================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-7440
-----------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
-----------------
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
-----------------
CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
DIMENSIONAL EMERGING MARKETS VALUE FUND,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: OCTOBER 31, 2019
================================================================================
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] Dimensional
Annual Report
YEAR ENDED: OCTOBER 31, 2019
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. / THE
DFA INVESTMENT TRUST COMPANY / DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO
INTERNATIONAL CORE EQUITY PORTFOLIO
GLOBAL SMALL COMPANY PORTFOLIO
INTERNATIONAL SMALL COMPANY PORTFOLIO
JAPANESE SMALL COMPANY PORTFOLIO
ASIA PACIFIC SMALL COMPANY PORTFOLIO
UNITED KINGDOM SMALL COMPANY PORTFOLIO
CONTINENTAL SMALL COMPANY PORTFOLIO
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
INTERNATIONAL VECTOR EQUITY PORTFOLIO
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
WORLD EX U.S. VALUE PORTFOLIO
WORLD EX U.S. TARGETED VALUE PORTFOLIO
WORLD EX U.S. CORE EQUITY PORTFOLIO
WORLD CORE EQUITY PORTFOLIO
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
EMERGING MARKETS PORTFOLIO
EMERGING MARKETS SMALL CAP PORTFOLIO
EMERGING MARKETS VALUE PORTFOLIO
EMERGING MARKETS CORE EQUITY PORTFOLIO
EMERGING MARKETS TARGETED VALUE PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES
THE JAPANESE SMALL COMPANY SERIES
THE ASIA PACIFIC SMALL COMPANY SERIES
THE UNITED KINGDOM SMALL COMPANY SERIES
THE CONTINENTAL SMALL COMPANY SERIES
THE CANADIAN SMALL COMPANY SERIES
THE EMERGING MARKETS SERIES
THE EMERGING MARKETS SMALL CAP SERIES
DIMENSIONAL EMERGING MARKETS VALUE FUND
--------------------------------------------------------------------------------
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.
[THIS PAGE INTENTIONALLY LEFT BLANK]
[LOGO] Dimensional
December 2019
Dear Fellow Shareholder,
Since our founding in 1981, sound investment solutions based on financial
science have been at the heart of Dimensional. We recognize that the assets you
entrust to our firm play an important role in your future.
With a 38-year track record, our investment strategies are guided by rigorous
academic research, deep convictions about the power of capital markets, and the
importance of information in security prices.
We aim to add value through implementation by using a systematic approach to
invest in securities with higher expected returns and implementing a robust
portfolio management process that seeks to increase returns and manage risk. We
apply flexible trading algorithms to minimize potential price impact.
We take pride in the many longstanding clients we have had the honor of working
with over the last four decades, and we continue to seek opportunities to raise
the bar both within our company and the industry.
On behalf of more than 1,400 employees at Dimensional aiming to serve you, we
thank you.
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]
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................. 1
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts...................................................... 3
Management's Discussion and Analysis.................................... 15
Disclosure of Fund Expenses............................................. 26
Disclosure of Portfolio Holdings........................................ 30
Schedules of Investments/Summary Schedules of Portfolio Holdings
Large Cap International Portfolio................................... 32
International Core Equity Portfolio................................. 36
Global Small Company Portfolio...................................... 41
International Small Company Portfolio............................... 42
Japanese Small Company Portfolio.................................... 43
Asia Pacific Small Company Portfolio................................ 44
United Kingdom Small Company Portfolio.............................. 45
Continental Small Company Portfolio................................. 46
DFA International Real Estate Securities Portfolio.................. 47
DFA Global Real Estate Securities Portfolio......................... 51
DFA International Small Cap Value Portfolio......................... 53
International Vector Equity Portfolio............................... 57
International High Relative Profitability Portfolio................. 61
World ex U.S. Value Portfolio....................................... 65
World ex U.S. Targeted Value Portfolio.............................. 66
World ex U.S. Core Equity Portfolio................................. 71
World Core Equity Portfolio......................................... 77
Selectively Hedged Global Equity Portfolio.......................... 78
Emerging Markets Portfolio.......................................... 80
Emerging Markets Small Cap Portfolio................................ 81
Emerging Markets Value Portfolio.................................... 82
Emerging Markets Core Equity Portfolio.............................. 83
Emerging Markets Targeted Value Portfolio........................... 88
Statements of Assets and Liabilities.................................... 92
Statements of Operations................................................ 98
Statements of Changes in Net Assets..................................... 104
Financial Highlights.................................................... 112
Notes to Financial Statements........................................... 125
Report of Independent Registered Public Accounting Firm................. 153
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts...................................................... 155
Management's Discussion and Analysis.................................... 156
Disclosure of Fund Expenses............................................. 158
Disclosure of Portfolio Holdings........................................ 160
Schedule of Investments
DFA International Value Portfolio................................... 161
Statement of Assets and Liabilities..................................... 162
Statement of Operations................................................. 163
Statements of Changes in Net Assets..................................... 164
Financial Highlights.................................................... 165
Notes to Financial Statements........................................... 167
Report of Independent Registered Public Accounting Firm................. 173
THE DFA INVESTMENT TRUST COMPANY
Performance Charts...................................................... 174
Management's Discussion and Analysis.................................... 178
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
Disclosure of Fund Expenses............................................. 182
Disclosure of Portfolio Holdings........................................ 184
Summary Schedules of Portfolio Holdings
The DFA International Value Series.................................. 186
The Japanese Small Company Series................................... 190
The Asia Pacific Small Company Series............................... 193
The United Kingdom Small Company Series............................. 195
The Continental Small Company Series................................ 198
The Canadian Small Company Series................................... 202
The Emerging Markets Series......................................... 205
The Emerging Markets Small Cap Series............................... 210
Statements of Assets and Liabilities.................................... 214
Statements of Operations................................................ 216
Statements of Changes in Net Assets..................................... 218
Financial Highlights.................................................... 221
Notes to Financial Statements........................................... 225
Report of Independent Registered Public Accounting Firm................. 238
DIMENSIONAL EMERGING MARKETS VALUE FUND
Performance Charts...................................................... 239
Management's Discussion and Analysis.................................... 240
Disclosure of Fund Expenses............................................. 242
Disclosure of Portfolio Holdings........................................ 244
Summary Schedule of Portfolio Holdings
Dimensional Emerging Markets Value Fund............................. 245
Statement of Assets and Liabilities..................................... 250
Statement of Operations................................................. 251
Statements of Changes in Net Assets..................................... 252
Financial Highlights.................................................... 253
Notes to Financial Statements........................................... 254
Report of Independent Registered Public Accounting Firm................. 263
FUND MANAGEMENT............................................................ 264
Board of Directors or Trustees Table.................................... 265
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................ 272
NOTICE TO SHAREHOLDERS..................................................... 273
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
ii
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DIMENSIONAL EMERGING MARKETS VALUE FUND
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
P.L.C. Public Limited Company
SA Special Assessment
REIT Real Estate Investment Trust
GDR Global Depositary Receipt
AUD Australian Dollars
CAD Canadian Dollars
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pounds
HKD Hong Kong Dollar
ILS Israeli New Shekel
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollars
SEK Swedish Krona
SGD Singapore Dollars
Investment Footnotes
(double right angle quote) Securities that have generally been fair value factored. See Note B to Financial Statements.
++ Calculated as a percentage of total net assets. Percentages shown parenthetically next to the
category headings have been calculated as a percentage of total investments. "Other
Securities" are those securities that are not among the top 50 holdings in unaffiliated issuers of
the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the
individual securities within this category may include Total or Partial Securities on Loan and/
or Non-Income Producing Securities.
# Total or Partial Securities on Loan.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
* Non-Income Producing Securities.
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
FINANCIAL HIGHLIGHTS
--------------------
** The Net Investment Income (Loss) per share and the ratio of Net Investment Income to Average Net
Assets includes the current year effect of an estimation related to a one time distribution from a real
estate investment trust. Net Investment Income (Loss) per share, Net Gain (Loss) per share and the
ratio of Net Investment Income to Average Net Assets would have been $0.39, $2.11 and 3.39%,
respectively had the current year effect of this estimation not been considered.
(A) Computed using average shares outstanding.
(B) Non-Annualized
(C) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its
Master Fund(s) and/or Underlying Fund(s).
(D) Annualized
(E) Because of commencement of operations and related preliminary transaction costs, these ratios are
not necessarily indicative of future ratios.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Large Cap International MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,372 10,247
12/31/2009 10,495 10,411
1/31/2010 9,952 9,923
2/28/2010 10,019 9,913
3/31/2010 10,650 10,551
4/30/2010 10,443 10,394
5/31/2010 9,304 9,247
6/30/2010 9,153 9,113
7/31/2010 10,098 9,955
8/31/2010 9,751 9,658
9/30/2010 10,710 10,584
10/31/2010 11,099 10,961
11/30/2010 10,613 10,497
12/31/2010 11,466 11,342
1/31/2011 11,725 11,586
2/28/2011 12,186 12,016
3/31/2011 11,906 11,775
4/30/2011 12,588 12,417
5/31/2011 12,230 12,049
6/30/2011 12,057 11,877
7/31/2011 11,810 11,681
8/31/2011 10,820 10,694
9/30/2011 9,629 9,620
10/31/2011 10,560 10,555
11/30/2011 10,295 10,067
12/31/2011 10,058 9,958
1/31/2012 10,665 10,495
2/29/2012 11,183 11,072
3/31/2012 11,163 10,990
4/30/2012 10,948 10,804
5/31/2012 9,737 9,572
6/30/2012 10,382 10,199
7/31/2012 10,412 10,326
8/31/2012 10,764 10,621
9/30/2012 11,085 10,943
10/31/2012 11,182 11,020
11/30/2012 11,408 11,252
12/31/2012 11,843 11,592
1/31/2013 12,323 12,162
2/28/2013 12,157 12,041
3/31/2013 12,323 12,136
4/30/2013 12,853 12,689
5/31/2013 12,514 12,405
6/30/2013 12,147 11,940
7/31/2013 12,816 12,575
8/31/2013 12,629 12,413
9/30/2013 13,521 13,291
10/31/2013 13,961 13,737
11/30/2013 14,036 13,821
12/31/2013 14,294 14,029
1/31/2014 13,655 13,463
2/28/2014 14,459 14,197
3/31/2014 14,418 14,134
4/30/2014 14,654 14,357
5/31/2014 14,858 14,579
6/30/2014 15,064 14,786
7/31/2014 14,715 14,522
8/31/2014 14,779 14,534
9/30/2014 14,150 13,937
10/31/2014 14,026 13,715
11/30/2014 14,065 13,884
12/31/2014 13,546 13,422
1/31/2015 13,546 13,375
2/28/2015 14,369 14,174
3/31/2015 14,117 13,937
4/30/2015 14,753 14,540
5/31/2015 14,700 14,414
6/30/2015 14,286 14,005
7/31/2015 14,399 14,227
8/31/2015 13,383 13,190
9/30/2015 12,757 12,524
10/31/2015 13,592 13,467
11/30/2015 13,465 13,252
12/31/2015 13,158 13,015
1/31/2016 12,432 12,119
2/29/2016 12,082 11,949
3/31/2016 12,925 12,761
4/30/2016 13,270 13,171
5/31/2016 13,195 13,022
6/30/2016 12,886 12,626
7/31/2016 13,427 13,248
8/31/2016 13,502 13,260
9/30/2016 13,684 13,421
10/31/2016 13,416 13,160
11/30/2016 13,230 12,949
12/31/2016 13,573 13,372
1/31/2017 14,065 13,770
2/28/2017 14,189 13,929
3/31/2017 14,584 14,283
4/30/2017 14,917 14,586
5/31/2017 15,390 15,073
6/30/2017 15,471 15,087
7/31/2017 15,921 15,536
8/31/2017 15,956 15,532
9/30/2017 16,345 15,935
10/31/2017 16,607 16,153
11/30/2017 16,748 16,316
12/31/2017 17,017 16,609
1/31/2018 17,856 17,383
2/28/2018 16,945 16,557
3/31/2018 16,848 16,271
4/30/2018 17,119 16,644
5/31/2018 16,855 16,329
6/30/2018 16,618 16,150
7/31/2018 17,058 16,546
8/31/2018 16,711 16,233
9/30/2018 16,849 16,360
10/31/2018 15,449 15,060
11/30/2018 15,470 15,047
12/31/2018 14,610 14,269
1/31/2019 15,706 15,287
2/28/2019 16,065 15,680
3/31/2019 16,142 15,760
4/30/2019 16,656 16,206 Past performance is not
5/31/2019 15,717 15,440 predictive of future
6/30/2019 16,671 16,357 performance.
7/31/2019 16,329 16,160
8/31/2019 16,009 15,763 The returns shown do not
9/30/2019 16,506 16,205 reflect the deduction of
10/31/2019 17,052 16,729 taxes that a shareholder
would pay on fund
distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------- MSCI data copyright MSCI
10.38% 3.98% 5.48% 2019, all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL CORE EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
International Core Equity MSCI World ex USA
Portfolio Index (net dividends)
------------------------- ----------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,266 10,247
12/31/2009 10,388 10,411
1/31/2010 9,948 9,923
2/28/2010 9,958 9,913
3/31/2010 10,701 10,551
4/30/2010 10,650 10,394
5/31/2010 9,398 9,247
6/30/2010 9,242 9,113
7/31/2010 10,219 9,955
8/31/2010 9,803 9,658
9/30/2010 10,851 10,584
10/31/2010 11,248 10,961
11/30/2010 10,799 10,497
12/31/2010 11,833 11,342
1/31/2011 12,138 11,586
2/28/2011 12,548 12,016
3/31/2011 12,328 11,775
4/30/2011 12,992 12,417
5/31/2011 12,591 12,049
6/30/2011 12,369 11,877
7/31/2011 12,091 11,681
8/31/2011 11,023 10,694
9/30/2011 9,738 9,620
10/31/2011 10,630 10,555
11/30/2011 10,308 10,067
12/31/2011 10,045 9,958
1/31/2012 10,782 10,495
2/29/2012 11,336 11,072
3/31/2012 11,335 10,990
4/30/2012 11,085 10,804
5/31/2012 9,759 9,572
6/30/2012 10,357 10,199
7/31/2012 10,346 10,326
8/31/2012 10,711 10,621
9/30/2012 11,091 10,943
10/31/2012 11,213 11,020
11/30/2012 11,402 11,252
12/31/2012 11,927 11,592
1/31/2013 12,442 12,162
2/28/2013 12,308 12,041
3/31/2013 12,456 12,136
4/30/2013 12,938 12,689
5/31/2013 12,647 12,405
6/30/2013 12,260 11,940
7/31/2013 13,022 12,575
8/31/2013 12,886 12,413
9/30/2013 13,872 13,291
10/31/2013 14,351 13,737
11/30/2013 14,420 13,821
12/31/2013 14,722 14,029
1/31/2014 14,228 13,463
2/28/2014 15,067 14,197
3/31/2014 15,035 14,134
4/30/2014 15,208 14,357
5/31/2014 15,370 14,579
6/30/2014 15,610 14,786
7/31/2014 15,189 14,522
8/31/2014 15,247 14,534
9/30/2014 14,484 13,937
10/31/2014 14,272 13,715
11/30/2014 14,237 13,884
12/31/2014 13,841 13,422
1/31/2015 13,794 13,375
2/28/2015 14,681 14,174
3/31/2015 14,412 13,937
4/30/2015 15,123 14,540
5/31/2015 15,146 14,414
6/30/2015 14,787 14,005
7/31/2015 14,799 14,227
8/31/2015 13,886 13,190
9/30/2015 13,284 12,524
10/31/2015 14,115 13,467
11/30/2015 14,055 13,252
12/31/2015 13,812 13,015
1/31/2016 12,963 12,119
2/29/2016 12,696 11,949
3/31/2016 13,687 12,761
4/30/2016 14,077 13,171
5/31/2016 14,028 13,022
6/30/2016 13,561 12,626
7/31/2016 14,252 13,248
8/31/2016 14,327 13,260
9/30/2016 14,604 13,421
10/31/2016 14,344 13,160
11/30/2016 14,171 12,949
12/31/2016 14,550 13,372
1/31/2017 15,136 13,770
2/28/2017 15,273 13,929
3/31/2017 15,645 14,283
4/30/2017 16,057 14,586
5/31/2017 16,507 15,073
6/30/2017 16,643 15,087
7/31/2017 17,237 15,536
8/31/2017 17,313 15,532
9/30/2017 17,796 15,935
10/31/2017 18,076 16,153
11/30/2017 18,228 16,316
12/31/2017 18,632 16,609
1/31/2018 19,567 17,383
2/28/2018 18,606 16,557
3/31/2018 18,452 16,271
4/30/2018 18,721 16,644
5/31/2018 18,439 16,329
6/30/2018 18,084 16,150
7/31/2018 18,447 16,546
8/31/2018 18,032 16,233
9/30/2018 18,129 16,360
10/31/2018 16,486 15,060
11/30/2018 16,382 15,047
12/31/2018 15,390 14,269
1/31/2019 16,626 15,287
2/28/2019 16,968 15,680
3/31/2019 16,939 15,760
4/30/2019 17,506 16,206
5/31/2019 16,372 15,440
6/30/2019 17,353 16,357
7/31/2019 16,979 16,160
8/31/2019 16,564 15,763 The returns shown do not
9/30/2019 17,119 16,205 reflect the deduction of
10/31/2019 17,751 16,729 taxes that a shareholder
would pay on fund
distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI
7.67% 4.46% 5.91% 2019, all rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL SMALL COMPANY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD SMALL CAP INDEX (NET DIVIDENDS)
JANUARY 18, 2017-OCTOBER 31, 2019
[CHART]
Global Small MSCI All Country World
Company Portfolio Small Cap Index (net dividends)
------------------ -------------------------------
1/18/2017 $10,000 $10,000
1/31/2017 10,100 10,072
2/28/2017 10,280 10,318
3/31/2017 10,400 10,415
4/30/2017 10,570 10,614
5/31/2017 10,550 10,682
6/30/2017 10,740 10,839
7/31/2017 10,970 11,100
8/31/2017 10,890 11,119
9/30/2017 11,380 11,508
10/31/2017 11,530 11,701
11/30/2017 11,770 11,951
12/31/2017 11,921 12,160
1/31/2018 12,360 12,622
2/28/2018 11,819 12,116
3/31/2018 11,839 12,103
4/30/2018 11,910 12,200
5/31/2018 12,155 12,459
6/30/2018 12,023 12,338
7/31/2018 12,227 12,488
8/31/2018 12,360 12,710
9/30/2018 12,125 12,506
10/31/2018 10,951 11,259
11/30/2018 11,033 11,381
12/31/2018 10,018 10,410
1/31/2019 10,947 11,430
2/28/2019 11,328 11,831
3/31/2019 11,132 11,774
4/30/2019 11,535 12,108
5/31/2019 10,658 11,336
6/30/2019 11,349 11,973 Past performance is not predictive
7/31/2019 11,287 12,016 of future performance.
8/31/2019 10,761 11,587
9/30/2019 11,101 11,824 The returns shown do not reflect
10/31/2019 11,421 12,164 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE SINCE fund shares.
TOTAL RETURN YEAR INCEPTION
------------------------------------------------------- MSCI data copyright MSCI 2019,
4.29% 4.89% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
International Small MSCI World ex USA Small Cap
Company Portfolio Index (net dividends)
--------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,136 10,078
12/31/2009 10,234 10,205
1/31/2010 10,076 10,071
2/28/2010 10,062 10,013
3/31/2010 10,780 10,758
4/30/2010 10,946 10,970
5/31/2010 9,650 9,652
6/30/2010 9,628 9,562
7/31/2010 10,508 10,382
8/31/2010 10,195 10,112
9/30/2010 11,316 11,259
10/31/2010 11,761 11,723
11/30/2010 11,433 11,416
12/31/2010 12,681 12,707
1/31/2011 12,836 12,773
2/28/2011 13,228 13,136
3/31/2011 13,207 13,124
4/30/2011 13,835 13,775
5/31/2011 13,451 13,394
6/30/2011 13,178 13,104
7/31/2011 13,051 13,032
8/31/2011 12,028 12,003
9/30/2011 10,606 10,625
10/31/2011 11,417 11,487
11/30/2011 11,057 10,910
12/31/2011 10,735 10,698
1/31/2012 11,650 11,582
2/29/2012 12,240 12,238
3/31/2012 12,287 12,156
4/30/2012 12,140 12,093
5/31/2012 10,727 10,672
6/30/2012 11,146 11,040
7/31/2012 11,115 11,126
8/31/2012 11,501 11,445
9/30/2012 11,980 11,987
10/31/2012 12,059 12,046
11/30/2012 12,162 12,108
12/31/2012 12,759 12,568
1/31/2013 13,320 13,173
2/28/2013 13,312 13,219
3/31/2013 13,554 13,477
4/30/2013 13,914 13,868
5/31/2013 13,610 13,543
6/30/2013 13,249 13,008
7/31/2013 14,126 13,820
8/31/2013 14,077 13,796
9/30/2013 15,237 14,954
10/31/2013 15,756 15,396
11/30/2013 15,829 15,416
12/31/2013 16,261 15,779
1/31/2014 15,973 15,506
2/28/2014 16,972 16,385
3/31/2014 16,947 16,324
4/30/2014 16,955 16,273
5/31/2014 17,065 16,477
6/30/2014 17,381 16,851
7/31/2014 16,828 16,415
8/31/2014 16,938 16,455
9/30/2014 15,909 15,458
10/31/2014 15,584 15,067
11/30/2014 15,430 15,052
12/31/2014 15,236 14,936
1/31/2015 15,111 14,803
2/28/2015 16,080 15,750
3/31/2015 15,829 15,538
4/30/2015 16,717 16,328
5/31/2015 16,914 16,426
6/30/2015 16,657 16,184
7/31/2015 16,549 16,160
8/31/2015 15,855 15,440
9/30/2015 15,328 14,885
10/31/2015 16,098 15,768
11/30/2015 16,116 15,734
12/31/2015 16,137 15,751
1/31/2016 15,087 14,552
2/29/2016 14,993 14,630
3/31/2016 16,199 15,846
4/30/2016 16,576 16,346
5/31/2016 16,670 16,367
6/30/2016 16,016 15,643
7/31/2016 16,940 16,572
8/31/2016 16,930 16,433
9/30/2016 17,430 16,894
10/31/2016 16,972 16,393
11/30/2016 16,666 15,988
12/31/2016 17,073 16,431
1/31/2017 17,785 17,022
2/28/2017 18,072 17,349
3/31/2017 18,507 17,681
4/30/2017 19,110 18,307
5/31/2017 19,673 18,908
6/30/2017 19,871 18,969
7/31/2017 20,567 19,637
8/31/2017 20,676 19,802
9/30/2017 21,257 20,345
10/31/2017 21,477 20,633
11/30/2017 21,646 20,924
12/31/2017 22,236 21,530
1/31/2018 23,313 22,535
2/28/2018 22,309 21,659
3/31/2018 22,153 21,422
4/30/2018 22,341 21,748
5/31/2018 22,153 21,594
6/30/2018 21,719 21,221
7/31/2018 21,928 21,341
8/31/2018 21,593 21,194
9/30/2018 21,469 21,040
10/31/2018 19,427 19,034
11/30/2018 19,227 18,847
12/31/2018 17,919 17,639
1/31/2019 19,336 19,136
2/28/2019 19,820 19,577
3/31/2019 19,696 19,567
4/30/2019 20,382 20,101
5/31/2019 19,133 19,046
6/30/2019 20,125 19,912 Past performance is not predictive
7/31/2019 19,786 19,823 of future performance.
8/31/2019 19,300 19,364
9/30/2019 19,826 19,858 The returns shown do not reflect
10/31/2019 20,678 20,673 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2019,
6.44% 5.82% 7.54% all rights reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Japanese Small Company MSCI Japan Small Cap
Portfolio Index (net dividends)
------------------------------- ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 9,595 9,643
12/31/2009 9,555 9,462
1/31/2010 9,682 9,667
2/28/2010 9,865 9,850
3/31/2010 10,366 10,298
4/30/2010 10,668 10,577
5/31/2010 9,775 9,844
6/30/2010 9,926 9,887
7/31/2010 10,096 10,007
8/31/2010 9,819 9,795
9/30/2010 10,253 10,196
10/31/2010 10,033 10,112
11/30/2010 10,281 10,309
12/31/2010 11,227 11,349
1/31/2011 11,478 11,484
2/28/2011 12,006 11,946
3/31/2011 11,256 11,209
4/30/2011 11,199 11,219
5/31/2011 11,013 11,052
6/30/2011 11,561 11,464
7/31/2011 11,979 11,940
8/31/2011 11,655 11,452
9/30/2011 11,591 11,462
10/31/2011 10,993 11,039
11/30/2011 11,173 10,740
12/31/2011 11,114 10,908
1/31/2012 11,812 11,356
2/29/2012 11,827 11,479
3/31/2012 12,161 11,786
4/30/2012 11,907 11,615
5/31/2012 10,910 10,650
6/30/2012 11,488 11,105
7/31/2012 11,099 10,931
8/31/2012 11,099 10,869
9/30/2012 11,257 11,169
10/31/2012 11,015 10,928
11/30/2012 11,169 11,003
12/31/2012 11,577 11,345
1/31/2013 11,940 11,770
2/28/2013 12,229 12,169
3/31/2013 13,163 13,152
4/30/2013 13,859 14,017
5/31/2013 12,725 12,906
6/30/2013 12,837 12,871
7/31/2013 13,140 13,081
8/31/2013 12,844 12,904
9/30/2013 14,289 14,373
10/31/2013 14,326 14,314
11/30/2013 14,215 14,219
12/31/2013 14,316 14,334
1/31/2014 14,163 14,292
2/28/2014 14,102 13,975
3/31/2014 14,171 14,011
4/30/2014 13,957 13,751
5/31/2014 14,316 14,201
6/30/2014 15,323 15,207
7/31/2014 15,224 15,289
8/31/2014 15,369 15,179
9/30/2014 14,888 14,672
10/31/2014 14,613 14,279
11/30/2014 14,064 14,118
12/31/2014 14,182 14,266
1/31/2015 14,523 14,745
2/28/2015 15,121 15,276
3/31/2015 15,307 15,571
4/30/2015 15,679 15,862
5/31/2015 15,835 16,050
6/30/2015 16,160 16,284
7/31/2015 16,060 16,221
8/31/2015 15,563 15,666
9/30/2015 15,090 15,103
10/31/2015 15,873 16,111
11/30/2015 16,222 16,317
12/31/2015 16,166 16,452
1/31/2016 15,348 15,404
2/29/2016 14,805 15,245
3/31/2016 15,773 16,196
4/30/2016 15,970 16,901
5/31/2016 16,371 16,905
6/30/2016 16,292 16,805
7/31/2016 17,165 17,706
8/31/2016 16,764 17,079
9/30/2016 17,771 18,000
10/31/2016 18,102 18,240
11/30/2016 17,519 17,382
12/31/2016 17,647 17,697
1/31/2017 18,417 18,365
2/28/2017 19,043 18,929
3/31/2017 19,131 18,895
4/30/2017 19,348 19,218
5/31/2017 20,069 19,925
6/30/2017 20,519 20,112
7/31/2017 21,160 20,648
8/31/2017 21,618 21,033
9/30/2017 22,099 21,366
10/31/2017 22,909 22,098
11/30/2017 23,479 22,875
12/31/2017 23,944 23,228
1/31/2018 25,086 24,214
2/28/2018 24,527 23,921
3/31/2018 24,354 23,715
4/30/2018 24,305 23,747
5/31/2018 23,976 23,694
6/30/2018 23,336 22,968
7/31/2018 23,319 22,769
8/31/2018 22,982 22,623
9/30/2018 23,368 22,938
10/31/2018 21,117 20,769
11/30/2018 21,528 21,333
12/31/2018 19,271 19,514
1/31/2019 20,286 20,582
2/28/2019 20,621 20,814
3/31/2019 20,445 20,901
4/30/2019 20,780 21,084
5/31/2019 19,669 20,225
6/30/2019 20,445 20,718 Past performance is not predictive
7/31/2019 20,454 20,985 of future performance.
8/31/2019 19,924 20,782
9/30/2019 20,807 21,536 The returns shown do not reflect
10/31/2019 21,963 22,702 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2019,
4.01% 8.49% 8.19% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
ASIA PACIFIC SMALL COMPANY PORTFOLIO VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Asia Pacific Small MSCI Pacific ex Japan Small Cap
Company Portfolio Index (net dividends)
----------------------------- -------------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,466 10,288
12/31/2009 10,740 10,699
1/31/2010 10,155 10,015
2/28/2010 10,332 10,140
3/31/2010 11,182 10,976
4/30/2010 11,329 11,283
5/31/2010 9,759 9,579
6/30/2010 9,637 9,524
7/31/2010 10,703 10,494
8/31/2010 10,688 10,470
9/30/2010 12,310 12,042
10/31/2010 12,835 12,577
11/30/2010 12,660 12,409
12/31/2010 13,899 13,661
1/31/2011 13,598 13,264
2/28/2011 13,681 13,336
3/31/2011 13,968 13,746
4/30/2011 14,555 14,302
5/31/2011 14,124 13,974
6/30/2011 13,644 13,478
7/31/2011 13,864 13,676
8/31/2011 12,894 12,725
9/30/2011 10,487 10,411
10/31/2011 12,118 12,117
11/30/2011 11,792 11,291
12/31/2011 11,101 10,929
1/31/2012 12,246 12,064
2/29/2012 13,171 13,002
3/31/2012 12,974 12,595
4/30/2012 12,920 12,663
5/31/2012 11,306 11,019
6/30/2012 11,540 11,173
7/31/2012 11,707 11,541
8/31/2012 12,096 11,725
9/30/2012 12,691 12,349
10/31/2012 12,977 12,603
11/30/2012 13,155 12,728
12/31/2012 13,768 13,047
1/31/2013 14,455 13,739
2/28/2013 14,513 13,902
3/31/2013 14,577 13,937
4/30/2013 14,328 13,826
5/31/2013 13,260 12,809
6/30/2013 12,324 11,713
7/31/2013 12,925 12,181
8/31/2013 13,023 12,287
9/30/2013 13,936 13,232
10/31/2013 14,334 13,464
11/30/2013 13,826 12,895
12/31/2013 13,995 12,957
1/31/2014 13,333 12,356
2/28/2014 14,098 13,021
3/31/2014 14,302 13,261
4/30/2014 14,333 13,348
5/31/2014 14,345 13,457
6/30/2014 14,447 13,530
7/31/2014 14,748 13,825
8/31/2014 14,977 13,931
9/30/2014 13,592 12,651
10/31/2014 13,784 12,801
11/30/2014 13,236 12,395
12/31/2014 12,847 12,084
1/31/2015 12,542 11,846
2/28/2015 13,152 12,421
3/31/2015 12,961 12,197
4/30/2015 14,003 12,897
5/31/2015 14,155 12,834
6/30/2015 13,152 11,910
7/31/2015 12,511 11,372
8/31/2015 11,437 10,312
9/30/2015 11,272 10,099
10/31/2015 12,104 10,923
11/30/2015 12,060 10,832
12/31/2015 12,390 11,016
1/31/2016 11,491 10,059
2/29/2016 11,656 10,305
3/31/2016 13,045 11,494
4/30/2016 13,217 11,701
5/31/2016 13,071 11,506
6/30/2016 13,283 11,584
7/31/2016 14,195 12,441
8/31/2016 14,089 12,348
9/30/2016 14,506 12,606
10/31/2016 14,063 12,076
11/30/2016 13,785 11,883
12/31/2016 13,629 11,841
1/31/2017 14,247 12,222
2/28/2017 14,645 12,572
3/31/2017 14,892 12,757
4/30/2017 14,741 12,705
5/31/2017 14,720 12,784
6/30/2017 15,269 13,179
7/31/2017 15,749 13,502
8/31/2017 15,914 13,656
9/30/2017 15,914 13,740
10/31/2017 16,271 14,099
11/30/2017 16,463 14,365
12/31/2017 17,058 14,918
1/31/2018 17,773 15,569
2/28/2018 17,187 15,086
3/31/2018 16,944 14,646
4/30/2018 16,887 14,719
5/31/2018 17,173 14,789
6/30/2018 16,665 14,364
7/31/2018 16,708 14,394
8/31/2018 16,329 14,158
9/30/2018 16,322 14,139
10/31/2018 14,886 12,830
11/30/2018 15,257 13,186
12/31/2018 14,419 12,509
1/31/2019 15,461 13,575
2/28/2019 16,008 13,982
3/31/2019 16,038 14,069
4/30/2019 16,311 14,262
5/31/2019 15,520 13,730
6/30/2019 15,934 14,354 Past performance is not predictive
7/31/2019 15,912 14,536 of future performance.
8/31/2019 14,922 13,815
9/30/2019 15,306 14,058 The returns shown do not reflect
10/31/2019 15,602 14,256 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------- MSCI data copyright MSCI 2019,
4.81% 2.51% 4.55% all rights reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
MSCI UNITED KINGDOM SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
United Kingdom Small Company MSCI UK Small Cap
Portfolio Index (net dividends)
------------------------------ -----------------------
10/31/2009 $10,000 $10,000
11/30/2009 9,965 9,896
12/31/2009 10,170 10,140
1/31/2010 10,068 10,093
2/28/2010 9,722 9,641
3/31/2010 10,532 10,491
4/30/2010 10,915 10,910
5/31/2010 9,676 9,598
6/30/2010 9,859 9,640
7/31/2010 11,186 10,799
8/31/2010 10,769 10,506
9/30/2010 11,916 11,664
10/31/2010 12,537 12,161
11/30/2010 11,916 11,654
12/31/2010 13,127 12,874
1/31/2011 13,315 12,998
2/28/2011 13,712 13,341
3/31/2011 13,450 13,111
4/30/2011 14,638 14,313
5/31/2011 14,544 14,131
6/30/2011 14,079 13,655
7/31/2011 13,979 13,618
8/31/2011 12,580 12,229
9/30/2011 11,307 10,939
10/31/2011 12,501 12,134
11/30/2011 12,117 11,663
12/31/2011 11,736 11,274
1/31/2012 12,768 12,418
2/29/2012 13,811 13,571
3/31/2012 14,102 13,616
4/30/2012 14,341 13,847
5/31/2012 12,721 12,132
6/30/2012 13,340 12,709
7/31/2012 13,560 12,941
8/31/2012 14,298 13,626
9/30/2012 15,029 14,353
10/31/2012 15,355 14,650
11/30/2012 15,449 14,655
12/31/2012 16,292 15,330
1/31/2013 16,577 15,733
2/28/2013 16,723 15,822
3/31/2013 17,217 16,248
4/30/2013 17,648 16,654
5/31/2013 17,804 16,879
6/30/2013 17,412 16,270
7/31/2013 18,877 17,625
8/31/2013 19,008 17,867
9/30/2013 20,286 19,208
10/31/2013 21,007 19,884
11/30/2013 21,479 20,352
12/31/2013 22,657 21,335
1/31/2014 22,115 20,882
2/28/2014 24,091 22,907
3/31/2014 23,345 22,080
4/30/2014 22,955 21,552
5/31/2014 22,925 21,594
6/30/2014 22,899 21,543
7/31/2014 22,179 20,934
8/31/2014 22,507 21,154
9/30/2014 21,221 19,913
10/31/2014 21,162 19,786
11/30/2014 20,997 19,793
12/31/2014 21,329 20,118
1/31/2015 20,839 19,570
2/28/2015 22,791 21,503
3/31/2015 21,600 20,513
4/30/2015 22,959 21,829
5/31/2015 24,105 22,830
6/30/2015 24,033 22,858
7/31/2015 24,079 23,022
8/31/2015 23,055 22,116
9/30/2015 22,355 21,301
10/31/2015 23,157 22,244
11/30/2015 23,118 22,064
12/31/2015 22,860 21,828
1/31/2016 21,044 19,709
2/29/2016 20,662 19,503
3/31/2016 21,895 20,878
4/30/2016 22,000 21,158
5/31/2016 22,346 21,768
6/30/2016 19,523 18,674
7/31/2016 20,577 19,748
8/31/2016 21,011 20,078
9/30/2016 21,031 20,249
10/31/2016 19,405 18,710
11/30/2016 19,861 19,129
12/31/2016 20,241 19,546
1/31/2017 20,883 19,993
2/28/2017 21,193 20,461
3/31/2017 21,732 20,788
4/30/2017 23,372 22,455
5/31/2017 23,621 22,908
6/30/2017 23,144 22,391
7/31/2017 24,044 23,368
8/31/2017 23,602 23,107
9/30/2017 24,826 24,277
10/31/2017 25,087 24,721
11/30/2017 25,056 24,812
12/31/2017 25,991 25,889
1/31/2018 26,817 26,818
2/28/2018 24,973 25,218
3/31/2018 25,382 25,504
4/30/2018 26,199 26,414
5/31/2018 26,141 26,330
6/30/2018 25,904 26,120
7/31/2018 25,753 26,034
8/31/2018 25,351 25,648
9/30/2018 25,048 25,112
10/31/2018 22,744 22,780
11/30/2018 22,111 21,888
12/31/2018 20,853 20,712
1/31/2019 23,025 23,020
2/28/2019 23,942 23,914
3/31/2019 23,693 23,768
4/30/2019 24,859 24,920
5/31/2019 23,052 23,197 Past performance is not predictive
6/30/2019 23,766 23,705 of future performance.
7/31/2019 22,900 22,981
8/31/2019 22,578 22,380 The returns shown do not reflect
9/30/2019 23,674 23,454 the deduction of taxes that a
10/31/2019 25,050 24,923 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI 2019,
10.14% 3.43% 9.62% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Continental Small Company MSCI Europe ex UK
Portfolio Small Cap Index (net dividends)
------------------------- --------------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,300 10,206
12/31/2009 10,264 10,252
1/31/2010 10,090 10,115
2/28/2010 9,876 9,827
3/31/2010 10,605 10,624
4/30/2010 10,504 10,557
5/31/2010 9,008 8,924
6/30/2010 8,944 8,790
7/31/2010 10,016 9,844
8/31/2010 9,554 9,376
9/30/2010 10,874 10,823
10/31/2010 11,485 11,517
11/30/2010 10,589 10,644
12/31/2010 11,965 12,135
1/31/2011 12,299 12,409
2/28/2011 12,504 12,619
3/31/2011 12,927 13,045
4/30/2011 13,793 13,956
5/31/2011 13,322 13,424
6/30/2011 12,889 12,991
7/31/2011 12,156 12,202
8/31/2011 10,910 10,927
9/30/2011 9,257 9,286
10/31/2011 10,211 10,303
11/30/2011 9,528 9,498
12/31/2011 9,156 9,175
1/31/2012 10,022 10,085
2/29/2012 10,659 10,859
3/31/2012 10,680 10,771
4/30/2012 10,428 10,592
5/31/2012 9,001 9,139
6/30/2012 9,388 9,590
7/31/2012 9,295 9,556
8/31/2012 9,710 9,972
9/30/2012 10,220 10,509
10/31/2012 10,400 10,690
11/30/2012 10,529 10,854
12/31/2012 11,164 11,439
1/31/2013 12,007 12,371
2/28/2013 11,884 12,333
3/31/2013 11,618 12,016
4/30/2013 12,086 12,482
5/31/2013 12,309 12,766
6/30/2013 11,898 12,198
7/31/2013 12,931 13,307
8/31/2013 12,945 13,282
9/30/2013 14,070 14,418
10/31/2013 14,870 15,286
11/30/2013 15,134 15,558
12/31/2013 15,555 15,962
1/31/2014 15,459 15,830
2/28/2014 16,813 17,213
3/31/2014 16,894 17,228
4/30/2014 17,048 17,300
5/31/2014 17,114 17,494
6/30/2014 16,962 17,323
7/31/2014 15,962 16,302
8/31/2014 15,768 16,171
9/30/2014 14,920 15,279
10/31/2014 14,472 14,780
11/30/2014 14,816 15,213
12/31/2014 14,345 14,850
1/31/2015 14,435 14,884
2/28/2015 15,425 15,983
3/31/2015 15,350 15,821
4/30/2015 16,167 16,668
5/31/2015 16,182 16,557
6/30/2015 15,834 16,165
7/31/2015 16,275 16,765
8/31/2015 15,659 16,117
9/30/2015 15,102 15,572
10/31/2015 15,827 16,463
11/30/2015 15,796 16,419
12/31/2015 15,988 16,663
1/31/2016 14,902 15,346
2/29/2016 14,871 15,399
3/31/2016 16,134 16,780
4/30/2016 16,464 16,990
5/31/2016 16,494 17,063
6/30/2016 15,590 15,954
7/31/2016 16,609 16,989
8/31/2016 16,820 17,134
9/30/2016 17,234 17,545
10/31/2016 16,728 16,893
11/30/2016 16,097 16,206
12/31/2016 16,925 17,063
1/31/2017 17,667 17,730
2/28/2017 17,847 17,932
3/31/2017 18,613 18,676
4/30/2017 19,755 19,825
5/31/2017 20,841 20,893
6/30/2017 20,841 20,791
7/31/2017 21,632 21,733
8/31/2017 21,679 21,919
9/30/2017 22,402 22,669
10/31/2017 22,363 22,676
11/30/2017 22,402 22,790
12/31/2017 22,871 23,373
1/31/2018 24,447 24,971
2/28/2018 23,407 23,870
3/31/2018 23,047 23,431
4/30/2018 23,095 23,826
5/31/2018 22,639 23,236
6/30/2018 22,176 22,947
7/31/2018 22,777 23,524
8/31/2018 22,493 23,312
9/30/2018 22,057 22,838
10/31/2018 19,872 20,523
11/30/2018 19,415 19,848
12/31/2018 18,375 18,738
1/31/2019 19,832 20,340
2/28/2019 20,247 20,733
3/31/2019 20,197 20,781
4/30/2019 21,281 21,655
5/31/2019 19,900 20,325
6/30/2019 21,276 21,677 Past performance is not predictive
7/31/2019 20,579 21,230 of future performance.
8/31/2019 20,174 20,628
9/30/2019 20,508 20,922 The returns shown do not reflect
10/31/2019 21,450 21,806 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
7.94% 8.19% 7.93% all rights reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA International
Real Estate Securities S&P Global ex U.S.
Portfolio REIT Index (net dividends)
-------------------------- ----------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,115 10,007
12/31/2009 10,276 10,179
1/31/2010 9,892 9,848
2/28/2010 9,935 9,810
3/31/2010 10,276 10,151
4/30/2010 10,361 10,270
5/31/2010 9,274 9,142
6/30/2010 9,295 9,178
7/31/2010 10,382 10,177
8/31/2010 10,404 10,207
9/30/2010 11,406 11,185
10/31/2010 11,896 11,643
11/30/2010 11,150 10,928
12/31/2010 12,135 11,900
1/31/2011 12,183 11,898
2/28/2011 12,691 12,377
3/31/2011 12,715 12,409
4/30/2011 13,513 13,179
5/31/2011 13,441 13,106
6/30/2011 13,344 12,978
7/31/2011 13,126 12,792
8/31/2011 12,594 12,263
9/30/2011 10,975 10,752
10/31/2011 11,845 11,634
11/30/2011 11,603 11,155
12/31/2011 11,194 10,875
1/31/2012 11,961 11,580
2/29/2012 12,370 12,045
3/31/2012 12,523 12,090
4/30/2012 12,779 12,381
5/31/2012 12,038 11,574
6/30/2012 12,830 12,365
7/31/2012 13,418 13,036
8/31/2012 13,622 13,159
9/30/2012 13,929 13,510
10/31/2012 14,491 14,007
11/30/2012 14,594 14,105
12/31/2012 14,935 14,346
1/31/2013 15,166 14,715
2/28/2013 15,281 14,847
3/31/2013 15,888 15,410
4/30/2013 16,726 16,219
5/31/2013 15,195 14,756
6/30/2013 14,646 14,131
7/31/2013 14,704 14,162
8/31/2013 14,155 13,664
9/30/2013 15,368 14,835
10/31/2013 15,830 15,275
11/30/2013 15,339 14,800
12/31/2013 15,274 14,685
1/31/2014 15,000 14,420
2/28/2014 15,882 15,221
3/31/2014 15,852 15,165
4/30/2014 16,521 15,771
5/31/2014 17,008 16,243
6/30/2014 17,373 16,656
7/31/2014 17,343 16,684
8/31/2014 17,647 16,959
9/30/2014 16,491 15,820
10/31/2014 17,130 16,315
11/30/2014 17,191 16,473
12/31/2014 16,970 16,292
1/31/2015 17,618 16,834
2/28/2015 17,909 17,139
3/31/2015 17,423 16,645
4/30/2015 17,812 17,013
5/31/2015 17,326 16,538
6/30/2015 16,937 16,121
7/31/2015 17,067 16,296
8/31/2015 16,128 15,379
9/30/2015 16,257 15,429
10/31/2015 17,067 16,322
11/30/2015 16,549 15,808
12/31/2015 16,355 15,715
1/31/2016 16,091 15,289
2/29/2016 16,421 15,788
3/31/2016 17,773 17,067
4/30/2016 18,367 17,659
5/31/2016 17,872 17,141
6/30/2016 18,103 17,290
7/31/2016 18,927 18,120
8/31/2016 18,466 17,711
9/30/2016 18,466 17,683
10/31/2016 17,246 16,530
11/30/2016 16,421 15,749
12/31/2016 16,860 16,206
1/31/2017 17,075 16,358
2/28/2017 17,398 16,711
3/31/2017 17,577 16,793
4/30/2017 17,900 17,096
5/31/2017 18,187 17,438
6/30/2017 17,936 17,227
7/31/2017 18,545 17,765
8/31/2017 18,545 17,785
9/30/2017 18,330 17,604
10/31/2017 18,187 17,473
11/30/2017 18,832 18,115
12/31/2017 19,453 18,741
1/31/2018 20,089 19,339
2/28/2018 18,967 18,311
3/31/2018 19,303 18,505
4/30/2018 19,565 18,810
5/31/2018 19,378 18,589
6/30/2018 19,229 18,461
7/31/2018 19,490 18,688
8/31/2018 19,191 18,466
9/30/2018 19,004 18,202
10/31/2018 18,144 17,383
11/30/2018 18,406 17,603
12/31/2018 18,111 17,350
1/31/2019 19,815 19,031
2/28/2019 19,696 18,875
3/31/2019 20,251 19,385
4/30/2019 20,172 19,286
5/31/2019 20,013 19,163 Past performance is not predictive
6/30/2019 20,687 19,897 of future performance.
7/31/2019 20,449 19,784
8/31/2019 20,806 20,058 The returns shown do not reflect
9/30/2019 21,321 20,532 the deduction of taxes that a
10/31/2019 22,232 21,358 shareholder would pay on fund
distributions or the redemption of
fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Copyright 2019 S&P Dow Jones
--------------------------------------------------------------- Indices LLC, a division of S&P
22.54% 5.35% 8.32% Global. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS.
S&P GLOBAL REIT INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Global Real S&P Global
Estate Securities Portfolio REIT Index (net dividends)
--------------------------- --------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,415 10,335
12/31/2009 10,869 10,788
1/31/2010 10,377 10,317
2/28/2010 10,710 10,588
3/31/2010 11,456 11,325
4/30/2010 11,932 11,819
5/31/2010 11,043 10,894
6/30/2010 10,726 10,571
7/31/2010 11,868 11,647
8/31/2010 11,805 11,573
9/30/2010 12,582 12,334
10/31/2010 13,138 12,881
11/30/2010 12,630 12,385
12/31/2010 13,455 13,171
1/31/2011 13,744 13,408
2/28/2011 14,338 13,987
3/31/2011 14,236 13,873
4/30/2011 15,086 14,692
5/31/2011 15,171 14,765
6/30/2011 14,831 14,412
7/31/2011 14,865 14,456
8/31/2011 14,152 13,716
9/30/2011 12,487 12,128
10/31/2011 13,948 13,565
11/30/2011 13,523 13,027
12/31/2011 13,699 13,251
1/31/2012 14,576 14,105
2/29/2012 14,681 14,219
3/31/2012 15,208 14,673
4/30/2012 15,593 15,068
5/31/2012 14,804 14,264
6/30/2012 15,699 15,120
7/31/2012 16,155 15,605
8/31/2012 16,225 15,656
9/30/2012 16,172 15,621
10/31/2012 16,365 15,765
11/30/2012 16,365 15,775
12/31/2012 16,874 16,217
1/31/2013 17,342 16,739
2/28/2013 17,510 16,919
3/31/2013 18,072 17,460
4/30/2013 19,177 18,524
5/31/2013 17,791 17,191
6/30/2013 17,342 16,693
7/31/2013 17,454 16,803
8/31/2013 16,462 15,844
9/30/2013 17,323 16,665
10/31/2013 17,960 17,305
11/30/2013 17,173 16,545
12/31/2013 17,173 16,499
1/31/2014 17,464 16,776
2/28/2014 18,416 17,642
3/31/2014 18,474 17,658
4/30/2014 19,173 18,290
5/31/2014 19,679 18,760
6/30/2014 19,950 19,058
7/31/2014 19,950 19,068
8/31/2014 20,436 19,524
9/30/2014 19,154 18,283
10/31/2014 20,650 19,607
11/30/2014 20,941 19,914
12/31/2014 21,078 20,053
1/31/2015 22,288 21,141
2/28/2015 21,905 20,797
3/31/2015 21,925 20,780
4/30/2015 21,280 20,164
5/31/2015 21,017 19,911
6/30/2015 20,271 19,138
7/31/2015 21,038 19,877
8/31/2015 19,807 18,675
9/30/2015 20,271 19,035
10/31/2015 21,360 20,115
11/30/2015 21,058 19,797
12/31/2015 21,223 19,965
1/31/2016 20,644 19,323
2/29/2016 20,748 19,503
3/31/2016 22,732 21,350
4/30/2016 22,628 21,270
5/31/2016 22,732 21,318
6/30/2016 23,889 22,306
7/31/2016 24,922 23,319
8/31/2016 24,157 22,552
9/30/2016 23,868 22,255
10/31/2016 22,401 20,897
11/30/2016 21,760 20,320
12/31/2016 22,616 21,117
1/31/2017 22,681 21,134
2/28/2017 23,334 21,795
3/31/2017 23,051 21,422
4/30/2017 23,203 21,555
5/31/2017 23,269 21,581
6/30/2017 23,464 21,781
7/31/2017 23,943 22,174
8/31/2017 24,008 22,119
9/30/2017 23,812 22,028
10/31/2017 23,704 21,797
11/30/2017 24,443 22,453
12/31/2017 24,698 22,683
1/31/2018 24,450 22,320
2/28/2018 22,803 20,830
3/31/2018 23,547 21,369
4/30/2018 23,705 21,692
5/31/2018 24,202 22,155
6/30/2018 24,811 22,663
7/31/2018 25,081 22,852
8/31/2018 25,397 23,207
9/30/2018 24,901 22,655
10/31/2018 24,156 21,917
11/30/2018 25,059 22,689
12/31/2018 23,672 21,344
1/31/2019 26,181 23,684
2/28/2019 26,252 23,666
3/31/2019 27,270 24,346
4/30/2019 27,152 24,247 Past performance is not predictive
5/31/2019 27,246 24,180 of future performance.
6/30/2019 27,767 24,660
7/31/2019 27,980 24,812 The returns shown do not reflect
8/31/2019 28,903 25,418 the deduction of taxes that a
9/30/2019 29,448 26,071 shareholder would pay on fund
10/31/2019 30,087 26,669 distributions or the redemption of
fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Copyright 2019 S&P Dow Jones
-------------------------------------------------------------- Indices LLC, a division of S&P
24.55% 7.82% 11.64% Global. All rights reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA International Small Cap Value MSCI World ex USA
Portfolio Small Cap Index (net dividends)
--------------------------------- -------------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,047 10,078
12/31/2009 10,165 10,205
1/31/2010 9,970 10,071
2/28/2010 9,875 10,013
3/31/2010 10,677 10,758
4/30/2010 10,812 10,970
5/31/2010 9,357 9,652
6/30/2010 9,168 9,562
7/31/2010 10,060 10,382
8/31/2010 9,590 10,112
9/30/2010 10,667 11,259
10/31/2010 11,001 11,723
11/30/2010 10,688 11,416
12/31/2010 12,005 12,707
1/31/2011 12,256 12,773
2/28/2011 12,612 13,136
3/31/2011 12,675 13,124
4/30/2011 13,219 13,775
5/31/2011 12,766 13,394
6/30/2011 12,487 13,104
7/31/2011 12,247 13,032
8/31/2011 11,082 12,003
9/30/2011 9,775 10,625
10/31/2011 10,519 11,487
11/30/2011 10,179 10,910
12/31/2011 9,908 10,698
1/31/2012 10,900 11,582
2/29/2012 11,550 12,238
3/31/2012 11,564 12,156
4/30/2012 11,243 12,093
5/31/2012 9,813 10,672
6/30/2012 10,297 11,040
7/31/2012 10,268 11,126
8/31/2012 10,645 11,445
9/30/2012 11,143 11,987
10/31/2012 11,246 12,046
11/30/2012 11,402 12,108
12/31/2012 12,114 12,568
1/31/2013 12,735 13,173
2/28/2013 12,811 13,219
3/31/2013 13,072 13,477
4/30/2013 13,443 13,868
5/31/2013 13,178 13,543
6/30/2013 12,777 13,008
7/31/2013 13,729 13,820
8/31/2013 13,560 13,796
9/30/2013 14,874 14,954
10/31/2013 15,496 15,396
11/30/2013 15,520 15,416
12/31/2013 16,036 15,779
1/31/2014 15,816 15,506
2/28/2014 16,903 16,385
3/31/2014 17,014 16,324
4/30/2014 16,943 16,273
5/31/2014 17,077 16,477
6/30/2014 17,345 16,851
7/31/2014 16,736 16,415
8/31/2014 16,847 16,455
9/30/2014 15,866 15,458
10/31/2014 15,517 15,067
11/30/2014 15,406 15,052
12/31/2014 15,237 14,936
1/31/2015 15,138 14,803
2/28/2015 16,269 15,750
3/31/2015 15,949 15,538
4/30/2015 16,752 16,328
5/31/2015 17,014 16,426
6/30/2015 16,777 16,184
7/31/2015 16,571 16,160
8/31/2015 15,864 15,440
9/30/2015 15,231 14,885
10/31/2015 16,030 15,768
11/30/2015 15,907 15,734
12/31/2015 15,845 15,751
1/31/2016 14,674 14,552
2/29/2016 14,547 14,630
3/31/2016 15,716 15,846
4/30/2016 16,253 16,346
5/31/2016 16,125 16,367
6/30/2016 15,220 15,643
7/31/2016 16,315 16,572
8/31/2016 16,376 16,433
9/30/2016 16,824 16,894
10/31/2016 16,686 16,393
11/30/2016 16,591 15,988
12/31/2016 17,113 16,431
1/31/2017 17,851 17,022
2/28/2017 18,085 17,349
3/31/2017 18,435 17,681
4/30/2017 18,903 18,307
5/31/2017 19,254 18,908
6/30/2017 19,603 18,969
7/31/2017 20,343 19,637
8/31/2017 20,442 19,802
9/30/2017 21,092 20,345
10/31/2017 21,273 20,633
11/30/2017 21,291 20,924
12/31/2017 21,901 21,530
1/31/2018 22,864 22,535
2/28/2018 21,739 21,659
3/31/2018 21,405 21,422
4/30/2018 21,834 21,748
5/31/2018 21,205 21,594
6/30/2018 20,661 21,221
7/31/2018 20,986 21,341
8/31/2018 20,366 21,194
9/30/2018 20,460 21,040
10/31/2018 18,430 19,034
11/30/2018 18,085 18,847
12/31/2018 16,796 17,639
1/31/2019 18,057 19,136
2/28/2019 18,541 19,577
3/31/2019 18,248 19,567
4/30/2019 18,854 20,101
5/31/2019 17,381 19,046
6/30/2019 18,276 19,912 Past performance is not predictive
7/31/2019 17,992 19,823 of future performance.
8/31/2019 17,534 19,364
9/30/2019 18,175 19,858 The returns shown do not reflect
10/31/2019 18,972 20,673 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
2.94% 4.10% 6.61% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
INTERNATIONAL VECTOR EQUITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
International Vector MSCI World ex USA
Equity Portfolio Index (net dividends)
---------------------- ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,217 10,247
12/31/2009 10,331 10,411
1/31/2010 9,972 9,923
2/28/2010 9,950 9,913
3/31/2010 10,740 10,551
4/30/2010 10,761 10,394
5/31/2010 9,433 9,247
6/30/2010 9,290 9,113
7/31/2010 10,271 9,955
8/31/2010 9,841 9,658
9/30/2010 10,942 10,584
10/31/2010 11,362 10,961
11/30/2010 10,953 10,497
12/31/2010 12,119 11,342
1/31/2011 12,399 11,586
2/28/2011 12,813 12,016
3/31/2011 12,634 11,775
4/30/2011 13,274 12,417
5/31/2011 12,836 12,049
6/30/2011 12,572 11,877
7/31/2011 12,277 11,681
8/31/2011 11,185 10,694
9/30/2011 9,847 9,620
10/31/2011 10,681 10,555
11/30/2011 10,350 10,067
12/31/2011 10,064 9,958
1/31/2012 10,887 10,495
2/29/2012 11,463 11,072
3/31/2012 11,463 10,990
4/30/2012 11,181 10,804
5/31/2012 9,804 9,572
6/30/2012 10,363 10,199
7/31/2012 10,315 10,326
8/31/2012 10,674 10,621
9/30/2012 11,097 10,943
10/31/2012 11,205 11,020
11/30/2012 11,385 11,252
12/31/2012 11,966 11,592
1/31/2013 12,500 12,162
2/28/2013 12,391 12,041
3/31/2013 12,532 12,136
4/30/2013 12,993 12,689
5/31/2013 12,702 12,405
6/30/2013 12,297 11,940
7/31/2013 13,085 12,575
8/31/2013 12,987 12,413
9/30/2013 14,019 13,291
10/31/2013 14,513 13,737
11/30/2013 14,550 13,821
12/31/2013 14,875 14,029
1/31/2014 14,475 13,463
2/28/2014 15,364 14,197
3/31/2014 15,327 14,134
4/30/2014 15,478 14,357
5/31/2014 15,616 14,579
6/30/2014 15,869 14,786
7/31/2014 15,412 14,522
8/31/2014 15,475 14,534
9/30/2014 14,629 13,937
10/31/2014 14,361 13,715
11/30/2014 14,297 13,884
12/31/2014 13,943 13,422
1/31/2015 13,840 13,375
2/28/2015 14,774 14,174
3/31/2015 14,514 13,937
4/30/2015 15,266 14,540
5/31/2015 15,305 14,414
6/30/2015 14,955 14,005
7/31/2015 14,877 14,227
8/31/2015 14,022 13,190
9/30/2015 13,393 12,524
10/31/2015 14,198 13,467
11/30/2015 14,132 13,252
12/31/2015 13,943 13,015
1/31/2016 13,024 12,119
2/29/2016 12,811 11,949
3/31/2016 13,826 12,761
4/30/2016 14,280 13,171
5/31/2016 14,227 13,022
6/30/2016 13,683 12,626
7/31/2016 14,428 13,248
8/31/2016 14,537 13,260
9/30/2016 14,857 13,421
10/31/2016 14,654 13,160
11/30/2016 14,490 12,949
12/31/2016 14,897 13,372
1/31/2017 15,529 13,770
2/28/2017 15,666 13,929
3/31/2017 16,039 14,283
4/30/2017 16,465 14,586
5/31/2017 16,876 15,073
6/30/2017 17,058 15,087
7/31/2017 17,711 15,536
8/31/2017 17,794 15,532
9/30/2017 18,321 15,935
10/31/2017 18,585 16,153
11/30/2017 18,739 16,316
12/31/2017 19,209 16,609
1/31/2018 20,172 17,383
2/28/2018 19,209 16,557
3/31/2018 19,011 16,271
4/30/2018 19,294 16,644
5/31/2018 18,997 16,329
6/30/2018 18,589 16,150
7/31/2018 18,917 16,546
8/31/2018 18,475 16,233
9/30/2018 18,550 16,360
10/31/2018 16,816 15,060
11/30/2018 16,630 15,047
12/31/2018 15,562 14,269
1/31/2019 16,819 15,287
2/28/2019 17,163 15,680
3/31/2019 17,031 15,760
4/30/2019 17,630 16,206
5/31/2019 16,417 15,440
6/30/2019 17,367 16,357 Past performance is not predictive
7/31/2019 16,957 16,160 of future performance.
8/31/2019 16,455 15,763
9/30/2019 17,068 16,205 The returns shown do not reflect
10/31/2019 17,740 16,729 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------- MSCI data copyright MSCI 2019,
5.49% 4.32% 5.90% all rights reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
MAY 16, 2017-OCTOBER 31, 2019
[CHART]
International High Relative MSCI World ex USA Index
Profitability Portfolio (net dividends)
---------------------------- -------------------------
5/16/2017 $10,000 $10,000
5/31/2017 10,050 10,017
6/30/2017 10,038 10,026
7/31/2017 10,219 10,324
8/31/2017 10,329 10,322
9/30/2017 10,577 10,590
10/31/2017 10,738 10,734
11/30/2017 10,849 10,843
12/31/2017 10,968 11,038
1/31/2018 11,463 11,552
2/28/2018 10,887 11,003
3/31/2018 10,893 10,813
4/30/2018 11,014 11,061
5/31/2018 10,974 10,851
6/30/2018 10,802 10,732
7/31/2018 11,088 10,996
8/31/2018 10,915 10,788
9/30/2018 10,941 10,872
10/31/2018 9,966 10,008
11/30/2018 9,997 9,999
12/31/2018 9,489 9,483
1/31/2019 10,221 10,159
2/28/2019 10,479 10,420
3/31/2019 10,574 10,473
4/30/2019 10,916 10,770
5/31/2019 10,315 10,261
6/30/2019 10,964 10,870
7/31/2019 10,765 10,739
8/31/2019 10,640 10,475 Past performance is not predictive
9/30/2019 10,871 10,769 of future performance.
10/31/2019 11,280 11,117
The returns shown do not reflect
the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE SINCE fund shares.
TOTAL RETURN YEAR INCEPTION
---------------------------------------------------------- MSCI data copyright MSCI 2019,
13.19% 5.02% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
AUGUST 23, 2010-OCTOBER 31, 2019
[CHART]
World Ex U.S. MSCI All Country World
Value Portfolio ex USA Index (net dividends)
----------------- ----------------------------
8/23/2010 $10,000 $10,000
8/31/2010 9,890 9,920
9/30/2010 10,980 10,906
10/31/2010 11,350 11,278
11/30/2010 10,850 10,843
12/31/2010 11,859 11,692
1/31/2011 12,122 11,807
2/28/2011 12,385 12,118
3/31/2011 12,311 12,090
4/30/2011 12,899 12,681
5/31/2011 12,433 12,315
6/30/2011 12,238 12,136
7/31/2011 11,920 11,971
8/31/2011 10,670 10,945
9/30/2011 9,314 9,727
10/31/2011 10,261 10,752
11/30/2011 9,880 10,203
12/31/2011 9,590 10,089
1/31/2012 10,422 10,774
2/29/2012 10,984 11,379
3/31/2012 10,811 11,222
4/30/2012 10,436 11,045
5/31/2012 9,177 9,791
6/30/2012 9,755 10,369
7/31/2012 9,703 10,515
8/31/2012 10,041 10,735
9/30/2012 10,475 11,136
10/31/2012 10,538 11,179
11/30/2012 10,687 11,392
12/31/2012 11,281 11,787
1/31/2013 11,720 12,266
2/28/2013 11,442 12,137
3/31/2013 11,460 12,161
4/30/2013 11,899 12,608
5/31/2013 11,696 12,316
6/30/2013 11,154 11,782
7/31/2013 11,796 12,298
8/31/2013 11,666 12,128
9/30/2013 12,556 12,971
10/31/2013 13,026 13,447
11/30/2013 12,993 13,470
12/31/2013 13,201 13,589
1/31/2014 12,652 12,972
2/28/2014 13,289 13,623
3/31/2014 13,361 13,658
4/30/2014 13,527 13,839
5/31/2014 13,760 14,108
6/30/2014 13,969 14,345
7/31/2014 13,778 14,203
8/31/2014 13,857 14,281
9/30/2014 13,101 13,590
10/31/2014 12,921 13,455
11/30/2014 12,864 13,552
12/31/2014 12,384 13,064
1/31/2015 12,293 13,044
2/28/2015 13,080 13,742
3/31/2015 12,783 13,520
4/30/2015 13,604 14,203
5/31/2015 13,490 13,981
6/30/2015 13,108 13,591
7/31/2015 12,774 13,553
8/31/2015 11,805 12,517
9/30/2015 11,128 11,937
10/31/2015 11,916 12,825
11/30/2015 11,696 12,561
12/31/2015 11,357 12,324
1/31/2016 10,526 11,486
2/29/2016 10,304 11,354
3/31/2016 11,258 12,278
4/30/2016 11,728 12,601
5/31/2016 11,399 12,388
6/30/2016 11,179 12,199
7/31/2016 11,763 12,802
8/31/2016 12,026 12,883
9/30/2016 12,182 13,042
10/31/2016 12,338 12,854
11/30/2016 12,266 12,557
12/31/2016 12,572 12,878
1/31/2017 13,175 13,334
2/28/2017 13,283 13,547
3/31/2017 13,588 13,890
4/30/2017 13,781 14,188
5/31/2017 14,023 14,648
6/30/2017 14,148 14,694
7/31/2017 14,821 15,235
8/31/2017 14,919 15,315
9/30/2017 15,212 15,599
10/31/2017 15,542 15,893
11/30/2017 15,652 16,022
12/31/2017 16,118 16,380
1/31/2018 17,149 17,292
2/28/2018 16,230 16,477
3/31/2018 16,026 16,186
4/30/2018 16,336 16,445
5/31/2018 15,728 16,065
6/30/2018 15,235 15,763
7/31/2018 15,750 16,140
8/31/2018 15,247 15,802
9/30/2018 15,438 15,874
10/31/2018 14,110 14,583
11/30/2018 14,161 14,721
12/31/2018 13,428 14,055
1/31/2019 14,458 15,117
2/28/2019 14,615 15,412
3/31/2019 14,513 15,504
4/30/2019 14,891 15,913
5/31/2019 13,859 15,059
6/30/2019 14,658 15,966 Past performance is not predictive
7/31/2019 14,167 15,773 of future performance.
8/31/2019 13,558 15,286
9/30/2019 14,145 15,679 The returns shown do not reflect
10/31/2019 14,639 16,226 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE SINCE fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
---------------------------------------------------------- MSCI data copyright MSCI 2019,
3.75% 2.53% 4.23% all rights reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD EX U.S. TARGETED VALUE PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS)
NOVEMBER 1, 2012-OCTOBER 31, 2019
[CHART]
World Ex U.S. Targeted MSCI All Country World ex USA
Value Portfolio Small Cap Index (net dividends)
------------------------ -------------------------------
11/1/2012 $10,000 $10,000
11/30/2012 10,120 10,013
12/31/2012 10,735 10,417
1/31/2013 11,157 10,868
2/28/2013 11,147 10,925
3/31/2013 11,278 11,098
4/30/2013 11,549 11,398
5/31/2013 11,298 11,175
6/30/2013 10,766 10,607
7/31/2013 11,376 11,134
8/31/2013 11,193 11,038
9/30/2013 12,191 11,920
10/31/2013 12,690 12,289
11/30/2013 12,629 12,257
12/31/2013 12,872 12,472
1/31/2014 12,497 12,231
2/28/2014 13,185 12,888
3/31/2014 13,404 12,904
4/30/2014 13,404 12,883
5/31/2014 13,633 13,090
6/30/2014 13,888 13,374
7/31/2014 13,616 13,121
8/31/2014 13,773 13,215
9/30/2014 12,908 12,464
10/31/2014 12,698 12,170
11/30/2014 12,571 12,119
12/31/2014 12,294 11,969
1/31/2015 12,219 11,925
2/28/2015 12,977 12,575
3/31/2015 12,710 12,439
4/30/2015 13,511 13,182
5/31/2015 13,489 13,256
6/30/2015 13,224 12,964
7/31/2015 12,816 12,717
8/31/2015 12,088 12,007
9/30/2015 11,599 11,665
10/31/2015 12,332 12,356
11/30/2015 12,170 12,268
12/31/2015 12,035 12,280
1/31/2016 11,171 11,339
2/29/2016 11,149 11,377
3/31/2016 12,256 12,364
4/30/2016 12,733 12,710
5/31/2016 12,408 12,626
6/30/2016 12,109 12,256
7/31/2016 12,909 12,938
8/31/2016 13,019 12,907
9/30/2016 13,305 13,225
10/31/2016 13,218 12,877
11/30/2016 13,042 12,495
12/31/2016 13,277 12,760
1/31/2017 14,026 13,249
2/28/2017 14,357 13,598
3/31/2017 14,724 13,880
4/30/2017 15,055 14,296
5/31/2017 15,331 14,684
6/30/2017 15,481 14,746
7/31/2017 16,127 15,267
8/31/2017 16,295 15,432
9/30/2017 16,609 15,764
10/31/2017 16,867 16,058
11/30/2017 16,911 16,297
12/31/2017 17,462 16,798
1/31/2018 18,401 17,624
2/28/2018 17,485 16,931
3/31/2018 17,261 16,739
4/30/2018 17,456 16,932
5/31/2018 17,078 16,761
6/30/2018 16,386 16,304
7/31/2018 16,641 16,418
8/31/2018 16,189 16,258
9/30/2018 16,093 16,057
10/31/2018 14,580 14,496
11/30/2018 14,708 14,532
12/31/2018 13,904 13,741
1/31/2019 14,964 14,817
2/28/2019 15,241 15,128
3/31/2019 15,048 15,151
4/30/2019 15,458 15,486
5/31/2019 14,312 14,687 Past performance is not predictive
6/30/2019 15,107 15,335 of future performance.
7/31/2019 14,728 15,233
8/31/2019 14,190 14,794 The returns shown do not reflect
9/30/2019 14,680 15,153 the deduction of taxes that a
10/31/2019 15,307 15,766 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE SINCE fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
4.99% 3.81% 6.27% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
WORLD EX U.S. CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS)
APRIL 9, 2013-OCTOBER 31, 2019
[CHART]
World Ex U.S. Core MSCI All Country World
Equity Portfolio ex USA Index (net dividends)
------------------ ----------------------------
4/9/2013 $10,000 $10,000
4/30/2013 10,160 10,415
5/31/2013 9,890 10,174
6/30/2013 9,485 9,733
7/31/2013 9,971 10,159
8/31/2013 9,830 10,019
9/30/2013 10,575 10,715
10/31/2013 10,962 11,108
11/30/2013 10,952 11,127
12/31/2013 11,104 11,225
1/31/2014 10,653 10,715
2/28/2014 11,227 11,254
3/31/2014 11,309 11,282
4/30/2014 11,422 11,431
5/31/2014 11,597 11,654
6/30/2014 11,810 11,850
7/31/2014 11,592 11,732
8/31/2014 11,706 11,797
9/30/2014 11,072 11,226
10/31/2014 10,957 11,115
11/30/2014 10,916 11,195
12/31/2014 10,565 10,791
1/31/2015 10,565 10,775
2/28/2015 11,162 11,351
3/31/2015 10,968 11,168
4/30/2015 11,608 11,732
5/31/2015 11,534 11,549
6/30/2015 11,209 11,227
7/31/2015 10,976 11,196
8/31/2015 10,234 10,340
9/30/2015 9,847 9,860
10/31/2015 10,465 10,595
11/30/2015 10,348 10,376
12/31/2015 10,164 10,180
1/31/2016 9,533 9,488
2/29/2016 9,372 9,379
3/31/2016 10,212 10,142
4/30/2016 10,459 10,409
5/31/2016 10,319 10,233
6/30/2016 10,173 10,077
7/31/2016 10,705 10,575
8/31/2016 10,792 10,642
9/30/2016 10,993 10,773
10/31/2016 10,840 10,618
11/30/2016 10,610 10,373
12/31/2016 10,812 10,638
1/31/2017 11,295 11,015
2/28/2017 11,493 11,190
3/31/2017 11,793 11,474
4/30/2017 12,068 11,720
5/31/2017 12,376 12,100
6/30/2017 12,475 12,138
7/31/2017 12,965 12,585
8/31/2017 13,087 12,651
9/30/2017 13,340 12,886
10/31/2017 13,586 13,128
11/30/2017 13,698 13,235
12/31/2017 14,074 13,531
1/31/2018 14,863 14,284
2/28/2018 14,142 13,611
3/31/2018 14,040 13,371
4/30/2018 14,142 13,584
5/31/2018 13,883 13,270
6/30/2018 13,468 13,021
7/31/2018 13,753 13,332
8/31/2018 13,423 13,053
9/30/2018 13,400 13,113
10/31/2018 12,198 12,046
11/30/2018 12,312 12,160
12/31/2018 11,681 11,610
1/31/2019 12,624 12,487
2/28/2019 12,810 12,731
3/31/2019 12,827 12,807
4/30/2019 13,177 13,145
5/31/2019 12,338 12,440
6/30/2019 13,061 13,189 Past performance is not predictive
7/31/2019 12,743 13,029 of future performance.
8/31/2019 12,377 12,627
9/30/2019 12,765 12,952 The returns shown do not reflect
10/31/2019 13,251 13,404 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE SINCE fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
8.64% 3.87% 4.38% all rights reserved.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
WORLD CORE EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
MARCH 7, 2012-OCTOBER 31, 2019
[CHART]
MSCI All Country World
World Core Equity Portfolio Index (net dividends)
---------------------------- -------------------------
3/7/2012 $10,000 $10,000
3/31/2012 10,170 10,307
4/30/2012 10,050 10,189
5/31/2012 9,400 9,276
6/30/2012 9,822 9,734
7/31/2012 9,913 9,867
8/31/2012 10,175 10,082
9/30/2012 10,465 10,399
10/31/2012 10,354 10,330
11/30/2012 10,425 10,462
12/31/2012 10,644 10,699
1/31/2013 11,175 11,192
2/28/2013 11,266 11,190
3/31/2013 11,598 11,395
4/30/2013 11,843 11,720
5/31/2013 11,986 11,688
6/30/2013 11,754 11,346
7/31/2013 12,382 11,890
8/31/2013 12,053 11,642
9/30/2013 12,609 12,243
10/31/2013 13,125 12,735
11/30/2013 13,477 12,916
12/31/2013 13,786 13,138
1/31/2014 13,260 12,613
2/28/2014 13,902 13,222
3/31/2014 14,000 13,281
4/30/2014 14,074 13,407
5/31/2014 14,359 13,693
6/30/2014 14,684 13,950
7/31/2014 14,355 13,781
8/31/2014 14,726 14,086
9/30/2014 14,116 13,629
10/31/2014 14,222 13,725
11/30/2014 14,340 13,954
12/31/2014 14,128 13,685
1/31/2015 13,902 13,471
2/28/2015 14,731 14,221
3/31/2015 14,555 14,001
4/30/2015 14,944 14,407
5/31/2015 14,987 14,388
6/30/2015 14,696 14,049
7/31/2015 14,642 14,171
8/31/2015 13,729 13,200
9/30/2015 13,239 12,722
10/31/2015 14,135 13,720
11/30/2015 14,113 13,607
12/31/2015 13,780 13,362
1/31/2016 12,967 12,556
2/29/2016 12,901 12,469
3/31/2016 13,930 13,393
4/30/2016 14,140 13,591
5/31/2016 14,173 13,608
6/30/2016 14,055 13,526
7/31/2016 14,700 14,109
8/31/2016 14,789 14,156
9/30/2016 14,929 14,243
10/31/2016 14,662 14,001
11/30/2016 14,963 14,108
12/31/2016 15,257 14,412
1/31/2017 15,719 14,806
2/28/2017 16,114 15,222
3/31/2017 16,308 15,408
4/30/2017 16,579 15,648
5/31/2017 16,828 15,994
6/30/2017 17,001 16,066
7/31/2017 17,467 16,515
8/31/2017 17,524 16,579
9/30/2017 17,890 16,899
10/31/2017 18,347 17,250
11/30/2017 18,735 17,584
12/31/2017 19,085 17,867
1/31/2018 20,087 18,875
2/28/2018 19,235 18,083
3/31/2018 19,008 17,696
4/30/2018 19,088 17,865
5/31/2018 19,180 17,887
6/30/2018 18,969 17,790
7/31/2018 19,491 18,326
8/31/2018 19,630 18,470
9/30/2018 19,606 18,551
10/31/2018 17,951 17,161
11/30/2018 18,172 17,412
12/31/2018 16,737 16,185
1/31/2019 18,168 17,463
2/28/2019 18,653 17,930
3/31/2019 18,724 18,156
4/30/2019 19,412 18,769
5/31/2019 18,060 17,655 Past performance is not predictive
6/30/2019 19,295 18,812 of future performance.
7/31/2019 19,236 18,867
8/31/2019 18,674 18,419 The returns shown do not reflect
9/30/2019 19,194 18,807 the deduction of taxes that a
10/31/2019 19,734 19,321 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE SINCE fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------------ MSCI data copyright MSCI 2019,
9.94% 6.77% 9.29% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS.
MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS)
NOVEMBER 14, 2011-OCTOBER 31, 2019
[CHART]
Selectively Hedged MSCI All Country
Global Equity Portfolio World Index (net dividends)
--------------------------- --------------------------
11/14/2011 $10,000 $10,000
11/30/2011 9,920 9,873
12/31/2011 9,828 9,853
1/31/2012 10,533 10,426
2/29/2012 11,077 10,951
3/31/2012 11,141 11,024
4/30/2012 10,939 10,898
5/31/2012 9,962 9,921
6/30/2012 10,442 10,410
7/31/2012 10,463 10,553
8/31/2012 10,748 10,782
9/30/2012 11,122 11,122
10/31/2012 11,112 11,048
11/30/2012 11,265 11,189
12/31/2012 11,718 11,443
1/31/2013 12,225 11,970
2/28/2013 12,287 11,968
3/31/2013 12,576 12,187
4/30/2013 12,814 12,535
5/31/2013 12,897 12,501
6/30/2013 12,514 12,135
7/31/2013 13,114 12,716
8/31/2013 12,845 12,451
9/30/2013 13,569 13,094
10/31/2013 14,096 13,621
11/30/2013 14,324 13,813
12/31/2013 14,611 14,052
1/31/2014 14,001 13,490
2/28/2014 14,675 14,141
3/31/2014 14,847 14,204
4/30/2014 14,879 14,339
5/31/2014 15,136 14,644
6/30/2014 15,500 14,920
7/31/2014 15,200 14,739
8/31/2014 15,628 15,065
9/30/2014 15,061 14,576
10/31/2014 15,200 14,679
11/30/2014 15,360 14,924
12/31/2014 15,182 14,636
1/31/2015 14,958 14,408
2/28/2015 15,878 15,210
3/31/2015 15,766 14,974
4/30/2015 16,136 15,409
5/31/2015 16,226 15,388
6/30/2015 15,867 15,026
7/31/2015 15,754 15,157
8/31/2015 14,700 14,118
9/30/2015 14,172 13,606
10/31/2015 15,148 14,674
11/30/2015 15,204 14,553
12/31/2015 14,728 14,290
1/31/2016 13,907 13,429
2/29/2016 13,768 13,336
3/31/2016 14,797 14,324
4/30/2016 14,948 14,536
5/31/2016 15,063 14,554
6/30/2016 14,971 14,466
7/31/2016 15,641 15,090
8/31/2016 15,792 15,140
9/30/2016 15,930 15,233
10/31/2016 15,803 14,975
11/30/2016 16,254 15,088
12/31/2016 16,619 15,414
1/31/2017 17,012 15,836
2/28/2017 17,477 16,280
3/31/2017 17,679 16,479
4/30/2017 17,906 16,736
5/31/2017 18,072 17,106
6/30/2017 18,239 17,183
7/31/2017 18,656 17,664
8/31/2017 18,716 17,731
9/30/2017 19,121 18,074
10/31/2017 19,681 18,449
11/30/2017 20,002 18,806
12/31/2017 20,383 19,109
1/31/2018 21,253 20,187
2/28/2018 20,396 19,340
3/31/2018 20,163 18,926
4/30/2018 20,347 19,106
5/31/2018 20,457 19,130
6/30/2018 20,224 19,027
7/31/2018 20,812 19,600
8/31/2018 20,934 19,754
9/30/2018 20,885 19,840
10/31/2018 19,233 18,354
11/30/2018 19,514 18,622
12/31/2018 18,000 17,310
1/31/2019 19,498 18,677
2/28/2019 20,035 19,177
3/31/2019 20,125 19,418
4/30/2019 20,855 20,074
5/31/2019 19,434 18,883
6/30/2019 20,663 20,119 Past performance is not predictive
7/31/2019 20,714 20,178 of future performance.
8/31/2019 20,048 19,700
9/30/2019 20,676 20,114 The returns shown do not reflect
10/31/2019 21,175 20,665 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE SINCE fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
--------------------------------------------------------------- MSCI data copyright MSCI 2019,
10.10% 6.86% 9.88% all rights reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Emerging MSCI Emerging Markets
Markets Portfolio Index (net dividends)
--------------------------- --------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,595 10,430
12/31/2009 10,974 10,841
1/31/2010 10,372 10,237
2/28/2010 10,497 10,273
3/31/2010 11,373 11,102
4/30/2010 11,438 11,237
5/31/2010 10,371 10,248
6/30/2010 10,387 10,173
7/31/2010 11,299 11,020
8/31/2010 11,034 10,806
9/30/2010 12,285 12,007
10/31/2010 12,653 12,356
11/30/2010 12,367 12,029
12/31/2010 13,368 12,888
1/31/2011 13,019 12,538
2/28/2011 12,923 12,421
3/31/2011 13,638 13,152
4/30/2011 14,113 13,560
5/31/2011 13,721 13,204
6/30/2011 13,554 13,001
7/31/2011 13,444 12,943
8/31/2011 12,352 11,786
9/30/2011 10,482 10,068
10/31/2011 11,791 11,402
11/30/2011 11,375 10,642
12/31/2011 11,040 10,513
1/31/2012 12,224 11,706
2/29/2012 12,884 12,407
3/31/2012 12,545 11,993
4/30/2012 12,317 11,850
5/31/2012 10,989 10,521
6/30/2012 11,526 10,927
7/31/2012 11,619 11,140
8/31/2012 11,690 11,103
9/30/2012 12,342 11,773
10/31/2012 12,272 11,701
11/30/2012 12,432 11,850
12/31/2012 13,155 12,429
1/31/2013 13,221 12,601
2/28/2013 13,064 12,442
3/31/2013 12,875 12,228
4/30/2013 13,013 12,320
5/31/2013 12,588 12,004
6/30/2013 11,795 11,240
7/31/2013 11,964 11,357
8/31/2013 11,680 11,162
9/30/2013 12,512 11,888
10/31/2013 13,080 12,466
11/30/2013 12,881 12,284
12/31/2013 12,744 12,106
1/31/2014 11,856 11,320
2/28/2014 12,283 11,695
3/31/2014 12,710 12,054
4/30/2014 12,783 12,094
5/31/2014 13,215 12,516
6/30/2014 13,579 12,849
7/31/2014 13,737 13,097
8/31/2014 14,161 13,392
9/30/2014 13,115 12,400
10/31/2014 13,254 12,546
11/30/2014 13,120 12,413
12/31/2014 12,526 11,841
1/31/2015 12,606 11,912
2/28/2015 12,986 12,281
3/31/2015 12,711 12,106
4/30/2015 13,557 13,037
5/31/2015 13,011 12,515
6/30/2015 12,694 12,190
7/31/2015 11,876 11,345
8/31/2015 10,892 10,319
9/30/2015 10,596 10,009
10/31/2015 11,235 10,723
11/30/2015 10,845 10,304
12/31/2015 10,546 10,075
1/31/2016 10,097 9,421
2/29/2016 10,036 9,406
3/31/2016 11,360 10,650
4/30/2016 11,426 10,708
5/31/2016 10,976 10,309
6/30/2016 11,556 10,721
7/31/2016 12,148 11,260
8/31/2016 12,292 11,540
9/30/2016 12,446 11,689
10/31/2016 12,472 11,716
11/30/2016 11,820 11,177
12/31/2016 11,821 11,202
1/31/2017 12,528 11,815
2/28/2017 12,944 12,176
3/31/2017 13,360 12,484
4/30/2017 13,615 12,757
5/31/2017 14,021 13,134
6/30/2017 14,151 13,266
7/31/2017 14,897 14,057
8/31/2017 15,205 14,371
9/30/2017 15,057 14,314
10/31/2017 15,568 14,815
11/30/2017 15,615 14,845
12/31/2017 16,144 15,378
1/31/2018 17,357 16,660
2/28/2018 16,525 15,891
3/31/2018 16,441 15,596
4/30/2018 16,229 15,527
5/31/2018 15,588 14,977
6/30/2018 14,925 14,355
7/31/2018 15,462 14,670
8/31/2018 15,105 14,273
9/30/2018 14,925 14,198
10/31/2018 13,679 12,961
11/30/2018 14,275 13,495
12/31/2018 13,944 13,138
1/31/2019 15,085 14,288
2/28/2019 14,950 14,320
3/31/2019 15,085 14,440
4/30/2019 15,323 14,744
5/31/2019 14,409 13,675
6/30/2019 15,214 14,528 Past performance is not predictive
7/31/2019 14,839 14,350 of future performance.
8/31/2019 14,242 13,651
9/30/2019 14,607 13,911 The returns shown do not reflect
10/31/2019 15,191 14,498 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
11.06% 2.77% 4.27% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Emerging Markets MSCI Emerging
Small cap Portfolio Markets Index (net dividends)
-------------------------- ----------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,585 10,430
12/31/2009 11,168 10,841
1/31/2010 10,673 10,237
2/28/2010 10,857 10,273
3/31/2010 11,785 11,102
4/30/2010 11,975 11,237
5/31/2010 10,766 10,248
6/30/2010 11,051 10,173
7/31/2010 12,065 11,020
8/31/2010 12,123 10,806
9/30/2010 13,591 12,007
10/31/2010 14,133 12,356
11/30/2010 13,749 12,029
12/31/2010 14,539 12,888
1/31/2011 13,923 12,538
2/28/2011 13,512 12,421
3/31/2011 14,261 13,152
4/30/2011 15,010 13,560
5/31/2011 14,666 13,204
6/30/2011 14,547 13,001
7/31/2011 14,711 12,943
8/31/2011 13,312 11,786
9/30/2011 10,945 10,068
10/31/2011 12,151 11,402
11/30/2011 11,557 10,642
12/31/2011 11,250 10,513
1/31/2012 12,518 11,706
2/29/2012 13,540 12,407
3/31/2012 13,187 11,993
4/30/2012 12,872 11,850
5/31/2012 11,692 10,521
6/30/2012 12,139 10,927
7/31/2012 11,987 11,140
8/31/2012 12,298 11,103
9/30/2012 13,017 11,773
10/31/2012 12,966 11,701
11/30/2012 13,189 11,850
12/31/2012 14,000 12,429
1/31/2013 14,258 12,601
2/28/2013 14,403 12,442
3/31/2013 14,336 12,228
4/30/2013 14,627 12,320
5/31/2013 14,415 12,004
6/30/2013 13,168 11,240
7/31/2013 13,228 11,357
8/31/2013 12,675 11,162
9/30/2013 13,601 11,888
10/31/2013 14,123 12,466
11/30/2013 13,922 12,284
12/31/2013 13,807 12,106
1/31/2014 13,216 11,320
2/28/2014 13,800 11,695
3/31/2014 14,273 12,054
4/30/2014 14,390 12,094
5/31/2014 14,878 12,516
6/30/2014 15,260 12,849
7/31/2014 15,295 13,097
8/31/2014 15,763 13,392
9/30/2014 14,978 12,400
10/31/2014 14,846 12,546
11/30/2014 14,673 12,413
12/31/2014 14,221 11,841
1/31/2015 14,450 11,912
2/28/2015 14,821 12,281
3/31/2015 14,707 12,106
4/30/2015 15,751 13,037
5/31/2015 15,529 12,515
6/30/2015 14,996 12,190
7/31/2015 14,081 11,345
8/31/2015 12,700 10,319
9/30/2015 12,679 10,009
10/31/2015 13,380 10,723
11/30/2015 13,106 10,304
12/31/2015 12,984 10,075
1/31/2016 12,209 9,421
2/29/2016 12,157 9,406
3/31/2016 13,653 10,650
4/30/2016 13,994 10,708
5/31/2016 13,409 10,309
6/30/2016 14,151 10,721
7/31/2016 14,973 11,260
8/31/2016 15,062 11,540
9/30/2016 15,308 11,689
10/31/2016 15,248 11,716
11/30/2016 14,321 11,177
12/31/2016 14,402 11,202
1/31/2017 15,241 11,815
2/28/2017 16,040 12,176
3/31/2017 16,537 12,484
4/30/2017 16,747 12,757
5/31/2017 16,809 13,134
6/30/2017 16,914 13,266
7/31/2017 17,622 14,057
8/31/2017 18,027 14,371
9/30/2017 17,940 14,314
10/31/2017 18,450 14,815
11/30/2017 18,733 14,845
12/31/2017 19,480 15,378
1/31/2018 20,753 16,660
2/28/2018 19,871 15,891
3/31/2018 19,757 15,596
4/30/2018 19,561 15,527
5/31/2018 19,129 14,977
6/30/2018 17,839 14,355
7/31/2018 18,125 14,670
8/31/2018 17,594 14,273
9/30/2018 17,029 14,198
10/31/2018 15,415 12,961
11/30/2018 16,362 13,495
12/31/2018 16,059 13,138
1/31/2019 17,241 14,288
2/28/2019 17,292 14,320
3/31/2019 17,472 14,440
4/30/2019 17,635 14,744
5/31/2019 16,761 13,675
6/30/2019 17,606 14,528 Past performance is not predictive
7/31/2019 17,177 14,350 of future performance.
8/31/2019 16,456 13,651
9/30/2019 16,771 13,911 The returns shown do not reflect
10/31/2019 17,413 14,498 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------------- MSCI data copyright MSCI 2019,
12.96% 3.24% 5.70% all rights reserved.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Emerging Markets Value MSCI Emerging Markets
Portfolio - Institutional Class Index (net dividends)
------------------------------- ------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,637 10,430
12/31/2009 11,164 10,841
1/31/2010 10,528 10,237
2/28/2010 10,610 10,273
3/31/2010 11,543 11,102
4/30/2010 11,618 11,237
5/31/2010 10,400 10,248
6/30/2010 10,465 10,173
7/31/2010 11,433 11,020
8/31/2010 11,226 10,806
9/30/2010 12,574 12,007
10/31/2010 13,004 12,356
11/30/2010 12,581 12,029
12/31/2010 13,626 12,888
1/31/2011 13,200 12,538
2/28/2011 12,978 12,421
3/31/2011 13,724 13,152
4/30/2011 14,214 13,560
5/31/2011 13,671 13,204
6/30/2011 13,391 13,001
7/31/2011 13,278 12,943
8/31/2011 11,930 11,786
9/30/2011 9,788 10,068
10/31/2011 11,074 11,402
11/30/2011 10,513 10,642
12/31/2011 10,135 10,513
1/31/2012 11,541 11,706
2/29/2012 12,244 12,407
3/31/2012 11,717 11,993
4/30/2012 11,334 11,850
5/31/2012 10,081 10,521
6/30/2012 10,536 10,927
7/31/2012 10,470 11,140
8/31/2012 10,615 11,103
9/30/2012 11,298 11,773
10/31/2012 11,151 11,701
11/30/2012 11,274 11,850
12/31/2012 12,098 12,429
1/31/2013 12,292 12,601
2/28/2013 12,086 12,442
3/31/2013 11,982 12,228
4/30/2013 12,088 12,320
5/31/2013 11,743 12,004
6/30/2013 10,754 11,240
7/31/2013 10,963 11,357
8/31/2013 10,730 11,162
9/30/2013 11,522 11,888
10/31/2013 12,045 12,466
11/30/2013 11,753 12,284
12/31/2013 11,638 12,106
1/31/2014 10,824 11,320
2/28/2014 11,064 11,695
3/31/2014 11,558 12,054
4/30/2014 11,634 12,094
5/31/2014 12,106 12,516
6/30/2014 12,421 12,849
7/31/2014 12,653 13,097
8/31/2014 12,936 13,392
9/30/2014 11,875 12,400
10/31/2014 11,863 12,546
11/30/2014 11,666 12,413
12/31/2014 11,124 11,841
1/31/2015 11,033 11,912
2/28/2015 11,426 12,281
3/31/2015 11,102 12,106
4/30/2015 12,208 13,037
5/31/2015 11,664 12,515
6/30/2015 11,292 12,190
7/31/2015 10,385 11,345
8/31/2015 9,444 10,319
9/30/2015 9,128 10,009
10/31/2015 9,696 10,723
11/30/2015 9,316 10,304
12/31/2015 9,036 10,075
1/31/2016 8,526 9,421
2/29/2016 8,580 9,406
3/31/2016 9,840 10,650
4/30/2016 10,106 10,708
5/31/2016 9,449 10,309
6/30/2016 9,966 10,721
7/31/2016 10,593 11,260
8/31/2016 10,785 11,540
9/30/2016 10,934 11,689
10/31/2016 11,173 11,716
11/30/2016 10,781 11,177
12/31/2016 10,829 11,202
1/31/2017 11,511 11,815
2/28/2017 12,036 12,176
3/31/2017 12,366 12,484
4/30/2017 12,456 12,757
5/31/2017 12,682 13,134
6/30/2017 12,715 13,266
7/31/2017 13,395 14,057
8/31/2017 13,730 14,371
9/30/2017 13,422 14,314
10/31/2017 13,899 14,815
11/30/2017 13,968 14,845
12/31/2017 14,485 15,378
1/31/2018 15,756 16,660
2/28/2018 15,013 15,891
3/31/2018 14,809 15,596
4/30/2018 14,865 15,527
5/31/2018 14,220 14,977
6/30/2018 13,445 14,355
7/31/2018 14,062 14,670
8/31/2018 13,728 14,273
9/30/2018 13,741 14,198
10/31/2018 12,586 12,961
11/30/2018 13,037 13,495
12/31/2018 12,756 13,138
1/31/2019 13,687 14,288
2/28/2019 13,592 14,320
3/31/2019 13,668 14,440
4/30/2019 13,773 14,744
5/31/2019 13,046 13,675
6/30/2019 13,708 14,528 Past performance is not predictive
7/31/2019 13,103 14,350 of future performance.
8/31/2019 12,432 13,651
9/30/2019 12,750 13,911 The returns shown do not reflect
10/31/2019 13,194 14,498 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
4.83% 2.15% 2.81% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Emerging Markets value MSCI Emerging
Portfolio - Class R2 Markets Index (net dividends)
-------------------------- ----------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,640 10,430
12/31/2009 11,160 10,841
1/31/2010 10,537 10,237
2/28/2010 10,593 10,273
3/31/2010 11,500 11,102
4/30/2010 11,613 11,237
5/31/2010 10,367 10,248
6/30/2010 10,425 10,173
7/31/2010 11,430 11,020
8/31/2010 11,179 10,806
9/30/2010 12,503 12,007
10/31/2010 12,971 12,356
11/30/2010 12,503 12,029
12/31/2010 13,555 12,888
1/31/2011 13,128 12,538
2/28/2011 12,911 12,421
3/31/2011 13,649 13,152
4/30/2011 14,129 13,560
5/31/2011 13,589 13,204
6/30/2011 13,304 13,001
7/31/2011 13,191 12,943
8/31/2011 11,848 11,786
9/30/2011 9,721 10,068
10/31/2011 10,994 11,402
11/30/2011 10,434 10,642
12/31/2011 10,059 10,513
1/31/2012 11,450 11,706
2/29/2012 12,143 12,407
3/31/2012 11,620 11,993
4/30/2012 11,240 11,850
5/31/2012 9,993 10,521
6/30/2012 10,443 10,927
7/31/2012 10,376 11,140
8/31/2012 10,517 11,103
9/30/2012 11,190 11,773
10/31/2012 11,041 11,701
11/30/2012 11,162 11,850
12/31/2012 11,973 12,429
1/31/2013 12,166 12,601
2/28/2013 11,957 12,442
3/31/2013 11,854 12,228
4/30/2013 11,954 12,320
5/31/2013 11,609 12,004
6/30/2013 10,628 11,240
7/31/2013 10,834 11,357
8/31/2013 10,604 11,162
9/30/2013 11,385 11,888
10/31/2013 11,897 12,466
11/30/2013 11,608 12,284
12/31/2013 11,489 12,106
1/31/2014 10,681 11,320
2/28/2014 10,919 11,695
3/31/2014 11,401 12,054
4/30/2014 11,472 12,094
5/31/2014 11,938 12,516
6/30/2014 12,247 12,849
7/31/2014 12,476 13,097
8/31/2014 12,751 13,392
9/30/2014 11,705 12,400
10/31/2014 11,689 12,546
11/30/2014 11,491 12,413
12/31/2014 10,954 11,841
1/31/2015 10,865 11,912
2/28/2015 11,248 12,281
3/31/2015 10,929 12,106
4/30/2015 12,010 13,037
5/31/2015 11,474 12,515
6/30/2015 11,108 12,190
7/31/2015 10,214 11,345
8/31/2015 9,286 10,319
9/30/2015 8,973 10,009
10/31/2015 9,528 10,723
11/30/2015 9,154 10,304
12/31/2015 8,875 10,075
1/31/2016 8,378 9,421
2/29/2016 8,426 9,406
3/31/2016 9,661 10,650
4/30/2016 9,920 10,708
5/31/2016 9,271 10,309
6/30/2016 9,776 10,721
7/31/2016 10,390 11,260
8/31/2016 10,579 11,540
9/30/2016 10,725 11,689
10/31/2016 10,955 11,716
11/30/2016 10,569 11,177
12/31/2016 10,613 11,202
1/31/2017 11,281 11,815
2/28/2017 11,789 12,176
3/31/2017 12,119 12,484
4/30/2017 12,204 12,757
5/31/2017 12,417 13,134
6/30/2017 12,447 13,266
7/31/2017 13,112 14,057
8/31/2017 13,438 14,371
9/30/2017 13,136 14,314
10/31/2017 13,596 14,815
11/30/2017 13,664 14,845
12/31/2017 14,164 15,378
1/31/2018 15,405 16,660
2/28/2018 14,675 15,891
3/31/2018 14,474 15,596
4/30/2018 14,524 15,527
5/31/2018 13,894 14,977
6/30/2018 13,132 14,355
7/31/2018 13,730 14,670
8/31/2018 13,401 14,273
9/30/2018 13,412 14,198
10/31/2018 12,282 12,961
11/30/2018 12,720 13,495
12/31/2018 12,446 13,138
1/31/2019 13,350 14,288
2/28/2019 13,252 14,320
3/31/2019 13,327 14,440
4/30/2019 13,425 14,744
5/31/2019 12,711 13,675
6/30/2019 13,355 14,528 Past performance is not predictive
7/31/2019 12,762 14,350 of future performance.
8/31/2019 12,104 13,651
9/30/2019 12,413 13,911 The returns shown do not reflect
10/31/2019 12,844 14,498 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- MSCI data copyright MSCI 2019,
4.57% 1.90% 2.53% all rights reserved.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS CORE EQUITY PORTFOLIO VS.
MSCI Emerging Markets Index (net dividends)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Emerging Markets Core MSCI Emerging Markets
Equity Portfolio Index (net dividends)
------------------ ----------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,612 10,430
12/31/2009 11,097 10,841
1/31/2010 10,488 10,237
2/28/2010 10,604 10,273
3/31/2010 11,518 11,102
4/30/2010 11,628 11,237
5/31/2010 10,501 10,248
6/30/2010 10,590 10,173
7/31/2010 11,547 11,020
8/31/2010 11,393 10,806
9/30/2010 12,755 12,007
10/31/2010 13,130 12,356
11/30/2010 12,779 12,029
12/31/2010 13,718 12,888
1/31/2011 13,285 12,538
2/28/2011 13,056 12,421
3/31/2011 13,798 13,152
4/30/2011 14,343 13,560
5/31/2011 13,947 13,204
6/30/2011 13,753 13,001
7/31/2011 13,722 12,943
8/31/2011 12,483 11,786
9/30/2011 10,418 10,068
10/31/2011 11,740 11,402
11/30/2011 11,239 10,642
12/31/2011 10,886 10,513
1/31/2012 12,168 11,706
2/29/2012 12,932 12,407
3/31/2012 12,528 11,993
4/30/2012 12,250 11,850
5/31/2012 10,962 10,521
6/30/2012 11,453 10,927
7/31/2012 11,459 11,140
8/31/2012 11,580 11,103
9/30/2012 12,240 11,773
10/31/2012 12,157 11,701
11/30/2012 12,342 11,850
12/31/2012 13,116 12,429
1/31/2013 13,232 12,601
2/28/2013 13,142 12,442
3/31/2013 13,002 12,228
4/30/2013 13,150 12,320
5/31/2013 12,789 12,004
6/30/2013 11,871 11,240
7/31/2013 12,033 11,357
8/31/2013 11,722 11,162
9/30/2013 12,558 11,888
10/31/2013 13,099 12,466
11/30/2013 12,884 12,284
12/31/2013 12,770 12,106
1/31/2014 11,963 11,320
2/28/2014 12,396 11,695
3/31/2014 12,849 12,054
4/30/2014 12,940 12,094
5/31/2014 13,367 12,516
6/30/2014 13,714 12,849
7/31/2014 13,839 13,097
8/31/2014 14,268 13,392
9/30/2014 13,274 12,400
10/31/2014 13,348 12,546
11/30/2014 13,208 12,413
12/31/2014 12,653 11,841
1/31/2015 12,753 11,912
2/28/2015 13,121 12,281
3/31/2015 12,901 12,106
4/30/2015 13,790 13,037
5/31/2015 13,302 12,515
6/30/2015 12,947 12,190
7/31/2015 12,081 11,345
8/31/2015 11,028 10,319
9/30/2015 10,795 10,009
10/31/2015 11,413 10,723
11/30/2015 11,046 10,304
12/31/2015 10,773 10,075
1/31/2016 10,274 9,421
2/29/2016 10,213 9,406
3/31/2016 11,556 10,650
4/30/2016 11,693 10,708
5/31/2016 11,192 10,309
6/30/2016 11,812 10,721
7/31/2016 12,461 11,260
8/31/2016 12,585 11,540
9/30/2016 12,754 11,689
10/31/2016 12,768 11,716
11/30/2016 12,074 11,177
12/31/2016 12,104 11,202
1/31/2017 12,843 11,815
2/28/2017 13,345 12,176
3/31/2017 13,760 12,484
4/30/2017 14,004 12,757
5/31/2017 14,276 13,134
6/30/2017 14,404 13,266
7/31/2017 15,112 14,057
8/31/2017 15,463 14,371
9/30/2017 15,346 14,314
10/31/2017 15,834 14,815
11/30/2017 15,933 14,845
12/31/2017 16,529 15,378
1/31/2018 17,696 16,660
2/28/2018 16,892 15,891
3/31/2018 16,806 15,596
4/30/2018 16,586 15,527
5/31/2018 15,981 14,977
6/30/2018 15,148 14,355
7/31/2018 15,627 14,670
8/31/2018 15,241 14,273
9/30/2018 14,965 14,198
10/31/2018 13,700 12,961
11/30/2018 14,350 13,495
12/31/2018 14,008 13,138
1/31/2019 15,151 14,288
2/28/2019 15,056 14,320
3/31/2019 15,214 14,440
4/30/2019 15,418 14,744
5/31/2019 14,529 13,675 Past performance is not predictive
6/30/2019 15,345 14,528 of future performance.
7/31/2019 14,941 14,350
8/31/2019 14,311 13,651 The returns shown do not reflect
9/30/2019 14,703 13,911 the deduction of taxes that a
10/31/2019 15,290 14,498 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ MSCI data copyright MSCI 2019,
11.61% 2.75% 4.34% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
EMERGING MARKETS TARGETED VALUE PORTFOLIO VS.
MSCI Emerging Markets Index (net dividends)
NOVEMBER 14, 2018-OCTOBER 31, 2019
[CHART]
Emerging Markets MSCI Emerging Markets
Targeted Value Portfolio Index (net dividends)
------------------------ ---------------------
11/14/2018 $10,000 $10,000
11/30/2018 10,230 10,278
12/31/2018 10,038 10,005
1/31/2019 10,839 10,881
2/28/2019 10,809 10,906
3/31/2019 10,869 10,997
4/30/2019 10,879 11,229
5/31/2019 10,328 10,414 Past performance is not predictive
6/30/2019 10,859 11,064 of future performance.
7/31/2019 10,508 10,929
8/31/2019 9,978 10,396 The returns shown do not reflect
9/30/2019 10,098 10,594 the deduction of taxes that a
10/31/2019 10,438 11,041 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL SINCE fund shares.
TOTAL RETURN INCEPTION
---------------------------------------------- MSCI data copyright MSCI 2019,
4.38% all rights reserved.
--------------------------------------------------------------------------------
14
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed large-cap stocks but outperformed small-cap stocks. Value stocks
underperformed growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index..................................... 11.08%
MSCI World ex USA Mid Cap Index............................. 10.71%
MSCI World ex USA Small Cap Index........................... 8.61%
MSCI World ex USA Value Index............................... 5.95%
MSCI World ex USA Growth Index.............................. 16.25%
For the 12 Months Ended October 31, 2019, the U.S. dollar appreciated
against some non-U.S. developed markets currencies and depreciated against
others. Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of developed markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................................................ 4.57% 9.16%
United Kingdom................................................... 5.73% 7.08%
France........................................................... 14.29% 12.54%
Canada........................................................... 11.54% 11.45%
Switzerland...................................................... 16.43% 18.69%
Germany.......................................................... 9.14% 7.46%
Australia........................................................ 20.12% 16.76%
Netherlands...................................................... 21.77% 20.09%
Hong Kong........................................................ 15.60% 15.63%
Spain............................................................ 7.47% 5.82%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
Emerging markets had positive performance for the period, outperforming
non-U.S. developed markets but underperforming the U.S. As measured by the MSCI
emerging markets indices, small-cap stocks underperformed large-cap stocks, and
mid-cap stocks, a subset of the large-cap universe, underperformed large-cap
stocks but outperformed small-cap stocks. Value stocks underperformed growth
stocks as measured by the MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index................................. 11.86%
MSCI Emerging Markets Mid Cap Index......................... 11.08%
MSCI Emerging Markets Small Cap Index....................... 9.69%
MSCI Emerging Markets Value Index........................... 6.00%
MSCI Emerging Markets Growth Index.......................... 17.97%
15
For the 12 Months Ended October 31, 2019, the U.S. dollar depreciated
against some emerging markets currencies and appreciated against others.
Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China............................................................ 12.94% 12.90%
Korea............................................................ 7.43% 5.22%
Taiwan........................................................... 20.39% 22.38%
India............................................................ 12.67% 17.46%
Brazil........................................................... 22.35% 13.21%
South Africa..................................................... 10.59% 8.41%
Russia........................................................... 31.36% 34.30%
Thailand......................................................... -4.10% 5.28%
Mexico........................................................... 1.02% 6.71%
Saudi Arabia..................................................... -1.29% -1.27%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2019,
these differences generally detracted from the Portfolios' relative performance.
LARGE CAP INTERNATIONAL PORTFOLIO
The Large Cap International Portfolio invests in developed ex U.S. large
company stocks. The investment strategy is process driven, emphasizing broad
diversification. with increased exposure to stocks with smaller total market
capitalizations, lower relative price (value) stocks, and higher-profitability
stocks within the large-cap segment of developed ex U.S. markets. As of
October 31, 2019, the Portfolio held approximately 1,400 securities in 22
eligible developed markets. Average cash exposure throughout the year was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 10.38% for the
Portfolio and 11.08% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's emphasis on stocks with smaller relative market
capitalizations and consequent lesser allocation to stocks with larger market
capitalizations had a negative impact on performance relative to the benchmark,
as these stocks underperformed their larger counterparts. At the sector level,
the Portfolio's exclusion of real estate investment trusts (REITs) had a
negative impact on relative performance, as REITs generally outperformed in
developed ex U.S. markets.
INTERNATIONAL CORE EQUITY PORTFOLIO
The International Core Equity Portfolio invests in a broadly diversified
group of stocks in developed ex U.S. markets, with increased exposure to stocks
with smaller market capitalization, lower relative price (value), and higher
profitability. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Portfolio held approximately 5,300
securities in 22 eligible developed markets. Average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 7.67% for the
Portfolio and 11.08% for the MSCI
16
World ex USA Index (net dividends), the Portfolio's benchmark. As a result of
the Portfolio's diversified investment approach, performance was determined
principally by broad trends in developed ex U.S. equity markets rather than by
the behavior of a limited number of stocks. With small-cap stocks
underperforming large-cap stocks in developed ex U.S. markets for the period,
the Portfolio's inclusion of and emphasis on small-caps had a negative impact
on performance relative to the benchmark, which is composed primarily of large-
and mid-cap stocks. The Portfolio's greater emphasis on low relative price
(value) stocks also detracted from relative performance, as value stocks
underperformed high relative price (growth) stocks.
GLOBAL SMALL COMPANY PORTFOLIO
The Global Small Company Portfolio is designed to capture the returns of
global small company stocks by purchasing shares of seven funds (which shall be
collectively referred to below as the "Underlying Funds") managed by
Dimensional that individually invest in Canada, the United States, the
United Kingdom, Europe (including Israel and excluding the U.K.), Japan, the
Asia Pacific region (ex Japan), and emerging markets. The Underlying Funds
generally exclude stocks with the lowest profitability and highest relative
price. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Underlying Funds collectively held
approximately 10,600 securities in 41 eligible developed and emerging markets.
For the 12 months ended October 31, 2019, total returns were 4.29% for the
Portfolio and 8.03% for the MSCI All Country World Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad trends in global equity markets rather than by the behavior of a limited
number of stocks. The Underlying Funds' greater emphasis on stocks with smaller
market capitalizations had a negative impact on performance relative to the
benchmark, as these stocks underperformed. At the sector level, the Underlying
Funds' exclusion of real estate investment trusts (REITs) detracted from
relative performance, as REITs generally outperformed globally.
INTERNATIONAL SMALL COMPANY PORTFOLIO
The International Small Company Portfolio invests in developed ex U.S. small
company stocks by purchasing shares of five Master Funds managed by Dimensional
that invest individually in Canada, the United Kingdom, Europe (including
Israel and excluding the U.K.), Japan, and the Asia Pacific region (ex Japan).
The Portfolio generally excluded stocks with the lowest profitability and
highest relative price. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2019, the Master Funds collectively
held approximately 4,400 securities in 22 eligible developed markets. Average
cash exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 6.44% for the
Portfolio and 8.61% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Master Funds' diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. At the sector level, the Master Funds' exclusion of real
estate investment trusts (REITs) detracted from performance relative to the
benchmark, as REITs generally outperformed in developed ex U.S. markets. With
micro-caps underperforming small-caps for the period, the Master Funds' greater
allocation to micro-cap stocks also detracted from relative performance.
JAPANESE SMALL COMPANY PORTFOLIO
The Japanese Small Company Portfolio invests in Japanese small company
stocks by purchasing shares of the Japanese Small Company Series, a Master Fund
managed by Dimensional that invests in such securities. The Master Fund
generally excluded stocks with the lowest profitability and highest relative
price. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Master Fund held approximately
1,800 securities. Average cash exposure throughout the year was less than 1% of
the Master Fund's assets.
For the 12 months ended October 31, 2019, total returns were 4.01% for the
Portfolio and 9.31% for the MSCI Japan Small Cap Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in the
Japanese equity market rather than by the behavior of a limited number of
stocks. The Master Fund's greater allocations to small- and micro-caps
17
detracted from performance relative to the benchmark, as stocks with smaller
market capitalizations underperformed. The Master Fund's exclusion of stocks
with the lowest profitability and highest relative price had a negative impact
on relative performance, as those stocks outperformed. At the sector level, the
Master Fund's exclusion of real estate investment trusts (REITs) detracted from
relative performance, as REITs generally outperformed in Japan.
ASIA PACIFIC SMALL COMPANY PORTFOLIO
The Asia Pacific Small Company Portfolio invests in small company stocks in
Australia, Hong Kong, New Zealand, and Singapore by purchasing shares of the
Asia Pacific Small Company Series, a Master Fund managed by Dimensional that
invests in such securities. The Master Fund generally excluded stocks with the
lowest profitability and highest relative price. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2019, the
Master Fund held approximately 810 securities in 4 eligible countries. Average
cash exposure throughout the year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2019, total returns were 4.81% for the
Portfolio and 11.11% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in Asia Pacific equity markets rather than by the behavior of a
limited number of stocks. The Master Fund's greater emphasis on stocks with
smaller market capitalizations detracted from performance relative to the
benchmark, as small-caps underperformed mid-caps in Asia Pacific (ex Japan)
markets for the year. At the sector level, the Master Fund's exclusion of real
estate investment trusts (REITs) also detracted from relative performance, as
REITs generally outperformed in Asia Pacific (ex Japan) markets. The Master
Fund's exclusion of stocks with the lowest profitability and highest relative
price had a negative impact on relative performance, as those securities also
outperformed.
UNITED KINGDOM SMALL COMPANY PORTFOLIO
The United Kingdom Small Company Portfolio invests in small company stocks
in the U.K. by purchasing shares of The United Kingdom Small Company Series, a
Master Fund managed by Dimensional that invests in such securities. The Master
Fund generally excluded stocks with the lowest profitability and highest
relative price. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Master Fund held approximately 350
securities. Average cash exposure throughout the year was less than 1% of the
Master Fund's assets.
For the 12 months ended October 31, 2019, total returns were 10.14% for the
Portfolio and 9.41% for the MSCI United Kingdom Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in the U.K. equity market rather than by the behavior of a limited
number of stocks. The Master Fund's exclusion of stocks with the lowest
profitability and highest relative price contributed positively to performance
relative to the benchmark, as those securities underperformed for the year.
Conversely, at the sector level, the Master Fund's exclusion of real estate
investment trusts (REITs) detracted from relative performance, as REITs
generally outperformed in the U.K.
CONTINENTAL SMALL COMPANY PORTFOLIO
The Continental Small Company Portfolio invests in small company stocks in
the developed markets of Europe (excluding the U.K.) and Israel by purchasing
shares of the Continental Small Company Series, a Master Fund managed by
Dimensional that invests in such securities. The Master Fund generally excluded
stocks with the lowest profitability and highest relative price. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Master Fund held approximately 1,100 securities in 15
eligible countries. Average cash exposure throughout the year was less than 1%
of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 7.94% for the
Portfolio and 6.25% for the MSCI Europe ex U.K. Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Master Fund's
diversified investment approach, performance was determined principally by
broad trends in eligible markets rather than by the behavior of a limited
number of stocks. The Master Fund and its benchmark use different methodologies
to determine which small-cap stocks are eligible for purchase or to hold. This
methodology variance led to country-by-country differences between the maximum
market capitalization of small-cap stocks bought and held by the
18
Master Fund relative to the benchmark, which in turn led to differences in
holdings between the Master Fund and the benchmark. These holdings differences
contributed positively to the Master Fund's performance relative to the
benchmark. The Master Fund's exclusion of stocks with the lowest profitability
and highest relative price also contributed positively to relative performance,
as those securities underperformed for the year. Conversely, at the sector
level, the Master Fund's exclusion of real estate investment trusts (REITs)
detracted from relative performance, as REITs generally outperformed in
eligible markets.
GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Publicly traded global real estate investment trusts (REITs) had positive
returns for the period. REITs generally outperformed U.S., developed non-U.S.,
and emerging markets equities. The U.S. REIT market, the world's largest, had
positive performance for the period but underperformed non-U.S. REITs. Among
non-U.S. REIT markets, Israel, Greece, and Thailand were among the strongest
performers, while Turkey, the Netherlands, and Italy lagged. At the REIT
industry level, industrial and residential REITs generally outperformed, while
hotel and resort REITs and retail REITs generally underperformed.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
Dow Jones U.S. Select REIT lndex/SM/........................ 20.72%
S&P Global ex U.S. REIT Index............................... 22.87%
S&P Global REIT Index....................................... 21.68%
Source: Returns are of Standard and Poor's (S&P) indices net of foreign
withholding taxes on dividends. Copyright S&P, 2019. All rights reserved.
For Portfolios investing in non-U.S. REITs and REIT-like securities traded
outside of the U.S. market time zone, differences in the valuation timing and
methodology between a Portfolio and its benchmark index may impact relative
performance over the referenced period. The Portfolios price foreign exchange
rates at the closing of the U.S. market, while their benchmark indices use
rates at 4 p.m. London time. The Portfolios also may use fair value pricing to
price certain portfolio securities at the closing of the U.S. market, while
benchmark indices may use local market closing prices. For the one-year period
ended October 31, 2019, these differences generally detracted from the
Portfolios' relative performance.
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
The DFA International Real Estate Securities Portfolio invests in a broadly
diversified portfolio of real estate securities in developed ex U.S. and
emerging markets. As of October 31, 2019, the Portfolio held approximately 280
securities in 21 eligible developed ex U.S. and emerging markets. Average cash
exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 22.54% for the
Portfolio and 22.87% for the S&P Global ex US REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was generally determined by broad trends in international
real estate securities markets rather than by the behavior of a limited number
of stocks. Countries included in the benchmark but not in the Portfolio,
particularly Thailand, generally outperformed, detracting from the Portfolio's
relative performance.
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
The DFA Global Real Estate Securities Portfolio invests in a broadly
diversified group of real estate securities in domestic and international
markets, including emerging markets. As of the date of this report, the
Portfolio's investments included the DFA International Real Estate Securities
Portfolio, the DFA Real Estate Securities Portfolio, and individual securities.
As of October 31, 2019, the Portfolio held, either directly or through the
underlying portfolios, approximately 440 securities in 22 eligible developed
and emerging markets. Average cash exposure throughout the year was less than
1% of the Portfolio's assets.
19
For the 12 months ended October 31, 2019, total returns were 24.55% for the
Portfolio and 21.68% for the S&P Global REIT Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was generally determined by broad trends in global real
estate markets rather than by the behavior of a limited number of stocks. The
Portfolio's broader inclusion of specialized REITs had a positive impact on
performance relative to the benchmark as did withholding tax rate differences
between the Portfolio and the benchmark.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed large-cap stocks but outperformed small-cap stocks. Value stocks
underperformed growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index..................................... 11.08%
MSCI World ex USA Mid Cap Index............................. 10.71%
MSCI World ex USA Small Cap Index........................... 8.61%
MSCI World ex USA Value Index............................... 5.95%
MSCI World ex USA Growth Index.............................. 16.25%
For the 12 Months Ended October 31, 2019, the U.S. dollar appreciated
against some non-U.S. developed markets currencies and depreciated against
others. Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of developed markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
--------------------------------------------------- ------------ ----------------------
Japan............................................................ 4.57% 9.16%
United Kingdom................................................... 5.73% 7.08%
France........................................................... 14.29% 12.54%
Canada........................................................... 11.54% 11.45%
Switzerland...................................................... 16.43% 18.69%
Germany.......................................................... 9.14% 7.46%
Australia........................................................ 20.12% 16.76%
Netherlands...................................................... 21.77% 20.09%
Hong Kong........................................................ 15.60% 15.63%
Spain............................................................ 7.47% 5.82%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
Emerging markets had positive performance for the period, outperforming
non-U.S. developed markets but underperforming the U.S. As measured by the MSCI
emerging markets indices, small-cap stocks underperformed large-cap stocks, and
mid-cap stocks, a subset of the large-cap universe, underperformed large-cap
stocks but outperformed small-cap stocks. Value stocks underperformed growth
stocks as measured by the MSCI Emerging Markets indices.
20
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index................................. 11.86%
MSCI Emerging Markets Mid Cap Index......................... 11.08%
MSCI Emerging Markets Small Cap Index....................... 9.69%
MSCI Emerging Markets Value Index........................... 6.00%
MSCI Emerging Markets Growth Index.......................... 17.97%
For the 12 Months Ended October 31, 2019, the U.S. dollar depreciated
against some emerging markets currencies and appreciated against others.
Overall, currency movements had a positive impact on the U.S. dollar-
denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
------------------------------------------ ------------ ----------------------
China............................................................ 12.94% 12.90%
Korea............................................................ 7.43% 5.22%
Taiwan........................................................... 20.39% 22.38%
India............................................................ 12.67% 17.46%
Brazil........................................................... 22.35% 13.21%
South Africa..................................................... 10.59% 8.41%
Russia........................................................... 31.36% 34.30%
Thailand......................................................... -4.10% 5.28%
Mexico........................................................... 1.02% 6.71%
Saudi Arabia..................................................... -1.29% -1.27%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2019,
these differences generally detracted from the Portfolios' relative performance.
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
The DFA International Small Cap Value Portfolio invests in small-cap value
stocks in developed ex U.S. markets, with an emphasis on those with higher
profitability. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Portfolio held approximately 2,100
securities in 22 eligible developed markets. Average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 2.94% for the
Portfolio and 8.61% for the MSCI World ex USA Small Cap Index (net dividends),
the Portfolio's benchmark. As a result of the Portfolio's diversified
investment approach, performance was determined principally by broad trends in
developed ex U.S. equity markets rather than by the behavior of a limited
number of stocks. With low relative price (value) stocks underperforming high
relative price (growth) stocks, the Portfolio's focus on value stocks detracted
from performance relative to the style neutral benchmark. At the sector level,
the Portfolio's exclusion of real estate investment trusts (REITs) also had a
negative impact on relative performance, as REITs generally outperformed in
developed ex U.S. markets.
21
INTERNATIONAL VECTOR EQUITY PORTFOLIO
The International Vector Equity Portfolio invests in a broadly diversified
group of stocks in developed ex U.S. markets, with increased exposure to stocks
with smaller market capitalization, lower relative price (value), and higher
profitability. The Portfolio's increased exposure to small capitalization and
value stocks may be achieved by decreasing the allocation to or excluding the
largest high relative price (growth) stocks in developed ex U.S. markets. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Portfolio held approximately 4,700 securities in 22
eligible developed markets. Average cash exposure throughout the year was less
than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 5.49% for the
Portfolio and 11.08% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With small-cap stocks underperforming large-cap stocks in developed ex
U.S. markets for the period, the Portfolio's inclusion of and emphasis on
small-caps had a negative impact on performance relative to the benchmark,
which is composed primarily of large- and mid-cap stocks. The Portfolio's
greater emphasis on low relative price (value) stocks also detracted from
relative performance, as value stocks underperformed high relative price
(growth) stocks.
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
The International High Relative Profitability Portfolio invests in developed
ex U.S. large-cap stocks with higher profitability. The investment strategy is
process driven, emphasizing broad diversification, with increased exposure to
stocks with smaller total market capitalizations, lower relative price (value),
and higher-profitability within the large-cap high relative profitability
segment of developed ex U.S. markets. As of October 31, 2019, the Portfolio
held approximately 560 securities in 22 eligible developed markets. Average
cash exposure throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 13.19% for the
Portfolio and 11.08% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. The Portfolio's focus on stocks with higher profitability contributed
positively to performance relative to the benchmark, as higher-profitability
stocks generally outperformed lower-profitability stocks within the large-cap
segment of the market for the period.
WORLD EX U.S. VALUE PORTFOLIO
The World ex U.S. Value Portfolio is designed to capture the returns of
value stocks across all market capitalizations in developed ex U.S. and
emerging markets. The Portfolio may pursue its objective by holding direct
securities; by purchasing shares of funds managed by Dimensional: the DFA
International Value Series, the DFA International Small Cap Value Portfolio,
and the Dimensional Emerging Markets Value Fund (the "Underlying Funds"); or by
a combination of securities and Underlying Funds. The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2019, the
Portfolio, directly and through the Underlying Funds, held approximately 5,100
securities in 41 eligible developed ex U.S. and emerging markets.
For the 12 months ended October 31, 2019, total returns were 3.75% for the
Portfolio and 11.27% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Underlying Funds'
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. The Underlying Funds' focus on low
relative price (value) stocks had a negative impact on performance relative to
the style-neutral benchmark, as value stocks generally underperformed high
relative price (growth) stocks globally. With small-caps underperforming
large-caps globally for the period, the Underlying Funds' inclusion of and
greater emphasis on small-cap stocks also detracted from performance relative
to the benchmark which is composed primarily of large- and mid-cap stocks.
WORLD EX U.S. TARGETED VALUE PORTFOLIO
The World ex U.S. Targeted Value Portfolio invests in small- and mid-cap
value stocks in developed ex U.S. and
22
emerging markets, with an emphasis on those with higher profitability. The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Portfolio held approximately 4,200 securities in 40
eligible developed ex U.S. and emerging markets. Average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 4.99% for the
Portfolio and 8.77% for the MSCI All Country World ex USA Small Cap Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging markets rather than by the
behavior of a limited number of stocks. With low relative price (value) stocks
underperforming high relative price (growth) stocks in developed ex U.S.
markets, the Portfolio's focus on value stocks detracted from performance
relative to the style-neutral benchmark. At the sector level, the Portfolio's
exclusion of real estate investment trusts (REITs) also had a negative impact
on relative performance, as REITs generally outperformed in developed ex U.S.
and emerging markets.
WORLD EX U.S. CORE EQUITY PORTFOLIO
The World ex U.S. Core Equity Portfolio invests in a broadly diversified
group of stocks in developed ex U.S. and emerging markets with increased
exposure to stocks with smaller market capitalization, lower relative price
(value), and higher profitability. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2019, the Portfolio held
approximately 9,200 securities in 43 eligible developed ex U.S. and emerging
markets. Average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 8.64% for the
Portfolio and 11.27% for the MSCI All Country World ex USA Index (net
dividends), the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in developed ex U.S. and emerging equity markets rather than by
the behavior of a limited number of stocks. With small-cap stocks
underperforming large-cap stocks in developed ex U.S. and emerging markets for
the period, the Portfolio's inclusion of and emphasis on small-caps had a
negative impact on performance relative to the benchmark, which is composed
primarily of large- and mid-cap stocks. The Portfolio's greater emphasis on low
relative price (value) stocks also detracted from relative performance, as
value stocks underperformed high relative price (growth) stocks in developed ex
U.S. and emerging markets.
WORLD CORE EQUITY PORTFOLIO
The World Core Equity Portfolio seeks long-term capital appreciation
generally by investing in a combination of mutual funds managed by Dimensional.
As of the date of this report, the Portfolio's investments included the U.S.
Core Equity 1 Portfolio, International Core Equity Portfolio, and Emerging
Markets Core Equity Portfolio (collectively, the "Underlying Funds"). The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Underlying Funds collectively held more than 13,300
equity securities in 44 eligible developed and emerging markets.
For the 12 months ended October 31, 2019, total returns were 9.94% for the
Portfolio and 12.59% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets rather than by the behavior of a limited group of stocks.
With small-caps underperforming large-caps globally for the period, the
Underlying Funds' inclusion of and emphasis on small-cap stocks detracted from
performance relative to the benchmark (which is composed primarily of large-
and mid-cap stocks). With low relative price (value) stocks generally
underperforming high relative price (growth) stocks globally, the Underlying
Funds' greater emphasis on value stocks also had a negative impact on relative
performance.
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
The Selectively Hedged Global Equity Portfolio seeks long-term capital
appreciation by investing in a combination of other mutual funds managed by
Dimensional. As of the date of this report, the Portfolio invests in the U.S.
Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging
Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges
foreign currency exposure on a selective basis to capture positive forward
23
currency premiums. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Underlying Funds collectively held
approximately 13,100 securities in 44 eligible developed and emerging markets.
For the 12 months ended October 31, 2019, total returns were 10.10% for the
Portfolio and 12.59% for the MSCI All Country World Index (net dividends), the
Portfolio's benchmark. As a result of the Underlying Funds' diversified
investment approach, performance was determined principally by broad trends in
global equity markets (rather than by the behavior of a limited group of stocks
in a particular industry or country) and by the effect of the Portfolio's
currency hedging activity. With small-caps underperforming large-caps globally
for the period, the Underlying Funds' inclusion of and emphasis on small-cap
stocks detracted from performance relative to the benchmark (which is composed
primarily of large- and mid-cap stocks). With low relative price (value) stocks
generally underperforming high relative price (growth) stocks globally, the
Underlying Funds' greater emphasis on value stocks also had a negative impact
on relative performance. The Portfolio's strategy of selectively hedging
foreign currency exposure contributed positively to performance relative to the
benchmark (which does not hedge currency exposure), as the U.S. dollar
generally strengthened against the currencies to which the Portfolio had hedged
its exposure.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio invests in large-cap stocks in emerging
markets by purchasing shares of The Emerging Markets Series, a Master Fund
managed by Dimensional that invests in such securities. The investment strategy
is process driven, emphasizing broad diversification with increased exposure to
stocks with smaller market capitalizations, lower relative price (value), and
higher-profitability within the large-cap segment of emerging markets. As of
October 31, 2019, the Master Fund held approximately 1,200 securities in 21
eligible emerging markets. Average cash exposure throughout the year was less
than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2019, total returns were 11.06% for the
Portfolio and 11.86% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was generally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. The Master
Fund's greater emphasis on low relative price (value) stocks had a negative
impact on performance relative to the benchmark, as value stocks underperformed
high relative price (growth) stocks in emerging markets for the period.
EMERGING MARKETS SMALL CAP PORTFOLIO
The Emerging Markets Small Cap Portfolio invests in small company stocks in
emerging markets by purchasing shares of The Emerging Markets Small Cap Series,
a Master Fund managed by Dimensional that invests in such securities. The
Master Fund generally excludes stocks with the lowest profitability and highest
relative price. The Master Fund's investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2019, the Master Fund held
approximately 4,200 securities in 18 eligible emerging markets. Average cash
exposure throughout the year was less than 1% of the Master Fund's assets.
For the 12 months ended October 31, 2019, total returns were 12.96% for the
Portfolio and 11.86% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was principally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. The Master
Fund's greater allocations to Taiwan and Brazil had a positive impact on
relative performance, as small-caps in Taiwan and Brazil outperformed for the
period.
EMERGING MARKETS VALUE PORTFOLIO
The Emerging Markets Value Portfolio invests in value stocks of large and
small companies in emerging markets by purchasing shares of the Dimensional
Emerging Markets Value Fund, a Master Fund managed by Dimensional that invests
in such securities. The investment strategy is process driven, emphasizing
broad diversification with increased exposure to stocks with smaller market
capitalizations, lower relative price (value), and higher-profitability within
the value segment of emerging markets. As of October 31, 2019, the Master Fund
held approximately 2,500 securities in 19 eligible emerging markets. Average
cash exposure throughout the year was less than 1% of the Master Fund's assets.
24
For the 12 months ended October 31, 2019, total returns were 4.57% for the
Portfolio's Class R2 shares, 4.83% for the Portfolio's Institutional
Class shares, and 11.86% for the MSCI Emerging Markets Index (net dividends),
the Portfolio's benchmark. As a result of the Master Fund's diversified
investment approach, the Master Fund's performance was generally determined by
broad trends in emerging markets rather than by the behavior of a limited
number of stocks. The Master Fund's focus on low relative price (value) stocks
had a negative impact on performance relative to the style-neutral benchmark,
as value stocks underperformed high relative price (growth) stocks in emerging
markets for the period. With small-cap stocks underperforming large-cap stocks,
the Master Fund's inclusion of small-caps also detracted from performance
relative to the benchmark, which is composed primarily of large- and mid-cap
stocks. At the country level, the Master Fund's focus on value stocks had a
particularly negative impact in China, as Chinese value stocks underperformed.
EMERGING MARKETS CORE EQUITY PORTFOLIO
The Emerging Markets Core Equity Portfolio invests in a broadly diversified
group of stocks in emerging markets, with increased exposure to stocks with
smaller market capitalization, lower relative price (value), and higher
profitability. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Portfolio held approximately 4,900
securities in 21 eligible emerging markets. Average cash exposure throughout
the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 11.61% for the
Portfolio and 11.86% for the MSCI Emerging Markets Index (net dividends), the
Portfolio's benchmark. As a result of the Portfolio's diversified investment
approach, performance was generally determined by broad trends in emerging
markets rather than by the behavior of a limited number of stocks. The
Portfolio's greater emphasis on low relative price (value) stocks and
consequent lesser allocation to high relative price (growth) stocks detracted
from performance relative to the benchmark, as value stocks underperformed
growth stocks in emerging markets for the period. With small-cap stocks
underperforming large-cap stocks in emerging markets for the period, the
Portfolio's inclusion of and emphasis on small-caps had a negative impact on
performance relative to the benchmark, which is composed primarily of large-
and mid-cap stocks. Conversely, the Portfolio's greater emphasis on stocks with
higher profitability contributed positively to relative performance, as
higher-profitability stocks generally outperformed lower-profitability stocks
for the period.
EMERGING MARKETS TARGETED VALUE PORTFOLIO
The Emerging Markets Targeted Value Portfolio invests in value stocks of
small- and mid-cap companies in emerging markets. The investment strategy is
process driven, emphasizing broad diversification with increased exposure to
smaller total market capitalizations, lower relative price (value) stocks, and
higher-profitability stocks within the small- and mid-cap value segment of
emerging markets. As of October 31, 2019, the Portfolio held approximately
1,600 securities in 18 eligible emerging markets. Average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the period from the Portfolio's inception on November 14, 2018, through
October 31, 2019, total returns were 4.38% for the Portfolio and 10.41% for the
MSCI Emerging Markets Index (net dividends), the Portfolio's benchmark. As a
result of the Portfolio's diversified investment approach, performance was
generally determined by broad trends in emerging markets rather than by the
behavior of a limited number of stocks. The Portfolio's focus on low relative
price (value) stocks had a negative impact on performance relative to the
style-neutral benchmark, as value stocks underperformed high relative price
(growth) stocks in emerging markets for the period. With small-cap and mid-cap
stocks underperforming large-cap stocks, the Portfolio's focus on small- and
mid-cap stocks also detracted from performance relative to the benchmark, which
is composed primarily of large- and mid-cap stocks.
25
DFA INVESTMENT DIMENSIONS GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
LARGE CAP INTERNATIONAL PORTFOLIO
---------------------------------
Actual Fund Return.......................................... $1,000.00 $1,023.80 0.24% $1.22
Hypothetical 5% Annual Return............................... $1,000.00 $1,024.00 0.24% $1.22
INTERNATIONAL CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return.......................................... $1,000.00 $1,014.00 0.30% $1.52
Hypothetical 5% Annual Return............................... $1,000.00 $1,023.69 0.30% $1.53
26
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
GLOBAL SMALL COMPANY PORTFOLIO (2)
----------------------------------
Actual Fund Return.................................. $1,000.00 $ 990.20 0.49% $2.46
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.74 0.49% $2.50
INTERNATIONAL SMALL COMPANY PORTFOLIO (2)
-----------------------------------------
Actual Fund Return.................................. $1,000.00 $1,014.50 0.54% $2.74
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.48 0.54% $2.75
JAPANESE SMALL COMPANY PORTFOLIO (3)
------------------------------------
Actual Fund Return.................................. $1,000.00 $1,056.90 0.55% $2.85
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.43 0.55% $2.80
ASIA PACIFIC SMALL COMPANY PORTFOLIO (3)
----------------------------------------
Actual Fund Return.................................. $1,000.00 $ 957.00 0.57% $2.81
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.33 0.57% $2.91
UNITED KINGDOM SMALL COMPANY PORTFOLIO (3)
------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,007.70 0.59% $2.99
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.23 0.59% $3.01
CONTINENTAL SMALL COMPANY PORTFOLIO (3)
---------------------------------------
Actual Fund Return.................................. $1,000.00 $1,007.90 0.56% $2.83
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.38 0.56% $2.85
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
--------------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,102.20 0.28% $1.48
Hypothetical 5% Annual Return....................... $1,000.00 $1,023.79 0.28% $1.43
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO (4)
-----------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,108.10 0.24% $1.28
Hypothetical 5% Annual Return....................... $1,000.00 $1,024.00 0.24% $1.22
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
-------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,006.30 0.69% $3.49
Hypothetical 5% Annual Return....................... $1,000.00 $1,021.73 0.69% $3.52
INTERNATIONAL VECTOR EQUITY PORTFOLIO
-------------------------------------
Actual Fund Return.................................. $1,000.00 $1,006.20 0.50% $2.53
Hypothetical 5% Annual Return....................... $1,000.00 $1,022.69 0.50% $2.55
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
---------------------------------------------------
Actual Fund Return.................................. $1,000.00 $1,033.40 0.35% $1.79
Hypothetical 5% Annual Return....................... $1,000.00 $1,023.44 0.35% $1.79
27
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
WORLD EX U.S. VALUE PORTFOLIO (2)
---------------------------------
Actual Fund Return............................. $1,000.00 $ 983.00 0.54% $2.70
Hypothetical 5% Annual Return.................. $1,000.00 $1,022.48 0.54% $2.75
WORLD EX U.S. TARGETED VALUE PORTFOLIO
--------------------------------------
Actual Fund Return............................. $1,000.00 $ 990.20 0.69% $3.46
Hypothetical 5% Annual Return.................. $1,000.00 $1,021.73 0.69% $3.52
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------
Actual Fund Return............................. $1,000.00 $1,005.70 0.38% $1.92
Hypothetical 5% Annual Return.................. $1,000.00 $1,023.29 0.38% $1.94
WORLD CORE EQUITY PORTFOLIO (2)
-------------------------------
Actual Fund Return............................. $1,000.00 $1,016.60 0.33% $1.68
Hypothetical 5% Annual Return.................. $1,000.00 $1,023.54 0.33% $1.68
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO (2)
----------------------------------------------
Actual Fund Return............................. $1,000.00 $1,015.30 0.37% $1.88
Hypothetical 5% Annual Return.................. $1,000.00 $1,023.34 0.37% $1.89
EMERGING MARKETS PORTFOLIO (3)
------------------------------
Actual Fund Return............................. $1,000.00 $ 991.40 0.48% $2.41
Hypothetical 5% Annual Return.................. $1,000.00 $1,022.79 0.48% $2.45
EMERGING MARKETS SMALL CAP PORTFOLIO (3)
----------------------------------------
Actual Fund Return............................. $1,000.00 $ 987.40 0.72% $3.61
Hypothetical 5% Annual Return.................. $1,000.00 $1,021.58 0.72% $3.67
EMERGING MARKETS VALUE PORTFOLIO (3)
------------------------------------
Actual Fund Return
Class R2 Shares............................. $1,000.00 $ 956.70 0.81% $3.99
Institutional Class Shares.................. $1,000.00 $ 958.00 0.56% $2.76
Hypothetical 5% Annual Return
Class R2 Shares............................. $1,000.00 $1,021.12 0.81% $4.13
Institutional Class Shares.................. $1,000.00 $1,022.38 0.56% $2.85
EMERGING MARKETS CORE EQUITY PORTFOLIO
--------------------------------------
Actual Fund Return............................. $1,000.00 $ 991.70 0.53% $2.66
Hypothetical 5% Annual Return.................. $1,000.00 $1,022.53 0.53% $2.70
EMERGING MARKETS TARGETED VALUE PORTFOLIO
-----------------------------------------
Actual Fund Return............................. $1,000.00 $ 959.50 0.85% $4.20
28
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
Hypothetical 5% Annual Return.. $1,000.00 $1,020.92 0.85% $4.33
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)The Portfolio is a Fund of Funds. The expenses shown reflect the direct
expenses of the Fund of Funds and the Fund of Funds' portion of the expenses
of its Underlying Funds (Affiliated Investment Companies).
(3)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).
(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).
29
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 as an exhibit to their
reports on Form N-PORT. For DFA Investment Dimensions Group Inc., this would be
for the fiscal quarters ending January 31 and July 31. Such 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-PORT with the SEC on
September 30, 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
-------------------------------
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%
30
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
INTERNATIONAL EQUITY PORTFOLIOS
LARGE CAP INTERNATIONAL PORTFOLIO
Communication Services............. 5.8%
Consumer Discretionary............. 13.0%
Consumer Staples................... 10.3%
Energy............................. 6.5%
Financials......................... 17.9%
Health Care........................ 9.9%
Industrials........................ 15.6%
Information Technology............. 6.2%
Materials.......................... 9.3%
Real Estate........................ 2.0%
Utilities.......................... 3.5%
-----
100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO
Communication Services............. 5.8%
Consumer Discretionary............. 14.5%
Consumer Staples................... 7.7%
Energy............................. 6.2%
Financials......................... 16.0%
Health Care........................ 6.9%
Industrials........................ 18.3%
Information Technology............. 6.5%
Materials.......................... 12.0%
Real Estate........................ 2.8%
Utilities.......................... 3.3%
-----
100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Real Estate........................ 100.0%
-----
100.0%
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Affiliated Investment Companies.... 49.9%
Real Estate........................ 50.1%
-----
100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Communication Services............. 2.4%
Consumer Discretionary............. 14.6%
Consumer Staples................... 4.5%
Energy............................. 6.5%
Financials......................... 20.0%
Health Care........................ 2.2%
Industrials........................ 23.7%
Information Technology............. 4.3%
Materials.......................... 16.6%
Real Estate........................ 3.5%
Utilities.......................... 1.7%
-----
100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Communication Services............. 5.0%
Consumer Discretionary............. 14.8%
Consumer Staples................... 5.7%
Energy............................. 6.5%
Financials......................... 18.0%
Health Care........................ 4.8%
Industrials........................ 20.0%
Information Technology............. 6.5%
Materials.......................... 13.1%
Real Estate........................ 3.3%
Utilities.......................... 2.3%
-----
100.0%
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
Communication Services............. 9.4%
Consumer Discretionary............. 16.9%
Consumer Staples................... 12.9%
Energy............................. 3.0%
Financials......................... 5.4%
Health Care........................ 13.1%
Industrials........................ 20.0%
Information Technology............. 7.3%
Materials.......................... 9.4%
Real Estate........................ 0.8%
Utilities.......................... 1.8%
-----
100.0%
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Communication Services............. 3.3%
Consumer Discretionary............. 14.0%
Consumer Staples................... 4.6%
Energy............................. 5.1%
Financials......................... 17.9%
Health Care........................ 2.4%
Industrials........................ 21.4%
Information Technology............. 7.7%
Materials.......................... 16.9%
Real Estate........................ 4.6%
Utilities.......................... 2.1%
-----
100.0%
WORLD EX U.S. CORE EQUITY PORTFOLIO
Communication Services............. 6.4%
Consumer Discretionary............. 13.6%
Consumer Staples................... 7.5%
Energy............................. 6.2%
Financials......................... 16.3%
Health Care........................ 6.2%
Industrials........................ 16.1%
Information Technology............. 9.2%
Materials.......................... 11.3%
Real Estate........................ 3.8%
Utilities.......................... 3.4%
-----
100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO
Communication Services............. 7.4%
Consumer Discretionary............. 10.6%
Consumer Staples................... 7.2%
Energy............................. 7.3%
Financials......................... 18.3%
Health Care........................ 3.1%
Industrials........................ 8.7%
Information Technology............. 19.6%
Materials.......................... 10.3%
Real Estate........................ 3.9%
Utilities.......................... 3.6%
-----
100.0%
EMERGING MARKETS TARGETED VALUE PORTFOLIO
Communication Services............. 2.6%
Consumer Discretionary............. 11.5%
Consumer Staples................... 5.0%
Energy............................. 4.3%
Financials......................... 15.7%
Health Care........................ 4.4%
Industrials........................ 16.4%
Information Technology............. 13.8%
Materials.......................... 16.6%
Real Estate........................ 7.5%
Utilities.......................... 2.2%
-----
100.0%
31
LARGE CAP INTERNATIONAL PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (96.1%)
AUSTRALIA -- (6.1%)
BHP Group, Ltd....................... 842,811 $ 20,659,364 0.4%
Commonwealth Bank of Australia....... 512,071 27,764,537 0.5%
CSL, Ltd............................. 133,309 23,509,875 0.4%
National Australia Bank, Ltd......... 785,876 15,426,065 0.3%
Westpac Banking Corp................. 772,384 14,996,211 0.3%
Other Securities..................... 231,330,973 4.3%
------------ ----
TOTAL AUSTRALIA......................... 333,687,025 6.2%
------------ ----
AUSTRIA -- (0.2%)
Other Securities..................... 12,151,026 0.2%
------------ ----
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA.............. 265,831 21,457,184 0.4%
Other Securities..................... 36,423,225 0.7%
------------ ----
TOTAL BELGIUM........................... 57,880,409 1.1%
------------ ----
CANADA -- (8.6%)
Bank of Montreal, (2073174).......... 205,319 15,191,553 0.3%
Royal Bank of Canada................. 250,890 20,237,304 0.4%
Royal Bank of Canada................. 216,240 17,441,918 0.3%
Other Securities..................... 420,177,260 7.8%
------------ ----
TOTAL CANADA............................ 473,048,035 8.8%
------------ ----
DENMARK -- (1.5%)
Novo Nordisk A.S., Class B........... 483,626 26,593,962 0.5%
Other Securities..................... 56,736,791 1.0%
------------ ----
TOTAL DENMARK........................... 83,330,753 1.5%
------------ ----
FINLAND -- (1.2%)
Other Securities..................... 63,955,265 1.2%
------------ ----
FRANCE -- (9.8%)
Air Liquide SA....................... 133,647 17,769,844 0.3%
Airbus SE............................ 178,673 25,632,114 0.5%
Danone SA............................ 170,573 14,130,474 0.3%
L'Oreal SA........................... 57,248 16,719,946 0.3%
LVMH Moet Hennessy Louis Vuitton SE.. 92,526 39,513,747 0.7%
Sanofi............................... 234,559 21,623,305 0.4%
Total SA............................. 715,241 37,813,499 0.7%
# Vinci SA............................. 180,868 20,292,708 0.4%
Other Securities..................... 342,506,362 6.4%
------------ ----
TOTAL FRANCE............................ 536,001,999 10.0%
------------ ----
GERMANY -- (6.9%)
Adidas AG............................ 55,653 17,203,830 0.3%
Allianz SE........................... 71,677 17,505,139 0.3%
BASF SE.............................. 230,485 17,521,286 0.3%
Bayer AG............................. 294,208 22,823,529 0.4%
Daimler AG........................... 354,259 20,661,355 0.4%
Deutsche Telekom AG.................. 1,086,899 19,124,595 0.4%
32
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
SAP SE............................... 219,235 $ 29,048,954 0.5%
Siemens AG........................... 179,739 20,741,879 0.4%
Other Securities..................... 215,720,813 4.1%
-------------- ----
TOTAL GERMANY........................... 380,351,380 7.1%
-------------- ----
HONG KONG -- (3.0%)
AIA Group, Ltd....................... 3,211,400 31,979,820 0.6%
Other Securities..................... 132,539,019 2.5%
-------------- ----
TOTAL HONG KONG......................... 164,518,839 3.1%
-------------- ----
IRELAND -- (0.7%)
Other Securities..................... 36,959,396 0.7%
-------------- ----
ISRAEL -- (0.5%)
Other Securities..................... 26,915,131 0.5%
-------------- ----
ITALY -- (2.1%)
Enel SpA............................. 2,271,536 17,605,218 0.3%
Other Securities..................... 98,730,731 1.9%
-------------- ----
TOTAL ITALY............................. 116,335,949 2.2%
-------------- ----
JAPAN -- (22.6%)
KDDI Corp............................ 633,700 17,535,203 0.3%
SoftBank Group Corp.................. 657,976 25,309,971 0.5%
Sony Corp............................ 385,400 23,458,968 0.5%
Toyota Motor Corp ................... 669,423 46,445,159 0.9%
# Toyota Motor Corp., Sponsored ADR.... 88,432 12,252,254 0.2%
Other Securities..................... 1,112,756,533 20.7%
-------------- ----
TOTAL JAPAN............................. 1,237,758,088 23.1%
-------------- ----
NETHERLANDS -- (3.1%)
# ASML Holding NV...................... 72,895 19,096,303 0.4%
Koninklijke Ahold Delhaize NV........ 661,292 16,479,433 0.3%
# Unilever NV.......................... 268,265 15,856,252 0.3%
Other Securities..................... 119,250,610 2.2%
-------------- ----
TOTAL NETHERLANDS....................... 170,682,598 3.2%
-------------- ----
NEW ZEALAND -- (0.3%)
Other Securities..................... 17,770,579 0.3%
-------------- ----
NORWAY -- (0.8%)
Other Securities..................... 41,298,731 0.8%
-------------- ----
PORTUGAL -- (0.2%)
Other Securities..................... 8,680,900 0.2%
-------------- ----
SINGAPORE -- (1.1%)
Other Securities..................... 58,441,542 1.1%
-------------- ----
SPAIN -- (2.4%)
Banco Santander SA................... 4,226,484 16,970,591 0.3%
Iberdrola S.A........................ 2,031,389 20,880,636 0.4%
33
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (Continued)
Other Securities............................... $ 94,367,295 1.8%
-------------- ------
TOTAL SPAIN....................................... 132,218,522 2.5%
-------------- ------
SWEDEN -- (2.5%)
Other Securities............................... 137,326,511 2.6%
-------------- ------
SWITZERLAND -- (7.6%)
Nestle SA...................................... 891,325 95,355,118 1.8%
Novartis AG.................................... 448,358 39,175,369 0.7%
Roche Holding AG............................... 7,984 2,380,244 0.1%
Roche Holding AG............................... 217,168 65,357,969 1.2%
Other Securities............................... 211,629,038 3.9%
-------------- ------
TOTAL SWITZERLAND................................. 413,897,738 7.7%
-------------- ------
UNITED KINGDOM -- (13.8%)
# AstraZeneca P.L.C., Sponsored ADR.............. 461,956 22,649,703 0.4%
BP P.L.C., Sponsored ADR....................... 1,106,581 41,950,505 0.8%
Diageo P.L.C., Sponsored ADR................... 128,576 21,069,749 0.4%
GlaxoSmithKline P.L.C., Sponsored ADR.......... 428,638 19,631,620 0.4%
HSBC Holdings P.L.C., Sponsored ADR............ 628,620 23,755,550 0.4%
Royal Dutch Shell P.L.C., Sponsored ADR,
Class A...................................... 352,746 20,448,701 0.4%
# Royal Dutch Shell P.L.C., Sponsored ADR,
Class B......................................... 433,725 25,281,830 0.5%
Royal Dutch Shell P.L.C. , Class A (B03MLX2)... 491,594 14,250,368 0.3%
Unilever P.L.C., Sponsored ADR................. 274,641 16,508,671 0.3%
Other Securities............................... 550,310,801 10.2%
-------------- ------
TOTAL UNITED KINGDOM.............................. 755,857,498 14.1%
-------------- ------
TOTAL COMMON STOCKS............................... 5,259,067,914 98.2%
-------------- ------
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG.................................. 83,696 15,911,047 0.3%
Other Securities............................... 15,428,043 0.3%
-------------- ------
TOTAL GERMANY..................................... 31,339,090 0.6%
-------------- ------
UNITED KINGDOM -- (0.0%)
Other Security................................. 31,221 0.0%
-------------- ------
TOTAL PREFERRED STOCKS............................ 31,370,311 0.6%
-------------- ------
RIGHTS/WARRANTS -- (0.0%)
Other Security................................. 3,332 0.0%
-------------- ------
TOTAL INVESTMENT SECURITIES
(Cost $4,479,991,558)........................... 5,290,441,557
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.3%)
@(S) The DFA Short Term Investment Fund.......... 15,664,102 181,249,321 3.4%
-------------- ------
TOTAL INVESTMENTS--(100.0%)
(Cost $4,661,226,638)........................... $5,471,690,878 102.2%
============== ======
34
LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
As of October 31, 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 12/20/19 $ 8,144,332 $ 8,318,100 $173,768
S&P 500(R) Emini Index............. 218 12/20/19 32,665,293 33,090,220 424,927
----------- ----------- --------
TOTAL FUTURES CONTRACTS............ $40,809,625 $41,408,320 $598,695
=========== =========== ========
Summary of the Portfolio's investments as of October 31, 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................................. $ 4,416,424 $ 329,270,601 -- $ 333,687,025
Austria................................... -- 12,151,026 -- 12,151,026
Belgium................................... 2,728,660 55,151,749 -- 57,880,409
Canada.................................... 470,668,068 2,379,967 -- 473,048,035
Denmark................................... 3,340,092 79,990,661 -- 83,330,753
Finland................................... -- 63,955,265 -- 63,955,265
France.................................... 8,561,778 527,440,221 -- 536,001,999
Germany................................... 13,323,911 367,027,469 -- 380,351,380
Hong Kong................................. 735,289 163,783,550 -- 164,518,839
Ireland................................... 11,111,403 25,847,993 -- 36,959,396
Israel.................................... 5,490,163 21,424,968 -- 26,915,131
Italy..................................... 6,622,070 109,713,879 -- 116,335,949
Japan..................................... 30,661,502 1,207,096,586 -- 1,237,758,088
Netherlands............................... 48,441,924 122,240,674 -- 170,682,598
New Zealand............................... -- 17,770,579 -- 17,770,579
Norway.................................... 812,247 40,486,484 -- 41,298,731
Portugal.................................. -- 8,680,900 -- 8,680,900
Singapore................................. -- 58,441,542 -- 58,441,542
Spain..................................... 3,018,349 129,200,173 -- 132,218,522
Sweden.................................... -- 137,326,511 -- 137,326,511
Switzerland............................... 20,044,897 393,852,841 -- 413,897,738
United Kingdom............................ 244,671,883 511,185,615 -- 755,857,498
Preferred Stocks
Germany................................... -- 31,339,090 -- 31,339,090
United Kingdom............................ -- 31,221 -- 31,221
Rights/Warrants
Norway.................................... -- 3,332 -- 3,332
Securities Lending Collateral................ -- 181,249,321 -- 181,249,321
Futures Contracts**.......................... 598,695 -- -- 598,695
------------ -------------- -- --------------
TOTAL........................................ $875,247,355 $4,597,042,218 -- $5,472,289,573
============ ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
35
INTERNATIONAL CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (95.1%)
AUSTRALIA -- (6.1%)
BHP Group, Ltd................................................... 4,074,214 $ 99,868,974 0.3%
Commonwealth Bank of Australia................................... 1,329,108 72,064,357 0.3%
CSL, Ltd......................................................... 329,396 58,091,043 0.2%
National Australia Bank, Ltd..................................... 2,938,574 57,681,662 0.2%
Other Securities................................................. 1,637,159,294 5.3%
-------------- ---
TOTAL AUSTRALIA...................................................... 1,924,865,330 6.3%
-------------- ---
AUSTRIA -- (0.5%)
Other Securities................................................. 170,304,237 0.6%
-------------- ---
BELGIUM -- (1.2%)
Anheuser-Busch InBev SA.......................................... 790,952 63,843,579 0.2%
Other Securities................................................. 320,149,180 1.1%
-------------- ---
TOTAL BELGIUM........................................................ 383,992,759 1.3%
-------------- ---
CANADA -- (8.6%)
Bank of Montreal, (2073174)...................................... 847,416 62,700,310 0.2%
# Canadian Natural Resources, Ltd.................................. 2,471,877 62,340,738 0.2%
Royal Bank of Canada............................................. 1,049,719 84,670,335 0.3%
Suncor Energy, Inc., (B3NB0P5)................................... 2,403,185 71,350,563 0.3%
Other Securities................................................. 2,445,512,655 7.9%
-------------- ---
TOTAL CANADA......................................................... 2,726,574,601 8.9%
-------------- ---
CHINA -- (0.0%)
Other Securities................................................. 922,663 0.0%
-------------- ---
DENMARK -- (1.6%)
Other Securities................................................. 490,319,933 1.6%
-------------- ---
FINLAND -- (1.6%)
UPM-Kymmene Oyj.................................................. 1,984,919 64,647,713 0.2%
Other Securities................................................. 438,953,128 1.4%
-------------- ---
TOTAL FINLAND........................................................ 503,600,841 1.6%
-------------- ---
FRANCE -- (7.9%)
Air Liquide SA................................................... 476,618 63,371,596 0.2%
Airbus SE........................................................ 503,228 72,192,203 0.2%
Cie Generale des Etablissements Michelin SCA..................... 610,972 74,390,235 0.3%
Eiffage SA....................................................... 545,963 58,639,764 0.2%
LVMH Moet Hennessy Louis Vuitton SE.............................. 248,441 106,097,695 0.4%
Orange SA........................................................ 4,330,858 69,702,953 0.2%
Peugeot SA....................................................... 3,354,230 84,949,606 0.3%
Total SA......................................................... 2,613,611 138,176,890 0.5%
# Vinci SA......................................................... 522,320 58,602,335 0.2%
Other Securities................................................. 1,769,875,848 5.7%
-------------- ---
TOTAL FRANCE......................................................... 2,495,999,125 8.2%
-------------- ---
GERMANY -- (6.9%)
Allianz SE....................................................... 283,403 69,213,401 0.2%
BASF SE.......................................................... 1,425,846 108,391,675 0.4%
36
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
Bayer AG......................................................... 986,195 $ 76,505,227 0.3%
Bayerische Motoren Werke AG...................................... 932,150 71,379,097 0.2%
Daimler AG....................................................... 2,440,186 142,318,333 0.5%
Deutsche Telekom AG.............................................. 6,594,331 116,030,939 0.4%
MTU Aero Engines AG.............................................. 220,081 58,856,485 0.2%
Other Securities................................................. 1,524,018,044 4.9%
-------------- ----
TOTAL GERMANY........................................................ 2,166,713,201 7.1%
-------------- ----
HONG KONG -- (2.6%)
AIA Group, Ltd................................................... 6,748,000 67,198,053 0.2%
Other Securities................................................. 766,083,181 2.5%
-------------- ----
TOTAL HONG KONG...................................................... 833,281,234 2.7%
-------------- ----
IRELAND -- (0.6%)
Other Securities................................................. 186,411,882 0.6%
-------------- ----
ISRAEL -- (0.7%)
Other Securities................................................. 230,907,366 0.8%
-------------- ----
ITALY -- (2.8%)
Enel SpA......................................................... 7,738,623 59,977,097 0.2%
Eni SpA.......................................................... 4,051,470 61,464,788 0.2%
Other Securities................................................. 755,034,767 2.5%
-------------- ----
TOTAL ITALY.......................................................... 876,476,652 2.9%
-------------- ----
JAPAN -- (23.0%)
Honda Motor Co., Ltd............................................. 2,591,823 70,119,120 0.3%
KDDI Corp........................................................ 2,158,400 59,725,392 0.2%
SoftBank Group Corp.............................................. 2,282,763 87,809,669 0.3%
Sony Corp........................................................ 1,141,000 69,451,692 0.3%
Toyota Motor Corp ............................................... 2,819,840 195,642,987 0.7%
Other Securities................................................. 6,789,410,720 22.0%
-------------- ----
TOTAL JAPAN.......................................................... 7,272,159,580 23.8%
-------------- ----
NETHERLANDS -- (2.8%)
Koninklijke Ahold Delhaize NV.................................... 2,917,217 72,697,206 0.2%
Other Securities................................................. 796,433,512 2.6%
-------------- ----
TOTAL NETHERLANDS.................................................... 869,130,718 2.8%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities................................................. 127,593,059 0.4%
-------------- ----
NORWAY -- (0.8%)
Other Securities................................................. 265,292,698 0.9%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities................................................. 78,237,577 0.3%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities................................................. 317,323,079 1.0%
-------------- ----
37
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (2.3%)
Iberdrola S.A.................................................... 8,561,247 $ 88,001,006 0.3%
Other Securities................................................. 630,671,327 2.1%
--------------- ----
TOTAL SPAIN.......................................................... 718,672,333 2.4%
--------------- ----
SWEDEN -- (2.5%)
Other Securities................................................. 796,424,646 2.6%
--------------- ----
SWITZERLAND -- (6.4%)
Nestle SA........................................................ 2,748,677 294,057,071 1.0%
Novartis AG...................................................... 656,395 57,352,643 0.2%
Novartis AG, Sponsored ADR....................................... 953,193 83,347,196 0.3%
Roche Holding AG................................................. 634,350 190,911,313 0.6%
Zurich Insurance Group AG........................................ 181,891 71,246,713 0.2%
Other Securities................................................. 1,329,961,590 4.3%
--------------- ----
TOTAL SWITZERLAND.................................................... 2,026,876,526 6.6%
--------------- ----
UNITED KINGDOM -- (14.5%)
Anglo American P.L.C............................................. 4,549,559 117,092,418 0.4%
# AstraZeneca P.L.C., Sponsored ADR................................ 1,444,584 70,827,954 0.2%
# BP P.L.C., Sponsored ADR......................................... 5,300,096 200,926,639 0.7%
Glencore P.L.C................................................... 20,723,029 62,549,945 0.2%
# HSBC Holdings P.L.C., Sponsored ADR.............................. 3,370,222 127,360,689 0.4%
# Rio Tinto P.L.C., Sponsored ADR.................................. 1,875,418 97,540,490 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A................. 1,490,318 86,393,734 0.3%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B................. 1,716,768 100,070,407 0.3%
Other Securities................................................. 3,704,764,392 12.1%
--------------- ----
TOTAL UNITED KINGDOM................................................. 4,567,526,668 14.9%
--------------- ----
UNITED STATES -- (0.0%)
Other Security................................................... 298,905 0.0%
--------------- ----
TOTAL COMMON STOCKS.................................................. 30,029,905,613 98.3%
--------------- ----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG.................................................... 594,615 113,039,416 0.4%
Other Securities................................................. 78,533,074 0.2%
--------------- ----
TOTAL GERMANY........................................................ 191,572,490 0.6%
--------------- ----
UNITED KINGDOM -- (0.0%)
Other Securities................................................. 223,239 0.0%
--------------- ----
TOTAL PREFERRED STOCKS............................................... 191,795,729 0.6%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 1,463,192 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $27,378,140,601)............................................. 30,223,164,534
---------------
38
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (4.3%)
@(S) The DFA Short Term Investment Fund............................... 116,974,456 $ 1,353,511,426 4.4%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $28,731,517,457)............................................... $31,576,675,960 103.3%
=============== =====
As of October 31, 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............................ 1,452 12/20/19 $215,603,873 $220,399,080 $4,795,207
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........................... $215,603,873 $220,399,080 $4,795,207
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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................................................ $ 41,212,641 $1,883,652,689 -- $1,924,865,330
Austria.................................................. 64,806 170,239,431 -- 170,304,237
Belgium.................................................. 13,759,325 370,233,434 -- 383,992,759
Canada................................................... 2,719,616,702 6,957,899 -- 2,726,574,601
China.................................................... -- 922,663 -- 922,663
Denmark.................................................. 32,871,527 457,448,406 -- 490,319,933
Finland.................................................. 742,203 502,858,638 -- 503,600,841
France................................................... 73,068,677 2,422,930,448 -- 2,495,999,125
Germany.................................................. 71,273,618 2,095,439,583 -- 2,166,713,201
Hong Kong................................................ 1,200,195 832,081,039 -- 833,281,234
Ireland.................................................. 31,365,837 155,046,045 -- 186,411,882
Israel................................................... 21,294,898 209,612,468 -- 230,907,366
Italy.................................................... 20,899,116 855,577,536 -- 876,476,652
Japan.................................................... 126,586,046 7,145,573,534 -- 7,272,159,580
Netherlands.............................................. 127,922,383 741,208,335 -- 869,130,718
New Zealand.............................................. 178,069 127,414,990 -- 127,593,059
Norway................................................... 12,491,078 252,801,620 -- 265,292,698
Portugal................................................. 295,750 77,941,827 -- 78,237,577
Singapore................................................ 16,962 317,306,117 -- 317,323,079
Spain.................................................... 19,563,879 699,108,454 -- 718,672,333
Sweden................................................... 1,602,802 794,821,844 -- 796,424,646
Switzerland.............................................. 116,923,148 1,909,953,378 -- 2,026,876,526
United Kingdom........................................... 974,762,431 3,592,764,237 -- 4,567,526,668
United States............................................ -- 298,905 -- 298,905
Preferred Stocks
Germany.................................................. -- 191,572,490 -- 191,572,490
United Kingdom........................................... -- 223,239 -- 223,239
Rights/Warrants
Canada................................................... -- 866,410 -- 866,410
Italy.................................................... -- 330,659 -- 330,659
Norway................................................... -- 17,570 -- 17,570
39
INTERNATIONAL CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- -------- ---------------
Spain.................................................... -- $ 247,764 -- $ 247,764
Sweden................................................... -- 789 -- 789
Securities Lending Collateral............................... -- 1,353,511,426 -- 1,353,511,426
Futures Contracts**......................................... $ 4,795,207 -- -- 4,795,207
-------------- --------------- -------- ---------------
TOTAL....................................................... $4,412,507,300 $27,168,963,867 -- $31,581,471,167
============== =============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
40
GLOBAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
------- -----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Small Cap Portfolio of DFA Investment
Dimensions Group Inc...................................... 665,208 $22,484,040
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. 5,473,264
Investment in The Emerging Markets Small Cap Series of The
DFA Investment Trust Company.............................. 4,708,791
Investment in The Japanese Small Company Series of The DFA
Investment Trust Company.................................. 3,539,101
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... 2,304,287
Investment in The Asia Pacific Small Company Series of The
DFA Investment Trust Company.............................. 1,530,342
Investment in The Canadian Small Company Series of The DFA
Investment Trust Company.................................. 1,272,070
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $41,295,296)........................................ $41,311,895
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 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............................. $41,311,895 -- -- $41,311,895
----------- -------- -------- -----------
TOTAL....................................................... $41,311,895 -- -- $41,311,895
=========== ======== ======== ===========
See accompanying Notes to Financial Statements.
41
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of
The DFA Investment Trust Company.......................... $ 4,902,033,708
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company.......................... 3,104,231,823
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... 2,205,859,880
Investment in The Asia Pacific Small Company Series of
The DFA Investment Trust Company.......................... 1,299,382,680
Investment in The Canadian Small Company Series of
The DFA Investment Trust Company.......................... 1,121,067,005
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $12,632,575,096
===============
As of October 31, 2019, International Small Company Portfolio had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
DESCRIPTION CONTRACTS DATE NOTIONAL VALUE MARKET VALUE (DEPRECIATION)
----------- --------- ---------- -------------- ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 705 12/20/19 $105,711,748 $107,011,950 $1,300,202
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........................... $105,711,748 $107,011,950 $1,300,202
============ ============ ==========
Summary of the Portfolio's Master Fund's investments as of October 31, 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............................. $12,632,575,096 -- -- $12,632,575,096
Futures Contracts**......................................... 1,300,202 -- -- 1,300,202
--------------- -------- -------- ---------------
TOTAL....................................................... $12,633,875,298 -- -- $12,633,875,298
=============== ======== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
42
JAPANESE SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Japanese Small Company Series of
The DFA Investment Trust Company.................................... $640,406,199
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.................. $640,406,199
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
43
ASIA PACIFIC SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Asia Pacific Small Company Series of The DFA Investment
Trust Company........................................................... $340,930,136
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................... $340,930,136
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
44
UNITED KINGDOM SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
-----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The United Kingdom Small Company Series of
The DFA Investment Trust Company.......................... $27,652,281
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $27,652,281
===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
45
CONTINENTAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Continental Small Company Series of The
DFA Investment Trust Company.............................. $657,534,475
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $657,534,475
============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
46
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (97.1%)
AUSTRALIA -- (16.9%)
Charter Hall Group............................................... 5,810,944 $ 45,278,281 0.7%
Dexus............................................................ 13,684,440 112,848,306 1.8%
Goodman Group.................................................... 20,520,651 203,754,859 3.2%
GPT Group (The).................................................. 24,305,073 99,765,733 1.6%
Mirvac Group..................................................... 48,185,117 106,772,318 1.7%
# Scentre Group.................................................... 66,635,910 176,061,760 2.8%
Stockland........................................................ 28,663,456 96,766,990 1.5%
# Vicinity Centres................................................. 38,800,955 71,421,781 1.1%
Other Securities................................................. 170,366,083 2.8%
-------------- ----
TOTAL AUSTRALIA...................................................... 1,083,036,111 17.2%
-------------- ----
BELGIUM -- (2.9%)
Aedifica SA...................................................... 317,417 38,157,514 0.6%
Cofinimmo SA..................................................... 323,316 47,832,383 0.8%
Warehouses De Pauw CVA........................................... 251,049 46,574,468 0.7%
Other Securities................................................. 51,489,271 0.8%
-------------- ----
TOTAL BELGIUM........................................................ 184,053,636 2.9%
-------------- ----
CANADA -- (5.3%)
# Canadian Apartment Properties REIT............................... 930,517 38,743,871 0.6%
Other Securities................................................. 302,384,576 4.8%
-------------- ----
TOTAL CANADA......................................................... 341,128,447 5.4%
-------------- ----
CHINA -- (0.2%)
Other Securities................................................. 14,129,606 0.2%
-------------- ----
FRANCE -- (4.9%)
Covivio.......................................................... 590,861 66,914,601 1.1%
Gecina SA........................................................ 557,763 95,750,586 1.5%
# ICADE............................................................ 407,176 39,895,866 0.6%
Klepierre SA..................................................... 2,446,226 91,183,631 1.5%
Other Securities................................................. 21,195,758 0.3%
-------------- ----
TOTAL FRANCE......................................................... 314,940,442 5.0%
-------------- ----
GERMANY -- (0.8%)
Alstria office REIT-AG........................................... 2,123,991 39,787,145 0.6%
Other Security................................................... 13,243,131 0.2%
-------------- ----
TOTAL GERMANY........................................................ 53,030,276 0.8%
-------------- ----
HONG KONG -- (5.3%)
Link REIT........................................................ 25,698,405 279,891,618 4.5%
Other Securities................................................. 56,618,199 0.9%
-------------- ----
TOTAL HONG KONG...................................................... 336,509,817 5.4%
-------------- ----
IRELAND -- (0.4%)
Other Securities................................................. 25,938,612 0.4%
-------------- ----
ITALY -- (0.1%)
Other Securities................................................. 6,017,057 0.1%
-------------- ----
47
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
JAPAN -- (26.3%)
Activia Properties, Inc.......................................... 8,186 $ 43,190,304 0.7%
Advance Residence Investment Corp................................ 15,078 50,105,331 0.8%
Daiwa House REIT Investment Corp................................. 22,229 64,726,466 1.0%
# GLP J-Reit....................................................... 42,064 54,873,741 0.9%
Invincible Investment Corp....................................... 70,852 44,739,736 0.7%
Japan Hotel REIT Investment Corp................................. 55,230 45,810,366 0.7%
Japan Prime Realty Investment Corp............................... 9,679 46,517,093 0.7%
Japan Real Estate Investment Corp................................ 16,064 109,649,728 1.7%
Japan Retail Fund Investment Corp................................ 31,851 74,240,298 1.2%
# Kenedix Office Investment Corp................................... 5,329 41,726,449 0.7%
Nippon Building Fund, Inc........................................ 16,467 124,928,641 2.0%
Nippon Prologis REIT, Inc........................................ 21,862 61,066,759 1.0%
Nomura Real Estate Master Fund, Inc.............................. 48,736 93,161,701 1.5%
Orix JREIT, Inc.................................................. 31,990 72,333,151 1.1%
# Sekisui House Reit, Inc.......................................... 45,191 41,707,770 0.7%
United Urban Investment Corp..................................... 35,814 72,252,224 1.1%
Other Securities................................................. 644,944,557 10.3%
-------------- ----
TOTAL JAPAN.......................................................... 1,685,974,315 26.8%
-------------- ----
MALAYSIA -- (0.5%)
Other Securities................................................. 30,063,185 0.5%
-------------- ----
MEXICO -- (1.8%)
Fibra Uno Administracion S.A. de C.V............................. 39,885,363 60,626,830 1.0%
Other Securities................................................. 52,070,971 0.8%
-------------- ----
TOTAL MEXICO......................................................... 112,697,801 1.8%
-------------- ----
NETHERLANDS -- (5.0%)................................................
Unibail-Rodamco-Westfield........................................ 9,142,075 70,033,417 1.1%
Unibail-Rodamco-Westfield (BFYM460).............................. 1,287,738 199,177,437 3.2%
Other Securities................................................. 50,826,425 0.8%
-------------- ----
TOTAL NETHERLANDS.................................................... 320,037,279 5.1%
-------------- ----
NEW ZEALAND -- (1.1%)
Other Securities................................................. 68,100,734 1.1%
-------------- ----
SINGAPORE -- (9.0%)
Ascendas Real Estate Investment Trust............................ 31,026,200 72,261,592 1.1%
CapitaLand Commercial Trust...................................... 32,364,049 48,739,718 0.8%
CapitaLand Mall Trust............................................ 31,190,700 58,196,970 0.9%
# Mapletree Commercial Trust....................................... 23,743,237 40,640,858 0.6%
Other Securities................................................. 359,874,596 5.8%
-------------- ----
TOTAL SINGAPORE...................................................... 579,713,734 9.2%
-------------- ----
SOUTH AFRICA -- (2.4%)
Growthpoint Properties, Ltd...................................... 37,555,433 54,994,538 0.9%
Other Securities................................................. 96,405,348 1.5%
-------------- ----
TOTAL SOUTH AFRICA................................................... 151,399,886 2.4%
-------------- ----
SPAIN -- (1.6%)
Merlin Properties Socimi SA...................................... 4,571,375 67,294,395 1.1%
48
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (Continued)
Other Securities........................ $ 37,620,868 0.6%
-------------- -----
TOTAL SPAIN................................... 104,915,263 1.7%
-------------- -----
TAIWAN -- (0.2%)
Other Securities........................ 13,563,760 0.2%
-------------- -----
TURKEY -- (0.1%)
Other Securities........................ 6,293,769 0.1%
-------------- -----
UNITED KINGDOM -- (12.3%)
British Land Co. P.L.C. (The)........... 11,114,221 89,359,810 1.4%
Derwent London P.L.C.................... 1,439,489 66,245,377 1.0%
Great Portland Estates P.L.C............ 4,031,345 41,147,908 0.7%
Hammerson P.L.C......................... 10,398,865 39,064,738 0.6%
Land Securities Group P.L.C............. 9,290,332 113,161,036 1.8%
Segro P.L.C............................. 14,210,087 155,448,483 2.5%
UNITE Group P.L.C. (The)................ 2,599,156 37,855,860 0.6%
Other Securities........................ 245,973,809 3.9%
-------------- -----
TOTAL UNITED KINGDOM.......................... 788,257,021 12.5%
-------------- -----
TOTAL COMMON STOCKS........................... 6,219,800,751 98.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Security.......................... 111,522 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $5,203,359,457)...................... 6,219,912,273
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.9%)
@(S) The DFA Short Term Investment Fund...... 16,108,620 186,392,847 2.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,389,735,284)...................... $6,406,305,120 101.7%
============== =====
As of October 31, 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............. 279 12/20/19 $41,955,658 $42,349,410 $393,752
----------- ----------- --------
TOTAL FUTURES
CONTRACTS......... $41,955,658 $42,349,410 $393,752
=========== =========== ========
49
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................................................ $ 127,931 $1,082,908,180 -- $1,083,036,111
Belgium.................................................. -- 184,053,636 -- 184,053,636
Canada................................................... 341,128,447 -- -- 341,128,447
China.................................................... -- 14,129,606 -- 14,129,606
France................................................... -- 314,940,442 -- 314,940,442
Germany.................................................. -- 53,030,276 -- 53,030,276
Hong Kong................................................ -- 336,509,817 -- 336,509,817
Ireland.................................................. -- 25,938,612 -- 25,938,612
Italy.................................................... -- 6,017,057 -- 6,017,057
Japan.................................................... -- 1,685,974,315 -- 1,685,974,315
Malaysia................................................. -- 30,063,185 -- 30,063,185
Mexico................................................... 112,697,801 -- -- 112,697,801
Netherlands.............................................. -- 320,037,279 -- 320,037,279
New Zealand.............................................. -- 68,100,734 -- 68,100,734
Singapore................................................ -- 579,713,734 -- 579,713,734
South Africa............................................. -- 151,399,886 -- 151,399,886
Spain.................................................... -- 104,915,263 -- 104,915,263
Taiwan................................................... 2,747,578 10,816,182 -- 13,563,760
Turkey................................................... -- 6,293,769 -- 6,293,769
United Kingdom........................................... -- 788,257,021 -- 788,257,021
Rights/Warrants
Singapore................................................ -- 111,522 -- 111,522
Securities Lending Collateral............................... -- 186,392,847 -- 186,392,847
Futures Contracts**......................................... 393,752 -- -- 393,752
------------ -------------- -------- --------------
TOTAL....................................................... $457,095,509 $5,949,603,363 -- $6,406,698,872
============ ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
50
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (49.5%)
CANADA -- (0.0%)
Other Security................................................... $ 1,793,752 0.0%
------------ ---
UNITED STATES -- (49.5%)
# Alexandria Real Estate Equities, Inc............................. 443,164 70,352,285 0.8%
American Campus Communities, Inc................................. 544,248 27,201,515 0.3%
American Homes 4 Rent, Class A................................... 1,067,080 28,245,618 0.3%
American Tower Corp.............................................. 1,735,168 378,405,437 4.1%
Apartment Investment & Management Co., Class A................... 596,218 32,720,451 0.4%
AvalonBay Communities, Inc....................................... 540,982 117,750,142 1.3%
Boston Properties, Inc........................................... 604,073 82,878,816 0.9%
Brixmor Property Group, Inc...................................... 1,194,784 26,309,144 0.3%
Camden Property Trust............................................ 383,926 43,909,617 0.5%
Crown Castle International Corp.................................. 1,611,774 223,698,113 2.4%
CyrusOne, Inc.................................................... 442,646 31,551,807 0.3%
Digital Realty Trust, Inc........................................ 811,085 103,040,213 1.1%
Douglas Emmett, Inc.............................................. 657,846 28,497,889 0.3%
Duke Realty Corp................................................. 1,433,142 50,360,610 0.5%
Equinix, Inc..................................................... 327,463 185,599,479 2.0%
Equity LifeStyle Properties, Inc................................. 685,813 47,965,761 0.5%
Equity Residential............................................... 1,439,285 127,607,008 1.4%
Essex Property Trust, Inc........................................ 258,189 84,461,368 0.9%
Extra Space Storage, Inc......................................... 499,040 56,027,221 0.6%
Federal Realty Investment Trust.................................. 295,613 40,206,324 0.4%
Gaming and Leisure Properties, Inc............................... 810,069 32,694,385 0.4%
Healthpeak Properties, Inc....................................... 1,891,814 71,170,043 0.8%
Host Hotels & Resorts, Inc....................................... 2,948,309 48,322,784 0.5%
Invitation Homes, Inc............................................ 1,752,593 53,962,334 0.6%
# Iron Mountain, Inc............................................... 1,138,392 37,339,258 0.4%
# Kilroy Realty Corp............................................... 403,004 33,824,126 0.4%
Kimco Realty Corp................................................ 1,677,460 36,166,038 0.4%
Lamar Advertising Co., Class A................................... 340,339 27,230,523 0.3%
Liberty Property Trust........................................... 594,863 35,138,557 0.4%
# Medical Properties Trust, Inc.................................... 1,714,774 35,547,265 0.4%
Mid-America Apartment Communities, Inc........................... 453,636 63,050,801 0.7%
National Retail Properties, Inc.................................. 681,403 40,141,451 0.4%
# Omega Healthcare Investors, Inc.................................. 895,273 39,427,830 0.4%
Prologis, Inc.................................................... 2,458,318 215,741,995 2.3%
Public Storage................................................... 614,993 137,057,340 1.5%
# Realty Income Corp............................................... 1,226,420 100,308,892 1.1%
Regency Centers Corp............................................. 663,945 44,643,635 0.5%
SBA Communications Corp.......................................... 443,093 106,630,330 1.1%
# Simon Property Group, Inc........................................ 1,214,648 183,023,161 2.0%
SL Green Realty Corp............................................. 357,734 29,906,562 0.3%
STORE Capital Corp............................................... 822,020 33,291,810 0.4%
Sun Communities, Inc............................................. 359,517 58,475,440 0.6%
UDR, Inc......................................................... 1,136,173 57,092,693 0.6%
Ventas, Inc...................................................... 1,435,241 93,434,189 1.0%
VEREIT, Inc...................................................... 4,244,239 41,763,312 0.4%
Vornado Realty Trust............................................. 682,155 44,769,833 0.5%
Welltower, Inc................................................... 1,569,286 142,318,547 1.5%
WP Carey, Inc.................................................... 657,894 60,565,722 0.7%
51
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
UNITED STATES -- (Continued)
Other Securities.......................... $ 944,616,961 10.1%
-------------- -----
TOTAL UNITED STATES.......................... 4,634,444,635 50.0%
-------------- -----
VIRGIN ISLANDS, U.S. -- (0.0%)
Other Security............................ 984,516 0.0%
-------------- -----
TOTAL COMMON STOCKS ......................... 4,637,222,903 50.0%
-------------- -----
AFFILIATED INVESTMENT COMPANIES -- (49.3%)
DFA International Real Estate Securities
Portfolio of DFA Investment Dimensions
Group Inc............................... 587,807,256 3,297,598,707 35.6%
DFA Real Estate Securities Portfolio of
DFA Investment Dimensions Group Inc..... 31,390,672 1,315,269,138 14.2%
-------------- -----
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES.................................. 4,612,867,845 49.8%
-------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $7,260,378,754)...................... 9,250,090,748
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (1.2%)
@(S) The DFA Short Term Investment Fund...... 9,606,063 111,151,759 1.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $7,371,517,891)...................... $9,361,242,507 101.0%
============== =====
Summary of the Portfolio's investments as of October 31, 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
Canada......................................... $ 1,793,752 -- -- $ 1,793,752
United States.................................. 4,634,444,635 -- -- 4,634,444,635
Virgin Islands, U.S............................ 984,516 -- -- 984,516
Affiliated Investment Companies................... 4,612,867,845 -- -- 4,612,867,845
Securities Lending Collateral..................... -- $ 111,151,759 -- 111,151,759
-------------- ------------- -- --------------
TOTAL............................................. $9,250,090,748 $ 111,151,759 -- $9,361,242,507
============== ============= == ==============
See accompanying Notes to Financial Statements.
52
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.2%)
AUSTRALIA -- (6.5%)
Cleanaway Waste Management, Ltd.................................. 48,269,779 $ 61,350,557 0.5%
Downer EDI, Ltd.................................................. 8,959,670 49,834,155 0.4%
OZ Minerals, Ltd................................................. 7,939,160 55,394,928 0.4%
Other Securities................................................. 739,901,179 5.5%
-------------- ---
TOTAL AUSTRALIA...................................................... 906,480,819 6.8%
-------------- ---
AUSTRIA -- (0.8%)
Other Securities................................................. 118,010,464 0.9%
-------------- ---
BELGIUM -- (1.5%)
Ackermans & van Haaren NV........................................ 376,953 57,785,339 0.4%
Other Securities................................................. 145,932,336 1.1%
-------------- ---
TOTAL BELGIUM........................................................ 203,717,675 1.5%
-------------- ---
CANADA -- (8.7%)
Alamos Gold, Inc., Class A....................................... 8,582,130 46,719,211 0.4%
* Centerra Gold, Inc............................................... 7,007,921 59,751,691 0.5%
* Detour Gold Corp................................................. 4,085,189 67,833,182 0.5%
# Genworth MI Canada, Inc.......................................... 1,225,983 49,519,623 0.4%
* IAMGOLD Corp..................................................... 12,353,718 46,428,444 0.4%
# Laurentian Bank of Canada........................................ 1,556,662 53,539,434 0.4%
Yamana Gold, Inc................................................. 19,985,604 72,986,679 0.6%
Other Securities................................................. 814,485,656 5.8%
-------------- ---
TOTAL CANADA......................................................... 1,211,263,920 9.0%
-------------- ---
CHINA -- (0.0%)
Other Securities................................................. 1,988,736 0.0%
-------------- ---
DENMARK -- (1.6%)
* Jyske Bank A.S................................................... 1,668,092 55,489,313 0.4%
Other Securities................................................. 162,776,614 1.2%
-------------- ---
TOTAL DENMARK........................................................ 218,265,927 1.6%
-------------- ---
FINLAND -- (2.3%)
Kemira Oyj....................................................... 2,884,212 46,853,153 0.4%
Kesko Oyj, Class B............................................... 778,256 51,853,676 0.4%
Other Securities................................................. 217,573,321 1.6%
-------------- ---
TOTAL FINLAND........................................................ 316,280,150 2.4%
-------------- ---
FRANCE -- (4.2%)
# Casino Guichard Perrachon SA..................................... 875,911 47,285,698 0.4%
Elis SA.......................................................... 2,797,909 53,491,862 0.4%
Rexel SA......................................................... 7,556,241 93,678,528 0.7%
Other Securities................................................. 386,957,702 2.8%
-------------- ---
TOTAL FRANCE......................................................... 581,413,790 4.3%
-------------- ---
GERMANY -- (5.7%)
Aareal Bank AG................................................... 1,935,615 64,981,878 0.5%
# Aurubis AG....................................................... 1,214,955 59,735,127 0.5%
53
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
GERMANY -- (Continued)
* Dialog Semiconductor P.L.C....................................... 1,084,890 $ 48,798,666 0.4%
# K+S AG........................................................... 5,143,450 73,036,915 0.6%
Lanxess AG....................................................... 755,901 49,117,832 0.4%
# OSRAM Licht AG................................................... 1,064,472 47,650,716 0.4%
Other Securities................................................. 454,666,825 3.1%
-------------- ----
TOTAL GERMANY........................................................ 797,987,959 5.9%
-------------- ----
GREECE -- (0.0%)
Other Securities................................................. 1,916 0.0%
-------------- ----
HONG KONG -- (2.5%)
Other Securities................................................. 353,823,185 2.6%
-------------- ----
IRELAND -- (0.1%)
Other Securities................................................. 15,728,581 0.1%
-------------- ----
ISRAEL -- (0.8%)
Other Securities................................................. 107,695,130 0.8%
-------------- ----
ITALY -- (5.0%)
#* Banco BPM SpA.................................................... 25,325,494 57,649,973 0.4%
# BPER Banca....................................................... 14,354,646 64,219,630 0.5%
# Buzzi Unicem SpA................................................. 2,457,060 59,285,458 0.4%
#* Saipem SpA....................................................... 13,961,308 63,370,901 0.5%
# Unione di Banche Italiane SpA.................................... 25,232,083 76,863,720 0.6%
Unipol Gruppo SpA................................................ 12,113,158 67,604,301 0.5%
Other Securities................................................. 303,820,318 2.3%
-------------- ----
TOTAL ITALY.......................................................... 692,814,301 5.2%
-------------- ----
JAPAN -- (25.3%)
Other Securities................................................. 3,530,465,860 26.3%
-------------- ----
NETHERLANDS -- (2.8%)
ASR Nederland NV................................................. 2,205,160 80,838,064 0.6%
# SBM Offshore NV.................................................. 5,015,641 86,497,252 0.6%
Signify NV....................................................... 1,753,859 51,388,165 0.4%
Other Securities................................................. 173,574,527 1.3%
-------------- ----
TOTAL NETHERLANDS.................................................... 392,298,008 2.9%
-------------- ----
NEW ZEALAND -- (0.4%)
Other Securities................................................. 53,037,883 0.4%
-------------- ----
NORWAY -- (1.0%)
Other Securities................................................. 144,396,313 1.1%
-------------- ----
PORTUGAL -- (0.3%)
Other Securities................................................. 42,479,154 0.3%
-------------- ----
SINGAPORE -- (0.9%)
Other Securities................................................. 128,482,135 1.0%
-------------- ----
SPAIN -- (2.3%)
# Acciona SA....................................................... 714,249 74,409,226 0.6%
54
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SPAIN -- (Continued)
Other Securities............................................ $ 243,071,010 1.8%
--------------- -----
TOTAL SPAIN....................................................... 317,480,236 2.4%
--------------- -----
SWEDEN -- (2.5%)
Other Securities............................................ 350,798,748 2.6%
--------------- -----
SWITZERLAND -- (4.0%)
Allreal Holding AG.......................................... 285,375 55,605,064 0.4%
Helvetia Holding AG......................................... 649,974 91,300,048 0.7%
Other Securities............................................ 409,442,329 3.1%
--------------- -----
TOTAL SWITZERLAND................................................. 556,347,441 4.2%
--------------- -----
UNITED KINGDOM -- (15.0%)
Aggreko P.L.C............................................... 5,235,543 53,674,990 0.4%
Bellway P.L.C............................................... 3,113,524 127,434,740 1.0%
Bovis Homes Group P.L.C..................................... 4,767,183 72,233,247 0.5%
Centamin P.L.C.............................................. 35,161,164 53,186,640 0.4%
Close Brothers Group P.L.C.................................. 2,940,933 52,734,542 0.4%
* EI Group P.L.C.............................................. 15,351,269 56,065,285 0.4%
* Firstgroup P.L.C............................................ 27,448,860 45,912,747 0.3%
Grafton Group P.L.C......................................... 5,419,376 54,877,928 0.4%
Hiscox, Ltd................................................. 3,298,913 63,704,948 0.5%
Meggitt P.L.C............................................... 10,427,855 84,375,202 0.6%
National Express Group P.L.C................................ 10,283,289 59,496,716 0.5%
Phoenix Group Holdings P.L.C................................ 7,725,396 70,564,799 0.5%
Redrow P.L.C................................................ 7,588,073 59,155,283 0.4%
Travis Perkins P.L.C........................................ 5,440,108 101,045,309 0.8%
Tullow Oil P.L.C............................................ 29,939,495 80,007,924 0.6%
Other Securities............................................ 1,051,895,844 7.8%
--------------- -----
TOTAL UNITED KINGDOM.............................................. 2,086,366,144 15.5%
--------------- -----
TOTAL COMMON STOCKS............................................... 13,127,624,475 97.8%
--------------- -----
PREFERRED STOCKS -- (0.1%)
GERMANY -- (0.1%)
Other Securities............................................ 14,962,389 0.1%
--------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 495,266 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $12,655,097,405).......................................... 13,143,082,130
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (5.7%)
@(S) The DFA Short Term Investment
Fund...................................................... 68,564,422 793,358,925 5.9%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $13,448,376,291).......................................... $13,936,441,055 103.8%
=============== =====
55
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
As of October 31, 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........ 748 12/20/19 $110,785,406 $113,538,920 $2,753,514
------------ ------------ ----------
TOTAL FUTURES CONTRACTS....... $110,785,406 $113,538,920 $2,753,514
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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............. $ 319,134 $ 906,161,685 -- $ 906,480,819
Austria............... -- 118,010,464 -- 118,010,464
Belgium............... -- 203,717,675 -- 203,717,675
Canada................ 1,198,877,186 12,386,734 -- 1,211,263,920
China................. -- 1,988,736 -- 1,988,736
Denmark............... -- 218,265,927 -- 218,265,927
Finland............... -- 316,280,150 -- 316,280,150
France................ -- 581,413,790 -- 581,413,790
Germany............... 632,936 797,355,023 -- 797,987,959
Greece................ -- 1,916 -- 1,916
Hong Kong............. -- 353,823,185 -- 353,823,185
Ireland............... -- 15,728,581 -- 15,728,581
Israel................ -- 107,695,130 -- 107,695,130
Italy................. 12,689,846 680,124,455 -- 692,814,301
Japan................. -- 3,530,465,860 -- 3,530,465,860
Netherlands........... -- 392,298,008 -- 392,298,008
New Zealand........... -- 53,037,883 -- 53,037,883
Norway................ -- 144,396,313 -- 144,396,313
Portugal.............. -- 42,479,154 -- 42,479,154
Singapore............. -- 128,482,135 -- 128,482,135
Spain................. -- 317,480,236 -- 317,480,236
Sweden................ 2,837,495 347,961,253 -- 350,798,748
Switzerland........... -- 556,347,441 -- 556,347,441
United Kingdom........ -- 2,086,366,144 -- 2,086,366,144
Preferred Stocks
Germany............... -- 14,962,389 -- 14,962,389
Rights/Warrants
Canada................ -- 420,370 -- 420,370
Italy................. -- 12,532 -- 12,532
Japan................. -- 10,734 -- 10,734
Norway................ -- 51,630 -- 51,630
Securities Lending
Collateral............. -- 793,358,925 -- 793,358,925
Futures Contracts**...... 2,753,514 -- -- 2,753,514
-------------- --------------- -- ---------------
TOTAL.................... $1,218,110,111 $12,721,084,458 -- $13,939,194,569
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
56
INTERNATIONAL VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (94.5%)
AUSTRALIA -- (5.9%)
BHP Group, Ltd................................................... 178,389 $ 4,372,752 0.2%
BlueScope Steel, Ltd............................................. 444,303 4,067,225 0.2%
Santos, Ltd...................................................... 833,768 4,663,693 0.2%
Other Securities................................................. 145,468,655 5.6%
------------ ---
TOTAL AUSTRALIA...................................................... 158,572,325 6.2%
------------ ---
AUSTRIA -- (0.6%)
Other Securities................................................. 16,594,922 0.6%
------------ ---
BELGIUM -- (1.4%)
Ageas............................................................ 84,715 4,885,560 0.2%
Solvay SA........................................................ 49,531 5,385,305 0.2%
Other Securities................................................. 28,825,754 1.1%
------------ ---
TOTAL BELGIUM........................................................ 39,096,619 1.5%
------------ ---
CANADA -- (8.8%)
# Bank of Nova Scotia (The)........................................ 73,643 4,221,953 0.2%
Canadian Natural Resources, Ltd.................................. 220,479 5,560,480 0.2%
* Kinross Gold Corp................................................ 886,903 4,309,604 0.2%
Magna International, Inc......................................... 91,616 4,926,192 0.2%
Suncor Energy, Inc., (B3NB0P5)................................... 163,438 4,852,474 0.2%
Teck Resources, Ltd., Class B.................................... 260,318 4,120,834 0.2%
Other Securities................................................. 209,784,012 8.0%
------------ ---
TOTAL CANADA......................................................... 237,775,549 9.2%
------------ ---
CHINA -- (0.0%)
Other Securities................................................. 184,231 0.0%
------------ ---
DENMARK -- (1.5%)
Other Securities................................................. 40,985,746 1.6%
------------ ---
FINLAND -- (1.9%)
UPM-Kymmene Oyj.................................................. 265,292 8,640,414 0.3%
Other Securities................................................. 41,638,645 1.6%
------------ ---
TOTAL FINLAND........................................................ 50,279,059 1.9%
------------ ---
FRANCE -- (7.0%)
Cie de Saint-Gobain.............................................. 163,947 6,677,223 0.3%
Peugeot SA....................................................... 392,822 9,948,654 0.4%
Societe Generale SA.............................................. 230,457 6,553,944 0.3%
Teleperformance.................................................. 18,747 4,253,383 0.2%
Total SA......................................................... 304,258 16,085,571 0.6%
Other Securities................................................. 144,409,252 5.5%
------------ ---
TOTAL FRANCE......................................................... 187,928,027 7.3%
------------ ---
GERMANY -- (6.4%)
Allianz SE....................................................... 24,364 5,950,238 0.2%
Bayer AG......................................................... 72,951 5,659,259 0.2%
Bayerische Motoren Werke AG...................................... 55,891 4,279,836 0.2%
# Continental AG................................................... 42,035 5,630,201 0.2%
57
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
GERMANY -- (Continued)
Daimler AG....................................................... 153,503 $ 8,952,715 0.4%
E.ON SE.......................................................... 588,434 5,934,043 0.2%
# Lanxess AG....................................................... 65,368 4,247,559 0.2%
Other Securities................................................. 130,681,625 5.0%
------------ ----
TOTAL GERMANY........................................................ 171,335,476 6.6%
------------ ----
HONG KONG -- (2.7%)
New World Development Co., Ltd................................... 2,886,579 4,129,065 0.2%
Other Securities................................................. 67,749,616 2.6%
------------ ----
TOTAL HONG KONG...................................................... 71,878,681 2.8%
------------ ----
IRELAND -- (0.7%)
CRH P.L.C., Sponsored ADR........................................ 122,410 4,467,965 0.2%
Other Securities................................................. 14,659,900 0.5%
------------ ----
TOTAL IRELAND........................................................ 19,127,865 0.7%
------------ ----
ISRAEL -- (0.8%)
Other Securities................................................. 20,943,474 0.8%
------------ ----
ITALY -- (3.2%)
Fiat Chrysler Automobiles NV, (BRJ2W98).......................... 334,965 5,131,664 0.2%
Fiat Chrysler Automobiles NV, (BRJFWP3).......................... 368,536 5,719,223 0.2%
UniCredit SpA.................................................... 351,851 4,463,941 0.2%
Other Securities................................................. 70,006,221 2.7%
------------ ----
TOTAL ITALY.......................................................... 85,321,049 3.3%
------------ ----
JAPAN -- (24.2%)
Honda Motor Co., Ltd............................................. 173,935 4,705,633 0.2%
Mitsubishi UFJ Financial Group, Inc.............................. 899,300 4,662,230 0.2%
Toyota Motor Corp................................................ 73,263 5,083,052 0.2%
# Toyota Motor Corp., Sponsored ADR................................ 36,827 5,102,381 0.2%
Other Securities................................................. 632,635,223 24.5%
------------ ----
TOTAL JAPAN.......................................................... 652,188,519 25.3%
------------ ----
NETHERLANDS -- (2.7%)
Koninklijke Ahold Delhaize NV.................................... 245,266 6,112,042 0.2%
Other Securities................................................. 67,880,859 2.7%
------------ ----
TOTAL NETHERLANDS.................................................... 73,992,901 2.9%
------------ ----
NEW ZEALAND -- (0.5%)
Other Securities................................................. 12,804,985 0.5%
------------ ----
NORWAY -- (0.8%)
Other Securities................................................. 22,693,448 0.9%
------------ ----
PORTUGAL -- (0.3%)
Other Securities................................................. 7,810,504 0.3%
------------ ----
SINGAPORE -- (1.1%)
Other Securities................................................. 29,924,309 1.2%
------------ ----
58
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SPAIN -- (1.9%)
Banco Santander SA............................................... 1,257,170 $ 5,047,910 0.2%
Other Securities................................................. 46,023,034 1.8%
-------------- ----
TOTAL SPAIN.......................................................... 51,070,944 2.0%
-------------- ----
SWEDEN -- (2.5%)
Other Securities................................................. 67,972,766 2.6%
-------------- ----
SWITZERLAND -- (6.3%)
Adecco Group AG.................................................. 80,719 4,798,434 0.2%
Helvetia Holding AG.............................................. 34,781 4,885,591 0.2%
Nestle SA........................................................ 110,012 11,769,228 0.5%
Novartis AG...................................................... 52,784 4,612,012 0.2%
Novartis AG, Sponsored ADR....................................... 73,269 6,406,641 0.3%
Swiss Prime Site AG.............................................. 49,013 5,051,860 0.2%
Zurich Insurance Group AG........................................ 14,600 5,718,821 0.2%
Other Securities................................................. 126,001,618 4.8%
-------------- ----
TOTAL SWITZERLAND.................................................... 169,244,205 6.6%
-------------- ----
UNITED KINGDOM -- (13.3%)
Anglo American P.L.C............................................. 188,743 4,857,696 0.2%
BP P.L.C., Sponsored ADR......................................... 248,133 9,406,728 0.4%
British American Tobacco P.L.C................................... 158,257 5,535,175 0.2%
# HSBC Holdings P.L.C., Sponsored ADR.............................. 277,592 10,490,202 0.4%
Lloyds Banking Group P.L.C....................................... 6,332,142 4,657,962 0.2%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A................. 161,774 9,378,027 0.4%
Royal Dutch Shell P.L.C., Sponsored ADR, Class B................. 102,022 5,946,862 0.2%
Other Securities................................................. 306,949,946 11.9%
-------------- ----
TOTAL UNITED KINGDOM................................................. 357,222,598 13.9%
-------------- ----
UNITED STATES -- (0.0%)
Other Security................................................... 58,913 0.0%
-------------- ----
TOTAL COMMON STOCKS ................................................. 2,545,007,115 98.7%
-------------- ----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Volkswagen AG.................................................... 35,613 6,770,217 0.3%
Other Securities................................................. 7,776,261 0.3%
-------------- ----
TOTAL GERMANY........................................................ 14,546,478 0.6%
-------------- ----
UNITED KINGDOM -- (0.0%)
Other Securities................................................. 11,484 0.0%
-------------- ----
TOTAL PREFERRED STOCKS............................................... 14,557,962 0.6%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 162,813 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $2,315,741,708).............................................. 2,559,727,890
--------------
59
INTERNATIONAL VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (4.9%)
@(S) The DFA Short Term Investment Fund............................... 11,468,926 $ 132,706,943 5.1%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,448,435,980)................................................ $2,692,434,833 104.4%
============== =====
Summary of the Portfolio's investments as of October 31, 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....... $ 278,929 $ 158,293,396 -- $ 158,572,325
Austria......... -- 16,594,922 -- 16,594,922
Belgium......... 943,834 38,152,785 -- 39,096,619
Canada.......... 237,004,236 771,313 -- 237,775,549
China........... -- 184,231 -- 184,231
Denmark......... -- 40,985,746 -- 40,985,746
Finland......... -- 50,279,059 -- 50,279,059
France.......... 323,203 187,604,824 -- 187,928,027
Germany......... 4,115,665 167,219,811 -- 171,335,476
Hong Kong....... 282,710 71,595,971 -- 71,878,681
Ireland......... 4,467,965 14,659,900 -- 19,127,865
Israel.......... 1,119,449 19,824,025 -- 20,943,474
Italy........... 5,696,684 79,624,365 -- 85,321,049
Japan........... 10,757,044 641,431,475 -- 652,188,519
Netherlands..... 7,160,314 66,832,587 -- 73,992,901
New Zealand..... 7,845 12,797,140 -- 12,804,985
Norway.......... 46,818 22,646,630 -- 22,693,448
Portugal........ -- 7,810,504 -- 7,810,504
Singapore....... 3,484 29,920,825 -- 29,924,309
Spain........... 2,201,586 48,869,358 -- 51,070,944
Sweden.......... 223,670 67,749,096 -- 67,972,766
Switzerland..... 10,735,339 158,508,866 -- 169,244,205
United Kingdom.. 49,374,390 307,848,208 -- 357,222,598
United States... -- 58,913 -- 58,913
Preferred Stocks
Germany......... -- 14,546,478 -- 14,546,478
United Kingdom.. -- 11,484 -- 11,484
Rights/Warrants
Canada.......... -- 91,436 -- 91,436
Italy........... -- 26,887 -- 26,887
Norway.......... -- 1,928 -- 1,928
Spain........... -- 42,417 -- 42,417
Sweden.......... -- 145 -- 145
Securities Lending
Collateral....... -- 132,706,943 -- 132,706,943
------------ -------------- -- --------------
TOTAL.............. $334,743,165 $2,357,691,668 -- $2,692,434,833
============ ============== == ==============
See accompanying Notes to Financial Statements.
60
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (95.5%)
AUSTRALIA -- (6.2%)
BHP Group, Ltd................................................... 247,858 $ 6,075,607 0.9%
# BHP Group, Ltd., Sponsored ADR................................... 22,391 1,095,144 0.2%
CSL, Ltd......................................................... 37,467 6,607,540 1.0%
Wesfarmers, Ltd.................................................. 116,799 3,209,042 0.5%
Other Securities................................................. 24,927,780 3.8%
----------- ----
TOTAL AUSTRALIA...................................................... 41,915,113 6.4%
----------- ----
AUSTRIA -- (0.1%)
Other Securities................................................. 1,063,718 0.1%
----------- ----
BELGIUM -- (0.9%)
Other Securities................................................. 6,003,062 0.9%
----------- ----
CANADA -- (8.4%)
# Bank of Montreal, (2076009)...................................... 44,483 3,292,911 0.5%
Canadian National Railway Co..................................... 50,822 4,541,962 0.7%
Other Securities................................................. 49,069,486 7.4%
----------- ----
TOTAL CANADA......................................................... 56,904,359 8.6%
----------- ----
DENMARK -- (1.5%)
Novo Nordisk A.S., Class B....................................... 162,073 8,912,183 1.4%
Other Security................................................... 1,473,285 0.2%
----------- ----
TOTAL DENMARK........................................................ 10,385,468 1.6%
----------- ----
FINLAND -- (0.9%)
Other Securities................................................. 6,427,598 1.0%
----------- ----
FRANCE -- (10.2%)
Airbus SE........................................................ 41,631 5,972,310 0.9%
Cie Generale des Etablissements Michelin SCA..................... 30,215 3,678,893 0.6%
Kering SA........................................................ 6,008 3,418,530 0.5%
Legrand SA....................................................... 39,914 3,118,241 0.5%
LVMH Moet Hennessy Louis Vuitton SE.............................. 24,113 10,297,592 1.6%
# Orange SA........................................................ 199,445 3,209,966 0.5%
Safran SA........................................................ 28,182 4,463,744 0.7%
# Vinci SA......................................................... 44,122 4,950,322 0.8%
Other Securities................................................. 30,051,246 4.4%
----------- ----
TOTAL FRANCE......................................................... 69,160,844 10.5%
----------- ----
GERMANY -- (6.9%)
Adidas AG........................................................ 12,924 3,995,154 0.6%
Deutsche Boerse AG............................................... 21,224 3,286,741 0.5%
Deutsche Post AG................................................. 85,557 3,030,860 0.5%
Deutsche Telekom AG.............................................. 307,595 5,412,306 0.8%
E.ON SE.......................................................... 333,869 3,366,891 0.5%
Infineon Technologies AG......................................... 187,753 3,636,544 0.6%
Other Securities................................................. 24,036,078 3.6%
----------- ----
TOTAL GERMANY........................................................ 46,764,574 7.1%
----------- ----
61
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
HONG KONG -- (2.7%)
Other Securities................................................. $ 18,293,655 2.8%
------------ ----
IRELAND -- (0.5%)
Other Securities................................................. 3,186,938 0.5%
------------ ----
ISRAEL -- (0.4%)
Other Securities................................................. 2,564,370 0.4%
------------ ----
ITALY -- (2.0%)
Other Securities................................................. 13,911,759 2.1%
------------ ----
JAPAN -- (21.9%)
Daikin Industries, Ltd........................................... 22,900 3,205,075 0.5%
Kao Corp......................................................... 36,700 2,950,630 0.5%
KDDI Corp........................................................ 192,800 5,334,996 0.8%
NTT DOCOMO, Inc.................................................. 139,000 3,810,699 0.6%
Recruit Holdings Co., Ltd........................................ 105,600 3,509,515 0.5%
Seven & I Holdings Co., Ltd...................................... 79,800 3,014,867 0.5%
# SoftBank Group Corp.............................................. 177,100 6,812,400 1.0%
Sony Corp........................................................ 134,900 8,211,247 1.2%
Tokyo Electron, Ltd.............................................. 14,300 2,897,160 0.4%
Other Securities................................................. 108,744,826 16.5%
------------ ----
TOTAL JAPAN.......................................................... 148,491,415 22.5%
------------ ----
NETHERLANDS -- (3.3%)
Koninklijke Ahold Delhaize NV.................................... 144,612 3,603,739 0.6%
# Unilever NV...................................................... 82,174 4,867,988 0.8%
Wolters Kluwer NV................................................ 47,304 3,484,081 0.5%
Other Securities................................................. 10,435,471 1.5%
------------ ----
TOTAL NETHERLANDS.................................................... 22,391,279 3.4%
------------ ----
NEW ZEALAND -- (0.2%)
Other Securities................................................. 1,389,377 0.2%
------------ ----
NORWAY -- (0.7%)
Other Securities................................................. 4,504,977 0.7%
------------ ----
PORTUGAL -- (0.1%)
Other Security................................................... 529,550 0.1%
------------ ----
SINGAPORE -- (1.1%)
Other Securities................................................. 7,661,402 1.2%
------------ ----
SPAIN -- (2.6%)
Industria de Diseno Textil SA.................................... 92,858 2,893,530 0.4%
Telefonica SA.................................................... 484,179 3,718,146 0.6%
Other Securities................................................. 11,066,453 1.7%
------------ ----
TOTAL SPAIN.......................................................... 17,678,129 2.7%
------------ ----
SWEDEN -- (2.3%)
Other Securities................................................. 15,802,276 2.4%
------------ ----
SWITZERLAND -- (8.1%)
Givaudan SA...................................................... 1,629 4,785,894 0.7%
62
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SWITZERLAND -- (Continued)
Nestle SA................................................... 98,099 $ 10,494,760 1.6%
Roche Holding AG............................................ 2,735 815,377 0.1%
Roche Holding AG............................................ 67,939 20,446,636 3.1%
Sika AG..................................................... 18,454 3,172,363 0.5%
Other Securities............................................ 15,399,208 2.4%
------------ -----
TOTAL SWITZERLAND................................................. 55,114,238 8.4%
------------ -----
UNITED KINGDOM -- (14.5%)
AstraZeneca P.L.C........................................... 26,662 2,600,004 0.4%
# AstraZeneca P.L.C., Sponsored ADR........................... 192,433 9,434,990 1.4%
BHP Group P.L.C............................................. 171,304 3,633,451 0.6%
BT Group P.L.C.............................................. 1,702,202 4,517,400 0.7%
Compass Group P.L.C......................................... 132,577 3,529,738 0.5%
Diageo P.L.C., Sponsored ADR................................ 43,065 7,057,061 1.1%
Experian P.L.C.............................................. 143,441 4,521,447 0.7%
Ferguson P.L.C.............................................. 39,071 3,336,421 0.5%
GlaxoSmithKline P.L.C....................................... 14,845 340,024 0.1%
GlaxoSmithKline P.L.C., Sponsored ADR....................... 171,685 7,863,173 1.2%
Imperial Brands P.L.C....................................... 173,832 3,813,085 0.6%
# Rio Tinto P.L.C., Sponsored ADR............................. 97,092 5,049,755 0.8%
Unilever P.L.C., Sponsored ADR.............................. 92,117 5,537,153 0.8%
Other Securities............................................ 37,037,697 5.5%
------------ -----
TOTAL UNITED KINGDOM.............................................. 98,271,399 14.9%
------------ -----
TOTAL COMMON STOCKS............................................... 648,415,500 98.5%
------------ -----
PREFERRED STOCKS -- (0.7%)
GERMANY -- (0.7%)
Volkswagen AG............................................... 18,995 3,611,048 0.6%
Other Securities............................................ 1,379,143 0.1%
------------ -----
TOTAL GERMANY..................................................... 4,990,191 0.7%
------------ -----
UNITED KINGDOM -- (0.0%)
Other Security.............................................. 8,891 0.0%
------------ -----
TOTAL PREFERRED STOCKS............................................ 4,999,082 0.7%
------------ -----
TOTAL INVESTMENT SECURITIES
(Cost $618,186,641)............................................. 653,414,582
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.8%)
@(S) The DFA Short Term Investment Fund.......................... 2,244,424 25,970,231 4.0%
------------ -----
TOTAL INVESTMENTS--(100.0%)
(Cost $644,155,045)............................................. $679,384,813 103.2%
============ =====
63
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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............. $ 1,095,144 $ 40,819,969 -- $ 41,915,113
Austria............... -- 1,063,718 -- 1,063,718
Belgium............... -- 6,003,062 -- 6,003,062
Canada................ 56,904,359 -- -- 56,904,359
Denmark............... -- 10,385,468 -- 10,385,468
Finland............... -- 6,427,598 -- 6,427,598
France................ 219,066 68,941,778 -- 69,160,844
Germany............... -- 46,764,574 -- 46,764,574
Hong Kong............. -- 18,293,655 -- 18,293,655
Ireland............... 683,389 2,503,549 -- 3,186,938
Israel................ 652,437 1,911,933 -- 2,564,370
Italy................. 1,255,501 12,656,258 -- 13,911,759
Japan................. -- 148,491,415 -- 148,491,415
Netherlands........... 5,625,081 16,766,198 -- 22,391,279
New Zealand........... -- 1,389,377 -- 1,389,377
Norway................ -- 4,504,977 -- 4,504,977
Portugal.............. -- 529,550 -- 529,550
Singapore............. -- 7,661,402 -- 7,661,402
Spain................. -- 17,678,129 -- 17,678,129
Sweden................ -- 15,802,276 -- 15,802,276
Switzerland........... 37,245 55,076,993 -- 55,114,238
United Kingdom........ 37,473,237 60,798,162 -- 98,271,399
Preferred Stocks
Germany............... -- 4,990,191 -- 4,990,191
United Kingdom........ -- 8,891 -- 8,891
Securities Lending
Collateral............. -- 25,970,231 -- 25,970,231
------------ ------------ -- ------------
TOTAL.................... $103,945,459 $575,439,354 -- $679,384,813
============ ============ == ============
See accompanying Notes to Financial Statements.
64
WORLD EX U.S. VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA Investment Trust Company......... $193,496,699
Investment in Dimensional Emerging Markets Value Fund........................................ 79,522,820
Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group
Inc........................................................................................ 1,565,459 29,086,235
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $290,856,255)........................................................................ $302,105,754
============
Summary of the Portfolio's investments as of October 31, 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............................. $302,105,754 -- -- $302,105,754
------------ -------- -------- ------------
TOTAL....................................................... $302,105,754 -- -- $302,105,754
============ ======== ======== ============
See accompanying Notes to Financial Statements.
65
WORLD EX U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (98.9%)
AUSTRALIA -- (5.5%)
BlueScope Steel, Ltd............................................. 117,966 $ 1,079,882 0.2%
Boral, Ltd....................................................... 337,513 1,171,817 0.2%
Incitec Pivot, Ltd............................................... 464,128 1,104,364 0.2%
Other Securities................................................. 26,063,776 4.9%
----------- ---
TOTAL AUSTRALIA...................................................... 29,419,839 5.5%
----------- ---
AUSTRIA -- (0.6%)
Raiffeisen Bank International AG................................. 43,878 1,081,122 0.2%
Other Securities................................................. 2,281,766 0.4%
----------- ---
TOTAL AUSTRIA........................................................ 3,362,888 0.6%
----------- ---
BELGIUM -- (1.2%)
Ageas............................................................ 24,339 1,403,647 0.3%
Other Securities................................................. 4,890,639 0.9%
----------- ---
TOTAL BELGIUM........................................................ 6,294,286 1.2%
----------- ---
BRAZIL -- (1.8%)
Other Securities................................................. 9,726,426 1.8%
----------- ---
CANADA -- (7.1%)
First Quantum Minerals, Ltd...................................... 124,350 1,050,805 0.2%
* Kinross Gold Corp................................................ 413,553 2,009,520 0.4%
Lundin Mining Corp............................................... 216,814 1,094,688 0.2%
Yamana Gold, Inc................................................. 321,295 1,173,357 0.2%
Other Securities................................................. 32,169,626 6.0%
----------- ---
TOTAL CANADA......................................................... 37,497,996 7.0%
----------- ---
CHILE -- (0.2%)
Other Securities................................................. 885,270 0.2%
----------- ---
CHINA -- (5.7%)
Other Securities................................................. 30,472,172 5.7%
----------- ---
COLOMBIA -- (0.1%)
Other Securities................................................. 522,394 0.1%
----------- ---
DENMARK -- (1.1%)
Other Securities................................................. 6,092,261 1.1%
----------- ---
FINLAND -- (1.7%)
Huhtamaki Oyj.................................................... 24,407 1,130,178 0.2%
Stora Enso Oyj, Class R.......................................... 103,034 1,338,589 0.3%
Other Securities................................................. 6,321,578 1.2%
----------- ---
TOTAL FINLAND........................................................ 8,790,345 1.7%
----------- ---
FRANCE -- (4.9%)
Arkema SA........................................................ 18,073 1,849,553 0.4%
Atos SE.......................................................... 20,609 1,599,394 0.3%
Eiffage SA....................................................... 14,549 1,562,652 0.3%
Rexel SA......................................................... 88,383 1,095,729 0.2%
66
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
FRANCE -- (Continued)
SCOR SE.......................................................... 39,667 $ 1,673,119 0.3%
Valeo SA......................................................... 53,015 1,974,315 0.4%
Other Securities................................................. 16,253,020 3.0%
------------ ----
TOTAL FRANCE......................................................... 26,007,782 4.9%
------------ ----
GERMANY -- (5.1%)
Commerzbank AG................................................... 311,524 1,864,080 0.4%
Covestro AG...................................................... 36,003 1,728,933 0.3%
GEA Group AG..................................................... 45,578 1,392,036 0.3%
KION Group AG.................................................... 19,993 1,330,289 0.3%
Lanxess AG....................................................... 17,402 1,130,768 0.2%
OSRAM Licht AG................................................... 28,719 1,285,596 0.3%
Rheinmetall AG................................................... 12,040 1,452,103 0.3%
Other Securities................................................. 17,004,229 3.0%
------------ ----
TOTAL GERMANY........................................................ 27,188,034 5.1%
------------ ----
GREECE -- (0.1%)
Other Securities................................................. 353,469 0.1%
------------ ----
HONG KONG -- (1.7%)
Other Securities................................................. 8,870,932 1.7%
------------ ----
INDIA -- (2.5%)
Other Securities................................................. 13,219,772 2.5%
------------ ----
INDONESIA -- (0.6%)
Other Securities................................................. 3,168,078 0.6%
------------ ----
IRELAND -- (0.8%)
Bank of Ireland Group P.L.C...................................... 376,009 1,812,375 0.4%
Flutter Entertainment P.L.C ..................................... 10,939 1,130,518 0.2%
Other Securities................................................. 1,282,796 0.2%
------------ ----
TOTAL IRELAND........................................................ 4,225,689 0.8%
------------ ----
ISRAEL -- (0.6%)
Other Securities................................................. 3,227,305 0.6%
------------ ----
ITALY -- (2.9%)
* Banco BPM SpA.................................................... 469,718 1,069,249 0.2%
Mediobanca Banca di Credito Finanziario SpA...................... 181,748 2,161,225 0.4%
Other Securities................................................. 12,254,436 2.3%
------------ ----
TOTAL ITALY.......................................................... 15,484,910 2.9%
------------ ----
JAPAN -- (20.0%)
Teijin, Ltd...................................................... 53,200 1,066,039 0.2%
Other Securities................................................. 105,167,377 19.7%
------------ ----
TOTAL JAPAN.......................................................... 106,233,416 19.9%
------------ ----
MALAYSIA -- (0.8%)
Other Securities................................................. 4,208,922 0.8%
------------ ----
67
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
MEXICO -- (0.7%)
Other Securities................................................. $ 3,567,876 0.7%
----------- ---
NETHERLANDS -- (1.9%)
ASM International NV............................................. 12,430 1,253,214 0.2%
ASR Nederland NV................................................. 44,759 1,640,802 0.3%
Randstad NV...................................................... 28,886 1,603,082 0.3%
Other Securities................................................. 5,500,862 1.1%
----------- ---
TOTAL NETHERLANDS.................................................... 9,997,960 1.9%
----------- ---
NEW ZEALAND -- (0.4%)
Other Securities................................................. 2,094,156 0.4%
----------- ---
NORWAY -- (0.6%)
Other Securities................................................. 3,444,784 0.6%
----------- ---
PHILIPPINES -- (0.3%)
Other Securities................................................. 1,675,710 0.3%
----------- ---
POLAND -- (0.3%)
Other Securities................................................. 1,487,645 0.3%
----------- ---
PORTUGAL -- (0.2%)
Other Securities................................................. 1,221,956 0.2%
----------- ---
RUSSIA -- (0.2%)
Other Securities................................................. 937,638 0.2%
----------- ---
SINGAPORE -- (0.6%)
Other Securities................................................. 3,364,135 0.6%
----------- ---
SOUTH AFRICA -- (1.9%)
* Impala Platinum Holdings, Ltd.................................... 164,273 1,131,014 0.2%
Other Securities................................................. 8,803,896 1.7%
----------- ---
TOTAL SOUTH AFRICA................................................... 9,934,910 1.9%
----------- ---
SOUTH KOREA -- (3.5%)
Other Securities................................................. 18,601,185 3.5%
----------- ---
SPAIN -- (1.6%)
Other Securities................................................. 8,574,076 1.6%
----------- ---
SWEDEN -- (2.1%)
Other Securities................................................. 11,423,182 2.1%
----------- ---
SWITZERLAND -- (3.7%)
Adecco Group AG.................................................. 41,835 2,486,930 0.5%
Baloise Holding AG............................................... 14,564 2,693,661 0.5%
Swiss Prime Site AG.............................................. 11,884 1,224,906 0.2%
Other Securities................................................. 13,437,386 2.5%
----------- ---
TOTAL SWITZERLAND.................................................... 19,842,883 3.7%
----------- ---
TAIWAN -- (4.2%)
Other Securities................................................. 22,274,629 4.2%
----------- ---
68
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
THAILAND -- (0.7%)
Other Securities............... $ 3,969,256 0.7%
------------ ----
TURKEY -- (0.2%)
Other Securities............... 1,008,023 0.2%
------------ ----
UNITED KINGDOM -- (10.8%)
Barratt Developments P.L.C..... 181,197 1,481,793 0.3%
Bellway P.L.C.................. 31,871 1,304,462 0.3%
Berkeley Group Holdings P.L.C.. 26,611 1,516,811 0.3%
Cobham P.L.C................... 666,518 1,363,350 0.3%
GVC Holdings P.L.C............. 91,501 1,055,627 0.2%
Investec P.L.C................. 211,733 1,200,411 0.2%
J Sainsbury P.L.C.............. 406,591 1,071,479 0.2%
Kingfisher P.L.C............... 593,169 1,591,239 0.3%
Merlin Entertainments P.L.C.... 189,161 1,114,434 0.2%
Phoenix Group Holdings P.L.C... 137,472 1,255,688 0.2%
Taylor Wimpey P.L.C............ 568,351 1,218,944 0.2%
Travis Perkins P.L.C........... 79,648 1,479,393 0.3%
Tullow Oil P.L.C............... 435,039 1,162,565 0.2%
Wm Morrison Supermarkets P.L.C. 712,962 1,841,833 0.4%
Other Securities............... 38,646,180 7.2%
------------ ----
TOTAL UNITED KINGDOM................... 57,304,209 10.8%
------------ ----
TOTAL COMMON STOCKS.................... 525,976,399 98.7%
------------ ----
PREFERRED STOCKS -- (0.6%)
BRAZIL -- (0.4%)
Other Securities............... 2,281,936 0.4%
------------ ----
COLOMBIA -- (0.0%)
Other Security................. 58,305 0.0%
------------ ----
GERMANY -- (0.2%)
Other Securities............... 903,541 0.2%
------------ ----
TOTAL PREFERRED STOCKS................. 3,243,782 0.6%
------------ ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............... 32,414 0.0%
------------ ----
TOTAL INVESTMENT SECURITIES
(Cost $542,407,680).................. 529,252,595
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.5%)
@(S) The DFA Short Term Investment
Fund......................... 241,696 2,796,664 0.5%
------------ ----
TOTAL INVESTMENTS--(100.0%)
(Cost $545,203,945).................. $532,049,259 99.8%
============ ====
69
WORLD EX U.S. TARGETED VALUE PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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....... $ 30,328 $ 29,389,511 -- $ 29,419,839
Austria......... -- 3,362,888 -- 3,362,888
Belgium......... -- 6,294,286 -- 6,294,286
Brazil.......... 9,726,426 -- -- 9,726,426
Canada.......... 37,356,765 141,231 -- 37,497,996
Chile........... 8,172 877,098 -- 885,270
China........... 1,425,951 29,046,221 -- 30,472,172
Colombia........ 522,394 -- -- 522,394
Denmark......... -- 6,092,261 -- 6,092,261
Finland......... -- 8,790,345 -- 8,790,345
France.......... -- 26,007,782 -- 26,007,782
Germany......... -- 27,188,034 -- 27,188,034
Greece.......... -- 353,469 -- 353,469
Hong Kong....... -- 8,870,932 -- 8,870,932
India........... 87,334 13,132,438 -- 13,219,772
Indonesia....... -- 3,168,078 -- 3,168,078
Ireland......... -- 4,225,689 -- 4,225,689
Israel.......... -- 3,227,305 -- 3,227,305
Italy........... 97,660 15,387,250 -- 15,484,910
Japan........... -- 106,233,416 -- 106,233,416
Malaysia........ 2,061 4,206,861 -- 4,208,922
Mexico.......... 3,567,876 -- -- 3,567,876
Netherlands..... 44,034 9,953,926 -- 9,997,960
New Zealand..... -- 2,094,156 -- 2,094,156
Norway.......... -- 3,444,784 -- 3,444,784
Philippines..... -- 1,675,710 -- 1,675,710
Poland.......... -- 1,487,645 -- 1,487,645
Portugal........ -- 1,221,956 -- 1,221,956
Russia.......... 760,526 177,112 -- 937,638
Singapore....... -- 3,364,135 -- 3,364,135
South Africa.... 865,420 9,069,490 -- 9,934,910
South Korea..... 18,763 18,582,422 -- 18,601,185
Spain........... -- 8,574,076 -- 8,574,076
Sweden.......... 51,070 11,372,112 -- 11,423,182
Switzerland..... -- 19,842,883 -- 19,842,883
Taiwan.......... -- 22,274,629 -- 22,274,629
Thailand........ 3,969,256 -- -- 3,969,256
Turkey.......... -- 1,008,023 -- 1,008,023
United Kingdom.. 91,520 57,212,689 -- 57,304,209
Preferred Stocks
Brazil.......... 2,281,936 -- -- 2,281,936
Colombia........ 58,305 -- -- 58,305
Germany......... -- 903,541 -- 903,541
Rights/Warrants
Canada.......... -- 18,903 -- 18,903
Italy........... -- 9,119 -- 9,119
Norway.......... -- 917 -- 917
Taiwan.......... -- 1,406 -- 1,406
Thailand........ -- 2,069 -- 2,069
Securities Lending
Collateral....... -- 2,796,664 -- 2,796,664
----------- ------------ -- ------------
TOTAL.............. $60,965,797 $471,083,462 -- $532,049,259
=========== ============ == ============
See accompanying Notes to Financial Statements.
70
WORLD EX U.S. CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (96.2%)
AUSTRALIA -- (4.4%)
BHP Group, Ltd................................................... 487,213 $ 11,942,785 0.3%
Other Securities................................................. 156,160,170 4.2%
------------ ---
TOTAL AUSTRALIA...................................................... 168,102,955 4.5%
------------ ---
AUSTRIA -- (0.4%)
Other Securities................................................. 15,631,664 0.4%
------------ ---
BELGIUM -- (0.9%)
Other Securities................................................. 32,834,130 0.9%
------------ ---
BRAZIL -- (1.8%)
Other Securities................................................. 66,980,639 1.8%
------------ ---
CANADA -- (6.4%)
Bank of Montreal, (2073174)...................................... 92,353 6,833,198 0.2%
Royal Bank of Canada............................................. 97,391 7,855,558 0.2%
Other Securities................................................. 230,882,043 6.2%
------------ ---
TOTAL CANADA......................................................... 245,570,799 6.6%
------------ ---
CHILE -- (0.2%)
Other Securities................................................. 8,664,068 0.2%
------------ ---
CHINA -- (7.3%)
China Construction Bank Corp., Class H........................... 12,926,000 10,357,222 0.3%
China Mobile, Ltd................................................ 841,000 6,834,550 0.2%
Ping An Insurance Group Co. of China, Ltd., Class H.............. 712,000 8,217,748 0.2%
Tencent Holdings, Ltd............................................ 456,700 18,525,082 0.5%
Other Securities................................................. 234,487,263 6.3%
------------ ---
TOTAL CHINA.......................................................... 278,421,865 7.5%
------------ ---
COLOMBIA -- (0.1%)
Other Securities................................................. 3,444,108 0.1%
------------ ---
CZECH REPUBLIC -- (0.0%)
Other Securities................................................. 1,629,969 0.1%
------------ ---
DENMARK -- (1.2%)
Novo Nordisk A.S., Class B....................................... 147,009 8,083,833 0.2%
Other Securities................................................. 36,386,616 1.0%
------------ ---
TOTAL DENMARK........................................................ 44,470,449 1.2%
------------ ---
EGYPT -- (0.0%)
Other Securities................................................. 311,231 0.0%
------------ ---
FINLAND -- (1.2%)
UPM-Kymmene Oyj.................................................. 191,178 6,226,562 0.2%
Other Securities................................................. 39,054,444 1.0%
------------ ---
TOTAL FINLAND........................................................ 45,281,006 1.2%
------------ ---
71
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
FRANCE -- (5.9%)
Airbus SE........................................................ 49,446 $ 7,093,436 0.2%
LVMH Moet Hennessy Louis Vuitton SE.............................. 23,294 9,947,833 0.3%
Orange SA........................................................ 390,196 6,280,006 0.2%
Peugeot SA....................................................... 282,821 7,162,756 0.2%
Total SA......................................................... 307,391 16,251,207 0.4%
Other Securities................................................. 178,460,065 4.8%
------------ ---
TOTAL FRANCE......................................................... 225,195,303 6.1%
------------ ---
GERMANY -- (4.9%)
BASF SE.......................................................... 85,761 6,519,483 0.2%
Bayerische Motoren Werke AG...................................... 76,817 5,882,238 0.2%
Daimler AG....................................................... 180,199 10,509,699 0.3%
Deutsche Telekom AG.............................................. 609,489 10,724,300 0.3%
Other Securities................................................. 153,643,451 4.0%
------------ ---
TOTAL GERMANY........................................................ 187,279,171 5.0%
------------ ---
GREECE -- (0.0%)
Other Securities................................................. 1,782,922 0.1%
------------ ---
HONG KONG -- (2.1%)
AIA Group, Ltd................................................... 926,600 9,227,285 0.3%
Other Securities................................................. 70,229,710 1.8%
------------ ---
TOTAL HONG KONG...................................................... 79,456,995 2.1%
------------ ---
HUNGARY -- (0.1%)
Other Securities................................................. 3,266,308 0.1%
------------ ---
INDIA -- (2.7%)
Reliance Industries, Ltd......................................... 296,998 6,124,650 0.2%
Other Securities................................................. 98,753,783 2.6%
------------ ---
TOTAL INDIA.......................................................... 104,878,433 2.8%
------------ ---
INDONESIA -- (0.6%)
Other Securities................................................. 21,737,420 0.6%
------------ ---
IRELAND -- (0.5%)
CRH P.L.C., Sponsored ADR........................................ 170,078 6,207,847 0.2%
Other Securities................................................. 13,704,130 0.3%
------------ ---
TOTAL IRELAND........................................................ 19,911,977 0.5%
------------ ---
ISRAEL -- (0.5%)
Other Securities................................................. 19,683,789 0.5%
------------ ---
ITALY -- (2.2%)
Enel SpA......................................................... 1,025,364 7,946,940 0.2%
Eni SpA.......................................................... 410,277 6,224,306 0.2%
Fiat Chrysler Automobiles NV, (BRJFWP3).......................... 409,465 6,354,391 0.2%
Other Securities................................................. 64,602,542 1.7%
------------ ---
TOTAL ITALY.......................................................... 85,128,179 2.3%
------------ ---
JAPAN -- (17.2%)
Honda Motor Co., Ltd............................................. 259,300 7,015,096 0.2%
72
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
JAPAN -- (Continued)
SoftBank Group Corp.............................................. 273,944 $ 10,537,641 0.3%
Sony Corp........................................................ 104,000 6,330,391 0.2%
Toyota Motor Corp................................................ 316,688 21,972,093 0.6%
Other Securities................................................. 610,614,709 16.4%
------------ ----
TOTAL JAPAN.......................................................... 656,469,930 17.7%
------------ ----
MALAYSIA -- (0.6%)
Other Securities................................................. 23,712,591 0.6%
------------ ----
MEXICO -- (0.7%)
Other Securities................................................. 27,070,347 0.7%
------------ ----
NETHERLANDS -- (2.1%)
Koninklijke Ahold Delhaize NV.................................... 384,495 9,581,630 0.3%
Other Securities................................................. 70,010,990 1.9%
------------ ----
TOTAL NETHERLANDS.................................................... 79,592,620 2.2%
------------ ----
NEW ZEALAND -- (0.3%)
Other Securities................................................. 11,844,747 0.3%
------------ ----
NORWAY -- (0.6%)
Other Securities................................................. 23,252,103 0.6%
------------ ----
PERU -- (0.0%)
Other Securities................................................. 465,177 0.0%
------------ ----
PHILIPPINES -- (0.3%)
Other Securities................................................. 11,146,274 0.3%
------------ ----
POLAND -- (0.3%)
Other Securities................................................. 11,013,664 0.3%
------------ ----
PORTUGAL -- (0.2%)
Other Securities................................................. 6,464,735 0.2%
------------ ----
RUSSIA -- (0.3%)
Other Securities................................................. 12,202,753 0.3%
------------ ----
SINGAPORE -- (0.7%)
Other Securities................................................. 28,523,426 0.8%
------------ ----
SOUTH AFRICA -- (1.8%)
Other Securities................................................. 67,674,301 1.8%
------------ ----
SOUTH KOREA -- (3.5%)
Samsung Electronics Co., Ltd..................................... 661,530 28,591,225 0.8%
SK Hynix, Inc.................................................... 96,784 6,805,460 0.2%
Other Securities................................................. 98,390,169 2.6%
------------ ----
TOTAL SOUTH KOREA.................................................... 133,786,854 3.6%
------------ ----
SPAIN -- (1.6%)
Iberdrola S.A.................................................... 720,436 7,405,354 0.2%
73
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
SPAIN -- (Continued)
Other Securities................................................. $ 55,745,555 1.5%
-------------- ----
TOTAL SPAIN.......................................................... 63,150,909 1.7%
-------------- ----
SWEDEN -- (1.9%)
Other Securities................................................. 72,991,400 2.0%
-------------- ----
SWITZERLAND -- (4.9%)
Nestle SA........................................................ 243,456 26,045,242 0.7%
Novartis AG...................................................... 132,989 11,619,940 0.3%
Roche Holding AG................................................. 58,789 17,692,891 0.5%
# Swisscom AG...................................................... 12,175 6,227,444 0.2%
Other Securities................................................. 123,999,077 3.3%
-------------- ----
TOTAL SWITZERLAND.................................................... 185,584,594 5.0%
-------------- ----
TAIWAN -- (4.2%)
Taiwan Semiconductor Manufacturing Co., Ltd ..................... 1,104,000 10,818,977 0.3%
Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR...... 134,422 6,940,208 0.2%
Other Securities................................................. 141,358,911 3.8%
-------------- ----
TOTAL TAIWAN......................................................... 159,118,096 4.3%
-------------- ----
THAILAND -- (0.8%)
Other Securities................................................. 29,236,795 0.8%
-------------- ----
TURKEY -- (0.2%)
Other Securities................................................. 8,157,254 0.2%
-------------- ----
UNITED KINGDOM -- (10.6%)
Anglo American P.L.C............................................. 412,690 10,621,440 0.3%
# AstraZeneca P.L.C., Sponsored ADR................................ 170,655 8,367,215 0.2%
BP P.L.C., Sponsored ADR......................................... 503,098 19,072,445 0.5%
# GlaxoSmithKline P.L.C., Sponsored ADR............................ 155,405 7,117,549 0.2%
Glencore P.L.C................................................... 2,137,585 6,452,040 0.2%
HSBC Holdings P.L.C., Sponsored ADR.............................. 326,272 12,329,819 0.3%
Rio Tinto P.L.C., Sponsored ADR.................................. 172,914 8,993,257 0.3%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A................. 161,107 9,339,373 0.3%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B................. 124,657 7,266,257 0.2%
Vodafone Group P.L.C............................................. 3,043,900 6,211,746 0.2%
Other Securities................................................. 309,633,527 8.2%
-------------- ----
TOTAL UNITED KINGDOM................................................. 405,404,668 10.9%
-------------- ----
TOTAL COMMON STOCKS.................................................. 3,676,526,618 98.9%
-------------- ----
PREFERRED STOCKS -- (0.9%)
BRAZIL -- (0.5%)
Petroleo Brasileiro SA........................................... 773,384 5,860,401 0.2%
Other Securities................................................. 12,280,293 0.3%
-------------- ----
TOTAL BRAZIL......................................................... 18,140,694 0.5%
-------------- ----
CHILE -- (0.0%)
Other Securities................................................. 279,090 0.0%
-------------- ----
74
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COLOMBIA -- (0.0%)
Other Securities................................................. $ 558,901 0.0%
-------------- -----
GERMANY -- (0.4%)
Volkswagen AG.................................................... 43,057 8,185,361 0.2%
Other Securities................................................. 7,882,328 0.2%
-------------- -----
TOTAL GERMANY.......................................................... 16,067,689 0.4%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Securities................................................. 15,422 0.0%
-------------- -----
TOTAL PREFERRED STOCKS................................................. 35,061,796 0.9%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 178,104 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $3,531,456,757)............................................ 3,711,766,518
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.9%)
@(S) The DFA Short Term Investment Fund............................... 9,431,751 109,134,787 2.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,640,579,419)............................................ $3,820,901,305 102.7%
============== =====
Summary of the Portfolio's investments as of October 31, 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................................................ $ 834,098 $167,268,857 -- $168,102,955
Austria.................................................. -- 15,631,664 -- 15,631,664
Belgium.................................................. 367,871 32,466,259 -- 32,834,130
Brazil................................................... 66,980,639 -- -- 66,980,639
Canada................................................... 244,954,081 616,718 -- 245,570,799
Chile.................................................... 1,635,577 7,028,491 -- 8,664,068
China.................................................... 28,894,447 249,527,418 -- 278,421,865
Colombia................................................. 3,444,108 -- -- 3,444,108
Czech Republic........................................... -- 1,629,969 -- 1,629,969
Denmark.................................................. 295,096 44,175,353 -- 44,470,449
Egypt.................................................... 145,075 166,156 -- 311,231
Finland.................................................. -- 45,281,006 -- 45,281,006
France................................................... 1,216,367 223,978,936 -- 225,195,303
Germany.................................................. 1,684,657 185,594,514 -- 187,279,171
Greece................................................... -- 1,782,922 -- 1,782,922
Hong Kong................................................ 92,481 79,364,514 -- 79,456,995
Hungary.................................................. -- 3,266,308 -- 3,266,308
India.................................................... 1,244,509 103,633,924 -- 104,878,433
Indonesia................................................ 173,280 21,564,140 -- 21,737,420
Ireland.................................................. 6,207,847 13,704,130 -- 19,911,977
Israel................................................... 1,268,436 18,415,353 -- 19,683,789
Italy.................................................... 577,893 84,550,286 -- 85,128,179
75
WORLD EX U.S. CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------------ -------------- -------- --------------
Japan.................................................... $ 3,008,025 $ 653,461,905 -- $ 656,469,930
Malaysia................................................. -- 23,712,591 -- 23,712,591
Mexico................................................... 27,070,124 223 -- 27,070,347
Netherlands.............................................. 11,887,103 67,705,517 -- 79,592,620
New Zealand.............................................. -- 11,844,747 -- 11,844,747
Norway................................................... 137,048 23,115,055 -- 23,252,103
Peru..................................................... 465,076 101 -- 465,177
Philippines.............................................. 149,951 10,996,323 -- 11,146,274
Poland................................................... -- 11,013,664 -- 11,013,664
Portugal................................................. -- 6,464,735 -- 6,464,735
Russia................................................... 4,876,573 7,326,180 -- 12,202,753
Singapore................................................ -- 28,523,426 -- 28,523,426
South Africa............................................. 6,824,838 60,849,463 -- 67,674,301
South Korea.............................................. 893,282 132,893,572 -- 133,786,854
Spain.................................................... 747,619 62,403,290 -- 63,150,909
Sweden................................................... 83,176 72,908,224 -- 72,991,400
Switzerland.............................................. 4,453,239 181,131,355 -- 185,584,594
Taiwan................................................... 7,138,680 151,979,416 -- 159,118,096
Thailand................................................. 29,236,795 -- -- 29,236,795
Turkey................................................... 13,128 8,144,126 -- 8,157,254
United Kingdom........................................... 95,683,267 309,721,401 -- 405,404,668
Preferred Stocks
Brazil................................................... 18,140,694 -- -- 18,140,694
Chile.................................................... -- 279,090 -- 279,090
Colombia................................................. 558,901 -- -- 558,901
Germany.................................................. -- 16,067,689 -- 16,067,689
United Kingdom........................................... -- 15,422 -- 15,422
Rights/Warrants
Canada................................................... -- 24,701 -- 24,701
Indonesia................................................ -- 7,708 -- 7,708
Italy.................................................... -- 27,299 -- 27,299
Norway................................................... -- 2,336 -- 2,336
Spain.................................................... -- 35,671 -- 35,671
Sweden................................................... -- 88 -- 88
Taiwan................................................... -- 10,291 -- 10,291
Thailand................................................. -- 2,879 -- 2,879
Turkey................................................... -- 67,131 -- 67,131
Securities Lending Collateral............................... -- 109,134,787 -- 109,134,787
------------ -------------- -------- --------------
TOTAL....................................................... $571,383,981 $3,249,517,324 -- $3,820,901,305
============ ============== ======== ==============
See accompanying Notes to Financial Statements.
76
WORLD CORE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 1 Portfolio of DFA Investment
Dimensions Group Inc........................................... 19,460,024 $480,857,199
Investment in International Core Equity Portfolio of DFA
Investment Dimensions Group Inc................................ 22,636,475 298,575,095
Investment in Emerging Markets Core Equity Portfolio of DFA
Investment Dimensions Group Inc................................ 4,860,675 100,081,299
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $759,450,452)............................................ $879,513,593
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund,
1.752% (Cost $54,514).......................................... 54,514 54,514
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $759,504,966)............................................ $879,568,107
============
Summary of the Portfolio's investments as of October 31, 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............................. $879,513,593 -- -- $879,513,593
Temporary Cash Investments.................................. 54,514 -- -- 54,514
------------ -- -- ------------
TOTAL....................................................... $879,568,107 -- -- $879,568,107
============ == == ============
See accompanying Notes to Financial Statements.
77
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
--------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc............ 8,237,784 $186,668,174
Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc..... 9,047,935 119,342,269
Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.. 3,111,461 64,064,978
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $292,044,491)........................................................................ $370,075,421
============
As of October 31, 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)
------------------- -------------------- --------------------------------------- ---------- --------------
USD 908,921 NOK 8,310,000 State Street Bank and Trust 11/05/19 $ 5,274
USD 455,628 NZD 710,389 UBS AG 11/20/19 37
USD 799,688 ILS 2,798,980 Barclays Capital 12/04/19 4,354
---------
TOTAL APPRECIATION $ 9,665
USD 1,028,754 SGD 1,424,000 State Street Bank and Trust 11/05/19 $ (17,966)
USD 6,620,835 AUD 9,791,718 State Street Bank and Trust 11/08/19 (129,868)
USD HKD Australia and New Zealand Banking Group (8,013)
10,751,729 84,315,271 Ltd. 11/08/19
USD 2,634,033 SEK 25,902,000 Bank of America Corp. 01/02/20 (58,195)
USD 6,436,180 CAD 8,513,000 Citibank, N.A. 01/02/20 (29,815)
USD 1,709,025 DKK 11,396,677 State Street Bank and Trust 01/16/20 (2,216)
USD 6,938,758 CHF 6,816,628 State Street Bank and Trust 01/22/20 (15,243)
USD 16,067,017 GBP 12,438,609 State Street Bank and Trust 01/22/20 (87,996)
USD 30,080,454 EUR 26,841,855 Barclays Capital 01/22/20 (22,895)
USD 25,410,483 JPY 2,742,314,801 State Street Bank and Trust 01/23/20 (121,361)
---------
TOTAL (DEPRECIATION) $(493,568)
---------
TOTAL APPRECIATION
(DEPRECIATION) $(483,903)
=========
As of October 31, 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............................ 37 12/20/19 $5,564,167 $5,616,230 $52,063
---------- ---------- -------
TOTAL FUTURES CONTRACTS........................... $5,564,167 $5,616,230 $52,063
========== ========== =======
78
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
CONTINUED
Summary of the Portfolio's investments as of October 31, 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................... $370,075,421 -- -- $370,075,421
Forward Currency Contracts**...................... -- $(483,903) -- (483,903)
Futures Contracts**............................... 52,063 -- -- 52,063
------------ --------- -------- ------------
TOTAL............................................. $370,127,484 $(483,903) -- $369,643,581
============ ========= ======== ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
79
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Series of The DFA Investment Trust Company............. $5,967,457,700
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................................... $5,967,457,700
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
80
EMERGING MARKETS SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company... $6,425,658,356
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................................... $6,425,658,356
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
81
EMERGING MARKETS VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in Dimensional Emerging Markets Value Fund..................................... $17,191,982,300
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES...................................... $17,191,982,300
===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
82
EMERGING MARKETS CORE EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
COMMON STOCKS -- (95.4%)
BRAZIL -- (7.8%)
# Ambev SA, ADR.................................................... 16,187,015 $ 69,766,035 0.3%
B3 SA - Brasil Bolsa Balcao...................................... 5,891,987 71,077,006 0.3%
Banco Bradesco SA, ADR........................................... 12,110,773 106,090,374 0.4%
JBS SA........................................................... 10,406,375 73,406,395 0.3%
Lojas Renner SA.................................................. 5,750,796 72,772,197 0.3%
Petroleo Brasileiro SA........................................... 19,448,656 158,576,500 0.6%
Petroleo Brasileiro SA , Sponsored ADR (US71654V1017)............ 4,065,689 61,351,247 0.2%
* Vale SA.......................................................... 20,424,690 240,380,346 0.8%
Other Securities................................................. 1,411,222,938 4.7%
-------------- ----
TOTAL BRAZIL......................................................... 2,264,643,038 7.9%
-------------- ----
CHILE -- (1.1%)
Other Securities................................................. 306,381,272 1.1%
-------------- ----
CHINA -- (16.8%)
* Alibaba Group Holding, Ltd., Sponsored ADR....................... 1,367,252 241,552,411 0.9%
Bank of China, Ltd., Class H..................................... 152,808,702 62,313,060 0.2%
China Construction Bank Corp., Class H........................... 226,157,302 181,213,158 0.6%
China Mobile, Ltd................................................ 13,173,000 107,052,952 0.4%
China Mobile, Ltd., Sponsored ADR................................ 2,006,206 81,010,598 0.3%
CNOOC, Ltd....................................................... 45,385,000 67,544,217 0.3%
Industrial & Commercial Bank of China, Ltd., Class H............. 171,010,725 122,510,914 0.4%
NetEase, Inc., ADR............................................... 262,311 74,984,222 0.3%
Ping An Insurance Group Co. of China, Ltd., Class H.............. 17,442,500 201,317,504 0.7%
Tencent Holdings, Ltd............................................ 11,743,400 476,346,515 1.7%
Other Securities................................................. 3,261,644,373 11.2%
-------------- ----
TOTAL CHINA.......................................................... 4,877,489,924 17.0%
-------------- ----
COLOMBIA -- (0.4%)
Other Securities................................................. 109,459,510 0.4%
-------------- ----
CZECH REPUBLIC -- (0.1%)
Other Securities................................................. 45,214,007 0.2%
-------------- ----
EGYPT -- (0.1%)
Other Securities................................................. 21,260,793 0.1%
-------------- ----
GREECE -- (0.3%)
Other Securities................................................. 76,210,137 0.3%
-------------- ----
HONG KONG -- (0.0%)
Other Security................................................... 2,529,869 0.0%
-------------- ----
HUNGARY -- (0.4%)
Other Securities................................................. 114,037,762 0.4%
-------------- ----
INDIA -- (12.2%)
Bharti Airtel, Ltd............................................... 14,518,240 76,338,735 0.3%
HDFC Bank Ltd.................................................... 5,989,118 103,739,618 0.4%
Hindustan Unilever, Ltd.......................................... 2,140,531 65,763,066 0.2%
Housing Development Finance Corp., Ltd........................... 3,498,747 105,255,759 0.4%
83
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
INDIA -- (Continued)
Infosys, Ltd..................................................... 12,734,298 $ 122,701,295 0.4%
Infosys, Ltd., Sponsored ADR..................................... 7,416,008 71,119,517 0.3%
Reliance Industries, Ltd......................................... 11,554,051 238,265,994 0.9%
Tata Consultancy Services, Ltd................................... 3,896,968 125,021,445 0.5%
Other Securities................................................. 2,627,743,529 9.0%
-------------- ----
TOTAL INDIA.......................................................... 3,535,948,958 12.4%
-------------- ----
INDONESIA -- (2.7%)
Bank Central Asia Tbk PT......................................... 27,776,800 62,173,567 0.2%
Bank Rakyat Indonesia Persero Tbk PT............................. 281,291,900 84,284,958 0.3%
Other Securities................................................. 642,892,564 2.3%
-------------- ----
TOTAL INDONESIA...................................................... 789,351,089 2.8%
-------------- ----
MALAYSIA -- (2.8%)
Other Securities................................................. 806,049,962 2.8%
-------------- ----
MEXICO -- (3.0%)
# America Movil S.A.B. de C.V., Sponsored ADR, Class L............. 4,109,882 64,977,234 0.2%
Grupo Financiero Banorte S.A.B. de C.V........................... 12,263,023 67,050,903 0.2%
Grupo Mexico S.A.B. de C.V., Class B............................. 24,911,849 65,774,585 0.2%
Other Securities................................................. 670,074,179 2.4%
-------------- ----
TOTAL MEXICO......................................................... 867,876,901 3.0%
-------------- ----
NETHERLANDS -- (0.1%)
Other Security................................................... 16,227,013 0.1%
-------------- ----
PERU -- (0.1%)
Other Securities................................................. 38,321,685 0.1%
-------------- ----
PHILIPPINES -- (1.2%)
Other Securities................................................. 354,124,590 1.2%
-------------- ----
POLAND -- (1.3%)
Other Securities................................................. 377,155,424 1.3%
-------------- ----
RUSSIA -- (1.7%)
Lukoil PJSC, Sponsored ADR....................................... 868,336 80,019,788 0.3%
Sberbank of Russia PJSC, Sponsored ADR........................... 7,703,042 113,437,292 0.4%
Other Securities................................................. 303,833,069 1.0%
-------------- ----
TOTAL RUSSIA......................................................... 497,290,149 1.7%
-------------- ----
SOUTH AFRICA -- (6.4%)
Absa Group, Ltd.................................................. 7,398,117 75,875,670 0.3%
AngloGold Ashanti, Ltd., Sponsored ADR........................... 4,151,296 91,660,616 0.3%
FirstRand, Ltd................................................... 24,463,490 105,755,190 0.4%
Gold Fields, Ltd., Sponsored ADR................................. 10,013,640 61,884,295 0.2%
# MTN Group, Ltd................................................... 15,515,059 96,031,720 0.3%
Naspers, Ltd., Class N........................................... 671,488 95,021,253 0.3%
# Sanlam, Ltd...................................................... 12,134,426 63,861,561 0.2%
Standard Bank Group, Ltd......................................... 9,354,999 107,397,689 0.4%
84
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SOUTH AFRICA -- (Continued)
Other Securities........................................ $ 1,159,179,084 4.1%
--------------- ----
TOTAL SOUTH AFRICA........................................... 1,856,667,078 6.5%
--------------- ----
SOUTH KOREA -- (15.5%)
Samsung Electronics Co., Ltd............................ 29,166,210 1,260,559,118 4.4%
SK Hynix, Inc........................................... 3,591,293 252,525,216 0.9%
Other Securities........................................ 2,986,987,392 10.4%
--------------- ----
TOTAL SOUTH KOREA............................................ 4,500,071,726 15.7%
--------------- ----
SPAIN -- (0.0%)
Other Securities........................................ 15,053,435 0.1%
--------------- ----
TAIWAN -- (16.9%)
Hon Hai Precision Industry Co., Ltd..................... 36,059,403 95,236,584 0.4%
Taiwan Semiconductor Manufacturing Co., Ltd............. 41,439,652 406,100,219 1.4%
Taiwan Semiconductor Manufacturing Co., Ltd.,...........
Sponsored ADR........................................... 10,833,721 559,345,015 2.0%
Other Securities........................................ 3,833,189,769 13.3%
--------------- ----
TOTAL TAIWAN................................................. 4,893,871,587 17.1%
--------------- ----
THAILAND -- (3.5%)
PTT PCL................................................. 72,022,800 107,932,827 0.4%
Other Securities........................................ 904,844,963 3.1%
--------------- ----
TOTAL THAILAND............................................... 1,012,777,790 3.5%
--------------- ----
TURKEY -- (1.0%)
Other Securities........................................ 291,862,474 1.0%
--------------- ----
UNITED KINGDOM -- (0.0%)
Other Securities........................................ 3,022,025 0.0%
--------------- ----
TOTAL COMMON STOCKS.......................................... 27,672,898,198 96.7%
--------------- ----
PREFERRED STOCKS -- (2.3%)
BRAZIL -- (2.2%)
Banco Bradesco SA....................................... 7,287,556 63,908,077 0.2%
Itau Unibanco Holding SA................................ 16,854,817 152,262,815 0.5%
Petroleo Brasileiro SA.................................. 28,735,931 217,749,643 0.8%
Other Securities........................................ 204,636,413 0.7%
--------------- ----
TOTAL BRAZIL................................................. 638,556,948 2.2%
--------------- ----
CHILE -- (0.0%)
Other Securities........................................ 6,678,030 0.0%
--------------- ----
COLOMBIA -- (0.1%)
Other Securities........................................ 20,740,487 0.1%
--------------- ----
SOUTH KOREA -- (0.0%)
Other Security.......................................... 778,308 0.0%
--------------- ----
TOTAL PREFERRED STOCKS....................................... 666,753,773 2.3%
--------------- ----
85
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................................. $ 1,751,164 0.0%
--------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $25,123,238,416)................................ 28,341,403,135
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@(S) The DFA Short Term Investment Fund................ 58,203,851 673,476,754 2.4%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $25,796,623,326)................................ $29,014,879,889 101.4%
=============== =====
As of October 31, 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 12/20/19 $ 33,538,198 $ 33,845,500 $ 307,302
S&P 500(R)
Emini Index.. 1,208 12/20/19 178,907,577 183,362,320 4,454,743
------------ ------------ ----------
TOTAL FUTURES
CONTRACTS.... $212,445,775 $217,207,820 $4,762,045
============ ============ ==========
Summary of the Portfolio's investments as of October 31, 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................................................... $2,264,643,038 -- -- $2,264,643,038
Chile.................................................... 104,561,353 $ 201,819,919 -- 306,381,272
China.................................................... 827,980,485 4,049,509,439 -- 4,877,489,924
Colombia................................................. 109,459,510 -- -- 109,459,510
Czech Republic........................................... -- 45,214,007 -- 45,214,007
Egypt.................................................... 2,306,169 18,954,624 -- 21,260,793
Greece................................................... -- 76,210,137 -- 76,210,137
Hong Kong................................................ -- 2,529,869 -- 2,529,869
Hungary.................................................. 275,437 113,762,325 -- 114,037,762
India.................................................... 143,257,849 3,392,691,109 -- 3,535,948,958
Indonesia................................................ 27,397,447 761,953,642 -- 789,351,089
Malaysia................................................. 37,402 806,012,560 -- 806,049,962
Mexico................................................... 867,852,269 24,632 -- 867,876,901
Netherlands.............................................. 16,227,013 -- -- 16,227,013
Peru..................................................... 38,320,052 1,633 -- 38,321,685
Philippines.............................................. 5,914,412 348,210,178 -- 354,124,590
Poland................................................... -- 377,155,424 -- 377,155,424
Russia................................................... 73,492,969 423,797,180 -- 497,290,149
South Africa............................................. 206,031,737 1,650,635,341 -- 1,856,667,078
South Korea.............................................. 83,305,478 4,416,766,248 -- 4,500,071,726
Spain.................................................... 15,053,435 -- -- 15,053,435
Taiwan................................................... 586,032,638 4,307,838,949 -- 4,893,871,587
Thailand................................................. 1,012,755,175 22,615 -- 1,012,777,790
86
EMERGING MARKETS CORE EQUITY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- -------- ---------------
Turkey................................................... $ 1,594,653 $ 290,267,821 -- $ 291,862,474
United Kingdom........................................... -- 3,022,025 -- 3,022,025
Preferred Stocks
Brazil................................................... 638,556,948 -- -- 638,556,948
Chile.................................................... -- 6,678,030 -- 6,678,030
Colombia................................................. 20,740,487 -- -- 20,740,487
South Korea.............................................. 778,308 -- -- 778,308
Rights/Warrants
Indonesia................................................ -- 88,248 -- 88,248
Malaysia................................................. -- 10,031 -- 10,031
South Korea.............................................. -- 33,872 -- 33,872
Taiwan................................................... -- 323,613 -- 323,613
Thailand................................................. -- 89,190 -- 89,190
Turkey................................................... -- 1,206,210 -- 1,206,210
Securities Lending Collateral............................... -- 673,476,754 -- 673,476,754
Futures Contracts**......................................... 4,762,045 -- -- 4,762,045
-------------- --------------- -------- ---------------
TOTAL....................................................... $7,051,336,309 $21,968,305,625 -- $29,019,641,934
============== =============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
87
EMERGING MARKETS TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------- ------------------------------- ---------------
COMMON STOCKS -- (98.3%)
BRAZIL -- (8.7%)
Banco BTG Pactual SA............................................. 32,029 $ 518,789 0.5%
Cia Brasileira de Distribuicao................................... 18,959 390,935 0.3%
Cielo SA......................................................... 180,600 340,440 0.3%
Cogna Educacao................................................... 235,217 567,148 0.5%
Cosan SA......................................................... 25,281 364,291 0.3%
Embraer SA....................................................... 74,866 327,241 0.3%
# Gerdau SA, Sponsored ADR......................................... 121,953 401,225 0.4%
Hypera SA........................................................ 59,200 506,606 0.4%
Qualicorp Consultoria e Corretora de Seguros SA.................. 48,300 384,184 0.3%
Sul America SA................................................... 54,300 653,821 0.6%
Ultrapar Participacoes SA........................................ 112,852 530,986 0.5%
Other Securities................................................. 4,880,401 4.2%
----------- ----
TOTAL BRAZIL......................................................... 9,866,067 8.6%
----------- ----
CHILE -- (0.7%)
Other Securities................................................. 760,344 0.7%
----------- ----
CHINA -- (18.1%)
Brilliance China Automotive Holdings, Ltd........................ 304,000 335,243 0.3%
China Jinmao Holdings Group, Ltd................................. 604,000 401,551 0.4%
China National Building Material Co., Ltd., Class H.............. 444,000 374,214 0.3%
China Taiping Insurance Holdings Co., Ltd........................ 177,000 397,914 0.4%
Kunlun Energy Co., Ltd........................................... 372,000 346,234 0.3%
* Semiconductor Manufacturing International Corp................... 345,500 438,871 0.4%
Shimao Property Holdings, Ltd.................................... 133,000 445,561 0.4%
Sinopharm Group Co., Ltd., Class H............................... 97,200 348,097 0.3%
* Vipshop Holdings, Ltd., ADR...................................... 53,520 617,621 0.5%
* YY, Inc., ADR.................................................... 6,115 347,577 0.3%
Other Securities................................................. 16,501,197 14.4%
----------- ----
TOTAL CHINA.......................................................... 20,554,080 18.0%
----------- ----
COLOMBIA -- (0.4%)
Other Securities................................................. 481,171 0.4%
----------- ----
GREECE -- (0.4%)
Other Securities................................................. 505,523 0.4%
----------- ----
INDIA -- (12.6%)
Dr Reddy's Laboratories, Ltd..................................... 8,737 343,621 0.3%
Hindalco Industries, Ltd......................................... 129,158 340,609 0.3%
Lupin, Ltd....................................................... 30,254 317,395 0.3%
Petronet LNG, Ltd................................................ 90,689 365,436 0.3%
Shriram Transport Finance Co., Ltd............................... 25,076 402,432 0.4%
* Tata Motors, Ltd................................................. 146,823 363,257 0.3%
Other Securities................................................. 12,133,694 10.6%
----------- ----
TOTAL INDIA.......................................................... 14,266,444 12.5%
----------- ----
INDONESIA -- (2.7%)
Other Securities................................................. 3,120,644 2.7%
----------- ----
88
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
MALAYSIA -- (3.1%)
Other Securities................................................. $ 3,571,541 3.1%
----------- ----
MEXICO -- (3.1%)
# Alfa S.A.B. de C.V., Class A..................................... 422,273 367,471 0.3%
Cemex S.A.B. de C.V.............................................. 1,265,619 475,680 0.4%
# Grupo Televisa S.A.B............................................. 185,379 409,662 0.4%
Other Securities................................................. 2,258,109 2.0%
----------- ----
TOTAL MEXICO......................................................... 3,510,922 3.1%
----------- ----
PHILIPPINES -- (1.4%)
Other Securities................................................. 1,563,750 1.4%
----------- ----
POLAND -- (1.2%)
Other Securities................................................. 1,321,525 1.1%
----------- ----
RUSSIA -- (0.9%)
Other Securities................................................. 991,677 0.9%
----------- ----
SOUTH AFRICA -- (7.1%)
AngloGold Ashanti, Ltd........................................... 25,079 554,705 0.5%
AngloGold Ashanti, Ltd., Sponsored ADR........................... 22,300 492,384 0.4%
Bidvest Group, Ltd. (The)........................................ 29,884 407,942 0.4%
Exxaro Resources, Ltd............................................ 43,210 353,267 0.3%
Gold Fields, Ltd................................................. 66,459 412,736 0.4%
Gold Fields, Ltd., Sponsored ADR................................. 91,296 564,209 0.5%
* Sibanye Gold, Ltd................................................ 299,636 578,506 0.5%
Other Securities................................................. 4,697,207 4.0%
----------- ----
TOTAL SOUTH AFRICA................................................... 8,060,956 7.0%
----------- ----
SOUTH KOREA -- (15.1%)
Daelim Industrial Co., Ltd....................................... 4,669 362,919 0.3%
DB Insurance Co., Ltd............................................ 8,076 350,140 0.3%
E-MART, Inc...................................................... 3,458 330,770 0.3%
GS Holdings Corp................................................. 8,154 347,501 0.3%
Hankook Tire & Technology Co., Ltd............................... 11,828 315,395 0.3%
Korea Investment Holdings Co., Ltd............................... 7,037 408,811 0.4%
Mirae Asset Daewoo Co., Ltd...................................... 59,555 365,128 0.3%
Other Securities................................................. 14,640,307 12.8%
----------- ----
TOTAL SOUTH KOREA.................................................... 17,120,971 15.0%
----------- ----
TAIWAN -- (18.2%)
Compal Electronics, Inc.......................................... 690,000 411,908 0.4%
Lite-On Technology Corp.......................................... 333,000 548,725 0.5%
Powertech Technology, Inc........................................ 113,000 356,181 0.3%
Taiwan Business Bank............................................. 810,600 341,715 0.3%
Unimicron Technology Corp........................................ 207,000 318,073 0.3%
Wistron Corp..................................................... 452,000 414,394 0.4%
Other Securities................................................. 18,312,928 15.9%
----------- ----
TOTAL TAIWAN......................................................... 20,703,924 18.1%
----------- ----
THAILAND -- (3.8%)
Other Securities................................................. 4,329,582 3.8%
----------- ----
89
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
------ ------------------------------- ---------------
TURKEY -- (0.8%)
Other Securities.................................. $ 964,104 0.8%
------------ ----
TOTAL COMMON STOCKS..................................... 111,693,225 97.6%
------------ ----
PREFERRED STOCKS -- (1.1%)
BRAZIL -- (1.1%)
Other Securities.................................. 1,209,076 1.1%
------------ ----
COLOMBIA -- (0.0%)
Other Security.................................... 38,101 0.0%
------------ ----
TOTAL PREFERRED STOCKS.................................. 1,247,177 1.1%
------------ ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities.................................. 2,311 0.0%
------------ ----
TOTAL INVESTMENT SECURITIES
(Cost $113,162,913)................................... 112,942,713
------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (0.6%)
@(S) The DFA Short Term Investment Fund................ 56,948 658,951 0.6%
------------ ----
TOTAL INVESTMENTS--(100.0%)
(Cost $113,821,807)................................... $113,601,664 99.3%
============ ====
Summary of the Portfolio's investments as of October 31, 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................................................... $9,866,067 -- -- $ 9,866,067
Chile.................................................... -- $ 760,344 -- 760,344
China.................................................... 1,614,511 18,939,569 -- 20,554,080
Colombia................................................. 481,171 -- -- 481,171
Greece................................................... -- 505,523 -- 505,523
India.................................................... 92,362 14,174,082 -- 14,266,444
Indonesia................................................ -- 3,120,644 -- 3,120,644
Malaysia................................................. -- 3,571,541 -- 3,571,541
Mexico................................................... 3,510,922 -- -- 3,510,922
Philippines.............................................. -- 1,563,750 -- 1,563,750
Poland................................................... -- 1,321,525 -- 1,321,525
Russia................................................... 868,104 123,573 -- 991,677
South Africa............................................. 1,115,450 6,945,506 -- 8,060,956
South Korea.............................................. 35,016 17,085,955 -- 17,120,971
Taiwan................................................... -- 20,703,924 -- 20,703,924
Thailand................................................. 4,329,582 -- -- 4,329,582
Turkey................................................... -- 964,104 -- 964,104
Preferred Stocks
Brazil................................................... 1,209,076 -- -- 1,209,076
Colombia................................................. 38,101 -- -- 38,101
90
EMERGING MARKETS TARGETED VALUE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
---------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ----------- -------- ------------
Rights/Warrants
Taiwan................................................... -- $ 604 -- $ 604
Thailand................................................. -- 1,707 -- 1,707
Securities Lending Collateral............................... -- 658,951 -- 658,951
----------- ----------- -------- ------------
TOTAL....................................................... $23,160,362 $90,441,302 -- $113,601,664
=========== =========== ======== ============
See accompanying Notes to Financial Statements.
91
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
LARGE CAP INTERNATIONAL GLOBAL SMALL SMALL
INTERNATIONAL CORE EQUITY COMPANY COMPANY
PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO
-------------- -------------- ------------ --------------
ASSETS:
Investments in Affiliated Investment Companies at Value.......... -- -- $ 41,312 $ 12,632,575
Investment Securities at Value (including $189,297,
$1,644,660, $0 and $0 of securities on loan, respectively)..... $ 5,290,442 $ 30,223,165 -- --
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $181,235, $1,353,377, $0 and $0)...... 181,249 1,353,511 -- --
Segregated Cash for Futures Contracts............................ 1,756 9,148 -- 4,441
Foreign Currencies at Value...................................... 20,182 177,035 -- --
Cash............................................................. 27,368 99,910 -- 119,937
Receivables:
Investment Securities Sold.................................... -- 32,667 -- --
Dividends, Interest and Tax Reclaims.......................... 18,480 102,762 -- --
Securities Lending Income..................................... 150 2,445 -- --
Fund Shares Sold.............................................. 3,047 16,453 -- 3,815
Due from Advisor.............................................. -- -- 2 --
Futures Margin Variation...................................... -- 270 -- --
Prepaid Expenses and Other Assets................................ 34 252 9 60
-------------- -------------- ------------ --------------
Total Assets.............................................. 5,542,708 32,017,618 41,323 12,760,828
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 181,215 1,353,429 -- --
Investment Securities Purchased............................... 1,039 7,433 -- --
Fund Shares Redeemed.......................................... 2,338 89,036 26 5,279
Due to Advisor................................................ 885 5,282 -- 4,205
Futures Margin Variation...................................... 156 -- -- 424
Unrealized Loss on Foreign Currency Contracts.................... 1 6 -- --
Accrued Expenses and Other Liabilities........................... 599 3,005 11 810
-------------- -------------- ------------ --------------
Total Liabilities......................................... 186,233 1,458,191 37 10,718
-------------- -------------- ------------ --------------
NET ASSETS....................................................... $ 5,356,475 $ 30,559,427 $ 41,286 $ 12,750,110
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $5,356,475;
$30,559,427; $41,286 and $12,750,110 and shares
outstanding of 235,175,619, 2,317,232,653, 3,728,140 and
700,276,371, respectively...................................... $ 22.78 $ 13.19 $ 11.07 $ 18.21
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED...................................... 1,500,000,000 7,000,000,000 100,000,000 3,000,000,000
============== ============== ============ ==============
Investments in Affiliated Investment Companies at Cost........... $ -- $ -- $ 41,295 N/A
============== ============== ============ ==============
Investment Securities at Cost.................................... $ 4,479,992 $ 27,378,140 N/A N/A
============== ============== ============ ==============
Foreign Currencies at Cost....................................... $ 19,894 $ 172,941 $ -- $ --
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 4,662,469 $ 28,260,955 $ 40,743 $ 11,684,308
Total Distributable Earnings (Loss).............................. 694,006 2,298,472 543 1,065,802
-------------- -------------- ------------ --------------
NET ASSETS....................................................... $ 5,356,475 $ 30,559,427 $ 41,286 $ 12,750,110
============== ============== ============ ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
92
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ASIA PACIFIC CONTINENTAL
JAPANESE SMALL SMALL UNITED KINGDOM SMALL
COMPANY COMPANY SMALL COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value.. $ 640,406 $ 340,930 $ 27,652 $ 657,534
Receivables:
Fund Shares Sold...................................... 260 1 -- 31
Due from Advisor...................................... -- -- 1 --
Prepaid Expenses and Other Assets........................ 10 8 8 12
-------------- -------------- -------------- --------------
Total Assets...................................... 640,676 340,939 27,661 657,577
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Fund Shares Redeemed.................................. 362 151 1,107 221
Due to Advisor........................................ 211 114 -- 216
Accrued Expenses and Other Liabilities................... 35 25 14 35
-------------- -------------- -------------- --------------
Total Liabilities................................. 608 290 1,121 472
-------------- -------------- -------------- --------------
NET ASSETS............................................... $ 640,068 $ 340,649 $ 26,540 $ 657,105
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$640,068; $340,649; $26,540 and $657,105 and shares
outstanding of 25,713,378, 16,135,122, 952,845 and
26,449,376, respectively............................... $ 24.89 $ 21.11 $ 27.85 $ 24.84
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.............................. 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital.......................................... $ 562,174 $ 371,127 $ 23,134 $ 608,546
Total Distributable Earnings (Loss)...................... 77,894 (30,478) 3,406 48,559
-------------- -------------- -------------- --------------
NET ASSETS............................................... $ 640,068 $ 340,649 $ 26,540 $ 657,105
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
93
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERNATIONAL DFA
REAL ESTATE DFA GLOBAL REAL INTERNATIONAL INTERNATIONAL
SECURITIES ESTATE SECURITIES SMALL CAP VALUE VECTOR EQUITY
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- ----------------- --------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value..... -- $ 4,612,868 -- --
Investment Securities at Value (including $205,083,
$107,733, $973,327 and $166,681 of securities on loan,
respectively)............................................. $ 6,219,912 4,637,223 $ 13,143,082 $ 2,559,728
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $186,376, $111,139, $793,279 and
$132,694)................................................. 186,393 111,152 793,359 132,707
Segregated Cash for Futures Contracts....................... 1,758 -- 4,712 --
Foreign Currencies at Value................................. 45,533 -- 126,105 6,119
Cash........................................................ 10,468 23,303 5,473 840
Receivables:
Investment Securities Sold............................... 5 -- 121,593 3,418
Dividends, Interest and Tax Reclaims..................... 25,187 2,443 51,919 10,453
Securities Lending Income................................ 282 36 2,181 287
Fund Shares Sold......................................... 621 8,676 3,741 1,350
Unrealized Gain on Foreign Currency Contracts............... -- -- 3 5
Prepaid Expenses and Other Assets........................... 16 68 65 34
-------------- -------------- -------------- --------------
Total Assets......................................... 6,490,175 9,395,769 14,252,233 2,714,941
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 186,403 111,169 793,301 132,695
Investment Securities Purchased.......................... 1,565 10,033 13,936 1,590
Fund Shares Redeemed..................................... 2,215 4,618 7,506 1,239
Due to Advisor........................................... 1,315 546 7,225 973
Futures Margin Variation................................. 168 -- 449 --
Unrealized Loss on Foreign Currency Contracts............... -- -- 12 --
Accrued Expenses and Other Liabilities...................... 546 392 1,720 310
-------------- -------------- -------------- --------------
Total Liabilities.................................... 192,212 126,758 824,149 136,807
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 6,297,963 $ 9,269,011 $ 13,428,084 $ 2,578,134
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$6,297,963; $9,269,011; $13,428,084 and $2,578,134 and
shares outstanding of 1,123,330,586, 729,488,970,
722,707,266 and 221,904,316, respectively................. $ 5.61 $ 12.71 $ 18.58 $ 11.62
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 4,000,000,000 3,000,000,000 4,600,000,000 1,500,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at Cost...... $ -- $ 3,515,231 $ -- $ --
============== ============== ============== ==============
Investment Securities at Cost............................... $ 5,203,359 $ 3,745,148 $ 12,655,097 $ 2,315,742
============== ============== ============== ==============
Foreign Currencies at Cost.................................. $ 45,629 $ -- $ 124,678 $ 6,122
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 5,971,808 $ 7,185,927 $ 12,783,732 $ 2,364,495
Total Distributable Earnings (Loss)......................... 326,155 2,083,084 644,352 213,639
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 6,297,963 $ 9,269,011 $ 13,428,084 $ 2,578,134
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
94
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL
HIGH RELATIVE WORLD EX U.S. WORLD EX U.S.
PROFITABILITY WORLD EX U.S. TARGETED VALUE CORE EQUITY
PORTFOLIO* VALUE PORTFOLIO PORTFOLIO* PORTFOLIO*
------------- --------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at Value........ -- $ 302,106 -- --
Investment Securities at Value (including $28,620, $0, $6,012
and $159,863 of securities on loan, respectively)............ $ 653,415 -- $ 529,252 $ 3,711,766
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $25,968, $0, $2,796 and
$109,123).................................................... 25,970 -- 2,797 109,135
Foreign Currencies at Value.................................... 279 -- 1,079 6,144
Cash........................................................... 2,093 79 461 3,558
Receivables:
Investment Securities Sold.................................. -- -- 1,070 11,812
Dividends, Interest and Tax Reclaims........................ 1,638 -- 1,778 11,030
Securities Lending Income................................... 12 -- 32 302
Fund Shares Sold............................................ 1,439 273 145 2,177
Unrealized Gain on Foreign Currency Contracts.................. -- -- -- 8
Prepaid Expenses and Other Assets.............................. 31 16 26 27
------------ -------------- -------------- --------------
Total Assets............................................ 684,877 302,474 536,640 3,855,959
------------ -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................ 25,969 -- 2,797 109,133
Investment Securities Purchased............................. 154 -- 13 656
Fund Shares Redeemed........................................ 103 6 381 25,307
Due to Advisor.............................................. 108 79 258 991
Unrealized Loss on Foreign Currency Contracts.................. -- -- -- 22
Accrued Expenses and Other Liabilities......................... 95 20 145 537
------------ -------------- -------------- --------------
Total Liabilities....................................... 26,429 105 3,594 136,646
------------ -------------- -------------- --------------
NET ASSETS..................................................... $ 658,448 $ 302,369 $ 533,046 $ 3,719,313
============ ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $658,448;
$302,369; $533,046 and $3,719,313 and shares outstanding
of 61,324,700, 27,565,729, 42,803,681 and 333,110,722,
respectively................................................. $ 10.74 $ 10.97 $ 12.45 $ 11.17
============ ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................................... 500,000,000 1,000,000,000 1,000,000,000 1,500,000,000
============ ============== ============== ==============
Investments in Affiliated Investment Companies at Cost......... $ -- $ 290,856 $ -- $ --
============ ============== ============== ==============
Investment Securities at Cost.................................. $ 618,187 N/A $ 542,408 $ 3,531,456
============ ============== ============== ==============
Foreign Currencies at Cost..................................... $ 279 $ -- $ 1,072 $ 6,106
============ ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................ $ 634,269 $ 292,619 $ 541,035 $ 3,565,973
Total Distributable Earnings (Loss)............................ 24,179 9,750 (7,989) 153,340
------------ -------------- -------------- --------------
NET ASSETS..................................................... $ 658,448 $ 302,369 $ 533,046 $ 3,719,313
============ ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
95
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SELECTIVELY EMERGING
WORLD CORE HEDGED GLOBAL EMERGING MARKETS SMALL
EQUITY PORTFOLIO EQUITY PORTFOLIO MARKETS PORTFOLIO CAP PORTFOLIO
---------------- ---------------- ----------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value........................................... $ 879,513 $ 370,075 $ 5,967,458 $ 6,425,658
Temporary Cash Investments at Value & Cost........ 55 -- -- --
Segregated Cash for Futures Contracts............. -- 233 -- --
Cash.............................................. -- 6,866 -- --
Receivables:
Fund Shares Sold............................... 32 34 6,820 3,453
Due from Advisor............................... 6 -- -- --
Unrealized Gain on Forward Currency Contracts..... -- 10 -- --
Prepaid Expenses and Other Assets................. 12 18 28 30
-------------- -------------- -------------- --------------
Total Assets............................... 879,618 377,236 5,974,306 6,429,141
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Investment Securities/Affiliated Investment
Companies Purchased.......................... -- 412 -- --
Fund Shares Redeemed........................... 24 432 4,065 2,555
Due to Advisor................................. -- 17 1,586 2,405
Futures Margin Variation....................... -- 22 -- --
Unrealized Loss on Forward Currency Contracts..... -- 494 -- --
Accrued Expenses and Other Liabilities............ 41 27 337 322
-------------- -------------- -------------- --------------
Total Liabilities.......................... 65 1,404 5,988 5,282
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 879,553 $ 375,832 $ 5,968,318 $ 6,423,859
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Institutional Class Shares -- based on net assets
of $879,553; $375,832; $5,968,318 and
$6,423,859 and shares outstanding of
53,555,407, 22,720,750, 216,589,344 and
320,090,200, respectively....................... $ 16.42 $ 16.54 $ 27.56 $ 20.07
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 1,000,000,000 1,000,000,000 1,500,000,000 1,500,000,000
============== ============== ============== ==============
Investments in Affiliated Investment Companies at
Cost............................................ $ 759,450 $ 292,044 N/A N/A
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 769,378 $ 295,224 $ 4,429,392 $ 6,302,741
Total Distributable Earnings (Loss)............... 110,175 80,608 1,538,926 121,118
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 879,553 $ 375,832 $ 5,968,318 $ 6,423,859
============== ============== ============== ==============
See accompanying Notes to Financial Statements.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
EMERGING EMERGING MARKETS
MARKETS VALUE MARKETS CORE TARGETED VALUE
PORTFOLIO EQUITY PORTFOLIO* PORTFOLIO*
-------------- ----------------- --------------
ASSETS:
Investments in Affiliated Investment Companies at
Value........................................... $ 17,191,982 -- --
Investment Securities at Value (including $0,
$1,280,234 and $1,986 of securities on loan,
respectively)................................... -- $ 28,341,403 $ 112,943
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0,
$673,385 and $659).............................. -- 673,477 659
Segregated Cash for Futures Contracts............. -- 9,301 --
Foreign Currencies at Value....................... -- 146,523 324
Cash.............................................. -- 81,939 1,257
Receivables:
Investment Securities/Affiliated Investment
Companies Sold............................... -- 41,172 6
Dividends and Interest......................... -- 32,573 122
Securities Lending Income...................... -- 3,936 3
Fund Shares Sold............................... 15,363 16,016 273
Deferred Offering Costs........................... -- -- 3
Prepaid Expenses and Other Assets................. 83 211 18
-------------- -------------- ------------
Total Assets............................... 17,207,428 29,346,551 115,608
-------------- -------------- ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............... -- 673,459 659
Investment Securities/Affiliated Investment
Companies Purchased.......................... -- 16,802 465
Fund Shares Redeemed........................... 9,603 14,166 8
Due to Advisor................................. 5,718 11,171 32
Futures Margin Variation....................... -- 1,873 --
Deferred Taxes Payable............................ -- 1,083 --
Accrued Expenses and Other Liabilities............ 1,025 5,387 84
-------------- -------------- ------------
Total Liabilities.......................... 16,346 723,941 1,248
-------------- -------------- ------------
NET ASSETS........................................ $ 17,191,082 $ 28,622,610 $ 114,360
============== ============== ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R2 Shares -- based on net assets of
$29,146; $0 and $0 and shares outstanding of
1,073,054, 0 and 0, respectively................ $ 27.16 N/A N/A
============== ============== ============
NUMBER OF SHARES AUTHORIZED....................... 200,000,000 N/A N/A
============== ============== ============
Institutional Class Shares -- based on net assets
of $17,161,936; $28,622,610 and $114,360 and
shares outstanding of 627,699,807,
1,390,048,560 and 10,967,750, respectively...... $ 27.34 $ 20.59 $ 10.43
============== ============== ============
NUMBER OF SHARES AUTHORIZED....................... 3,000,000,000 5,000,000,000 500,000,000
============== ============== ============
Investment Securities at Cost..................... N/A $ 25,123,238 $ 113,163
============== ============== ============
Foreign Currencies at Cost........................ $ -- $ 145,540 $ 325
============== ============== ============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 17,762,609 $ 26,505,768 $ 111,249
Total Distributable Earnings (Loss)............... (571,527) 2,116,842 3,111
-------------- -------------- ------------
NET ASSETS........................................ $ 17,191,082 $ 28,622,610 $ 114,360
============== ============== ============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
97
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
GLOBAL INTERNATIONAL
LARGE CAP INTERNATIONAL SMALL SMALL
INTERNATIONAL CORE EQUITY COMPANY COMPANY
PORTFOLIO# PORTFOLIO# PORTFOLIO* PORTFOLIO*
------------- ------------- ---------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Companies
Dividends (Net of Foreign Taxes Withheld of
$0, $0, $45 and $31,127, respectively)............ -- -- $ 441 $335,908
Income from Securities Lending...................... -- -- 53 30,195
Expenses Allocated from Affiliated Investment
Companies......................................... -- -- (24) (14,583)
--------- ---------- ------ --------
Income Distributions Received from Affiliated
Investment Companies................................. -- -- 202 --
--------- ---------- ------ --------
Total Net Investment Income Allocated from
Affiliated Investment Companies............... -- -- 672 351,520
--------- ---------- ------ --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$15,728, $89,186, $0 and $0, respectively)........ $ 170,151 $ 960,150 -- --
Income from Securities Lending...................... 2,827 36,579 -- --
--------- ---------- ------ --------
Total Fund Investment Income................. 172,978 996,729 -- --
--------- ---------- ------ --------
FUND EXPENSES
Investment Management Fees.......................... 10,011 76,840 158 49,136
Accounting & Transfer Agent Fees.................... 809 4,507 34 1,336
Custodian Fees...................................... 503 2,846 1 8
Filing Fees......................................... 127 781 27 215
Shareholders' Reports............................... 219 817 8 558
Directors'/Trustees' Fees & Expenses................ 29 165 -- 73
Professional Fees................................... 145 635 -- 72
Other............................................... 151 846 1 85
--------- ---------- ------ --------
Total Fund Expenses.......................... 11,994 87,437 229 51,483
--------- ---------- ------ --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor
(Note C).......................................... -- (2,060) (153) --
Fees Paid Indirectly (Note C)....................... (413) (2,330) -- --
--------- ---------- ------ --------
Net Expenses........................................ 11,581 83,047 76 51,483
--------- ---------- ------ --------
NET INVESTMENT INCOME (LOSS)........................ 161,397 913,682 596 300,037
--------- ---------- ------ --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from
Investment Securities............................. -- -- 587 --
Net Realized Gain (Loss) on:
Investment Securities Sold**.................... (116,656) (348,700) -- --
Affiliated Investment Companies Shares Sold..... (11) (2) (342) --
Transactions Allocated from Affiliated
Investment Company**.......................... -- -- (416) 313,315
Futures......................................... 815 12,437 7 (626)
Foreign Currency Transactions................... (892) (5,912) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency...... 461,700 1,567,492 (357) --
Affiliated Investment Companies Shares.......... 25 111 271 --
Transactions Allocated from Affiliated
Investment Company............................ -- -- 1,280 135,389
Futures......................................... 3,123 13,424 -- 7,881
Translation of Foreign
Currency-Denominated Amounts.................. 193 1,383 -- --
--------- ---------- ------ --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............. 348,297 1,240,233 1,030 455,959
--------- ---------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS...................................... $ 509,694 $2,153,915 $1,626 $755,996
========= ========== ====== ========
--------
** 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.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
ASIA UNITED
JAPANESE PACIFIC KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
---------- ---------- ---------- -----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies
Dividends (Net of Foreign Taxes Withheld of $1,420, $188, $3 and $2,531,
respectively)................................................................ $12,803 $13,380 $1,033 $16,049
Income from Securities Lending................................................. 1,529 1,262 6 1,749
Expenses Allocated from Affiliated Investment Companies........................ (712) (440) (33) (755)
------- ------- ------ -------
Total Net Investment Income Allocated from Affiliated Investment
Companies................................................................ 13,620 14,202 1,006 17,043
------- ------- ------ -------
FUND EXPENSES
Investment Management Fees..................................................... 2,923 1,736 149 3,119
Accounting & Transfer Agent Fees............................................... 98 78 28 124
Filing Fees.................................................................... 26 22 18 37
Shareholders' Reports.......................................................... 13 11 8 18
Directors'/Trustees' Fees & Expenses........................................... 3 2 -- 4
Professional Fees.............................................................. 2 1 7 3
Other.......................................................................... 3 18 1 6
------- ------- ------ -------
Total Fund Expenses........................................................ 3,068 1,868 211 3,311
------- ------- ------ -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor (Note C).......................................................... (583) (346) (71) (624)
------- ------- ------ -------
Net Expenses................................................................... 2,485 1,522 140 2,687
------- ------- ------ -------
NET INVESTMENT INCOME (LOSS)................................................... 11,135 12,680 866 14,356
------- ------- ------ -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**................ 10,446 5,261 1,418 (1,860)
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company.................. 2,052 (501) (372) 38,034
------- ------- ------ -------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................ 12,498 4,760 1,046 36,174
------- ------- ------ -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $23,633 $17,440 $1,912 $50,530
======= ======= ====== =======
--------
** 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).
See accompanying Notes to Financial Statements.
99
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA DFA
INTERNATIONAL DFA GLOBAL INTERNATIONAL INTERNATIONAL
REAL ESTATE REAL ESTATE SMALL CAP VECTOR
SECURITIES SECURITIES VALUE EQUITY
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
------------- ----------- ------------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies
Income Distributions Received from Affiliated Investment Companies....... -- $ 178,016 -- --
---------- ---------- --------- --------
Total Net Investment Income Allocated from Affiliated
Investment Companies......................................... -- 178,016 -- --
---------- ---------- --------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $31,780, $5, $34,997 and
$7,753, respectively)............................................... $ 240,266 74,266 $ 394,690 $ 81,177
Income from Securities Lending........................................ 3,853 250 20,275 3,910
---------- ---------- --------- --------
Total Fund Investment Income................................... 244,119 74,516 414,965 85,087
---------- ---------- --------- --------
FUND EXPENSES
Investment Management Fees............................................ 14,237 16,500 85,361 11,152
Accounting & Transfer Agent Fees...................................... 674 959 2,049 499
Custodian Fees........................................................ 590 29 2,002 305
Filing Fees........................................................... 66 170 275 149
Shareholders' Reports................................................. 168 459 551 126
Directors'/Trustees' Fees & Expenses.................................. 33 47 78 14
Professional Fees..................................................... 137 59 348 73
Other................................................................. 218 88 413 143
---------- ---------- --------- --------
Total Fund Expenses............................................ 16,123 18,311 91,077 12,461
---------- ---------- --------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)....................................... -- (8,900) -- --
Fees Paid Indirectly (Note C)......................................... (485) -- (1,566) (110)
---------- ---------- --------- --------
Net Expenses.......................................................... 15,638 9,411 89,511 12,351
---------- ---------- --------- --------
NET INVESTMENT INCOME (LOSS).......................................... 228,481 243,121 325,454 72,736
---------- ---------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**...................................... (121,318) 73,513 238,307 (25,195)
Affiliated Investment Companies Shares Sold....................... (4) 37,097 -- --
Futures........................................................... 1,553 (135) 1,976 (2,728)
Foreign Currency Transactions..................................... 221 -- (1,093) (429)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ 1,036,222 795,754 (233,259) 93,366
Affiliated Investment Companies Shares............................ 16 641,678 70 12
Futures........................................................... 1,373 -- 4,434 --
Translation of Foreign Currency-Denominated Amounts............... 136 -- 1,343 106
---------- ---------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................... 918,199 1,547,907 11,778 65,132
---------- ---------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $1,146,680 $1,791,028 $ 337,232 $137,868
========== ========== ========= ========
--------
** 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.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
INTERNATIONAL WORLD EX
HIGH WORLD EX U.S. WORLD EX
RELATIVE U.S. TARGETED U.S. CORE
PROFITABILITY VALUE VALUE EQUITY
PORTFOLIO# PORTFOLIO* PORTFOLIO# PORTFOLIO#
------------- ---------- ---------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated
Investment Companies
Dividends (Net of Foreign Taxes Withheld of $0,
$1,016, $0 and $0, respectively).......................... -- $ 9,180 -- --
Interest.................................................... -- 24 -- --
Income from Securities Lending.............................. -- 160 -- --
Expenses Allocated from Affiliated Investment
Companies................................................. -- (459) -- --
-------- ------- ------- --------
Income Distributions Received from Affiliated
Investment Companies......................................... -- 651 -- --
-------- ------- ------- --------
Total Net Investment Income Allocated from
Affiliated Investment Companies.................... -- 9,556 -- --
-------- ------- ------- --------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $1,190,
$0, $1,620 and $11,114, respectively)..................... $ 13,298 -- $16,361 $112,339
Income from Securities Lending.............................. 154 -- 274 4,147
-------- ------- ------- --------
Total Fund Investment Income......................... 13,452 -- 16,635 116,486
-------- ------- ------- --------
FUND EXPENSES
Investment Management Fees.................................. 1,113 1,266 2,960 11,009
Accounting & Transfer Agent Fees............................ 130 45 150 610
Custodian Fees.............................................. 121 3 202 759
Filing Fees................................................. 89 29 82 142
Shareholders' Reports....................................... 33 12 25 151
Directors'/Trustees' Fees & Expenses........................ 2 2 3 20
Professional Fees........................................... 7 6 58 117
Other....................................................... 16 5 47 140
-------- ------- ------- --------
Total Fund Expenses.................................. 1,511 1,368 3,527 12,948
-------- ------- ------- --------
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor (Note
C)........................................................ 47 (580) -- 9
Fees Paid Indirectly (Note C)............................... (95) -- (50) (214)
-------- ------- ------- --------
Net Expenses................................................ 1,463 788 3,477 12,743
-------- ------- ------- --------
NET INVESTMENT INCOME (LOSS)................................ 11,989 8,768 13,158 103,743
-------- ------- ------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Investment
Securities................................................ -- 766 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**............................ (10,724) -- 5,834 (27,918)
Affiliated Investment Companies Shares Sold............. -- (802) -- --
Transactions Allocated from Affiliated
Investment Company**.................................. -- (1,780) -- --
Futures................................................. 155 (109) (308) (1,060)
Foreign Currency Transactions........................... (32) -- (140) (4,961)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 58,944 384 5,845 222,436
Affiliated Investment Companies Shares.................. 2 95 1 10
Transactions Allocated from Affiliated
Investment Company.................................... -- 4,725 (1) --
Translation of Foreign Currency-Denominated
Amounts............................................... 6 -- 30 116
-------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 48,351 3,279 11,261 188,623
-------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $ 60,340 $12,047 $24,419 $292,366
======== ======= ======= ========
--------
** 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.
101
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
SELECTIVELY
WORLD HEDGED EMERGING
CORE GLOBAL EMERGING MARKETS
EQUITY EQUITY MARKETS SMALL CAP
PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO*
--------- ----------- ---------- ----------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies
Dividends (Net of Foreign Taxes Withheld of $0, $0, $21,353 and $21,625,
respectively)................................................................. -- -- $179,309 $170,123
Interest........................................................................ -- -- 59 91
Income from Securities Lending.................................................. -- -- 4,278 38,450
Expenses Allocated from Affiliated Investment Companies......................... -- -- (7,794) (16,191)
------- ------- -------- --------
Income Distributions Received from Affiliated Investment Companies................. $18,651 $ 9,356 -- --
------- ------- -------- --------
Total Net Investment Income Allocated from Affiliated Investment
Companies.............................................................. 18,651 9,356 175,852 192,473
------- ------- -------- --------
FUND EXPENSES
Investment Management Fees...................................................... 2,452 1,206 24,313 43,085
Accounting & Transfer Agent Fees................................................ 117 93 507 668
Custodian Fees.................................................................. 1 1 -- --
Filing Fees..................................................................... 51 28 99 109
Shareholders' Reports........................................................... 20 19 254 216
Directors'/Trustees' Fees & Expenses............................................ 5 3 33 39
Professional Fees............................................................... 6 3 16 21
Other........................................................................... 7 2 29 35
------- ------- -------- --------
Total Fund Expenses...................................................... 2,659 1,355 25,251 44,173
------- ------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor (Note C)........................................................... (2,212) (1,051) (5,789) (13,259)
------- ------- -------- --------
Net Expenses.................................................................... 447 304 19,462 30,914
------- ------- -------- --------
NET INVESTMENT INCOME (LOSS).................................................... 18,204 9,052 156,390 161,559
------- ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Companies........ 2,509 1,971 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold**................................................ -- -- (1) --
Affiliated Investment Companies Shares Sold................................. (5,618) (4,770) -- --
Transactions Allocated from Affiliated Investment Company**................. -- -- (72,191) 57,552
Futures..................................................................... (62) (1,126) -- --
Forward Currency Contracts.................................................. -- 4,438 -- --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares...................................... 67,131 27,375 -- --
Transactions Allocated from Affiliated Investment Company................... -- -- 516,007 568,138
Futures..................................................................... -- 1,674 -- --
Forward Currency Contracts.................................................. -- (2,086) -- --
------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................................... 63,960 27,476 443,815 625,690
------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................... $82,164 $36,528 $600,205 $787,249
======= ======= ======== ========
--------
** 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).
See accompanying Notes to Financial Statements.
102
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
EMERGING
EMERGING EMERGING MARKETS
MARKETS MARKETS TARGETED
VALUE CORE EQUITY VALUE
PORTFOLIO* PORTFOLIO# PORTFOLIO(A)#
---------- ----------- -------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies
Dividends (Net of Foreign Taxes Withheld of $75,479, $0 and $0, respectively)..... $ 522,637 -- --
Interest.......................................................................... 295 -- --
Income from Securities Lending.................................................... 14,266 -- --
Expenses Allocated from Affiliated Investment Companies........................... (23,034) -- --
--------- ---------- ------
Total Net Investment Income Allocated from Affiliated Investment
Companies................................................................ 514,164 -- --
--------- ---------- ------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $103,047 and $374, respectively).. -- $ 813,271 $3,218
Income from Securities Lending.................................................... -- 53,007 35
--------- ---------- ------
Total Fund Investment Income............................................... -- 866,278 3,253
--------- ---------- ------
FUND EXPENSES
Investment Management Fees........................................................ 87,173 129,817 723
Accounting & Transfer Agent Fees.................................................. 1,133 4,035 36
Custodian Fees.................................................................... -- 10,426 54
Shareholder Servicing Fees
Class R2 Shares............................................................... 71 -- --
Filing Fees....................................................................... 277 463 41
Shareholders' Reports............................................................. 405 952 30
Directors'/Trustees' Fees & Expenses.............................................. 103 161 1
Professional Fees................................................................. 85 675 11
Organizational & Offering Costs................................................... -- -- 77
Other............................................................................. 85 802 10
--------- ---------- ------
Total Fund Expenses........................................................ 89,332 147,331 983
--------- ---------- ------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor (Note C)................................................................ -- -- (104)
Class R2 Shares............................................................... (28) -- --
Institutional Class Shares.................................................... (17,406) -- --
Fees Paid Indirectly (Note C)..................................................... -- (4,465) (5)
--------- ---------- ------
Net Expenses...................................................................... 71,898 142,866 874
--------- ---------- ------
NET INVESTMENT INCOME (LOSS)...................................................... 442,266 723,412 2,379
--------- ---------- ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................................. -- (319,383) 1,412
Affiliated Investment Companies Shares Sold................................... -- (3) --
Transactions Allocated from Affiliated Investment Company**................... (172,477) -- --
Futures....................................................................... -- 14,341 35
Foreign Currency Transactions................................................. -- (779) (33)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................................... -- 2,502,146 (221)
Affiliated Investment Companies Shares........................................ -- 58 --
Transactions Allocated from Affiliated Investment Company..................... 477,901 -- --
Futures....................................................................... -- 13,038 --
Translation of Foreign Currency-Denominated Amounts........................... -- 433 1
--------- ---------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS)........................................... 305,424 2,209,851 1,194
--------- ---------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 747,690 $2,933,263 $3,573
========= ========== ======
--------
** Net of foreign capital gain taxes withheld of $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.
103
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
----------------------- ------------------------ ----------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ---------- ----------- ----------- ------- -------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 161,397 $ 135,824 $ 913,682 $ 753,667 $ 596 $ 403
Capital Gain Distributions Received from
Investment Securities.............................. -- -- -- -- 587 333
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/................. (116,656) 9,278 (348,700) 37,602 -- --
Affiliated Investment Companies Shares
Sold........................................... (11) (31) (2) (83) (342) (93)
Transactions Allocated from Affiliated
Investment Company*,**......................... -- -- -- -- (416) (602)
Futures.......................................... 815 5,207 12,437 42,294 7 15
Foreign Currency Transactions.................... (892) (1,098) (5,912) (6,317) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................................... 461,700 (492,554) 1,567,492 (3,538,139) (357) --
Affiliated Investment Companies Shares........... 25 35 111 (17) 271 (772)
Transactions Allocated from Affiliated
Investment Company............................. -- -- -- -- 1,280 (1,701)
Futures.......................................... 3,123 (3,535) 13,424 (17,544) -- --
Translation of Foreign Currency-
Denominated Amounts............................ 193 (201) 1,383 (811) -- --
----------- ---------- ----------- ----------- ------- -------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 509,694 (347,075) 2,153,915 (2,729,348) 1,626 (2,417)
----------- ---------- ----------- ----------- ------- -------
Distributions:
Institutional Class Shares....................... (155,698) (132,270) (907,539) (711,406) (308) (350)
----------- ---------- ----------- ----------- ------- -------
Total Distributions........................... (155,698) (132,270) (907,539) (711,406) (308) (350)
----------- ---------- ----------- ----------- ------- -------
Capital Share Transactions (1):
Shares Issued........................................ 1,454,715 1,048,667 8,662,646 8,724,881 16,512 22,726
Shares Issued in Lieu of Cash Distributions.......... 138,823 116,674 864,811 674,993 308 350
Shares Redeemed...................................... (1,178,465) (821,680) (7,388,995) (4,228,499) (8,232) (3,950)
----------- ---------- ----------- ----------- ------- -------
Net Increase (Decrease) from Capital
Share Transactions.......................... 415,073 343,661 2,138,462 5,171,375 8,588 19,126
----------- ---------- ----------- ----------- ------- -------
Total Increase (Decrease) in Net
Assets...................................... 769,069 (135,684) 3,384,838 1,730,621 9,906 16,359
NET ASSETS
Beginning of Year.................................... 4,587,406 4,723,090 27,174,589 25,443,968 31,380 15,021
----------- ---------- ----------- ----------- ------- -------
End of Year.......................................... $ 5,356,475 $4,587,406 $30,559,427 $27,174,589 $41,286 $31,380
=========== ========== =========== =========== ======= =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 68,558 44,730 693,417 611,977 1,564 1,939
Shares Issued in Lieu of Cash Distributions.......... 6,394 5,040 68,976 48,289 31 31
Shares Redeemed...................................... (55,298) (35,059) (593,959) (299,311) (793) (346)
----------- ---------- ----------- ----------- ------- -------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 19,654 14,711 168,434 360,955 802 1,624
=========== ========== =========== =========== ======= =======
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
104
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
------------------------ ------------------- ------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- -------- --------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 300,037 $ 305,199 $ 11,135 $ 10,186 $ 12,680 $ 12,981
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated
Investment Company*,**......................... 313,315 549,889 10,446 36,946 5,261 (13,453)
Futures.......................................... (626) 17,382 -- -- -- --
Change in Unrealized Appreciation (Depreciation)
of:
Transactions Allocated from Affiliated
Investment Company............................. 135,389 (2,214,609) 2,052 (101,251) (501) (33,087)
Futures.......................................... 7,881 (9,491) -- -- -- --
----------- ----------- -------- --------- -------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 755,996 (1,351,630) 23,633 (54,119) 17,440 (33,559)
----------- ----------- -------- --------- -------- --------
Distributions:
Institutional Class Shares....................... (857,472) (711,038) (39,387) (15,936) (11,260) (13,370)
----------- ----------- -------- --------- -------- --------
Total Distributions........................... (857,472) (711,038) (39,387) (15,936) (11,260) (13,370)
----------- ----------- -------- --------- -------- --------
Capital Share Transactions (1):
Shares Issued........................................ 2,921,274 2,606,895 72,402 141,296 38,624 103,070
Shares Issued in Lieu of Cash Distributions.......... 824,335 680,889 36,290 14,541 10,374 12,186
Shares Redeemed...................................... (3,550,227) (2,059,202) (75,520) (111,110) (60,864) (54,145)
----------- ----------- -------- --------- -------- --------
Net Increase (Decrease) from Capital
Share Transactions.......................... 195,382 1,228,582 33,172 44,727 (11,866) 61,111
----------- ----------- -------- --------- -------- --------
Total Increase (Decrease) in Net
Assets...................................... 93,906 (834,086) 17,418 (25,328) (5,686) 14,182
NET ASSETS
Beginning of Year.................................... 12,656,204 13,490,290 622,650 647,978 346,335 332,153
----------- ----------- -------- --------- -------- --------
End of Year.......................................... $12,750,110 $12,656,204 $640,068 $ 622,650 $340,649 $346,335
=========== =========== ======== ========= ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 170,065 124,547 3,098 4,906 1,859 4,371
Shares Issued in Lieu of Cash Distributions.......... 51,059 33,057 1,637 505 522 527
Shares Redeemed...................................... (206,414) (98,779) (3,248) (3,870) (2,869) (2,282)
----------- ----------- -------- --------- -------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 14,710 58,825 1,487 1,541 (488) 2,616
=========== =========== ======== ========= ======== ========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
105
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL REAL
UNITED KINGDOM SMALL CONTINENTAL SMALL ESTATE SECURITIES
COMPANY PORTFOLIO COMPANY PORTFOLIO PORTFOLIO
------------------- -------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
-------- ------- --------- --------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 866 $ 1,170 $ 14,356 $ 15,590 $ 228,481 $ 245,747
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/.................. -- -- -- -- (121,318) (55,861)
Affiliated Investment Companies Shares
Sold............................................ -- -- -- -- (4) (50)
Transactions Allocated from Affiliated
Investment Company*,**.......................... 1,418 2,228 (1,860) 19,862 -- --
Futures........................................... -- -- -- -- 1,553 6,053
Foreign Currency Transactions..................... -- -- -- -- 221 3,300
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency........ -- -- -- -- 1,036,222 (212,037)
Affiliated Investment Companies Shares............ -- -- -- -- 16 6
Transactions Allocated from Affiliated
Investment Company.............................. (372) (7,070) 38,034 (119,115) -- --
Futures........................................... -- -- -- -- 1,373 (1,430)
Translation of Foreign Currency-Denominated
Amounts......................................... -- -- -- -- 136 (239)
-------- ------- --------- --------- ----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 1,912 (3,672) 50,530 (83,663) 1,146,680 (14,511)
-------- ------- --------- --------- ----------- -----------
Distributions:
Institutional Class Shares........................ (1,977) (3,924) (33,215) (20,414) (302,662) (241,977)
-------- ------- --------- --------- ----------- -----------
Total Distributions............................ (1,977) (3,924) (33,215) (20,414) (302,662) (241,977)
-------- ------- --------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................................... 2,122 2,809 117,898 207,831 913,489 1,129,099
Shares Issued in Lieu of Cash Distributions........... 1,763 3,396 31,461 19,301 297,390 238,291
Shares Redeemed....................................... (13,631) (7,435) (155,220) (69,751) (1,199,441) (1,166,148)
-------- ------- --------- --------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions........................... (9,746) (1,230) (5,861) 157,381 11,438 201,242
-------- ------- --------- --------- ----------- -----------
Total Increase (Decrease) in Net Assets........ (9,811) (8,826) 11,454 53,304 855,456 (55,246)
NET ASSETS
Beginning of Year..................................... 36,351 45,177 645,651 592,347 5,442,507 5,497,753
-------- ------- --------- --------- ----------- -----------
End of Year........................................... $ 26,540 $36,351 $ 657,105 $ 645,651 $ 6,297,963 $ 5,442,507
======== ======= ========= ========= =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 82 91 5,188 7,354 182,042 219,592
Shares Issued in Lieu of Cash Distributions........... 75 114 1,395 709 64,510 46,632
Shares Redeemed....................................... (553) (239) (6,632) (2,541) (245,929) (228,031)
-------- ------- --------- --------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed.......................... (396) (34) (49) 5,522 623 38,193
======== ======= ========= ========= =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
106
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL INTERNATIONAL VECTOR
SECURITIES PORTFOLIO CAP VALUE PORTFOLIO EQUITY PORTFOLIO
------------------------ ------------------------ -----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ----------- ----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 243,121 $ 319,485 $ 325,454 $ 333,887 $ 72,736 $ 63,232
Capital Gain Distributions Received from
Investment Securities....................... -- 5,030 -- -- -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/.......... 73,513 (30,218) 238,307 489,396 (25,195) 81,370
Affiliated Investment Companies
Shares Sold............................. 37,097 13,679 -- (64) -- (4)
Futures................................... (135) -- 1,976 19,832 (2,728) (84)
Foreign Currency Transactions............. -- -- (1,093) (11,795) (429) (430)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 795,754 (6,013) (233,259) (2,949,087) 93,366 (401,480)
Affiliated Investment Companies
Shares.................................. 641,678 (177,027) 70 (36) 12 (6)
Futures................................... -- -- 4,434 (7,629) -- --
Translation of Foreign Currency-
Denominated Amounts..................... -- -- 1,343 (512) 106 (65)
----------- ----------- ----------- ----------- ----------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 1,791,028 124,936 337,232 (2,126,008) 137,868 (257,467)
----------- ----------- ----------- ----------- ----------- ----------
Distributions:
Institutional Class Shares................ (351,905) (255,497) (776,069) (896,785) (147,900) (69,245)
----------- ----------- ----------- ----------- ----------- ----------
Total Distributions.................... (351,905) (255,497) (776,069) (896,785) (147,900) (69,245)
----------- ----------- ----------- ----------- ----------- ----------
Capital Share Transactions (1):
Shares Issued................................. 1,973,793 2,076,669 3,086,382 2,575,335 1,111,287 587,591
Shares Issued in Lieu of Cash
Distributions............................... 335,724 245,163 699,165 810,215 140,703 68,621
Shares Redeemed............................... (1,955,553) (1,469,129) (3,706,321) (2,737,533) (1,105,041) (418,135)
----------- ----------- ----------- ----------- ----------- ----------
Net Increase (Decrease) from
Capital Share
Transactions......................... 353,964 852,703 79,226 648,017 146,949 238,077
----------- ----------- ----------- ----------- ----------- ----------
Total Increase (Decrease) in
Net Assets........................... 1,793,087 722,142 (359,611) (2,374,776) 136,917 (88,635)
NET ASSETS
Beginning of Year............................. 7,475,924 6,753,782 13,787,695 16,162,471 2,441,217 2,529,852
----------- ----------- ----------- ----------- ----------- ----------
End of Year................................... $ 9,269,011 $ 7,475,924 $13,428,084 $13,787,695 $ 2,578,134 $2,441,217
=========== =========== =========== =========== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 173,132 193,699 174,997 116,242 101,269 44,843
Shares Issued in Lieu of Cash
Distributions............................... 32,690 22,410 41,425 36,559 13,131 5,242
Shares Redeemed............................... (174,212) (137,791) (210,444) (123,463) (100,463) (31,849)
----------- ----------- ----------- ----------- ----------- ----------
Net Increase (Decrease) from
Shares Issued and
Redeemed............................. 31,610 78,318 5,978 29,338 13,937 18,236
=========== =========== =========== =========== =========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
107
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
INTERNATIONAL HIGH
RELATIVE WORLD EX WORLD EX
PROFITABILITY U.S. VALUE U.S. TARGETED VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------------ ------------------ --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
-------- -------- -------- -------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................... $ 11,989 $ 4,407 $ 8,768 $ 6,776 $ 13,158 $ 10,453
Capital Gain Distributions Received from Investment
Securities............................................... -- -- 766 772 -- --
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/....................... (10,724) (1,478) -- -- 5,834 14,758
Affiliated Investment Companies Shares Sold............ -- -- (802) (152) -- (1)
Transactions Allocated from Affiliated Investment
Company*,**.......................................... -- -- (1,780) 4,866 -- --
Futures................................................ 155 167 (109) -- (308) 22
Foreign Currency Transactions.......................... (32) 35 -- -- (140) (268)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. 58,944 (27,436) 384 -- 5,845 (98,264)
Affiliated Investment Companies Shares................. 2 -- 95 (4,644) 1 --
Transactions Allocated from Affiliated Investment
Company.............................................. -- -- 4,725 (30,618) (1) --
Translation of Foreign Currency-Denominated
Amounts.............................................. 6 (7) -- -- 30 (8)
-------- -------- -------- -------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... 60,340 (24,312) 12,047 (23,000) 24,419 (73,308)
-------- -------- -------- -------- --------- ---------
Distributions:
Institutional Class Shares............................. (11,023) (3,960) (13,716) (8,118) (23,983) (18,759)
-------- -------- -------- -------- --------- ---------
Total Distributions................................. (11,023) (3,960) (13,716) (8,118) (23,983) (18,759)
-------- -------- -------- -------- --------- ---------
Capital Share Transactions (1):
Shares Issued.............................................. 416,587 252,625 110,720 78,125 329,309 215,731
Shares Issued in Lieu of Cash Distributions................ 11,018 3,958 13,703 8,111 23,923 18,713
Shares Redeemed............................................ (85,342) (29,236) (61,053) (61,001) (280,777) (148,726)
-------- -------- -------- -------- --------- ---------
Net Increase (Decrease) from Capital Share
Transactions...................................... 342,263 227,347 63,370 25,235 72,455 85,718
-------- -------- -------- -------- --------- ---------
Total Increase (Decrease) in Net Assets............. 391,580 199,075 61,701 (5,883) 72,891 (6,349)
NET ASSETS
Beginning of Year.......................................... 266,868 67,793 240,668 246,551 460,155 466,504
-------- -------- -------- -------- --------- ---------
End of Year................................................ $658,448 $266,868 $302,369 $240,668 $ 533,046 $ 460,155
======== ======== ======== ======== ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.............................................. 41,376 23,561 10,308 6,253 27,492 15,217
Shares Issued in Lieu of Cash Distributions................ 1,078 374 1,293 657 2,024 1,301
Shares Redeemed............................................ (8,617) (2,797) (5,597) (4,751) (23,474) (10,739)
-------- -------- -------- -------- --------- ---------
Net Increase (Decrease) from Shares Issued
and Redeemed...................................... 33,837 21,138 6,004 2,159 6,042 5,779
======== ======== ======== ======== ========= =========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
108
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
------------------------ -------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
---------- ---------- --------- --------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)......................... $ 103,743 $ 81,701 $ 18,204 $ 13,553 $ 9,052 $ 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/*,**/................. (27,918) 21,093 -- -- -- 1
Affiliated Investment Companies Shares
Sold........................................... -- (7) (5,618) 1,952 (4,770) 2,046
Futures.......................................... (1,060) 1,743 (62) 145 (1,126) 3,877
Foreign Currency Transactions.................... (4,961) (951) -- -- -- --
Forward Currency Contracts....................... -- -- -- -- 4,438 4,871
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency....................................... 222,436 (472,935) -- -- -- 13
Affiliated Investment Companies Shares........... 10 (1) 67,131 (39,888) 27,375 (27,187)
Futures.......................................... -- -- -- -- 1,674 (2,628)
Translation of Foreign Currency-
Denominated Amounts............................ 116 (79) -- -- -- --
Forward Currency Contracts....................... -- -- -- -- (2,086) 178
---------- ---------- --------- --------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................... 292,366 (369,436) 82,164 (22,395) 36,528 (9,380)
---------- ---------- --------- --------- --------- ---------
Distributions:
Institutional Class Shares....................... (116,666) (75,944) (23,511) (14,502) (16,864) (11,171)
---------- ---------- --------- --------- --------- ---------
Total Distributions........................... (116,666) (75,944) (23,511) (14,502) (16,864) (11,171)
---------- ---------- --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued........................................ 1,271,493 1,408,140 192,373 346,536 78,038 114,026
Shares Issued in Lieu of Cash Distributions.......... 113,738 72,834 23,302 14,069 16,808 11,131
Shares Redeemed...................................... (971,409) (711,170) (136,287) (129,087) (141,873) (103,615)
---------- ---------- --------- --------- --------- ---------
Net Increase (Decrease) from Capital
Share Transactions.......................... 413,822 769,804 79,388 231,518 (47,027) 21,542
---------- ---------- --------- --------- --------- ---------
Total Increase (Decrease) in Net
Assets...................................... 589,522 324,424 138,041 194,621 (27,363) 991
NET ASSETS
Beginning of Year.................................... 3,129,791 2,805,367 741,512 546,891 403,195 402,204
---------- ---------- --------- --------- --------- ---------
End of Year.......................................... $3,719,313 $3,129,791 $ 879,553 $ 741,512 $ 375,832 $ 403,195
========== ========== ========= ========= ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................ 119,518 116,093 12,674 20,931 5,128 6,816
Shares Issued in Lieu of Cash Distributions.......... 10,760 6,147 1,534 856 1,185 679
Shares Redeemed...................................... (91,013) (59,215) (8,795) (7,697) (9,256) (6,176)
---------- ---------- --------- --------- --------- ---------
Net Increase (Decrease) from Shares
Issued and Redeemed......................... 39,265 63,025 5,413 14,090 (2,943) 1,319
========== ========== ========= ========= ========= =========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
109
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
------------------------ ------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2019 OCT 31, 2018 OCT 31, 2019 OCT 31, 2018
------------ ------------ ------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 156,390 $ 127,713 $ 161,559 $ 172,421 $ 442,266 $ 453,039
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/.......... (1) -- -- -- -- --
Transactions Allocated from
Affiliated Investment
Company*,**............................. (72,191) 76,077 57,552 185,571 (172,477) 304,582
Change in Unrealized Appreciation
(Depreciation) of:
Transactions Allocated from
Affiliated Investment
Company................................. 516,007 (937,174) 568,138 (1,598,746) 477,901 (2,444,307)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 600,205 (733,384) 787,249 (1,240,754) 747,690 (1,686,686)
----------- ----------- ----------- ----------- ----------- -----------
Distributions:
Class R2 Shares............................... -- -- -- -- (687) (632)
Institutional Class Shares.................... (145,647) (115,293) (327,074) (339,983) (458,693) (438,799)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions....................... (145,647) (115,293) (327,074) (339,983) (459,380) (439,431)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................. 1,392,119 1,740,732 1,086,305 1,502,030 3,101,990 2,709,737
Shares Issued in Lieu of Cash
Distributions............................... 131,384 104,589 306,500 321,912 437,294 416,976
Shares Redeemed............................... (1,403,931) (2,235,370) (1,733,527) (1,188,516) (3,093,072) (3,958,464)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.............. 119,572 (390,049) (340,722) 635,426 446,212 (831,751)
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in Net
Assets.................................. 574,130 (1,238,726) 119,453 (945,311) 734,522 (2,957,868)
NET ASSETS
Beginning of Year............................. 5,394,188 6,632,914 6,304,406 7,249,717 16,456,560 19,414,428
----------- ----------- ----------- ----------- ----------- -----------
End of Year................................... $ 5,968,318 $ 5,394,188 $ 6,423,859 $ 6,304,406 $17,191,082 $16,456,560
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................. 51,928 59,520 54,991 66,017 111,222 88,155
Shares Issued in Lieu of Cash
Distributions............................... 4,954 3,693 16,347 14,324 16,392 14,033
Shares Redeemed............................... (52,162) (75,814) (88,031) (52,180) (112,571) (128,806)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and Redeemed.............. 4,720 (12,601) (16,693) 28,161 15,043 (26,618)
=========== =========== =========== =========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
110
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING
MARKETS
TARGETED
EMERGING MARKETS CORE EQUITY VALUE
PORTFOLIO PORTFOLIO
--------------------------- ----------
PERIOD
NOV 14,
2018(A) TO
YEAR ENDED YEAR ENDED OCT 31,
OCT 31, 2019 OCT 31, 2018 2019
------------ ------------ ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 723,412 $ 640,665 $ 2,379
Net Realized Gain (Loss) on:
Investment Securities Sold/*,**/.......................................... (319,383) 31,925 1,412
Affiliated Investment Companies Shares Sold............................... (3) (73) --
Futures................................................................... 14,341 23,201 35
Foreign Currency Transactions............................................. (779) (8,571) (33)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ 2,502,146 (4,701,470) (221)
Affiliated Investment Companies Shares.................................... 58 (27) --
Futures................................................................... 13,038 (14,163) --
Translation of Foreign Currency-Denominated Amounts....................... 433 (112) 1
----------- ----------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 2,933,263 (4,028,625) 3,573
----------- ----------- --------
Distributions:
Institutional Class Shares................................................ (730,829) (593,704) (64)
----------- ----------- --------
Total Distributions.................................................... (730,829) (593,704) (64)
----------- ----------- --------
Capital Share Transactions (1):
Shares Issued................................................................. 6,077,361 7,226,472 128,579
Shares Issued in Lieu of Cash Distributions................................... 690,137 559,808 64
Shares Redeemed............................................................... (5,720,081) (4,876,914) (17,792)
----------- ----------- --------
Net Increase (Decrease) from Capital Share Transactions................ 1,047,417 2,909,366 110,851
----------- ----------- --------
Total Increase (Decrease) in Net Assets................................ 3,249,851 (1,712,963) 114,360
NET ASSETS
Beginning of Year............................................................. 25,372,759 27,085,722 --
----------- ----------- --------
End of Year................................................................... $28,622,610 $25,372,759 $114,360
=========== =========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................. 303,000 325,137 12,691
Shares Issued in Lieu of Cash Distributions................................... 34,717 26,402 6
Shares Redeemed............................................................... (286,918) (222,685) (1,729)
----------- ----------- --------
Net Increase (Decrease) from Shares Issued and Redeemed................ 50,799 128,854 10,968
=========== =========== ========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
111
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
LARGE CAP INTERNATIONAL PORTFOLIO
----------------------------------------------------------------- ------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015 OCT 31, 2019
------------ ------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year........... $ 21.29 $ 23.52 $ 19.52 $ 20.36 $ 21.59 $ 12.65
---------- ---------- ---------- ---------- ---------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.70 0.66 0.58 0.57 0.58 0.41
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 1.47 (2.25) 4.00 (0.86) (1.24) 0.53
---------- ---------- ---------- ---------- ---------- -----------
Total from Investment Operations...... 2.17 (1.59) 4.58 (0.29) (0.66) 0.94
---------- ---------- ---------- ---------- ---------- -----------
Less Distributions:
-------------------
Net Investment Income..................... (0.68) (0.64) (0.58) (0.55) (0.57) (0.40)
---------- ---------- ---------- ---------- ---------- -----------
Total Distributions................... (0.68) (0.64) (0.58) (0.55) (0.57) (0.40)
---------- ---------- ---------- ---------- ---------- -----------
Net Asset Value, End of Year................. $ 22.78 $ 21.29 $ 23.52 $ 19.52 $ 20.36 $ 13.19
========== ========== ========== ========== ========== ===========
Total Return................................. 10.38% (6.97%) 23.79% (1.30%) (3.10%) 7.67%
---------- ---------- ---------- ---------- ---------- -----------
Net Assets, End of Year (thousands).......... $5,356,475 $4,587,406 $4,723,090 $3,527,775 $3,150,334 $30,559,427
Ratio of Expenses to Average Net Assets...... 0.23% 0.23% 0.25% 0.28% 0.29% 0.29%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))............................... 0.24% 0.23% 0.25% 0.28% 0.29% 0.31%
Ratio of Net Investment Income to Average
Net Assets................................. 3.22% 2.78% 2.72% 2.95% 2.71% 3.21%
Portfolio Turnover Rate...................... 7% 8% 10% 10% 10% 6%
---------- ---------- ---------- ---------- ---------- -----------
INTERNATIONAL CORE EQUITY PORTFOLIO
----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year........... $ 14.23 $ 11.58 $ 11.69 $ 12.15
----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.38 0.34 0.32 0.32
Net Gains (Losses) on Securities
(Realized and Unrealized)............... (1.60) 2.63 (0.15) (0.45)
----------- ----------- ----------- -----------
Total from Investment Operations...... (1.22) 2.97 0.17 (0.13)
----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income..................... (0.36) (0.32) (0.28) (0.33)
----------- ----------- ----------- -----------
Total Distributions................... (0.36) (0.32) (0.28) (0.33)
----------- ----------- ----------- -----------
Net Asset Value, End of Year................. $ 12.65 $ 14.23 $ 11.58 $ 11.69
=========== =========== =========== ===========
Total Return................................. (8.79%) 26.02% 1.62% (1.10%)
----------- ----------- ----------- -----------
Net Assets, End of Year (thousands).......... $27,174,589 $25,443,968 $16,983,011 $14,420,568
Ratio of Expenses to Average Net Assets...... 0.30% 0.30% 0.38% 0.38%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly))............................... 0.30% 0.32% 0.38% 0.38%
Ratio of Net Investment Income to Average
Net Assets................................. 2.67% 2.62% 2.83% 2.63%
Portfolio Turnover Rate...................... 4% 6% 2% 4%
----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL SMALL COMPANY PORTFOLIO INTERNATIONAL SMALL COMPANY PORTFOLIO
--------------------------- ---------------------------------------------------------------
PERIOD
YEAR YEAR JAN 18, YEAR YEAR YEAR YEAR YEAR
ENDED ENDED 2017(A) TO ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2019 2018 2017 2016 2015
------- ------- ---------- ----------- ----------- ----------- ----------- ----------
Net Asset Value, Beginning
of Period.................. $ 10.73 $ 11.53 $ 10.00 $ 18.46 $ 21.52 $ 17.78 $ 17.78 $ 18.24
------- ------- ------- ----------- ----------- ----------- ----------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income
(Loss).................. 0.18 0.19 0.14 0.43 0.46 0.41 0.43 0.41
Net Gains (Losses) on
Securities (Realized
and Unrealized)......... 0.27 (0.75) 1.39 0.58 (2.41) 4.13 0.48 0.12
------- ------- ------- ----------- ----------- ----------- ----------- ----------
Total from
Investment
Operations.......... 0.45 (0.56) 1.53 1.01 (1.95) 4.54 0.91 0.53
------- ------- ------- ----------- ----------- ----------- ----------- ----------
Less Distributions:
-------------------
Net Investment
Income.................. (0.11) (0.17) -- (0.44) (0.44) (0.34) (0.51) (0.42)
Net Realized Gains........ -- (0.07) -- (0.82) (0.67) (0.46) (0.40) (0.57)
------- ------- ------- ----------- ----------- ----------- ----------- ----------
Total
Distributions....... (0.11) (0.24) -- (1.26) (1.11) (0.80) (0.91) (0.99)
------- ------- ------- ----------- ----------- ----------- ----------- ----------
Net Asset Value, End of
Period..................... $ 11.07 $ 10.73 $ 11.53 $ 18.21 $ 18.46 $ 21.52 $ 17.78 $ 17.78
======= ======= ======= =========== =========== =========== =========== ==========
Total Return................. 4.29% (5.02%) 15.30%(B) 6.44% (9.54%) 26.54% 5.43% 3.30%
------- ------- ------- ----------- ----------- ----------- ----------- ----------
Net Assets, End of Period
(thousands)................ $41,286 $31,380 $15,021 $12,750,110 $12,656,204 $13,490,290 $10,387,361 $9,323,492
Ratio of Expenses to
Average Net Assets
*(C)....................... 0.49% 0.49% 0.42%(D)(E) 0.54% 0.53% 0.53% 0.53% 0.54%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor)
*(C)....................... 0.93% 0.90% 1.14%(D)(E) 0.54% 0.53% 0.53% 0.53% 0.54%
Ratio of Net Investment
Income to Average Net
Assets..................... 1.69% 1.58% 1.74%(D)(E) 2.44% 2.18% 2.14% 2.47% 2.30%
------- ------- ------- ----------- ----------- ----------- ----------- ----------
* The Ratio of Expenses to
Average Net Assets is
inclusive of acquired fund
fees and expenses
incurred by the Portfolio
indirectly as a result of
Portfolio's investment in
Underlying Funds as
follows:................... 0.27% 0.26% 0.27% 0.12% 0.12% 0.12% 0.13% 0.12%
------- ------- ------- ----------- ----------- ----------- ----------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
JAPANESE SMALL COMPANY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year........... $ 25.70 $ 28.56 $ 23.01 $ 20.46 $ 19.15
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.45 0.43 0.37 0.32 0.25
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.37 (2.59) 5.61 2.51 1.36
-------- -------- -------- -------- --------
Total from Investment Operations...... 0.82 (2.16) 5.98 2.83 1.61
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income..................... (0.28) (0.70) (0.43) (0.28) (0.30)
Net Realized Gains........................ (1.35) -- -- -- --
-------- -------- -------- -------- --------
Total Distributions................... (1.63) (0.70) (0.43) (0.28) (0.30)
-------- -------- -------- -------- --------
Net Asset Value, End of Year................. $ 24.89 $ 25.70 $ 28.56 $ 23.01 $ 20.46
======== ======== ======== ======== ========
Total Return................................. 4.01% (7.82%) 26.56% 14.04% 8.62%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands).......... $640,068 $622,650 $647,978 $509,413 $463,997
Ratio of Expenses to Average Net Assets (C).. 0.55% 0.53% 0.54% 0.54% 0.54%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (C).................. 0.65% 0.63% 0.64% 0.64% 0.57%
Ratio of Net Investment Income to Average
Net Assets................................. 1.91% 1.49% 1.50% 1.57% 1.27%
-------- -------- -------- -------- --------
ASIA PACIFIC SMALL COMPANY PORTFOLIO
-------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year........... $ 20.83 $ 23.71 $ 21.27 $ 19.06 $ 22.88
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.77 0.84 0.74 0.71 0.75
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.19 (2.76) 2.45 2.24 (3.51)
-------- -------- -------- -------- --------
Total from Investment Operations...... 0.96 (1.92) 3.19 2.95 (2.76)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income..................... (0.68) (0.96) (0.75) (0.74) (1.06)
Net Realized Gains........................ -- -- -- -- --
-------- -------- -------- -------- --------
Total Distributions................... (0.68) (0.96) (0.75) (0.74) (1.06)
-------- -------- -------- -------- --------
Net Asset Value, End of Year................. $ 21.11 $ 20.83 $ 23.71 $ 21.27 $ 19.06
======== ======== ======== ======== ========
Total Return................................. 4.81% (8.51%) 15.70% 16.18% (12.19%)
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands).......... $340,649 $346,335 $332,153 $251,575 $200,270
Ratio of Expenses to Average Net Assets (C).. 0.57% 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) (C).................. 0.67% 0.64% 0.64% 0.64% 0.57%
Ratio of Net Investment Income to Average
Net Assets................................. 3.65% 3.57% 3.41% 3.57% 3.67%
-------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
UNITED KINGDOM SMALL COMPANY PORTFOLIO CONTINENTAL SMALL COMPANY PORTFOLIO
--------------------------------------------- -------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2019 2018 2017 2016 2015
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Net Asset Value,
Beginning of
Year..................... $ 26.95 $ 32.67 $ 27.21 $ 35.50 $ 35.92 $ 24.37 $ 28.24 $ 21.48 $ 20.74 $ 19.34
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Income from
Investment
Operations (A)
--------------
Net Investment
Income
(Loss)................ 0.76 0.85 0.87 1.18 1.06 0.55 0.61 0.45 0.43 0.43
Net Gains
(Losses) on
Securities
(Realized and
Unrealized)........... 1.68 (3.65) 6.67 (6.55) 1.95 1.23 (3.68) 6.73 0.72 1.38
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Total from
Investment
Operations........ 2.44 (2.80) 7.54 (5.37) 3.01 1.78 (3.07) 7.18 1.15 1.81
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment
Income................ (0.47) (0.79) (0.93) (1.29) (1.05) (0.51) (0.59) (0.42) (0.41) (0.41)
Net Realized
Gains................. (1.07) (2.13) (1.15) (1.63) (2.38) (0.80) (0.21) -- -- --
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Total
Distributions..... (1.54) (2.92) (2.08) (2.92) (3.43) (1.31) (0.80) (0.42) (0.41) (0.41)
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Net Asset Value, End
of Year.................. $ 27.85 $ 26.95 $ 32.67 $ 27.21 $ 35.50 $ 24.84 $ 24.37 $ 28.24 $ 21.48 $ 20.74
======= ======= ======= ======= ======= ======== ======== ======== ======== ========
Total Return............... 10.14% (9.34%) 29.28% (16.20%) 9.43% 7.94% (11.14%) 33.68% 5.70% 9.37%
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
Net Assets, End of
Year
(thousands).............. $26,540 $36,351 $45,177 $32,323 $35,637 $657,105 $645,651 $592,347 $292,117 $278,024
Ratio of Expenses to
Average Net Assets
(C)...................... 0.59% 0.58% 0.59% 0.59% 0.58% 0.56% 0.54% 0.56% 0.54% 0.55%
Ratio of Expenses to
Average Net Assets
(Excluding Fees
(Waived),
(Expenses
Reimbursed), and/
or Previously
Waived Fees
Recovered by
Advisor) (C)............. 0.82% 0.68% 0.71% 0.71% 0.62% 0.66% 0.64% 0.66% 0.64% 0.58%
Ratio of Net
Investment Income
to Average Net
Assets................... 2.92% 2.75% 2.93% 3.87% 2.99% 2.30% 2.16% 1.78% 2.08% 2.09%
------- ------- ------- ------- ------- -------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year............. $ 4.85 $ 5.07 $ 5.23 $ 5.27 $ 5.63
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................ 0.20 0.22 0.21 0.20 0.19
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... 0.83 (0.22) 0.04 (0.15) (0.22)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........ 1.03 -- 0.25 0.05 (0.03)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income....................... (0.27) (0.22) (0.41) (0.09) (0.33)
Net Realized Gains.......................... -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions..................... (0.27) (0.22) (0.41) (0.09) (0.33)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................... $ 5.61 $ 4.85 $ 5.07 $ 5.23 $ 5.27
========== ========== ========== ========== ==========
Total Return................................... 22.54% (0.24%) 5.46% 1.05% (0.37%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............ $6,297,963 $5,442,507 $5,497,753 $4,181,623 $3,540,092
Ratio of Expenses to Average Net Assets *...... 0.27% 0.28% 0.28% 0.28% 0.32%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid
Indirectly)) *............................... 0.28% 0.28% 0.28% 0.28% 0.32%
Ratio of Net Investment Income to Average Net
Assets....................................... 4.01% 4.27% 4.19% 3.71% 3.64%
Portfolio Turnover Rate........................ 8% 5% 1% 1% 2%
---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average Net Assets
is inclusive of acquired fund fees and
expenses incurred by the Portfolio
indirectly as a result of Portfolio's
investment in Underlying Funds as follows:... N/A N/A N/A N/A N/A
---------- ---------- ---------- ---------- ----------
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year............. $ 10.71 $ 10.90 $ 10.84 $ 10.59 $ 10.63
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................ 0.34** 0.48 0.43 0.27 0.44
Net Gains (Losses) on Securities (Realized
and Unrealized)........................... 2.16** (0.26) 0.15 0.23 (0.09)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........ 2.50 0.22 0.58 0.50 0.35
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income....................... (0.50) (0.34) (0.49) (0.25) (0.39)
Net Realized Gains.......................... (--) (0.07) (0.03) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions..................... (0.50) (0.41) (0.52) (0.25) (0.39)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................... $ 12.71 $ 10.71 $ 10.90 $ 10.84 $ 10.59
========== ========== ========== ========== ==========
Total Return................................... 24.55% 1.91% 5.82% 4.87% 3.44%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............ $9,269,011 $7,475,924 $6,753,782 $4,888,955 $4,059,916
Ratio of Expenses to Average Net Assets *...... 0.24%(C) 0.24%(C) 0.24%(C) 0.24%(C) 0.27%(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)) *............................... 0.35%(C) 0.35%(C) 0.37%(C) 0.38%(C) 0.45%(C)
Ratio of Net Investment Income to Average Net
Assets....................................... 2.95%** 4.42% 4.03% 2.45% 4.16%
Portfolio Turnover Rate........................ 0% 3% 2% 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:... 0.13% 0.13% 0.15% 0.16% 0.22%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year................. $ 19.24 $ 23.51 $ 19.31 $ 19.44 $ 19.55
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................... 0.45 0.47 0.39 0.44 0.38
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (0.01) (3.44) 4.72 0.29 0.22
----------- ----------- ----------- ----------- -----------
Total from Investment Operations............ 0.44 (2.97) 5.11 0.73 0.60
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income........................... (0.48) (0.56) (0.29) (0.58) (0.37)
Net Realized Gains.............................. (0.62) (0.74) (0.62) (0.28) (0.34)
----------- ----------- ----------- ----------- -----------
Total Distributions......................... (1.10) (1.30) (0.91) (0.86) (0.71)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year....................... $ 18.58 $ 19.24 $ 23.51 $ 19.31 $ 19.44
=========== =========== =========== =========== ===========
Total Return....................................... 2.94% (13.37%) 27.49% 4.09% 3.31%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)................ $13,428,084 $13,787,695 $16,162,471 $13,009,729 $12,577,575
Ratio of Expenses to Average Net Assets............ 0.68% 0.68% 0.68% 0.68% 0.69%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
(Fees Paid Indirectly)).......................... 0.69% 0.68% 0.68% 0.68% 0.69%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.48% 2.10% 1.85% 2.38% 1.94%
Portfolio Turnover Rate............................ 18% 23% 21% 19% 18%
----------- ----------- ----------- ----------- -----------
INTERNATIONAL VECTOR EQUITY PORTFOLIO
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year................. $ 11.74 $ 13.33 $ 10.78 $ 10.76 $ 11.26
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................... 0.33 0.32 0.28 0.28 0.28
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.24 (1.56) 2.57 0.05 (0.41)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............ 0.57 (1.24) 2.85 0.33 (0.13)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income........................... (0.34) (0.30) (0.28) (0.27) (0.27)
Net Realized Gains.............................. (0.35) (0.05) (0.02) (0.04) (0.10)
---------- ---------- ---------- ---------- ----------
Total Distributions......................... (0.69) (0.35) (0.30) (0.31) (0.37)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year....................... $ 11.62 $ 11.74 $ 13.33 $ 10.78 $ 10.76
========== ========== ========== ========== ==========
Total Return....................................... 5.49% (9.52%) 26.83% 3.21% (1.14%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)................ $2,578,134 $2,441,217 $2,529,852 $1,856,474 $1,594,914
Ratio of Expenses to Average Net Assets............ 0.50% 0.48% 0.49% 0.49% 0.50%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or
Previously Waived Fees Recovered by Advisor and
(Fees Paid Indirectly)).......................... 0.50% 0.48% 0.49% 0.49% 0.50%
Ratio of Net Investment Income to Average Net
Assets........................................... 2.94% 2.40% 2.36% 2.73% 2.50%
Portfolio Turnover Rate............................ 17% 12% 5% 4% 8%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
117
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL HIGH RELATIVE
PROFITABILITY PORTFOLIO WORLD EX U.S. VALUE PORTFOLIO
----------------------------- ----------------------------------------------------
PERIOD
YEAR YEAR MAY 16, YEAR YEAR YEAR YEAR YEAR
ENDED ENDED 2017(A) TO ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2019 2018 2017 2016 2015
-------- -------- ---------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of
Period.......................... $ 9.71 $ 10.68 $ 10.00 $ 11.16 $ 12.71 $ 10.31 $ 10.28 $ 11.43
-------- -------- ------- -------- -------- -------- -------- --------
Income from Investment
Operations (A)
----------------------
Net Investment Income
(Loss)....................... 0.27 0.26 0.08 0.35 0.34 0.31 0.31 0.30
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 1.00 (1.01) 0.66 0.04 (1.48) 2.33 0.03 (1.18)
-------- -------- ------- -------- -------- -------- -------- --------
Total from Investment
Operations............... 1.27 (0.75) 0.74 0.39 (1.14) 2.64 0.34 (0.88)
-------- -------- ------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......... (0.24) (0.22) (0.06) (0.35) (0.41) (0.24) (0.31) (0.27)
Net Realized Gains............. -- -- (0.23) -- -- -- -- --
-------- -------- ------- -------- -------- -------- -------- --------
Total Distributions........ (0.24) (0.22) (0.06) (0.58) (0.41) (0.24) (0.31) (0.27)
-------- -------- ------- -------- -------- -------- -------- --------
Net Asset Value, End of Period.... $ 10.74 $ 9.71 $ 10.68 $ 10.97 $ 11.16 $ 12.71 $ 10.31 $ 10.28
======== ======== ======= ======== ======== ======== ======== ========
Total Return...................... 13.19% (7.20%) 7.38%(B) 3.75% (9.22%) 25.97% 3.54% (7.77%)
-------- -------- ------- -------- -------- -------- -------- --------
Net Assets, End of Period
(thousands)..................... $658,448 $266,868 $67,793 $302,369 $240,668 $246,551 $188,154 $155,301
Ratio of Expenses to Average
Net Assets *.................... 0.33% 0.35% 0.31%(D)(E) 0.54%(C) 0.52% 0.52% 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)) *....... 0.34% 0.35% 0.65%(D)(E) 0.76%(C) 0.74% 0.75% 0.76% 0.75%
Ratio of Net Investment
Income to Average Net Assets.... 2.69% 2.41% 1.76%(D)(E) 3.25% 2.72% 2.69% 3.20% 2.69%
Portfolio Turnover Rate........... 9% 9% 2%(B) N/A N/A N/A N/A N/A
-------- -------- ------- -------- -------- -------- -------- --------
* The Ratio of Expenses to
Average Net Assets is
inclusive of acquired fund
fees and expenses incurred
by the Portfolio indirectly
as a result of Portfolio's
investment in Underlying
Funds as follows:............... N/A N/A N/A 0.24% 0.24% 0.25% 0.26% 0.25%
-------- -------- ------- -------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
118
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX U.S. TARGETED VALUE PORTFOLIO
------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period........................... $ 12.52 $ 15.06 $ 12.04 $ 11.44 $ 12.08
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................................ 0.32 0.31 0.28 0.25 0.23
Net Gains (Losses) on Securities (Realized and Unrealized).. 0.26 (2.29) 3.01 0.55 (0.58)
-------- -------- -------- -------- --------
Total from Investment Operations........................ 0.58 (1.98) 3.29 0.80 (0.35)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income....................................... (0.29) (0.30) (0.27) (0.20) (0.26)
Net Realized Gains.......................................... (0.36) (0.26) -- -- (0.03)
-------- -------- -------- -------- --------
Total Distributions..................................... (0.65) (0.56) (0.27) (0.20) (0.29)
-------- -------- -------- -------- --------
Net Asset Value, End of Period................................. $ 12.45 $ 12.52 $ 15.06 $ 12.04 $ 11.44
======== ======== ======== ======== ========
Total Return................................................... 4.99% (13.56%) 27.61% 7.18% (2.88%)
-------- -------- -------- -------- --------
Net Assets, End of Period (thousands).......................... $533,046 $460,155 $466,504 $281,212 $227,731
Ratio of Expenses to Average Net Assets *...................... 0.68% 0.66% 0.67% 0.76% 0.65%(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)) *...... 0.69% 0.66% 0.67% 0.77% 1.06%(C)
Ratio of Net Investment Income to Average Net Assets........... 2.58% 2.08% 2.04% 2.18% 1.95%
Portfolio Turnover Rate........................................ 27% 24% 17% 28% 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 0.45%
-------- -------- -------- -------- --------
WORLD EX U.S. CORE EQUITY PORTFOLIO
-----------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period........................... $ 10.65 $ 12.15 $ 9.93 $ 9.83 $ 10.49
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................................ 0.33 0.31 0.27 0.26 0.26
Net Gains (Losses) on Securities (Realized and Unrealized).. 0.56 (1.52) 2.21 0.08 (0.72)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................ 0.89 (1.21) 2.48 0.34 (0.46)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income....................................... (0.32) (0.29) (0.26) (0.24) (0.20)
Net Realized Gains.......................................... (0.05) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions..................................... (0.37) (0.29) (0.26) (0.24) (0.20)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period................................. $ 11.17 $ 10.65 $ 12.15 $ 9.93 $ 9.83
========== ========== ========== ========== ==========
Total Return................................................... 8.64% (10.22%) 25.33% 3.58% (4.50%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands).......................... $3,719,313 $3,129,791 $2,805,367 $1,656,445 $1,170,828
Ratio of Expenses to Average Net Assets *...................... 0.37% 0.39% 0.40% 0.47% 0.47%(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)) *...... 0.38% 0.37% 0.40% 0.47% 0.52%(C)
Ratio of Net Investment Income to Average Net Assets........... 3.02% 2.56% 2.48% 2.67% 2.54%
Portfolio Turnover Rate........................................ 8% 4% 4% 1% 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 0.03%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
119
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD CORE EQUITY PORTFOLIO
------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year................ $ 15.40 $ 16.06 $ 13.14 $ 12.94 $ 13.33
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.35 0.31 0.29 0.27 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.13 (0.64) 2.98 0.20 (0.35)
-------- -------- -------- -------- --------
Total from Investment Operations........... 1.48 (0.33) 3.27 0.47 (0.09)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.35) (0.30) (0.30) (0.26) (0.26)
Net Realized Gains............................. (0.11) (0.03) (0.05) (0.01) (0.04)
-------- -------- -------- -------- --------
Total Distributions........................ (0.46) (0.33) (0.35) (0.27) (0.30)
-------- -------- -------- -------- --------
Net Asset Value, End of Year...................... $ 16.42 $ 15.40 $ 16.06 $ 13.14 $ 12.94
======== ======== ======== ======== ========
Total Return...................................... 9.94% (2.16%) 25.14% 3.73% (0.61%)
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)............... $879,553 $741,512 $546,891 $370,229 $202,655
Ratio of Expenses to Average Net Assets *(C)...... 0.33% 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) *(C)...................... 0.60% 0.59% 0.60% 0.64% 0.65%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.23% 1.89% 1.95% 2.14% 1.95%
-------- -------- -------- -------- --------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a
result of Portfolio's investment in Underlying
Funds as follows:............................... 0.27% 0.27% 0.28% 0.31% 0.32%
-------- -------- -------- -------- --------
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO
------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year................ $ 15.71 $ 16.52 $ 13.67 $ 13.50 $ 14.20
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.35 0.31 0.29 0.26 0.27
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.12 (0.66) 2.98 0.30 (0.34)
-------- -------- -------- -------- --------
Total from Investment Operations........... 1.47 (0.35) 3.27 0.56 (0.07)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.44) (0.27) (0.30) (0.35) (0.42)
Net Realized Gains............................. (0.20) (0.19) (0.12) (0.04) (0.21)
-------- -------- -------- -------- --------
Total Distributions........................ (0.64) (0.46) (0.42) (0.39) (0.63)
-------- -------- -------- -------- --------
Net Asset Value, End of Year...................... $ 16.54 $ 15.71 $ 16.52 $ 13.67 $ 13.50
======== ======== ======== ======== ========
Total Return...................................... 10.10% (2.28%) 24.54% 4.32% (0.34%)
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)............... $375,832 $403,195 $402,204 $289,904 $245,106
Ratio of Expenses to Average Net Assets *(C)...... 0.37% 0.34% 0.35% 0.35% 0.40%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(C)...................... 0.63% 0.60% 0.62% 0.64% 0.66%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.25% 1.87% 1.90% 2.03% 1.93%
-------- -------- -------- -------- --------
* 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:............................... 0.30% 0.29% 0.29% 0.32% 0.33%
-------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
120
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year................ $ 25.46 $ 29.55 $ 24.12 $ 22.17 $ 26.64
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.73 0.61 0.49 0.45 0.49
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 2.05 (4.14) 5.43 1.95 (4.54)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 2.78 (3.53) 5.92 2.40 (4.05)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.68) (0.56) (0.49) (0.45) (0.42)
Net Realized Gains............................. -- -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.68) (0.56) (0.49) (0.45) (0.42)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...................... $ 27.56 $ 25.46 $ 29.55 $ 24.12 $ 22.17
========== ========== ========== ========== ==========
Total Return...................................... 11.06% (12.14%) 24.83% 11.01% (15.24%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $5,968,318 $5,394,188 $6,632,914 $4,915,400 $4,321,530
Ratio of Expenses to Average Net Assets (C)....... 0.48% 0.47% 0.50% 0.56% 0.57%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (C)....................... 0.58% 0.57% 0.60% 0.66% 0.60%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.70% 2.08% 1.88% 2.04% 1.97%
---------- ---------- ---------- ---------- ----------
EMERGING MARKETS SMALL CAP PORTFOLIO
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Net Asset Value, Beginning of Year................ $ 18.72 $ 23.49 $ 20.39 $ 18.51 $ 21.42
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................... 0.48 0.53 0.49 0.45 0.43
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.87 (4.22) 3.58 2.04 (2.53)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 2.35 (3.69) 4.07 2.49 (2.10)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.46) (0.53) (0.51) (0.47) (0.41)
Net Realized Gains............................. (0.54) (0.55) (0.46) (0.14) (0.40)
---------- ---------- ---------- ---------- ----------
Total Distributions........................ (1.00) (1.08) (0.97) (0.61) (0.81)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...................... $ 20.07 $ 18.72 $ 23.49 $ 20.39 $ 18.51
========== ========== ========== ========== ==========
Total Return...................................... 12.96% (16.45%) 21.00% 13.96% (9.88%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $6,423,859 $6,304,406 $7,249,717 $5,459,509 $4,845,174
Ratio of Expenses to Average Net Assets (C)....... 0.72% 0.70% 0.73% 0.72% 0.73%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (C)....................... 0.92% 0.90% 0.93% 0.92% 0.78%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.44% 2.31% 2.32% 2.43% 2.16%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
121
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE
PORTFOLIO-CLASS R2 SHARES
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.......................................... $ 26.64 $ 30.13 $ 24.71 $ 22.18 $ 27.79
------- ------- ------- ------- -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)............................................. 0.63 0.63 0.31 0.46 0.49
Net Gains (Losses) on Securities (Realized and Unrealized)............... 0.56 (3.48) 5.60 2.75 (5.61)
------- ------- ------- ------- -------
Total from Investment Operations..................................... 1.19 (2.85) 5.91 3.21 (5.12)
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.................................................... (0.67) (0.64) (0.49) (0.68) (0.49)
------- ------- ------- ------- -------
Total Distributions.................................................. (0.67) (0.64) (0.49) (0.68) (0.49)
------- ------- ------- ------- -------
Net Asset Value, End of Year................................................ $ 27.16 $ 26.64 $ 30.13 $ 24.71 $ 22.18
======= ======= ======= ======= =======
Total Return................................................................ 4.57% (9.66%) 24.11% 14.98% (18.49%)
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)......................................... $29,146 $25,150 $31,198 $97,923 $74,076
Ratio of Expenses to Average Net Assets (C)................................. 0.81% 0.80% 0.81% 0.81% 0.81%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees Recovered by Advisor and (Fees
Paid Indirectly)(C)....................................................... 0.91% 0.90% 0.91% 0.91% 0.84%
Ratio of Net Investment Income to Average Net Assets........................ 2.29% 2.07% 1.19% 2.08% 1.93%
------- ------- ------- ------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
122
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year...................... $ 26.81 $ 30.32 $ 24.84 $ 22.22 $ 27.81
----------- ----------- ----------- ----------- -----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)......................... 0.70 0.73 0.61 0.51 0.54
Net Gains (Losses) on Securities (Realized and
Unrealized)........................................ 0.57 (3.53) 5.40 2.77 (5.60)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations................. 1.27 (2.80) 6.01 3.28 (5.06)
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income................................ (0.74) (0.71) (0.53) (0.66) (0.53)
----------- ----------- ----------- ----------- -----------
Total Distributions.............................. (0.74) (0.71) (0.53) (0.66) (0.53)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year............................ $ 27.34 $ 26.81 $ 30.32 $ 24.84 $ 22.22
=========== =========== =========== =========== ===========
Total Return............................................ 4.83% (9.45%) 24.41% 15.23% (18.27%)
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)..................... $17,161,936 $16,431,410 $19,383,230 $16,304,321 $14,834,888
Ratio of Expenses to Average Net Assets (C)............. 0.56% 0.54% 0.57% 0.56% 0.56%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor and (Fees Paid
Indirectly)) (C)...................................... 0.66% 0.64% 0.67% 0.66% 0.59%
Ratio of Net Investment Income to Average Net Assets.... 2.54% 2.37% 2.23% 2.31% 2.12%
----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
123
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING
MARKETS
TARGETED
VALUE
EMERGING MARKETS CORE EQUITY PORTFOLIO PORTFOLIO
---------------------------------------------------------------- ----------
PERIOD
YEAR YEAR YEAR YEAR YEAR NOV 14,
ENDED ENDED ENDED ENDED ENDED 2018(A) TO
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015 2019
----------- ----------- ----------- ----------- ----------- ----------
Net Asset Value, Beginning of Year.......... $ 18.95 $ 22.38 $ 18.40 $ 16.81 $ 20.08 $ 10.00
----------- ----------- ----------- ----------- ----------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............. 0.53 0.50 0.42 0.37 0.39 0.24
Net Gains (Losses) on Securities
(Realized and Unrealized).............. 1.64 (3.47) 3.95 1.59 (3.29) 0.20
----------- ----------- ----------- ----------- ----------- --------
Total from Investment Operations..... 2.17 (2.97) 4.37 1.96 (2.90) 0.44
----------- ----------- ----------- ----------- ----------- --------
Less Distributions:
-------------------
Net Investment Income.................... (0.53) (0.46) (0.39) (0.37) (0.37) (0.01)
----------- ----------- ----------- ----------- ----------- --------
Total Distributions.................. (0.53) (0.46) (0.39) (0.37) (0.37) (0.01)
----------- ----------- ----------- ----------- ----------- --------
Net Asset Value, End of Year................ $ 20.59 $ 18.95 $ 22.38 $ 18.40 $ 16.81 $ 10.43
=========== =========== =========== =========== =========== ========
Total Return................................ 11.61% (13.48%) 24.02% 11.87% (14.49%) 4.38%(B)
----------- ----------- ----------- ----------- ----------- --------
Net Assets, End of Year (thousands)......... $28,622,610 $25,372,759 $27,085,722 $18,712,966 $14,856,878 $114,360
Ratio of Expenses to Average Net Assets..... 0.52% 0.52% 0.55% 0.61% 0.62% 0.85%(D)(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))......................... 0.53% 0.52% 0.56% 0.61% 0.62% 0.95%(D)(E)
Ratio of Net Investment Income to
Average Net Assets........................ 2.62% 2.25% 2.08% 2.20% 2.06% 2.30%(D)(E)
Portfolio Turnover Rate..................... 4% 4% 4% 3% 5% 12%(B)
----------- ----------- ----------- ----------- ----------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
124
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of one hundred and
three operational portfolios, of which twenty-three (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, seven invest all of their assets in a corresponding
series or fund (each such Portfolio, a "Feeder Fund"). Of the Feeder Funds, six
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 October 31, 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 10/31/19
------------ ----------------------- -----------
Japanese Small Company Portfolio The Japanese Small Company Series 17%
Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 21%
United Kingdom Small Company Portfolio The United Kingdom Small Company Series 1%
Continental Small Company Portfolio The Continental Small Company Series 12%
Emerging Markets Portfolio The Emerging Markets Series 99%
Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99%
Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 98%
PERCENTAGE
OWNERSHIP
FUNDS OF FUNDS UNDERLYING FUNDS AT 10/31/19
-------------- ---------------- -----------
International Small Company Portfolio The Continental Small Company Series 87%
The Japanese Small Company Series 83%
The United Kingdom Small Company Series 97%
The Asia Pacific Small Company Series 79%
The Canadian Small Company Series 97%
Global Small Company Portfolio U.S. Small Cap Portfolio --
The Continental Small Company Series --
The Japanese Small Company Series --
The Asia Pacific Small Company Series --
The Canadian Small Company Series --
125
PERCENTAGE
OWNERSHIP
FUNDS OF FUNDS UNDERLYING FUNDS AT 10/31/19
-------------- ---------------- -----------
The Emerging Markets Small Cap Series --
The United Kingdom Small Company Series --
DFA Global Real Estate Securities Portfolio* DFA Real Estate Securities Portfolio 12%
DFA International Real Estate Securities Portfolio 52%
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 Equity Portfolio U.S. Core Equity 2 Portfolio 1%
International Core Equity Portfolio --
Emerging Markets Core Equity Portfolio --
* DFA Global Real Estate Securities Portfolio invests in two Underlying Funds
as indicated and securities listed on its Summary Schedule of Investments.
To achieve its investment objective, each Feeder Fund and Fund of Funds
invests 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 Fund of Funds may
engage in forward currency contracts.
The financial statements of the Feeder Funds' Master Funds are included
elsewhere in this report and should be read in conjunction with the financial
statements of the Feeder Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolios use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
126
Securities held by 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 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 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 International Equity Portfolios may
differ from the quoted or published prices for the same securities on their
primary markets or exchanges. These securities are generally categorized as
Level 2 in the hierarchy.
The International Equity Portfolios will also apply a fair value price in
the circumstances described below. Generally, trading in foreign securities
markets is completed each day at various times prior to the close of the NYSE.
For example, trading in the Japanese securities markets is completed each day
at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is
fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the
time at which the net asset values of the International Equity Portfolios are
computed. Due to the time differences between the closings of the relevant
foreign securities exchanges and the pricing of the International Equity
Portfolios' shares (at the close of the NYSE), the International Equity
Portfolios will fair-value their foreign investments when it is determined that
the market quotations for the foreign investments are either unreliable or not
readily available. The fair value prices will attempt to reflect the impact of
the U.S. financial markets' perceptions and trading activities on the
International Equity Portfolios' foreign investments since the last calculated
closing prices of the foreign investments on their primary foreign securities
markets or exchanges. For these purposes, the Board of Directors of the Fund
has determined that movements in relevant indices or other appropriate market
indicators, after the close of the Tokyo Stock Exchange or the London Stock
Exchange, demonstrate that market quotations may be unreliable. Fair valuation
of portfolio securities may occur on a daily basis. The fair value pricing by
the International Equity Portfolios uses data furnished by an independent
pricing service (and that data draws upon, among other information, the market
values of foreign investments). When an International Equity Portfolio uses
fair value pricing, the values assigned to the International Equity Portfolio's
foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These valuations are generally categorized as Level 2 in the
hierarchy.
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.
127
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 Selectively Hedged
Global Equity Portfolio does 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 and Selectively Hedged Global Equity Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director 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
128
following the year in which the Director ceases to be a member of the Board
(unless the Director files an amended Notice selecting a different distribution
date). As of October 31, 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 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 year ended October 31, 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:
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%
129
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%
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 year ended
October 31, 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 year ended October 31, 2019, and the
previously waived fees/expenses assumed subject to future recovery by the
Advisor as of October 31, 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 fees
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 fees were waived and/or expenses 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 PREVIOUSLY
ASSUMED WAIVED
RECOVERY OF (RECOVERED FEES/EXPENSES
PREVIOUSLY PREVIOUSLY ASSUMED
EXPENSE TOTAL WAIVED WAIVED FEES/ SUBJECT TO
LIMITATION MANAGEMENT FEES/EXPENSES EXPENSES FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT FEE LIMIT ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------- ------------- ------------- -------------
Large Cap International Portfolio (1).................. 0.24% -- -- -- --
International Core Equity Portfolio (1)................ 0.30% -- $888 $2,060 $4,102
Global Small Company Portfolio (2)..................... 0.49% -- -- 153 315
International Small Company Portfolio (3).............. 0.45% -- -- -- --
130
NET WAIVED
FEES/EXPENSES PREVIOUSLY
ASSUMED WAIVED
RECOVERY OF (RECOVERED FEES/EXPENSES
PREVIOUSLY PREVIOUSLY ASSUMED
EXPENSE TOTAL WAIVED WAIVED FEES/ SUBJECT TO
LIMITATION MANAGEMENT FEES/EXPENSES EXPENSES FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT FEE LIMIT ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------- ------------- ------------- -------------
Japanese Small Company Portfolio (4)..................... 0.47% 0.50% -- $ 583 --
Asia Pacific Small Company Portfolio (4)................. 0.47% 0.50% -- 346 --
United Kingdom Small Company Portfolio (4)............... 0.47% 0.50% -- 71 $ 55
Continental Small Company Portfolio (4).................. 0.47% 0.50% -- 624 --
DFA International Real Estate Securities Portfolio (5)... 0.29% -- -- -- --
DFA Global Real Estate Securities Portfolio (6).......... 0.24% -- -- 8,900 24,189
International Vector Equity Portfolio (1)................ 0.60% -- -- -- --
International High Relative Profitability Portfolio (2).. 0.35% -- $75 (47) 25
World ex U.S. Value Portfolio (7)........................ 0.60% -- -- 580 --
World ex U.S. Targeted Value Portfolio (8)............... 0.80% -- -- -- --
World ex U.S. Core Equity Portfolio (9).................. 0.39% -- 9 (9) --
World Core Equity Portfolio (10)......................... 0.32% -- 3 2,212 282
Selectively Hedged Global Equity Portfolio (11).......... 0.40% -- -- 1,051 --
Emerging Markets Portfolio (12).......................... 0.49% 0.42% -- 5,789 --
Emerging Markets Small Cap Portfolio (13)................ -- 0.65% -- 13,259 --
Emerging Markets Value Portfolio (13).................... -- 0.50% -- 17,406 --
Emerging Markets Core Equity Portfolio (1)............... 0.54% -- -- -- --
Emerging Markets Targeted Value Portfolio (2)............ 0.85% -- 1 104 104
CLASS R2 SHARES
---------------
Emerging Markets Value Portfolio (14).................... 0.96% 0.50% -- 28 --
(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
131
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 Agreement for the Large Cap
International Portfolio became effective on January 1, 2017. 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)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.
(3)Effective July 21, 2015, the Advisor has contractually agreed to waive all
or a portion of its management fee and to assume the other direct expenses
of a class of the Portfolio (excluding expenses incurred through its
investment in other investment companies) ("Portfolio Expenses") to the
extent necessary to limit the Portfolio Expenses of a class of the Portfolio
to the rate listed above as a percentage of the average net assets of a
class of the Portfolio on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of a class of the
Portfolio are less than Expense Limitation Amount for such class of shares
of the Portfolio, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery is within thirty-six months and will not cause the annualized
Portfolio Expenses for such class of shares of the Portfolio to exceed the
applicable Expense Limitation Amount, as listed above. Prior to July 21,
2015, the Advisor had contractually agreed to waive its administration fee
and to assume Portfolio Expenses to the extent necessary to limit the
Portfolio Expenses of the Portfolio, on an annualized basis, to the Expense
Limitation Amount listed above.
(4)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.
(5)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.
(6)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.
(7)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.
132
(8)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.
(9)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.
(10)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.
(11)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.
(12)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.
(13)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.
(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 0.50% 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
133
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.
EARNED INCOME CREDIT:
Additionally, Portfolios have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2019, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
Large Cap International Portfolio........................... $ 413
International Core Equity Portfolio......................... 2,330
DFA International Real Estate Securities Portfolio.......... 485
DFA International Small Cap Value Portfolio................. 1,566
International Vector Equity Portfolio....................... 110
International High Relative Profitability Portfolio......... 95
World ex U.S. Targeted Value Portfolio...................... 50
World ex U.S. Core Equity Portfolio......................... 214
Emerging Markets Core Equity Portfolio...................... 4,465
Emerging Markets Targeted Value Portfolio................... 5
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2019, the total related amount paid by the Fund
to the CCO was $312 (in thousands). The total related amounts paid by each of
the Portfolios are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 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):
Large Cap International Portfolio........................... $119
International Core Equity Portfolio......................... 455
Global Small Company Portfolio.............................. --
International Small Company Portfolio....................... 348
Japanese Small Company Portfolio............................ 15
Asia Pacific Small Company Portfolio........................ 9
United Kingdom Small Company Portfolio...................... 2
Continental Small Company Portfolio......................... 10
DFA International Real Estate Securities Portfolio.......... 100
DFA Global Real Estate Securities Portfolio................. 104
DFA International Small Cap Value Portfolio................. 474
International Vector Equity Portfolio....................... 43
International High Relative Profitability Portfolio......... 1
World ex U.S. Value Portfolio............................... 4
134
World ex U.S. Targeted Value Portfolio...................... $ 5
World ex U.S. Core Equity Portfolio......................... 28
World Core Equity Portfolio................................. 6
Selectively Hedged Global Equity Portfolio.................. 5
Emerging Markets Portfolio.................................. 160
Emerging Markets Small Cap Portfolio........................ 147
Emerging Markets Value Portfolio............................ 616
Emerging Markets Core Equity Portfolio...................... 470
Emerging Markets Targeted Value Portfolio................... --
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Portfolios transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. government securities (amounts in thousands), were as follows:
PURCHASES SALES
---------- ----------
Large Cap International Portfolio..................... $ 797,677 $ 368,720
International Core Equity Portfolio................... $3,989,625 $1,739,827
DFA International Real Estate Securities Portfolio.... $ 475,844 $ 520,275
DFA Global Real Estate Securities Portfolio........... $ 250,177 $ 14
DFA International Small Cap Value Portfolio........... $2,291,033 $2,475,792
International Vector Equity Portfolio................. $ 505,198 $ 422,659
International High Relative Profitability Portfolio... $ 380,726 $ 40,048
World ex U.S. Targeted Value Portfolio................ $ 200,215 $ 136,380
World ex U.S. Core Equity Portfolio................... $ 704,167 $ 274,457
Emerging Markets Core Equity Portfolio................ $2,181,887 $1,190,281
Emerging Markets Targeted Value Portfolio............. $ 123,928 $ 12,346
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
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. The amounts are as follows (amounts in thousands):
NET CHANGE IN
BALANCE AT REALIZED UNREALIZED BALANCE AT SHARES AS OF
OCTOBER 31, PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ---------- ---------- ----------- ------------- ----------- ------------ -------- -------------
LARGE CAP
INTERNATIONAL
PORTFOLIO
The DFA Short Term
Investment Fund $ 206,350 $1,523,812 $1,548,928 $(11) $ 26 $ 181,249 15,664 $ 4,390 --
---------- ---------- ---------- ---- ---- ---------- ------- ------- --
TOTAL $ 206,350 $1,523,812 $1,548,928 $(11) $ 26 $ 181,249 15,664 $ 4,390 --
========== ========== ========== ==== ==== ========== ======= ======= ==
INTERNATIONAL CORE
EQUITY PORTFOLIO
The DFA Short Term
Investment Fund $1,604,446 $6,642,549 $6,893,594 $ (2) $112 $1,353,511 116,974 $36,065 --
---------- ---------- ---------- ---- ---- ---------- ------- ------- --
TOTAL $1,604,446 $6,642,549 $6,893,594 $ (2) $112 $1,353,511 116,974 $36,065 --
========== ========== ========== ==== ==== ========== ======= ======= ==
135
NET CHANGE IN
BALANCE AT REALIZED UNREALIZED BALANCE AT SHARES AS OF
OCTOBER 31, PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ---------- ---------- ----------- ------------- ----------- ------------ -------- -------------
GLOBAL SMALL
COMPANY PORTFOLIO
U.S. Small Cap
Portfolio $ 17,009 $ 7,876 $ 1,973 $ (342) $ (86) $ 22,484 665 $ 202 $587
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 17,009 $ 7,876 $ 1,973 $ (342) $ (86) $ 22,484 665 $ 202 $587
========== ========== ========== ======== ======== ========== ======= ======== ====
DFA INTERNATIONAL
REAL ESTATE
SECURITIES
PORTFOLIO
The DFA Short Term
Investment Fund $ 214,317 $2,014,381 $2,042,317 $ (4) $ 16 $ 186,393 16,109 $ 4,046 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 214,317 $2,014,381 $2,042,317 $ (4) $ 16 $ 186,393 16,109 $ 4,046 --
========== ========== ========== ======== ======== ========== ======= ======== ====
DFA GLOBAL REAL
ESTATE SECURITIES
PORTFOLIO
DFA International
Real Estate
Securities
Portfolio $2,584,363 $ 513,728 $ 233,238 $(26,143) $458,889 $3,297,599 587,807 $148,006 --
DFA Real Estate
Securities
Portfolio 1,355,084 -- 285,830 63,232 182,783 1,315,269 31,391 30,010 --
The DFA Short Term
Investment Fund 89,035 708,223 686,118 7 5 111,152 9,606 2,195 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $4,028,482 $1,221,951 $1,205,186 $ 37,096 $641,677 $4,724,020 628,804 $180,211 --
========== ========== ========== ======== ======== ========== ======= ======== ====
DFA INTERNATIONAL
SMALL CAP VALUE
PORTFOLIO
The DFA Short Term
Investment Fund $ 948,096 $2,078,700 $2,233,507 -- $ 70 $ 793,359 68,564 $ 18,728 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 948,096 $2,078,700 $2,233,507 -- $ 70 $ 793,359 68,564 $ 18,728 --
========== ========== ========== ======== ======== ========== ======= ======== ====
INTERNATIONAL
VECTOR EQUITY
PORTFOLIO
The DFA Short Term
Investment Fund $ 166,426 $ 536,525 $ 570,256 -- $ 12 $ 132,707 11,469 $ 3,437 --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 166,426 $ 536,525 $ 570,256 -- $ 12 $ 132,707 11,469 $ 3,437 --
========== ========== ========== ======== ======== ========== ======= ======== ====
INTERNATIONAL HIGH
RELATIVE
PROFITABILITY
PORTFOLIO
The DFA Short Term
Investment Fund $ 12,685 $ 176,798 $ 163,515 -- $ 2 $ 25,970 2,244 -- --
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 12,685 $ 176,798 $ 163,515 -- $ 2 $ 25,970 2,244 -- --
========== ========== ========== ======== ======== ========== ======= ======== ====
WORLD EX U.S. VALUE
PORTFOLIO
DFA International
Small Cap Value
Portfolio $ 23,071 $ 10,634 $ 4,296 $ (802) $ 479 $ 29,086 1,565 $ 651 $766
---------- ---------- ---------- -------- -------- ---------- ------- -------- ----
TOTAL $ 23,071 $ 10,634 $ 4,296 $ (802) $ 479 $ 29,086 1,565 $ 651 $766
========== ========== ========== ======== ======== ========== ======= ======== ====
136
NET CHANGE IN
BALANCE AT REALIZED UNREALIZED BALANCE AT SHARES AS OF
OCTOBER 31, PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ---------- ---------- ----------- ------------- ----------- ------------ -------- -------------
WORLD EX U.S.
TARGETED VALUE
PORTFOLIO
The DFA Short Term
Investment Fund $ 4,659 $ 12,483 $ 14,346 -- $ 1 $ 2,797 242 $ 78 --
-------- ---------- ---------- ------- ------- -------- ------ ------- ------
TOTAL $ 4,659 $ 12,483 $ 14,346 -- $ 1 $ 2,797 242 $ 78 --
======== ========== ========== ======= ======= ======== ====== ======= ======
WORLD EX U.S. CORE
EQUITY PORTFOLIO
The DFA Short Term
Investment Fund $130,312 $ 605,099 $ 626,286 -- $ 10 $109,135 9,432 $ 3,195 --
-------- ---------- ---------- ------- ------- -------- ------ ------- ------
TOTAL $130,312 $ 605,099 $ 626,286 -- $ 10 $109,135 9,432 $ 3,195 --
======== ========== ========== ======= ======= ======== ====== ======= ======
WORLD CORE EQUITY
PORTFOLIO
U.S. Core Equity 1
Portfolio $404,139 $ 73,126 $ 37,289 $(1,592) $42,473 $480,857 19,460 $ 7,462 $2,509
International Core
Equity Portfolio 255,226 52,285 22,374 (2,588) 16,026 298,575 22,636 8,691 --
Emerging Markets
Core Equity
Portfolio 81,772 21,753 10,637 (1,440) 8,633 100,081 4,861 2,485 --
-------- ---------- ---------- ------- ------- -------- ------ ------- ------
TOTAL $741,137 $ 147,164 $ 70,300 $(5,620) $67,132 $879,513 46,957 $18,638 $2,509
======== ========== ========== ======= ======= ======== ====== ======= ======
SELECTIVELY HEDGED
GLOBAL EQUITY
PORTFOLIO
U.S. Core Equity 2
Portfolio $181,750 $ 32,059 $ 39,953 $ (438) $13,250 $186,668 8,238 $ 3,217 $1,971
International Core
Equity Portfolio 130,496 13,168 28,865 (2,676) 7,219 119,342 9,048 4,049 --
Emerging Markets
Core Equity
Portfolio 66,401 6,937 14,522 (1,656) 6,905 64,065 3,111 1,776 --
-------- ---------- ---------- ------- ------- -------- ------ ------- ------
TOTAL $378,647 $ 52,164 $ 83,340 $(4,770) $27,374 $370,075 20,397 $ 9,042 $1,971
======== ========== ========== ======= ======= ======== ====== ======= ======
EMERGING MARKETS
CORE EQUITY
PORTFOLIO
The DFA Short Term
Investment Fund $733,703 $3,342,834 $3,403,116 $ (2) $ 58 $673,477 58,204 $19,222 --
-------- ---------- ---------- ------- ------- -------- ------ ------- ------
TOTAL $733,703 $3,342,834 $3,403,116 $ (2) $ 58 $673,477 58,204 $19,222 --
======== ========== ========== ======= ======= ======== ====== ======= ======
EMERGING MARKETS
TARGETED VALUE
PORTFOLIO
The DFA Short Term
Investment Fund -- $ 11,477 $ 10,818 -- -- $ 659 57 -- --
-------- ---------- ---------- ------- ------- -------- ------ ------- ------
TOTAL -- $ 11,477 $ 10,818 -- -- $ 659 57 -- --
======== ========== ========== ======= ======= ======== ====== ======= ======
137
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, 2019, 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, 2018, and October 31, 2019, were as follows
(amounts in thousands):
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
Large Cap International Portfolio
2018............................................... $132,270 -- -- $132,270
2019............................................... 155,698 -- -- 155,698
International Core Equity Portfolio
2018............................................... 711,406 -- -- 711,406
2019............................................... 907,539 -- -- 907,539
Global Small Company Portfolio
2018............................................... 269 $ 81 -- 350
2019............................................... 308 -- -- 308
International Small Company Portfolio
2018............................................... 335,310 375,728 -- 711,038
2019............................................... 339,853 517,619 -- 857,472
Japanese Small Company Portfolio
2018............................................... 15,937 -- -- 15,937
2019............................................... 6,623 32,764 -- 39,387
Asia Pacific Small Company Portfolio
2018............................................... 13,370 -- -- 13,370
2019............................................... 11,260 -- -- 11,260
United Kingdom Small Company Portfolio
2018............................................... 1,616 2,308 -- 3,924
2019............................................... 540 1,437 -- 1,977
Continental Small Company Portfolio
2018............................................... 15,452 4,962 -- 20,414
2019............................................... 14,187 19,027 -- 33,214
DFA International Real Estate Securities Portfolio
2018............................................... 241,977 -- -- 241,977
2019............................................... 302,662 -- -- 302,662
138
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
DFA Global Real Estate Securities Portfolio
2018................................................ $212,543 $ 42,954 -- $255,497
2019................................................ 311,682 40,223 -- 351,905
DFA International Small Cap Value Portfolio
2018................................................ 418,957 477,828 -- 896,785
2019................................................ 346,113 429,956 -- 776,069
International Vector Equity Portfolio
2018................................................ 59,115 10,130 -- 69,245
2019................................................ 75,474 72,426 -- 147,900
International High Relative Profitability Portfolio
2018................................................ 3,960 -- -- 3,960
2019................................................ 11,023 -- -- 11,023
World ex U.S. Value Portfolio
2018................................................ 8,118 -- -- 8,118
2019................................................ 8,654 5,062 -- 13,716
World ex U.S. Targeted Value Portfolio
2018................................................ 10,452 8,307 -- 18,759
2019................................................ 12,161 11,822 -- 23,983
World ex U.S. Core Equity Portfolio
2018................................................ 75,944 -- -- 75,944
2019................................................ 100,766 15,900 -- 116,666
World Core Equity Portfolio
2018................................................ 13,426 1,076 -- 14,502
2019................................................ 18,739 4,773 -- 23,512
Selectively Hedged Global Equity Portfolio
2018................................................ 8,085 3,086 -- 11,171
2019................................................ 12,345 4,519 -- 16,864
Emerging Markets Portfolio
2018................................................ 115,293 -- -- 115,293
2019................................................ 145,647 -- -- 145,647
Emerging Markets Small Cap Portfolio
2018................................................ 194,789 145,194 -- 339,983
2019................................................ 153,182 173,892 -- 327,074
Emerging Markets Value Portfolio
2018................................................ 439,431 -- -- 439,431
2019................................................ 459,380 -- -- 459,380
Emerging Markets Core Equity Portfolio
2018................................................ 593,704 -- -- 593,704
2019................................................ 730,829 -- -- 730,829
Emerging Markets Targeted Value Portfolio
2019................................................ 64 -- -- 64
Emerging Markets Targeted Value Portfolio commenced operations on
November 14, 2018, and did not pay any distributions for the year ended
October 31, 2018.
139
As of October 31, 2019, 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
-------------- ------------- --------
Large Cap International Portfolio.................... $ (5,785) -- $ (5,785)
International Core Equity Portfolio.................. (39,526) -- (39,526)
Global Small Company Portfolio....................... (33) -- (33)
International Small Company Portfolio................ (34,708) $(23,004) (57,712)
Japanese Small Company Portfolio..................... (472) -- (472)
Asia Pacific Small Company Portfolio.................
United Kingdom Small Company Portfolio............... (117) (435) (552)
Continental Small Company Portfolio.................. (722) -- (722)
DFA International Real Estate Securities Portfolio... (38,031) -- (38,031)
DFA Global Real Estate Securities Portfolio.......... (8,808) -- (8,808)
DFA International Small Cap Value Portfolio.......... (36,899) (12,688) (49,587)
International Vector Equity Portfolio................ (5,646) -- (5,646)
International High Relative Profitability Portfolio.. (390) -- (390)
World ex U.S. Value Portfolio........................ -- -- --
World ex U.S. Targeted Value Portfolio............... (1,359) (486) (1,845)
World ex U.S. Core Equity Portfolio.................. (5,265) -- (5,265)
World Core Equity Portfolio.......................... (77) (397) (474)
Selectively Hedged Global Equity Portfolio........... (1,150) (191) (1,341)
Emerging Markets Portfolio........................... (10,074) -- (10,074)
Emerging Markets Small Cap Portfolio................. (17,882) (4,623) (22,505)
Emerging Markets Value Portfolio..................... (31,481) -- (31,481)
Emerging Markets Core Equity Portfolio............... (37,986) -- (37,986)
Emerging Markets Targeted Value Portfolio............ (397) -- (397)
As of October 31, 2019, 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)
-------------- ------------- ------------- -------------- -------------
Large Cap International Portfolio................... $ 21,790 -- $(114,879) $ 787,214 $ 694,125
International Core Equity Portfolio................. 164,474 -- (576,584) 2,711,445 2,299,335
Global Small Company Portfolio...................... 529 -- (504) 517 542
International Small Company Portfolio............... 172,408 $278,416 -- 615,587 1,066,411
Japanese Small Company Portfolio.................... 13,813 9,017 -- 55,091 77,921
Asia Pacific Small Company Portfolio................ 12,779 -- (15,084) (28,156) (30,461)
United Kingdom Small Company Portfolio.............. 649 1,663 -- 1,096 3,408
Continental Small Company Portfolio................. 2,684 -- (1,579) 47,476 48,581
DFA International Real Estate Securities Portfolio.. 666,046 -- (311,503) (28,290) 326,253
140
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 Global Real Estate Securities Portfolio.......... $ 85,225 $ 90,014 -- $1,907,950 $2,083,189
DFA International Small Cap Value Portfolio.......... 151,601 206,468 -- 286,756 644,825
International Vector Equity Portfolio................ 16,440 -- $ (30,752) 227,993 213,681
International High Relative Profitability Portfolio.. 1,089 -- (12,114) 35,204 24,179
World ex U.S. Value Portfolio........................ 1,748 -- (1,394) 9,372 9,726
World ex U.S. Targeted Value Portfolio............... 809 4,663 -- (13,459) (7,987)
World ex U.S. Core Equity Portfolio.................. 11,736 -- (30,195) 171,870 153,411
World Core Equity Portfolio.......................... -- 1,549 -- 108,632 110,181
Selectively Hedged Global Equity Portfolio........... 7,786 0 -- 72,826 80,612
Emerging Markets Portfolio........................... 25,990 -- (209,529) 1,722,744 1,539,205
Emerging Markets Small Cap Portfolio................. 75,201 41,748 -- 4,431 121,380
Emerging Markets Value Portfolio..................... 151,494 -- (1,308,291) 566,226 (590,571)
Emerging Markets Core Equity Portfolio............... 113,918 -- (1,101,106) 3,104,503 2,117,315
Emerging Markets Targeted Value Portfolio............ 3,639 21 -- (534) 3,126
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, 2019, the Portfolios had the following
capital loss carryforwards available to offset future realized capital gains
with no expiration date (amounts in thousands):
UNLIMITED TOTAL
--------- --------
Large Cap International Portfolio.................... $114,879 $114,879
International Core Equity Portfolio.................. 576,584 576,584
Global Small Company Portfolio....................... 504 504
International Small Company Portfolio................ -- --
Japanese Small Company Portfolio..................... -- --
Asia Pacific Small Company Portfolio................. 15,084 15,084
United Kingdom Small Company Portfolio............... -- --
Continental Small Company Portfolio.................. 1,579 1,579
DFA International Real Estate Securities Portfolio... 311,503 311,503
DFA Global Real Estate Securities Portfolio.......... -- --
DFA International Small Cap Value Portfolio.......... -- --
International Vector Equity Portfolio................ 30,752 30,752
International High Relative Profitability Portfolio.. 12,114 12,114
World ex U.S. Value Portfolio........................ 1,394 1,394
World ex U.S. Targeted Value Portfolio............... -- --
World ex U.S. Core Equity Portfolio.................. 30,195 30,195
World Core Equity Portfolio.......................... -- --
141
UNLIMITED TOTAL
---------- ----------
Selectively Hedged Global Equity Portfolio... -- --
Emerging Markets Portfolio................... $ 209,529 $ 209,529
Emerging Markets Small Cap Portfolio......... -- --
Emerging Markets Value Portfolio............. 1,308,291 1,308,291
Emerging Markets Core Equity Portfolio....... 1,101,106 1,101,106
Emerging Markets Targeted Value Portfolio.... -- --
During the year ended October 31, 2019, the following Portfolios used the
following capital loss carryforwards to offset realized capital gains for
federal income tax purposes (amounts in thousands):
Global Small Company Portfolio............... $ 135
Asia Pacific Small Company Portfolio......... 3,958
As of October 31, 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)
----------- ------------ -------------- --------------
Large Cap International Portfolio..................... $ 4,684,787 $1,194,005 $ (407,101) $ 786,904
International Core Equity Portfolio................... 28,869,945 5,979,293 (3,272,559) 2,706,734
Global Small Company Portfolio........................ 40,798 514 -- 514
International Small Company Portfolio................. 12,017,254 615,322 -- 615,322
Japanese Small Company Portfolio...................... 585,295 55,112 -- 55,112
Asia Pacific Small Company Portfolio.................. 369,090 -- (28,159) (28,159)
United Kingdom Small Company Portfolio................ 23,620 1,086 -- 1,086
Continental Small Company Portfolio................... 610,129 47,381 -- 47,381
DFA International Real Estate Securities Portfolio.... 6,434,315 416,890 (444,900) (28,010)
DFA Global Real Estate Securities Portfolio........... 7,453,293 2,075,957 (168,008) 1,907,949
DFA International Small Cap Value Portfolio........... 13,651,983 2,127,478 (1,843,019) 284,459
International Vector Equity Portfolio................. 2,464,465 533,768 (305,798) 227,970
International High Relative Profitability Portfolio... 644,179 57,637 (22,431) 35,206
World ex U.S. Value Portfolio......................... 292,710 9,405 -- 9,405
World ex U.S. Targeted Value Portfolio................ 545,534 63,612 (77,097) (13,485)
World ex U.S. Core Equity Portfolio................... 3,653,626 589,410 (417,614) 171,796
World Core Equity Portfolio........................... 770,882 108,632 -- 108,632
Selectively Hedged Global Equity Portfolio............ 297,240 73,291 -- 73,291
Emerging Markets Portfolio............................ 4,244,449 1,722,744 -- 1,722,744
Emerging Markets Small Cap Portfolio.................. 6,421,963 4,451 -- 4,451
Emerging Markets Value Portfolio...................... 16,626,014 565,963 -- 565,963
Emerging Markets Core Equity Portfolio................ 25,910,671 7,180,375 (4,076,165) 3,104,210
Emerging Markets Targeted Value Portfolio............. 114,135 13,094 (13,629) (535)
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.
142
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCTOBER 31, 2019 OCTOBER 31, 2018
--------------------- ---------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- --------
EMERGING MARKETS VALUE PORTFOLIO
Class R2 Shares
Shares Issued........................................ $ 7,880 286 $ 6,653 219
Shares Issued in Lieu of Cash Distributions.......... 687 26 632 21
Shares Redeemed...................................... (5,088) (183) (10,333) (332)
----------- -------- ----------- --------
Net Increase (Decrease) -- Class R2 Shares.............. $ 3,479 129 $ (3,048) (92)
=========== ======== =========== ========
Institutional Class Shares
Shares Issued........................................ $ 3,094,110 110,936 $ 2,703,084 87,936
Shares Issued in Lieu of Cash Distributions.......... 436,607 16,366 416,344 14,012
Shares Redeemed...................................... (3,087,983) (112,388) (3,948,131) (128,474)
----------- -------- ----------- --------
Net Increase (Decrease) -- Institutional Class Shares... $ 442,734 14,914 $ (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.
Portfolios that have significant exposure to certain countries, such as The
United Kingdom Small Company Portfolio's Master Fund that concentrates
investments in the United Kingdom, can be expected to be impacted by the
political and economic conditions within such countries. For example, there is
continuing uncertainty around the future of the euro and the European Union
(EU) following the United Kingdom's (UK) vote to exit the EU in June 2016.
Brexit may cause greater market volatility and illiquidity, currency
fluctuations, deterioration in economic activity, a decrease in business
confidence, and increased likelihood of a recession in the UK. While it is not
possible to determine the precise impact these events may have on the
Portfolios, during this period and beyond, the impact on the UK, EU countries,
other countries or parties that transact with the UK and EU, and the broader
global economy could be significant and could adversely affect the value and
liquidity of the Portfolios' investments.
143
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
2. FORWARD CURRENCY CONTRACTS: The Portfolios listed below may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk) or to transfer balances from one currency to another currency. The
Selectively Hedged Global Equity Portfolio may hedge some or all of the
currency exposure of its foreign securities by entering into forward currency
contracts. The decision to hedge the Selectively Hedged Global Equity
Portfolio's currency exposure with respect to a foreign market will be based
primarily on the Portfolio's existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the
Portfolio as an unrealized gain or loss, which is presented in the 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
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 year ended October 31, 2019 was as follows (amounts
in thousands):
FORWARD
CURRENCY
CONTRACTS* FUTURES**
---------- ---------
Large Cap International Portfolio............ $ -- $ 39,366
International Core Equity Portfolio.......... -- 204,680
International Small Company Portfolio........ -- 74,137
DFA International Real Estate Securities
Portfolio.................................. -- 35,674
DFA International Small Cap Value Portfolio.. -- 107,372
International High Relative Profitability
Portfolio.................................. -- 87
World ex U.S. Targeted Value Portfolio....... -- 1,203
World ex U.S. Core Equity Portfolio.......... -- 3,929
Selectively Hedged Global Equity Portfolio... 139,974 12,060
144
FORWARD
CURRENCY
CONTRACTS* FUTURES**
---------- ---------
Emerging Markets Core Equity Portfolio.. $-- $206,857
Emerging Markets Targeted Value
Portfolio............................. -- 164
* Average amount of Currency Purchased/Sold in USD
** Average Notional Value of contracts
The following is a summary of the Portfolios' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
----------------------------------------------
TOTAL VALUE FORWARD
AT CURRENCY EQUITY
OCTOBER 31, 2019 CONTRACTS (1) CONTRACTS *,(2)
---------------- ------------- ---------------
Large Cap International Portfolio.................... $ 599 -- $ 599
International Core Equity Portfolio.................. 4,795 -- 4,795
International Small Company Portfolio................ 1,300 -- 1,300
DFA International Real Estate Securities Portfolio... 394 -- 394
DFA International Small Cap Value Portfolio.......... 2,754 -- 2,754
Selectively Hedged Global Equity Portfolio........... 62 $10 52
Emerging Markets Core Equity Portfolio............... 4,762 -- 4,762
LIABILITY DERIVATIVES VALUE
-----------------------------
TOTAL VALUE FORWARD
AT CURRENCY
OCTOBER 31, 2019 CONTRACTS (3)
---------------- -------------
Selectively Hedged Global Equity Portfolio... $(494) $(494)
(1)Presented on Statements of Assets and Liabilities as Unrealized Gain on
Forward Currency Contracts.
(2)Presented on Statements of Assets and Liabilities as Receivables: Futures
Margin Variation.
(3)Presented on Statements of Assets and Liabilities as Unrealized Loss on
Forward Currency Contracts.
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (1) CONTRACTS (2)
------- ------------- -------------
Large Cap International Portfolio..... $ 815 -- $ 815
International Core Equity Portfolio... 12,437 -- 12,437
Global Small Company Portfolio........ 7 -- 7*
145
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (1) CONTRACTS (2)
------- ------------- -------------
International Small Company Portfolio.................. $ (626) -- $ (626)
DFA International Real Estate Securities Portfolio..... 1,553 -- 1,553
DFA Global Real Estate Securities Portfolio............ (135) -- (135)*
DFA International Small Cap Value Portfolio............ 1,976 -- 1,976
International Vector Equity Portfolio.................. (2,728) -- (2,728)*
International High Relative Profitability Portfolio.... 155 -- 155*
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............................ (62) -- (62)*
Selectively Hedged Global Equity Portfolio............. 3,312 $ 4,438 (1,126)
Emerging Markets Core Equity Portfolio................. 14,341 -- 14,341
Emerging Markets Targeted Value Portfolio.............. 35 -- 35*
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (3) CONTRACTS (4)
------- ------------- -------------
Large Cap International Portfolio...................... $ 3,123 -- $ 3,123
International Core Equity Portfolio.................... 13,424 -- 13,424
International Small Company Portfolio.................. 7,881 -- 7,881
DFA International Real Estate Securities Portfolio..... 1,373 -- 1,373
DFA International Small Cap Value Portfolio............ 4,434 -- 4,434
Selectively Hedged Global Equity Portfolio............. (412) $(2,086) 1,674
Emerging Markets Core Equity Portfolio................. 13,038 -- 13,038
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Forward Currency Contracts.
(2)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(3)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Forward Currency Contracts.
(4)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
* As of October 31, 2019, there were no futures contracts outstanding. During
the year ended October 31, 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 a Portfolio mitigate its counterparty risk, the Fund on behalf of
applicable Portfolios 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, on behalf of a
Portfolio, 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, a Portfolio
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
146
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 Portfolios do not offset derivative
assets and derivative liabilities that are subject to netting arrangements in
the Statements of Assets and Liabilities.
The following table presents the Portfolios' gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolios as of October 31, 2019
(amounts in thousands):
GROSS AMOUNTS NOT GROSS AMOUNTS NOT
OFFSET IN THE NET OFFSET IN THE
NET STATEMENTS OF ASSETS AMOUNTS STATEMENTS OF ASSETS
AMOUNTS AND LIABILITIES OF AND LIABILITIES
OF ASSETS ---------------------- LIABILITIES ----------------------
GROSS PRESENTED PRESENTED
AMOUNTS IN THE GROSS IN THE
OF STATEMENTS AMOUNT OF STATEMENTS
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
(A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------
DESCRIPTION ASSETS LIABILITIES
----------- ---------------------------------------------------- -----------------------------------------------------
SELECTIVELY
HEDGED GLOBAL
EQUITY
PORTFOLIO
Barclays
Capital......... $ 4 $ 4 $(4) -- -- $ 23 $ 23 $(4) -- $ 19
Citibank, N.A..... -- -- -- -- -- 30 30 -- -- 30
State Street Bank
and Trust....... 5 5 (5) -- -- 374 374 (5) -- 369
Bank of America
Corp............ -- -- -- -- -- 58 58 -- -- 58
Australia and New
Zealand Banking
Group Ltd....... -- -- -- -- -- 8 8 -- -- 8
UBS AG............ -- -- -- -- -- -- -- -- -- --
--- --- --- -- -- ---- ---- --- -- ----
Total............. $ 9 $ 9 $(9) -- -- $493 $493 $(9) -- $484
=== === === == == ==== ==== === == ====
(a)No amounts have been netted against the gross amounts recognized in the
Statement 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 Statement 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 Statement 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
147
$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.
For the year ended October 31, 2019, borrowings by the following 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 10/31/2019
------------- ------------ ------------ -------- --------------- ----------------
Global Small Company Portfolio............... 2.95% $ 74 68 -- $ 412 --
International Small Company Portfolio........ 1.58% 1,004 2 -- 2,008 --
DFA International Real Estate Securities
Portfolio.................................. 2.98% 38,192 24 $80 97,642 --
DFA Global Real Estate Securities Portfolio.. 2.98% 6,884 35 20 26,204 --
DFA International Small Cap Value Portfolio.. 2.73% 13,511 16 18 110,411 --
International Vector Equity Portfolio........ 2.97% 21,394 37 59 147,535 --
World ex U.S. Value Portfolio................ 3.02% 637 63 3 10,385 --
World ex U.S. Targeted Value Portfolio....... 2.91% 3,707 56 17 21,220 --
World ex U.S. Core Equity Portfolio.......... 2.90% 9,778 27 23 47,837 --
World Core Equity Portfolio.................. 2.87% 1,346 38 4 6,369 --
Emerging Markets Core Equity Portfolio....... 1.44% 9,122 2 1 18,245 --
Emerging Markets Targeted Value Portfolio.... 2.77% 954 19 1 2,340 --
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 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 year
ended October 31, 2019.
148
J. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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), 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 year ended October 31, 2019, cross trades by the Portfolios under
Rule 17a-7 were as follows (amounts in thousands):
REALIZED
GAIN
PORTFOLIO PURCHASES SALES (LOSS)
--------- --------- -------- --------
Large Cap International Portfolio................. $ 88,829 $ 50,171 $(25,092)
International Core Equity Portfolio............... 124,551 88,239 (47,118)
DFA Global Real Estate Securities Portfolio....... 4,912 -- --
DFA International Small Cap Value Portfolio....... 117,960 225,658 22,979
International Vector Equity Portfolio............. 29,120 29,755 (5,180)
International High Relative Profitability
Portfolio....................................... 20,593 5,150 (2,306)
World ex U.S. Targeted Value Portfolio............ 11,621 6,943 328
World ex U.S. Core Equity Portfolio............... 29,051 14,594 (1,314)
Emerging Markets Core Equity Portfolio............ 8,765 19,815 (4,586)
K. SECURITIES LENDING:
As of October 31, 2019, some of the Portfolios had securities on loan to
brokers/dealers, for which each such Portfolio received cash collateral. The
Portfolios also 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
----------
Large Cap International Portfolio.................... $ 17,371
International Core Equity Portfolio.................. 386,759
DFA International Real Estate Securities Portfolio... 30,857
DFA International Small Cap Value Portfolio.......... 241,020
International Vector Equity Portfolio................ 43,510
International High Relative Profitability Portfolio.. 3,936
World ex U.S. Targeted Value Portfolio............... 4,183
World ex U.S. Core Equity Portfolio.................. 60,982
Emerging Markets Core Equity Portfolio............... 693,992
Emerging Markets Targeted Value Portfolio............ 1,651
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
149
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.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2019
-------------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- ----------
SECURITIES LENDING TRANSACTIONS
LARGE CAP INTERNATIONAL PORTFOLIO
Common Stocks.................................... $ 181,215 -- -- -- $ 181,215
INTERNATIONAL CORE EQUITY PORTFOLIO
Common Stocks, Rights/Warrants................... 1,353,429 -- -- -- 1,353,429
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO
Common Stocks.................................... 186,403 -- -- -- 186,403
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO
Common Stocks.................................... 111,169 -- -- -- 111,169
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
Common Stocks.................................... 793,301 -- -- -- 793,301
INTERNATIONAL VECTOR EQUITY PORTFOLIO
Common Stocks, Rights/Warrants................... 132,695 -- -- -- 132,695
INTERNATIONAL HIGH RELATIVE PROFITABILITY PORTFOLIO
Common Stocks.................................... 25,969 -- -- -- 25,969
WORLD EX U.S. TARGETED VALUE PORTFOLIO
Common Stocks.................................... 2,797 -- -- -- 2,797
WORLD EX U.S. CORE EQUITY PORTFOLIO
Common Stocks.................................... 109,133 -- -- -- 109,133
150
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
EMERGING MARKETS CORE EQUITY PORTFOLIO
Common Stocks.......................... $673,459 -- -- -- $673,459
EMERGING MARKETS TARGETED VALUE PORTFOLIO
Common Stocks.......................... 659 -- -- -- 659
L. 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 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. 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 all of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2019.
O. OTHER:
As of October 31, 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
------------ --------------
Large Cap International Portfolio-Institutional Class....... 3 64%
International Core Equity Portfolio-Institutional Class..... 4 71%
Global Small Company Portfolio-Institutional Class.......... 5 98%
151
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
International Small Company Portfolio-Institutional Class.................. 3 65%
Japanese Small Company Portfolio-Institutional Class....................... 3 84%
Asia Pacific Small Company Portfolio-Institutional Class................... 3 94%
United Kingdom Small Company Portfolio-Institutional Class................. 4 92%
Continental Small Company Portfolio-Institutional Class.................... 2 88%
DFA International Real Estate Securities Portfolio-Institutional Class..... 4 90%
DFA Global Real Estate Securities Portfolio-Institutional Class............ 3 66%
DFA International Small Cap Value Portfolio-Institutional Class............ 4 73%
International Vector Equity Portfolio-Institutional Class.................. 3 82%
International High Relative Profitability Portfolio-Institutional Class.... 3 91%
World ex U.S. Value Portfolio-Institutional Class.......................... 7 85%
World ex U.S. Targeted Value Portfolio-Institutional Class................. 3 98%
World ex U.S. Core Equity Portfolio-Institutional Class.................... 3 72%
World Core Equity Portfolio-Institutional Class............................ 5 78%
Selectively Hedged Global Equity Portfolio-Institutional Class............. 3 94%
Emerging Markets Portfolio-Institutional Class............................. 3 54%
Emerging Markets Small Cap Portfolio-Institutional Class................... 3 53%
Emerging Markets Value Portfolio-Class R2.................................. 2 92%
Emerging Markets Value Portfolio-Institutional Class....................... 2 34%
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 (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.
P. 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.
152
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of each of the twenty-three portfolios listed in the table below
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments/summary schedules of portfolio holdings,
of each of the funds indicated in the table below (twenty-three of the
portfolios constituting DFA Investment Dimensions Group Inc., hereafter
referred to as the "Portfolios") as of October 31, 2019, the related statements
of operations and of changes in net assets for each of the periods indicated in
the table below, including the related notes, and the financial highlights for
each of the periods indicated in the table below (collectively referred to as
the "financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of each of the
Portfolios as of October 31, 2019, the results of each of their operations, the
changes in each of their net assets, and each of the financial highlights for
each of the periods indicated in the table below, in conformity with accounting
principles generally accepted in the United States of America.
STATEMENT OF
STATEMENT OF CHANGES IN NET FINANCIAL
FUND OPERATIONS ASSETS HIGHLIGHTS
---- ------------- -------------- ------------
Large Cap International Portfolio For the year For the years For the
International Core Equity Portfolio ended ended years ended
International Small Company Portfolio October 31, October 31, October 31,
Japanese Small Company Portfolio 2019 2019 and 2019, 2018,
Asia Pacific Small Company Portfolio 2018 2017, 2016
United Kingdom Small Company Portfolio and 2015
Continental Small Company Portfolio
DFA International Real Estate Securities Portfolio
DFA Global Real Estate Securities Portfolio
DFA International Small Cap Value Portfolio
International Vector Equity Portfolio
World ex U.S. Value Portfolio
World ex U.S. Targeted Value Portfolio
World ex U.S. Core Equity Portfolio
World Core Equity Portfolio
Selectively Hedged Global Equity Portfolio
Emerging Markets Portfolio
Emerging Markets Small Cap Portfolio
Emerging Markets Value Portfolio
Emerging Markets Core Equity Portfolio
Global Small Company Portfolio For the year For the years For each of
International High Relative Profitability Portfolio ended ended the periods
October 31, October 31, indicated
2019 2019 and therein
2018
Emerging Markets Targeted Value Portfolio For the period November 14, 2018
(commencement of operations) through
October 31, 2019
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
(PCAOB) and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
153
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the custodians, brokers and the transfer agents of the
investee funds; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2019
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
154
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA International Value Portfolio -- Class R2 vs.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA International MSCI World ex USA
Value Portfolio - Class R2 Index (net dividends)
-------------------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,292 10,247
12/31/2009 10,404 10,411
1/31/2010 9,798 9,923
2/28/2010 9,829 9,913
3/31/2010 10,607 10,551
4/30/2010 10,420 10,394
5/31/2010 9,205 9,247
6/30/2010 9,040 9,113
7/31/2010 10,156 9,955
8/31/2010 9,655 9,658
9/30/2010 10,700 10,584
10/31/2010 11,060 10,961
11/30/2010 10,494 10,497
12/31/2010 11,473 11,342
1/31/2011 11,960 11,586
2/28/2011 12,353 12,016
3/31/2011 12,007 11,775
4/30/2011 12,645 12,417
5/31/2011 12,182 12,049
6/30/2011 12,010 11,877
7/31/2011 11,623 11,681
8/31/2011 10,371 10,694
9/30/2011 9,235 9,620
10/31/2011 10,117 10,555
11/30/2011 9,784 10,067
12/31/2011 9,517 9,958
1/31/2012 10,149 10,495
2/29/2012 10,678 11,072
3/31/2012 10,588 10,990
4/30/2012 10,207 10,804
5/31/2012 8,941 9,572
6/30/2012 9,570 10,199
7/31/2012 9,524 10,326
8/31/2012 9,919 10,621
9/30/2012 10,265 10,943
10/31/2012 10,390 11,020
11/30/2012 10,549 11,252
12/31/2012 11,065 11,592
1/31/2013 11,578 12,162
2/28/2013 11,225 12,041
3/31/2013 11,260 12,136
4/30/2013 11,807 12,689
5/31/2013 11,660 12,405
6/30/2013 11,249 11,940
7/31/2013 12,009 12,575
8/31/2013 11,921 12,413
9/30/2013 12,816 13,291
10/31/2013 13,259 13,737
11/30/2013 13,300 13,821
12/31/2013 13,591 14,029
1/31/2014 13,091 13,463
2/28/2014 13,830 14,197
3/31/2014 13,725 14,134
4/30/2014 13,954 14,357
5/31/2014 14,100 14,579
6/30/2014 14,277 14,786
7/31/2014 13,952 14,522
8/31/2014 13,952 14,534
9/30/2014 13,333 13,937
10/31/2014 13,099 13,715
11/30/2014 13,106 13,884
12/31/2014 12,604 13,422
1/31/2015 12,519 13,375
2/28/2015 13,411 14,174
3/31/2015 13,125 13,937
4/30/2015 13,839 14,540
5/31/2015 13,839 14,414
6/30/2015 13,434 14,005
7/31/2015 13,303 14,227
8/31/2015 12,309 13,190
9/30/2015 11,459 12,524
10/31/2015 12,341 13,467
11/30/2015 12,174 13,252
12/31/2015 11,782 13,015
1/31/2016 10,856 12,119
2/29/2016 10,503 11,949
3/31/2016 11,299 12,761
4/30/2016 11,840 13,171
5/31/2016 11,618 13,022
6/30/2016 11,190 12,626
7/31/2016 11,687 13,248
8/31/2016 11,996 13,260
9/30/2016 12,137 13,421
10/31/2016 12,288 13,160
11/30/2016 12,341 12,949
12/31/2016 12,744 13,372
1/31/2017 13,293 13,770
2/28/2017 13,194 13,929
3/31/2017 13,487 14,283
4/30/2017 13,678 14,586
5/31/2017 13,907 15,073
6/30/2017 14,051 15,087
7/31/2017 14,710 15,536
8/31/2017 14,687 15,532
9/30/2017 15,209 15,935
10/31/2017 15,482 16,153
11/30/2017 15,630 16,316
12/31/2017 16,032 16,609
1/31/2018 16,966 17,383
2/28/2018 16,009 16,557
3/31/2018 15,808 16,271
4/30/2018 16,224 16,644
5/31/2018 15,635 16,329
6/30/2018 15,276 16,150
7/31/2018 15,755 16,546
8/31/2018 15,204 16,233
9/30/2018 15,465 16,360
10/31/2018 14,152 15,060
11/30/2018 14,048 15,047
12/31/2018 13,191 14,269
1/31/2019 14,221 15,287
2/28/2019 14,453 15,680
3/31/2019 14,293 15,760
4/30/2019 14,759 16,206
5/31/2019 13,644 15,440
6/30/2019 14,492 16,357 Past performance is not predictive
7/31/2019 14,018 16,160 of future performance.
8/31/2019 13,441 15,763
9/30/2019 14,117 16,205 The returns shown do not reflect
10/31/2019 14,594 16,729 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ MSCI data copyright MSCI 2019,
3.13% 2.19% 3.85% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA International Value Portfolio -- Institutional Class vs.
MSCI World ex USA Index (net dividends)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA International Value MSCI World ex USA
Portfolio - Institutional Class Index (net dividends)
------------------------------- ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,292 10,247
12/31/2009 10,412 10,411
1/31/2010 9,808 9,923
2/28/2010 9,838 9,913
3/31/2010 10,622 10,551
4/30/2010 10,439 10,394
5/31/2010 9,211 9,247
6/30/2010 9,051 9,113
7/31/2010 10,180 9,955
8/31/2010 $9,677 9,658
9/30/2010 10,713 10,584
10/31/2010 11,093 10,961
11/30/2010 10,527 10,497
12/31/2010 11,513 11,342
1/31/2011 12,001 11,586
2/28/2011 12,396 12,016
3/31/2011 12,054 11,775
4/30/2011 12,695 12,417
5/31/2011 12,236 12,049
6/30/2011 12,066 11,877
7/31/2011 11,676 11,681
8/31/2011 10,424 10,694
9/30/2011 9,283 9,620
10/31/2011 10,177 10,555
11/30/2011 9,836 10,067
12/31/2011 9,573 9,958
1/31/2012 10,216 10,495
2/29/2012 10,742 11,072
3/31/2012 10,658 10,990
4/30/2012 10,275 10,804
5/31/2012 9,006 9,572
6/30/2012 9,640 10,199
7/31/2012 9,600 10,326
8/31/2012 9,991 10,621
9/30/2012 10,346 10,943
10/31/2012 10,480 11,020
11/30/2012 10,640 11,252
12/31/2012 11,163 11,592
1/31/2013 11,681 12,162
2/28/2013 11,331 12,041
3/31/2013 11,365 12,136
4/30/2013 11,924 12,689
5/31/2013 11,776 12,405
6/30/2013 11,360 11,940
7/31/2013 12,136 12,575
8/31/2013 12,047 12,413
9/30/2013 12,956 13,291
10/31/2013 13,403 13,737
11/30/2013 13,452 13,821
12/31/2013 13,744 14,029
1/31/2014 13,238 13,463
2/28/2014 13,993 14,197
3/31/2014 13,892 14,134
4/30/2014 14,124 14,357
5/31/2014 14,279 14,579
6/30/2014 14,451 14,786
7/31/2014 14,130 14,522
8/31/2014 14,130 14,534
9/30/2014 13,511 13,937
10/31/2014 13,274 13,715
11/30/2014 13,281 13,884
12/31/2014 12,783 13,422
1/31/2015 12,696 13,375
2/28/2015 13,602 14,174
3/31/2015 13,312 13,937
4/30/2015 14,043 14,540
5/31/2015 14,051 14,414
6/30/2015 13,642 14,005
7/31/2015 13,509 14,227
8/31/2015 12,499 13,190
9/30/2015 11,644 12,524
10/31/2015 12,533 13,467
11/30/2015 12,370 13,252
12/31/2015 11,976 13,015
1/31/2016 11,035 12,119
2/29/2016 10,684 11,949
3/31/2016 11,490 12,761
4/30/2016 12,046 13,171
5/31/2016 11,820 13,022
6/30/2016 11,386 12,626
7/31/2016 11,899 13,248
8/31/2016 12,212 13,260
9/30/2016 12,355 13,421
10/31/2016 12,508 13,160
11/30/2016 12,570 12,949
12/31/2016 12,983 13,372
1/31/2017 13,541 13,770
2/28/2017 13,448 13,929
3/31/2017 13,753 14,283
4/30/2017 13,947 14,586
5/31/2017 14,188 15,073
6/30/2017 14,338 15,087
7/31/2017 15,009 15,536
8/31/2017 14,993 15,532
9/30/2017 15,528 15,935
10/31/2017 15,805 16,153
11/30/2017 15,956 16,316
12/31/2017 16,370 16,609
1/31/2018 17,329 17,383
2/28/2018 16,354 16,557
3/31/2018 16,153 16,271
4/30/2018 16,586 16,644
5/31/2018 15,985 16,329
6/30/2018 15,621 16,150
7/31/2018 16,117 16,546
8/31/2018 15,548 16,233
9/30/2018 15,822 16,360
10/31/2018 14,491 15,060
11/30/2018 14,384 15,047
12/31/2018 13,507 14,269
1/31/2019 14,568 15,287
2/28/2019 14,814 15,680
3/31/2019 14,650 15,760
4/30/2019 15,127 16,206
5/31/2019 13,987 15,440
6/30/2019 14,866 16,357 Past performance is not predictive
7/31/2019 14,380 16,160 of future performance.
8/31/2019 13,790 15,763
9/30/2019 14,491 16,205 The returns shown do not reflect
10/31/2019 14,979 16,729 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI 2019,
3.37% 2.45% 4.12% all rights reserved.
--------------------------------------------------------------------------------
155
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed large-cap stocks but outperformed small-cap stocks. Value stocks
underperformed growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN
IN U.S.
DOLLARS
-------
MSCI World ex USA Index................. 11.08%
MSCI World ex USA Mid Cap Index......... 10.71%
MSCI World ex USA Small Cap Index....... 8.61%
MSCI World ex USA Value Index........... 5.95%
MSCI World ex USA Growth Index.......... 16.25%
For the 12 Months Ended October 31, 2019, the U.S. dollar appreciated
against some non-U.S. developed markets currencies and depreciated against
others. Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of developed markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN
LOCAL IN U.S.
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN DOLLARS
--------------------------------------------------- ------ -------
Japan............................................... 4.57% 9.16%
United Kingdom...................................... 5.73% 7.08%
France.............................................. 14.29% 12.54%
Canada.............................................. 11.54% 11.45%
Switzerland......................................... 16.43% 18.69%
Germany............................................. 9.14% 7.46%
Australia........................................... 20.12% 16.76%
Netherlands......................................... 21.77% 20.09%
Hong Kong........................................... 15.60% 15.63%
Spain............................................... 7.47% 5.82%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
Emerging markets had positive performance for the period, outperforming
non-U.S. developed markets but underperforming the U.S. As measured by the MSCI
emerging markets indices, small-cap stocks underperformed large-cap stocks, and
mid-cap stocks, a subset of the large-cap universe, underperformed large-cap
stocks but outperformed small-cap stocks. Value stocks underperformed growth
stocks as measured by the MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN
IN U.S.
DOLLARS
-------
MSCI Emerging Markets Index............. 11.86%
MSCI Emerging Markets Mid Cap Index..... 11.08%
MSCI Emerging Markets Small Cap Index... 9.69%
MSCI Emerging Markets Value Index....... 6.00%
MSCI Emerging Markets Growth Index...... 17.97%
156
For the 12 Months Ended October 31, 2019, the U.S. dollar depreciated
against some emerging markets currencies and appreciated against others.
Overall, currency movements had a positive impact on the U.S. dollar-
denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN
LOCAL IN U.S.
TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN DOLLARS
------------------------------------------ ------ -------
China........................................ 12.94% 12.90%
Korea........................................ 7.43% 5.22%
Taiwan....................................... 20.39% 22.38%
India........................................ 12.67% 17.46%
Brazil....................................... 22.35% 13.21%
South Africa................................. 10.59% 8.41%
Russia....................................... 31.36% 34.30%
Thailand..................................... -4.10% 5.28%
Mexico....................................... 1.02% 6.71%
Saudi Arabia................................. -1.29% -1.27%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2019,
these differences generally detracted from the Portfolios' relative performance.
DFA INTERNATIONAL VALUE PORTFOLIO
The DFA International Value Portfolio invests in developed ex U.S. large
company value stocks by purchasing shares of the DFA International Value
Series, a Master Fund managed by Dimensional that invests in such securities.
The investment strategy is process driven, emphasizing broad diversification,
with increased exposure to stocks with smaller total market capitalizations,
lower relative price (value), and higher-profitability within the large-cap
value segment of developed ex U.S. markets. As of October 31, 2019, the Master
Fund held approximately 550 securities in 22 eligible developed markets.
Average cash exposure throughout the year was less than 1% of the Master Fund's
assets.
For the 12 months ended October 31, 2019, total returns were 3.13% for the
Portfolio's Class R2 shares, 3.37% for the Portfolio's Institutional
Class shares, and 11.08% for the MSCI World ex USA Index (net dividends), the
Portfolio's benchmark. As a result of the Master Fund's diversified investment
approach, performance was determined principally by broad trends in developed
ex U.S. equity markets rather than by the behavior of a limited number of
stocks. With low relative price (value) stocks underperforming high relative
price (growth) stocks for the period, the Master Fund's focus on value stocks
detracted from performance relative to the style-neutral benchmark.
157
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
158
DISCLOSURE OF FUND EXPENSES
CONTINUED
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DFA INTERNATIONAL VALUE PORTFOLIO (2)
-------------------------------------
Actual Fund Return
Class R2 Shares...................... $1,000.00 $ 988.90 0.69% $3.46
Institutional Class Shares........... $1,000.00 $ 990.30 0.44% $2.21
Hypothetical 5% Annual Return
Class R2 Shares...................... $1,000.00 $1,021.73 0.69% $3.52
Institutional Class Shares........... $1,000.00 $1,022.99 0.44% $2.24
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)The Portfolio is a Feeder Fund. The expenses shown reflect the direct
expenses of the Feeder Fund and the allocation of the Feeder Fund's portion
of the expenses of its Master Fund (Affiliated Investment Company).
159
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 as an exhibit to their
reports on Form N-PORT. For Dimensional Investment Group Inc., this would be
for the fiscal quarters ending January 31 and July 31. Such 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-PORT with the SEC on September 27,
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 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%
160
DFA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The DFA International Value Series of The DFA Investment Trust
Company....................................................................... $9,180,421,680
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES............................ $9,180,421,680
==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2019,
based on their valuation inputs, is located in this report (See Security
Valuation Note).
See accompanying Notes to Financial Statements.
161
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERNATIONAL
VALUE PORTFOLIO
---------------
ASSETS:
Investments in Affiliated Investment Company at Value................. $ 9,180,422
Receivables:
Fund Shares Sold................................................... 4,011
Prepaid Expenses and Other Assets..................................... 77
--------------
Total Assets................................................... 9,184,510
--------------
LIABILITIES:
Payables:
Fund Shares Redeemed............................................... 7,675
Due to Advisor..................................................... 1,527
Accrued Expenses and Other Liabilities................................ 639
--------------
Total Liabilities.............................................. 9,841
--------------
NET ASSETS............................................................ $ 9,174,669
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $1,191 and shares
outstanding of 69,521............................................... $ 17.13
==============
NUMBER OF SHARES AUTHORIZED........................................... 100,000,000
==============
Institutional Class Shares -- based on net assets of $9,173,478 and
shares outstanding of 534,006,389................................... $ 17.18
==============
NUMBER OF SHARES AUTHORIZED........................................... 1,500,000,000
==============
NET ASSETS CONSIST OF:
Paid-In Capital....................................................... $ 9,065,218
Total Distributable Earnings (Loss)................................... 109,451
--------------
NET ASSETS............................................................ $ 9,174,669
==============
See accompanying Notes to Financial Statements.
162
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA
INTERNATIONAL
VALUE PORTFOLIO*
----------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $37,181)...................... $373,583
Income from Securities Lending............................................ 5,387
Expenses Allocated from Affiliated Investment Companies................... (19,376)
--------
Total Net Investment Income Allocated from Affiliated
Investment Companies:............................................ 359,594
--------
FUND EXPENSES
Investment Management Fees................................................ 36,663
Accounting & Transfer Agent Fees.......................................... 1,102
Shareholder Servicing Fees
Class R2 Shares....................................................... 3
Filing Fees............................................................... 233
Shareholders' Reports..................................................... 423
Directors'/Trustees' Fees & Expenses...................................... 54
Professional Fees......................................................... 30
Other..................................................................... 56
--------
Total Fund Expenses................................................ 38,564
--------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)......................................
Class R2 Shares....................................................... (3)
Institutional Class Shares............................................ (18,329)
--------
Net Expenses.............................................................. 20,232
--------
NET INVESTMENT INCOME (LOSS).............................................. 339,362
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**........... (12,764)
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company............. (37,240)
--------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... (50,004)
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. $289,358
========
--------
** Net of foreign capital gain taxes withheld of $0.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
163
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 339,362 $ 305,317
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company*,**............. (12,764) 328,393
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment Company................. (37,240) (1,489,950)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 289,358 (856,240)
----------- -----------
Distributions:
Class R2 Shares........................................................... (83) (102)
Institutional Class Shares................................................ (576,705) (298,099)
----------- -----------
Total Distributions.................................................... (576,788) (298,201)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................................. 2,071,367 2,071,557
Shares Issued in Lieu of Cash Distributions................................... 562,384 289,379
Shares Redeemed............................................................... (2,595,094) (1,624,192)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions................ 38,657 736,744
----------- -----------
Total Increase (Decrease) in Net Assets................................ (248,773) (417,697)
NET ASSETS
Beginning of Year............................................................. 9,423,442 9,841,139
----------- -----------
End of Year................................................................... $ 9,174,669 $ 9,423,442
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................. 123,536 104,257
Shares Issued in Lieu of Cash Distributions................................... 34,167 14,892
Shares Redeemed............................................................... (154,773) (81,550)
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed................ 2,930 37,599
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
164
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES
-----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.......................................... $17.68 $19.89 $16.27 $16.93 $ 18.48
------ ------ ------ ------ -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)............................................. 0.58 0.54 0.55 0.53 0.51
Net Gains (Losses) on Securities (Realized and Unrealized)............... (0.10) (2.21) 3.61 (0.65) (1.55)
------ ------ ------ ------ -------
Total from Investment Operations..................................... 0.48 (1.67) 4.16 (0.12) (1.04)
------ ------ ------ ------ -------
Less Distributions:
-------------------
Net Investment Income.................................................... (0.51) (0.54) (0.54) (0.54) (0.51)
Net Realized Gains....................................................... (0.52) -- -- -- --
------ ------ ------ ------ -------
Total Distributions.................................................. (1.03) (0.54) (0.54) (0.54) (0.51)
------ ------ ------ ------ -------
Net Asset Value, End of Year................................................ $17.13 $17.68 $19.89 $16.27 $ 16.93
====== ====== ====== ====== =======
Total Return................................................................ 3.13% (8.59%) 25.99% (0.43%) (5.78%)
------ ------ ------ ------ -------
Net Assets, End of Year (thousands)......................................... $1,191 $1,477 $3,508 $3,308 $10,404
Ratio of Expenses to Average Net Assets (C)................................. 0.69% 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) (C)...... 0.89% 0.88% 0.88% 0.88% 0.73%
Ratio of Net Investment Income to Average Net Assets........................ 3.43% 2.72% 3.07% 3.4% 2.81%
------ ------ ------ ------ -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
165
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........................ $ 17.74 $ 19.94 $ 16.30 $ 16.92 $ 18.47
---------- ---------- ---------- ---------- ----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)........................... 0.63 0.60 0.56 0.55 0.56
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... (0.11) (2.21) 3.66 (0.63) (1.56)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................... 0.52 (1.61) 4.22 (0.08) (1.00)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................. (0.56) (0.59) (0.58) (0.54) (0.55)
Net Realized Gains..................................... (0.52) -- -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions................................ (1.08) (0.59) (0.58) (0.54) (0.55)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year.............................. $ 17.18 $ 17.74 $ 19.94 $ 16.30 $ 16.92
========== ========== ========== ========== ==========
Total Return.............................................. 3.37% (8.32%) 26.36% (0.20%) (5.58%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)....................... $9,173,478 $9,421,965 $9,837,631 $7,270,665 $6,795,481
Ratio of Expenses to Average Net Assets (C)............... 0.44% 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)) (C)........................................ 0.64% 0.63% 0.63% 0.63% 0.49%
Ratio of Net Investment Income to Average Net Assets...... 3.70% 3.01% 3.12% 3.51% 3.10%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
166
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, one of which, the DFA International Value Portfolio (the
"Portfolio"), is presented 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 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 October 31, 2019, the Portfolio owned 74% of
the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolio uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investment reflects its proportionate interests in the net
assets of the Series. The valuation is classified 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 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.
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.
167
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2019, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolio recognizes its pro-rata share, on a daily basis, of
net investment income and realized and unrealized gains and losses of
investment securities 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 Portfolio
estimates the character of received distributions that may be considered return
of capital distributions. Expenses directly attributable to the Portfolio are
directly charged. Common expenses of the Fund or the Portfolio are allocated
using methods approved by the Board of Directors, generally based on average
net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of the Portfolio. Income, gains and losses, and common expenses of
the 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.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the year ended October 31, 2019, the 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%
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
Portfolio, as described in the notes below. A portion of the Fee Waiver
Agreement for the Portfolio 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 Portfolio, as described in the notes below, will
remain in effect permanently, unless terminated by the Portfolio. During the
year ended October 31, 2019, the Portfolio had expense limits based on a
percentage of average net assets on an annualized basis, and the Advisor
recovered previously waived fees and/or assumed expenses (amounts in
thousands), as listed below. The net amount of waived fees/expenses assumed
(recovered previously waived fees/expenses assumed) during the year ended
October 31, 2019, and the previously waived fees/expenses assumed subject to
future recovery by the Advisor as of October 31, 2019, are also reflected below
(amounts in thousands). The Fund, on behalf of the Portfolio, is not obligated
to reimburse the Advisor for fees previously waived or expenses previously
assumed by the Advisor
168
more than thirty-six months before the date of recovery. With respect to the
Fee Waiver Agreement, prior year waived fees and/or expenses assumed 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 fees were waived
and/or expenses assumed, and less than the current expense cap in place for the
Portfolio.
NET WAIVED FEES/
RECOVERY EXPENSES ASSUMED
OF PREVIOUSLY (RECOVERED
EXPENSE TOTAL WAIVED FEES/ PREVIOUSLY WAIVED
LIMITATION MANAGEMENT EXPENSES FEES/EXPENSES
INSTITUTIONAL CLASS SHARES AMOUNT FEE LIMIT ASSUMED ASSUMED)
-------------------------- ---------- ---------- ------------- -----------------
DFA INTERNATIONAL VALUE PORTFOLIO (1)....................... -- 0.40% -- $18,329
CLASS R2 SHARES
---------------
DFA INTERNATIONAL VALUE PORTFOLIO (2)....................... 0.79% 0.40% -- 3
PREVIOUSLY
WAIVED FEES/
EXPENSES ASSUMED
SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES RECOVERY
-------------------------- -----------------
DFA INTERNATIONAL VALUE PORTFOLIO (1)....................... --
CLASS R2 SHARES
---------------
DFA INTERNATIONAL VALUE PORTFOLIO (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)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.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2019, the total related amounts paid by the Fund
to the CCO were $30 (in thousands). The total related amounts paid by the
Portfolio are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 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 (amount in thousands):
DFA International Value Portfolio............ $297
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
169
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, undistributed net investment income, accumulated net realized gains
or losses, or unrealized appreciation, as appropriate, in the period that the
differences arise. Accordingly, the permanent differences as of October 31,
2019, 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, 2019, 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
2018.............................. $298,200 -- -- $298,200
2019.............................. 302,955 $273,833 -- 576,788
As of October 31, 2019, 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............. $(2,159) -- $(2,159)
As of October 31, 2019, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET INVESTMENT
INCOME AND UNDISTRIBUTED UNREALIZED
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION)
-------------- ------------- ------------- --------------
DFA International Value Portfolio........................... $63,472 -- $(13,753) $60,237
TOTAL NET
DISTRIBUTABLE
EARNINGS
(ACCUMULATED
LOSSES)
-------------
DFA International Value Portfolio........................... $109,956
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolio after October 31, 2011, will not be subject to
expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 2019, 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 International Value Portfolio............ $13,753 $13,753
170
As of October 31, 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............ $9,121,084 $60,162 -- $60,162
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. CAPITAL SHARE TRANSACTIONS:
The capital share transactions by class were as follows (amounts in
thousands):
YEAR ENDED YEAR ENDED
OCTOBER 31, 2019 OCTOBER 31, 2018
--------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- -------- ----------- -------
DFA INTERNATIONAL VALUE PORTFOLIO
Class R2 Shares
Shares Issued............................. $ 409 25 $ 2,206 111
Shares Issued in Lieu of Cash
Distributions........................... 83 5 102 5
Shares Redeemed........................... (766) (44) (3,878) (209)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares... $ (274) (14) $ (1,570) (93)
=========== ======== =========== =======
Institutional Class Shares
Shares Issued............................. $ 2,070,958 123,511 $ 2,069,351 104,146
Shares Issued in Lieu of Cash
Distributions........................... 562,301 34,162 289,277 14,887
Shares Redeemed........................... (2,594,328) (154,729) (1,620,314) (81,341)
----------- -------- ----------- -------
Net Increase (Decrease) -- Institutional
Class Shares............................... $ 38,931 2,944 $ 738,314 37,692
=========== ======== =========== =======
G. 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.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
171
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. 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 all of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2019.
J. OTHER:
As of October 31, 2019, the following number of shareholders held the
following approximate percentages of the Portfolio's outstanding shares. One or
more of the shareholders may be omnibus accounts, which typically hold shares
for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA International Value Portfolio-Class R2... 5 97%
DFA International Value
Portfolio-Institutional Class.............. 4 73%
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when The Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date on which the financial statements were issued and
has determined that there are no other subsequent events requiring recognition
or disclosure in the financial statements.
172
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of DFA International Value Portfolio
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of DFA International Value Portfolio (one of the
portfolios constituting Dimensional Investment Group Inc., hereafter referred
to as the "Portfolio") as of October 31, 2019, the related statement of
operations for the year ended October 31, 2019, the statement of changes in net
assets for each of the two years in the period ended October 31, 2019,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2019 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Portfolio as of
October 31, 2019, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period ended
October 31, 2019 and the financial highlights for each of the five years in the
period ended October 31, 2019 in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on the Portfolio's
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
(PCAOB) and are required to be independent with respect to the Portfolio in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of the security owned as of October 31, 2019 by
correspondence with the transfer agent of the investee fund. We believe that
our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2019
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
173
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The DFA International MSCI World ex
Value Series USA Index (net dividends)
--------------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,298 10,247
12/31/2009 10,414 10,411
1/31/2010 9,812 9,923
2/28/2010 9,851 9,913
3/31/2010 10,628 10,551
4/30/2010 10,447 10,394
5/31/2010 9,223 9,247
6/30/2010 9,061 9,113
7/31/2010 10,194 9,955
8/31/2010 9,696 9,658
9/30/2010 10,738 10,584
10/31/2010 11,113 10,961
11/30/2010 10,557 10,497
12/31/2010 11,540 11,342
1/31/2011 12,032 11,586
2/28/2011 12,434 12,016
3/31/2011 12,091 11,775
4/30/2011 12,738 12,417
5/31/2011 12,278 12,049
6/30/2011 12,110 11,877
7/31/2011 11,722 11,681
8/31/2011 10,466 10,694
9/30/2011 9,320 9,620
10/31/2011 10,220 10,555
11/30/2011 9,883 10,067
12/31/2011 9,618 9,958
1/31/2012 10,265 10,495
2/29/2012 10,803 11,072
3/31/2012 10,712 10,990
4/30/2012 10,330 10,804
5/31/2012 9,055 9,572
6/30/2012 9,696 10,199
7/31/2012 9,657 10,326
8/31/2012 10,058 10,621
9/30/2012 10,414 10,943
10/31/2012 10,544 11,020
11/30/2012 10,712 11,252
12/31/2012 11,236 11,592
1/31/2013 11,767 12,162
2/28/2013 11,411 12,041
3/31/2013 11,450 12,136
4/30/2013 12,013 12,689
5/31/2013 11,871 12,405
6/30/2013 11,450 11,940
7/31/2013 12,233 12,575
8/31/2013 12,149 12,413
9/30/2013 13,061 13,291
10/31/2013 13,515 13,737
11/30/2013 13,566 13,821
12/31/2013 13,864 14,029
1/31/2014 13,359 13,463
2/28/2014 14,123 14,197
3/31/2014 14,019 14,134
4/30/2014 14,259 14,357
5/31/2014 14,421 14,579
6/30/2014 14,595 14,786
7/31/2014 14,272 14,522
8/31/2014 14,278 14,534
9/30/2014 13,650 13,937
10/31/2014 13,417 13,715
11/30/2014 13,424 13,884
12/31/2014 12,926 13,422
1/31/2015 12,841 13,375
2/28/2015 13,761 14,174
3/31/2015 13,469 13,937
4/30/2015 14,207 14,540
5/31/2015 14,214 14,414
6/30/2015 13,806 14,005
7/31/2015 13,670 14,227
8/31/2015 12,654 13,190
9/30/2015 11,793 12,524
10/31/2015 12,699 13,467
11/30/2015 12,531 13,252
12/31/2015 12,129 13,015
1/31/2016 11,184 12,119
2/29/2016 10,828 11,949
3/31/2016 11,650 12,761
4/30/2016 12,214 13,171
5/31/2016 11,987 13,022
6/30/2016 11,553 12,626
7/31/2016 12,065 13,248
8/31/2016 12,388 13,260
9/30/2016 12,524 13,421
10/31/2016 12,686 13,160
11/30/2016 12,744 12,949
12/31/2016 13,172 13,372
1/31/2017 13,735 13,770
2/28/2017 13,644 13,929
3/31/2017 13,948 14,283
4/30/2017 14,149 14,586
5/31/2017 14,395 15,073
6/30/2017 14,550 15,087
7/31/2017 15,236 15,536
8/31/2017 15,223 15,532
9/30/2017 15,767 15,935
10/31/2017 16,052 16,153
11/30/2017 16,214 16,316
12/31/2017 16,634 16,609
1/31/2018 17,612 17,383
2/28/2018 16,621 16,557
3/31/2018 16,427 16,271
4/30/2018 16,867 16,644
5/31/2018 16,259 16,329
6/30/2018 15,890 16,150
7/31/2018 16,395 16,546
8/31/2018 15,825 16,233
9/30/2018 16,104 16,360
10/31/2018 14,751 15,060
11/30/2018 14,641 15,047
12/31/2018 13,761 14,269
1/31/2019 14,835 15,287
2/28/2019 15,087 15,680
3/31/2019 14,926 15,760
4/30/2019 15,411 16,206
5/31/2019 14,252 15,440 Past performance is not predictive
6/30/2019 15,152 16,357 of future performance.
7/31/2019 14,660 16,160
8/31/2019 14,058 15,763 The returns shown do not reflect
9/30/2019 14,777 16,205 the deduction of taxes that a
10/31/2019 15,282 16,729 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------ MSCI data copyright MSCI 2019,
3.60% 2.64% 4.33% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE JAPANESE SMALL COMPANY SERIES VS.
MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Japanese Small Company MSCI Japan Small Cap Index
Series (net dividends)
------------------------- --------------------------
10/31/2009 $10,000 $10,000
11/30/2009 9,594 9,643
12/31/2009 9,558 9,462
1/31/2010 9,690 9,667
2/28/2010 9,881 9,850
3/31/2010 10,382 10,298
4/30/2010 10,692 10,577
5/31/2010 9,797 9,844
6/30/2010 9,952 9,887
7/31/2010 10,131 10,007
8/31/2010 9,857 9,795
9/30/2010 10,286 10,196
10/31/2010 10,072 10,112
11/30/2010 10,322 10,309
12/31/2010 11,277 11,349
1/31/2011 11,539 11,484
2/28/2011 12,076 11,946
3/31/2011 11,325 11,209
4/30/2011 11,265 11,219
5/31/2011 11,074 11,052
6/30/2011 11,635 11,464
7/31/2011 12,064 11,940
8/31/2011 11,742 11,452
9/30/2011 11,683 11,462
10/31/2011 11,086 11,039
11/30/2011 11,265 10,740
12/31/2011 11,205 10,908
1/31/2012 11,921 11,356
2/29/2012 11,933 11,479
3/31/2012 12,279 11,786
4/30/2012 12,029 11,615
5/31/2012 11,026 10,650
6/30/2012 11,611 11,105
7/31/2012 11,217 10,931
8/31/2012 11,229 10,869
9/30/2012 11,384 11,169
10/31/2012 11,146 10,928
11/30/2012 11,313 11,003
12/31/2012 11,730 11,345
1/31/2013 12,100 11,770
2/28/2013 12,399 12,169
3/31/2013 13,353 13,152
4/30/2013 14,057 14,017
5/31/2013 12,912 12,906
6/30/2013 13,031 12,871
7/31/2013 13,341 13,081
8/31/2013 13,043 12,904
9/30/2013 14,523 14,373
10/31/2013 14,558 14,314
11/30/2013 14,451 14,219
12/31/2013 14,558 14,334
1/31/2014 14,415 14,292
2/28/2014 14,356 13,975
3/31/2014 14,427 14,011
4/30/2014 14,212 13,751
5/31/2014 14,582 14,201
6/30/2014 15,621 15,207
7/31/2014 15,525 15,289
8/31/2014 15,668 15,179
9/30/2014 15,191 14,672
10/31/2014 14,916 14,279
11/30/2014 14,356 14,118
12/31/2014 14,487 14,266
1/31/2015 14,845 14,745
2/28/2015 15,453 15,276
3/31/2015 15,656 15,571
4/30/2015 16,038 15,862
5/31/2015 16,205 16,050
6/30/2015 16,539 16,284
7/31/2015 16,444 16,221
8/31/2015 15,943 15,666
9/30/2015 15,453 15,103
10/31/2015 16,265 16,111
11/30/2015 16,635 16,317
12/31/2015 16,575 16,452
1/31/2016 15,752 15,404
2/29/2016 15,203 15,245
3/31/2016 16,193 16,196
4/30/2016 16,396 16,901
5/31/2016 16,814 16,905
6/30/2016 16,742 16,805
7/31/2016 17,649 17,706
8/31/2016 17,232 17,079
9/30/2016 18,282 18,000
10/31/2016 18,628 18,240
11/30/2016 18,031 17,382
12/31/2016 18,174 17,697
1/31/2017 18,974 18,365
2/28/2017 19,618 18,929
3/31/2017 19,726 18,895
4/30/2017 19,952 19,218
5/31/2017 20,704 19,925
6/30/2017 21,169 20,112
7/31/2017 21,850 20,648
8/31/2017 22,327 21,033
9/30/2017 22,828 21,366
10/31/2017 23,675 22,098
11/30/2017 24,272 22,875
12/31/2017 24,761 23,228
1/31/2018 25,943 24,214
2/28/2018 25,370 23,921
3/31/2018 25,203 23,715
4/30/2018 25,155 23,747
5/31/2018 24,833 23,694
6/30/2018 24,177 22,968
7/31/2018 24,165 22,769
8/31/2018 23,819 22,623
9/30/2018 24,236 22,938
10/31/2018 21,909 20,769
11/30/2018 22,351 21,333
12/31/2018 20,012 19,514
1/31/2019 21,062 20,582
2/28/2019 21,420 20,814
3/31/2019 21,253 20,901
4/30/2019 21,599 21,084
5/31/2019 20,453 20,225
6/30/2019 21,265 20,718 Past performance is not predictive
7/31/2019 21,289 20,985 of future performance.
8/31/2019 20,740 20,782
9/30/2019 21,671 21,536 The returns shown do not reflect
10/31/2019 22,888 22,702 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2019,
4.47% 8.94% 8.63% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
174
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES VS.
MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Asia Pacific MSCI Pacific ex Japan
Small Company Series Small Cap Index (net dividends)
-------------------- -------------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,467 10,288
12/31/2009 10,744 10,699
1/31/2010 10,163 10,015
2/28/2010 10,345 10,140
3/31/2010 11,199 10,976
4/30/2010 11,354 11,283
5/31/2010 9,784 9,579
6/30/2010 9,666 9,524
7/31/2010 10,740 10,494
8/31/2010 10,728 10,470
9/30/2010 12,356 12,042
10/31/2010 12,891 12,577
11/30/2010 12,720 12,409
12/31/2010 13,968 13,661
1/31/2011 13,672 13,264
2/28/2011 13,759 13,336
3/31/2011 14,052 13,746
4/30/2011 14,651 14,302
5/31/2011 14,219 13,974
6/30/2011 13,741 13,478
7/31/2011 13,968 13,676
8/31/2011 12,997 12,725
9/30/2011 10,573 10,411
10/31/2011 12,227 12,117
11/30/2011 11,901 11,291
12/31/2011 11,206 10,929
1/31/2012 12,367 12,064
2/29/2012 13,300 13,002
3/31/2012 13,111 12,595
4/30/2012 13,058 12,663
5/31/2012 11,430 11,019
6/30/2012 11,673 11,173
7/31/2012 11,847 11,541
8/31/2012 12,246 11,725
9/30/2012 12,853 12,349
10/31/2012 13,141 12,603
11/30/2012 13,331 12,728
12/31/2012 13,957 13,047
1/31/2013 14,659 13,739
2/28/2013 14,723 13,902
3/31/2013 14,788 13,937
4/30/2013 14,545 13,826
5/31/2013 13,467 12,809
6/30/2013 12,515 11,713
7/31/2013 13,134 12,181
8/31/2013 13,240 12,287
9/30/2013 14,169 13,232
10/31/2013 14,583 13,464
11/30/2013 14,071 12,895
12/31/2013 14,245 12,957
1/31/2014 13,574 12,356
2/28/2014 14,359 13,021
3/31/2014 14,571 13,261
4/30/2014 14,609 13,348
5/31/2014 14,624 13,457
6/30/2014 14,738 13,530
7/31/2014 15,049 13,825
8/31/2014 15,285 13,931
9/30/2014 13,877 12,651
10/31/2014 14,078 12,801
11/30/2014 13,524 12,395
12/31/2014 13,134 12,084
1/31/2015 12,822 11,846
2/28/2015 13,448 12,421
3/31/2015 13,263 12,197
4/30/2015 14,336 12,897
5/31/2015 14,495 12,834
6/30/2015 13,475 11,910
7/31/2015 12,819 11,372
8/31/2015 11,726 10,312
9/30/2015 11,559 10,099
10/31/2015 12,413 10,923
11/30/2015 12,375 10,832
12/31/2015 12,720 11,016
1/31/2016 11,798 10,059
2/29/2016 11,976 10,305
3/31/2016 13,407 11,494
4/30/2016 13,589 11,701
5/31/2016 13,441 11,506
6/30/2016 13,665 11,584
7/31/2016 14,609 12,441
8/31/2016 14,507 12,348
9/30/2016 14,939 12,606
10/31/2016 14,484 12,076
11/30/2016 14,203 11,883
12/31/2016 14,052 11,841
1/31/2017 14,689 12,222
2/28/2017 15,106 12,572
3/31/2017 15,364 12,757
4/30/2017 15,216 12,705
5/31/2017 15,201 12,784
6/30/2017 15,770 13,179
7/31/2017 16,275 13,502
8/31/2017 16,449 13,656
9/30/2017 16,457 13,740
10/31/2017 16,832 14,099
11/30/2017 17,037 14,365
12/31/2017 17,656 14,918
1/31/2018 18,403 15,569
2/28/2018 17,803 15,086
3/31/2018 17,553 14,646
4/30/2018 17,500 14,719
5/31/2018 17,800 14,789
6/30/2018 17,284 14,364
7/31/2018 17,337 14,394
8/31/2018 16,946 14,158
9/30/2018 16,946 14,139
10/31/2018 15,463 12,830
11/30/2018 15,854 13,186
12/31/2018 14,989 12,509
1/31/2019 16,074 13,575
2/28/2019 16,646 13,982
3/31/2019 16,688 14,069
4/30/2019 16,976 14,262
5/31/2019 16,161 13,730 Past performance is not predictive
6/30/2019 16,597 14,354 of future performance.
7/31/2019 16,574 14,536
8/31/2019 15,554 13,815 The returns shown do not reflect
9/30/2019 15,960 14,058 the deduction of taxes that a
10/31/2019 16,278 14,256 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- MSCI data copyright MSCI 2019,
5.27% 2.95% 4.99% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE UNITED KINGDOM SMALL COMPANY SERIES VS.
MSCI UNITED KINGDOM SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The United Kingdom MSCI United Kingdom Small
Small Company Series cap Index (net dividends)
---------------------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 9,971 9,896
12/31/2009 10,180 10,140
1/31/2010 10,081 10,093
2/28/2010 9,735 9,641
3/31/2010 10,552 10,491
4/30/2010 10,942 10,910
5/31/2010 9,706 9,598
6/30/2010 9,890 9,640
7/31/2010 11,225 10,799
8/31/2010 10,813 10,506
9/30/2010 11,968 11,664
10/31/2010 12,594 12,161
11/30/2010 11,976 11,654
12/31/2010 13,201 12,874
1/31/2011 13,392 12,998
2/28/2011 13,797 13,341
3/31/2011 13,543 13,111
4/30/2011 14,742 14,313
5/31/2011 14,654 14,131
6/30/2011 14,187 13,655
7/31/2011 14,095 13,618
8/31/2011 12,689 12,229
9/30/2011 11,409 10,939
10/31/2011 12,620 12,134
11/30/2011 12,237 11,663
12/31/2011 11,858 11,274
1/31/2012 12,907 12,418
2/29/2012 13,959 13,571
3/31/2012 14,264 13,616
4/30/2012 14,511 13,847
5/31/2012 12,877 12,132
6/30/2012 13,510 12,709
7/31/2012 13,738 12,941
8/31/2012 14,492 13,626
9/30/2012 15,239 14,353
10/31/2012 15,574 14,650
11/30/2012 15,673 14,655
12/31/2012 16,538 15,330
1/31/2013 16,832 15,733
2/28/2013 16,987 15,822
3/31/2013 17,494 16,248
4/30/2013 17,940 16,654
5/31/2013 18,109 16,879
6/30/2013 17,712 16,270
7/31/2013 19,213 17,625
8/31/2013 19,352 17,867
9/30/2013 20,662 19,208
10/31/2013 21,402 19,884
11/30/2013 21,891 20,352
12/31/2013 23,102 21,335
1/31/2014 22,557 20,882
2/28/2014 24,584 22,907
3/31/2014 23,830 22,080
4/30/2014 23,440 21,552
5/31/2014 23,422 21,594
6/30/2014 23,403 21,543
7/31/2014 22,678 20,934
8/31/2014 23,024 21,154
9/30/2014 21,711 19,913
10/31/2014 21,663 19,786
11/30/2014 21,497 19,793
12/31/2014 21,847 20,118
1/31/2015 21,358 19,570
2/28/2015 23,366 21,503
3/31/2015 22,156 20,513
4/30/2015 23,554 21,829
5/31/2015 24,742 22,830
6/30/2015 24,680 22,858
7/31/2015 24,731 23,022
8/31/2015 23,694 22,116
9/30/2015 22,980 21,301
10/31/2015 23,819 22,244
11/30/2015 23,782 22,064
12/31/2015 23,532 21,828
1/31/2016 21,670 19,709
2/29/2016 21,284 19,503
3/31/2016 22,561 20,878
4/30/2016 22,678 21,158
5/31/2016 23,046 21,768
6/30/2016 20,143 18,674
7/31/2016 21,233 19,748
8/31/2016 21,689 20,078
9/30/2016 21,718 20,249
10/31/2016 20,052 18,710
11/30/2016 20,533 19,129
12/31/2016 20,931 19,546
1/31/2017 21,600 19,993
2/28/2017 21,932 20,461
3/31/2017 22,498 20,788
4/30/2017 24,205 22,455
5/31/2017 24,470 22,908
6/30/2017 23,988 22,391
7/31/2017 24,934 23,368
8/31/2017 24,485 23,107
9/30/2017 25,765 24,277
10/31/2017 26,041 24,721
11/30/2017 26,019 24,812
12/31/2017 27,001 25,889
1/31/2018 27,870 26,818
2/28/2018 25,964 25,218
3/31/2018 26,405 25,504
4/30/2018 27,259 26,414
5/31/2018 27,211 26,330
6/30/2018 26,976 26,120
7/31/2018 26,832 26,034
8/31/2018 26,424 25,648
9/30/2018 26,118 25,112
10/31/2018 23,723 22,780
11/30/2018 23,068 21,888
12/31/2018 21,762 20,712
1/31/2019 24,040 23,020
2/28/2019 25,007 23,914
3/31/2019 24,757 23,768
4/30/2019 25,986 24,920
5/31/2019 24,102 23,197
6/30/2019 24,864 23,705 Past performance is not predictive
7/31/2019 23,966 22,981 of future performance.
8/31/2019 23,642 22,380
9/30/2019 24,798 23,454 The returns shown do not reflect
10/31/2019 26,255 24,923 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------- MSCI data copyright MSCI 2019,
10.67% 3.92% 10.13% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
175
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES VS.
MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Continental MSCI Europe ex UK Small
Small Company Series cap Index (net dividends)
---------------------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,304 10,206
12/31/2009 10,272 10,252
1/31/2010 10,103 10,115
2/28/2010 9,890 9,827
3/31/2010 10,625 10,624
4/30/2010 10,525 10,557
5/31/2010 9,029 8,924
6/30/2010 8,973 8,790
7/31/2010 10,047 9,844
8/31/2010 9,588 9,376
9/30/2010 10,907 10,823
10/31/2010 11,537 11,517
11/30/2010 10,642 10,644
12/31/2010 12,023 12,135
1/31/2011 12,366 12,409
2/28/2011 12,579 12,619
3/31/2011 13,003 13,045
4/30/2011 13,883 13,956
5/31/2011 13,415 13,424
6/30/2011 12,984 12,991
7/31/2011 12,251 12,202
8/31/2011 10,993 10,927
9/30/2011 9,338 9,286
10/31/2011 10,297 10,303
11/30/2011 9,618 9,498
12/31/2011 9,240 9,175
1/31/2012 10,120 10,085
2/29/2012 10,770 10,859
3/31/2012 10,789 10,771
4/30/2012 10,539 10,592
5/31/2012 9,100 9,139
6/30/2012 9,500 9,590
7/31/2012 9,404 9,556
8/31/2012 9,833 9,972
9/30/2012 10,353 10,509
10/31/2012 10,532 10,690
11/30/2012 10,674 10,854
12/31/2012 11,319 11,439
1/31/2013 12,177 12,371
2/28/2013 12,057 12,333
3/31/2013 11,787 12,016
4/30/2013 12,273 12,482
5/31/2013 12,501 12,766
6/30/2013 12,089 12,198
7/31/2013 13,143 13,307
8/31/2013 13,160 13,282
9/30/2013 14,312 14,418
10/31/2013 15,131 15,286
11/30/2013 15,406 15,558
12/31/2013 15,840 15,962
1/31/2014 15,742 15,830
2/28/2014 17,127 17,213
3/31/2014 17,215 17,228
4/30/2014 17,384 17,300
5/31/2014 17,455 17,494
6/30/2014 17,303 17,323
7/31/2014 16,293 16,302
8/31/2014 16,100 16,171
9/30/2014 15,241 15,279
10/31/2014 14,790 14,780
11/30/2014 15,146 15,213
12/31/2014 14,665 14,850
1/31/2015 14,766 14,884
2/28/2015 15,786 15,983
3/31/2015 15,710 15,821
4/30/2015 16,551 16,668
5/31/2015 16,570 16,557
6/30/2015 16,225 16,165
7/31/2015 16,681 16,765
8/31/2015 16,058 16,117
9/30/2015 15,492 15,572
10/31/2015 16,242 16,463
11/30/2015 16,215 16,419
12/31/2015 16,421 16,663
1/31/2016 15,308 15,346
2/29/2016 15,283 15,399
3/31/2016 16,587 16,780
4/30/2016 16,931 16,990
5/31/2016 16,967 17,063
6/30/2016 16,038 15,954
7/31/2016 17,100 16,989
8/31/2016 17,323 17,134
9/30/2016 17,754 17,545
10/31/2016 17,232 16,893
11/30/2016 16,595 16,206
12/31/2016 17,455 17,063
1/31/2017 18,223 17,730
2/28/2017 18,416 17,932
3/31/2017 19,208 18,676
4/30/2017 20,400 19,825
5/31/2017 21,522 20,893
6/30/2017 21,532 20,791
7/31/2017 22,358 21,733
8/31/2017 22,415 21,919
9/30/2017 23,170 22,669
10/31/2017 23,138 22,676
11/30/2017 23,185 22,790
12/31/2017 23,685 23,373
1/31/2018 25,322 24,971
2/28/2018 24,251 23,870
3/31/2018 23,891 23,431
4/30/2018 23,949 23,826
5/31/2018 23,479 23,236
6/30/2018 23,008 22,947
7/31/2018 23,643 23,524
8/31/2018 23,359 23,312
9/30/2018 22,908 22,838
10/31/2018 20,645 20,523
11/30/2018 20,181 19,848
12/31/2018 19,110 18,738
1/31/2019 20,625 20,340
2/28/2019 21,064 20,733
3/31/2019 21,020 20,781
4/30/2019 22,152 21,655 Past performance is not predictive
5/31/2019 20,728 20,325 of future performance.
6/30/2019 22,167 21,677
7/31/2019 21,451 21,230 The returns shown do not reflect
8/31/2019 21,037 20,628 the deduction of taxes that a
9/30/2019 21,390 20,922 shareholder would pay on fund
10/31/2019 22,385 21,806 distributions or the redemption of
fund shares.
AVERAGE ANNUAL ONE FIVE TEN MSCI data copyright MSCI 2019,
TOTAL RETURN YEAR YEARS YEARS all rights reserved. SCI data
------------------------------------------------------------- copyright MSCI 2019, all rights
8.43% 8.64% 8.39% reserved.
--------------------------------------------------------------------------------
THE CANADIAN SMALL COMPANY SERIES VS.
MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Canadian MSCI Canada Small Cap
Small Company Series Index (net dividends)
-------------------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,851 10,839
12/31/2009 11,546 11,476
1/31/2010 11,005 10,999
2/28/2010 11,662 11,731
3/31/2010 12,590 12,732
4/30/2010 13,041 13,263
5/31/2010 11,791 12,093
6/30/2010 11,250 11,526
7/31/2010 12,165 12,464
8/31/2010 12,023 12,425
9/30/2010 13,441 13,785
10/31/2010 14,317 14,620
11/30/2010 15,013 15,235
12/31/2010 16,546 16,637
1/31/2011 16,469 16,442
2/28/2011 17,603 17,529
3/31/2011 17,629 17,533
4/30/2011 17,964 18,065
5/31/2011 17,216 17,338
6/30/2011 16,263 16,454
7/31/2011 16,508 16,889
8/31/2011 15,258 15,885
9/30/2011 12,371 12,977
10/31/2011 14,356 14,827
11/30/2011 13,853 14,440
12/31/2011 13,634 14,143
1/31/2012 14,807 15,302
2/29/2012 15,374 15,850
3/31/2012 14,691 15,012
4/30/2012 14,356 14,891
5/31/2012 12,680 13,155
6/30/2012 12,706 13,114
7/31/2012 13,054 13,568
8/31/2012 13,608 14,132
9/30/2012 14,188 14,845
10/31/2012 13,995 14,579
11/30/2012 13,763 14,253
12/31/2012 14,085 14,486
1/31/2013 14,497 14,782
2/28/2013 13,789 14,066
3/31/2013 14,188 14,398
4/30/2013 13,724 14,073
5/31/2013 13,505 13,727
6/30/2013 12,951 12,881
7/31/2013 13,905 13,871
8/31/2013 13,776 13,716
9/30/2013 14,394 14,245
10/31/2013 14,794 14,565
11/30/2013 14,601 14,210
12/31/2013 14,961 14,564
1/31/2014 14,497 14,073
2/28/2014 15,425 15,051
3/31/2014 15,644 15,185
4/30/2014 16,327 15,765
5/31/2014 16,353 15,779
6/30/2014 17,590 17,120
7/31/2014 16,765 16,372
8/31/2014 17,345 16,935
9/30/2014 15,361 15,143
10/31/2014 14,227 14,129
11/30/2014 13,827 13,734
12/31/2014 13,505 13,376
1/31/2015 12,139 12,107
2/28/2015 12,887 12,788
3/31/2015 12,307 12,238
4/30/2015 13,660 13,438
5/31/2015 13,183 12,987
6/30/2015 12,642 12,541
7/31/2015 11,095 11,311
8/31/2015 10,786 10,734
9/30/2015 10,013 10,092
10/31/2015 10,670 10,635
11/30/2015 10,271 10,332
12/31/2015 9,781 9,602
1/31/2016 9,330 9,173
2/29/2016 10,116 9,934
3/31/2016 11,198 11,087
4/30/2016 12,835 12,447
5/31/2016 12,345 11,994
6/30/2016 12,951 12,500
7/31/2016 13,351 13,026
8/31/2016 13,067 12,622
9/30/2016 13,338 12,781
10/31/2016 12,887 12,237
11/30/2016 13,209 12,333
12/31/2016 13,544 12,566
1/31/2017 14,149 13,096
2/28/2017 13,840 12,964
3/31/2017 14,085 13,106
4/30/2017 13,531 12,655
5/31/2017 13,351 12,553
6/30/2017 13,930 13,054
7/31/2017 14,343 13,374
8/31/2017 14,523 13,516
9/30/2017 14,781 13,731
10/31/2017 14,446 13,529
11/30/2017 14,381 13,472
12/31/2017 15,052 14,192
1/31/2018 15,077 14,198
2/28/2018 13,982 13,126
3/31/2018 13,879 13,034
4/30/2018 14,510 13,471
5/31/2018 14,742 13,736
6/30/2018 14,639 13,817
7/31/2018 14,665 13,778
8/31/2018 14,330 13,847
9/30/2018 14,227 13,739
10/31/2018 12,938 12,558
11/30/2018 12,204 12,060
12/31/2018 11,521 11,339
1/31/2019 12,848 12,833
2/28/2019 13,093 13,211
3/31/2019 12,861 12,916
4/30/2019 12,861 12,876
5/31/2019 12,088 12,252
6/30/2019 13,131 13,214 Past performance is not predictive
7/31/2019 13,441 13,520 of future performance.
8/31/2019 13,235 13,420
9/30/2019 13,144 13,418 The returns shown do not reflect
10/31/2019 13,067 13,368 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI 2019,
1.00% -1.69% 2.71% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
176
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Emerging MSCI Emerging Markets
Markets Series Index (net dividends)
----------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,598 10,430
12/31/2009 10,981 10,841
1/31/2010 10,383 10,237
2/28/2010 10,510 10,273
3/31/2010 11,392 11,102
4/30/2010 11,461 11,237
5/31/2010 10,397 10,248
6/30/2010 10,413 10,173
7/31/2010 11,331 11,020
8/31/2010 11,069 10,806
9/30/2010 12,329 12,007
10/31/2010 12,704 12,356
11/30/2010 12,420 12,029
12/31/2010 13,432 12,888
1/31/2011 13,084 12,538
2/28/2011 12,993 12,421
3/31/2011 13,718 13,152
4/30/2011 14,198 13,560
5/31/2011 13,807 13,204
6/30/2011 13,644 13,001
7/31/2011 13,539 12,943
8/31/2011 12,445 11,786
9/30/2011 10,562 10,068
10/31/2011 11,885 11,402
11/30/2011 11,475 10,642
12/31/2011 11,141 10,513
1/31/2012 12,335 11,706
2/29/2012 13,004 12,407
3/31/2012 12,668 11,993
4/30/2012 12,442 11,850
5/31/2012 11,103 10,521
6/30/2012 11,654 10,927
7/31/2012 11,748 11,140
8/31/2012 11,827 11,103
9/30/2012 12,489 11,773
10/31/2012 12,426 11,701
11/30/2012 12,588 11,850
12/31/2012 13,327 12,429
1/31/2013 13,396 12,601
2/28/2013 13,241 12,442
3/31/2013 13,054 12,228
4/30/2013 13,203 12,320
5/31/2013 12,776 12,004
6/30/2013 11,974 11,240
7/31/2013 12,150 11,357
8/31/2013 11,866 11,162
9/30/2013 12,712 11,888
10/31/2013 13,294 12,466
11/30/2013 13,095 12,284
12/31/2013 12,963 12,106
1/31/2014 12,064 11,320
2/28/2014 12,503 11,695
3/31/2014 12,944 12,054
4/30/2014 13,021 12,094
5/31/2014 13,465 12,516
6/30/2014 13,840 12,849
7/31/2014 14,005 13,097
8/31/2014 14,443 13,392
9/30/2014 13,382 12,400
10/31/2014 13,525 12,546
11/30/2014 13,396 12,413
12/31/2014 12,792 11,841
1/31/2015 12,878 11,912
2/28/2015 13,272 12,281
3/31/2015 12,996 12,106
4/30/2015 13,867 13,037
5/31/2015 13,310 12,515
6/30/2015 12,991 12,190
7/31/2015 12,158 11,345
8/31/2015 11,155 10,319
9/30/2015 10,857 10,009
10/31/2015 11,516 10,723
11/30/2015 11,116 10,304
12/31/2015 10,813 10,075
1/31/2016 10,361 9,421
2/29/2016 10,298 9,406
3/31/2016 11,662 10,650
4/30/2016 11,734 10,708
5/31/2016 11,279 10,309
6/30/2016 11,874 10,721
7/31/2016 12,486 11,260
8/31/2016 12,638 11,540
9/30/2016 12,806 11,689
10/31/2016 12,834 11,716
11/30/2016 12,169 11,177
12/31/2016 12,175 11,202
1/31/2017 12,902 11,815
2/28/2017 13,338 12,176
3/31/2017 13,768 12,484
4/30/2017 14,038 12,757
5/31/2017 14,460 13,134
6/30/2017 14,598 13,266
7/31/2017 15,369 14,057
8/31/2017 15,695 14,371
9/30/2017 15,546 14,314
10/31/2017 16,075 14,815
11/30/2017 16,127 14,845
12/31/2017 16,679 15,378
1/31/2018 17,941 16,660
2/28/2018 17,081 15,891
3/31/2018 17,001 15,596
4/30/2018 16,786 15,527
5/31/2018 16,130 14,977
6/30/2018 15,444 14,355
7/31/2018 16,006 14,670
8/31/2018 15,642 14,273
9/30/2018 15,458 14,198
10/31/2018 14,173 12,961
11/30/2018 14,793 13,495
12/31/2018 14,457 13,138
1/31/2019 15,642 14,288
2/28/2019 15,507 14,320
3/31/2019 15,648 14,440
4/30/2019 15,899 14,744
5/31/2019 14,959 13,675
6/30/2019 15,797 14,528 Past performance is not predictive
7/31/2019 15,411 14,350 of future performance.
8/31/2019 14,793 13,651
9/30/2019 15,179 13,911 The returns shown do not reflect
10/31/2019 15,788 14,498 the deduction of taxes that a
shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI 2019,
11.40% 3.14% 4.67% all rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Emerging Markets MSCI Emerging Markets
Small Cap Series Index (net dividends)
------------------------ -----------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,595 10,430
12/31/2009 11,179 10,841
1/31/2010 10,689 10,237
2/28/2010 10,874 10,273
3/31/2010 11,805 11,102
4/30/2010 12,001 11,237
5/31/2010 10,798 10,248
6/30/2010 11,088 10,173
7/31/2010 12,110 11,020
8/31/2010 12,170 10,806
9/30/2010 13,652 12,007
10/31/2010 14,197 12,356
11/30/2010 13,818 12,029
12/31/2010 14,614 12,888
1/31/2011 14,001 12,538
2/28/2011 13,594 12,421
3/31/2011 14,353 13,152
4/30/2011 15,112 13,560
5/31/2011 14,776 13,204
6/30/2011 14,773 13,001
7/31/2011 14,943 12,943
8/31/2011 13,529 11,786
9/30/2011 11,127 10,068
10/31/2011 12,360 11,402
11/30/2011 11,763 10,642
12/31/2011 11,450 10,513
1/31/2012 12,746 11,706
2/29/2012 13,792 12,407
3/31/2012 13,443 11,993
4/30/2012 13,122 11,850
5/31/2012 11,927 10,521
6/30/2012 12,384 10,927
7/31/2012 12,238 11,140
8/31/2012 12,559 11,103
9/30/2012 13,294 11,773
10/31/2012 13,250 11,701
11/30/2012 13,485 11,850
12/31/2012 14,319 12,429
1/31/2013 14,588 12,601
2/28/2013 14,742 12,442
3/31/2013 14,679 12,228
4/30/2013 14,979 12,320
5/31/2013 14,773 12,004
6/30/2013 13,495 11,240
7/31/2013 13,563 11,357
8/31/2013 13,002 11,162
9/30/2013 13,957 11,888
10/31/2013 14,497 12,466
11/30/2013 14,296 12,284
12/31/2013 14,184 12,106
1/31/2014 13,581 11,320
2/28/2014 14,191 11,695
3/31/2014 14,682 12,054
4/30/2014 14,804 12,094
5/31/2014 15,313 12,516
6/30/2014 15,715 12,849
7/31/2014 15,754 13,097
8/31/2014 16,244 13,392
9/30/2014 15,443 12,400
10/31/2014 15,308 12,546
11/30/2014 15,141 12,413
12/31/2014 14,679 11,841
1/31/2015 14,919 11,912
2/28/2015 15,305 12,281
3/31/2015 15,193 12,106
4/30/2015 16,278 13,037
5/31/2015 16,059 12,515
6/30/2015 15,514 12,190
7/31/2015 14,567 11,345
8/31/2015 13,146 10,319
9/30/2015 13,127 10,009
10/31/2015 13,865 10,723
11/30/2015 13,584 10,304
12/31/2015 13,461 10,075
1/31/2016 12,666 9,421
2/29/2016 12,613 9,406
3/31/2016 14,168 10,650
4/30/2016 14,533 10,708
5/31/2016 13,931 10,309
6/30/2016 14,703 10,721
7/31/2016 15,561 11,260
8/31/2016 15,662 11,540
9/30/2016 15,926 11,689
10/31/2016 15,869 11,716
11/30/2016 14,909 11,177
12/31/2016 15,003 11,202
1/31/2017 15,879 11,815
2/28/2017 16,716 12,176
3/31/2017 17,240 12,484
4/30/2017 17,465 12,757
5/31/2017 17,540 13,134
6/30/2017 17,655 13,266
7/31/2017 18,404 14,057
8/31/2017 18,829 14,371
9/30/2017 18,745 14,314
10/31/2017 19,288 14,815
11/30/2017 19,588 14,845
12/31/2017 20,381 15,378
1/31/2018 21,716 16,660
2/28/2018 20,803 15,891
3/31/2018 20,694 15,596
4/30/2018 20,498 15,527
5/31/2018 20,047 14,977
6/30/2018 18,709 14,355
7/31/2018 19,017 14,670
8/31/2018 18,466 14,273
9/30/2018 17,879 14,198
10/31/2018 16,189 12,961
11/30/2018 17,191 13,495
12/31/2018 16,875 13,138
1/31/2019 18,130 14,288
2/28/2019 18,192 14,320
3/31/2019 18,388 14,440
4/30/2019 18,565 14,744
5/31/2019 17,653 13,675 Past performance is not predictive
6/30/2019 18,550 14,528 of future performance.
7/31/2019 18,101 14,350
8/31/2019 17,347 13,651 The returns shown do not reflect
9/30/2019 17,692 13,911 the deduction of taxes that a
10/31/2019 18,370 14,498 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------- MSCI data copyright MSCI 2019,
13.47% 3.71% 6.27% all rights reserved.
--------------------------------------------------------------------------------
177
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed large-cap stocks but outperformed small-cap stocks. Value stocks
underperformed growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI World ex USA Index................. 11.08%
MSCI World ex USA Mid Cap Index......... 10.71%
MSCI World ex USA Small Cap Index....... 8.61%
MSCI World ex USA Value Index........... 5.95%
MSCI World ex USA Growth Index.......... 16.25%
For the 12 Months Ended October 31, 2019, the U.S. dollar appreciated
against some non-U.S. developed markets currencies and depreciated against
others. Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of developed markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST FOREIGN DEVELOPED
MARKETS BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
----------------------------- ------------ ----------------------
Japan......................... 4.57% 9.16%
United Kingdom................ 5.73% 7.08%
France........................ 14.29% 12.54%
Canada........................ 11.54% 11.45%
Switzerland................... 16.43% 18.69%
Germany....................... 9.14% 7.46%
Australia..................... 20.12% 16.76%
Netherlands................... 21.77% 20.09%
Hong Kong..................... 15.60% 15.63%
Spain......................... 7.47% 5.82%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
Emerging markets had positive performance for the period, outperforming
non-U.S. developed markets but underperforming the U.S. As measured by the MSCI
emerging markets indices, small-cap stocks underperformed large-cap stocks, and
mid-cap stocks, a subset of the large-cap universe, underperformed large-cap
stocks but outperformed small-cap stocks. Value stocks underperformed growth
stocks as measured by the MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN U.S. DOLLARS
----------------------
MSCI Emerging Markets Index............. 11.86%
MSCI Emerging Markets Mid Cap Index..... 11.08%
MSCI Emerging Markets Small Cap Index... 9.69%
MSCI Emerging Markets Value Index....... 6.00%
MSCI Emerging Markets Growth Index...... 17.97%
178
For the 12 Months Ended October 31, 2019, the U.S. dollar depreciated
against some emerging markets currencies and appreciated against others.
Overall, currency movements had a positive impact on the U.S. dollar-
denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST EMERGING MARKETS
BY MARKET CAP LOCAL RETURN RETURN IN U.S. DOLLARS
---------------------------- ------------ ----------------------
China......................... 12.94% 12.90%
Korea......................... 7.43% 5.22%
Taiwan........................ 20.39% 22.38%
India......................... 12.67% 17.46%
Brazil........................ 22.35% 13.21%
South Africa.................. 10.59% 8.41%
Russia........................ 31.36% 34.30%
Thailand...................... -4.10% 5.28%
Mexico........................ 1.02% 6.71%
Saudi Arabia.................. -1.29% -1.27%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2019,
these differences generally detracted from the Portfolios' relative performance.
THE DFA INTERNATIONAL VALUE SERIES
The DFA International Value Series invests in developed ex U.S. large
company value stocks. The investment strategy is process driven, emphasizing
broad diversification, with increased exposure to stocks with smaller total
market capitalizations, lower relative price (value), and higher-profitability
within the large-cap value segment of developed ex U.S. markets. As of
October 31, 2019, the Series held approximately 550 securities in 22 eligible
developed markets. Average cash exposure throughout the year was less than 1%
of the Series' assets.
For the 12 months ended October 31, 2019, total returns were 3.60% for the
Series and 11.08% for the MSCI World ex USA Index (net dividends), the Series'
benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in developed ex U.S.
equity markets rather than by the behavior of a limited number of stocks. With
low relative price (value) stocks underperforming high relative price (growth)
stocks for the period, the Series' focus on value stocks detracted from
performance relative to the style-neutral benchmark.
THE JAPANESE SMALL COMPANY SERIES
The Japanese Small Company Series invests in Japanese small company stocks.
The Series generally excluded stocks with the lowest profitability and highest
relative price. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Series held approximately 1,800
securities. Average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2019, total returns were 4.47% for the
Series and 9.31% for the MSCI Japan Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Japanese equity
market rather than by the behavior of a limited number of stocks. The Series'
greater allocations to small- and micro-caps detracted from
179
performance relative to the benchmark, as stocks with smaller market
capitalizations underperformed. The Series' exclusion of stocks with the lowest
profitability and highest relative price had a negative impact on relative
performance, as those stocks outperformed. At the sector level, the Series'
exclusion of real estate investment trusts (REITs) detracted from relative
performance, as REITs generally outperformed in Japan.
THE ASIA PACIFIC SMALL COMPANY SERIES
The Asia Pacific Small Company Series invests in small company stocks in
Australia, Hong Kong, New Zealand, and Singapore. The Series generally excluded
stocks with the lowest profitability and highest relative price. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Series held approximately 810 securities in 4 eligible
countries. Average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2019, total returns were 5.27% for the
Series and 11.11% for the MSCI Pacific ex Japan Small Cap Index (net
dividends), the Series' benchmark. As a result of the Series' diversified
investment approach, performance was determined principally by broad trends in
Asia Pacific equity markets rather than by the behavior of a limited number of
stocks. The Series' greater emphasis on stocks with smaller market
capitalizations detracted from performance relative to the benchmark, as
small-caps underperformed mid-caps in Asia Pacific (ex Japan) markets for the
period. At the sector level, the Series' exclusion of real estate investment
trusts (REITs) also detracted from relative performance, as REITs generally
outperformed in Asia Pacific (ex Japan) markets. The Series' exclusion of
stocks with the lowest profitability and highest relative price had a negative
impact on relative performance, as those securities also outperformed.
THE UNITED KINGDOM SMALL COMPANY SERIES
The United Kingdom Small Company Series invests in small company stocks in
the U.K. The Series generally excluded stocks with the lowest profitability and
highest relative price. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2019, the Series held approximately
350 securities. Average cash exposure throughout the year was less than 1% of
the Series' assets.
For the 12 months ended October 31, 2019, total returns were 10.67% for the
Series and 9.41% for the MSCI United Kingdom Small Cap Index (net dividends),
the Series' benchmark. As a result of the Series' diversified investment
approach, performance was determined principally by broad trends in the U.K.
equity market rather than by the behavior of a limited number of stocks. The
Series' exclusion of stocks with the lowest profitability and highest relative
price contributed positively to performance relative to the benchmark, as those
securities underperformed for the period. Conversely, at the sector level, the
Series' exclusion of real estate investment trusts (REITs) detracted from
relative performance, as REITs generally outperformed in the U.K.
THE CONTINENTAL SMALL COMPANY SERIES
The Continental Small Company Series invests in small company stocks in the
developed markets of Europe (excluding the U.K.) and Israel. The Series
generally excluded stocks with the lowest profitability and highest relative
price. The investment strategy is process driven, emphasizing broad
diversification. As of October 31, 2019, the Series held approximately 1,100
securities in 15 eligible countries. Average cash exposure throughout the year
was less than 1% of the Series' assets.
For the 12 months ended October 31, 2019, total returns were 8.43% for the
Series and 6.25% for the MSCI Europe ex U.K. Small Cap Index (net dividends),
the Series' benchmark. As a result of the Series' diversified investment
approach, performance was determined principally by broad trends in eligible
markets rather than by the behavior of a limited number of stocks. The Series
and its benchmark use different methodologies to determine which small-cap
stocks are eligible for purchase or to hold. This methodology variance led to
country-by-country differences between the maximum market capitalization of
small-cap stocks bought and held by the Series relative to the benchmark, which
in turn led to differences in holdings between the Series and the benchmark.
These holdings differences contributed positively to the Series' performance
relative to the benchmark. The Series' exclusion of stocks with the lowest
profitability and highest relative price also contributed positively to
relative performance, as those securities underperformed for the year.
Conversely, at the sector level, the Series' exclusion of real estate
180
investment trusts (REITs) detracted from relative performance, as REITs
generally outperformed in eligible markets.
THE CANADIAN SMALL COMPANY SERIES
The Canadian Small Company Series invests in small company stocks in Canada.
The Series generally excluded stocks with the lowest profitability and highest
relative price. The investment strategy is process-driven, emphasizing broad
diversification. As of October 31, 2019, the Series held approximately 320
securities. Average cash exposure throughout the year was less than 1% of the
Series' assets.
For the 12 months ended October 31, 2019, total returns were 1.00% for the
Series and 6.45% for the MSCI Canada Small Cap Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was determined principally by broad trends in the Canadian equity
market rather than by the behavior of a limited number of stocks. The Series'
greater exposure to small-cap stocks with smaller relative market
capitalizations detracted from performance relative to the benchmark, as stocks
with smaller market capitalizations underperformed in Canada for the period. At
the sector level, the Series' exclusion of real estate investment trusts
(REITs) also detracted from relative performance, as REITs generally
outperformed in Canada.
THE EMERGING MARKETS SERIES
The Emerging Markets Series invests in large-cap stocks in emerging markets.
The investment strategy is process driven, emphasizing broad diversification
with increased exposure to stocks with smaller market capitalizations, lower
relative price (value), and higher-profitability within the large-cap segment
of emerging markets. As of October 31, 2019, the Series held approximately
1,200 securities in 21 eligible emerging markets. Average cash exposure
throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2019, total returns were 11.40% for the
Series and 11.86% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Series' greater
emphasis on low relative price (value) stocks had a negative impact on
performance relative to the benchmark, as value stocks underperformed high
relative price (growth) stocks in emerging markets for the period.
THE EMERGING MARKETS SMALL CAP SERIES
The Emerging Markets Small Cap Series invests in small company stocks in
emerging markets. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2019, the Series
held approximately 4,200 securities in 18 eligible emerging markets. Average
cash exposure throughout the year was less than 1% of the Series' assets.
For the 12 months ended October 31, 2019, total returns were 13.47% for the
Series and 11.86% for the MSCI Emerging Markets Index (net dividends), the
Series' benchmark. As a result of the Series' diversified investment approach,
performance was principally determined by broad trends in emerging markets
rather than by the behavior of a limited number of stocks. The Series' greater
allocations to Taiwan and Brazil had a positive impact on relative performance,
as small-caps in Taiwan and Brazil outperformed for the period.
181
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE DFA INTERNATIONAL VALUE SERIES
----------------------------------
Actual Fund Return................. $1,000.00 $ 991.60 0.22% $1.10
Hypothetical 5% Annual Return...... $1,000.00 $1,024.10 0.22% $1.12
THE JAPANESE SMALL COMPANY SERIES
---------------------------------
Actual Fund Return................. $1,000.00 $1,059.70 0.12% $0.62
Hypothetical 5% Annual Return...... $1,000.00 $1,024.60 0.12% $0.61
182
DISCLOSURE OF FUND EXPENSES
CONTINUED
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE ASIA PACIFIC SMALL COMPANY SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 958.90 0.13% $0.64
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE UNITED KINGDOM SMALL COMPANY SERIES
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,010.30 0.12% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE CONTINENTAL SMALL COMPANY SERIES
------------------------------------
Actual Fund Return...................... $1,000.00 $1,010.50 0.13% $0.66
Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
THE CANADIAN SMALL COMPANY SERIES
---------------------------------
Actual Fund Return...................... $1,000.00 $1,016.00 0.12% $0.61
Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61
THE EMERGING MARKETS SERIES
---------------------------
Actual Fund Return...................... $1,000.00 $ 993.10 0.15% $0.75
Hypothetical 5% Annual Return........... $1,000.00 $1,024.45 0.15% $0.77
THE EMERGING MARKETS SMALL CAP SERIES
-------------------------------------
Actual Fund Return...................... $1,000.00 $ 989.50 0.25% $1.25
Hypothetical 5% Annual Return........... $1,000.00 $1,023.95 0.25% $1.28
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
183
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 as an exhibit to their
reports on Form N-PORT. For The DFA Investment Trust Company, this would be for
the fiscal quarters ending January 31 and July 31. Such 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-PORT with the SEC on September 27 and 30,
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.
INTERNATIONAL EQUITY PORTFOLIOS
THE DFA INTERNATIONAL VALUE SERIES
Communication Services............. 4.6%
Consumer Discretionary............. 16.3%
Consumer Staples................... 3.9%
Energy............................. 12.6%
Financials......................... 30.1%
Health Care........................ 4.7%
Industrials........................ 10.2%
Information Technology............. 1.6%
Materials.......................... 11.9%
Real Estate........................ 3.0%
Utilities.......................... 1.1%
-----
100.0%
THE JAPANESE SMALL COMPANY SERIES
Communication Services............. 2.7%
Consumer Discretionary............. 18.4%
Consumer Staples................... 7.2%
Energy............................. 1.4%
Financials......................... 8.3%
Health Care........................ 4.6%
Industrials........................ 30.5%
Information Technology............. 13.2%
Materials.......................... 10.3%
Real Estate........................ 2.2%
Utilities.......................... 1.2%
-----
100.0%
THE ASIA PACIFIC SMALL COMPANY SERIES
Communication Services............. 8.8%
Consumer Discretionary............. 19.3%
Consumer Staples................... 6.5%
Energy............................. 2.4%
Financials......................... 12.0%
Health Care........................ 5.4%
Industrials........................ 13.5%
Information Technology............. 8.4%
Materials.......................... 13.4%
Real Estate........................ 7.4%
Utilities.......................... 2.9%
-----
100.0%
184
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
THE UNITED KINGDOM SMALL COMPANY SERIES
Communication Services............. 4.7%
Consumer Discretionary............. 21.8%
Consumer Staples................... 5.2%
Energy............................. 3.8%
Financials......................... 13.8%
Health Care........................ 3.2%
Industrials........................ 28.9%
Information Technology............. 6.5%
Materials.......................... 5.6%
Real Estate........................ 4.4%
Utilities.......................... 2.1%
-----
100.0%
THE CONTINENTAL SMALL COMPANY SERIES
Communication Services............. 7.0%
Consumer Discretionary............. 9.6%
Consumer Staples................... 4.8%
Energy............................. 3.5%
Financials......................... 13.0%
Health Care........................ 6.8%
Industrials........................ 25.1%
Information Technology............. 10.8%
Materials.......................... 7.2%
Real Estate........................ 7.5%
Utilities.......................... 4.7%
-----
100.0%
THE CANADIAN SMALL COMPANY SERIES
Communication Services............. 2.3%
Consumer Discretionary............. 5.5%
Consumer Staples................... 4.6%
Energy............................. 14.9%
Financials......................... 10.6%
Health Care........................ 1.8%
Industrials........................ 11.5%
Information Technology............. 4.0%
Materials.......................... 33.2%
Real Estate........................ 4.7%
Utilities.......................... 6.9%
-----
100.0%
THE EMERGING MARKETS SERIES
Communication Services............. 9.2%
Consumer Discretionary............. 9.7%
Consumer Staples................... 8.0%
Energy............................. 7.5%
Financials......................... 21.9%
Health Care........................ 2.5%
Industrials........................ 7.0%
Information Technology............. 19.3%
Materials.......................... 9.5%
Real Estate........................ 2.6%
Utilities.......................... 2.8%
-----
100.0%
THE EMERGING MARKETS SMALL CAP SERIES
Communication Services............. 3.5%
Consumer Discretionary............. 14.8%
Consumer Staples................... 7.4%
Energy............................. 1.6%
Financials......................... 8.6%
Health Care........................ 6.9%
Industrials........................ 14.9%
Information Technology............. 16.1%
Materials.......................... 12.6%
Real Estate........................ 7.7%
Utilities.......................... 5.9%
-----
100.0%
185
THE DFA INTERNATIONAL VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (96.6%)
AUSTRALIA -- (6.5%)
Australia & New Zealand Banking Group, Ltd....................... 10,445,267 $ 191,953,787 1.5%
National Australia Bank, Ltd..................................... 5,095,804 100,026,219 0.8%
Woodside Petroleum, Ltd.......................................... 3,123,201 69,220,947 0.6%
Other Securities................................................. 448,988,061 3.6%
-------------- ----
TOTAL AUSTRALIA...................................................... 810,189,014 6.5%
-------------- ----
AUSTRIA -- (0.1%)
Other Security................................................... 8,691,555 0.1%
-------------- ----
BELGIUM -- (1.0%)
Other Securities................................................. 124,444,141 1.0%
-------------- ----
CANADA -- (8.1%)
Bank of Montreal, (2073174)...................................... 1,357,448 100,437,577 0.8%
# Bank of Nova Scotia (The)........................................ 1,142,490 65,498,952 0.5%
Canadian Natural Resources, Ltd.................................. 2,927,565 73,833,189 0.6%
Magna International, Inc......................................... 1,359,530 73,101,928 0.6%
# Suncor Energy, Inc., (B3NB0P5)................................... 1,502,973 44,623,268 0.4%
Suncor Energy, Inc., (B3NB1P2)................................... 3,145,720 93,528,520 0.8%
Other Securities................................................. 566,135,644 4.5%
-------------- ----
TOTAL CANADA......................................................... 1,017,159,078 8.2%
-------------- ----
DENMARK -- (1.6%)
Vestas Wind Systems A.S.......................................... 774,838 63,124,344 0.5%
Other Securities................................................. 137,947,292 1.1%
-------------- ----
TOTAL DENMARK........................................................ 201,071,636 1.6%
-------------- ----
FINLAND -- (0.9%)
Other Securities................................................. 107,311,398 0.9%
-------------- ----
FRANCE -- (10.2%)
AXA SA........................................................... 2,698,893 71,442,974 0.6%
BNP Paribas SA................................................... 1,990,380 104,016,346 0.8%
Cie de Saint-Gobain.............................................. 2,069,157 84,272,496 0.7%
Cie Generale des Etablissements Michelin SCA..................... 664,554 80,914,229 0.7%
# Orange SA........................................................ 5,978,647 96,223,277 0.8%
Peugeot SA....................................................... 3,133,702 79,364,489 0.6%
# Total SA......................................................... 6,874,996 363,468,614 2.9%
Other Securities................................................. 396,067,499 3.2%
-------------- ----
TOTAL FRANCE......................................................... 1,275,769,924 10.3%
-------------- ----
GERMANY -- (6.6%)
Bayer AG......................................................... 1,905,818 147,846,053 1.2%
Bayerische Motoren Werke AG...................................... 1,225,665 93,854,917 0.8%
Daimler AG....................................................... 3,530,733 205,922,022 1.7%
Volkswagen AG.................................................... 125,075 23,644,195 0.2%
Other Securities................................................. 350,741,256 2.7%
-------------- ----
TOTAL GERMANY........................................................ 822,008,443 6.6%
-------------- ----
186
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
HONG KONG -- (2.9%)
CK Hutchison Holdings, Ltd....................................... 7,657,984 $ 70,706,751 0.6%
# Sun Hung Kai Properties, Ltd..................................... 4,291,920 65,036,781 0.5%
Other Securities................................................. 228,739,233 1.8%
-------------- ----
TOTAL HONG KONG...................................................... 364,482,765 2.9%
-------------- ----
IRELAND -- (0.3%)
Other Securities................................................. 34,882,354 0.3%
-------------- ----
ISRAEL -- (0.4%)
Other Securities................................................. 47,094,287 0.4%
-------------- ----
ITALY -- (2.2%)
Eni SpA.......................................................... 3,780,702 57,356,971 0.5%
Other Securities................................................. 218,731,458 1.7%
-------------- ----
TOTAL ITALY.......................................................... 276,088,429 2.2%
-------------- ----
JAPAN -- (21.9%)
Hitachi, Ltd..................................................... 1,735,400 64,769,362 0.5%
Honda Motor Co., Ltd............................................. 4,590,300 124,185,871 1.0%
# Honda Motor Co., Ltd., Sponsored ADR............................. 26,040 702,299 0.0%
Mitsubishi UFJ Financial Group, Inc.............................. 11,934,650 61,872,666 0.5%
Sumitomo Mitsui Financial Group, Inc............................. 2,857,600 101,453,852 0.8%
Toyota Motor Corp................................................ 3,658,590 253,836,203 2.0%
# Toyota Motor Corp., Sponsored ADR................................ 212,618 29,458,224 0.2%
Other Securities................................................. 2,100,641,089 17.0%
-------------- ----
TOTAL JAPAN.......................................................... 2,736,919,566 22.0%
-------------- ----
NETHERLANDS -- (3.5%)
ING Groep NV..................................................... 6,111,967 69,208,773 0.6%
Koninklijke Ahold Delhaize NV.................................... 5,195,538 129,473,095 1.0%
Koninklijke DSM NV............................................... 645,359 76,596,330 0.6%
Other Securities................................................. 160,691,871 1.3%
-------------- ----
TOTAL NETHERLANDS.................................................... 435,970,069 3.5%
-------------- ----
NEW ZEALAND -- (0.2%)
Other Securities................................................. 25,446,474 0.2%
-------------- ----
NORWAY -- (0.8%)
Other Securities................................................. 94,188,669 0.8%
-------------- ----
PORTUGAL -- (0.0%)
Other Securities................................................. 6,172,620 0.1%
-------------- ----
SINGAPORE -- (1.0%)
Other Securities................................................. 130,414,832 1.1%
-------------- ----
SPAIN -- (2.1%)
Banco Santander SA............................................... 52,022,978 208,887,734 1.7%
Banco Santander SA, Sponsored ADR................................ 71,002 281,168 0.0%
Other Securities................................................. 58,466,742 0.5%
-------------- ----
TOTAL SPAIN.......................................................... 267,635,644 2.2%
-------------- ----
187
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
----------- ------------------------------- ---------------
SWEDEN -- (2.3%)
Other Securities.................................. $ 291,790,921 2.3%
--------------- -----
SWITZERLAND -- (9.4%)
ABB, Ltd.......................................... 3,061,074 64,282,501 0.5%
# Cie Financiere Richemont SA....................... 1,165,784 91,608,647 0.7%
Lonza Group AG.................................... 193,034 69,575,711 0.6%
Novartis AG....................................... 2,468,436 215,680,082 1.7%
# Novartis AG, Sponsored ADR........................ 333,391 29,151,709 0.2%
UBS Group AG...................................... 6,275,625 74,273,024 0.6%
Zurich Insurance Group AG......................... 445,436 174,477,301 1.4%
Other Securities.................................. 452,874,807 3.7%
--------------- -----
TOTAL SWITZERLAND....................................... 1,171,923,782 9.4%
--------------- -----
UNITED KINGDOM -- (14.6%)
Anglo American P.L.C.............................. 3,439,726 88,528,544 0.7%
Aviva P.L.C....................................... 16,319,347 87,962,023 0.7%
BP P.L.C., Sponsored ADR.......................... 3,728,757 141,357,178 1.1%
British American Tobacco P.L.C.................... 3,130,216 109,482,004 0.9%
# British American Tobacco P.L.C., Sponsored ADR.... 952,398 33,295,834 0.3%
Glencore P.L.C.................................... 26,606,474 80,308,409 0.6%
HSBC Holdings P.L.C............................... 13,949,143 105,387,283 0.9%
HSBC Holdings P.L.C., Sponsored ADR............... 2,719,882 102,784,340 0.8%
Lloyds Banking Group P.L.C........................ 181,694,609 133,655,657 1.1%
# Lloyds Banking Group P.L.C., ADR.................. 1,479,223 4,289,747 0.0%
Royal Dutch Shell P.L.C., Sponsored ADR, Class A.. 3,293,873 190,945,796 1.5%
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B.. 3,560,210 207,524,641 1.7%
Vodafone Group P.L.C.............................. 58,351,986 119,080,026 1.0%
# Vodafone Group P.L.C., Sponsored ADR.............. 4,011,201 81,908,730 0.7%
Other Securities.................................. 331,554,465 2.6%
--------------- -----
TOTAL UNITED KINGDOM.................................... 1,818,064,677 14.6%
--------------- -----
TOTAL COMMON STOCKS..................................... 12,067,720,278 97.2%
--------------- -----
PREFERRED STOCKS -- (1.3%)
GERMANY -- (1.3%)
Volkswagen AG..................................... 701,336 133,327,635 1.0%
Other Securities.................................. 33,433,446 0.3%
--------------- -----
TOTAL GERMANY........................................... 166,761,081 1.3%
--------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $12,023,744,028)................................ 12,234,481,359
---------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.1%)
@(S) The DFA Short Term Investment Fund................ 22,261,860 257,591,985 2.1%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $12,281,304,441)................................ $12,492,073,344 100.6%
=============== =====
188
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
As of October 31, 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 12/20/19 $ 4,216,215 $ 4,305,840 $ 89,625
S&P 500(R) Emini Index... 676 12/20/19 101,655,047 102,610,040 954,993
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $105,871,262 $106,915,880 $1,044,618
============ ============ ==========
Summary of the Series' investments as of October 31, 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................................................ -- $ 810,189,014 -- $ 810,189,014
Austria.................................................. -- 8,691,555 -- 8,691,555
Belgium.................................................. -- 124,444,141 -- 124,444,141
Canada................................................... $1,017,159,078 -- -- 1,017,159,078
Denmark.................................................. -- 201,071,636 -- 201,071,636
Finland.................................................. -- 107,311,398 -- 107,311,398
France................................................... 42,302 1,275,727,622 -- 1,275,769,924
Germany.................................................. 12,174,548 809,833,895 -- 822,008,443
Hong Kong................................................ -- 364,482,765 -- 364,482,765
Ireland.................................................. 7,252,879 27,629,475 -- 34,882,354
Israel................................................... -- 47,094,287 -- 47,094,287
Italy.................................................... 37,407,081 238,681,348 -- 276,088,429
Japan.................................................... 61,015,488 2,675,904,078 -- 2,736,919,566
Netherlands.............................................. 24,949,700 411,020,369 -- 435,970,069
New Zealand.............................................. -- 25,446,474 -- 25,446,474
Norway................................................... -- 94,188,669 -- 94,188,669
Portugal................................................. -- 6,172,620 -- 6,172,620
Singapore................................................ -- 130,414,832 -- 130,414,832
Spain.................................................... 3,096,838 264,538,806 -- 267,635,644
Sweden................................................... -- 291,790,921 -- 291,790,921
Switzerland.............................................. 60,453,348 1,111,470,434 -- 1,171,923,782
United Kingdom........................................... 847,286,736 970,777,941 -- 1,818,064,677
Preferred Stocks
Germany.................................................. -- 166,761,081 -- 166,761,081
Securities Lending Collateral............................... -- 257,591,985 -- 257,591,985
Futures Contracts**......................................... 1,044,618 -- -- 1,044,618
-------------- --------------- -- ---------------
TOTAL....................................................... $2,071,882,616 $10,421,235,346 -- $12,493,117,962
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
189
THE JAPANESE SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (97.6%)
COMMUNICATION SERVICES -- (2.6%)
Other Securities................................................. $100,852,769 2.7%
------------ ----
CONSUMER DISCRETIONARY -- (18.0%)
Autobacs Seven Co., Ltd.......................................... 555,300 9,166,960 0.3%
# Fujitsu General, Ltd............................................. 512,500 9,251,020 0.3%
Showa Corp....................................................... 399,000 8,336,955 0.2%
Other Securities................................................. 657,574,356 17.5%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 684,329,291 18.3%
------------ ----
CONSUMER STAPLES -- (7.1%)
Milbon Co., Ltd.................................................. 170,552 9,341,344 0.3%
Morinaga Milk Industry Co., Ltd.................................. 250,300 9,731,214 0.3%
Other Securities................................................. 250,052,565 6.6%
------------ ----
TOTAL CONSUMER STAPLES............................................... 269,125,123 7.2%
------------ ----
ENERGY -- (1.3%)
Iwatani Corp..................................................... 294,300 10,205,404 0.3%
Other Securities................................................. 40,052,153 1.0%
------------ ----
TOTAL ENERGY......................................................... 50,257,557 1.3%
------------ ----
FINANCIALS -- (8.1%)
Fuyo General Lease Co., Ltd...................................... 150,600 9,815,904 0.3%
Hokuhoku Financial Group, Inc.................................... 923,400 9,032,551 0.2%
Jafco Co., Ltd................................................... 241,100 9,056,167 0.2%
Other Securities................................................. 279,431,248 7.5%
------------ ----
TOTAL FINANCIALS..................................................... 307,335,870 8.2%
------------ ----
HEALTH CARE -- (4.5%)
Miraca Holdings, Inc............................................. 472,500 11,152,044 0.3%
Other Securities................................................. 160,281,465 4.3%
------------ ----
TOTAL HEALTH CARE.................................................... 171,433,509 4.6%
------------ ----
INDUSTRIALS -- (29.7%)
Daiseki Co., Ltd................................................. 305,263 8,867,639 0.2%
# DMG Mori Co., Ltd................................................ 701,300 11,354,168 0.3%
Duskin Co., Ltd.................................................. 346,300 9,201,820 0.3%
Fujikura, Ltd.................................................... 1,953,600 9,064,834 0.3%
Glory, Ltd....................................................... 299,055 8,804,941 0.2%
Hanwa Co., Ltd................................................... 285,000 8,303,047 0.2%
Hazama Ando Corp................................................. 1,528,900 11,846,070 0.3%
Inaba Denki Sangyo Co., Ltd...................................... 201,800 9,270,433 0.3%
Japan Steel Works, Ltd. (The).................................... 421,200 8,875,711 0.2%
* Kawasaki Kisen Kaisha, Ltd....................................... 632,300 9,408,578 0.3%
Kumagai Gumi Co., Ltd............................................ 303,400 9,353,855 0.3%
Maeda Corp....................................................... 930,800 8,638,586 0.2%
Makino Milling Machine Co., Ltd.................................. 177,900 8,845,037 0.2%
Meitec Corp...................................................... 216,400 11,280,995 0.3%
Mirait Holdings Corp............................................. 586,235 9,413,178 0.3%
Nichias Corp..................................................... 480,100 10,128,253 0.3%
Nikkon Holdings Co., Ltd......................................... 385,300 9,365,788 0.3%
190
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
INDUSTRIALS -- (Continued)
Nishimatsu Construction Co., Ltd................................. 398,600 $ 8,299,205 0.2%
NTN Corp......................................................... 3,034,100 9,407,385 0.3%
Outsourcing, Inc................................................. 822,100 8,849,066 0.2%
Penta-Ocean Construction Co., Ltd................................ 1,716,400 10,529,135 0.3%
Shinmaywa Industries, Ltd........................................ 707,200 8,712,038 0.2%
SMS Co., Ltd..................................................... 398,300 9,765,014 0.3%
Ushio, Inc....................................................... 973,200 14,544,315 0.4%
Other Securities................................................. 900,111,597 23.8%
-------------- -----
TOTAL INDUSTRIALS...................................................... 1,132,240,688 30.2%
-------------- -----
INFORMATION TECHNOLOGY -- (12.9%)
NSD Co., Ltd..................................................... 293,480 9,046,407 0.2%
Oki Electric Industry Co., Ltd................................... 699,800 9,391,632 0.3%
Tokyo Seimitsu Co., Ltd.......................................... 315,100 10,120,723 0.3%
Topcon Corp...................................................... 862,100 11,887,112 0.3%
Ulvac, Inc....................................................... 237,200 10,377,361 0.3%
Other Securities................................................. 438,718,873 11.7%
-------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 489,542,108 13.1%
-------------- -----
MATERIALS -- (10.1%)
ADEKA Corp....................................................... 665,700 9,526,870 0.3%
Kureha Corp...................................................... 141,650 9,053,385 0.2%
Mitsui Mining & Smelting Co., Ltd................................ 484,900 13,551,811 0.4%
Nippon Light Metal Holdings Co., Ltd............................. 4,755,800 9,250,215 0.3%
Sumitomo Osaka Cement Co., Ltd................................... 238,699 10,419,680 0.3%
Toagosei Co., Ltd................................................ 871,100 9,655,071 0.3%
Tokuyama Corp.................................................... 414,298 11,067,550 0.3%
Tokyo Ohka Kogyo Co., Ltd........................................ 242,500 9,603,821 0.3%
Toyobo Co., Ltd.................................................. 715,200 9,667,381 0.3%
Other Securities................................................. 292,639,320 7.5%
-------------- -----
TOTAL MATERIALS........................................................ 384,435,104 10.2%
-------------- -----
REAL ESTATE -- (2.1%)
Kenedix, Inc..................................................... 1,600,900 8,713,937 0.2%
# Unizo Holdings Co., Ltd.......................................... 211,100 9,736,461 0.3%
Other Securities................................................. 61,699,038 1.6%
-------------- -----
TOTAL REAL ESTATE...................................................... 80,149,436 2.1%
-------------- -----
UTILITIES -- (1.2%)
Other Securities................................................. 45,413,941 1.2%
-------------- -----
TOTAL COMMON STOCKS
(Cost $3,300,844,445)................................................ 3,715,115,396 99.1%
-------------- -----
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.4%)
@(S) The DFA Short Term Investment Fund............................... 7,882,015 91,202,795 2.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,392,036,762)................................................ $3,806,318,191 101.6%
============== =====
191
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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......................... -- $ 100,852,769 -- $ 100,852,769
Consumer Discretionary......................... $2,914,557 681,414,734 -- 684,329,291
Consumer Staples............................... -- 269,125,123 -- 269,125,123
Energy......................................... -- 50,257,557 -- 50,257,557
Financials..................................... -- 307,335,870 -- 307,335,870
Health Care.................................... -- 171,433,509 -- 171,433,509
Industrials.................................... -- 1,132,240,688 -- 1,132,240,688
Information Technology......................... -- 489,542,108 -- 489,542,108
Materials...................................... -- 384,435,104 -- 384,435,104
Real Estate.................................... -- 80,149,436 -- 80,149,436
Utilities...................................... -- 45,413,941 -- 45,413,941
Securities Lending Collateral.................. -- 91,202,795 -- 91,202,795
---------- -------------- -- --------------
TOTAL............................................. $2,914,557 $3,803,403,634 -- $3,806,318,191
========== ============== == ==============
See accompanying Notes to Financial Statements.
192
THE ASIA PACIFIC SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (97.1%)
AUSTRALIA -- (52.9%)
ALS, Ltd......................................................... 1,937,440 $ 10,775,238 0.7%
Altium, Ltd...................................................... 596,319 13,200,823 0.8%
Ansell, Ltd...................................................... 897,943 17,075,979 1.0%
Appen, Ltd....................................................... 556,409 8,359,545 0.5%
# Bapcor, Ltd...................................................... 1,866,075 9,198,821 0.6%
Breville Group, Ltd.............................................. 834,341 8,836,168 0.5%
carsales.com, Ltd................................................ 1,661,566 17,806,162 1.1%
Cleanaway Waste Management, Ltd.................................. 10,062,156 12,788,931 0.8%
# Credit Corp. Group, Ltd ......................................... 553,754 11,961,519 0.7%
CSR, Ltd......................................................... 3,957,955 11,313,522 0.7%
GrainCorp, Ltd., Class A......................................... 1,833,496 9,136,956 0.6%
Independence Group NL............................................ 3,324,011 14,557,711 0.9%
# InvoCare, Ltd.................................................... 1,006,913 9,100,772 0.6%
# IOOF Holdings, Ltd............................................... 2,296,344 11,677,647 0.7%
IRESS, Ltd....................................................... 1,095,248 9,618,441 0.6%
# JB Hi-Fi, Ltd.................................................... 861,985 22,028,595 1.3%
* Lynas Corp., Ltd................................................. 5,145,389 8,809,881 0.5%
# Metcash, Ltd..................................................... 7,553,452 14,683,218 0.9%
# Mineral Resources, Ltd........................................... 1,210,928 11,910,590 0.7%
#* NEXTDC, Ltd...................................................... 1,959,517 8,659,622 0.5%
nib holdings, Ltd................................................ 3,390,280 16,388,762 1.0%
# Nine Entertainment Co. Holdings, Ltd............................. 11,957,501 15,172,093 0.9%
#* Nufarm, Ltd...................................................... 2,065,056 8,427,098 0.5%
Orora, Ltd....................................................... 7,303,221 15,566,511 1.0%
OZ Minerals, Ltd................................................. 2,477,965 17,289,828 1.1%
Pendal Group, Ltd................................................ 1,938,181 9,569,992 0.6%
# Perpetual, Ltd................................................... 356,633 8,841,267 0.5%
Premier Investments, Ltd......................................... 829,371 10,991,808 0.7%
Regis Resources, Ltd............................................. 3,442,546 11,666,993 0.7%
* Saracen Mineral Holdings, Ltd.................................... 5,717,531 14,793,622 0.9%
Sims Metal Management, Ltd....................................... 1,382,214 8,895,865 0.5%
Spark Infrastructure Group....................................... 9,526,664 13,285,174 0.8%
St Barbara, Ltd.................................................. 5,006,626 9,658,812 0.6%
Steadfast Group, Ltd............................................. 5,956,128 14,750,048 0.9%
Technology One, Ltd.............................................. 1,891,632 9,609,521 0.6%
* Vocus Group, Ltd................................................. 4,120,793 9,447,578 0.6%
Other Securities................................................. 453,786,509 27.6%
------------ ----
TOTAL AUSTRALIA...................................................... 889,641,622 54.2%
------------ ----
CHINA -- (0.1%)
Other Securities................................................. 877,015 0.0%
------------ ----
HONG KONG -- (24.2%)
Cafe de Coral Holdings, Ltd...................................... 3,476,000 9,484,602 0.6%
HKBN, Ltd........................................................ 5,339,000 9,528,487 0.6%
# Luk Fook Holdings International, Ltd............................. 3,963,000 10,526,170 0.7%
# Man Wah Holdings, Ltd............................................ 17,293,600 11,778,606 0.7%
VTech Holdings, Ltd.............................................. 1,359,100 11,916,338 0.7%
Other Securities................................................. 352,926,496 21.4%
------------ ----
TOTAL HONG KONG...................................................... 406,160,699 24.7%
------------ ----
193
THE ASIA PACIFIC SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
NEW ZEALAND -- (6.3%)
Chorus, Ltd................................................. 3,243,921 $ 11,029,769 0.7%
Infratil, Ltd............................................... 4,611,834 14,572,102 0.9%
Mainfreight, Ltd............................................ 402,884 10,378,721 0.6%
SKYCITY Entertainment Group, Ltd............................ 4,793,322 12,008,879 0.7%
Other Securities............................................ 58,498,299 3.6%
-------------- -----
TOTAL NEW ZEALAND................................................. 106,487,770 6.5%
-------------- -----
SINGAPORE -- (13.6%)
# Sembcorp Industries, Ltd ................................... 6,073,600 10,196,907 0.6%
# Singapore Post, Ltd......................................... 12,563,600 8,858,074 0.5%
# Singapore Press Holdings, Ltd............................... 6,521,000 10,612,235 0.7%
Venture Corp., Ltd.......................................... 1,125,100 13,050,734 0.8%
Yangzijiang Shipbuilding Holdings Ltd....................... 18,491,700 12,945,807 0.8%
Other Securities............................................ 172,482,497 10.5%
-------------- -----
TOTAL SINGAPORE................................................... 228,146,254 13.9%
-------------- -----
TOTAL COMMON STOCKS .............................................. 1,631,313,360 99.3%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................................ 2,976 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $1,736,491,472)........................................... 1,631,316,336
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.9%)
@(S) The DFA Short Term Investment Fund.......................... 4,221,581 48,847,919 3.0%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,785,334,426)........................................... $1,680,164,255 102.3%
============== =====
Summary of the Series' investments as of October 31, 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................................................ $439,275 $ 889,202,347 -- $ 889,641,622
China.................................................... -- 877,015 -- 877,015
Hong Kong................................................ 460,908 405,699,791 -- 406,160,699
New Zealand.............................................. -- 106,487,770 -- 106,487,770
Singapore................................................ 11,864 228,134,390 -- 228,146,254
Rights/Warrants Australia................................... -- 2,976 -- 2,976
Securities Lending Collateral............................... -- 48,847,919 -- 48,847,919
-------- -------------- -------- --------------
TOTAL....................................................... $912,047 $1,679,252,208 -- $1,680,164,255
======== ============== ======== ==============
See accompanying Notes to Financial Statements.
194
THE UNITED KINGDOM SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (99.2%)
COMMUNICATION SERVICES -- (4.7%)
Entertainment One, Ltd........................................... 2,630,507 $ 18,997,490 0.8%
Inmarsat P.L.C................................................... 2,400,987 17,128,455 0.8%
Other Securities................................................. 69,081,559 3.0%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 105,207,504 4.6%
------------ ----
CONSUMER DISCRETIONARY -- (21.6%)
B&M European Value Retail SA..................................... 5,453,680 26,163,411 1.2%
Bellway P.L.C.................................................... 785,920 32,167,252 1.4%
* Boohoo Group P.L.C............................................... 4,528,022 15,478,500 0.7%
Bovis Homes Group P.L.C.......................................... 1,284,142 19,457,559 0.9%
Greggs P.L.C..................................................... 734,900 16,903,572 0.7%
Inchcape P.L.C................................................... 2,923,312 24,440,490 1.1%
JD Sports Fashion P.L.C.......................................... 1,736,308 17,271,954 0.8%
Merlin Entertainments P.L.C...................................... 4,495,638 26,485,860 1.2%
Moneysupermarket.com Group P.L.C................................. 3,912,801 17,410,624 0.8%
SSP Group P.L.C.................................................. 3,025,801 24,951,150 1.1%
WH Smith P.L.C................................................... 741,725 21,018,611 0.9%
Other Securities................................................. 245,393,384 10.6%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 487,142,367 21.4%
------------ ----
CONSUMER STAPLES -- (5.2%)
Britvic P.L.C.................................................... 1,845,637 23,586,871 1.1%
Fevertree Drinks P.L.C........................................... 631,057 15,205,992 0.7%
Tate & Lyle P.L.C................................................ 3,470,820 30,273,503 1.3%
Other Securities................................................. 48,295,503 2.1%
------------ ----
TOTAL CONSUMER STAPLES............................................... 117,361,869 5.2%
------------ ----
ENERGY -- (3.8%)
John Wood Group P.L.C............................................ 3,647,826 16,016,209 0.7%
Tullow Oil P.L.C................................................. 9,865,717 26,364,357 1.2%
Other Securities................................................. 43,225,104 1.9%
------------ ----
TOTAL ENERGY......................................................... 85,605,670 3.8%
------------ ----
FINANCIALS -- (13.6%)
Beazley P.L.C.................................................... 2,966,841 22,548,944 1.0%
Close Brothers Group P.L.C....................................... 1,042,864 18,699,833 0.8%
IG Group Holdings P.L.C.......................................... 2,610,897 21,480,945 0.9%
Intermediate Capital Group P.L.C................................. 1,866,605 35,924,136 1.6%
Man Group P.L.C.................................................. 11,167,689 20,785,020 0.9%
Quilter P.L.C.................................................... 9,786,100 17,363,535 0.8%
TP ICAP P.L.C.................................................... 3,608,881 16,046,822 0.7%
Other Securities................................................. 154,748,420 6.8%
------------ ----
TOTAL FINANCIALS..................................................... 307,597,655 13.5%
------------ ----
HEALTH CARE -- (3.1%)
ConvaTec Group P.L.C............................................. 7,978,950 20,384,000 0.9%
Other Securities................................................. 50,367,254 2.2%
------------ ----
TOTAL HEALTH CARE.................................................... 70,751,254 3.1%
------------ ----
195
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDUSTRIALS -- (28.7%)
Aggreko P.L.C.................................................... 1,647,699 $ 16,892,274 0.7%
Babcock International Group P.L.C................................ 3,197,831 22,967,450 1.0%
BBA Aviation P.L.C............................................... 7,301,568 28,725,347 1.3%
Cobham P.L.C..................................................... 16,545,169 33,842,830 1.5%
Diploma P.L.C.................................................... 793,073 16,418,068 0.7%
G4S P.L.C........................................................ 9,906,519 26,568,687 1.2%
Grafton Group P.L.C.............................................. 1,638,906 16,595,963 0.7%
Hays P.L.C....................................................... 10,246,441 20,852,201 0.9%
HomeServe P.L.C ................................................. 1,762,201 26,469,025 1.2%
Howden Joinery Group P.L.C....................................... 4,476,142 33,500,704 1.5%
IMI P.L.C........................................................ 1,911,037 24,851,430 1.1%
Meggitt P.L.C.................................................... 2,528,732 20,460,802 0.9%
National Express Group P.L.C..................................... 3,061,395 17,712,519 0.8%
QinetiQGroup P.L.C............................................... 3,964,771 16,162,957 0.7%
Rotork P.L.C..................................................... 5,871,491 22,929,186 1.0%
Travis Perkins P.L.C............................................. 1,726,015 32,059,239 1.4%
Ultra Electronics Holdings P.L.C................................. 646,972 16,341,114 0.7%
Other Securities................................................. 253,872,435 11.1%
-------------- ----
TOTAL INDUSTRIALS.................................................... 647,222,231 28.4%
-------------- ----
INFORMATION TECHNOLOGY -- (6.5%)
Electrocomponents P.L.C.......................................... 3,231,445 28,511,406 1.3%
Spectris P.L.C................................................... 827,935 25,667,336 1.1%
Other Securities................................................. 92,305,157 4.0%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 146,483,899 6.4%
-------------- ----
MATERIALS -- (5.5%)
Victrex P.L.C.................................................... 629,414 17,880,697 0.8%
Other Securities................................................. 106,253,523 4.6%
-------------- ----
TOTAL MATERIALS...................................................... 124,134,220 5.4%
-------------- ----
REAL ESTATE -- (4.4%)
Capital & Counties Properties P.L.C.............................. 4,962,871 16,403,005 0.7%
IWG P.L.C........................................................ 4,354,218 21,689,498 1.0%
St. Modwen Properties P.L.C...................................... 2,832,022 16,530,842 0.7%
Other Securities................................................. 43,243,787 1.9%
-------------- ----
TOTAL REAL ESTATE.................................................... 97,867,132 4.3%
-------------- ----
UTILITIES -- (2.1%)
Pennon Group P.L.C............................................... 2,929,675 34,062,254 1.5%
Other Securities................................................. 12,972,658 0.6%
-------------- ----
TOTAL UTILITIES...................................................... 47,034,912 2.1%
-------------- ----
TOTAL COMMON STOCKS.................................................. 2,236,408,713 98.2%
-------------- ----
PREFERRED STOCKS -- (0.0%)
CONSUMER STAPLES -- (0.0%)
Other Security................................................... 13,207 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $2,084,250,199).............................................. 2,236,421,920
--------------
196
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund............................... 1,625,922 $ 18,813,540 0.8%
-------------- ----
TOTAL INVESTMENTS--(100.0%)
(Cost $2,103,060,882)................................................ $2,255,235,460 99.0%
============== ====
Summary of the Series' investments as of October 31, 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................................... -- $ 105,207,504 -- $ 105,207,504
Consumer Discretionary................................... -- 487,142,367 -- 487,142,367
Consumer Staples......................................... -- 117,361,869 -- 117,361,869
Energy................................................... -- 85,605,670 -- 85,605,670
Financials............................................... -- 307,597,655 -- 307,597,655
Health Care.............................................. -- 70,751,254 -- 70,751,254
Industrials.............................................. -- 647,222,231 -- 647,222,231
Information Technology................................... -- 146,483,899 -- 146,483,899
Materials................................................ -- 124,134,220 -- 124,134,220
Real Estate.............................................. -- 97,867,132 -- 97,867,132
Utilities................................................ -- 47,034,912 -- 47,034,912
Preferred Stocks
Consumer Staples......................................... -- 13,207 -- 13,207
Securities Lending Collateral............................... -- 18,813,540 -- 18,813,540
-------- -------------- -------- --------------
TOTAL....................................................... -- $2,255,235,460 -- $2,255,235,460
======== ============== ======== ==============
See accompanying Notes to Financial Statements.
197
THE CONTINENTAL SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (91.0%)
AUSTRIA -- (3.1%)
# ANDRITZ AG....................................................... 510,397 $ 22,950,629 0.4%
Other Securities................................................. 167,851,812 3.0%
------------ ----
TOTAL AUSTRIA........................................................ 190,802,441 3.4%
------------ ----
BELGIUM -- (4.4%)
Ackermans & van Haaren NV........................................ 174,099 26,688,658 0.5%
* Galapagos NV..................................................... 220,186 40,539,939 0.7%
Other Securities................................................. 201,242,099 3.6%
------------ ----
TOTAL BELGIUM........................................................ 268,470,696 4.8%
------------ ----
DENMARK -- (4.4%)
Royal Unibrew A.S................................................ 364,385 29,893,850 0.5%
SimCorp A.S...................................................... 294,845 26,382,068 0.5%
Topdanmark A.S .................................................. 475,380 21,291,486 0.4%
Other Securities................................................. 191,284,392 3.4%
------------ ----
TOTAL DENMARK........................................................ 268,851,796 4.8%
------------ ----
FINLAND -- (5.7%)
Huhtamaki Oyj.................................................... 768,251 35,574,237 0.6%
Kesko Oyj, Class B............................................... 421,805 28,104,043 0.5%
# Metso Oyj........................................................ 667,333 25,263,083 0.4%
Nokian Renkaat Oyj............................................... 883,124 25,238,923 0.4%
# Orion Oyj, Class B............................................... 748,676 33,214,713 0.6%
Valmet Oyj....................................................... 956,184 21,399,886 0.4%
Other Securities................................................. 175,351,457 3.2%
------------ ----
TOTAL FINLAND........................................................ 344,146,342 6.1%
------------ ----
FRANCE -- (10.6%)
Altran Technologies SA........................................... 1,693,540 26,925,558 0.5%
Elis SA.......................................................... 1,112,804 21,275,159 0.4%
Euronext NV...................................................... 373,020 30,092,307 0.5%
Eutelsat Communications SA....................................... 1,279,751 24,276,769 0.4%
Ingenico Group SA................................................ 424,498 45,392,020 0.8%
Rexel SA......................................................... 2,320,855 28,772,809 0.5%
Rubis SCA........................................................ 608,177 35,266,736 0.6%
Other Securities................................................. 436,977,009 7.9%
------------ ----
TOTAL FRANCE......................................................... 648,978,367 11.6%
------------ ----
GERMANY -- (15.4%)
# Bechtle AG....................................................... 225,300 24,398,771 0.4%
CTS Eventim AG & Co. KGaA........................................ 442,453 26,797,580 0.5%
* Dialog Semiconductor P.L.C....................................... 621,432 27,952,191 0.5%
Freenet AG....................................................... 981,903 21,805,853 0.4%
# GEA Group AG..................................................... 890,332 27,192,379 0.5%
Gerresheimer AG.................................................. 262,222 21,146,921 0.4%
# K+S AG........................................................... 1,567,865 22,263,660 0.4%
Lanxess AG....................................................... 628,306 40,826,813 0.7%
# OSRAM Licht AG................................................... 602,174 26,956,108 0.5%
Rheinmetall AG................................................... 339,164 40,905,414 0.7%
TAG Immobilien AG................................................ 1,024,715 24,902,336 0.5%
198
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
GERMANY -- (Continued)
TLG Immobilien AG................................................ 722,981 $ 21,202,568 0.4%
Other Securities................................................. 613,715,934 10.8%
------------ ----
TOTAL GERMANY........................................................ 940,066,528 16.7%
------------ ----
IRELAND -- (0.5%)
Other Securities................................................. 32,095,239 0.6%
------------ ----
ISRAEL -- (3.0%)
Other Securities................................................. 184,044,089 3.3%
------------ ----
ITALY -- (9.7%)
#* Banco BPM SpA.................................................... 12,626,497 28,742,468 0.5%
Hera SpA......................................................... 6,455,969 27,655,462 0.5%
Italgas SpA...................................................... 3,818,401 24,581,718 0.4%
#* Saipem SpA....................................................... 5,057,693 22,957,059 0.4%
# Unione di Banche Italiane SpA.................................... 7,724,232 23,530,091 0.4%
Other Securities................................................. 462,560,883 8.3%
------------ ----
TOTAL ITALY.......................................................... 590,027,681 10.5%
------------ ----
NETHERLANDS -- (6.4%)
Aalberts NV...................................................... 728,381 29,352,137 0.5%
#* Altice Europe NV................................................. 4,683,910 26,800,426 0.5%
ASM International NV............................................. 331,781 33,450,744 0.6%
ASR Nederland NV................................................. 688,282 25,231,450 0.5%
BE Semiconductor Industries NV................................... 589,568 21,856,942 0.4%
IMCD NV.......................................................... 357,303 27,899,685 0.5%
SBM Offshore NV.................................................. 1,376,758 23,742,884 0.4%
Other Securities................................................. 200,756,381 3.5%
------------ ----
TOTAL NETHERLANDS.................................................... 389,090,649 6.9%
------------ ----
NORWAY -- (2.3%)
Other Securities................................................. 138,761,156 2.5%
------------ ----
PORTUGAL -- (1.0%)
Other Securities................................................. 62,779,176 1.1%
------------ ----
SPAIN -- (6.0%)
# Cellnex Telecom SA............................................... 684,045 29,515,742 0.5%
Enagas SA........................................................ 945,913 23,406,228 0.4%
Other Securities................................................. 310,162,882 5.6%
------------ ----
TOTAL SPAIN.......................................................... 363,084,852 6.5%
------------ ----
SWEDEN -- (7.2%)
Other Securities................................................. 441,605,487 7.9%
------------ ----
SWITZERLAND -- (11.3%)
Cembra Money Bank AG............................................. 214,769 22,775,270 0.4%
# Georg Fischer AG................................................. 31,450 30,036,368 0.5%
Helvetia Holding AG.............................................. 216,663 30,434,052 0.5%
PSP Swiss Property AG............................................ 325,433 43,075,928 0.8%
VAT Group AG..................................................... 199,273 29,299,419 0.5%
199
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SWITZERLAND -- (Continued)
Other Securities............................. $ 534,051,612 9.6%
-------------- -----
TOTAL SWITZERLAND.................................. 689,672,649 12.3%
-------------- -----
UNITED KINGDOM -- (0.0%)
Other Security............................... 1,167,097 0.0%
-------------- -----
TOTAL COMMON STOCKS................................ 5,553,644,245 99.0%
-------------- -----
PREFERRED STOCKS -- (0.6%)
GERMANY -- (0.6%)
Other Securities............................. 33,843,637 0.6%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities............................. 873,861 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $4,988,017,993)............................ 5,588,361,743
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (8.4%)
@(S) The DFA Short Term Investment Fund........... 44,497,991 514,886,250 9.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $5,502,845,113)............................ $6,103,247,993 108.8%
============== =====
Summary of the Series' investments as of October 31, 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.................................................. -- $190,802,441 -- $190,802,441
Belgium.................................................. $9,150,257 259,320,439 -- 268,470,696
Denmark.................................................. -- 268,851,796 -- 268,851,796
Finland.................................................. -- 344,146,342 -- 344,146,342
France................................................... -- 648,978,367 -- 648,978,367
Germany.................................................. 1,207,475 938,859,053 -- 940,066,528
Ireland.................................................. -- 32,095,239 -- 32,095,239
Israel................................................... 799,434 183,244,655 -- 184,044,089
Italy.................................................... 2,432,465 587,595,216 -- 590,027,681
Netherlands.............................................. -- 389,090,649 -- 389,090,649
Norway................................................... -- 138,761,156 -- 138,761,156
Portugal................................................. -- 62,779,176 -- 62,779,176
Spain.................................................... -- 363,084,852 -- 363,084,852
Sweden................................................... -- 441,605,487 -- 441,605,487
Switzerland.............................................. -- 689,672,649 -- 689,672,649
United Kingdom........................................... -- 1,167,097 -- 1,167,097
Preferred Stocks
Germany.................................................. -- 33,843,637 -- 33,843,637
Rights/Warrants
Italy.................................................... -- 379,240 -- 379,240
Norway................................................... -- 16,603 -- 16,603
200
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
--------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- -------------- -------- --------------
Spain.................................................... -- $ 477,143 -- $ 477,143
Sweden................................................... -- 875 -- 875
Securities Lending Collateral............................... -- 514,886,250 -- 514,886,250
----------- -------------- -------- --------------
TOTAL....................................................... $13,589,631 $6,089,658,362 -- $6,103,247,993
=========== ============== ======== ==============
See accompanying Notes to Financial Statements.
201
THE CANADIAN SMALL COMPANY SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
COMMON STOCKS -- (86.3%)
COMMUNICATION SERVICES -- (2.0%)
Cogeco Communications, Inc....................................... 95,472 $ 8,252,591 0.7%
Other Securities................................................. 18,350,341 1.6%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 26,602,932 2.3%
------------ ----
CONSUMER DISCRETIONARY -- (4.8%)
* Great Canadian Gaming Corp....................................... 418,284 13,230,363 1.1%
Linamar Corp..................................................... 322,683 10,522,538 0.9%
Other Securities................................................. 39,534,125 3.5%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 63,287,026 5.5%
------------ ----
CONSUMER STAPLES -- (4.0%)
Cott Corp........................................................ 96,682 1,242,364 0.1%
Cott Corp........................................................ 909,370 11,682,135 1.0%
# Premium Brands Holdings Corp..................................... 186,219 12,284,997 1.1%
Other Securities................................................. 27,482,578 2.4%
------------ ----
TOTAL CONSUMER STAPLES............................................... 52,692,074 4.6%
------------ ----
ENERGY -- (12.8%)
Crescent Point Energy Corp....................................... 2,146,838 7,840,172 0.7%
# Enerplus Corp.................................................... 1,624,918 9,807,986 0.9%
Gibson Energy, Inc............................................... 855,146 14,907,108 1.3%
* Parex Resources, Inc............................................. 1,044,698 14,158,271 1.2%
# Whitecap Resources, Inc.......................................... 2,833,976 7,896,661 0.7%
Other Securities................................................. 115,545,912 10.0%
------------ ----
TOTAL ENERGY......................................................... 170,156,110 14.8%
------------ ----
FINANCIALS -- (9.2%)
# Canadian Western Bank............................................ 643,831 16,302,304 1.4%
ECN Capital Corp................................................. 2,446,608 8,080,438 0.7%
Element Fleet Management Corp.................................... 2,450,611 20,838,845 1.8%
# Genworth MI Canada, Inc.......................................... 281,680 11,377,554 1.0%
#* Home Capital Group, Inc.......................................... 541,770 11,151,306 1.0%
# Laurentian Bank of Canada........................................ 326,390 11,225,774 1.0%
Other Securities................................................. 42,556,392 3.7%
------------ ----
TOTAL FINANCIALS..................................................... 121,532,613 10.6%
------------ ----
HEALTH CARE -- (1.5%)
Other Securities................................................. 20,377,182 1.8%
------------ ----
INDUSTRIALS -- (9.9%)
Morneau Shepell, Inc............................................. 346,211 8,335,245 0.7%
------------ ----
# Stantec, Inc..................................................... 625,036 13,334,987 1.2%
TFI International, Inc........................................... 556,989 17,748,712 1.6%
Other Securities................................................. 91,974,002 8.0%
------------ ----
TOTAL INDUSTRIALS.................................................... 131,392,946 11.5%
------------ ----
INFORMATION TECHNOLOGY -- (3.5%)
* Descartes Systems Group, Inc. (The).............................. 333,561 12,979,273 1.1%
* Kinaxis, Inc..................................................... 145,074 9,264,425 0.8%
202
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
--------- ------------------------------- ---------------
INFORMATION TECHNOLOGY -- (Continued)
Other Securities................................................. $ 24,038,252 2.1%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 46,281,950 4.0%
-------------- ----
MATERIALS -- (28.6%)
* Alacer Gold Corp................................................. 2,184,997 10,816,324 0.9%
Alamos Gold, Inc., Class A....................................... 2,957,288 16,098,817 1.4%
* B2Gold Corp...................................................... 5,382,692 18,921,770 1.6%
* Centerra Gold, Inc............................................... 1,682,253 14,343,409 1.3%
* Detour Gold Corp................................................. 1,259,316 20,910,516 1.8%
#* Eldorado Gold Corp............................................... 1,158,414 9,753,860 0.9%
#* Endeavour Mining Corp............................................ 502,056 9,091,206 0.8%
#* First Majestic Silver Corp....................................... 977,531 10,449,958 0.9%
* IAMGOLD Corp..................................................... 3,346,046 12,575,300 1.1%
* Ivanhoe Mines, Ltd., Class A..................................... 3,744,528 9,296,642 0.8%
OceanaGold Corp.................................................. 4,416,629 10,596,422 0.9%
Osisko Gold Royalties, Ltd....................................... 963,845 9,484,046 0.8%
Pan American Silver Corp......................................... 1,378,389 23,410,948 2.0%
* Pretium Resources, Inc........................................... 794,788 8,007,620 0.7%
#* Sandstorm Gold, Ltd.............................................. 1,264,677 9,025,863 0.8%
* SSR Mining, Inc.................................................. 859,605 12,713,617 1.1%
Stella-Jones, Inc................................................ 332,002 9,205,613 0.8%
* Torex Gold Resources, Inc........................................ 632,604 9,255,394 0.8%
Yamana Gold, Inc................................................. 6,883,874 25,139,651 2.2%
Other Securities................................................. 130,973,674 11.5%
-------------- ----
TOTAL MATERIALS...................................................... 380,070,650 33.1%
-------------- ----
REAL ESTATE -- (4.1%)
Colliers International Group, Inc................................ 224,919 15,070,307 1.3%
FirstService Corp................................................ 1,234 107,741 0.0%
FirstService Corp................................................ 153,669 13,412,640 1.2%
# Tricon Capital Group, Inc........................................ 1,029,132 8,329,320 0.7%
Other Securities................................................. 17,246,869 1.5%
-------------- ----
TOTAL REAL ESTATE.................................................... 54,166,877 4.7%
-------------- ----
UTILITIES -- (5.9%)
# Boralex, Inc., Class A........................................... 485,312 8,032,649 0.7%
Capital Power Corp............................................... 724,420 17,363,859 1.5%
Innergex Renewable Energy, Inc................................... 740,781 9,246,404 0.8%
Northland Power, Inc............................................. 513,208 10,247,795 0.9%
# Superior Plus Corp............................................... 1,170,310 10,564,867 0.9%
TransAlta Corp................................................... 2,047,057 12,091,795 1.1%
# TransAlta Renewables, Inc........................................ 779,039 8,387,194 0.7%
Other Securities................................................. 2,618,233 0.2%
-------------- ----
TOTAL UTILITIES...................................................... 78,552,796 6.8%
-------------- ----
TOTAL COMMON STOCKS.................................................. 1,145,113,156 99.7%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 525,727 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES (Cost $1,363,796,012).................... 1,145,638,883
==============
203
THE CANADIAN SMALL COMPANY SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (13.7%)
@(S) The DFA Short Term Investment Fund............................... 15,667,770 $ 181,291,764 15.8%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,545,068,154)................................................ $1,326,930,647 115.5%
============== =====
Summary of the Series' investments as of October 31, 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................................... $ 26,602,932 -- -- $ 26,602,932
Consumer Discretionary................................... 63,280,149 $ 6,877 -- 63,287,026
Consumer Staples......................................... 52,692,074 -- -- 52,692,074
Energy................................................... 169,654,103 502,007 -- 170,156,110
Financials............................................... 121,532,613 -- -- 121,532,613
Health Care.............................................. 20,377,182 -- -- 20,377,182
Industrials.............................................. 131,392,946 -- -- 131,392,946
Information Technology................................... 46,281,950 -- -- 46,281,950
Materials................................................ 380,070,161 489 -- 380,070,650
Real Estate.............................................. 54,166,877 -- -- 54,166,877
Utilities................................................ 78,552,796 -- -- 78,552,796
Rights/Warrants
Communication Services................................... -- 50,475 -- 50,475
Energy................................................... -- 76 -- 76
Materials................................................ -- 475,176 -- 475,176
Securities Lending Collateral............................... -- 181,291,764 -- 181,291,764
-------------- ------------ -------- --------------
TOTAL....................................................... $1,144,603,783 $182,326,864 -- $1,326,930,647
============== ============ ======== ==============
See accompanying Notes to Financial Statements.
204
THE EMERGING MARKETS SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (95.8%)
BRAZIL -- (6.7%)
Ambev SA, ADR.................................................... 5,984,451 $ 25,792,984 0.4%
B3 SA - Brasil Bolsa Balcao...................................... 1,724,517 20,803,424 0.3%
JBS SA........................................................... 2,773,918 19,567,171 0.3%
Petroleo Brasileiro SA........................................... 3,033,556 24,734,393 0.4%
Petroleo Brasileiro SA, Sponsored ADR (US71654V1017)............. 1,299,604 19,611,024 0.3%
* Vale SA.......................................................... 3,260,013 38,367,434 0.6%
* Vale SA, Sponsored ADR........................................... 1,665,738 19,555,770 0.3%
Other Securities................................................. 239,077,732 4.1%
-------------- ----
TOTAL BRAZIL......................................................... 407,509,932 6.7%
-------------- ----
CHILE -- (1.1%)
Other Securities................................................. 64,756,864 1.1%
-------------- ----
CHINA -- (17.4%)
* Alibaba Group Holding, Ltd., Sponsored ADR....................... 468,034 82,687,567 1.4%
* Baidu, Inc., Sponsored ADR....................................... 187,957 19,143,421 0.3%
China Construction Bank Corp., Class H........................... 50,692,590 40,618,473 0.7%
China Mobile, Ltd., Sponsored ADR................................ 903,735 36,492,819 0.6%
China Overseas Land & Investment, Ltd............................ 5,818,000 18,358,646 0.3%
Industrial & Commercial Bank of China, Ltd., Class H............. 37,297,185 26,719,448 0.5%
Ping An Insurance Group Co. of China, Ltd., Class H.............. 3,770,000 43,512,512 0.7%
Tencent Holdings, Ltd............................................ 3,697,300 149,973,259 2.5%
Other Securities................................................. 646,167,913 10.6%
-------------- ----
TOTAL CHINA.......................................................... 1,063,674,058 17.6%
-------------- ----
COLOMBIA -- (0.4%)
Other Securities................................................. 25,468,955 0.4%
-------------- ----
CZECH REPUBLIC -- (0.1%)
Other Securities................................................. 7,589,130 0.1%
-------------- ----
EGYPT -- (0.1%)
Other Securities................................................. 8,954,586 0.1%
-------------- ----
GREECE -- (0.4%)
Other Securities................................................. 22,608,755 0.4%
-------------- ----
HUNGARY -- (0.5%)
Other Securities................................................. 28,120,733 0.5%
-------------- ----
INDIA -- (13.2%)
HDFC Bank Ltd.................................................... 2,767,968 47,944,947 0.8%
Hindustan Unilever, Ltd.......................................... 959,377 29,474,730 0.5%
Housing Development Finance Corp., Ltd........................... 1,218,361 36,652,982 0.6%
Infosys, Ltd..................................................... 3,610,458 34,788,558 0.6%
Reliance Industries, Ltd......................................... 3,145,620 64,868,528 1.1%
Reliance Industries, Ltd., GDR................................... 3,374 138,370 0.0%
Tata Consultancy Services, Ltd................................... 1,281,838 41,123,575 0.7%
Other Securities................................................. 551,306,729 9.1%
-------------- ----
TOTAL INDIA.......................................................... 806,298,419 13.4%
-------------- ----
205
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDONESIA -- (2.7%)
Bank Central Asia Tbk PT......................................... 8,457,600 $ 18,930,876 0.3%
Bank Rakyat Indonesia Persero Tbk PT............................. 63,168,800 18,927,597 0.3%
Other Securities................................................. 128,729,943 2.2%
------------ ---
TOTAL INDONESIA...................................................... 166,588,416 2.8%
------------ ---
MALAYSIA -- (2.6%)
Public Bank Bhd.................................................. 3,656,014 17,743,930 0.3%
Other Securities................................................. 143,535,791 2.4%
------------ ---
TOTAL MALAYSIA....................................................... 161,279,721 2.7%
------------ ---
MEXICO -- (3.6%)
# America Movil S.A.B. de C.V...................................... 48,207,854 38,167,318 0.6%
Grupo Financiero Banorte S.A.B. de C.V........................... 5,267,183 28,799,538 0.5%
# Wal-Mart de Mexico S.A.B. de C.V................................. 7,198,435 21,573,040 0.4%
Other Securities................................................. 133,077,457 2.2%
------------ ---
TOTAL MEXICO......................................................... 221,617,353 3.7%
------------ ---
NETHERLANDS -- (0.1%)
Other Security................................................... 3,425,675 0.1%
------------ ---
PERU -- (0.3%)
Other Securities................................................. 17,530,969 0.3%
------------ ---
PHILIPPINES -- (1.4%)
Other Securities................................................. 88,326,781 1.5%
------------ ---
POLAND -- (1.4%)
Other Securities................................................. 84,513,278 1.4%
------------ ---
RUSSIA -- (2.1%)
Gazprom PJSC, Sponsored ADR...................................... 2,221,918 17,812,774 0.3%
Lukoil PJSC, Sponsored ADR....................................... 240,181 22,133,405 0.4%
Sberbank of Russia PJSC, Sponsored ADR........................... 1,512,183 22,268,858 0.4%
Other Securities................................................. 63,440,823 1.0%
------------ ---
TOTAL RUSSIA......................................................... 125,655,860 2.1%
------------ ---
SOUTH AFRICA -- (6.6%)
Absa Group, Ltd.................................................. 2,048,444 21,009,003 0.4%
AngloGold Ashanti, Ltd., Sponsored ADR........................... 1,511,371 33,371,072 0.6%
FirstRand, Ltd................................................... 4,821,116 20,841,591 0.3%
Gold Fields, Ltd., Sponsored ADR................................. 3,517,277 21,736,772 0.4%
# MTN Group, Ltd................................................... 4,153,006 25,705,368 0.4%
Naspers, Ltd., Class N........................................... 269,196 38,093,520 0.6%
Standard Bank Group, Ltd......................................... 2,064,368 23,699,452 0.4%
Other Securities................................................. 216,360,272 3.5%
------------ ---
TOTAL SOUTH AFRICA................................................... 400,817,050 6.6%
------------ ---
SOUTH KOREA -- (14.8%)
NAVER Corp....................................................... 127,452 17,970,279 0.3%
Samsung Electronics Co., Ltd..................................... 4,912,950 212,336,945 3.5%
Samsung Electronics Co., Ltd. , GDR (4942818).................... 52,509 56,131,486 0.9%
SK Hynix, Inc.................................................... 821,484 57,763,436 1.0%
206
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
SOUTH KOREA -- (Continued)
Other Securities......................... $ 563,199,923 9.3%
-------------- ----
TOTAL SOUTH KOREA............................. 907,402,069 15.0%
-------------- ----
SPAIN -- (0.1%)
Other Securities......................... 4,410,951 0.1%
-------------- ----
TAIWAN -- (16.0%)
ASE Technology Holding Co., Ltd.......... 7,079,782 18,368,006 0.3%
Hon Hai Precision Industry Co., Ltd...... 9,612,322 25,387,128 0.4%
Largan Precision Co., Ltd................ 133,860 19,641,853 0.3%
Taiwan Semiconductor Manufacturing Co.,
Ltd ................................... 22,557,808 221,061,961 3.7%
Taiwan Semiconductor Manufacturing Co.,
Ltd., Sponsored ADR 1,784,041 92,110,037 1.5%
Other Securities......................... 600,580,578 10.0%
-------------- ----
TOTAL TAIWAN.................................. 977,149,563 16.2%
-------------- ----
THAILAND -- (3.4%)
PTT PCL.................................. 16,434,000 24,627,869 0.4%
Other Securities......................... 185,433,274 3.1%
-------------- ----
TOTAL THAILAND................................ 210,061,143 3.5%
-------------- ----
TURKEY -- (0.8%)
Other Securities......................... 50,321,568 0.8%
-------------- ----
UNITED KINGDOM -- (0.0%)
Other Security........................... 2,900,887 0.0%
-------------- ----
TOTAL COMMON STOCKS........................... 5,856,982,716 97.1%
-------------- ----
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
Banco Bradesco SA........................ 2,296,111 20,135,700 0.3%
Itau Unibanco Holding SA................. 4,269,308 38,568,016 0.6%
Petroleo Brasileiro SA................... 3,525,848 26,717,497 0.4%
Other Securities......................... 28,934,909 0.6%
-------------- ----
TOTAL BRAZIL.................................. 114,356,122 1.9%
-------------- ----
CHILE -- (0.0%)
Other Security........................... 1,187,481 0.0%
-------------- ----
COLOMBIA -- (0.1%)
Other Securities......................... 5,471,738 0.1%
-------------- ----
SOUTH KOREA -- (0.0%)
Other Security........................... 348,299 0.0%
-------------- ----
TOTAL PREFERRED STOCKS........................ 121,363,640 2.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities......................... 64,488 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $4,151,605,364)....................... 5,978,410,844
--------------
207
THE EMERGING MARKETS SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (2.2%)
@(S) The DFA Short Term Investment Fund............................... 11,523,978 $ 133,343,951 2.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,284,929,744).................................................. $6,111,754,795 101.3%
============== =====
As of October 31, 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 12/20/19 $33,538,198 $33,845,500 $307,302
S&P 500(R) Emini Index...................................... 60 12/20/19 9,010,755 9,107,400 96,645
----------- ----------- --------
TOTAL FUTURES CONTRACTS..................................... $42,548,953 $42,952,900 $403,947
=========== =========== ========
Summary of the Series' investments as of October 31, 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................................................... $407,509,932 -- -- $ 407,509,932
Chile.................................................... 36,663,260 $ 28,093,604 -- 64,756,864
China.................................................... 264,262,188 799,411,870 -- 1,063,674,058
Colombia................................................. 25,468,955 -- -- 25,468,955
Czech Republic........................................... -- 7,589,130 -- 7,589,130
Egypt.................................................... 264,880 8,689,706 -- 8,954,586
Greece................................................... -- 22,608,755 -- 22,608,755
Hungary.................................................. -- 28,120,733 -- 28,120,733
India.................................................... 35,347,463 770,950,956 -- 806,298,419
Indonesia................................................ 5,682,660 160,905,756 -- 166,588,416
Malaysia................................................. -- 161,279,721 -- 161,279,721
Mexico................................................... 221,617,353 -- -- 221,617,353
Netherlands.............................................. 3,425,675 -- -- 3,425,675
Peru..................................................... 17,530,969 -- -- 17,530,969
Philippines.............................................. 2,545,890 85,780,891 -- 88,326,781
Poland................................................... -- 84,513,278 -- 84,513,278
Russia................................................... 20,627,226 105,028,634 -- 125,655,860
South Africa............................................. 71,570,426 329,246,624 -- 400,817,050
South Korea.............................................. 17,936,063 889,466,006 -- 907,402,069
Spain.................................................... 4,410,951 -- -- 4,410,951
Taiwan................................................... 102,539,692 874,609,871 -- 977,149,563
Thailand................................................. 210,061,143 -- -- 210,061,143
Turkey................................................... 403,894 49,917,674 -- 50,321,568
United Kingdom........................................... -- 2,900,887 -- 2,900,887
Preferred Stocks
Brazil................................................... 114,356,122 -- -- 114,356,122
Chile.................................................... -- 1,187,481 -- 1,187,481
Colombia................................................. 5,471,738 -- -- 5,471,738
South Korea.............................................. 348,299 -- -- 348,299
208
THE EMERGING MARKETS SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
Rights/Warrants
Taiwan................................................... -- $ 39,852 -- $ 39,852
Thailand................................................. -- 24,636 -- 24,636
Securities Lending Collateral............................... -- 133,343,951 -- 133,343,951
Futures Contracts**......................................... $ 403,947 -- -- 403,947
-------------- -------------- -- --------------
TOTAL....................................................... $1,568,448,726 $4,543,710,016 -- $6,112,158,742
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
209
THE EMERGING MARKETS SMALL CAP SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
COMMON STOCKS -- (94.8%)
BRAZIL -- (9.0%)
Aliansce Sonae Shopping Centers SA............................... 1,180,268 $ 12,522,204 0.2%
#* Azul SA, ADR..................................................... 548,855 21,394,368 0.3%
BR Malls Participacoes SA........................................ 7,133,056 27,301,436 0.4%
Cia de Saneamento do Parana...................................... 879,307 19,995,711 0.3%
CVC Brasil Operadora e Agencia de Viagens SA..................... 1,091,287 13,940,066 0.2%
Cyrela Brazil Realty SA Empreendimentos e Participacoes.......... 2,708,304 18,185,919 0.3%
EDP - Energias do Brasil SA...................................... 2,821,314 13,345,051 0.2%
Equatorial Energia SA............................................ 1,340,358 34,049,538 0.5%
MRV Engenharia e Participacoes SA................................ 3,320,154 14,562,152 0.2%
Qualicorp Consultoria e Corretora de Seguros SA.................. 2,491,663 19,818,988 0.3%
Sul America SA................................................... 2,867,714 34,529,843 0.5%
Transmissora Alianca de Energia Eletrica SA...................... 3,338,651 24,041,950 0.4%
YDUQS Part....................................................... 2,462,379 24,098,834 0.4%
Other Securities................................................. 317,186,665 5.1%
-------------- ----
TOTAL BRAZIL......................................................... 594,972,725 9.3%
-------------- ----
CHILE -- (1.3%)
Parque Arauco SA................................................. 5,633,230 14,829,285 0.2%
Other Securities................................................. 72,713,462 1.2%
-------------- ----
TOTAL CHILE.......................................................... 87,542,747 1.4%
-------------- ----
CHINA -- (16.0%)
* 3SBio, Inc....................................................... 7,919,000 14,751,165 0.2%
* 51job, Inc., ADR................................................. 146,514 11,540,908 0.2%
#* Baozun, Inc., Sponsored ADR...................................... 268,776 11,697,132 0.2%
# China Aoyuan Group, Ltd.......................................... 9,391,000 12,001,039 0.2%
China Medical System Holdings, Ltd............................... 8,837,500 11,984,741 0.2%
CIFI Holdings Group Co., Ltd..................................... 17,899,964 11,938,845 0.2%
Far East Horizon, Ltd............................................ 12,557,000 11,888,254 0.2%
Kingboard Holdings, Ltd.......................................... 4,368,421 11,641,413 0.2%
# Kingdee International Software Group Co., Ltd.................... 14,416,200 15,796,538 0.3%
Li Ning Co., Ltd................................................. 4,131,000 14,007,474 0.2%
Minth Group, Ltd................................................. 4,297,000 15,199,257 0.2%
Shandong Weigao Group Medical Polymer Co., Ltd., Class H......... 11,908,000 13,670,868 0.2%
Shenzhen International Holdings, Ltd............................. 7,852,816 15,965,018 0.3%
Other Securities................................................. 884,582,712 13.6%
-------------- ----
TOTAL CHINA.......................................................... 1,056,665,364 16.4%
-------------- ----
COLOMBIA -- (0.3%)
Other Securities................................................. 20,876,303 0.3%
-------------- ----
GREECE -- (0.4%)
Other Securities................................................. 27,820,918 0.4%
-------------- ----
HONG KONG -- (0.0%)
Other Security................................................... 569,179 0.0%
-------------- ----
HUNGARY -- (0.1%)
Other Securities................................................. 8,006,662 0.1%
-------------- ----
210
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
INDIA -- (11.0%)
Crompton Greaves Consumer Electricals, Ltd.................. 3,162,419 $ 11,359,638 0.2%
Federal Bank, Ltd........................................... 10,224,242 12,069,446 0.2%
Other Securities............................................ 698,199,583 10.8%
-------------- ----
TOTAL INDIA..................................................... 721,628,667 11.2%
-------------- ----
INDONESIA -- (2.7%)
Other Securities............................................ 175,060,520 2.7%
-------------- ----
MALAYSIA -- (3.1%)
Other Securities............................................ 204,764,291 3.2%
-------------- ----
MEXICO -- (3.1%)
#* Alsea S.A.B. de C.V......................................... 4,593,827 12,226,961 0.2%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V.......... 3,075,478 21,342,009 0.3%
Megacable Holdings S.A.B. de C.V............................ 2,886,613 11,850,172 0.2%
Other Securities............................................ 156,117,191 2.4%
-------------- ----
TOTAL MEXICO.................................................... 201,536,333 3.1%
-------------- ----
PHILIPPINES -- (1.4%)
Other Securities............................................ 93,020,607 1.4%
-------------- ----
POLAND -- (1.1%)
Other Securities............................................ 72,344,163 1.1%
-------------- ----
RUSSIA -- (0.2%)
Other Securities............................................ 10,911,600 0.2%
-------------- ----
SOUTH AFRICA -- (6.9%)
African Rainbow Minerals, Ltd............................... 1,136,508 11,386,338 0.2%
AVI, Ltd.................................................... 2,690,297 15,447,267 0.2%
# Barloworld, Ltd............................................. 2,004,459 15,965,466 0.3%
Clicks Group, Ltd........................................... 1,489,117 24,206,910 0.4%
# Foschini Group, Ltd. (The).................................. 1,303,259 15,030,287 0.2%
Gold Fields, Ltd., Sponsored ADR............................ 2,024,601 12,512,034 0.2%
#* Impala Platinum Holdings, Ltd............................... 5,947,577 40,948,861 0.6%
Life Healthcare Group Holdings, Ltd......................... 8,269,032 13,059,201 0.2%
* Northam Platinum, Ltd....................................... 3,302,942 22,303,408 0.4%
Pick n Pay Stores, Ltd...................................... 2,900,901 12,673,046 0.2%
* Sibanye Gold, Ltd........................................... 9,471,405 18,286,388 0.3%
# SPAR Group, Ltd. (The)...................................... 1,529,759 20,581,718 0.3%
Truworths International, Ltd................................ 3,181,399 11,275,738 0.2%
Other Securities............................................ 220,487,865 3.4%
-------------- ----
TOTAL SOUTH AFRICA.............................................. 454,164,527 7.1%
-------------- ----
SOUTH KOREA -- (14.5%)
Other Securities............................................ 955,041,081 14.9%
-------------- ----
TAIWAN -- (18.8%)
# Walsin Technology Corp...................................... 1,910,793 11,439,639 0.2%
Other Securities............................................ 1,224,311,164 19.0%
-------------- ----
TOTAL TAIWAN.................................................... 1,235,750,803 19.2%
-------------- ----
211
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
PERCENTAGE
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) OF NET ASSETS++
---------- ------------------------------- ---------------
THAILAND -- (3.8%)
Other Securities....................................... $ 248,320,312 3.9%
-------------- -----
TURKEY -- (1.1%)
Other Securities....................................... 74,222,083 1.2%
-------------- -----
TOTAL COMMON STOCKS.......................................... 6,243,218,885 97.1%
-------------- -----
PREFERRED STOCKS -- (1.8%)
BRAZIL -- (1.7%)
Cia de Saneamento do Parana............................ 2,843,901 12,877,507 0.2%
Cia de Transmissao de Energia Eletrica Paulista........ 1,944,669 11,428,961 0.2%
Cia Energetica de Sao Paulo............................ 1,846,188 13,672,057 0.2%
Cia Paranaense de Energia.............................. 960,299 13,329,970 0.2%
Other Securities....................................... 59,324,611 0.9%
-------------- -----
TOTAL BRAZIL................................................. 110,633,106 1.7%
-------------- -----
CHILE -- (0.0%)
Other Security......................................... 1,243,749 0.0%
-------------- -----
COLOMBIA -- (0.1%)
Other Securities....................................... 1,722,387 0.1%
-------------- -----
TOTAL PREFERRED STOCKS....................................... 113,599,242 1.8%
-------------- -----
RIGHTS/WARRANTS -- (0.0%)
Other Securities....................................... 986,614 0.0%
-------------- -----
TOTAL INVESTMENT SECURITIES
(Cost $6,275,401,168)...................................... 6,357,804,741
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (3.4%)
@(S) The DFA Short Term Investment Fund..................... 19,599,035 226,780,436 3.5%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $6,502,156,830)........................................ $6,584,585,177 102.4%
============== =====
As of October 31, 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 12/20/19 $33,392,884 $33,845,500 $452,616
S&P 500(R) Emini Index...................................... 72 12/20/19 10,624,869 10,928,880 304,011
----------- ----------- --------
TOTAL FUTURES CONTRACTS..................................... $44,017,753 $44,774,380 $756,627
=========== =========== ========
212
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
Summary of the Series' investments as of October 31, 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................................................... $ 594,972,725 -- -- $ 594,972,725
Chile.................................................... 302,888 $ 87,239,859 -- 87,542,747
China.................................................... 81,475,059 975,190,305 -- 1,056,665,364
Colombia................................................. 20,876,303 -- -- 20,876,303
Greece................................................... -- 27,820,918 -- 27,820,918
Hong Kong................................................ -- 569,179 -- 569,179
Hungary.................................................. -- 8,006,662 -- 8,006,662
India.................................................... 6,541,236 715,087,431 -- 721,628,667
Indonesia................................................ 482,881 174,577,639 -- 175,060,520
Malaysia................................................. 41,885 204,722,406 -- 204,764,291
Mexico................................................... 201,516,550 19,783 -- 201,536,333
Philippines.............................................. -- 93,020,607 -- 93,020,607
Poland................................................... -- 72,344,163 -- 72,344,163
Russia................................................... 10,911,600 -- -- 10,911,600
South Africa............................................. 21,009,004 433,155,523 -- 454,164,527
South Korea.............................................. 74,289 954,966,792 -- 955,041,081
Taiwan................................................... 100,823 1,235,649,980 -- 1,235,750,803
Thailand................................................. 248,293,158 27,154 -- 248,320,312
Turkey................................................... -- 74,222,083 -- 74,222,083
Preferred Stocks
Brazil................................................... 110,633,106 -- -- 110,633,106
Chile.................................................... -- 1,243,749 -- 1,243,749
Colombia................................................. 1,722,387 -- -- 1,722,387
Rights/Warrants
Indonesia................................................ -- 91,796 -- 91,796
Malaysia................................................. -- 5,446 -- 5,446
South Korea.............................................. -- 115,112 -- 115,112
Taiwan................................................... -- 97,373 -- 97,373
Turkey................................................... -- 676,887 -- 676,887
Securities Lending Collateral............................... -- 226,780,436 -- 226,780,436
Futures Contracts**......................................... 756,627 -- -- 756,627
-------------- -------------- -- --------------
TOTAL....................................................... $1,299,710,521 $5,285,631,283 -- $6,585,341,804
============== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
213
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE JAPANESE THE ASIA THE UNITED
THE DFA SMALL PACIFIC SMALL KINGDOM SMALL
INTERNATIONAL COMPANY COMPANY COMPANY
VALUE SERIES* SERIES* SERIES* SERIES*
------------- ------------ ------------- -------------
ASSETS:
Investment Securities at Value (including $321,088,
$191,793, $231,554 and $17,450 of securities on loan,
respectively)............................................. $12,234,481 $3,715,115 $1,631,316 $2,236,422
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $257,560, $91,192, $48,843 and
$18,811).................................................. 257,592 91,203 48,848 18,814
Segregated Cash for Futures Contracts....................... 4,457 -- -- --
Foreign Currencies at Value................................. 107,014 2,283 6,498 6,006
Cash........................................................ 1,847 4,341 -- 312
Receivables:
Investment Securities Sold............................... 10,170 2,309 2,994 31,768
Dividends, Interest and Tax Reclaims..................... 67,642 26,307 1,251 6,901
Securities Lending Income................................ 285 580 409 50
Unrealized Gain on Foreign Currency Contracts............... 1 -- -- --
----------- ---------- ---------- ----------
Total Assets......................................... 12,683,489 3,842,138 1,691,316 2,300,273
----------- ---------- ---------- ----------
LIABILITIES:
Payables:
Due to Custodian......................................... -- -- 2 --
Upon Return of Securities Loaned......................... 257,574 91,233 48,834 18,814
Investment Securities Purchased.......................... 1,425 2,089 327 3,656
Due to Advisor........................................... 2,064 308 137 187
Line of Credit........................................... -- -- 10 --
Futures Margin Variation................................. 419 -- -- --
Unrealized Loss on Foreign Currency Contracts............... 21 -- -- --
Accrued Expenses and Other Liabilities...................... 1,136 331 163 165
----------- ---------- ---------- ----------
Total Liabilities.................................... 262,639 93,961 49,473 22,822
----------- ---------- ---------- ----------
NET ASSETS.................................................. $12,420,850 $3,748,177 $1,641,843 $2,277,451
=========== ========== ========== ==========
Investment Securities at Cost............................... $12,023,744 $3,300,844 $1,736,491 $2,084,250
=========== ========== ========== ==========
Foreign Currencies at Cost.................................. $ 105,529 $ 2,272 $ 6,486 $ 5,978
=========== ========== ========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
214
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE
CONTINENTAL THE CANADIAN THE EMERGING
SMALL SMALL THE EMERGING MARKETS
COMPANY COMPANY MARKETS SMALL CAP
SERIES* SERIES* SERIES* SERIES*
----------- ------------ ------------ ------------
ASSETS:
Investment Securities at Value (including $527,896, $215,322, $185,633
and $582,271 of securities on loan, respectively).......................... $5,588,362 $1,145,639 $5,978,411 $6,357,805
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $514,827, $181,272, $133,324 and $226,756)......................... 514,886 181,292 133,344 226,780
Segregated Cash for Futures Contracts........................................ -- -- 2,068 2,144
Foreign Currencies at Value.................................................. 10,125 741 34,952 34,447
Cash......................................................................... 3,377 810 17,655 20,377
Receivables:
Investment Securities Sold................................................ 4,167 899 9,555 13,550
Dividends, Interest and Tax Reclaims...................................... 12,045 843 5,724 8,133
Securities Lending Income................................................. 1,327 232 389 2,865
---------- ---------- ---------- ----------
Total Assets.......................................................... 6,134,289 1,330,456 6,182,098 6,666,101
---------- ---------- ---------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................................... 514,881 181,271 133,343 226,726
Investment Securities Purchased........................................... 10,962 384 3,829 6,560
Due to Advisor............................................................ 461 97 501 1,070
Futures Margin Variation.................................................. -- -- 293 300
Unrealized Loss on Foreign Currency Contracts................................ 14 -- -- --
Deferred Taxes Payable....................................................... -- -- 8,904 --
Accrued Expenses and Other Liabilities....................................... 476 89 1,066 1,078
---------- ---------- ---------- ----------
Total Liabilities..................................................... 526,794 181,841 147,936 235,734
---------- ---------- ---------- ----------
NET ASSETS................................................................... $5,607,495 $1,148,615 $6,034,162 $6,430,367
========== ========== ========== ==========
Investment Securities at Cost................................................ $4,988,018 $1,363,796 $4,151,605 $6,275,401
========== ========== ========== ==========
Foreign Currencies at Cost................................................... $ 10,108 $ 744 $ 34,876 $ 34,484
========== ========== ========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
215
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE
THE THE ASIA UNITED
THE DFA JAPANESE PACIFIC KINGDOM
INTERNATIONAL SMALL SMALL SMALL
VALUE COMPANY COMPANY COMPANY
SERIES# SERIES# SERIES# SERIES#
------------- -------- -------- --------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $48,859, $8,503, $912 and $223,
respectively).............................................................. $490,858 $ 76,667 $ 64,269 $ 78,292
Income from Securities Lending............................................... 7,065 9,223 6,043 460
-------- -------- -------- --------
Total Investment Income............................................... 497,923 85,890 70,312 78,752
-------- -------- -------- --------
EXPENSES
Investment Management Fees................................................... 24,092 3,519 1,659 2,223
Accounting & Transfer Agent Fees............................................. 530 174 100 121
Custodian Fees............................................................... 1,129 478 267 127
Shareholders' Reports........................................................ 6 12 12 12
Directors'/Trustees' Fees & Expenses......................................... 71 22 10 12
Professional Fees............................................................ 243 59 28 36
Other........................................................................ 311 100 54 63
-------- -------- -------- --------
Total Expenses........................................................ 26,382 4,364 2,130 2,594
-------- -------- -------- --------
Fees Paid Indirectly (Note C)................................................ (923) (77) (33) (94)
-------- -------- -------- --------
Net Expenses................................................................. 25,459 4,287 2,097 2,500
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS)................................................. 472,464 81,603 68,215 76,252
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................. (46,440) 63,546 28,597 45,398
Affiliated Investment Companies Shares Sold.............................. 14 -- 3 2
Futures.................................................................. 3,070 -- (97) --
Foreign Currency Transactions............................................ 928 893 (572) (1,016)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... (6,446) 2,479 (10,141) 105,943
Affiliated Investment Companies Shares................................... (10) 10 4 1
Futures.................................................................. 7,836 -- -- --
Translation of Foreign Currency-Denominated Amounts...................... 652 9 16 552
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... (40,396) 66,937 17,810 150,880
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $432,068 $148,540 $ 86,025 $227,132
======== ======== ======== ========
--------
** 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.
216
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE THE THE
CONTINENTAL CANADIAN THE EMERGING
SMALL SMALL EMERGING MARKETS
COMPANY COMPANY MARKETS SMALL CAP
SERIES# SERIES# SERIES# SERIES#
----------- -------- -------- ---------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $21,820, $4,102, $21,598 and
$21,638, respectively).................................................. $138,372 $ 23,553 $181,427 $170,320
Income from Securities Lending............................................ 15,048 4,211 4,327 38,473
-------- -------- -------- --------
Total Investment Income............................................ 153,420 27,764 185,754 208,793
-------- -------- -------- --------
EXPENSES
Investment Management Fees................................................ 5,366 1,118 5,856 13,268
Accounting & Transfer Agent Fees.......................................... 253 71 273 304
Custodian Fees............................................................ 798 76 2,111 2,718
Shareholders' Reports..................................................... 13 12 12 11
Directors'/Trustees' Fees & Expenses...................................... 32 6 35 40
Professional Fees......................................................... 164 17 182 187
Other..................................................................... 164 28 155 204
-------- -------- -------- --------
Total Expenses..................................................... 6,790 1,328 8,624 16,732
-------- -------- -------- --------
Fees Paid Indirectly (Note C)............................................. (276) (46) (741) (530)
-------- -------- -------- --------
Net Expenses.............................................................. 6,514 1,282 7,883 16,202
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS).............................................. 146,906 26,482 177,871 192,591
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.......................................... 271,616 (81,417) (58,802) 60,673
Affiliated Investment Companies Shares Sold........................... 7 (6) (6) 3
Futures............................................................... -- -- 1,845 (614)
Foreign Currency Transactions......................................... (101) 172 (438) (2,493)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................ 20,336 60,948 502,945 564,555
Affiliated Investment Companies Shares................................ 46 16 9 19
Futures............................................................... -- -- 3,110 3,854
Translation of Foreign Currency-Denominated Amounts................... 63 6 21 42
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................... 291,967 (20,281) 448,684 626,039
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.............. $438,873 $ 6,201 $626,555 $818,630
======== ======== ======== ========
--------
** 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.
217
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE JAPANESE SMALL
VALUE SERIES COMPANY SERIES
------------------------ ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018
----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 472,464 $ 420,496 $ 81,603 $ 80,378
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (46,440) 410,722 63,546 229,342
Affiliated Investment Companies Shares Sold................. 14 (107) -- (137)
Futures..................................................... 3,070 13,338 -- --
Foreign Currency Transactions............................... 928 (5,911) 893 (2,149)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (6,446) (1,897,300) 2,479 (628,895)
Affiliated Investment Companies Shares...................... (10) 55 10 71
Futures..................................................... 7,836 (9,675) -- --
Translation of Foreign Currency- Denominated Amounts........ 652 (613) 9 280
----------- ----------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 432,068 (1,068,995) 148,540 (321,110)
----------- ----------- ---------- ----------
Transactions in Interest:
Contributions................................................... 903,879 1,051,133 105,276 364,251
Withdrawals..................................................... (1,068,437) (560,948) (339,736) (198,093)
----------- ----------- ---------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... (164,558) 490,185 (234,460) 166,158
----------- ----------- ---------- ----------
Total Increase (Decrease) in Net Assets.................. 267,510 (578,810) (85,920) (154,952)
NET ASSETS
Beginning of Year............................................... 12,153,340 12,732,150 3,834,097 3,989,049
----------- ----------- ---------- ----------
End of Year..................................................... $12,420,850 $12,153,340 $3,748,177 $3,834,097
=========== =========== ========== ==========
THE ASIA PACIFIC SMALL
COMPANY SERIES
----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 68,215 $ 76,219
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 28,597 (55,523)
Affiliated Investment Companies Shares Sold................. 3 (60)
Futures..................................................... (97) (134)
Foreign Currency Transactions............................... (572) (898)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (10,141) (175,750)
Affiliated Investment Companies Shares...................... 4 42
Futures..................................................... -- --
Translation of Foreign Currency- Denominated Amounts........ 16 (7)
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 86,025 (156,111)
---------- ----------
Transactions in Interest:
Contributions................................................... 84,771 199,024
Withdrawals..................................................... (259,324) (128,247)
---------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... (174,553) 70,777
---------- ----------
Total Increase (Decrease) in Net Assets.................. (88,528) (85,334)
NET ASSETS
Beginning of Year............................................... 1,730,371 1,815,705
---------- ----------
End of Year..................................................... $1,641,843 $1,730,371
========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
218
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE UNITED KINGDOM SMALL THE CONTINENTAL SMALL
COMPANY SERIES COMPANY SERIES
---------------------- -----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018
---------- ---------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 76,252 $ 76,805 $ 146,906 $ 152,247
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... 45,398 85,120 271,616 319,242
Affiliated Investment Companies Shares Sold................. 2 (9) 7 (101)
Futures..................................................... -- -- -- 161
Foreign Currency Transactions............................... (1,016) (1,153) (101) (2,498)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 105,943 (373,044) 20,336 (1,131,028)
Affiliated Investment Companies Shares...................... 1 -- 46 78
Translation of Foreign Currency- Denominated Amounts........ 552 (181) 63 (371)
---------- ---------- ---------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 227,132 (212,462) 438,873 (662,270)
---------- ---------- ---------- -----------
Transactions in Interest:
Contributions................................................... 92,887 120,516 223,410 480,253
Withdrawals..................................................... (231,393) (49,141) (477,048) (146,782)
---------- ---------- ---------- -----------
Net Increase (Decrease) from Transactions in
Interest............................................... (138,506) 71,375 (253,638) 333,471
---------- ---------- ---------- -----------
Total Increase (Decrease) in Net Assets.................. 88,626 (141,087) 185,235 (328,799)
NET ASSETS
Beginning of Year............................................... 2,188,825 2,329,912 5,422,260 5,751,059
---------- ---------- ---------- -----------
End of Year..................................................... $2,277,451 $2,188,825 $5,607,495 $ 5,422,260
========== ========== ========== ===========
THE CANADIAN SMALL
COMPANY SERIES
----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 26,482 $ 25,307
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (81,417) 27,505
Affiliated Investment Companies Shares Sold................. (6) (19)
Futures..................................................... -- --
Foreign Currency Transactions............................... 172 120
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 60,948 (185,376)
Affiliated Investment Companies Shares...................... 16 (3)
Translation of Foreign Currency- Denominated Amounts........ 6 6
---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 6,201 (132,460)
---------- ----------
Transactions in Interest:
Contributions................................................... 99,460 136,490
Withdrawals..................................................... (103,857) (47,441)
---------- ----------
Net Increase (Decrease) from Transactions in
Interest............................................... (4,397) 89,049
---------- ----------
Total Increase (Decrease) in Net Assets.................. 1,804 (43,411)
NET ASSETS
Beginning of Year............................................... 1,146,811 1,190,222
---------- ----------
End of Year..................................................... $1,148,615 $1,146,811
========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
219
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE EMERGING MARKETS THE EMERGING MARKETS
SERIES SMALL CAP SERIES
----------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018
---------- ----------- ----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 177,871 $ 149,893 $ 192,591 $ 206,734
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........................... (58,802) 83,224 60,673 190,607
Affiliated Investment Companies Shares Sold................. (6) (12) 3 3
Futures..................................................... 1,845 (2,079) (614) (241)
Foreign Currency Transactions............................... (438) (1,530) (2,493) (5,175)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 502,945 (948,414) 564,555 (1,594,871)
Affiliated Investment Companies Shares...................... 9 7 19 (30)
Futures..................................................... 3,110 (3,369) 3,854 (4,231)
Translation of Foreign Currency-Denominated Amounts......... 21 (32) 42 (34)
---------- ----------- ----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 626,555 (722,312) 818,630 (1,207,238)
---------- ----------- ----------- -----------
Transactions in Interest:
Contributions................................................... 437,177 667,220 324,046 667,652
Withdrawals..................................................... (499,219) (1,198,466) (1,018,611) (407,569)
---------- ----------- ----------- -----------
Net Increase (Decrease) from Transactions in
Interest............................................... (62,042) (531,246) (694,565) 260,083
---------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets.................. 564,513 (1,253,558) 124,065 (947,155)
NET ASSETS
Beginning of Year............................................... 5,469,649 6,723,207 6,306,302 7,253,457
---------- ----------- ----------- -----------
End of Year..................................................... $6,034,162 $ 5,469,649 $ 6,430,367 $ 6,306,302
========== =========== =========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 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.
220
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE DFA INTERNATIONAL VALUE SERIES
-----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return................................................ 3.60% (8.10%) 26.53% (0.10%) (5.35%)
----------- ----------- ----------- ---------- ----------
Net Assets, End of Year (thousands)......................... $12,420,850 $12,153,340 $12,732,150 $9,729,540 $9,227,905
Ratio of Expenses to Average Net Assets..................... 0.21% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets........ 3.92% 3.21% 3.33% 3.72% 3.31%
Portfolio Turnover Rate..................................... 16% 20% 17% 17% 21%
THE JAPANESE SMALL COMPANY SERIES
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return................................................ 4.47% (7.46%) 27.10% 14.53% 9.04%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $3,748,177 $3,834,097 $3,989,049 $3,132,594 $2,631,688
Ratio of Expenses to Average Net Assets..................... 0.12% 0.12% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.12% 0.12% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets........ 2.32% 1.90% 1.90% 1.99% 1.69%
Portfolio Turnover Rate..................................... 12% 17% 13% 10% 6%
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
221
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE ASIA PACIFIC SMALL COMPANY SERIES
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return................................................ 5.27% (8.14%) 16.21% 16.69% (11.83%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $1,641,843 $1,730,371 $1,815,705 $1,555,736 $1,228,274
Ratio of Expenses to Average Net Assets..................... 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.13% 0.13% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets........ 4.11% 3.96% 3.82% 4.00% 4.17%
Portfolio Turnover Rate..................................... 18% 18% 14% 10% 7%
THE UNITED KINGDOM SMALL COMPANY SERIES
-----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return................................................ 10.67% (8.90%) 29.87% (15.82%) 9.95%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $2,277,451 $2,188,825 $2,329,912 $1,683,465 $2,084,113
Ratio of Expenses to Average Net Assets..................... 0.11% 0.11% 0.12% 0.12% 0.11%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.12% 0.11% 0.12% 0.12% 0.11%
Ratio of Net Investment Income to Average Net Assets........ 3.43% 3.23% 3.40% 4.36% 3.44%
Portfolio Turnover Rate..................................... 18% 14% 9% 15% 10%
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
222
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE CONTINENTAL SMALL COMPANY SERIES
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return................................................ 8.43% (10.78%) 34.27% 6.10% 9.81%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $5,607,495 $5,422,260 $5,751,059 $4,147,925 $3,653,743
Ratio of Expenses to Average Net Assets..................... 0.12% 0.12% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.13% 0.12% 0.13% 0.13% 0.13%
Ratio of Net Investment Income to Average Net Assets........ 2.74% 2.51% 2.33% 2.49% 2.44%
Portfolio Turnover Rate..................................... 17% 15% 13% 9% 14%
THE CANADIAN SMALL COMPANY SERIES
----------------------------------------------------------
YEAR YEAR
YEAR ENDED YEAR ENDED YEAR ENDED ENDED OCT ENDED OCT
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 31, 2016 31, 2015
------------ ------------ ------------ --------- ---------
Total Return................................................ 1.00% (10.44%) 12.10% 20.77% (25.00%)
---------- ---------- ---------- -------- --------
Net Assets, End of Year (thousands)......................... $1,148,615 $1,146,811 $1,190,222 $933,264 $623,132
Ratio of Expenses to Average Net Assets..................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly).......................................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets........ 2.37% 2.11% 2.14% 2.52% 2.73%
Portfolio Turnover Rate..................................... 12% 14% 22% 8% 18%
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
223
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE EMERGING MARKETS SERIES
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return...................................... 11.40% (11.83%) 25.26% 11.44% (14.86%)
Net Assets, End of Year (thousands)............... $6,034,162 $5,469,649 $6,723,207 $4,997,731 $4,403,555
Ratio of Expenses to Average Net Assets........... 0.14% 0.14% 0.15% 0.15% 0.16%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.15% 0.14% 0.15% 0.15% 0.16%
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.04% 2.40% 2.23% 2.45% 2.39%
Portfolio Turnover Rate........................... 9% 12% 8% 5% 9%
THE EMERGING MARKETS SMALL CAP SERIES
----------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018 OCT 31, 2017 OCT 31, 2016 OCT 31, 2015
------------ ------------ ------------ ------------ ------------
Total Return...................................... 13.47% (16.06%) 21.55% 14.45% (9.42%)
Net Assets, End of Year (thousands)............... $6,430,367 $6,306,302 $7,253,457 $5,515,647 $4,898,307
Ratio of Expenses to Average Net Assets........... 0.24% 0.24% 0.27% 0.26% 0.26%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)................ 0.25% 0.24% 0.27% 0.26% 0.27%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.90% 2.77% 2.78% 2.89% 2.62%
Portfolio Turnover Rate........................... 12% 12% 15% 18% 18%
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
224
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven portfolios, eight of which, The DFA International
Value Series, The Japanese Small Company Series, The Asia Pacific Small Company
Series, The United Kingdom Small Company Series, The Continental Small Company
Series, The Canadian Small Company Series, The Emerging Markets Series and The
Emerging Markets Small Cap Series 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."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Series use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series value the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m.
225
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 Series are computed. Due to
the time differences between the closings of the relevant foreign securities
exchanges and the time the Series price their shares at the close of the NYSE,
the Series 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 Series'
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 Series has determined that
movements in relevant indices or other appropriate market indicators, after the
close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate
that market quotations may be unreliable. Fair valuation of portfolio
securities may occur on a daily basis. The fair value pricing by the Series
uses data furnished by an independent pricing service (and that data draws
upon, among other information, the market values of foreign investments). When
a Series uses fair value pricing, the values assigned to the Series' foreign
investments may not be the quoted or published prices of the investments on
their primary markets or exchanges. These securities are generally categorized
as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables have been included at the end of the Summary
Schedules of Portfolio Holdings. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the Series, whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recent bid and ask
prices for the U.S. dollar as quoted by generally recognized reliable sources.
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 Series 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.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred compensation until a date specified by
such Trustee in the Notice. The date may not be sooner than the earlier of: (i)
226
the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Trust; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 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 Series may be subject to taxes imposed by countries in which they invest
with respect to their investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrue such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. Additionally, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Emerging Markets Series and The Emerging Markets Small Cap Series are
subject to tax on short-term capital gains for investments in India. Such taxes
are accrued on a daily basis and due upon sale of individual securities.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 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:
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%
227
EARNED INCOME CREDIT:
Additionally, the Series have entered into arrangements with their custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of the Series' custody expenses. Custody expense in the accompanying
financial statements is presented before reduction for credits. The impact of
such credits is generally less than one basis point of each Series' net assets.
During the year ended October 31, 2019, expenses reduced were as follows
(amounts in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series....... $923
The Japanese Small Company Series........ 77
The Asia Pacific Small Company Series.... 33
The United Kingdom Small Company Series.. 94
The Continental Small Company Series..... 276
The Canadian Small Company Series........ 46
The Emerging Markets Series.............. 741
The Emerging Markets Small Cap Series.... 530
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Trust; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For
the year ended October 31, 2019, the total related amounts paid by the Trust to
the CCO were $73 (in thousands). The total related amounts paid by each of the
Series are included in Other Expenses on the Statements of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 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 DFA International Value Series....... $402
The Japanese Small Company Series........ 101
The Asia Pacific Small Company Series.... 51
The United Kingdom Small Company Series.. 66
The Continental Small Company Series..... 133
The Canadian Small Company Series........ 32
The Emerging Markets Series.............. 166
The Emerging Markets Small Cap Series.... 149
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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 DFA International Value Series....... $2,227,903 $1,896,927
The Japanese Small Company Series........ $ 413,924 $ 566,085
The Asia Pacific Small Company Series.... $ 303,278 $ 331,966
The United Kingdom Small Company Series.. $ 414,490 $ 399,311
The Continental Small Company Series..... $ 886,698 $ 964,242
The Canadian Small Company Series........ $ 172,997 $ 133,503
228
PURCHASES SALES
--------- ----------
The Emerging Markets Series............ $637,524 $ 501,204
The Emerging Markets Small Cap Series.. $761,452 $1,252,028
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
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. The amounts
are as follows (amounts in thousands):
NET
REALIZED CHANGE IN SHARES
BALANCE AT GAIN/ UNREALIZED BALANCE AT AS OF
OCTOBER 31, PURCHASES PROCEEDS (LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ---------- ---------- -------- ------------- ----------- ----------- -------- -------------
THE DFA
INTERNATIONAL
VALUE SERIES
The DFA Short Term
Investment
Fund............. $488,072 $5,259,583 $5,490,067 $14 $(10) $257,592 22,262 $11,035 --
-------- ---------- ---------- --- ---- -------- ------ ------- --
TOTAL.............. $488,072 $5,259,583 $5,490,067 $14 $(10) $257,592 22,262 $11,035 --
======== ========== ========== === ==== ======== ====== ======= ==
THE JAPANESE SMALL
COMPANY SERIES
The DFA Short Term
Investment
Fund............. $218,283 $ 566,951 $ 694,041 -- $ 10 $ 91,203 7,882 $ 3,328 --
-------- ---------- ---------- --- ---- -------- ------ ------- --
TOTAL.............. $218,283 $ 566,951 $ 694,041 -- $ 10 $ 91,203 7,882 $ 3,328 --
======== ========== ========== === ==== ======== ====== ======= ==
THE ASIA PACIFIC
SMALL COMPANY
SERIES
The DFA Short Term
Investment
Fund............. $102,269 $ 215,000 $ 268,428 $ 3 $ 4 $ 48,848 4,222 $ 2,167 --
-------- ---------- ---------- --- ---- -------- ------ ------- --
TOTAL.............. $102,269 $ 215,000 $ 268,428 $ 3 $ 4 $ 48,848 4,222 $ 2,167 --
======== ========== ========== === ==== ======== ====== ======= ==
THE UNITED
KINGDOM SMALL
COMPANY SERIES
The DFA Short Term
Investment
Fund............. $ 25,540 $ 222,126 $ 228,855 $ 2 $ 1 $ 18,814 1,626 $ 729 --
-------- ---------- ---------- --- ---- -------- ------ ------- --
TOTAL.............. $ 25,540 $ 222,126 $ 228,855 $ 2 $ 1 $ 18,814 1,626 $ 729 --
======== ========== ========== === ==== ======== ====== ======= ==
THE CONTINENTAL
SMALL COMPANY
SERIES
The DFA Short Term
Investment
Fund............. $589,645 $1,524,995 $1,599,808 $ 7 $ 47 $514,886 44,498 $11,828 --
-------- ---------- ---------- --- ---- -------- ------ ------- --
TOTAL.............. $589,645 $1,524,995 $1,599,808 $ 7 $ 47 $514,886 44,498 $11,828 --
======== ========== ========== === ==== ======== ====== ======= ==
THE CANADIAN SMALL
COMPANY SERIES
The DFA Short Term
Investment
Fund............. $154,044 $ 912,955 $ 885,717 $(6) $ 16 $181,292 15,668 $ 3,714 --
-------- ---------- ---------- --- ---- -------- ------ ------- --
TOTAL.............. $154,044 $ 912,955 $ 885,717 $(6) $ 16 $181,292 15,668 $ 3,714 --
======== ========== ========== === ==== ======== ====== ======= ==
229
NET
REALIZED CHANGE IN SHARES
BALANCE AT GAIN/ UNREALIZED BALANCE AT AS OF
OCTOBER 31, PURCHASES PROCEEDS (LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- --------- ---------- -------- ------------- ----------- ----------- -------- -------------
THE EMERGING MARKETS
SERIES
The DFA Short Term
Investment Fund.... $135,212 $815,351 $817,222 $(6) $ 9 $133,344 11,524 $3,779 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL................ $135,212 $815,351 $817,222 $(6) $ 9 $133,344 11,524 $3,779 --
======== ======== ======== === === ======== ====== ====== ==
THE EMERGING MARKETS
SMALL CAP SERIES
The DFA Short Term
Investment Fund.... $308,694 $708,038 $789,974 $ 3 $19 $226,780 19,599 $6,729 --
-------- -------- -------- --- --- -------- ------ ------ --
TOTAL................ $308,694 $708,038 $789,974 $ 3 $19 $226,780 19,599 $6,729 --
======== ======== ======== === === ======== ====== ====== ==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series are
treated as partnerships for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to their respective partners.
As of October 31, 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 DFA International Value Series...... $12,333,319 $1,392,910 $(1,234,155) $ 158,755
The Japanese Small Company Series....... 3,458,783 730,459 (382,924) 347,535
The Asia Pacific Small Company Series... 1,819,346 298,364 (437,545) (139,181)
The United Kingdom Small Company Series. 2,134,598 452,850 (332,212) 120,638
The Continental Small Company Series.... 5,549,045 1,377,133 (822,930) 554,203
The Canadian Small Company Series....... 1,567,974 205,101 (446,144) (241,043)
The Emerging Markets Series............. 4,314,649 2,254,714 (457,609) 1,797,105
The Emerging Markets Small Cap Series... 6,588,698 1,409,380 (1,413,493) (4,113)
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.
230
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.
Series that have significant exposure to certain countries, such as The
United Kingdom Small Company Series that concentrates investments in the United
Kingdom, can be expected to be impacted by the political and economic
conditions within such countries. For example, there is continuing uncertainty
around the future of the euro and the European Union (EU) following the United
Kingdom's (UK) vote to exit the EU in June 2016. Brexit may cause greater
market volatility and illiquidity, currency fluctuations, deterioration in
economic activity, a decrease in business confidence, and increased likelihood
of a recession in the UK. While it is not possible to determine the precise
impact these events may have on the Series, during this period and beyond, the
impact on the UK, EU countries, other countries or parties that transact with
the UK and EU, and the broader global economy could be significant and could
adversely affect the value and liquidity of the Series' investments.
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.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. Entering into stock index futures subjects the
Series to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2019 was as follows (amounts
in thousands):
FUTURES**
---------
The DFA International Value Series..... $98,810
The Asia Pacific Small Company Series.. 698
The Emerging Markets Series............ 40,095
The Emerging Markets Small Cap Series.. 42,911
** Average Notional Value of contracts
231
The following is a summary of the Series' derivative instrument holdings
categorized by primary risk exposure as of October 31, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
--------------------------------
TOTAL VALUE AT EQUITY
OCTOBER 31, 2019 CONTRACTS *,(1)
---------------- ---------------
The DFA International Value Series.......................... $1,045 $1,045
The Emerging Markets Series................................. 404 404
The Emerging Markets Small Cap Series....................... 757 757
(1)Presented on Statements of Assets and Liabilities as Receivables: Futures
Margin Variation.
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Statements of Assets
and Liabilities.
The following is a summary of the realized and change in unrealized gains
and losses from the Series' derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------
EQUITY
TOTAL CONTRACTS (1)
------ -------------
The DFA International Value Series..... $3,070 $3,070
The Asia Pacific Small Company Series.. (97) (97)*
The Emerging Markets Series............ 1,845 1,845
The Emerging Markets Small Cap Series.. (614) (614)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
-------------- ---------------
The DFA International Value Series...... $7,836 $7,836
The Emerging Markets Series............. 3,110 3,110
The Emerging Markets Small Cap Series... 3,854 3,854
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
* As of October 31, 2019, there were no futures contracts outstanding. During
the year ended October 31, 2019, the Series had limited activity in futures
contracts.
232
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 year ended October 31, 2019, borrowings by the following Series
under the lines of credit were as follows (amounts in thousands, except
percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
The DFA International Value Series.......................... 1.30% $ 42 2 -- $ 84
The Japanese Small Company Series........................... 2.96% 1,452 28 $ 3 4,590
The Asia Pacific Small Company Series....................... 2.84% 2,280 29 6 32,447
The United Kingdom Small Company Series..................... 3.01% 409 15 -- 2,481
The Continental Small Company Series........................ 2.70% 2,327 10 2 16,411
The Canadian Small Company Series........................... 2.15% 333 4 -- 443
The Emerging Markets Series................................. 2.87% 2,184 12 2 9,553
The Emerging Markets Small Cap Series....................... 2.95% 7,687 36 24 45,493
OUTSTANDING
BORROWINGS
AS OF 10/31/2019
----------------
The DFA International Value Series.......................... --
The Japanese Small Company Series........................... --
The Asia Pacific Small Company Series....................... $10
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....................... --
* Number of Days Outstanding represents the total single or consecutive days
during the year ended October 31, 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
233
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 year ended October 31, 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 10/31/2019
----------- ------------- ------------ ----------- -------- ----------------- ----------------
The Emerging Markets
Small Cap Series... Borrower 2.80% -- 2 -- -- --
I. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 2019, cross trades by the Series under Rule
17a-7 were as follows (amounts in thousands):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
The DFA International Value Series.......................... $132,250 $124,185 $(31,843)
The Japanese Small Company Series........................... 77,611 45,808 2,930
The Asia Pacific Small Company Series....................... 19,544 52,066 7,392
The United Kingdom Small Company Series..................... 125 34,943 (47,534)
The Continental Small Company Series........................ 48,163 30,355 5,452
The Canadian Small Company Series........................... 28,285 3,871 12
The Emerging Markets Series................................. 2,880 11,859 (2,374)
The Emerging Markets Small Cap Series....................... 8,078 9,084 (2,041)
J. SECURITIES LENDING:
As of October 31, 2019, each Series had securities on loan to
brokers/dealers, for which each such Series received cash collateral. The
Series also 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 DFA International Value Series..... $ 79,753
The Japanese Small Company Series...... 112,829
The Asia Pacific Small Company Series.. 197,335
The Continental Small Company Series... 43,921
The Canadian Small Company Series...... 45,992
234
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The Emerging Markets Series............ $ 64,179
The Emerging Markets Small Cap Series.. 394,029
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.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
THE DFA INTERNATIONAL VALUE SERIES
Common Stocks...................... $257,574 -- -- -- $257,574
THE JAPANESE SMALL COMPANY SERIES
Common Stocks...................... 91,233 -- -- -- 91,233
THE ASIA PACIFIC SMALL COMPANY SERIES
Common Stocks...................... 48,834 -- -- -- 48,834
235
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
THE UNITED KINGDOM SMALL COMPANY SERIES
Common Stocks........................ $ 18,814 -- -- -- $ 18,814
THE CONTINENTAL SMALL COMPANY SERIES
Common Stocks, Rights/Warrants....... 514,881 -- -- -- 514,881
THE CANADIAN SMALL COMPANY SERIES
Common Stocks, Rights/Warrants....... 181,271 -- -- -- 181,271
THE EMERGING MARKETS SERIES
Common Stocks........................ 133,343 -- -- -- 133,343
THE EMERGING MARKETS SMALL CAP SERIES
Common Stocks........................ 226,726 -- -- -- 226,726
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 all of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2019.
M. OTHER:
The Series and the Trust are subject to claims and suits that arise from
time to time in the ordinary course of business (for example, in The Tribune
Company Bankruptcy, certain creditors have filed actions against all
shareholders of The Tribune Company who tendered shares when The Tribune
Company went private in 2007 in a leveraged buy-out transaction, seeking the
return of proceeds received by the shareholders). Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
236
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.
237
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The DFA International Value Series, The Japanese Small Company Series, The
Asia Pacific Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Canadian Small Company Series, The
Emerging Markets Series and The Emerging Markets Small Cap Series
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, of The DFA International
Value Series, The Japanese Small Company Series, The Asia Pacific Small Company
Series, The United Kingdom Small Company Series, The Continental Small Company
Series, The Canadian Small Company Series, The Emerging Markets Series and The
Emerging Markets Small Cap Series (eight of the series constituting The DFA
Investment Trust Company, hereafter collectively referred to as the "Series")
as of October 31, 2019, the related statements of operations for the year ended
October 31, 2019, the statements of changes in net assets for each of the two
years in the period ended October 31, 2019, including the related notes, and
the financial highlights for each of the five years in the period ended
October 31, 2019 (collectively referred to as the "financial statements"). In
our opinion, the financial statements present fairly, in all material respects,
the financial position of each of the Series as of October 31, 2019, the
results of each of their operations for the year then ended, the changes in
each of their net assets for each of the two years in the period ended
October 31, 2019, and each of the financial highlights for each of the five
years in the period ended October 31, 2019 in conformity with accounting
principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Series' management.
Our responsibility is to express an opinion on the Series' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to
be independent with respect to the Series in accordance with the U.S. federal
securities laws and the applicable rules and regulations of the Securities and
Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2019
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
238
DIMENSIONAL EMERGING MARKETS VALUE FUND
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DIMENSIONAL EMERGING MARKETS VALUE FUND VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Dimensional Emerging MSCI Emerging Markets
Markets Value Fund Index (net dividends)
-------------------------- -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,641 10,430
12/31/2009 11,173 10,841
1/31/2010 10,541 10,237
2/28/2010 10,626 10,273
3/31/2010 11,563 11,102
4/30/2010 11,641 11,237
5/31/2010 10,427 10,248
6/30/2010 10,492 10,173
7/31/2010 11,469 11,020
8/31/2010 11,263 10,806
9/30/2010 12,620 12,007
10/31/2010 13,055 12,356
11/30/2010 12,637 12,029
12/31/2010 13,692 12,888
1/31/2011 13,265 12,538
2/28/2011 13,051 12,421
3/31/2011 13,804 13,152
4/30/2011 14,301 13,560
5/31/2011 13,760 13,204
6/30/2011 13,480 13,001
7/31/2011 13,373 12,943
8/31/2011 12,020 11,786
9/30/2011 9,866 10,068
10/31/2011 11,167 11,402
11/30/2011 10,604 10,642
12/31/2011 10,228 10,513
1/31/2012 11,650 11,706
2/29/2012 12,362 12,407
3/31/2012 11,834 11,993
4/30/2012 11,453 11,850
5/31/2012 10,188 10,521
6/30/2012 10,652 10,927
7/31/2012 10,589 11,140
8/31/2012 10,740 11,103
9/30/2012 11,434 11,773
10/31/2012 11,289 11,701
11/30/2012 11,418 11,850
12/31/2012 12,254 12,429
1/31/2013 12,456 12,601
2/28/2013 12,252 12,442
3/31/2013 12,151 12,228
4/30/2013 12,261 12,320
5/31/2013 11,915 12,004
6/30/2013 10,915 11,240
7/31/2013 11,132 11,357
8/31/2013 10,900 11,162
9/30/2013 11,707 11,888
10/31/2013 12,241 12,466
11/30/2013 11,952 12,284
12/31/2013 11,836 12,106
1/31/2014 11,013 11,320
2/28/2014 11,261 11,695
3/31/2014 11,766 12,054
4/30/2014 11,847 12,094
5/31/2014 12,333 12,516
6/30/2014 12,659 12,849
7/31/2014 12,902 13,097
8/31/2014 13,193 13,392
9/30/2014 12,119 12,400
10/31/2014 12,108 12,546
11/30/2014 11,911 12,413
12/31/2014 11,361 11,841
1/31/2015 11,272 11,912
2/28/2015 11,677 12,281
3/31/2015 11,353 12,106
4/30/2015 12,482 13,037
5/31/2015 11,930 12,515
6/30/2015 11,556 12,190
7/31/2015 10,635 11,345
8/31/2015 9,672 10,319
9/30/2015 9,352 10,009
10/31/2015 9,934 10,723
11/30/2015 9,551 10,304
12/31/2015 9,267 10,075
1/31/2016 8,750 9,421
2/29/2016 8,805 9,406
3/31/2016 10,107 10,650
4/30/2016 10,381 10,708
5/31/2016 9,711 10,309
6/30/2016 10,245 10,721
7/31/2016 10,893 11,260
8/31/2016 11,097 11,540
9/30/2016 11,256 11,689
10/31/2016 11,504 11,716
11/30/2016 11,105 11,177
12/31/2016 11,156 11,202
1/31/2017 11,865 11,815
2/28/2017 12,410 12,176
3/31/2017 12,753 12,484
4/30/2017 12,852 12,757
5/31/2017 13,086 13,134
6/30/2017 13,125 13,266
7/31/2017 13,830 14,057
8/31/2017 14,183 14,371
9/30/2017 13,872 14,314
10/31/2017 14,366 14,815
11/30/2017 14,443 14,845
12/31/2017 14,981 15,378
1/31/2018 16,303 16,660
2/28/2018 15,540 15,891
3/31/2018 15,334 15,596
4/30/2018 15,395 15,527
5/31/2018 14,736 14,977
6/30/2018 13,937 14,355
7/31/2018 14,579 14,670
8/31/2018 14,235 14,273
9/30/2018 14,255 14,198
10/31/2018 13,064 12,961
11/30/2018 13,533 13,495
12/31/2018 13,248 13,138
1/31/2019 14,220 14,288
2/28/2019 14,126 14,320
3/31/2019 14,209 14,440
4/30/2019 14,323 14,744
5/31/2019 13,570 13,675 Past performance is not predictive
6/30/2019 14,261 14,528 of future performance.
7/31/2019 13,640 14,350
8/31/2019 12,944 13,651 The returns shown do not reflect
9/30/2019 13,281 13,911 the deduction of taxes that a
10/31/2019 13,749 14,498 shareholder would pay on fund
distributions or the redemption of
AVERAGE ANNUAL ONE FIVE TEN fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- MSCI data copyright MSCI 2019,
5.24% 2.58% 3.24% all rights reserved.
239
MANAGEMENT'S DISCUSSION AND ANALYSIS
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Performance of non-U.S. developed markets was positive for the period. As
measured by the MSCI World ex USA indices, small-cap stocks underperformed
large-cap stocks, and mid-cap stocks, a subset of the large-cap universe,
underperformed large-cap stocks but outperformed small-cap stocks. Value stocks
underperformed growth stocks as measured by the MSCI World ex USA indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN
U.S. DOLLARS
------------
MSCI World ex USA Index................. 11.08%
MSCI World ex USA Mid Cap Index......... 10.71%
MSCI World ex USA Small Cap Index....... 8.61%
MSCI World ex USA Value Index........... 5.95%
MSCI World ex USA Growth Index.......... 16.25%
For the 12 Months Ended October 31, 2019, the U.S. dollar appreciated
against some non-U.S. developed markets currencies and depreciated against
others. Overall, currency movements had a positive impact on the U.S.
dollar-denominated returns of developed markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST FOREIGN DEVELOPED RETURN IN
MARKETS BY MARKET CAP LOCAL RETURN U.S. DOLLARS
----------------------------- ------------ ------------
Japan......................... 4.57% 9.16%
United Kingdom................ 5.73% 7.08%
France........................ 14.29% 12.54%
Canada........................ 11.54% 11.45%
Switzerland................... 16.43% 18.69%
Germany....................... 9.14% 7.46%
Australia..................... 20.12% 16.76%
Netherlands................... 21.77% 20.09%
Hong Kong..................... 15.60% 15.63%
Spain......................... 7.47% 5.82%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
Emerging markets had positive performance for the period, outperforming
non-U.S. developed markets but underperforming the U.S. As measured by the MSCI
emerging markets indices, small-cap stocks underperformed large-cap stocks, and
mid-cap stocks, a subset of the large-cap universe, underperformed large-cap
stocks but outperformed small-cap stocks. Value stocks underperformed growth
stocks as measured by the MSCI Emerging Markets indices.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN
U.S. DOLLARS
------------
MSCI Emerging Markets Index............. 11.86%
MSCI Emerging Markets Mid Cap Index..... 11.08%
MSCI Emerging Markets Small Cap Index... 9.69%
MSCI Emerging Markets Value Index....... 6.00%
MSCI Emerging Markets Growth Index...... 17.97%
240
For the 12 Months Ended October 31, 2019, the U.S. dollar depreciated
against some emerging markets currencies and appreciated against others.
Overall, currency movements had a positive impact on the U.S. dollar-
denominated returns of emerging markets.
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
TEN LARGEST EMERGING MARKETS RETURN IN
BY MARKET CAP LOCAL RETURN U.S. DOLLARS
---------------------------- ------------ ------------
China......................... 12.94% 12.90%
Korea......................... 7.43% 5.22%
Taiwan........................ 20.39% 22.38%
India......................... 12.67% 17.46%
Brazil........................ 22.35% 13.21%
South Africa.................. 10.59% 8.41%
Russia........................ 31.36% 34.30%
Thailand...................... -4.10% 5.28%
Mexico........................ 1.02% 6.71%
Saudi Arabia.................. -1.29% -1.27%
Source: Returns are of MSCI standard indices net of foreign withholding taxes
on dividends. Copyright MSCI 2019, all rights reserved.
For Portfolios investing in non-U.S. equities traded outside of the U.S.
market time zone, differences in the valuation timing and methodology between a
Portfolio and its benchmark index may impact relative performance over the
referenced period. The Portfolios price foreign exchange rates at the closing
of the U.S. market, while their benchmark indices use rates at 4 p.m. London
time. The Portfolios also may use fair value pricing to price certain portfolio
securities at the closing of the U.S. market, while benchmark indices may use
local market closing prices. For the one-year period ended October 31, 2019,
these differences generally detracted from the Portfolios' relative performance.
DIMENSIONAL EMERGING MARKETS VALUE FUND
The Dimensional Emerging Markets Value Fund invests in value stocks of large
and small companies in emerging markets. The investment strategy is process
driven, emphasizing broad diversification with increased exposure to stocks
with smaller market capitalizations, lower relative price (value), and
higher-profitability within the value segment of emerging markets. As of
October 31, 2019, the Fund held approximately 2,500 securities in 19 eligible
emerging markets. Average cash exposure throughout the year was less than 1% of
the Fund's assets.
For the 12 months ended October 31, 2019, total returns were 5.24% for the
Fund and 11.86% for the MSCI Emerging Markets Index (net dividends), the Fund's
benchmark. As a result of the Fund's diversified investment approach,
performance was generally determined by broad trends in emerging markets rather
than by the behavior of a limited number of stocks. The Fund's focus on low
relative price (value) stocks had a negative impact on performance relative to
the style-neutral benchmark, as value stocks underperformed high relative price
(growth) stocks in emerging markets for the period. With small-cap stocks
underperforming large-cap stocks, the Fund's inclusion of small-caps also
detracted from performance relative to the benchmark, which is composed
primarily of large- and mid-cap stocks. At the country level, the Fund's focus
on value stocks had a particularly negative impact in China, as Chinese value
stocks underperformed.
241
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.
242
DISCLOSURE OF FUND EXPENSES
CONTINUED
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DIMENSIONAL EMERGING MARKETS VALUE FUND
---------------------------------------
Actual Fund Return
Institutional Class Shares........... $1,000.00 $ 960.00 0.15% $0.74
Hypothetical 5% Annual Return
Institutional Class Shares........... $1,000.00 $1,024.45 0.15% $0.77
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
243
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 as an exhibit to their
reports on Form N-PORT. For the Dimensional Emerging Markets Value Fund, this
would be for the fiscal quarters ending January 31 and July 31. Such 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-PORT with
the SEC on September 27, 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...................................... 4.7%
Consumer Discretionary...................................... 7.0%
Consumer Staples............................................ 2.9%
Energy...................................................... 16.7%
Financials.................................................. 29.0%
Health Care................................................. 1.4%
Industrials................................................. 8.8%
Information Technology...................................... 8.6%
Materials................................................... 15.2%
Real Estate................................................. 4.1%
Utilities................................................... 1.6%
-----
100.0%
244
DIMENSIONAL EMERGING MARKETS VALUE FUND
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
OF NET
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) ASSETS++
----------- ------------------------------- ----------
COMMON STOCKS -- (96.2%)
BRAZIL -- (7.9%)
Petroleo Brasileiro SA........................................... 12,794,994 $ 104,325,222 0.6%
# Petroleo Brasileiro SA , Sponsored ADR (US71654V1017)............ 14,367,145 216,800,218 1.3%
# Petroleo Brasileiro SA , Sponsored ADR (US71654V4086)............ 11,860,183 192,609,372 1.1%
* Vale SA.......................................................... 27,820,681 327,424,551 1.9%
* Vale SA, Sponsored ADR........................................... 10,058,396 118,085,568 0.7%
Other Securities................................................. 439,052,864 2.4%
-------------- ----
TOTAL BRAZIL......................................................... 1,398,297,795 8.0%
-------------- ----
CHILE -- (1.2%)
Other Securities................................................. 214,675,816 1.2%
-------------- ----
CHINA -- (16.8%)
Bank of China, Ltd., Class H..................................... 310,867,817 126,767,159 0.7%
China Construction Bank Corp., Class H........................... 482,773,101 386,831,809 2.2%
China Mobile, Ltd................................................ 34,307,500 278,806,586 1.6%
China Mobile, Ltd., Sponsored ADR................................ 1,459,236 58,923,950 0.3%
China Overseas Land & Investment, Ltd............................ 28,666,000 90,455,302 0.5%
China Resources Land, Ltd........................................ 19,654,000 83,586,043 0.5%
CNOOC, Ltd....................................................... 102,276,000 152,212,236 0.9%
# CNOOC, Ltd., Sponsored ADR....................................... 202,442 30,070,735 0.2%
Industrial & Commercial Bank of China, Ltd., Class H............. 287,374,996 205,873,482 1.2%
Other Securities................................................. 1,541,361,183 8.9%
-------------- ----
TOTAL CHINA.......................................................... 2,954,888,485 17.0%
-------------- ----
COLOMBIA -- (0.2%)
Other Securities................................................. 36,093,948 0.2%
-------------- ----
CZECH REPUBLIC -- (0.2%)
Other Security................................................... 37,566,643 0.2%
-------------- ----
GREECE -- (0.2%)
Other Securities................................................. 37,109,697 0.2%
-------------- ----
HUNGARY -- (0.3%)
Other Securities................................................. 45,306,074 0.3%
-------------- ----
INDIA -- (13.2%)
Axis Bank, Ltd................................................... 10,161,387 104,675,939 0.6%
Bharti Airtel, Ltd............................................... 23,596,310 124,072,367 0.7%
# ICICI Bank, Ltd., Sponsored ADR.................................. 6,896,114 89,856,364 0.5%
Reliance Industries, Ltd......................................... 32,191,746 663,853,603 3.8%
Reliance Industries, Ltd., GDR................................... 80,641 3,307,142 0.0%
Other Securities................................................. 1,332,808,434 7.7%
-------------- ----
TOTAL INDIA.......................................................... 2,318,573,849 13.3%
-------------- ----
INDONESIA -- (2.6%)
Bank Mandiri Persero Tbk PT...................................... 164,608,762 82,282,819 0.5%
245
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) ASSETS++
---------- ------------------------------- ----------
INDONESIA -- (Continued)
Other Securities................................................. $ 382,765,332 2.2%
-------------- ----
TOTAL INDONESIA...................................................... 465,048,151 2.7%
-------------- ----
MALAYSIA -- (2.7%)
CIMB Group Holdings Bhd.......................................... 57,878,866 72,639,175 0.4%
Other Securities................................................. 404,326,791 2.3%
-------------- ----
TOTAL MALAYSIA....................................................... 476,965,966 2.7%
-------------- ----
MEXICO -- (2.9%)
Grupo Financiero Banorte S.A.B. de C.V........................... 16,395,384 89,645,546 0.5%
Grupo Mexico S.A.B. de C.V., Class B............................. 36,963,456 97,594,361 0.6%
Other Securities................................................. 325,110,676 1.8%
-------------- ----
TOTAL MEXICO......................................................... 512,350,583 2.9%
-------------- ----
PHILIPPINES -- (1.2%)
Other Securities................................................. 218,609,976 1.3%
-------------- ----
POLAND -- (1.2%)
# Polski Koncern Naftowy Orlen S.A................................. 2,725,484 74,523,157 0.4%
Other Securities................................................. 138,901,392 0.8%
-------------- ----
TOTAL POLAND......................................................... 213,424,549 1.2%
-------------- ----
RUSSIA -- (2.4%)
Gazprom PJSC, Sponsored ADR...................................... 21,147,557 169,536,708 1.0%
Lukoil PJSC, Sponsored ADR....................................... 2,373,113 218,689,539 1.3%
Other Securities................................................. 37,887,648 0.1%
-------------- ----
TOTAL RUSSIA......................................................... 426,113,895 2.4%
-------------- ----
SOUTH AFRICA -- (6.5%)
Absa Group, Ltd.................................................. 8,433,507 86,494,711 0.5%
# AngloGold Ashanti, Ltd., Sponsored ADR........................... 3,295,420 72,762,874 0.4%
Gold Fields, Ltd., Sponsored ADR................................. 12,618,767 77,983,980 0.5%
# MTN Group, Ltd................................................... 21,170,577 131,037,009 0.8%
Standard Bank Group, Ltd......................................... 14,127,822 162,190,870 0.9%
Other Securities................................................. 613,940,234 3.5%
-------------- ----
TOTAL SOUTH AFRICA................................................... 1,144,409,678 6.6%
-------------- ----
SOUTH KOREA -- (15.2%)
Hana Financial Group, Inc........................................ 4,142,831 119,945,481 0.7%
Hyundai Mobis Co., Ltd........................................... 498,393 101,639,052 0.6%
Hyundai Motor Co................................................. 973,740 101,993,772 0.6%
KB Financial Group, Inc.......................................... 2,389,892 86,034,693 0.5%
# KB Financial Group, Inc., ADR.................................... 3,004,853 107,333,349 0.6%
Kia Motors Corp.................................................. 2,283,957 83,472,594 0.5%
LG Electronics, Inc.............................................. 1,586,480 90,919,942 0.5%
POSCO............................................................ 780,313 141,584,307 0.8%
POSCO, Sponsored ADR............................................. 1,491,065 66,963,729 0.4%
Shinhan Financial Group Co., Ltd................................. 3,372,386 122,873,150 0.7%
SK Innovation Co., Ltd........................................... 588,817 80,571,077 0.5%
Other Securities................................................. 1,582,595,413 9.0%
-------------- ----
TOTAL SOUTH KOREA.................................................... 2,685,926,559 15.4%
-------------- ----
246
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE) ASSETS++
----------- ------------------------------- ----------
SPAIN -- (0.1%)
Other Securities................................................. $ 13,025,199 0.1%
--------------- ----
TAIWAN -- (17.4%)
Cathay Financial Holding Co., Ltd................................ 80,368,000 106,379,785 0.6%
China Steel Corp................................................. 142,004,320 109,341,157 0.6%
CTBC Financial Holding Co., Ltd.................................. 185,682,073 129,088,547 0.8%
E.Sun Financial Holding Co., Ltd................................. 97,334,130 87,947,226 0.5%
Fubon Financial Holding Co., Ltd................................. 79,932,471 116,944,013 0.7%
Hon Hai Precision Industry Co., Ltd.............................. 89,277,192 235,790,228 1.4%
Mega Financial Holding Co., Ltd.................................. 81,559,796 80,048,977 0.5%
# Taiwan Cement Corp............................................... 66,265,095 87,976,396 0.5%
United Microelectronics Corp..................................... 163,058,681 75,091,821 0.4%
Yuanta Financial Holding Co., Ltd................................ 127,911,918 79,941,098 0.5%
Other Securities................................................. 1,951,404,401 11.1%
--------------- ----
TOTAL TAIWAN......................................................... 3,059,953,649 17.6%
--------------- ----
THAILAND -- (3.2%)
PTT PCL.......................................................... 97,369,100 145,916,601 0.9%
Other Securities................................................. 417,414,269 2.3%
--------------- ----
TOTAL THAILAND....................................................... 563,330,870 3.2%
--------------- ----
TURKEY -- (0.8%)
Other Securities................................................. 133,909,523 0.8%
--------------- ----
UNITED KINGDOM -- (0.0%)
Other Security................................................... 303,132 0.0%
--------------- ----
TOTAL COMMON STOCKS ................................................. 16,955,884,037 97.3%
--------------- ----
PREFERRED STOCKS -- (1.5%)
BRAZIL -- (1.4%)
Petroleo Brasileiro SA........................................... 25,544,003 193,562,461 1.1%
Other Securities................................................. 63,472,744 0.4%
--------------- ----
TOTAL BRAZIL......................................................... 257,035,205 1.5%
--------------- ----
COLOMBIA -- (0.1%)
Other Securities................................................. 11,901,777 0.0%
--------------- ----
SOUTH KOREA -- (0.0%)
Other Security................................................... 767,525 0.0%
--------------- ----
TOTAL PREFERRED STOCKS............................................... 269,704,507 1.5%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Securities................................................. 777,136 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $16,469,656,676)............................................. 17,226,365,680
---------------
247
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
PERCENTAGE
OF NET
SHARES VALUE+ ASSETS++
SECURITIES LENDING COLLATERAL -- (2.3%)
@(S) The DFA Short Term Investment Fund............................... 34,421,395 $ 398,289,960 2.3%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $16,867,888,263)............................................... $17,624,655,640 101.1%
=============== =====
As of October 31, 2019, Dimensional Emerging Markets Value Fund had entered
into the following outstanding futures contracts:
NUMBER UNREALIZED
OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
MSCI Emerging Markets Index(R).............................. 650 12/20/19 $ 32,510,222 $ 33,845,500 $1,335,278
S&P 500(R) Emini Index...................................... 730 12/20/19 108,833,750 110,806,700 1,972,950
------------ ------------ ----------
TOTAL FUTURES CONTRACTS..................................... $141,343,972 $144,652,200 $3,308,228
============ ============ ==========
Summary of the Fund's investments as of October 31, 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............................... $1,398,297,795 -- -- $1,398,297,795
Chile................................ 67,841,690 $ 146,834,126 -- 214,675,816
China................................ 254,479,847 2,700,408,638 -- 2,954,888,485
Colombia............................. 36,093,948 -- -- 36,093,948
Czech Republic....................... -- 37,566,643 -- 37,566,643
Greece............................... -- 37,109,697 -- 37,109,697
Hungary.............................. -- 45,306,074 -- 45,306,074
India................................ 120,593,281 2,197,980,568 -- 2,318,573,849
Indonesia............................ 476,278 464,571,873 -- 465,048,151
Malaysia............................. 13,374 476,952,592 -- 476,965,966
Mexico............................... 512,350,583 -- -- 512,350,583
Philippines.......................... -- 218,609,976 -- 218,609,976
Poland............................... -- 213,424,549 -- 213,424,549
Russia............................... 28,824,510 397,289,385 -- 426,113,895
South Africa......................... 199,172,597 945,237,081 -- 1,144,409,678
South Korea.......................... 254,194,042 2,431,732,517 -- 2,685,926,559
Spain................................ 13,025,199 -- -- 13,025,199
Taiwan............................... 20,123,499 3,039,830,150 -- 3,059,953,649
Thailand............................. 563,302,688 28,182 -- 563,330,870
Turkey............................... -- 133,909,523 -- 133,909,523
United Kingdom....................... -- 303,132 -- 303,132
Preferred Stocks
Brazil............................... 257,035,205 -- -- 257,035,205
Colombia............................. 11,901,777 -- -- 11,901,777
South Korea.......................... 767,525 -- -- 767,525
Rights/Warrants
Indonesia............................ -- 89,750 -- 89,750
Taiwan............................... -- 586,376 -- 586,376
Thailand............................. -- 101,010 -- 101,010
248
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Securities Lending Collateral........... -- $ 398,289,960 -- $ 398,289,960
Futures Contracts**..................... $ 3,308,228 -- -- 3,308,228
-------------- --------------- -- ---------------
TOTAL................................... $3,741,802,066 $13,886,161,802 -- $17,627,963,868
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
249
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DIMENSIONAL
EMERGING
MARKETS
VALUE FUND
-----------
ASSETS:
Investment Securities at Value (including $561,151 of securities on loan)*................ $17,226,366
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of
$398,232)............................................................................... 398,290
Segregated Cash for Futures Contracts..................................................... 6,289
Foreign Currencies at Value............................................................... 98,648
Cash...................................................................................... 86,263
Receivables:
Investment Securities Sold............................................................. 29,011
Dividends, Interest and Tax Reclaims................................................... 3,205
Securities Lending Income.............................................................. 858
Unrealized Gain on Foreign Currency Contracts............................................. 3
-----------
Total Assets....................................................................... 17,848,933
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned....................................................... 398,278
Investment Securities Purchased........................................................ 18,677
Due to Advisor......................................................................... 1,449
Futures Margin Variation............................................................... 695
Unrealized Loss on Foreign Currency Contracts............................................. 6
Accrued Expenses and Other Liabilities.................................................... 3,731
-----------
Total Liabilities.................................................................. 422,836
-----------
NET ASSETS................................................................................ $17,426,097
===========
Investment Securities at Cost............................................................. $16,469,656
===========
Foreign Currencies at Cost................................................................ $ 97,908
===========
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
250
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DIMENSIONAL
EMERGING
MARKETS
VALUE
FUND#
-----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $76,458)............... $ 529,707
Income from Securities Lending..................................... 14,451
---------
Total Investment Income..................................... 544,158
---------
EXPENSES
Investment Management Fees......................................... 17,663
Accounting & Transfer Agent Fees................................... 792
Custodian Fees..................................................... 6,091
Directors'/Trustees' Fees & Expenses............................... 105
Professional Fees.................................................. 402
Other.............................................................. 602
---------
Total Expenses.............................................. 25,655
---------
Fees Paid Indirectly (Note C)...................................... (2,320)
---------
Net Expenses....................................................... 23,335
---------
NET INVESTMENT INCOME (LOSS)....................................... 520,823
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................... (179,248)
Affiliated Investment Companies Shares Sold.................... (19)
Futures........................................................ 5,514
Foreign Currency Transactions.................................. (3,145)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency..................... 474,939
Affiliated Investment Companies Shares......................... 35
Futures........................................................ 12,212
Translation of Foreign Currency-Denominated Amounts............ (50)
---------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................ 310,238
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ 831,061
=========
--------
** Net of foreign capital gain taxes withheld of $1.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
251
DIMENSIONAL EMERGING MARKETS VALUE FUND
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DIMENSIONAL EMERGING
MARKETS VALUE FUND
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 520,823 $ 536,296
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /......................................... (179,248) 306,868
Affiliated Investment Companies Shares Sold............................... (19) (45)
Futures................................................................... 5,514 7,329
Foreign Currency Transactions............................................. (3,145) (7,429)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ 474,939 (2,460,561)
Affiliated Investment Companies Shares.................................... 35 4
Futures................................................................... 12,212 (12,284)
Translation of Foreign Currency-Denominated Amounts....................... (50) 34
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 831,061 (1,629,788)
----------- -----------
Transactions in Interest:
Contributions................................................................. 1,538,030 1,168,085
Withdrawals................................................................... (1,627,901) (2,465,601)
----------- -----------
Net Increase (Decrease) from Transactions in Interest.................. (89,871) (1,297,516)
----------- -----------
Total Increase (Decrease) in Net Assets................................ 741,190 (2,927,304)
NET ASSETS
Beginning of Year............................................................. 16,684,907 19,612,211
----------- -----------
End of Year................................................................... $17,426,097 $16,684,907
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2019 of $1.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0.
See accompanying Notes to Financial Statements.
252
DIMENSIONAL EMERGING MARKETS VALUE FUND
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DIMENSIONAL EMERGING MARKETS VALUE FUND
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Total Return............................................ 5.24% (9.06%) 24.89% 15.80% (17.95%)
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)..................... $17,426,097 $16,684,907 $19,612,211 $16,647,507 $15,088,058
Ratio of Expenses to Average Net Assets................. 0.13% 0.14% 0.16% 0.16% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees
Paid Indirectly)...................................... 0.15% 0.14% 0.16% 0.16% 0.15%
Ratio of Net Investment Income to Average Net Assets.... 2.95% 2.78% 2.64% 2.72% 2.54%
Portfolio Turnover Rate................................. 14% 13% 14% 12% 14%
See accompanying Notes to Financial Statements.
253
DIMENSIONAL EMERGING MARKETS VALUE FUND
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Emerging Markets Value Fund (the "Fund") is an open-end
management investment company registered under the Investment Company Act of
1940. The Fund meets the definition as an investment company and follows the
accounting and reporting guidance under Financial Accounting Standards Board
("FASB") Accounting Standards Certification ("ASC") Topic 946, "Financial
Services-Investment Companies." The Fund consists of one series.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Fund uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
Securities held by the Fund, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Fund that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Fund values the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Fund is calculated. When fair value pricing is used, the
prices of securities used by the Fund may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
The Fund will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time at which the net asset
value of the Fund is computed. Due to the time differences between the closings
of the relevant foreign securities exchanges and the pricing of the Fund's
shares (at the close of the NYSE), the Fund will fair-value its foreign
254
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
October 31, 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 $596 (in thousands).
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred compensation until a date specified by
such Trustee in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Fund; and (ii) five years
following the effective date of the Trustee's first deferral election. If a
Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
255
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 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 year ended October 31, 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 year ended October 31, 2019, expenses reduced were the following
(amount in thousands):
FEES PAID
INDIRECTLY
----------
Dimensional Emerging Markets Value Fund........... $2,320
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Trustees of the Advisor are also Officers and Trustees
of the Fund; however, such Officers and Trustees (with the exception of the
Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For
the year ended October 31, 2019, the total related amounts paid by the Fund to
the CCO were $14 (in thousands) and are included in Other Expenses on the
Statement of Operations.
256
D. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 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:
PURCHASES SALES
---------- ----------
Dimensional Emerging Markets Value Fund........... $2,952,782 $2,501,837
There were no purchases or sales of long-term U.S. government securities.
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
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. The amounts are as follows (amounts in thousands):
CHANGE IN
BALANCE AT NET REALIZED UNREALIZED BALANCE AT
OCTOBER 31, PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ OCTOBER 31, SHARES AS OF DIVIDEND CAPITAL GAIN
2018 AT COST FROM SALES ON SALES DEPRECIATION 2019 OCTOBER 31, 2019 INCOME DISTRIBUTIONS
----------- ---------- ---------- ------------ ------------- ----------- ---------------- -------- -------------
DIMENSIONAL
EMERGING
MARKETS VALUE
FUND
The DFA Short
Term
Investment
Fund.......... $317,651 $2,923,896 $2,843,273 $(19) $ 35 $ 398,290 34,421 $13,697 --
-------- ---------- ---------- ---- ---- --------- ------ ------- --
TOTAL........... $317,651 $2,923,896 $2,843,273 $(19) $ 35 $ 398,290 34,421 $13,697 --
======== ========== ========== ==== ==== ========= ====== ======= ==
E. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Fund is treated
as a partnership for federal income tax purposes. Any net investment income and
realized and unrealized gains and losses have been deemed to have been "passed
down" to their respective partners.
As of October 31, 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........... $17,010,015 $3,410,804 $(2,796,163) $614,641
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.
257
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 year ended October 31, 2019 was as follows (amount
in thousands):
FUTURES**
---------
Dimensional Emerging Markets Value Fund.. $112,179
** Average Notional Value of contracts
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
-------------------------------
TOTAL VALUE AT EQUITY
OCTOBER 31, 2019 CONTRACTS*,(1)
---------------- --------------
Dimensional Emerging Markets Value Fund.. $3,308 $3,308
258
(1)Presented on Statements of Assets and Liabilities as Receivables: 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 year ended October 31, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS)
ON DERIVATIVES
--------------------
EQUITY
TOTAL CONTRACTS (1)
------ -------------
Dimensional Emerging Markets Value Fund........... $5,514 $5,514
CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON
DERIVATIVES
---------------------
EQUITY
TOTAL CONTRACTS (2)
------- -------------
Dimensional Emerging Markets Value Fund......... $12,212 $12,212
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
(2)Presented on Statement 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.
259
For the year ended October 31, 2019, borrowings by the following Fund under
the lines of credit were as follows (amounts in thousands, except percentages
and days):
MAXIMUM OUTSTANDING
WEIGHTED WEIGHTED NUMBER OF INTEREST AMOUNT BORROWINGS
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING AS OF
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD 10/31/2019
------------- ------------ ------------ -------- --------------- -----------
Dimensional Emerging
Markets Value Fund..... 2.46% $22,216 11 $18 $88,451 --
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 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 year ended
October 31, 2019.
H. AFFILIATED TRADES:
Cross trades for the year ended October 31, 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 year ended October 31, 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.. $11,104 $4,477 $(1,426)
I. SECURITIES LENDING:
As of October 31, 2019, the Fund had securities on loan to brokers/dealers,
for which the Fund received cash collateral. The Fund received non-cash
collateral consisting of 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.. $257,882
260
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 October 31, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2019
-----------------------------------------------------
OVERNIGHT AND BETWEEN
CONTINUOUS <30 DAYS 30 & 90 DAYS >90 DAYS TOTAL
------------- -------- ------------ -------- --------
SECURITIES LENDING TRANSACTIONS
DIMENSIONAL EMERGING MARKETS VALUE FUND
Common Stocks........................... $398,278 -- -- -- $398,278
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.
261
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 all of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2019.
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.
262
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value
Fund
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of Dimensional Emerging Markets
Value Fund (the "Fund") as of October 31, 2019, the related statement of
operations for the year ended October 31, 2019, the statement of changes in net
assets for each of the two years in the period ended October 31, 2019,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2019 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Fund as of
October 31, 2019, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period ended
October 31, 2019 and the financial highlights for each of the five years in the
period ended October 31, 2019 in conformity with accounting principles
generally accepted in the United States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Fund's management. Our
responsibility is to express an opinion on the Fund's financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to
be independent with respect to the Fund in accordance with the U.S. federal
securities laws and the applicable rules and regulations of the Securities and
Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2019
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
263
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/ Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson,
Abbie J. Smith and Ingrid M. Werner. Each member of the Audit Committee is a
disinterested Trustee/Director. The Audit Committee oversees the Fund's
accounting and financial reporting policies and practices, the Fund's internal
controls, the Fund's financial statements and the independent audits thereof
and performs other oversight functions as requested by the Board. The Audit
Committee recommends the appointment of each Fund's independent registered
certified public accounting firm and acts as a liaison between the Fund's
independent registered certified public accounting firm and the full Board.
There were two Audit Committee meetings held during the fiscal year ended
October 31, 2019.
Each Board's Nominating Committee is composed of George M. Constantinides,
Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, Abbie J. Smith, Douglas
W. Diamond, Darrell Duffie and Ingrid M. Werner. Each member of the Nominating
Committee is a disinterested Trustee/Director. The Nominating Committee for
each Board makes recommendations for nominations of disinterested and
interested members on the Board to the disinterested Board members and to the
full Board. The Nominating Committee evaluates a candidate's qualification for
Board membership and the independence of such candidate from the Advisor and
other principal service providers. The Nominating Committee met one time during
the fiscal year ended October 31, 2019.
Each Board's Strategy Committee is composed of Gerard K. O'Reilly, Douglas W.
Diamond, Edward P. Lazear, Myron S. Scholes and Darrell Duffie. The Strategy
Committee assists the Board in carrying out its fiduciary duties with respect
to the oversight of the Fund and its performance. At the request of the Board
or the Advisor, the Strategy Committee (i) reviews the design of possible new
series of the Fund, (ii) reviews performance of existing portfolios of the
Funds and discusses and recommends possible enhancements to the portfolios'
investment strategies, (iii) reviews proposals by the Advisor to modify or
enhance the investment strategies or policies of each portfolio, and
(iv) considers issues relating to investment services for each portfolio of the
Fund. There were three Strategy Committee meetings held during the fiscal year
ended October 31, 2019.
Certain biographical information for each disinterested Trustee/Director and
interested Trustee/Director of the Funds is set forth in the tables below,
including a description of each Trustee/Director's experience as a
Trustee/Director of the Funds and as a Director or Trustee of other funds, as
well as other recent professional experience.
The statements of additional information (together, "SAI") of the Funds include
additional information about each Trustee/Director. You may obtain copies of
the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by
calling collect (512) 306-7400 or by mailing a request to Dimensional Fund
Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746. Prospectuses
are also available at http://us.dimensional.com.
264
DISINTERESTED DIRECTORS
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING PAST
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN 5 YEARS
----------------- --------- ------------ ----------------------------- ------------------ -------------------
George M. Constantinides Director Since 1983 Leo Melamed Professor of 128 portfolios in None
University of Chicago Finance, University of 4 investment
Booth School of Business Chicago Booth School of companies
5807 S. Woodlawn Avenue Business (since 1978).
Chicago, IL 60637
1947
Douglas W. Diamond Director Since 2017 Merton H. Miller 128 portfolios in None
c/o Dimensional Fund Distinguished Service 4 investment
Advisors LP Professor of Finance, companies
6300 Bee Cave Road, Building University of Chicago Booth
One Austin, TX 78746 School of Business (since
1988). Visiting Scholar,
1953 Federal Reserve Bank of
Richmond (since 1990).
Formerly, Fischer Black
Visiting Professor of
Financial Economics, Alfred
P. Sloan School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
Darrell Duffie Director Since March Dean Witter Distinguished 128 portfolios in Formerly,
c/o Dimensional Fund 2019 Professor of Finance, 4 investment Director, Moody's
Advisors LP Graduate School of Business, companies Corporation
6300 Bee Cave Road, Building Stanford University (since (financial
One Austin, TX 78746 1984). information and
information
1954 technology)
(2008-April
2018).
Roger G. Ibbotson Yale Director Since 1981 Professor in Practice 128 portfolios in None
School of Management Emeritus of Finance, Yale 4 investment
P.O. Box 208200 School of Management (since companies
New Haven, CT 06520-8200 1984). Chairman and Partner,
Zebra Capital Management, LLC
1943 (hedge fund and asset
manager) (since 2001).
Formerly, Consultant to
Morningstar, Inc. (2006 -
2016).
Edward P. Lazear Director Since 2010 Distinguished Visiting 128 portfolios in None
Stanford University Graduate Fellow, Becker Friedman 4 investment
School of Business Knight Institute for Research in companies
Management Center, Economics, University of
E346 Stanford, CA 94305 Chicago (since 2015). Morris
Arnold Cox Senior Fellow,
1948 Hoover Institution (since
2002). Davies Family
Professor of Economics,
Graduate School of Business,
Stanford University (since
1995). Cornerstone Research
(expert testimony and
economic and financial
analysis) (since 2009).
Myron S. Scholes Director Since 1981 Chief Investment Strategist, 128 portfolios in Formerly,
c/o Dimensional Fund Janus Henderson Investors 4 investment Adviser, Kuapay,
Advisors LP (since 2014). Frank E. Buck companies Inc. (2013-2014).
6300 Bee Cave Road, Building Professor of Finance, Formerly,
One Austin, TX 78746 Emeritus, Graduate School of Director,
Business, Stanford University American Century
1941 (since 1981). Fund Complex
(registered
investment
companies) (43
Portfolios)
(1980-2014).
265
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING PAST
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN 5 YEARS
----------------- --------- ------------ ----------------------------- ---------------- --------------------
Abbie J. Smith Director Since 2000 Boris and Irene Stern 128 portfolios Director (since
University of Chicago Booth Distinguished Service in 4 investment 2000) and
School of Business Professor of Accounting, companies formerly, Lead
5807 S. Woodlawn Avenue University of Chicago Booth Director (2014-
Chicago, IL 60637 School of Business (since 2017), HNI
1980). Corporation
1953 (office furniture);
Director, Ryder
System Inc.
(transportation,
logistics and
supply-chain
management)
(since 2003); and
Trustee, UBS
Funds (3
investment
companies within
the fund complex)
(19 portfolios)
(since 2009).
Ingrid M. Werner Director Since March Martin and Andrew Murrer 128 portfolios Director, Fourth
c/o Dimensional Fund 2019 Professor of Finance, Fisher in 4 investment Swedish AP Fund
Advisors LP College of Business, The Ohio companies (pension fund
6300 Bee Cave Road, Building State University (since asset
One Austin, TX 78746 1998). Adjunct Member, the management)
Prize Committee for the (since 2017).
1961 Swedish Riksbank Prize in
Economic Sciences in Memory
of Alfred Nobel (annual award
for significant scientific
research contribution) (since
January 2018). President,
Western Finance Association
(global association of
academic researchers and
practitioners in finance)
(since June 2018). Director,
American Finance Association
(global association of
academic researchers and
practitioners in finance)
(since January 2019). Member,
Economic Advisory Committee,
FINRA (since 2017). Chairman,
Scientific Advisory Board,
Swedish House of Finance
(institute supporting
academic research in finance)
(since 2014). Member,
Scientific Board, Danish
Finance Institute (institute
supporting academic research
in finance) (since 2017).
Member, Academic Board,
Mistra Financial Systems
(organization funding
academic research on
environment, governance and
climate/sustainability in
finance) (since 2016).
Fellow, Center for Analytical
Finance (academic research)
(since 2015). Associate
Editor, Journal of Finance
(since 2016).
266
INTERESTED DIRECTOR
The following interested Director is described as such because he is
deemed to be an "interested person," as that term is defined under the 1940
Act, due to his position with the Advisor.
PORTFOLIOS
TERM OF WITHIN THE OTHER DIRECTORSHIPS
OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ HELD DURING PAST
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN 5 YEARS
----------------- ------------- ----------- ----------------------------- ---------------- -------------------
David G. Booth Chairman Since 1981 Chairman, Director/Trustee, 128 portfolios None
6300 Bee Cave Road, and Director and formerly, President and in 4 investment
Building One Co-Chief Executive Officer companies
Austin, TX 78746 (each until March 2017) of
Dimensional Emerging Markets
1946 Value Fund ("DEM"), DFAIDG,
Dimensional Investment Group
Inc. ("DIG") and The DFA
Investment Trust Company
("DFAITC"). Executive
Chairman, and formerly,
President and Co-Chief
Executive Officer (each until
February 2017) of Dimensional
Holdings Inc., Dimensional
Fund Advisors LP, Dimensional
Investment LLC and DFA
Securities LLC (collectively
with DEM, DFAIDG, DIG and
DFAITC, the "DFA Entities").
Formerly, Chairman and
Director (2009-2018) and
Co-Chief Executive Officer
(2010 - June 2017) of
Dimensional Fund Advisors
Canada ULC. Trustee,
University of Chicago (since
2002). Trustee, University of
Kansas Endowment Association
(since 2005). Formerly,
Director of Dimensional Fund
Advisors Ltd. (2002 - July
2017), DFA Australia Limited
(1994 - July 2017),
Dimensional Advisors Ltd.
(2012 - July 2017),
Dimensional Funds plc (2006 -
July 2017) and Dimensional
Funds II plc (2006 - July
2017). Formerly, Director and
President of Dimensional
Japan Ltd. (2012 - April
2017). Formerly, President,
Dimensional SmartNest (US)
LLC (2009-2014); and Limited
Partner, VSC Investors, LLC
(2007-2015). Formerly,
Chairman, Director, President
and Co- Chief Executive
Officer of Dimensional Cayman
Commodity Fund I Ltd.
(2010-September 2017).
1 Each Director holds office for an indefinite term until his or her
successor is elected and qualified.
2 Each Director is a director or trustee of each of the four registered
investment companies within the DFA Fund Complex, which include: DFAIDG; DIG;
DFAITC; and DEM. Each disinterested Director also serves on the Independent
Review Committee of the Dimensional Funds, mutual funds registered in the
provinces of Canada and managed by the Advisor's affiliate, Dimensional Fund
Advisors Canada ULC.
267
OFFICERS
Below is the name, year of birth, information regarding positions with
the Fund and the principal occupation for each officer of the Fund. The address
of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of
the officers listed below holds the same office (except as otherwise noted) in
the DFA Entities.
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------------------- ---------- ------------------------------------------------------------
Valerie A. Brown Vice President and Since Vice President and Assistant Secretary of
1967 Assistant Secretary 2001
. all the DFA Entities (since 2001)
. DFA Australia Limited (since 2002)
. Dimensional Fund Advisors Ltd. (since 2002)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Director, Vice President and Assistant Secretary (since
2003) of
. Dimensional Fund Advisors Canada ULC
Ryan P. Buechner Vice President and Since Vice President and Assistant Secretary of
1982 Assistant Secretary September
2019 . DFAIDG, DIG, DFAITC and DEM (since September 2019)
Vice President (since January 2018) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors LP
. Dimensional Investment LLC
. DFA Securities LLC
David P. Butler Co-Chief Executive Since Co-Chief Executive Officer (since 2017) of
1964 Officer 2017
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
DFA Australia Limited Director and Co-Chief Executive
Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since Executive Vice President (since 2017) of
1972 President 2017
. all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
Formerly, Vice President (2004 - 2017) of
. all the DFA Entities
Formerly, Vice President (2010 - 2016) of
. Dimensional Fund Advisors Canada ULC
Formerly, Head of Institutional, North America (2012 -
2013) and Head of Global Institutional Services (2014-2018)
for
. Dimensional Fund Advisors LP
268
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- ----------------------- ----------- -----------------------------------------------------------
Christopher S. Crossan Vice President and Since Vice President and Global Chief Compliance Officer (since
1965 Global Chief 2004 2004) of
Compliance Officer
. all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief Privacy
Officer (since 2015) of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief Compliance
Officer (2010 - 2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Chief Vice Vice President, Chief Financial Officer, and Treasurer
1958 Financial Officer, and President (since 2016) of
Treasurer since 2015
and Chief . all the DFA Entities
Financial
Officer . Dimensional Advisors Ltd.
and
Treasurer . Dimensional Fund Advisors Ltd.
since 2016
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity Fund I Ltd.
. Dimensional Fund Advisors Canada ULC
. Dimensional Fund Advisors Pte. Ltd.
. DFA Australia Limited
Director (since 2016) for
. Dimensional Funds plc
. Dimensional Funds II plc
Formerly, interim Chief Financial Officer and interim
Treasurer (2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
. Dimensional Cayman Commodity Fund I Ltd.
. Dimensional Fund Advisors Canada ULC
Formerly, Controller (2015 - 2016) of
. all the DFA Entities
. Dimensional Fund Advisors LP
Formerly, Vice President (2008 - 2015) of
. T. Rowe Price Group, Inc.
Formerly, Director of Investment Treasury and Treasurer
(2008 - 2015) of
. the T. Rowe Price Funds
Jeff J. Jeon Vice President Since Vice President (since 2004) and Assistant Secretary
1973 2004 (2017-2019) of
. all the DFA Entities
Vice President and Assistant Secretary (since 2010) of
. Dimensional Cayman Commodity Fund I Ltd.
Joy Lopez Vice President and Vice Vice President (since 2015) of
1971 Assistant Treasurer President
since 2015 . all the DFA Entities
and
Assistant Assistant Treasurer (since 2017) of
Treasurer
since 2017 . the DFA Fund Complex
Formerly, Senior Tax Manager (2013 - 2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since Vice President (since 2010) of
1972 2010
. all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
Catherine L. Newell President and General President President (since 2017) of
1964 Counsel since 2017
and . the DFA Fund Complex
General
Counsel General Counsel (since 2001) of
since 2001
. All the DFA Entities
Executive Vice President (since 2017) and Secretary (since
2000) of
269
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- ------------------- ----------- ------------------------------------------------------------
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President (since 1997) and
Secretary (since 2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors Canada ULC (since 2003)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
Director of
. Dimensional Funds plc (since 2002)
. Dimensional Funds II plc (since 2006)
. Director of Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Formerly, Vice President and Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 - 2017) and Secretary (2000
- 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP (1997 - 2017)
. Dimensional Holdings Inc. (2006 - 2017)
. DFA Securities LLC (1997 - 2017)
. Dimensional Investment LLC (2009 - 2017)
Selwyn Notelovitz Vice President and Since Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief 2013
Compliance Officer . the DFA Fund Complex (since 2013)
. Dimensional Fund Advisors LP (since 2012)
Carolyn L. O Vice President and Vice Vice President (since 2010) and Secretary (since 2017) of
1974 Secretary President
since 2010 . the DFA Fund Complex
and
Secretary Vice President (since 2010) and Assistant Secretary (since
since 2017 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Canada ULC (since 2016)
Gerard K. O'Reilly Co-Chief Executive Co-Chief Co-Chief Executive Officer and Chief Investment Officer
1976 Officer and Chief Executive (since 2017) of
Investment Officer Officer
and Chief . all the DFA Entities
Investment
Officer . Dimensional Fund Advisors Canada ULC
since 2017
Director, Chief Investment Officer and Vice President
(since 2017) of
. DFA Australia Limited
Chief Investment Officer (since 2017) and Vice President
(since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer and Chief Investment
Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Director of
. Dimensional Funds plc (since 2014)
. Dimensional Fund II plc (since 2014)
. Dimensional Holdings Inc. (since 2017)
Formerly, Co-Chief Investment Officer of
. Dimensional Japan Ltd. (2016 - 2017)
270
TERM OF
OFFICE/1/
AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------- --------- -----------------------------------------------------------
. DFA Australia Limited (2014 - 2017)
Formerly, Executive Vice President (2017) and Co-Chief
Investment Officer (2014 - 2017) of
. all the DFA Entities
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Formerly, Vice President and Co-Chief Investment Officer
(2014 - 2017) of
. Dimensional Fund Advisors Canada ULC
Formerly, Director (2017 - 2018) of
. Dimensional Fund Advisors Pte. Ltd.
/1/ Each officer holds office for an indefinite term at the pleasure of the
Board of Directors and until his or her successor is elected and qualified.
271
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.
272
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 2019 tax year end, this notice
is for informational purposes only. For shareholders with an October 31, 2019
tax year end, please consult your tax advisor as to the pertinence of this
notice. For the fiscal year November 01, 2018 to October 31, 2019, each
Portfolio is designating the following items with regard to distributions paid
during the fiscal year. All designations are based on financial information
available as of the date of this annual report and, accordingly are subject to
change. For each item, it is the intention of the Portfolio to designate the
maximum amount permitted under the Internal Revenue Code and the regulations
thereunder. The fund designates the maximum amount allowable as Section 199A
dividends as defined in Proposed Treasury Regulation (S)1.199A-3(d).
QUALIFYING
FOR
CORPORATE
DFA NET DIVIDENDS QUALIFYING
INVESTMENT INVESTMENT SHORT-TERM LONG-TERM RETURN RECEIVED DIVIDEND U.S.
DIMENSIONS INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL DEDUCTION INCOME GOVERNMENT
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS (1) (2) INTEREST (3)
---------- ------------- ------------- ------------- ------- ---------- ------------- ---------- ---------- ------------
Large Cap
International
Portfolio..... 100% -- -- -- -- 100% 4% 100% --
International
Core
Equity
Portfolio..... 100% -- -- -- -- 100% 3% 100% --
Global Small
Company
Portfolio..... 100% -- -- -- -- 100% 31% 55% --
International
Small
Company
Portfolio..... 35% 4% 61% -- -- 100% -- 100% --
Japanese
Small
Company
Portfolio..... 17% -- 83% -- -- 100% -- 50% --
Asia Pacific
Small
Company
Portfolio..... 100% -- -- -- -- 100% -- 22% --
United
Kingdom
Small
Company
Portfolio..... 27% -- 73% -- -- 100% -- 100% --
Continental
Small
Company
Portfolio..... 39% 2% 59% -- -- 100% -- 100% --
DFA
International
Real
Estate
Securities
Portfolio..... 100% -- -- -- -- 100% -- 12% --
DFA Global
Real
Estate
Securities
Portfolio..... 99% -- 1% -- -- 100% -- --
DFA
International
Small Cap
Value
Portfolio..... 45% -- 55% -- -- 100% -- 100% --
International
Vector
Equity
Portfolio..... 50% 1% 49% -- -- 100% 1% 100% --
International
High
Relative
Profitability
Portfolio..... 100% -- -- -- -- 100% -- 100% --
World ex
U.S.
Value
Portfolio..... 63% -- 37% -- -- 100% -- 100% --
World ex
U.S.Targeted
Value
Portfolio..... 51% -- 49% -- -- 100% -- 100% --
World ex
U.S. Core
Equity
Portfolio..... 86% -- 14% -- -- 100% 2% 100% --
World Core
Equity
Portfolio..... 77% 3% 20% -- -- 100% 41% 100% --
Selectively
Hedged
Global
Equity
Portfolio..... 69% 5% 26% -- -- 100% 13% 37% --
Emerging
Markets
Portfolio..... 100% -- -- -- -- 100% -- 100% --
Emerging
Markets
Small Cap
Portfolio..... 46% 1% 53% -- -- 100% -- 100% --
Emerging
Markets
Value
Portfolio..... 100% -- -- -- -- 100% -- 100% --
QUALIFYING
DFA FOREIGN FOREIGN QUALIFYING SHORT-
INVESTMENT TAX SOURCE INTEREST TERM
DIMENSIONS CREDIT INCOME INCOME CAPITAL
GROUP INC. (4) (5) (6) GAIN (7)
---------- ------- ------- ---------- ----------
Large Cap
International
Portfolio..... 7% 100% -- --
International
Core
Equity
Portfolio..... 7% 100% -- --
Global Small
Company
Portfolio..... 12% 79% -- --
International
Small
Company
Portfolio..... 7% 100% -- --
Japanese
Small
Company
Portfolio..... 18% 92% -- --
Asia Pacific
Small
Company
Portfolio..... 1% 95% -- --
United
Kingdom
Small
Company
Portfolio..... -- 100% -- --
Continental
Small
Company
Portfolio..... 13% 100% -- --
DFA
International
Real
Estate
Securities
Portfolio..... 5% 35% -- --
DFA Global
Real
Estate
Securities
Portfolio..... 2% 32% -- --
DFA
International
Small Cap
Value
Portfolio..... 8% 100% -- --
International
Vector
Equity
Portfolio..... 10% 100% -- --
International
High
Relative
Profitability
Portfolio..... 8% 100% -- --
World ex
U.S.
Value
Portfolio..... 9% 100% -- --
World ex
U.S.Targeted
Value
Portfolio..... 12% 100% -- --
World ex
U.S. Core
Equity
Portfolio..... 8% 100% -- --
World Core
Equity
Portfolio..... 4% 100% -- --
Selectively
Hedged
Global
Equity
Portfolio..... 3% 50% -- --
Emerging
Markets
Portfolio..... 12% 100% -- --
Emerging
Markets
Small Cap
Portfolio..... 11% 100% -- --
Emerging
Markets
Value
Portfolio..... 14% 100% -- --
See accompanying Notes to Financial Statements.
273
QUALIFYING
FOR
CORPORATE
DFA NET DIVIDENDS QUALIFYING
INVESTMENT INVESTMENT SHORT-TERM LONG-TERM RETURN RECEIVED DIVIDEND U.S.
DIMENSIONS INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL DEDUCTION INCOME GOVERNMENT
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS (1) (2) INTEREST (3)
---------- ------------- ------------- ------------- ------- ---------- ------------- ---------- ---------- ------------
Emerging
Markets
Core
Equity
Portfolio..... 100% -- -- -- -- 100% -- 100% --
Emerging
Markets
Targeted
Value
Portfolio..... 100% -- -- -- -- 100% -- 28% --
DIMENSIONAL
INVESTMENT
GROUP
INC.
DFA
International
Value
Portfolio..... 53% -- 47% -- -- 100% -- 100% --
QUALIFYING
DFA FOREIGN FOREIGN QUALIFYING SHORT-
INVESTMENT TAX SOURCE INTEREST TERM
DIMENSIONS CREDIT INCOME INCOME CAPITAL
GROUP INC. (4) (5) (6) GAIN (7)
---------- ------- ------- ---------- ----------
Emerging
Markets
Core
Equity
Portfolio..... 6% 100% -- --
Emerging
Markets
Targeted
Value
Portfolio..... 3% 54% -- --
DIMENSIONAL
INVESTMENT
GROUP
INC.
DFA
International
Value
Portfolio..... 8% 100% -- --
(1)Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
See accompanying Notes to Financial Statements.
274
[GRAPHIC] Recycled Recyclable DFA103119-001AI
00237493
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
Co-Principal Executive Officers and Principal Financial Officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Trustees has determined that Abbie J. Smith possesses
the technical attributes to qualify as an "audit committee financial expert"
serving on the Registrant's Audit Committee and has designated Ms. Smith as the
"audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2019: $21,167
Fiscal Year Ended October 31, 2018: $20,708
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2019: $1,742
Fiscal Year Ended October 31, 2018: $1,721
For fiscal years ended October 31, 2019 and October 31, 2018,
Audit-Related Fees included fees for services related to limited
procedures performed in connection with the production of the Registrant's
semi-annual financial statements.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 2019:
$210,000
Fiscal Year Ended October 31, 2018:
$205,000
For the fiscal years ended October 31, 2019 and October 31, 2018,
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services
rendered in connection with the issuance of a Type II SSAE 18 over
controls at the Registrant's investment adviser.
(c) Tax Fees
Fees for Registrant Fiscal Year Ended October 31, 2019: $0
Fiscal Year Ended October 31, 2018: $4,835
Tax Fees included, for the fiscal year ended October 31, 2018, fees for
tax services in connection with the Registrant's excise tax calculations,
review of the Registrant's applicable tax returns and review of the
Registrant's tax equalization calculations.
There were no Tax Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal years
indicated above.
(d) All Other Fees
Fees for Registrant Fiscal Year Ended October 31, 2019: $0
Fiscal Year Ended October 31, 2018: $0
There were no "All Other Fees" required to be approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the fiscal
years indicated above.
(e)(1) Audit Committee's Pre-Approval Policies and Procedures
Pre-Approval Policies and Procedures
as adopted by the
Audit Committees
of
DFA Investment Dimensions Group Inc.
Dimensional Emerging Markets Value Fund
Dimensional Investment Group Inc.
The DFA Investment Trust Company
(together, the "Funds")
The Sarbanes-Oxley Act of 2002 (the "Act") and the rules (the "Rules")
adopted by the U.S. Securities and Exchange Commission (the "SEC") require
that the Funds' Audit Committees (together, the "Committee") pre-approve
all audit services and non-audit services provided to the Funds by their
independent registered public accounting firm (the "Auditor"). The Act and
the Rules also require that the Committee pre-approve all non-audit
services provided by the Auditor to Dimensional Fund Advisors LP
("Dimensional"), the Funds' investment advisor, and to affiliates of
Dimensional that provide ongoing services to the Funds (with Dimensional,
together the "Service Affiliates") if the services directly impact the
Funds' operations and financial reporting.
The following policies and procedures govern the ways in which the
Committee will pre-approve audit and various types of non-audit services
that the Auditor provides to the Funds and to Service Affiliates. These
policies and procedures do not apply in the case of audit services that
the Auditor provides to Service Affiliates, nor do they apply to services
that an audit firm other than the Auditor provides to such entities.
These policies and procedures comply with the requirements for
pre-approval, but also provide mechanisms by which management of the Funds
may request and secure pre-approval of audit and non-audit services in an
orderly manner with minimal disruption to normal business operations.
Pre-approval of non-audit services may be achieved through a combination
of the procedures described in Sections C and D below.
A. General
1. The Committee must pre-approve all audit services and non-audit
services that the Auditor provides to the Funds.
2. The Committee must pre-approve any engagement of the Auditor to
provide non-audit services to any Service Affiliate during the
period of the Auditor's engagement to provide audit services to the
Funds, if the non-audit services to the Service Affiliate directly
impact the Funds' operations and financial reporting.
B. Pre-Approval of Audit Services to the Funds
1. The Committee shall approve the engagement of an independent
registered public accounting firm to certify the Funds' financial
statements for each fiscal year (the "Engagement"). The approval of
the Engagement shall not be delegated to a Designated Member (as
that term is defined in Section D below). In approving the
Engagement, the Committee shall obtain, review and consider
sufficient information concerning the proposed Auditor to enable
the Committee to make a reasonable evaluation of the Auditor's
qualifications and independence. The Committee also shall consider
the Auditor's proposed fees for the Engagement, in light of the
scope and nature of the audit services that the Funds will receive.
2. The Committee shall report to the Boards of Directors/Trustees of
the Funds (together, the "Board") regarding its approval of the
Engagement and of the proposed fees for the Engagement, and the
basis for such approval.
3. Unless otherwise in accordance with applicable law, the Engagement,
in any event, shall require that the Auditor be selected by the
vote, cast in person, of a majority of the members of the Board who
are not "interested persons" of the Funds (as that term is defined
in Section 2(a)(19) of the Investment Company Act of 1940) (the
"Independent Directors").
C. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--by Types of Services
1. The Committee may pre-approve types of non-audit services
(including tax services) to the Funds and their Service Affiliates
pursuant to this Section C.
2. Annually, at such time as the Committee considers the Engagement of
the Auditor, management of the Funds, in consultation with the
Auditor, shall provide to the Committee, for its consideration and
action, the following: (a) a list of those types of non-audit
services, if any, that the Funds may request from the Auditor
during the fiscal year; and (b) a list of those types of non-audit
services directly impacting the Funds' operations and financial
reporting that Service Affiliates may request from the Auditor
during the fiscal year.
3. The lists submitted to the Committee shall describe the types of
non-audit services in reasonable detail (which may include a range
of tax services) and shall include an estimated budget (or budgeted
range) of fees, where possible, and such other information as the
Committee may request. If management and the Auditor desire the
Committee to preapprove the furnishing of a range of tax services,
the Auditor shall provide an estimated range of fees for such tax
services for the consideration and approval by the Committee.
4. The Committee's pre-approval of the types of non-audit services
submitted pursuant to this Section C shall constitute authorization
for management of the Funds to utilize the Auditor for the types of
non-audit services so pre-approved, if needed or desired during the
fiscal year.
5. A list of the types of non-audit services pre-approved by the
Committee pursuant to this Section C will be distributed to
management of the Service Affiliates and the appropriate partners
of the Auditor. Periodically, the Auditor will discuss with the
Committee those non-audit services that have been or are being
provided pursuant to this Section C.
D. Pre-Approval of Non-Audit Services to the Funds and to Service
Affiliates--Project-by-Project Basis
1. The Committee also may pre-approve non-audit services on a
project-by-project basis pursuant to this Section D.
2. Management of the Funds, in consultation with the Auditor, may
submit either to the Committee or to the Designated Member, as
provided in this Section D, for their consideration and action, a
pre-approval request identifying one or more non-audit service
projects. The request so submitted shall describe the project(s) in
reasonable detail and shall include an estimated budget (or
budgeted range) of fees and such other information as the Committee
or the Designated Member, as appropriate, shall request.
3. The Committee, from time to time, shall designate one or more of
its members who are Independent Directors (each a "Designated
Member") to consider, on the Committee's behalf, any non-audit
services, whether to the Funds or to any Service Affiliate, that
have not been pre-approved by the Committee. The Designated Member
also shall review, on the Committee's behalf, any proposed material
change in the nature or extent of any non-audit services previously
approved. The Funds' management, in consultation with the Auditor,
shall explain why such non-audit services or material change in
non-audit services are necessary and appropriate and the
anticipated costs thereof.
4. The Designated Member will review the requested non-audit services
or proposed material change in such services and will either:
(a) pre-approve, pre-approve subject to conditions, or disapprove
any such requested services, or any proposed material change
in services, whether to the Funds or to a Service Affiliate; or
(b) refer such matter to the full Committee for its consideration
and action.
In considering any requested non-audit services or proposed
material change in such services, the Designated Member's authority
shall be limited to approving non-audit services or proposed
material changes that do not exceed $10,000 in value.
5. The Designated Member's pre-approval (or pre-approval subject to
conditions) of the requested non-audit services or proposed
material change in services pursuant to this Section D shall
constitute authorization for the management of the Funds or the
Service Affiliate, as the case may be, to utilize the Auditor for
the non-audit services so pre-approved. Any action by the
Designated Member in approving a requested non-audit service shall
be presented for ratification by the Committee not later than at
its next scheduled meeting. If the Designated Member does not
approve the Auditor providing the requested non-audit service, the
matter may be presented to the full Committee for its consideration
and action.
E. Amendment; Annual Review
1. The Committee may amend these procedures from time to time.
2. These procedures shall be reviewed annually by the Committee.
F. Recordkeeping
1. The Funds shall maintain a written record of all decisions made by
the Committee or by a Designated Member pursuant to these
procedures, together with appropriate supporting materials.
2. In connection with the approval of any non-audit service pursuant
to the de minimis exception provided in the Rules, a record shall
be made indicating that each of the conditions for this exception,
as set forth in the Rules, has been satisfied.
3. A copy of these Procedures (and of any amendments to these
Procedures) shall be maintained and preserved permanently in an
easily accessible place. The written records referred to in
paragraphs 1 and 2 of this Section F shall be maintained and
preserved for six years from the end of
the fiscal year in which the actions recorded were taken, for at
least the first two years in an easily accessible location.
(e)(2) The fees disclosed in Items 4(b), 4(c) or 4(d) were approved by the
Registrant's Audit Committee but not pursuant to paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the
fiscal year ended October 31, 2019 that were attributed to work
performed by persons other than the principal accountant's full
time, permanent employees was not greater than
---
50%.
(g) Aggregate Non-Audit Fees
Fiscal Year Ended October 31, 2019: $1,257,804
Fiscal Year Ended October 31, 2018: $1,158,162
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the
Registrant's investment adviser, and any entity controlling,
controlled by, or under common control with the investment adviser
that provides ongoing services to the Registrant, that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) The Registrant's schedule of investments is provided below.
DIMENSIONAL EMERGING MARKETS VALUE FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE>>
---------- ------------
COMMON STOCKS -- (96.2%)
BRAZIL -- (7.9%)
Aliansce Sonae Shopping Centers SA............................... 412,958 $ 4,381,346
Alliar Medicos A Frente SA....................................... 265,800 1,199,596
Banco Bradesco SA, ADR........................................... 1,588,367 13,914,093
Banco Bradesco SA................................................ 758,869 6,215,895
Banco BTG Pactual SA............................................. 332,725 5,389,307
Banco do Brasil SA............................................... 5,736,746 68,875,282
* Banco Pan SA..................................................... 88,465 199,849
Banco Santander Brasil SA........................................ 1,882,506 22,089,698
BrasilAgro--Co. Brasileira de Propriedades Agricolas............. 241,884 1,022,300
Camil Alimentos S.A.............................................. 618,647 998,042
Cia Siderurgica Nacional SA, Sponsored ADR....................... 475,872 1,389,546
Cia Siderurgica Nacional SA...................................... 137,400 404,269
Cogna Educacao................................................... 12,726,406 30,685,537
Construtora Tenda SA............................................. 1,238,132 7,288,941
Cosan SA......................................................... 745,640 10,744,430
CSU Cardsystem SA................................................ 189,200 308,532
Cyrela Brazil Realty SA Empreendimentos e Participacoes.......... 2,756,617 18,510,334
Direcional Engenharia SA......................................... 1,348,561 4,018,278
Duratex SA....................................................... 4,064,146 13,315,766
Embraer SA....................................................... 1,042,062 4,554,880
Embraer SA, Sponsored ADR........................................ 936,365 16,264,660
Enauta Participacoes SA.......................................... 1,249,938 4,101,530
* Even Construtora e Incorporadora SA.............................. 1,733,656 5,269,484
Ez Tec Empreendimentos e Participacoes SA........................ 963,890 9,902,071
Fras-Le SA....................................................... 58,100 66,785
Gafisa SA, ADR................................................... 165,084 465,536
# Gerdau SA, Sponsored ADR......................................... 7,033,312 23,139,596
Gerdau SA........................................................ 1,159,266 3,222,994
* Helbor Empreendimentos SA........................................ 3,327,972 2,713,494
Industrias Romi SA............................................... 197,900 687,382
International Meal Co. Alimentacao SA, Class A................... 1,172,964 2,158,453
Iochpe-Maxion SA................................................. 1,484,106 6,453,761
JBS SA........................................................... 9,391,786 66,249,502
JHSF Participacoes SA............................................ 1,523,474 1,709,421
Kepler Weber SA.................................................. 7,000 37,177
Marcopolo SA..................................................... 13,800 11,699
* Marisa Lojas SA.................................................. 908,346 2,425,729
* Mills Estruturas e Servicos de Engenharia SA..................... 332,146 602,923
Movida Participacoes SA.......................................... 510,765 1,916,722
MRV Engenharia e Participacoes SA................................ 3,719,133 16,312,068
* Paranapanema SA.................................................. 82,699 567,070
* Petro Rio SA..................................................... 210,799 972,393
Petroleo Brasileiro SA........................................... 12,794,994 104,325,222
# Petroleo Brasileiro SA , Sponsored ADR (US71654V1017)............ 14,367,145 216,800,218
# Petroleo Brasileiro SA , Sponsored ADR (US71654V4086)............ 11,860,183 192,609,372
* Profarma Distribuidora de Produtos Farmaceuticos SA.............. 17,900 19,192
Qualicorp Consultoria e Corretora de Seguros SA.................. 484,700 3,855,362
Restoque Comercio e Confeccoes de Roupas SA...................... 100 511
Santos Brasil Participacoes SA................................... 1,047,901 1,787,219
Sao Carlos Empreendimentos e Participacoes SA.................... 59,700 616,724
Sao Martinho SA.................................................. 207,954 910,528
Ser Educacional SA............................................... 103,381 614,280
SLC Agricola SA.................................................. 1,172,234 5,293,394
* Springs Global Participacoes SA.................................. 128,800 412,044
Sul America SA................................................... 2,267,531 27,303,097
# * Suzano SA, Sponsored ADR......................................... 891,115 7,200,207
T4F Entretenimento SA............................................ 199,400 285,887
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- --------------
BRAZIL -- (Continued)
* Tecnisa SA......................................... 3,375,879 $ 1,010,112
* Terra Santa Agro SA................................ 800 2,988
Trisul SA.......................................... 350,505 1,049,636
Tupy SA............................................ 892,006 4,254,850
Usinas Siderurgicas de Minas Gerais SA............. 556,700 1,227,086
* Vale SA, Sponsored ADR............................. 10,058,396 118,085,568
* Vale SA............................................ 27,820,681 327,424,551
Valid Solucoes e Servicos de Seguranca em Meios de
Pagamento e Identificacao S.A.................... 677,337 2,242,871
* Vulcabras Azaleia SA............................... 107,000 210,505
--------------
TOTAL BRAZIL........................................... 1,398,297,795
--------------
CHILE -- (1.2%)
Besalco SA......................................... 512,877 345,463
CAP SA............................................. 1,073,274 7,877,314
Cementos BIO BIO SA................................ 665,307 796,169
Cencosud SA........................................ 14,189,797 19,250,724
Cia Pesquera Camanchaca SA......................... 1,334,309 95,720
* Cia Sud Americana de Vapores SA.................... 52,042,418 1,710,967
Cristalerias de Chile SA........................... 264,624 1,874,408
* Empresa Nacional de Telecomunicaciones SA.......... 708,784 5,544,116
Empresas CMPC SA................................... 10,036,473 22,939,176
Empresas COPEC SA.................................. 2,614,266 23,399,457
Empresas Hites SA.................................. 1,895,532 740,213
* Empresas La Polar SA............................... 16,829,176 463,725
Enel Americas SA, ADR.............................. 5,139,598 49,134,557
Enel Americas SA................................... 40,709,802 7,626,784
Enel Chile SA, ADR................................. 2,063,159 8,562,110
Grupo Security SA.................................. 3,891,973 1,128,186
Inversiones Aguas Metropolitanas SA................ 4,374,324 5,213,904
Itau CorpBanca..................................... 894,821,754 5,416,408
Itau CorpBanca, ADR................................ 3,677 33,387
# Latam Airlines Group SA, Sponsored ADR............. 897,217 10,111,636
Latam Airlines Group SA............................ 1,627,540 17,998,386
* Masisa SA.......................................... 38,530,729 1,782,084
PAZ Corp. SA....................................... 2,191,235 3,023,779
Ripley Corp. SA.................................... 11,204,406 6,454,810
Salfacorp SA....................................... 3,450,560 2,909,595
Sigdo Koppers SA................................... 196,163 281,147
SMU SA............................................. 449,171 86,726
Sociedad Matriz SAAM SA............................ 54,199,027 4,467,145
Socovesa SA........................................ 5,467,522 2,503,817
SONDA SA........................................... 37,526 40,199
Vina Concha y Toro SA.............................. 1,552,271 2,863,704
--------------
TOTAL CHILE............................................ 214,675,816
--------------
CHINA -- (16.8%)
* 21Vianet Group, Inc., ADR.......................... 15,369 130,329
# 361 Degrees International, Ltd..................... 6,319,000 1,295,603
Agile Group Holdings, Ltd.......................... 11,816,999 15,927,742
Agricultural Bank of China, Ltd., Class H.......... 124,662,000 51,298,852
Air China, Ltd., Class H........................... 12,738,000 11,246,414
Ajisen China Holdings, Ltd......................... 2,186,000 627,060
* Aluminum Corp. of China, Ltd., Class H............. 22,438,000 6,647,629
AMVIG Holdings, Ltd................................ 3,445,100 888,295
# Angang Steel Co., Ltd., Class H.................... 10,909,632 3,649,533
# Anton Oilfield Services Group...................... 17,042,000 1,689,587
Anxin-China Holdings, Ltd.......................... 6,152,000 0
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
CHINA -- (Continued)
Asia Cement China Holdings Corp............................ 4,074,500 $ 4,941,143
# * Asian Citrus Holdings, Ltd................................. 4,633,000 66,516
# * AVIC International Holdings, Ltd., Class H................. 2,226,000 2,096,999
BAIC Motor Corp., Ltd., Class H............................ 13,557,500 8,409,811
Bank of China, Ltd., Class H............................... 310,867,817 126,767,159
Bank of Chongqing Co., Ltd., Class H....................... 3,051,500 1,792,336
Bank of Communications Co., Ltd., Class H.................. 36,774,574 25,115,096
Bank of Tianjin Co., Ltd., Class H......................... 29,000 13,941
Bank of Zhengzhou Co., Ltd., Class H....................... 28,000 9,388
* Baoye Group Co., Ltd., Class H............................. 1,697,120 1,110,531
# BBMG Corp., Class H........................................ 13,890,000 3,975,207
Beijing Capital International Airport Co., Ltd., Class H... 7,606,000 7,203,799
Beijing Capital Land, Ltd., Class H........................ 6,287,060 2,112,628
* Beijing Enterprises Clean Energy Group, Ltd................ 4,880,000 55,324
Beijing Enterprises Holdings, Ltd.......................... 2,243,000 10,560,933
* Beijing Enterprises Medical & Health Group, Ltd............ 3,048,000 95,309
# Beijing North Star Co., Ltd., Class H...................... 4,424,000 1,357,666
* Beijing Properties Holdings, Ltd........................... 456,000 13,873
Beijing Urban Construction Design & Development Group Co.,
Ltd., Class H............................................ 65,000 18,703
# Best Pacific International Holdings, Ltd................... 210,000 70,915
Boyaa Interactive International, Ltd....................... 1,548,000 221,532
Brilliance China Automotive Holdings, Ltd.................. 12,180,000 13,431,781
# BYD Electronic International Co., Ltd...................... 4,503,000 7,732,432
C C Land Holdings, Ltd..................................... 18,827,429 4,250,156
Cabbeen Fashion, Ltd....................................... 1,134,000 231,479
* Capital Environment Holdings, Ltd.......................... 8,486,000 189,309
* CAR, Inc................................................... 2,451,000 2,000,345
Carrianna Group Holdings Co., Ltd.......................... 3,478,391 354,657
* CECEP COSTIN New Materials Group, Ltd...................... 132,000 1,895
Central China Real Estate, Ltd............................. 6,012,350 2,754,551
* Century Sunshine Group Holdings, Ltd....................... 11,885,000 314,877
* CGN Meiya Power Holdings Co., Ltd.......................... 11,588,000 1,739,873
Changshouhua Food Co., Ltd................................. 91,000 36,570
Changyou.com, Ltd., ADR.................................... 56,310 538,324
# Chaowei Power Holdings, Ltd................................ 4,582,000 1,657,947
Cheetah Mobile, Inc., ADR.................................. 93,396 361,443
* Chiho Environmental Group, Ltd............................. 1,072,000 67,618
China Aerospace International Holdings, Ltd................ 10,452,000 579,309
China Agri-Industries Holdings, Ltd........................ 15,955,500 5,256,650
China Aircraft Leasing Group Holdings, Ltd................. 74,000 76,374
China Aoyuan Group, Ltd.................................... 5,430,000 6,939,159
* China Beidahuang Industry Group Holdings, Ltd.............. 408,000 5,523
China BlueChemical, Ltd., Class H.......................... 16,206,878 3,944,050
China Cinda Asset Management Co., Ltd., Class H............ 40,597,000 8,421,719
China CITIC Bank Corp., Ltd., Class H...................... 36,900,112 21,389,544
China Coal Energy Co., Ltd., Class H....................... 8,772,000 3,498,108
China Common Rich Renewable Energy Investments, Ltd........ 14,642,000 3,503,564
China Communications Construction Co., Ltd., Class H....... 18,154,327 13,819,840
China Communications Services Corp., Ltd., Class H......... 12,917,071 7,976,650
China Construction Bank Corp., Class H..................... 482,773,101 386,831,809
* China Dili Group........................................... 4,137,899 1,265,485
China Dongxiang Group Co., Ltd............................. 19,415,000 2,177,745
* China Eastern Airlines Corp., Ltd., ADR.................... 1,205 29,812
# * China Eastern Airlines Corp., Ltd., Class H................ 7,730,000 3,855,288
China Electronics Optics Valley Union Holding Co., Ltd..... 3,112,000 186,484
China Energy Engineering Corp., Ltd., Class H.............. 1,236,000 124,683
China Everbright Bank Co., Ltd., Class H................... 13,233,000 6,089,401
China Everbright Greentech Ltd............................. 640,000 356,954
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
CHINA -- (Continued)
China Everbright, Ltd.................................... 6,605,869 $ 9,787,278
# China Evergrande Group................................... 194,000 472,245
China Fiber Optic Network System Group, Ltd.............. 3,598,000 24,106
China Financial Services Holdings, Ltd................... 1,884,000 108,147
China Galaxy Securities Co., Ltd., Class H............... 15,380,000 7,842,058
China Glass Holdings, Ltd................................ 4,496,000 246,407
* China Greenfresh Group Co., Ltd.......................... 1,746,000 66,723
# China Harmony New Energy Auto Holding, Ltd............... 5,293,000 1,821,421
* China High Precision Automation Group, Ltd............... 429,000 12,524
# China High Speed Transmission Equipment Group Co., Ltd... 1,889,000 1,113,777
China Hongqiao Group, Ltd................................ 10,475,000 5,817,710
China Huarong Asset Management Co., Ltd., Class H........ 44,747,000 6,606,203
* China Huiyuan Juice Group, Ltd........................... 4,269,983 1,019,004
China International Capital Corp., Ltd., Class H......... 5,224,800 9,527,142
# China International Marine Containers Group Co., Ltd.,
Class H................................................ 2,919,880 2,568,384
China Jinmao Holdings Group, Ltd......................... 22,772,580 15,139,672
China Lesso Group Holdings, Ltd.......................... 8,567,000 8,846,410
* China Longevity Group Co., Ltd........................... 1,152,649 37,804
# * China Lumena New Materials Corp.......................... 52,602,000 0
China Machinery Engineering Corp., Class H............... 5,555,000 2,188,545
# China Merchants Land, Ltd................................ 9,608,000 1,358,105
China Merchants Port Holdings Co., Ltd................... 6,057,903 9,471,713
China Merchants Securities Co., Ltd., Class H............ 281,200 318,318
# China Metal Recycling Holdings, Ltd...................... 3,259,800 0
China Minsheng Banking Corp., Ltd., Class H.............. 36,363,400 25,435,135
China Mobile, Ltd........................................ 34,307,500 278,806,586
China Mobile, Ltd., Sponsored ADR........................ 1,459,236 58,923,950
China National Building Material Co., Ltd., Class H...... 30,551,250 25,749,312
China New Town Development Co., Ltd...................... 11,705,522 235,896
China Oil & Gas Group, Ltd............................... 12,360,000 535,260
China Oilfield Services, Ltd., Class H................... 7,782,000 10,834,692
China Oriental Group Co., Ltd............................ 7,752,000 2,705,427
China Overseas Grand Oceans Group, Ltd................... 12,988,500 6,719,578
China Overseas Land & Investment, Ltd.................... 28,666,000 90,455,302
China Petroleum & Chemical Corp., ADR.................... 1,019,288 57,579,568
China Petroleum & Chemical Corp., Class H................ 60,669,575 34,507,318
* China Properties Group, Ltd.............................. 3,380,000 387,660
China Railway Construction Corp., Ltd., Class H.......... 13,817,514 15,113,420
China Railway Group, Ltd., Class H....................... 26,349,000 15,880,932
* China Rare Earth Holdings, Ltd........................... 4,994,600 251,656
China Reinsurance Group Corp., Class H................... 18,357,000 2,994,801
China Resources Cement Holdings, Ltd..................... 15,898,000 17,409,742
China Resources Land, Ltd................................ 19,654,000 83,586,043
China Resources Medical Holdings Co., Ltd................ 949,500 544,756
China Resources Pharmaceutical Group, Ltd................ 1,274,500 1,177,010
# China Sanjiang Fine Chemicals Co., Ltd................... 3,624,000 747,272
China SCE Group Holdings, Ltd............................ 15,095,000 6,916,727
# * China Shengmu Organic Milk, Ltd.......................... 309,000 11,414
China Shenhua Energy Co., Ltd., Class H.................. 22,717,000 46,136,840
China Shineway Pharmaceutical Group, Ltd................. 1,537,000 1,479,066
* China Silver Group, Ltd.................................. 5,350,000 604,408
China South City Holdings, Ltd........................... 34,206,000 3,964,752
# China Southern Airlines Co., Ltd., Class H............... 14,170,000 8,720,774
China Starch Holdings, Ltd............................... 13,595,000 270,068
China State Construction International Holdings, Ltd..... 7,150,000 6,584,813
China Sunshine Paper Holdings Co., Ltd................... 1,374,500 197,827
China Taifeng Beddings Holdings, Ltd..................... 640,000 0
China Taiping Insurance Holdings Co., Ltd................ 8,947,200 20,114,196
China Traditional Chinese Medicine Holdings Co., Ltd..... 6,840,000 3,054,239
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
CHINA -- (Continued)
China Travel International Investment Hong Kong, Ltd..... 17,261,631 $ 2,725,016
# China Unicom Hong Kong, Ltd., ADR........................ 5,716,005 55,731,049
# China Vast Industrial Urban Development Co., Ltd......... 550,000 213,295
China XLX Fertiliser, Ltd................................ 1,215,000 310,054
# * China Yurun Food Group, Ltd.............................. 4,336,000 487,069
# China ZhengTong Auto Services Holdings, Ltd.............. 8,759,500 2,618,938
China Zhongwang Holdings, Ltd............................ 14,445,354 5,997,157
Chongqing Machinery & Electric Co., Ltd., Class H........ 3,860,000 280,332
Chongqing Rural Commercial Bank Co., Ltd., Class H....... 17,875,000 9,540,730
* Chu Kong Petroleum & Natural Gas Steel Pipe Holdings,
Ltd.................................................... 1,188,000 51,358
Chu Kong Shipping Enterprise Group Co., Ltd.............. 526,000 87,764
CIFI Holdings Group Co., Ltd............................. 17,818,758 11,884,683
CIMC Enric Holdings, Ltd................................. 260,000 140,730
CITIC Dameng Holdings, Ltd............................... 4,333,000 179,326
CITIC Resources Holdings, Ltd............................ 10,312,000 669,839
CITIC Securities Co., Ltd., Class H...................... 815,000 1,495,293
CITIC, Ltd............................................... 28,335,483 37,274,864
* Citychamp Watch & Jewellery Group, Ltd................... 546,000 118,418
Clear Media, Ltd......................................... 101,000 46,361
CNOOC, Ltd............................................... 102,276,000 152,212,236
# CNOOC, Ltd., Sponsored ADR............................... 202,442 30,070,735
# * Cogobuy Group............................................ 713,000 118,008
# Comba Telecom Systems Holdings, Ltd...................... 10,448,267 2,401,710
Concord New Energy Group, Ltd............................ 35,720,000 1,796,642
* Coolpad Group, Ltd....................................... 5,085,893 146,776
COSCO SHIPPING Development Co., Ltd., Class H............ 4,215,000 472,201
COSCO SHIPPING Energy Transportation Co., Ltd., Class H.. 7,898,000 3,397,563
COSCO SHIPPING International Hong Kong Co., Ltd.......... 4,000,000 1,014,793
COSCO SHIPPING Ports, Ltd................................ 12,938,256 10,171,920
* Coslight Technology International Group Co., Ltd......... 274,000 35,671
Cosmo Lady China Holdings Co., Ltd....................... 287,000 42,339
# CPMC Holdings, Ltd....................................... 3,651,000 1,460,648
CRCC High-Tech Equipment Corp., Ltd., Class H............ 1,742,000 277,271
CRRC Corp., Ltd., Class H................................ 1,388,000 928,342
# * CT Environmental Group, Ltd.............................. 9,748,000 317,223
Dah Chong Hong Holdings, Ltd............................. 7,895,583 3,602,572
Dawnrays Pharmaceutical Holdings, Ltd.................... 189,000 33,504
Digital China Holdings, Ltd.............................. 447,000 232,958
# Dongfang Electric Corp., Ltd., Class H................... 609,000 343,024
Dongfeng Motor Group Co., Ltd., Class H.................. 11,326,000 11,361,252
Dongyue Group, Ltd....................................... 7,058,000 3,305,937
* Dynasty Fine Wines Group, Ltd............................ 3,856,600 203,615
E-Commodities Holdings, Ltd.............................. 5,448,000 260,188
Embry Holdings, Ltd...................................... 539,000 102,906
EVA Precision Industrial Holdings, Ltd................... 3,856,000 309,727
Everbright Securities Co., Ltd., Class H................. 962,600 682,505
* Evergreen International Holdings, Ltd.................... 187,000 9,526
Fantasia Holdings Group Co., Ltd......................... 12,610,015 1,908,804
Far East Horizon, Ltd.................................... 6,506,000 6,159,511
Fosun International, Ltd................................. 10,779,683 14,095,263
Fufeng Group, Ltd........................................ 9,334,000 4,301,878
# * GCL New Energy Holdings, Ltd............................. 11,804,000 382,712
# * GCL-Poly Energy Holdings, Ltd............................ 112,323,000 4,496,432
Gemdale Properties & Investment Corp., Ltd............... 19,376,000 2,243,466
# Genertec Universal Medical Group Co., Ltd................ 4,706,500 3,215,299
* GF Securities Co., Ltd., Class H......................... 5,870,000 6,113,467
* Glorious Property Holdings, Ltd.......................... 22,433,000 900,575
Goldlion Holdings, Ltd................................... 1,962,000 608,259
Goldpac Group, Ltd....................................... 1,194,000 284,785
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
CHINA -- (Continued)
# * GOME Retail Holdings, Ltd.......................... 74,594,000 $ 6,742,966
* Grand Baoxin Auto Group, Ltd....................... 5,008,500 1,004,509
Great Wall Motor Co., Ltd., Class H................ 12,259,500 9,933,275
Greenland Hong Kong Holdings, Ltd.................. 7,747,575 2,670,789
# Greentown China Holdings, Ltd...................... 5,657,091 5,219,205
# Guangshen Railway Co., Ltd., Sponsored ADR......... 284,048 4,593,056
Guangzhou Automobile Group Co., Ltd., Class H...... 12,530,000 12,514,155
Guangzhou R&F Properties Co., Ltd., Class H........ 8,070,314 12,504,574
Guolian Securities Co., Ltd., Class H.............. 171,500 49,162
Guorui Properties, Ltd............................. 5,031,000 967,446
Guotai Junan Securities Co., Ltd., Class H......... 1,009,800 1,543,074
Haitong Securities Co., Ltd., Class H.............. 9,826,800 10,032,257
* Harbin Bank Co., Ltd., Class H..................... 1,489,000 282,843
# * Harbin Electric Co., Ltd., Class H................. 5,227,474 1,332,434
# * HC Group, Inc...................................... 2,007,500 725,142
Hengdeli Holdings, Ltd............................. 13,844,000 582,757
* Hi Sun Technology China, Ltd....................... 7,206,000 1,249,480
Hilong Holding, Ltd................................ 5,651,000 611,689
HKC Holdings, Ltd.................................. 1,208,155 969,643
* Honghua Group, Ltd................................. 9,274,000 572,184
Honworld Group, Ltd................................ 593,500 307,088
Hopefluent Group Holdings, Ltd..................... 1,624,000 362,365
Hopson Development Holdings, Ltd................... 4,960,000 4,781,275
* Hua Han Health Industry Holdings, Ltd.............. 22,700,160 1,535,370
# Hua Hong Semiconductor, Ltd........................ 3,490,000 7,017,862
Huaneng Renewables Corp., Ltd., Class H............ 34,180,000 13,049,083
# Huatai Securities Co., Ltd., Class H............... 3,271,400 4,862,662
Huishang Bank Corp., Ltd., Class H................. 1,351,900 525,181
# * Hydoo International Holding, Ltd................... 840,023 60,004
Industrial & Commercial Bank of China, Ltd.,
Class H.......................................... 287,374,996 205,873,482
Inner Mongolia Yitai Coal Co., Ltd., Class H....... 10,500 6,919
# * Jiangnan Group, Ltd................................ 13,767,000 587,909
Jiangxi Copper Co., Ltd., Class H.................. 5,725,000 6,702,421
Jiayuan International Group, Ltd................... 3,504,000 1,401,917
# Jilin Jiutai Rural Commercial Bank Corp., Ltd.,
Class H.......................................... 38,849 15,165
# Jingrui Holdings, Ltd.............................. 2,150,000 753,129
# * JinkoSolar Holding Co., Ltd., ADR.................. 348,276 5,029,105
Joy City Property, Ltd............................. 12,038,000 1,318,830
Ju Teng International Holdings, Ltd................ 5,798,249 1,353,250
K Wah International Holdings, Ltd.................. 2,184,233 1,193,615
* Kai Yuan Holdings, Ltd............................. 41,600,000 148,404
Kaisa Group Holdings, Ltd.......................... 7,655,632 3,347,883
* Kangda International Environmental Co., Ltd........ 4,359,000 422,274
Kingboard Holdings, Ltd............................ 6,064,845 16,162,217
Kingboard Laminates Holdings, Ltd.................. 3,531,000 3,232,573
Kunlun Energy Co., Ltd............................. 26,232,000 24,415,068
KWG Group Holdings, Ltd............................ 9,903,500 9,972,640
* Labixiaoxin Snacks Group, Ltd...................... 309,000 13,084
Lai Fung Holdings, Ltd............................. 646,588 752,687
Lee & Man Paper Manufacturing, Ltd................. 5,112,000 2,842,603
Lee's Pharmaceutical Holdings, Ltd................. 31,500 16,829
Legend Holdings Corp., Class H..................... 1,170,300 2,572,553
Leoch International Technology, Ltd................ 2,305,000 167,543
LK Technology Holdings, Ltd........................ 885,000 54,623
Longfor Group Holdings, Ltd........................ 7,279,000 30,208,933
Lonking Holdings, Ltd.............................. 16,696,000 4,627,871
# Maanshan Iron & Steel Co., Ltd., Class H........... 16,036,000 6,065,189
Maoye International Holdings, Ltd.................. 7,177,000 443,470
Metallurgical Corp. of China, Ltd., Class H........ 9,392,000 1,988,276
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- -----------
CHINA -- (Continued)
Min Xin Holdings, Ltd................................... 708,418 $ 307,009
* Mingfa Group International Co., Ltd..................... 608,000 4,368
Minmetals Land, Ltd..................................... 10,281,205 1,452,809
# * MMG, Ltd................................................ 1,656,000 344,749
MOBI Development Co., Ltd............................... 303,000 33,574
# Modern Land China Co., Ltd.............................. 2,765,200 380,767
* Nature Home Holding Co., Ltd............................ 907,000 156,068
* New World Department Store China, Ltd................... 3,148,000 498,021
# Nexteer Automotive Group, Ltd........................... 934,000 870,506
Nine Dragons Paper Holdings, Ltd........................ 11,165,000 9,685,236
# * North Mining Shares Co., Ltd............................ 5,170,000 10,516
NVC Lighting Holdings, Ltd.............................. 5,253,000 751,158
# Orient Securities Co., Ltd., Class H.................... 1,546,000 864,182
Overseas Chinese Town Asia Holdings, Ltd................ 1,014,000 316,874
# * Ozner Water International Holding, Ltd.................. 349,000 66,236
# * Panda Green Energy Group, Ltd........................... 3,744,000 106,914
Parkson Retail Group, Ltd............................... 5,855,000 470,239
PAX Global Technology, Ltd.............................. 4,636,000 2,025,761
# PetroChina Co., Ltd., ADR............................... 62,717 3,024,841
PetroChina Co., Ltd., Class H........................... 134,278,000 65,482,192
PICC Property & Casualty Co., Ltd., Class H............. 29,443,000 37,260,655
Poly Culture Group Corp., Ltd., Class H................. 297,300 221,773
Poly Property Group Co., Ltd............................ 15,255,488 5,510,395
Postal Savings Bank of China Co., Ltd., Class H......... 26,889,000 17,240,224
Pou Sheng International Holdings, Ltd................... 4,059,000 1,532,381
Powerlong Real Estate Holdings, Ltd..................... 11,116,000 7,367,402
Prosperity International Holdings HK, Ltd............... 416,800 8,206
* PW Medtech Group, Ltd................................... 1,439,000 227,282
Qingdao Port International Co., Ltd., Class H........... 427,000 244,877
Qingling Motors Co., Ltd., Class H...................... 5,792,000 1,402,949
# Qinhuangdao Port Co., Ltd., Class H..................... 209,000 38,938
Qunxing Paper Holdings Co., Ltd......................... 5,020,071 242,164
* Real Gold Mining, Ltd................................... 3,137,500 105,305
Red Star Macalline Group Corp., Ltd., Class H........... 1,093,143 875,872
* Regal International Airport Group Co., Ltd., Class H.... 579,000 381,793
* REXLot Holdings, Ltd.................................... 67,831,618 136,772
Ronshine China Holdings, Ltd............................ 1,277,500 1,426,118
Sany Heavy Equipment International Holdings Co., Ltd.... 4,462,000 2,339,634
# Seaspan Corp............................................ 692,523 7,506,949
# * Semiconductor Manufacturing International Corp.......... 9,987,198 12,686,213
* Semiconductor Manufacturing International Corp., ADR.... 494,406 3,090,037
Shandong Chenming Paper Holdings, Ltd., Class H......... 2,428,727 1,011,596
Shandong Xinhua Pharmaceutical Co., Ltd., Class H....... 126,000 58,772
Shanghai Electric Group Co., Ltd., Class H.............. 9,314,000 2,848,937
Shanghai Industrial Holdings, Ltd....................... 3,640,918 6,777,462
Shanghai Industrial Urban Development Group, Ltd........ 14,914,918 1,861,181
Shanghai Jin Jiang Capital Co., Ltd., Class H........... 11,256,000 1,677,734
Shanghai La Chapelle Fashion Co., Ltd., Class H......... 40,200 7,626
Shanghai Pharmaceuticals Holding Co., Ltd., Class H..... 4,248,900 7,677,411
Shanghai Prime Machinery Co., Ltd., Class H............. 5,514,000 555,308
Shengjing Bank Co., Ltd., Class H....................... 463,500 312,183
Shenguan Holdings Group, Ltd............................ 3,610,000 136,009
Shenzhen International Holdings, Ltd.................... 1,277,500 2,597,197
Shenzhen Investment, Ltd................................ 23,686,266 9,322,785
Shimao Property Holdings, Ltd........................... 8,837,535 29,606,475
Shougang Concord International Enterprises Co., Ltd..... 52,118,416 2,456,006
Shougang Fushan Resources Group, Ltd.................... 18,090,594 3,732,959
Shui On Land, Ltd....................................... 27,207,303 5,475,279
# * Shunfeng International Clean Energy, Ltd................ 10,632,000 266,666
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
CHINA -- (Continued)
Sihuan Pharmaceutical Holdings Group, Ltd............ 12,926,000 $ 1,693,563
# * Silver Grant International Holdings Group, Ltd....... 6,324,804 1,023,621
* SINA Corp............................................ 70,968 2,810,333
Sinofert Holdings, Ltd............................... 8,020,000 817,476
# * Sinolink Worldwide Holdings, Ltd..................... 9,156,508 576,512
Sino-Ocean Group Holding, Ltd........................ 24,248,602 8,915,026
Sinopec Engineering Group Co., Ltd., Class H......... 8,263,500 4,720,577
Sinopec Kantons Holdings, Ltd........................ 6,242,000 2,544,637
Sinopec Shanghai Petrochemical Co., Ltd., Class H.... 6,720,000 1,855,992
Sinotrans, Ltd., Class H............................. 13,437,000 3,950,810
Sinotruk Hong Kong, Ltd.............................. 5,382,835 8,133,830
Skyworth Group, Ltd.................................. 15,043,083 3,887,310
SOHO China, Ltd...................................... 15,870,888 5,415,805
Springland International Holdings, Ltd............... 4,639,000 834,741
* SPT Energy Group, Inc................................ 4,114,000 324,789
* SRE Group, Ltd....................................... 21,316,285 168,170
Sun King Power Electronics Group..................... 148,000 20,588
# * Sunshine 100 China Holdings, Ltd..................... 249,000 44,449
* Tarena International, Inc., ADR...................... 2,806 2,178
* Taung Gold International, Ltd........................ 5,980,000 29,003
TCL Electronics Holdings, Ltd........................ 3,811,666 1,806,531
* Technovator International, Ltd....................... 1,612,000 131,571
# * Tenwow International Holdings, Ltd................... 2,993,000 27,234
# Texhong Textile Group, Ltd........................... 1,447,000 1,461,887
Tian An China Investment Co., Ltd.................... 4,076,000 1,972,832
* Tian Ge Interactive Holdings, Ltd.................... 1,324,000 354,508
Tiangong International Co., Ltd...................... 4,258,000 1,520,456
Tianjin Port Development Holdings, Ltd............... 14,025,657 1,286,039
# Tianneng Power International, Ltd.................... 3,888,000 2,539,712
Time Watch Investments, Ltd.......................... 92,000 11,397
# Tomson Group, Ltd.................................... 3,384,526 808,417
# Tongda Group Holdings, Ltd........................... 27,050,000 2,201,534
Tonly Electronics Holdings, Ltd...................... 41,330 30,972
# Top Spring International Holdings, Ltd............... 146,000 29,937
# TPV Technology, Ltd.................................. 6,166,496 3,016,534
Trigiant Group, Ltd.................................. 2,888,000 503,728
Trip.com Group Ltd................................... 386,674 12,756,375
Trony Solar Holdings Co., Ltd........................ 8,775,000 0
# * V1 Group, Ltd........................................ 6,098,000 159,380
Wasion Holdings, Ltd................................. 3,944,000 1,953,857
Weiqiao Textile Co., Class H......................... 3,068,500 808,695
West China Cement, Ltd............................... 22,140,000 3,547,585
Xiamen International Port Co., Ltd., Class H......... 7,392,000 1,036,390
Xingda International Holdings, Ltd................... 6,577,802 1,833,176
Xingfa Aluminium Holdings, Ltd....................... 435,000 449,510
Xinhua Winshare Publishing and Media Co., Ltd.,
Class H............................................ 1,246,000 884,820
* Xinjiang Xinxin Mining Industry Co., Ltd., Class H... 814,000 51,339
Xinyuan Real Estate Co., Ltd., ADR................... 164,868 603,417
* Yanchang Petroleum International, Ltd................ 19,330,000 128,041
Yanzhou Coal Mining Co., Ltd., Class H............... 13,442,000 13,637,881
Yip's Chemical Holdings, Ltd......................... 842,000 249,974
# * Yiren Digital, Ltd., ADR............................. 30,413 196,772
# * Youyuan International Holdings, Ltd.................. 4,485,251 148,822
* YuanShengTai Dairy Farm, Ltd......................... 363,000 14,323
Yuexiu Property Co., Ltd............................. 54,304,786 11,961,301
Yuzhou Properties Co., Ltd........................... 15,981,810 6,751,065
# * YY, Inc., ADR........................................ 202,350 11,501,574
Zhengzhou Coal Mining Machinery Group Co., Ltd.,
Class H............................................ 614,000 309,689
* Zhong An Group, Ltd.................................. 13,233,600 397,950
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- --------------
CHINA -- (Continued)
Zhuhai Holdings Investment Group, Ltd.............. 1,404,000 $ 175,277
Zoomlion Heavy Industry Science and Technology
Co., Ltd., Class H............................... 5,695,600 4,181,120
--------------
TOTAL CHINA............................................ 2,954,888,485
--------------
COLOMBIA -- (0.2%)
Almacenes Exito SA................................. 1,738,576 9,207,252
Banco de Bogota SA................................. 2,143 55,173
Cementos Argos SA.................................. 94,431 213,168
* Corp. Financiera Colombiana SA..................... 29,831 256,829
Grupo Argos SA..................................... 1,522,091 8,240,907
Grupo de Inversiones Suramericana SA............... 1,637,170 16,565,448
Grupo Nutresa SA................................... 188,247 1,428,004
Mineros SA......................................... 128,115 127,167
--------------
TOTAL COLOMBIA......................................... 36,093,948
--------------
CZECH REPUBLIC -- (0.2%)
CEZ A.S............................................ 1,646,906 37,566,643
--------------
GREECE -- (0.2%)
* Alpha Bank AE...................................... 4,269,350 9,109,888
Bank of Greece..................................... 30,279 476,232
* Ellaktor SA........................................ 1,131,694 2,323,112
* Eurobank Ergasias SA............................... 4,510,153 4,572,080
Fourlis Holdings SA................................ 8,485 51,122
* GEK Terna Holding Real Estate Construction SA...... 23,827 180,624
Hellenic Petroleum SA.............................. 59,511 565,684
* Intracom Holdings SA............................... 835,372 876,822
* Marfin Investment Group Holdings SA................ 307,686 36,666
Mytilineos SA...................................... 197,499 2,164,456
* National Bank of Greece SA......................... 3,551,089 12,043,147
* Piraeus Bank SA.................................... 1,350,371 4,709,864
--------------
TOTAL GREECE........................................... 37,109,697
--------------
HUNGARY -- (0.3%)
MOL Hungarian Oil & Gas P.L.C...................... 3,881,128 38,381,454
Richter Gedeon Nyrt................................ 373,549 6,924,620
--------------
TOTAL HUNGARY.......................................... 45,306,074
--------------
INDIA -- (13.2%)
* 5Paisa Capital, Ltd................................ 50,959 120,569
Aarti Drugs, Ltd................................... 16,087 121,774
ACC, Ltd........................................... 431,661 9,567,004
Adani Enterprises, Ltd............................. 1,849,082 5,135,273
Adani Gas, Ltd..................................... 3,212,862 6,649,138
* Adani Green Energy, Ltd............................ 2,073,085 2,613,006
* Adani Power, Ltd................................... 2,362,845 2,194,982
* Adani Transmissions, Ltd........................... 704,384 2,737,564
* Aditya Birla Capital, Ltd.......................... 2,879,031 3,333,013
* Aditya Birla Fashion and Retail, Ltd............... 135,924 407,885
Advanced Enzyme Technologies, Ltd.................. 19,479 50,958
Alembic, Ltd....................................... 517,596 379,416
* Allahabad Bank..................................... 1,227,692 457,439
Allcargo Logistics, Ltd............................ 547,693 801,390
Ambuja Cements, Ltd................................ 5,574,791 15,940,284
* Amtek Auto, Ltd.................................... 941,223 13,685
Anant Raj, Ltd..................................... 831,469 372,893
* Andhra Bank........................................ 2,254,186 560,462
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
INDIA -- (Continued)
Andhra Sugars, Ltd. (The).......................... 14,835 $ 56,083
* Anveshan Heavy Engineering, Ltd.................... 39,212 268,107
Apar Industries, Ltd............................... 142,440 1,068,109
Apollo Tyres, Ltd.................................. 3,928,454 10,517,800
* Arvind Fashions, Ltd............................... 374,152 2,387,449
Arvind, Ltd........................................ 1,967,575 1,400,601
Ashiana Housing, Ltd............................... 51,567 69,549
Ashok Leyland, Ltd................................. 4,861,241 5,257,591
* Ashoka Buildcon, Ltd............................... 545,419 793,835
Astra Microwave Products, Ltd...................... 107,891 120,384
Aurobindo Pharma, Ltd.............................. 2,046,747 13,555,982
Axis Bank, Ltd..................................... 10,161,387 104,675,939
* Bajaj Hindusthan Sugar, Ltd........................ 1,112,982 98,099
Bajaj Holdings & Investment, Ltd................... 380,917 19,581,304
Balmer Lawrie & Co., Ltd........................... 550,114 1,532,220
Balrampur Chini Mills, Ltd......................... 2,573,344 5,906,071
Banco Products India, Ltd.......................... 125,222 205,834
* Bank of Baroda..................................... 5,846,304 8,005,085
* Bank of Maharashtra................................ 833,430 138,975
Bannari Amman Sugars, Ltd.......................... 295 4,860
BEML, Ltd.......................................... 151,447 2,196,648
Bharat Electronics, Ltd............................ 6,764,167 11,254,411
Bharat Heavy Electricals, Ltd...................... 6,375,133 5,085,235
Bharti Airtel, Ltd................................. 23,596,310 124,072,367
Bharti Infratel, Ltd............................... 1,168,143 3,126,093
Birla Corp., Ltd................................... 205,060 1,645,465
* Birlasoft, Ltd..................................... 2,115,430 1,996,024
Bodal Chemicals, Ltd............................... 204,322 219,827
* Borosil Glass Works, Ltd........................... 12,105 30,024
Brigade Enterprises, Ltd........................... 442,323 1,285,896
BSE, Ltd........................................... 119,329 936,083
Cadila Healthcare, Ltd............................. 379,949 1,346,746
Can Fin Homes, Ltd................................. 369,568 2,050,961
* Canara Bank........................................ 1,188,894 3,392,853
Capacit'e Infraprojects, Ltd....................... 41,710 124,555
Ceat, Ltd.......................................... 267,203 3,822,044
Century Textiles & Industries, Ltd................. 12,794 76,191
* CG Power and Industrial Solutions, Ltd............. 6,268,121 1,279,650
Chambal Fertilizers & Chemicals, Ltd............... 1,772,038 4,254,409
Chennai Super Kings Cricket, Ltd................... 5,080,767 30,222
Cipla, Ltd......................................... 796,788 5,299,749
City Union Bank, Ltd............................... 1,583,412 4,731,897
Cochin Shipyard, Ltd............................... 10,750 59,194
* Coffee Day Enterprises, Ltd........................ 161,329 69,387
Container Corp. Of India, Ltd...................... 403,681 3,343,280
* Corp. Bank......................................... 1,623,947 371,715
* Cox & Kings Financial Service, Ltd................. 447,523 3,477
Cox & Kings, Ltd................................... 1,211,775 29,855
Cyient, Ltd........................................ 124,698 716,293
DB Corp., Ltd...................................... 142,709 291,517
DCB Bank, Ltd...................................... 2,634,274 6,694,006
DCM Shriram, Ltd................................... 463,732 2,403,303
Deepak Fertilisers & Petrochemicals Corp., Ltd..... 367,239 550,160
Delta Corp., Ltd................................... 51,743 151,857
* Dewan Housing Finance Corp., Ltd................... 1,845,369 452,132
Dhampur Sugar Mills, Ltd........................... 392,701 1,189,504
Dilip Buildcon, Ltd................................ 90,262 551,094
Dish TV India, Ltd................................. 2,132,040 377,941
Dishman Carbogen Amcis, Ltd........................ 876,967 1,481,572
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
INDIA -- (Continued)
DLF, Ltd........................................... 4,766,779 $12,327,915
Dr Reddy's Laboratories, Ltd., ADR................. 263,337 10,309,644
Dr Reddy's Laboratories, Ltd....................... 496,386 19,522,552
eClerx Services, Ltd............................... 6,435 40,704
Edelweiss Financial Services, Ltd.................. 1,533,227 1,992,085
EID Parry India, Ltd............................... 872,071 2,118,472
EIH, Ltd........................................... 556,201 1,309,742
Electrosteel Castings, Ltd......................... 948,259 179,616
Engineers India, Ltd............................... 207,672 352,953
Escorts, Ltd....................................... 522,191 4,844,359
Essel Propack, Ltd................................. 248,087 392,653
Excel Industries, Ltd.............................. 1,169 15,772
Exide Industries, Ltd.............................. 138,123 374,705
* FDC, Ltd........................................... 70,089 177,695
Federal Bank, Ltd.................................. 16,787,421 19,817,105
Finolex Cables, Ltd................................ 510,744 2,777,495
Finolex Industries, Ltd............................ 147,420 1,263,472
Firstsource Solutions, Ltd......................... 2,951,033 2,039,950
* Fortis Healthcare, Ltd............................. 2,206,119 4,595,672
* Future Enterprises, Ltd............................ 1,724,468 608,881
* Future Retail, Ltd................................. 134,533 721,643
GAIL India, Ltd.................................... 15,973,772 31,040,450
Gateway Distriparks, Ltd........................... 389,211 513,228
Gati, Ltd.......................................... 505,473 427,574
General Insurance Corp. of India................... 111,280 488,811
* GFL, Ltd........................................... 386,472 456,595
GHCL, Ltd.......................................... 428,160 1,301,238
GIC Housing Finance, Ltd........................... 186,804 469,536
Glenmark Pharmaceuticals, Ltd...................... 1,034,146 4,602,997
GOCL Corp., Ltd.................................... 1,597 6,144
Godfrey Phillips India, Ltd........................ 86,612 1,348,076
Granules India, Ltd................................ 2,028,060 3,569,779
Graphite India, Ltd................................ 20,799 83,602
Grasim Industries, Ltd............................. 2,563,529 27,818,565
Great Eastern Shipping Co., Ltd. (The)............. 735,477 3,103,903
Greaves Cotton, Ltd................................ 340,138 668,505
* Greenpanel Industries, Ltd......................... 15,060 6,338
Greenply Industries, Ltd........................... 15,060 33,967
* GTL Infrastructure, Ltd............................ 591,437 3,723
Gujarat Alkalies & Chemicals, Ltd.................. 270,010 1,773,408
Gujarat Ambuja Exports, Ltd........................ 151,662 308,314
* Gujarat Fluorochemicals, Ltd....................... 386,472 3,607,063
Gujarat Mineral Development Corp., Ltd............. 1,122,939 1,002,857
Gujarat Narmada Valley Fertilizers & Chemicals,
Ltd.............................................. 568,121 1,744,587
Gujarat Pipavav Port, Ltd.......................... 337,861 410,858
Gujarat State Fertilizers & Chemicals, Ltd......... 2,160,587 2,442,486
Gujarat State Petronet, Ltd........................ 1,873,209 5,540,377
HBL Power Systems, Ltd............................. 233,016 55,598
HCL Technologies, Ltd.............................. 79,232 1,291,635
HEG, Ltd........................................... 12,117 168,606
HeidelbergCement India, Ltd........................ 396,490 1,048,178
Heritage Foods, Ltd................................ 2,017 8,513
HFCL, Ltd.......................................... 8,699,179 2,173,884
Hikal, Ltd......................................... 308,027 519,163
HIL, Ltd........................................... 19,693 317,608
Himadri Speciality Chemical, Ltd................... 203,546 216,406
Himatsingka Seide, Ltd............................. 357,102 774,816
Hindalco Industries, Ltd........................... 12,666,284 33,402,865
Hinduja Global Solutions, Ltd...................... 74,046 602,484
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
INDIA -- (Continued)
Honda SIEL Power Products, Ltd..................... 3,435 $ 56,846
* Housing Development & Infrastructure, Ltd.......... 3,370,748 82,966
HT Media, Ltd...................................... 497,087 126,954
Huhtamaki PPL, Ltd................................. 6,622 23,721
# ICICI Bank, Ltd., Sponsored ADR.................... 6,896,114 89,856,364
ICICI Bank, Ltd.................................... 201,006 1,313,900
* IDFC First Bank, Ltd............................... 13,982,694 8,790,935
IDFC, Ltd.......................................... 10,531,418 5,226,672
* IFCI, Ltd.......................................... 8,034,000 831,564
IIFL Finance, Ltd.................................. 2,626,942 4,258,501
* IIFL Securities, Ltd............................... 2,626,942 1,083,313
IIFL Wealth Management, Ltd........................ 375,277 7,021,034
* IL&FS Transportation Networks, Ltd................. 248,475 8,054
India Cements, Ltd. (The).......................... 2,425,845 2,870,065
India Glycols, Ltd................................. 118,892 380,085
Indiabulls Housing Finance, Ltd.................... 3,780,925 10,905,127
* Indiabulls Integrated Services, Ltd................ 12,975 11,576
* Indiabulls Real Estate, Ltd........................ 2,831,621 2,207,786
* Indian Bank........................................ 746,740 1,399,682
Indian Hotels Co., Ltd. (The)...................... 2,805,510 6,044,742
Indian Hume Pipe Co., Ltd.......................... 2,945 11,155
Indo Count Industries, Ltd......................... 394,566 257,899
Indoco Remedies, Ltd............................... 52,819 119,657
INEOS Styrolution India, Ltd....................... 27,167 256,449
Infibeam Avenues, Ltd.............................. 3,496,915 2,249,911
Infosys, Ltd....................................... 307,735 2,965,180
Ingersoll-Rand India, Ltd.......................... 53,188 491,328
* Inox Leisure, Ltd.................................. 13,190 67,734
* Inox Wind, Ltd..................................... 45,583 22,257
Insecticides India, Ltd............................ 13,709 106,769
* Intellect Design Arena, Ltd........................ 369,781 995,870
ITD Cementation India, Ltd......................... 187,582 151,671
J Kumar Infraprojects, Ltd......................... 190,104 416,130
Jagran Prakashan, Ltd.............................. 489,592 390,140
Jai Corp., Ltd..................................... 475,846 602,778
Jain Irrigation Systems, Ltd....................... 4,545,937 963,993
* Jaiprakash Associates, Ltd......................... 10,332,949 320,587
* Jammu & Kashmir Bank, Ltd. (The)................... 2,761,516 1,290,078
* Jaypee Infratech, Ltd.............................. 264,681 4,640
JB Chemicals & Pharmaceuticals, Ltd................ 390,870 1,881,994
Jindal Poly Films, Ltd............................. 165,567 513,786
Jindal Saw, Ltd.................................... 1,651,001 2,065,089
* Jindal Stainless Hisar, Ltd........................ 10,311 9,991
* Jindal Stainless, Ltd.............................. 222,465 109,101
* Jindal Steel & Power, Ltd.......................... 5,135,208 8,361,457
JK Cement, Ltd..................................... 205,774 3,259,137
JK Lakshmi Cement, Ltd............................. 393,615 1,608,031
JK Paper, Ltd...................................... 990,956 1,695,474
JK Tyre & Industries, Ltd.......................... 965,316 1,040,260
JM Financial, Ltd.................................. 3,066,427 3,368,328
JMC Projects India, Ltd............................ 131,140 187,518
JSW Energy, Ltd.................................... 4,719,472 4,522,596
JSW Steel, Ltd..................................... 12,298,619 39,410,586
Jubilant Life Sciences, Ltd........................ 1,063,345 8,388,915
Kalpataru Power Transmission, Ltd.................. 677,211 4,088,602
Kalyani Steels, Ltd................................ 81,065 220,958
Karnataka Bank, Ltd. (The)......................... 1,926,583 2,119,022
Karur Vysya Bank, Ltd. (The)....................... 3,026,301 2,339,527
Kaveri Seed Co., Ltd............................... 78,979 584,762
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- -----------
INDIA -- (Continued)
KCP, Ltd. (The).................................... 226,777 $ 216,938
KEC International, Ltd............................. 4,362 16,595
Kiri Industries, Ltd............................... 153,049 890,039
Kirloskar Brothers, Ltd............................ 64,949 140,021
Kirloskar Oil Engines, Ltd......................... 298,653 727,553
KNR Constructions, Ltd............................. 188,387 623,979
Kolte-Patil Developers, Ltd........................ 175,156 618,103
* KPIT Engineering, Ltd.............................. 2,056,795 2,652,372
KPR Mill, Ltd...................................... 42,786 391,412
KRBL, Ltd.......................................... 111,386 356,727
L&T Finance Holdings, Ltd.......................... 6,607,110 8,897,559
Lakshmi Machine Works, Ltd......................... 1,659 83,711
* Lakshmi Vilas Bank, Ltd. (The)..................... 673,471 145,861
Larsen & Toubro, Ltd............................... 2,462,784 51,130,908
Laurus Labs, Ltd................................... 49,400 258,853
LG Balakrishnan & Bros, Ltd........................ 18,860 83,144
LIC Housing Finance, Ltd........................... 3,381,753 19,766,417
Linde India, Ltd................................... 60,036 472,412
LT Foods, Ltd...................................... 911,085 335,068
Lupin, Ltd......................................... 2,433,770 25,532,691
Magma Fincorp, Ltd................................. 497,745 376,077
Maharashtra Scooters, Ltd.......................... 8,368 542,771
Maharashtra Seamless, Ltd.......................... 191,908 981,562
Mahindra & Mahindra Financial Services, Ltd........ 2,248,372 11,240,277
Mahindra & Mahindra, Ltd........................... 6,762,387 57,711,383
* Mahindra CIE Automotive, Ltd....................... 210,513 443,403
Mahindra Lifespace Developers, Ltd................. 228,039 1,333,057
Maithan Alloys, Ltd................................ 1,776 11,113
Majesco, Ltd....................................... 25,234 152,073
Manappuram Finance, Ltd............................ 6,314,341 15,112,632
Mangalam Cement, Ltd............................... 7,882 33,959
Marksans Pharma, Ltd............................... 1,831,757 387,755
Mastek, Ltd........................................ 106,954 516,950
* Max India, Ltd..................................... 489,573 499,395
Meghmani Organics, Ltd............................. 1,256,334 921,888
MOIL, Ltd.......................................... 489,040 956,824
Monte Carlo Fashions, Ltd.......................... 5,789 19,255
Motilal Oswal Financial Services, Ltd.............. 4,389 41,122
Mphasis, Ltd....................................... 501,866 6,711,072
MPS, Ltd........................................... 3,844 31,865
MRF, Ltd........................................... 11,030 10,213,697
Muthoot Finance, Ltd............................... 957,558 9,500,728
Natco Pharma, Ltd.................................. 48,703 406,318
National Aluminium Co., Ltd........................ 6,907,859 4,406,154
Nava Bharat Ventures, Ltd.......................... 727,554 756,916
Navin Fluorine International, Ltd.................. 19,225 243,857
NCC, Ltd........................................... 6,207,656 5,054,118
Neuland Laboratories, Ltd.......................... 2,923 20,250
NIIT, Ltd.......................................... 680,678 942,726
Nilkamal, Ltd...................................... 55,563 989,501
NOCIL, Ltd......................................... 632,672 1,084,205
Nucleus Software Exports, Ltd...................... 25,508 109,063
Oberoi Realty, Ltd................................. 691,977 4,922,262
* Odisha Cement, Ltd................................. 284,948 3,250,925
Omaxe, Ltd......................................... 513,137 1,325,477
Orient Cement, Ltd................................. 677,726 751,202
* Oriental Bank of Commerce.......................... 975,550 748,726
Parag Milk Foods, Ltd.............................. 137,951 278,458
PC Jeweller, Ltd................................... 2,397,757 1,080,578
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
INDIA -- (Continued)
Persistent Systems, Ltd............................ 345,889 $ 3,028,062
Petronet LNG, Ltd.................................. 4,844,788 19,522,336
Phillips Carbon Black, Ltd......................... 545,605 965,842
Piramal Enterprises, Ltd........................... 810,515 19,211,282
PNB Housing Finance, Ltd........................... 186,149 1,403,954
PNC Infratech, Ltd................................. 294,134 699,582
Polyplex Corp., Ltd................................ 99,271 685,322
* Power Finance Corp., Ltd........................... 8,378,718 12,872,113
Power Mech Projects, Ltd........................... 24,219 241,416
* Prabhat Dairy, Ltd................................. 34,355 40,891
Praj Industries, Ltd............................... 302,518 488,067
Prakash Industries, Ltd............................ 651,250 470,438
Prestige Estates Projects, Ltd..................... 634,446 2,719,472
* Procter & Gamble Health, Ltd....................... 55,602 3,652,413
PTC India Financial Services, Ltd.................. 2,646,017 506,642
PTC India, Ltd..................................... 2,640,832 2,221,940
* Punjab National Bank............................... 6,045,915 5,554,994
Puravankara, Ltd................................... 403,433 371,621
* Quess Corp., Ltd................................... 12,687 92,374
Quick Heal Technologies, Ltd....................... 60,811 113,048
Rain Industries Ltd................................ 943,456 1,292,718
Rajesh Exports, Ltd................................ 651,703 6,209,458
Rallis India, Ltd.................................. 459,722 1,088,216
Ramco Industries, Ltd.............................. 129,868 334,631
* Ramco Systems, Ltd................................. 20,610 48,901
Ramkrishna Forgings, Ltd........................... 30,402 125,335
Rashtriya Chemicals & Fertilizers, Ltd............. 2,132,885 1,662,411
Ratnamani Metals & Tubes, Ltd...................... 6,971 94,682
Raymond, Ltd....................................... 419,409 3,420,463
RBL Bank, Ltd...................................... 322,994 1,407,119
REC, Ltd........................................... 10,109,990 19,888,829
Redington India, Ltd............................... 2,520,661 4,232,218
Reliance Capital, Ltd.............................. 1,535,582 417,176
* Reliance Communications, Ltd....................... 8,557,361 78,559
Reliance Home Finance, Ltd......................... 575,966 38,929
Reliance Industries, Ltd., GDR..................... 80,641 3,307,142
Reliance Industries, Ltd........................... 32,191,746 663,853,603
* Reliance Power, Ltd................................ 8,848,791 417,018
Repco Home Finance, Ltd............................ 407,956 1,665,663
Rico Auto Industries, Ltd.......................... 83,478 55,570
Sadbhav Engineering, Ltd........................... 65,085 126,051
* Sanghi Industries, Ltd............................. 133,780 86,935
Sasken Technologies, Ltd........................... 13,807 114,336
Sequent Scientific, Ltd............................ 576,002 616,964
Seshasayee Paper & Boards, Ltd..................... 59,795 155,012
Sharda Cropchem, Ltd............................... 28,099 109,435
Shilpa Medicare, Ltd............................... 4,373 17,762
* Shipping Corp. of India, Ltd....................... 1,414,133 1,153,083
* Shree Renuka Sugars, Ltd........................... 334,703 34,200
Shriram City Union Finance, Ltd.................... 27,058 504,114
Shriram Transport Finance Co., Ltd................. 1,628,869 26,140,883
* Sintex Plastics Technology, Ltd.................... 4,169,920 96,876
Siyaram Silk Mills, Ltd............................ 5,861 20,453
SML ISUZU, Ltd..................................... 16,035 132,499
Sobha, Ltd......................................... 771,776 4,608,211
Solara Active Pharma Sciences, Ltd................. 1,685 10,015
Somany Ceramics, Ltd............................... 18,040 47,486
* Somany Home Innovation, Ltd........................ 460,561 1,038,602
South Indian Bank, Ltd. (The)...................... 12,638,266 2,002,038
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
INDIA -- (Continued)
Srei Infrastructure Finance, Ltd................... 1,977,233 $ 290,509
SRF, Ltd........................................... 179,330 7,323,834
Srikalahasthi Pipes, Ltd........................... 77,761 196,515
* Star Cement, Ltd................................... 104,969 142,693
* State Bank of India................................ 10,485,506 46,128,753
* State Bank of India, GDR........................... 4,510 195,283
Steel Authority of India, Ltd...................... 6,824,621 3,534,753
Strides Pharma Science, Ltd........................ 627,099 3,399,307
Sun Pharmaceutical Industries, Ltd................. 6,604,428 40,465,574
Sunteck Realty, Ltd................................ 287,327 1,667,719
Surya Roshni, Ltd.................................. 126,490 327,810
Suven Life Sciences, Ltd........................... 10,506 41,794
* Syndicate Bank..................................... 2,022,974 847,540
TAKE Solutions, Ltd................................ 589,844 933,871
Tata Chemicals, Ltd................................ 772,089 6,849,343
Tata Global Beverages, Ltd......................... 3,405,074 15,206,125
# * Tata Motors, Ltd., Sponsored ADR................... 103,766 1,253,493
* Tata Motors, Ltd................................... 22,788,519 56,381,432
Tata Steel, Ltd.................................... 4,718,754 25,229,404
Tech Mahindra, Ltd................................. 694,611 7,232,774
* Techno Electric & Engineering Co., Ltd............. 51,972 195,139
Tejas Networks, Ltd................................ 133,123 139,333
* Teledata Marine Solutions, Ltd..................... 267,258 0
Texmaco Rail & Engineering, Ltd.................... 527,575 328,796
Thirumalai Chemicals, Ltd.......................... 160,281 183,204
Thomas Cook India, Ltd............................. 95,989 177,911
* TI Financial Holdings, Ltd......................... 446,976 2,851,549
Tide Water Oil Co India, Ltd....................... 2,390 162,515
Time Technoplast, Ltd.............................. 1,180,743 1,048,105
Tinplate Co. of India, Ltd. (The).................. 292,174 500,274
Titagarh Wagons, Ltd............................... 87,248 51,363
Tourism Finance Corp. of India, Ltd................ 31,946 36,665
Transport Corp. of India, Ltd...................... 158,123 645,319
Trident, Ltd....................................... 838,701 729,258
Triveni Engineering & Industries, Ltd.............. 585,582 535,801
Tube Investments of India, Ltd..................... 429,012 2,417,086
TV Today Network, Ltd.............................. 29,230 131,351
* TV18 Broadcast, Ltd................................ 5,323,448 1,836,644
TVS Srichakra, Ltd................................. 1,968 51,861
* UCO Bank........................................... 2,214,591 422,448
Uflex, Ltd......................................... 369,731 1,081,810
UltraTech Cement, Ltd.............................. 1,599 93,400
Unichem Laboratories, Ltd.......................... 305,397 809,330
* Union Bank of India................................ 2,045,981 1,649,153
* Unitech, Ltd....................................... 5,935,706 41,699
* Usha Martin, Ltd................................... 368,127 147,651
* VA Tech Wabag, Ltd................................. 194,807 542,614
Vardhman Textiles, Ltd............................. 224,473 2,839,152
Vedanta, Ltd....................................... 19,995,680 41,775,753
Vedanta, Ltd., ADR................................. 870,593 7,260,749
Venky's India, Ltd................................. 538 13,272
Vindhya Telelinks, Ltd............................. 24,083 307,492
* Vodafone Idea, Ltd................................. 59,223,257 3,206,279
Welspun Corp., Ltd................................. 1,014,768 2,111,167
Welspun Enterprises, Ltd........................... 683,531 837,036
Welspun India, Ltd................................. 1,895,069 1,507,357
West Coast Paper Mills, Ltd........................ 196,960 651,819
Wipro, Ltd......................................... 9,733,295 35,725,551
* Wockhardt, Ltd..................................... 386,261 1,577,165
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- --------------
INDIA -- (Continued)
Yes Bank, Ltd.......................................... 21,664,798 $ 21,424,221
Zee Entertainment Enterprises, Ltd..................... 158,265 580,552
* Zee Media Corp., Ltd................................... 165,376 11,988
Zensar Technologies, Ltd............................... 838,561 2,130,811
--------------
TOTAL INDIA................................................ 2,318,573,849
--------------
INDONESIA -- (2.6%)
Adaro Energy Tbk PT.................................... 187,362,200 17,468,419
Adhi Karya Persero Tbk PT.............................. 23,818,600 2,120,890
* Agung Podomoro Land Tbk PT............................. 39,951,000 608,788
* Alam Sutera Realty Tbk PT.............................. 161,033,000 3,141,946
Aneka Tambang Tbk...................................... 62,969,077 3,988,235
Asahimas Flat Glass Tbk PT............................. 4,284,000 1,212,579
Astra Agro Lestari Tbk PT.............................. 4,749,367 3,868,355
Astra Graphia Tbk PT................................... 436,900 30,643
Astra International Tbk PT............................. 12,792,600 6,327,228
Astra Otoparts Tbk PT.................................. 614,000 55,773
* Astrindo Nusantara Infrastructure Tbk PT............... 97,379,100 346,851
* Bakrie and Brothers Tbk PT............................. 5,548,865 19,765
* Bakrie Telecom Tbk PT.................................. 160,430,200 428,591
* Bank Bukopin Tbk....................................... 52,476,733 986,227
Bank Danamon Indonesia Tbk PT.......................... 26,483,654 7,922,181
Bank Mandiri Persero Tbk PT............................ 164,608,762 82,282,819
Bank Negara Indonesia Persero Tbk PT................... 78,601,041 42,906,924
* Bank Pan Indonesia Tbk PT.............................. 95,169,501 9,109,367
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT... 33,996,300 4,384,742
Bank Pembangunan Daerah Jawa Timur Tbk PT.............. 35,446,400 1,742,658
* Bank Permata Tbk PT.................................... 23,897,700 2,271,848
Bank Tabungan Negara Persero Tbk PT.................... 32,626,327 4,318,183
Barito Pacific Tbk PT.................................. 140,795,300 9,528,488
Bekasi Fajar Industrial Estate Tbk PT.................. 57,824,000 1,045,556
* Berlian Laju Tanker Tbk PT............................. 128,161,466 456,513
BISI International Tbk PT.............................. 13,874,700 1,313,815
Blue Bird Tbk PT....................................... 58,800 9,592
* Buana Lintas Lautan Tbk PT............................. 25,966,800 349,667
Bukit Asam Tbk PT...................................... 21,964,400 3,517,079
* Bumi Serpong Damai Tbk PT.............................. 66,192,200 6,665,480
* Centratama Telekomunikasi Indonesia Tbk PT............. 6,763,500 37,566
Ciputra Development Tbk PT............................. 134,218,078 10,603,932
* City Retail Developments Tbk PT........................ 1,000,000 9,978
Davomas Abadi Tbk PT................................... 54,906,800 0
* Delta Dunia Makmur Tbk PT.............................. 46,787,500 1,085,740
* Eagle High Plantations Tbk PT.......................... 107,980,800 938,693
Elnusa Tbk PT.......................................... 43,585,900 974,704
* Energi Mega Persada Tbk PT............................. 11,397,301 46,257
Erajaya Swasembada Tbk PT.............................. 17,913,100 2,244,429
* Gajah Tunggal Tbk PT................................... 24,067,400 1,096,865
* Garuda Indonesia Persero Tbk PT........................ 43,242,781 1,817,453
* Global Mediacom Tbk PT................................. 104,154,500 2,774,724
* Hanson International Tbk PT............................ 42,319,300 271,309
Harum Energy Tbk PT.................................... 8,010,700 770,349
Hexindo Adiperkasa Tbk PT.............................. 721,744 179,462
Indah Kiat Pulp & Paper Corp. Tbk PT................... 34,951,100 18,092,678
Indika Energy Tbk PT................................... 20,659,400 1,889,657
Indo Tambangraya Megah Tbk PT.......................... 4,738,700 4,487,407
Indofood Sukses Makmur Tbk PT.......................... 56,262,700 30,832,148
Indomobil Sukses Internasional Tbk PT.................. 1,420,400 143,169
Indo-Rama Synthetics Tbk PT............................ 180,100 47,104
Intiland Development Tbk PT............................ 83,771,200 1,909,708
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
INDONESIA -- (Continued)
Japfa Comfeed Indonesia Tbk PT.......................... 45,223,450 $ 5,539,783
Jaya Real Property Tbk PT............................... 97,402,600 4,614,207
* Kawasan Industri Jababeka Tbk PT........................ 251,760,356 5,774,007
KMI Wire & Cable Tbk PT................................. 17,411,200 707,033
* Krakatau Steel Persero Tbk PT........................... 6,180,600 152,272
* Lippo Cikarang Tbk PT................................... 17,827,810 1,650,387
* Lippo Karawaci Tbk PT................................... 528,967,962 8,891,321
Malindo Feedmill Tbk PT................................. 12,834,600 1,014,849
* Medco Energi Internasional Tbk PT....................... 95,042,766 4,465,341
Media Nusantara Citra Tbk PT............................ 54,623,600 5,114,685
Metrodata Electronics Tbk PT............................ 7,850,850 906,140
* MNC Investama Tbk PT.................................... 273,745,600 1,422,844
* Modernland Realty Tbk PT................................ 91,471,600 1,472,320
* Multipolar Tbk PT....................................... 27,388,500 167,718
Pabrik Kertas Tjiwi Kimia Tbk PT........................ 3,267,400 2,459,518
Pan Brothers Tbk PT..................................... 39,095,850 2,075,688
* Panin Financial Tbk PT.................................. 164,691,300 3,402,858
* Paninvest Tbk PT........................................ 22,576,100 1,912,314
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT... 45,915,584 4,419,860
PP Persero Tbk PT....................................... 37,451,500 4,737,002
PP Properti Tbk PT...................................... 50,037,200 352,815
Puradelta Lestari Tbk PT................................ 10,323,700 222,031
Ramayana Lestari Sentosa Tbk PT......................... 19,739,900 1,645,184
* Salim Ivomas Pratama Tbk PT............................. 38,537,200 965,742
* Sampoerna Agro PT....................................... 11,297,341 1,852,323
Selamat Sempurna Tbk PT................................. 10,299,400 1,082,006
Semen Indonesia Persero Tbk PT.......................... 19,595,300 17,672,716
* Sentul City Tbk PT...................................... 224,782,000 1,872,437
* Siloam International Hospitals Tbk PT................... 1,777,400 911,566
Sinar Mas Agro Resources & Technology Tbk PT............ 7,504,000 2,054,527
Sri Rejeki Isman Tbk PT................................. 153,345,200 3,102,148
Summarecon Agung Tbk PT................................. 13,047,800 1,050,062
* Surya Esa Perkasa Tbk PT................................ 13,264,400 289,097
Surya Semesta Internusa Tbk PT.......................... 57,211,300 3,138,500
Suryainti Permata Tbk PT................................ 17,378,000 0
Tempo Scan Pacific Tbk PT............................... 1,055,200 106,363
* Tiga Pilar Sejahtera Food Tbk........................... 41,727,122 93,639
Timah Tbk PT............................................ 38,903,660 2,466,615
Tiphone Mobile Indonesia Tbk PT......................... 7,827,700 187,401
* Trada Alam Minera Tbk PT................................ 188,544,700 1,449,728
Trias Sentosa Tbk PT.................................... 336,500 9,250
Truba Alam Manuggal Engineering PT...................... 129,244,500 0
Tunas Baru Lampung Tbk PT............................... 27,804,300 1,861,653
Tunas Ridean Tbk PT..................................... 34,967,000 2,465,850
Ultrajaya Milk Industry & Trading Co. Tbk PT............ 12,849,500 1,391,837
Unggul Indah Cahaya Tbk PT.............................. 288,335 77,955
United Tractors Tbk PT.................................. 18,752,200 28,944,576
* Vale Indonesia Tbk PT................................... 24,812,400 6,551,298
* Visi Media Asia Tbk PT.................................. 9,660,200 55,616
Waskita Beton Precast Tbk PT............................ 117,802,200 2,784,774
Waskita Karya Persero Tbk PT............................ 40,094,700 4,439,874
Wijaya Karya Bangunan Gedung Tbk PT..................... 5,539,100 123,008
Wijaya Karya Beton Tbk PT............................... 37,851,600 1,261,680
Wijaya Karya Persero Tbk PT............................. 36,890,500 5,202,770
* XL Axiata Tbk PT........................................ 38,768,400 9,780,429
------------
TOTAL INDONESIA............................................. 465,048,151
------------
MALAYSIA -- (2.7%)
# Aeon Co. M Bhd.......................................... 2,076,100 823,687
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
MALAYSIA -- (Continued)
AFFIN Bank Bhd..................................... 10,088,818 $ 4,681,127
AirAsia Group Bhd.................................. 19,842,400 9,059,327
# * AirAsia X Bhd...................................... 1,246,100 50,587
Alliance Bank Malaysia Bhd......................... 14,280,200 9,827,590
Allianz Malaysia Bhd............................... 67,900 224,307
AMMB Holdings Bhd.................................. 20,899,962 19,935,728
Ann Joo Resources Bhd.............................. 1,885,800 504,659
APM Automotive Holdings Bhd........................ 627,900 306,376
Batu Kawan Bhd..................................... 1,942,150 7,248,504
* Benalec Holdings Bhd............................... 608,300 22,529
* Berjaya Assets Bhd................................. 604,700 42,661
# * Berjaya Corp. Bhd.................................. 37,813,178 2,169,509
Berjaya Food Bhd................................... 121,800 43,393
# * Berjaya Land Bhd................................... 11,373,900 543,310
BIMB Holdings Bhd.................................. 1,075,907 1,093,957
Boustead Holdings Bhd.............................. 10,375,591 2,480,202
# Boustead Plantations Bhd........................... 3,159,100 458,465
* Bumi Armada Bhd.................................... 29,247,800 3,142,068
Cahya Mata Sarawak Bhd............................. 1,024,200 592,430
Can-One Bhd........................................ 401,400 316,545
# CB Industrial Product Holding Bhd.................. 1,722,100 329,413
Chin Teck Plantations BHD.......................... 309,100 467,920
CIMB Group Holdings Bhd............................ 57,878,866 72,639,175
CJ Century Logistics Holdings Bhd, Class B......... 71,300 6,306
* Coastal Contracts Bhd.............................. 1,641,500 447,437
CSC Steel Holdings Bhd............................. 1,691,556 398,628
Cypark Resources Bhd............................... 712,750 238,479
Dagang NeXchange Bhd............................... 909,800 60,784
* Dayang Enterprise Holdings Bhd..................... 4,404,200 2,049,230
DRB-Hicom Bhd...................................... 8,791,500 5,313,737
# Eastern & Oriental Bhd............................. 10,757,013 1,672,150
* Eco World Development Group Bhd.................... 4,587,800 712,932
# Ekovest BHD........................................ 13,316,200 2,430,155
Engtex Group Bhd................................... 775,500 112,195
Evergreen Fibreboard Bhd........................... 4,916,389 357,879
FAR East Holdings BHD.............................. 954,560 606,127
# * FGV Holdings Bhd................................... 20,345,100 5,345,656
# Gabungan AQRS Bhd.................................. 3,335,674 1,027,223
Gadang Holdings Bhd................................ 6,172,100 1,010,939
Gamuda Bhd......................................... 14,210,500 12,706,959
Genting Bhd........................................ 19,798,200 27,501,891
Genting Malaysia Bhd............................... 20,382,500 15,633,121
# George Kent Malaysia Bhd........................... 3,751,700 922,639
Glomac Bhd......................................... 4,194,990 361,429
GuocoLand Malaysia Bhd............................. 2,074,000 329,857
HAP Seng Consolidated Bhd.......................... 3,153,582 7,531,187
Hap Seng Plantations Holdings Bhd.................. 2,463,600 861,834
# * Hengyuan Refining Co. Bhd.......................... 1,165,800 1,193,371
HeveaBoard Bhd..................................... 2,287,600 303,154
# Hiap Teck Venture Bhd.............................. 9,625,500 459,248
Hong Leong Financial Group Bhd..................... 2,955,834 12,318,539
Hong Leong Industries Bhd.......................... 219,800 567,767
IGB Bhd............................................ 2,788,907 1,833,377
IJM Corp. Bhd...................................... 26,544,118 13,647,482
Insas Bhd.......................................... 4,512,900 922,081
# IOI Properties Group Bhd........................... 9,852,425 2,448,964
* Iris Corp. Bhd..................................... 12,339,000 428,169
# * Iskandar Waterfront City Bhd....................... 3,662,100 756,152
# * JAKS Resources Bhd................................. 5,963,200 1,509,380
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
MALAYSIA -- (Continued)
Jaya Tiasa Holdings Bhd................................ 4,837,933 $ 624,658
# * JCY International Bhd.................................. 2,485,000 127,515
Keck Seng Malaysia Bhd................................. 2,403,800 2,562,036
Kenanga Investment Bank Bhd............................ 1,524,187 174,825
Kimlun Corp. Bhd....................................... 939,923 278,375
# * KNM Group Bhd.......................................... 21,831,390 2,369,175
* Kretam Holdings Bhd.................................... 1,746,600 152,966
# * KSL Holdings Bhd....................................... 7,184,151 1,323,498
Kumpulan Fima BHD...................................... 1,225,100 469,026
Kumpulan Perangsang Selangor Bhd....................... 1,007,827 173,576
Land & General Bhd..................................... 26,295,120 911,415
* Landmarks Bhd.......................................... 2,050,108 230,649
LBS Bina Group Bhd..................................... 8,363,380 989,767
* Lion Industries Corp. Bhd.............................. 1,775,800 163,157
Lotte Chemical Titan Holding Bhd....................... 856,500 507,903
Magnum Bhd............................................. 6,044,000 4,046,983
# Mah Sing Group Bhd..................................... 13,994,362 2,543,906
Malayan Banking Bhd.................................... 15,182,071 31,220,896
Malayan Flour Mills Bhd................................ 6,139,275 1,033,033
Malaysia Airports Holdings Bhd......................... 513,454 971,812
# Malaysia Building Society Bhd.......................... 16,279,491 3,406,312
* Malaysia Marine and Heavy Engineering Holdings Bhd..... 1,946,000 400,290
* Malaysian Bulk Carriers Bhd............................ 2,766,525 436,144
Malaysian Pacific Industries Bhd....................... 205,275 525,680
# Malaysian Resources Corp. Bhd.......................... 23,313,100 4,121,495
Malton Bhd............................................. 3,261,900 386,047
Matrix Concepts Holdings Bhd........................... 767,000 346,771
MBM Resources BHD...................................... 1,506,103 1,479,184
* Media Prima Bhd........................................ 7,118,500 620,741
# Mega First Corp. Bhd................................... 1,879,400 1,987,161
MISC Bhd............................................... 10,762,304 21,436,333
Mitrajaya Holdings Bhd................................. 496,730 33,246
MKH Bhd................................................ 4,248,978 1,290,023
# MMC Corp. Bhd.......................................... 10,524,780 2,538,775
# * MNRB Holdings Bhd...................................... 4,865,959 1,336,778
* MPHB Capital Bhd....................................... 178,400 45,632
Muda Holdings Bhd...................................... 1,409,900 528,731
* Mudajaya Group Bhd..................................... 2,979,495 255,951
Muhibbah Engineering M Bhd............................. 4,181,800 2,387,194
* Mulpha International Bhd............................... 1,714,760 815,989
* OCK Group Bhd.......................................... 108,300 16,135
Oriental Holdings BHD.................................. 3,248,579 5,052,128
# OSK Holdings Bhd....................................... 11,109,206 2,536,932
Panasonic Manufacturing Malaysia Bhd................... 192,180 1,733,250
Pantech Group Holdings Bhd............................. 4,490,772 536,822
Paramount Corp. Bhd.................................... 2,502,255 753,873
# * Parkson Holdings Bhd................................... 2,076,328 109,171
Petron Malaysia Refining & Marketing Bhd............... 247,800 299,778
# Pos Malaysia Bhd....................................... 1,980,500 728,220
PPB Group Bhd.......................................... 3,987,739 17,251,311
RHB Bank Bhd........................................... 13,050,800 17,952,669
* Rimbunan Sawit Bhd..................................... 4,155,300 133,762
Sapura Energy Bhd...................................... 41,531,800 2,629,648
# Sarawak Oil Palms Bhd.................................. 677,967 381,310
Selangor Dredging Bhd.................................. 102,100 15,016
Shangri-La Hotels Malaysia Bhd......................... 482,100 577,164
SHL Consolidated Bhd................................... 39,700 21,769
Sime Darby Bhd......................................... 21,342,300 11,572,021
# Sime Darby Property Bhd................................ 7,330,900 1,271,127
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
MALAYSIA -- (Continued)
SP Setia Bhd Group.................................... 9,325,073 $ 2,697,266
Star Media Group Bhd.................................. 1,230,600 141,066
* Sumatec Resources Bhd................................. 2,855,100 3,426
Sunway Bhd............................................ 15,583,886 6,334,778
Suria Capital Holdings Bhd............................ 989,280 331,187
# Ta Ann Holdings Bhd................................... 2,520,926 1,440,253
TA Enterprise Bhd..................................... 16,372,200 2,388,974
TA Global Bhd......................................... 14,296,380 804,368
Tan Chong Motor Holdings Bhd.......................... 2,887,900 924,944
* TDM Bhd............................................... 3,610,384 150,840
Thong Guan Industries Bhd............................. 114,200 79,153
TIME dotCom Bhd....................................... 2,187,880 4,773,842
# Tropicana Corp. Bhd................................... 7,418,210 1,464,254
# TSH Resources Bhd..................................... 95,400 20,489
Tune Protect Group Bhd................................ 1,884,900 270,214
UEM Edgenta Bhd....................................... 1,204,400 919,367
# * UEM Sunrise Bhd....................................... 17,441,545 2,854,686
United Malacca Bhd.................................... 941,000 1,148,710
# UOA Development Bhd................................... 9,059,800 4,332,200
* Velesto Energy Bhd.................................... 18,279,427 1,550,311
* Vivocom International Holdings Bhd.................... 3,725,667 13,374
# * Vizione Holdings Bhd.................................. 1,845,771 374,722
VS Industry Bhd....................................... 16,271,100 5,439,602
* Wah Seong Corp. Bhd................................... 2,647,583 702,700
* WCT Holdings Bhd...................................... 11,747,518 2,515,012
WTK Holdings Bhd...................................... 2,829,450 324,182
Yinson Holdings Bhd................................... 351,300 580,217
* YNH Property Bhd...................................... 3,990,250 2,461,839
YTL Corp. Bhd......................................... 58,039,011 12,068,309
------------
TOTAL MALAYSIA............................................. 476,965,966
------------
MEXICO -- (2.9%)
# ALEATICA S.A.B. de C.V................................ 43,335 45,055
Alfa S.A.B. de C.V., Class A.......................... 32,619,943 28,386,549
Alpek S.A.B. de C.V................................... 4,147,508 4,482,452
# Arca Continental S.A.B. de C.V........................ 1,890,810 10,568,445
Banco del Bajio SA.................................... 1,350,498 2,181,971
Becle S.A.B. de C.V................................... 1,071,090 1,844,681
* Bio Pappel S.A.B. de C.V.............................. 355,296 413,725
# Cemex S.A.B. de C.V................................... 10,957,380 4,118,309
Cemex S.A.B. de C.V., Sponsored ADR................... 8,408,053 31,698,358
# Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR......... 108,685 5,975,501
Coca-Cola Femsa S.A.B. de C.V......................... 1,067,320 5,872,438
Consorcio ARA S.A.B. de C.V........................... 7,503,047 1,408,052
* Corp Interamericana de Entretenimiento S.A.B. de
C.V., Class B....................................... 1,487,738 1,127,221
Corp. Actinver S.A.B. de C.V.......................... 105,133 63,534
Corpovael S.A. de C.V................................. 800 375
Credito Real S.A.B. de C.V. SOFOM ER.................. 1,437,906 1,780,517
Cydsa S.A.B. de C.V................................... 5,874 7,939
Dine S.A.B. de C.V.................................... 1,027,267 541,496
El Puerto de Liverpool S.A.B. de C.V.................. 808,217 4,117,867
Fomento Economico Mexicano S.A.B. de C.V., Sponsored
ADR................................................. 400,494 35,651,976
# * Genomma Lab Internacional S.A.B. de C.V., Class B..... 1,430,400 1,513,198
Gentera S.A.B. de C.V................................. 1,760,597 1,738,952
* Grupo Aeromexico S.A.B. de C.V........................ 1,738,079 1,347,166
Grupo Carso S.A.B. de C.V............................. 5,260,251 17,555,590
Grupo Cementos de Chihuahua S.A.B. de C.V............. 1,642,764 9,147,010
Grupo Comercial Chedraui S.A. de C.V.................. 3,286,983 4,601,588
# Grupo Elektra S.A.B. de C.V........................... 242,069 17,585,914
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
MEXICO -- (Continued)
* Grupo Famsa S.A.B. de C.V., Class A................ 1,482,879 $ 417,039
Grupo Financiero Banorte S.A.B. de C.V............. 16,395,384 89,645,546
Grupo Financiero Inbursa S.A.B. de C.V............. 14,644,588 18,217,711
* Grupo Gigante S.A.B. de C.V., Series *............. 471,076 861,266
Grupo Herdez S.A.B. de C.V......................... 912,855 1,859,735
Grupo Industrial Saltillo S.A.B. de C.V............ 1,363,406 1,699,606
Grupo KUO S.A.B. de C.V., Class B.................. 2,034,528 5,261,756
Grupo Lala S.A.B. de C.V........................... 132,381 130,272
Grupo Mexico S.A.B. de C.V., Class B............... 36,963,456 97,594,361
* Grupo Pochteca S.A.B. de C.V....................... 67,810 24,464
* Grupo Posadas S.A.B. de C.V........................ 328,713 649,343
* Grupo Qumma S.A. de C.V., Class B.................. 5,301 0
# Grupo Rotoplas S.A.B. de C.V....................... 152,319 142,607
Grupo Sanborns S.A.B. de C.V....................... 1,389,018 1,660,771
# * Grupo Simec S.A.B. de C.V., Class B................ 900,318 2,831,557
* Grupo Sports World S.A.B. de C.V................... 293,561 273,165
Grupo Televisa S.A.B., Sponsored ADR............... 680,759 7,522,387
# Grupo Televisa S.A.B............................... 2,275,514 5,028,571
# * Hoteles City Express S.A.B. de C.V................. 416,003 357,906
Industrias Bachoco S.A.B. de C.V., Sponsored ADR... 28,895 1,555,707
Industrias Bachoco S.A.B. de C.V., Class B......... 1,510,624 6,791,192
# * Industrias CH S.A.B. de C.V., Class B.............. 1,910,788 8,240,531
# Industrias Penoles S.A.B. de C.V................... 526,545 6,270,967
# * La Comer S.A.B. de C.V............................. 4,997,412 6,757,086
Medica Sur S.A.B. de C.V., Class B................. 1,000 1,118
# * Minera Frisco S.A.B. de C.V........................ 3,406,833 731,433
# * Minera Frisco S.A.B. de C.V., Class A1............. 5,704,431 1,206,926
Nemak S.A.B. de C.V................................ 3,726,648 1,588,569
# Orbia Advance Corp. S.A.B. de C.V.................. 10,420,543 22,556,671
# Organizacion Cultiba S.A.B. de C.V................. 157,421 96,033
# Organizacion Soriana S.A.B. de C.V., Class B....... 14,044,491 18,077,176
# Promotora y Operadora de Infraestructura S.A.B. de
C.V.............................................. 392,258 3,626,192
Promotora y Operadora de Infraestructura S.A.B. de
C.V., Class L.................................... 3,563 22,967
Qualitas Controladora S.A.B. de C.V................ 556,408 2,406,237
# TV Azteca S.A.B. de C.V............................ 9,670,999 417,276
Unifin Financiera S.A.B. de C.V.................... 485,048 824,530
# Vitro S.A.B. de C.V., Class A...................... 1,461,897 3,226,030
------------
TOTAL MEXICO............................................ 512,350,583
------------
PHILIPPINES -- (1.2%)
ACR Mining Corp.................................... 105,455 6,975
Alliance Global Group, Inc......................... 35,285,606 7,973,533
Alsons Consolidated Resources, Inc................. 15,464,000 393,231
* Altus San Nicolas Corp............................. 612,198 62,493
* Apex Mining Co., Inc............................... 2,248,000 50,111
* Atlas Consolidated Mining & Development Corp....... 5,118,500 256,581
Ayala Corp......................................... 22,320 377,905
Bank of the Philippine Islands..................... 3,699,833 7,068,459
BDO Unibank, Inc................................... 13,255,159 40,434,939
Belle Corp......................................... 4,041,000 158,431
Cebu Air, Inc...................................... 2,517,020 4,578,833
* CEMEX Holdings Philippines, Inc.................... 19,033,000 941,369
Century Properties Group, Inc...................... 25,977,400 306,519
China Banking Corp................................. 1,022,232 507,655
Cosco Capital, Inc................................. 17,830,500 2,425,146
DMCI Holdings, Inc................................. 5,892,200 951,955
* East West Banking Corp............................. 5,244,900 1,299,875
EEI Corp........................................... 2,496,900 504,154
* Emperador, Inc..................................... 1,340,900 184,964
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
PHILIPPINES -- (Continued)
* Empire East Land Holdings, Inc..................... 6,599,000 $ 63,738
* Export & Industry Bank, Inc., Class A.............. 14,950 0
Filinvest Development Corp......................... 460,900 120,084
Filinvest Land, Inc................................ 126,939,031 3,999,214
First Philippine Holdings Corp..................... 3,706,780 5,763,205
* Global Ferronickel Holdings, Inc................... 12,908,176 477,887
GT Capital Holdings, Inc........................... 462,867 8,147,514
Integrated Micro-Electronics, Inc.................. 2,190,100 341,304
JG Summit Holdings, Inc............................ 14,367,440 21,564,538
Lopez Holdings Corp................................ 25,248,500 2,145,834
LT Group, Inc...................................... 16,650,900 4,377,147
Megaworld Corp..................................... 112,087,300 10,661,692
Metro Retail Stores Group, Inc..................... 1,545,000 73,962
Metropolitan Bank & Trust Co....................... 11,421,818 15,204,843
Mondragon International Philippines, Inc........... 2,464,000 0
Nickel Asia Corp................................... 17,158,940 1,354,716
Pepsi-Cola Products Philippines, Inc............... 1,602,000 53,606
Petron Corp........................................ 23,723,900 2,341,422
* Philex Mining Corp................................. 4,679,000 325,785
* Philippine National Bank........................... 5,129,185 4,537,038
* Philippine National Construction Corp.............. 398,900 7,224
Philippine Savings Bank............................ 1,808,903 2,053,493
Philippine Townships, Inc.......................... 226,200 0
Philtown Properties, Inc........................... 6,701 0
Phoenix Petroleum Philippines, Inc................. 1,527,700 331,071
Pilipinas Shell Petroleum Corp..................... 208,030 139,360
Premium Leisure Corp............................... 7,012,000 92,523
RFM Corp........................................... 976,000 103,605
Rizal Commercial Banking Corp...................... 6,249,906 3,163,675
Robinsons Land Corp................................ 31,739,208 15,906,998
Robinsons Retail Holdings, Inc..................... 365,130 545,908
San Miguel Corp.................................... 6,141,346 20,214,853
San Miguel Food and Beverage, Inc.................. 199,250 361,374
Security Bank Corp................................. 2,013,444 7,899,906
SSI Group, Inc..................................... 8,404,000 427,160
STI Education Systems Holdings, Inc................ 13,050,000 174,866
* Top Frontier Investment Holdings, Inc.............. 628,532 2,854,071
Union Bank Of Philippines.......................... 4,357,469 5,163,893
Vista Land & Lifescapes, Inc....................... 60,277,368 9,133,339
------------
TOTAL PHILIPPINES....................................... 218,609,976
------------
POLAND -- (1.2%)
* AB SA.............................................. 528 2,774
Agora SA........................................... 447,173 1,183,107
* Alior Bank SA...................................... 503,993 3,560,703
Alumetal SA........................................ 6,054 55,193
Amica SA........................................... 6,556 200,454
Asseco Poland SA................................... 1,078,323 14,499,573
Bank Handlowy w Warszawie SA....................... 61,088 815,638
* Bank Millennium SA................................. 4,008,734 6,453,232
* Boryszew SA........................................ 273,031 307,460
# * Ciech SA........................................... 148,017 1,256,775
Cognor SA.......................................... 156,283 62,353
# Cyfrowy Polsat SA.................................. 813,860 5,903,302
# Develia SA......................................... 1,411,591 905,013
* Enea SA............................................ 2,465,557 5,448,398
Firma Oponiarska Debica SA......................... 46,346 970,185
* Getin Noble Bank SA................................ 948,327 74,197
* Grupa Azoty SA..................................... 236,563 2,173,919
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
POLAND -- (Continued)
Grupa Kety SA...................................... 40,538 $ 3,252,911
Grupa Lotos SA..................................... 964,918 24,096,964
# Jastrzebska Spolka Weglowa SA...................... 175,136 889,887
Kernel Holding SA.................................. 484,032 5,380,719
# * KGHM Polska Miedz SA............................... 1,320,698 28,954,499
# Lubelski Wegiel Bogdanka SA........................ 52,381 496,541
* mBank SA........................................... 33,165 3,315,883
* Netia SA........................................... 1,843,303 2,220,800
* PGE Polska Grupa Energetyczna SA................... 5,750,529 12,330,047
PKP Cargo SA....................................... 109,382 687,518
* Polnord SA......................................... 5,709 4,529
# Polski Koncern Naftowy Orlen S.A................... 2,725,484 74,523,157
Powszechna Kasa Oszczednosci Bank Polski SA........ 867,303 8,659,927
Stalexport Autostrady SA........................... 189,773 152,180
Stalprodukt SA..................................... 3,659 218,557
# * Tauron Polska Energia SA........................... 10,092,693 4,368,154
------------
TOTAL POLAND............................................ 213,424,549
------------
RUSSIA -- (2.4%)
* AFI Development P.L.C., GDR........................ 16,827 5,032
Etalon Group P.L.C., GDR........................... 102,930 183,215
Gazprom PJSC, Sponsored ADR........................ 21,147,557 169,536,708
Gazprom PJSC, Sponsored ADR........................ 71,596 573,663
Lukoil PJSC, Sponsored ADR......................... 2,373,113 218,689,539
Magnitogorsk Iron & Steel Works PJSC, GDR.......... 571,113 4,190,867
Rosneft Oil Co. PJSC, GDR.......................... 3,096,453 20,504,712
RusHydro PJSC, ADR................................. 6,491,833 4,867,239
TMK PJSC, GDR...................................... 11,656 37,649
VTB Bank PJSC, GDR................................. 5,662,356 7,525,271
------------
TOTAL RUSSIA............................................ 426,113,895
------------
SOUTH AFRICA -- (6.5%)
Absa Group, Ltd.................................... 8,433,507 86,494,711
Adcorp Holdings, Ltd............................... 973,614 881,952
Advtech, Ltd....................................... 33,682 25,009
AECI, Ltd.......................................... 1,746,562 11,280,278
African Oxygen, Ltd................................ 160,532 223,136
# * African Phoenix Investments, Ltd................... 9,747,006 490,309
African Rainbow Minerals, Ltd...................... 1,901,837 19,053,943
Alexander Forbes Group Holdings, Ltd............... 6,755,195 2,313,427
# Allied Electronics Corp., Ltd., Class A............ 128,358 215,293
Alviva Holdings, Ltd............................... 1,047,636 1,005,499
Anglo American Platinum, Ltd....................... 131,219 9,800,662
AngloGold Ashanti, Ltd............................. 1,674,325 37,033,221
# AngloGold Ashanti, Ltd., Sponsored ADR............. 3,295,420 72,762,874
* ArcelorMittal South Africa, Ltd.................... 2,595,706 302,273
* Ascendis Health, Ltd............................... 171,417 42,676
* Aspen Pharmacare Holdings, Ltd..................... 1,864,971 13,019,166
Assore, Ltd........................................ 103,905 1,750,129
Astral Foods, Ltd.................................. 134,124 1,428,814
* Aveng, Ltd......................................... 62,681,244 82,964
Barloworld, Ltd.................................... 3,699,104 29,463,271
Bidvest Group, Ltd. (The).......................... 36,392 496,781
# * Blue Label Telecoms, Ltd........................... 3,509,665 642,137
# * Brait SE........................................... 2,542,891 2,877,694
Caxton and CTP Publishers and Printers, Ltd........ 2,615,850 1,261,071
# DataTec, Ltd....................................... 4,436,813 10,590,713
# Discovery, Ltd..................................... 545,525 4,342,684
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
SOUTH AFRICA -- (Continued)
# DRDGOLD, Ltd....................................... 4,367,625 $ 2,227,950
* enX Group, Ltd..................................... 391,330 271,740
* EOH Holdings, Ltd.................................. 478,148 494,384
Evraz Highveld Steel And Vanad..................... 120,337 0
Exxaro Resources, Ltd.............................. 2,312,114 18,902,859
Gold Fields, Ltd................................... 2,145,643 13,325,263
Gold Fields, Ltd., Sponsored ADR................... 12,618,767 77,983,980
* Grindrod Shipping Holdings, Ltd.................... 143,208 935,355
Grindrod, Ltd...................................... 6,549,843 2,098,210
* Harmony Gold Mining Co., Ltd....................... 1,531,893 5,325,698
Hudaco Industries, Ltd............................. 170,254 1,229,608
Hulamin, Ltd....................................... 675,094 103,733
# * Impala Platinum Holdings, Ltd...................... 4,975,459 34,255,862
Imperial Logistics, Ltd............................ 2,361,036 8,860,337
Investec, Ltd...................................... 2,689,641 15,282,834
Invicta Holdings, Ltd.............................. 93,463 126,710
* JCI, Ltd........................................... 10,677,339 0
KAP Industrial Holdings, Ltd....................... 10,115,632 3,112,158
Kumba Iron Ore, Ltd................................ 234,131 5,704,835
Lewis Group, Ltd................................... 1,506,908 2,797,901
Liberty Holdings, Ltd.............................. 1,761,494 13,566,007
Life Healthcare Group Holdings, Ltd................ 3,214,508 5,076,641
* Long4Life, Ltd..................................... 1,383,403 385,422
# Massmart Holdings, Ltd............................. 32,201 91,349
Merafe Resources, Ltd.............................. 22,960,524 1,367,407
Metair Investments, Ltd............................ 1,678,681 2,730,729
# Momentum Metropolitan Holdings..................... 15,466,407 20,654,859
Motus Holdings Ltd................................. 261,398 1,238,362
Mpact, Ltd......................................... 2,819,214 2,893,454
# MTN Group, Ltd..................................... 21,170,577 131,037,009
Murray & Roberts Holdings, Ltd..................... 6,948,515 5,157,377
* Nampak, Ltd........................................ 5,668,041 3,015,993
Nedbank Group, Ltd................................. 4,066,563 61,690,935
Novus Holdings, Ltd................................ 266,993 47,566
Oceana Group, Ltd.................................. 102,651 453,851
Old Mutual, Ltd.................................... 19,934,379 25,923,355
# Omnia Holdings, Ltd................................ 1,827,067 3,131,757
Peregrine Holdings, Ltd............................ 1,594,063 1,965,007
Pioneer Foods Group, Ltd........................... 43,462 309,290
* PPC, Ltd........................................... 10,395,993 2,651,067
Raubex Group, Ltd.................................. 2,197,731 2,837,348
RCL Foods, Ltd..................................... 159,113 99,398
Reunert, Ltd....................................... 1,312,134 6,204,910
Rhodes Food Group Pty, Ltd......................... 23,326 23,825
* Royal Bafokeng Platinum, Ltd....................... 599,428 1,741,703
Sanlam, Ltd........................................ 39,807 209,498
# Sappi, Ltd......................................... 7,587,257 19,483,628
# Sasol, Ltd......................................... 2,811,885 50,975,773
# Sasol, Ltd., Sponsored ADR......................... 1,500,496 27,158,977
* Sibanye Gold, Ltd.................................. 10,746,595 20,748,390
# * Sibanye Gold, Ltd., Sponsored ADR.................. 2,769,125 21,183,802
Standard Bank Group, Ltd........................... 14,127,822 162,190,870
# * Steinhoff International Holdings NV................ 23,998,309 1,557,389
* Super Group, Ltd................................... 4,990,058 9,325,542
# Telkom SA SOC, Ltd................................. 4,891,875 22,362,955
* Tongaat Hulett, Ltd................................ 1,558,340 1,021,757
# * Trencor, Ltd....................................... 1,646,638 3,276,637
Truworths International, Ltd....................... 371,087 1,315,233
Tsogo Sun Gaming, Ltd.............................. 2,917,390 2,399,226
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- --------------
SOUTH AFRICA -- (Continued)
Wilson Bayly Holmes-Ovcon, Ltd....................... 639,963 $ 5,985,276
--------------
TOTAL SOUTH AFRICA........................................ 1,144,409,678
--------------
SOUTH KOREA -- (15.2%)
# Aekyung Petrochemical Co., Ltd....................... 182,088 1,188,246
AJ Networks Co., Ltd................................. 71,995 256,255
* AJ Rent A Car Co., Ltd............................... 151,627 1,438,056
# * Ajin Industrial Co., Ltd............................. 256,326 607,311
AK Holdings, Inc..................................... 34,689 931,215
ALUKO Co., Ltd....................................... 13,515 26,909
# Asia Cement Co., Ltd................................. 21,037 1,514,179
# ASIA Holdings Co., Ltd............................... 14,861 1,435,647
Asia Paper Manufacturing Co., Ltd.................... 68,754 1,721,667
# AUK Corp............................................. 336,608 602,206
# Austem Co., Ltd...................................... 277,694 505,394
Avaco Co., Ltd....................................... 48,579 234,118
BGF Co., Ltd......................................... 279,547 1,379,760
Bixolon Co., Ltd..................................... 32,698 150,595
# * Bluecom Co., Ltd..................................... 78,495 204,811
BNK Financial Group, Inc............................. 3,259,549 19,467,253
# Bookook Securities Co., Ltd.......................... 37,783 703,909
Busan City Gas Co., Ltd.............................. 2,705 84,253
BYC Co., Ltd......................................... 752 152,797
# Byucksan Corp........................................ 365,587 614,233
# Capro Corp........................................... 411,463 1,197,558
Castec Korea Co., Ltd................................ 17,797 42,225
Chinyang Holdings Corp............................... 94,392 204,832
# Chokwang Paint, Ltd.................................. 70,821 366,006
Chosun Refractories Co., Ltd......................... 10,371 780,045
CJ CheilJedang Corp.................................. 46,116 9,064,021
CJ Corp.............................................. 183,869 12,996,382
CJ Hello Co., Ltd.................................... 384,653 2,015,440
CKD Bio Corp......................................... 5,937 157,763
Cosmax BTI, Inc...................................... 38,218 474,848
CROWNHAITAI Holdings Co., Ltd........................ 49,193 434,810
D.I Corp............................................. 228,706 601,366
# Dae Dong Industrial Co., Ltd......................... 187,650 977,773
Dae Han Flour Mills Co., Ltd......................... 14,604 1,926,845
# Dae Hyun Co., Ltd.................................... 327,178 709,913
Dae Won Kang Up Co., Ltd............................. 372,120 1,141,916
# * Dae Young Packaging Co., Ltd......................... 775,890 717,145
# Daechang Co., Ltd.................................... 656,070 682,391
Daechang Forging Co., Ltd............................ 5,125 126,198
Daeduck Electronics Co............................... 499,842 4,585,808
Daegu Department Store............................... 27,329 130,516
# Daehan Steel Co., Ltd................................ 159,982 839,996
# Dae-Il Corp.......................................... 219,602 439,196
Daekyo Co., Ltd...................................... 167,652 886,459
Daelim B&Co Co., Ltd................................. 17,858 60,484
# * Daelim C&S Co., Ltd.................................. 18,758 117,744
Daelim Industrial Co., Ltd........................... 379,313 29,483,795
Daeryuk Can Co., Ltd................................. 2,323 8,465
Daesang Corp......................................... 340,317 6,267,249
Daesang Holdings Co., Ltd............................ 173,368 988,079
Daewon San Up Co., Ltd............................... 61,406 289,037
* Daewoo Engineering & Construction Co., Ltd........... 2,199,502 8,201,997
* Daewoo Shipbuilding & Marine Engineering Co., Ltd.... 319,791 7,712,364
* Dahaam E-Tec Co., Ltd................................ 3,535 90,999
Daishin Securities Co., Ltd.......................... 529,478 5,659,444
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- -----------
SOUTH KOREA -- (Continued)
# Daou Data Corp..................................... 150,274 $ 1,027,443
# Daou Technology, Inc............................... 421,529 6,550,726
* Dayou Automotive Seat Technology Co., Ltd.......... 117,031 85,990
* Dayou Plus Co., Ltd................................ 51,812 34,285
DB Financial Investment Co., Ltd................... 406,881 1,474,368
DB Insurance Co., Ltd.............................. 237,039 10,276,969
DCM Corp........................................... 2,483 26,002
# Development Advance Solution Co., Ltd.............. 103,030 481,403
DGB Financial Group, Inc........................... 1,741,870 10,515,799
DI Dong Il Corp.................................... 18,078 1,120,519
# Display Tech Co., Ltd.............................. 39,062 124,368
DMS Co., Ltd....................................... 194,581 929,728
Dong A Eltek Co., Ltd.............................. 90,795 595,148
Dong Ah Tire & Rubber Co., Ltd..................... 5,165 55,038
Dong-A Socio Holdings Co., Ltd..................... 5,512 438,521
# Dongbang Transport Logistics Co., Ltd.............. 302,271 418,758
# Dongbu Corp........................................ 34,416 252,766
# Dongil Industries Co., Ltd......................... 18,784 922,958
# Dongkuk Industries Co., Ltd........................ 429,695 898,009
* Dongkuk Steel Mill Co., Ltd........................ 934,023 4,706,990
DONGSUNG Corp...................................... 153,164 703,257
Dongwha Enterprise Co., Ltd........................ 30,406 478,542
Dongwha Pharm Co., Ltd............................. 38,141 256,527
Dongwon Development Co., Ltd....................... 501,265 1,896,239
Dongwon Industries Co., Ltd........................ 11,825 2,172,547
# Dongwoo Farm To Table Co., Ltd..................... 14,971 48,407
# Dongyang E&P, Inc.................................. 37,218 383,536
Doosan Bobcat, Inc................................. 317,473 8,559,893
Doosan Co., Ltd.................................... 83,669 5,584,228
# * Doosan Fuel Cell Co., Ltd.......................... 279,793 1,856,548
* Doosan Heavy Industries & Construction Co., Ltd.... 1,682,930 8,874,357
# * Doosan Infracore Co., Ltd.......................... 2,287,035 11,090,779
* Doosan Solus Co., Ltd.............................. 154,224 2,359,517
DRB Holding Co., Ltd............................... 92,203 432,295
# DTR Automotive Corp................................ 50,162 1,291,844
DY Corp............................................ 211,585 870,067
DY POWER Corp...................................... 12,717 103,012
# e Tec E&C, Ltd..................................... 10,866 644,262
Eagon Holdings Co., Ltd............................ 152,564 348,648
# Eagon Industrial, Ltd.............................. 105,000 690,212
# Easy Bio, Inc...................................... 632,489 2,877,967
* Elentec Co., Ltd................................... 10,799 63,914
# e-LITECOM Co., Ltd................................. 83,424 362,059
E-MART, Inc........................................ 220,938 21,133,530
EM-Tech Co., Ltd................................... 16,538 119,158
Eugene Corp........................................ 701,878 2,801,629
Eugene Investment & Securities Co., Ltd............ 1,063,815 1,875,225
* Eusu Holdings Co., Ltd............................. 66,914 408,662
# EVERDIGM Corp...................................... 36,984 146,028
Farmsco............................................ 20,256 83,395
# * FarmStory Co., Ltd................................. 590,007 521,157
Fursys, Inc........................................ 26,751 714,305
# Gaon Cable Co., Ltd................................ 27,003 421,651
Geumhwa PSC Co., Ltd............................... 490 12,344
# GMB Korea Corp..................................... 105,900 469,111
# Golfzon Newdin Holdings Co., Ltd................... 284,194 928,671
GS Engineering & Construction Corp................. 762,970 20,200,189
# GS Global Corp..................................... 686,274 1,370,681
GS Holdings Corp................................... 742,689 31,651,320
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- ------------
SOUTH KOREA -- (Continued)
GS Home Shopping, Inc.............................. 3,079 $ 393,611
Gwangju Shinsegae Co., Ltd......................... 6,906 1,004,662
Haitai Confectionery & Foods Co., Ltd.............. 6,605 42,509
# * Halla Corp......................................... 263,583 714,538
Halla Holdings Corp................................ 108,428 3,881,940
Hana Financial Group, Inc.......................... 4,142,831 119,945,481
# Hana Micron, Inc................................... 204,560 972,704
Handsome Co., Ltd.................................. 155,508 3,897,085
Hanil Cement Co., Ltd.............................. 24,093 2,028,859
# Hanil Holdings Co., Ltd............................ 20,065 824,268
* Hanjin Heavy Industries & Construction Co., Ltd.... 3,714 13,902
* Hanjin Heavy Industries & Construction Holdings
Co., Ltd......................................... 106,288 244,837
# Hanjin Transportation Co., Ltd..................... 114,780 3,039,245
Hankook Tire & Technology Co., Ltd................. 870,542 23,213,092
# Hankuk Paper Manufacturing Co., Ltd................ 37,207 572,161
Hanshin Construction............................... 85,445 1,124,729
# * Hansol Holdings Co., Ltd........................... 534,942 1,822,186
# Hansol HomeDeco Co., Ltd........................... 903,558 919,465
Hansol Paper Co., Ltd.............................. 253,221 3,186,496
* Hansol Technics Co., Ltd........................... 236,482 1,511,951
* Hanwha Aerospace Co., Ltd.......................... 316,832 10,291,710
Hanwha Chemical Corp............................... 990,855 13,864,307
Hanwha Corp........................................ 492,421 10,038,741
# Hanwha Galleria Timeworld Co., Ltd................. 5,778 94,258
Hanwha General Insurance Co., Ltd.................. 715,462 1,715,964
* Hanwha Investment & Securities Co., Ltd............ 1,384,418 2,378,007
Hanwha Life Insurance Co., Ltd..................... 5,064,596 9,692,167
Hanyang Eng Co., Ltd............................... 153,087 1,522,382
# Hanyang Securities Co., Ltd........................ 94,928 601,176
# Harim Holdings Co., Ltd............................ 240,657 1,859,038
HDC Holdings Co., Ltd.............................. 479,831 4,875,849
HDC Hyundai Engineering Plastics Co., Ltd.......... 126,055 482,705
# * Heung-A Shipping Co., Ltd.......................... 1,069,493 331,956
# * Heungkuk Fire & Marine Insurance Co., Ltd.......... 152,112 407,895
# Hitejinro Holdings Co., Ltd........................ 108,637 1,256,186
HJ Magnolia Yongpyong Hotel & Resort Corp.......... 3,065 16,956
# HS R&A Co., Ltd.................................... 501,663 824,303
# * HSD Engine Co., Ltd................................ 77,848 265,697
# * Humax Co., Ltd..................................... 178,892 766,091
# * Huneed Technologies................................ 48,132 287,171
Huons Global Co., Ltd.............................. 2,701 70,077
Husteel Co., Ltd................................... 16,188 141,606
Huvis Corp......................................... 195,376 972,018
# Hwa Shin Co., Ltd.................................. 252,051 787,610
# Hwacheon Machine Tool Co., Ltd..................... 14,514 479,296
# Hwangkum Steel & Technology Co., Ltd............... 109,361 700,575
HwaSung Industrial Co., Ltd........................ 114,076 1,171,715
Hy-Lok Corp........................................ 56,746 833,608
* Hyosung Advanced Materials Corp.................... 2,061 193,772
Hyosung Chemical Corp.............................. 1,451 206,069
Hyosung Corp....................................... 46,230 3,283,889
Hyosung TNC Co., Ltd............................... 2,944 405,686
# Hyundai BNG Steel Co., Ltd......................... 131,432 1,033,081
# Hyundai Construction Equipment Co., Ltd............ 158,474 3,789,626
# Hyundai Corp Holdings, Inc......................... 66,299 678,082
Hyundai Corp....................................... 67,140 1,016,739
Hyundai Department Store Co., Ltd.................. 169,029 10,731,776
# * Hyundai Electric & Energy System Co., Ltd.......... 20,968 192,826
Hyundai Engineering & Construction Co., Ltd........ 748,661 27,582,954
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- ------------
SOUTH KOREA -- (Continued)
Hyundai Greenfood Co., Ltd......................... 470,907 $ 4,532,902
Hyundai Heavy Industries Holdings Co., Ltd......... 106,901 31,306,390
Hyundai Home Shopping Network Corp................. 71,770 5,212,951
Hyundai Hy Communications & Networks Co., Ltd...... 455,420 1,444,458
Hyundai Livart Furniture Co., Ltd.................. 108,058 1,306,241
Hyundai Marine & Fire Insurance Co., Ltd........... 532,930 11,573,512
Hyundai Mipo Dockyard Co., Ltd..................... 246,851 9,205,468
Hyundai Mobis Co., Ltd............................. 498,393 101,639,052
Hyundai Motor Co................................... 973,740 101,993,772
# Hyundai Motor Securities Co., Ltd.................. 226,462 1,917,375
Hyundai Steel Co................................... 883,215 24,054,271
Hyundai Wia Corp................................... 147,108 6,464,700
# IDIS Holdings Co., Ltd............................. 42,253 471,872
# * Iljin Electric Co., Ltd............................ 225,995 596,629
Iljin Holdings Co., Ltd............................ 96,040 381,262
# Ilshin Spinning Co., Ltd........................... 17,521 1,069,170
# Ilsung Pharmaceuticals Co., Ltd.................... 9,045 673,389
iMarketKorea, Inc.................................. 140,405 1,310,896
Industrial Bank of Korea........................... 3,510,063 35,547,709
INITECH Co., Ltd................................... 31,597 143,935
Interpark Holdings Corp............................ 521,486 1,075,039
INTOPS Co., Ltd.................................... 180,510 2,129,598
# Inzi Controls Co., Ltd............................. 127,016 539,123
# INZI Display Co., Ltd.............................. 244,705 445,929
# * Iones Co., Ltd..................................... 83,897 423,708
IS Dongseo Co., Ltd................................ 80,628 2,213,283
# ISC Co., Ltd....................................... 101,681 916,201
ISU Chemical Co., Ltd.............................. 123,705 1,137,891
# Jahwa Electronics Co., Ltd......................... 123,074 1,130,203
JB Financial Group Co., Ltd........................ 1,744,618 8,005,227
# Kangnam Jevisco Co., Ltd........................... 40,521 767,344
# KAON Media Co., Ltd................................ 41,369 313,353
KB Financial Group, Inc............................ 2,389,892 86,034,693
# KB Financial Group, Inc., ADR...................... 3,004,853 107,333,349
* KB Metal Co., Ltd.................................. 33,213 42,744
# * KBI Dongkook Industrial Co., Ltd................... 554,473 351,579
KC Co., Ltd........................................ 98,742 1,183,316
# KC Green Holdings Co., Ltd......................... 90,159 350,332
KCC Corp........................................... 52,124 10,117,172
# KCC Engineering & Construction Co., Ltd............ 60,568 329,070
KCTC............................................... 3,399 8,187
# * KEC Corp........................................... 1,024,927 877,365
# Keyang Electric Machinery Co., Ltd................. 240,839 576,357
# KG Chemical Corp................................... 108,512 1,005,416
KG Eco Technology Service Co., Ltd................. 390,900 1,020,034
KGMobilians Co., Ltd............................... 142,461 704,311
Kia Motors Corp.................................... 2,283,957 83,472,594
KISCO Corp......................................... 226,367 900,971
# KISCO Holdings Co., Ltd............................ 67,525 771,662
# Kishin Corp........................................ 102,382 319,701
KISWIRE, Ltd....................................... 93,397 1,750,074
# KIWOOM Securities Co., Ltd......................... 139,599 8,279,145
KMH Co., Ltd....................................... 98,465 430,202
* Kodaco Co., Ltd.................................... 291,772 412,849
Kolmar Korea Holdings Co., Ltd..................... 6,570 123,356
Kolon Corp......................................... 55,393 823,823
# * Kolon Global Corp.................................. 41,349 356,213
Kolon Industries, Inc.............................. 241,214 9,765,142
# Komelon Corp....................................... 33,167 230,044
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- -----------
SOUTH KOREA -- (Continued)
# Kook Soon Dang Brewery Co., Ltd....................... 104,742 $ 273,423
# Korea Alcohol Industrial Co., Ltd..................... 160,870 1,145,966
Korea Asset In Trust Co., Ltd......................... 213,033 623,725
# Korea Autoglass Corp.................................. 85,083 1,229,844
# * Korea Circuit Co., Ltd................................ 128,219 1,146,019
Korea Electric Terminal Co., Ltd...................... 39,228 1,553,509
Korea Export Packaging Industrial Co., Ltd............ 4,498 71,589
* Korea Flange Co., Ltd................................. 303,789 611,015
Korea Investment Holdings Co., Ltd.................... 588,410 34,183,373
# * Korea Line Corp....................................... 122,678 2,337,552
# Korea Petrochemical Ind Co., Ltd...................... 44,475 4,540,572
# Korea Petroleum Industries Co......................... 1,552 140,746
Korea Real Estate Investment & Trust Co., Ltd......... 1,033,318 1,961,184
# * Korea Shipbuilding & Offshore Engineering Co., Ltd.... 305,328 31,910,596
Korean Air Lines Co., Ltd............................. 646,595 13,839,446
Korean Reinsurance Co................................. 1,161,069 7,910,597
# Kortek Corp........................................... 140,429 1,491,346
# KPX Chemical Co., Ltd................................. 23,581 1,092,243
KSS LINE, Ltd......................................... 143,029 883,772
KT Skylife Co., Ltd................................... 210,439 1,572,265
# KT Submarine Co., Ltd................................. 22,384 55,804
# * KTB Investment & Securities Co., Ltd.................. 683,672 1,356,200
# KTCS Corp............................................. 361,725 642,212
Ktis Corp............................................. 218,841 416,471
# Kukdo Chemical Co., Ltd............................... 32,561 1,324,532
# Kukdong Oil & Chemicals Co., Ltd...................... 26,930 78,680
Kumho Petrochemical Co., Ltd.......................... 21,657 1,296,696
* Kumho Tire Co., Inc................................... 709,889 2,578,622
# Kumkang Kind Co., Ltd................................. 96,105 322,050
Kwang Dong Pharmaceutical Co., Ltd.................... 10,073 59,347
# Kyeryong Construction Industrial Co., Ltd............. 51,442 959,697
Kyobo Securities Co., Ltd............................. 260,323 2,028,615
# Kyungbang Co., Ltd.................................... 148,629 1,278,663
# LEADCORP, Inc. (The).................................. 243,359 1,175,741
# * Lee Ku Industrial Co., Ltd............................ 102,941 140,535
LF Corp............................................... 301,648 5,089,067
LG Corp............................................... 734,433 43,784,351
# * LG Display Co., Ltd., ADR............................. 4,040,861 23,679,445
# * LG Display Co., Ltd................................... 1,617,796 18,963,861
LG Electronics, Inc................................... 1,586,480 90,919,942
LG Hausys, Ltd........................................ 75,439 3,856,464
LG International Corp................................. 388,953 5,184,927
LG Uplus Corp......................................... 1,518,489 17,542,577
LOT Vacuum Co., Ltd................................... 94,495 687,818
Lotte Chemical Corp................................... 248,224 48,292,946
Lotte Chilsung Beverage Co., Ltd...................... 17,313 2,039,316
Lotte Confectionery Co., Ltd.......................... 54 6,472
# Lotte Corp............................................ 181,491 5,681,248
LOTTE Fine Chemical Co., Ltd.......................... 189,527 7,186,134
Lotte Food Co., Ltd................................... 1,592 589,973
LOTTE Himart Co., Ltd................................. 124,016 3,225,154
# * Lotte Non-Life Insurance Co., Ltd..................... 786,612 1,492,746
Lotte Shopping Co., Ltd............................... 132,706 14,183,901
LS Corp............................................... 220,103 9,164,751
* Lumens Co., Ltd....................................... 440,737 801,803
# * LVMC Holdings......................................... 173,671 665,885
Maeil Holdings Co., Ltd............................... 11,288 109,061
# MegaStudy Co., Ltd.................................... 45,332 494,952
Meritz Financial Group, Inc........................... 252,710 2,700,936
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- ------------
SOUTH KOREA -- (Continued)
Meritz Fire & Marine Insurance Co., Ltd............ 25,770 $ 408,982
# Meritz Securities Co., Ltd......................... 4,323,556 16,714,741
# Mi Chang Oil Industrial Co., Ltd................... 6,722 459,958
Mirae Asset Daewoo Co., Ltd........................ 3,234,272 19,829,102
Mirae Asset Life Insurance Co., Ltd................ 824,037 2,834,864
# MK Electron Co., Ltd............................... 223,969 1,499,330
# * MNTech Co., Ltd.................................... 200,438 535,020
# Mobase Co., Ltd.................................... 159,085 617,322
Moorim P&P Co., Ltd................................ 367,245 1,404,476
# Moorim Paper Co., Ltd.............................. 304,607 678,869
# Motonic Corp....................................... 100,277 722,571
# Muhak Co., Ltd..................................... 80,921 627,368
Namyang Dairy Products Co., Ltd.................... 4,565 1,847,781
# * NEOWIZ HOLDINGS Corp............................... 69,016 881,137
Nexen Corp......................................... 254,005 1,295,900
Nexen Tire Corp.................................... 431,360 3,466,619
NH Investment & Securities Co., Ltd................ 2,219,404 23,014,427
* NHN Corp........................................... 75,471 3,739,366
# Nong Shim Holdings Co., Ltd........................ 23,662 1,756,241
NongShim Co., Ltd.................................. 27,913 5,810,432
# NOROO Paint & Coatings Co., Ltd.................... 112,734 725,594
# NPC................................................ 116,690 399,515
NS Shopping Co., Ltd............................... 76,038 635,917
# OCI Co., Ltd....................................... 163,710 8,821,406
# Opto Device Technology Co., Ltd.................... 58,130 251,443
Orange Life Insurance, Ltd......................... 204,831 4,924,665
Orion Holdings Corp................................ 231,238 3,139,440
# Paik Kwang Industrial Co., Ltd..................... 245,212 525,049
# * Pan Ocean Co., Ltd................................. 2,596,515 9,787,133
Pang Rim Co., Ltd.................................. 29,400 50,809
Pan-Pacific Co., Ltd............................... 106,975 254,551
# Poongsan Corp...................................... 283,517 4,889,698
# Poongsan Holdings Corp............................. 58,093 1,665,812
POSCO, Sponsored ADR............................... 1,491,065 66,963,729
POSCO.............................................. 780,313 141,584,307
# POSCO Coated & Color Steel Co., Ltd................ 32,979 508,374
Posco International Corp........................... 706,315 11,038,848
# Protec Co., Ltd.................................... 36,184 555,240
# PS TEC Co., Ltd.................................... 29,909 96,243
# Pyeong Hwa Automotive Co., Ltd..................... 124,616 1,067,985
S&T Dynamics Co., Ltd.............................. 296,345 1,516,889
# S&T Holdings Co., Ltd.............................. 95,898 1,298,406
S&T Motiv Co., Ltd................................. 79,753 3,114,456
Sajo Industries Co., Ltd........................... 29,168 976,703
# Sam Young Electronics Co., Ltd..................... 149,642 1,122,709
# Sambo Corrugated Board Co., Ltd.................... 34,495 243,185
# Sambo Motors Co., Ltd.............................. 155,069 793,279
# Samho Development Co., Ltd......................... 211,521 806,961
Samho International Co., Ltd....................... 6,643 116,850
SAMHWA Paints Industrial Co., Ltd.................. 102,236 450,747
# Samick Musical Instruments Co., Ltd................ 741,885 1,115,492
# Samji Electronics Co., Ltd......................... 13,939 123,463
# Samjin LND Co., Ltd................................ 92,054 164,345
# Samkee Automotive Co., Ltd......................... 104,071 225,922
Samkwang Glass Co., Ltd............................ 2,678 67,540
Sammok S-Form Co., Ltd............................. 68,208 545,324
* SAMPYO Cement Co., Ltd............................. 389,126 1,104,598
Samsung C&T Corp................................... 484,961 41,527,701
# Samsung Card Co., Ltd.............................. 354,399 10,222,889
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
--------- ------------
SOUTH KOREA -- (Continued)
Samsung Fire & Marine Insurance Co., Ltd........... 89,937 $ 16,730,408
* Samsung Heavy Industries Co., Ltd.................. 2,839,246 17,629,433
Samsung Life Insurance Co., Ltd.................... 888,531 53,958,185
Samsung Securities Co., Ltd........................ 752,104 21,667,766
# SAMT Co., Ltd...................................... 655,192 1,229,225
# Samyang Corp....................................... 46,188 1,917,274
Samyang Holdings Corp.............................. 54,683 2,976,452
# Samyang Tongsang Co., Ltd.......................... 21,663 1,109,634
# SAVEZONE I&C Corp.................................. 88,830 257,514
* SBS Media Holdings Co., Ltd........................ 460,406 777,079
Seah Besteel Corp.................................. 195,837 2,694,604
SeAH Holdings Corp................................. 11,475 799,368
SeAH Steel Corp.................................... 20,386 1,090,400
# SeAH Steel Holdings Corp........................... 22,152 899,325
Sebang Co., Ltd.................................... 153,120 1,481,993
Sebang Global Battery Co., Ltd..................... 108,589 3,552,181
Sebo Manufacturing Engineer Corp................... 39,565 285,904
# Sejong Industrial Co., Ltd......................... 170,152 625,051
# * Sejoong Co., Ltd................................... 74,223 194,338
# * Sekonix Co., Ltd................................... 133,734 796,228
# S-Energy Co., Ltd.................................. 40,484 131,649
# Seohan Co., Ltd.................................... 711,491 778,105
# Seohee Construction Co., Ltd....................... 2,314,254 2,264,625
SEOWONINTECH Co., Ltd.............................. 16,998 89,077
# Seoyon Co., Ltd.................................... 131,812 369,239
Seoyon E-Hwa Co., Ltd.............................. 106,036 513,037
Sewon Precision Industry Co., Ltd.................. 1,457 10,131
# * SG&G Corp.......................................... 278,159 464,097
# Shindaeyang Paper Co., Ltd......................... 24,721 1,329,522
Shinhan Financial Group Co., Ltd................... 3,372,386 122,873,150
# Shinhan Financial Group Co., Ltd., ADR............. 1,421,545 51,303,558
# Shinsegae Engineering & Construction Co., Ltd...... 17,280 361,758
# Shinsegae Food Co., Ltd............................ 1,939 118,992
Shinsegae Information & Communication Co., Ltd..... 3,229 299,776
Shinsegae, Inc..................................... 89,509 18,140,057
# Shinyoung Securities Co., Ltd...................... 47,277 2,245,000
# * Signetics Corp..................................... 767,275 714,123
# Silla Co., Ltd..................................... 65,610 684,261
SIMMTECH Co., Ltd.................................. 163,474 1,331,587
Simmtech Holding Co., Ltd.......................... 3,959 5,391
# SIMPAC, Inc........................................ 161,002 452,338
Sindoh Co., Ltd.................................... 65,637 2,159,715
SK Chemicals Co., Ltd.............................. 11,524 466,869
SK Discovery Co., Ltd.............................. 170,208 3,279,698
# SK Gas, Ltd........................................ 56,981 4,109,811
# SK Holdings Co., Ltd............................... 42,795 9,494,255
SK Innovation Co., Ltd............................. 588,817 80,571,077
SK Networks Co., Ltd............................... 1,964,986 9,801,195
# SK Securities Co., Ltd............................. 2,864,051 1,474,886
# SKC Co., Ltd....................................... 288,658 11,009,793
SL Corp............................................ 155,126 2,796,556
# * Ssangyong Motor Co................................. 435,582 855,236
# Sun Kwang Co., Ltd................................. 34,217 460,790
Sunchang Corp...................................... 54,825 204,641
# Sung Kwang Bend Co., Ltd........................... 156,885 1,332,831
* Sungchang Enterprise Holdings, Ltd................. 312,130 460,489
# Sungdo Engineering & Construction Co., Ltd......... 144,501 574,128
# Sungshin Cement Co., Ltd........................... 301,673 2,066,732
Sungwoo Hitech Co., Ltd............................ 836,496 2,486,835
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- --------------
SOUTH KOREA -- (Continued)
# Sunjin Co., Ltd.................................... 36,614 $ 302,437
# Tae Kyung Industrial Co., Ltd...................... 152,886 724,935
Taekwang Industrial Co., Ltd....................... 5,366 5,059,476
* Taewoong Co., Ltd.................................. 114,080 1,061,495
# Taeyoung Engineering & Construction Co., Ltd....... 596,159 6,645,520
# * TBH Global Co., Ltd................................ 197,666 482,235
# * Thinkware Systems Corp............................. 79,394 521,146
# * TK Chemical Corp................................... 667,266 1,573,658
# TK Corp............................................ 120,940 1,042,117
Tongyang Life Insurance Co., Ltd................... 592,249 1,865,092
* Tongyang pile, Inc................................. 7,975 24,634
Tongyang, Inc...................................... 337,746 416,186
# Top Engineering Co., Ltd........................... 180,980 1,377,843
# Tovis Co., Ltd..................................... 164,140 1,042,099
# TS Corp............................................ 59,060 937,347
# * T'way Holdings, Inc................................ 79,534 117,017
# UIL Co., Ltd....................................... 82,914 364,786
Uju Electronics Co., Ltd........................... 61,425 422,601
Unid Co., Ltd...................................... 77,797 3,115,733
Viatron Technologies, Inc.......................... 2,049 16,577
# Visang Education, Inc.............................. 52,293 369,192
# * WillBes & Co. (The)................................ 622,892 740,203
* Wonik Holdings Co., Ltd............................ 498,142 1,918,066
* Woongjin Co., Ltd.................................. 243,455 325,953
# * Woongjin Energy Co., Ltd........................... 118,888 70,048
* Woongjin Thinkbig Co., Ltd......................... 295,597 675,410
# * Woori Financial Group, Inc., Sponsored ADR......... 20,284 606,897
Woori Financial Group, Inc......................... 5,838,122 58,858,908
Wooshin Systems Co., Ltd........................... 7,622 29,061
# * WooSung Feed Co., Ltd.............................. 236,626 631,946
# Y G-1 Co., Ltd..................................... 256,251 1,659,551
# * YeaRimDang Publishing Co., Ltd..................... 202,659 677,766
# Yoosung Enterprise Co., Ltd........................ 193,127 453,135
# YooSung T&S Co., Ltd............................... 177,821 471,152
Young Poong Corp................................... 4,091 2,142,640
# Young Poong Precision Corp......................... 126,927 913,106
Youngone Corp...................................... 89,214 2,661,292
Youngone Holdings Co., Ltd......................... 24,204 1,092,115
* Yuanta Securities Korea Co., Ltd................... 1,130,642 2,489,702
YuHwa Securities Co., Ltd.......................... 27,487 291,524
# Zeus Co., Ltd...................................... 76,892 785,223
--------------
TOTAL SOUTH KOREA....................................... 2,685,926,559
--------------
SPAIN -- (0.1%)
# Banco Santander SA, Sponsored ADR.................. 1,443,120 5,714,755
Banco Santander SA................................. 1,846,715 7,310,444
--------------
TOTAL SPAIN............................................. 13,025,199
--------------
TAIWAN -- (17.4%)
Ability Enterprise Co., Ltd........................ 2,891,330 1,600,632
AcBel Polytech, Inc................................ 660,000 480,613
Acer, Inc.......................................... 22,976,109 13,406,399
# ACES Electronic Co., Ltd........................... 1,266,000 1,099,121
* Acon Holding, Inc.................................. 2,183,000 584,585
Advanced International Multitech Co., Ltd.......... 444,000 591,452
# * Advanced Optoelectronic Technology, Inc............ 551,000 280,799
Advancetek Enterprise Co., Ltd..................... 114,639 64,554
* AGV Products Corp.................................. 4,811,211 1,093,557
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
TAIWAN -- (Continued)
* Airmate Cayman International Co., Ltd.............. 28,000 $ 28,612
Alcor Micro Corp................................... 472,000 225,247
Allis Electric Co., Ltd............................ 1,490,410 823,690
Alpha Networks, Inc................................ 3,166,313 2,336,614
# Altek Corp......................................... 3,030,365 2,341,267
# Ambassador Hotel (The)............................. 1,615,000 1,270,148
# AMPOC Far-East Co., Ltd............................ 1,248,000 1,162,312
* AmTRAN Technology Co., Ltd......................... 9,511,956 3,427,894
Apacer Technology, Inc............................. 578,210 619,806
APCB, Inc.......................................... 1,788,000 1,551,270
# Apex International Co., Ltd........................ 2,336,263 3,327,632
Apex Medical Corp.................................. 28,000 21,793
* Apex Science & Engineering......................... 211,536 84,708
Ardentec Corp...................................... 3,000,058 2,793,488
# Asia Cement Corp................................... 27,233,589 38,443,616
Asia Electronic Material Co., Ltd.................. 160,000 92,867
* Asia Pacific Telecom Co., Ltd...................... 8,024,000 1,578,430
* Asia Plastic Recycling Holding, Ltd................ 2,450,942 476,015
Asia Polymer Corp.................................. 4,158,830 2,104,907
Asia Tech Image, Inc............................... 86,000 149,588
# Asia Vital Components Co., Ltd..................... 3,574,984 4,885,090
ASROCK, Inc........................................ 25,000 61,662
Asustek Computer, Inc.............................. 5,154,000 34,964,371
# AU Optronics Corp., Sponsored ADR.................. 7,746,364 19,365,910
# AU Optronics Corp.................................. 51,158,812 13,043,463
Audix Corp......................................... 926,332 1,201,213
Avermedia Technologies............................. 1,899,000 670,692
AVY Precision Technology, Inc...................... 1,148,587 1,264,900
Bank of Kaohsiung Co., Ltd......................... 5,580,897 1,756,596
# BES Engineering Corp............................... 16,413,443 4,383,914
# Bin Chuan Enterprise Co., Ltd...................... 226,000 170,071
# * Biostar Microtech International Corp............... 1,830,055 678,766
Bright Led Electronics Corp........................ 933,000 460,154
* Cameo Communications, Inc.......................... 2,447,197 648,841
Capital Securities Corp............................ 24,253,158 7,323,563
Career Technology MFG. Co., Ltd.................... 1,474,947 1,829,506
* Carnival Industrial Corp........................... 2,175,284 696,832
# Casetek Holdings, Ltd.............................. 2,209,933 3,989,640
Catcher Technology Co., Ltd........................ 7,152,000 60,621,139
Cathay Chemical Works.............................. 623,000 366,462
Cathay Financial Holding Co., Ltd.................. 80,368,000 106,379,785
# Cathay Real Estate Development Co., Ltd............ 7,497,694 5,392,635
CCP Contact Probes Co., Ltd........................ 9,000 11,182
# Celxpert Energy Corp............................... 419,000 412,881
Central Reinsurance Co., Ltd....................... 1,853,366 1,118,117
Chain Chon Industrial Co., Ltd..................... 681,000 200,903
ChainQui Construction Development Co., Ltd......... 981,449 779,781
* Champion Building Materials Co., Ltd............... 3,622,828 771,584
Chang Hwa Commercial Bank, Ltd..................... 62,636,443 48,874,354
# Channel Well Technology Co., Ltd................... 457,000 377,567
# CHC Healthcare Group............................... 801,000 1,088,690
# Chen Full International Co., Ltd................... 266,000 325,483
Cheng Loong Corp................................... 11,030,659 6,575,720
* Cheng Mei Materials Technology Corp................ 2,484,000 641,527
# Cheng Uei Precision Industry Co., Ltd.............. 5,212,635 7,808,997
Chenming Mold Industry Corp........................ 522,000 234,894
# Chia Chang Co., Ltd................................ 1,279,000 1,613,944
# Chia Hsin Cement Corp.............................. 5,183,191 3,235,699
# Chien Kuo Construction Co., Ltd.................... 2,707,247 901,377
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
TAIWAN -- (Continued)
# Chilisin Electronics Corp............................. 1,772,000 $ 4,995,026
China Airlines, Ltd................................... 37,500,353 11,168,019
China Bills Finance Corp.............................. 3,577,000 1,751,311
# China Chemical & Pharmaceutical Co., Ltd.............. 2,983,264 1,874,733
China Development Financial Holding Corp.............. 101,955,734 31,796,313
China Electric Manufacturing Corp..................... 3,958,200 1,393,566
# China General Plastics Corp........................... 1,299,398 957,751
# China Glaze Co., Ltd.................................. 1,388,799 574,862
* China Life Insurance Co., Ltd......................... 20,084,245 16,552,786
China Man-Made Fiber Corp............................. 15,504,899 4,137,729
China Metal Products.................................. 4,190,969 4,331,057
China Motor Corp...................................... 2,297,099 3,123,127
# China Petrochemical Development Corp.................. 36,664,466 12,214,593
China Steel Corp...................................... 142,004,320 109,341,157
# China Steel Structure Co., Ltd........................ 1,014,219 816,182
China Wire & Cable Co., Ltd........................... 1,254,600 1,095,887
Chinese Maritime Transport, Ltd....................... 1,149,270 1,175,702
Chin-Poon Industrial Co., Ltd......................... 3,816,815 3,867,422
Chipbond Technology Corp.............................. 2,069,000 4,099,260
ChipMOS Techinologies, Inc............................ 4,450,085 4,403,642
ChipMOS Technologies, Inc., ADR....................... 38,574 757,589
Chong Hong Construction Co., Ltd...................... 10,000 26,916
Chun YU Works & Co., Ltd.............................. 2,521,000 1,639,392
Chun Yuan Steel Industry Co., Ltd..................... 5,233,287 1,762,119
Chung Hsin Electric & Machinery Manufacturing Corp.... 4,744,250 3,171,781
# Chung Hung Steel Corp................................. 10,260,000 3,057,019
# Chung Hwa Pulp Corp................................... 5,428,353 1,648,031
Chung Shing Textile Co., Ltd.......................... 600 0
Chyang Sheng Dyeing & Finishing Co., Ltd.............. 248,000 106,319
Clevo Co.............................................. 1,386,000 1,676,049
# * CMC Magnetics Corp.................................... 14,422,638 5,389,853
* CoAsia Electronics Corp............................... 374,797 132,250
Coland Holdings, Ltd.................................. 116,000 118,737
Collins Co., Ltd...................................... 1,318,224 492,013
Compal Electronics, Inc............................... 50,683,332 30,256,303
Compeq Manufacturing Co., Ltd......................... 10,178,000 14,238,410
Compucase Enterprise.................................. 14,000 12,165
Concord Securities Co., Ltd........................... 2,181,993 526,067
# Continental Holdings Corp............................. 4,807,540 2,368,104
Contrel Technology Co., Ltd........................... 1,203,000 641,361
# Coretronic Corp....................................... 5,841,800 7,546,485
Coxon Precise Industrial Co., Ltd..................... 1,144,000 669,982
Creative Sensor, Inc.................................. 529,000 365,764
CTBC Financial Holding Co., Ltd....................... 185,682,073 129,088,547
CviLux Corp........................................... 116,000 98,285
CX Technology Co., Ltd................................ 42,162 27,587
CyberTAN Technology, Inc.............................. 898,000 525,499
# DA CIN Construction Co., Ltd.......................... 2,584,579 1,727,841
* Danen Technology Corp................................. 816,000 47,440
Darfon Electronics Corp............................... 276,000 369,778
Darwin Precisions Corp................................ 4,707,635 2,565,261
Delpha Construction Co., Ltd.......................... 835,015 441,295
Depo Auto Parts Ind Co., Ltd.......................... 501,000 1,017,251
Der Pao Construction Co., Ltd......................... 2,158,544 0
# Dimerco Express Corp.................................. 188,000 151,763
D-Link Corp........................................... 6,836,552 2,678,870
* Dynamic Electronics Co., Ltd.......................... 3,910,324 1,982,048
Dynapack International Technology Corp................ 1,210,000 2,396,926
E Ink Holdings, Inc................................... 229,000 224,694
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ------------
TAIWAN -- (Continued)
E.Sun Financial Holding Co., Ltd................... 97,334,130 $ 87,947,226
# * Edimax Technology Co., Ltd......................... 2,226,902 766,952
# Edison Opto Corp................................... 1,087,000 464,811
Edom Technology Co., Ltd........................... 983,046 645,161
Elite Semiconductor Memory Technology, Inc......... 1,277,000 1,337,162
* Elitegroup Computer Systems Co., Ltd............... 3,677,395 1,636,139
* ENG Electric Co., Ltd.............................. 495,997 48,128
# EnTie Commercial Bank Co., Ltd..................... 2,494,232 1,268,097
# * Epileds Technologies, Inc.......................... 284,000 129,148
# Epistar Corp....................................... 12,883,869 12,523,745
# Eson Precision Ind. Co., Ltd....................... 930,000 1,148,172
Eternal Materials Co., Ltd......................... 1,800,513 1,530,619
* E-Ton Solar Tech Co., Ltd.......................... 116,543 8,216
Eva Airways Corp................................... 28,372,355 13,294,345
# * Everest Textile Co., Ltd........................... 3,998,125 1,338,953
Evergreen International Storage & Transport Corp... 7,248,000 3,338,695
* Evergreen Marine Corp. Taiwan, Ltd................. 26,258,707 10,752,307
Everlight Chemical Industrial Corp................. 680,950 357,727
Everlight Electronics Co., Ltd..................... 3,503,000 3,213,632
Excellence Opto, Inc............................... 96,000 74,336
Excelsior Medical Co., Ltd......................... 1,067,726 1,875,737
EZconn Corp........................................ 194,250 248,267
Far Eastern Department Stores, Ltd................. 11,632,445 9,983,962
Far Eastern International Bank..................... 30,267,177 11,874,223
Far Eastern New Century Corp....................... 36,690,528 35,683,236
# Farglory F T Z Investment Holding Co., Ltd......... 1,431,648 996,786
Farglory Land Development Co., Ltd................. 3,905,264 4,963,003
# * Federal Corp....................................... 4,796,160 2,115,229
* First Copper Technology Co., Ltd................... 1,607,750 498,206
First Financial Holding Co., Ltd................... 89,310,283 65,486,570
First Hotel........................................ 1,526,857 751,769
First Insurance Co., Ltd. (The).................... 3,095,064 1,437,528
# First Steamship Co., Ltd........................... 6,345,360 2,381,222
FIT Holding Co., Ltd............................... 185,150 128,429
# FLEXium Interconnect, Inc.......................... 200,000 718,621
FocalTech Systems Co., Ltd......................... 839,000 653,284
Forest Water Environment Engineering Co., Ltd...... 44,000 78,202
Formosa Advanced Technologies Co., Ltd............. 2,173,000 2,414,263
Formosa Chemicals & Fibre Corp..................... 774,000 2,249,767
# Formosa Laboratories, Inc.......................... 912,154 1,138,722
Formosa Taffeta Co., Ltd........................... 6,970,511 7,929,049
Formosan Rubber Group, Inc......................... 3,026,957 1,851,479
Formosan Union Chemical............................ 3,374,572 1,446,271
Founding Construction & Development Co., Ltd....... 2,561,418 1,362,543
Foxconn Technology Co., Ltd........................ 8,331,142 17,816,033
# Froch Enterprise Co., Ltd.......................... 2,130,734 896,206
FSP Technology, Inc................................ 1,464,292 1,009,309
Fubon Financial Holding Co., Ltd................... 79,932,471 116,944,013
Fullerton Technology Co., Ltd...................... 1,171,200 756,468
# Fulltech Fiber Glass Corp.......................... 5,608,216 2,547,903
Fwusow Industry Co., Ltd........................... 1,763,043 1,043,549
G Shank Enterprise Co., Ltd........................ 1,594,902 1,227,673
# * Gemtek Technology Corp............................. 4,251,962 3,319,141
General Interface Solution Holding, Ltd............ 769,000 2,885,521
Getac Technology Corp.............................. 727,065 1,191,945
* Giantplus Technology Co., Ltd...................... 3,174,100 1,467,034
Gigabyte Technology Co., Ltd....................... 4,662,287 7,774,945
# * Gigastorage Corp................................... 4,237,600 1,038,974
# Global Brands Manufacture, Ltd..................... 3,807,951 2,145,758
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
TAIWAN -- (Continued)
Globe Union Industrial Corp........................ 3,139,625 $ 1,726,020
Gloria Material Technology Corp.................... 5,479,116 3,418,397
* Gold Circuit Electronics, Ltd...................... 5,926,965 2,979,436
Goldsun Building Materials Co., Ltd................ 13,737,261 6,209,854
Good Will Instrument Co., Ltd...................... 191,746 169,210
# Grand Fortune Securities Co., Ltd.................. 730,000 213,097
# Grand Ocean Retail Group, Ltd...................... 1,064,000 1,036,683
# * Grand Pacific Petrochemical........................ 12,924,000 7,804,662
Great China Metal Industry......................... 967,000 753,456
Great Wall Enterprise Co., Ltd..................... 5,278,169 6,531,817
* Green Energy Technology, Inc....................... 1,424,880 11,234
# GTM Holdings Corp.................................. 1,346,900 1,148,257
# Hannstar Board Corp................................ 4,135,547 6,058,918
# HannStar Display Corp.............................. 33,142,435 7,042,283
* HannsTouch Solution, Inc........................... 3,958,005 1,795,222
# Hanpin Electron Co., Ltd........................... 286,000 315,509
# Harvatek Corp...................................... 1,506,553 638,902
Hey Song Corp...................................... 2,920,500 3,046,041
Highwealth Construction Corp....................... 1,126,000 1,728,280
Hiroca Holdings, Ltd............................... 808,000 1,690,666
Hitron Technology, Inc............................. 1,974,098 1,196,419
Ho Tung Chemical Corp.............................. 10,823,475 2,518,049
Hocheng Corp....................................... 2,589,300 671,396
Hold-Key Electric Wire & Cable Co., Ltd............ 76,124 21,736
Hon Hai Precision Industry Co., Ltd................ 89,277,192 235,790,228
Hong Pu Real Estate Development Co., Ltd........... 2,304,655 1,683,645
Hong TAI Electric Industrial....................... 2,253,000 776,444
Hong YI Fiber Industry Co.......................... 870,000 517,032
* Horizon Securities Co., Ltd........................ 3,752,000 781,094
# Hsin Kuang Steel Co., Ltd.......................... 1,071,124 1,002,771
# Hsing TA Cement Co................................. 1,316,614 793,144
# HTC Corp........................................... 5,423,000 6,551,217
* HUA ENG Wire & Cable Co., Ltd...................... 3,731,035 1,217,596
Hua Nan Financial Holdings Co., Ltd................ 59,703,896 42,904,696
Huaku Development Co., Ltd......................... 1,482,000 4,068,251
# Huang Hsiang Construction Corp..................... 1,135,000 1,359,497
# Hung Ching Development & Construction Co., Ltd..... 1,370,468 1,064,892
* Hung Sheng Construction, Ltd....................... 5,826,670 4,008,982
Huxen Corp......................................... 268,281 432,125
* Hwa Fong Rubber Industrial Co., Ltd................ 16,000 6,275
Hwacom Systems, Inc................................ 333,000 171,829
IBF Financial Holdings Co., Ltd.................... 31,816,350 11,387,178
Ichia Technologies, Inc............................ 2,385,260 1,381,069
* I-Chiun Precision Industry Co., Ltd................ 1,930,000 524,761
IEI Integration Corp............................... 30,200 56,088
Infortrend Technology, Inc......................... 1,050,000 517,493
# Innolux Corp....................................... 116,801,544 25,890,985
Inpaq Technology Co., Ltd.......................... 295,000 353,124
# * Integrated Service Technology, Inc................. 115,570 163,375
# International CSRC Investment Holdings Co.......... 10,298,166 11,081,619
Inventec Corp...................................... 32,205,277 23,335,178
ITE Technology, Inc................................ 1,802,479 2,621,788
Jarllytec Co., Ltd................................. 709,000 1,639,092
Jean Co., Ltd...................................... 343,000 126,472
Jess-Link Products Co., Ltd........................ 1,084,500 1,064,266
Jih Sun Financial Holdings Co., Ltd................ 11,559,456 3,631,950
Jinli Group Holdings, Ltd.......................... 1,723,532 735,798
# K Laser Technology, Inc............................ 1,457,601 1,077,912
Kaulin Manufacturing Co., Ltd...................... 1,220,656 613,982
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
TAIWAN -- (Continued)
KEE TAI Properties Co., Ltd........................ 1,894,000 $ 762,221
# Kenmec Mechanical Engineering Co., Ltd............. 1,779,000 903,305
Kindom Development Co., Ltd........................ 4,540,000 4,736,881
King Chou Marine Technology Co., Ltd............... 243,100 274,263
King Yuan Electronics Co., Ltd..................... 13,907,805 17,422,039
King's Town Bank Co., Ltd.......................... 11,442,012 11,904,028
* King's Town Construction Co., Ltd.................. 426,380 408,843
* Kinko Optical Co., Ltd............................. 962,000 925,771
Kinpo Electronics.................................. 18,495,375 6,825,570
# Kinsus Interconnect Technology Corp................ 2,969,000 4,690,008
KNH Enterprise Co., Ltd............................ 1,230,078 424,540
KS Terminals, Inc.................................. 12,000 20,139
# * Kung Sing Engineering Corp......................... 2,961,000 794,073
Kuo Toong International Co., Ltd................... 1,303,808 813,378
Kuoyang Construction Co., Ltd...................... 4,801,811 2,340,692
Kwong Fong Industries Corp......................... 772,649 350,123
Kwong Lung Enterprise Co., Ltd..................... 153,000 224,553
# KYE Systems Corp................................... 2,191,909 577,581
L&K Engineering Co., Ltd........................... 1,964,000 1,631,610
* LAN FA Textile..................................... 2,335,713 526,724
Leader Electronics, Inc............................ 1,473,056 352,807
# Lealea Enterprise Co., Ltd......................... 8,759,941 2,701,817
LEE CHI Enterprises Co., Ltd....................... 2,014,900 611,464
* Leofoo Development Co., Ltd........................ 2,657,908 777,102
* LES Enphants Co., Ltd.............................. 778,000 182,731
# Lextar Electronics Corp............................ 3,599,000 2,105,259
Li Peng Enterprise Co., Ltd........................ 6,343,381 1,456,705
Lida Holdings, Ltd................................. 316,680 417,658
Lien Hwa Industrial Holdings Corp.................. 6,356,768 7,243,527
Lingsen Precision Industries, Ltd.................. 4,623,480 1,395,465
Lite-On Semiconductor Corp......................... 2,650,729 3,638,512
Lite-On Technology Corp............................ 25,616,738 42,211,838
Long Bon International Co., Ltd.................... 1,616,100 859,557
Long Da Construction & Development Corp............ 109,000 55,446
# Longchen Paper & Packaging Co., Ltd................ 7,892,448 3,505,013
* Lucky Cement Corp.................................. 2,006,000 528,296
# Macronix International............................. 20,399,605 20,708,555
Materials Analysis Technology, Inc................. 57,000 137,763
Mayer Steel Pipe Corp.............................. 1,879,456 907,146
Maywufa Co., Ltd................................... 252,070 109,731
Mega Financial Holding Co., Ltd.................... 81,559,796 80,048,977
Mercuries & Associates Holding, Ltd................ 3,571,514 2,275,855
* Mercuries Life Insurance Co., Ltd.................. 11,965,999 4,224,815
# * MIN AIK Technology Co., Ltd........................ 1,410,600 624,545
Mitac Holdings Corp................................ 9,676,859 8,504,332
* Motech Industries, Inc............................. 3,042,658 950,084
MPI Corp........................................... 378,000 767,295
Nan Ren Lake Leisure Amusement Co., Ltd............ 1,652,000 708,591
Nan Ya Printed Circuit Board Corp.................. 2,477,000 4,485,664
Nanya Technology Corp.............................. 13,429,000 30,716,211
* New Asia Construction & Development Corp........... 1,737,304 348,761
New Era Electronics Co., Ltd....................... 168,000 109,061
Nien Hsing Textile Co., Ltd........................ 1,433,061 1,058,539
# Nishoku Technology, Inc............................ 264,000 440,919
* O-Bank Co., Ltd.................................... 1,387,000 350,090
* Ocean Plastics Co., Ltd............................ 134,000 167,943
OptoTech Corp...................................... 2,609,828 2,209,394
* Orient Semiconductor Electronics, Ltd.............. 1,705,670 917,719
Oriental Union Chemical Corp....................... 140,000 101,114
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
TAIWAN -- (Continued)
# Pacific Construction Co............................ 2,487,452 $ 952,415
Pan Jit International, Inc......................... 1,241,100 1,168,588
Pan-International Industrial Corp.................. 5,891,444 4,538,663
# * Paragon Technologies Co., Ltd...................... 713,191 526,874
# Pegatron Corp...................................... 27,849,998 54,078,355
* Phihong Technology Co., Ltd........................ 3,274,882 939,504
Plastron Precision Co., Ltd........................ 38,156 23,104
# Plotech Co., Ltd................................... 673,000 476,643
Pou Chen Corp...................................... 24,031,550 32,128,599
President Securities Corp.......................... 11,420,324 4,950,335
Prince Housing & Development Corp.................. 7,976,018 2,947,972
Prodisc Technology, Inc............................ 6,185,157 0
Promate Electronic Co., Ltd........................ 157,000 175,006
* Promise Technology, Inc............................ 813,000 184,342
Qisda Corp......................................... 20,262,171 15,194,253
Qualipoly Chemical Corp............................ 290,593 259,640
# Quintain Steel Co., Ltd............................ 2,109,473 445,611
Radiant Opto-Electronics Corp...................... 939,000 3,728,090
Radium Life Tech Co., Ltd.......................... 9,287,226 3,705,432
Rich Development Co., Ltd.......................... 6,843,054 2,448,571
* Ritek Corp......................................... 14,440,095 3,840,118
# * Rotam Global Agrosciences, Ltd..................... 371,693 205,664
Ruentex Development Co., Ltd....................... 4,515,320 6,886,915
Ruentex Industries, Ltd............................ 2,556,600 6,138,513
Sampo Corp......................................... 3,351,340 2,181,256
San Fang Chemical Industry Co., Ltd................ 23,000 18,174
# San Far Property, Ltd.............................. 1,818,876 1,395,570
Sanyang Motor Co., Ltd............................. 2,687,624 1,927,819
# Sesoda Corp........................................ 1,787,098 1,486,831
Shan-Loong Transportation Co., Ltd................. 563,000 546,630
Sharehope Medicine Co., Ltd........................ 112,770 107,565
Sheng Yu Steel Co., Ltd............................ 1,307,000 860,528
ShenMao Technology, Inc............................ 905,000 675,242
# Shih Her Technologies, Inc......................... 411,000 546,051
* Shih Wei Navigation Co., Ltd....................... 2,342,577 662,563
# Shihlin Electric & Engineering Corp................ 4,326,000 6,426,393
# Shin Kong Financial Holding Co., Ltd............... 80,011,998 25,276,390
Shin Zu Shing Co., Ltd............................. 1,704,000 6,757,705
* Shining Building Business Co., Ltd................. 1,381,368 539,387
# Shinkong Insurance Co., Ltd........................ 2,675,412 3,356,363
Shinkong Synthetic Fibers Corp..................... 16,945,754 6,214,294
* Shuttle, Inc....................................... 3,906,015 1,510,163
Sigurd Microelectronics Corp....................... 5,072,047 6,181,880
# * Silicon Integrated Systems Corp.................... 4,916,808 1,311,483
Silitech Technology Corp........................... 237,878 185,129
Sincere Navigation Corp............................ 3,828,242 2,089,663
Sinher Technology, Inc............................. 273,000 376,923
Sinon Corp......................................... 5,544,877 3,433,415
SinoPac Financial Holdings Co., Ltd................ 86,180,595 35,368,886
Sinphar Pharmaceutical Co., Ltd.................... 140,000 89,157
Sirtec International Co., Ltd...................... 672,200 674,139
Siward Crystal Technology Co., Ltd................. 2,134,875 1,399,877
* Solar Applied Materials Technology Co.............. 1,734,919 1,306,173
Solomon Technology Corp............................ 539,000 361,883
Solteam, Inc....................................... 39,390 37,286
Southeast Cement Co., Ltd.......................... 2,571,700 1,445,502
# Spirox Corp........................................ 475,563 407,486
* Sunko INK Co., Ltd................................. 76,000 21,585
Sunplus Technology Co., Ltd........................ 5,914,620 2,687,449
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- -----------
TAIWAN -- (Continued)
# Sunrex Technology Corp............................. 1,563,108 $ 1,902,385
# Sunspring Metal Corp............................... 680,000 638,339
Supreme Electronics Co., Ltd....................... 4,447,441 4,236,624
Sweeten Real Estate Development Co., Ltd........... 1,430,217 1,070,732
Synnex Technology International Corp............... 7,477,550 8,918,732
Systex Corp........................................ 299,801 728,989
T3EX Global Holdings Corp.......................... 328,499 251,981
# Ta Ya Electric Wire & Cable........................ 6,966,262 2,436,115
Tah Hsin Industrial Corp........................... 1,252,900 1,469,187
TAI Roun Products Co., Ltd......................... 63,000 20,698
# TA-I Technology Co., Ltd........................... 133,500 176,902
# * Tai Tung Communication Co., Ltd.................... 516,000 268,033
Taichung Commercial Bank Co., Ltd.................. 29,500,492 11,395,709
Taiflex Scientific Co., Ltd........................ 2,369,960 3,331,417
# Tainan Enterprises Co., Ltd........................ 1,145,183 902,493
Tainan Spinning Co., Ltd........................... 14,836,485 5,453,145
* Tainergy Tech Co., Ltd............................. 1,981,000 374,605
Tai-Saw Technology Co., Ltd........................ 158,000 111,291
Taishin Financial Holding Co., Ltd................. 83,919,718 38,973,144
Taisun Enterprise Co., Ltd......................... 1,240,423 865,606
Taita Chemical Co., Ltd............................ 2,701,581 1,004,446
Taiwan Business Bank............................... 45,025,402 18,980,833
# Taiwan Cement Corp................................. 66,265,095 87,976,396
# Taiwan Chinsan Electronic Industrial Co., Ltd...... 320,000 363,397
Taiwan Cogeneration Corp........................... 1,357,333 1,305,880
Taiwan Cooperative Financial Holding Co., Ltd...... 67,847,886 46,679,067
# Taiwan Fertilizer Co., Ltd......................... 5,932,000 9,441,886
Taiwan Fire & Marine Insurance Co., Ltd............ 1,545,000 1,042,395
# Taiwan FU Hsing Industrial Co., Ltd................ 667,000 955,723
Taiwan Glass Industry Corp......................... 13,995,982 5,333,114
Taiwan Hon Chuan Enterprise Co., Ltd............... 1,347,932 2,429,713
Taiwan Hopax Chemicals Manufacturing Co., Ltd...... 1,732,000 1,099,383
Taiwan Kolin Co., Ltd.............................. 5,797,000 0
* Taiwan Land Development Corp....................... 7,909,322 2,244,540
Taiwan Navigation Co., Ltd......................... 2,031,000 1,228,657
Taiwan PCB Techvest Co., Ltd....................... 3,803,946 4,564,739
Taiwan Pulp & Paper Corp........................... 2,724,660 1,793,201
Taiwan Shin Kong Security Co., Ltd................. 39,000 48,113
# Taiwan Surface Mounting Technology Corp............ 2,849,991 9,317,213
# Taiwan TEA Corp.................................... 8,520,092 4,753,523
# Taiyen Biotech Co., Ltd............................ 1,027,217 1,083,235
# * Tatung Co., Ltd.................................... 3,715,000 2,232,792
Te Chang Construction Co., Ltd..................... 80,260 78,600
# Teco Electric and Machinery Co., Ltd............... 14,533,725 12,887,135
Tera Autotech Corp................................. 23,000 19,991
Test-Rite International Co., Ltd................... 1,514,266 1,079,926
* Tex-Ray Industrial Co., Ltd........................ 413,000 114,878
Thye Ming Industrial Co., Ltd...................... 26,000 27,270
Ton Yi Industrial Corp............................. 3,857,600 1,540,691
Tong Yang Industry Co., Ltd........................ 2,409,000 3,761,077
Tong-Tai Machine & Tool Co., Ltd................... 2,533,447 1,434,179
Topco Technologies Corp............................ 6,000 13,578
# Topoint Technology Co., Ltd........................ 1,766,459 1,303,047
* TPK Holding Co., Ltd............................... 4,345,000 9,453,179
Tripod Technology Corp............................. 2,734,000 10,566,429
Tsann Kuen Enterprise Co., Ltd..................... 215,000 122,171
* TSEC Corp.......................................... 1,323,036 361,620
TSRC Corp.......................................... 183,000 145,856
Tung Ho Steel Enterprise Corp...................... 11,412,274 8,091,146
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- -----------
TAIWAN -- (Continued)
TXC Corp........................................... 1,824,000 $ 2,234,997
TYC Brother Industrial Co., Ltd.................... 1,656,723 1,632,758
# * Tycoons Group Enterprise........................... 5,205,337 988,343
Tyntek Corp........................................ 2,234,097 1,081,741
UDE Corp........................................... 381,000 325,974
U-Ming Marine Transport Corp....................... 2,945,000 3,263,993
Unimicron Technology Corp.......................... 14,267,363 21,923,032
* Union Bank Of Taiwan............................... 13,994,959 4,900,101
Unitech Computer Co., Ltd.......................... 1,024,739 743,886
# Unitech Printed Circuit Board Corp................. 6,750,466 7,341,159
United Microelectronics Corp....................... 163,058,681 75,091,821
* United Renewable Energy Co., Ltd................... 16,813,450 4,548,236
# * Unity Opto Technology Co., Ltd..................... 2,993,000 664,683
Univacco Technology, Inc........................... 46,000 37,874
# Universal Cement Corp.............................. 5,543,583 3,423,402
* Unizyx Holding Corp................................ 1,586,000 1,062,563
UPC Technology Corp................................ 11,580,598 3,911,929
USI Corp........................................... 8,395,827 3,691,311
* Usun Technology Co., Ltd........................... 160,100 131,866
Ve Wong Corp....................................... 1,520,806 1,343,139
Victory New Materials, Ltd. Co..................... 1,325,687 691,427
Waffer Technology Corp............................. 69,000 30,678
Wah Hong Industrial Corp........................... 531,516 427,052
Wah Lee Industrial Corp............................ 2,059,000 3,650,709
Walsin Lihwa Corp.................................. 26,343,412 12,882,941
Walton Advanced Engineering, Inc................... 3,652,853 1,107,155
Wan Hai Lines, Ltd................................. 7,914,000 4,707,685
Wei Mon Industry Co., Ltd.......................... 3,885,691 0
Weikeng Industrial Co., Ltd........................ 2,856,490 1,688,258
# Well Shin Technology Co., Ltd...................... 973,080 1,592,450
* Wha Yu Industrial Co., Ltd......................... 302,000 178,275
Winbond Electronics Corp........................... 42,960,572 24,183,210
Winstek Semiconductor Co., Ltd..................... 247,000 217,543
Wintek Corp........................................ 20,783,484 234,254
Wisdom Marine Lines Co., Ltd....................... 3,717,953 3,734,354
Wistron Corp....................................... 40,527,343 37,155,469
WPG Holdings, Ltd.................................. 10,522,284 13,339,460
WT Microelectronics Co., Ltd....................... 7,665,751 8,757,011
WUS Printed Circuit Co., Ltd....................... 2,238,965 2,856,349
* Yang Ming Marine Transport Corp.................... 11,862,759 2,951,604
YC INOX Co., Ltd................................... 4,165,833 3,576,681
YCC Parts Manufacturing Co., Ltd................... 10,000 14,749
Yea Shin International Development Co., Ltd........ 1,334,825 742,143
# Yem Chio Co., Ltd.................................. 5,119,371 1,968,778
# * Yeong Guan Energy Technology Group Co., Ltd........ 931,000 1,988,418
YFC-Boneagle Electric Co., Ltd..................... 34,000 30,283
YFY, Inc........................................... 18,263,847 7,174,059
# Yi Jinn Industrial Co., Ltd........................ 2,557,142 1,197,066
Yieh Phui Enterprise Co., Ltd...................... 13,731,265 4,113,218
Young Fast Optoelectronics Co., Ltd................ 1,156,000 736,783
# Youngtek Electronics Corp.......................... 1,201,047 1,612,391
Yuanta Financial Holding Co., Ltd.................. 127,911,918 79,941,098
# Yulon Motor Co., Ltd............................... 12,242,572 7,873,363
Yung Chi Paint & Varnish Manufacturing Co., Ltd.... 220,687 518,527
Yungshin Construction & Development Co., Ltd....... 47,000 51,234
# Zenitron Corp...................................... 2,397,000 1,664,948
Zero One Technology Co., Ltd....................... 638,000 653,824
Zhen Ding Technology Holding, Ltd.................. 4,049,000 19,145,268
# Zig Sheng Industrial Co., Ltd...................... 5,477,352 1,454,714
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- --------------
TAIWAN -- (Continued)
# Zinwell Corp....................................... 742,000 $ 545,544
# ZongTai Real Estate Development Co., Ltd........... 1,720,159 1,516,789
--------------
TOTAL TAIWAN........................................... 3,059,953,649
--------------
THAILAND -- (3.2%)
AAPICO Hitech PCL.................................. 226,500 111,769
AAPICO Hitech PCL.................................. 816,861 403,088
AJ Plast PCL....................................... 1,465,000 397,847
Ananda Development PCL............................. 5,845,600 561,425
AP Thailand PCL.................................... 19,663,630 4,298,061
Asia Aviation PCL.................................. 6,854,200 581,115
Asia Aviation PCL.................................. 405,600 34,388
Asia Plus Group Holdings PCL....................... 6,013,200 356,471
Asian Seafoods Coldstorage PCL, Class F............ 144,200 23,783
Bangchak Corp. PCL................................. 6,087,800 4,979,919
Bangkok Airways PCL................................ 4,451,200 1,127,726
Bangkok Bank PCL................................... 2,936,253 16,920,286
Bangkok Insurance PCL.............................. 214,228 2,188,751
Bangkok Land PCL................................... 91,363,596 4,145,326
Bangkok Life Assurance PCL......................... 1,033,800 636,817
Bangkok Ranch PCL.................................. 3,615,300 292,145
Bank of Ayudhya PCL................................ 110,200 115,875
Banpu PCL.......................................... 36,530,050 14,033,733
Better World Green PCL............................. 6,069,900 102,522
Cal-Comp Electronics Thailand PCL, Class F......... 23,408,714 1,248,155
Charoen Pokphand Foods PCL......................... 28,333,500 23,693,356
Charoong Thai Wire & Cable PCL, Class F............ 1,135,900 191,856
Esso Thailand PCL.................................. 14,109,000 3,434,382
GFPT PCL........................................... 3,918,600 1,790,915
Haad Thip PCL...................................... 14,900 11,794
Hana Microelectronics PCL.......................... 5,548,300 4,685,599
ICC International PCL.............................. 2,464,100 3,264,249
Ichitan Group PCL.................................. 933,800 208,748
Indorama Ventures PCL.............................. 305,700 283,477
IRPC PCL........................................... 96,389,600 10,853,606
Italian-Thai Development PCL....................... 22,633,100 1,244,277
Kasikornbank PCL................................... 12,197,801 56,151,493
KGI Securities Thailand PCL........................ 6,805,400 987,172
Khon Kaen Sugar Industry PCL....................... 9,762,107 630,439
Kiatnakin Bank PCL................................. 2,807,300 6,089,689
Krung Thai Bank PCL................................ 34,881,900 19,176,670
Lalin Property PCL................................. 204,200 33,408
LH Financial Group PCL............................. 18,156,146 757,634
LPN Development PCL................................ 12,394,902 1,929,327
* MCOT PCL........................................... 732,000 261,818
Millcon Steel PCL.................................. 5,225,313 138,442
Nawarat Patanakarn PCL............................. 1,191,200 20,120
* Padaeng Industry PCL............................... 409,300 100,986
Polyplex Thailand PCL.............................. 3,779,625 1,714,882
* Precious Shipping PCL.............................. 9,688,850 2,711,402
Property Perfect PCL............................... 36,921,700 965,993
Pruksa Holding PCL................................. 6,408,500 3,353,347
PTT Exploration & Production PCL................... 10,598,100 42,294,123
PTT Global Chemical PCL............................ 22,513,941 38,026,527
PTT PCL............................................ 97,369,100 145,916,601
Quality Houses PCL................................. 38,020,797 3,273,856
* Regional Container Lines PCL....................... 3,605,800 453,785
Rojana Industrial Park PCL......................... 9,770,573 1,957,674
Saha Pathana Inter-Holding PCL..................... 2,570,300 5,447,895
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
----------- ------------
THAILAND -- (Continued)
Saha Pathanapibul PCL.............................. 1,538,433 $ 3,056,996
* Sahakol Equipment PCL.............................. 1,782,300 120,414
Saha-Union PCL..................................... 2,327,300 3,275,716
Sahaviriya Steel Industries PCL.................... 90,527,440 28,182
Samart Telcoms PCL................................. 113,900 32,629
Sansiri PCL........................................ 38,047,366 1,436,463
SC Asset Corp. PCL................................. 21,394,553 1,629,656
* SCG Ceramics PCL................................... 456,028 23,862
Sena Development PCL............................... 1,331,366 138,450
Siam Commercial Bank PCL (The)..................... 10,675,100 39,773,100
Siam Future Development PCL........................ 6,946,495 1,276,802
Somboon Advance Technology PCL..................... 2,156,600 1,128,474
Sri Trang Agro-Industry PCL........................ 9,735,940 3,353,329
Srithai Superware PCL.............................. 15,076,100 379,461
Star Petroleum Refining PCL........................ 18,010,800 5,308,697
STP & I PCL........................................ 4,464,500 872,348
Supalai PCL........................................ 8,635,700 4,633,162
* Super Energy Corp. PCL............................. 110,523,200 2,196,189
Susco PCL.......................................... 126,100 11,610
SVI PCL............................................ 4,442,700 667,987
Syntec Construction PCL............................ 5,229,800 292,709
* Tata Steel Thailand PCL............................ 36,636,200 606,660
* Thai Airways International PCL..................... 8,027,411 1,967,307
Thai Oil PCL....................................... 8,272,500 18,766,890
Thai Rayon PCL..................................... 58,700 59,050
Thai Stanley Electric PCL.......................... 44,800 233,681
Thai Stanley Electric PCL, Class F................. 174,600 910,730
Thai Wacoal PCL.................................... 85,000 131,603
* Thaicom PCL........................................ 4,450,700 651,502
Thanachart Capital PCL............................. 3,732,600 6,551,674
Thitikorn PCL...................................... 1,843,900 567,918
Thoresen Thai Agencies PCL......................... 6,672,278 976,700
TMB Bank PCL....................................... 94,954,800 4,528,396
TPI Polene PCL..................................... 50,325,540 2,216,690
True Corp. PCL..................................... 106,194,000 17,584,699
Unique Engineering & Construction PCL.............. 173,000 50,419
Univentures PCL.................................... 6,812,200 1,218,277
Vinythai PCL....................................... 2,655,217 2,057,694
------------
TOTAL THAILAND.......................................... 563,330,870
------------
TURKEY -- (0.8%)
# * Akbank Turk A.S.................................... 16,045,309 19,385,380
* Albaraka Turk Katilim Bankasi A.S.................. 4,329,886 922,765
# Anadolu Anonim Turk Sigorta Sirketi................ 2,740,994 2,004,499
Anadolu Cam Sanayii A.S............................ 2,130,584 1,248,401
Anadolu Efes Biracilik Ve Malt Sanayii A.S......... 323,597 1,088,688
* Bagfas Bandirma Gubre Fabrikalari A.S.............. 375,466 852,739
# * Bera Holding A.S................................... 1,033,520 505,581
# Borusan Mannesmann Boru Sanayi ve Ticaret A.S...... 377,437 585,250
# * Cimsa Cimento Sanayi VE Ticaret A.S................ 532,726 740,494
# Dogan Sirketler Grubu Holding A.S.................. 11,546,424 3,492,399
EIS Eczacibasi Ilac ve Sinai ve Finansal
Yatirimlar Sanayi ve Ticaret A.S................. 1,739,452 912,142
# Enka Insaat ve Sanayi A.S.......................... 4,056,583 4,095,599
# * Gozde Girisim Sermayesi Yatirim Ortakligi A.S...... 1,934,165 1,194,160
* GSD Holding AS..................................... 2,492,028 409,318
* Ihlas Holding A.S.................................. 3,304,402 335,229
Kardemir Karabuk Demir Celik Sanayi ve Ticaret
A.S., Class A.................................... 467,520 174,898
# Kardemir Karabuk Demir Celik Sanayi ve Ticaret
A.S., Class D.................................... 9,790,139 3,693,752
# * Pegasus Hava Tasimaciligi A.S...................... 395,071 4,562,188
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ---------------
TURKEY -- (Continued)
Raks Elektronik Sanayi ve Ticaret A.S................. 5,859 $ 0
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S.... 252,123 162,687
# * Sekerbank Turk AS..................................... 1,352,044 238,638
Selcuk Ecza Deposu Ticaret ve Sanayi A.S.............. 1,699,631 1,732,779
# Trakya Cam Sanayii A.S................................ 5,393,028 2,769,579
# * Turk Hava Yollari AO.................................. 7,196,046 14,644,592
# * Turkiye Garanti Bankasi A.S........................... 19,644,405 31,575,720
# * Turkiye Halk Bankasi A.S.............................. 3,642,964 3,336,475
# * Turkiye Is Bankasi A.S., Class C...................... 10,923,389 11,068,812
# * Turkiye Sinai Kalkinma Bankasi A.S.................... 17,860,449 2,809,991
Turkiye Sise ve Cam Fabrikalari A.S................... 3,449,257 2,618,331
# * Turkiye Vakiflar Bankasi TAO, Class D................. 7,200,182 5,460,450
# * Yapi ve Kredi Bankasi A.S............................. 28,333,679 11,287,987
---------------
TOTAL TURKEY............................................... 133,909,523
---------------
UNITED KINGDOM -- (0.0%)
Rhi Magnesita NV...................................... 6,726 303,132
---------------
TOTAL COMMON STOCKS........................................ 16,955,884,037
---------------
PREFERRED STOCKS -- (1.5%)
BRAZIL -- (1.4%)
Banco ABC Brasil S.A.................................. 1,177,798 5,297,962
Banco Bradesco SA..................................... 674,665 5,916,461
Banco do Estado do Rio Grande do Sul SA, Class B...... 2,618,568 14,599,472
Banco Pan SA.......................................... 1,756,692 3,968,490
Cia Brasileira de Distribuicao........................ 806,458 16,688,181
Cia Ferro Ligas da Bahia-FERBASA...................... 702,634 3,178,103
Eucatex SA Industria e Comercio....................... 256,928 288,287
Gerdau SA............................................. 494,320 1,655,334
Grazziotin SA......................................... 6,400 37,964
Marcopolo SA.......................................... 4,475,400 4,050,792
Petroleo Brasileiro SA................................ 25,544,003 193,562,461
Randon SA Implementos e Participacoes................. 1,013,849 2,616,466
Schulz SA............................................. 103,880 227,938
Unipar Carbocloro SA.................................. 519,175 3,755,456
Usinas Siderurgicas de Minas Gerais SA, Class A....... 658,384 1,191,838
---------------
TOTAL BRAZIL............................................... 257,035,205
---------------
COLOMBIA -- (0.1%)
Avianca Holdings SA................................... 1,653,949 915,055
Grupo Argos SA........................................ 374,078 1,545,008
Grupo de Inversiones Suramericana SA.................. 1,030,116 9,441,714
---------------
TOTAL COLOMBIA............................................. 11,901,777
---------------
SOUTH KOREA -- (0.0%)
* CJ Corp............................................... 14,663 767,525
---------------
TOTAL PREFERRED STOCKS..................................... 269,704,507
---------------
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
* Legend Holdings Corp. Rights 05/23/19................. 65,061 0
---------------
INDONESIA -- (0.0%)
* Medco Energi Internasional Tbk PT Warrants 12/11/20... 9,401,598 89,750
---------------
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
SHARES VALUE>>
---------- ---------------
TAIWAN -- (0.0%)
* Cathay Financial Holding Co. Rights 11/25/19....... 2,828,459 $ 492,464
* Kung Sing Engineering Corp. Rights 11/21/19........ 681,615 37,170
* Sigurd Microelectronics Corp. Rights 11/12/19...... 162,185 56,742
---------------
TOTAL TAIWAN.............................................. 586,376
---------------
THAILAND -- (0.0%)
* Property Perfect Rights 09/30/19................... 4,357,962 0
* TMB Bank PCL Rights 11/26/19....................... 76,250,109 101,010
---------------
TOTAL THAILAND............................................ 101,010
---------------
TOTAL RIGHTS/WARRANTS..................................... 777,136
---------------
TOTAL INVESTMENT SECURITIES
(Cost $16,469,656,676).................................. 17,226,365,680
---------------
VALUE+
---------------
SECURITIES LENDING COLLATERAL -- (2.3%)
@ (S) The DFA Short Term Investment Fund................. 34,421,395 398,289,960
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,867,888,263).................................. $17,624,655,640
===============
ADR American Depositary Receipt
GDR Global Depositary Receipt
P.L.C. Public Limited Company
SA Special Assessment
>> Securities that have generally been fair value factored. See Note B to
Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S)Affiliated Fund.
As of October 31, 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 12/20/19 $ 32,510,222 $ 33,845,500 $1,335,278
S&P 500(R) Emini Index........... 730 12/20/19 108,833,750 110,806,700 1,972,950
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.......... $141,343,972 $144,652,200 $3,308,228
============ ============ ==========
Summary of the Fund's investments as of October 31, 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................. $1,398,297,795 -- -- $1,398,297,795
Chile.................. 67,841,690 $ 146,834,126 -- 214,675,816
China.................. 254,479,847 2,700,408,638 -- 2,954,888,485
Colombia............... 36,093,948 -- -- 36,093,948
Czech Republic......... -- 37,566,643 -- 37,566,643
Greece................. -- 37,109,697 -- 37,109,697
DIMENSIONAL EMERGING MARKETS VALUE FUND
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- --------------- ------- ---------------
Hungary.............. -- $ 45,306,074 -- $ 45,306,074
India................ $ 120,593,281 2,197,980,568 -- 2,318,573,849
Indonesia............ 476,278 464,571,873 -- 465,048,151
Malaysia............. 13,374 476,952,592 -- 476,965,966
Mexico............... 512,350,583 -- -- 512,350,583
Philippines.......... -- 218,609,976 -- 218,609,976
Poland............... -- 213,424,549 -- 213,424,549
Russia............... 28,824,510 397,289,385 -- 426,113,895
South Africa......... 199,172,597 945,237,081 -- 1,144,409,678
South Korea.......... 254,194,042 2,431,732,517 -- 2,685,926,559
Spain................ 13,025,199 -- -- 13,025,199
Taiwan............... 20,123,499 3,039,830,150 -- 3,059,953,649
Thailand............. 563,302,688 28,182 -- 563,330,870
Turkey............... -- 133,909,523 -- 133,909,523
United Kingdom....... -- 303,132 -- 303,132
Preferred Stocks
Brazil............... 257,035,205 -- -- 257,035,205
Colombia............. 11,901,777 -- -- 11,901,777
South Korea.......... 767,525 -- -- 767,525
Rights/Warrants
Indonesia............ -- 89,750 -- 89,750
Taiwan............... -- 586,376 -- 586,376
Thailand............. -- 101,010 -- 101,010
Securities Lending
Collateral............ -- 398,289,960 -- 398,289,960
Futures Contracts**..... 3,308,228 -- -- 3,308,228
-------------- --------------- -- ---------------
TOTAL................... $3,741,802,066 $13,886,161,802 -- $17,627,963,868
============== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value
Fund
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of Dimensional Emerging Markets
Value Fund (the "Fund") as of October 31, 2019, the related statement of
operations for the year ended October 31, 2019, the statement of changes in net
assets for each of the two years in the period ended October 31, 2019,
including the related notes, and the financial highlights for each of the five
years in the period ended October 31, 2019 (included in Item 1 of this Form
N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR)
as of October 31, 2019 (collectively referred to as the "financial
statements"). In our opinion, the financial statements present fairly, in all
material respects, the financial position of the Fund as of October 31, 2019,
the results of its operations for the year then ended, the changes in its net
assets for each of the two years in the period ended October 31, 2019 and the
financial highlights for each of the five years in the period ended October 31,
2019 in conformity with accounting principles generally accepted in the United
States of America.
BASIS FOR OPINION
These financial statements are the responsibility of the Fund's management. Our
responsibility is to express an opinion on the Fund's financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) ("PCAOB") and are required
to be independent with respect to the Fund in accordance with the U.S. federal
securities laws and the applicable rules and regulations of the Securities and
Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the custodian, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 20, 2019
We have served as the auditor of one or more investment companies in
Dimensional Fund Advisors L.P. investment company group since 1981.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
None.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the Registrant's disclosure controls
and procedures as of a date within 90 days of the filing date of
this Form N-CSR (the "Report"), the Registrant's Co-Principal
Executive Officers and Principal Financial Officer believe that the
disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940, as amended) are
effectively designed to ensure that information required to be
disclosed by the Registrant in the Report is recorded, processed,
summarized and reported by the filing date, including ensuring that
information required to be disclosed in the Report is accumulated
and communicated to the Registrant's officers that are making
certifications in the Report, as appropriate, to allow timely
decisions regarding required disclosure. The Registrant's
management, including the Co-Principal Executive Officers and the
Principal Financial Officer, recognizes that any set of controls and
procedures, no matter how well designed and operated, can provide
only reasonable assurance of achieving the desired control
objectives.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940, as amended) that occurred during the
period covered by this Report that have materially affected, or are
reasonably likely to materially affect, the Registrant's internal
control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.
This item is not applicable to the Registrant, which is an open-end management
investment company.
ITEM 13. EXHIBITS.
(a)(1) Code of Ethics is filed herewith.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of
2002 are filed herewith.
(a)(3) This item is not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this Report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Dimensional Emerging Markets Value Fund
By: /s/ David P. Butler
---------------------------------------
David P. Butler
Co-Chief Executive Officer
Date: January 6, 2020
By: /s/ Gerard K. O'Reilly
---------------------------------------
Gerard K. O'Reilly
Co-Chief Executive Officer and
Chief Investment Officer
Date: January 6, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this Report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ David P. Butler
---------------------------------------
David P. Butler
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: January 6, 2020
By: /s/ Gerard K. O'Reilly
---------------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Emerging Markets Value Fund
Date: January 6, 2020
By: /s/ Gregory K. Hinkle
---------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Emerging Markets Value Fund
Date: January 6, 2020