $ 650,919
Lee & Man Paper Manufacturing, Ltd................. 8,606,000 6,985,408
Lee's Pharmaceutical Holdings, Ltd................. 1,721,500 1,473,868
* Leoch International Technology, Ltd................ 2,764,000 228,755
* Li Ning Co., Ltd................................... 13,365,500 24,281,313
* Lianhua Supermarket Holdings Co., Ltd., Class H.... 3,005,600 602,209
Lifestyle China Group, Ltd......................... 1,897,500 704,435
# * Lifetech Scientific Corp........................... 15,504,000 3,267,121
# Link Motion, Inc., Sponsored ADR................... 690,534 79,688
# Lisi Group Holdings, Ltd........................... 1,088,000 115,460
Livzon Pharmaceutical Group, Inc., Class H......... 841,364 3,060,388
LK Technology Holdings, Ltd........................ 322,500 40,369
# * LongiTech Smart Energy Holding, Ltd................ 995,000 97,861
Lonking Holdings, Ltd.............................. 12,979,000 4,413,401
Luye Pharma Group, Ltd............................. 7,631,500 6,921,966
LVGEM China Real Estate Investment Co., Ltd........ 600,000 187,457
# Maanshan Iron & Steel Co., Ltd., Class H........... 14,778,000 6,812,035
Maoye International Holdings, Ltd.................. 8,518,000 684,530
Min Xin Holdings, Ltd.............................. 922,000 579,476
Mingfa Group International Co., Ltd................ 7,108,000 51,012
Mingyuan Medicare Development Co., Ltd............. 6,950,000 38,184
# Minmetals Land, Ltd................................ 11,220,000 2,157,883
# Minth Group, Ltd................................... 3,291,000 10,404,433
MMG, Ltd........................................... 14,722,999 6,374,069
MOBI Development Co., Ltd.......................... 962,000 141,352
* Mobile Internet China Holding, Ltd................. 945,000 28,934
Modern Land China Co., Ltd......................... 5,766,800 957,737
Munsun Capital Group, Ltd.......................... 4,818,905 63,724
# Nan Hai Corp., Ltd................................. 21,550,000 425,778
* Nature Home Holding Co., Ltd....................... 1,187,000 210,312
# NetDragon Websoft Holdings, Ltd.................... 440,000 1,279,252
# New Century Healthcare Holding Co., Ltd............ 110,500 70,492
# New Provenance Everlasting Holdings, Ltd........... 12,350,000 52,021
New Universe Environmental Group, Ltd.............. 300,000 13,096
New World Department Store China, Ltd.............. 3,628,462 763,460
Nexteer Automotive Group, Ltd...................... 5,787,000 9,074,275
Nine Dragons Paper Holdings, Ltd................... 1,672,000 1,547,500
# * Noah Holdings, Ltd., ADR........................... 155,711 8,461,336
# North Mining Shares Co., Ltd....................... 80,560,000 318,983
# NVC Lighting Holdings, Ltd......................... 8,433,000 748,576
# * O-Net Technologies Group, Ltd...................... 3,164,000 1,840,580
* Ourgame International Holdings, Ltd................ 1,942,000 181,884
Overseas Chinese Town Asia Holdings, Ltd........... 1,342,183 569,598
# Ozner Water International Holding, Ltd............. 2,638,000 545,088
# Pacific Online, Ltd................................ 2,928,365 668,713
# Panda Green Energy Group, Ltd...................... 18,254,000 771,409
Parkson Retail Group, Ltd.......................... 8,280,500 676,403
# PAX Global Technology, Ltd......................... 5,910,000 2,760,407
Peking University Resources Holdings Co., Ltd...... 176,000 5,936
# Phoenix Media Investment Holdings, Ltd............. 8,340,000 925,069
* Phoenix New Media, Ltd., ADR....................... 146,073 635,418
Poly Culture Group Corp., Ltd., Class H............ 628,800 740,555
Poly Property Group Co., Ltd....................... 15,779,000 6,620,213
Pou Sheng International Holdings, Ltd.............. 15,028,806 3,526,723
Powerlong Real Estate Holdings, Ltd................ 9,746,000 4,746,740
Prosperity International Holdings HK, Ltd.......... 1,162,000 27,995
# * PW Medtech Group, Ltd.............................. 5,032,000 858,679
# Q Technology Group Co., Ltd........................ 2,488,000 2,568,650
* Qingdao Port International Co., Ltd., Class H...... 3,450,000 2,396,362
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
CHINA -- (Continued)
Qingling Motors Co., Ltd., Class H................. 4,464,000 $ 1,337,888
# Qinhuangdao Port Co., Ltd., Class H................ 3,958,000 872,341
# * Qinqin Foodstuffs Group Cayman Co., Ltd............ 65,000 21,157
Qunxing Paper Holdings Co., Ltd.................... 669,913 32,280
* Real Gold Mining, Ltd.............................. 300,500 10,074
# Redco Group........................................ 6,978,000 2,788,492
Regal International Airport Group Co., Ltd.,
Class H.......................................... 807,000 653,849
# * Renhe Commercial Holdings Co., Ltd................. 129,099,000 4,269,591
# Renren, Inc., ADR.................................. 37,726 65,266
# REXLot Holdings, Ltd............................... 98,652,252 264,085
Rivera Holdings, Ltd............................... 1,382,000 105,738
Road King Infrastructure, Ltd...................... 1,941,000 4,407,712
* Ronshine China Holdings, Ltd....................... 2,005,000 2,761,172
Royale Furniture Holdings, Ltd..................... 130,000 17,397
# * Sany Heavy Equipment International Holdings Co.,
Ltd.............................................. 6,885,000 3,293,655
# Seaspan Corp....................................... 430,472 4,364,986
# * Semiconductor Manufacturing International Corp..... 2,667,000 2,855,581
# Shandong Chenming Paper Holdings, Ltd., Class H.... 2,933,250 1,522,782
Shandong Weigao Group Medical Polymer Co., Ltd.,
Class H.......................................... 11,976,000 11,772,413
Shandong Xinhua Pharmaceutical Co., Ltd., Class H.. 1,446,400 767,556
* Shanghai Fudan Microelectronics Group Co., Ltd.,
Class H.......................................... 1,246,000 2,089,686
Shanghai Fudan-Zhangjiang Bio-Pharmaceutical Co.,
Ltd., Class H.................................... 1,723,000 1,539,046
Shanghai Haohai Biological Technology Co., Ltd.,
Class H.......................................... 207,000 1,328,232
Shanghai Industrial Holdings, Ltd.................. 3,590,000 8,443,883
# Shanghai Industrial Urban Development Group, Ltd... 13,698,000 2,743,304
Shanghai Jin Jiang International Hotels Group Co.,
Ltd., Class H.................................... 8,524,000 2,111,733
# Shanghai La Chapelle Fashion Co., Ltd., Class H.... 175,800 89,873
* Shanghai Prime Machinery Co., Ltd., Class H........ 5,358,000 764,900
# Shanghai Zendai Property, Ltd...................... 21,220,000 318,641
Sheen Tai Holdings Grp Co., Ltd.................... 1,888,000 42,300
Shengjing Bank Co., Ltd., Class H.................. 62,500 36,316
Shenguan Holdings Group, Ltd....................... 7,098,000 365,332
Shenzhen Expressway Co., Ltd., Class H............. 4,920,400 5,993,142
Shenzhen International Holdings, Ltd............... 7,648,867 16,533,846
Shenzhen Investment, Ltd........................... 23,170,643 9,220,154
Shougang Concord International Enterprises Co.,
Ltd.............................................. 51,776,000 2,113,340
Shougang Fushan Resources Group, Ltd............... 17,778,000 4,309,436
Shui On Land, Ltd.................................. 26,651,143 6,493,923
# * Shunfeng International Clean Energy, Ltd........... 9,986,000 343,063
Sichuan Expressway Co., Ltd., Class H.............. 5,324,000 1,778,615
Sihuan Pharmaceutical Holdings Group, Ltd.......... 26,645,000 7,179,487
Silver Grant International Industries, Ltd......... 6,502,000 1,244,936
# Sino Oil And Gas Holdings, Ltd..................... 7,481,777 160,003
# Sinofert Holdings, Ltd............................. 16,775,327 2,075,459
Sino-I Technology, Ltd............................. 3,950,000 35,819
Sinolink Worldwide Holdings, Ltd................... 16,500,800 1,623,415
# SinoMedia Holding, Ltd............................. 1,126,000 258,273
Sino-Ocean Group Holding, Ltd...................... 12,535,500 5,631,461
Sinopec Engineering Group Co., Ltd., Class H....... 7,755,500 7,499,769
Sinopec Kantons Holdings, Ltd...................... 6,960,000 3,109,902
# Sinosoft Technology Group, Ltd..................... 5,361,599 1,916,965
Sinotrans, Ltd., Class H........................... 14,955,000 6,144,685
Sinotruk Hong Kong, Ltd............................ 4,735,500 10,280,011
Skyfame Realty Holdings, Ltd....................... 18,696,000 3,076,570
# Skyworth Digital Holdings, Ltd..................... 13,675,628 4,042,783
# SMI Holdings Group, Ltd............................ 6,450,413 411,127
* SOHO China, Ltd.................................... 14,601,500 5,296,193
# * Sohu.com, Ltd., ADR................................ 115,019 2,377,443
* Southern Energy Holdings Group, Ltd................ 230,000 461,257
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
Sparkle Roll Group, Ltd............................ 7,624,000 $ 325,525
Springland International Holdings, Ltd............. 5,366,000 1,121,852
# * SPT Energy Group, Inc.............................. 4,396,000 436,920
SRE Group, Ltd..................................... 34,584,346 446,716
SSY Group, Ltd..................................... 12,301,152 11,651,961
# * Starrise Media Holdings, Ltd....................... 2,410,000 410,862
Suchuang Gas Corp., Ltd............................ 564,000 153,943
# Sun King Power Electronics Group................... 3,644,000 600,569
# * Sunshine 100 China Holdings, Ltd................... 643,000 130,729
Symphony Holdings, Ltd............................. 8,650,000 1,114,464
Tang Palace China Holdings, Ltd.................... 440,000 77,423
# Tarena International, Inc., ADR.................... 238,494 1,211,550
Taung Gold International, Ltd...................... 37,090,000 207,903
TCL Electronics Holdings, Ltd...................... 4,977,347 2,666,939
Tech Pro Technology Development, Ltd............... 43,862,000 71,568
Technovator International, Ltd..................... 3,078,000 443,638
Ten Pao Group Holdings, Ltd........................ 1,296,000 182,235
Tenfu Cayman Holdings Co., Ltd..................... 244,000 165,111
# * Tenwow International Holdings, Ltd................. 4,336,000 78,763
Tesson Holdings, Ltd............................... 162,000 13,622
Texhong Textile Group, Ltd......................... 2,117,500 2,868,944
Tian An China Investment Co., Ltd.................. 1,718,000 943,675
Tian Ge Interactive Holdings, Ltd.................. 2,904,000 900,151
# Tian Shan Development Holding, Ltd................. 1,742,000 562,574
Tiangong International Co., Ltd.................... 2,186,000 571,448
# * Tianjin Capital Environmental Protection Group
Co., Ltd., Class H............................... 2,518,000 1,020,729
Tianjin Development Holdings, Ltd.................. 3,726,000 1,296,384
Tianjin Port Development Holdings, Ltd............. 14,364,800 1,667,147
Tianneng Power International, Ltd.................. 5,358,048 5,031,586
Tianyun International Holdings, Ltd................ 1,978,000 307,556
# Tibet Water Resources, Ltd......................... 12,716,000 3,648,622
Time Watch Investments, Ltd........................ 1,562,000 209,422
Tomson Group, Ltd.................................. 3,049,054 1,169,877
# Tong Ren Tang Technologies Co., Ltd., Class H...... 4,017,000 5,576,995
# Tongda Group Holdings, Ltd......................... 24,750,000 2,682,946
Tongfang Kontafarma Holdings, Ltd.................. 186,000 5,925
Tonly Electronics Holdings, Ltd.................... 598,176 518,561
# Top Spring International Holdings, Ltd............. 1,539,500 443,293
Tou Rong Chang Fu Group, Ltd....................... 15,232,000 229,117
Towngas China Co., Ltd............................. 7,010,657 5,577,868
TPV Technology, Ltd................................ 5,225,964 1,213,728
Trigiant Group, Ltd................................ 3,878,000 702,011
Truly International Holdings, Ltd.................. 8,011,573 1,351,881
# Tsaker Chemical Group, Ltd......................... 1,314,500 492,890
# * Tuniu Corp., Sponsored ADR......................... 118,517 545,178
Uni-President China Holdings, Ltd.................. 8,237,000 7,542,936
# United Energy Group, Ltd........................... 40,014,900 7,504,049
# * V1 Group, Ltd...................................... 11,181,579 355,522
Vinda International Holdings, Ltd.................. 841,000 1,619,475
* Vipshop Holdings, Ltd., ADR........................ 1,952,438 16,810,491
Wanguo International Mining Group, Ltd............. 442,000 105,434
Wasion Holdings, Ltd............................... 4,030,000 2,057,955
Weiqiao Textile Co., Class H....................... 2,249,500 909,286
Wenzhou Kangning Hospital Co., Ltd., Class H....... 2,700 14,460
West China Cement, Ltd............................. 16,034,000 2,252,510
# Wisdom Education International Holdings Co., Ltd... 2,284,000 1,343,015
# Wisdom Sports Group................................ 3,257,000 220,278
Wison Engineering Services Co., Ltd................ 1,373,000 203,157
# Xiabuxiabu Catering Management China Holdings Co.,
Ltd.............................................. 2,073,000 3,651,261
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
Xiamen International Port Co., Ltd., Class H..... 7,248,000 $ 1,036,332
Xinchen China Power Holdings, Ltd................ 2,119,000 114,823
Xingda International Holdings, Ltd............... 6,117,235 1,943,588
Xingfa Aluminium Holdings, Ltd................... 503,000 423,408
Xinhua Winshare Publishing and Media Co., Ltd.,
Class H........................................ 2,708,103 2,080,221
* Xinjiang Xinxin Mining Industry Co., Ltd., Class
H.............................................. 4,353,598 377,622
* Xinming China Holdings, Ltd...................... 224,000 35,410
Xinyi Solar Holdings, Ltd........................ 17,367,372 9,903,670
# Xinyuan Real Estate Co., Ltd., ADR............... 121,398 540,221
Xtep International Holdings, Ltd................. 6,224,500 3,548,760
* Xunlei, Ltd., ADR................................ 92,530 323,855
# Yadea Group Holdings, Ltd........................ 7,014,000 2,406,109
Yanchang Petroleum International, Ltd............ 30,610,000 425,742
# Yangtze Optical Fibre and Cable Joint Stock,
Ltd. Co., Class H.............................. 1,018,000 2,516,018
# * Yashili International Holdings, Ltd.............. 5,308,000 723,995
YiChang HEC ChangJiang Pharmaceutical Co., Ltd.,
Class H........................................ 588,200 2,919,515
Yida China Holdings, Ltd......................... 1,148,000 375,977
Yihai International Holding, Ltd................. 1,454,000 7,181,909
Yip's Chemical Holdings, Ltd..................... 1,850,000 632,577
# Yirendai, Ltd., ADR.............................. 85,486 1,354,098
Yorkey Optical International Cayman, Ltd......... 396,000 61,123
# * Youyuan International Holdings, Ltd.............. 2,894,070 885,679
* YuanShengTai Dairy Farm, Ltd..................... 5,941,000 137,848
Yuexiu Property Co., Ltd......................... 50,846,284 11,802,485
# Yuexiu Transport Infrastructure, Ltd............. 4,586,018 3,737,580
Yunnan Water Investment Co., Ltd., Class H....... 1,680,000 516,303
Yuzhou Properties Co., Ltd....................... 11,545,364 6,102,274
* YY, Inc., ADR.................................... 213,182 18,037,329
Zhaojin Mining Industry Co., Ltd., Class H....... 8,321,500 7,169,016
Zhejiang Expressway Co., Ltd., Class H........... 4,490,000 4,815,954
Zhengzhou Coal Mining Machinery Group Co., Ltd.,
Class H........................................ 1,837,800 926,683
# * Zhong An Real Estate, Ltd........................ 21,554,800 797,106
Zhongsheng Group Holdings, Ltd................... 3,435,000 9,036,631
# Zhongyu Gas Holdings, Ltd........................ 1,834,306 1,717,353
# Zhou Hei Ya International Holdings Co., Ltd...... 3,119,000 1,644,114
# Zhuguang Holdings Group Co., Ltd................. 7,324,000 1,150,651
Zhuhai Holdings Investment Group, Ltd............ 1,800,000 200,105
Zoomlion Heavy Industry Science and Technology
Co., Ltd., Class H............................. 6,882,000 4,039,440
--------------
TOTAL CHINA........................................... 1,227,759,450
--------------
COLOMBIA -- (0.3%)
Almacenes Exito SA............................... 1,652,483 7,410,811
Bolsa de Valores de Colombia..................... 63,819 246,729
Celsia SA ESP.................................... 2,086,952 2,891,686
Cementos Argos SA................................ 1,046,924 2,613,060
* CEMEX Latam Holdings SA.......................... 1,118,385 1,684,539
* Constructora Conconcreto SA...................... 323,906 48,587
* Corp. Financiera Colombiana SA................... 286,871 2,232,331
* Empresa de Telecomunicaciones de Bogota.......... 3,255,012 255,710
Grupo Nutresa SA................................. 165,024 1,367,863
Interconexion Electrica SA ESP................... 143,660 702,915
Mineros SA....................................... 115,553 81,485
Promigas SA ESP.................................. 10,240 19,050
--------------
TOTAL COLOMBIA........................................ 19,554,766
--------------
GREECE -- (0.3%)
Aegean Airlines SA............................... 203,247 1,921,959
Athens Water Supply & Sewage Co. SA.............. 124,127 827,269
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
GREECE -- (Continued)
Bank of Greece..................................... 140,045 $ 2,066,238
* Ellaktor SA........................................ 769,249 1,478,260
Fourlis Holdings SA................................ 271,724 1,640,283
* GEK Terna Holding Real Estate Construction SA...... 475,188 2,740,249
Hellenic Exchanges - Athens Stock Exchange SA...... 430,910 2,167,447
Holding Co. ADMIE IPTO SA.......................... 99,530 191,266
* Iaso SA............................................ 528,264 876,341
* Intracom Holdings SA............................... 379,795 379,899
* Intralot SA-Integrated Lottery Systems & Services.. 796,641 372,426
* LAMDA Development SA............................... 102,236 780,551
* Marfin Investment Group Holdings SA................ 5,032,612 517,806
Mytilineos Holdings SA............................. 327,991 3,551,660
* Piraeus Bank SA.................................... 120,308 245,257
Piraeus Port Authority SA.......................... 42,172 978,997
Sarantis SA........................................ 187,696 1,555,549
Terna Energy SA.................................... 177,048 1,382,989
-----------
TOTAL GREECE............................................ 23,674,446
-----------
HONG KONG -- (0.0%)
Essex Bio-technology, Ltd.......................... 15,000 13,824
HC Group, Inc...................................... 40,000 20,396
# Leyou Technologies Holdings, Ltd................... 7,380,000 2,117,730
-----------
TOTAL HONG KONG......................................... 2,151,950
-----------
HUNGARY -- (0.2%)
CIG Pannonia Life Insurance P.L.C., Class A........ 205,071 304,099
Magyar Telekom Telecommunications P.L.C............ 2,525,223 3,981,599
# * Opus Global Nyrt................................... 153,396 239,522
Richter Gedeon Nyrt................................ 381,935 7,578,249
-----------
TOTAL HUNGARY........................................... 12,103,469
-----------
INDIA -- (10.6%)
* 3M India, Ltd...................................... 5,931 1,954,966
* 5Paisa Capital, Ltd................................ 34,270 141,731
Aarti Drugs, Ltd................................... 21,074 187,911
Aarti Industries, Ltd.............................. 196,430 4,581,836
Abbott India, Ltd.................................. 15,291 1,629,459
Accelya Kale Solutions, Ltd........................ 3,300 43,550
Adani Enterprises, Ltd............................. 303,642 553,034
* Adani Gas, Ltd..................................... 303,642 576,190
* Adani Green Energy, Ltd............................ 6,494 3,714
* Adani Power, Ltd................................... 1,605,930 1,029,177
* Adani Transmissions, Ltd........................... 523,322 1,640,902
* Aditya Birla Fashion and Retail, Ltd............... 696,764 2,181,872
Advanced Enzyme Technologies, Ltd.................. 152,877 418,637
Aegis Logistics, Ltd............................... 711,110 1,984,688
Agro Tech Foods, Ltd............................... 75,356 631,539
Ahluwalia Contracts India, Ltd..................... 24,323 114,378
AIA Engineering, Ltd............................... 236,014 6,146,033
Ajanta Pharma, Ltd................................. 204,074 2,910,151
Akzo Nobel India, Ltd.............................. 74,807 1,840,825
Alembic Pharmaceuticals, Ltd....................... 451,977 3,607,905
Alembic, Ltd....................................... 646,465 387,855
Alkyl Amines Chemicals............................. 22,811 276,021
* Allahabad Bank..................................... 2,513,394 1,686,609
Allcargo Logistics, Ltd............................ 453,470 700,521
Amara Raja Batteries, Ltd.......................... 266,056 2,532,655
* Amtek Auto, Ltd.................................... 217,501 8,818
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Anant Raj, Ltd..................................... 729,609 $ 319,354
* Andhra Bank........................................ 2,028,483 721,147
Andhra Sugars, Ltd. (The).......................... 26,020 128,877
* Anveshan Heavy Engineering, Ltd.................... 41,601 276,534
Apar Industries, Ltd............................... 98,495 950,153
APL Apollo Tubes, Ltd.............................. 40,523 929,274
Apollo Hospitals Enterprise, Ltd................... 350,445 6,145,498
Apollo Tyres, Ltd.................................. 2,135,080 6,304,771
Aptech, Ltd........................................ 93,269 214,496
* Arvind Fashions, Ltd............................... 224,643 3,229,773
Arvind, Ltd........................................ 1,123,214 1,339,547
Asahi India Glass, Ltd............................. 458,070 1,560,289
Ashiana Housing, Ltd............................... 240,932 405,426
Ashoka Buildcon, Ltd............................... 516,254 918,896
Astra Microwave Products, Ltd...................... 45,929 57,607
Astral Polytechnik, Ltd............................ 125,652 2,240,972
* AstraZeneca Pharma India, Ltd...................... 19,541 659,290
Atul, Ltd.......................................... 70,294 3,439,297
Automotive Axles, Ltd.............................. 37,418 607,960
Avanti Feeds, Ltd.................................. 198,519 1,040,225
* Bajaj Corp., Ltd................................... 469,523 2,217,821
Bajaj Electricals, Ltd............................. 182,733 1,497,194
* Bajaj Hindusthan Sugar, Ltd........................ 2,965,216 353,844
Bajaj Holdings & Investment, Ltd................... 110,956 4,929,256
Balaji Amines, Ltd................................. 66,502 418,706
Balaji Telefilms, Ltd.............................. 215,547 233,764
Balkrishna Industries, Ltd......................... 475,987 6,268,573
* Ballarpur Industries, Ltd.......................... 1,442,553 55,009
Balmer Lawrie & Co., Ltd........................... 308,856 752,778
Balrampur Chini Mills, Ltd......................... 1,144,517 2,486,751
Banco Products India, Ltd.......................... 152,996 326,051
* Bank of Baroda..................................... 976,400 1,636,688
* Bank of Maharashtra................................ 869,980 225,940
Bannari Amman Sugars, Ltd.......................... 14,297 290,422
BASF India, Ltd.................................... 86,158 1,715,681
Bata India, Ltd.................................... 101,386 2,121,362
Bayer CropScience, Ltd............................. 6,694 404,033
BEML, Ltd.......................................... 78,877 988,819
Berger Paints India, Ltd........................... 630,589 2,919,435
* BF Utilities, Ltd.................................. 30,209 79,918
Bhansali Engineering Polymers, Ltd................. 399,040 414,417
* Bharat Financial Inclusion, Ltd.................... 367,223 5,302,110
Bharat Rasayan, Ltd................................ 2,566 150,432
Birla Corp., Ltd................................... 162,236 1,169,659
Bliss Gvs Pharma, Ltd.............................. 354,023 857,338
BLS International Services, Ltd.................... 20,214 35,490
Blue Dart Express, Ltd............................. 34,007 1,604,357
Blue Star, Ltd..................................... 204,026 1,983,525
Bodal Chemicals, Ltd............................... 329,039 575,670
Bombay Dyeing & Manufacturing Co., Ltd............. 616,079 987,708
Borosil Glass Works, Ltd........................... 34,694 100,523
Brigade Enterprises, Ltd........................... 302,306 980,380
BSE, Ltd........................................... 45,992 410,368
Can Fin Homes, Ltd................................. 218,992 1,000,592
* Canara Bank........................................ 398,906 1,489,378
Capacit'e Infraprojects, Ltd....................... 12,686 41,451
Caplin Point Laboratories, Ltd..................... 127,657 670,710
Carborundum Universal, Ltd......................... 400,972 2,066,874
Care Ratings, Ltd.................................. 163,596 2,314,384
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Castrol India, Ltd................................. 366,997 $ 808,126
CCL Products India, Ltd............................ 443,978 1,647,013
Ceat, Ltd.......................................... 149,415 2,258,211
Central Depository Services India, Ltd............. 124,315 418,441
Century Plyboards India, Ltd....................... 473,285 1,181,233
Century Textiles & Industries, Ltd................. 23,932 315,690
Cera Sanitaryware, Ltd............................. 32,275 1,302,691
CESC, Ltd.......................................... 604,391 6,086,053
* CG Power and Industrial Solutions, Ltd............. 2,641,173 1,430,146
Chambal Fertilizers & Chemicals, Ltd............... 1,062,885 2,374,309
Chennai Petroleum Corp., Ltd....................... 352,997 1,283,222
Chennai Super Kings Cricket, Ltd................... 1,658,632 10,061
City Union Bank, Ltd............................... 1,375,265 4,033,397
* Claro India, Ltd................................... 44,794 64,659
* Coffee Day Enterprises, Ltd........................ 248,712 931,207
Coromandel International, Ltd...................... 571,426 3,557,651
* Corp. Bank......................................... 1,394,331 551,916
* Cox & Kings Financial Service, Ltd................. 263,756 143,532
Cox & Kings, Ltd................................... 791,270 1,376,798
CRISIL, Ltd........................................ 117,238 2,423,973
Crompton Greaves Consumer Electricals, Ltd......... 3,171,444 10,826,467
Cyient, Ltd........................................ 394,638 3,346,033
DB Corp., Ltd...................................... 154,469 415,793
* DB Realty, Ltd..................................... 162,634 34,435
DCB Bank, Ltd...................................... 1,566,838 4,769,913
DCM Shriram, Ltd................................... 301,177 1,894,578
Deepak Fertilisers & Petrochemicals Corp., Ltd..... 187,415 364,339
Deepak Nitrite, Ltd................................ 294,798 1,119,525
Delta Corp., Ltd................................... 661,802 2,330,266
Dewan Housing Finance Corp., Ltd................... 857,976 1,639,023
DFM Foods, Ltd..................................... 37,685 144,936
Dhampur Sugar Mills, Ltd........................... 134,484 431,038
Dhanuka Agritech, Ltd.............................. 50,591 271,295
Digicontent, Ltd................................... 182,037 57,055
Dilip Buildcon, Ltd................................ 164,852 1,273,346
Dish TV India, Ltd................................. 3,416,870 1,768,421
* Dishman Carbogen Amcis, Ltd........................ 642,272 2,105,124
Dixon Technologies India, Ltd...................... 3,220 108,791
Dr Lal PathLabs, Ltd............................... 123,244 1,842,589
Dynamatic Technologies, Ltd........................ 8,945 183,612
eClerx Services, Ltd............................... 142,491 2,345,707
Edelweiss Financial Services, Ltd.................. 951,824 2,037,764
EID Parry India, Ltd............................... 515,005 1,432,303
EIH, Ltd........................................... 1,027,752 2,789,768
Electrosteel Castings, Ltd......................... 761,096 213,975
Elgi Equipments, Ltd............................... 360,052 1,376,563
Endurance Technologies, Ltd........................ 15,397 261,870
Engineers India, Ltd............................... 1,176,324 1,888,241
Entertainment Network India, Ltd................... 67,400 476,495
* Eris Lifesciences, Ltd............................. 3,354 30,205
* Eros International Media, Ltd...................... 156,752 161,014
Escorts, Ltd....................................... 518,182 5,545,126
Essel Propack, Ltd................................. 782,764 1,524,473
Eveready Industries India, Ltd..................... 279,246 470,086
Excel Crop Care, Ltd............................... 4,882 238,512
Excel Industries, Ltd.............................. 3,403 51,797
Exide Industries, Ltd.............................. 1,079,269 3,320,576
* FDC, Ltd........................................... 429,517 1,085,166
Federal Bank, Ltd.................................. 8,415,991 11,238,945
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
* Federal-Mogul Goetze India, Ltd.................... 82,059 $ 653,319
FIEM Industries, Ltd............................... 13,594 93,806
Finolex Cables, Ltd................................ 707,829 4,480,157
Finolex Industries, Ltd............................ 298,707 1,990,893
Firstsource Solutions, Ltd......................... 1,633,959 1,192,593
* Fortis Healthcare, Ltd............................. 2,321,065 4,636,493
* Future Enterprises, Ltd............................ 791,059 386,893
Future Lifestyle Fashions, Ltd..................... 111,982 776,445
* Future Retail, Ltd................................. 229,423 1,374,392
Gabriel India, Ltd................................. 415,189 870,175
Garware Technical Fibres, Ltd...................... 54,543 854,785
Gateway Distriparks, Ltd........................... 635,597 1,209,544
Gati, Ltd.......................................... 124,440 145,296
* Gayatri Projects, Ltd.............................. 297,572 695,888
GE Power India, Ltd................................ 73,376 958,061
GE T&D India, Ltd.................................. 185,968 679,213
Geojit Financial Services, Ltd..................... 280,174 154,702
GHCL, Ltd.......................................... 228,000 821,410
GIC Housing Finance, Ltd........................... 98,590 366,170
Gillette India, Ltd................................ 14,622 1,599,768
GlaxoSmithKline Pharmaceuticals, Ltd............... 11,774 216,895
Glenmark Pharmaceuticals, Ltd...................... 549,552 5,011,895
GM Breweries, Ltd.................................. 37,452 296,021
* GMR Infrastructure, Ltd............................ 11,964,271 2,855,448
GOCL Corp., Ltd.................................... 46,790 219,285
* Godawari Power and Ispat, Ltd...................... 26,165 82,992
Godfrey Phillips India, Ltd........................ 90,837 1,437,656
Godrej Agrovet, Ltd................................ 8,130 60,529
Godrej Industries, Ltd............................. 419,995 3,114,776
* Godrej Properties, Ltd............................. 219,286 2,581,873
Granules India, Ltd................................ 674,954 1,085,474
Graphite India, Ltd................................ 52,686 291,181
Great Eastern Shipping Co., Ltd. (The)............. 476,566 1,974,882
Greaves Cotton, Ltd................................ 615,503 1,319,108
Greenply Industries, Ltd........................... 223,561 543,741
Grindwell Norton, Ltd.............................. 101,866 896,767
GRUH Finance, Ltd.................................. 1,261,788 5,770,982
* GTL Infrastructure, Ltd............................ 938,311 12,155
Gujarat Alkalies & Chemicals, Ltd.................. 175,904 1,217,037
Gujarat Ambuja Exports, Ltd........................ 261,578 789,678
Gujarat Fluorochemicals, Ltd....................... 224,424 3,373,646
Gujarat Gas, Ltd................................... 1,484,059 3,394,277
Gujarat Industries Power Co., Ltd.................. 320,510 319,813
Gujarat Mineral Development Corp., Ltd............. 757,628 805,504
Gujarat Narmada Valley Fertilizers & Chemicals,
Ltd.............................................. 269,342 1,209,247
Gujarat Pipavav Port, Ltd.......................... 1,223,530 1,542,532
Gujarat State Fertilizers & Chemicals, Ltd......... 969,096 1,370,118
Gujarat State Petronet, Ltd........................ 1,224,601 3,486,803
Gulf Oil Lubricants India, Ltd..................... 98,950 1,220,967
* GVK Power & Infrastructure, Ltd.................... 5,800,593 602,091
Hatsun Agro Products, Ltd.......................... 58,503 588,943
Hatsun Agro Products, Ltd.......................... 3,375 27,036
HBL Power Systems, Ltd............................. 627,675 215,973
* HealthCare Global Enterprises, Ltd................. 92,974 262,301
HEG, Ltd........................................... 11,644 271,655
HeidelbergCement India, Ltd........................ 558,522 1,465,501
Heritage Foods, Ltd................................ 77,562 580,534
Hester Biosciences, Ltd............................ 8,653 176,829
Hexaware Technologies, Ltd......................... 751,914 3,775,911
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
Hikal, Ltd......................................... 334,617 $ 852,393
HIL, Ltd........................................... 15,712 418,079
Himachal Futuristic Communications, Ltd............ 3,544,759 1,126,693
Himadri Speciality Chemical, Ltd................... 754,490 1,199,657
Himatsingka Seide, Ltd............................. 248,863 761,770
Hinduja Global Solutions, Ltd...................... 48,678 432,589
Hinduja Ventures, Ltd.............................. 37,897 210,102
* Hindustan Oil Exploration Co., Ltd................. 249,147 443,298
Honda SIEL Power Products, Ltd..................... 16,776 254,991
Honeywell Automation India, Ltd.................... 12,283 4,254,934
* Hotel Leela Venture, Ltd........................... 487,744 72,245
* Housing Development & Infrastructure, Ltd.......... 2,901,689 963,928
HSIL, Ltd.......................................... 236,140 912,681
HT Media, Ltd...................................... 728,149 410,775
Huhtamaki PPL, Ltd................................. 141,795 458,801
I G Petrochemicals, Ltd............................ 70,875 299,888
ICRA, Ltd.......................................... 2,896 131,266
* IDFC First Bank, Ltd............................... 9,693,262 6,927,971
IDFC, Ltd.......................................... 5,315,848 3,050,654
* IFB Industries, Ltd................................ 62,865 820,364
* IFCI, Ltd.......................................... 6,365,167 970,340
Igarashi Motors India, Ltd......................... 1,191 5,464
IIFL Holdings, Ltd................................. 1,410,829 8,745,075
* IL&FS Transportation Networks, Ltd................. 546,574 38,964
India Cements, Ltd. (The).......................... 1,331,790 2,044,384
India Glycols, Ltd................................. 70,838 258,156
India Nippon Electricals, Ltd...................... 14,955 93,596
Indiabulls Integrated Services, Ltd................ 41,160 177,395
* Indiabulls Real Estate, Ltd........................ 1,754,817 2,873,177
Indiabulls Ventures, Ltd........................... 929,117 3,941,628
Indiabulls Ventures, Ltd........................... 152,225 381,246
* Indian Bank........................................ 682,217 2,481,659
Indian Hotels Co., Ltd. (The)...................... 3,596,183 7,962,928
Indian Hume Pipe Co., Ltd.......................... 61,177 233,988
* Indian Overseas Bank............................... 2,435,813 494,123
Indo Count Industries, Ltd......................... 435,926 254,987
Indoco Remedies, Ltd............................... 253,541 725,562
INEOS Styrolution India, Ltd....................... 30,905 242,587
Infibeam Avenues, Ltd.............................. 98,091 58,853
Ingersoll-Rand India, Ltd.......................... 78,519 686,537
* Inox Leisure, Ltd.................................. 413,809 1,864,025
* Inox Wind, Ltd..................................... 288,165 265,614
Insecticides India, Ltd............................ 32,706 294,070
* Intellect Design Arena, Ltd........................ 342,953 1,111,749
* International Paper APPM, Ltd...................... 49,835 317,157
Ipca Laboratories, Ltd............................. 376,669 5,191,186
IRB Infrastructure Developers, Ltd................. 1,170,839 2,049,852
ITD Cementation India, Ltd......................... 370,866 660,954
J Kumar Infraprojects, Ltd......................... 166,672 289,190
Jagran Prakashan, Ltd.............................. 764,222 1,248,082
Jai Corp., Ltd..................................... 411,654 688,424
Jain Irrigation Systems, Ltd....................... 2,117,960 1,651,467
* Jaiprakash Associates, Ltd......................... 8,194,430 636,836
* Jaiprakash Power Ventures, Ltd..................... 14,119,051 591,515
* Jammu & Kashmir Bank, Ltd. (The)................... 2,013,045 1,749,338
Jamna Auto Industries, Ltd......................... 953,834 746,199
Jayant Agro-Organics, Ltd.......................... 6,584 19,389
* Jaypee Infratech, Ltd.............................. 2,580,451 85,391
JB Chemicals & Pharmaceuticals, Ltd................ 204,577 1,013,725
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
JBM Auto, Ltd...................................... 15,094 $ 54,653
* Jet Airways India, Ltd............................. 223,316 480,991
Jindal Poly Films, Ltd............................. 124,106 450,561
Jindal Saw, Ltd.................................... 1,033,433 1,206,191
* Jindal Stainless Hisar, Ltd........................ 334,099 418,118
* Jindal Stainless, Ltd.............................. 475,544 254,490
* Jindal Steel & Power, Ltd.......................... 1,710,632 4,383,370
JK Cement, Ltd..................................... 157,446 2,058,459
JK Lakshmi Cement, Ltd............................. 288,501 1,538,979
JK Paper, Ltd...................................... 563,814 1,117,470
JK Tyre & Industries, Ltd.......................... 473,459 590,287
JM Financial, Ltd.................................. 1,845,543 2,362,591
JMC Projects India, Ltd............................ 267,320 436,135
Johnson Controls-Hitachi Air Conditioning India,
Ltd.............................................. 63,677 1,687,563
* JSW Energy, Ltd.................................... 2,902,020 2,903,534
* JSW Holdings, Ltd.................................. 665 28,513
JTEKT India, Ltd................................... 112,450 164,039
Jubilant Foodworks, Ltd............................ 471,166 9,020,460
Jubilant Life Sciences, Ltd........................ 507,088 4,806,696
* Just Dial, Ltd..................................... 250,576 2,088,345
Jyothy Laboratories, Ltd........................... 857,351 2,206,604
Kajaria Ceramics, Ltd.............................. 514,765 4,381,793
Kalpataru Power Transmission, Ltd.................. 384,967 2,577,806
Kalyani Steels, Ltd................................ 113,000 318,607
Kansai Nerolac Paints, Ltd......................... 257,401 1,628,286
Karnataka Bank, Ltd. (The)......................... 1,179,918 2,146,487
Karur Vysya Bank, Ltd. (The)....................... 2,844,542 3,180,274
Kaveri Seed Co., Ltd............................... 211,584 1,351,032
KCP, Ltd. (The).................................... 278,078 355,829
KEC International, Ltd............................. 606,662 2,490,880
KEI Industries, Ltd................................ 247,955 1,462,621
* Kesoram Industries, Ltd............................ 78,725 75,034
Kewal Kiran Clothing, Ltd.......................... 2,328 44,640
* Kiri Industries, Ltd............................... 74,470 581,187
Kirloskar Brothers, Ltd............................ 136,214 331,137
Kirloskar Oil Engines, Ltd......................... 257,475 606,960
Kitex Garments, Ltd................................ 18,189 25,843
KNR Constructions, Ltd............................. 257,784 889,856
Kolte-Patil Developers, Ltd........................ 143,148 474,608
* KPIT Engineering, Ltd.............................. 1,131,802 1,680,119
* KPIT Technologies, Ltd............................. 1,131,802 1,533,490
KPR Mill, Ltd...................................... 107,543 924,308
KRBL, Ltd.......................................... 419,992 2,017,340
KSB, Ltd........................................... 40,851 389,503
LA Opala RG, Ltd................................... 111,012 329,147
Lakshmi Machine Works, Ltd......................... 23,004 1,911,104
* Lakshmi Vilas Bank, Ltd. (The)..................... 722,986 782,390
Laurus Labs, Ltd................................... 95,931 529,480
LG Balakrishnan & Bros, Ltd........................ 50,669 267,396
Linde India, Ltd................................... 99,527 688,172
LT Foods, Ltd...................................... 694,369 342,555
Lumax Auto Technologies, Ltd....................... 4,975 8,771
Lumax Industries, Ltd.............................. 7,257 177,338
LUX Industries, Ltd................................ 33,759 635,779
Magma Fincorp, Ltd................................. 365,908 655,051
Mahanagar Gas, Ltd................................. 136,880 1,897,914
Maharashtra Scooters, Ltd.......................... 5,428 285,194
Maharashtra Seamless, Ltd.......................... 209,430 1,430,495
Mahindra & Mahindra Financial Services, Ltd........ 321,541 1,844,301
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
* Mahindra CIE Automotive, Ltd....................... 326,221 $1,070,810
Mahindra Holidays & Resorts India, Ltd............. 307,406 1,038,724
Mahindra Lifespace Developers, Ltd................. 151,214 829,113
Mahindra Logistics, Ltd............................ 4,419 33,991
Maithan Alloys, Ltd................................ 42,638 316,386
* Majesco, Ltd....................................... 95,655 718,220
Man Infraconstruction, Ltd......................... 474,414 239,637
Manappuram Finance, Ltd............................ 3,420,364 5,787,063
Mangalore Refinery & Petrochemicals, Ltd........... 677,229 710,328
Manpasand Beverages Ltd............................ 46,700 73,322
Marksans Pharma, Ltd............................... 1,431,414 484,961
MAS Financial Services, Ltd........................ 1,194 10,303
Mastek, Ltd........................................ 56,155 386,473
* Max Financial Services, Ltd........................ 612,057 3,682,772
* Max India, Ltd..................................... 960,513 969,265
Mayur Uniquoters, Ltd.............................. 95,841 458,336
McLeod Russel India, Ltd........................... 347,840 305,109
Meghmani Organics, Ltd............................. 515,231 492,073
* Mercator, Ltd...................................... 233,243 14,917
Merck, Ltd......................................... 47,301 2,529,436
Minda Corp., Ltd................................... 381,569 697,625
Minda Industries, Ltd.............................. 242,145 1,253,817
Mindtree, Ltd...................................... 680,170 9,585,966
Mirza International, Ltd........................... 122,058 95,502
MM Forgings, Ltd................................... 9,652 76,332
MOIL, Ltd.......................................... 440,659 971,747
Monte Carlo Fashions, Ltd.......................... 17,675 81,792
* Morepen Laboratories, Ltd.......................... 1,481,116 353,509
Motilal Oswal Financial Services, Ltd.............. 177,299 1,807,258
Mphasis, Ltd....................................... 522,888 7,251,484
MPS, Ltd........................................... 36,417 254,101
Multi Commodity Exchange of India, Ltd............. 73,097 906,787
Munjal Showa, Ltd.................................. 39,839 89,094
* Music Broadcast, Ltd............................... 24,775 20,790
* Muthoot Capital Services, Ltd...................... 31,522 340,076
Muthoot Finance, Ltd............................... 697,543 5,989,295
* Nagarjuna Fertilizers & Chemicals, Ltd............. 535,484 47,733
* Narayana Hrudayalaya, Ltd.......................... 166,225 482,509
Natco Pharma, Ltd.................................. 585,449 4,547,006
National Aluminium Co., Ltd........................ 3,240,291 2,423,043
National Fertilizers, Ltd.......................... 49,204 25,308
Nava Bharat Ventures, Ltd.......................... 493,710 724,225
Navin Fluorine International, Ltd.................. 103,610 1,000,163
* Navkar Corp., Ltd.................................. 45,000 22,153
Navneet Education, Ltd............................. 669,884 1,074,327
NBCC India, Ltd.................................... 1,747,404 1,458,088
NCC, Ltd........................................... 2,947,396 4,203,322
NESCO, Ltd......................................... 174,641 1,251,163
* Network18 Media & Investments, Ltd................. 627,668 298,334
* Neuland Laboratories, Ltd.......................... 14,795 150,738
NIIT Technologies, Ltd............................. 306,008 5,681,285
* NIIT, Ltd.......................................... 461,951 699,025
Nilkamal, Ltd...................................... 34,638 661,638
NLC India, Ltd..................................... 127,460 119,062
NOCIL, Ltd......................................... 388,874 749,547
NRB Bearings, Ltd.................................. 277,595 747,905
Nucleus Software Exports, Ltd...................... 30,339 164,876
Oberoi Realty, Ltd................................. 592,760 4,322,208
Odisha Cement, Ltd................................. 318,094 5,233,481
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Omaxe, Ltd......................................... 328,663 $ 981,917
Orient Cement, Ltd................................. 417,073 631,426
Orient Electric, Ltd............................... 307,079 664,527
Orient Paper & Industries, Ltd..................... 307,079 145,595
Orient Refractories, Ltd........................... 173,321 596,662
* Oriental Bank of Commerce.......................... 1,694,261 2,342,528
Oriental Carbon & Chemicals, Ltd................... 13,160 217,210
Page Industries, Ltd............................... 5,333 1,778,366
Paisalo Digital, Ltd............................... 7,508 34,853
* Panacea Biotec, Ltd................................ 41,966 116,074
Panama Petrochem, Ltd.............................. 126,555 223,766
Parag Milk Foods, Ltd.............................. 258,721 894,508
PC Jeweller, Ltd................................... 1,075,573 1,836,022
Persistent Systems, Ltd............................ 254,372 2,322,601
Pfizer, Ltd........................................ 92,470 4,190,921
Phillips Carbon Black, Ltd......................... 561,485 1,270,459
Phoenix Mills, Ltd.(The)........................... 349,448 3,014,697
PI Industries, Ltd................................. 441,077 6,660,128
PNC Infratech, Ltd................................. 39,003 84,415
Poly Medicure, Ltd................................. 54,673 153,641
Polyplex Corp., Ltd................................ 49,131 362,064
Power Mech Projects, Ltd........................... 15,464 197,413
* Prabhat Dairy, Ltd................................. 159,023 159,341
Praj Industries, Ltd............................... 655,281 1,286,523
* Prakash Industries, Ltd............................ 358,348 358,271
Prestige Estates Projects, Ltd..................... 781,418 2,961,360
* Prime Focus, Ltd................................... 140,332 124,322
Prism Johnson, Ltd................................. 631,808 855,032
PSP Projects, Ltd.................................. 4,905 33,145
PTC India Financial Services, Ltd.................. 1,650,202 385,646
PTC India, Ltd..................................... 1,738,816 1,725,218
Puravankara, Ltd................................... 384,178 403,276
PVR, Ltd........................................... 157,143 4,001,088
* Quess Corp., Ltd................................... 19,999 201,013
Quick Heal Technologies, Ltd....................... 67,308 202,866
Radico Khaitan, Ltd................................ 430,771 2,192,312
Rain Industries Ltd................................ 648,863 1,069,459
Rajesh Exports, Ltd................................ 217,546 2,095,667
Rallis India, Ltd.................................. 455,415 969,137
Ramco Cements, Ltd. (The).......................... 413,435 4,598,111
Ramco Industries, Ltd.............................. 176,508 529,529
* Ramco Systems, Ltd................................. 28,350 90,524
Ramkrishna Forgings, Ltd........................... 75,535 553,808
* Ramky Infrastructure, Ltd.......................... 23,515 34,500
Rane Holdings, Ltd................................. 15,722 273,705
Rashtriya Chemicals & Fertilizers, Ltd............. 893,387 732,738
Ratnamani Metals & Tubes, Ltd...................... 67,754 858,385
* RattanIndia Power, Ltd............................. 5,297,987 198,066
Raymond, Ltd....................................... 227,777 2,528,939
Redington India, Ltd............................... 1,824,608 2,705,805
Relaxo Footwears, Ltd.............................. 104,598 1,315,245
Reliance Capital, Ltd.............................. 731,461 1,377,362
* Reliance Communications, Ltd....................... 9,038,246 240,810
Reliance Home Finance, Ltd......................... 983,665 366,497
Reliance Infrastructure, Ltd....................... 847,732 1,305,558
* Reliance Power, Ltd................................ 4,062,078 350,082
Repco Home Finance, Ltd............................ 241,685 1,454,101
Rico Auto Industries, Ltd.......................... 148,401 136,755
RP SG Retail, Ltd.................................. 362,635 753,836
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
* RP-SG Business Process Services, Ltd............... 120,878 $ 889,726
Rushil Decor, Ltd.................................. 7,854 66,611
Sadbhav Engineering, Ltd........................... 518,335 1,787,004
Sadbhav Infrastructure Project, Ltd................ 168,293 206,698
Sagar Cements, Ltd................................. 15,163 136,705
* Sanghi Industries, Ltd............................. 343,110 301,850
Sanofi India, Ltd.................................. 42,692 3,441,456
* Sanwaria Consumer, Ltd............................. 853,445 105,589
Sarda Energy & Minerals, Ltd....................... 42,763 170,455
Saregama India, Ltd................................ 54,353 444,246
Sasken Technologies, Ltd........................... 40,116 435,247
Savita Oil Technologies, Ltd....................... 1,504 25,735
Schaeffler India, Ltd.............................. 38,269 2,971,742
* Schneider Electric Infrastructure, Ltd............. 22,038 31,609
* Sequent Scientific, Ltd............................ 169,337 168,762
SH Kelkar & Co., Ltd............................... 130,662 281,848
Shankara Building Products, Ltd.................... 23,325 174,123
Shanthi Gears, Ltd................................. 5,154 9,454
Sharda Cropchem, Ltd............................... 97,276 509,833
Sharda Motor Industries, Ltd....................... 1,720 36,550
Shemaroo Entertainment, Ltd........................ 16,694 92,147
* Shilpa Medicare, Ltd............................... 121,313 677,506
* Shipping Corp. of India, Ltd....................... 842,726 418,411
Shoppers Stop, Ltd................................. 69,462 459,496
Shriram City Union Finance, Ltd.................... 58,297 1,377,060
* Shriram EPC, Ltd................................... 106,141 12,137
* Sical Logistics, Ltd............................... 65,637 111,963
Simplex Infrastructures, Ltd....................... 113,011 260,130
Sintex Industries, Ltd............................. 1,094,584 124,376
* Sintex Plastics Technology, Ltd.................... 2,842,241 731,740
* SITI Networks, Ltd................................. 1,024,334 60,978
Siyaram Silk Mills, Ltd............................ 27,445 140,635
SJVN, Ltd.......................................... 733,114 253,579
SKF India, Ltd..................................... 126,043 3,566,066
Skipper, Ltd....................................... 148,385 134,432
SML ISUZU, Ltd..................................... 39,324 446,829
Sobha, Ltd......................................... 391,520 2,692,509
Solar Industries India, Ltd........................ 147,717 2,287,800
* Solara Active Pharma Sciences, Ltd................. 9,208 50,557
Somany Ceramics, Ltd............................... 48,736 297,737
Sonata Software, Ltd............................... 299,967 1,421,365
South Indian Bank, Ltd. (The)...................... 4,306,579 960,407
Srei Infrastructure Finance, Ltd................... 1,205,273 449,943
SRF, Ltd........................................... 118,385 4,366,363
Srikalahasthi Pipes, Ltd........................... 120,091 375,830
Star Cement, Ltd................................... 191,487 290,983
Sterlite Technologies, Ltd......................... 941,122 2,572,120
Strides Pharma Science, Ltd........................ 353,724 2,440,603
Subros, Ltd........................................ 120,150 484,627
Sudarshan Chemical Industries...................... 131,756 634,973
Sundaram Finance Holdings, Ltd..................... 54,598 62,844
Sundaram Finance, Ltd.............................. 55,429 1,149,440
Sundaram-Clayton, Ltd.............................. 6,812 272,930
Sundram Fasteners, Ltd............................. 460,112 3,632,773
Sunteck Realty, Ltd................................ 293,029 1,954,875
Suprajit Engineering, Ltd.......................... 222,187 749,113
Supreme Industries, Ltd............................ 298,569 4,904,291
Supreme Petrochem, Ltd............................. 172,445 513,337
Surya Roshni, Ltd.................................. 101,312 348,263
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Sutlej Textiles and Industries, Ltd.......... 82,602 $ 44,479
Suven Life Sciences, Ltd..................... 457,898 1,739,228
* Suzlon Energy, Ltd........................... 6,762,404 675,886
Swan Energy, Ltd............................. 76,621 118,508
Swaraj Engines, Ltd.......................... 26,536 534,050
Symphony, Ltd................................ 62,949 1,231,085
* Syndicate Bank............................... 3,628,799 1,955,366
Syngene International, Ltd................... 194,225 1,719,761
TAKE Solutions, Ltd.......................... 358,444 756,382
Tamil Nadu Newsprint & Papers, Ltd........... 159,773 443,214
Tasty Bite Eatables, Ltd..................... 395 49,744
Tata Chemicals, Ltd.......................... 273,969 2,267,953
Tata Communications, Ltd..................... 138,853 1,130,237
Tata Elxsi, Ltd.............................. 132,247 1,770,759
Tata Global Beverages, Ltd................... 2,360,828 7,099,974
Tata Metaliks, Ltd........................... 76,191 676,903
Tata Sponge Iron, Ltd........................ 42,664 451,219
* Tata Teleservices Maharashtra, Ltd........... 2,626,681 111,339
TCI Express, Ltd............................. 125,394 1,217,496
Techno Electric & Engineering Co., Ltd....... 248,038 848,335
* Tejas Networks, Ltd.......................... 35,238 96,133
Texmaco Rail & Engineering, Ltd.............. 418,713 407,759
Thermax, Ltd................................. 223,046 3,141,417
Thirumalai Chemicals, Ltd.................... 307,194 380,350
Thomas Cook India, Ltd....................... 235,693 843,941
Thyrocare Technologies, Ltd.................. 61,221 432,176
* TI Financial Holdings, Ltd................... 526,505 3,923,400
Tide Water Oil Co India, Ltd................. 6,961 502,031
Time Technoplast, Ltd........................ 760,995 995,323
Timken India, Ltd............................ 162,434 1,296,225
Tinplate Co. of India, Ltd. (The)............ 182,823 375,904
Titagarh Wagons, Ltd......................... 272,853 243,339
Torrent Power, Ltd........................... 1,249,416 4,547,612
Tourism Finance Corp. of India, Ltd.......... 95,791 155,974
Transport Corp. of India, Ltd................ 253,698 1,058,308
Trent, Ltd................................... 449,150 2,293,249
Trident, Ltd................................. 717,657 676,351
Triveni Engineering & Industries, Ltd........ 433,753 409,587
Triveni Turbine, Ltd......................... 426,083 643,256
TTK Prestige, Ltd............................ 29,272 3,454,288
Tube Investments of India, Ltd............... 545,099 2,978,782
TV Today Network, Ltd........................ 168,008 743,962
* TV18 Broadcast, Ltd.......................... 3,725,921 1,683,167
TVS Srichakra, Ltd........................... 14,221 442,514
* UCO Bank..................................... 1,704,835 439,126
Uflex, Ltd................................... 232,965 764,079
UFO Moviez India, Ltd........................ 38,046 120,409
Unichem Laboratories, Ltd.................... 245,041 673,643
* Union Bank of India.......................... 2,771,751 3,316,831
Uniply Industries, Ltd....................... 12,215 5,520
* Unitech, Ltd................................. 9,045,963 169,092
* Usha Martin, Ltd............................. 23,860 11,188
* V2 Retail, Ltd............................... 92,038 337,850
VA Tech Wabag, Ltd........................... 217,671 897,655
Vaibhav Global, Ltd.......................... 55,744 552,162
Vardhman Textiles, Ltd....................... 133,634 2,157,481
Venky's India, Ltd........................... 28,060 805,739
Vesuvius India, Ltd.......................... 9,930 158,703
V-Guard Industries, Ltd...................... 996,331 3,109,474
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
INDIA -- (Continued)
Vinati Organics, Ltd............................... 74,867 $ 1,938,018
Vindhya Telelinks, Ltd............................. 15,392 287,820
VIP Industries, Ltd................................ 343,789 2,314,349
Visaka Industries, Ltd............................. 25,952 148,120
V-Mart Retail, Ltd................................. 40,820 1,640,473
VRL Logistics, Ltd................................. 202,393 788,619
VST Industries, Ltd................................ 31,243 1,527,005
VST Tillers Tractors, Ltd.......................... 13,719 248,783
WABCO India, Ltd................................... 28,104 2,527,938
Welspun Corp., Ltd................................. 615,771 1,180,346
Welspun Enterprises, Ltd........................... 411,154 664,319
Welspun India, Ltd................................. 2,323,695 1,775,069
West Coast Paper Mills, Ltd........................ 156,042 548,648
Wheels India, Ltd.................................. 3,448 42,703
Whirlpool of India, Ltd............................ 74,562 1,491,599
* Wockhardt, Ltd..................................... 164,979 976,383
Wonderla Holidays, Ltd............................. 80,157 362,457
Zee Learn, Ltd..................................... 956,093 358,422
* Zee Media Corp., Ltd............................... 838,464 178,957
Zensar Technologies, Ltd........................... 543,524 1,818,503
* Zuari Agro Chemicals, Ltd.......................... 16,783 42,356
Zydus Wellness, Ltd................................ 85,355 1,595,492
------------
TOTAL INDIA............................................ 760,698,080
------------
INDONESIA -- (2.9%)
Ace Hardware Indonesia Tbk PT...................... 54,882,200 6,358,581
Adhi Karya Persero Tbk PT.......................... 15,633,888 1,912,229
* Agung Podomoro Land Tbk PT......................... 53,158,700 645,349
AKR Corporindo Tbk PT.............................. 16,063,800 5,021,918
* Alam Sutera Realty Tbk PT.......................... 103,850,200 2,447,760
* Alfa Energi Investama Tbk PT....................... 605,600 283,676
Aneka Tambang Tbk PT............................... 68,820,791 4,189,482
Arwana Citramulia Tbk PT........................... 29,196,500 1,045,088
Asahimas Flat Glass Tbk PT......................... 978,600 388,108
Astra Agro Lestari Tbk PT.......................... 2,891,300 2,207,026
Astra Graphia Tbk PT............................... 2,211,000 197,164
Astra Otoparts Tbk PT.............................. 3,219,400 354,759
* Astrindo Nusantara Infrastructure Tbk PT........... 116,519,400 408,454
* Asuransi Kresna Mitra Tbk PT....................... 8,263,400 400,086
* Bakrie Telecom Tbk PT.............................. 49,756,298 17,458
* Bank Bukopin Tbk................................... 42,210,366 924,734
* Bank Ina Perdana PT................................ 6,533,600 362,185
Bank Maybank Indonesia Tbk PT...................... 6,622,700 119,056
* Bank Nationalnobu Tbk PT........................... 715,800 46,683
* Bank Pan Indonesia Tbk PT.......................... 28,318,900 2,573,655
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk
PT............................................... 22,455,700 3,202,177
* Bank Pembangunan Daerah Jawa Timur Tbk PT.......... 30,021,800 1,433,264
* Bank Permata Tbk PT................................ 24,540,202 1,619,914
Bank Tabungan Negara Persero Tbk PT................ 2,403,249 427,951
Barito Pacific Tbk PT.............................. 14,604,700 4,133,042
Bekasi Fajar Industrial Estate Tbk PT.............. 50,608,200 1,051,971
* Berlian Laju Tanker Tbk PT......................... 35,106,366 123,180
BFI Finance Indonesia Tbk PT....................... 648,400 30,443
* Bintang Oto Global Tbk PT.......................... 6,748,100 367,023
BISI International Tbk PT.......................... 15,390,200 1,619,472
Blue Bird Tbk PT................................... 2,225,700 513,870
* Buana Lintas Lautan Tbk PT......................... 6,462,500 89,425
Bukit Asam Tbk PT.................................. 2,099,200 584,004
* Bumi Resources Tbk PT.............................. 70,558,100 609,865
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
INDONESIA -- (Continued)
* Bumi Serpong Damai Tbk PT.......................... 3,083,700 $ 310,848
* Bumi Teknokultura Unggul Tbk PT.................... 64,075,000 517,147
Catur Sentosa Adiprana Tbk PT...................... 2,986,100 124,462
* Centratama Telekomunikasi Indonesia Tbk PT......... 1,300,300 7,941
Ciputra Development Tbk PT......................... 101,513,720 8,054,328
* Citra Marga Nusaphala Persada Tbk PT............... 17,389,602 1,577,834
* City Retail Developments Tbk PT.................... 12,056,400 110,081
* Clipan Finance Indonesia Tbk PT.................... 1,454,500 33,934
* Delta Dunia Makmur Tbk PT.......................... 40,125,800 1,521,927
Dharma Satya Nusantara Tbk PT...................... 2,071,600 56,122
* Eagle High Plantations Tbk PT...................... 96,757,400 1,085,830
Elnusa Tbk PT...................................... 29,189,600 789,782
* Energi Mega Persada Tbk PT......................... 39,263,200 165,401
Erajaya Swasembada Tbk PT.......................... 10,697,000 1,089,570
Fajar Surya Wisesa Tbk PT.......................... 644,000 361,809
* Gajah Tunggal Tbk PT............................... 19,223,200 999,093
* Garuda Indonesia Persero Tbk PT.................... 41,557,749 1,359,312
Global Mediacom Tbk PT............................. 64,609,000 1,823,582
* Hanson International Tbk PT........................ 472,579,500 3,283,181
Harum Energy Tbk PT................................ 7,616,400 716,949
Hexindo Adiperkasa Tbk PT.......................... 508,500 110,621
Impack Pratama Industri Tbk PT..................... 169,800 10,365
Indah Kiat Pulp & Paper Corp. Tbk PT............... 12,434,500 6,464,065
Indika Energy Tbk PT............................... 12,820,200 1,536,237
Indo Tambangraya Megah Tbk PT...................... 2,899,800 3,916,020
* Indofarma Persero Tbk PT........................... 76,200 20,867
Indomobil Multi Jasa Tbk PT........................ 5,577,700 242,791
Indomobil Sukses Internasional Tbk PT.............. 1,854,400 366,024
* Indo-Rama Synthetics Tbk PT........................ 115,600 37,934
Indosat Tbk PT..................................... 6,632,000 1,215,332
Industri dan Perdagangan Bintraco Dharma Tbk PT.... 3,073,700 561,153
Industri Jamu Dan Farmasi Sido Muncul Tbk PT....... 24,978,100 1,787,048
* Inti Agri Resources Tbk PT......................... 92,782,800 599,113
* Intikeramik Alamasri Industri Tbk PT............... 48,315,207 559,350
* Intiland Development Tbk PT........................ 67,011,432 1,559,834
Japfa Comfeed Indonesia Tbk PT..................... 39,588,600 4,338,305
Jaya Real Property Tbk PT.......................... 14,870,000 621,031
* Kapuas Prima Coal Tbk PT........................... 27,454,500 1,117,393
* Kawasan Industri Jababeka Tbk PT................... 155,903,557 2,736,548
KMI Wire & Cable Tbk PT............................ 17,852,200 553,528
* Krakatau Steel Persero Tbk PT...................... 36,962,302 1,137,012
* Kresna Graha Investama Tbk PT...................... 121,185,200 4,934,246
Link Net Tbk PT.................................... 6,508,000 1,984,712
* Lippo Cikarang Tbk PT.............................. 4,982,900 647,623
Lippo Karawaci Tbk PT.............................. 122,866,100 2,823,138
* M Cash Integrasi PT................................ 2,008,000 510,198
Malindo Feedmill Tbk PT............................ 10,825,300 915,594
Matahari Department Store Tbk PT................... 10,764,800 3,082,132
* Matahari Putra Prima Tbk PT........................ 804,928 11,427
* Medco Energi Internasional Tbk PT.................. 61,674,733 3,805,555
Media Nusantara Citra Tbk PT....................... 36,775,500 2,427,824
* Mega Manunggal Property Tbk PT..................... 1,096,800 33,034
Metrodata Electronics Tbk PT....................... 3,723,900 282,351
Metropolitan Kentjana Tbk PT....................... 7,900 8,655
* Minna Padi Investama Sekuritas Tbk PT.............. 136,100 5,499
Mitra Adiperkasa Tbk PT............................ 67,679,300 4,729,042
* Mitra Keluarga Karyasehat Tbk PT................... 7,205,100 1,091,745
* MNC Investama Tbk PT............................... 193,556,400 1,114,803
* MNC Land Tbk PT.................................... 11,480,500 106,499
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
INDONESIA -- (Continued)
* MNC Sky Vision Tbk PT.............................. 1,534,400 $ 106,059
Modernland Realty Tbk PT........................... 86,748,800 1,847,708
* Multipolar Tbk PT.................................. 30,666,500 271,347
* Multistrada Arah Sarana Tbk PT..................... 11,323,400 663,306
Nippon Indosari Corpindo Tbk PT.................... 19,245,089 1,756,045
Pabrik Kertas Tjiwi Kimia Tbk PT................... 3,139,800 2,222,269
* Pacific Strategic Financial Tbk PT................. 12,878,400 533,281
Pakuwon Jati Tbk PT................................ 16,849,500 845,216
Pan Brothers Tbk PT................................ 30,784,400 1,089,914
* Panin Financial Tbk PT............................. 164,994,800 4,682,645
Panin Sekuritas Tbk PT............................. 30,500 3,042
* Paninvest Tbk PT................................... 9,360,600 883,615
* Pelat Timah Nusantara Tbk PT....................... 52,300 9,070
* Pelayaran Tamarin Samudra Tbk PT................... 4,904,300 1,571,550
Perusahaan Perkebunan London Sumatra Indonesia Tbk
PT............................................... 28,030,700 2,144,870
* Pool Advista Indonesia Tbk PT...................... 11,839,700 1,794,656
PP Persero Tbk PT.................................. 25,864,614 4,365,359
PP Properti Tbk PT................................. 166,048,000 1,700,923
Puradelta Lestari Tbk PT........................... 38,799,400 696,739
Ramayana Lestari Sentosa Tbk PT.................... 28,425,300 3,561,960
Resource Alam Indonesia Tbk PT..................... 2,456,000 48,321
* Rimo International Lestari Tbk PT.................. 203,288,400 1,910,800
Rukun Raharja Tbk PT............................... 491,600 9,530
Salim Ivomas Pratama Tbk PT........................ 34,132,600 992,303
Sampoerna Agro PT.................................. 5,907,900 1,016,495
Sawit Sumbermas Sarana Tbk PT...................... 25,323,500 1,928,109
Selamat Sempurna Tbk PT............................ 21,628,300 2,277,025
Semen Baturaja Persero Tbk PT...................... 21,830,200 1,501,853
* Sentul City Tbk PT................................. 203,622,200 1,646,422
* Siloam International Hospitals Tbk PT.............. 3,832,450 1,098,342
Sinar Mas Agro Resources & Technology Tbk PT....... 1,037,460 268,207
* Sitara Propertindo Tbk PT.......................... 39,473,800 2,091,367
* Smartfren Telecom Tbk PT........................... 11,158,200 244,408
Sri Rejeki Isman Tbk PT............................ 113,843,331 2,684,467
* Sugih Energy Tbk PT................................ 100,457,800 352,484
Summarecon Agung Tbk PT............................ 77,571,664 6,091,014
Surya Citra Media Tbk PT........................... 677,500 88,454
* Surya Esa Perkasa Tbk PT........................... 30,516,300 774,960
Surya Semesta Internusa Tbk PT..................... 34,282,800 1,625,086
Tempo Scan Pacific Tbk PT.......................... 1,861,700 227,350
* Tiga Pilar Sejahtera Food Tbk...................... 19,238,200 85,053
Timah Tbk PT....................................... 25,124,314 2,418,881
Tiphone Mobile Indonesia Tbk PT.................... 18,327,400 867,794
Total Bangun Persada Tbk PT........................ 12,489,400 534,702
Tower Bersama Infrastructure Tbk PT................ 8,737,900 2,424,880
* Trada Alam Minera Tbk PT........................... 207,403,600 1,704,567
* Trias Sentosa Tbk PT............................... 33,233,000 910,542
Tunas Baru Lampung Tbk PT.......................... 20,570,900 1,219,951
Tunas Ridean Tbk PT................................ 11,568,200 939,606
Ultrajaya Milk Industry & Trading Co. Tbk PT....... 15,265,600 1,371,950
Unggul Indah Cahaya Tbk PT......................... 48,239 18,717
* Vale Indonesia Tbk PT.............................. 14,130,200 3,028,765
* Visi Media Asia Tbk PT............................. 61,827,900 585,986
Waskita Beton Precast Tbk PT....................... 77,439,500 2,394,947
Waskita Karya Persero Tbk PT....................... 7,186,000 1,071,495
Wijaya Karya Beton Tbk PT.......................... 31,666,300 1,356,283
Wijaya Karya Persero Tbk PT........................ 26,680,307 4,539,268
* XL Axiata Tbk PT................................... 5,134,400 1,052,773
------------
TOTAL INDONESIA........................................ 211,855,564
------------
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (3.2%)
Duopharma Biotech Bhd.............................. 624,100 $ 213,142
# 7-Eleven Malaysia Holdings Bhd, Class B............ 2,842,946 1,018,134
# Aeon Co. M Bhd..................................... 3,548,000 1,236,600
# AEON Credit Service M Bhd.......................... 674,700 2,660,711
AFFIN Bank Bhd..................................... 1,752,864 950,135
# * AirAsia X Bhd...................................... 19,274,700 1,096,707
Ajinomoto Malaysia Bhd............................. 62,800 267,128
Alliance Bank Malaysia Bhd......................... 3,286,400 3,229,244
Allianz Malaysia Bhd............................... 150,500 495,153
Amway Malaysia Holdings Bhd........................ 223,300 321,473
# Ann Joo Resources Bhd.............................. 1,102,650 469,659
APM Automotive Holdings Bhd........................ 256,900 187,919
* ATA IMS Bhd........................................ 73,800 32,125
* Benalec Holdings Bhd............................... 2,457,700 122,005
# * Berjaya Assets Bhd................................. 3,662,800 266,016
* Berjaya Corp. Bhd.................................. 22,916,027 1,470,400
Berjaya Food Bhd................................... 357,600 153,966
* Berjaya Land Bhd................................... 4,424,500 246,233
Berjaya Sports Toto Bhd............................ 4,226,867 2,689,809
# * Bermaz Auto Bhd.................................... 4,847,700 2,813,968
BIMB Holdings Bhd.................................. 1,481,408 1,662,655
Bintulu Port Holdings Bhd.......................... 25,900 30,759
# * Borneo Oil Bhd..................................... 6,671,999 72,904
Boustead Holdings Bhd.............................. 2,775,328 859,414
Boustead Plantations Bhd........................... 3,392,899 656,337
# * Bumi Armada Bhd.................................... 17,512,700 995,706
Bursa Malaysia Bhd................................. 4,938,200 8,062,333
# CAB Cakaran Corp. Bhd.............................. 2,339,700 328,480
# Cahya Mata Sarawak Bhd............................. 3,940,200 3,183,485
Can-One Bhd........................................ 404,600 314,246
Carlsberg Brewery Malaysia Bhd, Class B............ 1,127,700 6,891,294
# CB Industrial Product Holding Bhd.................. 2,699,940 764,330
Chin Teck Plantations BHD.......................... 33,000 53,167
CJ Century Logistics Holdings Bhd, Class B......... 1,140,500 121,601
* Coastal Contracts Bhd.............................. 1,753,166 445,462
# Comfort Glove Bhd.................................. 772,600 157,989
* CRG, Inc. Bhd...................................... 1,119,300 12,350
CSC Steel Holdings Bhd............................. 875,500 237,351
# Cypark Resources Bhd............................... 1,738,950 702,723
# D&O Green Technologies Bhd......................... 4,297,400 702,262
* Dagang NeXchange Bhd............................... 8,606,100 584,020
# Datasonic Group Bhd................................ 4,590,800 545,843
* Dayang Enterprise Holdings Bhd..................... 2,227,696 760,117
# DRB-Hicom Bhd...................................... 6,073,600 3,205,786
Dutch Lady Milk Industries Bhd..................... 139,300 2,159,417
# * Eastern & Oriental Bhd............................. 6,255,607 1,322,675
* Eco World Development Group Bhd.................... 7,359,600 1,647,790
* Eco World International Bhd........................ 872,100 149,933
# Econpile Holdings Bhd.............................. 4,724,750 738,359
# Ekovest BHD........................................ 8,038,650 1,713,861
Engtex Group Bhd................................... 448,700 90,641
Evergreen Fibreboard Bhd........................... 4,150,750 376,824
FAR East Holdings BHD.............................. 258,300 178,768
* FGV Holdings Bhd................................... 10,024,500 3,026,565
Frontken Corp. Bhd................................. 3,807,700 1,273,401
Gabungan AQRS Bhd.................................. 2,297,410 834,239
Gadang Holdings Bhd................................ 2,911,100 581,503
# Gas Malaysia Bhd................................... 1,194,900 829,413
# George Kent Malaysia Bhd........................... 2,496,500 762,009
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
# Globetronics Technology Bhd........................ 4,008,072 $1,842,660
Glomac Bhd......................................... 2,883,060 265,389
Guan Chong Bhd..................................... 353,500 354,810
# GuocoLand Malaysia Bhd............................. 1,578,400 282,680
Hai-O Enterprise Bhd............................... 1,388,520 863,164
HAP Seng Consolidated Bhd.......................... 1,371,840 3,279,926
Hap Seng Plantations Holdings Bhd.................. 1,241,100 497,223
Heineken Malaysia Bhd.............................. 927,600 5,498,289
# Hengyuan Refining Co. Bhd.......................... 771,500 1,106,267
# HeveaBoard Bhd..................................... 2,743,500 481,544
Hiap Teck Venture Bhd.............................. 6,749,600 449,524
# * Hibiscus Petroleum Bhd............................. 7,291,800 2,007,070
Hock Seng LEE Bhd.................................. 1,288,408 445,432
Hong Leong Industries Bhd.......................... 614,100 1,569,564
# * HSS Engineers Bhd.................................. 1,705,900 458,592
* Hua Yang Bhd....................................... 489,666 45,645
Hup Seng Industries Bhd............................ 1,433,633 343,340
I-Bhd.............................................. 1,686,000 171,307
IGB Bhd............................................ 623,877 410,055
IJM Corp. Bhd...................................... 176,000 99,644
IJM Plantations Bhd................................ 1,456,300 577,763
Inari Amertron Bhd................................. 13,795,645 5,779,736
Inch Kenneth Kajang Rubber P.L.C................... 968,700 144,198
Insas Bhd.......................................... 3,987,881 767,780
* Iris Corp. Bhd..................................... 12,929,400 579,282
# * Iskandar Waterfront City Bhd....................... 4,187,300 1,034,493
# * JAKS Resources Bhd................................. 2,370,200 438,880
# Jaya Tiasa Holdings Bhd............................ 3,127,127 465,115
# JCY International Bhd.............................. 3,776,100 178,416
# JHM Consolidation Bhd.............................. 1,456,900 448,016
# Karex Bhd.......................................... 1,244,749 191,447
Keck Seng Malaysia Bhd............................. 858,750 991,830
Kenanga Investment Bank Bhd........................ 1,871,360 265,046
Kerjaya Prospek Group Bhd.......................... 2,135,480 677,178
Kesm Industries Bhd................................ 73,200 139,078
Kim Loong Resources Bhd............................ 1,032,880 302,527
# Kimlun Corp. Bhd................................... 738,786 259,304
# * KNM Group Bhd...................................... 13,729,780 716,074
Kossan Rubber Industries........................... 5,724,100 5,040,500
# KPJ Healthcare Bhd................................. 18,824,600 4,464,993
# * Kretam Holdings Bhd................................ 4,653,800 457,212
# * KSL Holdings Bhd................................... 4,411,618 908,561
Kumpulan Fima BHD.................................. 826,650 331,804
Kumpulan Perangsang Selangor Bhd................... 1,496,746 602,163
* Kwantas Corp. BHD.................................. 45,900 9,225
# * Lafarge Malaysia Bhd............................... 1,398,700 1,117,764
Land & General Bhd................................. 15,164,960 589,048
* Landmarks Bhd...................................... 1,774,700 205,906
# LBS Bina Group Bhd................................. 4,793,880 712,791
Lii Hen Industries Bhd............................. 863,000 562,102
Lingkaran Trans Kota Holdings Bhd.................. 1,287,300 1,336,293
# * Lion Industries Corp. Bhd.......................... 1,873,400 267,650
# LPI Capital Bhd.................................... 353,124 1,322,603
Magni-Tech Industries Bhd.......................... 450,500 507,320
# Magnum Bhd......................................... 4,991,900 2,935,847
Mah Sing Group Bhd................................. 10,191,787 2,367,260
Malakoff Corp. Bhd................................. 7,727,700 1,647,218
Malayan Flour Mills Bhd............................ 3,141,675 569,497
* Malayan United Industries Bhd...................... 2,568,600 115,052
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
# Malaysia Building Society Bhd....................... 7,751,678 $1,866,477
* Malaysia Marine and Heavy Engineering Holdings Bhd.. 1,302,000 247,471
# * Malaysian Bulk Carriers Bhd......................... 2,585,400 363,661
Malaysian Pacific Industries Bhd.................... 735,913 1,744,238
# Malaysian Resources Corp. Bhd....................... 11,814,998 2,945,988
Malton Bhd.......................................... 2,329,300 341,413
Matrix Concepts Holdings Bhd........................ 2,943,958 1,368,327
# MBM Resources BHD................................... 1,421,296 1,035,156
# Media Chinese International, Ltd.................... 4,708,500 245,137
* Media Prima Bhd..................................... 6,293,703 700,756
Mega First Corp. Bhd................................ 1,223,400 1,169,464
Mitrajaya Holdings Bhd.............................. 1,218,278 116,366
# MKH Bhd............................................. 2,280,734 752,054
# MMC Corp. Bhd....................................... 3,639,900 924,495
* MNRB Holdings Bhd................................... 2,800,920 690,875
# * MPHB Capital Bhd.................................... 1,429,100 363,357
Muda Holdings Bhd................................... 520,200 229,289
* Mudajaya Group Bhd.................................. 2,539,423 200,071
Muhibbah Engineering M Bhd.......................... 2,493,150 1,721,376
* Mulpha International Bhd............................ 1,254,030 731,367
My EG Services Bhd.................................. 12,196,200 4,432,836
* Naim Holdings Bhd................................... 2,000,050 537,492
NTPM Holdings Bhd................................... 640,000 70,289
# * OCK Group Bhd....................................... 1,947,200 242,967
Oriental Holdings BHD............................... 602,300 989,039
# OSK Holdings Bhd.................................... 8,212,455 1,957,425
Pacific & Orient Bhd................................ 222,167 53,716
# Padini Holdings Bhd................................. 2,892,600 2,687,221
Panasonic Manufacturing Malaysia Bhd................ 147,384 1,347,393
Pantech Group Holdings Bhd.......................... 2,356,663 327,987
Paramount Corp. Bhd................................. 769,825 394,220
* Parkson Holdings Bhd................................ 1,127,914 69,642
# * Pentamaster Corp. Bhd............................... 1,120,140 1,172,040
# * PESTECH International Bhd........................... 1,953,600 529,706
# Petron Malaysia Refining & Marketing Bhd............ 515,800 850,235
# PIE Industrial Bhd.................................. 1,202,600 454,447
# Pos Malaysia Bhd.................................... 2,985,200 1,322,509
Protasco Bhd........................................ 350,675 23,748
QL Resources Bhd.................................... 3,221,159 5,311,058
Ranhill Holdings Bhd................................ 1,577,760 446,478
RGB International Bhd............................... 2,549,714 129,774
# * Rimbunan Sawit Bhd.................................. 3,667,900 216,530
Salcon Bhd.......................................... 4,112,516 283,602
Sam Engineering & Equipment M Bhd................... 168,800 337,909
* Sapura Energy Bhd................................... 26,988,800 2,115,505
# Sarawak Oil Palms Bhd............................... 1,033,504 654,395
Scicom MSC Bhd...................................... 393,400 102,861
# Scientex Bhd........................................ 1,585,424 3,278,004
# SEG International BHD............................... 145,885 22,236
Selangor Dredging Bhd............................... 411,300 69,150
# Selangor Properties Bhd............................. 230,200 348,638
Serba Dinamik Holdings Bhd.......................... 2,080,300 2,105,155
Shangri-La Hotels Malaysia Bhd...................... 426,800 562,631
SHL Consolidated Bhd................................ 168,500 100,304
SKP Resources Bhd................................... 5,378,200 1,794,703
Star Media Group Bhd................................ 1,687,500 288,137
* Sumatec Resources Bhd............................... 12,844,200 31,249
Sunway Bhd.......................................... 2,061,792 833,358
Sunway Construction Group Bhd....................... 2,539,836 1,229,146
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
# Supermax Corp. Bhd................................. 6,818,200 $ 2,493,062
Suria Capital Holdings Bhd......................... 839,760 288,698
Syarikat Takaful Malaysia Keluarga Bhd............. 2,201,600 3,231,277
# Ta Ann Holdings Bhd................................ 1,652,289 939,664
TA Enterprise Bhd.................................. 9,123,900 1,434,689
TA Global Bhd...................................... 8,747,540 571,052
# Taliworks Corp. Bhd................................ 3,645,016 889,560
Tambun Indah Land Bhd.............................. 1,157,800 222,682
Tan Chong Motor Holdings Bhd....................... 1,527,900 602,120
TDM Bhd............................................ 2,660,120 135,053
TH Plantations Bhd................................. 783,120 102,668
Thong Guan Industries Bhd.......................... 195,900 127,554
# TIME dotCom Bhd.................................... 2,037,188 4,409,699
# * Tiong NAM Logistics Holdings....................... 1,439,016 207,210
# TMC Life Sciences Bhd.............................. 1,464,600 271,027
Tropicana Corp. Bhd................................ 4,261,355 896,605
TSH Resources Bhd.................................. 4,081,300 1,018,363
# Tune Protect Group Bhd............................. 4,183,300 704,478
# Uchi Technologies Bhd.............................. 1,751,900 1,209,525
# UEM Edgenta Bhd.................................... 2,396,500 1,675,911
UEM Sunrise Bhd.................................... 12,288,100 2,766,215
UMW Holdings Bhd................................... 1,095,600 1,445,521
United Malacca Bhd................................. 466,350 604,607
United Plantations Bhd............................. 434,300 2,807,215
UOA Development Bhd................................ 5,353,900 2,925,404
# * Velesto Energy Bhd................................. 25,827,208 1,845,166
# ViTrox Corp. Bhd................................... 807,900 1,401,720
* Vivocom International Holdings Bhd................. 11,667,833 56,314
# * Vizione Holdings Bhd............................... 347,528 93,381
VS Industry Bhd.................................... 7,063,637 1,951,612
# * Wah Seong Corp. Bhd................................ 2,187,269 391,425
* WCE Holdings Bhd................................... 758,500 105,453
# WCT Holdings Bhd................................... 7,737,802 1,983,876
# Wellcall Holdings Bhd.............................. 2,990,700 941,084
WTK Holdings Bhd................................... 2,322,000 356,858
Yinson Holdings Bhd................................ 4,226,000 4,948,735
# YNH Property Bhd................................... 3,542,616 1,423,732
* YTL Land & Development Bhd......................... 328,100 30,607
Zhulian Corp. Bhd.................................. 320,933 112,661
------------
TOTAL MALAYSIA.......................................... 230,579,192
------------
MEXICO -- (3.0%)
# ALEATICA S.A.B. de C.V............................. 223,597 247,684
# Alpek S.A.B. de C.V................................ 4,261,227 5,226,017
# Alsea S.A.B. de C.V................................ 5,525,277 12,340,084
# * Axtel S.A.B. de C.V................................ 8,375,710 1,033,834
# Banco del Bajio SA................................. 4,019,431 8,639,834
Becle S.A.B. de C.V................................ 210,113 324,295
* Bio Pappel S.A.B. de C.V........................... 347,496 440,104
Bolsa Mexicana de Valores S.A.B. de C.V............ 4,230,469 8,707,410
* CMR S.A.B. de C.V.................................. 1,323 294
Consorcio ARA S.A.B. de C.V., Series *............. 9,145,151 2,436,102
# * Controladora Vuela Cia de Aviacion S.A.B. de C.V.,
ADR.............................................. 288,296 2,643,674
# * Controladora Vuela Cia de Aviacion S.A.B. de C.V.,
Class A.......................................... 2,046,089 1,865,011
* Corp Interamericana de Entretenimiento S.A.B. de
C.V., Class B.................................... 960,372 679,078
Corp. Actinver S.A.B. de C.V....................... 198,770 136,828
Corp. Inmobiliaria Vesta S.A.B. de C.V............. 6,228,224 9,773,822
Corp. Moctezuma S.A.B. de C.V...................... 861,300 2,741,858
Corporativo Fragua S.A.B. de C.V................... 3 41
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MEXICO -- (Continued)
Corporativo GBM S.A.B. de C.V........................ 22,477 $ 15,147
Corpovael S.A. de C.V................................ 73,341 57,991
# Credito Real S.A.B. de C.V. SOFOM ER................. 1,889,121 2,182,313
Cydsa S.A.B. de C.V.................................. 10,875 15,947
* Desarrolladora Homex S.A.B. de C.V................... 3,278,053 21,441
# * Elementia S.A.B. de C.V.............................. 642,287 352,012
# * Empresas ICA S.A.B. de C.V........................... 3,768,186 20,914
* Financiera Independencia S.A.B. de C.V. SOFOM ENR.... 6,374 588
# * Genomma Lab Internacional S.A.B. de C.V., Class B.... 7,428,588 5,948,278
Gentera S.A.B. de C.V................................ 8,494,025 7,764,711
Gruma S.A.B. de C.V., Class B........................ 138,581 1,385,244
# * Grupo Aeromexico S.A.B. de C.V....................... 2,253,281 2,291,583
# Grupo Aeroportuario del Centro Norte S.A.B. de C.V... 3,537,370 21,784,650
Grupo Aeroportuario del Pacifico S.A.B. de C.V.,
Class B............................................ 227,202 2,302,251
Grupo Aeroportuario del Sureste S.A.B. de C.V., ADR.. 3,233 531,990
Grupo Aeroportuario del Sureste S.A.B. de C.V.,
Class B............................................ 40,178 659,794
# Grupo Cementos de Chihuahua S.A.B. de C.V............ 1,439,462 8,244,480
# Grupo Comercial Chedraui S.A. de C.V................. 3,156,757 6,211,024
# * Grupo Famsa S.A.B. de C.V., Class A.................. 2,314,340 793,512
# * Grupo GICSA SAB de CV................................ 2,528,781 807,012
Grupo Herdez S.A.B. de C.V., Series *................ 2,008,535 4,323,736
* Grupo Hotelero Santa Fe S.A.B. de C.V................ 555,076 177,142
Grupo Industrial Saltillo S.A.B. de C.V.............. 1,098,605 1,231,441
Grupo KUO S.A.B. de C.V., Class B.................... 758,658 1,940,490
# Grupo Lala S.A.B. de C.V............................. 1,389,485 1,857,264
* Grupo Pochteca S.A.B. de C.V......................... 561,552 187,947
# Grupo Posadas S.A.B. de C.V.......................... 198,900 377,703
# Grupo Rotoplas S.A.B. de C.V......................... 902,602 882,712
Grupo Sanborns S.A.B. de C.V......................... 905,924 898,386
# * Grupo Simec S.A.B. de C.V., Series B................. 1,196,960 3,672,123
* Grupo Sports World S.A.B. de C.V..................... 583,706 584,699
* Grupo Traxion S.A.B. de C.V.......................... 233,904 175,325
# * Hoteles City Express S.A.B. de C.V................... 2,626,983 2,703,509
Industrias Bachoco S.A.B. de C.V., Sponsored ADR..... 29,952 1,467,648
Industrias Bachoco S.A.B. de C.V., Series B.......... 1,390,019 5,686,116
# * Industrias CH S.A.B. de C.V., Series B............... 1,951,148 9,136,285
# * La Comer S.A.B. de C.V............................... 4,493,851 5,143,889
# Megacable Holdings S.A.B. de C.V..................... 2,879,356 12,651,837
* Minera Frisco S.A.B. de C.V., Class A1............... 2,242,920 479,162
# Nemak S.A.B. de C.V.................................. 5,830,033 3,204,439
# * Organizacion Cultiba S.A.B. de C.V................... 1,205,623 1,068,400
# * Organizacion Soriana S.A.B. de C.V., Class B......... 296,407 358,983
Promotora y Operadora de Infraestructura S.A.B. de
C.V................................................ 1,076,890 10,929,799
Promotora y Operadora de Infraestructura S.A.B. de
C.V., Class L...................................... 23,763 156,057
Qualitas Controladora S.A.B. de C.V.................. 1,849,211 4,921,085
# Regional S.A.B. de C.V............................... 2,221,228 12,021,363
# * Telesites S.A.B. de C.V.............................. 10,769,063 7,356,325
# TV Azteca S.A.B. de C.V.............................. 12,256,140 1,331,785
# Unifin Financiera S.A.B. de C.V. SOFOM ENR........... 675,318 1,510,384
Vitro S.A.B. de C.V., Series A....................... 946,504 2,671,096
------------
TOTAL MEXICO.............................................. 217,733,982
------------
PHILIPPINES -- (1.3%)
8990 Holdings, Inc................................... 2,735,200 755,305
A Soriano Corp....................................... 3,380,211 428,337
ACR Mining Corp...................................... 48,205 3,105
* AgriNurture, Inc..................................... 2,010,500 614,659
Alsons Consolidated Resources, Inc................... 7,226,000 198,330
* Apex Mining Co., Inc................................. 10,607,000 264,566
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
PHILIPPINES -- (Continued)
* Atlas Consolidated Mining & Development Corp....... 6,148,000 $ 340,931
Belle Corp......................................... 31,632,400 1,471,654
Bloomberry Resorts Corp............................ 20,437,200 4,998,513
Cebu Air, Inc...................................... 1,623,830 2,555,017
Cebu Holdings, Inc................................. 3,294,900 398,420
* CEMEX Holdings Philippines, Inc.................... 8,976,600 373,765
Century Pacific Food, Inc.......................... 6,386,400 1,876,550
Century Properties Group, Inc...................... 23,171,151 222,340
Chelsea Logistics Holdings Corp.................... 364,500 39,911
China Banking Corp................................. 2,708,728 1,379,508
Cirtek Holdings Philippines Corp................... 922,600 502,643
COL Financial Group, Inc........................... 92,200 33,502
Cosco Capital, Inc................................. 17,361,800 2,489,146
D&L Industries, Inc................................ 20,104,800 4,215,038
* DoubleDragon Properties Corp....................... 4,167,290 2,013,365
Eagle Cement Corp.................................. 344,200 104,737
* East West Banking Corp............................. 5,256,400 1,173,956
* EEI Corp........................................... 3,348,000 594,386
Emperador, Inc..................................... 7,185,800 1,024,856
* Empire East Land Holdings, Inc..................... 18,785,000 177,046
Filinvest Development Corp......................... 3,592,622 1,034,130
Filinvest Land, Inc................................ 99,522,577 2,940,555
First Gen Corp..................................... 10,271,100 4,360,633
First Philippine Holdings Corp..................... 2,178,040 3,292,824
* Global Ferronickel Holdings, Inc................... 13,305,294 388,160
* Global-Estate Resorts, Inc......................... 2,410,000 62,783
Holcim Philippines, Inc............................ 1,452,400 353,616
Integrated Micro-Electronics, Inc.................. 3,915,614 781,595
* Leisure & Resorts World Corp....................... 2,134,640 154,504
* Lepanto Consolidated Mining Co..................... 35,595,454 75,166
Lopez Holdings Corp................................ 19,175,000 1,773,007
MacroAsia Corp..................................... 3,917,360 1,658,047
Manila Water Co., Inc.............................. 9,588,700 4,152,458
Max's Group, Inc................................... 2,293,000 659,945
Megawide Construction Corp......................... 6,066,308 2,596,335
Metro Retail Stores Group, Inc..................... 5,654,900 372,557
Nickel Asia Corp................................... 15,713,600 723,669
Pepsi-Cola Products Philippines, Inc............... 10,829,900 267,340
Petron Corp........................................ 15,485,800 1,841,705
Philex Mining Corp................................. 5,473,700 325,670
* Philippine National Bank........................... 2,305,115 2,321,710
* Philippine National Construction Corp.............. 173,000 3,051
Philippine Savings Bank............................ 566,987 630,748
Philippine Seven Corp.............................. 6,300 13,911
Philippine Stock Exchange, Inc. (The).............. 121,592 421,090
* Philweb Corp....................................... 249,240 15,454
Phinma Energy Corp................................. 12,750,000 391,474
Phoenix Petroleum Philippines, Inc................. 2,243,580 519,185
Pilipinas Shell Petroleum Corp..................... 1,480,890 1,285,678
Premium Leisure Corp............................... 42,219,000 591,876
* Prime Orion Philippines, Inc....................... 3,566,000 196,381
Puregold Price Club, Inc........................... 4,655,100 3,747,008
* PXP Energy Corp.................................... 5,655,100 879,040
RFM Corp........................................... 8,840,668 823,319
Rizal Commercial Banking Corp...................... 3,896,052 1,943,558
Robinsons Land Corp................................ 15,635,351 7,345,864
Robinsons Retail Holdings, Inc..................... 2,184,170 3,269,078
San Miguel Food and Beverage, Inc.................. 1,213,230 2,698,887
Security Bank Corp................................. 162,100 560,009
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
PHILIPPINES -- (Continued)
Semirara Mining & Power Corp....................... 3,095,000 $ 1,416,536
Shakey's Pizza Asia Ventures, Inc.................. 274,900 68,542
SSI Group, Inc..................................... 7,322,000 428,656
Starmalls, Inc..................................... 565,000 74,201
STI Education Systems Holdings, Inc................ 19,394,000 249,348
* Travellers International Hotel Group, Inc.......... 8,892,700 960,976
Union Bank Of Philippines.......................... 1,467,341 1,715,806
Vista Land & Lifescapes, Inc....................... 41,552,500 5,831,993
Wilcon Depot, Inc.................................. 6,933,800 2,220,021
-----------
TOTAL PHILIPPINES....................................... 96,687,685
-----------
POLAND -- (1.2%)
* AB SA.............................................. 1,082 5,181
Agora SA........................................... 272,784 893,137
* Alior Bank SA...................................... 265,981 4,096,598
Alumetal SA........................................ 5,799 69,075
Amica SA........................................... 22,493 764,191
Apator SA.......................................... 69,995 474,366
Asseco Poland SA................................... 641,693 8,911,529
Bank Handlowy w Warszawie SA....................... 2,330 37,932
* Bank Ochrony Srodowiska SA......................... 17,835 33,266
* Bioton SA.......................................... 520,287 632,994
* Boryszew SA........................................ 880,717 1,040,382
Budimex SA......................................... 90,910 3,508,791
CCC SA............................................. 62,233 3,384,683
* CD Projekt SA...................................... 10,404 585,482
Ciech SA........................................... 251,850 3,157,857
ComArch SA......................................... 10,951 536,611
Dom Development SA................................. 8,295 175,806
Echo Investment SA................................. 97,246 98,411
* Enea SA............................................ 1,491,141 2,985,500
* Energa SA.......................................... 1,278,135 2,509,785
# Eurocash SA........................................ 701,023 3,989,123
* Fabryki Mebli Forte SA............................. 123,857 892,488
Famur SA........................................... 1,092,859 1,390,020
Firma Oponiarska Debica SA......................... 29,483 664,809
* Getin Holding SA................................... 751,114 271,242
# * Getin Noble Bank SA................................ 2,585,838 325,814
Globe Trade Centre SA.............................. 449,348 1,038,079
Grupa Azoty SA..................................... 61,035 661,285
Grupa Azoty Zaklady Chemiczne Police SA............ 76,751 294,967
Grupa Kety SA...................................... 74,744 6,778,008
* Impexmetal SA...................................... 842,310 916,962
Inter Cars SA...................................... 40,888 2,331,795
* Jastrzebska Spolka Weglowa SA...................... 173,213 2,636,914
Kernel Holding SA.................................. 395,799 5,497,591
KRUK SA............................................ 135,716 6,169,267
LC Corp. SA........................................ 1,498,011 994,960
Lentex SA.......................................... 124,367 242,646
* Lubelski Wegiel Bogdanka SA........................ 74,454 790,062
* Netia SA........................................... 1,046,440 1,363,770
Neuca SA........................................... 13,449 970,289
* NEWAG SA........................................... 493 2,173
* Orange Polska SA................................... 3,589,868 4,642,143
# Pfleiderer Group SA................................ 26,161 170,670
* PKP Cargo SA....................................... 153,785 1,796,034
* Polnord SA......................................... 263,808 473,663
# * Rafako SA.......................................... 524,953 261,081
Stalexport Autostrady SA........................... 606,953 553,579
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
POLAND -- (Continued)
Stalprodukt SA..................................... 9,458 $ 854,851
* Tauron Polska Energia SA........................... 7,193,941 3,262,880
Trakcja SA......................................... 245,280 162,917
# * VRG SA............................................. 1,446,409 1,534,849
# Warsaw Stock Exchange.............................. 177,919 1,941,410
Wawel SA........................................... 1,897 367,011
Zespol Elektrowni Patnow Adamow Konin SA........... 91,906 171,122
-----------
TOTAL POLAND............................................ 88,316,051
-----------
RUSSIA -- (0.1%)
Etalon Group P.L.C., GDR........................... 181,292 335,390
Globaltrans Investment P.L.C., GDR................. 191,912 1,855,789
* Lenta, Ltd......................................... 563,341 2,019,578
* Mechel PJSC, Sponsored ADR......................... 51,323 107,778
Ros Agro P.L.C., GDR............................... 20,742 237,703
Rostelecom PJSC, Sponsored ADR..................... 10,508 71,087
TMK PJSC, GDR...................................... 94,649 346,415
-----------
TOTAL RUSSIA............................................ 4,973,740
-----------
SINGAPORE -- (0.0%)
* Pacc Offshore Services Holdings, Ltd............... 684,256 91,081
-----------
SOUTH AFRICA -- (7.0%)
Adcock Ingram Holdings, Ltd........................ 713,262 3,290,632
* Adcorp Holdings, Ltd............................... 903,638 1,383,005
Advtech, Ltd....................................... 4,016,140 3,810,378
AECI, Ltd.......................................... 1,196,476 7,997,057
African Oxygen, Ltd................................ 1,006,967 1,544,030
* African Phoenix Investments, Ltd................... 5,869,014 235,082
African Rainbow Minerals, Ltd...................... 1,208,962 14,401,024
Afrimat, Ltd....................................... 260,432 555,638
Alexander Forbes Group Holdings, Ltd............... 5,939,620 2,266,647
Allied Electronics Corp., Ltd., Class A............ 758,500 1,092,979
Alviva Holdings, Ltd............................... 1,347,307 1,549,439
# * ArcelorMittal South Africa, Ltd.................... 1,929,062 411,197
* Ascendis Health, Ltd............................... 1,529,922 474,190
Assore, Ltd........................................ 121,743 3,159,793
Astral Foods, Ltd.................................. 439,962 5,581,729
* Aveng, Ltd......................................... 49,342,489 69,128
# AVI, Ltd........................................... 3,729,371 23,968,792
Barloworld, Ltd.................................... 2,368,295 21,154,744
# * Blue Label Telecoms, Ltd........................... 4,158,740 1,429,568
# Brait SE........................................... 2,007,780 3,224,668
Cashbuild, Ltd..................................... 204,294 3,752,905
Caxton and CTP Publishers and Printers, Ltd........ 323,754 181,760
City Lodge Hotels, Ltd............................. 321,275 2,701,730
Clicks Group, Ltd.................................. 1,797,110 24,595,487
# Clover Industries, Ltd............................. 1,360,664 2,175,438
Coronation Fund Managers, Ltd...................... 2,158,479 7,734,801
# Curro Holdings, Ltd................................ 1,016,595 1,895,385
* DataTec, Ltd....................................... 3,639,577 8,335,542
# Dis-Chem Pharmacies, Ltd........................... 1,548,491 2,921,741
Distell Group Holdings, Ltd........................ 342,310 3,278,493
DRDGOLD, Ltd., Sponsored ADR....................... 9,400 17,954
# DRDGOLD, Ltd....................................... 2,932,131 575,996
* enX Group, Ltd..................................... 408,074 368,738
# * EOH Holdings, Ltd.................................. 1,103,441 1,576,995
# * Famous Brands, Ltd................................. 699,154 4,110,088
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SOUTH AFRICA -- (Continued)
# Foschini Group, Ltd. (The)......................... 1,192,037 $15,445,212
Gold Fields, Ltd................................... 1,454,632 5,482,089
Gold Fields, Ltd., Sponsored ADR................... 2,115,143 7,931,786
* Grand Parade Investments, Ltd...................... 3,013,383 663,308
# Grindrod Shipping Holdings, Ltd.................... 123,682 638,188
# Grindrod, Ltd...................................... 4,995,485 2,677,926
* Harmony Gold Mining Co., Ltd....................... 2,530,985 4,336,324
# * Harmony Gold Mining Co., Ltd., Sponsored ADR....... 2,381,883 4,144,476
Hudaco Industries, Ltd............................. 278,331 2,598,033
Hulamin, Ltd....................................... 1,369,904 416,520
# * Impala Platinum Holdings, Ltd...................... 5,690,288 22,884,594
Imperial Logistics, Ltd............................ 834,544 3,650,698
Invicta Holdings, Ltd.............................. 370,489 696,371
Italtile, Ltd...................................... 592,632 600,479
JSE, Ltd........................................... 988,951 9,595,357
KAP Industrial Holdings, Ltd....................... 12,902,730 6,647,139
Lewis Group, Ltd................................... 952,725 2,089,001
Liberty Holdings, Ltd.............................. 1,315,243 9,521,542
Life Healthcare Group Holdings, Ltd................ 7,682,011 14,011,840
Long4Life, Ltd..................................... 3,106,656 1,081,249
# Massmart Holdings, Ltd............................. 990,941 6,535,757
Merafe Resources, Ltd.............................. 11,617,602 1,110,144
Metair Investments, Ltd............................ 1,506,648 2,481,464
MiX Telematics, Ltd................................ 37,895 27,468
MiX Telematics, Ltd., Sponsored ADR................ 27,358 492,170
MMI Holdings, Ltd.................................. 8,391,793 10,493,231
Motus Holdings Ltd................................. 64,097 398,583
Mpact, Ltd......................................... 1,678,378 2,784,204
Murray & Roberts Holdings, Ltd..................... 3,959,853 4,220,680
* Nampak, Ltd........................................ 6,133,432 4,498,888
* Net 1 UEPS Technologies, Inc....................... 776 2,428
Netcare, Ltd....................................... 3,093,985 5,207,961
* Northam Platinum, Ltd.............................. 3,302,942 13,769,003
Oceana Group, Ltd.................................. 444,791 2,173,090
# Omnia Holdings, Ltd................................ 672,921 2,733,012
Peregrine Holdings, Ltd............................ 2,058,969 2,788,647
# Pick n Pay Stores, Ltd............................. 4,055,742 19,691,131
Pioneer Foods Group, Ltd........................... 910,160 5,481,491
# * PPC, Ltd........................................... 14,995,052 5,225,688
PSG Konsult, Ltd................................... 216,482 160,404
Raubex Group, Ltd.................................. 1,436,375 2,184,831
# RCL Foods, Ltd..................................... 705,154 678,731
Reunert, Ltd....................................... 1,727,540 9,367,657
# Rhodes Food Group Pty, Ltd......................... 695,531 876,194
# * Royal Bafokeng Platinum, Ltd....................... 865,373 2,049,660
Santam, Ltd........................................ 373,923 8,772,157
# Sappi, Ltd......................................... 119,205 569,212
* Sibanye Gold, Ltd.................................. 9,077,270 8,546,053
SPAR Group, Ltd. (The)............................. 2,053,140 27,876,462
Spur Corp., Ltd.................................... 620,797 999,057
# * Stadio Holdings, Ltd............................... 754,869 187,292
* Sun International, Ltd............................. 1,310,213 5,019,642
* Super Group, Ltd................................... 3,727,054 9,601,202
# Telkom SA SOC, Ltd................................. 2,845,745 16,937,175
Tongaat Hulett, Ltd................................ 1,012,167 1,513,516
Transaction Capital, Ltd........................... 1,797,546 2,403,031
Trencor, Ltd....................................... 1,407,311 2,492,579
Truworths International, Ltd....................... 4,396,568 23,311,535
Tsogo Sun Holdings, Ltd............................ 3,699,806 5,569,052
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
SOUTH AFRICA -- (Continued)
Wilson Bayly Holmes-Ovcon, Ltd..................... 510,129 $ 4,024,045
------------
TOTAL SOUTH AFRICA...................................... 500,189,432
------------
SOUTH KOREA -- (16.1%)
# * 3S Korea Co., Ltd.................................. 310,107 742,131
# ABco Electronics Co., Ltd.......................... 76,717 352,666
# * Able C&C Co., Ltd.................................. 86,451 974,472
# ABOV Semiconductor Co., Ltd........................ 116,080 861,920
# * Ace Technologies Corp.............................. 190,914 1,253,017
# * Actoz Soft Co., Ltd................................ 49,722 560,320
# ADTechnology Co., Ltd.............................. 63,869 821,054
# * Advanced Cosmeceutical Technology Co., Ltd......... 97,584 374,247
# * Advanced Digital Chips, Inc........................ 169,506 365,715
# Advanced Nano Products Co., Ltd.................... 68,114 1,020,766
# Advanced Process Systems Corp...................... 94,610 2,231,198
# Aekyung Petrochemical Co., Ltd..................... 139,019 1,088,650
# AfreecaTV Co., Ltd................................. 74,661 4,087,679
# * Agabang&Company.................................... 236,156 746,265
# Ahn-Gook Pharmaceutical Co., Ltd................... 58,793 665,299
Ahnlab, Inc........................................ 53,146 2,812,089
# * AIBIT Co., Ltd..................................... 206,880 176,962
# AJ Networks Co., Ltd............................... 97,100 508,992
* AJ Rent A Car Co., Ltd............................. 96,956 931,079
# * Ajin Industrial Co., Ltd........................... 102,112 229,484
AJINEXTEK Co., Ltd................................. 31,359 278,764
AK Holdings, Inc................................... 43,806 1,937,905
# * Alticast Corp...................................... 73,734 202,506
# ALUKO Co., Ltd..................................... 348,822 805,862
# * Aminologics Co., Ltd............................... 464,945 880,321
# * Amotech Co., Ltd................................... 72,347 1,470,232
# * Anam Electronics Co., Ltd.......................... 738,248 1,738,799
# * Ananti, Inc........................................ 61,770 765,673
# Anapass, Inc....................................... 74,135 1,666,099
# * Aprogen Healthcare & Games, Inc.................... 348,018 256,437
# * Aprogen KIC, Inc................................... 115,172 376,435
# * Aprogen pharmaceuticals, Inc....................... 432,802 977,437
# * APS Holdings Corp.................................. 294,525 1,099,078
# * Arion Technology, Inc.............................. 129,146 92,355
# Asia Cement Co., Ltd............................... 15,324 1,331,694
ASIA Holdings Co., Ltd............................. 10,018 1,102,730
# Asia Paper Manufacturing Co., Ltd.................. 44,435 1,622,901
* Asiana Airlines, Inc............................... 934,787 5,297,953
# Atec Co., Ltd...................................... 15,058 97,800
# * A-Tech Solution Co., Ltd........................... 36,321 287,496
# Atinum Investment Co., Ltd......................... 291,863 619,520
# AtlasBX Co., Ltd................................... 571 32,292
# AUK Corp........................................... 214,954 508,138
# Aurora World Corp.................................. 45,949 435,250
# Austem Co., Ltd.................................... 172,157 497,605
# Autech Corp........................................ 116,207 1,144,612
# Avaco Co., Ltd..................................... 105,551 628,042
# Avatec Co., Ltd.................................... 5,446 33,968
# Baiksan Co., Ltd................................... 98,551 766,672
# * Barun Electronics Co., Ltd......................... 545,499 146,397
# * Barunson Entertainment & Arts Corp................. 180,998 287,909
# Bcworld Pharm Co., Ltd............................. 43,184 836,817
# BG T&A Co.......................................... 46,993 104,235
BGF Co., Ltd....................................... 161,314 1,138,223
# * BH Co., Ltd........................................ 206,331 3,487,173
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
SOUTH KOREA -- (Continued)
# * Binex Co., Ltd..................................... 224,974 $2,287,445
Binggrae Co., Ltd.................................. 54,405 3,435,162
# * Biolog Device Co., Ltd............................. 126,061 224,024
* BioSmart Co., Ltd.................................. 141,602 542,160
# * Biotoxtech Co., Ltd................................ 90,712 645,410
# * Biovill Co., Ltd................................... 187,949 263,063
# * BIT Computer Co., Ltd.............................. 120,643 553,987
# Bixolon Co., Ltd................................... 91,886 488,829
# * Bluecom Co., Ltd................................... 96,226 345,183
# Boditech Med, Inc.................................. 120,959 1,140,989
# * Bohae Brewery Co., Ltd............................. 576,129 679,474
# BoKwang Industry Co., Ltd.......................... 108,320 429,947
# Bolak Co., Ltd..................................... 340,652 711,745
Bookook Securities Co., Ltd........................ 14,493 265,629
# * Boryung Medience Co., Ltd.......................... 53,361 478,485
# Boryung Pharmaceutical Co., Ltd.................... 260,596 2,917,018
# * Bosung Power Technology Co., Ltd................... 453,255 969,397
# * Brain Contents Co., Ltd............................ 844,733 869,023
# * Bubang Co., Ltd.................................... 213,403 533,103
# Bukwang Pharmaceutical Co., Ltd.................... 219,024 3,446,574
# Busan City Gas Co., Ltd............................ 6,019 199,948
# BYC Co., Ltd....................................... 1,007 222,225
# * BYON Co., Ltd...................................... 424,660 561,433
# Byucksan Corp...................................... 357,349 854,476
# * CammSys Corp....................................... 328,112 570,449
Capro Corp......................................... 300,601 1,184,007
Caregen Co., Ltd................................... 27,611 1,808,194
Castec Korea Co., Ltd.............................. 7,540 23,201
# Cell Biotech Co., Ltd.............................. 49,353 1,277,287
# Changhae Ethanol Co., Ltd.......................... 51,364 572,538
# * Charm Engineering Co., Ltd......................... 307,521 420,597
# * Chemtronics Co., Ltd............................... 71,610 647,280
# * Chemtros Co., Ltd.................................. 103,775 328,448
# Cheryong Electric Co., Ltd......................... 96,558 574,626
# Cheryong Industrial Co. Ltd/new.................... 59,347 342,223
# * ChinHung International, Inc........................ 234,602 383,529
Chinyang Holdings Corp............................. 167,246 364,888
# * Choa Pharmaceutical Co............................. 207,782 819,883
# * Chokwang Leather Co., Ltd.......................... 607 19,793
# Chokwang Paint, Ltd................................ 44,694 269,086
Chong Kun Dang Pharmaceutical Corp................. 59,297 5,179,921
# Chongkundang Holdings Corp......................... 27,397 1,790,092
# Choong Ang Vaccine Laboratory...................... 74,822 1,355,881
# * Chorokbaem Media Co., Ltd.......................... 344,008 485,069
Chosun Refractories Co., Ltd....................... 6,812 502,324
# Chungdahm Learning, Inc............................ 44,088 809,191
CJ CGV Co., Ltd.................................... 116,011 4,271,312
# CJ Freshway Corp................................... 48,097 1,252,411
CJ Hello Co., Ltd.................................. 217,479 1,611,268
# * CJ Seafood Corp.................................... 186,914 469,281
# CKD Bio Corp....................................... 31,884 671,945
# Clean & Science Co., Ltd........................... 40,549 834,976
# * CLIO Cosmetics Co., Ltd............................ 33,489 598,865
# * CMG Pharmaceutical Co., Ltd........................ 543,337 2,314,152
# * Codes Combine Co., Ltd............................. 76,049 190,915
# * CODI-M Co., Ltd.................................... 997,941 667,792
Com2uSCorp......................................... 21,659 1,851,891
# Commax Co., Ltd.................................... 70,961 268,651
# * Coreana Cosmetics Co., Ltd......................... 215,426 913,199
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
SOUTH KOREA -- (Continued)
# Cosmax BTI, Inc.................................... 38,714 $ 763,431
# COSMAX NBT Inc..................................... 101,444 1,156,158
Cosmax, Inc........................................ 65,540 7,786,421
# Cosmecca Korea Co., Ltd............................ 43,311 858,745
# * CosmoAM&T Co., Ltd................................. 104,108 1,258,322
# * Cosmochemical Co., Ltd............................. 87,632 1,023,551
* COSON Co., Ltd..................................... 131,806 1,060,154
# COWELL FASHION Co., Ltd............................ 234,384 1,504,384
# * Creative & Innovative System....................... 281,148 572,764
# Crown Confectionery Co., Ltd....................... 39,940 343,437
# CROWNHAITAI Holdings Co., Ltd...................... 61,249 625,640
# * CrucialTec Co., Ltd................................ 543,909 558,456
# CS Wind Corp....................................... 46,867 1,528,026
# * CTC BIO, Inc....................................... 156,314 1,119,952
# * CTGen Co., Ltd..................................... 190,033 447,087
# Cuckoo Holdings Co., Ltd........................... 9,015 1,122,941
# Cuckoo Homesys Co., Ltd............................ 6,957 1,277,450
* Curexo, Inc........................................ 4,005 23,466
# * Curo Co., Ltd...................................... 759,802 588,094
* CUROCOM Co., Ltd................................... 323,268 357,553
# * Curoholdings Co., Ltd.............................. 423,171 229,453
# Cymechs, Inc....................................... 44,360 429,208
# D.I Corp........................................... 217,218 868,633
# * DA Technology Co., Ltd............................. 302,573 948,379
# Dae Dong Industrial Co., Ltd....................... 106,425 537,849
Dae Han Flour Mills Co., Ltd....................... 7,679 1,359,336
Dae Hwa Pharmaceutical Co., Ltd.................... 103,801 1,750,719
# Dae Hyun Co., Ltd.................................. 229,329 521,136
# * Dae Won Chemical Co., Ltd.......................... 273,923 412,769
# Dae Won Kang Up Co., Ltd........................... 161,566 708,065
# * Dae Young Packaging Co., Ltd....................... 599,323 648,849
# Daea TI Co., Ltd................................... 552,451 2,871,329
# Daebongls Co., Ltd................................. 61,042 459,973
# Daechang Co., Ltd.................................. 314,932 298,386
Daechang Forging Co., Ltd.......................... 8,880 312,280
Daeduck Electronics Co............................. 536,529 4,870,742
Daegu Department Store............................. 31,479 191,198
# * Daehan New Pharm Co., Ltd.......................... 82,189 792,994
# Daehan Steel Co., Ltd.............................. 119,261 665,025
# Dae-Il Corp........................................ 106,529 576,136
# * Daejoo Electronic Materials Co., Ltd............... 81,087 1,129,790
Daekyo Co., Ltd.................................... 239,025 1,263,474
# Daelim B&Co Co., Ltd............................... 95,813 418,406
* Daelim C&S Co., Ltd................................ 7,531 70,994
# * Daemyung Corp. Co., Ltd............................ 523,723 945,582
# Daeryuk Can Co., Ltd............................... 104,537 523,636
Daesang Corp....................................... 224,742 5,111,930
# Daesang Holdings Co., Ltd.......................... 140,590 985,773
# Daesung Energy Co., Ltd............................ 65,638 315,024
# Daesung Holdings Co., Ltd.......................... 26,734 183,029
# * Daesung Industrial Co., Ltd........................ 80,183 374,910
* Daesung Private Equity, Inc........................ 59,602 101,205
# * Daewon Cable Co., Ltd.............................. 428,874 514,551
# Daewon Media Co., Ltd.............................. 71,993 563,145
# Daewon Pharmaceutical Co., Ltd..................... 121,264 1,833,711
# Daewon San Up Co., Ltd............................. 104,480 608,198
# * Daewoo Electronic Components Co., Ltd.............. 278,267 584,224
Daewoong Co., Ltd.................................. 210,183 3,899,611
* Dahaam E-Tec Co., Ltd.............................. 2,100 48,988
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Daihan Pharmaceutical Co., Ltd..................... 37,901 $1,319,691
Daishin Securities Co., Ltd........................ 297,668 3,253,065
* Daiyang Metal Co., Ltd............................. 2,014 12,886
# * Danal Co., Ltd..................................... 414,148 1,192,297
# Danawa Co., Ltd.................................... 59,033 1,169,376
# Daou Data Corp..................................... 158,191 1,308,361
# Daou Technology, Inc............................... 271,350 5,150,907
# * Dasan Networks, Inc................................ 138,800 877,015
# Dawonsys Co., Ltd.................................. 167,481 2,371,365
# * DAYLI BlockChian Co., Ltd.......................... 47,181 62,488
# * Dayou Automotive Seat Technology Co., Ltd.......... 461,278 469,477
# * Dayou Plus Co., Ltd................................ 443,110 364,264
DB Financial Investment Co., Ltd................... 272,775 1,195,058
DB HiTek Co., Ltd.................................. 293,840 4,026,846
* DB, Inc............................................ 904,150 674,557
# DCM Corp........................................... 42,882 429,456
Dentium Co., Ltd................................... 35,983 2,202,017
# * Deutsch Motors, Inc................................ 186,431 1,251,624
# Development Advance Solution Co., Ltd.............. 66,494 410,165
# DHP Korea Co., Ltd................................. 94,291 808,298
Digital Chosun Co., Ltd............................ 208,832 358,496
# Digital Daesung Co., Ltd........................... 69,556 592,222
* Digital Optics Co., Ltd............................ 63,634 41,213
# Digital Power Communications Co., Ltd.............. 270,969 1,414,580
* DIO Corp........................................... 104,542 3,533,331
# * Diostech Co., Ltd.................................. 550,695 369,740
# Display Tech Co., Ltd.............................. 52,616 182,813
# DMS Co., Ltd....................................... 164,147 796,609
# DNF Co., Ltd....................................... 71,182 519,273
Dohwa Engineering Co., Ltd......................... 57,285 473,077
# Dong A Eltek Co., Ltd.............................. 73,971 566,276
# Dong Ah Tire & Rubber Co., Ltd..................... 44,790 502,325
Dong-A Socio Holdings Co., Ltd..................... 20,129 1,862,830
Dong-A ST Co., Ltd................................. 51,439 4,495,525
# Dong-Ah Geological Engineering Co., Ltd............ 76,065 1,188,071
# Dongbang Transport Logistics Co., Ltd.............. 25,627 46,795
# Dongbu Corp........................................ 68,458 483,923
Dong-Il Corp....................................... 6,992 597,970
Dongil Industries Co., Ltd......................... 11,521 608,404
Dongjin Semichem Co., Ltd.......................... 274,360 2,650,639
DongKook Pharmaceutical Co., Ltd................... 44,129 2,178,445
# Dongkuk Industries Co., Ltd........................ 312,436 760,321
* Dongkuk Steel Mill Co., Ltd........................ 519,614 3,364,813
# Dongkuk Structures & Construction Co., Ltd......... 277,208 660,547
# Dongsung Chemical Co., Ltd......................... 16,310 213,089
# DONGSUNG Corp...................................... 228,930 1,105,021
# * Dongsung Finetec Co., Ltd.......................... 148,186 1,209,842
# Dongwha Enterprise Co., Ltd........................ 42,331 661,693
Dongwha Pharm Co., Ltd............................. 200,939 1,684,230
Dongwon Development Co., Ltd....................... 511,595 2,082,419
Dongwon F&B Co., Ltd............................... 12,562 2,660,159
Dongwon Industries Co., Ltd........................ 12,554 2,872,150
# Dongwon Systems Corp............................... 30,549 930,311
# Dongwoo Farm To Table Co., Ltd..................... 75,970 281,857
# Dongwoon Anatech Co., Ltd.......................... 29,658 167,228
Dongyang E&P, Inc.................................. 39,994 344,199
# * Dongyang Steel Pipe Co., Ltd....................... 1,013,637 1,137,130
# * Doosan Heavy Industries & Construction Co., Ltd.... 413,437 2,477,869
DoubleUGames Co., Ltd.............................. 76,013 4,913,082
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Douzone Bizon Co., Ltd............................. 135,489 $6,637,960
DRB Holding Co., Ltd............................... 66,135 365,156
# * Dream Security Co., Ltd............................ 136,849 435,810
* Dreamus Co......................................... 87,597 634,820
# * DRTECH Corp........................................ 152,670 227,197
# DSR Wire Corp...................................... 63,527 280,018
# * DT&C Co., Ltd...................................... 3,240 32,188
# DTR Automotive Corp................................ 32,595 974,236
# * Duk San Neolux Co., Ltd............................ 100,090 1,476,495
Duksung Co., Ltd................................... 75,560 202,599
DY Corp............................................ 146,891 732,174
DY POWER Corp...................................... 60,459 816,962
e Tec E&C, Ltd..................................... 13,399 1,270,442
# E1 Corp............................................ 32,658 1,797,901
Eagon Holdings Co., Ltd............................ 298,627 797,261
Eagon Industrial, Ltd.............................. 20,500 181,668
Easy Bio, Inc...................................... 402,526 2,787,803
# * EcoBio Holdings Co., Ltd........................... 60,798 401,756
# * Ecopro Co., Ltd.................................... 158,695 3,702,282
# e-Credible Co., Ltd................................ 28,154 451,881
# Eehwa Construction Co., Ltd........................ 100,999 517,715
# * EG Corp............................................ 38,302 354,800
# * Ehwa Technologies Information Co., Ltd............. 3,915,868 803,480
# Elcomtec Co., Ltd.................................. 261,529 371,517
# * Elentec Co., Ltd................................... 112,258 414,247
# e-LITECOM Co., Ltd................................. 36,695 217,063
# * ELK Corp........................................... 192,381 129,610
# * EMKOREA Co., Ltd................................... 236,062 1,440,062
# EM-Tech Co., Ltd................................... 106,420 1,534,514
# * EMW Co., Ltd....................................... 204,411 182,424
# * Enerzent Co., Ltd.................................. 224,980 324,916
# Enex Co., Ltd...................................... 312,464 427,159
# ENF Technology Co., Ltd............................ 84,532 1,376,237
Eo Technics Co., Ltd............................... 69,018 4,198,433
* Esmo Corp.......................................... 74,633 377,776
# Estechpharma Co., Ltd.............................. 86,130 658,967
# * ESTsoft Corp....................................... 31,344 231,794
# * ESV, Inc........................................... 46,918 14,354
# * E-TRON Co., Ltd.................................... 1,491,477 224,710
# Eugene Corp........................................ 453,657 2,397,279
Eugene Investment & Securities Co., Ltd............ 588,034 1,380,788
# Eugene Technology Co., Ltd......................... 128,700 1,536,932
* Eusu Holdings Co., Ltd............................. 119,655 906,530
# EVERDIGM Corp...................................... 87,678 450,909
# * E-World............................................ 84,101 174,178
# * EXA E&C, Inc....................................... 69,546 88,300
# * Exem Co., Ltd...................................... 152,435 454,448
# Ezwelfare Co., Ltd................................. 43,872 363,552
# F&F Co., Ltd....................................... 61,898 4,318,440
# Farmsco............................................ 155,877 1,160,120
# * FarmStory Co., Ltd................................. 524,996 681,823
# * Feelingk Co., Ltd.................................. 315,573 526,882
# * Feelux Co., Ltd.................................... 283,759 2,137,910
Fila Korea, Ltd.................................... 72,536 5,129,861
# Fine DNC Co., Ltd.................................. 103,000 196,074
# Fine Semitech Corp................................. 16,149 109,296
# * Fine Technix Co., Ltd.............................. 216,885 328,295
# * Firstec Co., Ltd................................... 209,199 488,172
# * FN Republic Co., Ltd............................... 328,447 500,479
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
* FNC Entertainment Co., Ltd......................... 3,147 $ 24,170
# * Foosung Co., Ltd................................... 431,979 2,970,851
# * Fourth-Link, Inc................................... 52,309 65,378
# Fursys, Inc........................................ 16,042 504,153
# Gabia, Inc......................................... 61,787 472,374
# Galaxia Communications Co., Ltd.................... 102,339 313,166
* Gamevil, Inc....................................... 45,326 1,845,341
# Gaon Cable Co., Ltd................................ 23,823 377,496
# * Genic Co., Ltd..................................... 42,514 343,599
# * Genie Music Corp................................... 275,927 1,069,943
# Geumhwa PSC Co., Ltd............................... 6,842 203,284
# * Gigalane Co., Ltd.................................. 267,290 559,024
* Globon Co., Ltd.................................... 19,418 48,242
# GMB Korea Corp..................................... 79,071 526,850
# * GMP Co., Ltd....................................... 59,009 421,286
# GnCenergy Co., Ltd................................. 26,859 109,187
# * GNCO Co., Ltd...................................... 682,448 963,773
GOLFZON Co., Ltd................................... 26,580 994,976
# Golfzon Newdin Holdings Co., Ltd................... 210,823 670,432
# * Good People Co., Ltd............................... 190,533 666,896
Grand Korea Leisure Co., Ltd....................... 23,405 466,314
Green Cross Cell Corp.............................. 51,854 2,094,332
Green Cross Holdings Corp.......................... 54,464 1,136,869
GS Global Corp..................................... 401,208 913,899
GS Home Shopping, Inc.............................. 28,185 4,134,777
# * G-SMATT GLOBAL Co., Ltd............................ 535,408 615,022
Gwangju Shinsegae Co., Ltd......................... 3,808 644,701
# * GY Commerce Co., Ltd............................... 149,142 107,725
Haatz, Inc......................................... 24,715 169,088
# Hae In Corp........................................ 49,750 209,644
HAESUNG DS Co., Ltd................................ 80,685 1,078,979
# Haesung Industrial Co., Ltd........................ 24,140 233,627
# Haimarrow Food Service Co., Ltd.................... 166,776 376,710
Haitai Confectionery & Foods Co., Ltd.............. 64,176 561,007
# * Halla Corp......................................... 161,986 563,985
# Halla Holdings Corp................................ 85,442 3,240,277
# * Han Chang Corp..................................... 60,815 180,025
# Han Kuk Carbon Co., Ltd............................ 261,268 1,895,547
# Hana Micron, Inc................................... 153,881 700,553
# Hana Tour Service, Inc............................. 93,489 5,152,217
# Hancom MDS, Inc.................................... 52,411 697,940
Hancom, Inc........................................ 147,765 1,671,810
# Handok, Inc........................................ 56,096 1,495,826
Handsome Co., Ltd.................................. 143,494 5,263,578
# Hanil Cement Co., Ltd.............................. 15,772 1,983,403
# Hanil Holdings Co., Ltd............................ 12,939 631,795
# Hanil Hyundai Cement Co., Ltd...................... 22,245 734,877
# * Hanil Vacuum Co., Ltd.............................. 342,141 411,657
# * Hanjin Heavy Industries & Construction Co., Ltd.... 678,185 955,027
# * Hanjin Heavy Industries & Construction Holdings
Co., Ltd......................................... 83,704 263,028
Hanjin Kal Corp.................................... 103,090 3,267,943
# Hanjin Transportation Co., Ltd..................... 79,636 2,881,522
# * Hankook Cosmetics Co., Ltd......................... 77,549 808,697
# Hankook Cosmetics Manufacturing Co., Ltd........... 15,453 475,464
Hankook Shell Oil Co., Ltd......................... 5,623 1,551,485
* Hankook Technology, Inc............................ 79,500 77,162
Hankuk Paper Manufacturing Co., Ltd................ 24,759 397,797
# * Hankuk Steel Wire Co., Ltd......................... 58,735 144,515
# Hanla IMS Co., Ltd................................. 41,360 279,628
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
# Hanmi Semiconductor Co., Ltd....................... 230,587 $1,828,039
# HanmiGlobal Co., Ltd............................... 65,410 613,006
# Hans Biomed Corp................................... 62,852 1,505,252
Hansae Co., Ltd.................................... 183,802 4,559,551
# Hansae MK Co., Ltd................................. 42,409 256,661
Hansae Yes24 Holdings Co., Ltd..................... 98,521 814,602
# Hanshin Construction............................... 62,759 980,532
# Hanshin Machinery Co............................... 232,826 464,894
Hansol Chemical Co., Ltd........................... 76,789 5,628,304
* Hansol Holdings Co., Ltd........................... 375,272 1,499,847
# Hansol HomeDeco Co., Ltd........................... 664,337 835,597
Hansol Paper Co., Ltd.............................. 150,155 1,922,087
# * Hansol Technics Co., Ltd........................... 161,112 864,408
# Hanwha Galleria Timeworld Co., Ltd................. 14,252 372,219
Hanwha General Insurance Co., Ltd.................. 473,064 2,036,670
* Hanwha Investment & Securities Co., Ltd............ 1,037,750 2,098,469
# Hanyang Eng Co., Ltd............................... 82,288 1,104,204
Hanyang Securities Co., Ltd........................ 41,592 254,512
# * Harim Co., Ltd..................................... 397,741 1,194,373
Harim Holdings Co., Ltd............................ 165,143 1,899,005
# HB Technology Co., Ltd............................. 465,974 1,311,041
HDC Holdings Co., Ltd.............................. 203,276 2,997,502
HDC Hyundai Engineering Plastics Co., Ltd.......... 155,480 742,257
# HDC I-Controls Co., Ltd............................ 43,044 419,933
# * Heung-A Shipping Co., Ltd.......................... 1,444,950 434,521
# * Heungkuk Fire & Marine Insurance Co., Ltd.......... 316,902 1,332,273
# High Tech Pharm Co., Ltd........................... 28,011 329,994
* Hisem Co., Ltd..................................... 59,394 384,561
Hite Jinro Co., Ltd................................ 188,573 3,278,872
Hitejinro Holdings Co., Ltd........................ 68,617 539,757
# HizeAero Co., Ltd.................................. 9,927 49,980
HJ Magnolia Yongpyong Hotel & Resort Corp.......... 150,446 919,827
# * HLB POWER Co., Ltd................................. 266,189 247,424
# * Home Center Holdings Co., Ltd...................... 534,946 645,885
# * Homecast Co., Ltd.................................. 247,449 1,221,705
HS Industries Co., Ltd............................. 354,175 3,230,333
# HS R&A Co., Ltd.................................... 262,709 501,053
* HSD Engine Co., Ltd................................ 177,715 605,733
# * Huayi Brothers Korea Co., Ltd...................... 77,945 225,063
Huchems Fine Chemical Corp......................... 211,043 3,955,982
* Humax Co., Ltd..................................... 139,852 826,110
# Humedix Co., Ltd................................... 51,302 1,189,206
* Huneed Technologies................................ 87,618 700,225
Huons Co., Ltd..................................... 51,240 2,824,701
Huons Global Co., Ltd.............................. 52,150 1,835,557
# Husteel Co., Ltd................................... 20,207 210,003
# Huvis Corp......................................... 124,216 862,729
# Huvitz Co., Ltd.................................... 89,652 779,403
Hwa Shin Co., Ltd.................................. 153,608 463,584
Hwacheon Machine Tool Co., Ltd..................... 6,481 237,813
# Hwail Pharm Co., Ltd............................... 76,780 483,302
# * Hwajin Co., Ltd.................................... 195,001 191,554
Hwangkum Steel & Technology Co., Ltd............... 78,961 597,953
# HWASEUNG ENTERPRISE CO LTD......................... 30,488 354,109
HwaSung Industrial Co., Ltd........................ 80,662 1,033,073
Hy-Lok Corp........................................ 78,186 1,319,602
# * Hyosung ONB Co., Ltd............................... 15,415 118,764
# HyosungITX Co., Ltd................................ 27,938 267,724
# * Hyulim ROBOT Co., Ltd.............................. 547,191 605,265
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
# * Hyundai Bioscience Co Ltd.......................... 290,847 $4,146,552
# Hyundai BNG Steel Co., Ltd......................... 89,537 786,860
# Hyundai Construction Equipment Co., Ltd............ 88,920 3,735,586
# Hyundai Corp Holdings, Inc......................... 54,532 665,711
# Hyundai Corp....................................... 68,663 1,375,942
* Hyundai Electric & Energy System Co., Ltd.......... 29,039 587,989
Hyundai Greenfood Co., Ltd......................... 324,682 3,879,456
Hyundai Home Shopping Network Corp................. 42,667 3,655,135
Hyundai Hy Communications & Networks Co., Ltd...... 332,548 1,204,835
* Hyundai Information Technology Co., Ltd............ 49,162 87,757
# Hyundai Livart Furniture Co., Ltd.................. 114,716 2,056,124
# * Hyundai Merchant Marine Co., Ltd................... 1,278,971 4,407,557
# Hyundai Motor Securities Co., Ltd.................. 153,422 1,338,475
# Hyundai Pharmaceutical Co., Ltd.................... 201,448 853,812
# Hyundai Telecommunication Co., Ltd................. 26,501 231,928
# Hyundai Wia Corp................................... 119,394 5,108,358
# HyVision System, Inc............................... 99,434 954,427
# * I&C Technology Co., Ltd............................ 56,987 265,009
# i3system, Inc...................................... 41,083 805,954
# * iA, Inc............................................ 217,993 644,751
# ICD Co., Ltd....................................... 112,631 979,107
* ICK Co., Ltd....................................... 72,662 129,826
# * i-Components Co., Ltd.............................. 35,217 186,344
IDIS Holdings Co., Ltd............................. 1,320 17,560
# IHQ, Inc........................................... 535,723 1,055,105
# Il Dong Pharmaceutical Co., Ltd.................... 73,715 1,410,184
# IlDong Holdings Co., Ltd........................... 34,859 385,596
# Iljin Diamond Co., Ltd............................. 41,385 1,160,611
# Iljin Display Co., Ltd............................. 147,030 673,089
# * Iljin Electric Co., Ltd............................ 143,914 436,199
# Iljin Holdings Co., Ltd............................ 198,059 671,693
# Ilshin Spinning Co., Ltd........................... 11,832 1,048,914
# * Ilshin Stone Co., Ltd.............................. 420,824 861,223
# ilShinbiobase Co., Ltd............................. 281,686 524,210
# Ilsung Pharmaceuticals Co., Ltd.................... 4,076 323,085
* Ilyang Pharmaceutical Co., Ltd..................... 89,656 2,154,925
# * IM Co., Ltd........................................ 267,965 318,980
iMarketKorea, Inc.................................. 167,002 1,392,568
# * In the F Co., Ltd.................................. 76,193 138,705
InBody Co., Ltd.................................... 92,069 1,746,918
# * INCON Co., Ltd..................................... 204,515 210,091
# * Incross Co., Ltd................................... 26,724 599,826
# * Infinitt Healthcare Co., Ltd....................... 127,161 756,464
InfoBank Corp...................................... 4,325 31,263
# * Infraware, Inc..................................... 177,642 189,343
# INITECH Co., Ltd................................... 67,933 353,299
# * InkTec Co., Ltd.................................... 10,746 35,819
Innocean Worldwide, Inc............................ 58,969 3,595,309
# * InnoWireless, Inc.................................. 39,934 867,312
* Innox Advanced Materials Co., Ltd.................. 47,394 2,142,998
* Inscobee, Inc...................................... 569,376 2,065,300
# * Insun ENT Co., Ltd................................. 266,481 2,231,823
# * Insung Information Co., Ltd........................ 84,518 250,485
# Intelligent Digital Integrated Security Co., Ltd... 44,742 922,610
# * Interflex Co., Ltd................................. 80,840 998,784
* Intergis Co., Ltd.................................. 11,220 23,647
# Interojo Co., Ltd.................................. 66,673 1,519,315
# Interpark Corp..................................... 103,871 502,852
# Interpark Holdings Corp............................ 369,455 785,604
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
INTOPS Co., Ltd.................................... 116,641 $1,632,904
# INVENIA Co., Ltd................................... 107,804 335,598
# Inzi Controls Co., Ltd............................. 69,983 430,107
INZI Display Co., Ltd.............................. 32,254 54,948
# * Iones Co., Ltd..................................... 75,333 493,379
IS Dongseo Co., Ltd................................ 129,017 4,016,696
# ISC Co., Ltd....................................... 75,550 746,591
# i-SENS, Inc........................................ 95,050 1,995,862
ISU Chemical Co., Ltd.............................. 92,426 800,244
# IsuPetasys Co., Ltd................................ 234,729 1,114,034
# It's Hanbul Co., Ltd............................... 70,613 1,833,318
# J.ESTINA Co., Ltd.................................. 98,913 479,489
# Jahwa Electronics Co., Ltd......................... 92,216 1,029,593
# JASTECH, Ltd....................................... 66,749 641,137
# * Jayjun Cosmetic Co., Ltd........................... 181,470 1,301,149
JB Financial Group Co., Ltd........................ 1,588,145 7,738,677
# JC Hyun System, Inc................................ 96,331 475,913
* Jcontentree Corp................................... 369,237 1,785,565
# Jeil Pharma Holdings, Inc.......................... 16,398 351,789
Jeil Pharmaceutical Co., Ltd....................... 5,220 190,739
Jeju Air Co., Ltd.................................. 63,504 2,223,278
# * Jeju Semiconductor Corp............................ 154,448 569,211
# * Jeongsan Aikang Co., Ltd........................... 237,589 431,581
# Jinro Distillers Co., Ltd.......................... 16,024 410,417
# Jinsung T.E.C...................................... 101,741 780,779
# JLS Co., Ltd....................................... 62,953 392,517
# * JNK Heaters Co., Ltd............................... 52,520 271,708
* JoyCity Corp....................................... 12,749 103,600
# JS Corp............................................ 37,413 523,218
Jusung Engineering Co., Ltd........................ 325,414 2,285,715
# JVM Co., Ltd....................................... 29,789 959,724
# JW Holdings Corp................................... 287,332 1,637,927
# JW Life Science Corp............................... 63,353 1,317,141
JW Pharmaceutical Corp............................. 104,371 3,283,523
JYP Entertainment Corp............................. 211,588 5,408,689
# * Kanglim Co., Ltd................................... 240,269 562,076
# Kangnam Jevisco Co., Ltd........................... 29,806 692,480
# KAON Media Co., Ltd................................ 111,714 975,051
* KB Metal Co., Ltd.................................. 4,711 8,032
* KBI Dongkook Industrial Co., Ltd................... 147,284 115,689
KC Co., Ltd........................................ 73,125 1,018,596
# KC Cottrell Co., Ltd............................... 77,372 603,383
# KC Green Holdings Co., Ltd......................... 118,684 596,804
KC Tech Co., Ltd................................... 74,585 1,269,754
# KCC Engineering & Construction Co., Ltd............ 62,491 394,172
KCI, Ltd........................................... 33,797 362,134
KCTC............................................... 13,113 38,443
* KD Construction Co., Ltd........................... 147,361 12,489
# * KEC Corp........................................... 714,549 782,276
# KEPCO Engineering & Construction Co., Inc.......... 111,799 2,183,110
# Keyang Electric Machinery Co., Ltd................. 205,292 682,731
# * KEYEAST Co., Ltd................................... 466,462 1,474,314
# KG Chemical Corp................................... 70,812 873,744
# KG Eco Technology Service Co., Ltd................. 314,871 1,074,985
Kginicis Co., Ltd.................................. 136,223 1,669,679
# KGMobilians Co., Ltd............................... 134,426 830,815
# * KH Vatec Co., Ltd.................................. 120,737 863,598
KINX, Inc.......................................... 18,867 508,763
KISCO Corp......................................... 194,863 1,001,253
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
# KISCO Holdings Co., Ltd............................ 55,977 $ 650,744
# Kishin Corp........................................ 49,420 169,407
KISWIRE, Ltd....................................... 57,254 1,257,608
# * Kiwi Media Group Co., Ltd.......................... 1,683,238 431,366
# * KleanNara Co., Ltd................................. 141,308 340,315
# KL-Net Corp........................................ 122,853 311,470
KM Corp............................................ 32,246 241,931
KMH Co., Ltd....................................... 123,798 813,156
# * KMH Hitech Co., Ltd................................ 121,868 117,497
# Kocom Co., Ltd..................................... 59,560 411,167
# * Kodaco Co., Ltd.................................... 278,877 524,021
Koentec Co., Ltd................................... 161,790 1,574,458
# Koh Young Technology, Inc.......................... 87,881 7,275,214
Kolmar BNH Co., Ltd................................ 101,108 2,506,154
# Kolmar Korea Holdings Co., Ltd..................... 81,272 2,527,110
# Kolon Corp......................................... 57,338 1,340,606
# * Kolon Fashion Material, Inc........................ 98,755 206,765
Kolon Global Corp.................................. 44,535 467,282
# * Kolon Life Science, Inc............................ 60,941 2,193,482
# Kolon Plastic, Inc................................. 120,233 612,566
# Komelon Corp....................................... 37,331 259,418
# KoMiCo, Ltd........................................ 34,202 802,882
# * KONA I Co., Ltd.................................... 104,008 1,083,269
# Kook Soon Dang Brewery Co., Ltd.................... 102,707 390,508
# Kopla Co., Ltd..................................... 112,709 336,505
# Korea Alcohol Industrial Co., Ltd.................. 115,298 877,708
# Korea Asset In Trust Co., Ltd...................... 310,278 1,127,173
# Korea Autoglass Corp............................... 70,686 1,211,082
# Korea Cast Iron Pipe Industries Co., Ltd........... 73,524 642,324
# * Korea Circuit Co., Ltd............................. 93,570 485,892
* Korea District Heating Corp........................ 26,322 1,297,106
Korea Electric Terminal Co., Ltd................... 50,403 2,507,252
# Korea Electronic Certification Authority, Inc...... 139,013 583,552
# Korea Electronic Power Industrial Development Co.,
Ltd.............................................. 71,059 220,665
Korea Export Packaging Industrial Co., Ltd......... 5,621 109,985
# * Korea Flange Co., Ltd.............................. 97,231 146,373
# Korea Fuel-Tech Corp............................... 46,115 122,498
# Korea Industrial Co., Ltd.......................... 88,039 183,592
# * Korea Information & Communications Co., Ltd........ 117,495 915,796
# Korea Information Certificate Authority, Inc....... 150,707 557,165
* Korea Line Corp.................................... 124,843 2,561,834
# * Korea Materials & Analysis Corp.................... 41,315 489,024
Korea Petrochemical Ind Co., Ltd................... 29,031 3,737,282
Korea Real Estate Investment & Trust Co., Ltd...... 1,069,123 2,383,052
# Korea United Pharm, Inc............................ 88,713 1,998,619
Korean Reinsurance Co.............................. 571,040 4,458,635
Kortek Corp........................................ 89,452 1,171,877
* Kossen Co., Ltd.................................... 62,368 118,167
# * KPM Tech Co., Ltd.................................. 113,288 124,569
# KPX Chemical Co., Ltd.............................. 17,179 831,789
# * KSIGN Co., Ltd..................................... 353,784 518,853
# KSS LINE, Ltd...................................... 114,094 707,629
* KT Hitel Co., Ltd.................................. 110,032 455,604
KT Skylife Co., Ltd................................ 191,759 1,937,376
# KT Submarine Co., Ltd.............................. 129,898 414,568
# * KTB Investment & Securities Co., Ltd............... 426,943 1,159,490
# KTCS Corp.......................................... 270,563 556,177
Ktis Corp.......................................... 212,059 468,418
# * Kuk Young G&M...................................... 186,943 222,904
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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SOUTH KOREA -- (Continued)
# Kukbo Design Co., Ltd.............................. 30,951 $ 430,359
# Kukdo Chemical Co., Ltd............................ 30,388 1,202,638
# Kukdong Oil & Chemicals Co., Ltd................... 89,179 288,388
# * Kuk-il Paper Manufacturing Co., Ltd................ 729,098 1,386,607
# Kum Yang Co., Ltd.................................. 95,714 198,156
# Kumho Industrial Co., Ltd.......................... 209,790 2,578,406
# * Kumho Tire Co., Inc................................ 628,346 2,432,550
# Kumkang Kind Co., Ltd.............................. 21,211 442,142
# Kwang Dong Pharmaceutical Co., Ltd................. 317,899 2,004,394
# * Kwang Myung Electric Co., Ltd...................... 345,066 730,848
# Kyeryong Construction Industrial Co., Ltd.......... 32,916 710,534
Kyobo Securities Co., Ltd.......................... 183,392 1,632,746
Kyongbo Pharmaceutical Co., Ltd.................... 95,168 835,582
# Kyung Dong Navien Co., Ltd......................... 51,000 2,265,489
# * Kyung Nam Pharm Co., Ltd........................... 62,169 171,635
# Kyung Nong Corp.................................... 35,483 443,423
# Kyungbang Co., Ltd................................. 90,006 862,260
Kyungchang Industrial Co., Ltd..................... 15,666 19,029
KyungDong City Gas Co., Ltd........................ 23,917 766,170
# KyungDong Invest Co., Ltd.......................... 8,652 308,522
Kyungdong Pharm Co., Ltd........................... 129,644 1,216,236
# Kyung-In Synthetic Corp............................ 272,056 1,512,755
# L&F Co., Ltd....................................... 111,918 2,881,045
# * L&K Biomed Co., Ltd................................ 26,992 161,977
# * LabGenomics Co., Ltd............................... 49,913 330,148
# * LB Semicon, Inc.................................... 280,854 1,972,453
# LEADCORP, Inc. (The)............................... 147,896 776,221
# * Leaders Cosmetics Co., Ltd......................... 101,387 1,009,509
# * Lee Ku Industrial Co., Ltd......................... 223,689 415,981
LEENO Industrial, Inc.............................. 79,506 3,893,602
# * Leenos Corp........................................ 229,858 350,561
LF Corp............................................ 173,767 3,710,868
# LG Hausys, Ltd..................................... 61,572 3,205,809
LG International Corp.............................. 324,054 5,281,576
LIG Nex1 Co., Ltd.................................. 104,817 3,359,285
# Lion Chemtech Co., Ltd............................. 72,991 561,288
* LIS Co., Ltd....................................... 54,679 655,893
# * Liveplex Co., Ltd.................................. 686,550 454,886
# LMS Co., Ltd....................................... 51,354 289,642
Lock & Lock Co., Ltd............................... 160,625 2,354,815
# * LONGTU KOREA, Inc.................................. 102,159 441,332
# LOT Vacuum Co., Ltd................................ 76,658 731,260
Lotte Chilsung Beverage Co., Ltd................... 1,067 1,581,113
Lotte Confectionery Co., Ltd....................... 719 113,815
LOTTE Fine Chemical Co., Ltd....................... 125,869 5,187,966
Lotte Food Co., Ltd................................ 3,536 1,909,216
LOTTE Himart Co., Ltd.............................. 60,745 2,472,327
* Lotte Non-Life Insurance Co., Ltd.................. 598,357 1,411,539
# * Lotte Tour Development Co., Ltd.................... 121,092 1,398,088
LS Cable & System Asia, Ltd........................ 81,589 472,733
# * Lumens Co., Ltd.................................... 362,528 704,935
# * Lutronic Corp...................................... 166,662 1,304,587
# LVMC Holdings...................................... 254,936 582,415
* Macrogen, Inc...................................... 84,095 2,360,715
Maeil Holdings Co., Ltd............................ 72,701 790,316
# * Magicmicro Co., Ltd................................ 415,153 511,979
# * Majestar Co., Ltd.................................. 253,982 60,131
# MAKUS, Inc......................................... 21,923 106,476
# * Maniker Co., Ltd................................... 373,806 368,250
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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--------- -------------------------------
SOUTH KOREA -- (Continued)
# Mcnex Co., Ltd..................................... 85,920 $1,580,746
# * ME2ON Co., Ltd..................................... 205,602 1,477,108
# * Mediana Co., Ltd................................... 35,251 236,808
# Meerecompany, Inc.................................. 26,488 1,389,931
# MegaStudy Co., Ltd................................. 64,566 740,036
# MegaStudyEdu Co., Ltd.............................. 68,438 2,419,933
# * Melfas, Inc........................................ 166,086 367,738
# META BIOMED Co., Ltd............................... 157,118 403,999
* Metalabs Co., Ltd.................................. 11,419 20,919
# * Mgame Corp......................................... 132,226 377,515
Mi Chang Oil Industrial Co., Ltd................... 6,392 435,280
# MiCo, Ltd.......................................... 256,498 1,434,860
# * Microfriend, Inc................................... 41,780 171,526
# Minwise Co., Ltd................................... 84,803 1,790,355
Mirae Asset Life Insurance Co., Ltd................ 720,495 3,269,257
# * Mirae Corp......................................... 5,388,167 739,069
# Miwon Chemicals Co., Ltd........................... 3,853 147,367
Miwon Commercial Co., Ltd.......................... 4,834 185,041
# Miwon Specialty Chemical Co., Ltd.................. 13,243 851,059
# MK Electron Co., Ltd............................... 135,468 995,201
# * MNTech Co., Ltd.................................... 151,340 534,007
# Mobase Co., Ltd.................................... 130,616 642,743
# * Mobile Appliance, Inc.............................. 87,251 535,976
* Moda-InnoChips Co., Ltd............................ 26,364 110,837
Modetour Network, Inc.............................. 138,475 2,660,097
# Monalisa Co., Ltd.................................. 104,413 350,172
# MonAmi Co., Ltd.................................... 104,161 249,723
Moorim P&P Co., Ltd................................ 202,756 1,060,465
# Moorim Paper Co., Ltd.............................. 161,230 495,422
# Motonic Corp....................................... 88,699 959,722
# * MP Group, Inc...................................... 151,072 31,887
# * MP Hankang Co., Ltd................................ 266,666 403,815
# MS Autotech Co., Ltd............................... 143,953 524,549
Muhak Co., Ltd..................................... 122,263 1,421,862
# Multicampus Corp................................... 19,542 884,904
# * MyungMoon Pharm Co., Ltd........................... 169,439 835,157
# Nam Hwa Construction Co., Ltd...................... 37,268 304,303
# Namhae Chemical Corp............................... 230,945 2,126,107
# * NamKwang Engineering & Construction Co., Ltd....... 24,008 265,141
# * Namsun Aluminum Co., Ltd........................... 677,470 1,655,943
* Namuga Co., Ltd.................................... 8,722 259,539
Namyang Dairy Products Co., Ltd.................... 3,096 1,628,211
# * Nano Chem Tech, Inc................................ 123,768 484,442
# * NanoenTek, Inc..................................... 96,101 454,433
Nasmedia Co., Ltd.................................. 31,278 1,085,355
# * Nature & Environment Co., Ltd...................... 245,711 399,020
NeoPharm Co., Ltd.................................. 39,656 1,840,598
# * Neowiz............................................. 133,655 1,497,914
# * NEOWIZ HOLDINGS Corp............................... 42,417 490,584
# NEPES Corp......................................... 155,670 2,750,957
# * Neuros Co., Ltd.................................... 132,787 683,159
# * New Power Plasma Co., Ltd.......................... 34,503 568,590
# * NewGLAB Co., Ltd................................... 54,737 478,077
Nexen Corp......................................... 257,315 1,401,966
Nexen Tire Corp.................................... 270,530 2,331,576
# * Next Entertainment World Co., Ltd.................. 127,809 650,311
# * Next Science Co Ltd................................ 60,106 321,295
# NextEye Co., Ltd................................... 197,968 440,537
# Nexturn Co., Ltd................................... 53,705 538,213
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
* NHN BUGS Corp...................................... 55,774 $ 332,696
* NHN Corp........................................... 95,000 6,837,763
# NHN KCP Corp....................................... 125,837 1,543,896
NI Steel Co., Ltd.................................. 6,100 13,277
NICE Holdings Co., Ltd............................. 142,334 2,724,571
Nice Information & Telecommunication, Inc.......... 47,343 864,737
NICE Information Service Co., Ltd.................. 272,052 3,260,834
# NICE Total Cash Management Co., Ltd................ 178,566 1,536,829
# * NK Co., Ltd........................................ 510,585 677,980
# Nong Shim Holdings Co., Ltd........................ 14,750 1,088,662
# Nong Woo Bio Co., Ltd.............................. 64,184 648,025
# Noroo Holdings Co., Ltd............................ 14,784 161,447
# NOROO Paint & Coatings Co., Ltd.................... 86,179 580,172
NPC................................................ 66,771 227,847
NS Shopping Co., Ltd............................... 145,658 1,783,920
# * NSN Co., Ltd....................................... 13,286 45,893
# * nTels Co., Ltd..................................... 22,909 335,496
# Nuri Telecom Co., Ltd.............................. 57,184 341,419
# * NUVOTEC Co., Ltd................................... 153,125 210,177
Oceanbridge Co., Ltd............................... 19,278 203,136
# * Omnisystem Co., Ltd................................ 306,179 574,401
# Openbase, Inc...................................... 183,847 416,102
# Opto Device Technology Co., Ltd.................... 83,155 412,585
# OptoElectronics Solutions Co., Ltd................. 45,866 1,338,157
OPTRON-TEC, Inc.................................... 154,117 862,516
# * Orbitech Co., Ltd.................................. 159,009 621,049
# * Orientbio, Inc..................................... 1,249,881 587,988
Orion Holdings Corp................................ 119,410 1,954,628
# * OSANGJAIEL Co., Ltd................................ 95,462 818,371
* Oscotec, Inc....................................... 39,406 913,416
* Osstem Implant Co., Ltd............................ 101,908 5,052,089
# * Osung Advanced Materials Co., Ltd.................. 278,129 522,876
# Paik Kwang Industrial Co., Ltd..................... 147,025 381,740
Pang Rim Co., Ltd.................................. 101,740 208,130
# Pan-Pacific Co., Ltd............................... 249,450 627,656
# * PaperCorea, Inc.................................... 237,569 188,699
Paradise Co., Ltd.................................. 127,458 2,028,781
# Partron Co., Ltd................................... 373,043 4,435,451
# * Paru Co., Ltd...................................... 257,213 557,662
# * Paxnet Co., Ltd.................................... 60,006 349,903
# * People & Technology, Inc........................... 61,565 633,445
# Pharma Research Products Co., Ltd.................. 45,777 1,593,379
# * Phoenix Materials Co., Ltd......................... 304,133 193,346
# PNE Solution Co., Ltd.............................. 86,108 997,013
# * Pobis TNC Co., Ltd................................. 250,451 340,862
# * POLUS BioPharm, Inc................................ 42,209 90,306
# Poongsan Corp...................................... 188,055 4,485,179
# Poongsan Holdings Corp............................. 34,674 1,209,575
POSCO Coated & Color Steel Co., Ltd................ 20,770 345,378
Posco ICT Co., Ltd................................. 433,606 2,128,478
# Posco M-Tech Co., Ltd.............................. 196,627 1,084,455
# * Power Logics Co., Ltd.............................. 232,551 2,147,873
# Protec Co., Ltd.................................... 48,479 841,610
# PS TEC Co., Ltd.................................... 105,727 413,741
# PSK, Inc........................................... 124,011 1,741,027
# Pulmuone Co., Ltd.................................. 9,866 1,089,512
# Pungkuk Alcohol Industry Co., Ltd.................. 33,554 502,996
# Pyeong Hwa Automotive Co., Ltd..................... 96,605 911,270
# * RaonSecure Co., Ltd................................ 235,194 627,374
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
SOUTH KOREA -- (Continued)
Rayence Co., Ltd................................... 21,065 $ 295,552
# * Redrover Co., Ltd.................................. 335,561 348,510
# Reyon Pharmaceutical Co., Ltd...................... 59,538 973,447
RFHIC Corp......................................... 35,138 965,267
# * RFTech Co., Ltd.................................... 166,961 945,988
# Robostar Co., Ltd.................................. 58,914 1,377,616
* Rorze Systems Corp................................. 12,806 40,804
# S Net Systems, Inc................................. 100,072 734,498
# S&S Tech Corp...................................... 126,918 708,310
# * S&T Corp........................................... 13,299 148,568
# S&T Dynamics Co., Ltd.............................. 190,917 1,256,533
S&T Holdings Co., Ltd.............................. 67,890 767,007
# S&T Motiv Co., Ltd................................. 89,148 2,909,899
# * S.Y. Co., Ltd...................................... 125,687 597,023
# Sajo Industries Co., Ltd........................... 25,607 1,293,284
# * Sajodongaone Co., Ltd.............................. 256,108 321,823
Sam Chun Dang Pharm Co., Ltd....................... 129,025 5,074,543
# * SAM KANG M&T Co., Ltd.............................. 103,756 436,912
Sam Young Electronics Co., Ltd..................... 95,284 1,038,478
# Sam Yung Trading Co., Ltd.......................... 91,416 1,248,743
# Sam-A Pharm Co., Ltd............................... 4,439 70,337
Sambo Corrugated Board Co., Ltd.................... 1,545 15,834
# Sambo Motors Co., Ltd.............................. 73,265 443,768
# * Sambon Electronics Co., Ltd........................ 284,390 965,227
Samchully Co., Ltd................................. 24,231 1,931,547
# * Samchuly Bicycle Co., Ltd.......................... 69,555 431,677
# Samho Development Co., Ltd......................... 163,248 707,791
# Samho International Co., Ltd....................... 45,454 705,568
# SAMHWA Paints Industrial Co., Ltd.................. 83,835 434,087
# Samick Musical Instruments Co., Ltd................ 487,714 929,516
# Samick THK Co., Ltd................................ 82,624 1,016,887
Samil Pharmaceutical Co., Ltd...................... 34,462 1,012,781
# Samji Electronics Co., Ltd......................... 96,661 895,330
# Samjin LND Co., Ltd................................ 98,862 217,481
Samjin Pharmaceutical Co., Ltd..................... 87,581 2,934,958
# Samkee Automotive Co., Ltd......................... 179,493 425,335
# Samkwang Glass Co., Ltd............................ 25,070 925,193
# Sammok S-Form Co., Ltd............................. 29,818 354,984
# * SAMPYO Cement Co., Ltd............................. 231,777 722,003
Samsung Climate Control Co., Ltd................... 3,552 30,744
# * Samsung Pharmaceutical Co., Ltd.................... 286,207 732,610
# Samsung Publishing Co., Ltd........................ 33,817 493,574
# SAMT Co., Ltd...................................... 470,734 741,806
# Samwha Capacitor Co., Ltd.......................... 63,837 3,275,798
# Samwha Electric Co., Ltd........................... 33,509 542,575
Samyang Corp....................................... 32,842 1,729,323
# Samyang Foods Co., Ltd............................. 27,537 1,864,027
Samyang Holdings Corp.............................. 38,258 2,632,320
# Samyang Tongsang Co., Ltd.......................... 16,412 845,682
# Samyoung M-Tek Co., Ltd............................ 10,739 33,054
# Sang-A Frontec Co., Ltd............................ 60,793 914,459
# * Sangbo Corp........................................ 184,995 327,483
# * Sangsangin Co., Ltd................................ 277,671 4,586,397
# * Sangsangin Industry Co., Ltd....................... 240,030 60,680
Sangsin Brake...................................... 47,715 183,737
# Sangsin Energy Display Precision Co., Ltd.......... 74,772 641,826
# SaraminHR Co., Ltd................................. 49,012 967,632
# Satrec Initiative Co., Ltd......................... 43,202 696,268
# SAVEZONE I&C Corp.................................. 118,777 391,522
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * SBI Investment Korea Co., Ltd...................... 753,154 $ 549,660
* SBS Media Holdings Co., Ltd........................ 403,298 822,422
* SBW................................................ 1,010,123 866,321
# * S-Connect Co., Ltd................................. 422,477 721,829
# * SD Biotechnologies Co., Ltd........................ 91,170 766,291
# * SDN Co., Ltd....................................... 374,984 502,315
Seah Besteel Corp.................................. 119,506 2,010,086
SeAH Holdings Corp................................. 5,096 421,674
SeAH Steel Corp.................................... 13,823 762,613
SeAH Steel Holdings Corp........................... 15,747 755,500
# Sebang Co., Ltd.................................... 84,554 1,058,184
Sebang Global Battery Co., Ltd..................... 58,927 2,411,286
# Sebo Manufacturing Engineer Corp................... 50,252 462,576
# Secuve Co., Ltd.................................... 175,005 257,222
* Seegene, Inc....................................... 157,090 3,165,115
Sejin Heavy Industries Co., Ltd.................... 45,765 211,021
# Sejong Industrial Co., Ltd......................... 73,373 463,573
* Sejong Telecom, Inc................................ 2,720,131 1,163,885
# * Sejoong Co., Ltd................................... 80,478 238,733
# * Sekonix Co., Ltd................................... 84,992 548,947
# * Selvas AI, Inc..................................... 179,027 579,311
# Sempio Foods Co.................................... 14,221 400,579
# Semyung Electric Machinery Co., Ltd................ 76,449 371,008
# S-Energy Co., Ltd.................................. 89,497 406,301
# * Seobu T&D.......................................... 262,250 2,348,972
# Seohan Co., Ltd.................................... 696,802 1,062,577
# Seohee Construction Co., Ltd....................... 1,572,208 1,687,499
# Seojin System Co., Ltd............................. 7,450 155,229
# Seondo Electric Co., Ltd........................... 91,667 304,647
# Seoul Auction Co., Ltd............................. 99,099 759,887
# * Seoul Electronics & Telecom........................ 269,734 344,095
# * Seoul Food Industrial Co., Ltd..................... 2,476,815 424,086
# * Seoul Pharma Co., Ltd.............................. 56,814 385,305
Seoul Semiconductor Co., Ltd....................... 304,747 5,011,769
# * Seouleaguer Co., Ltd............................... 113,345 254,119
# Seoulin Bioscience Co., Ltd........................ 28,534 241,236
# Seowon Co., Ltd.................................... 158,377 161,521
# SEOWONINTECH Co., Ltd.............................. 91,951 435,128
# Seoyon Co., Ltd.................................... 112,588 453,692
# Seoyon E-Hwa Co., Ltd.............................. 93,174 587,954
# Sewha P&C, Inc..................................... 111,502 324,247
# * Sewon Cellontech Co., Ltd.......................... 413,385 1,298,025
Sewon Precision Industry Co., Ltd.................. 25,563 185,951
# SEWOONMEDICAL Co., Ltd............................. 179,369 596,501
SFA Engineering Corp............................... 154,588 5,561,005
# * SFA Semicon Co., Ltd............................... 658,251 1,386,113
# * SFC Co., Ltd....................................... 290,874 451,942
# * SG Corp............................................ 1,029,814 718,768
# * SG&G Corp.......................................... 178,205 310,434
# * SGA Co., Ltd....................................... 639,445 291,217
# * SGA Solutions Co., Ltd............................. 160,395 241,372
# SH Energy & Chemical Co., Ltd...................... 739,431 738,479
# * Shin Poong Pharmaceutical Co., Ltd................. 330,036 2,277,882
# Shindaeyang Paper Co., Ltd......................... 10,629 755,395
# Shinil Industrial Co., Ltd......................... 651,705 1,092,817
# Shinsegae Engineering & Construction Co., Ltd...... 22,487 589,403
# Shinsegae Food Co., Ltd............................ 17,956 1,381,652
# Shinsegae Information & Communication Co., Ltd..... 9,260 1,119,735
Shinsegae International, Inc....................... 19,399 5,227,634
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * Shinsung E&G Co., Ltd.............................. 907,709 $ 909,956
# * Shinsung Tongsang Co., Ltd......................... 518,762 424,495
# * Shinwha Intertek Corp.............................. 245,476 498,592
# * Shinwon Construction Co., Ltd...................... 99,883 380,622
# * Shinwon Corp....................................... 415,632 696,931
# Shinyoung Securities Co., Ltd...................... 33,458 1,685,215
SHOWBOX Corp....................................... 272,138 833,222
# * Signetics Corp..................................... 450,335 617,176
# SIGONG TECH Co., Ltd............................... 93,198 507,940
Silicon Works Co., Ltd............................. 89,032 3,717,772
# Silla Co., Ltd..................................... 55,354 705,847
SIMMTECH Co., Ltd.................................. 123,693 726,811
# Simmtech Holding Co., Ltd.......................... 126,986 220,175
# SIMPAC, Inc........................................ 114,590 252,270
Sindoh Co., Ltd.................................... 40,874 1,755,914
Sinil Pharm Co., Ltd............................... 1,227 11,035
# SinSin Pharmaceutical Co., Ltd..................... 60,923 409,589
# SK Bioland Co., Ltd................................ 90,889 1,385,709
# SK Chemicals Co., Ltd.............................. 18,686 1,083,329
# SK D&D Co., Ltd.................................... 61,345 1,548,413
SK Discovery Co., Ltd.............................. 60,364 1,571,072
# SK Gas, Ltd........................................ 35,778 2,627,710
SK Networks Co., Ltd............................... 1,085,649 5,447,617
# SK Securities Co., Ltd............................. 4,149,640 2,520,606
SKC Co., Ltd....................................... 140,935 4,315,302
* SKC Solmics Co., Ltd............................... 240,517 862,591
# SKCKOLONPI, Inc.................................... 114,729 2,984,993
SL Corp............................................ 109,481 2,278,337
* SM Culture & Contents Co., Ltd..................... 324,599 583,235
* SM Entertainment Co................................ 173,695 6,159,503
# * S-MAC Co., Ltd..................................... 1,016,327 921,399
* SMARK Co., Ltd..................................... 45,350 38,744
# SMCore, Inc........................................ 115,434 1,109,066
# SMEC Co., Ltd...................................... 216,193 588,299
* SNTEK Co., Ltd..................................... 1,749 8,512
# * SNU Precision Co., Ltd............................. 165,332 424,515
# * Solborn, Inc....................................... 140,620 615,340
# * Solco Biomedical Co., Ltd.......................... 1,496,270 380,416
# * Solid, Inc......................................... 229,788 857,273
Songwon Industrial Co., Ltd........................ 162,692 2,788,615
# * Sonokong Co., Ltd.................................. 138,753 326,817
# * Soosan Heavy Industries Co., Ltd................... 206,213 285,592
Soulbrain Co., Ltd................................. 103,125 4,447,451
SPC Samlip Co., Ltd................................ 20,260 2,331,573
# SPG Co., Ltd....................................... 135,956 1,059,791
# Spigen Korea Co., Ltd.............................. 23,443 1,518,557
* Ssangyong Motor Co................................. 342,624 1,551,373
# ST Pharm Co., Ltd.................................. 62,124 1,218,813
# Suheung Co., Ltd................................... 58,794 1,365,472
Sun Kwang Co., Ltd................................. 24,809 381,595
# Sunchang Corp...................................... 55,687 262,031
# * SundayToz Corp..................................... 45,574 867,895
# Sung Bo Chemicals Co., Ltd......................... 89,031 388,977
# Sung Kwang Bend Co., Ltd........................... 169,036 1,687,643
# * Sungchang Enterprise Holdings, Ltd................. 521,155 934,922
# Sungdo Engineering & Construction Co., Ltd......... 100,287 524,623
# Sungshin Cement Co., Ltd........................... 156,234 1,322,254
Sungwoo Hitech Co., Ltd............................ 461,540 1,925,818
# Sunjin Co., Ltd.................................... 116,336 1,276,228
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * Sunny Electronics Corp............................... 208,190 $ 567,306
# * Supex BNP Co., Ltd................................... 290,949 272,398
# * Suprema HQ, Inc...................................... 36,612 232,727
# * Suprema, Inc......................................... 36,649 934,977
SurplusGlobal, Inc................................... 14,061 40,522
* Synergy Innovation Co., Ltd.......................... 82,346 152,867
# * Synopex, Inc......................................... 552,009 1,356,580
# Systems Technology, Inc.............................. 93,403 1,229,743
# Tae Kyung Industrial Co., Ltd........................ 55,377 277,426
Taekwang Industrial Co., Ltd......................... 2,548 3,269,410
* Taewoong Co., Ltd.................................... 87,859 767,779
Taeyoung Engineering & Construction Co., Ltd......... 371,706 4,068,084
* Taihan Electric Wire Co., Ltd........................ 1,094,911 926,574
# * Taihan Fiberoptics Co., Ltd.......................... 455,943 1,661,712
Taihan Textile Co., Ltd.............................. 6,240 87,365
Tailim Packaging Co., Ltd............................ 97,320 447,492
# * TBH Global Co., Ltd.................................. 131,435 308,179
# TechWing, Inc........................................ 113,770 1,423,845
# Telechips, Inc....................................... 52,136 545,440
# TES Co., Ltd......................................... 127,041 1,986,112
# Tesna Co., Ltd....................................... 46,344 1,552,415
# * Theragen Etex Co., Ltd............................... 205,088 1,887,697
# * Thinkware Systems Corp............................... 66,802 462,476
# * TK Chemical Corp..................................... 444,689 1,050,503
# TK Corp.............................................. 143,769 1,429,328
# * TOBESOFT Co., Ltd.................................... 120,531 457,616
# Tokai Carbon Korea Co., Ltd.......................... 40,094 2,128,104
# Tong Yang Moolsan Co., Ltd........................... 438,988 640,664
Tongyang Life Insurance Co., Ltd..................... 337,737 1,311,253
# * Tongyang Networks Corp............................... 133,420 255,853
* Tongyang pile, Inc................................... 3,387 17,614
Tongyang, Inc........................................ 1,460,426 2,490,541
# Tonymoly Co., Ltd.................................... 56,762 678,522
# Top Engineering Co., Ltd............................. 106,674 779,960
# Toptec Co., Ltd...................................... 162,584 1,413,045
Tovis Co., Ltd....................................... 127,615 764,116
TS Corp.............................................. 29,662 525,180
# * T'way Holdings, Inc.................................. 280,509 608,339
# UBCare Co., Ltd...................................... 200,126 1,127,034
# Ubiquoss Holdings, Inc............................... 80,974 1,708,957
Ubiquoss, Inc........................................ 29,354 963,297
# * Ugint Co., Ltd....................................... 630,240 396,310
# UIL Co., Ltd......................................... 100,293 457,916
# Uju Electronics Co., Ltd............................. 57,321 445,158
# * Uni-Chem Co., Ltd.................................... 344,228 640,530
# * Unick Corp........................................... 67,234 454,633
# Unid Co., Ltd........................................ 45,825 1,973,914
# Union Semiconductor Equipment & Materials Co., Ltd... 219,217 1,076,961
# Uniquest Corp........................................ 116,456 706,297
# * Unison Co., Ltd...................................... 554,510 635,293
# * Unitekno Co., Ltd.................................... 17,561 269,136
# UniTest, Inc......................................... 148,026 1,995,744
Value Added Technology Co., Ltd...................... 87,989 2,010,034
# Very Good Tour Co., Ltd.............................. 51,748 363,485
# Vessel Co., Ltd...................................... 55,092 198,419
# Viatron Technologies, Inc............................ 88,843 921,431
# VICTEK Co., Ltd...................................... 129,990 342,774
# Vieworks Co., Ltd.................................... 65,044 1,776,449
# Visang Education, Inc................................ 54,760 348,485
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# Vitzro Tech Co., Ltd............................... 11,550 $ 60,490
# * Vitzrocell Co., Ltd................................ 106,295 1,016,315
# * VitzroSys Co., Ltd................................. 289,611 120,243
# * W Holding Co., Ltd................................. 971,568 422,376
* Webzen, Inc........................................ 127,638 2,032,965
# * Welcron Co., Ltd................................... 189,702 661,711
# Wemade Co., Ltd.................................... 75,166 3,091,196
# Whanin Pharmaceutical Co., Ltd..................... 120,322 1,991,437
# * WillBes & Co. (The)................................ 395,146 485,833
# Winix, Inc......................................... 69,947 1,416,805
# Wins Co., Ltd...................................... 68,892 837,829
# WiSoL Co., Ltd..................................... 180,026 2,761,967
# * WIZIT Co., Ltd..................................... 625,404 648,266
* Won Ik Corp........................................ 8,055 34,041
# * WONIK CUBE Corp.................................... 186,576 382,506
* Wonik Holdings Co., Ltd............................ 290,705 1,236,173
WONIK IPS Co., Ltd................................. 272,942 6,534,997
Wonik Materials Co., Ltd........................... 65,541 1,332,172
# * Wonik QnC Corp..................................... 145,417 1,757,841
# * Woojin Plaimm Co., Ltd............................. 12,566 58,502
* Woojin, Inc........................................ 2,070 10,359
# * Woongjin Co., Ltd.................................. 437,943 839,956
# * Woongjin Energy Co., Ltd........................... 130,463 102,079
# * Woongjin Thinkbig Co., Ltd......................... 429,512 1,089,848
# * Woori Investment Bank Co., Ltd..................... 3,270,585 2,088,424
Woori Technology Investment Co., Ltd............... 439,468 1,267,990
# * Woori Technology, Inc.............................. 758,362 890,893
# * Wooridul Pharmaceutical, Ltd....................... 98,530 650,448
Woorison F&G Co., Ltd.............................. 129,980 319,243
# Woory Industrial Co., Ltd.......................... 47,038 1,198,720
# Wooshin Systems Co., Ltd........................... 87,771 471,296
# * Woosu AMS Co., Ltd................................. 139,479 495,414
# * WooSung Feed Co., Ltd.............................. 171,724 537,924
* Woowon Development Co., Ltd........................ 30,318 100,518
# Worldex Industry & Trading Co., Ltd................ 46,320 234,059
# Y G-1 Co., Ltd..................................... 156,704 1,504,685
# * YeaRimDang Publishing Co., Ltd..................... 114,015 588,574
# * Yeong Hwa Metal Co., Ltd........................... 195,869 246,482
# YES24 Co., Ltd..................................... 58,265 225,301
# * Yest Co., Ltd...................................... 54,484 721,828
# YG Entertainment, Inc.............................. 93,654 2,887,282
# * YG PLUS............................................ 174,306 284,070
# * YIK Corp........................................... 162,264 466,318
# * YJM Games Co., Ltd................................. 302,227 599,836
# YMC Co., Ltd....................................... 120,112 865,193
* Yonwoo Co., Ltd.................................... 36,845 891,245
# Yoosung Enterprise Co., Ltd........................ 146,134 364,024
# YooSung T&S Co., Ltd............................... 106,473 309,374
Youlchon Chemical Co., Ltd......................... 86,600 1,057,533
# Young Heung Iron & Steel Co., Ltd.................. 241,560 273,746
# * Young In Frontier Co., Ltd......................... 81,993 636,603
Young Poong Corp................................... 385 255,512
# Young Poong Precision Corp......................... 90,051 739,918
Youngone Corp...................................... 46,369 1,466,913
Youngone Holdings Co., Ltd......................... 38,622 2,149,632
# * YoungWoo DSP Co., Ltd.............................. 197,393 220,467
YTN Co., Ltd....................................... 73,837 131,714
* Yuanta Securities Korea Co., Ltd................... 897,943 2,556,990
# YuHwa Securities Co., Ltd.......................... 17,992 195,414
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
# * Yujin Robot Co., Ltd................................ 128,690 $ 454,265
* Yungjin Pharmaceutical Co., Ltd..................... 494,889 2,783,028
# * Yuyang DNU Co., Ltd................................. 178,450 1,238,796
Yuyu Pharma, Inc.................................... 1,676 18,410
# Zeus Co., Ltd....................................... 56,787 776,603
# * Zungwon En-Sys, Inc................................. 86,136 137,918
--------------
TOTAL SOUTH KOREA........................................ 1,160,385,284
--------------
TAIWAN -- (17.4%)
# ABC Taiwan Electronics Corp......................... 494,910 380,080
# Ability Enterprise Co., Ltd......................... 1,872,293 864,963
# Ability Opto-Electronics Technology Co., Ltd........ 463,232 786,728
AcBel Polytech, Inc................................. 3,416,599 2,492,613
# Ace Pillar Co., Ltd................................. 448,000 306,081
# ACES Electronic Co., Ltd............................ 790,000 619,948
* Acon Holding, Inc................................... 1,294,000 329,752
Acter Co., Ltd...................................... 340,302 1,990,002
* Action Electronics Co., Ltd......................... 1,395,000 320,389
Actron Technology Corp.............................. 526,150 1,833,209
A-DATA Technology Co., Ltd.......................... 1,784,879 2,889,955
Addcn Technology Co., Ltd........................... 117,299 1,032,836
# Adlink Technology, Inc.............................. 858,031 1,164,117
# Advanced Ceramic X Corp............................. 318,000 3,191,563
Advanced International Multitech Co., Ltd........... 949,000 1,414,519
* Advanced Lithium Electrochemistry Cayman Co., Ltd... 919,000 594,350
# Advanced Optoelectronic Technology, Inc............. 642,000 370,027
# Advanced Power Electronics Corp..................... 113,000 103,690
Advanced Wireless Semiconductor Co.................. 1,199,000 1,964,184
# Advancetek Enterprise Co., Ltd...................... 1,403,519 722,665
AEON Motor Co., Ltd................................. 9,000 12,383
Aerospace Industrial Development Corp............... 1,593,000 1,616,918
* AGV Products Corp................................... 3,439,433 784,920
AimCore Technology Co., Ltd......................... 260,551 136,868
Airmate Cayman International Co., Ltd............... 7,000 5,113
# Alchip Technologies, Ltd............................ 423,000 1,114,353
Alcor Micro Corp.................................... 278,000 158,994
Alexander Marine Co., Ltd........................... 17,000 22,694
* ALI Corp............................................ 2,225,000 779,016
All Ring Tech Co., Ltd.............................. 476,000 721,925
# Allied Circuit Co., Ltd............................. 206,000 406,891
Allis Electric Co., Ltd............................. 1,196,000 606,794
# Alltek Technology Corp.............................. 1,093,873 665,610
# Alltop Technology Co., Ltd.......................... 429,000 881,905
# Alpha Networks, Inc................................. 2,682,386 1,734,314
# Altek Corp.......................................... 2,076,945 1,805,342
# Amazing Microelectronic Corp........................ 415,773 1,095,654
# Ambassador Hotel (The).............................. 1,701,000 1,205,900
# AMICCOM Electronics Corp............................ 311,000 202,539
Ampire Co., Ltd..................................... 774,000 634,599
AMPOC Far-East Co., Ltd............................. 685,444 698,170
* AmTRAN Technology Co., Ltd.......................... 7,364,951 2,849,245
# Anderson Industrial Corp............................ 1,079,416 349,225
Anpec Electronics Corp.............................. 511,007 1,050,056
# AP Memory Technology Corp........................... 261,375 355,826
Apacer Technology, Inc.............................. 708,325 774,015
# APAQ Technology Co., Ltd............................ 401,120 415,581
APCB, Inc........................................... 998,000 1,010,078
Apex Biotechnology Corp............................. 791,483 801,936
# * Apex International Co., Ltd......................... 1,285,470 2,129,511
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
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TAIWAN -- (Continued)
Apex Medical Corp.................................. 464,500 $ 398,590
Apex Science & Engineering......................... 1,046,132 281,481
# Arcadyan Technology Corp........................... 1,080,718 2,997,245
Ardentec Corp...................................... 3,472,274 3,563,013
# Argosy Research, Inc............................... 268,000 433,251
# Asia Electronic Material Co., Ltd.................. 470,000 309,772
# Asia Optical Co., Inc.............................. 1,699,000 4,877,125
* Asia Pacific Telecom Co., Ltd...................... 1,609,000 421,237
Asia Plastic Recycling Holding, Ltd................ 1,699,182 418,814
Asia Polymer Corp.................................. 2,907,232 1,341,757
Asia Tech Image, Inc............................... 382,000 560,828
# Asia Vital Components Co., Ltd..................... 2,619,058 3,647,777
# ASMedia Technology, Inc............................ 170,424 2,956,220
# ASPEED Technology, Inc............................. 157,599 3,281,894
# ASROCK, Inc........................................ 302,000 609,605
ATE Energy International Co., Ltd.................. 9,000 10,064
Aten International Co., Ltd........................ 665,479 2,010,859
Audix Corp......................................... 614,600 787,508
# AURAS Technology Co., Ltd.......................... 474,148 2,113,628
Aurona Industries, Inc............................. 508,000 342,961
Aurora Corp........................................ 515,349 1,643,201
Avalue Technology, Inc............................. 320,000 488,424
# Avermedia Technologies............................. 1,525,446 605,328
* Avision, Inc....................................... 386,000 45,983
AVY Precision Technology, Inc...................... 625,691 657,972
# Awea Mechantronic Co., Ltd......................... 273,210 286,847
Axiomtek Co., Ltd.................................. 430,000 788,026
# * Azurewave Technologies, Inc........................ 457,000 317,132
# Bank of Kaohsiung Co., Ltd......................... 3,516,548 1,099,873
# Basso Industry Corp................................ 1,006,900 1,901,485
# BenQ Materials Corp................................ 1,429,000 1,268,767
# BES Engineering Corp............................... 11,871,750 2,998,750
Bin Chuan Enterprise Co., Ltd...................... 565,070 343,968
# * Bionet Corp........................................ 132,000 157,869
Bionime Corp....................................... 202,000 322,179
# Biostar Microtech International Corp............... 1,292,975 404,150
Bioteque Corp...................................... 444,308 1,648,066
# Bizlink Holding, Inc............................... 862,492 5,594,283
# * Boardtek Electronics Corp.......................... 893,000 972,078
Bon Fame Co., Ltd.................................. 135,000 255,239
Bright Led Electronics Corp........................ 809,520 320,763
# Brighton-Best International Taiwan, Inc............ 833,318 937,631
# C Sun Manufacturing, Ltd........................... 1,215,221 1,344,573
* Calin Technology Co., Ltd.......................... 122,000 143,039
# * Cameo Communications, Inc.......................... 1,675,818 454,951
# Capital Futures Corp............................... 765,642 1,185,607
Capital Securities Corp............................ 15,092,501 4,543,918
# Career Technology MFG. Co., Ltd.................... 2,912,469 3,201,477
* Carnival Industrial Corp........................... 1,419,000 266,577
# Casetek Holdings, Ltd.............................. 1,315,571 2,203,202
Cathay Chemical Works.............................. 30,000 18,607
Cathay Real Estate Development Co., Ltd............ 4,504,700 3,668,506
# Cayman Engley Industrial Co., Ltd.................. 237,099 940,784
CCP Contact Probes Co., Ltd........................ 137,000 147,428
# Celxpert Energy Corp............................... 629,000 670,315
# Center Laboratories, Inc........................... 1,442,023 3,673,622
# Central Reinsurance Co., Ltd....................... 965,380 556,302
Chain Chon Industrial Co., Ltd..................... 1,286,000 359,717
# ChainQui Construction Development Co., Ltd......... 550,714 520,607
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
* Champion Building Materials Co., Ltd............... 2,387,851 $ 509,454
# Chang Wah Electromaterials, Inc.................... 259,905 1,507,411
# Chang Wah Technology Co., Ltd...................... 80,817 729,593
Channel Well Technology Co., Ltd................... 1,263,000 1,111,427
Chant Sincere Co., Ltd............................. 411,000 369,865
Charoen Pokphand Enterprise........................ 1,319,985 2,508,782
# Chaun-Choung Technology Corp....................... 150,000 840,162
CHC Healthcare Group............................... 722,000 942,182
# CHC Resources Corp................................. 472,282 802,725
Chen Full International Co., Ltd................... 700,000 893,040
Chenbro Micom Co., Ltd............................. 485,000 1,027,862
Cheng Loong Corp................................... 6,533,383 4,178,539
# * Cheng Mei Materials Technology Corp................ 5,012,900 2,086,317
Cheng Uei Precision Industry Co., Ltd.............. 3,100,331 3,767,559
# Chenming Mold Industry Corp........................ 816,437 489,755
Chia Chang Co., Ltd................................ 922,000 1,335,332
# Chia Hsin Cement Corp.............................. 2,646,121 1,284,898
# Chian Hsing Forging Industrial Co., Ltd............ 265,000 511,163
# Chicony Power Technology Co., Ltd.................. 1,136,454 2,022,055
# Chieftek Precision Co., Ltd........................ 441,750 1,624,239
Chien Kuo Construction Co., Ltd.................... 1,660,312 556,453
# Chilisin Electronics Corp.......................... 1,029,380 3,291,585
Chime Ball Technology Co., Ltd..................... 203,840 297,577
China Bills Finance Corp........................... 5,819,000 2,777,668
China Chemical & Pharmaceutical Co., Ltd........... 1,958,000 1,195,218
China Ecotek Corp.................................. 214,000 238,322
# China Electric Manufacturing Corp.................. 2,593,900 838,148
# China Fineblanking Technology Co., Ltd............. 425,432 456,284
# China General Plastics Corp........................ 3,110,951 2,289,378
China Glaze Co., Ltd............................... 507,002 168,296
# China Man-Made Fiber Corp.......................... 11,692,605 3,685,144
# China Metal Products............................... 1,987,603 2,417,470
China Motor Corp................................... 1,355,000 1,216,788
* China Petrochemical Development Corp............... 21,223,000 8,016,175
# China Steel Chemical Corp.......................... 1,179,554 5,137,897
# China Steel Structure Co., Ltd..................... 621,000 530,177
# China Wire & Cable Co., Ltd........................ 716,160 480,901
# Chinese Maritime Transport, Ltd.................... 754,594 790,763
# * Ching Feng Home Fashions Co., Ltd.................. 577,409 414,105
Chin-Poon Industrial Co., Ltd...................... 2,752,207 3,427,396
Chipbond Technology Corp........................... 2,785,000 6,320,283
# ChipMOS Techinologies, Inc......................... 2,176,076 1,897,182
ChipMOS Technologies, Inc., ADR.................... 5,134 88,400
Chlitina Holding, Ltd.............................. 388,000 3,175,347
Chong Hong Construction Co., Ltd................... 1,313,666 3,695,913
# Chun YU Works & Co., Ltd........................... 1,442,000 1,097,378
# Chun Yuan Steel.................................... 2,655,529 897,884
Chung Hsin Electric & Machinery Manufacturing Corp. 3,037,375 2,045,487
# * Chung Hung Steel Corp.............................. 7,878,979 3,139,330
Chung Hwa Food Industrial Co., Ltd................. 96,850 220,751
# Chung Hwa Pulp Corp................................ 3,987,405 1,231,480
Chunghwa Chemical Synthesis & Biotech Co., Ltd..... 139,000 111,280
Chunghwa Precision Test Tech Co., Ltd.............. 9,000 140,517
# Chyang Sheng Dyeing & Finishing Co., Ltd........... 1,255,000 621,989
Cleanaway Co., Ltd................................. 602,000 3,322,465
# Clevo Co........................................... 3,795,200 3,614,692
# * CMC Magnetics Corp................................. 14,960,566 3,417,576
# C-Media Electronics, Inc........................... 464,000 264,693
CoAsia Microelectronics Corp....................... 803,397 245,931
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
Coland Holdings, Ltd............................... 321,000 $ 291,072
# Collins Co., Ltd................................... 562,431 194,786
Compeq Manufacturing Co., Ltd...................... 6,346,000 5,258,696
Compucase Enterprise............................... 527,000 482,353
Concord Securities Co., Ltd........................ 4,011,110 954,532
# Concraft Holding Co., Ltd.......................... 301,400 1,295,642
Continental Holdings Corp.......................... 3,306,320 1,648,618
# * Contrel Technology Co., Ltd........................ 1,135,000 721,487
# Coremax Corp....................................... 502,278 1,404,329
Coretronic Corp.................................... 3,293,200 5,126,983
Co-Tech Development Corp........................... 1,202,533 1,278,957
Cowealth Medical Holding Co., Ltd.................. 139,700 208,119
# Coxon Precise Industrial Co., Ltd.................. 841,000 522,013
Creative Sensor, Inc............................... 757,000 542,844
# * CSBC Corp. Taiwan.................................. 1,757,676 1,483,114
CTCI Corp.......................................... 1,999,000 3,099,621
# C-Tech United Corp................................. 376,971 267,001
# Cub Elecparts, Inc................................. 412,811 3,672,634
# CviLux Corp........................................ 567,040 469,951
CX Technology Co., Ltd............................. 313,755 236,013
# Cyberlink Corp..................................... 529,697 1,286,396
# CyberPower Systems, Inc............................ 302,000 881,022
CyberTAN Technology, Inc........................... 2,464,779 1,310,319
Cypress Technology Co., Ltd........................ 271,700 774,086
# DA CIN Construction Co., Ltd....................... 1,226,711 833,858
Dadi Early-Childhood Education Group, Ltd.......... 166,886 1,318,451
Dafeng TV, Ltd..................................... 493,870 587,458
# Da-Li Development Co., Ltd......................... 1,180,032 1,201,553
* Danen Technology Corp.............................. 2,771,000 133,772
Darfon Electronics Corp............................ 1,769,550 2,735,197
# Darwin Precisions Corp............................. 3,639,635 2,275,090
# Davicom Semiconductor, Inc......................... 611,888 378,411
# Daxin Materials Corp............................... 427,200 1,288,896
# De Licacy Industrial Co., Ltd...................... 2,191,407 1,626,727
# * Delpha Construction Co., Ltd....................... 847,931 466,445
Depo Auto Parts Ind Co., Ltd....................... 800,000 1,790,354
Dimerco Data System Corp........................... 290,000 358,666
Dimerco Express Corp............................... 828,000 584,484
* D-Link Corp........................................ 4,851,668 2,265,585
Draytek Corp....................................... 332,000 310,675
Dyaco International, Inc........................... 35,000 41,119
# DYNACOLOR, Inc..................................... 306,000 391,150
# * Dynamic Electronics Co., Ltd....................... 2,052,321 624,082
Dynapack International Technology Corp............. 1,148,000 1,847,634
E Ink Holdings, Inc................................ 2,394,000 2,874,538
Eastern Media International Corp................... 3,692,511 1,490,029
# ECOVE Environment Corp............................. 221,000 1,337,720
# * Edimax Technology Co., Ltd......................... 1,489,108 537,958
* Edison Opto Corp................................... 861,000 446,325
# Edom Technology Co., Ltd........................... 1,255,968 561,717
# eGalax_eMPIA Technology, Inc....................... 397,131 602,706
# Egis Technology, Inc............................... 597,000 5,021,972
Elan Microelectronics Corp......................... 2,093,400 5,676,592
# * E-Lead Electronic Co., Ltd......................... 507,942 327,538
# * Electric Power Technology, Ltd..................... 141,000 99,709
# E-LIFE MALL Corp................................... 512,000 1,083,668
# Elite Advanced Laser Corp.......................... 1,076,226 2,282,891
Elite Material Co., Ltd............................ 2,098,350 6,765,003
Elite Semiconductor Memory Technology, Inc......... 2,053,200 2,171,852
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
Elitegroup Computer Systems Co., Ltd............... 2,721,254 $1,053,854
eMemory Technology, Inc............................ 523,000 6,538,753
# Emerging Display Technologies Corp................. 748,000 363,214
* ENG Electric Co., Ltd.............................. 867,514 100,060
# Ennoconn Corp...................................... 313,378 2,767,113
# EnTie Commercial Bank Co., Ltd..................... 2,229,603 1,024,374
Epileds Technologies, Inc.......................... 607,000 345,868
# * Episil Holdings, Inc............................... 867,000 547,589
# Epistar Corp....................................... 8,349,000 7,312,763
Eslite Spectrum Corp. (The)........................ 72,000 306,565
Eson Precision Ind. Co., Ltd....................... 525,000 638,126
Eternal Materials Co., Ltd......................... 5,205,985 4,306,724
* E-Ton Solar Tech Co., Ltd.......................... 1,110,911 102,614
* Etron Technology, Inc.............................. 3,017,000 960,868
# Eurocharm Holdings Co., Ltd........................ 275,000 1,373,056
* Everest Textile Co., Ltd........................... 3,023,957 1,115,713
Evergreen International Storage & Transport Corp... 4,083,000 1,818,718
Everlight Chemical Industrial Corp................. 3,499,606 1,892,832
Everlight Electronics Co., Ltd..................... 3,258,000 3,262,661
# * Everspring Industry Co., Ltd....................... 1,017,000 417,228
Excellence Opto, Inc............................... 30,000 19,354
Excelsior Medical Co., Ltd......................... 670,217 1,066,350
EZconn Corp........................................ 346,000 444,741
Far Eastern Department Stores, Ltd................. 9,348,000 4,963,291
Far Eastern International Bank..................... 17,872,108 6,655,054
# Faraday Technology Corp............................ 640,305 1,057,239
# Farglory F T Z Investment Holding Co., Ltd......... 485,000 278,243
Farglory Land Development Co., Ltd................. 2,383,000 2,941,370
# * Federal Corp....................................... 3,492,238 1,226,935
Feedback Technology Corp........................... 254,200 680,640
Feng Hsin Steel Co., Ltd........................... 3,347,100 6,586,793
# * First Copper Technology Co., Ltd................... 1,173,000 393,156
First Hi-Tec Enterprise Co., Ltd................... 492,205 761,901
First Hotel........................................ 1,084,350 503,664
First Insurance Co., Ltd. (The).................... 1,424,179 666,370
# * First Steamship Co., Ltd........................... 4,110,424 1,633,188
# * FIT Holding Co., Ltd............................... 485,456 383,483
# FLEXium Interconnect, Inc.......................... 2,389,087 7,508,613
Flytech Technology Co., Ltd........................ 826,309 2,095,117
# FocalTech Systems Co., Ltd......................... 2,166,048 1,764,556
Forest Water Environment Engineering Co., Ltd...... 329,133 622,042
Formosa Advanced Technologies Co., Ltd............. 1,212,000 1,383,713
Formosa International Hotels Corp.................. 422,329 2,146,073
# Formosa Laboratories, Inc.......................... 689,832 926,950
Formosa Oilseed Processing Co., Ltd................ 623,567 1,515,727
# Formosa Optical Technology Co., Ltd................ 160,000 328,738
Formosan Rubber Group, Inc......................... 2,586,952 1,440,969
# Formosan Union Chemical............................ 2,529,193 1,146,795
Fortune Electric Co., Ltd.......................... 1,047,078 710,040
# Founding Construction & Development Co., Ltd....... 1,138,623 592,787
# Foxsemicon Integrated Technology, Inc.............. 488,027 2,265,410
# Froch Enterprise Co., Ltd.......................... 1,316,189 594,629
FSP Technology, Inc................................ 1,062,427 717,353
# Fulgent Sun International Holding Co., Ltd......... 677,033 1,461,095
Fullerton Technology Co., Ltd...................... 668,600 461,100
# Fulltech Fiber Glass Corp.......................... 2,779,083 1,419,688
# Fwusow Industry Co., Ltd........................... 867,138 513,569
G Shank Enterprise Co., Ltd........................ 952,281 731,685
# * G Tech Optoelectronics Corp........................ 749,354 277,790
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
# Gallant Precision Machining Co., Ltd............... 1,215,000 $ 952,994
# Gamania Digital Entertainment Co., Ltd............. 533,000 1,302,425
# GCS Holdings, Inc.................................. 520,000 1,022,102
# GEM Services, Inc.................................. 468,700 1,089,873
# Gemtek Technology Corp............................. 2,674,219 2,253,216
General Interface Solution Holding, Ltd............ 526,000 2,040,864
# General Plastic Industrial Co., Ltd................ 410,357 469,672
Generalplus Technology, Inc........................ 380,000 440,850
* Genesis Photonics, Inc............................. 289,976 11,080
Genesys Logic, Inc................................. 659,000 776,521
# Genius Electronic Optical Co., Ltd................. 312,427 4,015,964
# * Genmont Biotech, Inc............................... 299,000 260,668
Genovate Biotechnology Co., Ltd.................... 256,000 232,293
# * GeoVision, Inc..................................... 510,096 539,532
Getac Technology Corp.............................. 2,870,360 4,323,215
# Giantplus Technology Co., Ltd...................... 2,350,900 905,490
# Gigabyte Technology Co., Ltd....................... 4,135,800 6,657,732
# Gigasolar Materials Corp........................... 187,880 488,360
# * Gigastorage Corp................................... 2,758,561 537,192
Ginko International Co., Ltd....................... 373,000 2,557,372
# Global Brands Manufacture, Ltd..................... 2,233,359 1,047,160
# Global Lighting Technologies, Inc.................. 605,000 764,648
Global Mixed Mode Technology, Inc.................. 551,000 1,460,062
# Global PMX Co., Ltd................................ 278,000 1,010,061
# Global Unichip Corp................................ 638,000 4,700,825
Globe Union Industrial Corp........................ 1,644,914 929,677
Gloria Material Technology Corp.................... 4,017,547 2,569,669
* GlycoNex, Inc...................................... 258,000 195,401
# * Gold Circuit Electronics, Ltd...................... 3,261,227 1,324,992
Golden Friends Corp................................ 250,600 463,939
Goldsun Building Materials Co., Ltd................ 9,458,722 2,544,930
Good Way Technology Co., Ltd....................... 175,000 211,202
Good Will Instrument Co., Ltd...................... 355,869 319,176
Grand Fortune Securities Co., Ltd.................. 1,666,000 456,443
# Grand Ocean Retail Group, Ltd...................... 677,000 695,331
Grand Pacific Petrochemical........................ 7,236,000 4,989,159
Grand Plastic Technology Corp...................... 133,000 590,217
GrandTech CG Systems, Inc.......................... 403,000 610,056
# Grape King Bio, Ltd................................ 764,000 5,304,331
# Great China Metal Industry......................... 1,134,000 923,121
Great Taipei Gas Co., Ltd.......................... 1,912,000 1,807,083
Great Wall Enterprise Co., Ltd..................... 4,143,868 4,709,219
Greatek Electronics, Inc........................... 2,192,000 3,034,464
* Green Energy Technology, Inc....................... 1,570,850 16,260
Green River Holding Co., Ltd....................... 75,950 260,810
# Green Seal Holding, Ltd............................ 335,700 402,682
GTM Holdings Corp.................................. 801,150 477,178
Gudeng Precision Industrial Co., Ltd............... 44,000 49,795
# Hannstar Board Corp................................ 2,292,049 2,438,462
# HannStar Display Corp.............................. 21,469,505 5,559,636
# * HannsTouch Solution, Inc........................... 4,039,805 1,970,263
Hanpin Electron Co., Ltd........................... 430,000 528,107
# Harvatek Corp...................................... 1,000,949 524,458
# Hey Song Corp...................................... 2,037,750 2,093,125
HI CLEARANCE, Inc.................................. 3,964 2,630
Hi-Clearance, Inc.................................. 185,000 631,543
# Highlight Tech Corp................................ 596,000 496,043
HIM International Music, Inc....................... 208,710 717,126
Hiroca Holdings, Ltd............................... 598,448 1,451,400
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
* HiTi Digital, Inc.................................. 372,891 $ 55,421
# Hitron Technology, Inc............................. 1,711,557 1,185,442
Ho Tung Chemical Corp.............................. 6,928,684 1,558,310
Hocheng Corp....................................... 2,223,700 571,071
Hold-Key Electric Wire & Cable Co., Ltd............ 205,908 57,037
Holiday Entertainment Co., Ltd..................... 572,800 1,212,501
Holtek Semiconductor, Inc.......................... 1,382,000 3,312,932
# Holy Stone Enterprise Co., Ltd..................... 1,024,910 3,420,871
Hong Pu Real Estate Development Co., Ltd........... 1,799,185 1,129,299
# Hong TAI Electric Industrial....................... 1,589,000 504,084
Hong YI Fiber Industry Co.......................... 1,282,652 836,734
# Horizon Securities Co., Ltd........................ 2,827,000 606,011
# Hota Industrial Manufacturing Co., Ltd............. 1,550,932 5,650,180
# Hotron Precision Electronic Industrial Co., Ltd.... 429,466 756,103
# Hsin Kuang Steel Co., Ltd.......................... 1,975,443 1,955,643
Hsin Yung Chien Co., Ltd........................... 256,100 714,690
Hsing TA Cement Co................................. 488,162 270,234
# Hu Lane Associate, Inc............................. 616,866 1,730,597
HUA ENG Wire & Cable Co., Ltd...................... 2,965,565 906,903
Huaku Development Co., Ltd......................... 1,821,816 4,607,210
Huang Hsiang Construction Corp..................... 868,800 783,422
# Hung Ching Development & Construction Co., Ltd..... 1,255,000 903,374
Hung Sheng Construction, Ltd....................... 4,300,080 3,140,135
Huxen Corp......................................... 301,244 453,814
* Hwa Fong Rubber Industrial Co., Ltd................ 1,923,890 756,860
# Hwacom Systems, Inc................................ 442,000 265,397
Ibase Technology, Inc.............................. 919,206 1,181,187
* Ichia Technologies, Inc............................ 2,327,000 1,301,337
* I-Chiun Precision Industry Co., Ltd................ 1,337,313 392,745
# * Ideal Bike Corp.................................... 1,305,734 256,085
IEI Integration Corp............................... 1,366,388 1,515,842
Infortrend Technology, Inc......................... 1,371,163 566,099
# Info-Tek Corp...................................... 478,000 258,110
Innodisk Corp...................................... 462,864 1,741,879
# Inpaq Technology Co., Ltd.......................... 512,000 568,363
Intai Technology Corp.............................. 252,000 877,971
# Integrated Service Technology, Inc................. 432,178 596,478
IntelliEPI, Inc.................................... 225,000 480,338
# International CSRC Investment Holdings Co.......... 5,545,941 7,546,944
International Games System Co., Ltd................ 446,000 3,695,340
Iron Force Industrial Co., Ltd..................... 379,393 1,044,364
# I-Sheng Electric Wire & Cable Co., Ltd............. 791,000 1,111,393
# ITE Technology, Inc................................ 1,158,095 1,314,650
# ITEQ Corp.......................................... 1,659,614 5,480,669
# Jarllytec Co., Ltd................................. 392,000 860,200
# Jentech Precision Industrial Co., Ltd.............. 496,868 1,885,944
Jess-Link Products Co., Ltd........................ 815,925 842,932
# Jih Lin Technology Co., Ltd........................ 324,000 687,730
Jih Sun Financial Holdings Co., Ltd................ 11,724,332 3,727,604
# Jinan Acetate Chemical Co., Ltd.................... 49,000 234,788
Jinli Group Holdings, Ltd.......................... 1,025,653 585,571
Johnson Health Tech Co., Ltd....................... 737,257 1,055,731
# Jourdeness Group, Ltd.............................. 193,000 634,726
# K Laser Technology, Inc............................ 1,102,000 508,427
Kaimei Electronic Corp............................. 278,795 505,589
# Kaori Heat Treatment Co., Ltd...................... 613,197 881,200
# Kaulin Manufacturing Co., Ltd...................... 919,330 501,586
KEE TAI Properties Co., Ltd........................ 2,783,473 1,044,634
Kenda Rubber Industrial Co., Ltd................... 1,216,000 1,186,530
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
# Kenmec Mechanical Engineering Co., Ltd............. 1,494,000 $ 694,240
# Kerry TJ Logistics Co., Ltd........................ 1,641,000 1,952,004
Key Ware Electronics Co., Ltd...................... 266,244 82,681
# Kindom Construction Corp........................... 2,824,000 1,927,499
King Chou Marine Technology Co., Ltd............... 503,920 627,081
King Slide Works Co., Ltd.......................... 50,000 525,770
King Yuan Electronics Co., Ltd..................... 9,372,979 8,693,112
Kingcan Holdings, Ltd.............................. 254,844 126,297
Kingpak Technology, Inc............................ 217,117 1,229,270
King's Town Bank Co., Ltd.......................... 4,565,701 4,884,969
# King's Town Construction Co., Ltd.................. 889,074 743,492
# Kinik Co........................................... 858,000 1,714,824
# * Kinko Optical Co., Ltd............................. 964,000 943,966
Kinpo Electronics.................................. 10,076,157 3,591,518
# Kinsus Interconnect Technology Corp................ 2,318,000 3,501,112
KMC Kuei Meng International, Inc................... 464,253 1,699,118
# KNH Enterprise Co., Ltd............................ 333,020 118,590
# KS Terminals, Inc.................................. 964,482 1,432,851
Kung Long Batteries Industrial Co., Ltd............ 478,000 2,540,382
# Kung Sing Engineering Corp......................... 2,084,000 493,638
# * Kuo Toong International Co., Ltd................... 1,787,511 1,274,593
Kuoyang Construction Co., Ltd...................... 3,902,383 1,514,124
Kwong Fong Industries Corp......................... 840,764 403,605
Kwong Lung Enterprise Co., Ltd..................... 520,000 826,637
# KYE Systems Corp................................... 1,869,672 533,555
# L&K Engineering Co., Ltd........................... 1,281,048 1,140,178
# La Kaffa International Co., Ltd.................... 142,701 458,074
LAN FA Textile..................................... 1,708,933 423,806
# Land Mark Optoelectronics Corp..................... 469,300 4,208,148
Lanner Electronics, Inc............................ 772,626 1,945,019
Laser Tek Taiwan Co., Ltd.......................... 516,504 502,041
# Laster Tech Corp., Ltd............................. 341,589 429,378
* Leader Electronics, Inc............................ 749,000 203,379
Leadtrend Technology Corp.......................... 3,086 2,440
# Lealea Enterprise Co., Ltd......................... 5,816,892 1,893,848
Ledlink Optics, Inc................................ 325,300 288,774
Ledtech Electronics Corp........................... 174,000 48,891
# LEE CHI Enterprises Co., Ltd....................... 1,386,000 451,281
# Lelon Electronics Corp............................. 628,300 823,095
# Lemtech Holdings Co., Ltd.......................... 153,000 716,676
* Leofoo Development Co., Ltd........................ 1,810,116 371,641
# LES Enphants Co., Ltd.............................. 1,029,754 289,928
# Lextar Electronics Corp............................ 2,460,500 1,395,871
# Li Cheng Enterprise Co., Ltd....................... 593,506 1,301,605
* Li Peng Enterprise Co., Ltd........................ 5,029,897 1,187,779
Lian HWA Food Corp................................. 600,625 890,101
Lida Holdings, Ltd................................. 341,000 642,423
Lien Hwa Industrial Corp........................... 4,981,587 5,466,218
Lifestyle Global Enterprise, Inc................... 110,000 413,244
Lingsen Precision Industries, Ltd.................. 2,752,506 854,586
Lion Travel Service Co., Ltd....................... 291,000 806,780
Lite-On Semiconductor Corp......................... 1,906,539 2,141,427
Long Bon International Co., Ltd.................... 2,916,093 1,628,693
# Long Chen Paper Co., Ltd........................... 4,510,693 2,645,342
# Longwell Co........................................ 788,000 1,387,842
# Lotes Co., Ltd..................................... 521,923 3,706,769
Lu Hai Holding Corp................................ 315,690 450,950
* Lucky Cement Corp.................................. 1,645,000 374,717
Lumax International Corp., Ltd..................... 647,592 1,507,615
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
# Lung Yen Life Service Corp......................... 1,299,000 $2,579,157
# * LuxNet Corp........................................ 677,153 496,869
# Macauto Industrial Co., Ltd........................ 385,000 1,073,465
Machvision, Inc.................................... 251,000 3,442,051
# Macroblock, Inc.................................... 272,010 957,182
# Macronix International............................. 11,030,486 8,582,567
Makalot Industrial Co., Ltd........................ 1,344,677 9,277,481
# Marketech International Corp....................... 168,000 293,716
Materials Analysis Technology, Inc................. 291,041 714,653
Mayer Steel Pipe Corp.............................. 944,567 487,661
Maywufa Co., Ltd................................... 69,322 29,188
# Mechema Chemicals International Corp............... 236,000 546,574
Meiloon Industrial Co.............................. 974,730 691,546
Mercuries & Associates Holding, Ltd................ 3,100,696 1,756,366
# * Mercuries Life Insurance Co., Ltd.................. 9,460,820 3,400,150
# Merry Electronics Co., Ltd......................... 1,308,216 7,535,095
* Microbio Co., Ltd.................................. 2,912,607 1,382,022
# Microelectronics Technology, Inc................... 367,655 319,441
Mildef Crete, Inc.................................. 356,000 495,471
MIN AIK Technology Co., Ltd........................ 1,087,452 558,400
Mirle Automation Corp.............................. 1,349,098 2,185,952
Mitac Holdings Corp................................ 5,239,403 5,432,639
# Mobiletron Electronics Co., Ltd.................... 507,800 613,728
# momo.com, Inc...................................... 241,000 2,150,837
# * Mosel Vitelic, Inc................................. 231,486 155,194
# * Motech Industries, Inc............................. 3,745,731 1,038,586
MPI Corp........................................... 474,000 1,079,669
Nak Sealing Technologies Corp...................... 402,954 941,852
Namchow Holdings Co., Ltd.......................... 1,306,000 2,252,782
Nan Kang Rubber Tire Co., Ltd...................... 4,181,952 4,793,104
# Nan Liu Enterprise Co., Ltd........................ 309,000 1,652,230
Nan Ren Lake Leisure Amusement Co., Ltd............ 765,000 185,984
# Nan Ya Printed Circuit Board Corp.................. 1,804,000 2,716,608
Nang Kuang Pharmaceutical Co., Ltd................. 449,000 444,919
# Nantex Industry Co., Ltd........................... 2,142,606 2,262,775
# National Petroleum Co., Ltd........................ 217,824 305,152
Netronix, Inc...................................... 519,000 719,545
* New Asia Construction & Development Corp........... 338,835 67,805
New Best Wire Industrial Co., Ltd.................. 195,600 162,151
# New Era Electronics Co., Ltd....................... 312,000 231,122
Nexcom International Co., Ltd...................... 751,094 682,893
# Nichidenbo Corp.................................... 1,161,417 2,192,730
# Nien Hsing Textile Co., Ltd........................ 999,345 911,970
Niko Semiconductor Co., Ltd........................ 374,000 369,681
# Nishoku Technology, Inc............................ 262,400 462,002
# Nova Technology Corp............................... 70,000 387,694
# Nuvoton Technology Corp............................ 699,000 1,110,945
O-Bank Co., Ltd.................................... 1,188,000 304,034
* Ocean Plastics Co., Ltd............................ 1,107,200 973,101
# On-Bright Electronics, Inc......................... 237,052 1,376,096
OptoTech Corp...................................... 3,230,358 2,433,894
Orient Europharma Co., Ltd......................... 321,000 596,827
* Orient Semiconductor Electronics, Ltd.............. 3,560,599 1,848,102
Oriental Union Chemical Corp....................... 5,088,267 4,285,344
O-TA Precision Industry Co., Ltd................... 111,227 97,748
Pacific Construction Co............................ 1,868,921 689,585
Pacific Hospital Supply Co., Ltd................... 420,000 996,303
# Paiho Shih Holdings Corp........................... 999,820 1,554,104
# * Pan Jit International, Inc......................... 2,371,541 2,093,658
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
# Pan-International Industrial Corp.................. 3,108,747 $2,655,071
# Pao long International Co., Ltd.................... 436,000 221,788
# Parade Technologies, Ltd........................... 390,401 6,618,751
# * Paragon Technologies Co., Ltd...................... 480,246 293,822
Parpro Corp........................................ 218,000 256,954
# PCL Technologies, Inc.............................. 276,040 842,888
P-Duke Technology Co., Ltd......................... 308,500 1,024,357
PharmaEngine, Inc.................................. 453,581 1,565,106
# Pharmally International Holding Co., Ltd........... 285,452 1,979,969
# * Phihong Technology Co., Ltd........................ 2,365,401 786,216
Phoenix Tours International, Inc................... 299,450 354,831
* Pili International Multimedia Co., Ltd............. 38,500 49,667
# Pixart Imaging, Inc................................ 892,150 2,856,911
Planet Technology Corp............................. 190,000 396,815
Plastron Precision Co., Ltd........................ 551,462 269,133
# Plotech Co., Ltd................................... 684,000 382,509
Polytronics Technology Corp........................ 396,027 745,524
# Posiflex Technology, Inc........................... 332,457 1,173,409
Power Wind Health Industry, Inc.................... 147,282 949,294
# Poya International Co., Ltd........................ 352,098 4,268,274
President Securities Corp.......................... 6,671,524 2,904,510
Primax Electronics, Ltd............................ 2,988,000 6,119,761
# Prince Housing & Development Corp.................. 9,047,644 3,264,515
# * Princeton Technology Corp.......................... 1,016,000 289,151
Pro Hawk Corp...................................... 122,000 596,325
Promate Electronic Co., Ltd........................ 1,227,000 1,286,931
* Promise Technology, Inc............................ 1,094,286 284,700
# Prosperity Dielectrics Co., Ltd.................... 708,559 1,606,969
P-Two Industries, Inc.............................. 221,000 344,679
Qisda Corp......................................... 3,314,900 2,111,311
QST International Corp............................. 407,000 1,066,998
# Qualipoly Chemical Corp............................ 679,048 647,725
# Quang Viet Enterprise Co., Ltd..................... 114,000 578,731
Quanta Storage, Inc................................ 1,534,000 2,825,706
Quintain Steel Co., Ltd............................ 1,760,823 462,246
Radiant Opto-Electronics Corp...................... 2,864,000 9,679,573
* Radium Life Tech Co., Ltd.......................... 5,207,100 2,283,139
# Rafael Microelectronics, Inc....................... 165,000 896,774
# Rechi Precision Co., Ltd........................... 2,569,181 2,150,183
# Rexon Industrial Corp., Ltd........................ 81,000 188,008
Rich Development Co., Ltd.......................... 4,476,036 1,314,913
# RichWave Technology Corp........................... 339,900 612,649
* Right WAY Industrial Co., Ltd...................... 96,000 63,057
* Ritek Corp......................................... 8,749,924 2,930,065
# * Roo Hsing Co., Ltd................................. 5,236,000 2,342,267
# Rotam Global Agrosciences, Ltd..................... 497,268 304,472
# Ruentex Engineering & Construction Co.............. 208,000 396,376
Run Long Construction Co., Ltd..................... 134,000 287,354
# Sagittarius Life Science Corp...................... 156,889 256,492
# Samebest Co., Ltd.................................. 166,400 723,059
Sampo Corp......................................... 2,773,861 1,499,466
# San Fang Chemical Industry Co., Ltd................ 1,333,647 1,025,679
San Far Property, Ltd.............................. 133,300 82,671
# San Shing Fastech Corp............................. 794,875 1,400,207
Sanitar Co., Ltd................................... 311,000 388,047
# Sanyang Motor Co., Ltd............................. 4,243,628 2,767,505
# SCI Pharmtech, Inc................................. 449,395 1,371,055
# Scientech Corp..................................... 357,000 820,578
SDI Corp........................................... 929,000 2,106,227
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
Sea Sonic Electronics Co., Ltd..................... 45,000 $ 46,490
# Senao International Co., Ltd....................... 813,541 937,060
# Senao Networks, Inc................................ 213,000 736,071
# Sercomm Corp....................................... 1,721,000 3,795,016
# Sesoda Corp........................................ 1,326,712 1,120,967
Shan-Loong Transportation Co., Ltd................. 558,000 543,524
# Sharehope Medicine Co., Ltd........................ 773,107 708,446
Sheng Yu Steel Co., Ltd............................ 867,980 542,296
ShenMao Technology, Inc............................ 604,891 391,001
Shieh Yih Machinery Industry Co., Ltd.............. 166,000 64,730
# Shih Her Technologies, Inc......................... 360,000 544,611
* Shih Wei Navigation Co., Ltd....................... 1,334,081 406,827
# Shihlin Electric & Engineering Corp................ 1,745,000 2,359,308
Shin Hai Gas Corp.................................. 1,245 1,644
Shin Zu Shing Co., Ltd............................. 1,281,144 4,880,699
Shinih Enterprise Co., Ltd......................... 71,000 36,809
* Shining Building Business Co., Ltd................. 2,954,272 970,919
Shinkong Insurance Co., Ltd........................ 1,471,131 1,849,186
Shinkong Synthetic Fibers Corp..................... 10,308,395 4,536,586
# Shinkong Textile Co., Ltd.......................... 979,542 1,340,725
Shiny Chemical Industrial Co., Ltd................. 509,031 1,439,614
# * Shuttle, Inc....................................... 2,436,152 944,633
Sigurd Microelectronics Corp....................... 2,925,974 2,921,742
# * Silicon Integrated Systems Corp.................... 3,569,887 1,022,559
* Silitech Technology Corp........................... 994,774 472,483
Simplo Technology Co., Ltd......................... 1,137,800 9,663,222
Sinbon Electronics Co., Ltd........................ 1,611,813 5,692,140
Sincere Navigation Corp............................ 2,547,786 1,418,789
Single Well Industrial Corp........................ 296,916 233,874
Sinher Technology, Inc............................. 332,000 535,235
Sinmag Equipment Corp.............................. 314,056 1,251,544
Sinon Corp......................................... 3,065,510 1,870,409
# Sinphar Pharmaceutical Co., Ltd.................... 1,128,938 732,663
Sinyi Realty Co.................................... 1,679,660 1,709,874
Sirtec International Co., Ltd...................... 765,600 612,154
# Sitronix Technology Corp........................... 901,879 3,714,319
Siward Crystal Technology Co., Ltd................. 1,230,000 829,530
Soft-World International Corp...................... 817,000 1,935,663
# * Solar Applied Materials Technology Co.............. 1,633,207 992,394
Solomon Technology Corp............................ 869,000 669,405
Solteam Electronics Co., Ltd....................... 484,034 438,014
Song Shang Electronics Co., Ltd.................... 672,840 370,011
# Sonix Technology Co., Ltd.......................... 1,094,000 1,112,855
Southeast Cement Co., Ltd.......................... 1,053,700 554,486
# * Speed Tech Corp.................................... 311,000 645,853
# Spirox Corp........................................ 667,824 564,657
Sporton International, Inc......................... 516,192 3,062,582
St Shine Optical Co., Ltd.......................... 237,000 4,427,891
# Standard Chemical & Pharmaceutical Co., Ltd........ 904,571 966,579
# Stark Technology, Inc.............................. 787,688 1,430,796
# Sun Race Sturmey-Archer, Inc....................... 253,000 279,237
# Sun Yad Construction Co., Ltd...................... 90,000 46,670
Sunjuice Holdings Co., Ltd......................... 72,000 396,152
# Sunko INK Co., Ltd................................. 865,000 260,459
Sunny Friend Environmental Technology Co., Ltd..... 536,000 4,565,555
# Sunonwealth Electric Machine Industry Co., Ltd..... 1,471,487 1,729,681
Sunplus Technology Co., Ltd........................ 4,002,000 1,646,826
Sunrex Technology Corp............................. 916,612 556,708
Sunspring Metal Corp............................... 800,000 910,725
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
* Sunty Development Co., Ltd......................... 42,000 $ 15,163
Supreme Electronics Co., Ltd....................... 2,838,508 2,834,187
# Swancor Holding Co., Ltd........................... 429,206 1,311,968
# Sweeten Real Estate Development Co., Ltd........... 559,874 485,846
Symtek Automation Asia Co., Ltd.................... 305,172 589,778
Syncmold Enterprise Corp........................... 894,750 2,529,022
# Synmosa Biopharma Corp............................. 642,166 613,569
# Sysage Technology Co., Ltd......................... 762,583 883,491
* Sysgration......................................... 945,256 205,248
Systex Corp........................................ 1,405,388 3,089,996
T3EX Global Holdings Corp.......................... 759,117 686,339
TA Chen Stainless Pipe............................. 1,010,251 1,435,225
Ta Liang Technology Co., Ltd....................... 409,000 552,798
# Ta Ya Electric Wire & Cable........................ 4,420,306 1,562,715
Ta Yih Industrial Co., Ltd......................... 219,000 450,818
Tah Hsin Industrial Corp........................... 439,600 438,098
TAI Roun Products Co., Ltd......................... 201,000 73,524
# TA-I Technology Co., Ltd........................... 1,001,718 1,685,961
# * Tai Tung Communication Co., Ltd.................... 604,197 366,290
Taichung Commercial Bank Co., Ltd.................. 18,145,234 7,047,670
# TaiDoc Technology Corp............................. 374,470 1,862,613
# Taiflex Scientific Co., Ltd........................ 1,614,340 2,081,791
# Taimide Tech, Inc.................................. 742,250 1,261,577
# Tainan Enterprises Co., Ltd........................ 885,370 692,887
Tainan Spinning Co., Ltd........................... 9,543,044 3,723,457
# * Tainergy Tech Co., Ltd............................. 1,582,000 240,533
Tainet Communication System Corp................... 66,000 131,044
# Tai-Saw Technology Co., Ltd........................ 235,120 156,669
# Taisun Enterprise Co., Ltd......................... 2,399,648 1,522,160
# * Taita Chemical Co., Ltd............................ 1,430,951 475,413
# Taiwan Chinsan Electronic Industrial Co., Ltd...... 670,935 830,445
# Taiwan Cogeneration Corp........................... 2,747,566 2,391,685
Taiwan Fire & Marine Insurance Co., Ltd............ 1,356,338 888,969
Taiwan FU Hsing Industrial Co., Ltd................ 1,173,000 1,544,875
Taiwan Hon Chuan Enterprise Co., Ltd............... 2,220,468 3,565,767
Taiwan Hopax Chemicals Manufacturing Co., Ltd...... 1,321,120 830,423
* Taiwan IC Packaging Corp........................... 106,000 12,028
* Taiwan Land Development Corp....................... 6,444,991 1,824,656
# * Taiwan Line Tek Electronic......................... 608,306 579,504
Taiwan Navigation Co., Ltd......................... 1,468,777 924,981
Taiwan Optical Platform Co., Ltd................... 9,453 34,064
# Taiwan Paiho, Ltd.................................. 1,991,287 4,876,015
Taiwan PCB Techvest Co., Ltd....................... 2,089,238 2,563,185
# * Taiwan Prosperity Chemical Corp.................... 457,000 329,244
# Taiwan Pulp & Paper Corp........................... 2,174,980 1,333,582
# Taiwan Sakura Corp................................. 1,477,803 1,959,855
Taiwan Sanyo Electric Co., Ltd..................... 417,400 351,923
Taiwan Semiconductor Co., Ltd...................... 1,582,000 2,861,334
Taiwan Shin Kong Security Co., Ltd................. 1,728,710 2,140,192
Taiwan Styrene Monomer............................. 3,812,209 3,089,091
Taiwan Surface Mounting Technology Corp............ 2,239,388 4,241,768
Taiwan Taxi Co., Ltd............................... 58,800 121,857
# Taiwan TEA Corp.................................... 5,442,897 2,747,693
# Taiwan Union Technology Corp....................... 1,612,000 5,884,687
# Taiyen Biotech Co., Ltd............................ 818,883 843,297
* Tatung Co., Ltd.................................... 3,650,015 2,816,982
Tayih Lun An Co., Ltd.............................. 315,890 242,738
TCI Co., Ltd....................................... 321,826 4,804,678
Te Chang Construction Co., Ltd..................... 334,206 311,884
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
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TAIWAN -- (Continued)
# Teapo Electronic Corp.............................. 558,000 $ 836,515
Tehmag Foods Corp.................................. 154,800 1,070,401
Ten Ren Tea Co., Ltd............................... 164,980 205,223
# Test Research, Inc................................. 1,233,821 2,151,167
Test-Rite International Co., Ltd................... 2,181,495 1,497,522
* Tex-Ray Industrial Co., Ltd........................ 803,000 266,174
Thinking Electronic Industrial Co., Ltd............ 629,204 1,699,032
Thye Ming Industrial Co., Ltd...................... 1,178,669 1,223,167
# Ton Yi Industrial Corp............................. 5,537,644 2,249,714
# Tong Hsing Electronic Industries, Ltd.............. 1,176,963 4,385,695
# Tong Yang Industry Co., Ltd........................ 3,342,741 4,774,991
* Tong-Tai Machine & Tool Co., Ltd................... 1,557,892 1,059,490
TOPBI International Holdings, Ltd.................. 364,464 1,032,554
Topco Scientific Co., Ltd.......................... 1,403,087 4,027,044
Topco Technologies Corp............................ 276,720 658,635
Topkey Corp........................................ 73,000 328,079
Topoint Technology Co., Ltd........................ 1,034,898 677,031
Toung Loong Textile Manufacturing.................. 694,000 1,082,349
# TPK Holding Co., Ltd............................... 2,736,000 5,071,632
# Trade-Van Information Services Co.................. 245,000 277,666
Transart Graphics Co., Ltd......................... 18,000 32,060
Transcend Information, Inc......................... 1,029,000 2,331,466
* TrueLight Corp..................................... 37,100 35,734
Tsang Yow Industrial Co., Ltd...................... 571,000 359,432
Tsann Kuen Enterprise Co., Ltd..................... 357,686 237,924
TSC Auto ID Technology Co., Ltd.................... 185,700 1,704,526
* TSEC Corp.......................................... 3,019,205 666,938
TSRC Corp.......................................... 4,903,200 4,517,173
# Ttet Union Corp.................................... 300,000 1,028,781
TTFB Co., Ltd...................................... 71,000 593,217
TTY Biopharm Co., Ltd.............................. 1,767,979 4,697,315
# Tul Corp........................................... 101,200 215,835
# Tung Ho Steel Enterprise Corp...................... 6,639,000 4,750,027
# Tung Thih Electronic Co., Ltd...................... 466,600 1,100,636
TURVO International Co., Ltd....................... 491,922 1,223,112
TXC Corp........................................... 2,416,053 2,819,972
# TYC Brother Industrial Co., Ltd.................... 1,595,980 1,412,675
# * Tycoons Group Enterprise........................... 2,822,767 597,436
# Tyntek Corp........................................ 2,372,039 1,322,077
UDE Corp........................................... 486,000 469,351
# Ultra Chip, Inc.................................... 463,000 648,571
U-Ming Marine Transport Corp....................... 3,747,000 3,923,212
Unimicron Technology Corp.......................... 8,522,000 9,524,965
# Union Bank Of Taiwan............................... 8,021,693 2,844,380
# Union Insurance Co., Ltd........................... 467,660 298,582
Unitech Computer Co., Ltd.......................... 684,804 461,213
# Unitech Printed Circuit Board Corp................. 4,549,937 2,794,555
United Integrated Services Co., Ltd................ 1,477,951 6,585,801
# United Orthopedic Corp............................. 684,935 1,046,556
United Radiant Technology.......................... 735,000 519,060
* United Renewable Energy Co., Ltd................... 14,637,403 4,986,988
* Unity Opto Technology Co., Ltd..................... 2,760,500 876,176
Univacco Technology, Inc........................... 32,000 26,531
Universal Cement Corp.............................. 2,965,433 1,909,885
* Universal Microelectronics Co., Ltd................ 29,000 19,410
# Universal Microwave Technology, Inc................ 350,526 1,141,667
# * Unizyx Holding Corp................................ 2,706,430 2,022,562
UPC Technology Corp................................ 7,051,611 2,882,932
Userjoy Technology Co., Ltd........................ 247,487 532,963
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
USI Corp........................................... 7,076,156 $ 2,716,080
Usun Technology Co., Ltd........................... 354,200 351,866
# Utechzone Co., Ltd................................. 455,000 1,008,185
# Ve Wong Corp....................................... 660,696 552,269
# VHQ Media Holdings, Ltd............................ 170,000 671,563
Victory New Materials, Ltd. Co..................... 877,120 592,619
# Visual Photonics Epitaxy Co., Ltd.................. 1,351,772 3,700,879
# Vivotek, Inc....................................... 180,200 656,403
# Wafer Works Corp................................... 2,761,548 3,504,064
Waffer Technology Corp............................. 780,000 328,461
# * Wah Hong Industrial Corp........................... 144,021 120,838
Wah Lee Industrial Corp............................ 1,277,000 2,236,771
# Walsin Technology Corp............................. 2,159,793 13,354,593
# Walton Advanced Engineering, Inc................... 2,391,197 867,801
WAN HWA Enterprise Co.............................. 781,238 325,066
Waterland Financial Holdings Co., Ltd.............. 16,058,982 5,406,611
# * Ways Technical Corp., Ltd.......................... 189,000 228,321
* Wei Chuan Foods Corp............................... 1,088,000 952,111
# Weikeng Industrial Co., Ltd........................ 2,156,515 1,428,421
Well Shin Technology Co., Ltd...................... 700,000 1,224,581
Weltrend Semiconductor............................. 182,000 154,551
* Wha Yu Industrial Co., Ltd......................... 301,000 180,362
Wholetech System Hitech, Ltd....................... 194,000 199,917
# Winmate, Inc....................................... 230,000 391,833
Winstek Semiconductor Co., Ltd..................... 469,000 397,032
Wintek Corp........................................ 5,447,000 60,479
Wisdom Marine Lines Co., Ltd....................... 2,801,953 2,666,121
# Wisechip Semiconductor, Inc........................ 137,302 213,836
Wistron NeWeb Corp................................. 2,262,155 5,860,552
Wowprime Corp...................................... 508,000 1,527,146
# WT Microelectronics Co., Ltd....................... 3,725,450 4,922,133
* WUS Printed Circuit Co., Ltd....................... 1,780,700 1,478,063
XAC Automation Corp................................ 539,000 501,587
XPEC Entertainment, Inc............................ 192,135 15,420
Xxentria Technology Materials Corp................. 1,045,207 2,647,055
* Yang Ming Marine Transport Corp.................... 8,849,981 2,514,736
# YC Co., Ltd........................................ 3,174,453 1,407,447
YC INOX Co., Ltd................................... 2,638,388 2,233,866
# YCC Parts Manufacturing Co., Ltd................... 204,000 233,151
Yea Shin International Development Co., Ltd........ 860,076 528,059
# Yeong Guan Energy Technology Group Co., Ltd........ 821,929 2,178,890
YFC-Boneagle Electric Co., Ltd..................... 751,000 722,708
YFY, Inc........................................... 11,013,212 4,243,788
# Yi Jinn Industrial Co., Ltd........................ 1,676,284 765,749
# Yieh Phui Enterprise Co., Ltd...................... 9,563,833 2,917,158
Ying Han Technology Co., Ltd....................... 73,000 81,342
# Yonyu Plastics Co., Ltd............................ 497,600 582,353
# Young Fast Optoelectronics Co., Ltd................ 905,872 511,272
# Youngtek Electronics Corp.......................... 903,666 1,352,874
Yuanta Futures Co., Ltd............................ 302,000 461,586
Yulon Finance Corp................................. 824,480 3,084,209
# Yulon Motor Co., Ltd............................... 4,305,000 2,718,806
Yung Chi Paint & Varnish Manufacturing Co., Ltd.... 466,869 1,109,891
Yungshin Construction & Development Co., Ltd....... 690,000 782,992
YungShin Global Holding Corp....................... 1,491,015 2,031,662
Yungtay Engineering Co., Ltd....................... 2,989,000 6,239,697
Yusin Holding Corp................................. 6,000 14,824
Zeng Hsing Industrial Co., Ltd..................... 433,107 2,112,920
# Zenitron Corp...................................... 1,445,000 1,069,190
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
TAIWAN -- (Continued)
# Zero One Technology Co., Ltd....................... 764,000 $ 695,785
# Zig Sheng Industrial Co., Ltd...................... 3,607,732 1,038,792
# Zinwell Corp....................................... 2,343,586 1,741,573
Zippy Technology Corp.............................. 958,948 1,139,491
# ZongTai Real Estate Development Co., Ltd........... 1,308,849 806,656
--------------
TOTAL TAIWAN........................................... 1,248,814,515
--------------
THAILAND -- (3.6%)
AAPICO Hitech PCL.................................. 32,300 20,538
AAPICO Hitech PCL.................................. 1,013,740 644,602
Advanced Information Technology PCL................ 660,000 436,210
AEON Thana Sinsap Thailand PCL..................... 577,700 3,338,626
AEON Thana Sinsap Thailand PCL..................... 74,500 430,548
After You PCL...................................... 2,055,300 582,630
AJ Plast PCL....................................... 1,497,588 466,750
Amarin Printing & Publishing PCL................... 415,000 66,946
Amata Corp. PCL.................................... 5,216,610 3,660,206
Amata VN PCL....................................... 291,900 48,460
Ananda Development PCL............................. 16,799,800 2,094,384
AP Thailand PCL.................................... 12,540,116 3,103,114
Asia Aviation PCL.................................. 13,800,800 1,841,548
Asia Plus Group Holdings PCL....................... 9,390,700 905,978
Asia Sermkij Leasing PCL........................... 1,107,600 818,774
Asian Insulators PCL............................... 12,731,600 92,720
Asian Phytoceuticals PCL........................... 139,443 17,733
Asian Seafoods Coldstorage PCL..................... 1,040,400 255,823
Bangchak Corp. PCL................................. 2,893,900 2,946,022
Bangkok Airways PCL................................ 6,591,800 2,436,437
Bangkok Aviation Fuel Services PCL................. 1,910,646 2,184,450
Bangkok Chain Hospital PCL......................... 16,348,637 9,320,131
Bangkok Insurance PCL.............................. 185,181 1,879,362
Bangkok Land PCL................................... 102,591,870 5,045,238
Bangkok Ranch PCL.................................. 4,475,000 521,441
BCPG PCL........................................... 2,296,600 1,302,066
Beauty Community PCL............................... 20,407,600 4,442,688
* BEC World PCL...................................... 9,033,748 2,546,710
Better World Green PCL............................. 12,511,800 431,104
Big Camera Corp. PCL............................... 12,506,400 481,844
BJC Heavy Industries PCL........................... 3,479,500 233,238
Buriram Sugar PCL.................................. 1,978,400 387,314
Cal-Comp Electronics Thailand PCL.................. 17,045,744 1,014,469
Central Plaza Hotel PCL............................ 19,400 25,978
CH Karnchang PCL................................... 4,061,800 3,403,388
Charoong Thai Wire & Cable PCL..................... 967,100 240,828
Christiani & Nielsen Thai.......................... 1,532,600 95,052
Chularat Hospital PCL, Class F..................... 54,323,100 3,335,107
* CIMB Thai Bank PCL................................. 7,604,900 183,423
CK Power PCL....................................... 22,534,990 4,129,356
COL PCL............................................ 258,600 200,076
Com7 PCL........................................... 3,803,900 2,347,277
* Country Group Development PCL...................... 23,786,000 812,114
Country Group Holdings PCL......................... 8,622,100 232,263
Dhipaya Insurance PCL.............................. 2,373,600 1,754,642
Diamond Building Products PCL...................... 1,511,800 258,083
Dusit Thani PCL.................................... 114,500 38,735
Dynasty Ceramic PCL................................ 23,996,680 1,548,415
Eastern Polymer Group PCL, Class F................. 8,262,700 1,682,304
Eastern Printing PCL............................... 745,308 78,908
Eastern Water Resources Development and Management
PCL, Class F..................................... 4,636,900 1,655,776
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (Continued)
* Energy Earth PCL................................... 4,765,400 $ 40,870
Erawan Group PCL (The)............................. 14,852,570 3,233,371
Esso Thailand PCL.................................. 11,311,700 3,932,964
Forth Corp. PCL.................................... 2,232,900 416,155
Forth Smart Service PCL............................ 2,541,300 600,997
Fortune Parts Industry PCL......................... 2,658,200 189,842
G J Steel PCL...................................... 16,722,780 73,334
GFPT PCL........................................... 5,253,200 2,550,496
Global Green Chemicals PCL, Class F................ 1,481,500 570,789
* GMM Grammy PCL..................................... 121,460 31,958
Golden Land Property Development PCL............... 9,715,830 2,525,964
* Group Lease PCL.................................... 132,500 31,128
Gunkul Engineering PCL............................. 4,444,080 384,202
Haad Thip PCL...................................... 16,600 7,800
Hana Microelectronics PCL.......................... 4,920,796 5,009,424
ICC International PCL.............................. 204,600 262,760
Ichitan Group PCL.................................. 4,239,400 523,202
* Inter Far East Energy Corp......................... 4,679,700 85,209
Interhides PCL..................................... 1,057,300 225,204
Interlink Communication PCL........................ 1,498,100 251,052
* International Engineering PCL...................... 39,494,487 4,701
* Italian-Thai Development PCL....................... 15,994,527 1,172,347
Jasmine International PCL.......................... 27,614,600 4,843,908
Jay Mart PCL....................................... 2,350,195 684,630
JMT Network Services PCL........................... 926,800 458,683
Jubilee Enterprise PCL............................. 24,700 11,296
JWD Infologistics PCL.............................. 2,544,800 693,493
Kang Yong Electric PCL............................. 5,000 63,900
Karmarts PCL....................................... 3,249,300 405,081
KCE Electronics PCL................................ 4,713,600 3,661,622
KGI Securities Thailand PCL........................ 8,198,300 1,114,507
Khon Kaen Sugar Industry PCL....................... 15,190,237 1,427,430
Khonburi Sugar PCL................................. 138,500 17,700
Lam Soon Thailand PCL.............................. 1,383,900 202,871
Lanna Resources PCL................................ 1,833,750 654,808
LH Financial Group PCL............................. 48,598,139 2,268,167
Loxley PCL......................................... 7,932,176 501,895
LPN Development PCL................................ 136,400 29,908
LPN Development PCL................................ 7,112,503 1,559,515
Major Cineplex Group PCL........................... 4,142,400 3,697,992
Malee Group PCL.................................... 484,300 118,325
Master Ad PCL...................................... 1,292,700 60,738
Maybank Kim Eng Securities Thailand PCL............ 1,203,300 380,684
MBK PCL............................................ 7,295,500 4,798,919
MC Group PCL....................................... 3,600,000 1,020,517
* MCOT PCL........................................... 2,506,000 839,912
MCS Steel PCL...................................... 1,667,900 365,710
Mega Lifesciences PCL.............................. 3,554,100 4,007,756
Millcon Steel PCL.................................. 3,315,133 107,995
Modernform Group PCL............................... 2,292,900 267,176
Mono Technology PCL................................ 13,261,800 760,191
Muang Thai Insurance PCL........................... 61,288 173,737
Muramoto Electron Thailand PCL..................... 14,000 79,374
Namyong Terminal PCL............................... 4,598,200 748,963
* Nation Multimedia Group PCL........................ 8,825,500 55,289
Netbay PCL......................................... 597,100 565,772
Nirvana Daii PCL................................... 206,600 20,579
Origin Property PCL, Class F....................... 4,330,550 1,071,616
Padaeng Industry PCL............................... 937,800 352,501
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
THAILAND -- (Continued)
PCS Machine Group Holding PCL...................... 2,646,100 $ 576,050
* Plan B Media Pcl, Class F.......................... 11,916,400 2,538,184
Platinum Group PCL (The)........................... 2,912,500 551,938
Polyplex Thailand PCL.............................. 3,951,550 1,769,997
* Power Solution Technologies PCL.................... 4,933,700 95,815
* Precious Shipping PCL.............................. 6,585,900 1,712,231
Premier Marketing PCL.............................. 2,777,100 743,750
Prima Marine PCL................................... 975,100 232,130
Principal Capital PCL.............................. 1,296,400 198,978
Property Perfect PCL............................... 41,392,900 1,063,185
Pruksa Holding PCL................................. 4,855,100 2,859,072
PTG Energy PCL..................................... 7,295,600 2,513,754
Pylon PCL.......................................... 1,256,200 247,895
Quality Houses PCL................................. 52,682,926 4,884,619
Raimon Land PCL.................................... 13,437,800 534,566
Rajthanee Hospital PCL............................. 198,700 149,375
Ratchthani Leasing PCL............................. 13,861,937 2,692,060
Regional Container Lines PCL....................... 3,754,500 536,273
Rojana Industrial Park PCL......................... 8,117,854 1,360,392
RS PCL............................................. 4,105,900 2,469,327
S 11 Group PCL..................................... 1,096,300 254,115
Sabina PCL......................................... 88,800 76,492
Saha Pathana Inter-Holding PCL..................... 699,100 1,532,874
Sahamitr Pressure Container PCL.................... 90,900 27,476
Saha-Union PCL..................................... 859,300 1,224,688
Sahaviriya Steel Industries PCL.................... 87,225,900 25,683
Samart Corp. PCL................................... 3,732,800 876,930
* Samart Digital Public Co., Ltd..................... 7,958,600 89,745
Samart Telcoms PCL................................. 2,136,000 602,161
Sansiri PCL........................................ 69,366,810 3,107,112
Sappe PCL.......................................... 1,610,700 938,419
SC Asset Corp. PCL................................. 19,009,315 1,798,219
Scan Inter PCL..................................... 4,115,100 471,770
* SCG Ceramics PCL................................... 4,998,929 331,957
SEAFCO PCL......................................... 3,048,820 792,645
Sena Development PCL............................... 2,172,733 253,174
Sermsang Power Corp. Co., Ltd...................... 86,800 21,615
Siam Future Development PCL........................ 12,064,647 2,361,912
Siam Wellness Group Pcl............................ 2,256,300 961,180
Siamgas & Petrochemicals PCL....................... 8,004,500 2,607,574
Singha Estate PCL.................................. 25,426,854 2,532,730
Sino-Thai Engineering & Construction PCL........... 1,167,000 922,999
SNC Former PCL..................................... 241,600 103,678
Somboon Advance Technology PCL..................... 2,220,437 1,342,347
SPCG PCL........................................... 3,350,500 1,889,084
Sri Ayudhya Capital PCL............................ 187,300 256,676
Sri Trang Agro-Industry PCL........................ 8,027,708 3,294,063
Sriracha Construction PCL.......................... 830,400 243,203
Srisawad Corp. PCL................................. 3,286,300 5,635,863
Srisawad Finance PCL............................... 409,295 230,769
Srithai Superware PCL.............................. 10,347,100 382,446
Srivichai Vejvivat PCL............................. 48,000 9,698
Star Petroleum Refining PCL........................ 1,911,500 634,672
Stars Microelectronics Thailand PCL................ 424,000 29,218
STP & I PCL........................................ 7,297,364 1,600,048
Supalai PCL........................................ 7,778,891 5,384,918
* Super Energy Corp. PCL............................. 104,764,200 2,067,391
Susco PCL.......................................... 1,179,500 110,099
SVI PCL............................................ 13,016,300 1,957,032
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (Continued)
* Symphony Communication PCL......................... 255,405 $ 39,841
Synergetic Auto Performance Co., Ltd............... 1,851,600 169,355
Synnex Thailand PCL................................ 2,926,440 1,054,160
Syntec Construction PCL............................ 5,395,500 425,894
Taokaenoi Food & Marketing PCL, Class F............ 3,626,180 1,226,711
Tapaco PCL......................................... 292,700 55,010
* Tata Steel Thailand PCL............................ 26,758,900 637,017
* Thai Airways International PCL..................... 6,254,100 2,487,927
* Thai Airways International PCL..................... 141,400 56,250
Thai Central Chemical PCL.......................... 295,800 266,382
Thai Nakarin Hospital PCL.......................... 274,400 315,872
Thai President Foods PCL........................... 1,430 7,167
Thai Rayon PCL..................................... 38,400 47,361
Thai Reinsurance PCL............................... 12,259,300 318,723
Thai Solar Energy PCL, Class F..................... 5,181,295 418,723
Thai Stanley Electric PCL, Class F................. 206,600 1,520,783
Thai Steel Cable PCL............................... 3,400 1,353
Thai Vegetable Oil PCL............................. 4,503,875 3,809,072
Thai Wacoal PCL.................................... 78,000 114,832
Thai Wah PCL....................................... 2,788,800 711,941
Thaicom PCL........................................ 4,240,700 870,057
Thaifoods Group PCL................................ 9,041,300 940,239
Thaire Life Assurance PCL.......................... 2,618,800 475,773
Thitikorn PCL...................................... 1,622,400 523,437
Thoresen Thai Agencies PCL......................... 9,617,454 1,611,695
Tipco Asphalt PCL.................................. 4,537,300 2,558,227
TIPCO Foods PCL.................................... 2,066,682 543,779
TKS Technologies PCL............................... 227,150 58,700
TMT Steel PCL...................................... 2,352,200 434,706
TPC Power Holdings Co., Ltd........................ 1,517,100 463,327
TPI Polene PCL..................................... 60,752,600 3,767,898
TRC Construction PCL............................... 29,701,754 325,626
* TTCL PCL........................................... 1,330,540 327,165
* TTCL PCL........................................... 1,068,171 262,651
TTW PCL............................................ 12,307,300 4,780,283
* U City PCL, Class F................................ 3,935,514 281,064
Unique Engineering & Construction PCL.............. 5,469,370 1,764,589
United Paper PCL................................... 3,155,600 998,326
United Power of Asia PCL........................... 500,000 5,012
Univanich Palm Oil PCL............................. 2,135,200 374,538
Univentures PCL.................................... 8,066,900 1,591,902
Vanachai Group PCL................................. 5,125,659 907,125
VGI Global Media PCL............................... 9,939,500 3,004,422
Vibhavadi Medical Center PCL....................... 34,168,300 2,065,617
Vinythai PCL....................................... 2,839,734 2,245,992
WHA Corp. PCL...................................... 7,253,600 995,169
WHA Utilities and Power PCL........................ 4,624,700 854,682
Workpoint Entertainment PCL........................ 1,357,340 990,635
------------
TOTAL THAILAND.......................................... 258,656,034
------------
TURKEY -- (1.0%)
Adana Cimento Sanayii TAS, Class A................. 584,890 683,561
# * Afyon Cimento Sanayi TAS........................... 510,123 365,450
# Akcansa Cimento A.S................................ 406,847 439,330
* Akenerji Elektrik Uretim A.S....................... 585,035 54,976
# Aksa Akrilik Kimya Sanayii A.S..................... 719,825 982,849
# * Aksa Enerji Uretim A.S............................. 1,304,431 514,423
Aksigorta A.S...................................... 991,138 701,452
# Alarko Holding A.S................................. 1,783,022 798,851
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
TURKEY -- (Continued)
# Albaraka Turk Katilim Bankasi A.S...................... 3,931,296 $ 943,288
# Alkim Alkali Kimya A.S................................. 143,841 556,814
# Anadolu Anonim Turk Sigorta Sirketi.................... 2,052,847 1,426,901
Anadolu Cam Sanayii A.S................................ 2,144,824 1,104,911
# Anadolu Hayat Emeklilik A.S............................ 911,211 836,096
AvivaSA Emeklilik ve Hayat A.S., Class A............... 97,076 154,378
Aygaz A.S.............................................. 709,919 1,098,893
# * Bagfas Bandirma Gubre Fabrikalari A.S.................. 305,510 276,072
# * Baticim Bati Anadolu Cimento Sanayii A.S............... 770,153 273,847
# * Bera Holding A.S....................................... 3,260,283 973,242
# * Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S...... 1,146,397 480,804
* Bizim Toptan Satis Magazalari A.S...................... 336,401 452,688
Bolu Cimento Sanayii A.S............................... 506,059 257,065
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S.......... 508,647 785,443
Borusan Yatirim ve Pazarlama A.S....................... 28,364 173,006
* Boyner Perakende Ve Tekstil Yatirimlari A.S............ 287,924 230,767
# * Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S........ 430,709 471,098
# Celebi Hava Servisi A.S................................ 51,197 640,397
# * Cimsa Cimento Sanayi VE Ticaret A.S.................... 556,545 612,409
# Dogan Sirketler Grubu Holding A.S...................... 9,970,149 1,774,103
# Dogus Otomotiv Servis ve Ticaret A.S................... 484,393 374,436
# Eczacibasi Yatirim Holding Ortakligi A.S............... 226,880 287,309
EGE Endustri VE Ticaret A.S............................ 14,939 1,043,518
# EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar
Sanayi ve Ticaret A.S................................ 1,560,582 733,501
ENERJISA ENERJI AS..................................... 1,583,071 1,428,650
# Erbosan Erciyas Boru Sanayii ve Ticaret A.S............ 161,885 425,516
# * Fenerbahce Futbol A.S.................................. 282,748 337,681
# * Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S..... 413,527 150,523
# * Global Yatirim Holding A.S............................. 1,528,623 744,078
# Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S.... 107,555 195,461
# Goodyear Lastikleri TAS................................ 749,260 394,577
* Gozde Girisim Sermayesi Yatirim Ortakligi A.S.......... 1,732,666 967,975
* GSD Holding AS......................................... 2,632,862 397,761
# * Gubre Fabrikalari TAS.................................. 663,443 297,174
# * Hektas Ticaret TAS..................................... 404,119 820,363
# * Ihlas Gayrimenkul Proje Gelistirme Ve Ticaret A.S...... 1,141,706 168,520
# * Ihlas Holding A.S...................................... 7,162,300 599,837
Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve
Ticaret A.S.......................................... 170,909 187,945
# * Ipek Dogal Enerji Kaynaklari Arastirma Ve Uretim A.S... 796,450 590,833
# * Is Finansal Kiralama A.S............................... 558,147 740,263
Is Yatirim Menkul Degerler A.S., Class A............... 1,135,191 460,660
# * Isiklar Enerji ve Yapi Holding A.S..................... 739,540 38,437
# * Izmir Demir Celik Sanayi A.S........................... 1,055,577 308,009
# * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.,
Class A.............................................. 1,794,266 680,403
# * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.,
Class B.............................................. 980,518 365,202
# * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S.,
Class D.............................................. 6,321,063 2,399,382
# * Karsan Otomotiv Sanayii Ve Ticaret A.S................. 1,568,932 392,442
Kartonsan Karton Sanayi ve Ticaret A.S................. 10,145 534,327
# * Kerevitas Gida Sanayi ve Ticaret A.S................... 459,795 117,310
# Konya Cimento Sanayii A.S.............................. 11,299 350,922
# Kordsa Teknik Tekstil A.S.............................. 528,149 1,056,768
# * Koza Altin Isletmeleri A.S............................. 374,513 2,674,234
# * Koza Anadolu Metal Madencilik Isletmeleri A.S.......... 1,175,270 1,094,136
# * Logo Yazilim Sanayi Ve Ticaret A.S..................... 113,926 731,424
# Mardin Cimento Sanayii ve Ticaret A.S.................. 273,476 138,448
# * Metro Ticari ve Mali Yatirimlar Holding A.S............ 1,698,921 225,081
# * Migros Ticaret A.S..................................... 448,873 1,037,727
# * NET Holding A.S........................................ 2,071,456 590,271
# * Netas Telekomunikasyon A.S............................. 450,118 556,838
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TURKEY -- (Continued)
Nuh Cimento Sanayi A.S............................... 435,429 $ 521,025
Otokar Otomotiv Ve Savunma Sanayi A.S................ 82,998 1,559,338
# * Parsan Makina Parcalari Sanayii A.S.................. 126,184 245,557
* Pegasus Hava Tasimaciligi A.S........................ 326,074 1,692,275
# Polisan Holding A.S.................................. 698,330 342,760
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S... 1,508,806 819,444
# * Sasa Polyester Sanayi A.S............................ 1,059,208 1,078,605
# * Sekerbank Turk AS.................................... 3,162,508 536,132
Selcuk Ecza Deposu Ticaret ve Sanayi A.S............. 1,345,460 905,467
Soda Sanayii A.S..................................... 3,254,164 4,233,906
# Tat Gida Sanayi A.S.................................. 635,556 442,427
Tekfen Holding A.S................................... 1,182,097 5,279,918
Trakya Cam Sanayii A.S............................... 3,952,351 2,101,724
# * Tumosan Motor ve Traktor Sanayi A.S.................. 301,099 224,902
# * Turcas Petrol A.S.................................... 932,689 217,917
# * Turk Traktor ve Ziraat Makineleri A.S................ 111,967 521,078
* Turkiye Sinai Kalkinma Bankasi A.S................... 11,740,928 1,477,416
Ulker Biskuvi Sanayi A.S............................. 1,144,106 3,648,259
# * Vestel Elektronik Sanayi ve Ticaret A.S.............. 788,499 1,584,857
# * Yatas Yatak ve Yorgan Sanayi ve Ticaret A.S.......... 1,001,129 744,454
# * Zorlu Enerji Elektrik Uretim A.S..................... 4,203,616 882,509
--------------
TOTAL TURKEY.............................................. 71,761,026
--------------
TOTAL COMMON STOCKS....................................... 6,810,807,383
--------------
PREFERRED STOCKS -- (1.8%)
BRAZIL -- (1.8%)
AES Tiete Energia SA................................. 7,992 4,403
Alpargatas SA........................................ 1,427,511 5,697,520
* AZUL SA.............................................. 127,409 1,104,768
Banco ABC Brasil S.A................................. 980,846 4,865,332
Banco do Estado do Rio Grande do Sul SA, Class B..... 1,957,792 12,192,824
* Banco Pan SA......................................... 1,854,940 1,603,694
Centrais Eletricas Santa Catarina.................... 80,500 964,908
Cia de Saneamento do Parana.......................... 2,793,401 10,144,610
Cia de Transmissao de Energia Eletrica Paulista...... 2,214,232 11,858,629
Cia Energetica de Minas Gerais....................... 5,786,382 21,751,873
Cia Energetica de Sao Paulo, Class B................. 2,043,355 13,455,262
Cia Energetica do Ceara, Class A..................... 137,839 1,827,612
Cia Ferro Ligas da Bahia - FERBASA................... 490,634 2,648,931
Cia Paranaense de Energia............................ 960,299 10,090,107
Eucatex SA Industria e Comercio...................... 147,078 170,668
* Gol Linhas Aereas Inteligentes SA.................... 389,348 2,261,954
Grazziotin SA........................................ 10,300 60,207
Marcopolo SA......................................... 5,658,518 5,079,693
Randon SA Implementos e Participacoes................ 2,113,057 4,580,598
Schulz SA............................................ 51,100 93,831
Unipar Carbocloro SA................................. 465,910 4,609,074
Usinas Siderurgicas de Minas Gerais SA, Class A...... 4,506,318 9,918,014
--------------
TOTAL BRAZIL.............................................. 124,984,512
--------------
CHILE -- (0.0%)
Coca-Cola Embonor SA, Class B........................ 666,620 1,574,770
--------------
COLOMBIA -- (0.0%)
Avianca Holdings SA.................................. 3,056,704 1,389,733
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
COLOMBIA -- (Continued)
Banco Davivienda SA................................ 42,983 $ 531,762
--------------
TOTAL COLOMBIA............................................ 1,921,495
--------------
TOTAL PREFERRED STOCKS.................................... 128,480,777
--------------
RIGHTS/WARRANTS -- (0.0%)
BRAZIL -- (0.0%)
Gafisa S.A. Rights 05/23/19........................ 193,369 17,753
* Terra Santa Agro SA Right 06/03/19................. 83 0
--------------
TOTAL BRAZIL.............................................. 17,753
--------------
HONG KONG -- (0.0%)
* China International Marine Containers Co., Ltd.
Rights 05/03/19.................................. 13,093 0
* Prosperity International Holdings HK, Ltd. Rights
05/14/19......................................... 464,800 3,496
--------------
TOTAL HONG KONG........................................... 3,496
--------------
INDONESIA -- (0.0%)
* Medco Energi Internasional Tbk PT Warrants
12/11/20......................................... 13,254,866 245,564
--------------
POLAND -- (0.0%)
* Hawe SA Rights 09/30/15............................ 846,548 0
--------------
SOUTH KOREA -- (0.0%)
* Doosan Heavy Industries & Construction Co., Ltd.
Rights 05/09/2019................................ 212,322 261,733
--------------
TOTAL RIGHTS/WARRANTS..................................... 528,546
--------------
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
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,909,001,073)................................. $7,192,062,490
==============
ADR American Depositary Receipt
CP Certificate Participation
GDR Global Depositary Receipt
P.L.C. Public Limited Company
SA Special Assessment
ST Special Tax
(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, 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
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
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
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.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
APRIL 30, 2019
(UNAUDITED)
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (97.6%)
COMMUNICATION SERVICES -- (12.3%)
Activision Blizzard, Inc........................... 496,359 $ 23,929,467
AT&T, Inc.......................................... 7,170,552 222,000,290
ATN International, Inc............................. 684 41,758
Beasley Broadcast Group, Inc., Class A............. 9,471 34,759
# * Cars.com, Inc...................................... 43,079 896,474
CBS Corp., Class A................................. 14,300 734,734
CenturyLink, Inc................................... 70,603 806,286
* Charter Communications, Inc., Class A.............. 339,394 125,979,659
# Cinemark Holdings, Inc............................. 79,716 3,352,058
Comcast Corp., Class A............................. 7,135,970 310,628,774
# Consolidated Communications Holdings, Inc.......... 10,700 55,212
* Discovery, Inc., Class B........................... 3,609 134,363
* Discovery, Inc., Class C........................... 3,762 108,195
Entravision Communications Corp., Class A.......... 56,828 163,096
EW Scripps Co. (The), Class A...................... 81,265 1,852,029
* Fox Corp., Class A................................. 329,215 12,836,093
* Fox Corp., Class B................................. 143,308 5,517,358
# Gannett Co., Inc................................... 71,219 664,473
# * GCI Liberty, Inc., Class A......................... 123,145 7,341,905
* GCI Liberty, Inc., Class B......................... 1,686 102,804
* Gray Television, Inc............................... 54,374 1,273,983
* Hemisphere Media Group, Inc........................ 18,877 275,793
* IAC/InterActiveCorp................................ 81,587 18,344,021
* IMAX Corp.......................................... 4,700 114,586
Interpublic Group of Cos., Inc. (The).............. 79,202 1,821,646
# * Iridium Communications, Inc........................ 41,000 1,125,860
John Wiley & Sons, Inc., Class A................... 27,900 1,288,422
* Liberty Broadband Corp............................. 1,905 188,500
* Liberty Broadband Corp., Class A................... 24,095 2,370,707
* Liberty Broadband Corp., Class C................... 67,601 6,672,895
* Liberty Latin America, Ltd., Class A............... 1,500 31,395
* Liberty Latin America, Ltd., Class C............... 844 17,589
* Liberty Media Corp.-Liberty Braves, Class A........ 7,613 215,905
* Liberty Media Corp.-Liberty Braves, Class B........ 762 24,235
* Liberty Media Corp.-Liberty Braves, Class C........ 16,901 475,763
* Liberty Media Corp.-Liberty Formula One, Class A... 17,043 643,544
* Liberty Media Corp.-Liberty Formula One, Class C... 83,739 3,249,911
* Liberty Media Corp.-Liberty SiriusXM, Class A...... 96,383 3,849,537
* Liberty Media Corp.-Liberty SiriusXM, Class B...... 7,622 310,025
* Liberty Media Corp.-Liberty SiriusXM, Class C...... 208,010 8,353,682
* Liberty TripAdvisor Holdings, Inc., Class A........ 76,802 1,132,061
* Liberty TripAdvisor Holdings, Inc., Class B........ 3,422 51,433
# Lions Gate Entertainment Corp., Class A............ 37,016 540,063
# Lions Gate Entertainment Corp., Class B............ 9,269 126,058
* Madison Square Garden Co. (The), Class A........... 12,352 3,859,259
Marcus Corp. (The)................................. 20,099 756,124
* Meet Group, Inc. (The)............................. 83,800 465,928
# Meredith Corp...................................... 44,176 2,606,384
# * MSG Networks, Inc., Class A........................ 29,558 680,721
# New Media Investment Group, Inc.................... 35,759 382,264
News Corp., Class A................................ 402,247 4,995,908
News Corp., Class B................................ 99,903 1,247,788
Nexstar Media Group, Inc., Class A................. 51,781 6,060,966
# * ORBCOMM, Inc....................................... 82,899 600,189
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
COMMUNICATION SERVICES -- (Continued)
Saga Communications, Inc., Class A................. 8,693 $ 278,871
Salem Media Group, Inc............................. 10,922 22,609
Scholastic Corp.................................... 31,200 1,244,256
Sinclair Broadcast Group, Inc., Class A............ 82,369 3,771,677
Spok Holdings, Inc................................. 12,522 173,430
# * Sprint Corp........................................ 422,600 2,358,108
TEGNA, Inc......................................... 184,139 2,931,493
Telephone & Data Systems, Inc...................... 90,571 2,887,403
* T-Mobile US, Inc................................... 113,786 8,305,240
Tribune Media Co., Class A......................... 17,771 821,020
* Tribune Publishing Co.............................. 900 9,684
* United States Cellular Corp........................ 12,191 586,387
* Vonage Holdings Corp............................... 85,934 835,278
Walt Disney Co. (The).............................. 498,015 68,213,115
* Yelp, Inc.......................................... 52,714 2,111,723
* Zillow Group, Inc., Class A........................ 30,310 1,006,595
# * Zillow Group, Inc., Class C........................ 70,220 2,345,348
* Zynga, Inc., Class A............................... 640,800 3,626,928
------------
TOTAL COMMUNICATION SERVICES............................ 892,862,097
------------
CONSUMER DISCRETIONARY -- (6.2%)
* 1-800-Flowers.com, Inc., Class A................... 44,330 943,786
Aaron's, Inc....................................... 75,999 4,232,384
Acushnet Holdings Corp............................. 2,067 52,109
* Adtalem Global Education, Inc...................... 53,564 2,641,776
* American Axle & Manufacturing Holdings, Inc........ 70,013 1,032,692
American Eagle Outfitters, Inc..................... 172,550 4,103,239
* American Outdoor Brands Corp....................... 64,307 633,424
Aramark............................................ 208,769 6,488,541
* Asbury Automotive Group, Inc....................... 3,378 270,848
# * Ascena Retail Group, Inc........................... 135,576 161,335
# * Ascent Capital Group, Inc., Class A................ 8,198 5,739
Autoliv, Inc....................................... 39,386 3,091,407
# * AutoNation, Inc.................................... 58,352 2,446,699
* Barnes & Noble Education, Inc...................... 7,710 33,153
# Barnes & Noble, Inc................................ 55,600 279,668
Bassett Furniture Industries, Inc.................. 2,900 51,504
* Beazer Homes USA, Inc.............................. 4,326 57,493
# Bed Bath & Beyond, Inc............................. 25,907 432,906
Best Buy Co., Inc.................................. 15,363 1,143,161
# Big 5 Sporting Goods Corp.......................... 16,901 44,450
# Big Lots, Inc...................................... 41,729 1,550,650
* Biglari Holdings, Inc., Class B.................... 8 1,115
# BJ's Restaurants, Inc.............................. 16,658 831,401
# * Boot Barn Holdings, Inc............................ 32,500 935,675
BorgWarner, Inc.................................... 191,389 7,994,319
Brunswick Corp..................................... 59,540 3,049,043
* Build-A-Bear Workshop, Inc......................... 25,874 144,894
# * Caesars Entertainment Corp......................... 362,380 3,391,877
Caleres, Inc....................................... 74,697 1,959,302
Callaway Golf Co................................... 70,543 1,238,735
Canterbury Park Holding Corp....................... 2,755 40,003
Capri Holdings, Ltd................................ 122,831 5,414,390
* Career Education Corp.............................. 78,974 1,433,378
Carnival Corp...................................... 489,649 26,862,144
Carriage Services, Inc............................. 20,916 367,076
* Carrols Restaurant Group, Inc...................... 5,700 55,917
* Cavco Industries, Inc.............................. 7,600 948,252
# * Century Communities, Inc........................... 14,709 374,050
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
CONSUMER DISCRETIONARY -- (Continued)
* Chuy's Holdings, Inc............................... 16,443 $ 327,051
Citi Trends, Inc................................... 3,415 63,212
# * Conn's, Inc........................................ 25,450 658,392
Cooper Tire & Rubber Co............................ 55,558 1,658,962
* Cooper-Standard Holdings, Inc...................... 18,702 947,630
Core-Mark Holding Co., Inc......................... 96,236 3,498,179
CSS Industries, Inc................................ 10,465 73,360
Culp, Inc.......................................... 10,036 205,939
Dana, Inc.......................................... 112,665 2,196,968
* Deckers Outdoor Corp............................... 22,626 3,579,659
* Delta Apparel, Inc................................. 7,532 181,295
# Designer Brands, Inc............................... 75,552 1,681,032
# Dick's Sporting Goods, Inc......................... 83,076 3,073,812
# Dillard's, Inc., Class A........................... 120,300 8,234,535
# * Dorman Products, Inc............................... 9,311 816,295
DR Horton, Inc..................................... 208,125 9,222,019
# Educational Development Corp....................... 3,358 30,222
* El Pollo Loco Holdings, Inc........................ 4,415 56,424
Escalade, Inc...................................... 277 3,335
Extended Stay America, Inc......................... 98,669 1,767,162
* Fiesta Restaurant Group, Inc....................... 1,300 16,458
Flanigan's Enterprises, Inc........................ 865 21,569
Flexsteel Industries, Inc.......................... 2,068 44,793
Foot Locker, Inc................................... 96,715 5,533,065
Ford Motor Co...................................... 2,868,969 29,980,726
# * Fossil Group, Inc.................................. 600 7,842
# * Fred's, Inc., Class A.............................. 32,745 47,808
# GameStop Corp., Class A............................ 104,752 906,105
Gaming Partners International Corp................. 500 6,870
General Motors Co.................................. 1,095,598 42,673,542
* Genesco, Inc....................................... 6,456 289,293
Gentex Corp........................................ 216,294 4,981,251
* Gentherm, Inc...................................... 37,081 1,570,751
* G-III Apparel Group, Ltd........................... 31,225 1,347,359
Goodyear Tire & Rubber Co. (The)................... 255,657 4,911,171
Graham Holdings Co., Class B....................... 5,780 4,297,025
* Green Brick Partners, Inc.......................... 2,594 23,190
# Group 1 Automotive, Inc............................ 57,936 4,536,968
# Guess?, Inc........................................ 70,100 1,427,937
# * Habit Restaurants, Inc. (The), Class A............. 23,800 253,708
# Hamilton Beach Brands Holding Co., Class A......... 10,413 188,475
# Harley-Davidson, Inc............................... 134,903 5,022,439
# Haverty Furniture Cos., Inc........................ 33,479 797,470
* Helen of Troy, Ltd................................. 61,653 8,878,032
# * Hibbett Sports, Inc................................ 20,800 430,560
Hooker Furniture Corp.............................. 14,814 441,605
* Houghton Mifflin Harcourt Co....................... 6,300 44,919
Hyatt Hotels Corp., Class A........................ 16,230 1,245,328
# International Game Technology P.L.C................ 7,100 103,873
International Speedway Corp., Class A.............. 24,844 1,096,117
* J Alexander's Holdings, Inc........................ 2,666 29,299
# * JC Penney Co., Inc................................. 85,215 116,745
Johnson Outdoors, Inc., Class A.................... 15,588 1,195,132
KB Home............................................ 30,800 798,028
# Kohl's Corp........................................ 14,353 1,020,498
# * Lakeland Industries, Inc........................... 9,887 125,466
# * Lands' End, Inc.................................... 13,703 239,940
* Laureate Education, Inc., Class A.................. 14,985 235,864
La-Z-Boy, Inc...................................... 56,332 1,847,690
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
CONSUMER DISCRETIONARY -- (Continued)
LCI Industries..................................... 6,300 $ 553,455
Lear Corp.......................................... 33,378 4,773,054
Lennar Corp., Class A.............................. 224,100 11,659,923
Lennar Corp., Class B.............................. 12,506 521,750
# * Libbey, Inc........................................ 25,700 64,250
* Liberty Expedia Holdings, Inc., Class A............ 80,904 3,755,564
* Liberty Expedia Holdings, Inc., Class B............ 3,457 161,252
Lifetime Brands, Inc............................... 16,431 155,437
# Lithia Motors, Inc., Class A....................... 34,933 3,965,594
* LKQ Corp........................................... 95,234 2,866,543
* M/I Homes, Inc..................................... 37,930 1,068,488
Macy's, Inc........................................ 275,055 6,474,795
* MarineMax, Inc..................................... 29,164 504,246
Marriott Vacations Worldwide Corp.................. 29,279 3,092,741
(double right angle quote) Media General, Inc. Contingent Value Rights........ 25,196 988
* Meritage Homes Corp................................ 28,156 1,440,179
MGM Resorts International.......................... 227,871 6,068,205
* Modine Manufacturing Co............................ 14,650 216,674
* Mohawk Industries, Inc............................. 98,740 13,453,325
* Monarch Casino & Resort, Inc....................... 1,103 47,087
# Monro, Inc......................................... 3,100 259,873
# * Motorcar Parts of America, Inc..................... 17,638 364,401
Movado Group, Inc.................................. 21,998 784,229
# * Murphy USA, Inc.................................... 33,478 2,861,365
* Nautilus, Inc...................................... 8,500 45,475
# Newell Brands, Inc................................. 169,803 2,441,767
Office Depot, Inc.................................. 567,926 1,363,022
# * Overstock.com, Inc................................. 251 3,308
# Oxford Industries, Inc............................. 11,400 946,884
# Penske Automotive Group, Inc....................... 43,845 2,013,362
* Potbelly Corp...................................... 25,202 224,298
PulteGroup, Inc.................................... 275,833 8,677,706
PVH Corp........................................... 45,600 5,881,944
* Qurate Retail Group, Inc. QVC Group, Class B....... 31,258 526,072
* Qurate Retail, Inc................................. 620,725 10,583,361
RCI Hospitality Holdings, Inc...................... 12,026 273,832
# * Red Robin Gourmet Burgers, Inc..................... 31,175 998,535
* Regis Corp......................................... 38,593 722,461
Rocky Brands, Inc.................................. 8,729 222,677
Royal Caribbean Cruises, Ltd....................... 322,500 39,003,150
# RTW RetailWinds, Inc............................... 8,600 19,952
# * ServiceMaster Global Holdings, Inc................. 30,742 1,507,280
* Shiloh Industries, Inc............................. 15,461 88,437
# Shoe Carnival, Inc................................. 32,650 1,164,299
# Signet Jewelers, Ltd............................... 17,215 399,044
* Skechers U.S.A., Inc., Class A..................... 142,209 4,502,337
# Sonic Automotive, Inc., Class A.................... 17,700 358,071
Speedway Motorsports, Inc.......................... 14,935 274,057
Standard Motor Products, Inc....................... 37,342 1,865,980
Steven Madden, Ltd................................. 20,780 755,353
* Stoneridge, Inc.................................... 19,361 608,516
Strategic Education, Inc........................... 15,678 2,247,441
# Strattec Security Corp............................. 5,224 158,235
Superior Group of Cos, Inc......................... 17,956 300,583
Superior Industries International, Inc............. 23,275 115,211
* Tandy Leather Factory, Inc......................... 9,974 59,046
Tapestry, Inc...................................... 74,100 2,391,207
Target Corp........................................ 277,933 21,517,573
* Taylor Morrison Home Corp., Class A................ 16,370 316,923
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
CONSUMER DISCRETIONARY -- (Continued)
Tenneco, Inc., Class A............................. 5,044 $ 110,564
# Thor Industries, Inc............................... 36,690 2,416,770
Tile Shop Holdings, Inc............................ 34,900 169,614
Tilly's, Inc., Class A............................. 5,498 64,656
Toll Brothers, Inc................................. 179,799 6,850,342
* TopBuild Corp...................................... 16,800 1,196,664
Tower International, Inc........................... 6,400 149,376
* Unifi, Inc......................................... 41,401 836,300
* Universal Electronics, Inc......................... 15,506 590,003
# * Urban Outfitters, Inc.............................. 49,670 1,476,689
# * Veoneer, Inc....................................... 14,223 313,902
* Vista Outdoor, Inc................................. 57,561 496,751
# Whirlpool Corp..................................... 49,211 6,831,471
# * William Lyon Homes, Class A........................ 23,600 397,896
# Winnebago Industries, Inc.......................... 400 14,148
Wolverine World Wide, Inc.......................... 73,300 2,698,173
Wyndham Hotels & Resorts, Inc...................... 47,600 2,652,272
# * ZAGG, Inc.......................................... 30,497 251,295
Zovio, Inc......................................... 10,994 66,184
------------
TOTAL CONSUMER DISCRETIONARY............................ 455,022,816
------------
CONSUMER STAPLES -- (5.8%)
Alico, Inc......................................... 960 26,669
Andersons, Inc. (The).............................. 30,460 996,042
Archer-Daniels-Midland Co.......................... 813,476 36,281,030
Bunge, Ltd......................................... 114,294 5,990,149
# Cal-Maine Foods, Inc............................... 2,707 111,285
# Casey's General Stores, Inc........................ 20,857 2,760,424
# * Central Garden & Pet Co............................ 25,184 679,464
* Central Garden & Pet Co., Class A.................. 48,121 1,178,002
# Constellation Brands, Inc., Class B................ 9,845 1,915,296
# Coty, Inc., Class A................................ 72,536 784,840
* Craft Brew Alliance, Inc........................... 9,754 137,629
* Darling Ingredients, Inc........................... 173,938 3,793,588
* Edgewell Personal Care Co.......................... 9,512 392,180
# Flowers Foods, Inc................................. 84,458 1,836,117
# Fresh Del Monte Produce, Inc....................... 39,437 1,163,786
# * Hain Celestial Group, Inc. (The)................... 87,292 1,904,711
# * Hostess Brands, Inc................................ 4,500 60,300
# Ingles Markets, Inc., Class A...................... 11,437 313,946
Ingredion, Inc..................................... 62,117 5,885,586
JM Smucker Co. (The)............................... 108,204 13,269,056
John B. Sanfilippo & Son, Inc...................... 10,428 751,963
# Kraft Heinz Co. (The).............................. 92,516 3,075,232
* Landec Corp........................................ 37,056 389,459
Molson Coors Brewing Co., Class A.................. 1,908 127,836
Molson Coors Brewing Co., Class B.................. 186,550 11,974,644
Mondelez International, Inc., Class A.............. 2,081,099 105,823,884
* Natural Grocers by Vitamin Cottage, Inc............ 1,000 12,380
* Nature's Sunshine Products, Inc.................... 1,029 9,261
Nu Skin Enterprises, Inc., Class A................. 9,384 477,364
Oil-Dri Corp. of America........................... 5,047 160,545
* Performance Food Group Co.......................... 55,538 2,274,281
* Pilgrim's Pride Corp............................... 7,900 212,589
* Post Holdings, Inc................................. 71,372 8,049,334
PriceSmart, Inc.................................... 3,177 190,016
# * Pyxus International, Inc........................... 3,508 80,088
Sanderson Farms, Inc............................... 22,700 3,442,001
Seaboard Corp...................................... 1,812 8,145,991
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
CONSUMER STAPLES -- (Continued)
* Seneca Foods Corp., Class A........................ 6,301 $ 155,950
* Seneca Foods Corp., Class B........................ 300 7,329
* Simply Good Foods Co. (The)........................ 8,033 180,421
SpartanNash Co..................................... 32,983 533,335
# Spectrum Brands Holdings, Inc...................... 3,206 197,393
# * TreeHouse Foods, Inc............................... 40,400 2,705,992
Tyson Foods, Inc., Class A......................... 405,030 30,381,300
# * United Natural Foods, Inc.......................... 44,400 573,648
Universal Corp..................................... 22,290 1,200,539
* US Foods Holding Corp.............................. 207,373 7,579,483
Walgreens Boots Alliance, Inc...................... 659,669 35,338,468
Walmart, Inc....................................... 1,173,687 120,701,971
# Weis Markets, Inc.................................. 11,602 487,864
------------
TOTAL CONSUMER STAPLES.................................. 424,720,661
------------
ENERGY -- (11.7%)
Adams Resources & Energy, Inc...................... 6,004 217,045
Anadarko Petroleum Corp............................ 137,668 10,029,114
# * Antero Resources Corp.............................. 65,182 472,569
# Apache Corp........................................ 15,708 516,950
# Arch Coal, Inc., Class A........................... 11,590 1,123,998
Archrock, Inc...................................... 69,200 699,612
# Baker Hughes a GE Co............................... 4,305 103,406
* Bonanza Creek Energy, Inc.......................... 3,500 84,245
# * Bristow Group, Inc................................. 23,115 11,673
# * Callon Petroleum Co................................ 250,011 1,877,583
# * Carrizo Oil & Gas, Inc............................. 1,000 12,820
# * Centennial Resource Development, Inc., Class A..... 56,834 598,462
Chevron Corp....................................... 1,135,536 136,332,452
Cimarex Energy Co.................................. 72,151 4,953,888
* CNX Resources Corp................................. 175,641 1,573,743
Concho Resources, Inc.............................. 40,987 4,729,080
ConocoPhillips..................................... 1,439,649 90,870,645
* Dawson Geophysical Co.............................. 21,211 59,391
Delek US Holdings, Inc............................. 82,793 3,068,309
# * Denbury Resources, Inc............................. 193,800 432,174
Devon Energy Corp.................................. 60,406 1,941,449
# DMC Global, Inc.................................... 372 25,780
* Dorian LPG, Ltd.................................... 13,595 109,032
* Earthstone Energy, Inc., Class A................... 8,400 56,280
# EnLink Midstream LLC............................... 231,900 2,710,911
# Ensco Rowan P.L.C., Class A........................ 148,176 2,070,019
* Era Group, Inc..................................... 24,458 235,775
* Exterran Corp...................................... 35,500 504,810
Exxon Mobil Corp................................... 2,833,988 227,512,557
GasLog, Ltd........................................ 23,100 361,053
# Green Plains, Inc.................................. 21,234 368,835
* Gulf Island Fabrication, Inc....................... 13,009 111,877
# * Gulfport Energy Corp............................... 68,661 449,730
Hallador Energy Co................................. 14,700 75,852
* Helix Energy Solutions Group, Inc.................. 137,210 1,072,982
Helmerich & Payne, Inc............................. 95,808 5,606,684
# Hess Corp.......................................... 146,488 9,392,811
HollyFrontier Corp................................. 145,960 6,966,671
* International Seaways, Inc......................... 12 214
Kinder Morgan, Inc................................. 1,035,678 20,578,922
# Kosmos Energy, Ltd................................. 26,900 179,961
* Laredo Petroleum, Inc.............................. 36,900 111,438
Marathon Oil Corp.................................. 467,019 7,958,004
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
ENERGY -- (Continued)
Marathon Petroleum Corp............................ 1,004,662 $ 61,153,776
# * Matador Resources Co............................... 63,704 1,254,332
* Matrix Service Co.................................. 17,023 333,821
# * McDermott International, Inc....................... 12,000 97,080
Murphy Oil Corp.................................... 148,926 4,056,744
# Nabors Industries, Ltd............................. 318,553 1,114,935
NACCO Industries, Inc., Class A.................... 6,832 279,360
National Oilwell Varco, Inc........................ 158,732 4,149,254
* Natural Gas Services Group, Inc.................... 15,026 241,468
* Newpark Resources, Inc............................. 89,815 655,649
Noble Energy, Inc.................................. 133,794 3,620,466
* Oasis Petroleum, Inc............................... 209,670 1,278,987
Occidental Petroleum Corp.......................... 350,732 20,651,100
* Oceaneering International, Inc..................... 103,026 1,978,099
Panhandle Oil and Gas, Inc., Class A............... 9,614 144,210
# * Parker Drilling Co................................. 62 1,217
* Parsley Energy, Inc., Class A...................... 140,588 2,806,136
Patterson-UTI Energy, Inc.......................... 191,240 2,598,952
PBF Energy, Inc., Class A.......................... 128,074 4,300,725
* PDC Energy, Inc.................................... 48,958 2,129,183
Peabody Energy Corp................................ 79,122 2,276,340
Phillips 66........................................ 775,455 73,102,143
* Pioneer Energy Services Corp....................... 74,262 129,216
Pioneer Natural Resources Co....................... 88,400 14,715,064
* ProPetro Holding Corp.............................. 5,764 127,557
* QEP Resources, Inc................................. 108,730 817,650
# Range Resources Corp............................... 178,540 1,614,002
* REX American Resources Corp........................ 4,050 342,266
Schlumberger, Ltd.................................. 577,687 24,655,681
* SEACOR Holdings, Inc............................... 18,204 810,806
* SEACOR Marine Holdings, Inc........................ 12,678 172,167
SemGroup Corp., Class A............................ 68,126 889,726
# Ship Finance International, Ltd.................... 12,481 159,258
* SilverBow Resources, Inc........................... 3,019 54,765
SM Energy Co....................................... 56,538 900,650
# * Southwestern Energy Co............................. 361,255 1,426,957
# * SRC Energy, Inc.................................... 246,067 1,513,312
* TETRA Technologies, Inc............................ 25,600 60,928
# * Transocean, Ltd.................................... 216,054 1,698,184
# * Unit Corp.......................................... 53,840 730,070
# US Silica Holdings, Inc............................ 24,460 386,957
Valero Energy Corp................................. 605,899 54,930,803
# * Whiting Petroleum Corp............................. 39,585 1,084,233
Williams Cos., Inc. (The).......................... 216,857 6,143,559
World Fuel Services Corp........................... 5,865 180,935
* WPX Energy, Inc.................................... 330,172 4,586,089
------------
TOTAL ENERGY............................................ 852,523,618
------------
FINANCIALS -- (21.7%)
1st Source Corp.................................... 45,305 2,121,633
Affiliated Managers Group, Inc..................... 11,600 1,286,672
Aflac, Inc......................................... 428,750 21,600,425
* Alleghany Corp..................................... 3,115 2,046,181
Allstate Corp. (The)............................... 169,260 16,766,896
American Equity Investment Life Holding Co......... 96,714 2,844,359
American Financial Group, Inc...................... 156,083 16,159,273
American International Group, Inc.................. 421,331 20,042,716
American National Insurance Co..................... 23,302 2,639,884
AmeriServ Financial, Inc........................... 30,968 127,898
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
* Arch Capital Group, Ltd............................ 9,282 $ 313,546
Argo Group International Holdings, Ltd............. 59,381 4,635,875
Associated Banc-Corp............................... 117,927 2,675,764
Assurant, Inc...................................... 65,820 6,252,900
Assured Guaranty, Ltd.............................. 122,989 5,866,575
* Asta Funding, Inc.................................. 885 4,129
* Athene Holding, Ltd., Class A...................... 88,862 4,013,008
* Atlanticus Holdings Corp........................... 12,567 44,110
Axis Capital Holdings, Ltd......................... 50,110 2,848,753
Banc of California, Inc............................ 2,500 36,275
* Bancorp, Inc. (The)................................ 3,659 37,358
BancorpSouth Bank.................................. 9,744 296,997
Bank of America Corp............................... 5,929,138 181,313,009
Bank of New York Mellon Corp. (The)................ 687,988 34,165,484
Bank OZK........................................... 48,779 1,592,634
BankFinancial Corp................................. 16,687 250,472
BankUnited, Inc.................................... 39,854 1,457,859
Banner Corp........................................ 3,406 180,586
Bar Harbor Bankshares.............................. 2,733 71,823
BB&T Corp.......................................... 195,478 10,008,474
BCB Bancorp, Inc................................... 1,059 14,000
* Berkshire Hathaway, Inc., Class B.................. 10,796 2,339,601
Berkshire Hills Bancorp, Inc....................... 30,747 922,103
* Blucora, Inc....................................... 57,127 1,999,445
BOK Financial Corp................................. 23,100 2,012,934
* Brighthouse Financial, Inc......................... 75,527 3,156,273
Brookline Bancorp, Inc............................. 90,600 1,363,530
Cadence BanCorp.................................... 52,543 1,195,353
* Cannae Holdings, Inc............................... 15,438 396,293
Capital City Bank Group, Inc....................... 14,283 327,652
Capital One Financial Corp......................... 372,872 34,613,708
Capitol Federal Financial, Inc..................... 135,929 1,875,820
Carolina Financial Corp............................ 1,153 41,612
# Cathay General Bancorp............................. 69,340 2,551,019
CenterState Banks Corp............................. 32,264 796,276
Century Bancorp, Inc., Class A..................... 295 27,043
Chemical Financial Corp............................ 41,900 1,840,667
Chemung Financial Corp............................. 300 14,214
Chubb, Ltd......................................... 159,855 23,210,946
Cincinnati Financial Corp.......................... 12,284 1,181,475
CIT Group, Inc..................................... 64,603 3,441,402
Citigroup, Inc..................................... 1,870,326 132,232,048
# Citizens Community Bancorp, Inc.................... 10,355 121,775
CME Group, Inc..................................... 77,028 13,780,309
# CNA Financial Corp................................. 51,474 2,384,790
CNO Financial Group, Inc........................... 301,264 4,985,919
Codorus Valley Bancorp, Inc........................ 158 3,343
Columbia Banking System, Inc....................... 50,300 1,888,262
Community Bankers Trust Corp....................... 2,900 22,852
Community Financial Corp. (The).................... 408 12,493
Community Trust Bancorp, Inc....................... 18,195 768,739
Community West Bancshares.......................... 400 4,076
ConnectOne Bancorp, Inc............................ 1,200 26,196
* Consumer Portfolio Services, Inc................... 26,500 93,280
# * Cowen, Inc......................................... 3,989 66,816
* Customers Bancorp, Inc............................. 2,290 51,869
Donegal Group, Inc., Class A....................... 12,386 167,211
E*TRADE Financial Corp............................. 86,881 4,401,391
Eagle Bancorp Montana, Inc......................... 600 10,200
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
FINANCIALS -- (Continued)
EMC Insurance Group, Inc........................... 23,450 $ 752,980
Employers Holdings, Inc............................ 36,900 1,583,748
* Enstar Group, Ltd.................................. 1,446 256,318
* Equity Bancshares, Inc., Class A................... 593 15,572
ESSA Bancorp, Inc.................................. 8,217 125,802
Evans Bancorp, Inc................................. 1,681 61,760
Everest Re Group, Ltd.............................. 34,913 8,222,011
FBL Financial Group, Inc., Class A................. 24,660 1,540,510
Federal Agricultural Mortgage Corp., Class A....... 177 12,549
Federal Agricultural Mortgage Corp., Class C....... 9,500 726,560
FedNat Holding Co.................................. 13,665 222,330
Fidelity Southern Corp............................. 7,213 209,970
Fifth Third Bancorp................................ 202,049 5,823,052
Financial Institutions, Inc........................ 296 8,140
First American Financial Corp...................... 78,668 4,488,796
First Bancorp...................................... 16,138 611,792
First BanCorp...................................... 224,525 2,537,132
First Busey Corp................................... 3,120 80,621
First Business Financial Services, Inc............. 964 22,201
First Citizens BancShares, Inc., Class A........... 8,627 3,867,053
First Commonwealth Financial Corp.................. 31,647 430,716
First Defiance Financial Corp...................... 21,760 642,138
First Financial Bancorp............................ 112,065 2,812,831
First Financial Northwest, Inc..................... 25,371 424,457
First Hawaiian, Inc................................ 37,606 1,039,806
# First Horizon National Corp........................ 181,335 2,736,345
First Internet Bancorp............................. 5,329 116,652
First Interstate BancSystem, Inc., Class A......... 2,348 99,226
First Merchants Corp............................... 36,312 1,331,561
First Midwest Bancorp, Inc......................... 77,318 1,660,017
First United Corp.................................. 1,266 23,953
Flagstar Bancorp, Inc.............................. 8,432 301,444
# FNB Corp........................................... 155,117 1,881,569
# Franklin Financial Network, Inc.................... 400 11,060
Fulton Financial Corp.............................. 126,880 2,188,680
* Genworth Financial, Inc., Class A.................. 34,964 132,514
Global Indemnity, Ltd.............................. 8,282 255,086
Goldman Sachs Group, Inc. (The).................... 209,155 43,069,198
Great Southern Bancorp, Inc........................ 1,616 93,647
Great Western Bancorp, Inc......................... 18,793 660,950
Guaranty Federal Bancshares, Inc................... 1,684 38,260
* Hallmark Financial Services, Inc................... 16,734 192,106
Hancock Whitney Corp............................... 52,689 2,304,617
Hanmi Financial Corp............................... 3,221 76,402
Hanover Insurance Group, Inc. (The)................ 88,829 10,713,666
Hartford Financial Services Group, Inc. (The)...... 245,844 12,860,100
Heartland Financial USA, Inc....................... 465 20,879
Hilltop Holdings, Inc.............................. 26,171 550,376
* HMN Financial, Inc................................. 3,456 76,550
Home Bancorp, Inc.................................. 719 26,344
# Home BancShares, Inc............................... 41,547 797,287
* HomeStreet, Inc.................................... 2,200 61,908
Hope Bancorp, Inc.................................. 27,131 381,462
HopFed Bancorp, Inc................................ 6,781 132,501
Horace Mann Educators Corp......................... 58,206 2,245,587
Huntington Bancshares, Inc......................... 70,847 986,190
IBERIABANK Corp.................................... 38,909 3,093,265
Independent Bank Corp.............................. 339 27,198
Independent Bank Group, Inc........................ 40,199 2,291,343
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
International Bancshares Corp...................... 13,359 $ 553,998
Invesco, Ltd....................................... 257,558 5,658,549
Investors Bancorp, Inc............................. 80,911 950,704
Investors Title Co................................. 1,069 180,575
# Janus Henderson Group P.L.C........................ 117,221 2,938,730
Jefferies Financial Group, Inc..................... 125,465 2,580,815
JPMorgan Chase & Co................................ 2,307,658 267,803,711
Kemper Corp........................................ 59,119 5,313,616
KeyCorp............................................ 526,210 9,234,985
Lakeland Bancorp, Inc.............................. 10,040 166,262
Landmark Bancorp, Inc.............................. 2,509 62,173
Legg Mason, Inc.................................... 43,400 1,451,730
Lincoln National Corp.............................. 134,595 8,980,178
Loews Corp......................................... 243,798 12,504,399
Mackinac Financial Corp............................ 6,893 108,151
Marlin Business Services Corp...................... 13,787 300,419
# * MBIA, Inc.......................................... 82,267 795,522
MBT Financial Corp................................. 9,396 94,336
Mercantile Bank Corp............................... 4,422 149,464
Meridian Bancorp, Inc.............................. 1,000 17,220
* Meridian Corp...................................... 511 9,040
MetLife, Inc....................................... 949,912 43,819,441
* MGIC Investment Corp............................... 269,567 3,946,461
Middlefield Banc Corp.............................. 226 9,164
MidWestOne Financial Group, Inc.................... 346 9,750
Morgan Stanley..................................... 1,036,923 50,031,535
MutualFirst Financial, Inc......................... 2,300 68,747
MVB Financial Corp................................. 118 1,958
National Western Life Group, Inc., Class A......... 900 240,048
Navient Corp....................................... 40,506 547,236
Navigators Group, Inc. (The)....................... 9,617 672,613
Nelnet, Inc., Class A.............................. 16,900 981,045
# New York Community Bancorp, Inc.................... 202,535 2,355,482
(double right angle quote) NewStar Financial, Inc............................. 41,166 4,005
Northfield Bancorp, Inc............................ 2,300 34,500
Northrim BanCorp, Inc.............................. 5,734 203,500
OceanFirst Financial Corp.......................... 5,000 125,900
OFG Bancorp........................................ 33,091 667,776
Old National Bancorp............................... 104,940 1,792,375
Old Republic International Corp.................... 202,667 4,531,634
OneMain Holdings, Inc.............................. 35,824 1,216,941
Oppenheimer Holdings, Inc., Class A................ 3,097 81,296
* Pacific Mercantile Bancorp......................... 1,600 12,528
Pacific Premier Bancorp, Inc....................... 3,466 100,757
# PacWest Bancorp.................................... 86,481 3,420,324
Peoples Bancorp of North Carolina, Inc............. 275 7,692
Peoples Bancorp, Inc............................... 15,923 520,364
# People's United Financial, Inc..................... 271,525 4,694,667
# Pinnacle Financial Partners, Inc................... 27,914 1,620,966
PNC Financial Services Group, Inc. (The)........... 217,040 29,719,287
Popular, Inc....................................... 74,736 4,313,015
# * PRA Group, Inc..................................... 6,771 190,401
Premier Financial Bancorp, Inc..................... 9,004 149,286
Principal Financial Group, Inc..................... 218,754 12,503,979
ProAssurance Corp.................................. 7,584 284,628
# Prosperity Bancshares, Inc......................... 24,794 1,825,830
Protective Insurance Corp., Class A................ 300 5,127
Protective Insurance Corp., Class B................ 5,098 82,843
Provident Financial Holdings, Inc.................. 544 11,016
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
Provident Financial Services, Inc.................. 71,759 $ 1,903,049
Prudential Bancorp, Inc............................ 1,222 21,336
Prudential Financial, Inc.......................... 497,625 52,603,939
Radian Group, Inc.................................. 166,814 3,906,784
Regions Financial Corp............................. 1,302,555 20,228,679
Reinsurance Group of America, Inc.................. 153,566 23,266,785
RenaissanceRe Holdings, Ltd........................ 28,067 4,360,489
Renasant Corp...................................... 43,702 1,584,635
Riverview Bancorp, Inc............................. 1,682 12,480
Safety Insurance Group, Inc........................ 26,197 2,434,225
Salisbury Bancorp, Inc............................. 300 11,658
Sandy Spring Bancorp, Inc.......................... 9,725 339,305
Santander Consumer USA Holdings, Inc............... 44,613 952,488
SB Financial Group, Inc............................ 1,128 20,642
* Select Bancorp, Inc................................ 1,500 18,420
# Selective Insurance Group, Inc..................... 45,200 3,223,212
Severn Bancorp, Inc................................ 1,399 12,955
SI Financial Group, Inc............................ 5,661 81,066
Signature Bank..................................... 16,713 2,207,286
Simmons First National Corp., Class A.............. 30,801 782,037
South State Corp................................... 12,602 953,467
Southern National Bancorp of Virginia, Inc......... 193 2,880
# State Auto Financial Corp.......................... 15,100 507,813
Sterling Bancorp................................... 146,531 3,138,694
Stewart Information Services Corp.................. 12,271 521,640
Stifel Financial Corp.............................. 64,900 3,872,583
SunTrust Banks, Inc................................ 255,532 16,732,235
Synchrony Financial................................ 544,549 18,879,514
Synovus Financial Corp............................. 143,545 5,291,069
TCF Financial Corp................................. 13,100 289,903
Territorial Bancorp, Inc........................... 823 23,826
* Texas Capital Bancshares, Inc...................... 22,592 1,462,380
Timberland Bancorp, Inc............................ 2,500 78,000
Tiptree, Inc....................................... 37,071 211,305
Towne Bank......................................... 4,757 124,063
Travelers Cos., Inc. (The)......................... 160,554 23,079,637
TriCo Bancshares................................... 854 34,083
# Trustmark Corp..................................... 68,702 2,470,524
Two River Bancorp.................................. 700 10,661
UMB Financial Corp................................. 6,961 486,295
Umpqua Holdings Corp............................... 123,467 2,143,387
Union Bankshares Corp.............................. 80,146 2,925,329
# United Bankshares, Inc............................. 31,427 1,233,195
# United Community Banks, Inc........................ 7,372 207,006
United Financial Bancorp, Inc...................... 9,993 131,808
# United Fire Group, Inc............................. 24,429 1,065,349
Unity Bancorp, Inc................................. 3,592 77,587
Univest Financial Corp............................. 2,256 56,896
Unum Group......................................... 517,445 19,104,069
# Valley National Bancorp............................ 158,654 1,662,694
Voya Financial, Inc................................ 75,644 4,152,099
Washington Federal, Inc............................ 97,887 3,243,975
Waterstone Financial, Inc.......................... 1,426 23,615
Wells Fargo & Co................................... 2,670,867 129,296,671
WesBanco, Inc...................................... 34,796 1,402,975
Western New England Bancorp, Inc................... 13,698 132,323
White Mountains Insurance Group, Ltd............... 1,572 1,476,171
Wintrust Financial Corp............................ 46,681 3,557,092
WSFS Financial Corp................................ 7,013 302,821
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
FINANCIALS -- (Continued)
# Zions Bancorp NA................................... 111,484 $ 5,499,506
--------------
TOTAL FINANCIALS........................................ 1,578,496,595
--------------
HEALTH CARE -- (12.8%)
Abbott Laboratories................................ 915,297 72,821,029
# * Acadia Healthcare Co., Inc......................... 100,556 3,219,803
* Acorda Therapeutics, Inc........................... 6,700 70,015
* Addus HomeCare Corp................................ 2,044 138,788
Allergan P.L.C..................................... 107,990 15,874,530
* Allscripts Healthcare Solutions, Inc............... 195,584 1,930,414
* AMN Healthcare Services, Inc....................... 3,400 177,004
* AngioDynamics, Inc................................. 14,354 294,831
# * Anika Therapeutics, Inc............................ 14,671 467,271
Anthem, Inc........................................ 504,640 132,735,459
# * Avanos Medical, Inc................................ 32,638 1,369,164
Becton Dickinson and Co............................ 300 72,222
* Bio-Rad Laboratories, Inc., Class A................ 10,603 3,190,761
# * Bluebird Bio, Inc.................................. 7,100 1,006,993
* Brookdale Senior Living, Inc....................... 208,725 1,289,921
* Cambrex Corp....................................... 2,300 98,946
* Catalent, Inc...................................... 59,241 2,655,182
* Centene Corp....................................... 40,272 2,076,424
* Cigna Corp......................................... 256,808 40,791,383
# * Concert Pharmaceuticals, Inc....................... 5,383 55,337
CONMED Corp........................................ 43,239 3,460,417
Cooper Cos., Inc. (The)............................ 13,956 4,046,124
* Cross Country Healthcare, Inc...................... 33,795 238,255
* CryoLife, Inc...................................... 17,502 536,611
# * Cumberland Pharmaceuticals, Inc.................... 23,319 130,586
CVS Health Corp.................................... 1,510,745 82,154,313
Danaher Corp....................................... 405,225 53,667,999
* DaVita, Inc........................................ 73,290 4,048,540
DENTSPLY SIRONA, Inc............................... 73,992 3,783,211
Digirad Corp....................................... 26,711 19,291
# * Diplomat Pharmacy, Inc............................. 34,200 190,836
* Emergent BioSolutions, Inc......................... 32,483 1,678,721
# * Endo International P.L.C........................... 14,700 110,250
# * Enzo Biochem, Inc.................................. 6,287 21,816
* FONAR Corp......................................... 1,460 28,966
* Harvard Bioscience, Inc............................ 16,180 62,617
* HMS Holdings Corp.................................. 6,400 194,752
Humana, Inc........................................ 198,071 50,589,314
* Integer Holdings Corp.............................. 41,672 2,879,119
# * Integra LifeSciences Holdings Corp................. 15,398 803,622
# * IntriCon Corp...................................... 2,835 66,254
# Invacare Corp...................................... 7,330 54,242
* Jazz Pharmaceuticals P.L.C......................... 47,244 6,130,854
Kewaunee Scientific Corp........................... 1,631 36,926
* Laboratory Corp. of America Holdings............... 8,149 1,303,188
* LHC Group, Inc..................................... 30,318 3,368,633
* LivaNova P.L.C..................................... 11,849 816,278
Luminex Corp....................................... 1,400 31,934
* Magellan Health, Inc............................... 18,699 1,308,930
# * Mallinckrodt P.L.C................................. 95,700 1,479,522
McKesson Corp...................................... 70,069 8,355,728
* MEDNAX, Inc........................................ 81,102 2,268,423
# * Medpace Holdings, Inc.............................. 800 44,936
Medtronic P.L.C.................................... 814,175 72,306,882
* Merit Medical Systems, Inc......................... 37,630 2,114,053
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
HEALTH CARE -- (Continued)
* Molina Healthcare, Inc............................. 18,941 $ 2,455,322
* Mylan NV........................................... 28,680 774,073
# * Myriad Genetics, Inc............................... 79,816 2,512,608
National HealthCare Corp........................... 6,880 518,958
* Natus Medical, Inc................................. 16,198 433,458
* Nektar Therapeutics................................ 71,298 2,282,962
* NuVasive, Inc...................................... 4,355 263,913
* Nuvectra Corp...................................... 10,668 100,706
* Omnicell, Inc...................................... 35,405 2,845,146
# Patterson Cos., Inc................................ 9,386 204,990
# PerkinElmer, Inc................................... 76,500 7,331,760
# Perrigo Co. P.L.C.................................. 52,470 2,514,362
Pfizer, Inc........................................ 3,696,959 150,133,505
# * Premier, Inc., Class A............................. 22,964 763,094
# * Prestige Consumer Healthcare, Inc.................. 111,489 3,280,006
* Providence Service Corp. (The)..................... 10,198 676,433
Quest Diagnostics, Inc............................. 10,366 999,075
* RTI Surgical Holdings, Inc......................... 65,316 353,360
* Select Medical Holdings Corp....................... 124,004 1,781,938
* STERIS P.L.C....................................... 200 26,196
* Surmodics, Inc..................................... 5,593 242,960
# * Syneos Health, Inc................................. 45,089 2,116,027
Taro Pharmaceutical Industries, Ltd................ 3,078 330,608
Teleflex, Inc...................................... 23,829 6,819,383
Thermo Fisher Scientific, Inc...................... 435,609 120,859,717
* Triple-S Management Corp., Class B................. 20,684 469,940
* United Therapeutics Corp........................... 28,639 2,937,502
UnitedHealth Group, Inc............................ 89,716 20,910,108
* Varex Imaging Corp................................. 8,098 265,938
* WellCare Health Plans, Inc......................... 18,375 4,747,181
Zimmer Biomet Holdings, Inc........................ 9,322 1,148,098
------------
TOTAL HEALTH CARE....................................... 929,766,947
------------
INDUSTRIALS -- (12.6%)
AAR Corp........................................... 34,206 1,155,137
ABM Industries, Inc................................ 68,700 2,608,539
Acme United Corp................................... 1,030 21,290
Acuity Brands, Inc................................. 38,626 5,652,143
* Advanced Disposal Services, Inc.................... 9,007 291,286
* AECOM.............................................. 103,979 3,524,888
* Aegion Corp........................................ 38,330 763,150
# * Aerovironment, Inc................................. 35,065 2,404,056
AGCO Corp.......................................... 73,273 5,186,263
Air Lease Corp..................................... 68,285 2,633,070
* Air Transport Services Group, Inc.................. 28,808 677,852
Alamo Group, Inc................................... 22,751 2,357,914
Alaska Air Group, Inc.............................. 111,562 6,905,688
Albany International Corp., Class A................ 20,551 1,520,157
Allegiant Travel Co................................ 4,497 660,519
Altra Industrial Motion Corp....................... 7,900 296,171
AMERCO............................................. 29,431 10,982,766
* Ameresco, Inc., Class A............................ 981 14,774
# * American Woodmark Corp............................. 16,604 1,493,198
Apogee Enterprises, Inc............................ 36,374 1,465,872
Applied Industrial Technologies, Inc............... 9,258 554,925
* ARC Document Solutions, Inc........................ 20,800 49,504
# ArcBest Corp....................................... 12,135 370,846
Arconic, Inc....................................... 257,834 5,538,274
Arcosa, Inc........................................ 61,271 1,907,366
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
INDUSTRIALS -- (Continued)
Argan, Inc......................................... 16,121 $ 770,906
* Armstrong Flooring, Inc............................ 22,983 333,024
* ASGN, Inc.......................................... 54,618 3,443,119
Astec Industries, Inc.............................. 22,925 772,802
# * Atlas Air Worldwide Holdings, Inc.................. 29,094 1,404,949
AZZ, Inc........................................... 18,300 869,067
Barnes Group, Inc.................................. 49,500 2,753,190
# * Beacon Roofing Supply, Inc......................... 31,699 1,193,784
* BMC Stock Holdings, Inc............................ 3,700 76,146
Brady Corp., Class A............................... 38,500 1,878,415
Briggs & Stratton Corp............................. 48,233 588,443
* Builders FirstSource, Inc.......................... 28,442 391,931
* CAI International, Inc............................. 17,082 424,146
Carlisle Cos., Inc................................. 46,423 6,565,141
* Casella Waste Systems, Inc., Class A............... 5,201 194,101
* CBIZ, Inc.......................................... 39,049 754,036
# * CECO Environmental Corp............................ 3,773 29,278
# * Chart Industries, Inc.............................. 19,320 1,705,376
Chicago Rivet & Machine Co......................... 700 19,950
# * CIRCOR International, Inc.......................... 9,719 327,725
* Clean Harbors, Inc................................. 37,124 2,821,424
# * Colfax Corp........................................ 5,146 155,255
Columbus McKinnon Corp............................. 17,542 690,453
Comfort Systems USA, Inc........................... 44,560 2,410,696
* Commercial Vehicle Group, Inc...................... 31,533 281,274
CompX International, Inc........................... 500 7,785
Copa Holdings SA, Class A.......................... 33,488 2,788,211
* Covenant Transportation Group, Inc., Class A....... 7,080 138,272
CRA International, Inc............................. 7,613 396,485
Crane Co........................................... 30,510 2,594,876
* CSW Industrials, Inc............................... 300 17,985
CSX Corp........................................... 1,055,544 84,052,969
# Cubic Corp......................................... 31,381 1,781,813
Curtiss-Wright Corp................................ 46,353 5,281,461
Delta Air Lines, Inc............................... 433,135 25,247,439
Deluxe Corp........................................ 14,427 645,175
Douglas Dynamics, Inc.............................. 30,234 1,141,636
* Ducommun, Inc...................................... 12,645 513,134
* DXP Enterprises, Inc............................... 702 30,109
* Dycom Industries, Inc.............................. 7,110 352,585
Eastern Co. (The).................................. 10,193 292,131
Eaton Corp. P.L.C.................................. 265,270 21,969,661
# * Echo Global Logistics, Inc......................... 23,380 536,337
EMCOR Group, Inc................................... 60,471 5,088,030
Encore Wire Corp................................... 19,966 1,183,784
EnerSys............................................ 44,739 3,095,491
# Ennis, Inc......................................... 30,835 622,250
EnPro Industries, Inc.............................. 8,338 619,680
ESCO Technologies, Inc............................. 29,848 2,238,600
Espey Manufacturing & Electronics Corp............. 1,671 41,679
Federal Signal Corp................................ 71,923 2,069,225
FedEx Corp......................................... 127,314 24,120,910
Flowserve Corp..................................... 52,147 2,556,767
Fluor Corp......................................... 127,801 5,077,534
Fortune Brands Home & Security, Inc................ 124,852 6,589,689
Forward Air Corp................................... 2,900 183,628
* Franklin Covey Co.................................. 3,046 86,841
Franklin Electric Co., Inc......................... 19,958 975,148
# * FreightCar America, Inc............................ 4,692 32,469
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
INDUSTRIALS -- (Continued)
* FTI Consulting, Inc................................ 43,936 $ 3,733,681
* Gardner Denver Holdings, Inc....................... 65,747 2,218,961
# GATX Corp.......................................... 65,445 5,047,773
* Gencor Industries, Inc............................. 13,149 158,708
General Electric Co................................ 1,864,734 18,964,345
# * Genesee & Wyoming, Inc., Class A................... 31,608 2,802,049
# * Gibraltar Industries, Inc.......................... 34,903 1,384,602
# * Goldfield Corp. (The).............................. 4,304 10,071
Gorman-Rupp Co. (The).............................. 22,062 734,665
* GP Strategies Corp................................. 18,583 236,562
Granite Construction, Inc.......................... 43,417 1,948,989
* Great Lakes Dredge & Dock Corp..................... 69,820 714,259
# Greenbrier Cos., Inc. (The)........................ 22,451 797,684
Griffon Corp....................................... 40,152 787,782
# Hawaiian Holdings, Inc............................. 30,922 872,310
Heartland Express, Inc............................. 4,300 84,624
Heidrick & Struggles International, Inc............ 18,634 666,725
* Herc Holdings, Inc................................. 1,679 80,861
* Heritage-Crystal Clean, Inc........................ 7,165 205,850
Herman Miller, Inc................................. 22,986 892,317
# * Hertz Global Holdings, Inc......................... 55,682 1,012,299
* Hub Group, Inc., Class A........................... 1,027 42,692
Hubbell, Inc....................................... 17,724 2,261,582
Hurco Cos., Inc.................................... 7,910 311,100
* Huron Consulting Group, Inc........................ 25,901 1,251,795
Hyster-Yale Materials Handling, Inc................ 12,246 815,829
ICF International, Inc............................. 31,660 2,465,364
Ingersoll-Rand P.L.C............................... 213,109 26,129,294
* InnerWorkings, Inc................................. 66,086 223,371
Insteel Industries, Inc............................ 17,578 368,083
Interface, Inc..................................... 1,000 16,040
ITT, Inc........................................... 61,900 3,748,045
# * JELD-WEN Holding, Inc.............................. 1,631 32,212
* JetBlue Airways Corp............................... 324,893 6,026,765
Johnson Controls International P.L.C............... 151,178 5,669,175
Kadant, Inc........................................ 12,486 1,224,752
Kaman Corp......................................... 19,988 1,237,457
KAR Auction Services, Inc.......................... 18,100 1,022,288
Kennametal, Inc.................................... 45,944 1,869,921
# * KeyW Holding Corp. (The)........................... 1,900 21,546
Kimball International, Inc., Class B............... 35,232 551,733
# * Kirby Corp......................................... 41,400 3,383,208
# Knight-Swift Transportation Holdings, Inc.......... 75,682 2,523,995
Knoll, Inc......................................... 4,200 91,728
Korn Ferry......................................... 61,810 2,906,306
# * Kratos Defense & Security Solutions, Inc........... 2,711 43,051
L3 Technologies, Inc............................... 100,470 21,960,733
* Lawson Products, Inc............................... 8,847 290,535
* LB Foster Co., Class A............................. 6,682 143,596
# LSC Communications, Inc............................ 5,700 39,843
LSI Industries, Inc................................ 15,841 53,859
* Lydall, Inc........................................ 15,105 371,734
# Macquarie Infrastructure Corp...................... 15,762 638,519
ManpowerGroup, Inc................................. 55,042 5,286,234
Marten Transport, Ltd.............................. 79,636 1,575,200
* Masonite International Corp........................ 25,806 1,328,751
# * MasTec, Inc........................................ 63,539 3,218,250
Matson, Inc........................................ 62,316 2,468,337
Matthews International Corp., Class A.............. 23,287 932,877
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
INDUSTRIALS -- (Continued)
McGrath RentCorp................................... 17,552 $ 1,088,224
* Mercury Systems, Inc............................... 2,055 150,056
* Milacron Holdings Corp............................. 37,800 552,258
Miller Industries, Inc............................. 20,099 664,875
* Mistras Group, Inc................................. 13,780 188,924
Mobile Mini, Inc................................... 54,461 1,961,685
Moog, Inc., Class A................................ 35,839 3,355,964
* MRC Global, Inc.................................... 97,164 1,683,852
MSC Industrial Direct Co., Inc., Class A........... 19,497 1,630,924
Mueller Industries, Inc............................ 62,512 1,823,475
Mueller Water Products, Inc., Class A.............. 51,307 550,524
Multi-Color Corp................................... 8,908 444,509
* MYR Group, Inc..................................... 19,582 707,889
# National Presto Industries, Inc.................... 5,471 582,662
Navigant Consulting, Inc........................... 12,297 280,741
Nielsen Holdings P.L.C............................. 91,660 2,340,080
* NL Industries, Inc................................. 100 355
# NN, Inc............................................ 18,396 166,300
Norfolk Southern Corp.............................. 545,229 111,237,621
* Northwest Pipe Co.................................. 5,286 126,705
* NOW, Inc........................................... 6,649 97,208
nVent Electric P.L.C............................... 121,834 3,405,260
Oshkosh Corp....................................... 75,138 6,205,647
Owens Corning...................................... 149,300 7,654,611
PACCAR, Inc........................................ 68,144 4,883,880
* PAM Transportation Services, Inc................... 6,449 322,579
Park-Ohio Holdings Corp............................ 2,542 93,113
Pentair P.L.C...................................... 77,072 3,005,037
* Perma-Pipe International Holdings, Inc............. 8,900 79,744
* PGT Innovations, Inc............................... 9,700 142,202
Powell Industries, Inc............................. 5,719 167,281
Primoris Services Corp............................. 34,000 745,280
# Quad/Graphics, Inc................................. 6,491 79,255
Quanex Building Products Corp...................... 30,731 513,822
Quanta Services, Inc............................... 168,307 6,833,264
* Radiant Logistics, Inc............................. 42,044 274,968
Raytheon Co........................................ 6,649 1,180,796
* RBC Bearings, Inc.................................. 1,191 163,822
# * RCM Technologies, Inc.............................. 15,245 60,828
Regal Beloit Corp.................................. 21,999 1,871,675
Republic Services, Inc............................. 429,755 35,592,309
* Resideo Technologies, Inc.......................... 13,214 299,958
Resources Connection, Inc.......................... 28,155 452,169
* Rexnord Corp....................................... 66,378 1,898,411
Rush Enterprises, Inc., Class A.................... 33,503 1,420,862
Rush Enterprises, Inc., Class B.................... 18,522 777,924
Ryder System, Inc.................................. 89,844 5,660,172
* Saia, Inc.......................................... 29,325 1,888,237
Schneider National, Inc., Class B.................. 7,900 165,110
# * Sensata Technologies Holding P.L.C................. 134,502 6,717,030
* SIFCO Industries, Inc.............................. 4,527 13,219
Simpson Manufacturing Co., Inc..................... 43,300 2,757,344
SkyWest, Inc....................................... 55,106 3,393,979
# Snap-on, Inc....................................... 42,568 7,163,343
Southwest Airlines Co.............................. 531,263 28,810,392
Spartan Motors, Inc................................ 16,820 156,426
* Spirit Airlines, Inc............................... 61,789 3,360,086
* SPX FLOW, Inc...................................... 20,567 739,178
Standex International Corp......................... 22,341 1,476,070
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
INDUSTRIALS -- (Continued)
Stanley Black & Decker, Inc........................ 129,900 $ 19,043,340
Steelcase, Inc., Class A........................... 100,669 1,740,567
# * Stericycle, Inc.................................... 65,134 3,803,174
* Sterling Construction Co., Inc..................... 29,900 405,444
# * Team, Inc.......................................... 6,674 112,791
Terex Corp......................................... 79,192 2,639,469
Tetra Tech, Inc.................................... 57,122 3,696,936
Textron, Inc....................................... 1,844 97,732
* Thermon Group Holdings, Inc........................ 4,300 110,897
Timken Co. (The)................................... 40,125 1,923,994
Titan International, Inc........................... 34,400 238,392
* Titan Machinery, Inc............................... 2,883 49,588
* Transcat, Inc...................................... 7,700 177,485
* TriMas Corp........................................ 7,200 222,696
# Trinity Industries, Inc............................ 120,734 2,603,025
Triton International, Ltd.......................... 27,753 914,461
# Triumph Group, Inc................................. 3,794 90,032
# * Tutor Perini Corp.................................. 40,944 817,652
* Twin Disc, Inc..................................... 6,900 130,686
* Ultralife Corp..................................... 3,309 38,219
UniFirst Corp...................................... 18,705 2,957,822
Union Pacific Corp................................. 563,195 99,708,043
* United Continental Holdings, Inc................... 114,796 10,200,773
United Technologies Corp........................... 210,708 30,049,068
* Univar, Inc........................................ 23,353 521,472
Universal Forest Products, Inc..................... 95,400 3,525,030
* USA Truck, Inc..................................... 7,482 106,544
Valmont Industries, Inc............................ 11,378 1,534,210
* Vectrus, Inc....................................... 10,469 424,518
* Veritiv Corp....................................... 9,937 277,143
Viad Corp.......................................... 23,193 1,421,963
Virco Manufacturing Corp........................... 12,601 57,335
VSE Corp........................................... 3,844 117,511
Wabash National Corp............................... 23,800 358,904
# Wabtec Corp........................................ 49,756 3,685,427
Watts Water Technologies, Inc., Class A............ 20,222 1,730,801
# Werner Enterprises, Inc............................ 51,539 1,726,557
* Wesco Aircraft Holdings, Inc....................... 16,656 140,577
* WESCO International, Inc........................... 50,840 2,910,082
* Willis Lease Finance Corp.......................... 6,713 333,770
Woodward, Inc...................................... 14,712 1,602,137
# * XPO Logistics, Inc................................. 99,105 6,747,068
------------
TOTAL INDUSTRIALS....................................... 917,214,434
------------
INFORMATION TECHNOLOGY -- (12.0%)
* ACI Worldwide, Inc................................. 49,250 1,749,360
* Advanced Energy Industries, Inc.................... 9,048 522,612
* Agilysys, Inc...................................... 14,791 282,952
* Alithya Group, Inc., Class A....................... 11,334 36,269
Alliance Data Systems Corp......................... 6,500 1,040,650
* Alpha & Omega Semiconductor, Ltd................... 20,661 256,196
Amdocs, Ltd........................................ 89,418 4,925,143
* Amkor Technology, Inc.............................. 1,400 12,684
Analog Devices, Inc................................ 33,465 3,889,972
* Anixter International, Inc......................... 17,801 1,119,149
* Arrow Electronics, Inc............................. 175,521 14,833,280
AstroNova, Inc..................................... 6,285 157,251
# * Avaya Holdings Corp................................ 4,570 87,196
Avnet, Inc......................................... 139,400 6,776,234
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
INFORMATION TECHNOLOGY -- (Continued)
AVX Corp........................................... 72,760 $ 1,186,716
* Aware, Inc......................................... 14,326 47,419
* Axcelis Technologies, Inc.......................... 2,533 53,928
# * AXT, Inc........................................... 24,921 142,050
Bel Fuse, Inc., Class A............................ 3,574 73,624
Bel Fuse, Inc., Class B............................ 11,381 269,730
# Belden, Inc........................................ 11,711 650,546
Benchmark Electronics, Inc......................... 62,063 1,677,563
Brooks Automation, Inc............................. 50,847 1,907,271
Cabot Microelectronics Corp........................ 11,686 1,475,357
* CACI International, Inc., Class A.................. 27,304 5,322,642
* CalAmp Corp........................................ 1,700 24,837
* Calix, Inc......................................... 8,963 61,397
* Cardtronics P.L.C., Class A........................ 13,293 475,358
* CCUR Holdings, Inc................................. 11,740 39,094
* Ciena Corp......................................... 133,800 5,132,568
* Cirrus Logic, Inc.................................. 66,501 3,164,118
Cisco Systems, Inc................................. 4,221,011 236,165,565
# * Coherent, Inc...................................... 16,254 2,405,755
Cohu, Inc.......................................... 35,808 531,033
* CommScope Holding Co., Inc......................... 140,179 3,473,636
Comtech Telecommunications Corp.................... 15,569 366,339
* Conduent, Inc...................................... 152,408 1,955,395
* CoreLogic, Inc..................................... 96,545 3,920,692
Corning, Inc....................................... 785,955 25,032,667
* Cray, Inc.......................................... 7,670 201,414
# * Cree, Inc.......................................... 77,800 5,141,802
CSP, Inc........................................... 2,414 31,792
CTS Corp........................................... 66,936 2,004,733
* CyberOptics Corp................................... 3,281 58,205
Cypress Semiconductor Corp......................... 271,878 4,670,864
Daktronics, Inc.................................... 44,000 333,520
* Dell Technologies, Class C......................... 24,705 1,665,364
* Digi International, Inc............................ 25,438 327,387
* Diodes, Inc........................................ 46,270 1,685,153
Dolby Laboratories, Inc., Class A.................. 26,154 1,691,902
* DSP Group, Inc..................................... 46,713 667,529
DXC Technology Co.................................. 228,936 15,050,253
* EchoStar Corp., Class A............................ 27,151 1,081,967
# * Electronics for Imaging, Inc....................... 58,110 2,161,111
* EMCORE Corp........................................ 744 2,916
* ePlus, Inc......................................... 17,490 1,649,132
* Fabrinet........................................... 41,355 2,502,805
* FARO Technologies, Inc............................. 20,000 1,125,000
Fidelity National Information Services, Inc........ 198,899 23,058,361
* Finisar Corp....................................... 66,449 1,602,085
# * First Solar, Inc................................... 32,183 1,980,220
* Flex, Ltd.......................................... 460,795 5,087,177
FLIR Systems, Inc.................................. 78,882 4,176,013
* FormFactor, Inc.................................... 83,395 1,580,335
* Frequency Electronics, Inc......................... 7,390 89,049
* GSI Technology, Inc................................ 2,491 20,252
* Harmonic, Inc...................................... 40,417 228,760
Hewlett Packard Enterprise Co...................... 894,616 14,143,879
# * II-VI, Inc......................................... 68,240 2,718,682
* Insight Enterprises, Inc........................... 42,100 2,382,018
Intel Corp......................................... 4,943,498 252,316,138
InterDigital, Inc.................................. 29,183 1,908,276
# * Itron, Inc......................................... 25,301 1,357,652
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
INFORMATION TECHNOLOGY -- (Continued)
Jabil, Inc......................................... 156,633 $ 4,731,883
Juniper Networks, Inc.............................. 212,100 5,890,017
KBR, Inc........................................... 60,314 1,340,177
KEMET Corp......................................... 54,623 976,113
* Key Tronic Corp.................................... 17,623 97,808
* Kimball Electronics, Inc........................... 23,443 354,693
* Knowles Corp....................................... 13,114 247,592
Kulicke & Soffa Industries, Inc.................... 74,988 1,744,971
* KVH Industries, Inc................................ 13,696 134,221
* Lattice Semiconductor Corp......................... 35,397 458,391
* Limelight Networks, Inc............................ 63,304 188,013
# Littelfuse, Inc.................................... 16,707 3,358,942
# * LiveRamp Holdings, Inc............................. 48,169 2,809,698
LogMeIn, Inc....................................... 28,536 2,351,366
# * Lumentum Holdings, Inc............................. 51,495 3,191,145
ManTech International Corp., Class A............... 2,048 126,955
Marvell Technology Group, Ltd...................... 166,418 4,163,778
Methode Electronics, Inc........................... 72,016 2,125,192
* Micron Technology, Inc............................. 842,584 35,439,083
* MicroStrategy, Inc., Class A....................... 900 134,730
MKS Instruments, Inc............................... 62,405 5,679,479
Monotype Imaging Holdings, Inc..................... 1,400 24,136
MTS Systems Corp................................... 20,400 1,121,592
* Nanometrics, Inc................................... 4,900 145,971
* NETGEAR, Inc....................................... 34,428 1,068,301
* Netscout Systems, Inc.............................. 21,784 640,450
* Nuance Communications, Inc......................... 195,900 3,296,997
* ON Semiconductor Corp.............................. 364,015 8,394,186
* Optical Cable Corp................................. 10,474 51,008
* OSI Systems, Inc................................... 19,200 1,730,496
# * PAR Technology Corp................................ 10,048 238,238
Park Electrochemical Corp.......................... 830 13,653
PC Connection, Inc................................. 35,467 1,317,954
* PCM, Inc........................................... 10,471 288,895
* Perceptron, Inc.................................... 1,300 9,464
* Perficient, Inc.................................... 28,300 833,152
Perspecta, Inc..................................... 114,468 2,641,921
* Photronics, Inc.................................... 79,712 744,510
Plantronics, Inc................................... 2,093 107,748
* Plexus Corp........................................ 35,152 2,115,447
* Qorvo, Inc......................................... 81,235 6,142,178
* Rambus, Inc........................................ 9,315 106,750
* Ribbon Communications, Inc......................... 6,622 35,494
Richardson Electronics, Ltd........................ 15,464 90,464
* Rogers Corp........................................ 16,943 2,838,291
* Rudolph Technologies, Inc.......................... 26,797 648,219
* Sanmina Corp....................................... 39,846 1,351,576
* ScanSource, Inc.................................... 21,541 811,019
Science Applications International Corp............ 29,884 2,239,806
* Silicon Laboratories, Inc.......................... 4,106 442,052
SS&C Technologies Holdings, Inc.................... 51,586 3,490,309
* Sykes Enterprises, Inc............................. 21,292 590,853
# * Synaptics, Inc..................................... 38,700 1,457,829
SYNNEX Corp........................................ 55,899 6,030,384
TE Connectivity, Ltd............................... 197,255 18,867,441
* Tech Data Corp..................................... 81,325 8,670,058
TESSCO Technologies, Inc........................... 8,689 161,094
TiVo Corp.......................................... 19,000 178,030
# * TTM Technologies, Inc.............................. 72,684 962,336
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
INFORMATION TECHNOLOGY -- (Continued)
# * Ultra Clean Holdings, Inc.......................... 24,282 $ 290,656
* Veeco Instruments, Inc............................. 15,978 194,612
* Verint Systems, Inc................................ 44,826 2,707,042
# * ViaSat, Inc........................................ 38,556 3,501,656
* Viavi Solutions, Inc............................... 16,203 215,500
* Virtusa Corp....................................... 30,064 1,670,055
# Vishay Intertechnology, Inc........................ 151,731 3,005,791
* Vishay Precision Group, Inc........................ 16,480 624,098
Western Digital Corp............................... 215,907 11,037,166
Xerox Corp......................................... 219,074 7,308,309
Xperi Corp......................................... 54,435 1,352,710
------------
TOTAL INFORMATION TECHNOLOGY............................ 873,296,138
------------
MATERIALS -- (2.2%)
* AdvanSix, Inc...................................... 19,500 589,485
# Albemarle Corp..................................... 90,957 6,827,232
* Alcoa Corp......................................... 187,747 5,009,090
# * Allegheny Technologies, Inc........................ 66,897 1,667,073
Ashland Global Holdings, Inc....................... 112,560 9,064,457
# Bemis Co., Inc..................................... 41,892 2,405,439
Boise Cascade Co................................... 43,464 1,203,518
Cabot Corp......................................... 52,535 2,384,038
Carpenter Technology Corp.......................... 52,999 2,632,460
# * Century Aluminum Co................................ 15,822 133,063
* Clearwater Paper Corp.............................. 16,822 339,300
# * Coeur Mining, Inc.................................. 13,910 50,215
# Commercial Metals Co............................... 75,297 1,301,885
# Compass Minerals International, Inc................ 3,272 187,780
Core Molding Technologies, Inc..................... 11,847 96,198
Domtar Corp........................................ 46,407 2,269,302
* Dow, Inc........................................... 16,162 916,870
DowDuPont, Inc..................................... 48,488 1,864,364
Eagle Materials, Inc............................... 29,539 2,685,390
Element Solutions, Inc............................. 90,367 981,386
Freeport-McMoRan, Inc.............................. 24,064 296,228
Friedman Industries, Inc........................... 3,048 22,403
FutureFuel Corp.................................... 6,104 89,668
Gold Resource Corp................................. 4,500 16,470
# Graphic Packaging Holding Co....................... 226,842 3,148,567
Greif, Inc., Class A............................... 21,053 832,015
Greif, Inc., Class B............................... 400 19,460
Hawkins, Inc....................................... 10,809 398,960
Haynes International, Inc.......................... 10,047 324,619
HB Fuller Co....................................... 57,208 2,801,476
# Hecla Mining Co.................................... 374,063 785,532
Huntsman Corp...................................... 173,276 3,853,658
Innophos Holdings, Inc............................. 22,786 733,481
Innospec, Inc...................................... 16,733 1,419,293
Kaiser Aluminum Corp............................... 27,181 2,674,610
* Kraton Corp........................................ 18,082 593,451
# Kronos Worldwide, Inc.............................. 2,217 30,151
Louisiana-Pacific Corp............................. 173,457 4,345,098
* LSB Industries, Inc................................ 1,758 10,284
# Martin Marietta Materials, Inc..................... 23,633 5,244,163
Materion Corp...................................... 18,497 1,073,381
Mercer International, Inc.......................... 21,725 307,626
Minerals Technologies, Inc......................... 34,280 2,151,756
Neenah, Inc........................................ 7,684 521,359
Newmont Goldcorp Corp.............................. 141,468 4,393,996
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
MATERIALS -- (Continued)
Northern Technologies International Corp........... 3,035 $ 80,367
Nucor Corp......................................... 103,401 5,901,095
Olin Corp.......................................... 186,712 4,049,783
Olympic Steel, Inc................................. 9,986 161,973
Owens-Illinois, Inc................................ 27,200 537,472
PH Glatfelter Co................................... 43,300 683,274
* PQ Group Holdings, Inc............................. 2,829 44,726
# Rayonier Advanced Materials, Inc................... 4,094 60,755
Reliance Steel & Aluminum Co....................... 93,801 8,625,940
# Royal Gold, Inc.................................... 44,209 3,848,836
Schnitzer Steel Industries, Inc., Class A.......... 400 9,488
Schweitzer-Mauduit International, Inc.............. 30,600 1,088,442
# Sensient Technologies Corp......................... 38,101 2,671,642
Silgan Holdings, Inc............................... 5,100 152,694
Sonoco Products Co................................. 74,973 4,727,797
Steel Dynamics, Inc................................ 209,601 6,640,160
Stepan Co.......................................... 22,152 2,049,946
# * Summit Materials, Inc., Class A.................... 26,298 460,741
* SunCoke Energy, Inc................................ 62,210 535,628
Synalloy Corp...................................... 949 16,750
# * TimkenSteel Corp................................... 36,857 373,730
* Trecora Resources.................................. 10,776 100,756
Tredegar Corp...................................... 26,545 478,341
Trinseo SA......................................... 33,242 1,494,228
* Tronox Holdings P.L.C., Class A.................... 82,313 1,163,906
* UFP Technologies, Inc.............................. 339 12,340
United States Lime & Minerals, Inc................. 2,500 202,300
# United States Steel Corp........................... 168,857 2,634,169
* Universal Stainless & Alloy Products, Inc.......... 6,269 90,211
# * US Concrete, Inc................................... 1,500 70,695
# Valvoline, Inc..................................... 204,538 3,783,953
* Verso Corp., Class A............................... 2,361 52,697
Vulcan Materials Co................................ 58,246 7,345,403
Westlake Chemical Corp............................. 158,152 11,031,102
WestRock Co........................................ 128,973 4,949,984
Worthington Industries, Inc........................ 47,589 1,909,747
------------
TOTAL MATERIALS......................................... 156,737,321
------------
REAL ESTATE -- (0.2%)
Alexander & Baldwin, Inc........................... 55,273 1,305,549
Griffin Industrial Realty, Inc..................... 1,500 54,765
# * Howard Hughes Corp. (The).......................... 27,339 3,034,629
Jones Lang LaSalle, Inc............................ 39,632 6,125,918
# Kennedy-Wilson Holdings, Inc....................... 96,704 2,083,004
Newmark Group, Inc., Class A....................... 14,983 127,655
* Rafael Holdings, Inc., Class B..................... 550 8,910
RE/MAX Holdings, Inc., Class A..................... 3,800 164,654
# * St Joe Co. (The)................................... 40,700 693,528
* Stratus Properties, Inc............................ 3,069 82,188
------------
TOTAL REAL ESTATE....................................... 13,680,800
------------
UTILITIES -- (0.1%)
MDU Resources Group, Inc........................... 125,647 3,285,669
New Jersey Resources Corp.......................... 71,117 3,561,539
NRG Energy, Inc.................................... 55,469 2,283,659
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
UTILITIES -- (Continued)
# Ormat Technologies, Inc............................ 21,034 $ 1,227,544
--------------
TOTAL UTILITIES.................................................................... 10,358,411
--------------
TOTAL COMMON STOCKS................................................................ 7,104,679,838
--------------
RIGHTS/WARRANTS -- (0.0%)
ENERGY -- (0.0%)
# * (double right angle quote) Parker Drilling Co. Warrents 09/16/24.............. 710 0
--------------
TOTAL INVESTMENT SECURITIES 7,104,679,838
--------------
TEMPORARY CASH INVESTMENTS -- (0.1%)
State Street Institutional U.S. Government Money
Market Fund 2.370%............................... 11,086,205 11,086,205
--------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@ (S) The DFA Short Term Investment Fund................. 14,329,949 165,811,845
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $4,155,453,522)................................ $7,281,577,888
==============
P.L.C.Public Limited Company
SA Special Assessment
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
(double right angle quote)Securities that have generally been fair value
factored. See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
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...... $ 892,862,097 -- -- $ 892,862,097
Consumer Discretionary...... 455,021,828 $ 988 -- 455,022,816
Consumer Staples............ 424,720,661 -- -- 424,720,661
Energy...................... 852,523,618 -- -- 852,523,618
Financials.................. 1,578,492,590 4,005 -- 1,578,496,595
Health Care................. 929,766,947 -- -- 929,766,947
Industrials................. 917,214,434 -- -- 917,214,434
Information Technology...... 873,296,138 -- -- 873,296,138
Materials................... 156,737,321 -- -- 156,737,321
Real Estate................. 13,680,800 -- -- 13,680,800
Utilities................... 10,358,411 -- -- 10,358,411
Temporary Cash Investments..... 11,086,205 -- -- 11,086,205
Securities Lending Collateral.. -- 165,811,845 -- 165,811,845
-------------- ------------ -- --------------
TOTAL.......................... $7,115,761,050 $165,816,838 -- $7,281,577,888
============== ============ == ==============
See accompanying Notes to Financial Statements.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls and
procedures as of a date within 90 days of the filing date of this Form
N-CSR (the "Report"), the Registrant's Co-Principal Executive Officers
and Principal Financial Officer believe that the disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940, as amended) are effectively designed to ensure
that information required to be disclosed by the Registrant in the
Report is recorded, processed, summarized and reported by the filing
date, including ensuring that information required to be disclosed in
the Report is accumulated and communicated to the Registrant's
officers that are making certifications in the Report, as appropriate,
to allow timely decisions regarding required disclosure. The
Registrant's management, including the Co-Principal Executive Officers
and the Principal Financial Officer, recognizes that any set of
controls and procedures, no matter how well designed and operated, can
provide only reasonable assurance of achieving the desired control
objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Investment
Company Act of 1940, as amended) that occurred during the second
fiscal quarter of the period covered by this Report that have
materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 13. EXHIBITS.
(a)(1) This item is not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
The DFA Investment Trust Company
By: /s/ David P. Butler
------------------------------
David P. Butler
Co-Chief Executive Officer
Date: July 5, 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
The DFA Investment Trust Company
Date: July 5, 2019
By: /s/ Gerard K. O'Reilly
--------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
The DFA Investment Trust Company
Date: July 5, 2019
By: /s/ Gregory K. Hinkle
--------------------------------
Gregory K. Hinkle
Principal Financial Officer
The DFA Investment Trust Company
Date: July 5, 2019