================================================================================
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
-----------------
FORM N-CSR
-----------------
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-6067
-----------------
DIMENSIONAL INVESTMENT GROUP INC.
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
-----------------
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
-----------------
CATHERINE L. NEWELL, ESQUIRE, PRESIDENT AND GENERAL COUNSEL
DIMENSIONAL INVESTMENT GROUP INC.,
6300 BEE CAVE ROAD, BUILDING ONE, AUSTIN, TX 78746
(NAME AND ADDRESS OF AGENT FOR SERVICE)
-----------------
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 512-306-7400
DATE OF FISCAL YEAR END: OCTOBER 31
DATE OF REPORTING PERIOD: OCTOBER 31, 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
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
U.S. LARGE CAP EQUITY PORTFOLIO
U.S. LARGE CAP VALUE PORTFOLIO
U.S. TARGETED VALUE PORTFOLIO
U.S. SMALL CAP VALUE PORTFOLIO
U.S. CORE EQUITY 1 PORTFOLIO
U.S. CORE EQUITY 2 PORTFOLIO
U.S. VECTOR EQUITY PORTFOLIO
U.S. SMALL CAP PORTFOLIO
U.S. MICRO CAP PORTFOLIO
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
DFA REAL ESTATE SECURITIES PORTFOLIO
DFA COMMODITY STRATEGY PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO
THE DFA INVESTMENT TRUST COMPANY
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES
SEE THE INSIDE FRONT COVER FOR IMPORTANT INFORMATION ABOUT ACCESS TO YOUR
FUND'S ANNUAL AND SEMI-ANNUAL SHAREHOLDER REPORTS.
IMPORTANT INFORMATION ABOUT ACCESS TO SHAREHOLDER REPORTS
Beginning on January 1, 2021, as permitted by regulations adopted by the
Securities and Exchange Commission, paper copies of each Portfolio's annual and
semi-annual shareholder reports will no longer be sent by mail, unless you
specifically request paper copies of the reports from the Portfolio or from
your financial intermediary. Instead, the reports will be made available on a
Portfolio's website, and you will be notified by mail each time a report is
posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you
will not be affected by this change and you need not take any action. You may
elect to receive shareholder reports and other communications electronically
from a Portfolio anytime by contacting the Portfolio's transfer agent at (888)
576-1167 or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of
charge. You can inform a Portfolio that you wish to continue receiving paper
copies of your shareholder reports by contacting your financial intermediary
or, if you invest directly with the Portfolio, by calling (888) 576-1167, to
let the Portfolio know of your request. Your election to receive reports in
paper will apply to all DFA Funds held directly or to all funds held through
your financial intermediary.
[THIS PAGE INTENTIONALLY LEFT BLANK]
LOGO
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.............................. 10
Disclosure of Fund Expenses....................................... 14
Disclosure of Portfolio Holdings.................................. 17
Schedules of Investments/Summary Schedules of Portfolio Holdings
Enhanced U.S. Large Company Portfolio......................... 19
U.S. Large Cap Equity Portfolio............................... 25
U.S. Large Cap Value Portfolio................................ 28
U.S. Targeted Value Portfolio................................. 29
U.S. Small Cap Value Portfolio................................ 32
U.S. Core Equity 1 Portfolio.................................. 35
U.S. Core Equity 2 Portfolio.................................. 38
U.S. Vector Equity Portfolio.................................. 41
U.S. Small Cap Portfolio...................................... 44
U.S. Micro Cap Portfolio...................................... 47
U.S. High Relative Profitability Portfolio.................... 50
DFA Real Estate Securities Portfolio.......................... 53
Statements of Assets and Liabilities.............................. 55
Statements of Operations.......................................... 58
Statements of Changes in Net Assets............................... 61
Financial Highlights.............................................. 65
Notes to Financial Statements..................................... 74
Report of Independent Registered Public Accounting Firm........... 95
Section 19(a) Notice.............................................. 96
DFA INVESTMENT DIMENSIONS GROUP INC.
Performance Charts................................................ 97
Management's Discussion and Analysis.............................. 98
Consolidated Disclosure of Fund Expenses.......................... 99
Consolidated Disclosure of Portfolio Holdings..................... 101
Consolidated Schedule of Investments
DFA Commodity Strategy Portfolio.............................. 102
Consolidated Statement of Assets and Liabilities.................. 113
Consolidated Statement of Operations.............................. 114
Consolidated Statements of Changes in Net Assets.................. 115
Consolidated Financial Highlights................................. 116
Consolidated Notes to Financial Statements........................ 117
Report of Independent Registered Public Accounting Firm........... 132
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts................................................ 133
Management's Discussion and Analysis.............................. 134
Disclosure of Fund Expenses....................................... 135
Disclosure of Portfolio Holdings.................................. 136
Summary Schedule of Portfolio Holdings
U.S. Large Company Portfolio.................................. 137
Statement of Assets and Liabilities............................... 140
Statement of Operations........................................... 141
Statements of Changes in Net Assets............................... 142
Financial Highlights.............................................. 143
Notes to Financial Statements..................................... 144
Report of Independent Registered Public Accounting Firm........... 153
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
THE DFA INVESTMENT TRUST COMPANY
Performance Charts............................................................................... 154
Management's Discussion and Analysis............................................................. 155
Disclosure of Fund Expenses...................................................................... 156
Disclosure of Portfolio Holdings................................................................. 157
Summary Schedule of Portfolio Holdings
The U.S. Large Cap Value Series.............................................................. 158
Statement of Assets and Liabilities.............................................................. 161
Statement of Operations.......................................................................... 162
Statements of Changes in Net Assets.............................................................. 163
Financial Highlights............................................................................. 164
Notes to Financial Statements.................................................................... 165
Report of Independent Registered Public Accounting Firm.......................................... 173
FUND MANAGEMENT..................................................................................... 174
Board of Directors or Trustees Table............................................................. 175
VOTING PROXIES ON FUND PORTFOLIO SECURITIES......................................................... 182
NOTICE TO SHAREHOLDERS.............................................................................. 183
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
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS
----------------------------------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
SA Special Assessment
CAD Canadian Dollars
DKK Danish Krone
EUR Euro
GBP British Pounds
NOK Norwegian Krone
SEK Swedish Krona
USD United States Dollar
Investment Footnotes
^ Denominated in USD, unless otherwise
noted.
+ See Note B to Financial Statements.
(Omega) Rule 144A, Section 4(2), or other
security that is restricted as to
resale to institutional investors.
This security has been deemed liquid
based upon the Fund's Liquidity
Guidelines. The liquidity
determination is unaudited.
(r) The adjustable rate shown is
effective as of October 31, 2019.
# Total or Partial Securities on Loan.
(double left angle quote) Total or Partial Security pledged as
collateral for Futures Contracts.
@ Security purchased with cash proceeds
from Securities on Loan.
(S) Affiliated Fund.
++ Calculated as a percentage of total
net assets. Percentages shown
parenthetically next to the category
headings have been calculated as a
percentage of total investments.
"Other Securities" are those
securities that are not among the top
50 holdings in unaffiliated issuers
of the Fund or do not represent more
than 1.0% of the net assets of the
Fund. Some of the individual
securities within this category may
include Total or Partial Securities
on Loan and/or Non-Income Producing
Securities.
* Non-Income Producing Securities.
~ Total or Partial Security pledged as
collateral for Swap Agreements.
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 $0.92, $7.69
and 2.43%, respectively had the
current year effect of this
estimation not been considered.
(A) Computed using average shares
outstanding.
(B) Represents the combined ratios for
the respective Portfolio and its
respective pro-rata share of its
Master Fund.
(C) Non-Annualized
(D) Annualized
(E) Because of commencement of operations
and related preliminary transaction
costs, these ratios are not
necessarily indicative of future
ratios.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
-- Amounts designated as -- are either
zero or rounded to zero.
SEC Securities and Exchange Commission
(a) Commencement of Operations.
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(R) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Enhanced U.S. Large Company
Portfolio S&P 500/R/ Index
--------------------------------- ------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,633 10,600
12/31/2009 10,816 10,805
1/31/2010 10,444 10,416
2/28/2010 10,785 10,739
3/31/2010 11,420 11,387
4/30/2010 11,606 11,566
5/31/2010 10,692 10,643
6/30/2010 10,142 10,086
7/31/2010 10,858 10,792
8/31/2010 10,375 10,305
9/30/2010 11,303 11,225
10/31/2010 11,740 11,652
11/30/2010 11,724 11,653
12/31/2010 12,509 12,432
1/31/2011 12,821 12,727
2/28/2011 13,243 13,163
3/31/2011 13,243 13,168
4/30/2011 13,665 13,558
5/31/2011 13,540 13,405
6/30/2011 13,306 13,181
7/31/2011 13,056 12,913
8/31/2011 12,337 12,212
9/30/2011 11,463 11,353
10/31/2011 12,728 12,594
11/30/2011 12,650 12,566
12/31/2011 12,791 12,695
1/31/2012 13,391 13,264
2/29/2012 13,975 13,837
3/31/2012 14,449 14,293
4/30/2012 14,370 14,203
5/31/2012 13,501 13,349
6/30/2012 14,068 13,899
7/31/2012 14,305 14,092
8/31/2012 14,638 14,410
9/30/2012 15,014 14,782
10/31/2012 14,744 14,509
11/30/2012 14,839 14,593
12/31/2012 14,960 14,726
1/31/2013 15,727 15,489
2/28/2013 15,950 15,699
3/31/2013 16,541 16,288
4/30/2013 16,860 16,602
5/31/2013 17,244 16,990
6/30/2013 16,979 16,762
7/31/2013 17,875 17,615
8/31/2013 17,347 17,105
9/30/2013 17,891 17,641
10/31/2013 18,724 18,452
11/30/2013 19,300 19,015
12/31/2013 19,764 19,496
1/31/2014 19,108 18,822
2/28/2014 19,973 19,683
3/31/2014 20,127 19,848
4/30/2014 20,287 19,995
5/31/2014 20,785 20,464
6/30/2014 21,184 20,887
7/31/2014 20,879 20,599
8/31/2014 21,731 21,423
9/30/2014 21,409 21,123
10/31/2014 21,940 21,639
11/30/2014 22,567 22,221
12/31/2014 22,441 22,165
1/31/2015 21,834 21,499
2/28/2015 23,048 22,735
3/31/2015 22,717 22,375
4/30/2015 22,920 22,590
5/31/2015 23,232 22,880
6/30/2015 22,742 22,438
7/31/2015 23,239 22,908
8/31/2015 21,784 21,525
9/30/2015 21,268 20,993
10/31/2015 23,091 22,764
11/30/2015 23,128 22,831
12/31/2015 22,683 22,471
1/31/2016 21,600 21,356
2/29/2016 21,600 21,327
3/31/2016 23,138 22,774
4/30/2016 23,256 22,862
5/31/2016 23,650 23,273
6/30/2016 23,757 23,333
7/31/2016 24,646 24,194
8/31/2016 24,646 24,228
9/30/2016 24,644 24,232
10/31/2016 24,189 23,790
11/30/2016 25,040 24,671
12/31/2016 25,541 25,159
1/31/2017 26,031 25,636
2/28/2017 27,051 26,654
3/31/2017 27,106 26,685
4/30/2017 27,413 26,959
5/31/2017 27,822 27,338
6/30/2017 27,964 27,509
7/31/2017 28,600 28,075
8/31/2017 28,683 28,161
9/30/2017 29,202 28,742
10/31/2017 29,880 29,412
11/30/2017 30,723 30,314
12/31/2017 31,017 30,651
1/31/2018 32,695 32,406
2/28/2018 31,401 31,212
3/31/2018 30,552 30,419
4/30/2018 30,600 30,535
5/31/2018 31,392 31,271
6/30/2018 31,537 31,463
7/31/2018 32,694 32,634
8/31/2018 33,804 33,698
9/30/2018 33,956 33,889
10/31/2018 31,558 31,573
11/30/2018 32,188 32,216
12/31/2018 29,327 29,308
1/31/2019 31,829 31,656
2/28/2019 32,835 32,673 Past performance is not
3/31/2019 33,591 33,307 predictive of future
4/30/2019 34,985 34,656 performance.
5/31/2019 32,764 32,454
6/30/2019 35,111 34,741 The returns shown do not
7/31/2019 35,657 35,240 reflect the deduction of
8/31/2019 35,085 34,682 taxes that a shareholder
9/30/2019 35,747 35,331 would pay on fund
10/31/2019 36,502 36,096 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Copyright 2019 S&P Dow
TOTAL RETURN YEAR YEARS YEARS Jones Indices LLC, a
------------------------------------------------------------ division of S&P Global. All
15.67% 10.72% 13.82% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP EQUITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
JUNE 25, 2013-OCTOBER 31, 2019
[CHART]
U.S. Large Cap
Equity Portfolio Russell 1000/R/ Index
------------------ ---------------------
6/25/2013 $10,000 $10,000
6/30/2013 10,020 10,130
7/31/2013 10,550 10,672
8/31/2013 10,270 10,378
9/30/2013 10,630 10,740
10/31/2013 11,101 11,213
11/30/2013 11,452 11,527
12/31/2013 11,757 11,838
1/31/2014 11,333 11,460
2/28/2014 11,878 12,004
3/31/2014 11,985 12,080
4/30/2014 12,046 12,137
5/31/2014 12,319 12,416
6/30/2014 12,623 12,699
7/31/2014 12,410 12,493
8/31/2014 12,928 13,010
9/30/2014 12,654 12,781
10/31/2014 12,899 13,094
11/30/2014 13,205 13,437
12/31/2014 13,175 13,405
1/31/2015 12,775 13,037
2/28/2015 13,555 13,790
3/31/2015 13,391 13,619
4/30/2015 13,463 13,715
5/31/2015 13,659 13,895
6/30/2015 13,399 13,634
7/31/2015 13,564 13,897
8/31/2015 12,768 13,061
9/30/2015 12,374 12,703
10/31/2015 13,350 13,731
11/30/2015 13,391 13,776
12/31/2015 13,081 13,528
1/31/2016 12,350 12,800
2/29/2016 12,412 12,796
3/31/2016 13,260 13,687
4/30/2016 13,302 13,762
5/31/2016 13,522 14,003
6/30/2016 13,491 14,034
7/31/2016 14,029 14,569
8/31/2016 14,071 14,588
9/30/2016 14,104 14,600
10/31/2016 13,818 14,315
11/30/2016 14,495 14,879
12/31/2016 14,746 15,159
1/31/2017 15,065 15,464
2/28/2017 15,608 16,062
3/31/2017 15,614 16,073
4/30/2017 15,763 16,242
5/31/2017 15,913 16,450
6/30/2017 16,044 16,565
7/31/2017 16,355 16,893
8/31/2017 16,377 16,946
9/30/2017 16,779 17,306
10/31/2017 17,156 17,703
11/30/2017 17,748 18,243
12/31/2017 18,002 18,447
1/31/2018 19,019 19,459
2/28/2018 18,316 18,745
3/31/2018 17,896 18,319
4/30/2018 17,918 18,382
5/31/2018 18,341 18,851
6/30/2018 18,426 18,973
7/31/2018 19,080 19,627
8/31/2018 19,701 20,304
9/30/2018 19,770 20,381
10/31/2018 18,326 18,939
11/30/2018 18,665 19,324
12/31/2018 16,881 17,564
1/31/2019 18,323 19,036
2/28/2019 18,983 19,681 Past performance is not
3/31/2019 19,242 20,023 predictive of future
4/30/2019 20,070 20,832 performance.
5/31/2019 18,690 19,504
6/30/2019 20,067 20,874 The returns shown do not
7/31/2019 20,378 21,198 reflect the deduction of
8/31/2019 19,890 20,809 taxes that a shareholder
9/30/2019 20,309 21,170 would pay on fund
10/31/2019 20,733 21,619 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE Russell data copyright (C)
TOTAL RETURN YEAR YEARS INCEPTION Russell Investment Group
------------------------------------------------------- 1995-2019, all rights
13.13% 9.96% 12.17% reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index
-------------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,563 10,564
12/31/2009 10,848 10,751
1/31/2010 10,593 10,448
2/28/2010 11,051 10,778
3/31/2010 11,913 11,480
4/30/2010 12,289 11,777
5/31/2010 11,237 10,809
6/30/2010 10,388 10,200
7/31/2010 11,200 10,891
8/31/2010 10,516 10,425
9/30/2010 11,546 11,234
10/31/2010 11,971 11,571
11/30/2010 11,881 11,509
12/31/2010 13,036 12,418
1/31/2011 13,457 12,698
2/28/2011 14,183 13,167
3/31/2011 14,247 13,219
4/30/2011 14,605 13,571
5/31/2011 14,397 13,428
6/30/2011 14,135 13,152
7/31/2011 13,489 12,716
8/31/2011 12,349 11,923
9/30/2011 11,101 11,022
10/31/2011 12,633 12,283
11/30/2011 12,529 12,220
12/31/2011 12,627 12,466
1/31/2012 13,254 12,938
2/29/2012 14,019 13,453
3/31/2012 14,276 13,852
4/30/2012 13,978 13,711
5/31/2012 12,985 12,907
6/30/2012 13,682 13,548
7/31/2012 13,815 13,688
8/31/2012 14,361 13,985
9/30/2012 14,885 14,429
10/31/2012 14,925 14,358
11/30/2012 14,958 14,352
12/31/2012 15,411 14,649
1/31/2013 16,482 15,601
2/28/2013 16,690 15,825
3/31/2013 17,492 16,452
4/30/2013 17,668 16,700
5/31/2013 18,397 17,129
6/30/2013 18,185 16,978
7/31/2013 19,276 17,895
8/31/2013 18,700 17,216
9/30/2013 19,252 17,647
10/31/2013 20,226 18,420
11/30/2013 21,069 18,934
12/31/2013 21,626 19,413
1/31/2014 20,771 18,724
2/28/2014 21,469 19,534
3/31/2014 21,972 20,000
4/30/2014 22,116 20,190
5/31/2014 22,596 20,486
6/30/2014 23,212 21,021
7/31/2014 23,040 20,663
8/31/2014 23,770 21,422
9/30/2014 23,178 20,980
10/31/2014 23,358 21,452
11/30/2014 23,628 21,891
12/31/2014 23,803 22,025
1/31/2015 22,619 21,145
2/28/2015 24,216 22,168
3/31/2015 23,751 21,866
4/30/2015 24,237 22,070
5/31/2015 24,497 22,336
6/30/2015 24,100 21,890
7/31/2015 24,037 21,986
8/31/2015 22,574 20,676
9/30/2015 21,845 20,052
10/31/2015 23,628 21,565
11/30/2015 23,713 21,648
12/31/2015 22,971 21,182
1/31/2016 21,406 20,088
2/29/2016 21,443 20,082
3/31/2016 23,000 21,529
4/30/2016 23,622 21,981
5/31/2016 23,937 22,323
6/30/2016 23,912 22,516
7/31/2016 24,734 23,170
8/31/2016 25,020 23,348
9/30/2016 25,141 23,300
10/31/2016 24,709 22,939
11/30/2016 26,647 24,249
12/31/2016 27,311 24,855
1/31/2017 27,708 25,032
2/28/2017 28,541 25,932
3/31/2017 28,275 25,668
4/30/2017 28,462 25,619
5/31/2017 28,431 25,594
6/30/2017 28,900 26,013
7/31/2017 29,387 26,358
8/31/2017 29,112 26,051
9/30/2017 30,233 26,823
10/31/2017 30,667 27,018
11/30/2017 31,757 27,845
12/31/2017 32,491 28,251
1/31/2018 34,160 29,344
2/28/2018 32,466 27,943
3/31/2018 31,727 27,451
4/30/2018 31,777 27,542
5/31/2018 32,069 27,705
6/30/2018 31,844 27,774
7/31/2018 33,161 28,873
8/31/2018 33,638 29,300
9/30/2018 33,662 29,358
10/31/2018 31,522 27,838
11/30/2018 32,255 28,669
12/31/2018 28,706 25,916
1/31/2019 31,189 27,933
2/28/2019 31,966 28,825 Past performance is not
3/31/2019 31,804 29,009 predictive of future
4/30/2019 32,899 30,038 performance.
5/31/2019 30,350 28,106
6/30/2019 32,788 30,124 The returns shown do not
7/31/2019 33,131 30,374 reflect the deduction of
8/31/2019 31,768 29,481 taxes that a shareholder
9/30/2019 33,020 30,532 would pay on fund
10/31/2019 33,719 30,959 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
-------------------------------------------------------------- 1995-2019, all rights
6.97% 7.62% 12.92% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Targeted Value
Portfolio - Institutional Class Russell 2000/R/ Value Index
--------------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,333 10,318
12/31/2009 11,154 11,100
1/31/2010 10,897 10,774
2/28/2010 11,505 11,274
3/31/2010 12,463 12,212
4/30/2010 13,364 13,066
5/31/2010 12,163 11,962
6/30/2010 11,007 10,918
7/31/2010 11,866 11,697
8/31/2010 10,904 10,818
9/30/2010 12,245 11,979
10/31/2010 12,701 12,443
11/30/2010 13,209 12,759
12/31/2010 14,390 13,820
1/31/2011 14,485 13,827
2/28/2011 15,307 14,529
3/31/2011 15,601 14,731
4/30/2011 15,844 14,970
5/31/2011 15,454 14,702
6/30/2011 15,122 14,341
7/31/2011 14,594 13,867
8/31/2011 13,129 12,642
9/30/2011 11,499 11,261
10/31/2011 13,306 12,884
11/30/2011 13,349 12,858
12/31/2011 13,485 13,059
1/31/2012 14,302 13,928
2/29/2012 14,821 14,135
3/31/2012 15,100 14,573
4/30/2012 14,853 14,362
5/31/2012 13,745 13,485
6/30/2012 14,304 14,135
7/31/2012 14,234 13,990
8/31/2012 14,887 14,422
9/30/2012 15,361 14,936
10/31/2012 15,272 14,748
11/30/2012 15,529 14,794
12/31/2012 16,072 15,417
1/31/2013 17,168 16,336
2/28/2013 17,461 16,522
3/31/2013 18,311 17,210
4/30/2013 18,132 17,193
5/31/2013 19,029 17,707
6/30/2013 18,894 17,635
7/31/2013 20,219 18,768
8/31/2013 19,471 17,938
9/30/2013 20,560 18,974
10/31/2013 21,442 19,591
11/30/2013 22,400 20,355
12/31/2013 22,987 20,739
1/31/2014 21,897 19,937
2/28/2014 23,027 20,849
3/31/2014 23,486 21,107
4/30/2014 23,062 20,564
5/31/2014 23,284 20,695
6/30/2014 24,268 21,610
7/31/2014 23,063 20,303
8/31/2014 24,238 21,186
9/30/2014 22,787 19,757
10/31/2014 23,497 21,137
11/30/2014 23,376 21,039
12/31/2014 23,663 21,614
1/31/2015 22,637 20,714
2/28/2015 24,261 21,676
3/31/2015 24,589 22,042
4/30/2015 24,343 21,571
5/31/2015 24,696 21,750
6/30/2015 24,601 21,778
7/31/2015 23,968 21,177
8/31/2015 22,991 20,137
9/30/2015 21,870 19,440
10/31/2015 23,216 20,529
11/30/2015 23,766 21,112
12/31/2015 22,309 19,999
1/31/2016 20,796 18,656
2/29/2016 21,089 18,783
3/31/2016 22,879 20,340
4/30/2016 23,355 20,771
5/31/2016 23,513 21,151
6/30/2016 23,199 21,216
7/31/2016 24,347 22,360
8/31/2016 24,710 22,916
9/30/2016 24,942 23,097
10/31/2016 24,213 22,338
11/30/2016 27,527 25,302
12/31/2016 28,302 26,347
1/31/2017 28,350 26,159
2/28/2017 28,632 26,538
3/31/2017 28,374 26,313
4/30/2017 28,221 26,417
5/31/2017 27,275 25,594
6/30/2017 28,198 26,489
7/31/2017 28,459 26,657
8/31/2017 27,665 26,002
9/30/2017 29,680 27,843
10/31/2017 29,894 27,879
11/30/2017 30,833 28,686
12/31/2017 31,016 28,412
1/31/2018 31,652 28,762
2/28/2018 30,157 27,324
3/31/2018 30,339 27,662
4/30/2018 30,626 28,142
5/31/2018 32,173 29,779
6/30/2018 32,168 29,959
7/31/2018 32,806 30,488
8/31/2018 33,607 31,214
9/30/2018 32,653 30,440
10/31/2018 29,440 27,714
11/30/2018 29,905 28,161
12/31/2018 26,122 24,757
1/31/2019 29,231 27,465
2/28/2019 30,337 28,533 Past performance is not
3/31/2019 29,293 27,710 predictive of future
4/30/2019 30,694 28,758 performance.
5/31/2019 27,390 26,409
6/30/2019 29,571 28,091 The returns shown do not
7/31/2019 29,783 28,136 reflect the deduction of
8/31/2019 27,569 26,566 taxes that a shareholder
9/30/2019 29,220 27,930 would pay on fund
10/31/2019 29,700 28,607 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
--------------------------------------------------------------- 1995-2019, all rights
0.88% 4.80% 11.50% reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
--------------------------------------------------------------------------------
[CHART]
U.S. Targeted
Value Portfolio - Class R1 Russell 2000/R/ Value Index
-------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,338 10,318
12/31/2009 11,149 11,100
1/31/2010 10,897 10,774
2/28/2010 11,514 11,274
3/31/2010 12,464 12,212
4/30/2010 13,370 13,066
5/31/2010 12,162 11,962
6/30/2010 11,004 10,918
7/31/2010 11,862 11,697
8/31/2010 10,904 10,818
9/30/2010 12,238 11,979
10/31/2010 12,693 12,443
11/30/2010 13,208 12,759
12/31/2010 14,384 13,820
1/31/2011 14,480 13,827
2/28/2011 15,293 14,529
3/31/2011 15,587 14,731
4/30/2011 15,838 14,970
5/31/2011 15,448 14,702
6/30/2011 15,106 14,341
7/31/2011 14,578 13,867
8/31/2011 13,115 12,642
9/30/2011 11,484 11,261
10/31/2011 13,288 12,884
11/30/2011 13,332 12,858
12/31/2011 13,463 13,059
1/31/2012 14,279 13,928
2/29/2012 14,797 14,135
3/31/2012 15,072 14,573
4/30/2012 14,826 14,362
5/31/2012 13,720 13,485
6/30/2012 14,275 14,135
7/31/2012 14,204 13,990
8/31/2012 14,856 14,422
9/30/2012 15,325 14,936
10/31/2012 15,237 14,748
11/30/2012 15,493 14,794
12/31/2012 16,029 15,417
1/31/2013 17,131 16,336
2/28/2013 17,414 16,522
3/31/2013 18,262 17,210
4/30/2013 18,083 17,193
5/31/2013 18,969 17,707
6/30/2013 18,838 17,635
7/31/2013 20,160 18,768
8/31/2013 19,424 17,938
9/30/2013 20,502 18,974
10/31/2013 21,391 19,591
11/30/2013 22,336 20,355
12/31/2013 22,913 20,739
1/31/2014 21,827 19,937
2/28/2014 22,963 20,849
3/31/2014 23,416 21,107
4/30/2014 22,983 20,564
5/31/2014 23,205 20,695
6/30/2014 24,190 21,610
7/31/2014 22,980 20,303
8/31/2014 24,149 21,186
9/30/2014 22,700 19,757
10/31/2014 23,417 21,137
11/30/2014 23,285 21,039
12/31/2014 23,576 21,614
1/31/2015 22,545 20,714
2/28/2015 24,160 21,676
3/31/2015 24,492 22,042
4/30/2015 24,237 21,571
5/31/2015 24,588 21,750
6/30/2015 24,499 21,778
7/31/2015 23,858 21,177
8/31/2015 22,887 20,137
9/30/2015 21,766 19,440
10/31/2015 23,105 20,529
11/30/2015 23,651 21,112
12/31/2015 22,200 19,999
1/31/2016 20,695 18,656
2/29/2016 20,976 18,783
3/31/2016 22,762 20,340
4/30/2016 23,235 20,771
5/31/2016 23,382 21,151
6/30/2016 23,075 21,216
7/31/2016 24,217 22,360
8/31/2016 24,578 22,916
9/30/2016 24,803 23,097
10/31/2016 24,078 22,338
11/30/2016 27,374 25,302
12/31/2016 28,130 26,347
1/31/2017 28,176 26,159
2/28/2017 28,469 26,538
3/31/2017 28,207 26,313
4/30/2017 28,043 26,417
5/31/2017 27,103 25,594
6/30/2017 28,025 26,489
7/31/2017 28,272 26,657
8/31/2017 27,484 26,002
9/30/2017 29,491 27,843
10/31/2017 29,692 27,879
11/30/2017 30,625 28,686
12/31/2017 30,803 28,412
1/31/2018 31,435 28,762
2/28/2018 29,949 27,324
3/31/2018 30,122 27,662
4/30/2018 30,407 28,142
5/31/2018 31,944 29,779
6/30/2018 31,931 29,959
7/31/2018 32,565 30,488
8/31/2018 33,360 31,214
9/30/2018 32,404 30,440
10/31/2018 29,215 27,714
11/30/2018 29,676 28,161
12/31/2018 25,913 24,757
1/31/2019 28,999 27,465
2/28/2019 30,097 28,533 Past performance is not
3/31/2019 29,066 27,710 predictive of future
4/30/2019 30,443 28,758 performance.
5/31/2019 27,165 26,409
6/30/2019 29,335 28,091 The returns shown do not
7/31/2019 29,532 28,136 reflect the deduction of
8/31/2019 27,336 26,566 taxes that a shareholder
9/30/2019 28,967 27,930 would pay on fund
10/31/2019 29,442 28,607 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
----------------------------------------------------------- 1995-2019, all rights
0.78% 4.69% 11.40% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Targeted Value
Portfolio - Class R2 Russell 2000/R/ Value Index
------------------------ ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,333 10,318
12/31/2009 11,144 11,100
1/31/2010 10,882 10,774
2/28/2010 11,490 11,274
3/31/2010 12,446 12,212
4/30/2010 13,340 13,066
5/31/2010 12,136 11,962
6/30/2010 10,988 10,918
7/31/2010 11,835 11,697
8/31/2010 10,881 10,818
9/30/2010 12,211 11,979
10/31/2010 12,666 12,443
11/30/2010 13,169 12,759
12/31/2010 14,336 13,820
1/31/2011 14,439 13,827
2/28/2011 15,241 14,529
3/31/2011 15,534 14,731
4/30/2011 15,775 14,970
5/31/2011 15,387 14,702
6/30/2011 15,055 14,341
7/31/2011 14,520 13,867
8/31/2011 13,061 12,642
9/30/2011 11,438 11,261
10/31/2011 13,236 12,884
11/30/2011 13,279 12,858
12/31/2011 13,407 13,059
1/31/2012 14,220 13,928
2/29/2012 14,727 14,135
3/31/2012 14,998 14,573
4/30/2012 14,754 14,362
5/31/2012 13,652 13,485
6/30/2012 14,198 14,135
7/31/2012 14,128 13,990
8/31/2012 14,777 14,422
9/30/2012 15,238 14,936
10/31/2012 15,150 14,748
11/30/2012 15,405 14,794
12/31/2012 15,931 15,417
1/31/2013 17,019 16,336
2/28/2013 17,309 16,522
3/31/2013 18,144 17,210
4/30/2013 17,966 17,193
5/31/2013 18,847 17,707
6/30/2013 18,711 17,635
7/31/2013 20,016 18,768
8/31/2013 19,274 17,938
9/30/2013 20,351 18,974
10/31/2013 21,226 19,591
11/30/2013 22,157 20,355
12/31/2013 22,730 20,739
1/31/2014 21,650 19,937
2/28/2014 22,770 20,849
3/31/2014 23,216 21,107
4/30/2014 22,786 20,564
5/31/2014 23,006 20,695
6/30/2014 23,977 21,610
7/31/2014 22,775 20,303
8/31/2014 23,937 21,186
9/30/2014 22,498 19,757
10/31/2014 23,200 21,137
11/30/2014 23,059 21,039
12/31/2014 23,354 21,614
1/31/2015 22,330 20,714
2/28/2015 23,924 21,676
3/31/2015 24,247 22,042
4/30/2015 23,994 21,571
5/31/2015 24,332 21,750
6/30/2015 24,246 21,778
7/31/2015 23,610 21,177
8/31/2015 22,646 20,137
9/30/2015 21,536 19,440
10/31/2015 22,854 20,529
11/30/2015 23,385 21,112
12/31/2015 21,963 19,999
1/31/2016 20,470 18,656
2/29/2016 20,737 18,783
3/31/2016 22,512 20,340
4/30/2016 22,970 20,771
5/31/2016 23,116 21,151
6/30/2016 22,814 21,216
7/31/2016 23,936 22,360
8/31/2016 24,283 22,916
9/30/2016 24,508 23,097
10/31/2016 23,777 22,338
11/30/2016 27,036 25,302
12/31/2016 27,781 26,347
1/31/2017 27,828 26,159
2/28/2017 28,107 26,538
3/31/2017 27,849 26,313
4/30/2017 27,686 26,417
5/31/2017 26,753 25,594
6/30/2017 27,646 26,489
7/31/2017 27,902 26,657
8/31/2017 27,120 26,002
9/30/2017 29,087 27,843
10/31/2017 29,286 27,879
11/30/2017 30,199 28,686
12/31/2017 30,370 28,412
1/31/2018 30,995 28,762
2/28/2018 29,523 27,324
3/31/2018 29,695 27,662
4/30/2018 29,965 28,142
5/31/2018 31,475 29,779
6/30/2018 31,463 29,959
7/31/2018 32,079 30,488
8/31/2018 32,854 31,214
9/30/2018 31,919 30,440
10/31/2018 28,761 27,714
11/30/2018 29,218 28,161
12/31/2018 25,517 24,757
1/31/2019 28,545 27,465
2/28/2019 29,619 28,533 Past performance is not
3/31/2019 28,598 27,710 predictive of future
4/30/2019 29,960 28,758 performance.
5/31/2019 26,718 26,409
6/30/2019 28,853 28,091 The returns shown do not
7/31/2019 29,048 28,136 reflect the deduction of
8/31/2019 26,888 26,566 taxes that a shareholder
9/30/2019 28,490 27,930 would pay on fund
10/31/2019 28,947 28,607 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
--------------------------------------------------------------- 1995-2019, all rights
0.64% 4.53% 11.21% reserved.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO VS.
RUSSELL 2000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index
-------------------------------- -----------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,311 10,318
12/31/2009 11,127 11,100
1/31/2010 10,776 10,774
2/28/2010 11,439 11,274
3/31/2010 12,453 12,212
4/30/2010 13,462 13,066
5/31/2010 12,130 11,962
6/30/2010 10,899 10,918
7/31/2010 11,846 11,697
8/31/2010 10,854 10,818
9/30/2010 12,258 11,979
10/31/2010 12,769 12,443
11/30/2010 13,342 12,759
12/31/2010 14,566 13,820
1/31/2011 14,612 13,827
2/28/2011 15,529 14,529
3/31/2011 15,848 14,731
4/30/2011 16,047 14,970
5/31/2011 15,546 14,702
6/30/2011 15,265 14,341
7/31/2011 14,826 13,867
8/31/2011 13,258 12,642
9/30/2011 11,590 11,261
10/31/2011 13,424 12,884
11/30/2011 13,332 12,858
12/31/2011 13,467 13,059
1/31/2012 14,467 13,928
2/29/2012 14,927 14,135
3/31/2012 15,270 14,573
4/30/2012 15,025 14,362
5/31/2012 13,955 13,485
6/30/2012 14,567 14,135
7/31/2012 14,532 13,990
8/31/2012 15,144 14,422
9/30/2012 15,646 14,936
10/31/2012 15,518 14,748
11/30/2012 15,804 14,794
12/31/2012 16,392 15,417
1/31/2013 17,468 16,336
2/28/2013 17,775 16,522
3/31/2013 18,647 17,210
4/30/2013 18,440 17,193
5/31/2013 19,435 17,707
6/30/2013 19,298 17,635
7/31/2013 20,714 18,768
8/31/2013 19,850 17,938
9/30/2013 20,890 18,974
10/31/2013 21,624 19,591
11/30/2013 22,722 20,355
12/31/2013 23,340 20,739
1/31/2014 22,141 19,937
2/28/2014 23,347 20,849
3/31/2014 23,624 21,107
4/30/2014 23,169 20,564
5/31/2014 23,360 20,695
6/30/2014 24,396 21,610
7/31/2014 22,991 20,303
8/31/2014 24,330 21,186
9/30/2014 22,633 19,757
10/31/2014 23,677 21,137
11/30/2014 23,611 21,039
12/31/2014 24,153 21,614
1/31/2015 22,958 20,714
2/28/2015 24,311 21,676
3/31/2015 24,743 22,042
4/30/2015 24,411 21,571
5/31/2015 24,743 21,750
6/30/2015 24,755 21,778
7/31/2015 23,848 21,177
8/31/2015 22,885 20,137
9/30/2015 21,854 19,440
10/31/2015 23,008 20,529
11/30/2015 23,738 21,112
12/31/2015 22,266 19,999
1/31/2016 20,666 18,656
2/29/2016 20,907 18,783
3/31/2016 22,740 20,340
4/30/2016 23,150 20,771
5/31/2016 23,260 21,151
6/30/2016 22,990 21,216
7/31/2016 24,106 22,360
8/31/2016 24,524 22,916
9/30/2016 24,820 23,097
10/31/2016 24,042 22,338
11/30/2016 27,617 25,302
12/31/2016 28,559 26,347
1/31/2017 28,406 26,159
2/28/2017 28,497 26,538
3/31/2017 28,173 26,313
4/30/2017 28,303 26,417
5/31/2017 27,310 25,594
6/30/2017 28,016 26,489
7/31/2017 28,231 26,657
8/31/2017 27,511 26,002
9/30/2017 29,689 27,843
10/31/2017 29,973 27,879
11/30/2017 30,610 28,686
12/31/2017 30,618 28,412
1/31/2018 31,079 28,762
2/28/2018 29,625 27,324
3/31/2018 29,901 27,662
4/30/2018 30,296 28,142
5/31/2018 32,202 29,779
6/30/2018 32,222 29,959
7/31/2018 32,740 30,488
8/31/2018 33,670 31,214
9/30/2018 32,596 30,440
10/31/2018 29,529 27,714
11/30/2018 29,797 28,161
12/31/2018 25,986 24,757
1/31/2019 29,105 27,465
2/28/2019 30,058 28,533 Past performance is not
3/31/2019 28,957 27,710 predictive of future
4/30/2019 30,128 28,758 performance.
5/31/2019 26,658 26,409
6/30/2019 28,728 28,091 The returns shown do not
7/31/2019 28,842 28,136 reflect the deduction of
8/31/2019 26,535 26,566 taxes that a shareholder
9/30/2019 28,116 27,930 would pay on fund
10/31/2019 28,631 28,607 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
-------------------------------------------------------------- 1995-2019, all rights
-3.04% 3.87% 11.09% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. CORE EQUITY 1 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Core Equity 1 Portfolio Russell 3000/R/ Index
------------------------------ -----------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,504 10,568
12/31/2009 10,927 10,869
1/31/2010 10,575 10,478
2/28/2010 10,986 10,833
3/31/2010 11,716 11,516
4/30/2010 12,082 11,764
5/31/2010 11,128 10,835
6/30/2010 10,411 10,212
7/31/2010 11,155 10,921
8/31/2010 10,553 10,407
9/30/2010 11,629 11,389
10/31/2010 12,080 11,834
11/30/2010 12,234 11,903
12/31/2010 13,125 12,710
1/31/2011 13,387 12,987
2/28/2011 13,924 13,460
3/31/2011 14,071 13,521
4/30/2011 14,454 13,923
5/31/2011 14,251 13,764
6/30/2011 13,987 13,517
7/31/2011 13,591 13,208
8/31/2011 12,643 12,415
9/30/2011 11,537 11,452
10/31/2011 12,982 12,770
11/30/2011 12,958 12,735
12/31/2011 13,041 12,840
1/31/2012 13,744 13,488
2/29/2012 14,338 14,058
3/31/2012 14,718 14,492
4/30/2012 14,573 14,397
5/31/2012 13,613 13,507
6/30/2012 14,117 14,036
7/31/2012 14,214 14,175
8/31/2012 14,629 14,529
9/30/2012 15,046 14,910
10/31/2012 14,837 14,653
11/30/2012 14,997 14,767
12/31/2012 15,247 14,948
1/31/2013 16,173 15,768
2/28/2013 16,371 15,977
3/31/2013 17,042 16,603
4/30/2013 17,227 16,875
5/31/2013 17,796 17,273
6/30/2013 17,617 17,049
7/31/2013 18,636 17,983
8/31/2013 18,114 17,481
9/30/2013 18,860 18,131
10/31/2013 19,633 18,901
11/30/2013 20,269 19,450
12/31/2013 20,828 19,963
1/31/2014 20,110 19,332
2/28/2014 21,080 20,249
3/31/2014 21,249 20,357
4/30/2014 21,198 20,381
5/31/2014 21,615 20,826
6/30/2014 22,240 21,348
7/31/2014 21,670 20,927
8/31/2014 22,595 21,805
9/30/2014 21,976 21,351
10/31/2014 22,523 21,938
11/30/2014 22,993 22,470
12/31/2014 23,019 22,470
1/31/2015 22,300 21,844
2/28/2015 23,687 23,109
3/31/2015 23,533 22,874
4/30/2015 23,597 22,978
5/31/2015 23,907 23,295
6/30/2015 23,559 22,906
7/31/2015 23,714 23,289
8/31/2015 22,382 21,883
9/30/2015 21,646 21,245
10/31/2015 23,258 22,923
11/30/2015 23,414 23,050
12/31/2015 22,709 22,577
1/31/2016 21,373 21,303
2/29/2016 21,505 21,296
3/31/2016 23,054 22,796
4/30/2016 23,214 22,937
5/31/2016 23,572 23,347
6/30/2016 23,504 23,395
7/31/2016 24,465 24,324
8/31/2016 24,612 24,386
9/30/2016 24,662 24,424
10/31/2016 24,113 23,896
11/30/2016 25,586 24,965
12/31/2016 26,069 25,452
1/31/2017 26,529 25,931
2/28/2017 27,395 26,896
3/31/2017 27,414 26,914
4/30/2017 27,658 27,200
5/31/2017 27,807 27,478
6/30/2017 28,123 27,726
7/31/2017 28,600 28,249
8/31/2017 28,545 28,303
9/30/2017 29,480 28,993
10/31/2017 30,123 29,626
11/30/2017 31,150 30,526
12/31/2017 31,516 30,831
1/31/2018 33,093 32,456
2/28/2018 31,862 31,259
3/31/2018 31,331 30,632
4/30/2018 31,387 30,748
5/31/2018 32,315 31,616
6/30/2018 32,450 31,823
7/31/2018 33,494 32,879
8/31/2018 34,649 34,034
9/30/2018 34,572 34,090
10/31/2018 31,806 31,580
11/30/2018 32,337 32,213
12/31/2018 29,061 29,215
1/31/2019 31,663 31,722
2/28/2019 32,865 32,838 Past performance is not
3/31/2019 33,069 33,317 predictive of future
4/30/2019 34,502 34,648 performance.
5/31/2019 31,933 32,406
6/30/2019 34,357 34,682 The returns shown do not
7/31/2019 34,842 35,197 reflect the deduction of
8/31/2019 33,802 34,480 taxes that a shareholder
9/30/2019 34,645 35,085 would pay on fund
10/31/2019 35,361 35,840 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
-------------------------------------------------------- 1995-2019, all rights
11.18% 9.44% 13.46% reserved.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Core Equity 2 Portfolio Russell 3000/R/ Index
------------------------------ -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,453 10,568
12/31/2009 10,929 10,869
1/31/2010 10,594 10,478
2/28/2010 11,036 10,833
3/31/2010 11,825 11,516
4/30/2010 12,256 11,764
5/31/2010 11,286 10,835
6/30/2010 10,492 10,212
7/31/2010 11,261 10,921
8/31/2010 10,588 10,407
9/30/2010 11,706 11,389
10/31/2010 12,141 11,834
11/30/2010 12,334 11,903
12/31/2010 13,312 12,710
1/31/2011 13,567 12,987
2/28/2011 14,174 13,460
3/31/2011 14,345 13,521
4/30/2011 14,674 13,923
5/31/2011 14,443 13,764
6/30/2011 14,159 13,517
7/31/2011 13,683 13,208
8/31/2011 12,647 12,415
9/30/2011 11,446 11,452
10/31/2011 12,989 12,770
11/30/2011 12,940 12,735
12/31/2011 13,034 12,840
1/31/2012 13,760 13,488
2/29/2012 14,351 14,058
3/31/2012 14,697 14,492
4/30/2012 14,549 14,397
5/31/2012 13,551 13,507
6/30/2012 14,085 14,036
7/31/2012 14,160 14,175
8/31/2012 14,606 14,529
9/30/2012 15,049 14,910
10/31/2012 14,913 14,653
11/30/2012 15,049 14,767
12/31/2012 15,390 14,948
1/31/2013 16,363 15,768
2/28/2013 16,565 15,977
3/31/2013 17,260 16,603
4/30/2013 17,387 16,875
5/31/2013 18,045 17,273
6/30/2013 17,873 17,049
7/31/2013 18,954 17,983
8/31/2013 18,369 17,481
9/30/2013 19,154 18,131
10/31/2013 19,932 18,901
11/30/2013 20,608 19,450
12/31/2013 21,201 19,963
1/31/2014 20,411 19,332
2/28/2014 21,369 20,249
3/31/2014 21,617 20,357
4/30/2014 21,513 20,381
5/31/2014 21,890 20,826
6/30/2014 22,583 21,348
7/31/2014 21,957 20,927
8/31/2014 22,870 21,805
9/30/2014 22,143 21,351
10/31/2014 22,679 21,938
11/30/2014 23,085 22,470
12/31/2014 23,176 22,470
1/31/2015 22,342 21,844
2/28/2015 23,786 23,109
3/31/2015 23,672 22,874
4/30/2015 23,725 22,978
5/31/2015 24,031 23,295
6/30/2015 23,710 22,906
7/31/2015 23,670 23,289
8/31/2015 22,350 21,883
9/30/2015 21,547 21,245
10/31/2015 23,114 22,923
11/30/2015 23,302 23,050
12/31/2015 22,464 22,577
1/31/2016 21,091 21,303
2/29/2016 21,242 21,296
3/31/2016 22,790 22,796
4/30/2016 23,011 22,937
5/31/2016 23,370 23,347
6/30/2016 23,250 23,395
7/31/2016 24,207 24,324
8/31/2016 24,415 24,386
9/30/2016 24,473 24,424
10/31/2016 23,917 23,896
11/30/2016 25,670 24,965
12/31/2016 26,188 25,452
1/31/2017 26,582 25,931
2/28/2017 27,328 26,896
3/31/2017 27,269 26,914
4/30/2017 27,481 27,200
5/31/2017 27,438 27,478
6/30/2017 27,855 27,726
7/31/2017 28,295 28,249
8/31/2017 28,096 28,303
9/30/2017 29,201 28,993
10/31/2017 29,742 29,626
11/30/2017 30,767 30,526
12/31/2017 31,148 30,831
1/31/2018 32,549 32,456
2/28/2018 31,249 31,259
3/31/2018 30,821 30,632
4/30/2018 30,850 30,748
5/31/2018 31,704 31,616
6/30/2018 31,790 31,823
7/31/2018 32,821 32,879
8/31/2018 33,853 34,034
9/30/2018 33,661 34,090
10/31/2018 30,979 31,580
11/30/2018 31,474 32,213
12/31/2018 28,152 29,215
1/31/2019 30,733 31,722
2/28/2019 31,920 32,838 Past performance is not
3/31/2019 31,934 33,317 predictive of future
4/30/2019 33,333 34,648 performance.
5/31/2019 30,772 32,406
6/30/2019 33,108 34,682 The returns shown do not
7/31/2019 33,587 35,197 reflect the deduction of
8/31/2019 32,436 34,480 taxes that a shareholder
9/30/2019 33,317 35,085 would pay on fund
10/31/2019 34,007 35,840 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
----------------------------------------------------------- 1995-2019, all rights
9.78% 8.44% 13.02% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. VECTOR EQUITY PORTFOLIO VS.
RUSSELL 3000(R) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Vector Equity Portfolio Russell 3000/R/ Index
------------------------------ -------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,374 10,568
12/31/2009 10,992 10,869
1/31/2010 10,679 10,478
2/28/2010 11,204 10,833
3/31/2010 12,045 11,516
4/30/2010 12,659 11,764
5/31/2010 11,644 10,835
6/30/2010 10,741 10,212
7/31/2010 11,532 10,921
8/31/2010 10,741 10,407
9/30/2010 11,924 11,389
10/31/2010 12,365 11,834
11/30/2010 12,667 11,903
12/31/2010 13,753 12,710
1/31/2011 13,942 12,987
2/28/2011 14,651 13,460
3/31/2011 14,894 13,521
4/30/2011 15,198 13,923
5/31/2011 14,907 13,764
6/30/2011 14,586 13,517
7/31/2011 14,053 13,208
8/31/2011 12,822 12,415
9/30/2011 11,434 11,452
10/31/2011 13,089 12,770
11/30/2011 13,026 12,735
12/31/2011 13,125 12,840
1/31/2012 13,932 13,488
2/29/2012 14,508 14,058
3/31/2012 14,857 14,492
4/30/2012 14,639 14,397
5/31/2012 13,575 13,507
6/30/2012 14,111 14,036
7/31/2012 14,085 14,175
8/31/2012 14,601 14,529
9/30/2012 15,072 14,910
10/31/2012 14,994 14,653
11/30/2012 15,175 14,767
12/31/2012 15,615 14,948
1/31/2013 16,696 15,768
2/28/2013 16,879 15,977
3/31/2013 17,634 16,603
4/30/2013 17,621 16,875
5/31/2013 18,391 17,273
6/30/2013 18,239 17,049
7/31/2013 19,417 17,983
8/31/2013 18,789 17,481
9/30/2013 19,711 18,131
10/31/2013 20,512 18,901
11/30/2013 21,300 19,450
12/31/2013 21,893 19,963
1/31/2014 20,998 19,332
2/28/2014 21,974 20,249
3/31/2014 22,266 20,357
4/30/2014 22,012 20,381
5/31/2014 22,333 20,826
6/30/2014 23,181 21,348
7/31/2014 22,335 20,927
8/31/2014 23,329 21,805
9/30/2014 22,321 21,351
10/31/2014 22,955 21,938
11/30/2014 23,103 22,470
12/31/2014 23,319 22,470
1/31/2015 22,298 21,844
2/28/2015 23,809 23,109
3/31/2015 23,858 22,874
4/30/2015 23,801 22,978
5/31/2015 24,082 23,295
6/30/2015 23,938 22,906
7/31/2015 23,628 23,289
8/31/2015 22,432 21,883
9/30/2015 21,501 21,245
10/31/2015 22,914 22,923
11/30/2015 23,253 23,050
12/31/2015 22,146 22,577
1/31/2016 20,604 21,303
2/29/2016 20,780 21,296
3/31/2016 22,402 22,796
4/30/2016 22,785 22,937
5/31/2016 23,051 23,347
6/30/2016 22,829 23,395
7/31/2016 23,865 24,324
8/31/2016 24,176 24,386
9/30/2016 24,275 24,424
10/31/2016 23,666 23,896
11/30/2016 26,117 24,965
12/31/2016 26,799 25,452
1/31/2017 27,043 25,931
2/28/2017 27,562 26,896
3/31/2017 27,428 26,914
4/30/2017 27,551 27,200
5/31/2017 27,107 27,478
6/30/2017 27,730 27,726
7/31/2017 28,099 28,249
8/31/2017 27,623 28,303
9/30/2017 29,149 28,993
10/31/2017 29,518 29,626
11/30/2017 30,458 30,526
12/31/2017 30,721 30,831
1/31/2018 31,795 32,456
2/28/2018 30,385 31,259
3/31/2018 30,285 30,632
4/30/2018 30,382 30,748
5/31/2018 31,425 31,616
6/30/2018 31,426 31,823
7/31/2018 32,327 32,879
8/31/2018 33,180 34,034
9/30/2018 32,598 34,090
10/31/2018 29,723 31,580
11/30/2018 30,159 32,213
12/31/2018 26,655 29,215
1/31/2019 29,368 31,722
2/28/2019 30,550 32,838 Past performance is not
3/31/2019 30,001 33,317 predictive of future
4/30/2019 31,388 34,648 performance.
5/31/2019 28,682 32,406
6/30/2019 30,917 34,682 The returns shown do not
7/31/2019 31,353 35,197 reflect the deduction of
8/31/2019 29,727 34,480 taxes that a shareholder
9/30/2019 30,892 35,085 would pay on fund
10/31/2019 31,481 35,840 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
----------------------------------------------------------- 1995-2019, all rights
5.92% 6.52% 12.15% reserved.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. SMALL CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Small Cap Portfolio Russell 2000/R/ Index
----------------------------- -----------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,255 10,314
12/31/2009 11,105 11,144
1/31/2010 10,768 10,734
2/28/2010 11,294 11,217
3/31/2010 12,219 12,130
4/30/2010 13,049 12,817
5/31/2010 12,030 11,845
6/30/2010 11,069 10,927
7/31/2010 11,865 11,678
8/31/2010 10,960 10,813
9/30/2010 12,391 12,160
10/31/2010 12,899 12,658
11/30/2010 13,440 13,097
12/31/2010 14,515 14,137
1/31/2011 14,528 14,100
2/28/2011 15,344 14,874
3/31/2011 15,783 15,259
4/30/2011 16,157 15,662
5/31/2011 15,830 15,368
6/30/2011 15,578 15,014
7/31/2011 15,033 14,471
8/31/2011 13,684 13,212
9/30/2011 12,164 11,731
10/31/2011 14,028 13,507
11/30/2011 13,980 13,458
12/31/2011 14,058 13,547
1/31/2012 15,003 14,504
2/29/2012 15,434 14,851
3/31/2012 15,837 15,231
4/30/2012 15,618 14,996
5/31/2012 14,604 14,003
6/30/2012 15,221 14,702
7/31/2012 15,097 14,499
8/31/2012 15,627 14,982
9/30/2012 16,137 15,474
10/31/2012 15,937 15,139
11/30/2012 16,123 15,219
12/31/2012 16,643 15,761
1/31/2013 17,686 16,748
2/28/2013 17,862 16,933
3/31/2013 18,725 17,715
4/30/2013 18,570 17,649
5/31/2013 19,525 18,355
6/30/2013 19,503 18,261
7/31/2013 20,909 19,539
8/31/2013 20,202 18,918
9/30/2013 21,455 20,125
10/31/2013 22,156 20,631
11/30/2013 23,196 21,458
12/31/2013 23,668 21,880
1/31/2014 22,698 21,275
2/28/2014 23,737 22,277
3/31/2014 23,864 22,125
4/30/2014 23,161 21,267
5/31/2014 23,291 21,437
6/30/2014 24,398 22,578
7/31/2014 22,935 21,211
8/31/2014 24,022 22,263
9/30/2014 22,727 20,916
10/31/2014 24,077 22,295
11/30/2014 24,161 22,315
12/31/2014 24,718 22,951
1/31/2015 23,695 22,213
2/28/2015 25,258 23,532
3/31/2015 25,705 23,942
4/30/2015 25,109 23,331
5/31/2015 25,546 23,864
6/30/2015 25,803 24,042
7/31/2015 25,477 23,763
8/31/2015 24,202 22,270
9/30/2015 23,275 21,177
10/31/2015 24,641 22,370
11/30/2015 25,264 23,098
12/31/2015 23,906 21,938
1/31/2016 22,389 20,009
2/29/2016 22,625 20,008
3/31/2016 24,346 21,605
4/30/2016 24,574 21,944
5/31/2016 24,887 22,438
6/30/2016 24,758 22,424
7/31/2016 25,996 23,763
8/31/2016 26,385 24,183
9/30/2016 26,492 24,453
10/31/2016 25,600 23,290
11/30/2016 28,692 25,887
12/31/2016 29,530 26,613
1/31/2017 29,530 26,718
2/28/2017 29,879 27,233
3/31/2017 29,821 27,269
4/30/2017 30,084 27,568
5/31/2017 29,332 27,007
6/30/2017 30,095 27,941
7/31/2017 30,332 28,148
8/31/2017 29,631 27,790
9/30/2017 31,728 29,525
10/31/2017 32,053 29,776
11/30/2017 33,037 30,634
12/31/2017 32,933 30,511
1/31/2018 33,657 31,308
2/28/2018 32,145 30,096
3/31/2018 32,432 30,485
4/30/2018 32,698 30,749
5/31/2018 34,406 32,615
6/30/2018 34,703 32,849
7/31/2018 35,439 33,421
8/31/2018 36,745 34,862
9/30/2018 35,831 34,024
10/31/2018 32,299 30,328
11/30/2018 32,621 30,810
12/31/2018 28,610 27,150
1/31/2019 31,658 30,205 Past performance is not
2/28/2019 33,168 31,775 predictive of future
3/31/2019 32,162 31,110 performance.
4/30/2019 33,530 32,167
5/31/2019 30,466 29,665 The returns shown do not
6/30/2019 32,785 31,762 reflect the deduction of
7/31/2019 32,988 31,945 taxes that a shareholder
8/31/2019 31,016 30,367 would pay on fund
9/30/2019 32,115 30,999 distributions or the
10/31/2019 32,755 31,816 redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
----------------------------------------------------------- 1995-2019, all rights
1.41% 6.35% 12.60% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO VS.
RUSSELL 2000(R) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Micro Cap Portfolio Russell 2000/R/ Index
-------------------------- ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,178 10,314
12/31/2009 11,062 11,144
1/31/2010 10,737 10,734
2/28/2010 11,209 11,217
3/31/2010 12,115 12,130
4/30/2010 12,995 12,817
5/31/2010 12,031 11,845
6/30/2010 11,160 10,927
7/31/2010 11,957 11,678
8/31/2010 11,003 10,813
9/30/2010 12,341 12,160
10/31/2010 12,877 12,658
11/30/2010 13,423 13,097
12/31/2010 14,523 14,137
1/31/2011 14,365 14,100
2/28/2011 15,208 14,874
3/31/2011 15,702 15,259
4/30/2011 15,966 15,662
5/31/2011 15,660 15,368
6/30/2011 15,322 15,014
7/31/2011 14,910 14,471
8/31/2011 13,579 13,212
9/30/2011 12,142 11,731
10/31/2011 14,016 13,507
11/30/2011 13,931 13,458
12/31/2011 14,051 13,547
1/31/2012 15,028 14,504
2/29/2012 15,315 14,851
3/31/2012 15,772 15,231
4/30/2012 15,549 14,996
5/31/2012 14,465 14,003
6/30/2012 15,206 14,702
7/31/2012 15,067 14,499
8/31/2012 15,537 14,982
9/30/2012 16,188 15,474
10/31/2012 15,857 15,139
11/30/2012 16,006 15,219
12/31/2012 16,614 15,761
1/31/2013 17,558 16,748
2/28/2013 17,752 16,933
3/31/2013 18,617 17,715
4/30/2013 18,469 17,649
5/31/2013 19,425 18,355
6/30/2013 19,513 18,261
7/31/2013 20,960 19,539
8/31/2013 20,231 18,918
9/30/2013 21,658 20,125
10/31/2013 22,411 20,631
11/30/2013 23,655 21,458
12/31/2013 24,101 21,880
1/31/2014 23,034 21,275
2/28/2014 24,005 22,277
3/31/2014 24,239 22,125
4/30/2014 23,411 21,267
5/31/2014 23,435 21,437
6/30/2014 24,452 22,578
7/31/2014 23,023 21,211
8/31/2014 24,068 22,263
9/30/2014 22,697 20,916
10/31/2014 24,177 22,295
11/30/2014 23,997 22,315
12/31/2014 24,805 22,951
1/31/2015 23,589 22,213
2/28/2015 25,010 23,532
3/31/2015 25,582 23,942
4/30/2015 25,082 23,331
5/31/2015 25,428 23,864
6/30/2015 25,841 24,042
7/31/2015 25,212 23,763
8/31/2015 24,095 22,270
9/30/2015 23,056 21,177
10/31/2015 24,445 22,370
11/30/2015 25,140 23,098
12/31/2015 23,907 21,938
1/31/2016 22,282 20,009
2/29/2016 22,528 20,008
3/31/2016 24,122 21,605
4/30/2016 24,382 21,944
5/31/2016 24,642 22,438
6/30/2016 24,599 22,424
7/31/2016 25,833 23,763
8/31/2016 26,244 24,183
9/30/2016 26,434 24,453
10/31/2016 25,500 23,290
11/30/2016 28,863 25,887
12/31/2016 30,034 26,613
1/31/2017 29,603 26,718
2/28/2017 29,804 27,233
3/31/2017 29,854 27,269
4/30/2017 30,329 27,568
5/31/2017 29,422 27,007
6/30/2017 30,516 27,941
7/31/2017 30,660 28,148
8/31/2017 29,996 27,790
9/30/2017 32,513 29,525
10/31/2017 32,874 29,776
11/30/2017 33,740 30,634
12/31/2017 33,391 30,511
1/31/2018 34,074 31,308
2/28/2018 32,603 30,096
3/31/2018 33,161 30,485
4/30/2018 33,434 30,749
5/31/2018 35,421 32,615
6/30/2018 35,917 32,849
7/31/2018 36,707 33,421
8/31/2018 38,090 34,862
9/30/2018 37,162 34,024
10/31/2018 33,296 30,328
11/30/2018 33,479 30,810
12/31/2018 29,520 27,150
1/31/2019 32,505 30,205
2/28/2019 34,165 31,775 Past performance is not
3/31/2019 32,948 31,110 predictive of future
4/30/2019 34,068 32,167 performance.
5/31/2019 30,965 29,665
6/30/2019 33,229 31,762 The returns shown do not
7/31/2019 33,470 31,945 reflect the deduction of
8/31/2019 31,386 30,367 taxes that a shareholder
9/30/2019 32,687 30,999 would pay on fund
10/31/2019 33,377 31,816 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
----------------------------------------------------------- 1995-2019, all rights
0.24% 6.66% 12.81% reserved.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO VS.
RUSSELL 1000(R) INDEX
MAY 16, 2017-OCTOBER 31, 2019
[CHART]
U.S. High Relative
Profitability Portfolio Russell 1000/R/ Index
------------------------ ---------------------
5/16/2017 $10,000 $10,000
5/31/2017 10,210 10,054
6/30/2017 10,186 10,124
7/31/2017 10,376 10,325
8/31/2017 10,436 10,357
9/30/2017 10,703 10,578
10/31/2017 10,984 10,820
11/30/2017 11,487 11,150
12/31/2017 11,777 11,274
1/31/2018 12,543 11,893
2/28/2018 12,079 11,457
3/31/2018 11,792 11,197
4/30/2018 11,731 11,235
5/31/2018 12,055 11,522
6/30/2018 12,106 11,596
7/31/2018 12,573 11,996
8/31/2018 13,090 12,410
9/30/2018 13,180 12,457
10/31/2018 12,070 11,575
11/30/2018 12,335 11,811
12/31/2018 11,174 10,735
1/31/2019 12,065 11,635
2/28/2019 12,536 12,029 Past performance is not
3/31/2019 12,828 12,238 predictive of future
4/30/2019 13,362 12,732 performance.
5/31/2019 12,397 11,921
6/30/2019 13,333 12,758 The returns shown do not
7/31/2019 13,581 12,956 reflect the deduction of
8/31/2019 13,509 12,719 taxes that a shareholder
9/30/2019 13,697 12,939 would pay on fund
10/31/2019 13,987 13,213 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE Russell data copyright (C)
TOTAL RETURN YEAR INCEPTION Russell Investment Group
------------------------------------------------------ 1995-2019, all rights
15.88% 14.61% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Real Estate Dow Jones U.S. Select
Securities Portfolio S&P 500/R/ Index REIT Index
---------------------- ------------------ ---------------------
10/31/2009 $10,000 $10,000 $10,000
11/30/2009 10,687 10,600 10,688
12/31/2009 11,420 10,805 11,437
1/31/2010 10,824 10,416 10,783
2/28/2010 11,420 10,739 11,395
3/31/2010 12,582 11,387 12,559
4/30/2010 13,466 11,566 13,447
5/31/2010 12,748 10,643 12,723
6/30/2010 12,088 10,086 12,040
7/31/2010 13,280 10,792 13,231
8/31/2010 13,113 10,305 13,054
9/30/2010 13,681 11,225 13,632
10/31/2010 14,321 11,652 14,263
11/30/2010 14,038 11,653 13,985
12/31/2010 14,695 12,432 14,648
1/31/2011 15,213 12,727 15,168
2/28/2011 15,901 13,163 15,861
3/31/2011 15,662 13,168 15,628
4/30/2011 16,569 13,558 16,555
5/31/2011 16,794 13,405 16,812
6/30/2011 16,241 13,181 16,248
7/31/2011 16,508 12,913 16,544
8/31/2011 15,620 12,212 15,638
9/30/2011 13,904 11,353 13,886
10/31/2011 15,909 12,594 15,927
11/30/2011 15,307 12,566 15,300
12/31/2011 16,010 12,695 16,020
1/31/2012 17,022 13,264 17,050
2/29/2012 16,842 13,837 16,860
3/31/2012 17,709 14,293 17,743
4/30/2012 18,215 14,203 18,276
5/31/2012 17,383 13,349 17,443
6/30/2012 18,363 13,899 18,408
7/31/2012 18,725 14,092 18,758
8/31/2012 18,698 14,410 18,707
9/30/2012 18,349 14,782 18,338
10/31/2012 18,208 14,509 18,171
11/30/2012 18,144 14,593 18,081
12/31/2012 18,809 14,726 18,762
1/31/2013 19,473 15,489 19,399
2/28/2013 19,687 15,699 19,561
3/31/2013 20,230 16,288 20,083
4/30/2013 21,596 16,602 21,464
5/31/2013 20,309 16,990 20,178
6/30/2013 19,929 16,762 19,823
7/31/2013 20,102 17,615 19,976
8/31/2013 18,687 17,105 18,606
9/30/2013 19,269 17,641 19,200
10/31/2013 20,079 18,452 19,981
11/30/2013 19,009 19,015 18,885
12/31/2013 19,070 19,496 18,991
1/31/2014 19,879 18,822 19,761
2/28/2014 20,887 19,683 20,773
3/31/2014 21,023 19,848 20,955
4/30/2014 21,783 19,995 21,727
5/31/2014 22,300 20,464 22,262
6/30/2014 22,533 20,887 22,454
7/31/2014 22,548 20,599 22,500
8/31/2014 23,188 21,423 23,127
9/30/2014 21,794 21,123 21,780
10/31/2014 24,055 21,639 24,116
11/30/2014 24,555 22,221 24,625
12/31/2014 25,004 22,165 25,067
1/31/2015 26,728 21,499 26,744
2/28/2015 25,737 22,735 25,786
3/31/2015 26,193 22,375 26,249
4/30/2015 24,652 22,590 24,728
5/31/2015 24,591 22,880 24,718
6/30/2015 23,514 22,438 23,625
7/31/2015 24,863 22,908 25,026
8/31/2015 23,352 21,525 23,560
9/30/2015 24,092 20,993 24,355
10/31/2015 25,472 22,764 25,774
11/30/2015 25,334 22,831 25,632
12/31/2015 25,814 22,471 26,190
1/31/2016 24,941 21,356 25,157
2/29/2016 24,856 21,327 24,931
3/31/2016 27,421 22,774 27,531
4/30/2016 26,737 22,862 26,724
5/31/2016 27,327 23,273 27,261
6/30/2016 29,251 23,333 29,024
7/31/2016 30,496 24,194 30,293
8/31/2016 29,465 24,228 29,269
9/30/2016 28,910 24,232 28,665
10/31/2016 27,228 23,790 27,052
11/30/2016 26,736 24,671 26,686
12/31/2016 27,978 25,159 27,939
1/31/2017 27,937 25,636 27,699
2/28/2017 28,869 26,654 28,670
3/31/2017 28,199 26,685 27,863
4/30/2017 28,224 26,959 27,797
5/31/2017 28,085 27,338 27,643
6/30/2017 28,676 27,509 28,319
7/31/2017 29,038 28,075 28,579
8/31/2017 29,071 28,161 28,352
9/30/2017 28,979 28,742 28,428
10/31/2017 28,823 29,412 28,118
11/30/2017 29,630 30,314 28,982
12/31/2017 29,576 30,651 28,990
1/31/2018 28,587 32,406 27,842
2/28/2018 26,459 31,212 25,836
3/31/2018 27,507 30,419 26,838
4/30/2018 27,642 30,535 27,235
5/31/2018 28,662 31,271 28,318
6/30/2018 29,894 31,463 29,518
7/31/2018 30,150 32,634 29,681
8/31/2018 31,001 33,698 30,564
9/30/2018 30,248 33,889 29,731
10/31/2018 29,581 31,573 28,973
11/30/2018 31,028 32,216 30,378
12/31/2018 28,692 29,308 27,767
1/31/2019 31,931 31,656 30,936
2/28/2019 32,159 32,673 31,234 Past performance is not
3/31/2019 33,581 33,307 32,134 predictive of future
4/30/2019 33,467 34,656 32,072 performance.
5/31/2019 33,784 32,454 31,962
6/30/2019 34,165 34,741 32,397 The returns shown do not
7/31/2019 34,758 35,240 32,914 reflect the deduction of
8/31/2019 36,210 34,682 33,696 taxes that a shareholder
9/30/2019 36,794 35,331 34,609 would pay on fund
10/31/2019 37,167 36,096 34,978 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Copyright 2019 S&P Dow
TOTAL RETURN YEAR YEARS YEARS Jones Indices LLC, a
---------------------------------------------------------------- division of S&P Global. All
25.64% 9.09% 14.03% rights reserved.
--------------------------------------------------------------------------------
9
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-
Russell 3000(R) Index........................ 13.49%
Russell 1000(R) Index (large-cap stocks)..... 14.15%
Russell Midcap(R) Index (mid-cap stocks)..... 13.72%
Russell 2000(R) Index (small-cap stocks)..... 4.90%
Russell Microcap(R) Index (micro-cap stocks). -3.27%
Dow Jones U.S. Select REIT lndex/SM/......... 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-
Russell 1000(R) Value Index (large-cap value stocks)... 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks). 17.10%
Russell 2000(R) Value Index (small-cap value stocks)... 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks). 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The Enhanced U.S. Large Company Portfolio seeks to outperform the total
return of the S&P 500(R) Index. This strategy uses S&P 500(R) Index futures
contracts, swaps, and/or ETFs in conjunction with short-term investment grade
fixed income instruments. As of October 31, 2019, 100% of the equity exposure
consisted of S&P 500(R) Index futures contracts. The behavior of S&P 500(R)
Index futures contracts is determined principally by the performance of the S&P
500(R) Index.
For the 12 months ended October 31, 2019, total returns were 15.67% for the
Portfolio and 14.33% for the S&P 500(R) Index, the Portfolio's benchmark. The
Portfolio's outperformance relative to the benchmark was primarily due to the
performance of the fixed income component of the Portfolio. The net return of
the fixed income component was more than the financing cost of the S&P 500(R)
Index futures contracts that the Portfolio purchased throughout the year.
U.S. LARGE CAP EQUITY PORTFOLIO
The U.S. Large Cap Equity Portfolio invests in a broadly diversified group
of U.S. large-cap securities 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 720 securities.
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 13.13% for the
Portfolio and 14.15% for the Russell 1000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater exposure to
stocks with smaller relative market capitalizations detracted from performance
relative to the benchmark, as these stocks underperformed their larger
counterparts for
10
the period. With low relative price (value) stocks generally underperforming
high relative price (growth) stocks, the Portfolio's greater emphasis on value
stocks also detracted from relative performance. 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 the U.S.
U.S. LARGE CAP VALUE PORTFOLIO
The U.S. Large Cap Value Portfolio is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. 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 value
segment of the U.S. market. As of October 31, 2019, the Master Fund held
approximately 330 securities. 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 6.97% for the
Portfolio and 11.21 % for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Master Fund's greater emphasis on value stocks had a
negative impact on performance relative to the benchmark. At the sector level,
the Master Fund's exclusions of real estate investment trusts (REITs) and
certain utilities also detracted from relative performance, as REITs and
utilities generally outperformed in the U.S.
U.S. TARGETED VALUE PORTFOLIO
The U.S. Targeted Value Portfolio invests in a broadly diversified group of
U.S. small- and mid-cap value stocks. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2019, the
Portfolio held approximately 1,500 securities. In general, average cash
exposure throughout the year was less than 1 % of the Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 0.78% for the
Portfolio's Class R1 shares, -0.64% for the Portfolio's Class R2 shares, 0.88%
for the Portfolio's Institutional Class shares, and 3.22% for the Russell
2000(R) Value Index, the Portfolio's benchmark. As a result of the Portfolio's
diversified investment approach, performance was determined principally by
broad trends in the U.S. equity market, rather than the behavior of a limited
number of stocks. The Portfolio's exclusions of real estate investment trusts
(REITs) and certain utilities detracted from performance relative to the
benchmark, as REITs and utilities generally outperformed in the U.S.
Conversely, with mid-caps outperforming small-caps for the period, the
Portfolio's inclusion of mid-caps contributed positively to performance
relative to the small-cap benchmark.
U.S. SMALL CAP VALUE PORTFOLIO
The U.S. Small Cap Value Portfolio invests in a broadly diversified group of
U.S. small-cap value stocks. The investment strategy is process driven,
emphasizing broad diversification. As of October 31, 2019, the Portfolio held
approximately 990 securities. 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 -3.04% for the
Portfolio and 3.22% for the Russell 2000(R) Value Index, the Portfolio's
benchmark. As a result of the Portfolio's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than the behavior of a limited number of stocks. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks for the period, the Portfolio's greater emphasis on value
stocks detracted from performance relative to the benchmark. At the sector
level, the Portfolio's exclusions of real estate investment trusts (REITs) and
certain utilities also had a negative impact on relative performance, as REITs
and utilities generally outperformed in the U.S.
U.S. CORE EQUITY 1 PORTFOLIO
The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, lower relative price (value) stocks, and higher-profitability stocks
relative to the market. The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2019, the Portfolio held approximately
2,800 securities. Average cash exposure throughout the year was less than 1% of
the Portfolio's assets.
11
For the 12 months ended October 31, 2019, total returns were 11.18% for the
Portfolio and 13.49% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks detracted from performance relative to the benchmark, as
small-caps generally underperformed large-caps for the period. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance.
U.S. CORE EQUITY 2 PORTFOLIO
The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, lower relative price (value) stocks, and higher-profitability stocks
relative to the U.S. Core Equity 1 Portfolio and the market. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Portfolio held approximately 2,900 securities. In
general, average cash exposure throughout the year was less than 1% of the
Portfolio's assets.
For the 12 months ended October 31, 2019, total returns were 9.78% for the
Portfolio and 13.49% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks detracted from performance relative to the benchmark, as
small-caps generally underperformed large-caps for the period. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance.
U.S. VECTOR EQUITY PORTFOLIO
The U.S. Vector Equity Portfolio invests in a broadly diversified group of
U.S. securities with increased exposure to smaller market capitalization
stocks, lower relative price (value) stocks, and higher-profitability stocks
relative to the market. The Portfolio's increased exposure to small-cap and
value stocks may be achieved by decreasing the allocation to or excluding the
largest high relative price (growth) stocks in the U.S. market. The investment
strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Portfolio held approximately 2,500 securities. 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 5.92% for the
Portfolio and 13.49% for the Russell 3000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's greater emphasis on
small-cap stocks detracted from performance relative to the benchmark, as
small-caps generally underperformed large-caps for the period. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Portfolio's greater emphasis on value stocks also
detracted from relative performance.
U.S. SMALL CAP PORTFOLIO
The U.S. Small Cap Portfolio invests in a broadly diversified group of U.S.
small-cap stocks. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2019, the
Portfolio held approximately 2,100 securities. 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 1.41% for the
Portfolio and 4.90% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. The Portfolio's exclusion of stocks
with the lowest profitability and highest relative price detracted from
performance relative to the benchmark, as those stocks outperformed. The
Portfolio's exclusion of real estate investment trusts (REITs) also detracted
from relative performance, as REITs generally outperformed in the U.S.
U.S. MICRO CAP PORTFOLIO
The U.S. Micro Cap Portfolio invests in a broadly diversified group of U.S.
micro-cap companies. The Portfolio generally excludes stocks with the lowest
profitability and highest relative price. The investment strategy is process
12
driven, emphasizing broad diversification. As of October 31, 2019, the
Portfolio held approximately 1,700 securities. 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 0.24% for the
Portfolio and 4.90% for the Russell 2000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market, rather than
the behavior of a limited number of stocks. With micro-caps underperforming
small-caps for the period, the Portfolio's focus on micro-caps detracted from
performance relative to the small-cap benchmark. The Portfolio's exclusion of
real estate investment trusts (REITs) also had a negative impact on relative
performance, as REITs generally outperformed in the U.S.
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
The U.S. High Relative Profitability Portfolio seeks to capture the returns
of U.S. large-cap stocks with higher profitability. 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 high relative profitability segment
of the U.S. market. As of October 31, 2019, the Portfolio held approximately
240 securities. 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 15.88% for the
Portfolio and 14.15% for the Russell 1000(R) Index, the Portfolio's benchmark.
As a result of the Portfolio's diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. The Portfolio's focus on stocks
with higher profitability contributed positively to performance relative to the
benchmark, as higher-profitability stocks generally outperformed
lower-profitability stocks.
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Real Estate Securities Portfolio invests in a broadly diversified
group of U.S. real estate securities. As of October 31, 2019, the Portfolio
held approximately 160 securities. 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 25.64% for the
Portfolio, 14.33% for the S&P 500(R) Index, and 20.72% for the Dow Jones U.S.
Select REIT lndex/SM/, the Portfolio's benchmarks. As a result of the
Portfolio's diversified investment approach, performance was determined
principally by broad trends in the U.S. real estate securities market rather
than by the behavior of a limited number of securities. Differences in REIT
eligibility between the Portfolio and the benchmark contributed positively to
the Portfolio's performance relative to the benchmark, most notably among
tower, net lease, and data center REITs. The Portfolio includes tower, net
lease, and data center REITs, which generally outperformed, whereas the REIT
benchmark typically excludes these securities.
13
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)
--------- --------- ---------- ----------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------
Actual Fund Return.................... $1,000.00 $1,043.40 0.15% $0.77
Hypothetical 5% Annual Return......... $1,000.00 $1,024.45 0.15% $0.77
U.S. LARGE CAP EQUITY PORTFOLIO
-------------------------------
Actual Fund Return.................... $1,000.00 $1,033.00 0.19% $0.97
Hypothetical 5% Annual Return......... $1,000.00 $1,024.25 0.19% $0.97
14
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)
--------- --------- ---------- ----------
U.S. LARGE CAP VALUE PORTFOLIO (2)
----------------------------------
Actual Fund Return......................... $1,000.00 $1,024.90 0.28% $1.43
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.79 0.28% $1.43
U.S. TARGETED VALUE PORTFOLIO
-----------------------------
Actual Fund Return
Class R1 Shares......................... $1,000.00 $ 967.10 0.48% $2.38
Class R2 Shares......................... $1,000.00 $ 966.20 0.63% $3.12
Institutional Class Shares.............. $1,000.00 $ 967.60 0.38% $1.88
Hypothetical 5% Annual Return
Class R1 Shares......................... $1,000.00 $1,022.79 0.48% $2.45
Class R2 Shares......................... $1,000.00 $1,022.03 0.63% $3.21
Institutional Class Shares.............. $1,000.00 $1,023.29 0.38% $1.94
U.S. SMALL CAP VALUE PORTFOLIO
------------------------------
Actual Fund Return......................... $1,000.00 $ 950.30 0.53% $2.61
Hypothetical 5% Annual Return.............. $1,000.00 $1,022.53 0.53% $2.70
U.S. CORE EQUITY 1 PORTFOLIO
----------------------------
Actual Fund Return......................... $1,000.00 $1,024.90 0.20% $1.02
Hypothetical 5% Annual Return.............. $1,000.00 $1,024.20 0.20% $1.02
U.S. CORE EQUITY 2 PORTFOLIO
----------------------------
Actual Fund Return......................... $1,000.00 $1,020.20 0.22% $1.12
Hypothetical 5% Annual Return.............. $1,000.00 $1,024.10 0.22% $1.12
U.S. VECTOR EQUITY PORTFOLIO
----------------------------
Actual Fund Return......................... $1,000.00 $1,003.00 0.33% $1.67
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.54 0.33% $1.68
U.S. SMALL CAP PORTFOLIO
------------------------
Actual Fund Return......................... $1,000.00 $ 976.90 0.37% $1.84
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.34 0.37% $1.89
U.S. MICRO CAP PORTFOLIO
------------------------
Actual Fund Return......................... $1,000.00 $ 979.70 0.53% $2.64
Hypothetical 5% Annual Return.............. $1,000.00 $1,022.53 0.53% $2.70
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
------------------------------------------
Actual Fund Return......................... $1,000.00 $1,046.80 0.25% $1.29
Hypothetical 5% Annual Return.............. $1,000.00 $1,023.95 0.25% $1.28
15
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)
--------- --------- ---------- ----------
DFA REAL ESTATE SECURITIES PORTFOLIO
------------------------------------
Actual Fund Return................... $1,000.00 $1,110.50 0.18% $0.96
Hypothetical 5% Annual Return........ $1,000.00 $1,024.30 0.18% $0.92
--------
(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).
16
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 FUND
AFFILIATED INVESTMENT COMPANY
-----------------------------
U.S. Large Cap Value Portfolio.. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Corporate................................................... 25.1%
Government.................................................. 16.5%
Foreign Corporate........................................... 31.0%
Foreign Government.......................................... 20.4%
Supranational............................................... 7.0%
-----
100.0%
17
DOMESTIC EQUITY PORTFOLIOS
U.S. LARGE CAP EQUITY PORTFOLIO
Communication Services...................................... 10.2%
Consumer Discretionary...................................... 11.2%
Consumer Staples............................................ 6.9%
Energy...................................................... 4.2%
Financials.................................................. 13.6%
Health Care................................................. 13.9%
Industrials................................................. 11.7%
Information Technology...................................... 22.0%
Materials................................................... 3.5%
Real Estate................................................. 0.2%
Utilities................................................... 2.6%
-----
100.0%
U.S. CORE EQUITY 1 PORTFOLIO
Communication Services...................................... 8.6%
Consumer Discretionary...................................... 12.2%
Consumer Staples............................................ 6.4%
Energy...................................................... 4.8%
Financials.................................................. 15.1%
Health Care................................................. 11.6%
Industrials................................................. 12.9%
Information Technology...................................... 21.1%
Materials................................................... 4.0%
Real Estate................................................. 0.3%
Utilities................................................... 3.0%
-----
100.0%
U.S. SMALL CAP PORTFOLIO
Communication Services...................................... 3.5%
Consumer Discretionary...................................... 14.5%
Consumer Staples............................................ 4.2%
Energy...................................................... 4.5%
Financials.................................................. 20.3%
Health Care................................................. 9.3%
Industrials................................................. 20.4%
Information Technology...................................... 13.8%
Materials................................................... 5.3%
Real Estate................................................. 0.5%
Utilities................................................... 3.7%
-----
100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO
Real Estate................................................. 100.0%
-----
100.0%
U.S. TARGETED VALUE PORTFOLIO
Communication Services...................................... 3.2%
Consumer Discretionary...................................... 14.0%
Consumer Staples............................................ 4.0%
Energy...................................................... 7.4%
Financials.................................................. 27.9%
Health Care................................................. 4.9%
Industrials................................................. 20.7%
Information Technology...................................... 11.1%
Materials................................................... 6.4%
Real Estate................................................. 0.2%
Utilities................................................... 0.2%
-----
100.0%
U.S. CORE EQUITY 2 PORTFOLIO
Communication Services...................................... 7.5%
Consumer Discretionary...................................... 12.3%
Consumer Staples............................................ 5.8%
Energy...................................................... 4.8%
Financials.................................................. 16.5%
Health Care................................................. 11.6%
Industrials................................................. 14.1%
Information Technology...................................... 20.6%
Materials................................................... 4.3%
Real Estate................................................. 0.3%
Utilities................................................... 2.2%
-----
100.0%
U.S. MICRO CAP PORTFOLIO
Communication Services...................................... 2.5%
Consumer Discretionary...................................... 13.0%
Consumer Staples............................................ 4.0%
Energy...................................................... 5.3%
Financials.................................................. 22.6%
Health Care................................................. 10.8%
Industrials................................................. 20.6%
Information Technology...................................... 13.5%
Materials................................................... 4.6%
Real Estate................................................. 0.8%
Utilities................................................... 2.3%
-----
100.0%
U.S. SMALL CAP VALUE PORTFOLIO
Communication Services...................................... 3.5%
Consumer Discretionary...................................... 13.8%
Consumer Staples............................................ 3.8%
Energy...................................................... 8.0%
Financials.................................................. 29.1%
Health Care................................................. 3.3%
Industrials................................................. 19.5%
Information Technology...................................... 11.6%
Materials................................................... 6.9%
Real Estate................................................. 0.3%
Utilities................................................... 0.2%
-----
100.0%
U.S. VECTOR EQUITY PORTFOLIO
Communication Services...................................... 6.6%
Consumer Discretionary...................................... 11.0%
Consumer Staples............................................ 4.0%
Energy...................................................... 5.8%
Financials.................................................. 24.4%
Health Care................................................. 8.8%
Industrials................................................. 17.1%
Information Technology...................................... 15.4%
Materials................................................... 5.1%
Real Estate................................................. 0.5%
Utilities................................................... 1.3%
-----
100.0%
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Communication Services...................................... 5.9%
Consumer Discretionary...................................... 16.5%
Consumer Staples............................................ 9.4%
Energy...................................................... 1.2%
Financials.................................................. 3.2%
Health Care................................................. 11.9%
Industrials................................................. 17.1%
Information Technology...................................... 32.5%
Materials................................................... 2.3%
-----
100.0%
18
ENHANCED U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (80.3%)
AUSTRALIA -- (1.9%)
Australia & New Zealand Banking Group, Ltd.
(Omega) 2.250%, 12/19/19................................................. 1,000 $ 1,000,478
5.100%, 01/13/20................................................. 750 754,558
National Australia Bank, Ltd.
2.500%, 01/12/21................................................. 3,500 3,521,805
Westpac Banking Corp.
(r) 2.974%, 08/19/21................................................. 2,105 2,128,120
-----------
TOTAL AUSTRALIA........................................................... 7,404,961
-----------
BELGIUM -- (3.0%)
Dexia Credit Local SA
0.040%, 12/11/19................................................. EUR 1,000 1,115,681
0.250%, 03/19/20................................................. EUR 1,000 1,117,753
2.000%, 01/22/21................................................. EUR 8,000 9,183,485
-----------
TOTAL BELGIUM............................................................. 11,416,919
-----------
CANADA -- (13.1%)
Bank of Montreal
0.250%, 11/17/21................................................. EUR 2,494 2,798,818
Bank of Nova Scotia (The)
2.270%, 01/13/20................................................. CAD 4,000 3,039,162
(r) 2.406%, 04/20/21................................................. 908 910,925
CPPIB Capital, Inc.
1.400%, 06/04/20................................................. CAD 6,200 4,699,074
Manitoba, Province of Canada
0.750%, 12/15/21................................................. GBP 2,500 3,222,339
Province of Alberta Canada
1.250%, 06/01/20................................................. CAD 2,000 1,514,524
Province of British Columbia Canada
3.700%, 12/18/20................................................. CAD 6,000 4,656,457
Province of Quebec Canada
4.500%, 12/01/20................................................. CAD 5,500 4,299,237
Province of Saskatchewan Canada
3.900%, 07/28/20................................................. CAD 6,300 4,859,576
Royal Bank of Canada
2.350%, 12/09/19................................................. CAD 1,300 987,461
2.860%, 03/04/21................................................. CAD 5,000 3,839,344
2.030%, 03/15/21................................................. CAD 2,130 1,618,451
(r) 2.326%, 04/30/21................................................. 357 358,272
(r) 0.096%, 07/24/20................................................. EUR 1,000 1,119,052
(r) 0.050%, 08/06/20................................................. EUR 3,000 3,355,589
Toronto-Dominion Bank (The)
1.693%, 04/02/20................................................. CAD 3,000 2,276,114
2.563%, 06/24/20................................................. CAD 5,000 3,813,150
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (Continued)
0.625%, 03/08/21................................................. EUR 3,000 $ 3,383,132
-----------
TOTAL CANADA................................................................. 50,750,677
-----------
DENMARK -- (2.3%)
Denmark Government Bond
3.000%, 11/15/21................................................. DKK 55,000 8,839,919
-----------
FRANCE -- (2.2%)
Caisse d'Amortissement de la Dette Sociale
4.250%, 04/25/20................................................. EUR 1,000 1,139,932
Sanofi Floating Rate Note
(r) 0.000%, 03/21/20................................................. EUR 2,000 2,233,432
SNCF Mobilites
3.625%, 06/03/20................................................. EUR 1,000 1,141,012
SNCF Reseau EPIC
5.500%, 12/01/21................................................. GBP 2,000 2,830,464
Total Capital International SA Floating Rate Note
(r) 0.000%, 03/19/20................................................. EUR 100 111,663
Unedic Asseo
0.125%, 03/05/20................................................. EUR 750 837,778
-----------
TOTAL FRANCE................................................................. 8,294,281
-----------
GERMANY -- (7.6%)
BMW US Capital LLC
(r)(Omega) 2.676%, 08/13/21................................................. 1,640 1,643,086
Daimler Finance North America LLC
(Omega) 2.250%, 03/02/20................................................. 1,500 1,501,390
(r)(Omega) 2.677%, 05/04/20................................................. 500 500,288
Deutsche Bahn Finance GMBH
1.750%, 11/06/20................................................. EUR 3,910 4,452,399
EMD Finance LLC
(Omega) 2.400%, 03/19/20................................................. 2,100 2,101,367
FMS Wertmanagement
0.625%, 03/06/20................................................. GBP 1,000 1,293,988
Kreditanstalt fuer Wiederaufbau
1.375%, 01/28/20................................................. CAD 5,000 3,792,005
Landeskreditbank Baden-Wuerttemberg Foerderbank
0.125%, 11/05/20................................................. EUR 9,765 10,951,673
State of North Rhine-Westphalia Germany Floating Rate Note
(r) 0.857%, 10/29/21................................................. GBP 800 1,035,452
19
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
Volkswagen Group of America Finance LLC
2.450%, 11/20/19................................................. 2,000 $ 2,000,396
-----------
TOTAL GERMANY................................................................ 29,272,044
-----------
JAPAN -- (7.3%)
American Honda Finance Corp.
(r) 2.488%, 06/11/21................................................. 2,893 2,899,898
Mitsubishi UFJ Financial Group, Inc.
(r) 2.586%, 07/26/21................................................. 465 466,866
Mizuho Bank Ltd.
(Omega) 2.400%, 03/26/20................................................. 2,000 2,003,446
Mizuho Financial Group, Inc.
(r) 3.267%, 09/13/21................................................. 800 810,032
MUFG Bank, Ltd.
(Omega) 2.300%, 03/05/20................................................. 1,400 1,401,370
Nissan Motor Acceptance Corp.
(Omega) 2.125%, 03/03/20................................................. 1,300 1,300,010
Nissan Motor Acceptance Corp. Floating Rate Note
(r)(Omega) 2.639%, 03/15/21................................................. 1,700 1,700,620
Shire Acquisitions Investments Ireland DAC
2.400%, 09/23/21................................................. 515 517,969
Sumitomo Mitsui Financial Group, Inc.
(r) 3.782%, 03/09/21................................................. 2,500 2,545,922
(r) 3.106%, 10/19/21................................................. 381 385,756
Total Capital Canada, Ltd.
1.875%, 07/09/20................................................. EUR 500 565,991
1.125%, 03/18/22................................................. EUR 3,000 3,450,994
Toyota Credit Canada, Inc.
1.800%, 02/19/20................................................. CAD 6,500 4,932,617
2.200%, 02/25/21................................................. CAD 4,500 3,423,533
Toyota Finance Australia, Ltd.
0.000%, 04/09/21................................................. EUR 1,200 1,339,816
Toyota Motor Finance Netherlands BV
0.250%, 01/10/22................................................. EUR 500 561,889
-----------
TOTAL JAPAN.................................................................. 28,306,729
-----------
NETHERLANDS -- (2.5%)
BNG Bank NV
5.375%, 06/07/21................................................. GBP 600 831,453
Cooperatieve Rabobank UA
2.250%, 12/02/19................................................. 1,655 1,655,298
4.750%, 01/15/20................................................. 700 703,837
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (Continued)
Shell International Finance BV
1.625%, 03/24/21................................................. EUR 5,599 $ 6,407,734
-----------
TOTAL NETHERLANDS............................................................ 9,598,322
-----------
NORWAY -- (1.9%)
Equinor ASA
2.000%, 09/10/20................................................. EUR 1,415 1,608,421
5.625%, 03/11/21................................................. EUR 4,913 5,909,540
-----------
TOTAL NORWAY................................................................. 7,517,961
-----------
SPAIN -- (0.7%)
Telefonica Emisiones SA
5.462%, 02/16/21................................................. 2,500 2,608,239
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.7%)
Council Of Europe Development Bank
3.000%, 07/13/20................................................. EUR 2,805 3,203,535
European Investment Bank Floating Rate Note
(r) 1.015%, 02/17/20................................................. GBP 2,000 2,592,540
(r) 0.964%, 05/21/21................................................. GBP 500 649,416
(r) 0.835%, 02/18/22................................................. GBP 4,000 5,185,028
European Investment Bank
2.625%, 03/16/20................................................. EUR 2,700 3,045,253
European Stability Mechanism
0.000%, 11/07/19................................................. EUR 2,000 2,230,874
European Stability Mechanism Treasury Bill
0.000%, 11/21/19................................................. EUR 3,706 4,134,317
0.000%, 01/09/20................................................. EUR 3,000 3,349,057
Nordic Investment Bank
1.375%, 07/15/20................................................. NOK 14,890 1,614,865
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS................................. 26,004,885
-----------
SWEDEN -- (3.6%)
Kommuninvest I Sverige AB
0.750%, 02/16/20................................................. SEK 15,000 1,556,889
2.500%, 12/01/20................................................. SEK 36,120 3,838,768
1.000%, 09/15/21................................................. SEK 42,000 4,425,680
Skandinaviska Enskilda Banken AB
(r)(Omega) 2.554%, 05/17/21................................................. 3,000 3,008,280
Svenska Handelsbanken AB
2.400%, 10/01/20................................................. 1,000 1,005,936
-----------
TOTAL SWEDEN................................................................. 13,835,553
-----------
20
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWITZERLAND -- (0.8%)
Nestle Finance International, Ltd.
0.750%, 11/08/21................................................. EUR 2,827 $ 3,213,502
-----------
UNITED KINGDOM -- (4.8%)
Barclays P.L.C.
2.750%, 11/08/19................................................. 1,500 1,500,085
2.875%, 06/08/20................................................. 500 501,430
BP Capital Markets P.L.C.
2.315%, 02/13/20................................................. 2,550 2,553,492
BP Capital Markets plc
(r) 2.989%, 09/16/21................................................. 500 505,903
HSBC Holdings PLC
#(r) 3.792%, 05/25/21................................................. 2,170 2,209,969
HSBC USA, Inc.
2.375%, 11/13/19................................................. 1,000 1,000,092
United Kingdom Treasury Bill
0.000%, 11/04/19................................................. GBP 6,000 7,772,101
0.000%, 11/11/19................................................. GBP 2,000 2,590,319
-----------
TOTAL UNITED KINGDOM................................................... 18,633,391
-----------
UNITED STATES -- (21.9%)
Allergan Funding SCS
3.000%, 03/12/20................................................. 1,200 1,202,958
Allergan, Inc.
3.375%, 09/15/20................................................. 1,800 1,821,289
Altria Group, Inc.
# 2.625%, 01/14/20................................................. 2,000 2,000,605
Amgen, Inc.
2.200%, 05/11/20................................................. 1,000 1,001,858
Anthem, Inc.
2.500%, 11/21/20................................................. 1,766 1,777,779
AT&T, Inc.
2.450%, 06/30/20................................................. 1,500 1,504,506
(r) 2.951%, 07/15/21................................................. 1,000 1,010,200
Autodesk, Inc.
3.125%, 06/15/20................................................. 1,500 1,507,900
Biogen, Inc.
2.900%, 09/15/20................................................. 2,000 2,015,821
Broadcom Corp. / Broadcom Cayman Finance Ltd.
3.000%, 01/15/22................................................. 2,900 2,938,372
Capital One NA
2.350%, 01/31/20................................................. 1,500 1,500,884
Caterpillar Financial Services Corp.
(r) 2.338%, 05/15/20................................................. 2,000 2,001,474
(r) 2.382%, 09/07/21................................................. 1,115 1,115,323
Citibank NA
# 2.100%, 06/12/20................................................. 1,000 1,001,372
Citigroup, Inc.
(r) 3.456%, 08/02/21................................................. 1,600 1,623,120
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Citizens Bank N.A.
2.450%, 12/04/19................................................. 2,200 $2,200,792
Comcast Corp.
(r) 2.539%, 10/01/21................................................. 500 502,665
CVS Health Corp.
2.800%, 07/20/20................................................. 1,500 1,507,116
Dominion Energy Gas Holdings LLC
(r) 2.719%, 06/15/21................................................. 3,000 3,014,550
Eastman Chemical Co.
2.700%, 01/15/20................................................. 622 622,468
Enterprise Products Operating LLC
5.250%, 01/31/20................................................. 2,000 2,015,324
Exelon Generation Co. LLC
2.950%, 01/15/20................................................. 2,000 2,001,197
GE Capital International Funding Co., Unlimited Co.
2.342%, 11/15/20................................................. 2,000 1,998,728
General Electric Co.
2.200%, 01/09/20................................................. 1,000 999,765
General Mills, Inc.
(r) 2.541%, 04/16/21................................................. 1,325 1,328,591
General Motors Financial Co., Inc.
3.150%, 01/15/20................................................. 1,600 1,602,163
Gilead Sciences, Inc.
# 2.350%, 02/01/20................................................. 1,500 1,501,045
Harley-Davidson Financial Services, Inc.
#(Omega) 2.150%, 02/26/20................................................. 1,000 999,308
IBM Credit LLC
(r) 2.226%, 01/20/21................................................. 2,725 2,730,068
JM Smucker Co. (The)
# 2.500%, 03/15/20................................................. 1,061 1,062,580
John Deere Capital Corp.
2.050%, 03/10/20................................................. 220 220,108
#(r) 2.394%, 09/10/21................................................. 2,022 2,023,031
LyondellBasell Industries NV
6.000%, 11/15/21................................................. 2,500 2,668,938
Merck & Co., Inc.
1.125%, 10/15/21................................................. EUR 1,700 1,939,815
Molson Coors Brewing Co.
2.100%, 07/15/21................................................. 2,800 2,802,111
National Rural Utilities Cooperative Finance Corp.
(r) 2.479%, 06/30/21................................................. 3,000 3,009,794
NetApp, Inc.
3.375%, 06/15/21................................................. 1,014 1,032,989
Newmont Goldcorp Corp.
3.625%, 06/09/21................................................. 2,800 2,864,535
Nordstrom, Inc.
4.000%, 10/15/21................................................. 2,500 2,561,519
21
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED STATES -- (Continued)
Oracle Corp.
2.250%, 01/10/21................................................. EUR 2,000 $ 2,296,991
Philip Morris International, Inc.
2.000%, 02/21/20................................................. 3,000 3,000,619
PNC Bank NA
2.600%, 07/21/20................................................. 1,000 1,004,416
Procter & Gamble Co. (The)
2.000%, 11/05/21................................................. EUR 1,000 1,166,144
Quest Diagnostics, Inc.
4.750%, 01/30/20................................................. 1,131 1,137,723
Southern Co. (The)
2.750%, 06/15/20................................................. 1,000 1,003,926
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21................................................. 2,500 2,555,655
Wells Fargo & Co.
(r) 3.473%, 03/04/21................................................. 696 705,619
(r) 2.961%, 07/26/21................................................. 2,272 2,299,718
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20................................................. 2,000 2,004,018
------------
TOTAL UNITED STATES............................................................................ 84,407,490
------------
TOTAL BONDS.................................................................................... 310,104,873
------------
U.S. TREASURY OBLIGATIONS -- (15.9%)
U.S. Treasury Bills
1.282%, 11/12/19................................................. 2,500 2,498,843
0.000%, 11/26/19................................................. 3,000 2,996,772
U.S. Treasury Notes
(r)(double left angle quote) 1.776%, 04/30/21................................................. 46,000 45,940,921
(r) 1.857%, 07/31/21................................................. 10,000 9,998,475
------------
TOTAL U.S. TREASURY OBLIGATIONS................................................................ 61,435,011
------------
TOTAL INVESTMENT SECURITIES
(Cost $371,670,207).......................................................................... 371,539,884
------------
FACE
AMOUNT^ VALUE+
------- ------------
(000)
COMMERCIAL PAPER -- (3.5%)
(Omega) Boeing Co. 2.097%, 12/10/19...................................... 2,000 $ 1,996,260
(Omega) Campbell Soup Co. 2.191%, 01/22/20............................... 3,000 2,984,846
(Omega) Enel Finance America 2.401%, 01/23/20............................ 2,500 2,487,668
Intesa Funding LLC
2.290%, 11/25/19................................................. 1,500 1,497,875
2.296%, 04/20/20................................................. 2,000 1,978,385
(Omega) John Deere Ltd. 1.971%, 11/07/19................................. 1,000 999,701
Santander UK PLC 2.164%, 11/04/19................................ 1,500 1,499,718
------------
TOTAL COMMERCIAL PAPER.................................................... 13,444,453
------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.3%)
@(S) The DFA Short Term Investment Fund............................... 111,401 1,289,019
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $386,402,183)..................................................... $386,273,356
============
As of October 31, 2019, Enhanced U.S. Large Company Portfolio had entered into
the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
--------------------- --------------------- --------------------------------------- ---------- --------------
EUR 1,745,958 USD 1,937,424 HSBC Bank 12/30/19 $ 17,656
USD 1,626,469 NOK 14,921,578 Natwest Markets PLC 11/15/19 3,758
USD 2,222,639 EUR 1,980,757 Citibank, N.A. 01/07/20 3,263
USD 2,148,294 SEK 20,639,345 JP Morgan 01/10/20 2,032
USD 28,159,962 GBP 21,667,376 State Street Bank and Trust 01/13/20 25,268
---------
TOTAL APPRECIATION $ 51,977
22
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
--------------------- --------------------- --------------------------------------- ---------- --------------
GBP 21,763,630 USD 28,216,764 State Street Bank and Trust 11/04/19 $ (25,241)
USD 2,565,323 GBP 1,989,693 Bank of America Corp. 11/04/19 (12,026)
USD 24,450,394 GBP 19,773,937 Bank of America Corp. 11/04/19 (1,163,780)
USD 50,811,832 EUR 46,165,232 Citibank, N.A. 12/30/19 (882,830)
USD 2,263,772 EUR 2,040,316 State Street Bank and Trust 01/07/20 (22,339)
USD 3,515,431 EUR 3,141,802 State Street Bank and Trust 01/07/20 (4,860)
USD 4,368,665 EUR 3,906,056 State Street Bank and Trust 01/07/20 (7,950)
USD 4,801,217 EUR 4,346,104 State Street Bank and Trust 01/07/20 (68,457)
USD 21,478,509 EUR 19,234,721 Barclays Bank PLC 01/07/20 (73,397)
USD 1,699,781 SEK 16,541,279 JP Morgan 01/10/20 (20,327)
USD 5,961,335 SEK 58,287,471 Barclays Capital 01/10/20 (99,912)
USD 47,893,862 CAD 63,309,316 Bank of America Corp. 01/14/20 (193,697)
USD 8,937,569 DKK 59,634,019 State Street Bank and Trust 01/16/20 (16,638)
-------------
TOTAL (DEPRECIATION) $ (2,591,454)
-------------
TOTAL APPRECIATION
(DEPRECIATION) $ (2,539,477)
=============
As of October 31, 2019, Enhanced U.S. Large Company Portfolio had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 2,558 12/20/19 $375,192,009 $388,278,820 $13,086,811
------------ ------------ -----------
TOTAL FUTURES CONTRACTS........................... $375,192,009 $388,278,820 $13,086,811
============ ============ ===========
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
-------- ----------- -------- -----------
Bonds
Australia.............................. -- $ 7,404,961 -- $ 7,404,961
Belgium................................ -- 11,416,919 -- 11,416,919
Canada................................. -- 50,750,677 -- 50,750,677
Denmark................................ -- 8,839,919 -- 8,839,919
France................................. -- 8,294,281 -- 8,294,281
Germany................................ -- 29,272,044 -- 29,272,044
Japan.................................. -- 28,306,729 -- 28,306,729
Netherlands............................ -- 9,598,322 -- 9,598,322
Norway................................. -- 7,517,961 -- 7,517,961
Spain.................................. -- 2,608,239 -- 2,608,239
Supranational Organization Obligations. -- 26,004,885 -- 26,004,885
Sweden................................. -- 13,835,553 -- 13,835,553
Switzerland............................ -- 3,213,502 -- 3,213,502
United Kingdom......................... -- 18,633,391 -- 18,633,391
United States.......................... -- 84,407,490 -- 84,407,490
23
ENHANCED U.S. LARGE COMPANY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-----------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
----------- ------------ -------- ------------
U.S. Treasury Obligations..... -- $ 61,435,011 -- $ 61,435,011
Commercial Paper.............. -- 13,444,453 -- 13,444,453
Securities Lending Collateral. -- 1,289,019 -- 1,289,019
Forward Currency Contracts**.. -- (2,539,477) -- (2,539,477)
Futures Contracts**........... $13,086,811 -- -- 13,086,811
----------- ------------ -------- ------------
TOTAL......................... $13,086,811 $383,733,879 -- $396,820,690
=========== ============ ======== ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
24
U.S. LARGE CAP EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- ------------ ---------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (10.1%)
* Alphabet, Inc., Class A.......................................... 14,019 $ 17,647,117 1.1%
* Alphabet, Inc., Class C.......................................... 14,631 18,436,669 1.1%
AT&T, Inc........................................................ 425,328 16,370,875 1.0%
Comcast Corp., Class A........................................... 295,338 13,237,049 0.8%
* Facebook, Inc., Class A.......................................... 130,421 24,995,185 1.6%
Verizon Communications, Inc...................................... 310,175 18,756,282 1.2%
Walt Disney Co. (The)............................................ 77,345 10,048,662 0.6%
Other Securities................................................. 44,412,151 2.8%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 163,903,990 10.2%
------------ ----
CONSUMER DISCRETIONARY -- (11.0%)
* Amazon.com, Inc.................................................. 23,346 41,477,904 2.6%
Home Depot, Inc. (The)........................................... 47,497 11,141,846 0.7%
McDonald's Corp.................................................. 32,937 6,478,708 0.4%
NIKE, Inc., Class B.............................................. 63,227 5,661,978 0.3%
Other Securities................................................. 114,734,529 7.1%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 179,494,965 11.1%
------------ ----
CONSUMER STAPLES -- (6.8%)
Altria Group, Inc................................................ 124,882 5,593,465 0.3%
Coca-Cola Co. (The).............................................. 206,538 11,241,863 0.7%
Costco Wholesale Corp............................................ 19,068 5,665,293 0.3%
PepsiCo, Inc..................................................... 80,434 11,033,132 0.7%
Procter & Gamble Co. (The)....................................... 108,157 13,466,628 0.8%
Walmart, Inc..................................................... 77,098 9,040,511 0.6%
Other Securities................................................. 55,247,326 3.5%
------------ ----
TOTAL CONSUMER STAPLES............................................... 111,288,218 6.9%
------------ ----
ENERGY -- (4.1%)
Chevron Corp..................................................... 102,507 11,905,163 0.7%
Exxon Mobil Corp................................................. 181,668 12,275,307 0.8%
Other Securities................................................. 43,478,722 2.7%
------------ ----
TOTAL ENERGY......................................................... 67,659,192 4.2%
------------ ----
FINANCIALS -- (13.4%)
Bank of America Corp............................................. 370,339 11,580,501 0.7%
* Berkshire Hathaway, Inc., Class B................................ 83,928 17,841,414 1.1%
Citigroup, Inc................................................... 93,739 6,736,085 0.4%
JPMorgan Chase & Co.............................................. 172,651 21,567,563 1.3%
Wells Fargo & Co................................................. 218,988 11,306,350 0.7%
Other Securities................................................. 149,289,388 9.4%
------------ ----
TOTAL FINANCIALS..................................................... 218,321,301 13.6%
------------ ----
HEALTH CARE -- (13.7%)
Abbott Laboratories.............................................. 79,822 6,673,917 0.4%
Amgen, Inc....................................................... 36,106 7,699,605 0.5%
Eli Lilly & Co................................................... 49,844 5,679,724 0.4%
Johnson & Johnson................................................ 167,504 22,117,228 1.4%
Medtronic P.L.C.................................................. 57,606 6,273,293 0.4%
Merck & Co., Inc................................................. 135,162 11,713,139 0.7%
25
U.S. LARGE CAP EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
HEALTH CARE -- (Continued)
Pfizer, Inc...................................................... 374,272 $ 14,360,817 0.9%
Thermo Fisher Scientific, Inc.................................... 20,229 6,108,753 0.4%
UnitedHealth Group, Inc.......................................... 57,369 14,497,146 0.9%
Other Securities................................................. 128,731,789 7.9%
-------------- -----
TOTAL HEALTH CARE...................................................... 223,855,411 13.9%
-------------- -----
INDUSTRIALS -- (11.5%)
Boeing Co. (The)................................................. 23,188 7,881,833 0.5%
Caterpillar, Inc................................................. 40,564 5,589,719 0.3%
Union Pacific Corp............................................... 38,406 6,354,657 0.4%
United Technologies Corp......................................... 44,282 6,358,010 0.4%
Other Securities................................................. 162,106,242 10.1%
-------------- -----
TOTAL INDUSTRIALS...................................................... 188,290,461 11.7%
-------------- -----
INFORMATION TECHNOLOGY -- (21.7%)
Accenture P.L.C., Class A........................................ 32,330 5,994,629 0.4%
* Adobe, Inc....................................................... 20,995 5,835,140 0.4%
Apple, Inc....................................................... 255,954 63,671,117 4.0%
Broadcom, Inc.................................................... 21,505 6,297,739 0.4%
Cisco Systems, Inc............................................... 253,512 12,044,355 0.7%
Intel Corp....................................................... 350,728 19,826,654 1.2%
International Business Machines Corp............................. 51,099 6,833,469 0.4%
Mastercard, Inc., Class A........................................ 54,335 15,040,471 0.9%
Microsoft Corp................................................... 367,753 52,724,748 3.3%
Oracle Corp...................................................... 131,879 7,186,087 0.4%
QUALCOMM, Inc.................................................... 70,210 5,647,692 0.4%
Texas Instruments, Inc........................................... 56,294 6,642,129 0.4%
# Visa, Inc., Class A.............................................. 87,176 15,592,299 1.0%
Other Securities................................................. 129,990,852 8.0%
-------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 353,327,381 21.9%
-------------- -----
MATERIALS -- (3.5%)
Other Securities................................................. 56,636,848 3.5%
-------------- -----
REAL ESTATE -- (0.2%)
Other Securities................................................. 3,041,516 0.2%
-------------- -----
UTILITIES -- (2.6%)
Other Securities................................................. 42,489,625 2.6%
-------------- -----
TOTAL COMMON STOCKS
(Cost $1,137,548,468)................................................ 1,608,308,908 99.8%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 2,965,354 2,965,354 0.2%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.2%)
@(S) The DFA Short Term Investment Fund............................... 1,704,991 19,728,456 1.2%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,160,239,437)................................................ $1,631,002,718 101.2%
============== =====
26
U.S. LARGE CAP 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
-------------- ----------- ------- --------------
Common Stocks
Communication Services..... $ 163,903,990 -- -- $ 163,903,990
Consumer Discretionary..... 179,494,965 -- -- 179,494,965
Consumer Staples........... 111,288,218 -- -- 111,288,218
Energy..................... 67,659,192 -- -- 67,659,192
Financials................. 218,321,301 -- -- 218,321,301
Health Care................ 223,855,411 -- -- 223,855,411
Industrials................ 188,290,461 -- -- 188,290,461
Information Technology..... 353,327,381 -- -- 353,327,381
Materials.................. 56,636,848 -- -- 56,636,848
Real Estate................ 3,041,516 -- -- 3,041,516
Utilities.................. 42,489,625 -- -- 42,489,625
Temporary Cash Investments.... 2,965,354 -- -- 2,965,354
Securities Lending Collateral. -- $19,728,456 -- 19,728,456
-------------- ----------- ------ --------------
TOTAL......................... $1,611,274,262 $19,728,456 -- $1,631,002,718
============== =========== ====== ==============
See accompanying Notes to Financial Statements.
27
U.S. LARGE CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
---------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA
Investment Trust Company.................................. $25,666,839,275
---------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $25,666,839,275
===============
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.
28
U.S. TARGETED VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (92.1%)
COMMUNICATION SERVICES -- (2.9%)
News Corp., Class A.............................................. 2,484,324 $ 34,060,082 0.3%
Other Securities................................................. 300,416,006 2.8%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 334,476,088 3.1%
-------------- ----
CONSUMER DISCRETIONARY -- (12.9%)
* AutoNation, Inc.................................................. 725,245 36,878,708 0.3%
BorgWarner, Inc.................................................. 877,413 36,570,574 0.3%
# Dick's Sporting Goods, Inc....................................... 871,974 33,945,948 0.3%
# Foot Locker, Inc................................................. 805,205 35,034,470 0.3%
# Macy's, Inc...................................................... 2,761,562 41,865,280 0.4%
PulteGroup, Inc.................................................. 972,588 38,164,353 0.4%
Toll Brothers, Inc............................................... 1,501,529 59,715,808 0.6%
Other Securities................................................. 1,216,698,080 11.3%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 1,498,873,221 13.9%
-------------- ----
CONSUMER STAPLES -- (3.7%)
Bunge, Ltd....................................................... 692,640 37,402,560 0.4%
* Post Holdings, Inc............................................... 576,951 59,368,258 0.6%
* US Foods Holding Corp............................................ 1,417,618 56,236,906 0.5%
Other Securities................................................. 276,694,351 2.5%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 429,702,075 4.0%
-------------- ----
ENERGY -- (6.8%)
Helmerich & Payne, Inc........................................... 893,686 33,513,225 0.3%
HollyFrontier Corp............................................... 713,678 39,209,469 0.4%
# Murphy Oil Corp.................................................. 1,939,932 40,020,797 0.4%
PBF Energy, Inc., Class A........................................ 1,309,359 42,266,109 0.4%
* WPX Energy, Inc.................................................. 3,408,154 34,013,377 0.3%
Other Securities................................................. 604,741,338 5.6%
-------------- ----
TOTAL ENERGY......................................................... 793,764,315 7.4%
-------------- ----
FINANCIALS -- (25.7%)
Assured Guaranty, Ltd............................................ 1,107,595 51,968,357 0.5%
* Athene Holding, Ltd., Class A.................................... 786,477 34,093,778 0.3%
# Invesco, Ltd..................................................... 1,986,347 33,410,357 0.3%
Investors Bancorp, Inc........................................... 2,930,842 35,316,646 0.3%
# New York Community Bancorp, Inc.................................. 4,318,809 50,314,125 0.5%
Old Republic International Corp.................................. 1,768,205 39,501,700 0.4%
# PacWest Bancorp.................................................. 1,343,347 49,690,406 0.5%
# People's United Financial, Inc................................... 3,724,019 60,217,387 0.6%
Popular, Inc..................................................... 851,648 46,380,750 0.4%
# Prosperity Bancshares, Inc....................................... 511,178 35,281,506 0.3%
Santander Consumer USA Holdings, Inc............................. 1,775,982 44,541,629 0.4%
TCF Financial Corp............................................... 1,146,816 45,402,445 0.4%
Unum Group....................................................... 1,419,659 39,097,409 0.4%
# Voya Financial, Inc.............................................. 843,342 45,506,734 0.4%
Other Securities................................................. 2,364,446,190 21.9%
-------------- ----
TOTAL FINANCIALS..................................................... 2,975,169,419 27.6%
-------------- ----
29
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- --------------- ---------------
HEALTH CARE -- (4.5%)
Perrigo Co. P.L.C................................................ 959,782 $ 50,887,642 0.5%
Other Securities................................................. 472,511,451 4.3%
--------------- ----
TOTAL HEALTH CARE.................................................... 523,399,093 4.8%
--------------- ----
INDUSTRIALS -- (19.0%)
* AECOM............................................................ 1,506,232 60,264,342 0.6%
AGCO Corp........................................................ 461,249 35,373,186 0.3%
# Air Lease Corp................................................... 1,055,768 46,432,677 0.4%
AMERCO........................................................... 104,935 42,502,872 0.4%
#* Colfax Corp...................................................... 1,011,578 33,989,021 0.3%
* Genesee & Wyoming, Inc., Class A................................. 544,362 60,440,513 0.6%
* JetBlue Airways Corp............................................. 2,616,272 50,494,050 0.5%
# Knight-Swift Transportation Holdings, Inc........................ 1,027,428 37,460,025 0.4%
#* MasTec, Inc...................................................... 584,383 36,781,066 0.3%
Owens Corning.................................................... 734,162 44,989,447 0.4%
Quanta Services, Inc............................................. 1,422,606 59,820,582 0.6%
Other Securities................................................. 1,700,725,336 15.7%
--------------- ----
TOTAL INDUSTRIALS.................................................... 2,209,273,117 20.5%
--------------- ----
INFORMATION TECHNOLOGY -- (10.3%)
* Arrow Electronics, Inc........................................... 922,098 73,103,929 0.7%
Avnet, Inc....................................................... 1,141,128 45,143,024 0.4%
Jabil, Inc....................................................... 1,280,115 47,133,834 0.4%
SYNNEX Corp...................................................... 365,094 42,986,168 0.4%
* Tech Data Corp................................................... 455,346 55,324,539 0.5%
* Xerox Holdings Corp.............................................. 1,083,724 36,770,755 0.3%
Other Securities................................................. 888,576,221 8.3%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 1,189,038,470 11.0%
--------------- ----
MATERIALS -- (5.9%)
Reliance Steel & Aluminum Co..................................... 646,255 74,991,430 0.7%
Other Securities................................................. 611,325,201 5.7%
--------------- ----
TOTAL MATERIALS...................................................... 686,316,631 6.4%
--------------- ----
REAL ESTATE -- (0.2%)
Other Securities................................................. 21,955,071 0.2%
--------------- ----
UTILITIES -- (0.2%)
Other Securities................................................. 21,965,987 0.2%
--------------- ----
TOTAL COMMON STOCKS.................................................. 10,683,933,487 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 601,793 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $9,565,560,141).............................................. 10,684,535,280
---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 88,748,588 88,748,588 0.8%
--------------- ----
30
U.S. TARGETED VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (7.1%)
@(S) The DFA Short Term Investment Fund............................... 71,335,750 $ 825,425,969 7.7%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $10,479,633,200)............................................... $11,598,709,837 107.6%
=============== =====
As of October 31, 2019, U.S. Targeted Value Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 612 12/20/19 $89,594,995 $92,895,480 $3,300,485
----------- ----------- ----------
TOTAL FUTURES CONTRACTS........................... $89,594,995 $92,895,480 $3,300,485
=========== =========== ==========
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
Communication Services..... $ 334,476,088 -- -- $ 334,476,088
Consumer Discretionary..... 1,498,811,410 $ 61,811 -- 1,498,873,221
Consumer Staples........... 429,702,075 -- -- 429,702,075
Energy..................... 793,764,315 -- -- 793,764,315
Financials................. 2,974,965,929 203,490 -- 2,975,169,419
Health Care................ 523,399,093 -- -- 523,399,093
Industrials................ 2,209,273,117 -- -- 2,209,273,117
Information Technology..... 1,188,997,324 41,146 -- 1,189,038,470
Materials.................. 686,316,631 -- -- 686,316,631
Real Estate................ 21,955,071 -- -- 21,955,071
Utilities.................. 21,965,987 -- -- 21,965,987
Preferred Stocks
Communication Services..... 601,793 -- -- 601,793
Temporary Cash Investments.... 88,748,588 -- -- 88,748,588
Securities Lending Collateral. -- 825,425,969 -- 825,425,969
Futures Contracts**........... 3,300,485 -- -- 3,300,485
--------------- ------------ ------ ---------------
TOTAL......................... $10,776,277,906 $825,732,416 -- $11,602,010,322
=============== ============ ====== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
31
U.S. SMALL CAP VALUE PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (91.4%)
COMMUNICATION SERVICES -- (3.2%)
Telephone & Data Systems, Inc.................................... 3,304,152 $ 86,205,326 0.6%
Other Securities................................................. 391,457,453 2.9%
-------------- -------
TOTAL COMMUNICATION SERVICES......................................... 477,662,779 3.5%
-------------- -------
CONSUMER DISCRETIONARY -- (12.6%)
Aaron's, Inc..................................................... 1,452,368 108,825,934 0.8%
#* AutoNation, Inc.................................................. 1,445,824 73,520,150 0.5%
Graham Holdings Co., Class B..................................... 124,562 78,431,709 0.6%
MDC Holdings, Inc................................................ 1,994,009 77,188,088 0.6%
* Meritage Homes Corp.............................................. 1,426,415 102,830,257 0.8%
* Taylor Morrison Home Corp........................................ 4,007,062 100,376,903 0.7%
* TopBuild Corp.................................................... 720,019 74,831,575 0.5%
* TRI Pointe Group, Inc............................................ 4,629,137 72,862,616 0.5%
Other Securities................................................. 1,197,166,226 8.7%
-------------- -------
TOTAL CONSUMER DISCRETIONARY......................................... 1,886,033,458 13.7%
-------------- -------
CONSUMER STAPLES -- (3.5%)
* Darling Ingredients, Inc......................................... 5,534,041 106,806,991 0.8%
Seaboard Corp.................................................... 16,923 71,399,660 0.5%
Other Securities................................................. 347,413,164 2.5%
-------------- -------
TOTAL CONSUMER STAPLES............................................... 525,619,815 3.8%
-------------- -------
ENERGY -- (7.3%)
PBF Energy, Inc., Class A........................................ 2,602,900 84,021,612 0.6%
World Fuel Services Corp......................................... 2,497,096 104,303,700 0.8%
Other Securities................................................. 898,277,542 6.5%
-------------- -------
TOTAL ENERGY......................................................... 1,086,602,854 7.9%
-------------- -------
FINANCIALS -- (26.6%)
American Equity Investment Life Holding Co....................... 3,225,311 79,600,675 0.6%
Associated Banc-Corp............................................. 4,391,493 88,312,924 0.7%
# CNO Financial Group, Inc......................................... 4,510,009 70,581,641 0.5%
First BanCorp.................................................... 6,677,386 70,246,101 0.5%
# Fulton Financial Corp............................................ 5,174,416 88,275,537 0.7%
IBERIABANK Corp.................................................. 1,058,302 77,668,784 0.6%
International Bancshares Corp.................................... 1,592,840 65,242,726 0.5%
Kemper Corp...................................................... 1,171,842 84,232,003 0.6%
Navient Corp..................................................... 4,673,633 64,355,926 0.5%
# Old National Bancorp............................................. 4,778,482 85,988,784 0.6%
TCF Financial Corp............................................... 2,056,294 81,408,679 0.6%
# United Bankshares, Inc........................................... 1,791,222 70,824,918 0.5%
# Valley National Bancorp.......................................... 5,764,321 66,750,837 0.5%
Washington Federal, Inc.......................................... 2,768,286 100,931,708 0.7%
Other Securities................................................. 2,880,034,020 20.8%
-------------- -------
TOTAL FINANCIALS..................................................... 3,974,455,263 28.9%
-------------- -------
HEALTH CARE -- (3.0%)
#* Acadia Healthcare Co., Inc....................................... 2,401,247 72,013,398 0.5%
32
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
Other Securities................................................. $ 371,949,626 2.7%
--------------- -------
TOTAL HEALTH CARE.................................................... 443,963,024 3.2%
--------------- -------
INDUSTRIALS -- (17.9%)
Air Lease Corp................................................... 1,500,302 65,983,282 0.5%
Aircastle, Ltd................................................... 3,062,353 83,357,249 0.6%
#* Colfax Corp...................................................... 2,036,796 68,436,346 0.5%
#* FTI Consulting, Inc.............................................. 930,957 101,353,289 0.7%
# GATX Corp........................................................ 1,283,453 102,098,686 0.8%
* Hertz Global Holdings, Inc....................................... 5,033,761 68,006,111 0.5%
# Macquarie Infrastructure Corp.................................... 1,596,986 68,893,976 0.5%
Regal Beloit Corp................................................ 1,014,437 75,119,060 0.6%
SkyWest, Inc..................................................... 1,727,796 102,890,252 0.8%
Triton International, Ltd........................................ 2,100,474 77,087,396 0.6%
Other Securities................................................. 1,853,138,425 13.3%
--------------- -------
TOTAL INDUSTRIALS.................................................... 2,666,364,072 19.4%
--------------- -------
INFORMATION TECHNOLOGY -- (10.6%)
* Amkor Technology, Inc............................................ 6,537,297 81,258,602 0.6%
* CACI International, Inc., Class A................................ 439,734 98,390,482 0.7%
* Insight Enterprises, Inc......................................... 1,041,167 63,906,830 0.5%
* Sanmina Corp..................................................... 2,305,591 70,850,811 0.5%
SYNNEX Corp...................................................... 632,217 74,437,230 0.5%
* Tech Data Corp................................................... 1,103,723 134,102,344 1.0%
# Vishay Intertechnology, Inc...................................... 3,965,663 79,908,109 0.6%
Other Securities................................................. 985,823,037 7.1%
--------------- -------
TOTAL INFORMATION TECHNOLOGY......................................... 1,588,677,445 11.5%
--------------- -------
MATERIALS -- (6.3%)
Carpenter Technology Corp........................................ 1,573,170 77,116,793 0.6%
Commercial Metals Co ............................................ 4,138,745 80,001,941 0.6%
Domtar Corp...................................................... 2,246,670 81,756,321 0.6%
#* Element Solutions, Inc........................................... 6,662,951 72,359,648 0.5%
Other Securities................................................. 624,356,842 4.5%
--------------- -------
TOTAL MATERIALS...................................................... 935,591,545 6.8%
--------------- -------
REAL ESTATE -- (0.2%)
Other Securities................................................. 34,419,316 0.3%
--------------- -------
UTILITIES -- (0.2%)
Other Security................................................... 31,705,701 0.2%
--------------- -------
TOTAL COMMON STOCKS.................................................. 13,651,095,272 99.2%
--------------- -------
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 439,497 0.0%
--------------- -------
TOTAL INVESTMENT SECURITIES
(Cost $11,391,408,237)............................................. 13,651,534,769
---------------
33
U.S. SMALL CAP VALUE PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (1.5%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 222,084,643 $ 222,084,643 1.6%
--------------- -------
SECURITIES LENDING COLLATERAL -- (7.1%)
@(S) The DFA Short Term Investment Fund............................... 91,811,493 1,062,350,780 7.7%
--------------- -------
TOTAL INVESTMENTS--(100.0%)
(Cost $12,675,712,209)............................................... $14,935,970,192 108.5%
=============== =======
As of October 31, 2019, U.S. Small Cap Value Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 649 12/20/19 $98,055,691 $98,511,710 $456,019
----------- ----------- --------
TOTAL FUTURES CONTRACTS........................... $98,055,691 $98,511,710 $456,019
=========== =========== ========
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
Communication Services..... $ 477,662,779 -- -- $ 477,662,779
Consumer Discretionary..... 1,885,980,140 $ 53,318 -- 1,886,033,458
Consumer Staples........... 525,619,815 -- -- 525,619,815
Energy..................... 1,086,602,854 -- -- 1,086,602,854
Financials................. 3,973,986,807 468,456 -- 3,974,455,263
Health Care................ 443,926,061 36,963 -- 443,963,024
Industrials................ 2,666,364,072 -- -- 2,666,364,072
Information Technology..... 1,588,677,445 -- -- 1,588,677,445
Materials.................. 935,591,545 -- -- 935,591,545
Real Estate................ 34,419,316 -- -- 34,419,316
Utilities.................. 31,705,701 -- -- 31,705,701
Preferred Stocks
Communication Services..... 439,497 -- -- 439,497
Temporary Cash Investments.... 222,084,643 -- -- 222,084,643
Securities Lending Collateral. -- 1,062,350,780 -- 1,062,350,780
Futures Contracts**........... 456,019 -- -- 456,019
--------------- -------------- ------ ---------------
TOTAL......................... $13,873,516,694 $1,062,909,517 -- $14,936,426,211
=============== ============== ====== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
34
U.S. CORE EQUITY 1 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (94.7%)
COMMUNICATION SERVICES -- (8.1%)
* Alphabet, Inc., Class A.......................................... 131,837 $ 165,956,416 0.6%
* Alphabet, Inc., Class C.......................................... 127,904 161,173,109 0.6%
AT&T, Inc........................................................ 9,445,617 363,561,798 1.4%
Comcast Corp., Class A........................................... 3,785,859 169,682,200 0.7%
* Facebook, Inc., Class A.......................................... 1,559,452 298,868,976 1.1%
Verizon Communications, Inc...................................... 4,479,769 270,891,631 1.0%
Walt Disney Co. (The)............................................ 879,338 114,243,593 0.4%
Other Securities................................................. 708,862,131 2.7%
-------------- -------
TOTAL COMMUNICATION SERVICES......................................... 2,253,239,854 8.5%
-------------- -------
CONSUMER DISCRETIONARY -- (11.6%)
* Amazon.com, Inc.................................................. 320,056 568,630,693 2.2%
Home Depot, Inc. (The)........................................... 659,768 154,768,377 0.6%
McDonald's Corp.................................................. 422,272 83,060,902 0.3%
NIKE, Inc., Class B.............................................. 897,617 80,381,602 0.3%
Other Securities................................................. 2,335,214,984 8.7%
-------------- -------
TOTAL CONSUMER DISCRETIONARY......................................... 3,222,056,558 12.1%
-------------- -------
CONSUMER STAPLES -- (6.0%)
Altria Group, Inc................................................ 1,641,210 73,509,796 0.3%
Coca-Cola Co. (The).............................................. 2,670,749 145,368,868 0.6%
Costco Wholesale Corp............................................ 310,004 92,105,288 0.4%
PepsiCo, Inc..................................................... 1,094,982 150,198,681 0.6%
Procter & Gamble Co. (The)....................................... 1,579,025 196,604,403 0.7%
Walmart, Inc..................................................... 987,203 115,759,424 0.4%
Other Securities................................................. 903,206,704 3.3%
-------------- -------
TOTAL CONSUMER STAPLES............................................... 1,676,753,164 6.3%
-------------- -------
ENERGY -- (4.6%)
Chevron Corp..................................................... 1,533,622 178,114,859 0.7%
Exxon Mobil Corp................................................. 3,512,052 237,309,354 0.9%
Other Securities................................................. 860,330,208 3.2%
-------------- -------
TOTAL ENERGY......................................................... 1,275,754,421 4.8%
-------------- -------
FINANCIALS -- (14.3%)
Bank of America Corp............................................. 5,850,983 182,960,238 0.7%
* Berkshire Hathaway, Inc., Class B................................ 1,192,385 253,477,203 1.0%
Citigroup, Inc................................................... 1,414,364 101,636,197 0.4%
JPMorgan Chase & Co.............................................. 2,760,701 344,866,769 1.3%
Wells Fargo & Co................................................. 3,514,207 181,438,507 0.7%
Other Securities................................................. 2,907,238,088 10.8%
-------------- -------
TOTAL FINANCIALS..................................................... 3,971,617,002 14.9%
-------------- -------
HEALTH CARE -- (11.0%)
Amgen, Inc....................................................... 530,972 113,229,779 0.4%
* Cigna Corp....................................................... 439,383 78,412,290 0.3%
Johnson & Johnson................................................ 1,909,603 252,143,980 1.0%
Merck & Co., Inc................................................. 1,670,437 144,760,070 0.6%
Pfizer, Inc...................................................... 3,778,438 144,978,666 0.6%
UnitedHealth Group, Inc.......................................... 577,060 145,823,062 0.6%
35
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
Other Securities................................................. $ 2,181,162,115 8.0%
--------------- --------
TOTAL HEALTH CARE.................................................... 3,060,509,962 11.5%
--------------- --------
INDUSTRIALS -- (12.2%)
3M Co............................................................ 492,759 81,300,307 0.3%
Boeing Co. (The)................................................. 315,877 107,369,751 0.4%
Caterpillar, Inc................................................. 522,360 71,981,208 0.3%
Honeywell International, Inc..................................... 490,013 84,639,945 0.3%
Lockheed Martin Corp............................................. 197,743 74,485,833 0.3%
Union Pacific Corp............................................... 505,841 83,696,452 0.3%
United Technologies Corp......................................... 512,649 73,606,143 0.3%
Other Securities................................................. 2,827,831,808 10.6%
--------------- --------
TOTAL INDUSTRIALS.................................................... 3,404,911,447 12.8%
--------------- --------
INFORMATION TECHNOLOGY -- (20.0%)
Accenture P.L.C., Class A........................................ 493,180 91,445,436 0.4%
* Adobe, Inc....................................................... 257,391 71,536,681 0.3%
Apple, Inc....................................................... 4,436,038 1,103,508,813 4.2%
Cisco Systems, Inc............................................... 2,926,380 139,032,314 0.5%
Intel Corp....................................................... 4,520,919 255,567,551 1.0%
International Business Machines Corp............................. 736,079 98,435,845 0.4%
Mastercard, Inc., Class A........................................ 709,200 196,313,652 0.8%
* Micron Technology, Inc........................................... 1,599,289 76,046,192 0.3%
Microsoft Corp................................................... 4,936,491 707,744,715 2.7%
Oracle Corp...................................................... 2,081,480 113,419,845 0.4%
Texas Instruments, Inc........................................... 750,861 88,594,089 0.3%
# Visa, Inc., Class A.............................................. 1,085,673 194,183,473 0.7%
Other Securities................................................. 2,429,013,983 8.9%
--------------- --------
TOTAL INFORMATION TECHNOLOGY......................................... 5,564,842,589 20.9%
--------------- --------
MATERIALS -- (3.8%)
Other Securities................................................. 1,047,070,001 3.9%
--------------- --------
REAL ESTATE -- (0.3%)
Other Securities................................................. 73,173,400 0.3%
--------------- --------
UTILITIES -- (2.8%)
Other Securities................................................. 787,207,314 3.0%
--------------- --------
TOTAL COMMON STOCKS.................................................. 26,337,135,712 99.0%
--------------- --------
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 408,026 0.0%
--------------- --------
INDUSTRIALS -- (0.0%)
Other Security................................................... 4,499 0.0%
--------------- --------
TOTAL PREFERRED STOCKS............................................... 412,525 0.0%
--------------- --------
TOTAL INVESTMENT SECURITIES
(Cost $16,958,014,087)............................................. 26,337,548,237
---------------
36
U.S. CORE EQUITY 1 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 234,980,188 $ 234,980,188 0.9%
--------------- ---------
SECURITIES LENDING COLLATERAL -- (4.5%)
@(S) The DFA Short Term Investment Fund............................... 107,997,640 1,249,640,696 4.7%
--------------- ---------
TOTAL INVESTMENTS--(100.0%)
(Cost $18,442,497,580)............................................... $27,822,169,121 104.6%
=============== =========
As of October 31, 2019, U.S. Core Equity 1 Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 1,368 12/20/19 $205,738,117 $207,648,720 $1,910,603
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........................... $205,738,117 $207,648,720 $1,910,603
============ ============ ==========
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
Communication Services..... $ 2,253,239,854 -- -- $ 2,253,239,854
Consumer Discretionary..... 3,222,053,078 $ 3,480 -- 3,222,056,558
Consumer Staples........... 1,676,753,164 -- -- 1,676,753,164
Energy..................... 1,275,754,421 -- -- 1,275,754,421
Financials................. 3,971,565,865 51,137 -- 3,971,617,002
Health Care................ 3,060,509,962 -- -- 3,060,509,962
Industrials................ 3,404,911,447 -- -- 3,404,911,447
Information Technology..... 5,564,842,589 -- -- 5,564,842,589
Materials.................. 1,047,070,001 -- -- 1,047,070,001
Real Estate................ 73,173,400 -- -- 73,173,400
Utilities.................. 787,207,314 -- -- 787,207,314
Preferred Stocks
Communication Services..... 408,026 -- -- 408,026
Industrials................ 4,499 -- -- 4,499
Temporary Cash Investments.... 234,980,188 -- -- 234,980,188
Securities Lending Collateral. -- 1,249,640,696 -- 1,249,640,696
Futures Contracts**........... 1,910,603 -- -- 1,910,603
--------------- -------------- ------ ---------------
TOTAL......................... $26,574,384,411 $1,249,695,313 -- $27,824,079,724
=============== ============== ====== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
37
U.S. CORE EQUITY 2 PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (94.5%)
COMMUNICATION SERVICES -- (7.1%)
* Alphabet, Inc., Class A.......................................... 96,783 $ 121,830,440 0.4%
* Alphabet, Inc., Class C.......................................... 102,183 128,761,820 0.5%
AT&T, Inc........................................................ 7,075,983 272,354,586 1.0%
* Charter Communications, Inc., Class A............................ 174,958 81,855,850 0.3%
Comcast Corp., Class A........................................... 4,524,891 202,805,615 0.7%
* Facebook, Inc., Class A.......................................... 1,190,043 228,071,741 0.8%
Verizon Communications, Inc...................................... 4,053,628 245,122,885 0.9%
Walt Disney Co. (The)............................................ 737,651 95,835,618 0.4%
Other Securities................................................. 701,618,687 2.5%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 2,078,257,242 7.5%
-------------- ----
CONSUMER DISCRETIONARY -- (11.7%)
* Amazon.com, Inc.................................................. 322,450 572,884,017 2.1%
Home Depot, Inc. (The)........................................... 308,857 72,451,675 0.3%
NIKE, Inc., Class B.............................................. 736,039 65,912,292 0.2%
Other Securities................................................. 2,690,534,983 9.6%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 3,401,782,967 12.2%
-------------- ----
CONSUMER STAPLES -- (5.4%)
Coca-Cola Co. (The).............................................. 1,777,825 96,767,015 0.4%
Costco Wholesale Corp............................................ 279,294 82,981,040 0.3%
PepsiCo, Inc..................................................... 960,917 131,808,985 0.5%
Procter & Gamble Co. (The)....................................... 987,815 122,992,846 0.5%
Walmart, Inc..................................................... 997,798 117,001,793 0.4%
Other Securities................................................. 1,036,577,149 3.6%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 1,588,128,828 5.7%
-------------- ----
ENERGY -- (4.5%)
Chevron Corp..................................................... 1,471,514 170,901,636 0.6%
Exxon Mobil Corp................................................. 3,143,859 212,430,553 0.8%
Other Securities................................................. 929,577,337 3.3%
-------------- ----
TOTAL ENERGY......................................................... 1,312,909,526 4.7%
-------------- ----
FINANCIALS -- (15.6%)
American Express Co.............................................. 742,133 87,037,358 0.3%
Bank of America Corp............................................. 5,144,454 160,867,077 0.6%
* Berkshire Hathaway, Inc., Class B................................ 1,010,279 214,765,110 0.8%
Citigroup, Inc................................................... 1,353,860 97,288,380 0.4%
JPMorgan Chase & Co.............................................. 2,576,165 321,814,532 1.2%
Wells Fargo & Co................................................. 3,455,193 178,391,615 0.7%
Other Securities................................................. 3,493,435,955 12.4%
-------------- ----
TOTAL FINANCIALS..................................................... 4,553,600,027 16.4%
-------------- ----
HEALTH CARE -- (10.9%)
Amgen, Inc....................................................... 450,835 96,140,564 0.4%
* Cigna Corp....................................................... 407,290 72,684,973 0.3%
CVS Health Corp.................................................. 1,180,741 78,389,395 0.3%
Gilead Sciences, Inc............................................. 1,079,751 68,790,936 0.3%
Johnson & Johnson................................................ 2,392,005 315,840,340 1.1%
Merck & Co., Inc................................................. 1,813,335 157,143,611 0.6%
38
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- --------------- ---------------
HEALTH CARE -- (Continued)
Pfizer, Inc...................................................... 3,175,533 $ 121,845,201 0.5%
UnitedHealth Group, Inc.......................................... 608,074 153,660,300 0.6%
Other Securities................................................. 2,119,916,560 7.3%
--------------- ----
TOTAL HEALTH CARE.................................................... 3,184,411,880 11.4%
--------------- ----
INDUSTRIALS -- (13.4%)
3M Co............................................................ 439,092 72,445,789 0.3%
Caterpillar, Inc................................................. 494,834 68,188,125 0.3%
Union Pacific Corp............................................... 618,468 102,331,715 0.4%
United Technologies Corp......................................... 618,500 88,804,230 0.3%
Other Securities................................................. 3,563,348,168 12.7%
--------------- ----
TOTAL INDUSTRIALS.................................................... 3,895,118,027 14.0%
--------------- ----
INFORMATION TECHNOLOGY -- (19.5%)
Accenture P.L.C., Class A........................................ 433,431 80,366,776 0.3%
Apple, Inc....................................................... 4,365,689 1,086,008,796 3.9%
Broadcom, Inc.................................................... 244,537 71,612,660 0.3%
Cisco Systems, Inc............................................... 3,687,066 175,172,506 0.6%
Intel Corp....................................................... 5,141,165 290,630,057 1.1%
International Business Machines Corp............................. 689,744 92,239,465 0.3%
Lam Research Corp................................................ 284,426 77,090,823 0.3%
Mastercard, Inc., Class A........................................ 649,786 179,867,263 0.7%
* Micron Technology, Inc........................................... 1,627,340 77,380,017 0.3%
Microsoft Corp................................................... 4,772,363 684,213,683 2.5%
Oracle Corp...................................................... 1,923,737 104,824,429 0.4%
Texas Instruments, Inc........................................... 586,826 69,239,600 0.3%
# Visa, Inc., Class A.............................................. 739,794 132,319,555 0.5%
Other Securities................................................. 2,569,923,689 9.0%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 5,690,889,319 20.5%
--------------- ----
MATERIALS -- (4.0%)
Other Securities................................................. 1,175,485,520 4.2%
--------------- ----
REAL ESTATE -- (0.3%)
Other Securities................................................. 85,931,993 0.3%
--------------- ----
UTILITIES -- (2.1%)
Other Securities................................................. 613,792,643 2.2%
--------------- ----
TOTAL COMMON STOCKS.................................................. 27,580,307,972 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 632,503 0.0%
--------------- ----
INDUSTRIALS -- (0.0%)
Other Security................................................... 8,278 0.0%
--------------- ----
TOTAL PREFERRED STOCKS............................................... 640,781 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $17,943,654,008)............................................. 27,580,948,753
---------------
39
U.S. CORE EQUITY 2 PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 216,323,278 $ 216,323,278 0.8%
--------------- -----
SECURITIES LENDING COLLATERAL -- (4.7%)
@(S) The DFA Short Term Investment Fund............................... 119,414,241 1,381,742,178 5.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $19,541,573,319)............................................... $29,179,014,209 104.9%
=============== =====
As of October 31, 2019, U.S. Core Equity 2 Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 1,575 12/20/19 $236,844,052 $239,069,250 $2,225,198
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........................... $236,844,052 $239,069,250 $2,225,198
============ ============ ==========
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
Communication Services..... $ 2,078,257,242 -- -- $ 2,078,257,242
Consumer Discretionary..... 3,401,773,330 $ 9,637 -- 3,401,782,967
Consumer Staples........... 1,588,128,828 -- -- 1,588,128,828
Energy..................... 1,312,909,526 -- -- 1,312,909,526
Financials................. 4,553,514,252 85,775 -- 4,553,600,027
Health Care................ 3,184,408,328 3,552 -- 3,184,411,880
Industrials................ 3,895,118,027 -- -- 3,895,118,027
Information Technology..... 5,690,881,778 7,541 -- 5,690,889,319
Materials.................. 1,175,485,520 -- -- 1,175,485,520
Real Estate................ 85,931,993 -- -- 85,931,993
Utilities.................. 613,792,643 -- -- 613,792,643
Preferred Stocks
Communication Services..... 632,503 -- -- 632,503
Industrials................ 8,278 -- -- 8,278
Temporary Cash Investments.... 216,323,278 -- -- 216,323,278
Securities Lending Collateral. -- 1,381,742,178 -- 1,381,742,178
Futures Contracts**........... 2,225,198 -- -- 2,225,198
--------------- -------------- -------- ---------------
TOTAL......................... $27,799,390,724 $1,381,848,683 -- $29,181,239,407
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
40
U.S. VECTOR EQUITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (93.7%)
COMMUNICATION SERVICES -- (6.2%)
* Alphabet, Inc., Class A.......................................... 10,540 $ 13,267,752 0.3%
* Alphabet, Inc., Class C.......................................... 11,067 13,945,637 0.3%
AT&T, Inc........................................................ 1,408,047 54,195,729 1.2%
* Charter Communications, Inc., Class A............................ 22,828 10,680,308 0.2%
Comcast Corp., Class A........................................... 487,867 21,866,199 0.5%
Verizon Communications, Inc...................................... 276,980 16,748,981 0.4%
Walt Disney Co. (The)............................................ 93,781 12,184,028 0.3%
Other Securities................................................. 159,286,948 3.4%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 302,175,582 6.6%
-------------- ----
CONSUMER DISCRETIONARY -- (10.3%)
General Motors Co................................................ 312,543 11,614,098 0.3%
* Murphy USA, Inc.................................................. 63,703 7,512,495 0.2%
Other Securities................................................. 483,677,170 10.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 502,803,763 10.9%
-------------- ----
CONSUMER STAPLES -- (3.7%)
Procter & Gamble Co. (The)....................................... 116,144 14,461,089 0.3%
Walmart, Inc..................................................... 76,857 9,012,252 0.2%
Other Securities................................................. 156,304,812 3.4%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 179,778,153 3.9%
-------------- ----
ENERGY -- (5.5%)
Chevron Corp..................................................... 234,556 27,241,334 0.6%
Exxon Mobil Corp................................................. 466,524 31,523,027 0.7%
HollyFrontier Corp............................................... 169,076 9,289,035 0.2%
Valero Energy Corp............................................... 89,358 8,665,939 0.2%
Other Securities................................................. 189,241,212 4.1%
-------------- ----
TOTAL ENERGY......................................................... 265,960,547 5.8%
-------------- ----
FINANCIALS -- (22.8%)
Bank of America Corp............................................. 851,074 26,613,084 0.6%
* Berkshire Hathaway, Inc., Class B................................ 140,759 29,922,548 0.7%
Citigroup, Inc................................................... 204,743 14,712,832 0.3%
Fifth Third Bancorp.............................................. 263,905 7,674,357 0.2%
First American Financial Corp.................................... 149,802 9,254,768 0.2%
Hartford Financial Services Group, Inc. (The).................... 173,532 9,905,207 0.2%
JPMorgan Chase & Co.............................................. 417,971 52,212,937 1.1%
Morgan Stanley................................................... 164,084 7,556,068 0.2%
PNC Financial Services Group, Inc. (The)......................... 52,144 7,649,525 0.2%
RenaissanceRe Holdings, Ltd...................................... 40,926 7,660,529 0.2%
Wells Fargo & Co................................................. 538,528 27,804,201 0.6%
Other Securities................................................. 912,226,155 19.8%
-------------- ----
TOTAL FINANCIALS..................................................... 1,113,192,211 24.3%
-------------- ----
HEALTH CARE -- (8.2%)
Anthem, Inc...................................................... 28,912 7,779,641 0.2%
* Cigna Corp....................................................... 44,445 7,931,655 0.2%
CVS Health Corp.................................................. 137,754 9,145,488 0.2%
Johnson & Johnson................................................ 75,789 10,007,180 0.2%
41
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Merck & Co., Inc................................................. 149,737 $ 12,976,208 0.3%
Pfizer, Inc...................................................... 341,124 13,088,928 0.3%
UnitedHealth Group, Inc.......................................... 51,083 12,908,674 0.3%
Other Securities................................................. 328,398,243 7.1%
-------------- ----
TOTAL HEALTH CARE.................................................... 402,236,017 8.8%
-------------- ----
INDUSTRIALS -- (16.1%)
* AECOM............................................................ 197,010 7,882,370 0.2%
* Genesee & Wyoming, Inc., Class A................................. 76,777 8,524,550 0.2%
L3Harris Technologies, Inc....................................... 42,343 8,735,784 0.2%
* MasTec, Inc...................................................... 119,034 7,492,000 0.2%
Norfolk Southern Corp............................................ 41,621 7,575,022 0.2%
Quanta Services, Inc............................................. 202,897 8,531,819 0.2%
United Technologies Corp......................................... 67,283 9,660,493 0.2%
Other Securities................................................. 724,137,803 15.7%
-------------- ----
TOTAL INDUSTRIALS.................................................... 782,539,841 17.1%
-------------- ----
INFORMATION TECHNOLOGY -- (14.4%)
Apple, Inc....................................................... 285,245 70,957,546 1.6%
Cisco Systems, Inc............................................... 237,876 11,301,489 0.3%
Hewlett Packard Enterprise Co.................................... 472,548 7,754,513 0.2%
Intel Corp....................................................... 578,019 32,675,414 0.7%
* Micron Technology, Inc........................................... 295,915 14,070,758 0.3%
Microsoft Corp................................................... 278,222 39,888,688 0.9%
Oracle Corp...................................................... 141,867 7,730,333 0.2%
SYNNEX Corp...................................................... 64,671 7,614,364 0.2%
Other Securities................................................. 510,312,479 10.9%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 702,305,584 15.3%
-------------- ----
MATERIALS -- (4.8%)
Reliance Steel & Aluminum Co..................................... 86,542 10,042,334 0.2%
Other Securities................................................. 224,342,552 4.9%
-------------- ----
TOTAL MATERIALS...................................................... 234,384,886 5.1%
-------------- ----
REAL ESTATE -- (0.5%)
Other Securities................................................. 23,365,766 0.5%
-------------- ----
UTILITIES -- (1.2%)
Other Securities................................................. 58,468,078 1.3%
-------------- ----
TOTAL COMMON STOCKS.................................................. 4,567,210,428 99.6%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 393,525 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $2,995,944,746).............................................. 4,567,603,953
--------------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 17,630,939 17,630,939 0.4%
-------------- ----
42
U.S. VECTOR EQUITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
SECURITIES LENDING COLLATERAL -- (5.9%)
@(S) The DFA Short Term Investment Fund............................... 24,831,344 $ 287,323,477 6.3%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $3,300,865,688)................................................ $4,872,558,369 106.3%
============== =====
As of October 31, 2019, U.S. Vector Equity Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 137 12/20/19 $20,597,530 $20,795,230 $197,700
----------- ----------- --------
TOTAL FUTURES CONTRACTS........................... $20,597,530 $20,795,230 $197,700
=========== =========== ========
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
Communication Services..... $ 302,175,582 -- -- $ 302,175,582
Consumer Discretionary..... 502,800,094 $ 3,669 -- 502,803,763
Consumer Staples........... 179,778,153 -- -- 179,778,153
Energy..................... 265,960,547 -- -- 265,960,547
Financials................. 1,113,157,868 34,343 -- 1,113,192,211
Health Care................ 402,236,017 -- -- 402,236,017
Industrials................ 782,539,841 -- -- 782,539,841
Information Technology..... 702,305,584 -- -- 702,305,584
Materials.................. 234,384,886 -- -- 234,384,886
Real Estate................ 23,365,766 -- -- 23,365,766
Utilities.................. 58,468,078 -- -- 58,468,078
Preferred Stocks
Communication Services..... 393,525 -- -- 393,525
Temporary Cash Investments.... 17,630,939 -- -- 17,630,939
Securities Lending Collateral. -- 287,323,477 -- 287,323,477
Futures Contracts**........... 197,700 -- -- 197,700
-------------- ------------ -------- --------------
TOTAL......................... $4,585,394,580 $287,361,489 -- $4,872,756,069
============== ============ ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
43
U.S. SMALL CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (89.2%)
COMMUNICATION SERVICES -- (3.1%)
Cogent Communications Holdings, Inc.............................. . 631,324 $ 37,020,839 0.2%
# Nexstar Media Group, Inc., Class A............................... 414,138 40,291,486 0.2%
* Zynga, Inc., Class A............................................. 6,669,293 41,149,538 0.2%
Other Securities................................................. 491,304,273 2.9%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 609,766,136 3.5%
-------------- ----
CONSUMER DISCRETIONARY -- (13.0%)
Aaron's, Inc..................................................... 727,525 54,513,448 0.3%
* Deckers Outdoor Corp............................................. 346,499 52,979,697 0.3%
# Dick's Sporting Goods, Inc....................................... 933,286 36,332,824 0.2%
* Helen of Troy, Ltd............................................... 324,067 48,532,274 0.3%
# Lithia Motors, Inc., Class A..................................... 260,591 41,037,871 0.2%
#* Murphy USA, Inc.................................................. 413,646 48,781,273 0.3%
Steven Madden, Ltd............................................... 953,272 39,255,741 0.2%
#* Tempur Sealy International, Inc.................................. 444,406 40,418,726 0.2%
* TopBuild Corp.................................................... 357,071 37,110,389 0.2%
Other Securities................................................. 2,106,497,120 12.2%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 2,505,459,363 14.4%
-------------- ----
CONSUMER STAPLES -- (3.7%)
#* Boston Beer Co., Inc. (The), Class A............................. 96,755 36,230,877 0.2%
# Sanderson Farms, Inc............................................. 312,059 48,309,854 0.3%
Other Securities................................................. 632,587,281 3.6%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 717,128,012 4.1%
-------------- ----
ENERGY -- (4.0%)
Other Securities................................................. 768,821,451 4.4%
-------------- ----
FINANCIALS -- (18.1%)
BancorpSouth Bank................................................ 1,485,534 45,561,328 0.3%
Cathay General Bancorp........................................... 1,256,514 44,694,203 0.3%
Columbia Banking System, Inc..................................... 1,031,366 40,532,684 0.2%
# Community Bank System, Inc....................................... 620,520 42,058,846 0.2%
# Federated Investors, Inc., Class B............................... 1,156,752 36,946,659 0.2%
FirstCash, Inc................................................... 587,929 49,615,328 0.3%
# Glacier Bancorp, Inc............................................. 932,686 39,471,272 0.2%
#* LendingTree, Inc................................................. 112,606 40,521,269 0.2%
# RLI Corp......................................................... 474,546 46,182,817 0.3%
Selective Insurance Group, Inc................................... 740,031 51,150,943 0.3%
TCF Financial Corp............................................... 1,562,941 61,876,834 0.4%
Other Securities................................................. 3,006,108,647 17.3%
-------------- ----
TOTAL FINANCIALS..................................................... 3,504,720,830 20.2%
-------------- ----
HEALTH CARE -- (8.3%)
* Amedisys, Inc.................................................... 364,629 46,862,119 0.3%
* Horizon Therapeutics P.L.C....................................... 2,206,712 63,796,044 0.4%
#* LHC Group, Inc................................................... 381,579 42,343,822 0.3%
Other Securities................................................. 1,449,445,083 8.2%
-------------- ----
TOTAL HEALTH CARE.................................................... 1,602,447,068 9.2%
-------------- ----
44
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
INDUSTRIALS -- (18.2%)
Armstrong World Industries, Inc.................................. 525,430 $ 49,143,468 0.3%
#* Cimpress NV...................................................... 293,238 38,742,605 0.2%
* Clean Harbors, Inc............................................... 518,261 42,735,802 0.3%
* FTI Consulting, Inc.............................................. 402,955 43,869,711 0.3%
* Generac Holdings, Inc............................................ 545,711 52,704,768 0.3%
# MSA Safety, Inc.................................................. 350,718 42,110,710 0.2%
* RBC Bearings, Inc................................................ 255,557 41,001,565 0.2%
Simpson Manufacturing Co., Inc................................... 480,682 39,723,560 0.2%
Tetra Tech, Inc.................................................. 660,168 57,744,895 0.3%
#* Trex Co., Inc.................................................... 514,242 45,196,729 0.3%
Other Securities................................................. 3,059,255,549 17.6%
--------------- ----
TOTAL INDUSTRIALS.................................................... 3,512,229,362 20.2%
--------------- ----
INFORMATION TECHNOLOGY -- (12.3%)
* ACI Worldwide, Inc............................................... 1,171,716 36,780,165 0.2%
Cabot Microelectronics Corp...................................... 308,834 46,670,994 0.3%
* CACI International, Inc., Class A................................ 165,649 37,063,964 0.2%
* Cirrus Logic, Inc................................................ 572,846 38,930,614 0.2%
KBR, Inc......................................................... 1,714,360 48,276,378 0.3%
* Manhattan Associates, Inc........................................ 552,572 41,415,271 0.2%
Science Applications International Corp.......................... 458,863 37,911,261 0.2%
* Tech Data Corp................................................... 393,553 47,816,689 0.3%
Other Securities................................................. 2,046,417,672 11.8%
--------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 2,381,283,008 13.7%
--------------- ----
MATERIALS -- (4.7%)
Other Securities................................................. 912,582,722 5.3%
--------------- ----
REAL ESTATE -- (0.5%)
Other Securities................................................. 91,820,788 0.5%
--------------- ----
UTILITIES -- (3.3%)
# American States Water Co......................................... 380,399 36,187,357 0.2%
# Ormat Technologies, Inc.......................................... 470,860 36,049,042 0.2%
PNM Resources, Inc............................................... 769,055 40,106,218 0.2%
Other Securities................................................. 520,178,473 3.0%
--------------- ----
TOTAL UTILITIES...................................................... 632,521,090 3.6%
--------------- ----
TOTAL COMMON STOCKS.................................................. 17,238,779,830 99.1%
--------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 1,736,605 0.0%
--------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Security................................................... 341 0.0%
--------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $13,883,352,488)............................................. 17,240,516,776
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 112,333,400 112,333,400 0.7%
--------------- ----
45
U.S. SMALL CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
SECURITIES LENDING COLLATERAL -- (10.2%)
@(S) The DFA Short Term Investment Fund............................... 169,778,412 $ 1,964,506,010 11.3%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $15,959,983,800)............................................... $19,317,356,186 111.1%
=============== =====
As of October 31, 2019, U.S. Small Cap Portfolio had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 1,004 12/20/19 $147,032,232 $152,397,160 $5,364,928
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........................... $147,032,232 $152,397,160 $5,364,928
============ ============ ==========
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
Communication Services..... $ 609,766,136 -- -- $ 609,766,136
Consumer Discretionary..... 2,505,429,809 $ 29,554 -- 2,505,459,363
Consumer Staples........... 717,128,012 -- -- 717,128,012
Energy..................... 768,821,451 -- -- 768,821,451
Financials................. 3,504,527,975 192,855 -- 3,504,720,830
Health Care................ 1,602,436,668 10,400 -- 1,602,447,068
Industrials................ 3,512,229,362 -- -- 3,512,229,362
Information Technology..... 2,381,264,380 18,628 -- 2,381,283,008
Materials.................. 912,582,722 -- -- 912,582,722
Real Estate................ 91,820,788 -- -- 91,820,788
Utilities.................. 632,521,090 -- -- 632,521,090
Preferred Stocks
Communication Services..... 1,736,605 -- -- 1,736,605
Rights/Warrants
Consumer Discretionary..... -- 341 -- 341
Temporary Cash Investments.... 112,333,400 -- -- 112,333,400
Securities Lending Collateral. -- 1,964,506,010 -- 1,964,506,010
Futures Contracts**........... 5,364,928 -- -- 5,364,928
--------------- -------------- -------- ---------------
TOTAL......................... $17,357,963,326 $1,964,757,788 -- $19,322,721,114
=============== ============== ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
46
U.S. MICRO CAP PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (90.3%)
COMMUNICATION SERVICES -- (2.3%)
Other Securities................................................. $ 157,740,820 2.5%
-------------- ----
CONSUMER DISCRETIONARY -- (11.8%)
# Callaway Golf Co................................................. 1,105,362 22,350,420 0.4%
* Cavco Industries, Inc............................................ 89,870 17,223,585 0.3%
#* Crocs, Inc....................................................... 522,598 18,285,704 0.3%
#* Gentherm, Inc.................................................... 398,697 16,653,574 0.3%
La-Z-Boy, Inc.................................................... 558,862 19,845,190 0.3%
MDC Holdings, Inc................................................ 462,269 17,894,433 0.3%
#* Sleep Number Corp................................................ 435,376 20,950,293 0.3%
# Winnebago Industries, Inc........................................ 345,353 16,601,119 0.3%
Other Securities................................................. 668,988,329 10.4%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 818,792,647 12.9%
-------------- ----
CONSUMER STAPLES -- (3.6%)
Coca-Cola Consolidated, Inc...................................... 61,754 16,942,827 0.3%
Inter Parfums, Inc............................................... 301,212 23,322,845 0.4%
# WD-40 Co......................................................... 92,091 17,257,853 0.3%
Other Securities................................................. 195,184,819 3.0%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 252,708,344 4.0%
-------------- ----
ENERGY -- (4.7%)
Other Securities................................................. 329,187,071 5.2%
-------------- ----
FINANCIALS -- (20.4%)
Ameris Bancorp................................................... 476,979 20,438,550 0.3%
First BanCorp.................................................... 1,694,054 17,821,448 0.3%
Horace Mann Educators Corp....................................... 409,827 17,852,064 0.3%
* NMI Holdings, Inc., Class A...................................... 763,913 22,344,455 0.4%
Safety Insurance Group, Inc...................................... 178,562 17,356,226 0.3%
Walker & Dunlop, Inc............................................. 339,012 21,354,366 0.3%
WSFS Financial Corp.............................................. 404,092 17,040,560 0.3%
Other Securities................................................. 1,285,986,555 20.1%
-------------- ----
TOTAL FINANCIALS..................................................... 1,420,194,224 22.3%
-------------- ----
HEALTH CARE -- (9.7%)
# Atrion Corp...................................................... 20,115 16,965,594 0.3%
CONMED Corp...................................................... 251,185 27,635,374 0.4%
* CorVel Corp...................................................... 260,818 20,635,920 0.3%
Ensign Group, Inc. (The)......................................... 472,750 19,973,687 0.3%
# US Physical Therapy, Inc......................................... 141,440 20,009,517 0.3%
Other Securities................................................. 572,455,025 9.0%
-------------- ----
TOTAL HEALTH CARE.................................................... 677,675,117 10.6%
-------------- ----
INDUSTRIALS -- (18.6%)
# AAON, Inc........................................................ 397,794 19,356,656 0.3%
Albany International Corp., Class A.............................. 214,764 18,035,881 0.3%
* Casella Waste Systems, Inc., Class A............................. 462,261 20,149,957 0.3%
Comfort Systems USA, Inc......................................... 370,163 18,659,917 0.3%
Federal Signal Corp.............................................. 665,416 21,586,095 0.3%
47
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
------- -------------- ---------------
INDUSTRIALS -- (Continued)
Forward Air Corp................................................. 306,722 $ 21,215,961 0.3%
* Gibraltar Industries, Inc........................................ 326,472 17,378,105 0.3%
Kaman Corp....................................................... 281,442 16,512,202 0.3%
McGrath RentCorp................................................. 243,556 18,585,758 0.3%
* Meritor, Inc..................................................... 757,605 16,690,038 0.3%
* Saia, Inc........................................................ 216,536 19,315,011 0.3%
Other Securities................................................. 1,086,557,865 17.1%
-------------- ----
TOTAL INDUSTRIALS.................................................... 1,294,043,446 20.4%
-------------- ----
INFORMATION TECHNOLOGY -- (12.2%)
# Badger Meter, Inc................................................ 332,787 19,235,089 0.3%
Brooks Automation, Inc........................................... 400,565 17,011,995 0.3%
# CSG Systems International, Inc................................... 350,580 20,207,431 0.3%
* ExlService Holdings, Inc ........................................ 262,074 18,248,213 0.3%
* Fabrinet......................................................... 391,593 22,019,274 0.4%
* Insight Enterprises, Inc......................................... 311,814 19,139,143 0.3%
* Knowles Corp..................................................... 859,266 18,542,960 0.3%
* Lattice Semiconductor Corp....................................... 850,629 16,663,822 0.3%
* Onto Innovation Inc.............................................. 545,072 17,551,321 0.3%
* OSI Systems, Inc................................................. 216,976 21,532,698 0.3%
* Plexus Corp...................................................... 225,831 16,697,944 0.3%
Other Securities................................................. 643,975,152 10.0%
-------------- ----
TOTAL INFORMATION TECHNOLOGY......................................... 850,825,042 13.4%
-------------- ----
MATERIALS -- (4.2%)
Innospec, Inc.................................................... 251,221 22,951,551 0.4%
Kaiser Aluminum Corp............................................. 167,047 17,887,393 0.3%
Other Securities................................................. 249,583,004 3.9%
-------------- ----
TOTAL MATERIALS...................................................... 290,421,948 4.6%
-------------- ----
REAL ESTATE -- (0.7%)
Other Securities................................................. 49,608,234 0.8%
-------------- ----
UTILITIES -- (2.1%)
# California Water Service Group................................... 408,800 22,880,536 0.4%
Otter Tail Corp.................................................. 303,669 17,211,959 0.3%
Other Securities................................................. 105,104,872 1.6%
-------------- ----
TOTAL UTILITIES...................................................... 145,197,367 2.3%
-------------- ----
TOTAL COMMON STOCKS.................................................. 6,286,394,260 99.0%
-------------- ----
PREFERRED STOCKS -- (0.0%)
COMMUNICATION SERVICES -- (0.0%)
Other Security................................................... 635,471 0.0%
-------------- ----
RIGHTS/WARRANTS -- (0.0%)
Other Security................................................... 508 0.0%
-------------- ----
TOTAL INVESTMENT SECURITIES
(Cost $4,315,833,245).............................................. 6,287,030,239
--------------
48
U.S. MICRO CAP PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 57,447,741 $ 57,447,741 0.9%
-------------- -----
SECURITIES LENDING COLLATERAL -- (8.9%)
@(S) The DFA Short Term Investment Fund............................... 53,325,046 617,024,110 9.7%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,990,234,767)................................................ $6,961,502,090 109.6%
============== =====
As of October 31, 2019, U.S. Micro Cap Portfolio had entered into the following
outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 386 12/20/19 $57,536,063 $58,590,940 $1,054,877
----------- ----------- ----------
TOTAL FUTURES CONTRACTS........................... $57,536,063 $58,590,940 $1,054,877
=========== =========== ==========
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
Communication Services..... $ 157,740,820 -- -- $ 157,740,820
Consumer Discretionary..... 818,781,168 $ 11,479 -- 818,792,647
Consumer Staples........... 252,708,344 -- -- 252,708,344
Energy..................... 329,187,071 -- -- 329,187,071
Financials................. 1,420,040,837 153,387 -- 1,420,194,224
Health Care................ 677,675,117 -- -- 677,675,117
Industrials................ 1,294,043,446 -- -- 1,294,043,446
Information Technology..... 850,815,662 9,380 -- 850,825,042
Materials.................. 290,421,948 -- -- 290,421,948
Real Estate................ 49,608,234 -- -- 49,608,234
Utilities.................. 145,197,367 -- -- 145,197,367
Preferred Stocks
Communication Services..... 635,471 -- -- 635,471
Rights/Warrants
Consumer Discretionary..... -- 508 -- 508
Temporary Cash Investments.... 57,447,741 -- -- 57,447,741
Securities Lending Collateral. -- 617,024,110 -- 617,024,110
Futures Contracts**........... 1,054,877 -- -- 1,054,877
-------------- ------------ -------- --------------
TOTAL......................... $6,345,358,103 $617,198,864 -- $6,962,556,967
============== ============ ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
49
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (98.8%)
COMMUNICATION SERVICES -- (5.9%)
Verizon Communications, Inc...................................... 1,041,662 $ 62,989,301 3.7%
Other Securities................................................. 37,311,343 2.2%
------------ ----
TOTAL COMMUNICATION SERVICES......................................... 100,300,644 5.9%
------------ ----
CONSUMER DISCRETIONARY -- (16.3%)
* Amazon.com, Inc.................................................. 35,569 63,194,020 3.7%
* Booking Holdings, Inc............................................ 8,019 16,429,087 1.0%
Home Depot, Inc. (The)........................................... 125,512 29,442,605 1.7%
Lowe's Cos., Inc................................................. 119,377 13,323,667 0.8%
NIKE, Inc., Class B.............................................. 241,995 21,670,652 1.3%
Starbucks Corp................................................... 127,762 10,803,555 0.6%
Target Corp...................................................... 118,241 12,641,145 0.7%
TJX Cos., Inc. (The)............................................. 208,682 12,030,517 0.7%
Other Securities................................................. 100,909,265 6.0%
------------ ----
TOTAL CONSUMER DISCRETIONARY......................................... 280,444,513 16.5%
------------ ----
CONSUMER STAPLES -- (9.3%)
Altria Group, Inc................................................ 442,710 19,828,981 1.2%
Coca-Cola Co. (The).............................................. 644,805 35,096,736 2.1%
Costco Wholesale Corp............................................ 54,131 16,082,861 0.9%
PepsiCo, Inc..................................................... 285,676 39,186,177 2.3%
Other Securities................................................. 49,188,304 2.9%
------------ ----
TOTAL CONSUMER STAPLES............................................... 159,383,059 9.4%
------------ ----
ENERGY -- (1.2%)
ConocoPhillips................................................... 203,326 11,223,595 0.7%
Other Securities................................................. 9,187,457 0.5%
------------ ----
TOTAL ENERGY......................................................... 20,411,052 1.2%
------------ ----
FINANCIALS -- (3.1%)
American Express Co.............................................. 97,128 11,391,172 0.7%
Other Securities................................................. 41,895,138 2.4%
------------ ----
TOTAL FINANCIALS..................................................... 53,286,310 3.1%
------------ ----
HEALTH CARE -- (11.8%)
Amgen, Inc....................................................... 127,696 27,231,172 1.6%
* Biogen, Inc...................................................... 36,580 10,926,812 0.6%
Bristol-Myers Squibb Co.......................................... 341,403 19,586,290 1.2%
Eli Lilly & Co................................................... 137,386 15,655,135 0.9%
Gilead Sciences, Inc............................................. 182,157 11,605,222 0.7%
Johnson & Johnson................................................ 107,656 14,214,898 0.8%
Merck & Co., Inc................................................. 650,368 56,360,891 3.3%
Other Securities................................................. 46,808,806 2.8%
------------ ----
TOTAL HEALTH CARE.................................................... 202,389,226 11.9%
------------ ----
INDUSTRIALS -- (16.9%)
3M Co............................................................ 128,903 21,267,706 1.2%
Boeing Co. (The)................................................. 41,230 14,014,489 0.8%
Caterpillar, Inc................................................. 136,803 18,851,453 1.1%
50
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- --------------- ---------------
INDUSTRIALS -- (Continued)
CSX Corp......................................................... 150,667 $ 10,587,370 0.6%
Deere & Co....................................................... 65,364 11,382,487 0.7%
Honeywell International, Inc .................................... 90,936 15,707,375 0.9%
Lockheed Martin Corp............................................. 40,600 15,293,208 0.9%
Northrop Grumman Corp............................................ 33,188 11,698,106 0.7%
Union Pacific Corp............................................... 182,244 30,154,092 1.8%
* United Airlines Holdings, Inc.................................... 111,212 10,102,498 0.6%
United Parcel Service, Inc., Class B............................. 107,409 12,370,295 0.7%
Waste Management, Inc............................................ 95,402 10,705,058 0.6%
Other Securities................................................. 107,728,860 6.4%
--------------- -----
TOTAL INDUSTRIALS...................................................... 289,862,997 17.0%
--------------- -----
INFORMATION TECHNOLOGY -- (32.1%)
Accenture P.L.C., Class A........................................ 127,579 23,655,698 1.4%
Apple, Inc....................................................... 276,938 68,891,097 4.1%
Automatic Data Processing, Inc................................... 75,447 12,239,767 0.7%
Cisco Systems, Inc............................................... 947,223 45,002,565 2.6%
Intel Corp....................................................... 270,214 15,275,197 0.9%
International Business Machines Corp............................. 232,157 31,046,356 1.8%
Intuit, Inc...................................................... 41,654 10,725,905 0.6%
KLA Corp......................................................... 60,132 10,164,713 0.6%
Mastercard, Inc., Class A........................................ 156,520 43,326,301 2.5%
* Micron Technology, Inc........................................... 216,524 10,295,716 0.6%
Microsoft Corp................................................... 448,664 64,324,958 3.8%
Oracle Corp...................................................... 540,495 29,451,573 1.7%
QUALCOMM, Inc.................................................... 190,660 15,336,690 0.9%
Texas Instruments, Inc........................................... 181,415 21,405,156 1.3%
Visa, Inc., Class A.............................................. 317,833 56,847,610 3.3%
Other Securities................................................. 93,953,991 5.6%
--------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 551,943,293 32.4%
--------------- -----
MATERIALS -- (2.2%)
Other Securities................................................. 38,279,765 2.2%
--------------- -----
UTILITIES -- (0.0%)
Other Security................................................... 466,235 0.0%
--------------- -----
TOTAL COMMON STOCKS
(Cost $1,512,866,781)................................................ 1,696,767,094 99.6%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 11,153,223 11,153,223 0.7%
--------------- -----
SECURITIES LENDING COLLATERAL -- (0.6%)
@(S) The DFA Short Term Investment Fund............................... 869,099 10,056,343 0.6%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $1,534,075,213)................................................ $ 1,717,976,660 100.9%
=============== =====
51
U.S. 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
Communication Services..... $ 100,300,644 -- -- $ 100,300,644
Consumer Discretionary..... 280,444,513 -- -- 280,444,513
Consumer Staples........... 159,383,059 -- -- 159,383,059
Energy..................... 20,411,052 -- -- 20,411,052
Financials................. 53,286,310 -- -- 53,286,310
Health Care................ 202,389,226 -- -- 202,389,226
Industrials................ 289,862,997 -- -- 289,862,997
Information Technology..... 551,943,293 -- -- 551,943,293
Materials.................. 38,279,765 -- -- 38,279,765
Utilities.................. 466,235 -- -- 466,235
Temporary Cash Investments.... 11,153,223 -- -- 11,153,223
Securities Lending Collateral. -- $10,056,343 -- 10,056,343
-------------- ----------- -------- --------------
TOTAL......................... $1,707,920,317 $10,056,343 -- $1,717,976,660
============== =========== ======== ==============
See accompanying Notes to Financial Statements.
52
DFA REAL ESTATE SECURITIES PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- ------------ ---------------
COMMON STOCKS -- (96.1%)
FINANCIALS -- (0.0%)
Other Security................................................... $ 71,223 0.0%
------------ ---
REAL ESTATE -- (96.1%)
Alexandria Real Estate Equities, Inc............................. 1,011,790 160,621,663 1.5%
American Campus Communities, Inc................................. 1,222,192 61,085,156 0.6%
American Homes 4 Rent, Class A................................... 2,400,755 63,547,985 0.6%
American Tower Corp.............................................. 3,954,874 862,478,922 8.1%
Apartment Investment & Management Co., Class A................... 1,343,137 73,711,359 0.7%
AvalonBay Communities, Inc....................................... 1,246,770 271,371,958 2.5%
Boston Properties, Inc........................................... 1,376,305 188,829,046 1.8%
Brixmor Property Group, Inc...................................... 2,653,999 58,441,058 0.6%
Camden Property Trust............................................ 862,790 98,677,292 0.9%
Crown Castle International Corp.................................. 3,715,695 515,701,309 4.8%
CyrusOne, Inc.................................................... 1,005,094 71,643,100 0.7%
# Digital Realty Trust, Inc........................................ 1,858,338 236,083,260 2.2%
Douglas Emmett, Inc.............................................. 1,481,172 64,164,371 0.6%
Duke Realty Corp................................................. 3,212,175 112,875,830 1.1%
Equinix, Inc..................................................... 755,402 428,146,746 4.0%
Equity LifeStyle Properties, Inc................................. 1,541,591 107,818,875 1.0%
Equity Residential............................................... 3,315,232 293,928,469 2.8%
Essex Property Trust, Inc........................................ 589,672 192,899,401 1.8%
Extra Space Storage, Inc......................................... 1,147,631 128,844,532 1.2%
Federal Realty Investment Trust.................................. 666,399 90,636,928 0.9%
Gaming and Leisure Properties, Inc............................... 1,815,266 73,264,136 0.7%
Healthcare Trust of America, Inc., Class A....................... 1,822,240 56,489,440 0.5%
Healthpeak Properties, Inc....................................... 4,372,556 164,495,557 1.5%
Host Hotels & Resorts, Inc....................................... 6,521,802 106,892,335 1.0%
Invitation Homes, Inc............................................ 4,088,959 125,899,048 1.2%
# Iron Mountain, Inc............................................... 2,557,308 83,879,702 0.8%
Kilroy Realty Corp............................................... 943,912 79,222,534 0.7%
Kimco Realty Corp................................................ 3,759,747 81,060,145 0.8%
# Lamar Advertising Co., Class A................................... 764,638 61,178,686 0.6%
Liberty Property Trust........................................... 1,395,833 82,451,855 0.8%
Medical Properties Trust, Inc.................................... 3,974,409 82,389,499 0.8%
Mid-America Apartment Communities, Inc........................... 1,016,747 141,317,666 1.3%
# National Retail Properties, Inc.................................. 1,528,931 90,069,325 0.8%
# Omega Healthcare Investors, Inc.................................. 2,011,292 88,577,300 0.8%
Prologis, Inc.................................................... 5,633,166 494,366,648 4.6%
Public Storage................................................... 1,401,958 312,440,360 2.9%
Realty Income Corp............................................... 2,840,415 232,317,543 2.2%
Regency Centers Corp............................................. 1,490,319 100,209,050 0.9%
SBA Communications Corp.......................................... 1,009,625 242,966,256 2.3%
Simon Property Group, Inc........................................ 2,742,293 413,208,709 3.9%
SL Green Realty Corp............................................. 742,559 62,077,932 0.6%
STORE Capital Corp............................................... 1,850,462 74,943,711 0.7%
Sun Communities, Inc............................................. 812,863 132,212,167 1.2%
UDR, Inc......................................................... 2,597,971 130,548,043 1.2%
Ventas, Inc...................................................... 3,326,665 216,565,892 2.0%
VEREIT, Inc...................................................... 9,470,406 93,188,795 0.9%
Vornado Realty Trust............................................. 1,530,564 100,450,915 0.9%
Welltower, Inc................................................... 3,618,348 328,147,980 3.1%
WP Carey, Inc.................................................... 1,523,163 140,222,386 1.3%
53
DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
REAL ESTATE -- (Continued)
Other Securities................................................. $ 2,092,380,084 19.6%
--------------- -----
TOTAL REAL ESTATE...................................................... 10,564,940,959 99.0%
--------------- -----
TOTAL COMMON STOCKS
(Cost $6,653,070,264)................................................ 10,565,012,182 99.0%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 115,151,374 115,151,374 1.1%
--------------- -----
SECURITIES LENDING COLLATERAL -- (2.9%)
@(S) The DFA Short Term Investment Fund............................... 27,408,938 317,148,823 3.0%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $7,085,345,302)................................................ $10,997,312,379 103.1%
=============== =====
As of October 31, 2019, DFA Real Estate Securities Portfolio had entered into
the following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 638 12/20/19 $95,935,733 $96,842,020 $906,287
----------- ----------- --------
TOTAL FUTURES CONTRACTS........................... $95,935,733 $96,842,020 $906,287
=========== =========== ========
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
Financials................. $ 71,223 -- -- $ 71,223
Real Estate................ 10,564,940,959 -- -- 10,564,940,959
Temporary Cash Investments.... 115,151,374 -- -- 115,151,374
Securities Lending Collateral. -- $317,148,823 -- 317,148,823
Futures Contracts**........... 906,287 -- -- 906,287
--------------- ------------ -------- ---------------
TOTAL......................... $10,681,069,843 $317,148,823 -- $10,998,218,666
=============== ============ ======== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
54
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S.
LARGE U.S. LARGE CAP
COMPANY EQUITY U.S. LARGE CAP U.S. TARGETED
PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO VALUE PORTFOLIO*
-------------- -------------- --------------- ----------------
ASSETS:
Investments in Affiliated Investment Companies at
Value........................................... -- -- $ 25,666,839 --
Investment Securities at Value (including $1,259,
$32,859, $0 and $1,409,998 of securities on
loan, respectively)............................. $ 384,984 $ 1,608,309 -- $ 10,684,535
Temporary Cash Investments at Value & Cost........ -- 2,965 -- 88,749
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $1,289,
$19,726, $0 and $825,324)....................... 1,289 19,728 -- 825,426
Segregated Cash for Futures Contracts............. -- -- -- 186
Foreign Currencies at Value....................... 4 -- -- --
Cash.............................................. 10,476 -- -- --
Receivables:
Investment Securities Sold..................... -- 2,379 -- 11,129
Dividends and Interest......................... 2,714 1,426 -- 5,561
Securities Lending Income...................... 1 7 -- 657
Fund Shares Sold............................... 186 308 13,667 3,814
Futures Margin Variation....................... -- -- -- 3,302
Unrealized Gain on Forward Currency Contracts..... 52 -- -- --
Unrealized Gain on Foreign Currency Contracts..... 21 -- -- --
Prepaid Expenses and Other Assets................. 12 21 128 100
-------------- -------------- -------------- --------------
Total Assets............................... 399,739 1,635,143 25,680,634 11,623,459
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian............................... -- 5 -- --
Upon Return of Securities Loaned............... 1,288 19,730 -- 825,459
Investment Securities Purchased................ 6,951 -- -- 1,785
Fund Shares Redeemed........................... 548 3,543 19,573 7,682
Due to Advisor................................. 21 206 3,200 3,149
Futures Margin Variation....................... 1,535 -- -- --
Unrealized Loss on Forward Currency Contracts..... 2,591 -- -- --
Accrued Expenses and Other Liabilities............ 55 130 1,284 1,013
-------------- -------------- -------------- --------------
Total Liabilities.......................... 12,989 23,614 24,057 839,088
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 386,750 $ 1,611,529 $ 25,656,577 $ 10,784,371
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE:
Class R1 Shares -- based on net assets of $0; $0;
$0 and $56,378 and shares outstanding of 0, 0,
0 and 2,528,378, respectively................... N/A N/A N/A $ 22.30
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... N/A N/A N/A 200,000,000
============== ============== ============== ==============
Class R2 Shares -- based on net assets of $0; $0;
$0 and $72,669 and shares outstanding of 0, 0,
0 and 3,276,218, respectively................... N/A N/A N/A $ 22.18
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... N/A N/A N/A 200,000,000
============== ============== ============== ==============
Institutional Class Shares -- based on net assets
of $386,750; $1,611,529; $25,656,577 and
$10,655,324 and shares outstanding of
27,590,706, 86,590,830, 690,991,083 and
477,672,944, respectively....................... $ 14.02 $ 18.61 $ 37.13 $ 22.31
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED....................... 1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000
============== ============== ============== ==============
Investment Securities at Cost..................... $ 385,113 $ 1,137,548 N/A $ 9,565,560
============== ============== ============== ==============
Foreign Currencies at Cost........................ $ 4 $ -- $ -- $ --
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ 353,056 $ 1,138,064 $ 18,455,261 $ 9,398,309
Total Distributable Earnings (Loss)............... 33,694 473,465 7,201,316 1,386,062
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 386,750 $ 1,611,529 $ 25,656,577 $ 10,784,371
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
55
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE
U.S. SMALL CAP EQUITY 1 EQUITY 2 U.S. VECTOR
VALUE PORTFOLIO* PORTFOLIO* PORTFOLIO* EQUITY PORTFOLIO*
---------------- -------------- -------------- -----------------
ASSETS:
Investment Securities at Value (including $1,680,794,
$2,000,150, $2,194,918 and $444,125 of securities on
loan, respectively)....................................... $ 13,651,535 $ 26,337,548 $ 27,580,949 $ 4,567,604
Temporary Cash Investments at Value & Cost.................. 222,085 234,980 216,323 17,631
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,062,219, $1,249,503,
$1,381,596 and $287,290).................................. 1,062,351 1,249,641 1,381,742 287,323
Segregated Cash for Futures Contracts....................... 4,089 8,618 9,923 863
Receivables:
Investment Securities Sold............................... 23,976 520 25,763 275
Dividends and Interest................................... 6,365 22,844 21,515 3,064
Securities Lending Income................................ 995 605 766 180
Fund Shares Sold......................................... 6,502 24,379 10,812 1,672
Futures Margin Variation................................. 2,865 -- -- --
Prepaid Expenses and Other Assets........................... 97 148 125 33
-------------- -------------- -------------- --------------
Total Assets......................................... 14,980,860 27,879,283 29,247,918 4,878,645
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned......................... 1,062,300 1,249,627 1,381,666 287,341
Investment Securities Purchased.......................... -- 19,269 4,242 --
Fund Shares Redeemed..................................... 144,828 11,905 25,231 6,043
Due to Advisor........................................... 5,762 3,757 4,629 1,145
Futures Margin Variation................................. -- 821 945 82
Accrued Expenses and Other Liabilities...................... 1,457 1,846 2,050 422
-------------- -------------- -------------- --------------
Total Liabilities.................................... 1,214,347 1,287,225 1,418,763 295,033
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 13,766,513 $ 26,592,058 $ 27,829,155 $ 4,583,612
============== ============== ============== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$13,766,513; $26,592,058; $27,829,155 and $4,583,612 and
shares outstanding of 419,799,735, 1,076,017,880,
1,227,971,702 and 244,986,408, respectively............... $ 32.79 $ 24.71 $ 22.66 $ 18.71
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED................................. 3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000
============== ============== ============== ==============
Investment Securities at Cost............................... $ 11,391,408 $ 16,958,014 $ 17,943,654 $ 2,995,945
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital............................................. $ 11,289,391 $ 16,761,133 $ 17,576,057 $ 2,930,401
Total Distributable Earnings (Loss)......................... 2,477,122 9,830,925 10,253,098 1,653,211
-------------- -------------- -------------- --------------
NET ASSETS.................................................. $ 13,766,513 $ 26,592,058 $ 27,829,155 $ 4,583,612
============== ============== ============== ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
56
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. HIGH DFA REAL
RELATIVE ESTATE
U.S. SMALL CAP U.S. MICRO CAP PROFITABILITY SECURITIES
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- ------------- --------------
ASSETS:
Investment Securities at Value (including $3,079,964,
$895,854, $19,277 and $578,945 of securities on loan,
respectively).............................................. $ 17,240,517 $ 6,287,030 $ 1,696,767 $ 10,565,012
Temporary Cash Investments at Value & Cost................... 112,333 57,448 11,153 115,151
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $1,964,298, $616,954, $10,055 and
$317,124).................................................. 1,964,506 617,024 10,056 317,149
Segregated Cash for Futures Contracts........................ 6,325 2,432 -- 4,019
Receivables:
Investment Securities Sold................................ 40,002 6,531 -- --
Dividends and Interest.................................... 5,392 2,759 1,906 5,714
Securities Lending Income................................. 1,094 312 5 97
Fund Shares Sold.......................................... 6,332 3,612 4,883 8,567
Prepaid Expenses and Other Assets............................ 76 43 73 59
-------------- -------------- ------------ --------------
Total Assets.......................................... 19,376,577 6,977,191 1,724,843 11,015,768
-------------- -------------- ------------ --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 1,964,649 617,006 10,060 317,240
Investment Securities Purchased........................... -- 3,837 10,300 16,469
Fund Shares Redeemed...................................... 12,357 1,552 794 8,105
Due to Advisor............................................ 5,059 2,626 243 1,290
Futures Margin Variation.................................. 603 231 -- 383
Accrued Expenses and Other Liabilities....................... 1,414 640 144 844
-------------- -------------- ------------ --------------
Total Liabilities..................................... 1,984,082 625,892 21,541 344,331
-------------- -------------- ------------ --------------
NET ASSETS................................................... $ 17,392,495 $ 6,351,299 $ 1,703,302 $ 10,671,437
============== ============== ============ ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE:
Institutional Class Shares -- based on net assets of
$17,392,495; $6,351,299; $1,703,302 and $10,671,437 and
shares outstanding of 514,596,633, 305,614,181,
126,062,603 and 254,695,760, respectively.................. $ 33.80 $ 20.78 $ 13.51 $ 41.90
============== ============== ============ ==============
NUMBER OF SHARES AUTHORIZED.................................. 2,000,000,000 3,000,000,000 500,000,000 1,700,000,000
============== ============== ============ ==============
Investment Securities at Cost................................ $ 13,883,352 $ 4,315,833 $ 1,512,867 $ 6,653,071
============== ============== ============ ==============
NET ASSETS CONSIST OF:
Paid-In Capital.............................................. $ 13,665,331 $ 4,253,256 $ 1,527,593 $ 6,773,117
Total Distributable Earnings (Loss).......................... 3,727,164 2,098,043 175,709 3,898,320
-------------- -------------- ------------ --------------
NET ASSETS................................................... $ 17,392,495 $ 6,351,299 $ 1,703,302 $ 10,671,437
============== ============== ============ ==============
--------
* See Note K in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
57
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
ENHANCED U.S.
LARGE U.S. LARGE CAP
COMPANY EQUITY U.S. LARGE CAP U.S. TARGETED
PORTFOLIO# PORTFOLIO# VALUE PORTFOLIO* VALUE PORTFOLIO#
------------- -------------- ---------------- ----------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0
and $0, respectively)...................................... -- -- $ 651,960 --
Income from Securities Lending............................... -- -- 1,415 --
Expenses Allocated from Affiliated Investment Companies...... -- -- (27,377) --
------- -------- ---------- ---------
Total Net Investment Income Allocated from
Affiliated Investment Companies........................ -- -- 625,998 --
------- -------- ---------- ---------
FUND INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $1, $0
and $169, respectively).................................... -- $ 30,337 -- $ 186,204
Interest..................................................... $ 7,002 -- -- --
Income from Securities Lending............................... 6 99 -- 5,675
Total Fund Investment Income.......................... 7,008 30,436 -- 191,879
FUND EXPENSES
Investment Management Fees................................... 659 2,337 62,565 36,857
Accounting & Transfer Agent Fees............................. 84 321 3,016 1,286
S&P 500(R) Fees.............................................. 8 -- -- --
Custodian Fees............................................... 9 26 1 157
Shareholder Servicing Fees
Class R1 Shares............................................ -- -- -- 49
Class R2 Shares............................................ -- -- -- 219
Filing Fees.................................................. 26 57 398 292
Shareholders' Reports........................................ 23 44 710 481
Directors'/Trustees' Fees & Expenses......................... 2 9 149 62
Professional Fees............................................ 6 28 66 195
Other........................................................ 8 70 126 249
------- -------- ---------- ---------
Total Fund Expenses................................... 825 2,892 67,031 39,847
------- -------- ---------- ---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).................. (332) -- (25,027) --
------- -------- ---------- ---------
Net Expenses................................................. 493 2,892 42,004 39,847
------- -------- ---------- ---------
NET INVESTMENT INCOME (LOSS)................................. 6,515 27,544 583,994 152,032
------- -------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. (598) 7,768 -- 294,019
Affiliated Investment Companies Shares Sold.............. -- (1) -- (25)
Transactions Allocated from Affiliated Investment
Company**.............................................. -- -- 567,299 --
Futures.................................................. 3,117 1,076 -- 2,964
Foreign Currency Transactions............................ (22) -- -- --
Forward Currency Contracts............................... 4,580 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 4,904 161,776 -- (345,890)
Affiliated Investment Companies Shares................... -- 1 -- 76
Transactions Allocated from Affiliated Investment
Company................................................ -- -- 520,416 --
Futures.................................................. 32,621 -- -- 5,420
Translation of Foreign Currency-Denominated Amounts...... 17 -- -- --
Forward Currency Contracts............................... (2,987) -- -- --
------- -------- ---------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 41,632 170,620 1,087,715 (43,436)
------- -------- ---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.................................................... $48,147 $198,164 $1,671,709 $ 108,596
======= ======== ========== =========
--------
** 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.
58
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
U.S. CORE U.S. CORE U.S. VECTOR
U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY
VALUE PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
---------------- ---------- ---------- -----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $244, $149, $179 and $41,
respectively)........................................................ $ 242,881 $ 470,174 $ 490,403 $ 81,906
Income from Securities Lending......................................... 7,867 6,494 7,992 1,945
--------- ---------- ---------- --------
Total Investment Income............................................ 250,748 476,668 498,395 83,851
--------- ---------- ---------- --------
EXPENSES
Investment Management Fees............................................. 69,977 42,253 52,139 13,548
Accounting & Transfer Agent Fees....................................... 2,100 4,004 3,874 794
Custodian Fees......................................................... 230 292 305 61
Filing Fees............................................................ 330 486 569 80
Shareholders' Reports.................................................. 612 463 497 159
Directors'/Trustees' Fees & Expenses................................... 84 144 151 27
Professional Fees...................................................... 266 446 470 84
Other.................................................................. 331 578 607 109
Total Expenses.................................................. 73,930 48,666 58,612 14,862
--------- ---------- ---------- --------
Net Expenses........................................................... 73,930 48,666 58,612 14,862
--------- ---------- ---------- --------
NET INVESTMENT INCOME (LOSS)........................................... 176,818 428,002 439,783 68,989
--------- ---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**....................................... 252,390 426,686 599,875 79,679
Affiliated Investment Companies Shares Sold........................ (15) (10) (16) (8)
Futures............................................................ 2,914 18,158 12,596 5,143
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... (894,215) 1,821,725 1,487,083 107,790
Affiliated Investment Companies Shares............................. 92 121 119 24
Futures............................................................ 2,943 7,258 11,243 (433)
--------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (635,891) 2,273,938 2,110,900 192,195
--------- ---------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........... $(459,073) $2,701,940 $2,550,683 $261,184
========= ========== ========== ========
--------
** 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.
59
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
U.S. HIGH DFA REAL
RELATIVE ESTATE
U.S. SMALL CAP U.S. MICRO CAP PROFITABILITY SECURITIES
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
-------------- -------------- ------------- ----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $117, $38, $0 and $19,
respectively)..................................................... $ 243,984 $ 91,143 $ 22,885 $ 147,388
Income from Securities Lending...................................... 12,995 4,246 51 936
--------- --------- -------- ----------
Total Investment Income...................................... 256,979 95,389 22,936 148,324
--------- --------- -------- ----------
FUND EXPENSES
Investment Management Fees.......................................... 59,794 31,545 2,313 16,164
Accounting & Transfer Agent Fees.................................... 2,114 997 269 1,416
Custodian Fees...................................................... 245 117 24 108
Filing Fees......................................................... 254 151 210 125
Shareholders' Reports............................................... 559 216 44 411
Directors'/Trustees' Fees & Expenses................................ 101 37 5 54
Professional Fees................................................... 320 116 17 169
Other............................................................... 402 152 35 199
--------- --------- -------- ----------
Total Fund Expenses.......................................... 63,789 33,331 2,917 18,646
--------- --------- -------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)................................ -- -- (26) (1,533)
--------- --------- -------- ----------
Net Expenses........................................................ 63,789 33,331 2,891 17,113
--------- --------- -------- ----------
NET INVESTMENT INCOME (LOSS)........................................ 193,190 62,058 20,045 131,211
--------- --------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.................................... 442,056 138,583 (7,380) 145,222
Affiliated Investment Companies Shares Sold..................... 19 (10) (1) (19)
Futures......................................................... 6,738 (1,815) (52) (1,177)
In-Kind Redemptions............................................. -- -- -- 50,622
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency...................... (403,731) (192,068) 174,344 1,820,026
Affiliated Investment Companies Shares.......................... 172 55 1 20
Futures......................................................... 5,348 3,769 -- 1,373
--------- --------- -------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 50,602 (51,486) 166,912 2,016,067
--------- --------- -------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........ $ 243,792 $ 10,572 $186,957 $2,147,278
========= ========= ======== ==========
--------
** 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.
60
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP EQUITY U.S. LARGE CAP VALUE
COMPANY PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- ---------------------- ------------------------
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).................... $ 6,515 $ 6,789 $ 27,544 $ 23,192 $ 583,994 $ 505,087
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /........... (598) (2,528) 7,768 4,178 -- --
Affiliated Investment Companies Shares
Sold...................................... -- (1) (1) (5) -- --
Transactions Allocated from Affiliated
Investment Company*,**.................... -- -- -- -- 567,299 1,280,400
Futures..................................... 3,117 51,936 1,076 21 -- --
Foreign Currency Transactions............... (22) (33) -- -- -- --
Forward Currency Contracts.................. 4,580 2,456 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.................................. 4,904 (3,976) 161,776 54,720 -- --
Affiliated Investment Companies
Shares.................................... -- -- 1 2 -- --
Transactions Allocated from Affiliated
Investment Company........................ -- -- -- -- 520,416 (1,151,639)
Futures..................................... 32,621 (34,076) -- -- -- --
Translation of Foreign Currency-
Denominated Amounts....................... 17 3 -- -- -- --
Forward Currency Contracts.................. (2,987) (448) -- -- -- --
--------- --------- ---------- ---------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations............................. 48,147 20,122 198,164 82,108 1,671,709 633,848
--------- --------- ---------- ---------- ----------- -----------
Distributions:
Institutional Class Shares...................... (20,957) (55,242) (27,532) (22,158) (1,739,287) (1,599,355)
--------- --------- ---------- ---------- ----------- -----------
Total Distributions......................... (20,957) (55,242) (27,532) (22,158) (1,739,287) (1,599,355)
--------- --------- ---------- ---------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................................... 119,988 104,340 528,889 400,167 4,897,413 5,451,856
Shares Issued in Lieu of Cash Distributions..... 20,897 55,182 25,154 20,444 1,640,106 1,507,556
Shares Redeemed................................. (108,388) (119,686) (570,364) (236,226) (6,081,700) (4,458,440)
--------- --------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Capital
Share Transactions........................ 32,497 39,836 (16,321) 184,385 455,819 2,500,972
--------- --------- ---------- ---------- ----------- -----------
Total Increase (Decrease) in Net
Assets.................................... 59,687 4,716 154,311 244,335 388,241 1,535,465
NET ASSETS
Beginning of Year............................... 327,063 322,347 1,457,218 1,212,883 25,268,336 23,732,871
--------- --------- ---------- ---------- ----------- -----------
End of Year..................................... $ 386,750 $ 327,063 $1,611,529 $1,457,218 $25,656,577 $25,268,336
========= ========= ========== ========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................... 9,070 7,678 31,151 23,452 139,726 139,106
Shares Issued in Lieu of Cash Distributions..... 1,778 4,245 1,470 1,202 49,108 39,063
Shares Redeemed................................. (8,366) (8,983) (33,043) (13,769) (173,229) (113,759)
--------- --------- ---------- ---------- ----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed....................... 2,482 2,940 (422) 10,885 15,605 64,410
========= ========= ========== ========== =========== ===========
--------
* 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.
61
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE U.S. CORE EQUITY 1
PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------ ------------------------ ------------------------
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)................ $ 152,032 $ 133,663 $ 176,818 $ 157,417 $ 428,002 $ 359,365
Net Realized Gain (Loss) on:
Investment Securities Sold/*,** /....... 294,019 450,081 252,390 833,947 426,686 159,334
Affiliated Investment Companies
Shares Sold........................... (25) (120) (15) (150) (10) (157)
Futures................................. 2,964 10,338 2,914 8,130 18,158 22,597
Foreign Currency Transactions........... -- (10) -- (5) -- (2)
In-Kind Redemptions..................... -- 16,160 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. (345,890) (761,255) (894,215) (1,207,909) 1,821,725 582,991
Affiliated Investment Companies
Shares................................ 76 2 92 (29) 121 1
Futures................................. 5,420 (3,019) 2,943 (7,825) 7,258 (12,157)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 108,596 (154,160) (459,073) (216,424) 2,701,940 1,111,972
----------- ----------- ----------- ----------- ----------- -----------
Distributions:
Class R1 Shares......................... (2,513) (2,923) -- -- -- --
Class R2 Shares......................... (5,135) (7,940) -- -- -- --
Institutional Class Shares.............. (551,618) (575,420) (938,132) (834,889) (571,432) (460,863)
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions.................. (559,266) (586,283) (938,132) (834,889) (571,432) (460,863)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued............................... 2,637,809 2,212,541 3,592,295 2,623,124 5,380,108 5,010,981
Shares Issued in Lieu of Cash
Distributions............................. 530,049 552,460 853,450 765,814 558,896 450,061
Shares Redeemed............................. (2,395,979) (2,301,827) (4,014,642) (2,770,877) (5,107,180) (3,245,167)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Capital Share
Transactions....................... 771,879 463,174 431,103 618,061 831,824 2,215,875
----------- ----------- ----------- ----------- ----------- -----------
Total Increase (Decrease) in
Net Assets......................... 321,209 (277,269) (966,102) (433,252) 2,962,332 2,866,984
NET ASSETS
Beginning of Year........................... 10,463,162 10,740,431 14,732,615 15,165,867 23,629,726 20,762,742
----------- ----------- ----------- ----------- ----------- -----------
End of Year................................. $10,784,371 $10,463,162 $13,766,513 $14,732,615 $26,592,058 $23,629,726
=========== =========== =========== =========== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 121,444 87,535 110,892 67,506 236,496 213,759
Shares Issued in Lieu of Cash
Distributions............................. 25,877 22,442 27,705 20,311 25,053 19,536
Shares Redeemed............................. (109,962) (90,819) (123,617) (71,140) (223,481) (138,602)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) from
Shares Issued and
Redeemed........................... 37,359 19,158 14,980 16,677 38,068 94,693
=========== =========== =========== =========== =========== ===========
--------
* 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.
62
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 PORTFOLIO U.S. VECTOR EQUITY PORTFOLIO U.S. SMALL CAP 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).......................... $ 439,783 $ 379,407 $ 68,989 $ 66,134 $ 193,190 $ 190,744
Net Realized Gain (Loss)
on:
Investment Securities
Sold/*,** /................. 599,875 287,280 79,679 112,491 442,056 630,926
Affiliated Investment
Companies Shares Sold....... (16) (115) (8) (52) 19 (358)
Futures....................... 12,596 26,827 5,143 1,014 6,738 14,477
Foreign Currency
Transactions................ -- (4) -- -- -- (6)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities
and Foreign Currency........ 1,487,083 218,021 107,790 (137,731) (403,731) (714,753)
Affiliated Investment
Companies Shares............ 119 (15) 24 (17) 172 (18)
Futures....................... 11,243 (16,600) (433) 631 5,348 (5,817)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase
(Decrease) in Net
Assets Resulting
from Operations.......... 2,550,683 894,801 261,184 42,470 243,792 115,195
----------- ----------- ----------- ---------- ----------- -----------
Distributions:
Institutional
Class Shares................ (706,196) (577,402) (171,794) (226,006) (770,283) (828,617)
----------- ----------- ----------- ---------- ----------- -----------
Total Distributions........ (706,196) (577,402) (171,794) (226,006) (770,283) (828,617)
----------- ----------- ----------- ---------- ----------- -----------
Capital Share
Transactions (1):
Shares Issued..................... 5,306,857 4,612,048 1,046,904 801,656 3,562,046 3,281,164
Shares Issued in Lieu of
Cash Distributions.............. 689,550 567,939 161,116 223,582 729,294 786,942
Shares Redeemed................... (4,689,389) (3,335,154) (1,324,567) (954,936) (3,675,805) (2,983,020)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase
(Decrease) from
Capital Share
Transactions............. 1,307,018 1,844,833 (116,547) 70,302 615,535 1,085,086
----------- ----------- ----------- ---------- ----------- -----------
Total Increase
(Decrease) in Net
Assets................... 3,151,505 2,162,232 (27,157) (113,234) 89,044 371,664
NET ASSETS
Beginning of Year................. 24,677,650 22,515,418 4,610,769 4,724,003 17,303,451 16,931,787
----------- ----------- ----------- ---------- ----------- -----------
End of Year....................... $27,829,155 $24,677,650 $ 4,583,612 $4,610,769 $17,392,495 $17,303,451
=========== =========== =========== ========== =========== ===========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued..................... 253,504 209,626 59,429 41,129 109,061 88,622
Shares Issued in Lieu of
Cash Distributions.............. 33,907 26,310 9,622 11,712 23,700 21,913
Shares Redeemed................... (220,975) (151,440) (74,594) (48,909) (112,260) (80,602)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase
(Decrease) from
Shares Issued and
Redeemed................. 66,436 84,496 (5,543) 3,932 20,501 29,933
=========== =========== =========== ========== =========== ===========
--------
* 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.
63
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. HIGH RELATIVE DFA REAL ESTATE SECURITIES
U.S. MICRO CAP PORTFOLIO PROFITABILITY PORTFOLIO PORTFOLIO
----------------------- ---------------------- ------------------------
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)........... $ 62,058 $ 49,928 $ 20,045 $ 6,528 $ 131,211 $ 399,946
Net Realized Gain (Loss) on:
Investment Securities
Sold/*,** /...................... 138,583 264,588 (7,380) (2,077) 145,222 (46,559)
Affiliated Investment
Companies Shares Sold............ (10) (61) (1) (3) (19) (37)
Futures............................ (1,815) 7,709 (52) 59 (1,177) 8,922
Foreign Currency
Transactions..................... -- (3) -- -- -- --
In-Kind Redemptions................ -- -- -- -- 50,622 80,654
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency................. (192,068) (242,170) 174,344 35 1,820,026 (196,570)
Affiliated Investment
Companies Shares................. 55 (7) 1 1 20 (2)
Futures............................ 3,769 (3,647) -- -- 1,373 (2,811)
----------- ---------- ---------- -------- ----------- -----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations.................... 10,572 76,337 186,957 4,543 2,147,278 243,543
----------- ---------- ---------- -------- ----------- -----------
Distributions:
Institutional Class Shares......... (310,436) (328,523) (18,698) (5,717) (212,725) (439,618)
----------- ---------- ---------- -------- ----------- -----------
Total Distributions............. (310,436) (328,523) (18,698) (5,717) (212,725) (439,618)
----------- ---------- ---------- -------- ----------- -----------
Capital Share Transactions (1):
Shares Issued.......................... 1,191,565 990,936 1,044,168 637,379 2,154,389 1,859,208
Shares Issued in Lieu of Cash
Distributions........................ 286,363 302,813 18,687 5,712 176,698 351,943
Shares Redeemed........................ (1,305,081) (869,977) (250,540) (60,262) (2,171,861) (1,718,594)
----------- ---------- ---------- -------- ----------- -----------
Net Increase (Decrease)
from Capital Share
Transactions.................. 172,847 423,772 812,315 582,829 159,226 492,557
----------- ---------- ---------- -------- ----------- -----------
Total Increase
(Decrease) in Net
Assets........................ (127,017) 171,586 980,574 581,655 2,093,779 296,482
NET ASSETS
Beginning of Year...................... 6,478,316 6,306,730 722,728 141,073 8,577,658 8,281,176
----------- ---------- ---------- -------- ----------- -----------
End of Year............................ $ 6,351,299 $6,478,316 $1,703,302 $722,728 $10,671,437 $ 8,577,658
=========== ========== ========== ======== =========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 59,202 43,334 84,124 52,575 57,187 54,826
Shares Issued in Lieu of Cash
Distributions........................ 15,096 13,706 1,503 468 4,909 10,160
Shares Redeemed........................ (64,786) (38,021) (20,561) (4,950) (58,685) (50,388)
----------- ---------- ---------- -------- ----------- -----------
Net Increase (Decrease)
from Shares Issued and
Redeemed...................... 9,512 19,019 65,066 48,093 3,411 14,598
=========== ========== ========== ======== =========== ===========
--------
* 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.
64
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ENHANCED U.S. LARGE COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 13.03 $ 14.54 $ 12.22 $ 12.54 $ 13.65
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)....................................... 0.26 0.26 0.18 0.10 0.07
Net Gains (Losses) on Securities (Realized and Unrealized)......... 1.60 0.52 2.63 0.45 0.53
-------- -------- -------- -------- --------
Total from Investment Operations............................... 1.86 0.78 2.81 0.55 0.60
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.30) (0.25) (0.13) (0.08) (0.05)
Net Realized Gains................................................. (0.57) (2.04) (0.36) (0.79) (1.66)
-------- -------- -------- -------- --------
Total Distributions............................................ (0.87) (2.29) (0.49) (0.87) (1.71)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 14.02 $ 13.03 $ 14.54 $ 12.22 $ 12.54
======== ======== ======== ======== ========
Total Return.......................................................... 15.67% 5.62% 23.53% 4.75% 5.25%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $386,750 $327,063 $322,347 $238,413 $203,641
Ratio of Expenses to Average Net Assets............................... 0.15% 0.15% 0.18% 0.23% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and (Fees Paid Indirectly))................................. 0.25% 0.23% 0.24% 0.24% 0.24%
Ratio of Net Investment Income to Average Net Assets.................. 1.98% 1.94% 1.36% 0.80% 0.53%
Portfolio Turnover Rate............................................... 109% 91% 122% 119% 223%
-------- -------- -------- -------- --------
U.S. LARGE CAP EQUITY PORTFOLIO
------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 16.75 $ 15.93 $ 13.06 $ 12.86 $ 12.65
---------- ---------- ---------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)....................................... 0.31 0.28 0.26 0.25 0.23
Net Gains (Losses) on Securities (Realized and Unrealized)......... 1.86 0.81 2.87 0.19 0.21
---------- ---------- ---------- -------- --------
Total from Investment Operations............................... 2.17 1.09 3.13 0.44 0.44
---------- ---------- ---------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.31) (0.27) (0.26) (0.24) (0.21)
Net Realized Gains................................................. -- -- -- -- (0.02)
---------- ---------- ---------- -------- --------
Total Distributions............................................ (0.31) (0.27) (0.26) (0.24) (0.23)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Year.......................................... $ 18.61 $ 16.75 $ 15.93 $ 13.06 $ 12.86
========== ========== ========== ======== ========
Total Return.......................................................... 13.13% 6.82% 24.16% 3.51% 3.49%
---------- ---------- ---------- -------- --------
Net Assets, End of Year (thousands)................................... $1,611,529 $1,457,218 $1,212,883 $851,323 $699,144
Ratio of Expenses to Average Net Assets............................... 0.19% 0.17% 0.17% 0.18% 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),
(Expenses Reimbursed), and/or Previously Waived Fees Recovered by
Advisor and (Fees Paid Indirectly))................................. 0.19% 0.17% 0.17% 0.17% 0.19%
Ratio of Net Investment Income to Average Net Assets.................. 1.77% 1.64% 1.74% 1.99% 1.77%
Portfolio Turnover Rate............................................... 22% 7% 11% 12% 12%
---------- ---------- ---------- -------- --------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
65
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 37.41 $ 38.84 $ 32.63 $ 33.27 $ 33.75
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.83 0.78 0.74 0.70 0.69
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 1.45 0.35 6.99 0.71 (0.32)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 2.28 1.13 7.73 1.41 0.37
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.76) (0.73) (0.70) (0.70) (0.66)
Net Realized Gains....................................... (1.80) (1.83) (0.82) (1.35) (0.19)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (2.56) (2.56) (1.52) (2.05) (0.85)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 37.13 $ 37.41 $ 38.84 $ 32.63 $ 33.27
=========== =========== =========== =========== ===========
Total Return................................................ 6.97% 2.79% 24.11% 4.58% 1.16%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $25,656,577 $25,268,336 $23,732,871 $17,673,253 $15,807,935
Ratio of Expenses to Average Net Assets (B)................. 0.28% 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................ 0.38% 0.37% 0.37% 0.37% 0.30%
Ratio of Net Investment Income to Average Net Assets........ 2.33% 1.98% 2.03% 2.24% 2.04%
----------- ----------- ----------- ----------- -----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
66
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.................................... $ 23.45 $ 25.15 $ 21.26 $ 21.58 $ 23.19
------- ------- ------- ------- -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)....................................... 0.30 0.28 0.25 0.24 0.26
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.24) (0.63) 4.66 0.60 (0.61)
------- ------- ------- ------- -------
Total from Investment Operations............................... 0.06 (0.35) 4.91 0.84 (0.35)
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.27) (0.26) (0.24) (0.27) (0.25)
Net Realized Gains................................................. (0.94) (1.09) (0.78) (0.89) (1.01)
------- ------- ------- ------- -------
Total Distributions............................................ (1.21) (1.35) (1.02) (1.16) (1.26)
------- ------- ------- ------- -------
Net Asset Value, End of Year.......................................... $ 22.30 $ 23.45 $ 25.15 $ 21.26 $ 21.58
======= ======= ======= ======= =======
Total Return.......................................................... 0.78% (1.61%) 23.32% 4.21% (1.33%)
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)................................... $56,378 $47,848 $54,960 $35,661 $40,159
Ratio of Expenses to Average Net Assets............................... 0.48% 0.47% 0.47% 0.47% 0.47%
Ratio of Net Investment Income to Average Net Assets.................. 1.34% 1.10% 1.03% 1.16% 1.15%
Portfolio Turnover Rate............................................... 16% 23% 23% 28% 15%
------- ------- ------- ------- -------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
67
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- -------- -------- -------- --------
Net Asset Value, Beginning of Year.................................... $ 23.32 $ 25.03 $ 21.16 $ 21.51 $ 23.12
------- -------- -------- -------- --------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)....................................... 0.27 0.24 0.21 0.20 0.23
Net Gains (Losses) on Securities (Realized and Unrealized)......... (0.23) (0.63) 4.65 0.60 (0.61)
------- -------- -------- -------- --------
Total from Investment Operations............................... 0.04 (0.39) 4.86 0.80 (0.38)
------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.24) (0.23) (0.21) (0.26) (0.22)
Net Realized Gains................................................. (0.94) (1.09) (0.78) (0.89) (1.01)
------- -------- -------- -------- --------
Total Distributions............................................ (1.18) (1.32) (0.99) (1.15) (1.23)
------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 22.18 $ 23.32 $ 25.03 $ 21.16 $ 21.51
======= ======== ======== ======== ========
Total Return.......................................................... 0.64% (1.79%) 23.17% 4.04% (1.49%)
------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $72,669 $108,168 $156,809 $147,945 $135,412
Ratio of Expenses to Average Net Assets............................... 0.63% 0.62% 0.62% 0.62% 0.63%
Ratio of Net Investment Income to Average Net Assets.................. 1.21% 0.95% 0.90% 1.00% 1.02%
Portfolio Turnover Rate............................................... 16% 23% 23% 28% 15%
------- -------- -------- -------- --------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
68
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES
--------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ---------- ----------
Net Asset Value, Beginning of Year................ $ 23.46 $ 25.16 $ 21.26 $ 21.56 $ 23.16
----------- ----------- ----------- ---------- ----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)................... 0.32 0.30 0.27 0.25 0.29
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. (0.23) (0.63) 4.67 0.60 (0.61)
----------- ----------- ----------- ---------- ----------
Total from Investment Operations........... 0.09 (0.33) 4.94 0.85 (0.32)
----------- ----------- ----------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.30) (0.28) (0.26) (0.26) (0.27)
Net Realized Gains............................. (0.94) (1.09) (0.78) (0.89) (1.01)
----------- ----------- ----------- ---------- ----------
Total Distributions........................ (1.24) (1.37) (1.04) (1.15) (1.28)
----------- ----------- ----------- ---------- ----------
Net Asset Value, End of Year...................... $ 22.31 $ 23.46 $ 25.16 $ 21.26 $ 21.56
=========== =========== =========== ========== ==========
Total Return...................................... 0.88% (1.52%) 23.46% 4.29% (1.20%)
----------- ----------- ----------- ---------- ----------
Net Assets, End of Year (thousands)............... $10,655,324 $10,307,146 $10,528,662 $7,884,683 $6,987,896
Ratio of Expenses to Average Net Assets........... 0.38% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.45% 1.20% 1.13% 1.24% 1.28%
Portfolio Turnover Rate........................... 16% 23% 23% 28% 15%
----------- ----------- ----------- ---------- ----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
69
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 36.39 $ 39.07 $ 32.75 $ 33.08 $ 35.82
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.42 0.39 0.31 0.32 0.41
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (1.69) (0.90) 7.71 1.06 (1.44)
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... (1.27) (0.51) 8.02 1.38 (1.03)
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.38) (0.37) (0.30) (0.33) (0.38)
Net Realized Gains....................................... (1.95) (1.80) (1.40) (1.38) (1.33)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (2.33) (2.17) (1.70) (1.71) (1.71)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 32.79 $ 36.39 $ 39.07 $ 32.75 $ 33.08
=========== =========== =========== =========== ===========
Total Return................................................ (3.04%) (1.48%) 24.67% 4.49% (2.83%)
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $13,766,513 $14,732,615 $15,165,867 $12,613,185 $11,680,262
Ratio of Expenses to Average Net Assets..................... 0.53% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets........ 1.26% 1.00% 0.83% 1.01% 1.18%
Portfolio Turnover Rate..................................... 19% 27% 24% 19% 17%
----------- ----------- ----------- ----------- -----------
U.S. CORE EQUITY 1 PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 22.77 $ 22.01 $ 18.00 $ 17.90 $ 17.71
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.40 0.36 0.33 0.33 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 2.08 0.88 4.12 0.30 0.26
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 2.48 1.24 4.45 0.63 0.57
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.40) (0.35) (0.35) (0.32) (0.30)
Net Realized Gains....................................... (0.14) (0.13) (0.09) (0.21) (0.08)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (0.54) (0.48) (0.44) (0.53) (0.38)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 24.71 $ 22.77 $ 22.01 $ 18.00 $ 17.90
=========== =========== =========== =========== ===========
Total Return................................................ 11.18% 5.59% 24.93% 3.68% 3.26%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $26,592,058 $23,629,726 $20,762,742 $14,960,159 $13,275,774
Ratio of Expenses to Average Net Assets..................... 0.20% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets........ 1.72% 1.55% 1.64% 1.88% 1.71%
Portfolio Turnover Rate..................................... 5% 3% 3% 4% 4%
----------- ----------- ----------- ----------- -----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
70
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 2 PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 21.25 $ 20.90 $ 17.19 $ 17.26 $ 17.34
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.36 0.34 0.31 0.31 0.30
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 1.65 0.53 3.83 0.25 0.02
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 2.01 0.87 4.14 0.56 0.32
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.37) (0.32) (0.31) (0.30) (0.28)
Net Realized Gains....................................... (0.23) (0.20) (0.12) (0.33) (0.12)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (0.60) (0.52) (0.43) (0.63) (0.40)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 22.66 $ 21.25 $ 20.90 $ 17.19 $ 17.26
=========== =========== =========== =========== ===========
Total Return ............................................... 9.78% 4.16% 24.36% 3.47% 1.92%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $27,829,155 $24,677,650 $22,515,418 $16,851,046 $15,200,564
Ratio of Expenses to Average Net Assets..................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets........ 1.69% 1.53% 1.59% 1.87% 1.68%
Portfolio Turnover Rate..................................... 6% 5% 5% 4% 5%
----------- ----------- ----------- ----------- -----------
U.S. VECTOR EQUITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 18.40 $ 19.16 $ 15.93 $ 16.22 $ 17.04
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.28 0.26 0.24 0.25 0.25
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.72 (0.10) 3.65 0.24 (0.30)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 1.00 0.16 3.89 0.49 (0.05)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.27) (0.25) (0.23) (0.25) (0.24)
Net Realized Gains....................................... (0.42) (0.67) (0.43) (0.53) (0.53)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.69) (0.92) (0.66) (0.78) (0.77)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 18.71 $ 18.40 $ 19.16 $ 15.93 $ 16.22
========== ========== ========== ========== ==========
Total Return ............................................... 5.92% 0.69% 24.73% 3.28% (0.18%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $4,583,612 $4,610,769 $4,724,003 $3,822,647 $3,651,529
Ratio of Expenses to Average Net Assets..................... 0.33% 0.32% 0.32% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets........ 1.53% 1.35% 1.36% 1.64% 1.50%
Portfolio Turnover Rate..................................... 6% 10% 10% 10% 10%
---------- ---------- ---------- ---------- ----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
71
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Net Asset Value, Beginning of Year.......................... $ 35.02 $ 36.48 $ 30.14 $ 30.84 $ 31.38
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.38 0.39 0.35 0.34 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.05) (0.08) 7.17 0.77 0.33
----------- ----------- ----------- ----------- -----------
Total from Investment Operations..................... 0.33 0.31 7.52 1.11 0.68
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.35) (0.37) (0.35) (0.35) (0.33)
Net Realized Gains....................................... (1.20) (1.40) (0.83) (1.46) (0.89)
----------- ----------- ----------- ----------- -----------
Total Distributions.................................. (1.55) (1.77) (1.18) (1.81) (1.22)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................................ $ 33.80 $ 35.02 $ 36.48 $ 30.14 $ 30.84
=========== =========== =========== =========== ===========
Total Return ............................................... 1.41% 0.77% 25.21% 3.89% 2.34%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)......................... $17,392,495 $17,303,451 $16,931,787 $12,977,199 $10,616,542
Ratio of Expenses to Average Net Assets..................... 0.37% 0.37% 0.37% 0.37% 0.37%
Ratio of Net Investment Income to Average Net Assets........ 1.13% 1.06% 1.04% 1.16% 1.10%
Portfolio Turnover Rate..................................... 8% 13% 14% 10% 11%
----------- ----------- ----------- ----------- -----------
U.S. MICRO CAP PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year.......................... $ 21.88 $ 22.76 $ 18.58 $ 19.00 $ 20.10
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.20 0.17 0.16 0.16 0.16
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.26) 0.12 5.12 0.60 0.02
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (0.06) 0.29 5.28 0.76 0.18
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.18) (0.16) (0.16) (0.16) (0.16)
Net Realized Gains....................................... (0.86) (1.01) (0.94) (1.02) (1.12)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (1.04) (1.17) (1.10) (1.18) (1.28)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 20.78 $ 21.88 $ 22.76 $ 18.58 $ 19.00
========== ========== ========== ========== ==========
Total Return ............................................... 0.24% 1.29% 28.91% 4.32% 1.11%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $6,351,299 $6,478,316 $6,306,730 $5,128,323 $5,007,091
Ratio of Expenses to Average Net Assets..................... 0.53% 0.52% 0.52% 0.52% 0.52%
Ratio of Net Investment Income to Average Net Assets........ 0.98% 0.74% 0.75% 0.88% 0.82%
Portfolio Turnover Rate..................................... 15% 19% 15% 15% 14%
---------- ---------- ---------- ---------- ----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
72
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. HIGH RELATIVE PROFITABILITY
PORTFOLIO
-------------------------------
PERIOD
YEAR YEAR MAY 16,
ENDED ENDED 2017(A) TO
OCT 31, OCT 31, OCT 31,
2019 2018 2017
---------- -------- ----------
Net Asset Value, Beginning of Period........................ $ 11.85 $ 10.93 $ 10.00
---------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.22 0.19 0.07
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 1.64 0.89 0.91
---------- -------- --------
Total from Investment Operations..................... 1.86 1.08 0.98
---------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.20) (0.16) (0.05)
Net Realized Gains....................................... -- -- --
---------- -------- --------
Total Distributions.................................. (0.20) (0.16) (0.05)
---------- -------- --------
Net Asset Value, End of Period.............................. $ 13.51 $ 11.85 $ 10.93
========== ======== ========
Total Return................................................ 15.88% 9.88% 9.84%(C)
---------- -------- --------
Net Assets, End of Period (thousands)....................... $1,703,302 $722,728 $141,073
Ratio of Expenses to Average Net Assets..................... 0.25% 0.25% 0.23%(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))..... 0.25% 0.27% 0.35%(D)(E)
Ratio of Net Investment Income to Average Net Assets........ 1.73% 1.58% 1.45%(D)(E)
Portfolio Turnover Rate..................................... 4% 7% 0%(C)
---------- -------- --------
DFA REAL ESTATE SECURITIES PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period........................ $ 34.14 $ 34.99 $ 34.32 $ 33.04 $ 32.24
----------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.52** 1.60 0.84 1.09 0.90
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 8.09** (0.69) 1.12 1.18 0.95
----------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 8.61 0.91 1.96 2.27 1.85
----------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.85) (1.65) (0.98) (0.99) (1.05)
Net Realized Gains....................................... -- (0.11) (0.31) -- --
----------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.85) (1.76) (1.29) (0.99) (1.05)
----------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............................. $ 41.90 $ 34.14 $ 34.99 $ 34.32 $ 33.04
=========== ========== ========== ========== ==========
Total Return................................................ 25.64% 2.63% 5.86% 6.89% 5.89%
----------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....................... $10,671,437 $8,577,658 $8,281,176 $7,260,180 $6,553,192
Ratio of Expenses to Average Net Assets..................... 0.18% 0.18% 0.18% 0.18% 0.18%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.20% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets........ 1.38%** 4.66% 2.43% 3.15% 2.75%
Portfolio Turnover Rate..................................... 3% 3% 1% 3% 4%
----------- ---------- ---------- ---------- ----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
73
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 twelve (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, one invests all of its assets in a corresponding series
(the "Feeder Fund"). The Feeder Fund invests all of its assets in a
corresponding series (the "Master Fund") of The DFA Investment Trust Company
("DFAITC"). As of October 31, 2019, the Feeder Fund was the owner of record of
the approximate percentage of the total outstanding shares of the Master Fund
as detailed below:
PERCENTAGE
OWNERSHIP
FEEDER FUND MASTER FUND AT 10/31/19
----------- ----------- -----------
U.S. Large Cap Value The U.S. Large Cap
Portfolio Value Series 86%
To achieve its investment objective, the Feeder Fund invests substantially
all of its assets in the Master Fund as indicated above. The Feeder Fund also
invests in short-term temporary cash investments and futures.
The financial statements of the Master Fund is included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Fund.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolios use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap
Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value
Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S.
Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio,
DFA Real Estate Securities Portfolio and U.S. High Relative Profitability
Portfolio (collectively, the "Domestic Equity Portfolios") including
over-the-counter securities, are valued at the last quoted sale price of the
day. Securities held by the Domestic Equity Portfolios that are listed on
Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no
last reported sale price or NOCP for the day, the Domestic Equity Portfolios
value the securities within the range of the most recent quoted
74
bid and ask prices. Price information on listed securities is taken from the
exchange where the security is primarily traded. Generally, securities issued
by open-end management investment companies are valued using their respective
net asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Domestic Equity Portfolios 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.
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.
Shares held by the Portfolios in other investment companies (such as the
Master Fund) are valued at their respective daily net asset values as reported
by their administrator. The Feeder Fund's investment in the Master Fund
reflects its proportionate interest in the net assets of the Master Fund. 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
Fund). The methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the 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 Enhanced U.S. Large Company Portfolio isolates 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.
75
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
Enhanced U.S. Large Company 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 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 R1 Shares, Class R2 Shares and Institutional Class Shares have equal
rights to assets and earnings of a Portfolio. Income, gains and losses, and
common expenses of a Portfolio are allocated to each class of shares based on
its relative net assets. Each class will bear its own class-specific expenses,
if any.
The Feeder Fund recognizes its pro-rata shares of net investment income and
realized and unrealized gains/losses on a daily basis from its Master Fund
within DFAITC, which is treated as a partnership 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.
76
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:
Enhanced U.S. Large Company Portfolio....... 0.20%
U.S. Large Cap Equity Portfolio............. 0.15%
U.S. Large Cap Value Portfolio.............. 0.25%
U.S. Targeted Value Portfolio............... 0.35%
U.S. Small Cap Value Portfolio.............. 0.50%
U.S. Core Equity 1 Portfolio................ 0.17%
U.S. Core Equity 2 Portfolio................ 0.20%
U.S. Vector Equity Portfolio................ 0.30%
U.S. Small Cap Portfolio.................... 0.35%
U.S. Micro Cap Portfolio.................... 0.50%
U.S. High Relative Profitability Portfolio.. 0.20%
DFA Real Estate Securities Portfolio........ 0.17%
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 will remain in effect through February 28, 2020, may
only be terminated by the Fund's Board of Directors prior to that date and
shall continue in effect from year to year thereafter unless terminated by the
Fund or the Advisor. The Fee Waiver Agreement with respect to the total
management fees paid by the Feeder Fund, as described in the notes below, will
remain in effect permanently, unless terminated by the Feeder Fund. During the
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.
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
LIMITATION MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------- ---------------- ----------------- -----------------
Enhanced U.S. Large Company Portfolio (1)......... 0.15% -- -- $ 332 $777
U.S. Large Cap Equity Portfolio (1)............... 0.19% -- -- -- --
U.S. Large Cap Value Portfolio (2)................ -- 0.25% -- 25,027 --
U.S. Targeted Value Portfolio (3)................. 0.50% -- -- -- --
77
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
EXPENSE TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
LIMITATION MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------- ---------------- ----------------- -----------------
U.S. Core Equity 1 Portfolio (1).................. 0.23% -- -- -- --
U.S. Core Equity 2 Portfolio (1).................. 0.26% -- -- -- --
U.S. Vector Equity Portfolio (1).................. 0.36% -- -- -- --
U.S. High Relative Profitability Portfolio (4).... 0.25% -- $62 $ 26 $ 156
DFA Real Estate Securities Portfolio (1).......... 0.18% -- 10 1,533 3,007
CLASS R1 SHARES
---------------
U.S. Targeted Value Portfolio (5)................. 0.62% -- -- -- --
CLASS R2 SHARES
---------------
U.S. Targeted Value Portfolio (5)................. 0.77% -- -- -- --
(1)The Advisor has contractually agreed to waive all or a portion of its
management fee and 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 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 for
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 Portfolio's annualized
Portfolio Expenses to exceed the Expense Limitation Amount, as listed above.
The Fee Waiver Agreement for the Enhanced U.S. Large Company Portfolio
became effective on April 3, 2017.
(2)Effective July 21, 2015, the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by
the Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund
(the "Money Market Series"), to the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis.
(3)The Advisor has contractually agreed to waive its management fee and to
assume the Portfolio's Institutional Class Shares' 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 Institutional Class Shares of the
Portfolio to the rate listed above for such class of shares as a percentage
of average net assets on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of the Institutional
Class Shares of the Portfolio are less than the Expense Limitation Amount
listed above for such class of shares, the Advisor retains the right to
recover any fees previously waived and/or expenses previously assumed to the
extent that such recovery is within thirty-six months and will not cause the
Portfolio's annualized Portfolio Expenses for such class of shares to exceed
the Expense Limitation Amount, as listed above.
(4)The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of
the Portfolio (including the expenses that the Portfolio bears as a
shareholder of other funds managed by the Advisor, excluding money market
funds, but excluding the expenses that the Portfolio incurs indirectly
through its investment in unaffiliated investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a
class of the Portfolio to the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses of a
class of the Portfolio are less than the Expense Limitation Amount, the
Advisor retains the right to recover any fees previously waived and/or
expenses previously assumed to the extent that such recovery is within
thirty-six months and will not cause the annualized Portfolio Expenses for
such class of shares of the Portfolio to exceed the Expense Limitation
Amount.
(5)The Advisor has contractually agreed to reduce all or a portion of its
management fee and to assume the direct and indirect expenses of the
Class R1 shares and Class R2 shares of the Portfolio (excluding the expenses
the Portfolio incurs indirectly through investment in other investment
companies) ("Portfolio Expenses") to the extent necessary to limit the
Portfolio Expenses of the Class R1 shares and Class R2 shares of the
Portfolio to the rate listed above for such class of shares as a percentage
of average net assets (the "Expense Limitation Amount"). At any time that
the Portfolio Expenses of the Class R1 shares or Class R2 shares of the
Portfolio are less than the Expense Limitation Amount listed above for such
class of shares, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that such
recovery is within thirty-six months and will not cause the Portfolio's
annualized Portfolio Expenses for such class of shares to exceed the Expense
Limitation Amount, as listed above.
78
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):
Enhanced U.S. Large Company Portfolio... $ 11
U.S. Large Cap Equity Portfolio......... 14
U.S. Large Cap Value Portfolio.......... 556
U.S. Targeted Value Portfolio........... 204
U.S. Small Cap Value Portfolio.......... 444
U.S. Core Equity 1 Portfolio............ 363
U.S. Core Equity 2 Portfolio............ 459
U.S. Vector Equity Portfolio............ 117
U.S. Small Cap Portfolio................ 332
U.S. Micro Cap Portfolio................ 206
U.S. High Relative Profitability
Portfolio............................. 3
DFA Real Estate Securities Portfolio.... 209
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 (with respect to the Equity Portfolios) (amounts
in thousands), were as follows:
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ ---------------------
PURCHASES SALES PURCHASES SALES
--------- -------- ---------- ----------
Enhanced U.S. Large Company
Portfolio........................ $151,036 $140,872 $ 183,874 $ 198,989
U.S. Large Cap Equity Portfolio.... -- -- 350,137 348,635
U.S. Targeted Value Portfolio...... -- -- 2,386,387 1,672,087
U.S. Small Cap Value Portfolio..... -- -- 3,017,719 2,661,054
U.S. Core Equity 1 Portfolio....... -- -- 2,290,251 1,329,313
U.S. Core Equity 2 Portfolio....... -- -- 3,091,349 1,631,816
U.S. Vector Equity Portfolio....... -- -- 252,061 329,378
U.S. Small Cap Portfolio........... -- -- 1,999,789 1,404,548
U.S. Micro Cap Portfolio........... -- -- 1,132,316 909,379
U.S. High Relative Profitability
Portfolio........................ -- -- 863,729 48,982
DFA Real Estate Securities
Portfolio........................ -- -- 545,508 236,674
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
79
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
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
---------------- ---------- ---------- ------------ -------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The DFA Short Term Investment Fund $ 2,270 $ 87,921 $ 88,902 -- --
---------- ---------- ---------- ---- ----
TOTAL $ 2,270 $ 87,921 $ 88,902 -- --
========== ========== ========== ==== ====
U.S. LARGE CAP EQUITY PORTFOLIO
The DFA Short Term Investment Fund $ 40,426 $ 192,282 $ 212,980 $ (1) $ 1
---------- ---------- ---------- ---- ----
TOTAL $ 40,426 $ 192,282 $ 212,980 $ (1) $ 1
========== ========== ========== ==== ====
U.S. TARGETED VALUE PORTFOLIO
The DFA Short Term Investment Fund $1,345,682 $4,786,959 $5,307,266 $(25) $ 76
---------- ---------- ---------- ---- ----
TOTAL $1,345,682 $4,786,959 $5,307,266 $(25) $ 76
========== ========== ========== ==== ====
U.S. SMALL CAP VALUE PORTFOLIO
The DFA Short Term Investment Fund $1,667,171 $4,975,644 $5,580,541 $(15) $ 92
---------- ---------- ---------- ---- ----
TOTAL $1,667,171 $4,975,644 $5,580,541 $(15) $ 92
========== ========== ========== ==== ====
U.S. CORE EQUITY 1 PORTFOLIO
The DFA Short Term Investment Fund $1,470,055 $6,158,393 $6,378,918 $(10) $121
---------- ---------- ---------- ---- ----
TOTAL $1,470,055 $6,158,393 $6,378,918 $(10) $121
========== ========== ========== ==== ====
U.S. CORE EQUITY 2 PORTFOLIO
The DFA Short Term Investment Fund $1,747,162 $7,205,457 $7,570,980 $(16) $119
---------- ---------- ---------- ---- ----
TOTAL $1,747,162 $7,205,457 $7,570,980 $(16) $119
========== ========== ========== ==== ====
U.S. VECTOR EQUITY PORTFOLIO
The DFA Short Term Investment Fund $ 376,160 $1,491,820 $1,580,673 $ (8) $ 24
---------- ---------- ---------- ---- ----
TOTAL $ 376,160 $1,491,820 $1,580,673 $ (8) $ 24
========== ========== ========== ==== ====
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2019 OCTOBER 31, 2019 INCOME DISTRIBUTIONS
---------------- ---------------- -------- -------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO
The DFA Short Term Investment Fund $ 1,289 111 $ 92 --
---------- ------- ------- ------
TOTAL $ 1,289 111 $ 92 --
========== ======= ======= ======
U.S. LARGE CAP EQUITY PORTFOLIO
The DFA Short Term Investment Fund $ 19,728 1,705 $ 893 --
---------- ------- ------- ------
TOTAL $ 19,728 1,705 $ 893 --
========== ======= ======= ======
U.S. TARGETED VALUE PORTFOLIO
The DFA Short Term Investment Fund $ 825,426 71,336 $26,602 --
---------- ------- ------- ------
TOTAL $ 825,426 71,336 $26,602 --
========== ======= ======= ======
U.S. SMALL CAP VALUE PORTFOLIO
The DFA Short Term Investment Fund $1,062,351 91,811 $35,612 --
---------- ------- ------- ------
TOTAL $1,062,351 91,811 $35,612 --
========== ======= ======= ======
U.S. CORE EQUITY 1 PORTFOLIO
The DFA Short Term Investment Fund $1,249,641 107,998 $34,975 --
---------- ------- ------- ------
TOTAL $1,249,641 107,998 $34,975 --
========== ======= ======= ======
U.S. CORE EQUITY 2 PORTFOLIO
The DFA Short Term Investment Fund $1,381,742 119,414 $40,554 --
---------- ------- ------- ------
TOTAL $1,381,742 119,414 $40,554 --
========== ======= ======= ======
U.S. VECTOR EQUITY PORTFOLIO
The DFA Short Term Investment Fund $ 287,323 24,831 $ 9,473 --
---------- ------- ------- ------
TOTAL $ 287,323 24,831 $ 9,473 --
========== ======= ======= ======
80
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
---------------- ---------- ---------- ------------ -------------
U.S. SMALL CAP PORTFOLIO
The DFA Short Term Investment Fund $2,515,622 $7,413,646 $7,964,953 $ 19 $172
---------- ---------- ---------- ---- ----
TOTAL $2,515,622 $7,413,646 $7,964,953 $ 19 $172
========== ========== ========== ==== ====
U.S. MICRO CAP PORTFOLIO
The DFA Short Term Investment Fund $ 958,074 $2,362,164 $2,703,259 $(10) $ 55
---------- ---------- ---------- ---- ----
TOTAL $ 958,074 $2,362,164 $2,703,259 $(10) $ 55
========== ========== ========== ==== ====
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
The DFA Short Term Investment Fund $ 9,440 $ 172,791 $ 172,175 $ (1) $ 1
---------- ---------- ---------- ---- ----
TOTAL $ 9,440 $ 172,791 $ 172,175 $ (1) $ 1
========== ========== ========== ==== ====
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Short Term Investment Fund $ 359,453 $2,833,527 $2,875,832 $(19) $ 20
---------- ---------- ---------- ---- ----
TOTAL $ 359,453 $2,833,527 $2,875,832 $(19) $ 20
========== ========== ========== ==== ====
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2019 OCTOBER 31, 2019 INCOME DISTRIBUTIONS
---------------- ---------------- -------- -------------
U.S. SMALL CAP PORTFOLIO
The DFA Short Term Investment Fund $1,964,506 169,778 $58,705 --
---------- ------- ------- ------
TOTAL $1,964,506 169,778 $58,705 --
========== ======= ======= ======
U.S. MICRO CAP PORTFOLIO
The DFA Short Term Investment Fund $ 617,024 53,325 $18,995 --
---------- ------- ------- ------
TOTAL $ 617,024 53,325 $18,995 --
========== ======= ======= ======
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
The DFA Short Term Investment Fund $ 10,056 869 -- --
---------- ------- ------- ------
TOTAL $ 10,056 869 -- --
========== ======= ======= ======
DFA REAL ESTATE SECURITIES PORTFOLIO
The DFA Short Term Investment Fund $ 317,149 27,409 $ 6,912 --
---------- ------- ------- ------
TOTAL $ 317,149 27,409 $ 6,912 --
========== ======= ======= ======
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
-------------- ------------- ---------- -------
Enhanced U.S. Large Company Portfolio
2018.................................. $25,719 $29,522 -- $55,241
81
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- ----------
2019....................................... $ 12,487 $ 8,470 -- $ 20,957
U.S. Large Cap Equity Portfolio
2018....................................... 22,154 -- -- 22,154
2019....................................... 27,531 -- -- 27,531
U.S. Large Cap Value Portfolio
2018....................................... 514,712 1,084,643 -- 1,599,355
2019....................................... 527,139 1,212,148 -- 1,739,287
U.S. Targeted Value Portfolio
2018....................................... 150,659 435,624 -- 586,283
2019....................................... 165,860 393,406 -- 559,266
U.S. Small Cap Value Portfolio
2018....................................... 181,057 653,833 -- 834,890
2019....................................... 168,204 769,928 -- 938,132
U.S. Core Equity 1 Portfolio
2018....................................... 344,039 116,824 -- 460,863
2019....................................... 423,200 148,232 -- 571,432
U.S. Core Equity 2 Portfolio
2018....................................... 362,649 214,753 -- 577,402
2019....................................... 443,069 263,127 -- 706,196
U.S. Vector Equity Portfolio
2018....................................... 61,316 164,690 -- 226,006
2019....................................... 66,053 105,741 -- 171,794
U.S. Small Cap Portfolio
2018....................................... 220,415 608,203 -- 828,618
2019....................................... 215,050 555,233 -- 770,283
U.S. Micro Cap Portfolio
2018....................................... 68,087 260,436 -- 328,523
2019....................................... 56,095 254,341 -- 310,436
U.S. High Relative Profitability Portfolio
2018....................................... 5,717 -- -- 5,717
2019....................................... 18,698 -- -- 18,698
DFA Real Estate Securities Portfolio
2018....................................... 419,917 19,701 -- 439,618
2019....................................... 212,725 -- -- 212,725
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
-------------- ------------- --------
Enhanced U.S. Large Company Portfolio.. $ (2,188) $ (2,801) $ (4,989)
U.S. Large Cap Equity Portfolio........ (1,297) -- (1,297)
U.S. Large Cap Value Portfolio......... (55,934) (15,874) (71,808)
82
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM
CAPITAL GAINS CAPITAL GAINS TOTAL
-------------- ------------- --------
U.S. Targeted Value Portfolio............... $(15,687) $(16,871) $(32,558)
U.S. Small Cap Value Portfolio.............. (19,705) (18,560) (38,265)
U.S. Core Equity 1 Portfolio................ (39,604) (5,829) (45,433)
U.S. Core Equity 2 Portfolio................ (40,460) (13,419) (53,879)
U.S. Vector Equity Portfolio................ (6,880) (3,088) (9,968)
U.S. Small Cap Portfolio.................... (13,502) (29,688) (43,190)
U.S. Micro Cap Portfolio.................... (6,360) (7,123) (13,483)
U.S. High Relative Profitability Portfolio.. (478) -- (478)
DFA Real Estate Securities Portfolio........ -- -- --
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)
-------------- ------------- ------------- -------------- -------------
Enhanced U.S. Large Company Portfolio................... $15,296 $ 18,584 -- $ (175) $ 33,705
U.S. Large Cap Equity Portfolio......................... 1,188 2,825 -- 469,466 473,479
U.S. Large Cap Value Portfolio.......................... -- 559,414 -- 6,642,496 7,201,910
U.S. Targeted Value Portfolio........................... 5,798 273,128 -- 1,107,339 1,386,265
U.S. Small Cap Value Portfolio.......................... 24,067 231,558 -- 2,221,941 2,477,566
U.S. Core Equity 1 Portfolio............................ -- 447,398 -- 9,383,890 9,831,288
U.S. Core Equity 2 Portfolio............................ -- 609,730 -- 9,643,827 10,253,557
U.S. Vector Equity Portfolio............................ -- 81,241 -- 1,572,085 1,653,326
U.S. Small Cap Portfolio................................ -- 411,119 -- 3,316,376 3,727,495
U.S. Micro Cap Portfolio................................ 1,147 131,977 -- 1,965,123 2,098,247
U.S. High Relative Profitability Portfolio.............. 1,613 -- $(8,733) 182,830 175,710
DFA Real Estate Securities Portfolio.................... 62,157 14,210 -- 3,822,162 3,898,529
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
--------- ------
Enhanced U.S. Large Company Portfolio.. -- --
U.S. Large Cap Equity Portfolio........ -- --
U.S. Large Cap Value Portfolio......... -- --
U.S. Targeted Value Portfolio.......... -- --
U.S. Small Cap Value Portfolio......... -- --
U.S. Core Equity 1 Portfolio........... -- --
U.S. Core Equity 2 Portfolio........... -- --
83
UNLIMITED TOTAL
--------- ------
U.S. Vector Equity Portfolio............... -- --
U.S. Small Cap Portfolio................... -- --
U.S. Micro Cap Portfolio................... -- --
U.S. High Relative Profitability Portfolio. $8,733 $8,733
DFA Real Estate Securities 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 (amount in thousands):
U.S. Large Cap Equity Portfolio. $7,156
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 TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
Enhanced U.S. Large Company Portfolio...... $ 386,406 $ 12,622 $ (12,797) $ (175)
U.S. Large Cap Equity Portfolio............ 1,161,537 512,868 (43,402) 469,466
U.S. Large Cap Value Portfolio............. 19,024,344 6,645,048 (1,382) 6,643,666
U.S. Targeted Value Portfolio.............. 10,491,442 2,384,515 (1,277,248) 1,107,267
U.S. Small Cap Value Portfolio............. 12,714,139 3,622,046 (1,400,215) 2,221,831
U.S. Core Equity 1 Portfolio............... 18,438,415 10,724,404 (1,340,650) 9,383,754
U.S. Core Equity 2 Portfolio............... 19,535,339 11,243,463 (1,599,785) 9,643,678
U.S. Vector Equity Portfolio............... 3,300,683 1,917,070 (344,996) 1,572,074
U.S. Small Cap Portfolio................... 16,006,465 5,257,040 (1,940,782) 3,316,258
U.S. Micro Cap Portfolio................... 4,997,481 2,386,940 (421,863) 1,965,077
U.S. High Relative Profitability Portfolio. 1,535,146 222,213 (39,382) 182,831
DFA Real Estate Securities Portfolio....... 7,175,203 4,052,824 (230,715) 3,822,109
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
84
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
----------- -------- ----------- -------
U.S. TARGETED VALUE PORTFOLIO
Class R1 Shares
Shares Issued...................................... $ 18,052 831 $ 21,616 851
Shares Issued in Lieu of Cash Distributions........ 2,513 123 2,923 119
Shares Redeemed.................................... (10,271) (467) (28,235) (1,114)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R1 Shares............ $ 10,294 487 $ (3,696) (144)
=========== ======== =========== =======
Class R2 Shares
Shares Issued...................................... $ 16,359 740 $ 38,144 1,523
Shares Issued in Lieu of Cash Distributions........ 5,135 253 7,940 325
Shares Redeemed.................................... (51,887) (2,355) (85,609) (3,475)
----------- -------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares............ $ (30,393) (1,362) $ (39,525) (1,627)
=========== ======== =========== =======
Institutional Class Shares
Shares Issued...................................... $ 2,603,398 119,873 $ 2,152,781 85,162
Shares Issued in Lieu of Cash Distributions........ 522,401 25,501 541,597 21,998
Shares Redeemed.................................... (2,333,821) (107,140) (2,187,982) (86,229)
----------- -------- ----------- -------
Net Increase (Decrease) -- Institutional Class Shares. $ 791,978 38,234 $ 506,396 20,931
=========== ======== =========== =======
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest either directly or indirectly (through their investments
in a corresponding Master Fund), in certain financial instruments that have
off-balance sheet risk in excess of the amounts recognized in the financial
statements and concentrations of credit and market risk. These instruments and
their significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
1. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Portfolio may
acquire and sell forward currency contracts to hedge against adverse changes in
the relationship of the U.S. dollar to foreign currencies (foreign exchange
rate risk) or to transfer balances from one currency to another currency. The
Enhanced U.S. Large Company Portfolio may hedge some or all of the currency
exposure of its foreign securities by entering into forward currency contracts.
The decision to hedge the Enhanced U.S. Large Company Portfolio's currency
exposure with respect to a foreign market will be based primarily on the
Portfolio's existing exposure to a given foreign currency. The Enhanced U.S.
Large Company Portfolio typically hedges its foreign currency exposure. Each
contract is valued daily and the change in value is recorded by the Portfolio
as an unrealized gain or loss, which is presented in the Statements of
Operations as the change in unrealized appreciation or depreciation of forward
currency contracts. When the contract is closed or offset with the same
counterparty, the Portfolio records a realized gain or loss equal to the change
in the value of the contract when it was opened and the value at the time it
was closed or offset. This is presented in the Statements of Operations as a
net realized gain or loss on forward currency contracts. Risks may arise upon
entering into these contracts from the potential inability of counterparties to
meet the terms of their contracts and from unanticipated movements in the value
of foreign currency relative to the U.S. dollar.
85
2. FUTURES CONTRACTS: Each Portfolio listed below may purchase or sell
futures contracts and options on futures contracts for equity securities and
indices to adjust market exposure based on actual or expected cash inflows to
or outflows from the Portfolio. The Portfolios, however, do not intend to sell
futures contracts to establish short positions in individual securities. The
Enhanced U.S. Large Company Portfolio may also use futures contracts and
options thereon to hedge against securities prices or as part of its overall
investment strategy. 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**
---------- ---------
Enhanced U.S. Large Company Portfolio.. $118,550 $332,798
U.S. Targeted Value Portfolio.......... -- 71,188
U.S. Small Cap Value Portfolio......... -- 124,828
U.S. Core Equity 1 Portfolio........... -- 186,435
U.S. Core Equity 2 Portfolio........... -- 215,483
U.S. Vector Equity Portfolio........... -- 30,265
U.S. Small Cap Portfolio............... -- 125,481
U.S. Micro Cap Portfolio............... -- 56,808
DFA Real Estate Securities Portfolio... -- 69,473
* 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
----------------------------------------------
FORWARD
TOTAL VALUE AT CURRENCY EQUITY
OCTOBER 31, 2019 CONTRACTS (1) CONTRACTS *,(2)
---------------- ------------- ---------------
Enhanced U.S. Large Company Portfolio.. $13,139 $52 $13,087
U.S. Targeted Value Portfolio.......... 3,300 -- 3,300
U.S. Small Cap Value Portfolio......... 456 -- 456
U.S. Core Equity 1 Portfolio........... 1,911 -- 1,911
86
ASSET DERIVATIVES VALUE
----------------------------------------------
FORWARD
TOTAL VALUE AT CURRENCY EQUITY
OCTOBER 31, 2019 CONTRACTS (1) CONTRACTS *,(2)
---------------- ------------- ---------------
U.S. Core Equity 2 Portfolio.......... $2,225 -- $2,225
U.S. Vector Equity Portfolio.......... 198 -- 198
U.S. Small Cap Portfolio.............. 5,365 -- 5,365
U.S. Micro Cap Portfolio.............. 1,055 -- 1,055
DFA Real Estate Securities Portfolio.. 906 -- 906
LIABILITY DERIVATIVES VALUE
-----------------------------
FORWARD
TOTAL VALUE AT CURRENCY
OCTOBER 31, 2019 CONTRACTS (3)
---------------- -------------
Enhanced U.S. Large Company Portfolio. $(2,591) $(2,591)
(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)
------- ------------- -------------
Enhanced U.S. Large Company Portfolio...... $ 7,697 $4,580 $ 3,117
U.S. Large Cap Equity Portfolio............ 1,076 -- 1,076*
U.S. Targeted Value Portfolio.............. 2,964 -- 2,964
U.S. Small Cap Value Portfolio............. 2,914 -- 2,914
U.S. Core Equity 1 Portfolio............... 18,158 -- 18,158
U.S. Core Equity 2 Portfolio............... 12,596 -- 12,596
U.S. Vector Equity Portfolio............... 5,143 -- 5,143
U.S. Small Cap Portfolio................... 6,738 -- 6,738
U.S. Micro Cap Portfolio................... (1,815) -- (1,815)
U.S. High Relative Profitability Portfolio. (52) -- (52)*
DFA Real Estate Securities Portfolio....... (1,177) -- (1,177)
87
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-----------------------------------
FORWARD
CURRENCY EQUITY
TOTAL CONTRACTS (3) CONTRACTS (4)
------- ------------- -------------
Enhanced U.S. Large Company Portfolio. $29,634 $(2,987) $32,621
U.S. Targeted Value Portfolio......... 5,420 -- 5,420
U.S. Small Cap Value Portfolio........ 2,943 -- 2,943
U.S. Core Equity 1 Portfolio.......... 7,258 -- 7,258
U.S. Core Equity 2 Portfolio.......... 11,243 -- 11,243
U.S. Vector Equity Portfolio.......... (433) -- (433)
U.S. Small Cap Portfolio.............. 5,348 -- 5,348
U.S. Micro Cap Portfolio.............. 3,769 -- 3,769
DFA Real Estate Securities Portfolio.. 1,373 -- 1,373
(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 the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
Statements of Assets and Liabilities.
88
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):
NET NET
AMOUNTS AMOUNTS
OF ASSETS GROSS AMOUNTS NOT OF LIABILITIES GROSS AMOUNTS NOT
PRESENTED OFFSET IN THE STATEMENTS PRESENTED OFFSET IN THE STATEMENTS
GROSS IN THE OF ASSETS AND LIABILITIES GROSS IN THE OF ASSETS AND LIABILITIES
AMOUNTS OF STATEMENTS ------------------------- AMOUNTS OF STATEMENTS -------------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
----------- ---------- ----------- ----------- ---------- ------ ----------- -------------- ----------- ---------- ------
ASSETS LIABILITIES
------------------------------------------------------- -----------------------------------------------------------
ENHANCED
U.S.
LARGE
COMPANY
PORTFOLIO
Bank of
America
Corp...... -- -- -- -- -- $1,370 $1,370 -- -- $1,370
Citibank,
N.A....... $ 3 $ 3 $ (3) -- -- 883 883 $ (3) -- 880
State
Street
Bank and
Trust..... 25 25 (25) -- -- 145 145 (25) -- 120
Barclays
Capital... -- -- -- -- -- 100 100 -- -- 100
HSBC Bank... 18 18 -- -- $18 -- -- -- -- --
JP Morgan... 2 2 (2) -- -- 20 20 (2) -- 18
Natwest
Markets
PLC....... 4 4 -- -- 4 -- -- -- -- --
Barclays
Bank PLC.. -- -- -- -- -- 73 73 -- -- 73
--- --- ---- -- --- ------ ------ ---- -- ------
Total....... $52 $52 $(30) -- $22 $2,591 $2,591 $(30) -- $2,561
=== === ==== == === ====== ====== ==== == ======
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
I. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on April 8, 2020.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The line of credit agreement expires on
January 3, 2020.
89
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
------------- ------------ ------------ -------- --------------- ----------------
U.S. Large Cap Equity Portfolio.............. 2.94% $5,584 70 $32 $39,385 --
U.S. High Relative Profitability Portfolio... 2.84% 7,497 10 7 12,562 --
* 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.
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):
PORTFOLIO PURCHASES SALES REALIZED GAIN (LOSS)
--------- --------- -------- --------------------
U.S. Large Cap Equity Portfolio............ $ 41,951 $ 57,977 $ (5,012)
U.S. Targeted Value Portfolio.............. 341,056 411,806 (126,118)
U.S. Small Cap Value Portfolio............. 406,034 667,677 (524,674)
U.S. Core Equity 1 Portfolio............... 240,864 212,911 30,378
U.S. Core Equity 2 Portfolio............... 219,125 190,304 19,534
U.S. Vector Equity Portfolio............... 59,483 78,693 (15,431)
U.S. Small Cap Portfolio................... 297,262 152,798 (48,452)
U.S. Micro Cap Portfolio................... 244,035 240,504 (187,877)
U.S. High Relative Profitability Portfolio. 58,408 11,011 (2,008)
DFA Real Estate Securities Portfolio....... 3,840 7,355 (2,646)
90
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. In
addition, the Portfolios received non-cash collateral consisting of short-
and/or long-term U.S. Treasuries and U.S. government agency securities as
follows (amounts in thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
U.S. Large Cap Equity Portfolio............ $ 14,194
U.S. Targeted Value Portfolio.............. 638,557
U.S. Small Cap Value Portfolio............. 678,005
U.S. Core Equity 1 Portfolio............... 814,043
U.S. Core Equity 2 Portfolio............... 883,821
U.S. Vector Equity Portfolio............... 171,676
U.S. Small Cap Portfolio................... 1,212,468
U.S. Micro Cap Portfolio................... 318,112
U.S. High Relative Profitability Portfolio. 9,699
DFA Real Estate Securities Portfolio....... 275,268
Each Portfolio invests the cash collateral, as described below, and records
a liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Portfolio or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, a
Portfolio could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to their stated investment policies, each Portfolio with securities
on loan will generally invest the cash collateral received for the loaned
securities in The 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. 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.
91
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
ENHANCED U.S. LARGE COMPANY PORTFOLIO
Bonds.................................................... $ 1,288 -- -- -- $ 1,288
U.S. LARGE CAP EQUITY PORTFOLIO
Common Stocks............................................ 19,730 -- -- -- 19,730
U.S. TARGETED VALUE PORTFOLIO
Common Stocks, Preferred Stocks.......................... 825,459 -- -- -- 825,459
U.S. SMALL CAP VALUE PORTFOLIO
Common Stocks, Preferred Stocks.......................... 1,062,300 -- -- -- 1,062,300
U.S. CORE EQUITY 1 PORTFOLIO
Common Stocks, Preferred Stocks.......................... 1,249,627 -- -- -- 1,249,627
U.S. CORE EQUITY 2 PORTFOLIO
Common Stocks, Preferred Stocks.......................... 1,381,666 -- -- -- 1,381,666
U.S. VECTOR EQUITY PORTFOLIO
Common Stocks, Preferred Stocks.......................... 287,341 -- -- -- 287,341
U.S. SMALL CAP PORTFOLIO
Common Stocks, Preferred Stocks, Rights/Warrants......... 1,964,649 -- -- -- 1,964,649
U.S. MICRO CAP PORTFOLIO
Common Stocks, Preferred Stocks, Rights/Warrants......... 617,006 -- -- -- 617,006
U.S. HIGH RELATIVE PROFITABILITY PORTFOLIO
Common Stocks............................................ 10,060 -- -- -- 10,060
DFA REAL ESTATE SECURITIES PORTFOLIO
Common Stocks............................................ 317,240 -- -- -- 317,240
L. SHAREHOLDER SERVICING FEES:
The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10%
and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of
their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares.
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.
92
N. IN-KIND REDEMPTIONS:
During the year ended October 31, 2019, the following Portfolio realized net
gains (losses) on in-kind redemptions as follows:
DFA Real Estate Securities Portfolio. $50,622
O. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolios' early adoption of all of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2019.
P. 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
------------ --------------
Enhanced U.S. Large Company Portfolio-Institutional Class....... 3 68%
U.S. Large Cap Equity Portfolio-Institutional Class............. 4 88%
U.S. Large Cap Value Portfolio-Institutional Class.............. 3 70%
U.S. Targeted Value Portfolio-Class R1.......................... 5 91%
U.S. Targeted Value Portfolio-Class R2.......................... 7 85%
U.S. Targeted Value Portfolio-Institutional Class............... 3 58%
U.S. Small Cap Value Portfolio-Institutional Class.............. 4 72%
U.S. Core Equity 1 Portfolio-Institutional Class................ 4 74%
U.S. Core Equity 2 Portfolio-Institutional Class................ 5 81%
U.S. Vector Equity Portfolio-Institutional Class................ 5 83%
U.S. Small Cap Portfolio-Institutional Class.................... 3 55%
U.S. Micro Cap Portfolio-Institutional Class.................... 4 76%
U.S. High Relative Profitability Portfolio-Institutional Class.. 3 90%
DFA Real Estate Securities Portfolio-Institutional Class........ 4 71%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
93
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of Tribune (the "Committee Action," and with the Individual
Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits
seek to unwind the LBO stock repurchases as fraudulent transfers and recover
the stock repurchase proceeds paid to the Tribune shareholders who participated
in the LBO.
On September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lacked standing to pursue their claims. The parties appealed the
Court's dismissal order to the United States Court of Appeals for the Second
Circuit (the "Second Circuit") and on March 29, 2016, the Second Circuit
affirmed the dismissal, albeit on the grounds that the individual creditor
plaintiffs' claims were preempted by the Bankruptcy Code's safe harbor for
securities transactions. The individual creditor plaintiffs filed a petition
for certiorari with the Supreme Court of the United States (the "Supreme
Court"), seeking review of the Second Circuit's ruling. Thereafter, the
individual creditor plaintiffs moved the Second Circuit to review its prior
ruling in light of the Supreme Court's decision in MERIT MANAGEMENT GROUP, LP
v. FTI CONSULTING, INC., 138 S.Ct. 883 (2018) ("Merit Mgmt."), which addressed
the scope of the Bankruptcy Code's safe harbor for securities transactions. The
Second Circuit agreed to review the matter and withdrew its mandate with
respect to the affirmance of the dismissal order. Consequently, the Supreme
Court dismissed the individual creditor plaintiffs' petition for certiorari.
The Second Circuit's review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee moved for
leave from the Court to file an amended complaint to assert new constructive
fraudulent transfer claims against the shareholder defendants in light of the
Merit Mgmt. decision. The Court denied the motion, ruling that the proposed
amendment would unduly prejudice the shareholder defendants and would be futile
because the Trustee's proposed constructive fraudulent transfer claims would be
barred by the Bankruptcy Code's safe harbor for securities transactions,
notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court's
dismissal order and order denying the Trustee's motion for leave to amend to
the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible to predict with
any reasonable certainty the probable outcome of the Lawsuits or quantify the
ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits.
Until The U.S. Large Cap Value Series can do so, no reduction of the net asset
value of The U.S. Large Cap Value Series will be made relating to the Lawsuits.
However, even if the plaintiffs in the Lawsuits were to obtain the full
recovery the plaintiffs seek, the amount would be less than 1% of the net asset
value of The U.S. Large Cap Value Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
Q. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
94
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity
Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S.
Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2
Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro
Cap Portfolio, DFA Real Estate Securities Portfolio, U.S. High Relative
Profitability Portfolio
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 Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, U.S.
Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value
Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S.
Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio,
DFA Real Estate Securities Portfolio, U.S. High Relative Profitability
Portfolio (twelve 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 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 periods indicated therein (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 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 periods indicated therein in conformity with
accounting principles generally accepted in the United States of America.
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
(PCAOB) and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 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.
95
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
DFA Real Estate Securities Portfolio September 27, 2019.. 0% 0% 100%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
96
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA COMMODITY STRATEGY PORTFOLIO VS.
BLOOMBERG COMMODITY TOTAL RETURN INDEX
NOVEMBER 9, 2010-OCTOBER 31, 2019
[CHART]
DFA Commodity Strategy Bloomberg Commodity Total Return
Portfolio Index
-------------------------------- ----------------------------------
11/9/2010 $10,000 $10,000
11/30/2010 9,480 9,414
12/31/2010 10,464 10,420
1/31/2011 10,584 10,525
2/28/2011 10,804 10,664
3/31/2011 11,010 10,884
4/30/2011 11,440 11,261
5/31/2011 10,889 10,691
6/30/2011 10,337 10,152
7/31/2011 10,678 10,452
8/31/2011 10,788 10,557
9/30/2011 9,187 9,001
10/31/2011 9,798 9,597
11/30/2011 9,538 9,384
12/31/2011 9,199 9,032
1/31/2012 9,480 9,256
2/29/2012 9,752 9,506
3/31/2012 9,360 9,112
4/30/2012 9,299 9,074
5/31/2012 8,494 8,245
6/30/2012 8,889 8,698
7/31/2012 9,494 9,261
8/31/2012 9,676 9,381
9/30/2012 9,840 9,541
10/31/2012 9,497 9,171
11/30/2012 9,547 9,176
12/31/2012 9,321 8,937
1/31/2013 9,544 9,151
2/28/2013 9,169 8,777
3/31/2013 9,229 8,836
4/30/2013 8,996 8,590
5/31/2013 8,763 8,397
6/30/2013 8,304 8,001
7/31/2013 8,436 8,110
8/31/2013 8,730 8,386
9/30/2013 8,529 8,172
10/31/2013 8,438 8,051
11/30/2013 8,397 7,987
12/31/2013 8,473 8,086
1/31/2014 8,565 8,110
2/28/2014 9,156 8,616
3/31/2014 9,200 8,651
4/30/2014 9,435 8,862
5/31/2014 9,200 8,607
6/30/2014 9,271 8,658
7/31/2014 8,822 8,227
8/31/2014 8,750 8,141
9/30/2014 8,208 7,634
10/31/2014 8,178 7,573
11/30/2014 7,789 7,265
12/31/2014 7,234 6,711
1/31/2015 7,028 6,486
2/28/2015 7,203 6,654
3/31/2015 6,853 6,312
4/30/2015 7,234 6,674
5/31/2015 7,028 6,494
6/30/2015 7,141 6,606
7/31/2015 6,378 5,904
8/31/2015 6,306 5,850
9/30/2015 6,120 5,650
10/31/2015 6,120 5,625
11/30/2015 5,686 5,217
12/31/2015 5,509 5,056
1/31/2016 5,437 4,971
2/29/2016 5,364 4,890
3/31/2016 5,611 5,077
4/30/2016 6,056 5,509
5/31/2016 6,046 5,499
6/30/2016 6,334 5,726
7/31/2016 6,044 5,433
8/31/2016 5,930 5,337
9/30/2016 6,124 5,505
10/31/2016 6,104 5,478
11/30/2016 6,156 5,551
12/31/2016 6,268 5,651
1/31/2017 6,299 5,659
2/28/2017 6,341 5,670
3/31/2017 6,176 5,519
4/30/2017 6,103 5,436
5/31/2017 6,019 5,364
6/30/2017 6,011 5,354
7/31/2017 6,159 5,475
8/31/2017 6,190 5,497
9/30/2017 6,170 5,489
10/31/2017 6,296 5,606
11/30/2017 6,254 5,581
12/31/2017 6,439 5,747
1/31/2018 6,547 5,861
2/28/2018 6,482 5,760
3/31/2018 6,439 5,724
4/30/2018 6,590 5,872
5/31/2018 6,698 5,955
6/30/2018 6,450 5,747
7/31/2018 6,320 5,624
8/31/2018 6,212 5,525
9/30/2018 6,305 5,631
10/31/2018 6,143 5,509
11/30/2018 6,089 5,478
12/31/2018 5,717 5,101
1/31/2019 6,013 5,379
2/28/2019 6,112 5,433
3/31/2019 6,113 5,423
4/30/2019 6,091 5,401 Past performance is not
5/31/2019 5,850 5,219 predictive of future
6/30/2019 5,999 5,359 performance.
7/31/2019 5,965 5,323
8/31/2019 5,833 5,200 The returns shown do not
9/30/2019 5,888 5,261 reflect the deduction of
10/31/2019 6,021 5,367 taxes that a shareholder
would pay on fund
distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
---------------------------------------------------------------- Data provided by
-1.99% -5.94% -5.50% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
97
MANAGEMENT'S DISCUSSION AND ANALYSIS
COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
For the 12 months ended October 31, 2019, the Bloomberg Commodity Index
Total Return returned -2.58%. Precious metals and industrial metals returned
24.13% and 5.49%, respectively. Sectors with negative returns included energy,
agriculture, and livestock, which returned -15.70%, -5.29%, and -4.15%,
respectively.
DFA COMMODITY STRATEGY PORTFOLIO
The DFA Commodity Strategy Portfolio seeks total return consisting of
capital appreciation and current income. The Portfolio generally invests in
commodity-linked derivative instruments and fixed income investments. The
Portfolio, through its wholly owned subsidiary, Dimensional Cayman Commodity
Fund I LTD, gains exposure to commodities markets by investing in derivative
instruments such as commodity swap contracts, commodity futures, and other
commodity-linked instruments. In pursuing the fixed income portion of the
Portfolio's investment strategy, Dimensional identifies a broadly diversified
universe of eligible U.S. and foreign fixed income securities with defined
maturity ranges and credit quality characteristics and then seeks to purchase a
broad and diverse portfolio of securities meeting credit quality standards. The
investment strategy uses a variable maturity approach and shifts maturities
based on changes in the yield curve. The strategy uses current yields and
identifies favorable maturity ranges of expected returns based on potential buy
and sell strategies.
The Portfolio, through the Dimensional Cayman Commodity Fund I LTD, gained
exposure to commodities primarily through the use of commodity swap contracts.
To a lesser extent, the Portfolio gained exposure to commodities through the
use of commodity futures contracts. The Portfolio's commodity swaps provided
exposure to the 23 commodities included in the benchmark. For the period, the
average duration of the Portfolio's fixed income securities decreased to 0.46
years.
For the 12 months ended October 31, 2019, total returns were -1.99% for the
Portfolio and -2.58% for the Bloomberg Commodity Index Total Return. The
collateral component of the Portfolio had a longer duration than the
three-month U.S. Treasury bill rate payable in the commodity swap contract. As
such, the Portfolio's longer duration contributed positively to performance
relative to the benchmark, as term premiums were generally positive. Varying
the expirations of the individual commodity contracts contributed positively to
the Portfolio's performance relative to the benchmark, while varying the
commodity weights and pre-rolling the commodity contracts detracted from
relative performance.
98
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table is 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 TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- -------- ---------- ----------
DFA COMMODITY STRATEGY PORTFOLIO
Actual Fund Return............... $1,000.00 $988.40 0.33% $1.65
99
CONSOLIDATED 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 $1,023.54 0.33% $1.68
(1)DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity
Fund I, LTD. The expenses shown reflect the consolidated expenses of
Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy
Portfolio. Expenses are equal to the fund's annualized expense ratio for the
six-month period, multiplied by the average account value over the period,
multiplied by the number of days in the most recent six-month period (184),
then divided by the number of days in the year (365) to reflect the
six-month period.
100
DFA INVESTMENT DIMENSIONS GROUP INC.
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters 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.
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart, or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DFA COMMODITY STRATEGY PORTFOLIO
Corporate.............. 26.4%
Government............. 42.9%
Foreign Corporate...... 15.2%
Foreign Government..... 13.6%
Supranational.......... 1.9%
-----
100.0%
101
DFA COMMODITY STRATEGY PORTFOLIO
CONSOLIDATED SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (54.9%)
AUSTRALIA -- (2.2%)
Australia & New Zealand Banking Group, Ltd.
(r) 3.018%, 11/23/21................................................. 2,000 $ 2,023,121
Commonwealth Bank of Australia
(Omega) 2.250%, 03/10/20................................................. 2,297 2,299,676
2.300%, 03/12/20................................................. 3,000 3,004,226
# 5.000%, 03/19/20................................................. 5,000 5,057,051
2.400%, 11/02/20................................................. 1,746 1,755,244
Macquarie Group, Ltd.
(Omega) 6.250%, 01/14/21................................................. 4,842 5,068,965
National Australia Bank, Ltd.
(Omega) 2.400%, 12/09/19................................................. 9,500 9,505,225
2.125%, 05/22/20................................................. 745 745,990
2.625%, 07/23/20................................................. 4,052 4,075,089
Westpac Banking Corp.
2.100%, 05/13/21................................................. 1,000 1,003,615
-----------
TOTAL AUSTRALIA........................................................... 34,538,202
-----------
BELGIUM -- (1.5%)
Dexia Credit Local SA
1.875%, 01/29/20................................................. 5,000 4,999,589
0.200%, 03/16/21................................................. EUR 16,250 18,264,368
-----------
TOTAL BELGIUM............................................................. 23,263,957
-----------
CANADA -- (14.7%)
Alimentation Couche-Tard, Inc.
3.319%, 11/01/19................................................. CAD 4,800 3,644,480
Bank of Montreal
(r) 2.922%, 08/27/21................................................. 12,203 12,336,013
Canada Housing Trust No 1
(Omega) 1.450%, 06/15/20................................................. CAD 46,000 34,873,525
CPPIB Capital, Inc.
1.400%, 06/04/20................................................. CAD 6,000 4,547,491
Province of Alberta Canada
1.900%, 12/06/19................................................. 5,000 4,998,900
1.250%, 06/01/20................................................. CAD 39,000 29,533,224
Province of British Columbia Canada
3.700%, 12/18/20................................................. CAD 25,000 19,401,906
Province of Ontario Canada
4.200%, 06/02/20................................................. CAD 39,000 30,034,234
4.000%, 06/02/21................................................. CAD 5,759 4,530,069
Province of Quebec Canada
4.500%, 12/01/20................................................. CAD 45,000 35,175,575
Royal Bank of Canada
1.920%, 07/17/20................................................. CAD 5,000 3,797,396
2.030%, 03/15/21................................................. CAD 20,000 15,196,720
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Toronto-Dominion Bank (The)
2.563%, 06/24/20................................................. CAD 39,000 $ 29,742,571
------------
TOTAL CANADA............................................................... 227,812,104
------------
DENMARK -- (0.4%)
Danske Bank A.S.
(Omega) 2.800%, 03/10/21................................................. 5,400 5,443,002
------------
FRANCE -- (0.9%)
BNP Paribas SA
2.375%, 05/21/20................................................. 2,720 2,727,158
BPCE SA
2.650%, 02/03/21................................................. 330 332,339
Credit Agricole SA
2.750%, 06/10/20................................................. 1,000 1,004,017
Orange SA
1.625%, 11/03/19................................................. 2,000 2,000,000
Sanofi
0.875%, 09/22/21................................................. EUR 5,000 5,683,790
Societe Generale SA
2.625%, 09/16/20................................................. 2,000 2,010,741
------------
TOTAL FRANCE............................................................... 13,758,045
------------
GERMANY -- (1.0%)
BMW US Capital LLC
(Omega) 2.000%, 04/11/21................................................. 3,000 3,005,735
Daimler Finance North America LLC
#(Omega) 2.250%, 03/02/20................................................. 2,925 2,927,711
(Omega) 2.700%, 08/03/20................................................. 3,060 3,075,334
Deutsche Bank AG
# 2.950%, 08/20/20................................................. 3,618 3,625,215
EMD Finance LLC
(Omega) 2.400%, 03/19/20................................................. 1,150 1,150,749
Volkswagen Group of America Finance LLC
(Omega) 2.400%, 05/22/20................................................. 2,000 2,003,240
------------
TOTAL GERMANY.............................................................. 15,787,984
------------
JAPAN -- (1.5%)
American Honda Finance Corp.
(r) 2.391%, 02/12/21................................................. 6,000 5,998,582
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21................................................. 882 892,350
Mizuho Financial Group, Inc.
2.632%, 04/12/21................................................. 2,000 2,014,621
102
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
JAPAN -- (Continued)
Sumitomo Mitsui Banking Corp.
# 2.650%, 07/23/20................................................. 2,250 $ 2,260,768
Toyota Motor Credit Corp.
(r) 2.281%, 04/13/21................................................. 12,000 12,018,372
-----------
TOTAL JAPAN............................................................... 23,184,693
-----------
NETHERLANDS -- (0.2%)
BNG Bank NV
2.500%, 02/28/20................................................. 1,800 1,802,927
Shell International Finance BV
1.875%, 05/10/21................................................. 1,263 1,264,236
-----------
TOTAL NETHERLANDS......................................................... 3,067,163
-----------
SPAIN -- (1.4%)
Santander Holdings USA, Inc.
# 2.650%, 04/17/20................................................. 4,992 5,005,366
Santander UK Group Holdings P.L.C.
2.875%, 10/16/20................................................. 4,000 4,017,024
# 3.125%, 01/08/21................................................. 1,808 1,825,074
Telefonica Emisiones SA
5.462%, 02/16/21................................................. 8,000 8,346,365
Telefonica Emisiones SAU
5.134%, 04/27/20................................................. 2,200 2,232,270
-----------
TOTAL SPAIN............................................................... 21,426,099
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.8%)
Asian Development Bank
1.375%, 06/11/20................................................. CAD 8,307 6,293,541
Council Of Europe Development Bank
1.750%, 11/14/19................................................. 7,000 6,999,720
European Investment Bank
1.125%, 02/18/20................................................. CAD 20,020 15,170,573
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.............................. 28,463,834
-----------
SWEDEN -- (2.8%)
Kommuninvest I Sverige AB
1.000%, 09/15/21................................................. SEK 350,000 36,880,667
Svenska Handelsbanken AB
(Omega) 5.125%, 03/30/20................................................. 6,708 6,796,644
-----------
TOTAL SWEDEN.............................................................. 43,677,311
-----------
SWITZERLAND -- (0.7%)
Credit Suisse AG
3.000%, 10/29/21................................................. 1,500 1,529,232
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWITZERLAND -- (Continued)
Nestle Finance International, Ltd.
2.125%, 09/10/21................................................. EUR 2,875 $ 3,343,968
UBS AG Stamford CT
2.350%, 03/26/20................................................. 6,000 6,010,793
-----------
TOTAL SWITZERLAND.................................................... 10,883,993
-----------
UNITED KINGDOM -- (2.2%)
Barclays P.L.C.
# 2.875%, 06/08/20................................................. 5,000 5,014,300
3.250%, 01/12/21................................................. 1,085 1,096,774
HSBC USA, Inc.
2.750%, 08/07/20................................................. 6,725 6,776,088
Lloyds Banking Group P.L.C.
3.100%, 07/06/21................................................. 1,000 1,016,596
United Kingdom Treasury Bill
0.000%, 11/25/19................................................. GBP 15,000 19,421,669
-----------
TOTAL UNITED KINGDOM................................................. 33,325,427
-----------
UNITED STATES -- (23.6%)
AbbVie, Inc.
2.500%, 05/14/20................................................. 11,317 11,349,894
Allergan Funding SCS
3.000%, 03/12/20................................................. 5,000 5,012,327
Allergan, Inc.
3.375%, 09/15/20................................................. 1,570 1,588,569
American Express Credit Corp.
2.375%, 05/26/20................................................. 1,210 1,212,915
2.600%, 09/14/20................................................. 1,600 1,608,945
American International Group, Inc.
3.375%, 08/15/20................................................. 3,470 3,508,803
6.400%, 12/15/20................................................. 7,000 7,340,358
Amgen, Inc.
2.200%, 05/11/20................................................. 9,990 10,008,560
Anthem, Inc.
4.350%, 08/15/20................................................. 1,128 1,148,545
# 2.500%, 11/21/20................................................. 11,352 11,427,718
Aon Corp.
5.000%, 09/30/20................................................. 1,000 1,027,032
Aon P.L.C.
2.800%, 03/15/21................................................. 3,380 3,407,052
Apple, Inc.
1.900%, 02/07/20................................................. 21,000 21,003,013
Autodesk, Inc.
3.125%, 06/15/20................................................. 1,355 1,362,136
AutoZone, Inc.
2.500%, 04/15/21................................................. 2,045 2,058,007
Bank of America Corp.
2.625%, 10/19/20................................................. 1,010 1,016,751
Best Buy Co., Inc.
# 5.500%, 03/15/21................................................. 6,000 6,218,198
103
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
CA, Inc.
5.375%, 12/01/19................................................. 5,245 $ 5,257,334
Campbell Soup Co.
# 4.250%, 04/15/21................................................. 8,000 8,234,468
Cardinal Health, Inc.
# 4.625%, 12/15/20................................................. 5,150 5,290,733
Caterpillar Financial Services Corp.
(r) 2.338%, 05/15/20................................................. 5,000 5,003,685
(r) 2.349%, 03/15/21................................................. 3,000 3,002,532
(r) 2.382%, 09/07/21................................................. 1,800 1,800,522
Celgene Corp.
2.875%, 02/19/21................................................. 10,000 10,107,155
Chevron Corp.
2.193%, 11/15/19................................................. 15,000 15,001,800
Citigroup, Inc.
2.650%, 10/26/20................................................. 2,575 2,592,907
2.700%, 03/30/21................................................. 2,234 2,255,674
Citizens Bank NA
# 2.550%, 05/13/21................................................. 8,000 8,063,040
Comcast Corp.
(r) 2.539%, 10/01/21................................................. 1,800 1,809,594
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20................................................. 2,000 2,015,528
Eastman Chemical Co.
2.700%, 01/15/20................................................. 1,207 1,207,908
Enterprise Products Operating LLC
5.200%, 09/01/20................................................. 3,839 3,938,970
Eversource Energy
2.500%, 03/15/21................................................. 4,556 4,583,598
Exelon Corp.
2.850%, 06/15/20................................................. 1,205 1,210,420
Exelon Generation Co. LLC
4.000%, 10/01/20................................................. 4,282 4,338,432
Fidelity National Information Services, Inc.
3.625%, 10/15/20................................................. 1,214 1,230,954
2.250%, 08/15/21................................................. 4,325 4,339,893
Fifth Third Bancorp
2.875%, 07/27/20................................................. 1,250 1,257,587
General Electric Co.
4.375%, 09/16/20................................................. 7,000 7,135,610
General Motors Financial Co., Inc.
# 3.150%, 01/15/20................................................. 7,000 7,009,464
4.200%, 03/01/21................................................. 500 511,448
Goldman Sachs Group, Inc. (The)
2.300%, 12/13/19................................................. 600 600,040
# 2.600%, 04/23/20................................................. 2,075 2,080,816
6.000%, 06/15/20................................................. 6,320 6,475,900
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Harley-Davidson Financial Services, Inc.
(Omega) 2.150%, 02/26/20................................................. 585 $ 584,595
2.400%, 06/15/20................................................. 2,600 2,599,810
(Omega) 2.850%, 01/15/21................................................. 6,000 6,024,210
Hewlett Packard Enterprise Co.
3.600%, 10/15/20................................................. 12,000 12,160,963
Huntington National Bank
2.875%, 08/20/20................................................. 2,000 2,012,984
Integrys Holding, Inc.
4.170%, 11/01/20................................................. 4,060 4,145,955
Intercontinental Exchange, Inc.
2.750%, 12/01/20................................................. 2,229 2,247,813
JPMorgan Chase & Co.
4.350%, 08/15/21................................................. 750 782,134
Keurig Dr Pepper, Inc.
3.200%, 11/15/21................................................. 630 639,411
KeyCorp
2.900%, 09/15/20................................................. 3,128 3,153,806
Kraft Heinz Foods Co.
# 2.800%, 07/02/20................................................. 1,909 1,913,985
Kroger Co. (The)
2.950%, 11/01/21................................................. 2,334 2,373,416
L3Harris Technologies, Inc.
2.700%, 04/27/20................................................. 1,205 1,206,996
Lam Research Corp.
2.750%, 03/15/20................................................. 1,098 1,100,162
LG&E & KU Energy LLC
3.750%, 11/15/20................................................. 1,244 1,259,231
Liberty Mutual Group, Inc.
5.000%, 06/01/21................................................. 980 1,016,376
LyondellBasell Industries NV
6.000%, 11/15/21................................................. 5,000 5,337,876
Marriott International, Inc.
# 2.875%, 03/01/21................................................. 1,000 1,011,137
Marsh & McLennan Cos. Inc.
4.800%, 07/15/21................................................. 1,526 1,584,264
Merck & Co., Inc.
# 1.850%, 02/10/20................................................. 13,744 13,744,409
Microsoft Corp.
1.850%, 02/12/20................................................. 7,000 7,001,085
Molson Coors Brewing Co.
2.250%, 03/15/20................................................. 12,857 12,861,174
Mylan N.V.
3.150%, 06/15/21................................................. 1,214 1,229,584
National Rural Utilities Cooperative Finance Corp.
(r) 2.479%, 06/30/21................................................. 1,800 1,805,877
NBCUniversal Enterprise, Inc.
(r)(Omega) 2.499%, 04/01/21................................................. 1,500 1,505,040
NetApp, Inc.
3.375%, 06/15/21................................................. 4,880 4,971,389
104
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED STATES -- (Continued)
Occidental Petroleum Corp.
4.100%, 02/01/21................................................. 650 $ 662,502
Omnicom Group, Inc. / Omnicom Capital, Inc.
4.450%, 08/15/20................................................. 1,314 1,338,514
Philip Morris International, Inc.
2.000%, 02/21/20................................................. 1,116 1,116,230
# 2.900%, 11/15/21................................................. 5,159 5,243,577
PNC Bank NA
2.300%, 06/01/20................................................. 2,000 2,004,071
2.600%, 07/21/20................................................. 4,116 4,134,177
Progressive Corp. (The)
3.750%, 08/23/21................................................. 714 738,426
Regions Financial Corp.
3.200%, 02/08/21................................................. 4,400 4,459,957
Roper Technologies, Inc.
3.000%, 12/15/20................................................. 5,070 5,123,310
Sempra Energy
2.850%, 11/15/20................................................. 6,000 6,040,187
Southern Power Co.
2.375%, 06/01/20................................................. 1,645 1,648,198
Southwest Airlines Co.
2.750%, 11/06/19................................................. 5,480 5,480,143
UnitedHealth Group, Inc.
# 2.125%, 03/15/21................................................. 2,905 2,916,702
Verizon Communications, Inc.
4.600%, 04/01/21................................................. 2,500 2,594,042
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19................................................. 470 470,100
Walmart, Inc.
# 2.850%, 06/23/20................................................. 12,858 12,949,816
Wells Fargo & Co.
2.550%, 12/07/20................................................. 1,450 1,460,602
# 4.600%, 04/01/21................................................. 3,400 3,521,722
Xcel Energy, Inc.
# 2.400%, 03/15/21................................................. 2,622 2,636,852
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20................................................. 1,021 1,023,051
------------
TOTAL UNITED STATES.................................................. 366,490,696
------------
TOTAL BONDS.......................................................... 851,122,510
------------
FACE
AMOUNT^ VALUE+
------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (41.1%)
U.S. Treasury Bills
1.282%, 11/12/19................................................. 100,000 $ 99,953,703
0.000%, 11/26/19................................................. 53,000 52,942,982
1.419%, 12/10/19................................................. 25,000 24,959,596
U.S. Treasury Notes
1.875%, 12/31/19................................................. 20,000 20,001,742
~(double left angle quote) 1.625%, 07/31/20................................................. 22,000 22,004,297
(r) 1.682%, 10/31/20................................................. 11,000 10,987,308
(r)~ 1.752%, 01/31/21................................................. 190,900 190,684,718
(r)~ 1.776%, 04/30/21................................................. 217,000 216,721,303
--------------
TOTAL U.S. TREASURY OBLIGATIONS.............................................................. 638,255,649
--------------
TOTAL INVESTMENT SECURITIES (Cost $1,490,065,061)............................................ 1,489,378,159
--------------
COMMERCIAL PAPER -- (3.7%)
Cigna Corp.
(Omega) 1.884%, 01/23/20................................................. 3,000 2,985,202
NRW Bank
(Omega) 1.898%, 02/27/20................................................. 25,000 24,851,333
Pfizer, Inc.
(Omega) 1.888%, 03/02/20................................................. 30,000 29,818,165
--------------
TOTAL COMMERCIAL PAPER....................................................................... 57,654,700
--------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.3%)
@(S) The DFA Short Term Investment Fund............................... 435,131 5,034,901
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,552,746,120).......................................... $1,552,067,760
==============
As of October 31, 2019, DFA Commodity Strategy Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying consolidated financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- --------------- --------------------------------------- ---------- --------------
GBP 14,980,590 USD 19,297,397 State Street Bank and Trust 11/01/19 $107,714
SEK 358,449,517 USD 36,859,434 State Street Bank and Trust 11/01/19 263,666
105
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ------------------- ----------------------------- ---------- --------------
USD 15,286,731 CAD 19,983,535 Citibank, N.A. 01/06/20 $ 108,220
-----------
TOTAL APPRECIATION $ 479,600
CAD 1,223,799 USD 938,017 National Australia Bank Ltd. 01/06/20 $ (8,480)
USD 18,584,208 GBP 14,980,590 Citibank, N.A. 11/01/19 (820,902)
USD 36,945,404 SEK 358,449,517 National Australia Bank Ltd. 11/01/19 (177,697)
USD 19,344,396 GBP 14,991,675 State Street Bank and Trust 12/27/19 (110,865)
USD 36,879,483 SEK 357,552,664 State Street Bank and Trust 12/27/19 (268,885)
USD 111,206,959 CAD 148,139,758 Citibank, N.A. 01/03/20 (1,311,923)
USD 105,466,955 CAD 139,306,935 Citibank, N.A. 01/06/20 (343,749)
USD 27,455,061 EUR 24,546,923 JP Morgan 01/16/20 (64,298)
-----------
TOTAL (DEPRECIATION) $(3,106,799)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $(2,627,199)
===========
As of October 31, 2019, DFA Commodity Strategy Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
CBOT Corn Futures................................. 75 12/13/19 $ 1,405,506 $ 1,462,500 $ 56,994
CBOT Soybean Futures.............................. 32 01/14/20 1,510,068 1,491,600 (18,468)
CBOT Soybean Meal Futures......................... 26 01/14/20 813,169 797,940 (15,229)
CBOT Soybean Oil Futures.......................... 44 01/14/20 792,006 817,608 25,602
CBOT Wheat Futures................................ 30 12/13/19 720,977 763,124 42,147
CME Lean Hogs Futures............................. 18 12/13/19 469,283 475,200 5,917
CME Live Cattle Futures........................... 20 12/31/19 848,091 937,800 89,709
COMEX Copper Futures.............................. 27 12/27/19 1,732,722 1,780,650 47,928
COMEX Gold 100 Troy Oz. Futures................... 23 12/27/19 3,531,411 3,484,040 (47,371)
COMEX Silver Futures.............................. 12 12/27/19 1,095,037 1,084,020 (11,017)
ICE Brent Crude Oil Futures....................... 31 11/29/19 1,821,145 1,848,220 27,075
ICE Gasoil Futures................................ 12 01/10/20 685,829 674,100 (11,729)
KCBT Hard Red Winter Wheat Futures................ 13 12/13/19 265,433 272,838 7,405
LME Nickel Futures................................ 26 11/18/19 2,408,212 2,603,796 195,584
LME Nickel Futures................................ 13 01/13/20 1,376,696 1,300,338 (76,358)
LME Primary Aluminium Futures..................... 30 01/13/20 1,294,504 1,314,000 19,496
LME Primary Aluminium Futures..................... 61 11/20/19 2,683,975 2,686,288 2,313
LME Zinc Futures.................................. 33 11/20/19 1,893,873 2,083,125 189,252
LME Zinc Futures.................................. 16 01/13/20 973,544 997,400 23,856
NYBOT CSC 'C' Coffee Futures...................... 16 12/18/19 580,424 611,700 31,276
NYBOT CSC No. 11 World Sugar Futures.............. 54 02/28/20 753,025 754,790 1,765
NYBOT CTN No. 2 Cotton Futures.................... 9 12/06/19 269,101 289,980 20,879
NYMEX Henry Hub Natural Gas Futures............... 71 12/27/19 1,857,912 1,939,720 81,808
NYMEX Light Sweet Crude Oil Futures............... 38 12/19/19 1,987,501 2,061,500 73,999
NYMEX NY Harbor ULSD Futures...................... 7 12/31/19 548,395 549,280 885
NYMEX Reformulated Gasoline Blend Futures......... 10 12/31/19 632,232 660,156 27,924
----------- ----------- --------
TOTAL............................................. $32,950,071 $33,741,713 $791,642
SHORT POSITION CONTRACTS:
LME Nickel Futures................................ (26) 11/18/19 (2,634,962) (2,603,796) 31,166
LME Nickel Futures................................ (3) 01/13/20 (302,657) (300,078) 2,579
LME Primary Aluminium Futures..................... (7) 01/13/20 (305,695) (306,600) (905)
LME Primary Aluminium Futures..................... (61) 11/20/19 (2,674,844) (2,686,287) (11,443)
106
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE MARKET VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ------------ --------------
LME Zinc Futures.................................. (4) 01/13/20 $ (251,583) $ (249,350) $ 2,233
LME Zinc Futures.................................. (33) 11/20/19 (1,951,064) (2,083,125) (132,061)
----------- ----------- ---------
TOTAL............................................. $(8,120,805) $(8,229,236) $(108,431)
----------- ----------- ---------
TOTAL FUTURES CONTRACTS........................... $24,829,266 $25,512,477 $ 683,211
=========== =========== =========
As of October 31, 2019, DFA Commodity Strategy Portfolio had entered into the
following outstanding Total Return Swaps:
PAYMENTS
RECEIVED UPFRONT UPFRONT UNREALIZED
REFERENCE NOTIONAL (PAID) BY EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
ENTITY* COUNTERPARTY AMOUNT THE FUND** DATE PAID RECEIVED VALUE (DEPRECIATION)
--------- --------------- --------------- ------------- ---------- -------- -------- ----------- --------------
BofA Merrill
Lynch
Commodity
MLBXPPDM 3 Month USD
Total UST 13-Week
Return Bill High
Index (1) Bank of America Discount Rate
Corp. USD 224,291,274 plus 0.14% 12/20/19 -- -- $(1,267,452) $(1,267,452)
BofA Merrill
Lynch 3 Month USD
Total UST 13-Week
Return Bill High
Index (2) Bank of America Discount Rate
Corp. USD 161,121,229 plus 0.19% 12/20/19 -- -- (980,772) (980,772)
Citi
Commodities 3 Month USD
Pre-Roll UST 13-Week
RS Total Bill High
Return Discount Rate
Index (3) Citibank, N.A. USD 218,795,200 plus 0.19% 12/20/19 -- -- (1,330,186) (1,330,186)
Citi Custom 3 Month USD
CIVICS H UST 13-Week
Total Bill High
Return Discount Rate
Index (4) Citibank, N.A. USD 169,006,271 plus 0.14% 12/20/19 -- -- (955,095) (955,095)
Credit Suisse 3 Month USD
Custom UST 13-Week
141 Total Bill High
Return Discount Rate
Index (5) Credit Suisse USD 260,365,291 plus 0.18% 11/25/19 -- -- (1,543,292) (1,543,292)
Credit Suisse 3 Month USD
Custom 57 UST 13-Week
Total Bill High
Return Discount Rate
Index (6) Credit Suisse USD 118,650,262 plus 0.14% 11/25/19 -- -- (653,298) (653,298)
UBS 3 Month USD
UBSIB190 UST 13-Week
Custom Bill High
Strategy (7) Discount Rate
UBS AG USD 404,785,204 plus 0.14% 01/31/20 -- -- (2,072,884) (2,072,884)
-- -- ----------- -----------
TOTAL -- -- $(8,802,979) $(8,802,979)
== == =========== ===========
* Portfolio receives the price appreciation of the reference entity at
maturity.
** Payments received (paid) by the Fund are exchanged at maturity.
107
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
(1) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.08% 18,092,374
ICE Brent Crude Oil Futures 7.08% 15,885,218
NYMEX Reformulated Gasoline Blend Futures 2.52% 5,661,688
ICE Gasoil Futures 2.57% 5,767,960
NYMEX NY Harbor ULSD Futures 2.16% 4,842,871
NYMEX Henry Hub Natural Gas Futures 7.51% 16,852,590
CBOT Soybean Futures 5.76% 12,920,704
CBOT Soybean Oil Futures 3.20% 7,168,392
CBOT Soybean Meal Futures 3.11% 6,972,649
CBOT Corn Futures 5.83% 13,068,169
CBOT Wheat Futures 2.97% 6,650,994
KCBT Hard Red Winter Wheat Futures 1.05% 2,363,825
CME Live Cattle Futures 3.85% 8,637,380
CME Lean Hogs Futures 2.08% 4,657,142
COMEX Gold 100 Troy Oz. Futures 13.69% 30,708,449
COMEX Silver Futures 4.26% 9,558,648
COMEX Copper Futures 6.96% 15,619,100
LME Primary Aluminum Futures 3.89% 8,713,996
LME Nickel Futures 3.84% 8,621,856
LME Zinc Futures 3.02% 6,784,156
NYBOT CSC No. 11 World Sugar Futures 2.94% 6,603,183
NYBOT CSC 'C' Coffee Futures 2.41% 5,407,070
NYBOT CTN No. 2 Cotton Futures 1.22% 2,732,860
-----------
TOTAL NOTIONAL AMOUNT 224,291,274
===========
(2) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.24% 13,260,487
ICE Brent Crude Oil Futures 8.79% 14,161,773
NYMEX Reformulated Gasoline Blend Futures 3.06% 4,934,254
ICE Gasoil Futures 3.14% 5,054,222
NYMEX NY Harbor ULSD Futures 2.64% 4,251,572
NYMEX Henry Hub Natural Gas Futures 9.09% 14,645,252
CBOT Soybean Futures 4.71% 7,592,764
CBOT Soybean Oil Futures 2.60% 4,192,226
CBOT Soybean Meal Futures 2.53% 4,080,130
CBOT Corn Futures 4.59% 7,399,808
CBOT Wheat Futures 2.39% 3,846,193
KCBT Hard Red Winter Wheat Futures 0.83% 1,336,428
CME Live Cattle Futures 4.49% 7,236,902
CME Lean Hogs Futures 1.51% 2,432,736
COMEX Gold 100 Troy Oz. Futures 13.85% 22,317,548
COMEX Silver Futures 4.30% 6,923,010
COMEX Copper Futures 7.06% 11,371,207
LME Primary Aluminum Futures 3.95% 6,363,091
LME Nickel Futures 3.90% 6,281,705
LME Zinc Futures 3.07% 4,953,893
NYBOT CSC No. 11 World Sugar Futures 2.40% 3,863,177
108
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYBOT CSC 'C' Coffee Futures 1.88% 3,036,022
NYBOT CTN No. 2 Cotton Futures 0.98% 1,586,829
-----------
TOTAL NOTIONAL AMOUNT 161,121,229
===========
(3) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.24% 18,007,129
ICE Brent Crude Oil Futures 8.79% 19,231,034
NYMEX Reformulated Gasoline Blend Futures 3.06% 6,700,489
ICE Gasoil Futures 3.14% 6,863,401
NYMEX NY Harbor ULSD Futures 2.64% 5,773,438
NYMEX Henry Hub Natural Gas Futures 9.09% 19,887,577
CBOT Soybean Futures 4.71% 10,310,623
CBOT Soybean Oil Futures 2.60% 5,692,850
CBOT Soybean Meal Futures 2.53% 5,540,629
CBOT Corn Futures 4.59% 10,048,598
CBOT Wheat Futures 2.39% 5,222,953
KCBT Hard Red Winter Wheat Futures 0.83% 1,814,808
CME Live Cattle Futures 4.49% 9,827,379
CME Lean Hogs Futures 1.51% 3,303,544
COMEX Gold 100 Troy Oz. Futures 13.85% 30,306,201
COMEX Silver Futures 4.30% 9,401,128
COMEX Copper Futures 7.06% 15,441,575
LME Primary Aluminum Futures 3.95% 8,640,784
LME Nickel Futures 3.90% 8,530,266
LME Zinc Futures 3.07% 6,727,158
NYBOT CSC No. 11 World Sugar Futures 2.40% 5,246,017
NYBOT CSC 'C' Coffee Futures 1.88% 4,122,778
NYBOT CTN No. 2 Cotton Futures 0.98% 2,154,841
-----------
TOTAL NOTIONAL AMOUNT 218,795,200
===========
(4) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.08% 13,632,829
ICE Brent Crude Oil Futures 7.08% 11,969,711
NYMEX Reformulated Gasoline Blend Futures 2.52% 4,266,153
ICE Gasoil Futures 2.57% 4,346,230
NYMEX NY Harbor ULSD Futures 2.16% 3,649,164
NYMEX Henry Hub Natural Gas Futures 7.51% 12,698,637
CBOT Soybean Futures 5.76% 9,735,912
CBOT Soybean Oil Futures 3.20% 5,401,473
CBOT Soybean Meal Futures 3.11% 5,253,978
CBOT Corn Futures 5.83% 9,847,028
CBOT Wheat Futures 2.97% 5,011,607
KCBT Hard Red Winter Wheat Futures 1.05% 1,781,171
CME Live Cattle Futures 3.85% 6,508,373
109
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
CME Lean Hogs Futures 2.08% 3,509,214
COMEX Gold 100 Troy Oz. Futures 13.69% 23,139,199
COMEX Silver Futures 4.26% 7,202,560
COMEX Copper Futures 6.96% 11,769,186
LME Primary Aluminum Futures 3.89% 6,566,104
LME Nickel Futures 3.84% 6,496,676
LME Zinc Futures 3.02% 5,111,946
NYBOT CSC No. 11 World Sugar Futures 2.94% 4,975,581
NYBOT CSC 'C' Coffee Futures 2.41% 4,074,295
NYBOT CTN No. 2 Cotton Futures 1.22% 2,059,244
-----------
TOTAL NOTIONAL AMOUNT 169,006,271
===========
(5) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.24% 21,428,403
ICE Brent Crude Oil Futures 8.79% 22,884,844
NYMEX Reformulated Gasoline Blend Futures 3.06% 7,973,552
ICE Gasoil Futures 3.14% 8,167,415
NYMEX NY Harbor ULSD Futures 2.64% 6,870,365
NYMEX Henry Hub Natural Gas Futures 9.09% 23,666,126
CBOT Soybean Futures 4.71% 12,269,595
CBOT Soybean Oil Futures 2.60% 6,774,466
CBOT Soybean Meal Futures 2.53% 6,593,323
CBOT Corn Futures 4.59% 11,957,785
CBOT Wheat Futures 2.39% 6,215,290
KCBT Hard Red Winter Wheat Futures 0.83% 2,159,613
CME Live Cattle Futures 4.49% 11,694,536
CME Lean Hogs Futures 1.51% 3,931,202
COMEX Gold 100 Troy Oz. Futures 13.85% 36,064,241
COMEX Silver Futures 4.30% 11,187,299
COMEX Copper Futures 7.06% 18,375,403
LME Primary Aluminum Futures 3.95% 10,282,494
LME Nickel Futures 3.90% 10,150,978
LME Zinc Futures 3.07% 8,005,287
NYBOT CSC No. 11 World Sugar Futures 2.40% 6,242,736
NYBOT CSC 'C' Coffee Futures 1.88% 4,906,087
NYBOT CTN No. 2 Cotton Futures 0.98% 2,564,251
-----------
TOTAL NOTIONAL AMOUNT 260,365,291
===========
(6) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.08% 9,570,880
ICE Brent Crude Oil Futures 7.08% 8,403,293
NYMEX Reformulated Gasoline Blend Futures 2.52% 2,995,037
ICE Gasoil Futures 2.57% 3,051,255
NYMEX NY Harbor ULSD Futures 2.16% 2,561,883
110
DFA COMMODITY STRATEGY PORTFOLIO
CONTINUED
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Henry Hub Natural Gas Futures 7.51% 8,915,034
CBOT Soybean Futures 5.76% 6,835,063
CBOT Soybean Oil Futures 3.20% 3,792,085
CBOT Soybean Meal Futures 3.11% 3,688,537
CBOT Corn Futures 5.83% 6,913,072
CBOT Wheat Futures 2.97% 3,518,381
KCBT Hard Red Winter Wheat Futures 1.05% 1,250,465
CME Live Cattle Futures 3.85% 4,569,181
CME Lean Hogs Futures 2.08% 2,463,632
COMEX Gold 100 Troy Oz. Futures 13.69% 16,244,794
COMEX Silver Futures 4.26% 5,056,532
COMEX Copper Futures 6.96% 8,262,516
LME Primary Aluminum Futures 3.89% 4,609,711
LME Nickel Futures 3.84% 4,560,969
LME Zinc Futures 3.02% 3,588,824
NYBOT CSC No. 11 World Sugar Futures 2.94% 3,493,089
NYBOT CSC 'C' Coffee Futures 2.41% 2,860,344
NYBOT CTN No. 2 Cotton Futures 1.22% 1,445,685
-----------
TOTAL NOTIONAL AMOUNT 118,650,262
===========
(7) The following table represents the individual positions within the Total
Return Swap as of October 31, 2019:
REFERENCED COMMODITY -- LONG POSITION
FUTURES CONTRACT % OF INDEX NOTIONAL AMOUNT
---------------- ---------- ---------------
NYMEX Light Sweet Crude Oil Futures 8.08% 32,651,852
ICE Brent Crude Oil Futures 7.08% 28,668,532
NYMEX Reformulated Gasoline Blend Futures 2.52% 10,217,819
ICE Gasoil Futures 2.57% 10,409,611
NYMEX NY Harbor ULSD Futures 2.16% 8,740,075
NYMEX Henry Hub Natural Gas Futures 7.51% 30,414,376
CBOT Soybean Futures 5.76% 23,318,383
CBOT Soybean Oil Futures 3.20% 12,937,012
CBOT Soybean Meal Futures 3.11% 12,583,749
CBOT Corn Futures 5.83% 23,584,518
CBOT Wheat Futures 2.97% 12,003,249
KCBT Hard Red Winter Wheat Futures 1.05% 4,266,065
CME Live Cattle Futures 3.85% 15,588,139
CME Lean Hogs Futures 2.08% 8,404,884
COMEX Gold 100 Troy Oz. Futures 13.69% 55,420,461
COMEX Silver Futures 4.26% 17,250,779
COMEX Copper Futures 6.96% 28,188,258
LME Primary Aluminum Futures 3.89% 15,726,410
LME Nickel Futures 3.84% 15,560,123
LME Zinc Futures 3.02% 12,243,570
NYBOT CSC No. 11 World Sugar Futures 2.94% 11,916,963
NYBOT CSC 'C' Coffee Futures 2.41% 9,758,302
NYBOT CTN No. 2 Cotton Futures 1.22% 4,932,074
-----------
TOTAL NOTIONAL AMOUNT 404,785,204
===========
111
DFA COMMODITY STRATEGY 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
-------- -------------- ------- --------------
Bonds
Australia.............................. -- $ 34,538,202 -- $ 34,538,202
Belgium................................ -- 23,263,957 -- 23,263,957
Canada................................. -- 227,812,104 -- 227,812,104
Denmark................................ -- 5,443,002 -- 5,443,002
France................................. -- 13,758,045 -- 13,758,045
Germany................................ -- 15,787,984 -- 15,787,984
Japan.................................. -- 23,184,693 -- 23,184,693
Netherlands............................ -- 3,067,163 -- 3,067,163
Spain.................................. -- 21,426,099 -- 21,426,099
Supranational Organization Obligations. -- 28,463,834 -- 28,463,834
Sweden................................. -- 43,677,311 -- 43,677,311
Switzerland............................ -- 10,883,993 -- 10,883,993
United Kingdom......................... -- 33,325,427 -- 33,325,427
United States.......................... -- 366,490,696 -- 366,490,696
U.S. Treasury Obligations................. -- 638,255,649 -- 638,255,649
Commercial Paper.......................... -- 57,654,700 -- 57,654,700
Securities Lending Collateral............. -- 5,034,901 -- 5,034,901
Forward Currency Contracts**.............. -- (2,627,199) -- (2,627,199)
Futures Contracts**....................... $683,211 -- -- 683,211
Swap Agreements**......................... -- (8,802,979) -- (8,802,979)
-------- -------------- -- --------------
TOTAL..................................... $683,211 $1,540,637,582 -- $1,541,320,793
======== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
COMMODITY STRATEGY
PORTFOLIO*
------------------
ASSETS:
Investment Securities at Value (including $4,948 of securities on loan,
respectively)................................................................. $ 1,547,033
Collateral from Securities on Loan Invested in Affiliate at Value (including
cost of $5,034)............................................................... 5,035
Foreign Currencies at Value..................................................... 3
Segregated Cash for Swaps Contracts............................................. 19,836
Cash............................................................................ 21,513
Receivables:
Dividends and Interest....................................................... 6,767
Securities Lending Income.................................................... 1
Fund Shares Sold............................................................. 1,202
Futures Margin Variation..................................................... 145
Unrealized Gain on Forward Currency Contracts................................... 480
Prepaid Expenses and Other Assets............................................... 32
--------------
Total Assets............................................................. 1,602,047
--------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............................................. 5,061
Fund Shares Redeemed......................................................... 754
Due to Advisor............................................................... 401
Due to Broker................................................................ 4,670
Unrealized Loss on Swap Contracts............................................... 8,803
Unrealized Loss on Forward Currency Contracts................................... 3,107
Accrued Expenses and Other Liabilities.......................................... 207
--------------
Total Liabilities........................................................ 23,003
--------------
NET ASSETS...................................................................... $ 1,579,044
==============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)......................................... 289,398,899
==============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........................ $ 5.46
==============
Investment Securities at Cost................................................... $ 1,547,712
==============
Foreign Currencies at Cost...................................................... $ 3
==============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 1,574,508
Total Distributable Earnings (Loss)............................................. 4,536
--------------
NET ASSETS...................................................................... $ 1,579,044
==============
(1) NUMBER OF SHARES AUTHORIZED................................................. 1,800,000,000
==============
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
113
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA
COMMODITY STRATEGY
PORTFOLIO#
------------------
INVESTMENT INCOME
Interest...................................................... $ 40,192
Income from Securities Lending................................ 19
---------
Total Investment Income................................... 40,211
---------
EXPENSES
Investment Management Fees.................................... 6,290
Accounting & Transfer Agent Fees.............................. 309
Custodian Fees................................................ 62
Filing Fees................................................... 67
Shareholders' Reports......................................... 116
Directors'/Trustees' Fees & Expenses.......................... 11
Professional Fees............................................. 49
Other......................................................... 92
---------
Total Expenses............................................ 6,996
---------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note D)................... (1,108)
Fees Paid Indirectly (Note D)................................. (16)
---------
Net Expenses.................................................. 5,872
---------
NET INVESTMENT INCOME (LOSS).................................. 34,339
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.............................. (5,105)
Affiliated Investment Companies Shares Sold............... 1
Futures................................................... (7,871)
Swap Contracts............................................ (121,360)
Foreign Currency Transactions............................. 22
Forward Currency Contracts................................ 14,639
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 21,976
Futures................................................... 4,368
Swap Contracts............................................ 19,967
Translation of Foreign Currency-Denominated Amounts....... 17
Forward Currency Contracts................................ (6,022)
---------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... (79,368)
---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $ (45,029)
=========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
114
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA COMMODITY STRATEGY
PORTFOLIO
-----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 34,339 $ 31,518
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................................ (5,105) (20,480)
Affiliated Investment Companies Shares Sold............................... 1 (5)
Futures................................................................... (7,871) 1,465
Swap Contracts............................................................ (121,360) (40,002)
Foreign Currency Transactions............................................. 22 (23)
Forward Currency Contracts................................................ 14,639 19,451
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ 21,976 (15,936)
Affiliated Investment Companies Shares.................................... -- 3
Futures................................................................... 4,368 (6,725)
Swap Contracts............................................................ 19,967 (33,259)
Translation of Foreign Currency-Denominated Amounts....................... 17 17
Forward Currency Contracts................................................ (6,022) 391
----------- ----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ (45,029) (63,585)
----------- ----------
Distributions:
Institutional Class Shares................................................ (36,041) (44,439)
----------- ----------
Total Distributions.................................................... (36,041) (44,439)
----------- ----------
Capital Share Transactions (1):
Shares Issued................................................................. 637,187 851,258
Shares Issued in Lieu of Cash Distributions................................... 32,129 40,250
Shares Redeemed............................................................... (1,005,190) (515,817)
----------- ----------
Net Increase (Decrease) from Capital Share Transactions................ (335,874) 375,691
----------- ----------
Total Increase (Decrease) in Net Assets................................ (416,944) 267,667
NET ASSETS
Beginning of Year............................................................. 1,995,988 1,728,321
----------- ----------
End of Year................................................................... $ 1,579,044 $1,995,988
=========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................. 116,397 142,902
Shares Issued in Lieu of Cash Distributions................................... 5,930 7,068
Shares Redeemed............................................................... (184,535) (87,468)
----------- ----------
Net Increase (Decrease) from Shares Issued and Redeemed................ (62,208) 62,502
=========== ==========
--------
* 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.
115
DFA INVESTMENT DIMENSIONS GROUP INC.
CONSOLIDATED FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA COMMODITY STRATEGY 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.......................... $ 5.68 $ 5.98 $ 5.88 $ 5.93 $ 8.00
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.11 0.10 0.07 0.05 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.22) (0.25) 0.11 (0.07) (2.05)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... (0.11) (0.15) 0.18 (0.02) (2.00)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.11) (0.15) (0.08) (0.03) (0.06)
Net Realized Gains....................................... -- -- -- -- (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.11) (0.15) (0.08) (0.03) (0.07)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 5.46 $ 5.68 $ 5.98 $ 5.88 $ 5.93
========== ========== ========== ========== ==========
Total Return................................................ (1.99%) (2.43%) 3.15% (0.26%) (25.16%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $1,579,044 $1,995,988 $1,728,321 $1,598,097 $1,207,071
Ratio of Expenses to Average Net Assets..................... 0.33% 0.32% 0.33% 0.33% 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.41% 0.39% 0.39% 0.40% 0.40%
Ratio of Net Investment Income to Average Net Assets........ 1.99% 1.61% 1.17% 0.95% 0.77%
Portfolio Turnover Rate..................................... 38% 78% 102% 159% 124%
---------- ---------- ---------- ---------- ----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
116
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, as
amended (the 1940 Act"), whose shares are generally offered, without a sales
charge, to institutional investors, retirement plans and clients of registered
investment advisors. The Fund consists of one hundred and three operational
portfolios, one of which, DFA Commodity Strategy Portfolio (the "Portfolio" ),
is included in this section of the report. The remaining operational portfolios
are presented in separate reports. The Portfolio is an investment company, and
accordingly, follows the accounting and reporting guidance under the Financial
Accounting Standards Board ("FASB") Accounting Standards Certification ("ASC"),
Topic 946, "Financial Services-Investment Companies."
The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I,
LTD. (the "Subsidiary"), a company organized under the laws of the Cayman
Islands. The Subsidiary is not registered as an investment company under the
1940 Act.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolio uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolio are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. These
securities are generally categorized as Level 2 in the hierarchy. Securities
for which quotations are not readily available (including restricted
securities), or for which market quotations have become unreliable, are valued
in good faith at fair value in accordance with procedures adopted by the Board
of Directors of the Fund. Fair value pricing may also be used if events that
have a significant effect on the value of an investment (as determined in the
discretion of Dimensional Fund Advisors LP) occur before the net asset value of
the Portfolio is calculated. When fair value pricing is used, the prices of
securities used by the Portfolio may differ from the quoted or published prices
for the same securities on their primary markets or exchanges. These securities
are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Portfolio are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy. Swap
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is
117
not available from an independent third-party pricing service or source, the
swap agreement will be valued in good faith at fair value in accordance with
procedures adopted by the Board. These securities are generally categorized as
Level 2 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolio's investments by each
major security type, industry and/or country is disclosed previously in this
note. A valuation hierarchy table has been included at the end of the Schedule
of Investments. The methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the 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 this translation, the Portfolio enters into foreign
currency contracts. A foreign currency contract is a spot agreement between two
parties to buy and sell currencies at current market exchange rates, for
settlement generally within two business days. Dividend and interest income and
certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
3. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of 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 securities and foreign currency are
accounted for on the basis of identified cost. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. The Portfolio estimates the character of received
distributions that may be considered return of capital distributions. Interest
income is recorded on an accrual basis. Discount and premium on debt securities
purchased are amortized over the lives of the respective securities, using the
effective interest method. Expenses directly attributable to the Portfolio are
directly charged. Common expenses of the Fund or its portfolios are allocated
using methods approved by the Board, generally based on average net assets.
118
C. BASIS FOR CONSOLIDATION:
The Subsidiary commenced operations on November 9, 2010. The Portfolio
commenced reporting on a consolidated basis as of such commencement date in
accordance with the accounting principles relating to reporting of a
wholly-owned subsidiary. The Portfolio will seek to gain exposure to
commodities, commodities-related instruments, derivatives and other investments
by directly investing in those instruments or through investments in the
Subsidiary. The Subsidiary participates in the same investment goal as the
Portfolio. The Subsidiary pursues its investment goal by investing in
commodities, commodities-related instruments, derivatives and other
investments. The Subsidiary (unlike the Portfolio) may invest without
limitation in these instruments. However, the Subsidiary is otherwise subject
to the same fundamental, non-fundamental and certain other investment
restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's
assets exposed to any particular commodity, derivative or other investment will
vary based on market conditions, but from time to time some exposure could be
substantial.
To the extent of the Portfolio's investment through the Subsidiary, it will
be subject to the risks associated with the commodities, derivatives and other
instruments in which the Subsidiary invests. By investing in the Subsidiary,
the Portfolio is indirectly exposed to the risks associated with the
Subsidiary's investments. The derivatives and other investments held by the
Subsidiary are generally similar to those that are permitted to be held by the
Portfolio and are subject to the same risks that apply to similar investments
if held directly by the Portfolio.
The Subsidiary is classified as a controlled foreign corporation under
Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required
to increase its taxable income by its share of the Subsidiary's income. Net
investment losses of the Subsidiary cannot be deducted by the Portfolio in the
current period nor carried forward to offset taxable income in future periods.
As of October 31, 2019, the Portfolio held a $355,833,036 investment in the
Subsidiary, representing 22.53% of the Portfolio's total net assets. The
accompanying consolidated financial statements include all assets, liabilities,
revenues and expenses of the Portfolio and its wholly-owned Subsidiary.
Intercompany balances and transactions have been eliminated in consolidation.
D. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio. For the year ended October 31, 2019, the investment
management fee was accrued daily and paid monthly to the Advisor based on the
following effective annual rate of average daily net assets:
DFA Commodity Strategy Portfolio. 0.30%
Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
waive all or a portion of the management fee and to assume the expenses of the
Portfolio (including the expenses that the Portfolio bears as a shareholder of
other funds managed by the Advisor but excluding the expenses that the
Portfolio incurs indirectly through investment of its securities lending cash
collateral in The DFA Short Term Investment Fund and its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit the Portfolio Expenses to no more than 0.55% of the
Portfolio's average net assets on an annualized basis (the "Expense Limitation
Amount"). At any time that the Portfolio Expenses of the Portfolio are less
than the Expense Limitation Amount, the Advisor retains the right to seek
reimbursement for any fees previously waived and/or expenses previously assumed
to the extent that the amount of such reimbursement is within thirty-six months
and will not cause the annualized Portfolio Expenses of the Portfolio to exceed
the Expense Limitation Amount. The Portfolio is not obligated to reimburse the
Advisor for fees previously waived or expenses previously assumed by the
Advisor more than thirty-six months before the date of such reimbursement. The
Fee Waiver Agreement for the Portfolio will remain in effect through
February 28, 2020, and may only be terminated by the Fund's Board of Directors
prior to that date. The Fee Waiver Agreement will continue in effect from year
to year thereafter unless terminated by the Fund or the Advisor. Prior year
waived fees and/or assumed expenses can be recaptured only if the expense ratio
following such recapture would be less than the
119
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. As of October 31, 2019, there were no previously waived
fees/expenses assumed subject to future recovery by the Advisor.
The Subsidiary has entered into a separate contract with the Advisor whereby
the Advisor or its affiliates provide investment advisory and other services to
the Subsidiary. For the investment advisory services it provides, the Advisor
is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary's
average net assets on an annualized basis; however, pursuant to a contractual
agreement, the Advisor has agreed to waive the management fee of the Subsidiary.
For the year ended October 31, 2019, approximately $1,108 (in thousands) of
the Subsidiary's management fees were waived pursuant to the Subsidiary fee
waiver agreement.
EARNED INCOME CREDIT:
Additionally, the Portfolio has entered into an arrangement with its
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolio's custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of the
Portfolio's net assets. During the year ended October 31, 2019, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Commodity Strategy Portfolio.. $16
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 the
Portfolio are included in Other Expenses on the Statement of Operations.
E. DEFERRED COMPENSATION:
As of October 31, 2019, the total liability for deferred compensation to
Directors/Trustees is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amount in thousands):
DFA Commodity Strategy Portfolio. $28
F. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Portfolio made the following
purchases and sales of investment securities, other than short-term securities
and in-kind redemptions (amounts in thousands), were as follows:
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ ------------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- --------
DFA Commodity Strategy Portfolio. $462,533 $520,170 $128,585 $799,491
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
120
The amounts presented below may differ from the respective amounts presented
in the corresponding Consolidated Schedule of Investments, Consolidated
Statement of Assets and Liabilities or Consolidated Statement of Operations due
to rounding. The amounts are as follows (amounts in thousands):
CHANGE IN
BALANCE AT NET 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
----------- --------- ---------- ------------ ------------- ----------- ------------ -------- -------------
DFA COMMODITY
STRATEGY PORTFOLIO
The DFA Short Term
Investment Fund $13,866 $497,495 $506,327 $1 -- $5,035 435 $266 --
------- -------- -------- -- ------ ------ --- ---- ------
TOTAL $13,866 $497,495 $506,327 $1 -- $5,035 435 $266 --
======= ======== ======== == ====== ====== === ==== ======
G. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, undistributed net investment income or accumulated net realized gains
or losses, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2019, primarily
attributable to adjustments between financial and tax reporting related to the
Subsidiary, the use of accumulated earnings and profits distributed to
shareholders on redemptions of shares as part of the dividends paid deduction
for tax purposes, reversal of book income/loss from controlled foreign
corporation and net foreign currency gains/losses, were reclassified to the
accounts mentioned above. These reclassifications had no effect on net assets
or net asset value per share.
The tax character of dividends and distributions declared and paid during
the years ended October 31, 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 Commodity Strategy Portfolio
2018............................. $44,438 -- -- $44,438
2019............................. 36,041 -- -- 36,041
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 Commodity Strategy Portfolio. $(2,815) -- $(2,815)
121
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)
-------------- ------------- ------------- -------------- -------------
DFA Commodity Strategy Portfolio........ $12,263 -- $(7,351) $(281) $4,631
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 Commodity Strategy Portfolio........ $7,351 $7,351
During the year ended October 31, 2019, the Portfolio did not use capital
loss carryforwards to offset realized capital gains for federal income tax
purposes.
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 Commodity Strategy Portfolio. $1,552,748 $869,693 $(869,978) $(285)
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
H. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objective and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolio may be inhibited.
122
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio. The Portfolio may gain exposure to commodity markets by
investing up to 25% of the Portfolio's total assets in the Subsidiary. The
Subsidiary may invest without limitation in commodity-linked notes, swap
agreements and other commodity-linked derivative instruments, including futures
contracts on individual commodities or a subset of commodities and options on
commodities. The accompanying consolidated schedule of investments includes
investments of the Portfolio and its wholly-owned Subsidiary.
2. FORWARD CURRENCY CONTRACTS: THE Portfolio may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Portfolio's currency exposure with respect to a foreign market will
be based primarily on the Portfolio's existing exposure to a given foreign
currency. Each contract is valued daily and the change in value is recorded by
the Portfolio as an unrealized gain or loss, which is presented in the
Statement of Operations as the change in unrealized appreciation or
depreciation of forward currency contracts. When the contract is closed or
offset with the same counterparty, the Portfolio records a realized gain or
loss equal to the change in the value of the contract when it was opened and
the value at the time it was closed or offset. This is presented in the
Statement of Operations as a net realized gain or loss on forward currency
contracts.
3. COMMODITY-LINKED DERIVATIVES: The Portfolio and the Subsidiary invest in
commodity-linked derivative instruments, such as swap agreements, commodity
options, futures, options on futures, and structured notes. The prices of
commodity-linked derivative instruments may move in different directions than
investments in traditional equity securities, fixed income securities and
commodity spot prices.
4. SWAP AGREEMENTS: The Portfolio may enter into swap agreements with
respect to commodities, interest rates and indexes of commodities or
securities, specific securities and commodities, and mortgage, credit and
event-linked swaps, and, to the extent the Portfolio may invest in
foreign-currency-denominated securities, the Portfolio may enter into swap
agreements with respect to foreign currencies.
The Portfolio may enter into swap transactions for any legal purpose
consistent with its investment objective and policies, such as for the purpose
of attempting to obtain or preserve a particular return or spread at a lower
cost than obtaining a return or spread through purchases and/or sales of
instruments in other markets, to seek to increase total return (speculation),
to protect against currency fluctuations, as a duration management technique,
to protect against any increase in the price of securities the Portfolio
anticipates purchasing at a later date, or to gain exposure to certain markets
in the most economical way possible.
A swap agreement may be negotiated bilaterally and traded over-the-counter
between the two parties (for an uncleared swap), while other swaps must be
transacted through a futures commission merchant ("FCM") and cleared through a
clearinghouse that serves as a central counterparty (for a cleared swap), and
may be traded on swap execution facilities (exchanges). Swap agreements are
two-party contracts entered into primarily by institutional investors for
periods ranging from a few weeks to more than one year. In a standard "swap"
transaction, two parties agree to exchange the returns (or differentials in
rates of return) earned or realized on particular predetermined investments or
instruments, which may be adjusted for an interest factor. In an uncleared
swap, the swap counterparty is typically a brokerage firm, bank or other
financial institution. In a cleared swap, the Portfolio's ultimate counterparty
is a central clearinghouse rather than a brokerage firm, bank or other
financial institution.
An investment in a commodity swap agreement may involve the exchange of
floating-rate interest payments for the total return on a commodity index. In a
total return commodity swap, the Portfolio will receive the price appreciation
of a commodity index, a portion of the index, or a single commodity in exchange
for paying an agreed-upon fee. The Portfolio may also enter into credit default
swap agreements. The "buyer" in a credit default contract is obligated to pay
the "seller" a periodic stream of payments over the term of the contract
provided that no event of default on an underlying reference obligation
(whether as a single debt instrument or as part of an index of debt
instruments) has occurred. If an event of default occurs, the seller must pay
the buyer the full notional value, or "par value," of the reference obligation
in exchange for the reference obligation. The Portfolio may be either the buyer
or seller in a credit default swap transaction. Credit default swap
transactions involve greater risks than if the Portfolio had invested in the
reference obligation directly.
123
Most swap agreements entered into by the Portfolio will calculate the
obligations of the parties to the agreement on a "net" basis, which means that
the two payment streams are netted out, with the Portfolio receiving or paying,
as the case may be, only the net amount of the two payments. The Portfolio's
current obligations under a swap agreement will be accrued daily (offset
against any amounts owed to the Portfolio) and any accrued but unpaid net
amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio.
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearinghouse, as is the case with cleared swaps. As a result, the
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default, insolvency or bankruptcy of a swap
agreement counterparty beyond any collateral received. In such an event, the
Portfolio will have contractual remedies pursuant to the swap agreements, but
bankruptcy and insolvency laws could affect the Portfolio's rights as a
creditor. The Portfolio will enter into swap agreements only with
counterparties that meet certain standards of creditworthiness as determined by
the Advisor's Investment Committee. To the extent that the Portfolio reasonably
expects a swap cannot be sold or disposed of in current market conditions in
seven calendar days or less without the sale or disposition significantly
changing the market value of investment, the Portfolio will treat the swap as
illiquid and subject to its overall limit on illiquid investments of 15% of the
Portfolio's net assets.
The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and
implementing rules adopted by the Commodity Futures Trading Commission ("CFTC")
currently require the clearing and exchange-trading of the most common types of
credit default index swaps and interest rate swaps, and it is expected that
additional categories of swaps will in the future be designated as subject to
mandatory clearing and trade execution requirements. Central clearing is
intended to reduce counterparty credit risk and increase liquidity, but central
clearing does not eliminate these risks completely. There is also a risk of
loss by the Portfolio of the initial and variation margin deposits in the event
of bankruptcy of the FCM with which the Portfolio has an open position, or the
central counterparty in a swap contract. The assets of the Portfolio may not be
fully protected in the event of the bankruptcy of the FCM or central
counterparty because the Portfolio might be limited to recovering only a pro
rata share of all available funds and margin segregated on behalf of an FCM's
customers.
As of October 31, 2019, the Portfolio had non-cash collateral consisting of
short- and/or long-term U.S. Treasuries pledged as collateral for swap
agreements as follows (amount in thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
DFA Commodity Strategy Portfolio.................. $5,730
FUTURES ACTIVITIES:
The Portfolio may enter into commodity, foreign currency, interest rate and
commodity or securities index futures contracts and purchase and write (sell)
related options traded on exchanges designated by the CFTC or, consistent with
CFTC regulations, on foreign exchanges.
5. FUTURES CONTRACTS: A commodity futures contract provides for the future
sale by one party and the future purchase by the other party of a specified
amount of a commodity, such as an energy, agricultural or metal commodity, at a
specified price, date, time and place. A foreign currency futures contract
provides for the future sale by one party and the future purchase by the other
party of a certain amount of a specified non-U.S. currency at a specified
price, date, time and place. An interest rate futures contract provides for the
future sale by one party and the purchase by the other party of a certain
amount of a specific interest rate sensitive financial instrument (debt
security) at a specified price, date, time and place. Securities and
commodities indexes are typically capitalization or production weighted,
respectively. A securities index or commodities index futures contract is an
agreement to be settled by delivery of an amount of cash equal to a specified
multiplier times the difference between the value of the
124
index at the close of the last trading day on the contract and the price at
which the agreement is made. The clearing house of the exchange on which a
futures contract is entered into becomes the counterparty to each purchaser and
seller of the futures contract.
Payments, known as "variation margin," to and from the broker, will be made
daily as the currency, financial instrument or index underlying the futures
contract fluctuates, making the long and short positions in the futures
contract more or less valuable, a process known as "marking-to-market." As a
result of the small margin deposit that is required, a small change in the
market price of a futures contract can produce major losses.
At any time prior to the expiration of a futures contract, the Portfolio may
elect to close the position by taking an opposite position, which will operate
to terminate the Portfolio's existing position in the contract. Positions in
futures contracts and options on futures contracts (described below) may be
closed out only on the exchange on which they were entered into (or through a
linked exchange). However, there is no assurance that an active market will
exist at any particular time. Once the daily fluctuation limit has been reached
in a particular contract, most futures exchanges restrict trades at a price
beyond that limit or trading may be suspended for specified periods during the
day. Such restrictions prevent prompt liquidation of futures positions at an
advantageous price, potentially subjecting the Portfolio to substantial losses.
In such event, and in the event of adverse price movements, the Portfolio would
be required to make daily cash payments of variation margin. Losses incurred in
futures transactions and the costs of these transactions will affect the
Portfolio's performance.
The price volatility of commodity futures contracts has been historically
greater than that for traditional securities, such as stocks and bonds, and
there are a variety of factors associated with commodity futures contracts
which may subject the Portfolio's investments in the contracts to greater
volatility than investments in traditional securities.
6. OPTIONS ON FUTURES CONTRACTS: The Portfolio may purchase and write put
and call options on foreign currency, interest rate and stock and commodity
index futures contracts and may enter into closing transactions with respect to
such options to terminate existing positions. There is no guarantee that such
closing transactions can be effected; the ability to establish and close out
positions on such options will be subject to the existence of a liquid market.
An option on a currency, interest rate or commodity or securities index
futures contract, as contrasted with the direct investment in such a contract,
gives the purchaser the right, in return for the premium paid, to assume a
position in a futures contract at a specified exercise price at any time prior
to the expiration date of the option. The writer of the option is required upon
exercise to assume an offsetting futures position (a short position if the
option is a call and a long position if the option is a put). Upon exercise of
an option, the delivery of the futures position by the writer of the option to
the holder of the option will be accompanied by delivery of the accumulated
balance in the writer's futures margin account, which represents the amount by
which the market price of the futures contract exceeds, in the case of a call,
or is less than, in the case of a put, the exercise price of the option on the
futures contract. The potential loss related to the purchase of an option on a
futures contract is limited to the premium paid for the option (plus
transaction costs). The value of the option changes daily, and that change is
reflected in the net asset value of the Portfolio.
The Portfolio may enter into options and futures transactions for several
purposes, including generating current income to offset expenses or increase
return, and as hedges to reduce investment risk, generally by making an
investment expected to move in the opposite direction of a portfolio position.
A hedge is designed to offset a loss in a portfolio position with a gain in the
hedged position; at the same time, however, a properly correlated hedge will
result in a gain in the portfolio position being offset by a loss in the hedged
position.
The Subsidiary's securities have been segregated as collateral for open
futures contracts.
125
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 SWAP
CONTRACTS* FUTURES** CONTRACTS***
---------- --------- ------------
DFA Commodity Strategy Portfolio. $358,874 $50,907 $1,694,570
* Average amount of Currency Purchased/Sold in USD
** Average Notional Value of contracts. Note the above table represents Long
Position Contracts. Average volume for Short Position Contracts for the year
was $9,698.
***Average Notional Value of agreements
The following is a summary of the Portfolio's derivative instrument holdings
categorized by primary risk exposure as of October 31, 2019 (amounts in
thousands):
ASSET DERIVATIVES VALUE
----------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY FUTURES
OCTOBER 31, 2019 CONTRACTS (1) CONTRACTS *,(2)
---------------- ------------- ---------------
DFA Commodity Strategy Portfolio. $1,488 $480 $1,008
LIABILITY DERIVATIVES VALUE
---------------------------------------------------------
TOTAL VALUE FORWARD COMMODITY
AT CURRENCY FUTURES SWAP
OCTOBER 31, 2019 CONTRACTS (3) CONTRACTS (4) CONTRACTS (5)
---------------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio. $(12,235) $(3,107) $(325) $(8,803)
(1)Presented on Consolidated Statement of Assets and Liabilities as Unrealized
Gain on Forward Currency Contracts.
(2)Presented on Consolidated Statement of Assets and Liabilities as
Receivables: Futures Margin Variation.
(3)Presented on Consolidated Statement of Assets and Liabilities as Unrealized
Loss on Forward Currency Contracts.
(4)Presented on Consolidated Statement of Assets and Liabilities as Payables:
Futures Margin Variation.
(5)Presented on Consolidated Statement of Assets and Liabilities as Unrealized
Loss on Swap Contracts.
* Includes cumulative appreciation (depreciation) of futures contracts. Only
current day's margin variation is reported within the Consolidated Statement
of Assets and Liabilities.
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's derivative instrument holdings categorized by
primary risk exposure for the year ended October 31, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
---------------------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS (1) CONTRACTS (2) CONTRACTS (3)
--------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio.. $(114,592) $14,639 $(7,871) $(121,360)
126
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-------------------------------------------------
FORWARD COMMODITY
CURRENCY FUTURES SWAP
TOTAL CONTRACTS (4) CONTRACTS (5) CONTRACTS (6)
------- ------------- ------------- -------------
DFA Commodity Strategy Portfolio. $18,313 $(6,022) $4,368 $19,967
(1)Presented on Consolidated Statement of Operations as Net Realized Gain
(Loss) on: Forward Currency Contracts.
(2)Presented on Consolidated Statement of Operations as Net Realized Gain
(Loss) on: Futures.
(3)Presented on Consolidated Statement of Operations as Net Realized Gain
(Loss) on: Swap Contracts.
(4)Presented on Consolidated Statement of Operations as Change in Unrealized
Appreciation (Depreciation) of: Forward Currency Contracts.
(5)Presented on Consolidated Statement of Operations as Change in Unrealized
Appreciation (Depreciation) of: Futures.
(6)Presented on Consolidated Statement of Operations as Change in Unrealized
Appreciation (Depreciation) of: Swap Contracts.
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
Statement of Assets and Liabilities.
127
The following table presents the Portfolio's gross and net amount of assets
and liabilities available for offset under netting arrangements as well as any
related collateral received or pledged by the Portfolio as of October 31, 2019
(amounts in thousands):
NET NET
AMOUNTS AMOUNTS
OF GROSS AMOUNTS NOT OF GROSS AMOUNTS NOT
ASSETS OFFSET IN THE LIABILITIES OFFSET IN THE
PRESENTED STATEMENTS OF ASSETS PRESENTED STATEMENTS OF ASSETS
GROSS IN THE AND LIABILITIES GROSS IN THE AND LIABILITIES
AMOUNTS OF STATEMENTS ---------------------- AMOUNTS OF STATEMENTS ---------------------
RECOGNIZED OF ASSETS FINANCIAL CASH NET RECOGNIZED OF ASSETS FINANCIAL CASH NET
ASSETS AND INSTRUMENTS COLLATERAL AMOUNT LIABILITIES AND INSTRUMENTS COLLATERAL AMOUNT
DESCRIPTION (A) LIABILITIES (B) RECEIVED (C) (A) LIABILITIES (D) PLEDGED (E)
----------- ---------- ----------- ----------- ---------- ------ ----------- ----------- ----------- ---------- ------
ASSETS LIABILITIES
---------------------------------------------------- -----------------------------------------------------
DFA COMMODITY
STRATEGY
PORTFOLIO
Credit Suisse...... -- -- -- -- -- $ 2,197 $ 2,197 $(2,197) -- --
Bank of America
Corp............. -- -- -- -- -- 2,248 2,248 (2,248) -- --
National Australia
Bank Ltd......... -- -- -- -- -- 186 186 -- -- $186
Citibank, N.A...... $108 $108 $(108) -- -- 4,762 4,762 (377) $(4,385) --
UBS AG............. -- -- -- -- -- 2,073 2,073 (2,073) -- --
JP Morgan.......... -- -- -- -- -- 64 64 -- -- 64
State Street Bank
and Trust........ 372 372 (372) -- -- 380 380 (372) -- 8
---- ---- ----- -- -- ------- ------- ------- ------- ----
Total.............. $480 $480 $(480) -- -- $11,910 $11,910 $(7,267) $(4,385) $258
==== ==== ===== == == ======= ======= ======= ======= ====
(a)No amounts have been netted against the gross amounts recognized in the
Consolidated 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 Consolidated 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 Consolidated 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 $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2019.
128
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolio may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolio did not use the interfund lending program during the year
ended October 31, 2019.
J. SECURITIES LENDING:
As of October 31, 2019, the Portfolio had a security on loan to
brokers/dealers, for which the Portfolio received cash collateral.
The Portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Portfolio or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Portfolio could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Portfolio will generally
invest the cash collateral received for the loaned securities in the Money
Market Series, an affiliated registered money market fund advised by the
Advisor for which the Advisor receives a management fee of 0.05% of the average
daily net assets of the Money Market Series. Income received from the Money
Market Series is netted with fees for securities lending and collateral
investment expenses and with other payments to and from borrowers of
securities. The Portfolio also may invest the cash collateral received for the
loaned securities in securities of the U.S. government or its agencies,
repurchase agreements collateralized by securities of the U.S. government or
its agencies, and affiliated or unaffiliated money market funds that are
registered or unregistered. For purposes of this paragraph, agencies include
both agency debentures and agency mortgage-backed securities. Additionally, the
Portfolio will be able to terminate the loan at any time and will receive
reasonable interest on the loan, as well as amounts equal to any dividends,
interest or, other distributions on the loaned securities. However, dividend
income received from loaned securities may not be eligible for taxation at
qualified dividend income rates.
129
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
DFA COMMODITY STRATEGY PORTFOLIO
Bonds......................... $5,061 -- -- -- $5,061
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Fund's financial statements.
In August 2018, the FASB issued ASU No. 2018-13, "Fair Value Measurements"
("ASU 2018-13"). This update makes certain removals from, changes to and
additions to existing disclosure requirements for fair value measurement. ASU
2018-13 does not change fair value measurements already required or permitted
by existing standards. ASU 2018-13 is effective for financial statements issued
for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years. The Portfolio's early adoption of all of the ASU 2018-13
disclosure requirements are reflected within these financial statements
prepared as of October 31, 2019.
M. OTHER:
As of October 31, 2019, the following number of shareholders held the
following approximate percentages of the outstanding shares of the Portfolio.
One or more of the shareholders may be omnibus accounts, which typically hold
shares for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE
NUMBER OF OF OUTSTANDING
SHAREHOLDERS SHARES
------------ --------------
DFA Commodity Strategy Portfolio-Institutional Class.. 3 60%
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
130
that resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
131
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of DFA Investment Dimensions Group Inc. and
Shareholders of DFA Commodity Strategy Portfolio
OPINION ON THE CONSOLIDATED FINANCIAL STATEMENTS
We have audited the accompanying consolidated statement of assets and
liabilities, including the consolidated schedule of investments, of DFA
Commodity Strategy Portfolio and its subsidiary (one of the portfolios
constituting DFA Investment Dimensions Group Inc., hereafter referred to as the
"Portfolio") as of October 31, 2019, the related consolidated statement of
operations for the year ended October 31, 2019, the consolidated 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 consolidated financial highlights
for each of the five years in the period ended October 31, 2019 (collectively
referred to as the "consolidated financial statements"). In our opinion, the
consolidated 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 consolidated financial statements are the responsibility of the
Portfolio's management. Our responsibility is to express an opinion on the
Portfolio's consolidated 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 consolidated 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
consolidated 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 consolidated 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 consolidated 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 consolidated
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. 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.
132
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500(TM) INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Large Company
Portfolio S&P 500/TM/ Index
------------------ -----------------
10/31/2009 $10,000 $10,000
11/30/2009 10,600 10,600
12/31/2009 10,805 10,805
1/31/2010 10,423 10,416
2/28/2010 10,744 10,739
3/31/2010 11,394 11,387
4/30/2010 11,568 11,566
5/31/2010 10,640 10,643
6/30/2010 10,084 10,086
7/31/2010 10,790 10,792
8/31/2010 10,307 10,305
9/30/2010 11,223 11,225
10/31/2010 11,647 11,652
11/30/2010 11,647 11,653
12/31/2010 12,426 12,432
1/31/2011 12,727 12,727
2/28/2011 13,154 13,163
3/31/2011 13,169 13,168
4/30/2011 13,547 13,558
5/31/2011 13,396 13,405
6/30/2011 13,168 13,181
7/31/2011 12,903 12,913
8/31/2011 12,207 12,212
9/30/2011 11,343 11,353
10/31/2011 12,589 12,594
11/30/2011 12,551 12,566
12/31/2011 12,687 12,695
1/31/2012 13,251 13,264
2/29/2012 13,815 13,837
3/31/2012 14,277 14,293
4/30/2012 14,187 14,203
5/31/2012 13,326 13,349
6/30/2012 13,877 13,899
7/31/2012 14,071 14,092
8/31/2012 14,381 14,410
9/30/2012 14,752 14,782
10/31/2012 14,480 14,509
11/30/2012 14,571 14,593
12/31/2012 14,694 14,726
1/31/2013 15,453 15,489
2/28/2013 15,663 15,699
3/31/2013 16,252 16,288
4/30/2013 16,567 16,602
5/31/2013 16,948 16,990
6/30/2013 16,727 16,762
7/31/2013 17,572 17,615
8/31/2013 17,057 17,105
9/30/2013 17,594 17,641
10/31/2013 18,404 18,452
11/30/2013 18,961 19,015
12/31/2013 19,444 19,496
1/31/2014 18,763 18,822
2/28/2014 19,631 19,683
3/31/2014 19,791 19,848
4/30/2014 19,939 19,995
5/31/2014 20,394 20,464
6/30/2014 20,814 20,887
7/31/2014 20,531 20,599
8/31/2014 21,353 21,423
9/30/2014 21,049 21,123
10/31/2014 21,563 21,639
11/30/2014 22,145 22,221
12/31/2014 22,076 22,165
1/31/2015 21,409 21,499
2/28/2015 22,647 22,735
3/31/2015 22,287 22,375
4/30/2015 22,492 22,590
5/31/2015 22,779 22,880
6/30/2015 22,344 22,438
7/31/2015 22,811 22,908
8/31/2015 21,439 21,525
9/30/2015 20,908 20,993
10/31/2015 22,661 22,764
11/30/2015 22,743 22,831
12/31/2015 22,380 22,471
1/31/2016 21,260 21,356
2/29/2016 21,246 21,327
3/31/2016 22,681 22,774
4/30/2016 22,766 22,862
5/31/2016 23,174 23,273
6/30/2016 23,225 23,333
7/31/2016 24,089 24,194
8/31/2016 24,117 24,228
9/30/2016 24,130 24,232
10/31/2016 23,690 23,790
11/30/2016 24,556 24,671
12/31/2016 25,043 25,159
1/31/2017 25,518 25,636
2/28/2017 26,540 26,654
3/31/2017 26,560 26,685
4/30/2017 26,835 26,959
5/31/2017 27,211 27,338
6/30/2017 27,374 27,509
7/31/2017 27,940 28,075
8/31/2017 28,013 28,161
9/30/2017 28,596 28,742
10/31/2017 29,268 29,412
11/30/2017 30,158 30,314
12/31/2017 30,485 30,651
1/31/2018 32,237 32,406
2/28/2018 31,045 31,212
3/31/2018 30,248 30,419
4/30/2018 30,366 30,535
5/31/2018 31,104 31,271
6/30/2018 31,296 31,463
7/31/2018 32,453 32,634
8/31/2018 33,506 33,698
9/30/2018 33,700 33,889
10/31/2018 31,390 31,573
11/30/2018 32,031 32,216
12/31/2018 29,135 29,308
1/31/2019 31,474 31,656 Past performance is not
2/28/2019 32,485 32,673 predictive of future
3/31/2019 33,109 33,307 performance.
4/30/2019 34,458 34,656
5/31/2019 32,260 32,454 The returns shown do not
6/30/2019 34,530 34,741 reflect the deduction of
7/31/2019 35,032 35,240 taxes that a shareholder
8/31/2019 34,469 34,682 would pay on fund
9/30/2019 35,112 35,331 distributions or the
10/31/2019 35,876 36,096 redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Copyright 2019 S&P Dow
TOTAL RETURN YEAR YEARS YEARS Jones Indices LLC, a
----------------------------------------------- division of S&P Global. All
14.29% 10.72% 13.63% rights reserved.
--------------------------------------------------------------------------------
133
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad
U.S. equity market, as measured by the Russell 3000(R) Index, gained
approximately 13.5%. As measured by Russell 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 as
measured by Russell indices. Value stocks underperformed growth stocks as
measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index........................ 13.49%
Russell 1000(R) Index (large-cap stocks)..... 14.15%
Russell Midcap(R) Index (mid-cap stocks)..... 13.72%
Russell 2000(R) Index (small-cap stocks)..... 4.90%
Russell Microcap(R) Index (micro-cap stocks). -3.27%
Dow Jones U.S. Select REIT lndex/SM/......... 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value stocks)... 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks). 17.10%
Russell 2000(R) Value Index (small-cap value stocks)... 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks). 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE COMPANY PORTFOLIO
The U.S. Large Company Portfolio seeks to approximate the returns of the S&P
500(R) Index by investing in S&P 500(R) Index securities in approximately the
same proportions as they are represented in the Index. As of October 31, 2019,
the Portfolio held approximately 500 securities. Average cash exposure
throughout the year was less than 1% of the Portfolio's assets.
For the 12 months ended October 31, 2019, the total return was 14.29% for
the Portfolio and 14.33% for the S&P 500(R) Index, the Portfolio's benchmark.
The Portfolio performed in line with the benchmark before fees and expenses.
134
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
U.S. LARGE COMPANY PORTFOLIO
----------------------------
Actual Fund Return............. $1,000.00 $1,041.20 0.08% $0.41
Hypothetical 5% Annual Return.. $1,000.00 $1,024.80 0.08% $0.41
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
135
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.
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart, or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC EQUITY PORTFOLIO
U.S. LARGE COMPANY PORTFOLIO
Communication
Services........... 10.4%
Consumer
Discretionary...... 10.0%
Consumer Staples..... 7.4%
Energy............... 4.3%
Financials........... 13.0%
Health Care.......... 14.0%
Industrials.......... 9.2%
Information
Technology......... 22.3%
Materials............ 2.7%
Real Estate.......... 3.2%
Utilities............ 3.5%
-----
100.0%
136
U.S. LARGE COMPANY PORTFOLIO
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (99.0%)
COMMUNICATION SERVICES -- (10.3%)
* Alphabet, Inc., Class A................................... 115,876 $ 145,864,709 1.5%
* Alphabet, Inc., Class C................................... 116,904 147,311,899 1.5%
AT&T, Inc................................................. 2,826,761 108,802,031 1.1%
Comcast Corp., Class A.................................... 1,754,604 78,641,351 0.8%
* Facebook, Inc., Class A................................... 930,670 178,362,905 1.8%
* Netflix, Inc.............................................. 169,379 48,681,218 0.5%
Verizon Communications, Inc............................... 1,600,039 96,754,358 1.0%
Walt Disney Co. (The)..................................... 696,875 90,538,000 0.9%
Other Securities.......................................... 122,368,246 1.3%
-------------- ----
TOTAL COMMUNICATION SERVICES................................ 1,017,324,717 10.4%
-------------- ----
CONSUMER DISCRETIONARY -- (9.9%)
* Amazon.com, Inc........................................... 160,743 285,585,658 2.9%
Home Depot, Inc. (The).................................... 423,667 99,383,805 1.0%
McDonald's Corp........................................... 293,796 57,789,673 0.6%
Other Securities.......................................... 534,334,674 5.5%
-------------- ----
TOTAL CONSUMER DISCRETIONARY................................ 977,093,810 10.0%
-------------- ----
CONSUMER STAPLES -- (7.3%)
Coca-Cola Co. (The)....................................... 1,488,788 81,034,731 0.8%
Costco Wholesale Corp..................................... 170,135 50,548,810 0.5%
PepsiCo, Inc.............................................. 540,546 74,146,695 0.8%
Philip Morris International, Inc.......................... 601,887 49,017,677 0.5%
Procter & Gamble Co. (The)................................ 968,160 120,545,602 1.2%
Walmart, Inc.............................................. 550,165 64,512,348 0.7%
Other Securities.......................................... 284,079,377 2.9%
-------------- ----
TOTAL CONSUMER STAPLES 723,885,240 7.4%
-------------- ----
ENERGY -- (4.3%)
Chevron Corp.............................................. 734,711 85,329,336 0.9%
Exxon Mobil Corp.......................................... 1,636,831 110,600,671 1.1%
Other Securities.......................................... 225,927,782 2.3%
-------------- ----
TOTAL ENERGY 421,857,789 4.3%
-------------- ----
FINANCIALS -- (12.8%)
Bank of America Corp...................................... 3,240,880 101,342,318 1.0%
* Berkshire Hathaway, Inc., Class B......................... 758,568 161,256,385 1.6%
Citigroup, Inc............................................ 873,931 62,800,682 0.6%
JPMorgan Chase & Co....................................... 1,236,968 154,522,043 1.6%
Wells Fargo & Co.......................................... 1,551,124 80,084,532 0.8%
Other Securities.......................................... 704,080,243 7.3%
-------------- ----
TOTAL FINANCIALS. 1,264,086,203 12.9%
-------------- ----
HEALTH CARE -- (13.9%)
Abbott Laboratories....................................... 683,730 57,166,665 0.6%
AbbVie, Inc............................................... 572,009 45,503,316 0.5%
Amgen, Inc................................................ 231,998 49,473,573 0.5%
Johnson & Johnson......................................... 1,020,979 134,810,067 1.4%
Medtronic P.L.C........................................... 519,033 56,522,694 0.6%
Merck & Co., Inc.......................................... 990,498 85,836,557 0.9%
137
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
HEALTH CARE -- (Continued)
Pfizer, Inc............................................... 2,140,935 $ 82,147,676 0.8%
Thermo Fisher Scientific, Inc............................. 154,927 46,784,855 0.5%
UnitedHealth Group, Inc................................... 366,557 92,628,954 0.9%
Other Securities.......................................... 718,124,752 7.3%
-------------- -----
TOTAL HEALTH CARE........................................... 1,368,999,109 14.0%
-------------- -----
INDUSTRIALS -- (9.2%)
Boeing Co. (The).......................................... 206,804 70,294,748 0.7%
Honeywell International, Inc.............................. 278,346 48,078,705 0.5%
Union Pacific Corp........................................ 272,722 45,124,582 0.5%
Other Securities.......................................... 738,328,407 7.5%
-------------- -----
TOTAL INDUSTRIALS........................................... 901,826,442 9.2%
-------------- -----
INFORMATION TECHNOLOGY -- (22.1%)
Accenture P.L.C., Class A................................. 246,553 45,715,857 0.5%
* Adobe, Inc................................................ 187,987 52,247,227 0.5%
Apple, Inc................................................ 1,643,378 408,806,711 4.2%
Broadcom, Inc............................................. 153,998 45,098,314 0.5%
Cisco Systems, Inc........................................ 1,642,318 78,026,528 0.8%
Intel Corp................................................ 1,713,775 96,879,701 1.0%
International Business Machines Corp...................... 342,707 45,830,207 0.5%
Mastercard, Inc., Class A................................. 345,373 95,602,700 1.0%
Microsoft Corp............................................ 2,953,808 423,487,453 4.3%
NVIDIA Corp............................................... 235,596 47,359,508 0.5%
Oracle Corp............................................... 851,719 46,410,168 0.5%
* PayPal Holdings, Inc...................................... 455,204 47,386,736 0.5%
* salesforce.com, Inc....................................... 339,273 53,092,832 0.5%
# Visa, Inc., Class A....................................... 668,090 119,494,577 1.2%
Other Securities.......................................... 570,894,462 5.7%
-------------- -----
TOTAL INFORMATION TECHNOLOGY................................ 2,176,332,981 22.2%
-------------- -----
MATERIALS -- (2.6%)
Other Securities.......................................... 260,737,185 2.7%
-------------- -----
REAL ESTATE -- (3.1%)
Other Securities.......................................... 307,247,173 3.1%
-------------- -----
UTILITIES -- (3.5%)
Other Securities.......................................... 340,261,025 3.5%
-------------- -----
TOTAL COMMON STOCKS (Cost $4,053,195,630)................... 9,759,651,674 99.7%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market
Fund, 1.752%.............................................. 20,161,824 20,161,824 0.2%
-------------- -----
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund..................... 7,154,639 82,786,331 0.9%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,156,134,666)..................................... $9,862,599,829 100.8%
============== =====
138
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
As of October 31, 2019, U.S. Large Company Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index... 186 12/20/19 $28,010,050 $28,232,940 $222,890
----------- ----------- --------
TOTAL FUTURES CONTRACTS.. $28,010,050 $28,232,940 $222,890
=========== =========== ========
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
Communication Services..... $1,017,324,717 -- -- $1,017,324,717
Consumer Discretionary..... 977,093,810 -- -- 977,093,810
Consumer Staples........... 723,885,240 -- -- 723,885,240
Energy..................... 421,857,789 -- -- 421,857,789
Financials................. 1,264,086,203 -- -- 1,264,086,203
Health Care................ 1,368,999,109 -- -- 1,368,999,109
Industrials................ 901,826,442 -- -- 901,826,442
Information Technology..... 2,176,332,981 -- -- 2,176,332,981
Materials.................. 260,737,185 -- -- 260,737,185
Real Estate................ 307,247,173 -- -- 307,247,173
Utilities.................. 340,261,025 -- -- 340,261,025
Temporary Cash Investments.... 20,161,824 -- -- 20,161,824
Securities Lending Collateral. -- $82,786,331 -- 82,786,331
Futures Contracts**........... 222,890 -- -- 222,890
-------------- ----------- ------ --------------
TOTAL......................... $9,780,036,388 $82,786,331 -- $9,862,822,719
============== =========== ====== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
139
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. LARGE
COMPANY
PORTFOLIO*
------------
ASSETS:
Investment Securities at Value (including $178,027 of securities on loan,
respectively)............................................................ $ 9,759,652
Temporary Cash Investments at Value & Cost................................. 20,162
Collateral from Securities on Loan Invested in Affiliate at Value
(including cost of $82,777).............................................. 82,786
Segregated Cash for Futures Contracts...................................... 1,172
Receivables:
Dividends and Interest.................................................. 8,793
Securities Lending Income............................................... 27
Fund Shares Sold........................................................ 4,032
Prepaid Expenses and Other Assets.......................................... 83
------------
Total Assets........................................................ 9,876,707
------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned........................................ 82,781
Fund Shares Redeemed.................................................... 5,766
Due to Advisor.......................................................... 329
Futures Margin Variation................................................ 176
Accrued Expenses and Other Liabilities..................................... 1,264
------------
Total Liabilities................................................... 90,316
------------
NET ASSETS................................................................. $ 9,786,391
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Institutional Class Shares -- based on net assets of $9,786,391 and shares
outstanding of 416,879,053............................................... $ 23.48
============
NUMBER OF SHARES AUTHORIZED................................................ 900,000,000
============
Investment Securities at Cost.............................................. $ 4,053,196
============
NET ASSETS CONSIST OF:
Paid-In Capital............................................................ $ 4,107,977
Total Distributable Earnings (Loss)........................................ 5,678,414
------------
NET ASSETS................................................................. $ 9,786,391
============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
140
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
U.S. LARGE
COMPANY
PORTFOLIO#
----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0).............................................. $ 190,444
Income from Securities Lending............................................................... 456
----------
Total Investment Income.................................................................. 190,900
----------
FUND EXPENSES
Investment Management Fees................................................................... 5,444
Accounting & Transfer Agent Fees............................................................. 1,486
S&P 500(R) Fees.............................................................................. 102
Custodian Fees............................................................................... 115
Filing Fees.................................................................................. 175
Shareholders' Reports........................................................................ 201
Directors'/Trustees' Fees & Expenses......................................................... 52
Professional Fees............................................................................ 188
Other........................................................................................ 182
----------
Total Fund Expenses...................................................................... 7,945
----------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor
(Note C)................................................................................... (687)
----------
Net Expenses................................................................................. 7,258
----------
NET INVESTMENT INCOME (LOSS)................................................................. 183,642
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................................. 71,790
Affiliated Investment Companies Shares Sold.............................................. (8)
Futures.................................................................................. (137)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................................... 985,397
Affiliated Investment Companies Shares................................................... 6
Futures.................................................................................. 147
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................................................... 1,057,195
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. $1,240,837
==========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
141
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE COMPANY
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 183,642 $ 162,776
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................................ 71,790 88,590
Affiliated Investment Companies Shares Sold............................... (8) (21)
Futures................................................................... (137) 1,735
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ 985,397 336,695
Affiliated Investment Companies Shares.................................... 6 (9)
Futures................................................................... 147 (7)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 1,240,837 589,759
----------- -----------
Distributions:
Institutional Class Shares................................................ (214,307) (177,012)
----------- -----------
Total Distributions.................................................... (214,307) (177,012)
----------- -----------
Capital Share Transactions (1):
Shares Issued................................................................. 1,678,907 1,451,585
Shares Issued in Lieu of Cash Distributions................................... 198,444 162,780
Shares Redeemed............................................................... (1,634,559) (1,506,221)
----------- -----------
Net Increase (Decrease) from Capital Share Transactions................ 242,792 108,144
----------- -----------
Total Increase (Decrease) in Net Assets................................ 1,269,322 520,891
NET ASSETS
Beginning of Year............................................................. 8,517,069 7,996,178
----------- -----------
End of Year................................................................... $ 9,786,391 $ 8,517,069
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................. 78,503 68,274
Shares Issued in Lieu of Cash Distributions................................... 9,441 7,714
Shares Redeemed............................................................... (75,490) (70,464)
----------- -----------
Net Increase (Decrease) from Shares Issued and Redeemed................ 12,454 5,524
=========== ===========
--------
* 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.
142
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........................ $ 21.06 $ 20.05 $ 16.67 $ 16.42 $ 15.94
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)........................... 0.44 0.41 0.37 0.35 0.33
Net Gains (Losses) on Securities (Realized and
Unrealized).......................................... 2.50 1.05 3.50 0.38 0.47
---------- ---------- ---------- ---------- ----------
Total from Investment Operations................... 2.94 1.46 3.87 0.73 0.80
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................. (0.39) (0.39) (0.39) (0.34) (0.32)
Net Realized Gains..................................... (0.13) (0.06) (0.10) (0.14) --
---------- ---------- ---------- ---------- ----------
Total Distributions................................ (0.52) (0.45) (0.49) (0.48) (0.32)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year.............................. $ 23.48 $ 21.06 $ 20.05 $ 16.67 $ 16.42
========== ========== ========== ========== ==========
Total Return.............................................. 14.29% 7.25% 23.55% 4.54% 5.09%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)....................... $9,786,391 $8,517,069 $7,996,178 $6,365,936 $5,810,743
Ratio of Expenses to Average Net Assets................... 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Expenses to Average Net Assets (Excluding
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)....................... 0.08% 0.08% 0.08% 0.08% 0.09%
Ratio of Net Investment Income to Average Net Assets...... 2.02% 1.90% 1.99% 2.17% 2.05%
Portfolio Turnover Rate................................... 3% 5% 7% 9% 2%
---------- ---------- ---------- ---------- ----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
143
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 U.S. Large Company 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."
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)
Securities held by the Portfolio, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the
Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing
Price ("NOCP"). If there is no last reported sale price or NOCP for the day,
the Portfolio values the securities within the range of the most recent quoted
bid and ask prices. Price information on listed securities is taken from the
exchange where the security is primarily traded. Generally, securities issued
by open-end management investment companies are valued using their respective
net asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Directors of the Fund. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Portfolio is calculated. When fair value pricing is
used, the prices of securities used by the Portfolio may differ from the quoted
or published prices for the same securities on their primary markets or
exchanges. These securities are generally categorized as Level 2 in the
hierarchy.
Futures contracts held by the Portfolio are valued using the settlement
price established each day on the exchange on which they are traded. These
valuations are generally categorized as Level 1 in the hierarchy.
144
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 Summary
Schedule of Portfolio Holdings. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible 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: 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 a Portfolio are directly
charged. Common expenses of the Fund or the Portfolios are allocated using
methods approved by the Board of Directors, generally based on average net
assets.
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:
U.S. Large Company Portfolio. 0.06%
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. 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. 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
145
or expenses previously assumed by the Advisor more than thirty-six months
before the date of recovery. With respect to the Fee Waiver Agreement, prior
year expenses can be recaptured only if the current expense ratio is less than
the prior year expense cap that was in place when such prior year fees were
waived and/or expenses assumed.
NET WAIVED FEES/
RECOVERY EXPENSES ASSUMED PREVIOUSLY
OF PREVIOUSLY (RECOVERED WAIVED FEES/
EXPENSE WAIVED FEES/ PREVIOUSLY WAIVED EXPENSES ASSUMED
LIMITATION EXPENSES FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ------------- ----------------- -----------------
U.S. Large Company Portfolio (1)... 0.08% $63 $687 $1,006
(1)The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the ordinary operating
expenses (excluding expenses incurred through investment in other investment
companies) ("Portfolio Expenses") of the U.S. Large Company Portfolio so
that the Portfolio Expenses, on an annualized basis, do not exceed the rate
listed above as a percentage of the Portfolio's average net assets (the
"Annualized Expense Ratio"). At any time that the annualized Portfolio
Expenses of the Portfolio are less than the Annualized Expense Ratio
identified above, the Advisor retains the right to recover any fees
previously waived and/or expenses previously assumed to the extent that the
amount of such recovery is within thirty-six months and will not cause the
annualized Portfolio Expenses of the Portfolio to exceed the applicable
Annualized Expense Ratio identified above.
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 Statement 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
Statement of Assets and Liabilities as follows (amounts in thousands):
U.S. Large Company Portfolio. $334
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Portfolio's transactions related to
investment securities, other than short-term securities, in-kind redemptions
and U.S. Government securities (amounts in thousands), were as follows:
PURCHASES SALES
--------- --------
U.S. Large Company Portfolio.. $583,978 $316,870
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.
146
The amounts presented below may differ from the respective amounts presented
in the 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
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2019 OCTOBER 31, 2019
---------------- ---------- ---------- ------------ ------------- ---------------- ----------------
U.S. LARGE COMPANY
PORTFOLIO
The DFA Short Term
Investment Fund $164,037 $1,237,931 $1,319,180 $(8) $6 $82,786 7,155
-------- ---------- ---------- --- -- ------- -----
TOTAL $164,037 $1,237,931 $1,319,180 $(8) $6 $82,786 7,155
======== ========== ========== === == ======= =====
DIVIDEND CAPITAL GAIN
INCOME DISTRIBUTIONS
-------- -------------
U.S. LARGE COMPANY
PORTFOLIO
The DFA Short Term
Investment Fund $3,214 --
------ ------
TOTAL $3,214 --
====== ======
F. 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.
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 LONG-TERM
SHORT-TERM CAPITAL TAX EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ---------- --------
U.S. Large Company Portfolio
2018......................... $157,152 $19,860 -- $177,012
2019......................... 154,842 59,465 -- 214,307
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
-------------- ------------- -------
U.S. Large Company Portfolio.. $(7,339) -- $(7,339)
147
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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
U.S. Large Company
Portfolio......... $29,212 $49,422 $5,600,114 $5,678,748
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 did not have capital loss
carryforwards available to offset future realized capital gains through
October 31 of the indicated expiration dates, as applicable.
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)
---------- ------------ -------------- --------------
U.S. Large Company
Portfolio........... $4,262,503 $5,758,645 $(158,548) $5,600,097
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.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolio's investment objectives and policies, the
Portfolio may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
1. FUTURES CONTRACTS: The Portfolio may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolio. The Portfolio, however, does not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded to a broker. Subsequent payments
are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by
148
the Portfolio as unrealized gains or losses until the contracts are closed.
When the contracts are closed, the Portfolio records a realized gain or loss,
which is presented in the Statement of Operations as a net realized gain or
loss on futures, equal to the difference between the value of the contract at
the time it was opened and the value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolio to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
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**
---------
U.S. Large Company Portfolio.. $28,479
** Average Notional Value of contracts
The following is a summary of the Portfolio'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)
---------------- ---------------
U.S. Large Company Portfolio.. $223 $223
(1)Presented on Statement 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 Statement of Assets
and Liabilities.
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolio's direct investment in derivative instrument
holdings categorized by primary risk exposure for the year ended October 31,
2019 (amounts in thousands):
REALIZED GAIN (LOSS) ON
DERIVATIVES
----------------------
EQUITY
TOTAL CONTRACTS (1)
----- -------------
U.S. Large Company Portfolio.. $(137) $(137)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
----- -------------
U.S. Large Company Portfolio.. $147 $147
(1)Presented on Statement of Operations as Net Realized Gain (Loss) on: Futures.
(2)Presented on Statement of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
149
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on April 8, 2020.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
For the year ended October 31, 2019, borrowings by the Portfolio 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
------------- ------------ ------------ -------- --------------- ----------------
U.S. Large Company
Portfolio......... 2.97% $2,928 21 $5 $7,611 --
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2019, that the Portfolio's available
line of credit was used.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolio may participate in an interfund lending program among certain
portfolios managed by the Advisor (portfolios that operate as feeder funds do
not participate in the program). The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolio did not use the interfund lending program during the year
ended October 31, 2019.
150
I. SECURITIES LENDING:
As of October 31, 2019, the Portfolio had securities on loan to
brokers/dealers, for which the Portfolio received cash collateral. In addition,
the Portfolio 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
----------
U.S. Large Company
Portfolio......... $99,880
The Portfolio invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the
Portfolio's collateral to be lower or higher than the expected thresholds. If
this were to occur, the collateral would be adjusted the next business day to
ensure adequate collateralization. In the event of default or bankruptcy by the
other party to the agreement, realization and/or retention of the collateral
may be subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Portfolio or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Portfolio could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Portfolio will generally
invest the cash collateral received for the loaned securities in The DFA Short
Term Investment Fund (the "Money Market Series"), an affiliated registered
money market fund advised by the Advisor for which the Advisor receives a
management fee of 0.05% of the average daily net assets of the Money Market
Series. Income received from the Money Market Series is netted with fees for
securities lending and collateral investment expenses and with other payments
to and from borrowers of securities. The Portfolio also may invest the cash
collateral received for the loaned securities in securities of the U.S.
government or its agencies, repurchase agreements collateralized by securities
of the U.S. government or its agencies, and affiliated or unaffiliated money
market funds that are registered or unregistered. For purposes of this
paragraph, agencies include both agency debentures and agency mortgage-backed
securities. Additionally, the Portfolio will be able to terminate the loan at
any time and will receive reasonable interest on the loan, as well as amounts
equal to any dividends, interest or, other distributions on the loaned
securities. However, dividend income received from loaned securities may not be
eligible for taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 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
U.S. LARGE COMPANY
PORTFOLIO
Common Stocks......... $82,781 -- -- -- $82,781
151
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
K. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. 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.
L. 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
------------ --------------
U.S. Large Company
Portfolio-Institutional
Class.................. 3 68%
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.
M. 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.
152
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of U.S. Large Company Portfolio
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of U.S. Large Company Portfolio
(one of the portfolios constituting Dimensional Investment Group Inc.,
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 securities owned as of October 31, 2019 by
correspondence with the custodian, broker and 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.
153
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(TM) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The U.S. Large Cap Russell 1000/TM/
Value Series Value Index
-------------------- ------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,564 10,564
12/31/2009 10,855 10,751
1/31/2010 10,603 10,448
2/28/2010 11,061 10,778
3/31/2010 11,923 11,480
4/30/2010 12,301 11,777
5/31/2010 11,247 10,809
6/30/2010 10,398 10,200
7/31/2010 11,214 10,891
8/31/2010 10,537 10,425
9/30/2010 11,565 11,234
10/31/2010 11,996 11,571
11/30/2010 11,903 11,509
12/31/2010 13,064 12,418
1/31/2011 13,481 12,698
2/28/2011 14,211 13,167
3/31/2011 14,277 13,219
4/30/2011 14,642 13,571
5/31/2011 14,430 13,428
6/30/2011 14,178 13,152
7/31/2011 13,528 12,716
8/31/2011 12,387 11,923
9/30/2011 11,134 11,022
10/31/2011 12,679 12,283
11/30/2011 12,573 12,220
12/31/2011 12,672 12,466
1/31/2012 13,302 12,938
2/29/2012 14,072 13,453
3/31/2012 14,330 13,852
4/30/2012 14,038 13,711
5/31/2012 13,044 12,907
6/30/2012 13,747 13,548
7/31/2012 13,879 13,688
8/31/2012 14,430 13,985
9/30/2012 14,960 14,429
10/31/2012 15,000 14,358
11/30/2012 15,033 14,352
12/31/2012 15,491 14,649
1/31/2013 16,572 15,601
2/28/2013 16,784 15,825
3/31/2013 17,586 16,452
4/30/2013 17,772 16,700
5/31/2013 18,501 17,129
6/30/2013 18,296 16,978
7/31/2013 19,390 17,895
8/31/2013 18,820 17,216
9/30/2013 19,370 17,647
10/31/2013 20,351 18,420
11/30/2013 21,207 18,934
12/31/2013 21,771 19,413
1/31/2014 20,908 18,724
2/28/2014 21,618 19,534
3/31/2014 22,129 20,000
4/30/2014 22,275 20,190
5/31/2014 22,765 20,486
6/30/2014 23,382 21,021
7/31/2014 23,216 20,663
8/31/2014 23,952 21,422
9/30/2014 23,362 20,980
10/31/2014 23,541 21,452
11/30/2014 23,820 21,891
12/31/2014 23,999 22,025
1/31/2015 22,812 21,145
2/28/2015 24,423 22,168
3/31/2015 23,959 21,866
4/30/2015 24,443 22,070
5/31/2015 24,715 22,336
6/30/2015 24,317 21,890
7/31/2015 24,257 21,986
8/31/2015 22,785 20,676
9/30/2015 22,056 20,052
10/31/2015 23,853 21,565
11/30/2015 23,946 21,648
12/31/2015 23,196 21,182
1/31/2016 21,618 20,088
2/29/2016 21,658 20,082
3/31/2016 23,236 21,529
4/30/2016 23,866 21,981
5/31/2016 24,191 22,323
6/30/2016 24,164 22,516
7/31/2016 25,000 23,170
8/31/2016 25,298 23,348
9/30/2016 25,418 23,300
10/31/2016 24,987 22,939
11/30/2016 26,950 24,249
12/31/2016 27,626 24,855
1/31/2017 28,024 25,032
2/28/2017 28,879 25,932
3/31/2017 28,607 25,668
4/30/2017 28,806 25,619
5/31/2017 28,773 25,594
6/30/2017 29,257 26,013
7/31/2017 29,755 26,358
8/31/2017 29,476 26,051
9/30/2017 30,617 26,823
10/31/2017 31,061 27,018
11/30/2017 32,168 27,845
12/31/2017 32,918 28,251
1/31/2018 34,609 29,344
2/28/2018 32,898 27,943
3/31/2018 32,155 27,451
4/30/2018 32,202 27,542
5/31/2018 32,513 27,705
6/30/2018 32,281 27,774
7/31/2018 33,621 28,873
8/31/2018 34,111 29,300
9/30/2018 34,145 29,358
10/31/2018 31,976 27,838
11/30/2018 32,719 28,669
12/31/2018 29,125 25,916
1/31/2019 31,651 27,933
2/28/2019 32,440 28,825 Past performance is not
3/31/2019 32,281 29,009 predictive of future
4/30/2019 33,395 30,038 performance.
5/31/2019 30,822 28,106
6/30/2019 33,289 30,124 The returns shown do not
7/31/2019 33,647 30,374 reflect the deduction of
8/31/2019 32,268 29,481 taxes that a shareholder
9/30/2019 33,541 30,532 would pay on fund
10/31/2019 34,264 30,959 distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN Russell data copyright (C)
TOTAL RETURN YEAR YEARS YEARS Russell Investment Group
----------------------------------------------------- 1995-2019, all rights
7.15% 7.80% 13.11% reserved.
--------------------------------------------------------------------------------
154
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index....................................... 13.49%
Russell 1000(R) Index (large-cap stocks).................... 14.15%
Russell Midcap(R) Index (mid-cap stocks).................... 13.72%
Russell 2000(R) Index (small-cap stocks).................... 4.90%
Russell Microcap(R) Index (micro-cap stocks)................ -3.27%
Dow Jones U.S. Select REIT lndex/SM/........................ 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value stocks)........ 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks)...... 17.10%
Russell 2000(R) Value Index (small-cap value stocks)........ 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks)...... 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. 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 value segment of the U.S. market. As
of October 31, 2019, the Series held approximately 330 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 7.15% for the
Series and 11.21% for the Russell 1000(R) Value Index, the Series' benchmark.
As a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. With low relative price (value)
stocks generally underperforming high relative price (growth) stocks, the
Series' greater emphasis on value stocks detracted from performance relative to
the benchmark. At the sector level, the Series' exclusions of real estate
investment trusts (REITs) and certain utilities also detracted from relative
performance, as REITs and utilities generally outperformed in the U.S.
155
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return.............. $1,000.00 $1,026.00 0.11% $0.56
Hypothetical 5% Annual Return... $1,000.00 $1,024.65 0.11% $0.56
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
156
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, 2019.
They are available upon request, without charge, by calling collect: (512)
306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave
Road, Building One, Austin, TX 78746; or by visiting the SEC's website at
http://www.sec.gov.
SEC regulations permit a fund to include in its reports to shareholders a
"Summary Schedule of Portfolio Holdings" in lieu of a full Schedule of
Investments. The Summary Schedule of Portfolio Holdings reports the fund's 50
largest holdings in unaffiliated issuers and any investments that exceed one
percent of the fund's net assets at the end of the reporting period. The
regulations also require that the Summary Schedule of Portfolio Holdings
identify each category of investments that are held.
A fund is required to file a complete Schedule of Investments with the SEC
on Form N-CSR within ten days after mailing the annual and semi-annual reports
to shareholders. It will be available upon request, without charge, by calling
collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP,
6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC's
website at http://www.sec.gov.
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart, or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is used. The
following table, which presents portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
is provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC EQUITY PORTFOLIO
THE U.S. LARGE CAP VALUE SERIES
Communication Services.. 12.2%
Consumer Discretionary.. 6.8%
Consumer Staples........ 4.8%
Energy.................. 12.3%
Financials.............. 23.6%
Health Care............. 14.4%
Industrials............. 10.7%
Information Technology.. 9.9%
Materials............... 4.7%
Real Estate............. 0.3%
Utilities............... 0.3%
-----
100.0%
157
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (12.0%)
AT&T, Inc........................................................ 33,969,452 $1,307,484,208 4.4%
* Charter Communications, Inc., Class A............................ 940,732 440,130,874 1.5%
Comcast Corp., Class A........................................... 21,970,229 984,705,664 3.3%
Walt Disney Co. (The)............................................ 3,453,204 448,640,264 1.5%
Other Securities................................................. 438,144,096 1.4%
-------------- ----
TOTAL COMMUNICATION SERVICES......................................... 3,619,105,106 12.1%
-------------- ----
CONSUMER DISCRETIONARY -- (6.7%)
DR Horton, Inc................................................... 3,053,585 159,916,246 0.5%
General Motors Co................................................ 6,055,833 225,034,754 0.8%
Target Corp...................................................... 1,473,116 157,490,831 0.5%
Other Securities................................................. 1,477,743,583 4.9%
-------------- ----
TOTAL CONSUMER DISCRETIONARY......................................... 2,020,185,414 6.7%
-------------- ----
CONSUMER STAPLES -- (4.8%)
Mondelez International, Inc., Class A............................ 3,530,822 185,191,614 0.6%
Tyson Foods, Inc., Class A....................................... 1,750,467 144,921,163 0.5%
Walgreens Boots Alliance, Inc.................................... 3,401,321 186,324,364 0.6%
Walmart, Inc..................................................... 3,918,069 459,432,771 1.5%
Other Securities................................................. 460,308,472 1.6%
-------------- ----
TOTAL CONSUMER STAPLES............................................... 1,436,178,384 4.8%
-------------- ----
ENERGY -- (12.1%)
Chevron Corp..................................................... 8,424,414 978,411,442 3.3%
ConocoPhillips................................................... 5,133,675 283,378,860 0.9%
Exxon Mobil Corp................................................. 13,344,776 901,706,514 3.0%
Marathon Petroleum Corp.......................................... 3,109,699 198,865,251 0.7%
Phillips 66...................................................... 1,185,191 138,454,013 0.5%
Valero Energy Corp............................................... 2,446,279 237,240,137 0.8%
Other Securities................................................. 908,813,560 3.0%
-------------- ----
TOTAL ENERGY......................................................... 3,646,869,777 12.2%
-------------- ----
FINANCIALS -- (23.2%)
Bank of America Corp............................................. 22,040,613 689,210,000 2.3%
Bank of New York Mellon Corp. (The).............................. 3,657,167 170,972,557 0.6%
* Berkshire Hathaway, Inc., Class B................................ 2,984,980 634,547,048 2.1%
Capital One Financial Corp....................................... 2,121,634 197,842,371 0.7%
Citigroup, Inc................................................... 7,149,102 513,734,470 1.7%
Fifth Third Bancorp.............................................. 4,857,785 141,264,388 0.5%
Goldman Sachs Group, Inc. (The).................................. 1,393,141 297,268,427 1.0%
JPMorgan Chase & Co.............................................. 7,660,148 956,905,688 3.2%
Morgan Stanley................................................... 4,980,221 229,339,177 0.8%
PNC Financial Services Group, Inc. (The)......................... 1,313,525 192,694,118 0.6%
Travelers Cos., Inc. (The)....................................... 1,165,331 152,728,281 0.5%
Wells Fargo & Co................................................. 16,157,084 834,190,247 2.8%
Other Securities................................................. 1,996,982,476 6.6%
-------------- ----
TOTAL FINANCIALS..................................................... 7,007,679,248 23.4%
-------------- ----
HEALTH CARE -- (14.2%)
Anthem, Inc...................................................... 1,376,563 370,405,572 1.2%
158
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
* Cigna Corp....................................................... 1,498,160 $ 267,361,634 0.9%
CVS Health Corp.................................................. 5,447,574 361,664,438 1.2%
Danaher Corp..................................................... 1,690,202 232,943,640 0.8%
Humana, Inc...................................................... 529,635 155,818,617 0.5%
Medtronic P.L.C.................................................. 4,359,974 474,801,169 1.6%
Pfizer, Inc...................................................... 24,583,746 943,278,334 3.2%
Thermo Fisher Scientific, Inc.................................... 1,073,774 324,258,273 1.1%
Other Securities................................................. 1,154,628,998 3.8%
--------------- -----
TOTAL HEALTH CARE...................................................... 4,285,160,675 14.3%
--------------- -----
INDUSTRIALS -- (10.6%)
Delta Air Lines, Inc............................................. 2,950,569 162,517,341 0.5%
Eaton Corp. P.L.C................................................ 1,816,899 158,270,072 0.5%
FedEx Corp....................................................... 1,023,792 156,292,087 0.5%
Norfolk Southern Corp............................................ 1,385,379 252,138,978 0.8%
Republic Services, Inc........................................... 1,904,674 166,678,022 0.6%
Stanley Black & Decker, Inc...................................... 1,031,996 156,171,955 0.5%
* United Airlines Holdings, Inc.................................... 1,825,283 165,808,708 0.6%
United Technologies Corp......................................... 2,227,609 319,840,100 1.1%
Other Securities................................................. 1,652,160,523 5.6%
--------------- -----
TOTAL INDUSTRIALS...................................................... 3,189,877,786 10.7%
--------------- -----
INFORMATION TECHNOLOGY -- (9.8%)
Fidelity National Information Services, Inc...................... 1,545,803 203,675,003 0.7%
HP, Inc.......................................................... 9,619,949 167,098,514 0.6%
Intel Corp....................................................... 22,465,295 1,269,963,126 4.3%
* Micron Technology, Inc........................................... 5,266,057 250,401,010 0.8%
Other Securities................................................. 1,051,055,240 3.4%
--------------- -----
TOTAL INFORMATION TECHNOLOGY........................................... 2,942,192,893 9.8%
--------------- -----
MATERIALS -- (4.6%)
Other Securities................................................. 1,394,107,868 4.7%
--------------- -----
REAL ESTATE -- (0.3%)
Other Securities................................................. 85,587,023 0.3%
--------------- -----
UTILITIES -- (0.3%)
Other Securities................................................. 94,489,673 0.3%
--------------- -----
TOTAL COMMON STOCKS
(Cost $21,723,243,935)............................................... 29,721,433,847 99.3%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund,
1.752%......................................................... 166,338,555 166,338,555 0.6%
--------------- -----
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund............................... 22,114,935 255,891,910 0.8%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $22,145,430,170)............................................... $30,143,664,312 100.7%
=============== =====
159
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
As of October 31, 2019, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION
CONTRACTS:
S&P 500(R) Emini
Index........... 985 12/20/19 $148,128,680 $149,513,150 $1,384,470
------------ ------------ ----------
TOTAL FUTURES
CONTRACTS....... $148,128,680 $149,513,150 $1,384,470
============ ============ ==========
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..... $ 3,619,105,106 -- -- $ 3,619,105,106
Consumer Discretionary..... 2,020,185,414 -- -- 2,020,185,414
Consumer Staples........... 1,436,178,384 -- -- 1,436,178,384
Energy..................... 3,646,869,777 -- -- 3,646,869,777
Financials................. 7,007,679,248 -- -- 7,007,679,248
Health Care................ 4,285,160,675 -- -- 4,285,160,675
Industrials................ 3,189,877,786 -- -- 3,189,877,786
Information Technology..... 2,942,192,893 -- -- 2,942,192,893
Materials.................. 1,394,107,868 -- -- 1,394,107,868
Real Estate................ 85,587,023 -- -- 85,587,023
Utilities.................. 94,489,673 -- -- 94,489,673
Temporary Cash Investments.... 166,338,555 -- -- 166,338,555
Securities Lending Collateral. -- $255,891,910 -- 255,891,910
Futures Contracts**........... 1,384,470 -- -- 1,384,470
--------------- ------------ ------ ---------------
TOTAL......................... $29,889,156,872 $255,891,910 -- $30,145,048,782
=============== ============ ====== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
160
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE U.S.
LARGE CAP
VALUE SERIES*
-------------
ASSETS:
Investment Securities at Value (including $576,819 of securities
on loan, respectively)......................................... $29,721,433
Temporary Cash Investments at Value & Cost....................... 166,339
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $255,848)............................. 255,892
Segregated Cash for Futures Contracts............................ 6,206
Receivables:
Dividends and Interest........................................ 40,355
Securities Lending Income..................................... 98
-----------
Total Assets.............................................. 30,190,323
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 255,842
Due to Advisor................................................ 2,486
Futures Margin Variation...................................... 591
Accrued Expenses and Other Liabilities........................... 1,726
-----------
Total Liabilities......................................... 260,645
-----------
NET ASSETS....................................................... $29,929,678
===========
Investment Securities at Cost.................................... $21,723,243
===========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
161
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE U.S.
LARGE CAP
VALUE
SERIES#
----------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0)............... $ 755,430
Income from Securities Lending................................ 1,639
----------
Total Investment Income................................ 757,069
----------
EXPENSES
Investment Management Fees.................................... 29,007
Accounting & Transfer Agent Fees.............................. 1,223
Custodian Fees................................................ 301
Directors'/Trustees' Fees & Expenses.......................... 172
Professional Fees............................................. 446
Other......................................................... 581
----------
Total Expenses......................................... 31,730
----------
Net Expenses.................................................. 31,730
----------
NET INVESTMENT INCOME (LOSS).................................. 725,339
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.............................. 699,155
Affiliated Investment Companies Shares Sold............... 35
Futures................................................... (1,255)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 565,227
Affiliated Investment Companies Shares.................... 21
Futures................................................... 15,103
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,278,286
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $2,003,625
==========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
162
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE
SERIES
------------------------
YEAR ENDED YEAR ENDED
OCT 31, 2019 OCT 31, 2018
------------ ------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 725,339 $ 633,952
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. 699,155 1,506,250
Affiliated Investment Companies Shares Sold................. 35 (48)
Futures..................................................... (1,255) 32,885
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 565,227 (1,356,683)
Affiliated Investment Companies Shares...................... 21 (15)
Futures..................................................... 15,103 (21,778)
----------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 2,003,625 794,563
----------- -----------
Transactions in Interest:
Contributions................................................... 1,481,953 2,333,386
Withdrawals..................................................... (2,798,695) (1,561,700)
----------- -----------
Net Increase (Decrease) from Transactions in
Interest............................................... (1,316,742) 771,686
----------- -----------
Total Increase (Decrease) in Net Assets.................. 686,883 1,566,249
NET ASSETS
Beginning of Year............................................... 29,242,795 27,676,546
----------- -----------
End of Year..................................................... $29,929,678 $29,242,795
=========== ===========
--------
* 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.
163
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Total Return............................................ 7.15% 2.95% 24.31% 4.75% 1.32%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)..................... $29,929,678 $29,242,795 $27,676,546 $20,916,568 $19,094,057
Ratio of Expenses to Average Net Assets................. 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)..................... 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets.... 2.50% 2.14% 2.19% 2.39% 2.20%
Portfolio Turnover Rate................................. 10% 13% 15% 15% 16%
----------- ----------- ----------- ----------- -----------
See page 1-2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
164
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, one of which, The U.S. Large Cap Value
Series (the "Series"), is included in this section of the report. The remaining
operational portfolios are presented in separate reports. The Series is an
investment company, and accordingly, follows the accounting and reporting
guidance under the Financial Accounting Standards Board ("FASB") Accounting
Standards Certification ("ASC"), Topic 946, "Financial Services-Investment
Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Series uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities within the range of the most recent quoted bid and
ask prices. Price information on listed securities is taken from the exchange
where the security is primarily traded. Generally, securities issued by
open-end management investment companies are valued using their respective net
asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
165
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. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred compensation until a date specified by
such Trustee in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Trust; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2019, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities 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 estimates the
character of received distributions that may be considered return of capital
distributions. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities, using the effective interest method. Expenses directly attributable
to the Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 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 U.S. Large Cap Value Series............................. 0.10%
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 Statement of Operations.
166
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 Statement
of Assets and Liabilities as follows (amount in thousands):
The U.S. Large Cap Value Series. $680
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 U.S. Large Cap Value Series. $3,093,702 $2,922,384
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 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 AS
BALANCE AT GAIN/ UNREALIZED BALANCE AT OF
OCTOBER 31, PURCHASES AT PROCEEDS (LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ------------ ---------- -------- ------------- ----------- ----------- -------- -------------
THE U.S. LARGE CAP
VALUE SERIES
The DFA Short Term
Investment Fund $516,726 $5,011,809 $5,272,699 $35 $21 $255,892 22,115 $14,604 --
-------- ---------- ---------- --- --- -------- ------ ------- ------
TOTAL $516,726 $5,011,809 $5,272,699 $35 $21 $255,892 22,115 $14,604 --
======== ========== ========== === === ======== ====== ======= ======
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
As of October 31, 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 TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series. $22,130,188 $9,582,563 $(1,569,086) $8,013,477
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series'
167
financial statements. The Series is not aware of any tax positions for which it
is more likely than not that the total amounts of unrecognized tax benefits
will significantly change in the next twelve months. The Series' federal tax
returns for the prior three fiscal years remain subject to examination by the
Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. Government
securities to a broker in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Series as unrealized
gains or losses until the contracts are closed. When the contracts are closed,
the Series records a realized gain or loss, which is presented in the Statement
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. 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 (amount
in thousands):
FUTURES**
---------
The U.S. Large Cap Value Series. $190,177
** Average Notional Value of contracts
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 U.S. Large Cap Value Series. $1,384 $1,384
(1)Presented on Statement 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 Statement of Assets
and Liabilities.
168
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 U.S. Large Cap Value Series. $(1,255) $(1,255)
CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON
DERIVATIVES
---------------------
EQUITY
TOTAL CONTRACTS (2)
------- -------------
The U.S. Large Cap Value Series. $15,103 $15,103
(1)Presented on Statement of Operations as Net Realized Gain (Loss) on: Futures.
(2)Presented on Statement of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on April 8, 2020.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
There were no borrowings by the Series under the lines of credit during the
year ended October 31, 2019.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2019.
169
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):
REALIZED
GAIN
PORTFOLIO PURCHASES SALES (LOSS)
--------- --------- -------- --------
The U.S. Large Cap Value Series. $347,838 $428,849 $(68,292)
J. SECURITIES LENDING:
As of October 31, 2019, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. In addition,
the Series 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
----------
The U.S. Large Cap Value Series. $337,733
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Series could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with other payments to and from
borrowers of securities. The Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, the Series will be
170
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 U.S. LARGE CAP VALUE SERIES
Common Stocks................. $255,842 -- -- -- $255,842
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. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including The
U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per
share. The Tribune MDL includes a series of lawsuits brought by individual
creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought
by a court-appointed trustee (the "Trustee") on behalf of the committee of
unsecured creditors of Tribune (the
171
"Committee Action," and with the Individual Creditor Actions, collectively
referred to as the "Lawsuits"). The Lawsuits seek to unwind the LBO stock
repurchases as fraudulent transfers and recover the stock repurchase proceeds
paid to the Tribune shareholders who participated in the LBO.
On September 23, 2013, the Court entered an order dismissing the Individual
Creditor Actions in their entirety on the grounds that the individual creditor
plaintiffs lack standing to pursue their claims. The parties appealed the
Court's dismissal order to the United States Court of Appeals for the Second
Circuit (the "Second Circuit"), and, on March 29, 2016, the Second Circuit
affirmed the dismissal, albeit on the grounds that the individual creditor
plaintiffs' claims are preempted by the Bankruptcy Code's safe harbor for
securities transactions. The individual creditor plaintiffs filed a petition
for certiorari with the Supreme Court of the United States (the "Supreme
Court"), seeking review of the Second Circuit's ruling. Thereafter, the
individual creditor plaintiffs moved the Second Circuit to review its prior
ruling in light of the Supreme Court's decision in MERIT MANAGEMENT GROUP, LP
v. FTI CONSULTING, INC., 138 S.Ct. 883 (2018) ("Merit Mgmt."), which addressed
the scope of the Bankruptcy Code's safe harbor for securities transactions. The
Second Circuit agreed to review the matter and withdrew its mandate with
respect to the affirmance of the dismissal order. Consequently, the Supreme
Court dismissed the individual creditor plaintiffs' petition for certiorari.
The Second Circuit's review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee moved for
leave from the Court to file an amended complaint to assert new constructive
fraudulent transfer claims against the shareholder defendants in light of the
Merit Mgmt. decision. The Court denied the motion, ruling that the proposed
amendment would unduly prejudice the shareholder defendants and would be futile
because the Trustee's proposed constructive fraudulent transfer claims would be
barred by the Bankruptcy Code's safe harbor for securities transactions,
notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court's
dismissal order and order denying the Trustee's motion for leave to amend to
the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The U.S. Large Cap Value
Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
172
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of The U.S. Large Cap Value Series
(one of the series constituting The DFA Investment Trust Company, hereafter
referred to as the "Series") as of October 31, 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 Series 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 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, broker and 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
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.
174
DISINTERESTED DIRECTORS
OTHER
PORTFOLIOS DIRECTORSHIPS OF
TERM OF WITHIN THE PUBLIC
OFFICE/1/ AND DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN YEARS
----------------- --------- ------------ ----------------------------- ------------------ ------------------
George M. Constantinides Director Since 1983 Leo Melamed Professor of 128 portfolios in None
University of Chicago Booth Finance, University of 4 investment
School of Business 5807 S. Chicago Booth School of companies
Woodlawn Avenue Business (since 1978).
Chicago, IL 60637
1947
Douglas W. Director Since 2017 Merton H. Miller 128 portfolios in None
Diamond c/o Dimensional Distinguished Service 4 investment
Fund Advisors LP 6300 Bee Professor of Finance, companies
Cave Road, Building One University of Chicago Booth
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 6300 Bee Cave Graduate School of Business, companies Corporation
Road, Building One Austin, Stanford University (since (financial
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 New Haven, School of Management (since companies
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 Institute for Research in companies
Knight 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 6300 Bee Cave (since 2014). Frank E. Buck companies Inc. (2013-2014).
Road, Building One Austin, Professor of Finance, Formerly,
TX 78746 Emeritus, Graduate School of Director,
Business, Stanford University American Century
1941 (since 1981). Fund Complex
(registered
investment
companies) (43
Portfolios) (1980-
2014).
175
OTHER
PORTFOLIOS DIRECTORSHIPS OF
TERM OF WITHIN THE PUBLIC
OFFICE/1/ AND DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN YEARS
----------------- --------- ------------ ----------------------------- ------------------ --------------------
Abbie J. Smith Director Since 2000 Boris and Irene Stem 128 portfolios in Director (since
University of Chicago Booth Distinguished Service 4 investment 2000) and
School of Business 5807 S. Professor of Accounting, companies formerly, Lead
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 in Director, Fourth
c/o Dimensional Fund 2019 Professor of Finance, Fisher 4 investment Swedish AP Fund
Advisors LP 6300 Bee Cave College of Business, The Ohio companies (pension fund
Road, Building One Austin, State University (since asset
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).
176
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
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN PAST 5 YEARS
----------------- ------------- ----------- ----------------------------- ------------------ -------------------
David G. Booth 6300 Bee Chairman Since 1981 Chairman, Director/Trustee, 128 portfolios in None
Cave Road, Building One and Director and formerly, President and 4 investment
Austin, TX 78746 Co-Chief Executive Officer companies
(each until March 2017) of
1946 Dimensional Emerging Markets
Value Fund ("DEM"), DFAIDG,
Dimensional Investment Group
Inc. ("DIG") and The DFA
Investment Trust Company
("DFAITC"). Executive
Chairman, and formerly,
President and Co-Chief
Executive Officer (each until
February 2017) of Dimensional
Holdings Inc., Dimensional
Fund Advisors LP, 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.
177
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/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- -------------------- ---------------- ------------------------------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of
1967 Assistant Secretary
. all the DFA Entities (since 2001)
. DFA Australia Limited (since 2002)
. Dimensional Fund Advisors Ltd. (since 2002)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Hong Kong Limited (since 2012)
Director, Vice President and Assistant Secretary (since
2003) of
. Dimensional Fund Advisors Canada ULC
Ryan P. Buechner Vice President and Since September Vice President and Assistant Secretary of
1982 Assistant Secretary 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 2017 Co-Chief Executive Officer (since 2017) of
1964 Officer
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017) of
1972 President
. all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
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
178
TERM OF OFFICE/1/
NAME AND YEAR OF AND 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 President Vice President, Chief Financial Officer, and Treasurer
1958 Financial Officer, and since 2015 and (since 2016) of
Treasurer Chief Financial
Officer and . all the DFA Entities
Treasurer since
2016 . Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. 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 2004 Vice President (since 2004) and Assistant Secretary
1973 (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 President Vice President (since 2015) of
1971 Assistant Treasurer since 2015 and
Assistant . all the DFA Entities
Treasurer since
2017 Assistant Treasurer (since 2017) of
. the DFA Fund Complex
Formerly, Senior Tax Manager (2013 - 2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972
. all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
Catherine L. Newell President and General President since President (since 2017) of
1964 Counsel 2017 and
General Counsel . the DFA Fund Complex
since 2001
General Counsel (since 2001) of
. All the DFA Entities
Executive Vice President (since 2017) and Secretary (since
2000) of
179
TERM OF OFFICE/1/
NAME AND YEAR OF AND 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 2013 Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief
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)
180
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH
BIRTH POSITION OF 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.
181
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.
182
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).
NET
INVESTMENT SHORT-TERM LONG-TERM
INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF
DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL
------------------------------------ ------------- ------------- ------------- ---------
Enhanced U.S. Large Company Portfolio................................. 35% 24% 41% --
U.S. Large Cap Equity Portfolio....................................... 100% -- -- --
U.S. Large Cap Value Portfolio........................................ 30% -- 70% --
U.S. Targeted Value Portfolio......................................... 25% 5% 70% --
U.S. Small Cap Value Portfolio........................................ 17% 1% 82% --
U.S. Core Equity 1 Portfolio.......................................... 74% -- 26% --
U.S. Core Equity 2 Portfolio.......................................... 63% -- 37% --
U.S. Vector Equity Portfolio.......................................... 39% -- 61% --
U.S. Small Cap Portfolio.............................................. 23% 5% 72% --
U.S. Micro Cap Portfolio.............................................. 18% -- 82% --
U.S. High Relative Profitability Portfolio............................ 100% -- -- --
DFA Real Estate Securities Portfolio.................................. 100% -- -- --
DFA Commodity Strategy Portfolio...................................... 100% -- -- --
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
U.S. Large Company Portfolio.......................................... 75% -- 25% --
QUALIFYING
FOR
CORPORATE
DIVIDENDS QUALIFYING
TAX-EXEMPT TOTAL RECEIVED DIVIDEND
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
------------------------------------ ---------- ------------- ------------- ----------
Enhanced U.S. Large Company Portfolio................................. -- 100% -- --
U.S. Large Cap Equity Portfolio....................................... -- 100% 100% 100%
U.S. Large Cap Value Portfolio........................................ -- 100% 100% 100%
U.S. Targeted Value Portfolio......................................... -- 100% 100% 100%
U.S. Small Cap Value Portfolio........................................ -- 100% 100% 100%
U.S. Core Equity 1 Portfolio.......................................... -- 100% 100% 100%
U.S. Core Equity 2 Portfolio.......................................... -- 100% 100% 100%
U.S. Vector Equity Portfolio.......................................... -- 100% 100% 100%
U.S. Small Cap Portfolio.............................................. -- 100% 100% 100%
U.S. Micro Cap Portfolio.............................................. -- 100% 100% 100%
U.S. High Relative Profitability Portfolio............................ -- 100% 100% 100%
DFA Real Estate Securities Portfolio.................................. -- 100% -- --
DFA Commodity Strategy Portfolio...................................... -- 100% -- --
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
U.S. Large Company Portfolio.......................................... -- 100% 100% 100%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
GOVERNMENT TAX SOURCE INTEREST CAPITAL
DFA INVESTMENT DIMENSIONS GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------------------ ------------ ---------- ---------- ---------- ----------
Enhanced U.S. Large Company Portfolio................................. 11% -- -- 31% 31%
U.S. Large Cap Equity Portfolio....................................... -- -- -- -- --
U.S. Large Cap Value Portfolio........................................ -- -- -- -- --
U.S. Targeted Value Portfolio......................................... -- -- -- 1% 1%
U.S. Small Cap Value Portfolio........................................ -- -- -- 2% 2%
U.S. Core Equity 1 Portfolio.......................................... -- -- -- 1% --
U.S. Core Equity 2 Portfolio.......................................... -- -- -- 1% --
U.S. Vector Equity Portfolio.......................................... -- -- -- 1% --
U.S. Small Cap Portfolio.............................................. -- -- -- 2% 2%
U.S. Micro Cap Portfolio.............................................. -- -- -- 2% --
U.S. High Relative Profitability Portfolio............................ -- -- -- 1% --
DFA Real Estate Securities Portfolio.................................. -- -- -- 1% --
DFA Commodity Strategy Portfolio...................................... 14% -- -- 50% --
DIMENSIONAL INVESTMENT GROUP INC.
---------------------------------
U.S. Large Company Portfolio.......................................... -- -- -- -- --
(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.
183
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[GRAPHIC] Recycled Recyclable DFA103119-001AD
00237492
[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
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2019
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II
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 the Portfolio's annual and
semi-annual shareholder reports will no longer be sent by mail, unless you
specifically request paper copies of the reports from the Portfolio or from
your financial intermediary. Instead, the reports will be made available on the
Portfolio's website, and you will be notified by mail each time a report is
posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you
will not be affected by this change and you need not take any action. You may
elect to receive shareholder reports and other communications electronically
from the Portfolio anytime by contacting the Portfolio's transfer agent at
(888) 576-1167 or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of
charge. You can inform the Portfolio that you wish to continue receiving paper
copies of your shareholder reports by contacting your financial intermediary
or, if you invest directly with the Portfolio, by calling (888) 576-1167, to
let the Portfolio know of your request. Your election to receive reports in
paper will apply to all DFA Funds held directly or to all funds held through
your financial intermediary.
[THIS PAGE INTENTIONALLY LEFT BLANK]
LOGO
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]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES...................................... 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts........................................................... 2
Management's Discussion and Analysis......................................... 3
Disclosure of Fund Expenses.................................................. 4
Disclosure of Portfolio Holdings............................................. 5
Schedule of Investments
U.S. Large Cap Value Portfolio II........................................ 6
Statement of Assets and Liabilities.......................................... 7
Statement of Operations...................................................... 8
Statement of Changes in Net Assets........................................... 9
Financial Highlights......................................................... 10
Notes to Financial Statements................................................ 11
Report of Independent Registered Public Accounting Firm...................... 17
THE DFA INVESTMENT TRUST COMPANY
Performance Charts........................................................... 18
Management's Discussion and Analysis......................................... 19
Disclosure of Fund Expenses.................................................. 20
Disclosure of Portfolio Holdings............................................. 21
Summary Schedule of Portfolio Holdings
The U.S. Large Cap Value Series.......................................... 22
Statement of Assets and Liabilities.......................................... 25
Statement of Operations...................................................... 26
Statement of Changes in Net Assets........................................... 27
Financial Highlights......................................................... 28
Notes to Financial Statements................................................ 29
Report of Independent Registered Public Accounting Firm...................... 37
FUND MANAGEMENT................................................................. 38
Board of Directors or Trustees Table......................................... 39
VOTING PROXIES ON FUND PORTFOLIO SECURITIES..................................... 46
NOTICE TO SHAREHOLDERS.......................................................... 47
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
P.L.C. Public Limited Company
Investment Footnotes
+ See Note B to Financial Statements.
++ Calculated as a percentage of total net assets. Percentages
shown parenthetically next to the category headings have
been calculated as a percentage of total investments.
"Other Securities" are those securities that are not among
the top 50 holdings in unaffiliated issuers of the Fund or
do not represent more than 1.0% of the net assets of the
Fund. Some of the individual securities within this
category may include Total or Partial Securities on Loan
and/or Non-Income Producing Securities.
* Non-Income Producing Securities.
@ Security purchased with cash proceeds from Securities on
Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective Portfolio
and its respective pro-rata share of its Master Fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
(UNAUDITED)
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO II VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Large Cap Value Portfolio II Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,559 10,564
12/31/2009 10,858 10,751
1/31/2010 10,604 10,448
2/28/2010 11,058 10,778
3/31/2010 11,918 11,480
4/30/2010 12,293 11,777
5/31/2010 11,248 10,809
6/30/2010 10,389 10,200
7/31/2010 11,210 10,891
8/31/2010 10,524 10,425
9/30/2010 11,566 11,234
10/31/2010 11,987 11,571
11/30/2010 11,892 11,509
12/31/2010 13,052 12,418
1/31/2011 13,475 12,698
2/28/2011 14,198 13,167
3/31/2011 14,266 13,219
4/30/2011 14,622 13,571
5/31/2011 14,417 13,428
6/30/2011 14,170 13,152
7/31/2011 13,511 12,716
8/31/2011 12,371 11,923
9/30/2011 11,123 11,022
10/31/2011 12,669 12,283
11/30/2011 12,558 12,220
12/31/2011 12,655 12,466
1/31/2012 13,281 12,938
2/29/2012 14,046 13,453
3/31/2012 14,315 13,852
4/30/2012 14,022 13,711
5/31/2012 13,018 12,907
6/30/2012 13,719 13,548
7/31/2012 13,860 13,688
8/31/2012 14,407 13,985
9/30/2012 14,939 14,429
10/31/2012 14,967 14,358
11/30/2012 15,010 14,352
12/31/2012 15,467 14,649
1/31/2013 16,532 15,601
2/28/2013 16,745 15,825
3/31/2013 17,555 16,452
4/30/2013 17,741 16,700
5/31/2013 18,467 17,129
6/30/2013 18,260 16,978
7/31/2013 19,348 17,895
8/31/2013 18,776 17,216
9/30/2013 19,333 17,647
10/31/2013 20,310 18,420
11/30/2013 21,159 18,934
12/31/2013 21,720 19,413
1/31/2014 20,867 18,724
2/28/2014 21,575 19,534
3/31/2014 22,072 20,000
4/30/2014 22,217 20,190
5/31/2014 22,710 20,486
6/30/2014 23,321 21,021
7/31/2014 23,161 20,663
8/31/2014 23,889 21,422
9/30/2014 23,302 20,980
10/31/2014 23,478 21,452
11/30/2014 23,756 21,891
12/31/2014 23,942 22,025
1/31/2015 22,748 21,145
2/28/2015 24,354 22,168
3/31/2015 23,894 21,866
4/30/2015 24,382 22,070
5/31/2015 24,649 22,336
6/30/2015 24,256 21,890
7/31/2015 24,182 21,986
8/31/2015 22,724 20,676
9/30/2015 21,994 20,052
10/31/2015 23,789 21,565
11/30/2015 23,879 21,648
12/31/2015 23,125 21,182
1/31/2016 21,558 20,088
2/29/2016 21,588 20,082
3/31/2016 23,165 21,529
4/30/2016 23,787 21,981
5/31/2016 24,106 22,323
6/30/2016 24,090 22,516
7/31/2016 24,914 23,170
8/31/2016 25,204 23,348
9/30/2016 25,332 23,300
10/31/2016 24,902 22,939
11/30/2016 26,850 24,249
12/31/2016 27,530 24,855
1/31/2017 27,927 25,032
2/28/2017 28,768 25,932
3/31/2017 28,505 25,668
4/30/2017 28,696 25,619
5/31/2017 28,665 25,594
6/30/2017 29,147 26,013
7/31/2017 29,644 26,358
8/31/2017 29,371 26,051
9/30/2017 30,511 26,823
10/31/2017 30,946 27,018
11/30/2017 32,043 27,845
12/31/2017 32,797 28,251
1/31/2018 34,479 29,344
2/28/2018 32,780 27,943
3/31/2018 32,024 27,451
4/30/2018 32,076 27,542
5/31/2018 32,376 27,705
6/30/2018 32,146 27,774
7/31/2018 33,492 28,873
8/31/2018 33,969 29,300
9/30/2018 34,010 29,358
10/31/2018 31,856 27,838
11/30/2018 32,586 28,669
12/31/2018 29,007 25,916
1/31/2019 31,527 27,933
2/28/2019 32,308 28,825
3/31/2019 32,148 29,009
4/30/2019 33,248 30,038
5/31/2019 30,695 28,106
6/30/2019 33,150 30,124 Past performance is not predictive of future
7/31/2019 33,505 30,374 performance.
8/31/2019 32,122 29,481
9/30/2019 33,394 30,532 The returns shown do not reflect the deduction
10/31/2019 34,110 30,959 of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
AVERAGE ANNUAL
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS Russell data copyright (C) Russell
-------------- -------- ---------- --------- Investment Group 1995-2019, all rights
7.07% 7.76% 13.05% reserved.
--------------------------------------------------------------------------------
2
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index...................................................... 13.49%
Russell 1000(R) Index (large-cap stocks)................................... 14.15%
Russell Midcap(R) Index (mid-cap stocks)................................... 13.72%
Russell 2000(R) Index (small-cap stocks)................................... 4.90%
Russell Microcap(R) Index (micro-cap stocks)............................... -3.27%
Dow Jones U.S. Select REIT Index/SM/....................................... 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value stocks)....................... 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks)..................... 17.10%
Russell 2000(R) Value Index (small-cap value stocks)....................... 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks)..................... 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE PORTFOLIO II
The U.S. Large Cap Value Portfolio II is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. 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 value
segment of the U.S. market. As of October 31, 2019, the Master Fund held
approximately 330 securities. 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 7.07% for the
Portfolio and 11.21% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Master Fund's greater emphasis on value stocks detracted
from performance relative to the benchmark. At the sector level, the Master
Fund's exclusions of real estate investment trusts (REITs) and certain
utilities also detracted from relative performance, as REITs and utilities
generally outperformed in the U.S.
3
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
U.S. LARGE CAP VALUE PORTFOLIO II (2)
-------------------------------------
Actual Fund Return................................ $1,000.00 $1,025.90 0.17% $0.87
Hypothetical 5% Annual Return..................... $1,000.00 $1,024.35 0.17% $0.87
--------
(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).
4
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters 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 the Disclosure of Portfolio Holdings, which is
included elsewhere in the report. Refer to the Summary Schedule of Portfolio
Holdings for the underlying Affiliated Investment Company's holdings, which
reflect the investments by category.
AFFILIATED INVESTMENT COMPANY
-----------------------------
U.S. Large Cap Value Portfolio II................. 100.0%
5
U.S. LARGE CAP VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of
The DFA Investment Trust Company......................... $169,748,365
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $169,748,365
============
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.
6
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. LARGE CAP
VALUE PORTFOLIO II
------------------
ASSETS:
Investments in Affiliated Investment Company at Value............ $ 169,748
Prepaid Expenses and Other Assets................................ 9
------------
Total Assets.............................................. 169,757
------------
LIABILITIES:
Payables:
Fund Shares Redeemed.......................................... 43
Due to Advisor................................................ 1
Accrued Expenses and Other Liabilities........................... 16
------------
Total Liabilities......................................... 60
------------
NET ASSETS....................................................... $ 169,697
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 9,891,329
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE......... $ 17.16
============
NET ASSETS CONSIST OF:
Paid-In Capital.................................................. $ 96,281
Total Distributable Earnings (Loss).............................. 73,416
------------
NET ASSETS....................................................... $ 169,697
============
(1) NUMBER OF SHARES AUTHORIZED.................................. 300,000,000
============
See accompanying Notes to Financial Statements.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP
VALUE PORTFOLIO II*
-------------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $0)................. $ 4,335
Income from Securities Lending.................................. 9
Expenses Allocated from Affiliated Investment Companies......... (182)
-------
Total Net Investment Income Allocated from
Affiliated Investment Companies:....................... 4,162
-------
FUND EXPENSES
Investment Management Fees...................................... 183
Accounting & Transfer Agent Fees................................ 32
Filing Fees..................................................... 22
Shareholders' Reports........................................... 20
Directors'/Trustees' Fees & Expenses............................ 1
Other........................................................... 2
-------
Total Fund Expenses...................................... 260
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... (166)
-------
Net Expenses.................................................... 94
-------
NET INVESTMENT INCOME (LOSS).................................... 4,068
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment
Company**................................................. 7,102
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment
Company................................................... 188
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 7,290
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $11,358
=======
--------
** 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.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
U.S. LARGE CAP VALUE
PORTFOLIO II
------------------
YEAR YEAR
ENDED OCT ENDED OCT
31, 2019 31, 2018
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 4,068 $ 3,860
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment
Company*,**............................................... 7,102 12,976
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment
Company................................................... 188 (11,330)
-------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 11,358 5,506
-------- --------
Distributions:
Institutional Class Shares.................................. (16,849) (17,481)
-------- --------
Total Distributions...................................... (16,849) (17,481)
-------- --------
Capital Share Transactions (1):
Shares Issued................................................... 9,490 15,250
Shares Issued in Lieu of Cash Distributions..................... 16,849 17,481
Shares Redeemed................................................. (21,121) (27,651)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 5,218 5,080
-------- --------
Total Increase (Decrease) in Net Assets.................. (273) (6,895)
NET ASSETS
Beginning of Year............................................... 169,970 176,865
-------- --------
End of Year..................................................... $169,697 $169,970
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 574 805
Shares Issued in Lieu of Cash Distributions..................... 1,099 947
Shares Redeemed................................................. (1,280) (1,470)
-------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 393 282
======== ========
--------
* 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.
9
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO II
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED OCT ENDED OCT ENDED OCT ENDED OCT ENDED OCT
31, 2019 31, 2018 31, 2017 31, 2016 31, 2015
--------- --------- --------- --------- ---------
Net Asset Value, Beginning of Year.......................... $ 17.90 $ 19.19 $ 16.24 $ 15.90 $ 16.04
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.41 0.40 0.39 0.37 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.61 0.20 3.47 0.36 (0.15)
-------- -------- -------- -------- --------
Total from Investment Operations..................... 1.02 0.60 3.86 0.73 0.20
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.40) (0.40) (0.39) (0.39) (0.34)
Net Realized Gains....................................... (1.36) (1.49) (0.52) -- --
-------- -------- -------- -------- --------
Total Distributions.................................. (1.76) (1.89) (0.91) (0.39) (0.34)
-------- -------- -------- -------- --------
Net Asset Value, End of Year................................ $ 17.16 $ 17.90 $ 19.19 $ 16.24 $ 15.90
======== ======== ======== ======== ========
Total Return................................................ 7.07% 2.94% 24.27% 4.68% 1.33%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)......................... $169,697 $169,970 $176,865 $151,171 $157,737
Ratio of Expenses to Average Net Assets (B)................. 0.17% 0.14% 0.14% 0.15% 0.15%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................ 0.27% 0.24% 0.24% 0.25% 0.18%
Ratio of Net Investment Income to Average Net Assets (B).... 2.45% 2.11% 2.16% 2.37% 2.16%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
10
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, one of
which, U.S. Large Cap Value Portfolio II (the "Portfolio"), is presented in
this report. The remaining portfolios are presented in separate reports. The
Portfolio is an investment company, and accordingly, follows the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
The Portfolio invests substantially all of its assets in The U.S. Large Cap
Value Series (the "Series"), a corresponding series of The DFA Investment Trust
Company. As of October 31, 2019, the Portfolio owned 1% of the Series. The
financial statements of the Series are included elsewhere in this report and
should be read in conjunction with the financial statements of the Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolio uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA 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.
11
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 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 and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
During the year ended October 31, 2019, the Portfolio's investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.11% of the Portfolio's average daily net assets.
Effective July 21, 2015, pursuant to an Amended and Restated Fee Waiver
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of the Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
the Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed below as a percentage of the average
net assets of a class of the Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
During the year ended October 31, 2019, the Portfolio had a total management
fee limit based on a percentage of its average net assets on an annualized
basis and waived fees (amount in thousands) as reflected below.
NET WAIVED FEES/
EXPENSES ASSUMED
(RECOVERED
TOTAL PREVIOUSLY WAIVED
MANAGEMENT FEES/EXPENSES
INSTITUTIONAL CLASS SHARES FEE LIMIT ASSUMED)
-------------------------- ---------- -----------------
U.S. Large Cap Value Portfolio II................. 0.11% $166
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 $30 (in thousands). The total related amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
12
D. DEFERRED COMPENSATION:
As of October 31, 2019, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amount in thousands):
U.S. Large Cap Value Portfolio II.......................................... $7
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings as appropriate, in the period that the differences arise. Accordingly,
the permanent differences as of October 31, 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
-------------- ------------- ---------- -------
U.S. Large Cap Value Portfolio II
2018......................................... $4,352 $13,129 -- $17,481
2019......................................... 3,991 12,858 -- 16,849
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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
U.S. Large Cap Value Portfolio II..... $363 $7,202 $65,862 $73,427
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 did not have any capital
loss carryforwards available to offset future realized capital gains.
13
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)
-------- ------------ -------------- --------------
U.S. Large Cap Value Portfolio II..... $103,903 $65,861 -- $65,861
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
1. FUTURES CONTRACTS: The Portfolio may purchase or sell futures contracts
and options on futures contracts for equity securities and indices, to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolio. The Portfolio, however, does not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. Government
securities to a broker in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statement of Operations as a net realized gain or loss on futures, equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolio to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective 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.
14
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2019.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Portfolio'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
------------ --------------
U.S. Large Cap Value Portfolio II................. 2 100%
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business. Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises
15
from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO")
and Tribune's subsequent bankruptcy and reorganization. In connection with the
LBO, thousands of Tribune shareholders, including the Series, sold Tribune
shares back to Tribune for $34 per share. The Tribune MDL includes a series of
lawsuits brought by individual creditors of Tribune (the "Individual Creditor
Actions") and a lawsuit brought by a court-appointed trustee (the "Trustee") on
behalf of the committee of unsecured creditors of Tribune (the "Committee
Action," and with the Individual Creditor Actions, collectively referred to as
the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as
fraudulent transfers and recover the stock repurchase proceeds paid to the
Tribune shareholders who participated in the LBO. On September 23, 2013, the
Court entered an order dismissing the Individual Creditor Actions in their
entirety on the grounds that the individual creditor plaintiffs lacked standing
to pursue their claims. The parties appealed the Court's dismissal order to the
United States Court of Appeals for the Second Circuit (the "Second Circuit")
and on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the
grounds that the individual creditor plaintiffs' claims were preempted by the
Bankruptcy Code's safe harbor for securities transactions. The individual
creditor plaintiffs filed a petition for certiorari with the Supreme Court of
the United States (the "Supreme Court"), seeking review of the Second Circuit's
ruling. Thereafter, the individual creditor plaintiffs moved the Second Circuit
to review its prior ruling in light of the Supreme Court's decision in Merit
Management Group, LP v. FTI Consulting, Inc., 138 S.Ct. 883 (2018) ("Merit
Mgmt."), which addressed the scope of the Bankruptcy Code's safe harbor for
securities transactions. The Second Circuit agreed to review the matter and
withdrew its mandate with respect to the affirmance of the dismissal order.
Consequently, the Supreme Court dismissed the individual creditor plaintiffs'
petition for certiorari. The Second Circuit's review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee moved for
leave from the Court to file an amended complaint to assert new constructive
fraudulent transfer claims against the shareholder defendants in light of the
Merit Mgmt. decision. The Court denied the motion, ruling that the proposed
amendment would unduly prejudice the shareholder defendants and would be futile
because the Trustee's proposed constructive fraudulent transfer claims would be
barred by the Bankruptcy Code's safe harbor for securities transactions,
notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court's
dismissal order and order denying the Trustee's motion for leave to amend to
the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The U.S. Large Cap Value
Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
K. SUBSEQUENT EVENT EVALUATIONS:
On December 18, 2019, the Board approved a plan to liquidate U.S. Large Cap
Value Portfolio II. The liquidation is expected to be completed on or about
February 28, 2020.
16
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of U.S. Large Cap Value Portfolio II
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of U.S. Large Cap Value Portfolio II (one of the
portfolios constituting Dimensional Investment Group Inc., hereafter referred
to as the "Portfolio") as of October 31, 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 securities 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.
17
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,564 10,564
12/31/2009 10,855 10,751
1/31/2010 10,603 10,448
2/28/2010 11,061 10,778
3/31/2010 11,923 11,480
4/30/2010 12,301 11,777
5/31/2010 11,247 10,809
6/30/2010 10,398 10,200
7/31/2010 11,214 10,891
8/31/2010 10,537 10,425
9/30/2010 11,565 11,234
10/31/2010 11,996 11,571
11/30/2010 11,903 11,509
12/31/2010 13,064 12,418
1/31/2011 13,481 12,698
2/28/2011 14,211 13,167
3/31/2011 14,277 13,219
4/30/2011 14,642 13,571
5/31/2011 14,430 13,428
6/30/2011 14,178 13,152
7/31/2011 13,528 12,716
8/31/2011 12,387 11,923
9/30/2011 11,134 11,022
10/31/2011 12,679 12,283
11/30/2011 12,573 12,220
12/31/2011 12,672 12,466
1/31/2012 13,302 12,938
2/29/2012 14,072 13,453
3/31/2012 14,330 13,852
4/30/2012 14,038 13,711
5/31/2012 13,044 12,907
6/30/2012 13,747 13,548
7/31/2012 13,879 13,688
8/31/2012 14,430 13,985
9/30/2012 14,960 14,429
10/31/2012 15,000 14,358
11/30/2012 15,033 14,352
12/31/2012 15,491 14,649
1/31/2013 16,572 15,601
2/28/2013 16,784 15,825
3/31/2013 17,586 16,452
4/30/2013 17,772 16,700
5/31/2013 18,501 17,129
6/30/2013 18,296 16,978
7/31/2013 19,390 17,895
8/31/2013 18,820 17,216
9/30/2013 19,370 17,647
10/31/2013 20,351 18,420
11/30/2013 21,207 18,934
12/31/2013 21,771 19,413
1/31/2014 20,908 18,724
2/28/2014 21,618 19,534
3/31/2014 22,129 20,000
4/30/2014 22,275 20,190
5/31/2014 22,765 20,486
6/30/2014 23,382 21,021
7/31/2014 23,216 20,663
8/31/2014 23,952 21,422
9/30/2014 23,362 20,980
10/31/2014 23,541 21,452
11/30/2014 23,820 21,891
12/31/2014 23,999 22,025
1/31/2015 22,812 21,145
2/28/2015 24,423 22,168
3/31/2015 23,959 21,866
4/30/2015 24,443 22,070
5/31/2015 24,715 22,336
6/30/2015 24,317 21,890
7/31/2015 24,257 21,986
8/31/2015 22,785 20,676
9/30/2015 22,056 20,052
10/31/2015 23,853 21,565
11/30/2015 23,946 21,648
12/31/2015 23,196 21,182
1/31/2016 21,618 20,088
2/29/2016 21,658 20,082
3/31/2016 23,236 21,529
4/30/2016 23,866 21,981
5/31/2016 24,191 22,323
6/30/2016 24,164 22,516
7/31/2016 25,000 23,170
8/31/2016 25,298 23,348
9/30/2016 25,418 23,300
10/31/2016 24,987 22,939
11/30/2016 26,950 24,249
12/31/2016 27,626 24,855
1/31/2017 28,024 25,032
2/28/2017 28,879 25,932
3/31/2017 28,607 25,668
4/30/2017 28,806 25,619
5/31/2017 28,773 25,594
6/30/2017 29,257 26,013
7/31/2017 29,755 26,358
8/31/2017 29,476 26,051
9/30/2017 30,617 26,823
10/31/2017 31,061 27,018
11/30/2017 32,168 27,845
12/31/2017 32,918 28,251
1/31/2018 34,609 29,344
2/28/2018 32,898 27,943
3/31/2018 32,155 27,451
4/30/2018 32,202 27,542
5/31/2018 32,513 27,705
6/30/2018 32,281 27,774
7/31/2018 33,621 28,873
8/31/2018 34,111 29,300
9/30/2018 34,145 29,358
10/31/2018 31,976 27,838
11/30/2018 32,719 28,669
12/31/2018 29,125 25,916
1/31/2019 31,651 27,933
2/28/2019 32,440 28,825
3/31/2019 32,281 29,009
4/30/2019 33,395 30,038
5/31/2019 30,822 28,106
6/30/2019 33,289 30,124
7/31/2019 33,647 30,374 Past performance is not predictive of future
8/31/2019 32,268 29,481 performance.
9/30/2019 33,541 30,532
10/31/2019 34,264 30,959 The returns shown do not reflect the deduction
of taxes that a shareholder would pay on fund
AVERAGE ANNUAL distributions or the redemption of fund shares.
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- --------- Russell data copyright (C) Russell Investment
7.15% 7.80% 13.11% Group 1995-2019, all rights reserved.
18
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index...................................................... 13.49%
Russell 1000(R) Index (large-cap stocks)................................... 14.15%
Russell Midcap(R) Index (mid-cap stocks)................................... 13.72%
Russell 2000(R) Index (small-cap stocks)................................... 4.90%
Russell Microcap(R) Index (micro-cap stocks)............................... -3.27%
Dow Jones U.S. Select REIT Index/SM/....................................... 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value stocks)....................... 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks)..................... 17.10%
Russell 2000(R) Value Index (small-cap value stocks)....................... 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks)..................... 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. 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 value segment of the U.S. market. As
of October 31, 2019, the Series held approximately 330 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 7.15% for the
Series and 11.21% for the Russell 1000(R) Value Index, the Series' benchmark.
As a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. With low relative price (value)
stocks generally underperforming high relative price (growth) stocks, the
Series' greater emphasis on value stocks detracted from performance relative to
the benchmark. At the sector level, the Series' exclusions of real estate
investment trusts (REITs) and certain utilities also detracted from relative
performance, as REITs and utilities generally outperformed in the U.S.
19
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
THE U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................................ $1,000.00 $1,026.00 0.11% $0.56
Hypothetical 5% Annual Return..................... $1,000.00 $1,024.65 0.11% $0.56
--------
(1) Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
20
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 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.
DOMESTIC EQUITY PORTFOLIO
THE U.S. LARGE CAP VALUE SERIES
Communication Services..................................................... 12.2%
Consumer Discretionary..................................................... 6.8%
Consumer Staples........................................................... 4.8%
Energy..................................................................... 12.3%
Financials................................................................. 23.6%
Health Care................................................................ 14.4%
Industrials................................................................ 10.7%
Information Technology..................................................... 9.9%
Materials.................................................................. 4.7%
Real Estate................................................................ 0.3%
Utilities.................................................................. 0.3%
-----
100.0%
21
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (12.0%)
AT&T, Inc......................................... 33,969,452 $1,307,484,208 4.4%
* Charter Communications, Inc., Class A............. 940,732 440,130,874 1.5%
Comcast Corp., Class A............................ 21,970,229 984,705,664 3.3%
Walt Disney Co. (The)............................. 3,453,204 448,640,264 1.5%
Other Securities.................................. 438,144,096 1.4%
-------------- ----
TOTAL COMMUNICATION SERVICES............................. 3,619,105,106 12.1%
-------------- ----
CONSUMER DISCRETIONARY -- (6.7%)
DR Horton, Inc.................................... 3,053,585 159,916,246 0.5%
General Motors Co................................. 6,055,833 225,034,754 0.8%
Target Corp....................................... 1,473,116 157,490,831 0.5%
Other Securities.................................. 1,477,743,583 4.9%
-------------- ----
TOTAL CONSUMER DISCRETIONARY............................. 2,020,185,414 6.7%
-------------- ----
CONSUMER STAPLES -- (4.8%)
Mondelez International, Inc., Class A............. 3,530,822 185,191,614 0.6%
Tyson Foods, Inc., Class A........................ 1,750,467 144,921,163 0.5%
Walgreens Boots Alliance, Inc..................... 3,401,321 186,324,364 0.6%
Walmart, Inc...................................... 3,918,069 459,432,771 1.5%
Other Securities.................................. 460,308,472 1.6%
-------------- ----
TOTAL CONSUMER STAPLES................................... 1,436,178,384 4.8%
-------------- ----
ENERGY -- (12.1%)
Chevron Corp...................................... 8,424,414 978,411,442 3.3%
ConocoPhillips.................................... 5,133,675 283,378,860 0.9%
Exxon Mobil Corp.................................. 13,344,776 901,706,514 3.0%
Marathon Petroleum Corp........................... 3,109,699 198,865,251 0.7%
Phillips 66....................................... 1,185,191 138,454,013 0.5%
Valero Energy Corp................................ 2,446,279 237,240,137 0.8%
Other Securities.................................. 908,813,560 3.0%
-------------- ----
TOTAL ENERGY............................................. 3,646,869,777 12.2%
-------------- ----
FINANCIALS -- (23.2%)
Bank of America Corp.............................. 22,040,613 689,210,000 2.3%
Bank of New York Mellon Corp. (The)............... 3,657,167 170,972,557 0.6%
* Berkshire Hathaway, Inc., Class B................. 2,984,980 634,547,048 2.1%
Capital One Financial Corp........................ 2,121,634 197,842,371 0.7%
Citigroup, Inc.................................... 7,149,102 513,734,470 1.7%
Fifth Third Bancorp............................... 4,857,785 141,264,388 0.5%
Goldman Sachs Group, Inc. (The)................... 1,393,141 297,268,427 1.0%
JPMorgan Chase & Co .............................. 7,660,148 956,905,688 3.2%
Morgan Stanley.................................... 4,980,221 229,339,177 0.8%
PNC Financial Services Group, Inc. (The).......... 1,313,525 192,694,118 0.6%
Travelers Cos., Inc. (The)........................ 1,165,331 152,728,281 0.5%
Wells Fargo & Co.................................. 16,157,084 834,190,247 2.8%
Other Securities.................................. 1,996,982,476 6.6%
-------------- ----
TOTAL FINANCIALS......................................... 7,007,679,248 23.4%
-------------- ----
HEALTH CARE -- (14.2%)
Anthem, Inc....................................... 1,376,563 370,405,572 1.2%
22
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
* Cigna Corp....................................... 1,498,160 $ 267,361,634 0.9%
CVS Health Corp.................................. 5,447,574 361,664,438 1.2%
Danaher Corp..................................... 1,690,202 232,943,640 0.8%
Humana, Inc...................................... 529,635 155,818,617 0.5%
Medtronic P.L.C.................................. 4,359,974 474,801,169 1.6%
Pfizer, Inc...................................... 24,583,746 943,278,334 3.2%
Thermo Fisher Scientific, Inc.................... 1,073,774 324,258,273 1.1%
Other Securities................................. 1,154,628,998 3.8%
--------------- -----
TOTAL HEALTH CARE...................................... 4,285,160,675 14.3%
--------------- -----
INDUSTRIALS -- (10.6%)
Delta Air Lines, Inc............................. 2,950,569 162,517,341 0.5%
Eaton Corp. P.L.C................................ 1,816,899 158,270,072 0.5%
FedEx Corp....................................... 1,023,792 156,292,087 0.5%
Norfolk Southern Corp............................ 1,385,379 252,138,978 0.8%
Republic Services, Inc........................... 1,904,674 166,678,022 0.6%
Stanley Black & Decker, Inc...................... 1,031,996 156,171,955 0.5%
* United Airlines Holdings, Inc.................... 1,825,283 165,808,708 0.6%
United Technologies Corp......................... 2,227,609 319,840,100 1.1%
Other Securities................................. 1,652,160,523 5.6%
--------------- -----
TOTAL INDUSTRIALS...................................... 3,189,877,786 10.7%
--------------- -----
INFORMATION TECHNOLOGY -- (9.8%)
Fidelity National Information Services, Inc...... 1,545,803 203,675,003 0.7%
HP, Inc.......................................... 9,619,949 167,098,514 0.6%
Intel Corp....................................... 22,465,295 1,269,963,126 4.3%
* Micron Technology, Inc........................... 5,266,057 250,401,010 0.8%
Other Securities................................. 1,051,055,240 3.4%
--------------- -----
TOTAL INFORMATION TECHNOLOGY........................... 2,942,192,893 9.8%
--------------- -----
MATERIALS -- (4.6%)
Other Securities................................. 1,394,107,868 4.7%
--------------- -----
REAL ESTATE -- (0.3%)
Other Securities................................. 85,587,023 0.3%
--------------- -----
UTILITIES -- (0.3%)
Other Securities................................. 94,489,673 0.3%
--------------- -----
TOTAL COMMON STOCKS
(Cost $21,723,243,935)............................... 29,721,433,847 99.3%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money
Market Fund, 1.752%............................ 166,338,555 166,338,555 0.6%
--------------- -----
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund............... 22,114,935 255,891,910 0.8%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $22,145,430,170)............................... $30,143,664,312 100.7%
=============== =====
23
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
As of October 31, 2019, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............................ 985 12/20/19 $148,128,680 $149,513,150 $1,384,470
------------ ------------ ----------
TOTAL FUTURES CONTRACTS........................... $148,128,680 $149,513,150 $1,384,470
============ ============ ==========
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................................... $ 3,619,105,106 -- -- $ 3,619,105,106
Consumer Discretionary................................... 2,020,185,414 -- -- 2,020,185,414
Consumer Staples......................................... 1,436,178,384 -- -- 1,436,178,384
Energy................................................... 3,646,869,777 -- -- 3,646,869,777
Financials............................................... 7,007,679,248 -- -- 7,007,679,248
Health Care.............................................. 4,285,160,675 -- -- 4,285,160,675
Industrials.............................................. 3,189,877,786 -- -- 3,189,877,786
Information Technology................................... 2,942,192,893 -- -- 2,942,192,893
Materials................................................ 1,394,107,868 -- -- 1,394,107,868
Real Estate.............................................. 85,587,023 -- -- 85,587,023
Utilities................................................ 94,489,673 -- -- 94,489,673
Temporary Cash Investments.................................. 166,338,555 -- -- 166,338,555
Securities Lending Collateral............................... -- $255,891,910 -- 255,891,910
Futures Contracts**......................................... 1,384,470 -- -- 1,384,470
--------------- ------------ ---- ---------------
TOTAL....................................................... $29,889,156,872 $255,891,910 -- $30,145,048,782
=============== ============ ==== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
24
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE
CAP VALUE
SERIES*
--------------
ASSETS:
Investment Securities at Value (including $576,819 of securities
on loan, respectively)......................................... $29,721,433
Temporary Cash Investments at Value & Cost....................... 166,339
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $255,848)............................. 255,892
Segregated Cash for Futures Contracts............................ 6,206
Receivables:
Dividends and Interest........................................ 40,355
Securities Lending Income..................................... 98
-----------
Total Assets.............................................. 30,190,323
-----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.............................. 255,842
Due to Advisor................................................ 2,486
Futures Margin Variation...................................... 591
Accrued Expenses and Other Liabilities........................... 1,726
-----------
Total Liabilities......................................... 260,645
-----------
NET ASSETS....................................................... $29,929,678
===========
Investment Securities at Cost.................................... $21,723,243
===========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
25
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE
CAP VALUE
SERIES#
--------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0)............... $ 755,430
Income from Securities Lending................................ 1,639
----------
Total Investment Income................................... 757,069
----------
EXPENSES
Investment Management Fees.................................... 29,007
Accounting & Transfer Agent Fees.............................. 1,223
Custodian Fees................................................ 301
Directors'/Trustees' Fees & Expenses.......................... 172
Professional Fees............................................. 446
Other......................................................... 581
----------
Total Expenses............................................ 31,730
----------
Net Expenses.................................................. 31,730
----------
NET INVESTMENT INCOME (LOSS).................................. 725,339
----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**.............................. 699,155
Affiliated Investment Companies Shares Sold............... 35
Futures................................................... (1,255)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ 565,227
Affiliated Investment Companies Shares.................... 21
Futures................................................... 15,103
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,278,286
----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $2,003,625
==========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
26
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE
SERIES
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......................... $ 725,339 $ 633,952
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.................... 699,155 1,506,250
Affiliated Investment Companies Shares
Sold............................................ 35 (48)
Futures........................................... (1,255) 32,885
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign Currency........ 565,227 (1,356,683)
Affiliated Investment Companies Shares............ 21 (15)
Futures........................................... 15,103 (21,778)
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................... 2,003,625 794,563
----------- -----------
Transactions in Interest:
Contributions......................................... 1,481,953 2,333,386
Withdrawals........................................... (2,798,695) (1,561,700)
----------- -----------
Net Increase (Decrease) from
Transactions in Interest..................... (1,316,742) 771,686
----------- -----------
Total Increase (Decrease) in Net Assets........ 686,883 1,566,249
NET ASSETS
Beginning of Year..................................... 29,242,795 27,676,546
----------- -----------
End of Year........................................... $29,929,678 $29,242,795
=========== ===========
--------
* 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.
27
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Total Return...................................... 7.15% 2.95% 24.31% 4.75% 1.32%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)............... $29,929,678 $29,242,795 $27,676,546 $20,916,568 $19,094,057
Ratio of Expenses to Average Net Assets........... 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)........................... 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.50% 2.14% 2.19% 2.39% 2.20%
Portfolio Turnover Rate........................... 10% 13% 15% 15% 16%
----------- ----------- ----------- ----------- -----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
28
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, one of which, The U.S. Large Cap Value
Series (the "Series"), is presented in this report. The remaining operational
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
the Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC"), Topic 946, "Financial Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Series uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. Securities held by the Series
that are listed on Nasdaq are valued at the Nasdaq Official Closing Price
("NOCP"). If there is no last reported sale price or NOCP for the day, the
Series values the securities within the range of the most recent quoted bid and
ask prices. Price information on listed securities is taken from the exchange
where the security is primarily traded. Generally, securities issued by
open-end management investment companies are valued using their respective net
asset values or public offering prices, as appropriate, for purchase orders
placed at the close of the New York Stock Exchange (NYSE). These securities are
generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
29
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 are included at the end of the Summary Schedule of
Portfolio Holdings. The methodology or inputs used for valuing securities are
not necessarily an indication of the risk associated with investing in those
securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred compensation until a date specified by
such Trustee in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Trust; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred fee account shall commence,
payment of such amount shall commence as of the first business day of January
following the year in which the Trustee ceases to be a member of the Board
(unless the Trustee files an amended Notice selecting a different distribution
date). As of October 31, 2019, none of the Trustees have requested or received
a distribution of proceeds of a deferred fee account.
3. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities and foreign currency are accounted for on the basis of identified
cost. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimates the character of
received distributions that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
using the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board of Trustees, generally based on
average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2019, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% of average daily net assets for the Series.
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 amount paid by the Trust to
the CCO was $73 (in thousands). The total related amount paid by the Series is
included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 2019, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities on the Statement
of Assets and Liabilities as follows (amount in thousands):
The U.S. Large Cap Value Series............................................ $680
30
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Series' made the following
purchases and sales of investment securities, other than short-term securities,
in-kind redemptions and U.S. Government securities (amounts in thousands):
OTHER INVESTMENT
SECURITIES
---------------------
PURCHASES SALES
---------- ----------
The U.S. Large Cap Value Series....................................... $3,093,702 $2,922,384
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):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
---------------- ---------- ---------- ------------ -------------
THE U.S. LARGE CAP VALUE SERIES
The DFA Short Term Investment Fund................ $516,726 $5,011,809 $5,272,699 $35 $21
-------- ---------- ---------- --- ---
TOTAL............................................. $516,726 $5,011,809 $5,272,699 $35 $21
======== ========== ========== === ===
SHARES AS OF
BALANCE AT OCTOBER 31, DIVIDEND CAPITAL GAIN
OCTOBER 31, 2019 2019 INCOME DISTRIBUTIONS
---------------- ------------ -------- -------------
THE U.S. LARGE CAP VALUE SERIES
The DFA Short Term Investment Fund................ $255,892 22,115 $14,604 --
-------- ------ ------- --
TOTAL............................................. $255,892 22,115 $14,604 --
======== ====== ======= ==
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
As of October 31, 2019, the total cost and aggregate gross unrealized
appreciation (depreciation) of securities for federal income tax purposes were
different from amounts reported for financial reporting purposes, as follows
(amounts in thousands):
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
The U.S. Large Cap Value Series....................................... $22,130,188 $9,582,563 $(1,569,086) $8,013,477
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales and investments in passive foreign investment companies.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. The Series is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
31
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objective and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
1. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities to a broker in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Series as unrealized
gains or losses until the contracts are closed. When the contracts are closed,
the Series records a realized gain or loss, which is presented in the Statement
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. 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 (amount
in thousands):
FUTURES**
---------
The U.S. Large Cap Value Series....................................... $190,177
** Average Notional Value of contracts
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
OCTOBER 31, EQUITY
2019 CONTRACTS*,(1)
----------- --------------
The U.S. Large Cap Value Series................... $1,384 $1,384
(1) Presented on Statement 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 Statement of Assets
and Liabilities.
32
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 U.S. Large Cap Value Series............................. $(1,255) $(1,255)
CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION) ON
DERIVATIVES
---------------------
EQUITY
TOTAL CONTRACTS (2)
------- -------------
The U.S. Large Cap Value Series............................. $15,103 $15,103
(1) Presented on Statement of Operations as Net Realized Gain (Loss) on:
Futures.
(2) Presented on Statement of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on April 8, 2020.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
There were no borrowings by the Series under the lines of credit during the
year ended October 31, 2019.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
Interfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2019.
33
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 having 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 U.S. Large Cap Value Series................... $347,838 $428,849 $(68,292)
J. SECURITIES LENDING:
As of October 31, 2019, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. Additionally,
the Series received non-cash collateral consisting of short- and/or long-term
U.S. Treasuries and U.S. government agency securities as follows (amount in
thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The U.S. Large Cap Value Series............................................ $337,733
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Series could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with other payments to and from
borrowers of securities. The Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph,
34
agencies include both agency debentures and agency mortgage-backed securities.
Additionally, the Series will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or, other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible for
taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 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 U.S. LARGE CAP VALUE SERIES
Common Stocks.................................. $255,842 -- -- -- $255,842
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
Series' 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. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series has been named as a defendant in a
multi-district litigation pending in the United States District Court for the
Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY
FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The
Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company
("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization.
In connection with the LBO, thousands of Tribune shareholders, including the
Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL
includes a series of lawsuits brought by individual creditors of Tribune (the
"Individual Creditor Actions") and a lawsuit brought by a court-appointed
trustee
35
(the "Trustee") on behalf of the committee of unsecured creditors of Tribune
(the "Committee Action," and with the Individual Creditor Actions, collectively
referred to as the "Lawsuits"). The Lawsuits seek to unwind the LBO stock
repurchases as fraudulent transfers and recover the stock repurchase proceeds
paid to the Tribune shareholders who participated in the LBO. On September 23,
2013, the Court entered an order dismissing the Individual Creditor Actions in
their entirety on the grounds that the individual creditor plaintiffs lacked
standing to pursue their claims. The parties appealed the Court's dismissal
order to the United States Court of Appeals for the Second Circuit (the "Second
Circuit") and on March 29, 2016, the Second Circuit affirmed the dismissal,
albeit on the grounds that the individual creditor plaintiffs' claims were
preempted by the Bankruptcy Code's safe harbor for securities transactions. The
individual creditor plaintiffs filed a petition for certiorari with the Supreme
Court of the United States (the "Supreme Court"), seeking review of the Second
Circuit's ruling. Thereafter, the individual creditor plaintiffs moved the
Second Circuit to review its prior ruling in light of the Supreme Court's
decision in Merit Management Group, LP v. FTI Consulting, Inc., 138 S.Ct. 883
(2018) ("Merit Mgmt."), which addressed the scope of the Bankruptcy Code's safe
harbor for securities transactions. The Second Circuit agreed to review the
matter and withdrew its mandate with respect to the affirmance of the dismissal
order. Consequently, the Supreme Court dismissed the individual creditor
plaintiffs' petition for certiorari. The Second Circuit's review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee moved for
leave from the Court to file an amended complaint to assert new constructive
fraudulent transfer claims against the shareholder defendants in light of the
Merit Mgmt. decision. The Court denied the motion, ruling that the proposed
amendment would unduly prejudice the shareholder defendants and would be futile
because the Trustee's proposed constructive fraudulent transfer claims would be
barred by the Bankruptcy Code's safe harbor for securities transactions,
notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court's
dismissal order and order denying the Trustee's motion for leave to amend to
the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has
advised management that it does not believe that it is possible, at this early
stage in the proceedings, to predict with any reasonable certainty the probable
outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap
Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series
can do so, no reduction of the net asset value of The U.S. Large Cap Value
Series will be made relating to the Lawsuits. However, even if the plaintiffs
in the Lawsuits were to obtain the full recovery the plaintiffs seek, the
amount would be less than 1% of the net asset value of The U.S. Large Cap Value
Series at this time.
The U.S. Large Cap Value Series also cannot quantify the cost of the
Lawsuits that could potentially be deducted from its net asset value.
Therefore, at this time, those investors buying or redeeming shares of The U.S.
Large Cap Value Series will pay or receive, as the case may be, a price based
on the net asset value of The U.S. Large Cap Value Series, with no adjustment
relating to the Lawsuits. The attorneys' fees and costs relating to the
Lawsuits will be borne by The U.S. Large Cap Value Series as incurred and in a
manner similar to any other expenses incurred by The U.S. Large Cap Value
Series.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
36
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of The U.S. Large Cap Value Series
(one of the series constituting The DFA Investment Trust Company, hereafter
referred to as the "Series") as of October 31, 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 Series 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 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, broker and 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.
37
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.
38
DISINTERESTED DIRECTORS
OTHER
TERM OF PORTFOLIOS DIRECTORSHIPS OF
OFFICE/1/ WITHIN THE PUBLIC
AND DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN YEARS
------------------------- --------- ------------ ----------------------------- --------------------- ----------------
George M. Constantinides Director Since 1983 Leo Melamed Professor of 128 portfolios in 4 None
University of Chicago Finance, University of investment companies
Booth School of Business Chicago Booth School of
5807 S. Woodlawn Business (since 1978).
Avenue
Chicago, IL 60637
1947
Douglas W. Diamond Director Since 2017 Merton H. Miller 128 portfolios in 4 None
c/o Dimensional Fund Distinguished Service investment companies
Advisors LP Professor of Finance,
6300 Bee Cave Road, University of Chicago Booth
Building One School of Business (since
Austin, TX 78746 1988). Visiting Scholar,
Federal Reserve Bank of
1953 Richmond (since 1990).
Formerly, Fischer Black
Visiting Professor of
Financial Economics, Alfred
P. Sloan School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
Darrell Duffie Director Since March Dean Witter Distinguished 128 portfolios in 4 Formerly,
c/o Dimensional Fund 2019 Professor of Finance, investment companies Director,
Advisors LP Graduate School of Business, Moody's
6300 Bee Cave Road, Stanford University (since Corporation
Building One 1984). (financial
Austin, TX 78746 information
and
1954 information
technology)
(2008-April
2018).
Roger G. Ibbotson Director Since 1981 Professor in Practice 128 portfolios in 4 None
Yale School of Emeritus of Finance, Yale investment companies
Management School of Management (since
P.O. Box 208200 1984). Chairman and Partner,
New Haven, Zebra Capital Management, LLC
CT 06520-8200 (hedge fund and asset
manager) (since 2001).
1943 Formerly, Consultant to
Morningstar, Inc. (2006 -
2016).
Edward P. Lazear Director Since 2010 Distinguished Visiting 128 portfolios in 4 None
Stanford University Fellow, Becker Friedman investment companies
Graduate School of Institute for Research in
Business Economics, University of
Knight Management Chicago (since 2015). Morris
Center, E346 Arnold Cox Senior Fellow,
Stanford, CA 94305 Hoover Institution (since
2002). Davies Family
1948 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 4 Formerly,
c/o Dimensional Fund Janus Henderson Investors investment companies Adviser,
Advisors LP (since 2014). Frank E. Buck Kuapay, Inc.
6300 Bee Cave Road, Professor of Finance, (2013-2014).
Building One Emeritus, Graduate School of Formerly,
Austin, TX 78746 Business, Stanford University Director,
(since 1981). American
1941 Century Fund
Complex
(registered
investment
companies)
(43 Portfolios)
(1980-2014).
39
OTHER
TERM OF PORTFOLIOS DIRECTORSHIPS OF
OFFICE/1/ WITHIN THE PUBLIC
AND DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN YEARS
------------------------- --------- ------------ ----------------------------- --------------------- -----------------
Abbie J. Smith Director Since 2000 Boris and Irene Stern 128 portfolios in 4 Director (since
University of Chicago Distinguished Service investment companies 2000) and
Booth School of Business Professor of Accounting, formerly, Lead
5807 S. Woodlawn University of Chicago Booth Director
Avenue School of Business (since (2014-2017),
Chicago, IL 60637 1980). HNI
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 in 4 Director,
c/o Dimensional Fund 2019 Professor of Finance, Fisher investment companies Fourth
Advisors LP College of Business, The Ohio Swedish AP
6300 Bee Cave Road, State University (since Fund (pension
Building One 1998). Adjunct Member, the fund asset
Austin, TX 78746 Prize Committee for the management)
Swedish Riksbank Prize in (since 2017).
1961 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).
40
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.
TERM OF
OFFICE/1/ PORTFOLIOS WITHIN OTHER DIRECTORSHIPS
NAME, ADDRESS AND THE DFA FUND OF PUBLIC COMPANIES
AND YEAR OF LENGTH OF PRINCIPAL OCCUPATION COMPLEX/2/ HELD DURING PAST 5
BIRTH POSITION SERVICE DURING PAST 5 YEARS OVERSEEN YEARS
--------------- ------------- ----------- ---------------------------------- ----------------- -------------------
David G. Booth Chairman Since 1981 Chairman, Director/Trustee, and 128 portfolios None
6300 Bee Cave and Director formerly, President and Co-Chief in 4 investment
Road, Building Executive Officer (each until companies
One March 2017) of Dimensional
Austin, TX Emerging Markets Value Fund
78746 ("DEM"), DFAIDG, Dimensional
Investment Group Inc. ("DIG") and
1946 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.
41
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------- ------------------ ---------------- --------------------------------------------
Valerie A. Brown Vice President Since 2001 Vice President and Assistant Secretary of
1967 and Assistant
Secretary . all the DFA Entities (since 2001)
. DFA Australia Limited (since 2002)
. Dimensional Fund Advisors Ltd. (since
2002)
. Dimensional Cayman Commodity Fund I
Ltd. (since 2010)
. Dimensional Fund Advisors Pte. Ltd.
(since 2012)
. Dimensional Hong Kong Limited (since
2012)
Director, Vice President and Assistant
Secretary (since 2003) of
. Dimensional Fund Advisors Canada ULC
Ryan P. Buechner Vice President Since Vice President and Assistant Secretary of
1982 and Assistant September
Secretary 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 Since 2017 Co-Chief Executive Officer (since 2017) of
1964 Executive Officer
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer
(since 2017) of
. Dimensional Cayman Commodity Fund I
Ltd.
Head of Global Financial Advisor Services
(since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017) of
1972 President
. all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director
(since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
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
42
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------------- -------------------- ---------------- --------------------------------------------
Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance
1965 Global Chief Officer (since 2004) of
Compliance
Officer . all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and
Chief Privacy Officer (since 2015) of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd.
(since 2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief
Compliance Officer (2010 - 2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice President Vice President, Chief Financial Officer, and
1958 Chief Financial since 2015 and Treasurer (since 2016) of
Officer, and Chief Financial
Treasurer Officer and . all the DFA Entities
Treasurer since
2016 . Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. 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 2004 Vice President (since 2004) and Assistant
1973 Secretary (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 President Vice President (since 2015) of
1971 Assistant Treasurer since 2015 and
Assistant . all the DFA Entities
Treasurer
since 2017 Assistant Treasurer (since 2017) of
. the DFA Fund Complex
Formerly, Senior Tax Manager (2013 - 2015)
for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972
. all the DFA Entities
. Dimensional Cayman Commodity Fund I
Ltd.
Catherine L. Newell President and President since President (since 2017) of
1964 General Counsel 2017 and
General Counsel . the DFA Fund Complex
since 2001
General Counsel (since 2001) of
. All the DFA Entities
43
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------- ------------------- ---------------- ---------------------------------------------
Executive Vice President (since 2017) and
Secretary (since 2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President (since
1997) and Secretary (since 2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors Canada ULC
(since 2003)
. Dimensional Cayman Commodity Fund I
Ltd. (since 2010)
. Dimensional Japan Ltd. (since 2012)
. Dimensional Advisors Ltd (since 2012)
. Dimensional Fund Advisors Pte. Ltd.
(since 2012)
Director of
. Dimensional Funds plc (since 2002)
. Dimensional Funds II plc (since 2006)
. Director of Dimensional Japan Ltd.
(since 2012)
. Dimensional Advisors Ltd. (since 2012)
. Dimensional Fund Advisors Pte. Ltd.
(since 2012)
. Dimensional Hong Kong Limited (since
2012)
Formerly, Vice President and Secretary (2010
- 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 - 2017) and
Secretary (2000 - 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP (1997 -
2017)
. Dimensional Holdings Inc. (2006 -
2017)
. DFA Securities LLC (1997 - 2017)
. Dimensional Investment LLC (2009 -
2017)
Selwyn Notelovitz Vice President and Since 2013 Vice President and Deputy Chief Compliance
1961 Deputy Chief Officer of
Compliance
Officer . the DFA Fund Complex (since 2013)
. Dimensional Fund Advisors LP (since
2012)
Carolyn L. O Vice President and Vice President Vice President (since 2010) and Secretary
1974 Secretary since 2010 and (since 2017) of
Secretary since
2017 . the DFA Fund Complex
Vice President (since 2010) and Assistant
Secretary (since 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I
Ltd. (since 2010)
. Dimensional Fund Advisors Canada ULC
(since 2016)
Gerard K. O'Reilly Co-Chief Co-Chief Co-Chief Executive Officer and Chief
1976 Executive Officer Executive Investment Officer (since 2017) of
and Chief Officer and
Investment Officer Chief . all the DFA Entities
Investment
Officer since . Dimensional Fund Advisors Canada ULC
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)
44
TERM OF OFFICE/1/
NAME AND YEAR OF AND 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.
45
VOTING PROXIES ON FUND PORTFOLIO SECURITIES
A description of the policies and procedures that the Fund uses in voting
proxies relating to securities held in the portfolio is available (1) without
charge, upon request, by calling collect: (512) 306-7400; (2) from the
Advisor's website at http://us.dimensional.com; and (3) on the SEC's website at
http://www.sec.gov. Information regarding how the Advisor votes these proxies
is available from the EDGAR database on the SEC's website at http://www.sec.gov
and from the Advisor's website at http://us.dimensional.com and reflects the
twelve-month period beginning July 1st and ending June 30th.
46
NOTICE TO SHAREHOLDERS
(UNAUDITED)
For shareholders that do not have an October 31, 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
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS
INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED
DIMENSIONAL INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1)
------------------------------------- ------------- ------------- ------------- ------- ---------- ------------- -------------
U.S. Large Cap Value Portfolio II..... 24% -- 76% -- -- 100% 100%
QUALIFYING
SHORT-
QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM
DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL
DIMENSIONAL INVESTMENT GROUP INC. INCOME (2) INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
------------------------------------- ---------- ------------ ---------- ---------- ---------- ----------
U.S. Large Cap Value Portfolio II..... 100% -- -- -- -- --
(1) Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4) "Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5) "Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6) The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
47
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LOGO
DFA103119-009A
00237497
LOGO
ANNUAL REPORT
YEAR ENDED: OCTOBER 31, 2019
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III
U.S. LARGE CAP VALUE PORTFOLIO III
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
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
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,
LOGO LOGO
DAVID P. BUTLER GERARD K. O'REILLY
Co-Chief Executive Officer Co-Chief Executive Officer and
Chief Investment Officer
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DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................ 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts..................................... 2
Management's Discussion and Analysis................... 4
Disclosure of Fund Expenses............................ 7
Disclosure of Portfolio Holdings....................... 9
Schedules of Investments
DFA International Value Portfolio III.............. 10
U.S. Large Cap Value Portfolio III................. 11
Tax-Managed U.S. Marketwide Value Portfolio II..... 12
Statements of Assets and Liabilities................... 13
Statements of Operations............................... 14
Statements of Changes in Net Assets.................... 15
Financial Highlights................................... 16
Notes to Financial Statements.......................... 18
Report of Independent Registered Public
Accounting Firm...................................... 25
THE DFA INVESTMENT TRUST COMPANY
Performance Charts..................................... 26
Management's Discussion and Analysis................... 28
Disclosure of Fund Expenses............................ 31
Disclosure of Portfolio Holdings....................... 33
Summary Schedules of Portfolio Holdings
The DFA International Value Series................. 34
The U.S. Large Cap Value Series.................... 38
The Tax-Managed U.S. Marketwide Value Series....... 41
Statements of Assets and Liabilities................... 44
Statements of Operations............................... 45
Statements of Changes in Net Assets.................... 46
Financial Highlights................................... 47
Notes to Financial Statements.......................... 50
Report of Independent Registered Public
Accounting Firm...................................... 61
FUND MANAGEMENT........................................... 62
Board of Directors or Trustees Table................... 63
VOTING PROXIES ON FUND PORTFOLIO SECURITIES............... 70
NOTICE TO SHAREHOLDERS.................................... 71
This report is submitted for the information of each Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
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DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
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
Investment Footnotes
+ See Note B to Financial Statements.
(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.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
* Non-Income Producing Securities.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective Portfolio and its
respective pro-rata share of its Master Fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO III VS.
MSCI WORLD EX USA INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA International MSCI World ex USA
Value Portfolio III Index (net dividends)
--------------------- ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,292 10,247
12/31/2009 10,411 10,411
1/31/2010 9,811 9,923
2/28/2010 9,843 9,913
3/31/2010 10,625 10,551
4/30/2010 10,442 10,394
5/31/2010 9,220 9,247
6/30/2010 9,057 9,113
7/31/2010 10,192 9,955
8/31/2010 9,694 9,658
9/30/2010 10,732 10,584
10/31/2010 11,105 10,961
11/30/2010 10,545 10,497
12/31/2010 11,531 11,342
1/31/2011 12,028 11,586
2/28/2011 12,424 12,016
3/31/2011 12,086 11,775
4/30/2011 12,725 12,417
5/31/2011 12,267 12,049
6/30/2011 12,096 11,877
7/31/2011 11,713 11,681
8/31/2011 10,453 10,694
9/30/2011 9,314 9,620
10/31/2011 10,210 10,555
11/30/2011 9,873 10,067
12/31/2011 9,607 9,958
1/31/2012 10,256 10,495
2/29/2012 10,786 11,072
3/31/2012 10,705 10,990
4/30/2012 10,320 10,804
5/31/2012 9,041 9,572
6/30/2012 9,685 10,199
7/31/2012 9,643 10,326
8/31/2012 10,042 10,621
9/30/2012 10,402 10,943
10/31/2012 10,531 11,020
11/30/2012 10,696 11,252
12/31/2012 11,222 11,592
1/31/2013 11,754 12,162
2/28/2013 11,399 12,041
3/31/2013 11,437 12,136
4/30/2013 12,000 12,689
5/31/2013 11,852 12,405
6/30/2013 11,440 11,940
7/31/2013 12,216 12,575
8/31/2013 12,133 12,413
9/30/2013 13,049 13,291
10/31/2013 13,496 13,737
11/30/2013 13,548 13,821
12/31/2013 13,845 14,029
1/31/2014 13,338 13,463
2/28/2014 14,099 14,197
3/31/2014 13,999 14,134
4/30/2014 14,241 14,357
5/31/2014 14,394 14,579
6/30/2014 14,576 14,786
7/31/2014 14,248 14,522
8/31/2014 14,256 14,534
9/30/2014 13,636 13,937
10/31/2014 13,397 13,715
11/30/2014 13,405 13,884
12/31/2014 12,900 13,422
1/31/2015 12,816 13,375
2/28/2015 13,737 14,174
3/31/2015 13,450 13,937
4/30/2015 14,185 14,540
5/31/2015 14,194 14,414
6/30/2015 13,780 14,005
7/31/2015 13,651 14,227
8/31/2015 12,635 13,190
9/30/2015 11,773 12,524
10/31/2015 12,672 13,467
11/30/2015 12,508 13,252
12/31/2015 12,107 13,015
1/31/2016 11,162 12,119
2/29/2016 10,806 11,949
3/31/2016 11,630 12,761
4/30/2016 12,194 13,171
5/31/2016 11,961 13,022
6/30/2016 11,531 12,626
7/31/2016 12,042 13,248
8/31/2016 12,361 13,260
9/30/2016 12,496 13,421
10/31/2016 12,661 13,160
11/30/2016 12,725 12,949
12/31/2016 13,146 13,372
1/31/2017 13,711 13,770
2/28/2017 13,609 13,929
3/31/2017 13,918 14,283
4/30/2017 14,122 14,586
5/31/2017 14,363 15,073
6/30/2017 14,523 15,087
7/31/2017 15,202 15,536
8/31/2017 15,184 15,532
9/30/2017 15,731 15,935
10/31/2017 16,016 16,153
11/30/2017 16,177 16,316
12/31/2017 16,594 16,609
1/31/2018 17,569 17,383
2/28/2018 16,585 16,557
3/31/2018 16,383 16,271
4/30/2018 16,824 16,644
5/31/2018 16,220 16,329
6/30/2018 15,853 16,150
7/31/2018 16,360 16,546
8/31/2018 15,785 16,233
9/30/2018 16,070 16,360
10/31/2018 14,720 15,060
11/30/2018 14,602 15,047
12/31/2018 13,726 14,269
1/31/2019 14,797 15,287
2/28/2019 15,050 15,680
3/31/2019 14,886 15,760
4/30/2019 15,373 16,206
5/31/2019 14,217 15,440
6/30/2019 15,113 16,357 Past performance is not predictive of
7/31/2019 14,617 16,160 future performance.
8/31/2019 14,017 15,763
9/30/2019 14,736 16,205 The returns shown do not reflect the
10/31/2019 15,235 16,729 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------ MSCI data copyright MSCI 2019, all
3.50% 2.60% 4.30% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO III VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
U.S. Large Cap
Value Portfolio III Russell 1000/R/ Value Index
--------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,562 10,564
12/31/2009 10,855 10,751
1/31/2010 10,598 10,448
2/28/2010 11,063 10,778
3/31/2010 11,925 11,480
4/30/2010 12,300 11,777
5/31/2010 11,250 10,809
6/30/2010 10,399 10,200
7/31/2010 11,210 10,891
8/31/2010 10,532 10,425
9/30/2010 11,566 11,234
10/31/2010 11,996 11,571
11/30/2010 11,903 11,509
12/31/2010 13,067 12,418
1/31/2011 13,482 12,698
2/28/2011 14,212 13,167
3/31/2011 14,279 13,219
4/30/2011 14,636 13,571
5/31/2011 14,432 13,428
6/30/2011 14,172 13,152
7/31/2011 13,523 12,716
8/31/2011 12,379 11,923
9/30/2011 11,128 11,022
10/31/2011 12,672 12,283
11/30/2011 12,569 12,220
12/31/2011 12,667 12,466
1/31/2012 13,298 12,938
2/29/2012 14,068 13,453
3/31/2012 14,324 13,852
4/30/2012 14,029 13,711
5/31/2012 13,032 12,907
6/30/2012 13,737 13,548
7/31/2012 13,868 13,688
8/31/2012 14,417 13,985
9/30/2012 14,950 14,429
10/31/2012 14,994 14,358
11/30/2012 15,020 14,352
12/31/2012 15,475 14,649
1/31/2013 16,562 15,601
2/28/2013 16,774 15,825
3/31/2013 17,575 16,452
4/30/2013 17,761 16,700
5/31/2013 18,488 17,129
6/30/2013 18,283 16,978
7/31/2013 19,378 17,895
8/31/2013 18,808 17,216
9/30/2013 19,357 17,647
10/31/2013 20,340 18,420
11/30/2013 21,189 18,934
12/31/2013 21,758 19,413
1/31/2014 20,895 18,724
2/28/2014 21,602 19,534
3/31/2014 22,111 20,000
4/30/2014 22,258 20,190
5/31/2014 22,746 20,486
6/30/2014 23,366 21,021
7/31/2014 23,191 20,663
8/31/2014 23,931 21,422
9/30/2014 23,341 20,980
10/31/2014 23,518 21,452
11/30/2014 23,796 21,891
12/31/2014 23,974 22,025
1/31/2015 22,786 21,145
2/28/2015 24,396 22,168
3/31/2015 23,937 21,866
4/30/2015 24,421 22,070
5/31/2015 24,697 22,336
6/30/2015 24,299 21,890
7/31/2015 24,229 21,986
8/31/2015 22,763 20,676
9/30/2015 22,028 20,052
10/31/2015 23,832 21,565
11/30/2015 23,922 21,648
12/31/2015 23,172 21,182
1/31/2016 21,593 20,088
2/29/2016 21,636 20,082
3/31/2016 23,211 21,529
4/30/2016 23,840 21,981
5/31/2016 24,160 22,323
6/30/2016 24,137 22,516
7/31/2016 24,962 23,170
8/31/2016 25,262 23,348
9/30/2016 25,381 23,300
10/31/2016 24,950 22,939
11/30/2016 26,911 24,249
12/31/2016 27,595 24,855
1/31/2017 27,987 25,032
2/28/2017 28,837 25,932
3/31/2017 28,570 25,668
4/30/2017 28,762 25,619
5/31/2017 28,739 25,594
6/30/2017 29,211 26,013
7/31/2017 29,709 26,358
8/31/2017 29,437 26,051
9/30/2017 30,575 26,823
10/31/2017 31,018 27,018
11/30/2017 32,120 27,845
12/31/2017 32,868 28,251
1/31/2018 34,560 29,344
2/28/2018 32,844 27,943
3/31/2018 32,107 27,451
4/30/2018 32,156 27,542
5/31/2018 32,462 27,705
6/30/2018 32,231 27,774
7/31/2018 33,571 28,873
8/31/2018 34,050 29,300
9/30/2018 34,084 29,358
10/31/2018 31,921 27,838
11/30/2018 32,663 28,669
12/31/2018 29,074 25,916
1/31/2019 31,604 27,933
2/28/2019 32,390 28,825
3/31/2019 32,229 29,009
4/30/2019 33,340 30,038
5/31/2019 30,770 28,106 Past performance is not predictive of
6/30/2019 33,228 30,124 future performance.
7/31/2019 33,578 30,374
8/31/2019 32,205 29,481 The returns shown do not reflect the
9/30/2019 33,477 30,532 deduction of taxes that a shareholder
10/31/2019 34,196 30,959 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------- Investment Group 1995-2019, all rights
7.12% 7.77% 13.08% reserved.
--------------------------------------------------------------------------------
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Tax-Managed U.S. Marketwide
Value Portfolio II Russell 3000/R/ Value Index
--------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,466 10,544
12/31/2009 10,854 10,778
1/31/2010 10,548 10,474
2/28/2010 11,034 10,817
3/31/2010 11,903 11,537
4/30/2010 12,363 11,879
5/31/2010 11,308 10,900
6/30/2010 10,438 10,258
7/31/2010 11,280 10,955
8/31/2010 10,538 10,458
9/30/2010 11,592 11,294
10/31/2010 12,046 11,640
11/30/2010 12,074 11,607
12/31/2010 13,210 12,527
1/31/2011 13,538 12,787
2/28/2011 14,305 13,274
3/31/2011 14,399 13,337
4/30/2011 14,738 13,681
5/31/2011 14,500 13,528
6/30/2011 14,250 13,246
7/31/2011 13,644 12,806
8/31/2011 12,514 11,980
9/30/2011 11,242 11,043
10/31/2011 12,800 12,332
11/30/2011 12,699 12,271
12/31/2011 12,828 12,514
1/31/2012 13,497 13,016
2/29/2012 14,212 13,508
3/31/2012 14,515 13,910
4/30/2012 14,245 13,764
5/31/2012 13,248 12,954
6/30/2012 13,945 13,595
7/31/2012 14,067 13,715
8/31/2012 14,591 14,022
9/30/2012 15,122 14,471
10/31/2012 15,169 14,392
11/30/2012 15,263 14,390
12/31/2012 15,703 14,710
1/31/2013 16,736 15,660
2/28/2013 17,001 15,881
3/31/2013 17,842 16,513
4/30/2013 17,975 16,742
5/31/2013 18,564 17,177
6/30/2013 18,449 17,032
7/31/2013 19,565 17,965
8/31/2013 18,993 17,275
9/30/2013 19,686 17,752
10/31/2013 20,614 18,513
11/30/2013 21,466 19,046
12/31/2013 22,065 19,518
1/31/2014 21,189 18,820
2/28/2014 21,968 19,638
3/31/2014 22,298 20,089
4/30/2014 22,347 20,223
5/31/2014 22,877 20,506
6/30/2014 23,466 21,071
7/31/2014 23,098 20,638
8/31/2014 23,950 21,407
9/30/2014 23,336 20,887
10/31/2014 23,744 21,431
11/30/2014 24,045 21,827
12/31/2014 24,291 21,997
1/31/2015 23,075 21,114
2/28/2015 24,742 22,133
3/31/2015 24,504 21,884
4/30/2015 24,760 22,035
5/31/2015 25,134 22,293
6/30/2015 24,873 21,884
7/31/2015 24,942 21,923
8/31/2015 23,371 20,635
9/30/2015 22,640 20,005
10/31/2015 24,427 21,483
11/30/2015 24,476 21,607
12/31/2015 23,651 21,088
1/31/2016 22,147 19,973
2/29/2016 22,097 19,979
3/31/2016 23,643 21,435
4/30/2016 24,236 21,885
5/31/2016 24,521 22,230
6/30/2016 24,500 22,413
7/31/2016 25,166 23,105
8/31/2016 25,423 23,313
9/30/2016 25,539 23,282
10/31/2016 25,106 22,890
11/30/2016 27,023 24,328
12/31/2016 27,758 24,968
1/31/2017 28,090 25,117
2/28/2017 28,862 25,976
3/31/2017 28,624 25,715
4/30/2017 28,893 25,678
5/31/2017 28,786 25,592
6/30/2017 29,278 26,046
7/31/2017 29,722 26,379
8/31/2017 29,441 26,046
9/30/2017 30,516 26,897
10/31/2017 30,778 27,080
11/30/2017 31,909 27,905
12/31/2017 32,519 28,262
1/31/2018 34,178 29,300
2/28/2018 32,440 27,896
3/31/2018 31,768 27,465
4/30/2018 31,915 27,585
5/31/2018 32,244 27,857
6/30/2018 32,209 27,935
7/31/2018 33,543 28,994
8/31/2018 34,181 29,442
9/30/2018 34,243 29,441
10/31/2018 32,090 27,834
11/30/2018 32,800 28,638
12/31/2018 29,247 25,838
1/31/2019 31,963 27,905
2/28/2019 32,932 28,810
3/31/2019 32,690 28,922
4/30/2019 34,013 29,952
5/31/2019 31,560 27,991
6/30/2019 33,875 29,985 Past performance is not predictive of
7/31/2019 34,323 30,220 future performance.
8/31/2019 32,739 29,278
9/30/2019 34,033 30,352 The returns shown do not reflect the
10/31/2019 34,920 30,797 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
-------------------------------------------------------------- Investment Group 1995-2019, all rights
8.82% 8.02% 13.32% reserved.
--------------------------------------------------------------------------------
3
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%
4
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 VALUE PORTFOLIO III
The DFA International Value Portfolio III 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 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 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 3.50% for the
Portfolio 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.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
5
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index........................ 13.49%
Russell 1000(R) Index (large-cap stocks)..... 14.15%
Russell Midcap(R) Index (mid-cap stocks)..... 13.72%
Russell 2000(R) Index (small-cap stocks)..... 4.90%
Russell Microcap(R) Index (micro-cap stocks). -3.27%
Dow Jones U.S. Select REIT Index/SM/......... 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value stocks)... 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks). 17.10%
Russell 2000(R) Value Index (small-cap value stocks)... 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks). 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE PORTFOLIO III
The U.S. Large Cap Value Portfolio III is designed to capture the returns of
U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value
Series, a Master Fund managed by Dimensional that invests in such stocks. 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 value
segment of the U.S. market. As of October 31, 2019, the Master Fund held
approximately 330 securities. 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 7.12% for the
Portfolio and 11.21% for the Russell 1000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Master Fund's greater emphasis on value stocks detracted
from performance relative to the benchmark. At the sector level, the Master
Fund's exclusions of real estate investment trusts (REITs) and certain
utilities also detracted from relative performance, as REITs and utilities
generally outperformed in the U.S.
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
The Tax-Managed U.S. Marketwide Value Portfolio II invests in a broadly
diversified group of U.S. low relative price (value) stocks by purchasing
shares of The Tax-Managed U.S. Marketwide Value Series, a Master Fund managed
by Dimensional that invests in such stocks while considering the federal tax
implications of investment decisions. The investment strategy is process
driven, emphasizing broad diversification. As of October 31, 2019, the Master
Fund held approximately 1,200 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 8.82% for the
Portfolio and 10.65% for the Russell 3000(R) Value Index, the Portfolio's
benchmark. As a result of the Master Fund's diversified investment approach,
performance was determined principally by broad trends in the U.S. equity
market rather than by the behavior of a limited number of stocks. With low
relative price (value) stocks generally underperforming high relative price
(growth) stocks, the Master Fund's greater emphasis on value stocks detracted
from performance relative to the benchmark. At the sector level, the Master
Fund's exclusions of real estate investment trusts (REITs) and certain
utilities had a negative impact on relative performance, as REITs and utilities
generally outperformed in the U.S.
6
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started with
$1,000 in the fund. You may use the information here, together with the
amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, a $7,500
account value divided by $1,000 = 7.5), then multiply the result by the
number given for your fund under the heading "Expenses Paid During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those of
other mutual funds. The hypothetical "Ending Account Value" and "Expenses
Paid During Period" are derived from the fund's actual expense ratio and an
assumed 5% annual return before expenses. In this case, because the return
used is not the fund's actual return, the results do not apply to your
investment. The example is useful in making comparisons because the SEC
requires all mutual funds to calculate expenses based on a 5% annual return.
You can assess your fund's costs by comparing this hypothetical example with
the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLES
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 III (2)
-----------------------------------------
Actual Fund Return........................ $1,000.00 $ 991.00 0.25% $1.25
Hypothetical 5% Annual Return............. $1,000.00 $1,023.95 0.25% $1.28
U.S. LARGE CAP VALUE PORTFOLIO III (2)
--------------------------------------
Actual Fund Return........................ $1,000.00 $1,025.60 0.14% $0.71
Hypothetical 5% Annual Return............. $1,000.00 $1,024.50 0.14% $0.71
7
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)
--------- --------- ---------- ----------
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II (2)
--------------------------------------------------
Actual Fund Return................................. $1,000.00 $1,026.70 0.24% $1.23
Hypothetical 5% Annual Return...................... $1,000.00 $1,024.00 0.24% $1.22
--------
(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).
8
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
Companies are represented in the Disclosure of Portfolio Holdings, which are
included elsewhere in the report. Refer to the Summary Schedules of Portfolio
Holdings for the underlying Affiliated Investment Company's holdings, which
reflect the investments by category.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
DFA International Value Portfolio III.......... 100.0%
U.S. Large Cap Value Portfolio III............. 100.0%
Tax-Managed U.S. Marketwide Value Portfolio II. 100.0%
9
DFA INTERNATIONAL VALUE PORTFOLIO III
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. $2,810,291,391
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES................................. $2,810,291,391
==============
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.
10
U.S. LARGE CAP VALUE PORTFOLIO III
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company. $4,018,010,970
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.............................. $4,018,010,970
==============
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.
11
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
--------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company. $1,917,208,722
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........................................... $1,917,208,722
==============
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.
12
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE CAP MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III III II
--------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Company at Value. $ 2,810,291 $ 4,018,011 $ 1,917,209
Receivables:
Fund Shares Sold................................... 1,928 2,523 265
Due from Advisor................................... -- -- 1
Prepaid Expenses and Other Assets..................... 57 51 29
------------ ------------ ------------
Total Assets................................... 2,812,276 4,020,585 1,917,504
------------ ------------ ------------
LIABILITIES:
Payables:
Fund Shares Redeemed............................... 1,743 2,984 368
Due to Advisor..................................... 13 29 --
Accrued Expenses and Other Liabilities................ 189 222 115
------------ ------------ ------------
Total Liabilities.............................. 1,945 3,235 483
------------ ------------ ------------
NET ASSETS............................................ $ 2,810,331 $ 4,017,350 $ 1,917,021
============ ============ ============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)............... 191,675,131 159,233,540 66,699,094
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE............................................... $ 14.66 $ 25.23 $ 28.74
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital....................................... $ 2,715,149 $ 2,596,455 $ 959,778
Total Distributable Earnings (Loss)................... 95,182 1,420,895 957,243
------------ ------------ ------------
NET ASSETS............................................ $ 2,810,331 $ 4,017,350 $ 1,917,021
============ ============ ============
(1) NUMBER OF SHARES AUTHORIZED....................... 500,000,000 700,000,000 500,000,000
============ ============ ============
See accompanying Notes to Financial Statements.
13
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
TAX-MANAGED
DFA U.S.
INTERNATIONAL U.S. LARGE CAP MARKETWIDE
VALUE PORTFOLIO VALUE PORTFOLIO VALUE PORTFOLIO
III* III* II*
--------------- --------------- ---------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies:
Dividends (Net of Foreign Taxes Withheld of $10,148, $0 and $5, respectively). $101,952 $ 97,641 $ 43,423
Income from Securities Lending................................................ 1,460 212 260
Expenses Allocated from Affiliated Investment Companies....................... (5,295) (4,106) (3,804)
-------- -------- --------
Total Net Investment Income Allocated from Affiliated Investment
Companies:.............................................................. 98,117 93,747 39,879
-------- -------- --------
FUND EXPENSES
Investment Management Fees.................................................... 5,262 4,129 3,617
Accounting & Transfer Agent Fees.............................................. 329 431 341
Custodian Fees................................................................ -- 1 --
Filing Fees................................................................... 116 109 65
Shareholders' Reports......................................................... 81 70 35
Directors'/Trustees' Fees & Expenses.......................................... 14 22 11
Audit Fees.................................................................... 36 23 6
Legal Fees.................................................................... 9 14 7
Other......................................................................... 12 21 9
-------- -------- --------
Total Fund Expenses....................................................... 5,859 4,820 4,091
-------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)............................................... (5,012) (3,753) (3,617)
-------- -------- --------
Net Expenses.................................................................. 847 1,067 474
-------- -------- --------
NET INVESTMENT INCOME (LOSS).................................................. 97,270 92,680 39,405
-------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment Company**............... (5,174) 124,324 31,521
Change in Unrealized Appreciation (Depreciation) of:..........................
Transactions Allocated from Affiliated Investment Company................. 12,929 49,785 76,470
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)....................................... 7,755 174,109 107,991
-------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................. $105,025 $266,789 $147,396
======== ======== ========
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
* Investment Income and Realized and Unrealized Gain (Loss) were allocated
from the Portfolio's Master Fund (Affiliated Investment Company).
See accompanying Notes to Financial Statements.
14
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S.
DFA INTERNATIONAL VALUE U.S. LARGE CAP VALUE MARKETWIDE VALUE PORTFOLIO
PORTFOLIO III PORTFOLIO III II
---------------------- ---------------------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................ $ 97,270 $ 83,293 $ 92,680 $ 82,946 $ 39,405 $ 37,440
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated
Investment Company*,**........................ (5,174) 81,363 124,324 243,853 31,521 64,341
Change in Unrealized Appreciation
(Depreciation) of:
Transactions Allocated from Affiliated
Investment Company............................ 12,929 (376,516) 49,785 (217,553) 76,470 (24,214)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations................................. 105,025 (211,860) 266,789 109,246 147,396 77,567
---------- ---------- ---------- ---------- ---------- ----------
Distributions:
Institutional Class Shares...................... (142,481) (80,332) (316,714) (315,399) (100,360) (96,424)
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions.......................... (142,481) (80,332) (316,714) (315,399) (100,360) (96,424)
---------- ---------- ---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued....................................... 758,696 398,755 736,775 541,431 230,613 157,678
Shares Issued in Reorganization..................... -- 71,080 -- 58,077 -- --
Shares Issued in Lieu of Cash Distributions......... 115,126 62,862 241,049 239,830 99,720 95,824
Shares Redeemed..................................... (447,739) (360,285) (704,641) (548,054) (302,026) (208,404)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Capital
Share Transactions......................... 426,083 172,412 273,183 291,284 28,307 45,098
---------- ---------- ---------- ---------- ---------- ----------
Total Increase (Decrease) in Net
Assets..................................... 388,627 (119,780) 223,258 85,131 75,343 26,241
NET ASSETS
Beginning of Year................................... 2,421,704 2,541,484 3,794,092 3,708,961 1,841,678 1,815,437
---------- ---------- ---------- ---------- ---------- ----------
End of Year......................................... $2,810,331 $2,421,704 $4,017,350 $3,794,092 $1,917,021 $1,841,678
========== ========== ========== ========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued...................................... 53,745 24,085 30,983 20,068 8,691 5,458
Shares Issued in Reorganization.................... -- 3,991 -- 2,097 -- --
Shares Issued in Lieu of Cash
Distributions.................................... 8,171 3,818 10,648 9,001 3,901 3,357
Shares Redeemed.................................... (31,307) (21,282) (29,266) (20,209) (11,611) (7,237)
---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................ 30,609 10,612 12,365 10,957 981 1,578
========== ========== ========== ========== ========== ==========
--------
* 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.
15
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO III
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year............................... $ 15.04 $ 16.89 $ 13.80 $ 14.65 $ 16.26
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................................. 0.56 0.54 0.50 0.49 0.52
Net Gains (Losses) on Securities (Realized and Unrealized).... (0.09) (1.87) 3.10 (0.56) (1.38)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................ 0.47 (1.33) 3.60 (0.07) (0.86)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income......................................... (0.51) (0.52) (0.51) (0.47) (0.49)
Net Realized Gains............................................ (0.34) -- -- (0.31) (0.26)
---------- ---------- ---------- ---------- ----------
Total Distributions......................................... (0.85) (0.52) (0.51) (0.78) (0.75)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year..................................... $ 14.66 $ 15.04 $ 16.89 $ 13.80 $ 14.65
========== ========== ========== ========== ==========
Total Return..................................................... 3.50% (8.09%) 26.50% (0.09%) (5.41%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).............................. $2,810,331 $2,421,704 $2,541,484 $2,067,127 $1,926,577
Ratio of Expenses to Average Net Assets (B)...................... 0.25% 0.24% 0.24% 0.24% 0.25%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)....................................... 0.45% 0.44% 0.44% 0.44% 0.30%
Ratio of Net Investment Income to Average Net Assets............. 3.88% 3.20% 3.30% 3.70% 3.29%
---------- ---------- ---------- ---------- ----------
U.S. LARGE CAP VALUE PORTFOLIO III
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year............................... $ 25.83 $ 27.29 $ 23.15 $ 23.91 $ 25.30
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................................. 0.60 0.58 0.56 0.53 0.53
Net Gains (Losses) on Securities (Realized and Unrealized).... 0.95 0.25 4.94 0.49 (0.26)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations............................ 1.55 0.83 5.50 1.02 0.27
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income......................................... (0.54) (0.54) (0.53) (0.54) (0.50)
Net Realized Gains............................................ (1.61) (1.75) (0.83) (1.24) (1.16)
---------- ---------- ---------- ---------- ----------
Total Distributions......................................... (2.15) (2.29) (1.36) (1.78) (1.66)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year..................................... $ 25.23 $ 25.83 $ 27.29 $ 23.15 $ 23.91
========== ========== ========== ========== ==========
Total Return..................................................... 7.12% 2.91% 24.32% 4.69% 1.34%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).............................. $4,017,350 $3,794,092 $3,708,961 $3,061,350 $3,003,155
Ratio of Expenses to Average Net Assets (B)...................... 0.14% 0.13% 0.13% 0.13% 0.13%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) (B)....................................... 0.24% 0.23% 0.23% 0.23% 0.16%
Ratio of Net Investment Income to Average Net Assets............. 2.47% 2.12% 2.17% 2.38% 2.18%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO II
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year............................. $ 28.02 $ 28.30 $ 24.36 $ 24.61 $ 24.42
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)................................ 0.60 0.58 0.54 0.48 0.45
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................... 1.66 0.63 4.84 0.16 0.24
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........................ 2.26 1.21 5.38 0.64 0.69
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income....................................... (0.56) (0.54) (0.53) (0.48) (0.43)
Net Realized Gains.......................................... (0.98) (0.95) (0.91) (0.41) (0.07)
---------- ---------- ---------- ---------- ----------
Total Distributions..................................... (1.54) (1.49) (1.44) (0.89) (0.50)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................... $ 28.74 $ 28.02 $ 28.30 $ 24.36 $ 24.61
========== ========== ========== ========== ==========
Total Return................................................... 8.82% 4.27% 22.59% 2.78% 2.88%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............................ $1,917,021 $1,841,678 $1,815,437 $1,524,537 $1,487,169
Ratio of Expenses to Average Net Assets (B).................... 0.24% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................... 0.44% 0.42% 0.42% 0.42% 0.28%
Ratio of Net Investment Income to Average Net Assets........... 2.18% 1.98% 2.01% 2.04% 1.80%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, three
of which, DFA International Value Portfolio III, U.S. Large Cap Value Portfolio
III and Tax-Managed U.S. Marketwide Value Portfolio II (the "Portfolios"), are
presented in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under the Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies."
DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II invest substantially all of
their assets in The DFA International Value Series, The U.S. Large Cap Value
Series and The Tax-Managed U.S. Marketwide Value Series (the "Series"),
respectively, each a corresponding series of The DFA Investment Trust Company.
As of October 31, 2019, DFA International Value Portfolio III, U.S. Large Cap
Value Portfolio III and Tax-Managed U.S. Marketwide Value Portfolio II owned
23%, 13% and 26% of their respective Series. The financial statements of the
Series are included elsewhere in this report and should be read in conjunction
with the financial statements of the Portfolios.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolios use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
The Portfolios' investments reflect their proportionate interests in the net
assets of their respective Series. These valuations are classified as Level 1
in the hierarchy.
A summary of the inputs used to value the Portfolios' investments is
disclosed previously in this note. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
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
18
International Value Portfolio, International Core Equity Portfolio, Emerging
Markets Portfolio, Emerging Markets Core Equity Portfolio, and/or DFA Two-Year
Global Fixed Income Portfolio. Contributions made under the Plan and the change
in unrealized appreciation (depreciation) and income are included in
Directors'/ Trustees' Fees & Expenses.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2019, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
3. OTHER: The Portfolios recognize their pro-rata share, on a daily basis,
of net investment income and realized and unrealized gains and losses of
investment securities and foreign currency from their respective Series, which
are each treated as a partnership for federal income tax purposes. Dividend
income and distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to a Portfolio are
directly charged. Common expenses of the Fund or the Portfolios are allocated
using methods approved by the Board, generally based on average net assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios.
During the year ended October 31, 2019 the DFA International Value Portfolio
III's, U.S. Large Cap Value Portfolio III's and Tax-Managed U.S. Marketwide
Value Portfolio II's investment management fees were accrued daily and paid
monthly to the Advisor based on an effective annual rate of 0.21%, 0.11% and
0.20%, respectively, of each Portfolio's average daily net assets.
Effective July 21, 2015, pursuant to an Amended and Restated Fee Waiver
Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to
permanently waive all or a portion of the management fee of each Portfolio to
the extent necessary to limit the total management fees paid to the Advisor by
a Portfolio, including the proportionate share of the management fees a
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
Money Market Series) to the rates listed below as a percentage of the average
net assets of a class of a Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
During the year ended October 31, 2019, each Portfolio had a total
management fee limit based on a percentage of its average net assets on an
annualized basis and waived fees (amounts in thousands) as reflected below.
NET WAIVED FEES/
EXPENSES ASSUMED
(RECOVERED
TOTAL PREVIOUSLY WAIVED
MANAGEMENT FEES/EXPENSES
INSTITUTIONAL CLASS SHARES FEE LIMIT ASSUMED)
-------------------------- ---------- -----------------
DFA International Value Portfolio III.......... 0.21% $5,012
U.S. Large Cap Value Portfolio III............. 0.11% 3,753
Tax-Managed U.S. Marketwide Value Portfolio II. 0.20% 3,617
19
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 $30 (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):
DFA International Value Portfolio III.......... $ 84
U.S. Large Cap Value Portfolio III............. 117
Tax-Managed U.S. Marketwide Value Portfolio II. 53
E. FEDERAL INCOME TAXES:
Each Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings as appropriate, in the period that the differences arise. Accordingly,
the permanent differences as of October 31, 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
- -------------- ------------- ---------- --------
DFA International Value Portfolio III
2018........................................... $80,332 -- -- $ 80,332
2019........................................... 87,795 $ 54,686 -- 142,481
U.S. Large Cap Value Portfolio III
2018........................................... 87,665 227,735 -- 315,400
2019........................................... 83,655 233,059 -- 316,714
Tax-Managed U.S. Marketwide Value Portfolio II
2018........................................... 35,428 60,996 -- 96,424
2019........................................... 36,772 63,588 -- 100,360
20
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 III.......... $(2,563) -- $ (2,563)
U.S. Large Cap Value Portfolio III............. (8,882) $(2,987) (11,869)
Tax-Managed U.S. Marketwide Value Portfolio II. (1,932) -- (1,932)
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)
-------------- ------------- ------------- -------------- -------------
DFA International Value Portfolio III.......... $16,953 -- $(4,994) $ 83,359 $ 95,318
U.S. Large Cap Value Portfolio III............. -- $122,773 -- 1,298,326 1,421,099
Tax-Managed U.S. Marketwide Value Portfolio II. 2,212 31,937 -- 923,189 957,338
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by the Portfolios after October 31, 2011, will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. As of October 31, 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
--------- ------
DFA International Value Portfolio III.......... $4,994 $4,994
U.S. Large Cap Value Portfolio III............. -- --
Tax-Managed U.S. Marketwide Value Portfolio II. -- --
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 III.......... $2,727,105 $ 83,311 -- $ 83,311
U.S. Large Cap Value Portfolio III............. 2,719,677 1,298,300 -- 1,298,300
Tax-Managed U.S. Marketwide Value Portfolio II. 994,016 923,189 -- 923,189
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios'
21
financial statements. The Portfolios are not aware of any tax positions for
which it is more likely than not that the total amounts of unrecognized tax
benefits will significantly change in the next twelve months. The Portfolios'
federal tax returns for the prior three fiscal years remain subject to
examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolios.
1. FUTURES CONTRACTS: The Portfolios may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolios. The Portfolios, however, do not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, a Portfolio deposits cash or pledges U.S. government
securities in an amount equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded to a broker. Subsequent payments
are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contract is closed. When the contract is
closed, the Portfolio records a realized gain or loss, which is presented in
the Statements of Operations as a net realized gain or loss on futures, equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolios could lose more than
the initial margin requirements. The Portfolios entering into stock index
futures are subject to equity price risk from those futures contracts.
Counterparty credit risk related to exchange-traded futures is minimal because
the exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective 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.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2019.
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.
22
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
Portfolios' 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.
J. 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
------------ --------------
DFA International Value Portfolio III.......... 5 94%
U.S. Large Cap Value Portfolio III............. 5 93%
Tax-Managed U.S. Marketwide Value Portfolio II. 3 97%
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when The Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No.
11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lacked
23
standing to pursue their claims. The parties appealed the Court's dismissal
order to the United States Court of Appeals for the Second Circuit (the "Second
Circuit") and on March 29, 2016, the Second Circuit affirmed the dismissal,
albeit on the grounds that the individual creditor plaintiffs' claims were
preempted by the Bankruptcy Code's safe harbor for securities transactions. The
individual creditor plaintiffs filed a petition for certiorari with the Supreme
Court of the United States (the "Supreme Court"), seeking review of the Second
Circuit's ruling. Thereafter, the individual creditor plaintiffs moved the
Second Circuit to review its prior ruling in light of the Supreme Court's
decision in Merit Management Group, LP v. FTI Consulting, Inc., 138 S.Ct. 883
(2018) ("Merit Mgmt."), which addressed the scope of the Bankruptcy Code's safe
harbor for securities transactions. The Second Circuit agreed to review the
matter and withdrew its mandate with respect to the affirmance of the dismissal
order. Consequently, the Supreme Court dismissed the individual creditor
plaintiffs' petition for certiorari. The Second Circuit's review is pending.
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee moved for
leave from the Court to file an amended complaint to assert new constructive
fraudulent transfer claims against the shareholder defendants in light of the
Merit Mgmt. decision. The Court denied the motion, ruling that the proposed
amendment would unduly prejudice the shareholder defendants and would be futile
because the Trustee's proposed constructive fraudulent transfer claims would be
barred by the Bankruptcy Code's safe harbor for securities transactions,
notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court's
dismissal order and order denying the Trustee's motion for leave to amend to
the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
24
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of DFA International Value Portfolio III, U.S. Large Cap Value Portfolio III
and Tax-Managed U.S. Marketwide Value Portfolio II
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of DFA International Value Portfolio
III, U.S. Large Cap Value Portfolio III and Tax-Managed U.S. Marketwide Value
Portfolio II (three of the portfolios constituting Dimensional Investment Group
Inc., hereafter collectively referred to as the "Portfolios") as of October 31,
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 Portfolios 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 Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
(PCAOB) and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the transfer agent of the investee funds. We believe that
our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 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.
25
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 USA
Value Series 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
6/30/2019 15,152 16,357 Past performance is not predictive of
7/31/2019 14,660 16,160 future performance.
8/31/2019 14,058 15,763
9/30/2019 14,777 16,205 The returns shown do not reflect the
10/31/2019 15,282 16,729 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------ MSCI data copyright MSCI 2019, all
3.60% 2.64% 4.33% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
THE U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The U.S. Large Cap Value Series Russell 1000/R/ Value Index
------------------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,564 10,564
12/31/2009 10,855 10,751
1/31/2010 10,603 10,448
2/28/2010 11,061 10,778
3/31/2010 11,923 11,480
4/30/2010 12,301 11,777
5/31/2010 11,247 10,809
6/30/2010 10,398 10,200
7/31/2010 11,214 10,891
8/31/2010 10,537 10,425
9/30/2010 11,565 11,234
10/31/2010 11,996 11,571
11/30/2010 11,903 11,509
12/31/2010 13,064 12,418
1/31/2011 13,481 12,698
2/28/2011 14,211 13,167
3/31/2011 14,277 13,219
4/30/2011 14,642 13,571
5/31/2011 14,430 13,428
6/30/2011 14,178 13,152
7/31/2011 13,528 12,716
8/31/2011 12,387 11,923
9/30/2011 11,134 11,022
10/31/2011 12,679 12,283
11/30/2011 12,573 12,220
12/31/2011 12,672 12,466
1/31/2012 13,302 12,938
2/29/2012 14,072 13,453
3/31/2012 14,330 13,852
4/30/2012 14,038 13,711
5/31/2012 13,044 12,907
6/30/2012 13,747 13,548
7/31/2012 13,879 13,688
8/31/2012 14,430 13,985
9/30/2012 14,960 14,429
10/31/2012 15,000 14,358
11/30/2012 15,033 14,352
12/31/2012 15,491 14,649
1/31/2013 16,572 15,601
2/28/2013 16,784 15,825
3/31/2013 17,586 16,452
4/30/2013 17,772 16,700
5/31/2013 18,501 17,129
6/30/2013 18,296 16,978
7/31/2013 19,390 17,895
8/31/2013 18,820 17,216
9/30/2013 19,370 17,647
10/31/2013 20,351 18,420
11/30/2013 21,207 18,934
12/31/2013 21,771 19,413
1/31/2014 20,908 18,724
2/28/2014 21,618 19,534
3/31/2014 22,129 20,000
4/30/2014 22,275 20,190
5/31/2014 22,765 20,486
6/30/2014 23,382 21,021
7/31/2014 23,216 20,663
8/31/2014 23,952 21,422
9/30/2014 23,362 20,980
10/31/2014 23,541 21,452
11/30/2014 23,820 21,891
12/31/2014 23,999 22,025
1/31/2015 22,812 21,145
2/28/2015 24,423 22,168
3/31/2015 23,959 21,866
4/30/2015 24,443 22,070
5/31/2015 24,715 22,336
6/30/2015 24,317 21,890
7/31/2015 24,257 21,986
8/31/2015 22,785 20,676
9/30/2015 22,056 20,052
10/31/2015 23,853 21,565
11/30/2015 23,946 21,648
12/31/2015 23,196 21,182
1/31/2016 21,618 20,088
2/29/2016 21,658 20,082
3/31/2016 23,236 21,529
4/30/2016 23,866 21,981
5/31/2016 24,191 22,323
6/30/2016 24,164 22,516
7/31/2016 25,000 23,170
8/31/2016 25,298 23,348
9/30/2016 25,418 23,300
10/31/2016 24,987 22,939
11/30/2016 26,950 24,249
12/31/2016 27,626 24,855
1/31/2017 28,024 25,032
2/28/2017 28,879 25,932
3/31/2017 28,607 25,668
4/30/2017 28,806 25,619
5/31/2017 28,773 25,594
6/30/2017 29,257 26,013
7/31/2017 29,755 26,358
8/31/2017 29,476 26,051
9/30/2017 30,617 26,823
10/31/2017 31,061 27,018
11/30/2017 32,168 27,845
12/31/2017 32,918 28,251
1/31/2018 34,609 29,344
2/28/2018 32,898 27,943
3/31/2018 32,155 27,451
4/30/2018 32,202 27,542
5/31/2018 32,513 27,705
6/30/2018 32,281 27,774
7/31/2018 33,621 28,873
8/31/2018 34,111 29,300
9/30/2018 34,145 29,358
10/31/2018 31,976 27,838
11/30/2018 32,719 28,669
12/31/2018 29,125 25,916
1/31/2019 31,651 27,933
2/28/2019 32,440 28,825
3/31/2019 32,281 29,009
4/30/2019 33,395 30,038
5/31/2019 30,822 28,106
6/30/2019 33,289 30,124 Past performance is not predictive of
7/31/2019 33,647 30,374 future performance.
8/31/2019 32,268 29,481
9/30/2019 33,541 30,532 The returns shown do not reflect the
10/31/2019 34,264 30,959 deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
--------------------------------------------------------------- Investment Group 1995-2019, all rights
7.15% 7.80% 13.11% reserved.
--------------------------------------------------------------------------------
26
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS.
RUSSELL 3000(R) VALUE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
The Tax-Managed U.S.
Marketwide Value Series Russell 3000/R/ Value Index
----------------------- ---------------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,464 10,544
12/31/2009 10,848 10,778
1/31/2010 10,544 10,474
2/28/2010 11,030 10,817
3/31/2010 11,900 11,537
4/30/2010 12,364 11,879
5/31/2010 11,305 10,900
6/30/2010 10,442 10,258
7/31/2010 11,276 10,955
8/31/2010 10,537 10,458
9/30/2010 11,588 11,294
10/31/2010 12,038 11,640
11/30/2010 12,067 11,607
12/31/2010 13,205 12,527
1/31/2011 13,532 12,787
2/28/2011 14,293 13,274
3/31/2011 14,387 13,337
4/30/2011 14,728 13,681
5/31/2011 14,496 13,528
6/30/2011 14,242 13,246
7/31/2011 13,640 12,806
8/31/2011 12,502 11,980
9/30/2011 11,233 11,043
10/31/2011 12,799 12,332
11/30/2011 12,698 12,271
12/31/2011 12,828 12,514
1/31/2012 13,495 13,016
2/29/2012 14,206 13,508
3/31/2012 14,511 13,910
4/30/2012 14,242 13,764
5/31/2012 13,241 12,954
6/30/2012 13,938 13,595
7/31/2012 14,061 13,715
8/31/2012 14,590 14,022
9/30/2012 15,112 14,471
10/31/2012 15,163 14,392
11/30/2012 15,257 14,390
12/31/2012 15,700 14,710
1/31/2013 16,737 15,660
2/28/2013 16,998 15,881
3/31/2013 17,839 16,513
4/30/2013 17,962 16,742
5/31/2013 18,550 17,177
6/30/2013 18,441 17,032
7/31/2013 19,565 17,965
8/31/2013 18,985 17,275
9/30/2013 19,681 17,752
10/31/2013 20,609 18,513
11/30/2013 21,465 19,046
12/31/2013 22,059 19,518
1/31/2014 21,189 18,820
2/28/2014 21,965 19,638
3/31/2014 22,292 20,089
4/30/2014 22,342 20,223
5/31/2014 22,872 20,506
6/30/2014 23,459 21,071
7/31/2014 23,096 20,638
8/31/2014 23,945 21,407
9/30/2014 23,336 20,887
10/31/2014 23,735 21,431
11/30/2014 24,046 21,827
12/31/2014 24,286 21,997
1/31/2015 23,067 21,114
2/28/2015 24,743 22,133
3/31/2015 24,503 21,884
4/30/2015 24,757 22,035
5/31/2015 25,134 22,293
6/30/2015 24,873 21,884
7/31/2015 24,946 21,923
8/31/2015 23,372 20,635
9/30/2015 22,640 20,005
10/31/2015 24,431 21,483
11/30/2015 24,474 21,607
12/31/2015 23,655 21,088
1/31/2016 22,146 19,973
2/29/2016 22,096 19,979
3/31/2016 23,648 21,435
4/30/2016 24,242 21,885
5/31/2016 24,525 22,230
6/30/2016 24,496 22,413
7/31/2016 25,163 23,105
8/31/2016 25,424 23,313
9/30/2016 25,540 23,282
10/31/2016 25,112 22,890
11/30/2016 27,027 24,328
12/31/2016 27,759 24,968
1/31/2017 28,093 25,117
2/28/2017 28,861 25,976
3/31/2017 28,622 25,715
4/30/2017 28,898 25,678
5/31/2017 28,796 25,592
6/30/2017 29,282 26,046
7/31/2017 29,724 26,379
8/31/2017 29,449 26,046
9/30/2017 30,522 26,897
10/31/2017 30,790 27,080
11/30/2017 31,922 27,905
12/31/2017 32,531 28,262
1/31/2018 34,184 29,300
2/28/2018 32,451 27,896
3/31/2018 31,769 27,465
4/30/2018 31,922 27,585
5/31/2018 32,248 27,857
6/30/2018 32,219 27,935
7/31/2018 33,553 28,994
8/31/2018 34,184 29,442
9/30/2018 34,249 29,441
10/31/2018 32,103 27,834
11/30/2018 32,806 28,638
12/31/2018 29,253 25,838
1/31/2019 31,980 27,905
2/28/2019 32,937 28,810
3/31/2019 32,705 28,922
4/30/2019 34,025 29,952
5/31/2019 31,566 27,991 Past performance is not predictive of
6/30/2019 33,894 29,985 future performance.
7/31/2019 34,336 30,220
8/31/2019 32,756 29,278 The returns shown do not reflect the
9/30/2019 34,046 30,352 deduction of taxes that a shareholder
10/31/2019 34,938 30,797 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE TEN
TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell
----------------------------------------------------------- Investment Group 1995-2019, all rights
8.83% 8.04% 13.33% reserved.
--------------------------------------------------------------------------------
27
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%
28
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.
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
29
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index........................ 13.49%
Russell 1000(R) Index (large-cap stocks)..... 14.15%
Russell Midcap(R) Index (mid-cap stocks)..... 13.72%
Russell 2000(R) Index (small-cap stocks)..... 4.90%
Russell Microcap(R) Index (micro-cap stocks). -3.27%
Dow Jones U.S. Select REIT Index/SM/......... 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value stocks)... 11.21%
Russell 1000(R) Growth Index (large-cap growth stocks). 17.10%
Russell 2000(R) Value Index (small-cap value stocks)... 3.22%
Russell 2000(R) Growth Index (small-cap growth stocks). 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
U.S. LARGE CAP VALUE SERIES
The U.S. Large Cap Value Series is designed to capture the returns of U.S.
large company low relative price (value) stocks. 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 value segment of the U.S. market. As
of October 31, 2019, the Series held approximately 330 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 7.15% for the
Series and 11.21% for the Russell 1000(R) Value Index, the Series' benchmark.
As a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. With low relative price (value)
stocks generally underperforming high relative price (growth) stocks, the
Series' greater emphasis on value stocks detracted from performance relative to
the benchmark. At the sector level, the Series' exclusions of real estate
investment trusts (REITs) and certain utilities also detracted from relative
performance, as REITs and utilities generally outperformed in the U.S.
TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
The Tax-Managed U.S. Marketwide Value Series invests in a broadly
diversified group of U.S. low relative price (value) stocks while considering
the federal tax implications of investment decisions. The investment strategy
is process driven, emphasizing broad diversification. As of October 31, 2019,
the Series held approximately 1,200 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 8.83% for the
Series and 10.65% for the Russell 3000(R) Value Index, the Series' benchmark.
As a result of the Series' diversified investment approach, performance was
determined principally by broad trends in the U.S. equity market rather than by
the behavior of a limited number of stocks. With low relative price (value)
stocks generally underperforming high relative price (growth) stocks, the
Series' greater emphasis on value stocks detracted from performance relative to
the benchmark. At the sector level, the Series' exclusions of real estate
investment trusts (REITs) and certain utilities had a negative impact on
relative performance, as REITs and utilities generally outperformed in the U.S.
30
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 U.S. LARGE CAP VALUE SERIES
-------------------------------
Actual Fund Return................. $1,000.00 $1,026.00 0.11% $0.56
Hypothetical 5% Annual Return...... $1,000.00 $1,024.65 0.11% $0.56
31
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 TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
--------------------------------------------
Actual Fund Return........................... $1,000.00 $1,026.90 0.21% $1.07
Hypothetical 5% Annual Return................ $1,000.00 $1,024.15 0.21% $1.07
--------
(1) Expenses are equal to the fund's annualized expense ratio for the
six-month period, multiplied by the average account value over the period,
multiplied by the number of days in the most recent six-month period
(184), then divided by the number of days in the year (365) to reflect the
six-month period.
32
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 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 tables, which present portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
THE 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 U.S. LARGE CAP VALUE SERIES
Communication Services. 12.2%
Consumer Discretionary. 6.8%
Consumer Staples....... 4.8%
Energy................. 12.3%
Financials............. 23.6%
Health Care............ 14.4%
Industrials............ 10.7%
Information Technology. 9.9%
Materials.............. 4.7%
Real Estate............ 0.3%
Utilities.............. 0.3%
-----
100.0%
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Communication Services. 13.1%
Consumer Discretionary. 6.5%
Consumer Staples....... 6.1%
Energy................. 9.6%
Financials............. 24.1%
Health Care............ 13.5%
Industrials............ 12.2%
Information Technology. 12.0%
Materials.............. 2.6%
Real Estate............ 0.2%
Utilities.............. 0.1%
-----
100.0%
33
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%
-------------- ----
34
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%
-------------- ----
35
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%
=============== =====
36
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.
37
THE U.S. LARGE CAP VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
---------- -------------- ---------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (12.0%)
AT&T, Inc................................ 33,969,452 $1,307,484,208 4.4%
* Charter Communications, Inc., Class A.... 940,732 440,130,874 1.5%
Comcast Corp., Class A................... 21,970,229 984,705,664 3.3%
Walt Disney Co. (The).................... 3,453,204 448,640,264 1.5%
Other Securities......................... 438,144,096 1.4%
-------------- ----
TOTAL COMMUNICATION SERVICES................. 3,619,105,106 12.1%
-------------- ----
CONSUMER DISCRETIONARY -- (6.7%)
DR Horton, Inc........................... 3,053,585 159,916,246 0.5%
General Motors Co........................ 6,055,833 225,034,754 0.8%
Target Corp.............................. 1,473,116 157,490,831 0.5%
Other Securities......................... 1,477,743,583 4.9%
-------------- ----
TOTAL CONSUMER DISCRETIONARY................. 2,020,185,414 6.7%
-------------- ----
CONSUMER STAPLES -- (4.8%)
Mondelez International, Inc., Class A.... 3,530,822 185,191,614 0.6%
Tyson Foods, Inc., Class A............... 1,750,467 144,921,163 0.5%
Walgreens Boots Alliance, Inc............ 3,401,321 186,324,364 0.6%
Walmart, Inc............................. 3,918,069 459,432,771 1.5%
Other Securities......................... 460,308,472 1.6%
-------------- ----
TOTAL CONSUMER STAPLES....................... 1,436,178,384 4.8%
-------------- ----
ENERGY -- (12.1%)
Chevron Corp............................. 8,424,414 978,411,442 3.3%
ConocoPhillips........................... 5,133,675 283,378,860 0.9%
Exxon Mobil Corp......................... 13,344,776 901,706,514 3.0%
Marathon Petroleum Corp.................. 3,109,699 198,865,251 0.7%
Phillips 66.............................. 1,185,191 138,454,013 0.5%
Valero Energy Corp....................... 2,446,279 237,240,137 0.8%
Other Securities......................... 908,813,560 3.0%
-------------- ----
TOTAL ENERGY................................. 3,646,869,777 12.2%
-------------- ----
FINANCIALS -- (23.2%)
Bank of America Corp..................... 22,040,613 689,210,000 2.3%
Bank of New York Mellon Corp. (The)...... 3,657,167 170,972,557 0.6%
* Berkshire Hathaway, Inc., Class B........ 2,984,980 634,547,048 2.1%
Capital One Financial Corp............... 2,121,634 197,842,371 0.7%
Citigroup, Inc........................... 7,149,102 513,734,470 1.7%
Fifth Third Bancorp...................... 4,857,785 141,264,388 0.5%
Goldman Sachs Group, Inc. (The).......... 1,393,141 297,268,427 1.0%
JPMorgan Chase & Co...................... 7,660,148 956,905,688 3.2%
Morgan Stanley........................... 4,980,221 229,339,177 0.8%
PNC Financial Services Group, Inc. (The). 1,313,525 192,694,118 0.6%
Travelers Cos., Inc. (The)............... 1,165,331 152,728,281 0.5%
Wells Fargo & Co......................... 16,157,084 834,190,247 2.8%
Other Securities......................... 1,996,982,476 6.6%
-------------- ----
TOTAL FINANCIALS............................. 7,007,679,248 23.4%
-------------- ----
HEALTH CARE -- (14.2%)
Anthem, Inc.............................. 1,376,563 370,405,572 1.2%
38
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
----------- --------------- ---------------
HEALTH CARE -- (Continued)
* Cigna Corp.................................................... 1,498,160 $ 267,361,634 0.9%
CVS Health Corp............................................... 5,447,574 361,664,438 1.2%
Danaher Corp.................................................. 1,690,202 232,943,640 0.8%
Humana, Inc................................................... 529,635 155,818,617 0.5%
Medtronic P.L.C............................................... 4,359,974 474,801,169 1.6%
Pfizer, Inc................................................... 24,583,746 943,278,334 3.2%
Thermo Fisher Scientific, Inc................................. 1,073,774 324,258,273 1.1%
Other Securities.............................................. 1,154,628,998 3.8%
--------------- -----
TOTAL HEALTH CARE................................................... 4,285,160,675 14.3%
--------------- -----
INDUSTRIALS -- (10.6%)
Delta Air Lines, Inc.......................................... 2,950,569 162,517,341 0.5%
Eaton Corp. P.L.C............................................. 1,816,899 158,270,072 0.5%
FedEx Corp.................................................... 1,023,792 156,292,087 0.5%
Norfolk Southern Corp......................................... 1,385,379 252,138,978 0.8%
Republic Services, Inc........................................ 1,904,674 166,678,022 0.6%
Stanley Black & Decker, Inc................................... 1,031,996 156,171,955 0.5%
* United Airlines Holdings, Inc. 1,825,283 165,808,708 0.6%
United Technologies Corp...................................... 2,227,609 319,840,100 1.1%
Other Securities.............................................. 1,652,160,523 5.6%
--------------- -----
TOTAL INDUSTRIALS................................................... 3,189,877,786 10.7%
--------------- -----
INFORMATION TECHNOLOGY -- (9.8%)
Fidelity National Information Services, Inc................... 1,545,803 203,675,003 0.7%
HP, Inc....................................................... 9,619,949 167,098,514 0.6%
Intel Corp.................................................... 22,465,295 1,269,963,126 4.3%
* Micron Technology, Inc........................................ 5,266,057 250,401,010 0.8%
Other Securities.............................................. 1,051,055,240 3.4%
--------------- -----
TOTAL INFORMATION TECHNOLOGY........................................ 2,942,192,893 9.8%
--------------- -----
MATERIALS -- (4.6%)
Other Securities.............................................. 1,394,107,868 4.7%
--------------- -----
REAL ESTATE -- (0.3%)
Other Securities.............................................. 85,587,023 0.3%
--------------- -----
UTILITIES -- (0.3%)
Other Securities.............................................. 94,489,673 0.3%
--------------- -----
TOTAL COMMON STOCKS
(Cost $21,723,243,935)............................................ 29,721,433,847 99.3%
--------------- -----
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund,
1.752%...................................................... 166,338,555 166,338,555 0.6%
--------------- -----
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund............................ 22,114,935 255,891,910 0.8%
--------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $22,145,430,170)............................................ $30,143,664,312 100.7%
=============== =====
39
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
As of October 31, 2019, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index... 985 12/20/19 $148,128,680 $149,513,150 $1,384,470
------------ ------------ ----------
TOTAL FUTURES CONTRACTS.. $148,128,680 $149,513,150 $1,384,470
============ ============ ==========
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..... $ 3,619,105,106 -- -- $ 3,619,105,106
Consumer Discretionary..... 2,020,185,414 -- -- 2,020,185,414
Consumer Staples........... 1,436,178,384 -- -- 1,436,178,384
Energy..................... 3,646,869,777 -- -- 3,646,869,777
Financials................. 7,007,679,248 -- -- 7,007,679,248
Health Care................ 4,285,160,675 -- -- 4,285,160,675
Industrials................ 3,189,877,786 -- -- 3,189,877,786
Information Technology..... 2,942,192,893 -- -- 2,942,192,893
Materials.................. 1,394,107,868 -- -- 1,394,107,868
Real Estate................ 85,587,023 -- -- 85,587,023
Utilities.................. 94,489,673 -- -- 94,489,673
Temporary Cash Investments.... 166,338,555 -- -- 166,338,555
Securities Lending Collateral. -- $255,891,910 -- 255,891,910
Futures Contracts**........... 1,384,470 -- -- 1,384,470
--------------- ------------ -- ---------------
TOTAL......................... $29,889,156,872 $255,891,910 -- $30,145,048,782
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
40
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
OCTOBER 31, 2019
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (12.9%)
Activision Blizzard, Inc................. 496,359 $ 27,810,995 0.4%
AT&T, Inc................................ 7,170,552 275,994,547 3.8%
* Charter Communications, Inc., Class A.... 339,394 158,788,877 2.2%
Comcast Corp., Class A................... 6,410,970 287,339,675 4.0%
Walt Disney Co. (The).................... 559,809 72,730,385 1.0%
Other Securities......................... 132,011,260 1.7%
-------------- ----
TOTAL COMMUNICATION SERVICES................ 954,675,739 13.1%
-------------- ----
CONSUMER DISCRETIONARY -- (6.4%)
General Motors Co........................ 1,095,598 40,712,422 0.6%
Royal Caribbean Cruises, Ltd............. 322,500 35,097,675 0.5%
Target Corp.............................. 277,933 29,713,817 0.4%
Other Securities......................... 365,399,739 5.0%
-------------- ----
TOTAL CONSUMER DISCRETIONARY................ 470,923,653 6.5%
-------------- ----
CONSUMER STAPLES -- (6.0%)
Archer-Daniels-Midland Co................ 813,476 34,198,531 0.5%
Mondelez International, Inc., Class A.... 2,081,099 109,153,642 1.5%
Tyson Foods, Inc., Class A............... 405,030 33,532,434 0.5%
Walgreens Boots Alliance, Inc............ 659,669 36,136,668 0.5%
Walmart, Inc............................. 1,173,687 137,626,538 1.9%
Other Securities......................... 89,969,469 1.1%
-------------- ----
TOTAL CONSUMER STAPLES...................... 440,617,282 6.0%
-------------- ----
ENERGY -- (9.5%)
Chevron Corp............................. 1,304,634 151,520,193 2.1%
ConocoPhillips........................... 1,439,649 79,468,625 1.1%
Exxon Mobil Corp......................... 2,133,521 144,162,014 2.0%
Marathon Petroleum Corp.................. 1,004,662 64,248,135 0.9%
Phillips 66.............................. 775,455 90,588,653 1.3%
Valero Energy Corp....................... 605,899 58,760,085 0.8%
Other Securities......................... 111,377,524 1.4%
-------------- ----
TOTAL ENERGY................................ 700,125,229 9.6%
-------------- ----
FINANCIALS -- (23.8%)
Bank of America Corp..................... 5,929,137 185,404,114 2.6%
* Berkshire Hathaway, Inc., Class B........ 561,141 119,287,354 1.6%
Capital One Financial Corp............... 372,872 34,770,314 0.5%
Citigroup, Inc........................... 1,870,326 134,401,626 1.9%
Goldman Sachs Group, Inc. (The).......... 205,139 43,772,560 0.6%
JPMorgan Chase & Co...................... 2,307,658 288,272,637 4.0%
MetLife, Inc............................. 949,912 44,446,382 0.6%
Morgan Stanley........................... 1,036,923 47,750,304 0.7%
PNC Financial Services Group, Inc. (The). 217,040 31,839,768 0.4%
Prudential Financial, Inc................ 497,625 45,353,542 0.6%
Wells Fargo & Co......................... 3,018,887 155,865,136 2.2%
Other Securities......................... 621,905,809 8.4%
-------------- ----
TOTAL FINANCIALS............................ 1,753,069,546 24.1%
-------------- ----
41
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
PERCENTAGE
SHARES VALUE+ OF NET ASSETS++
--------- -------------- ---------------
HEALTH CARE -- (13.3%)
Abbott Laboratories.................................................. 915,297 $ 76,527,982 1.1%
Anthem, Inc.......................................................... 504,640 135,788,531 1.9%
* Cigna Corp........................................................... 299,456 53,440,918 0.7%
CVS Health Corp...................................................... 1,510,745 100,298,361 1.4%
Danaher Corp......................................................... 405,225 55,848,109 0.8%
Humana, Inc.......................................................... 198,071 58,272,488 0.8%
Medtronic P.L.C...................................................... 814,175 88,663,657 1.2%
Pfizer, Inc.......................................................... 3,696,959 141,852,317 2.0%
Thermo Fisher Scientific, Inc........................................ 435,609 131,545,206 1.8%
Other Securities..................................................... 137,183,749 1.8%
-------------- -----
TOTAL HEALTH CARE....................................................... 979,421,318 13.5%
-------------- -----
INDUSTRIALS -- (12.0%)
CSX Corp............................................................. 1,055,544 74,173,077 1.0%
Ingersoll-Rand P.L.C................................................. 213,109 27,041,401 0.4%
L3Harris Technologies, Inc........................................... 130,611 26,946,355 0.4%
Norfolk Southern Corp................................................ 545,229 99,231,678 1.4%
Republic Services, Inc............................................... 429,755 37,607,860 0.5%
Southwest Airlines Co................................................ 531,263 29,819,792 0.4%
Union Pacific Corp................................................... 561,768 92,950,133 1.3%
United Technologies Corp............................................. 245,098 35,191,171 0.5%
Other Securities..................................................... 462,559,137 6.3%
-------------- -----
TOTAL INDUSTRIALS....................................................... 885,520,604 12.2%
-------------- -----
INFORMATION TECHNOLOGY -- (11.9%)
Cisco Systems, Inc................................................... 4,221,011 200,540,233 2.8%
Intel Corp........................................................... 4,943,498 279,455,942 3.9%
* Micron Technology, Inc............................................... 878,203 41,758,553 0.6%
Other Securities..................................................... 353,902,964 4.7%
-------------- -----
TOTAL INFORMATION TECHNOLOGY............................................ 875,657,692 12.0%
-------------- -----
MATERIALS -- (2.5%)
Other Securities..................................................... 187,944,296 2.6%
-------------- -----
REAL ESTATE -- (0.2%)
Other Securities..................................................... 14,026,073 0.2%
-------------- -----
UTILITIES -- (0.1%)
Other Securities..................................................... 10,107,553 0.1%
-------------- -----
TOTAL COMMON STOCKS
(Cost $3,953,673,965)................................................ 7,272,088,985 99.9%
-------------- -----
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.752%. 2,947,951 2,947,951 0.1%
-------------- -----
SECURITIES LENDING COLLATERAL -- (1.4%)
@(S) The DFA Short Term Investment Fund................................. 8,794,388 101,759,864 1.4%
-------------- -----
TOTAL INVESTMENTS--(100.0%)
(Cost $4,058,366,096)................................................ $7,376,796,800 101.4%
============== =====
42
THE TAX-MANAGED U.S. MARKETWIDE VALUE 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.......... $ 954,675,739 -- -- $ 954,675,739
Consumer Discretionary.......... 470,921,272 $ 2,381 -- 470,923,653
Consumer Staples................ 440,617,282 -- -- 440,617,282
Energy.......................... 700,125,229 -- -- 700,125,229
Financials...................... 1,753,040,635 28,911 -- 1,753,069,546
Health Care..................... 979,421,318 -- -- 979,421,318
Industrials..................... 885,520,604 -- -- 885,520,604
Information Technology.......... 875,657,692 -- -- 875,657,692
Materials....................... 187,944,296 -- -- 187,944,296
Real Estate..................... 14,026,073 -- -- 14,026,073
Utilities....................... 10,107,553 -- -- 10,107,553
Temporary Cash Investments......... 2,947,951 -- -- 2,947,951
Securities Lending Collateral...... -- 101,759,864 -- 101,759,864
-------------- ------------ -- --------------
TOTAL.............................. $7,275,005,644 $101,791,156 -- $7,376,796,800
============== ============ == ==============
See accompanying Notes to Financial Statements.
43
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE DFA THE U.S. LARGE THE TAX-MANAGED
INTERNATIONAL CAP VALUE U.S. MARKETWIDE
VALUE SERIES* SERIES* VALUE SERIES*
------------- -------------- ---------------
ASSETS:
Investment Securities at Value (including $321,088, $576,819
and $168,662 of securities on loan, respectively).......... $12,234,481 $29,721,433 $7,272,089
Temporary Cash Investments at Value & Cost................... -- 166,339 2,948
Collateral from Securities on Loan Invested in Affiliate at
Value (including cost of $257,560, $255,848 and
$101,744).................................................. 257,592 255,892 101,760
Segregated Cash for Futures Contracts........................ 4,457 6,206 --
Foreign Currencies at Value.................................. 107,014 -- --
Cash......................................................... 1,847 -- --
Receivables:
Investment Securities Sold................................ 10,170 -- 39
Dividends, Interest and Tax Reclaims...................... 67,642 40,355 8,441
Securities Lending Income................................. 285 98 153
Unrealized Gain on Foreign Currency Contracts................ 1 -- --
----------- ----------- ----------
Total Assets.............................................. 12,683,489 30,190,323 7,385,430
----------- ----------- ----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.......................... 257,574 255,842 101,743
Investment Securities Purchased........................... 1,425 -- 4,284
Due to Advisor............................................ 2,064 2,486 1,202
Futures Margin Variation.................................. 419 591 --
Unrealized Loss on Foreign Currency Contracts................ 21 -- --
Accrued Expenses and Other Liabilities....................... 1,136 1,726 446
----------- ----------- ----------
Total Liabilities......................................... 262,639 260,645 107,675
----------- ----------- ----------
NET ASSETS................................................... $12,420,850 $29,929,678 $7,277,755
=========== =========== ==========
Investment Securities at Cost................................ $12,023,744 $21,723,243 $3,953,674
=========== =========== ==========
Foreign Currencies at Cost................................... $ 105,529 $ -- $ --
=========== =========== ==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
44
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE DFA THE U.S. LARGE THE TAX-MANAGED
INTERNATIONAL CAP VALUE U.S. MARKETWIDE
VALUE SERIES# SERIES# VALUE SERIES#
------------- -------------- ---------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $48,859, $0
and $17, respectively)................................. $490,858 $ 755,430 $164,592
Income from Securities Lending........................... 7,065 1,639 987
-------- ---------- --------
Total Investment Income........................... 497,923 757,069 165,579
-------- ---------- --------
EXPENSES
Investment Management Fees............................... 24,092 29,007 13,714
Accounting & Transfer Agent Fees......................... 530 1,223 308
Custodian Fees........................................... 1,129 301 84
Shareholders' Reports.................................... 6 -- 10
Directors'/Trustees' Fees & Expenses..................... 71 172 41
Professional Fees........................................ 243 446 102
Other.................................................... 311 581 161
-------- ---------- --------
Total Expenses.................................... 26,382 31,730 14,420
-------- ---------- --------
Fees Paid Indirectly (Note C)............................ (923) -- --
-------- ---------- --------
Net Expenses............................................. 25,459 31,730 14,420
-------- ---------- --------
NET INVESTMENT INCOME (LOSS)............................. 472,464 725,339 151,159
-------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................... (46,440) 699,155 102,290
Affiliated Investment Companies Shares Sold.......... 14 35 --
Futures.............................................. 3,070 (1,255) (2,039)
Foreign Currency Transactions........................ 928 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (6,446) 565,227 326,938
Affiliated Investment Companies Shares............... (10) 21 9
Futures.............................................. 7,836 15,103 --
Translation of Foreign Currency-Denominated
Amounts............................................ 652 -- --
-------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. (40,396) 1,278,286 427,198
-------- ---------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $432,068 $2,003,625 $578,357
======== ========== ========
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
45
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE DFA INTERNATIONAL THE U.S. LARGE CAP VALUE THE TAX-MANAGED U.S.
VALUE SERIES SERIES MARKETWIDE VALUE SERIES
------------------------ ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
----------- ----------- ----------- ----------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................. $ 472,464 $ 420,496 $ 725,339 $ 633,952 $ 151,159 $ 139,407
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............ (46,440) 410,722 699,155 1,506,250 102,290 226,155
Affiliated Investment Companies
Shares Sold............................. 14 (107) 35 (48) -- (25)
Futures................................... 3,070 13,338 (1,255) 32,885 (2,039) 697
Foreign Currency Transactions............. 928 (5,911) -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (6,446) (1,897,300) 565,227 (1,356,683) 326,938 (80,044)
Affiliated Investment Companies
Shares.................................. (10) 55 21 (15) 9 2
Futures................................... 7,836 (9,675) 15,103 (21,778) -- --
Translation of Foreign Currency-
Denominated Amounts..................... 652 (613) -- -- -- --
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations........................... 432,068 (1,068,995) 2,003,625 794,563 578,357 286,192
----------- ----------- ----------- ----------- ---------- ----------
Transactions in Interest:
Contributions................................. 903,879 1,051,133 1,481,953 2,333,386 305,972 198,216
Withdrawals................................... (1,068,437) (560,948) (2,798,695) (1,561,700) (436,360) (321,718)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Transactions in Interest................ (164,558) 490,185 (1,316,742) 771,686 (130,388) (123,502)
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................. 267,510 (578,810) 686,883 1,566,249 447,969 162,690
NET ASSETS
Beginning of Year............................. 12,153,340 12,732,150 29,242,795 27,676,546 6,829,786 6,667,096
----------- ----------- ----------- ----------- ---------- ----------
End of Year................................... $12,420,850 $12,153,340 $29,929,678 $29,242,795 $7,277,755 $6,829,786
=========== =========== =========== =========== ========== ==========
--------
* 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.
46
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE DFA INTERNATIONAL VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 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%
----------- ----------- ----------- ---------- ----------
See accompanying Notes to Financial Statements.
47
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE U.S. LARGE CAP VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
----------- ----------- ----------- ----------- -----------
Total Return............................................ 7.15% 2.95% 24.31% 4.75% 1.32%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands)..................... $29,929,678 $29,242,795 $27,676,546 $20,916,568 $19,094,057
Ratio of Expenses to Average Net Assets................. 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor)..................... 0.11% 0.11% 0.11% 0.11% 0.11%
Ratio of Net Investment Income to Average Net Assets.... 2.50% 2.14% 2.19% 2.39% 2.20%
Portfolio Turnover Rate................................. 10% 13% 15% 15% 16%
----------- ----------- ----------- ----------- -----------
See accompanying Notes to Financial Statements.
48
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Total Return................................................ 8.83% 4.26% 22.61% 2.79% 2.93%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $7,277,755 $6,829,786 $6,667,096 $5,538,404 $5,348,412
Ratio of Expenses to Average Net Assets..................... 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of Net Investment Income to Average Net Assets........ 2.20% 1.99% 2.02% 2.05% 1.82%
Portfolio Turnover Rate..................................... 10% 5% 7% 9% 6%
---------- ---------- ---------- ---------- ----------
See accompanying Notes to Financial Statements.
49
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940, The
Trust consists of eleven portfolios, three of which, The DFA International
Value Series, The U.S. Large Cap Value Series, and The Tax-Managed U.S.
Marketwide Value Series (the "Series"), are presented in this section of the
report. The remaining operational portfolios are presented in separate reports.
The Series are investment companies, and accordingly, follow the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Series use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series, value the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The DFA International Value Series (the "International Series") will also
apply a fair value price in the circumstances described below. Generally,
trading in foreign securities markets is completed each day at various times
prior to the close of the NYSE. For example, trading in the Japanese securities
markets is completed each day at the close of the Tokyo Stock Exchange
(normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE
(normally, 4:00 p.m. ET) and the time at which the net asset value of the
International Series is computed. Due
50
to the time differences between the closings of the relevant foreign securities
exchanges and the pricing of the International Series prices its shares at the
close of the NYSE, the International Series will fair value its foreign
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on International Series' foreign investments
since the last calculated closing prices of the foreign investments on their
primary foreign securities markets or exchanges. For these purposes, the Board
of Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the International Series uses data furnished
by an independent pricing service (and that data draws upon, among other
information, the market values of foreign investments). When the International
Series uses fair value pricing, the values assigned to the International
Series' foreign investments may not be the quoted or published prices of the
investments on their primary markets or exchanges. These securities are
generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy. Over-the-counter
derivative contracts, which include forward currency contracts, do not require
material subjectivity as pricing inputs are observed from quoted markets and
are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables are included at the end of the Summary Schedules of
Portfolio Holdings. The methodology or inputs used for valuing securities are
not necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the International Series, whose values are initially expressed in foreign
currencies are translated to U.S. dollars using the mean between the most
recent bid and ask prices for the U.S. dollar as quoted by generally recognized
reliable sources. To facilitate the translation, the Series enter into foreign
currency contracts. A foreign currency contract is a spot agreement between two
parties to buy and sell currencies at current market exchange rates, for
settlement generally within two business days. Dividend and interest income and
certain expenses are translated to U.S. dollars at the rate of exchange on
their respective accrual dates. Receivables and payables denominated in foreign
currencies are marked-to-market daily based on daily exchange rates and
exchange gains or losses are realized upon ultimate receipt or disbursement.
The International Series does not isolate the effect of foreign currency
rate fluctuations when determining the realized gain or loss upon the sale or
maturity of foreign currency-denominated debt obligations pursuant to U.S.
Federal income tax regulations; such amounts are categorized as foreign
exchange gain or loss for income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Series and the U.S. dollar equivalent amounts actually received
or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred
51
compensation until a date specified by such Trustee in the Notice. The date may
not be sooner than the earlier of: (i) the first business day of January
following the year in which such Trustee ceases to be a member of the Board of
Trustees of the Trust; and (ii) five years following the effective date of the
Trustee's first deferral election. If a Trustee who elects to defer fees fails
to designate in the Notice a time or date as of which payment of the Trustee's
deferred fee account shall commence, payment of such amount shall commence as
of the first business day of January following the year in which the Trustee
ceases to be a member of the Board (unless the Trustee files an amended Notice
selecting a different distribution date). As of October 31, 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 Series estimate the character of
received distributions that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
using the effective interest method. Expenses directly attributable to a Series
are directly charged. Common expenses of the Trust or Series are allocated
using methods approved by the Board of Trustees, generally based on average net
assets. The International Series may be subject to taxes imposed by countries
in which it invests, with respect to its investments in issuers existing or
operating in such countries. Such taxes are generally based on income earned or
repatriated and capital gains realized on the sale of such investments. The
International Series accrues such taxes when the related income or capital
gains are earned or throughout the holding period. Some countries require
governmental approval for the repatriation of investment income, capital or the
proceeds of sales earned by foreign investors. Additionally, if there is a
deterioration in a country's balance of payments or for other reasons, a
country may impose temporary restrictions on foreign capital remittances abroad.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to each Series. For the year ended October 31, 2019, the investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.20%, 0.10% and 0.20% of the average daily net assets
for The DFA International Value Series, The U.S. Large Cap Value Series, and
The Tax-Managed U.S. Marketwide Value Series, respectively.
EARNED INCOME CREDIT:
Additionally, certain Series have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Series' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of the
Series' net assets. During the year ended October 31, 2019, expenses reduced
were as follows (amount in thousands):
FEES PAID
INDIRECTLY
----------
The DFA International Value Series. $923
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 was $73 (in thousands). The total related amounts paid by each of the
Series are included in Other Expenses on the Statement of Operations.
52
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 U.S. Large Cap Value Series.............. 680
The Tax-Managed U.S. Marketwide Value Series. 190
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:
OTHER INVESTMENT SECURITIES
---------------------------
PURCHASES SALES
---------- ----------
The DFA International Value Series........... $2,227,903 $1,896,927
The U.S. Large Cap Value Series.............. 3,093,702 2,922,384
The Tax-Managed U.S. Marketwide Value Series. 837,761 660,740
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):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/ BALANCE AT SHARES AS OF DIVIDEND
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION OCTOBER 31, 2019 OCTOBER 31, 2019 INCOME
---------------- ---------- ---------- ------------ ------------- ---------------- ---------------- --------
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 U.S.
LARGE CAP
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... $516,726 $5,011,809 $5,272,699 $35 $ 21 $255,892 22,115 $14,604
-------- ---------- ---------- --- ---- -------- ------ -------
TOTAL.......... $516,726 $5,011,809 $5,272,699 $35 $ 21 $255,892 22,115 $14,604
======== ========== ========== === ==== ======== ====== =======
THE
TAX-MANAGED
U.S.
MARKETWIDE
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... $132,755 $ 838,971 $ 869,975 -- $ 9 $101,760 8,794 $ 3,485
-------- ---------- ---------- --- ---- -------- ------ -------
TOTAL.......... $132,755 $ 838,971 $ 869,975 -- $ 9 $101,760 8,794 $ 3,485
======== ========== ========== === ==== ======== ====== =======
CAPITAL GAIN
DISTRIBUTIONS
-------------
THE DFA
INTERNATIONAL
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... --
--
TOTAL.......... --
==
THE U.S.
LARGE CAP
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... --
--
TOTAL.......... --
==
THE
TAX-MANAGED
U.S.
MARKETWIDE
VALUE
SERIES
The DFA
Short Term
Investment
Fund.......... --
--
TOTAL.......... --
==
53
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 U.S. Large Cap Value Series.............. 22,130,188 9,582,563 (1,569,086) 8,013,477
The Tax-Managed U.S. Marketwide Value Series. 4,059,954 3,483,291 (166,447) 3,316,844
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. The Series are not aware
of any tax positions for which it is more likely than not that the total
amounts of unrecognized tax benefits will significantly change in the next
twelve months. The Series' federal tax returns for the prior three fiscal years
remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objectives and policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The International Series may acquire and sell
forward currency contracts to hedge against adverse changes in the relationship
of the U.S. dollar to foreign currencies (foreign exchange rate risk). The
decision to hedge the International Series' currency exposure with respect to a
foreign market will be based primarily on the Series' existing exposure to a
given foreign currency. Each contract is valued daily and the change in value
is recorded by the Series as an unrealized gain or loss, which is presented in
the Statements of Operations as the change in unrealized appreciation or
depreciation of forward currency contracts. When the contract is closed or
offset with the same counterparty, the Series record a realized gain or loss
equal to the change in the value of the contract when it was opened and the
value at the time it was closed or offset. This is presented in the Statements
of Operations as a net realized gain or loss on 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.
54
3. FUTURES CONTRACTS: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, do not intend to sell futures contracts to
establish short positions in individual 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 a 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. The Series entering into stock index futures are
subject to equity price risk from those futures contracts. Counterparty credit
risk related to exchange-traded futures is minimal because the exchange's
clearinghouse, as counterparty to all exchange-traded futures, guarantees the
futures against default.
The average volume (based on the open positions at each fiscal month-end) of
derivative activity for the year ended October 31, 2019 was as follows (amounts
in thousands):
FUTURES**
---------
The DFA International Value Series. $ 98,810
The U.S. Large Cap Value Series.... 190,177
** Average Notional Value of contracts
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 U.S. Large Cap Value Series.... 1,384 1,384
(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
55
REALIZED GAIN (LOSS) ON
DERIVATIVES
--------------------
EQUITY
TOTAL CONTRACTS (1)
------- -------------
The U.S. Large Cap Value Series......... $(1,255) $(1,255)
The Tax-Managed U.S. Marketwide Value
Series................................ (2,039) (2,039)*
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
---------------------------------
EQUITY
TOTAL CONTRACTS (2)
------- -------------
The DFA International Value Series...... $ 7,836 $ 7,836
The U.S. Large Cap Value Series......... 15,103 15,103
(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.
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 Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT OUTSTANDING
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING BORROWINGS
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD AS OF 10/31/2019
------------- ------------ ------------ -------- --------------- ----------------
The DFA International Value
Series...................... 1.30% $42 2 -- $84 --
56
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
------------- ------------ ------------ -------- --------------- ----------------
The Tax-Managed U.S.
Marketwide Value Series..... 2.92% $6,634 41 $23 $28,250 --
* 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 agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2019.
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 having 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 U.S. Large Cap Value Series......... 347,838 428,849 (68,292)
The Tax-Managed U.S. Marketwide Value
Series................................ 240,546 31,120 (7,618)
J. SECURITIES LENDING:
As of October 31, 2019, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. Additionally,
each Series received non-cash collateral consisting of short- and/or long-term
U.S. Treasuries and U.S. government agency securities as follows (amounts in
thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The DFA International Value Series................ $ 79,753
The U.S. Large Cap Value Series................... 337,733
57
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The Tax-Managed U.S. Marketwide Value Series...... $72,251
Each Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Series could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to their stated investment policies, each Series with securities on
loan will generally invest the cash collateral received for the loaned
securities in The DFA Short Term Investment Fund (the "Money Market Series"),
an affiliated registered money market fund advised by the Advisor for which the
Advisor receives a management fee of 0.05% of the average daily net assets of
the Money Market Series. Income received from the Money Market Series is netted
with fees for securities lending and collateral investment expenses and with
other payments to and from borrowers of securities. Such Series also may invest
the cash collateral received for the loaned securities in securities of the
U.S. government or its agencies, repurchase agreements collateralized by
securities of the U.S. government or its agencies, and affiliated or
unaffiliated money market funds that are registered or unregistered. For
purposes of this paragraph, agencies include both agency debentures and agency
mortgage-backed securities. Additionally, each Series will be able to terminate
the loan at any time and will receive reasonable interest on the loan, as well
as amounts equal to any dividends, interest or, other distributions on the
loaned securities. However, dividend income received from loaned securities may
not be eligible for taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 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 U.S. LARGE CAP VALUE SERIES
Common Stocks............................. 255,842 -- -- -- 255,842
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
Common Stocks............................. 101,743 -- -- -- 101,743
58
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
Series' 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. Although management currently
believes that resolving claims against us, individually or in aggregate, will
not have a material adverse impact on our financial position, our results of
operations, or our cash flows, these matters are subject to inherent
uncertainties and management's view of these matters may change in the future.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series have been named as defendants in a multi-district litigation pending in
the United States District Court for the Southern District of New York (the
"Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No.
11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007
leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's
subsequent bankruptcy and reorganization. In connection with the LBO, thousands
of Tribune shareholders, including The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series, sold Tribune shares back to Tribune
for $34 per share. The Tribune MDL includes a series of lawsuits brought by
individual creditors of Tribune (the "Individual Creditor Actions") and a
lawsuit brought by a court-appointed trustee (the "Trustee") on behalf of the
committee of unsecured creditors of Tribune (the "Committee Action," and with
the Individual Creditor Actions, collectively referred to as the "Lawsuits").
The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers
and recover the stock repurchase proceeds paid to the Tribune shareholders who
participated in the LBO. On September 23, 2013, the Court entered an order
dismissing the Individual Creditor Actions in their entirety on the grounds
that the individual creditor plaintiffs lacked standing to pursue their claims.
The parties appealed the Court's dismissal order to the United States Court of
Appeals for the Second Circuit (the "Second Circuit") and on March 29, 2016,
the Second Circuit affirmed the dismissal, albeit on the grounds that the
individual creditor plaintiffs' claims were preempted by the Bankruptcy Code's
safe harbor for securities transactions. The individual creditor plaintiffs
filed a petition for certiorari with the Supreme Court of the United States
(the "Supreme Court"), seeking review of the Second Circuit's ruling.
Thereafter, the individual creditor plaintiffs moved the Second Circuit to
review its prior ruling in light of the Supreme Court's decision in Merit
Management Group, LP v. FTI Consulting, Inc., 138 S.Ct. 883 (2018) ("Merit
Mgmt."), which addressed the scope of the Bankruptcy Code's safe harbor for
securities transactions. The Second Circuit agreed to review the matter and
withdrew its mandate with respect to the affirmance of the dismissal order.
Consequently, the Supreme Court dismissed the individual creditor plaintiffs'
petition for certiorari. The Second Circuit's review is pending.
59
On January 6, 2017, the Court granted the shareholder defendants' motion to
dismiss the claims against them in the Committee Action. The Trustee moved for
leave from the Court to file an amended complaint to assert new constructive
fraudulent transfer claims against the shareholder defendants in light of the
Merit Mgmt. decision. The Court denied the motion, ruling that the proposed
amendment would unduly prejudice the shareholder defendants and would be futile
because the Trustee's proposed constructive fraudulent transfer claims would be
barred by the Bankruptcy Code's safe harbor for securities transactions,
notwithstanding the Merit Mgmt. decision. The Trustee appealed the Court's
dismissal order and order denying the Trustee's motion for leave to amend to
the Second Circuit. The Second Circuit appeal is pending.
Litigation counsel to The U.S. Large Cap Value Series and The Tax-Managed
U.S. Marketwide Value Series in the Lawsuits has advised management that it
does not believe that it is possible, at this early stage in the proceedings,
to predict with any reasonable certainty the probable outcome of the Lawsuits
or quantify the ultimate exposure to The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The
U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value Series
can do so, no reduction of the respective net asset values of The U.S. Large
Cap Value Series and The Tax-Managed U.S. Marketwide Value Series will be made
relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were
to obtain the full recovery the plaintiffs seek, the amount would be less than
1% of the respective net asset values of The U.S. Large Cap Value Series and
The Tax-Managed U.S. Marketwide Value Series at this time.
The U.S. Large Cap Value Series and The Tax-Managed U.S. Marketwide Value
Series also cannot quantify the cost of the Lawsuits that could potentially be
deducted from their respective net asset values. Therefore, at this time, those
investors buying or redeeming shares of The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may
be, a price based on the respective net asset values of The U.S. Large Cap
Value Series and The Tax-Managed U.S. Marketwide Value Series, with no
adjustment relating to the Lawsuits. The attorneys' fees and costs relating to
the Lawsuits will be borne by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to
any other expenses incurred by The U.S. Large Cap Value Series and The
Tax-Managed U.S. Marketwide Value Series.
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.
60
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series, The DFA International Value Series and The
Tax-Managed U.S. Marketwide Value Series
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, of The U.S. Large Cap
Value Series, The DFA International Value Series and The Tax-Managed U.S.
Marketwide Value Series (three of the series constituting The DFA Investment
Trust Company, hereafter collectively referred to as the "Series") as of
October 31, 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 custodians, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 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.
61
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.
62
DISINTERESTED DIRECTORS
OTHER
PORTFOLIOS DIRECTORSHIPS OF
TERM OF WITHIN THE PUBLIC
OFFICE/1/ AND DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
-------------------- --------- ------------ ---------------------------------------- ------------------ -------------------
George M. Director Since 1983 Leo Melamed Professor of Finance, 128 portfolios in None
Constantinides University of Chicago Booth School of 4 investment
University of Business (since 1978). companies
Chicago Booth
School of Business
5807 S. Woodlawn
Avenue Chicago,
IL 60637
1947
Douglas W. Director Since 2017 Merton H. Miller Distinguished 128 portfolios in None
Diamond Service Professor of Finance, 4 investment
c/o Dimensional University of Chicago Booth School of companies
Fund Advisors LP Business (since 1988). Visiting
6300 Bee Cave Scholar, Federal Reserve Bank of
Road, Building Richmond (since 1990). Formerly,
One Austin, TX Fischer Black Visiting Professor of
78746 Financial Economics, Alfred P. Sloan
School of Management, Massachusetts
1953 Institute of Technology (2015 to
2016).
Darrell Duffie c/o Director Since March Dean Witter Distinguished Professor 128 portfolios in Formerly,
Dimensional Fund 2019 of Finance, Graduate School of 4 investment Director, Moody's
Advisors LP 6300 Business, Stanford University (since companies Corporation
Bee Cave Road, 1984). (financial
Building One information and
Austin, TX 78746 information
technology) (2008-
1954 April 2018).
Roger G. Ibbotson Director Since 1981 Professor in Practice Emeritus of 128 portfolios in None
Yale School of Finance, Yale School of Management 4 investment
Management P.O. (since 1984). Chairman and Partner, companies
Box 208200 New Zebra Capital Management, LLC (hedge
Haven, CT 06520- fund and asset manager) (since 2001).
8200 Formerly, Consultant to Morningstar,
Inc. (2006 - 2016).
1943
Edward P. Lazear Director Since 2010 Distinguished Visiting Fellow, Becker 128 portfolios in None
Stanford University Friedman Institute for Research in 4 investment
Graduate School of Economics, University of Chicago companies
Business Knight (since 2015). Morris Arnold Cox
Management Senior Fellow, Hoover Institution
Center, E346 (since 2002). Davies Family Professor
Stanford, CA of Economics, Graduate School of
94305 Business, Stanford University (since
1995). Cornerstone Research (expert
1948 testimony and economic and financial
analysis) (since 2009).
Myron S. Scholes Director Since 1981 Chief Investment Strategist, Janus 128 portfolios in Formerly, Adviser,
c/o Dimensional Henderson Investors (since 2014). 4 investment Kuapay, Inc.
Fund Advisors LP Frank E. Buck Professor of Finance, companies (2013-2014).
6300 Bee Cave Emeritus, Graduate School of Formerly,
Road, Building Business, Stanford University (since Director,
One Austin, TX 1981). American Century
78746 Fund Complex
(registered
1941 investment
companies) (43
Portfolios) (1980-
2014).
63
OTHER
PORTFOLIOS DIRECTORSHIPS OF
TERM OF WITHIN THE PUBLIC
OFFICE/1/ AND DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
------------------- --------- ------------ ---------------------------------------- ------------------ --------------------
Abbie J. Smith Director Since 2000 Boris and Irene Stern Distinguished 128 portfolios in Director (since
University of Service Professor of Accounting, 4 investment 2000) and
Chicago Booth University of Chicago Booth School of companies formerly, Lead
School of Business Business (since 1980). Director (2014-
5807 S. Woodlawn 2017), HNI
Avenue Corporation (office
Chicago, IL 60637 furniture);
Director, Ryder
1953 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 Professor of 128 portfolios in Director, Fourth
c/o Dimensional 2019 Finance, Fisher College of Business, 4 investment Swedish AP Fund
Fund Advisors LP The Ohio State University (since companies (pension fund asset
6300 Bee Cave 1998). Adjunct Member, the Prize management)
Road, Building Committee for the Swedish Riksbank (since 2017).
One Austin, TX Prize in Economic Sciences in Memory
78746 of Alfred Nobel (annual award for
significant scientific research
1961 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).
64
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
NAME, ADDRESS OFFICE/1/ AND DFA FUND OF PUBLIC COMPANIES
AND YEAR OF LENGTH OF COMPLEX/2/ HELD DURING PAST 5
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
--------------- --------- ----------- ---------------------------------------- ------------------ -------------------
David G. Booth Chairman Since 1981 Chairman, Director/Trustee, and 128 portfolios in None
6300 Bee Cave and formerly, President and Co-Chief 4 investment
Road, Building Director Executive Officer (each until March companies
One Austin, TX 2017) of Dimensional Emerging Markets
78746 Value Fund ("DEM"), DFAIDG,
Dimensional Investment Group Inc.
1946 ("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.
65
OFFICERS
Below is the name, year of birth, information regarding positions with the
Fund and the principal occupation for each officer of the Fund. The address of
each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the
officers listed below holds the same office (except as otherwise noted) in the
DFA Entities.
TERM OF
OFFICE/1/ AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
----------------- --------------- ---------------- --------------------------------------------------
Valerie A. Brown Vice President Since 2001 Vice President and Assistant Secretary of
1967 and Assistant . all the DFA Entities (since 2001)
Secretary . 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 Since September Vice President and Assistant Secretary of
1982 and Assistant 2019 . DFAIDG, DIG, DFAITC and DEM (since
Secretary 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 Since 2017 Co-Chief Executive Officer (since 2017) of
1964 Executive . all the DFA entities
Officer Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer (since
2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since
2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017) of
1972 President . all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since
2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
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
66
TERM OF
OFFICE/1/ AND
NAME AND YEAR OF LENGTH OF
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
------------------ ---------------- ---------------- -------------------------------------------------
Christopher S. Vice President Since 2004 Vice President and Global Chief Compliance
Crossan and Global Officer (since 2004) of
1965 Chief . all the DFA Entities
Compliance . DFA Australia Limited
Officer . Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief
Privacy Officer (since 2015) of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd. (since
2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief
Compliance Officer (2010 - 2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice President Vice President, Chief Financial Officer, and
1958 Chief Financial since 2015 and Treasurer (since 2016) of
Officer, and Chief Financial . all the DFA Entities
Treasurer Officer and . Dimensional Advisors Ltd.
Treasurer since . Dimensional Fund Advisors Ltd.
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 2004 Vice President (since 2004) and Assistant
1973 Secretary (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 Vice President Vice President (since 2015) of
1971 and Assistant since 2015 and . all the DFA Entities
Treasurer Assistant Assistant Treasurer (since 2017) of
Treasurer since . the DFA Fund Complex
2017 Formerly, Senior Tax Manager (2013 - 2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972 . all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
Catherine L. President and President since President (since 2017) of
Newell General Counsel 2017 and . the DFA Fund Complex
1964 General Counsel General Counsel (since 2001) of
since 2001 . All the DFA Entities
Executive Vice President (since 2017) and
Secretary (since 2000) of
67
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 Since 2013 Vice President and Deputy Chief Compliance
1961 and Deputy Officer of
Chief . the DFA Fund Complex (since 2013)
Compliance . Dimensional Fund Advisors LP (since 2012)
Officer
Carolyn L. O Vice President Vice President Vice President (since 2010) and Secretary (since
1974 and Secretary since 2010 and 2017) of
Secretary since . the DFA Fund Complex
2017 Vice President (since 2010) and Assistant
Secretary (since 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I Ltd.
(since 2010)
. Dimensional Fund Advisors Canada ULC
(since 2016)
Gerard K. O'Reilly Co-Chief Co-Chief Co-Chief Executive Officer and Chief Investment
1976 Executive Executive Officer (since 2017) of
Officer and Officer and . all the DFA Entities
Chief Chief . Dimensional Fund Advisors Canada ULC
Investment Investment Director, Chief Investment Officer and Vice
Officer Officer since President (since 2017) of
2017 . DFA Australia Limited
Chief Investment Officer (since 2017) and Vice
President (since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer and Chief
Investment Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Director of
. Dimensional Funds plc (since 2014)
. Dimensional Fund II plc (since 2014)
. Dimensional Holdings Inc. (since 2017)
Formerly, Co-Chief Investment Officer of
. Dimensional Japan Ltd. (2016 - 2017)
68
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.
69
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.
70
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
NET CORPORATE
DIMENSIONAL INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
----------- ------------- ------------- ------------- --------- ---------- ------------- ------------- ----------
DFA
International
Value
Portfolio
III........... 62% -- 38% -- -- 100% -- 100%
U.S. Large
Cap Value
Portfolio
III........... 26% -- 74% -- -- 100% 100% 100%
Tax-Managed
U.S.
Marketwide
Value
Portfolio
II............ 37% -- 63% -- -- 100% 100% 100%
QUALIFYING
SHORT-
DIMENSIONAL U.S. FOREIGN FOREIGN QUALIFYING TERM
INVESTMENT GOVERNMENT TAX SOURCE INTEREST CAPITAL
GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
----------- ------------ ---------- ---------- ---------- ----------
DFA
International
Value
Portfolio
III........... -- 5% 100% -- --
U.S. Large
Cap Value
Portfolio
III........... -- -- -- -- --
Tax-Managed
U.S.
Marketwide
Value
Portfolio
II............ -- -- -- -- --
(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).
71
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LOGO DFA103119-008A
00237496
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2019
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II
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 the Portfolio's annual and
semi-annual shareholder reports will no longer be sent by mail, unless you
specifically request paper copies of the reports from the Portfolio or from
your financial intermediary. Instead, the reports will be made available on the
Portfolio's website, and you will be notified by mail each time a report is
posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you
will not be affected by this change and you need not take any action. You may
elect to receive shareholder reports and other communications electronically
from the Portfolio anytime by contacting the Portfolio's transfer agent at
(888) 576-1167 or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of
charge. You can inform the Portfolio that you wish to continue receiving paper
copies of your shareholder reports by contacting your financial intermediary
or, if you invest directly with the Portfolio, by calling (888) 576-1167, to
let the Portfolio know of your request. Your election to receive reports in
paper will apply to all DFA Funds held directly or to all funds held through
your financial intermediary.
[THIS PAGE INTENTIONALLY LEFT BLANK]
LOGO
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
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DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES........ 1
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts............................. 2
Management's Discussion and Analysis........... 3
Disclosure of Fund Expenses.................... 5
Disclosure of Portfolio Holdings............... 6
Schedule of Investments
Emerging Markets Portfolio II.............. 7
Statement of Assets and Liabilities............ 8
Statement of Operations........................ 9
Statement of Changes in Net Assets............. 10
Financial Highlights........................... 11
Notes to Financial Statements.................. 12
Report of Independent Registered Public
Accounting Firm.............................. 17
THE DFA INVESTMENT TRUST COMPANY
Performance Charts............................. 18
Management's Discussion and Analysis........... 19
Disclosure of Fund Expenses.................... 21
Disclosure of Portfolio Holdings............... 22
Summary Schedule of Portfolio Holdings
The Emerging Markets Series................ 23
Statement of Assets and Liabilities............ 28
Statement of Operations........................ 29
Statement of Changes in Net Assets............. 30
Financial Highlights........................... 31
Notes to Financial Statements.................. 32
Report of Independent Registered Public
Accounting Firm.............................. 41
FUND MANAGEMENT................................... 42
Board of Directors or Trustees Table........... 43
VOTING PROXIES ON FUND PORTFOLIO SECURITIES....... 50
NOTICE TO SHAREHOLDERS............................ 51
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
[THIS PAGE INTENTIONALLY LEFT BLANK]
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULE OF INVESTMENTS/SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS
--------------------------------------------------------------
Investment Abbreviations
ADR American Depositary Receipt
GDR Global Depositary Receipt
SA Special Assessment
Investment Footnotes
+ See Note B to Financial Statements.
(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.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on
Loan.
(S) Affiliated Fund.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective Portfolio
and its respective pro-rata share of its Master Fund.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO II VS.
MSCI EMERGING MARKETS INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Emerging Markets MSCI Emerging Markets
Portfolio II Index (net dividends)
------------------ ---------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,596 10,430
12/31/2009 10,976 10,841
1/31/2010 10,382 10,237
2/28/2010 10,506 10,273
3/31/2010 11,381 11,102
4/30/2010 11,450 11,237
5/31/2010 10,386 10,248
6/30/2010 10,400 10,173
7/31/2010 11,317 11,020
8/31/2010 11,054 10,806
9/30/2010 12,312 12,007
10/31/2010 12,680 12,356
11/30/2010 12,395 12,029
12/31/2010 13,405 12,888
1/31/2011 13,057 12,538
2/28/2011 12,963 12,421
3/31/2011 13,683 13,152
4/30/2011 14,158 13,560
5/31/2011 13,767 13,204
6/30/2011 13,593 13,001
7/31/2011 13,485 12,943
8/31/2011 12,393 11,786
9/30/2011 10,520 10,068
10/31/2011 11,833 11,402
11/30/2011 11,423 10,642
12/31/2011 11,090 10,513
1/31/2012 12,277 11,706
2/29/2012 12,941 12,407
3/31/2012 12,602 11,993
4/30/2012 12,379 11,850
5/31/2012 11,042 10,521
6/30/2012 11,589 10,927
7/31/2012 11,681 11,140
8/31/2012 11,759 11,103
9/30/2012 12,413 11,773
10/31/2012 12,350 11,701
11/30/2012 12,510 11,850
12/31/2012 13,239 12,429
1/31/2013 13,309 12,601
2/28/2013 13,150 12,442
3/31/2013 12,962 12,228
4/30/2013 13,111 12,320
5/31/2013 12,680 12,004
6/30/2013 11,883 11,240
7/31/2013 12,057 11,357
8/31/2013 11,774 11,162
9/30/2013 12,611 11,888
10/31/2013 13,190 12,466
11/30/2013 12,992 12,284
12/31/2013 12,853 12,106
1/31/2014 11,963 11,320
2/28/2014 12,395 11,695
3/31/2014 12,833 12,054
4/30/2014 12,904 12,094
5/31/2014 13,341 12,516
6/30/2014 13,712 12,849
7/31/2014 13,875 13,097
8/31/2014 14,307 13,392
9/30/2014 13,255 12,400
10/31/2014 13,392 12,546
11/30/2014 13,260 12,413
12/31/2014 12,664 11,841
1/31/2015 12,748 11,912
2/28/2015 13,134 12,281
3/31/2015 12,857 12,106
4/30/2015 13,718 13,037
5/31/2015 13,165 12,515
6/30/2015 12,847 12,190
7/31/2015 12,022 11,345
8/31/2015 11,025 10,319
9/30/2015 10,733 10,009
10/31/2015 11,380 10,723
11/30/2015 10,983 10,304
12/31/2015 10,686 10,075
1/31/2016 10,238 9,421
2/29/2016 10,173 9,406
3/31/2016 11,517 10,650
4/30/2016 11,587 10,708
5/31/2016 11,134 10,309
6/30/2016 11,722 10,721
7/31/2016 12,327 11,260
8/31/2016 12,472 11,540
9/30/2016 12,634 11,689
10/31/2016 12,661 11,716
11/30/2016 12,003 11,177
12/31/2016 12,008 11,202
1/31/2017 12,721 11,815
2/28/2017 13,147 12,176
3/31/2017 13,572 12,484
4/30/2017 13,837 12,757
5/31/2017 14,252 13,134
6/30/2017 14,384 13,266
7/31/2017 15,141 14,057
8/31/2017 15,462 14,371
9/30/2017 15,313 14,314
10/31/2017 15,832 14,815
11/30/2017 15,882 14,845
12/31/2017 16,419 15,378
1/31/2018 17,659 16,660
2/28/2018 16,808 15,891
3/31/2018 16,729 15,596
4/30/2018 16,515 15,527
5/31/2018 15,867 14,977
6/30/2018 15,190 14,355
7/31/2018 15,743 14,670
8/31/2018 15,382 14,273
9/30/2018 15,196 14,198
10/31/2018 13,928 12,961
11/30/2018 14,536 13,495
12/31/2018 14,201 13,138
1/31/2019 15,364 14,288
2/28/2019 15,229 14,320
3/31/2019 15,364 14,440
4/30/2019 15,608 14,744
5/31/2019 14,678 13,675
6/30/2019 15,504 14,528
7/31/2019 15,119 14,350
8/31/2019 14,513 13,651 Past performance is not predictive of future
9/30/2019 14,886 13,911 performance.
10/31/2019 15,480 14,498
The returns shown do not reflect the deduction
of taxes that a shareholder would pay on fund
AVERAGE ANNUAL distributions or the redemption of fund shares.
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- --------- MSCI data copyright MSCI 2019, all rights
11.14% 2.94% 4.47% reserved.
--------------------------------------------------------------------------------
2
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 Kinqdom.................................... 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%
3
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.
EMERGING MARKETS PORTFOLIO II
The Emerging Markets II 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 11.14% 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.
4
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
EMERGING MARKETS PORTFOLIO II (2)
---------------------------------
Actual Fund Return................................ $1,000.00 $ 991.80 0.38% $1.91
Hypothetical 5% Annual Return..................... $1,000.00 $1,023.29 0.38% $1.94
--------
(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).
5
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters 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.
AFFILIATED INVESTMENT COMPANY
-----------------------------
Emerging Markets Portfolio II..................... 100.0%
6
EMERGING MARKETS PORTFOLIO II
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
VALUE+
-----------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in The Emerging Markets Series of The DFA
Investment Trust Company.................................. $66,703,916
-----------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES........ $66,703,916
===========
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.
7
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
EMERGING
MARKETS
PORTFOLIO II
------------
ASSETS:
Investment in Affiliated Investment Company at
Value........................................... $ 66,704
Prepaid Expenses and Other Assets................. 9
------------
Total Assets............................... 66,713
------------
LIABILITIES:
Payables:
Fund Shares Redeemed........................... 274
Due to Advisor................................. 8
Accrued Expenses and Other Liabilities............ 14
------------
Total Liabilities.......................... 296
------------
NET ASSETS........................................ $ 66,417
============
SHARES OUTSTANDING, $0.01 PAR VALUE (1)........... 2,625,087
============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE....................................... $ 25.30
============
NET ASSETS CONSIST OF:
Paid-In Capital................................... $ (6,478)
Total Distributable Earnings (Loss)............... 72,895
------------
NET ASSETS........................................ $ 66,417
============
(1) NUMBER OF SHARES AUTHORIZED................... 300,000,000
============
See accompanying Notes to Financial Statements.
8
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
EMERGING
MARKETS
PORTFOLIO II*
-------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment
Companies:
Dividends (Net of Foreign Taxes Withheld of $245)............... $ 2,060
Income from Securities Lending.................................. 49
Expenses Allocated from Affiliated Investment Companies......... (90)
-------
Total Net Investment Income Allocated from
Affiliated Investment Companies:....................... 2,019
-------
FUND EXPENSES
Investment Management Fees...................................... 167
Accounting & Transfer Agent Fees................................ 23
Filing Fees..................................................... 22
Shareholders' Reports........................................... 12
Other........................................................... 1
-------
Total Fund Expenses...................................... 225
-------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C)..................... (67)
-------
Net Expenses.................................................... 158
-------
NET INVESTMENT INCOME (LOSS).................................... 1,861
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment
Company**................................................. 5,991
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment
Company................................................... (1,123)
-------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 4,868
-------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS....................................................... $ 6,729
=======
--------
** 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.
9
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
EMERGING MARKETS
PORTFOLIO II
------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
-------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................... $ 1,861 $ 1,840
Net Realized Gain (Loss) on:
Transactions Allocated from Affiliated Investment
Company*,**............................................... 5,991 3,529
Change in Unrealized Appreciation (Depreciation) of:
Transactions Allocated from Affiliated Investment
Company................................................... (1,123) (14,637)
-------- --------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 6,729 (9,268)
-------- --------
Distributions:
Institutional Class Shares.................................. (4,951) (1,653)
-------- --------
Total Distributions...................................... (4,951) (1,653)
-------- --------
Capital Share Transactions (1):
Shares Issued................................................... 18,130 12,281
Shares Issued in Lieu of Cash Distributions..................... 4,951 1,651
Shares Redeemed................................................. (21,304) (23,448)
-------- --------
Net Increase (Decrease) from Capital Share
Transactions........................................... 1,777 (9,516)
-------- --------
Total Increase (Decrease) in Net Assets.................. 3,555 (20,437)
NET ASSETS
Beginning of Year............................................... 62,862 83,299
-------- --------
End of Year..................................................... $ 66,417 $ 62,862
======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................... 729 415
Shares Issued in Lieu of Cash Distributions..................... 215 59
Shares Redeemed................................................. (863) (838)
-------- --------
Net Increase (Decrease) from Shares Issued and
Redeemed............................................... 81 (364)
======== ========
--------
* 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.
10
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO II
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.......................... $ 24.71 $ 28.65 $ 23.46 $ 21.80 $ 26.34
------- ------- ------- ------- -------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.69 0.63 0.49 0.48 0.53
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 1.87 (4.01) 5.22 1.85 (4.45)
------- ------- ------- ------- -------
Total from Investment Operations..................... 2.56 (3.38) 5.71 2.33 (3.92)
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.................................... (0.73) (0.56) (0.52) (0.67) (0.62)
Net Realized Gains....................................... (1.24) -- -- -- --
------- ------- ------- ------- -------
Total Distributions.................................. (1.97) (0.56) (0.52) (0.67) (0.62)
------- ------- ------- ------- -------
Net Asset Value, End of Year................................ $ 25.30 $ 24.71 $ 28.65 $ 23.46 $ 21.80
======= ======= ======= ======= =======
Total Return................................................ 11.14% (12.03%) 25.04% 11.26% (15.02%)
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)......................... $66,417 $62,862 $83,299 $83,330 $82,418
Ratio of Expenses to Average Net Assets (B)................. 0.38% 0.34% 0.34% 0.34% 0.34%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) (B)............................ 0.48% 0.44% 0.44% 0.44% 0.36%
Ratio of Net Investment Income to Average Net Assets (B).... 2.79% 2.21% 1.95% 2.25% 2.18%
------- ------- ------- ------- -------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
11
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund consists of twelve portfolios, one of
which, Emerging Markets Portfolio II (the "Portfolio"), is presented in this
report. The remaining portfolios are presented in separate reports. The
Portfolio is an investment company, and accordingly, follows the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
The Portfolio invests substantially all of its assets in The Emerging
Markets Series (the "Series"), a corresponding series of The DFA Investment
Trust Company. As of October 31, 2019, the Portfolio owned 1% of its Series.
The financial statements of the Series are included elsewhere in this report
and should be read in conjunction with the financial statements of the
Portfolio.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolio uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The Portfolio's investments reflect its proportionate interest in the net
assets of the Series. These valuations are classified as Level 1 in the
hierarchy.
A summary of the inputs used to value the Portfolio's investments is
disclosed previously in this note. The methodology or inputs used for valuing
securities are not necessarily an indication of the risk associated with
investing in those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA 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.
12
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice, which date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 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 and foreign currency from the Series, which is treated as
a partnership for federal income tax purposes. Dividend income and
distributions to shareholders are recorded on the ex-dividend date.
Distributions received on securities that represent a return of capital or
capital gains are recorded as a reduction of cost of investments or as a
realized gain, respectively. Expenses directly attributable to the Portfolio
are directly charged. Common expenses of the Fund or the Portfolio are
allocated using methods approved by the Board, generally based on average net
assets.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolio.
For the year ended October 31, 2019, the Portfolio's investment management
fees were accrued daily and paid monthly to the Advisor based on an effective
annual rate of 0.25% of the Portfolio's average daily net assets. Effective
July 21, 2015, pursuant to an Amended and Restated Fee Waiver Agreement (the
"Fee Waiver Agreement"), the Advisor has contractually agreed to permanently
waive all or a portion of the management fee of the Portfolio to the extent
necessary to limit the total management fees paid to the Advisor by the
Portfolio, including the proportionate share of the management fees the
Portfolio pays indirectly through its investment in other funds managed by the
Advisor, except for the fees paid indirectly through its investment of
securities lending cash collateral in The DFA Short Term Investment Fund (the
"Money Market Series"), to the rate listed below as a percentage of the average
net assets of a class of the Portfolio on an annualized basis. The Fee Waiver
Agreement will remain in effect permanently, unless terminated by the Fund.
During the year ended October 31, 2019, the Portfolio had a total management
fee limit based on a percentage of its average net assets on an annualized
basis and waived fees (amount in thousands) as reflected below.
NET WAIVED FEES/
EXPENSES ASSUMED
(RECOVERED
TOTAL PREVIOUSLY WAIVED
MANAGEMENT FEES/EXPENSES
INSTITUTIONAL CLASS SHARES FEE LIMIT ASSUMED)
-------------------------- ---------- -----------------
Emerging Markets Portfolio II..................... 0.25% $67
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 $30 (in thousands). The total related amount paid by the
Portfolio is included in Other Expenses on the Statement of Operations.
13
D. DEFERRED COMPENSATION:
As of October 31, 2019, the total liability for deferred compensation to
Directors is included in Accrued Expenses and Other Liabilities on the
Statement of Assets and Liabilities as follows (amount in thousands):
Emerging Markets Portfolio II..................... $6
E. FEDERAL INCOME TAXES:
The Portfolio has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to shareholders. Accordingly, no provision
has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 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
-------------- ------------- ---------- ------
Emerging Markets Portfolio II
2018.............................................. $1,653 -- -- $1,653
2019.............................................. 1,831 $3,120 -- 4,951
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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
Emerging Markets Portfolio II..................... $2,494 $5,297 $65,114 $72,905
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 did not have any capital
loss carryforwards available to offset future realized capital gains.
14
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)
-------- ------------ -------------- --------------
Emerging Markets Portfolio II..................... $1,488 $65,215 -- $65,215
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolio's tax positions and has concluded that no additional provision for
income tax is required in the Portfolio's financial statements. The Portfolio
is not aware of any tax positions for which it is more likely than not that the
total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolio's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
F. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Portfolio.
1. FUTURES CONTRACTS: The Portfolio may purchase or sell futures contracts
and options on futures contracts for equity securities and indices to adjust
market exposure based on actual or expected cash inflows to or outflows from
the Portfolio. The Portfolio, however, does not intend to sell futures
contracts to establish short positions in individual securities. Upon entering
into a futures contract, the Portfolio deposits cash or pledges U.S. government
securities to a broker in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Portfolio as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Portfolio records a realized gain or loss, which is presented
in the Statement of Operations as a net realized gain or loss on futures, equal
to the difference between the value of the contract at the time it was opened
and the value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Portfolio could lose more than
the initial margin requirements. Entering into stock index futures subjects the
Portfolio to equity price risk from those futures contracts. Counterparty
credit risk related to exchange-traded futures is minimal because the
exchange's clearinghouse, as counterparty to all exchange-traded futures,
guarantees the futures against default.
G. LINE OF CREDIT:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective 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.
15
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
There were no borrowings by the Portfolio under the lines of credit during
the year ended October 31, 2019.
H. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
I. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Portfolio'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, one shareholder held 100% of the outstanding shares
of the Portfolio. The one shareholder may be an omnibus account, which
typically hold shares for the benefit of several other underlying investors.
The Portfolio is subject to claims and suits that arise from time to time in
the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when The Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
K. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolio through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
16
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of Emerging Markets Portfolio II
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Emerging Markets Portfolio II (one of the
portfolios constituting Dimensional Investment Group Inc., hereafter referred
to as the "Portfolio") as of October 31, 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 securities 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.
17
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 Markets Series MSCI Emerging Markets 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
7/31/2019 15,411 14,350
8/31/2019 14,793 13,651 Past performance is not predictive of future
9/30/2019 15,179 13,911 performance.
10/31/2019 15,788 14,498
The returns shown do not reflect the deduction
of taxes that a shareholder would pay on fund
AVERAGE ANNUAL distributions or the redemption of fund shares.
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- --------- MSCI data copyright MSCI 2019, all rights
11.40% 3.14% 4.67% reserved.
--------------------------------------------------------------------------------
18
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%
19
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 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.
20
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Table is shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Table below illustrates your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLE
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
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
--------
(1) Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
21
THE DFA INVESTMENT TRUST COMPANY
DISCLOSURE OF PORTFOLIO HOLDINGS
(UNAUDITED)
The SEC requires that all funds file a complete Schedule of Investments with
the SEC for their first and third fiscal quarters 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 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 PORTFOLIO
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%
22
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%
-------------- ----
23
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%
24
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
--------------
25
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
26
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.
27
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES*
------------
ASSETS:
Investment Securities at Value (including $185,633
of securities on loan, respectively).............. $5,978,411
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $133,324)... 133,344
Segregated Cash for Futures Contracts............... 2,068
Foreign Currencies at Value......................... 34,952
Cash................................................ 17,655
Receivables:
Investment Securities Sold....................... 9,555
Dividends, Interest and Tax Reclaims............. 5,724
Securities Lending Income........................ 389
----------
Total Assets................................. 6,182,098
----------
LIABILITIES:
Payables:
Upon Return of Securities Loaned................. 133,343
Investment Securities Purchased.................. 3,829
Due to Advisor................................... 501
Futures Margin Variation......................... 293
Deferred Taxes Payable.............................. 8,904
Accrued Expenses and Other Liabilities.............. 1,066
----------
Total Liabilities. .......................... 147,936
----------
NET ASSETS.......................................... $6,034,162
==========
Investment Securities at Cost....................... $4,151,605
==========
Foreign Currencies at Cost.......................... $ 34,876
==========
--------
* See Note J in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
28
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
THE EMERGING
MARKETS
SERIES#
------------
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $21,598)..... $181,427
Income from Securities Lending........................... 4,327
--------
Total Investment Income.............................. 185,754
--------
EXPENSES
Investment Management Fees............................... 5,856
Accounting & Transfer Agent Fees......................... 273
Custodian Fees........................................... 2,111
Shareholders' Reports.................................... 12
Directors'/Trustees' Fees & Expenses..................... 35
Professional Fees........................................ 182
Other.................................................... 155
--------
Total Expenses....................................... 8,624
--------
Fees Paid Indirectly (Note C)............................ (741)
--------
Net Expenses............................................. 7,883
--------
NET INVESTMENT INCOME (LOSS)............................. 177,871
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**........................... (58,802)
Affiliated Investment Companies Shares Sold............ (6)
Futures................................................ 1,845
Foreign Currency Transactions.......................... (438)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. 502,945
Affiliated Investment Companies Shares................. 9
Futures................................................ 3,110
Translation of Foreign Currency-Denominated Amounts.... 21
--------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. 448,684
--------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $626,555
========
--------
** Net of foreign capital gain taxes withheld of $0.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
29
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
THE EMERGING MARKETS
SERIES
-----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
---------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:........................................................
Net Investment Income (Loss).................................... $ 177,871 $ 149,893
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.............................. (58,802) 83,224
Affiliated Investment Companies Shares Sold................. (6) (12)
Futures..................................................... 1,845 (2,079)
Foreign Currency Transactions............................... (438) (1,530)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 502,945 (948,414)
Affiliated Investment Companies Shares...................... 9 7
Futures..................................................... 3,110 (3,369)
Translation of Foreign Currency-Denominated Amounts......... 21 (32)
---------- -----------
Net Increase (Decrease) in Net Assets Resulting
from Operations........................................ 626,555 (722,312)
---------- -----------
Transactions in Interest:..........................................
Contributions................................................... 437,177 667,220
Withdrawals..................................................... (499,219) (1,198,466)
---------- -----------
Net Increase (Decrease) from Transactions in
Interest............................................... (62,042) (531,246)
---------- -----------
Total Increase (Decrease) in Net Assets.................. 564,513 (1,253,558)
NET ASSETS
Beginning of Year............................................... 5,469,649 6,723,207
---------- -----------
End of Year..................................................... $6,034,162 $ 5,469,649
========== ===========
--------
* 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.
30
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE EMERGING MARKETS SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 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%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
31
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. The
Trust consists of eleven portfolios, one of which, The Emerging Markets Series
(the "Series"), is presented in this report. The remaining operational
portfolios are presented in separate reports. The Series is an investment
company, and accordingly, follows the accounting and reporting guidance under
Financial Accounting Standards Board ("FASB") Accounting Standards
Certification ("ASC") Topic 946, "Financial Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Series uses a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Series' own
assumptions in determining the fair value of investments)
Securities held by the Series, including over-the-counter securities, are
valued at the last quoted sale price of the day. International equity
securities are subject to a fair value factor, as described later in this note.
Securities held by the Series that are listed on Nasdaq are valued at the
Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price
or NOCP for the day, the Series values the securities within the range of the
most recent quoted bid and ask prices. Price information on listed securities
is taken from the exchange where the security is primarily traded. Generally,
securities issued by open-end management investment companies are valued using
their respective net asset values or public offering prices, as appropriate,
for purchase orders placed at the close of the New York Stock Exchange (NYSE).
These securities are generally categorized as Level 1 in the hierarchy.
Securities for which no market quotations are readily available (including
restricted securities), or for which market quotations have become unreliable,
are valued in good faith at fair value in accordance with procedures adopted by
the Board of Trustees of the Trust. Fair value pricing may also be used if
events that have a significant effect on the value of an investment (as
determined in the discretion of Dimensional Fund Advisors LP) occur before the
net asset value of the Series is calculated. When fair value pricing is used,
the prices of securities used by the Series may differ from the quoted or
published prices for the same securities on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
The Series will also apply a fair value price in the circumstances described
below. Generally, trading in foreign securities markets is completed each day
at various times prior to the close of the NYSE. For example, trading in the
Japanese securities markets is completed each day at the close of the Tokyo
Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the
close of the NYSE (normally, 4:00 p.m. ET) and the time at which the net asset
value of the Series is computed. Due to the time differences between the
closings of the relevant foreign securities exchanges and the pricing of the
Series' shares at the close of the NYSE, the Series will fair value its foreign
32
investments when it is determined that the market quotations for the foreign
investments are either unreliable or not readily available. The fair value
prices will attempt to reflect the impact of the U.S. financial markets'
perceptions and trading activities on the Series' foreign investments since the
last calculated closing prices of the foreign investments on their primary
foreign securities markets or exchanges. For these purposes, the Board of
Trustees of the Trust has determined that movements in relevant indices or
other appropriate market indicators, after the close of the Tokyo Stock
Exchange or the London Stock Exchange, demonstrate that market quotations may
be unreliable. Fair valuation of portfolio securities may occur on a daily
basis. The fair value pricing by the Series uses data furnished by an
independent pricing service (and that data draws upon, among other information,
the market values of foreign investments). When the Series uses fair value
pricing, the values assigned to the foreign investments may not be the quoted
or published prices of the investments on their primary markets or exchanges.
These securities are generally categorized as Level 2 in the hierarchy.
Futures contracts held by the Series are valued using the settlement price
established each day on the exchange on which they are traded. These valuations
are generally categorized as Level 1 in the hierarchy.
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Series' investments by each major
security type, industry and/or country is disclosed previously in this note.
Valuation hierarchy tables are included at the end of the Summary Schedule of
Portfolio Holdings. The methodology or inputs used for valuing securities are
not necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of the Series, whose values are initially expressed in foreign currencies are
translated to U.S. dollars using the mean between the most recent bid and ask
prices for the U.S. dollar as quoted by generally recognized reliable sources.
To facilitate this translation, the Series 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 Series does not isolate the effect of foreign currency rate fluctuations
when determining the realized gain or loss upon the sale or maturity of foreign
currency-denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the Series
and the U.S. dollar equivalent amounts actually received or paid.
3. DEFERRED COMPENSATION PLAN: Each eligible Trustee of the Trust may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Trustees may
defer payment of all or a portion of their total fees earned as a Trustee.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/Trustees' Fees & Expenses.
The Trustees may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Trustee shall have the right in a notice of election (the "Notice") to defer
the receipt of the Trustee's deferred compensation until a date specified by
such Trustee in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Trustee
ceases to be a member of the Board of Trustees of the Trust; and (ii) five
years following the effective date of the Trustee's first deferral election. If
a Trustee who elects to defer fees fails to designate in the Notice a time or
date as of which payment of the Trustee's deferred
33
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 that represent a return
of capital or capital gains are recorded as a reduction of cost of investments
or as a realized gain, respectively. The Series estimates the character of
received distributions that may be considered return of capital distributions.
Interest income is recorded on an accrual basis. Discount and premium on
securities purchased are amortized over the lives of the respective securities,
using the effective interest method. Expenses directly attributable to the
Series are directly charged. Common expenses of the Trust or Series are
allocated using methods approved by the Board of Trustees generally based on
average net assets.
The Series may be subject to taxes imposed by countries in which it invests
with respect to its investments in issuers existing or operating in such
countries. Such taxes are generally based on income earned or repatriated and
capital gains realized on the sale of such investments. The Series accrues such
taxes when the related income or capital gains are earned or throughout the
holding period. Some countries require governmental approval for the
repatriation of investment income, capital or the proceeds of sales earned by
foreign investors. Additionally, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
The Series is subject to tax on short-term capital gains for investments in
India. Such taxes are accrued on a daily basis and due upon sale of individual
securities.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Series. For the year ended October 31, 2019, investment
management fees were accrued daily and paid monthly to the Advisor based on an
effective annual rate of 0.10% of average daily net assets for the Series.
EARNED INCOME CREDIT:
Additionally, the Series has entered into arrangements with its custodian
whereby net interest earned on uninvested cash balances was used to reduce a
portion of its custody expenses. Custody expense in the accompanying financial
statements is presented before reduction for credits. The impact of such
credits is generally less than one basis point of the Series' net assets.
During the year ended October 31, 2019, expenses reduced were as follows
(amount in thousands):
FEES PAID
INDIRECTLY
----------
The Emerging Markets Series....................... $741
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 amount paid by the Trust to
the CCO was $73 (in thousands). The total related amount paid by the Series is
included in Other Expenses on the Statement of Operations.
D. DEFERRED COMPENSATION:
As of October 31, 2019, the total liability for deferred compensation to
Trustees is included in Accrued Expenses and Other Liabilities on the Statement
of Assets and Liabilities as follows (amount in thousands):
The Emerging Markets Series....................... $166
34
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:
OTHER INVESTMENT
SECURITIES
------------------
PURCHASES SALES
--------- --------
The Emerging Markets Series....................... $637,524 $501,204
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 AS
BALANCE AT GAIN/ UNREALIZED BALANCE AT 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 --
======== ======== ======== === == ======== ====== ====== ====
F. FEDERAL INCOME TAXES:
No provision for federal income taxes is required since the Series is
treated as a partnership for federal income tax purposes. Any net investment
income and realized and unrealized gains and losses have been deemed to have
been "passed down" to its partners.
As of October 31, 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 TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
----------- ------------ -------------- --------------
The Emerging Markets Series....................... $4,314,649 $2,254,714 $(457,609) $1,797,105
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Series' tax positions and has concluded that no additional provision for income
tax is required in the Series' financial statements. The Series is not aware of
any tax positions for which it is more likely than not that the total amounts
of unrecognized tax benefits will significantly change in the next twelve
months. The Series' federal tax returns for the prior three fiscal years remain
subject to examination by the Internal Revenue Service.
35
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' investment objective and policies, the Series
may invest in certain financial instruments that have off-balance sheet risk in
excess of the amounts recognized in the financial statements and concentrations
of credit and market risk. These instruments and their significant
corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of securities held
by the Series may be inhibited.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Series.
2. FORWARD CURRENCY CONTRACTS: The Series may acquire and sell forward
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to
hedge the Series' currency exposure with respect to a foreign market will be
based primarily on the Series' existing exposure to a given foreign currency.
Each contract is valued daily and the change in value is recorded by the Series
as an unrealized gain or loss, which is presented in the Statement of
Operations as the change in unrealized appreciation or depreciation of forward
currency contracts. When the contract is closed or offset with the same
counterparty, the Series records a realized gain or loss equal to the change in
the value of the contract when it was opened and the value at the time it was
closed or offset. This is presented in the Statement of Operations as a net
realized gain or loss on 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: The Series may purchase or sell futures contracts and
options on futures contracts for equity securities and indices to adjust market
exposure based on actual or expected cash inflows to or outflows from the
Series. The Series, however, does not intend to sell futures contracts to
establish short positions in individual securities. Upon entering into a
futures contract, the Series deposits cash or pledges U.S. government
securities to a broker in an amount equal to the minimum "initial margin"
requirements of the exchange on which the contract is traded. Subsequent
payments are received from or paid to the broker each day, based on the daily
fluctuation in the market value of the contract. These receipts or payments are
known as "variation margin" and are recorded daily by the Series as unrealized
gains or losses until the contracts are closed. When the contracts are closed,
the Series records a realized gain or loss, which is presented in the Statement
of Operations as a net realized gain or loss on futures, equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
Risks may arise upon entrance into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities, from the possibility of an illiquid secondary market for these
instruments and from the possibility that the Series could lose more than the
initial margin requirements. 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 (amount
in thousands):
FUTURES**
---------
The Emerging Markets Series....................... $40,095
** Average Notional Value of contracts
36
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 Emerging Markets Series....................... $404 $404
(1) Presented on Statement 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 Statement 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 Emerging Markets Series....................... $1,845 $1,845
CHANGE IN UNREALIZED
APPRECIATION
(DEPRECIATION)
ON DERIVATIVES
--------------------
EQUITY
TOTAL CONTRACTS (2)
------ -------------
The Emerging Markets Series....................... $3,110 $3,110
(1) Presented on Statement of Operations as Net Realized Gain (Loss) on:
Futures.
(2) Presented on Statement of Operations as Change in Unrealized Appreciation
(Depreciation) of: Futures.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Trust, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on April 8, 2020.
The Trust, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the
37
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 Series under the
lines of credit were as follows (amounts in thousands, except percentages and
days):
WEIGHTED
WEIGHTED AVERAGE NUMBER OF INTEREST MAXIMUM AMOUNT OUTSTANDING
AVERAGE LOAN DAYS EXPENSE BORROWED DURING BORROWINGS
INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD AS OF 10/31/2019
------------- -------- ------------ -------- --------------- ----------------
The Emerging Markets Series....................... 2.87% $2,184 12 $2 $9,553 --
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2019, that the Series' available
line of credit was used.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Series
may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight repurchase agreements
and money market funds, respectively, as detailed in the Order. Further, a
portfolio may participate in the program only if and to the extent that such
participation is consistent with its investment objectives and limitations.
lnterfund loans have a maximum duration of seven days and may be called on one
business day's notice.
The Series did not use the interfund lending program during the year ended
October 31, 2019.
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 having 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 Emerging Markets Series....................... $2,880 $11,859 $(2,374)
38
J. SECURITIES LENDING:
As of October 31, 2019, the Series had securities on loan to
brokers/dealers, for which the Series received cash collateral. Additionally,
the Series received non-cash collateral consisting of short- and/or long-term
U.S. Treasuries and U.S. government agency securities as follows (amount in
thousands):
NON-CASH
COLLATERAL
MARKET
VALUE
----------
The Emerging Markets Series....................... $64,179
The Series invests the cash collateral, as described below, and records a
liability for the return of the collateral, during the period the securities
are on loan. Loans of securities are expected at all times to be secured by
collateral in an amount (i) equal to at least 100% of the current market value
of the loaned securities with respect to securities of the U.S. government or
its agencies, (ii) generally equal to 102% of the current market value of the
loaned securities with respect to U.S. securities, and (iii) generally equal to
105% of the current market value of the loaned securities with respect to
foreign securities. However, daily market fluctuations could cause the Series'
collateral to be lower or higher than the expected thresholds. If this were to
occur, the collateral would be adjusted the next business day to ensure
adequate collateralization. In the event of default or bankruptcy by the other
party to the agreement, realization and/or retention of the collateral may be
subject to legal proceedings. If the borrower fails to return loaned
securities, cash collateral being maintained by the borrower is insufficient to
cover the value of loaned securities, and such collateral insufficiency is not
the result of investment losses, the lending agent has agreed to pay the amount
of the shortfall to the Series or, at the option of the lending agent, to
replace the securities. In the event of the bankruptcy of the borrower, the
Series could experience delay in recovering the loaned securities or only
recover cash or a security of equivalent value.
Subject to its stated investment policies, the Series will generally invest
the cash collateral received for the loaned securities in The DFA Short Term
Investment Fund (the "Money Market Series"), an affiliated registered money
market fund advised by the Advisor for which the Advisor receives a management
fee of 0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with other payments to and from
borrowers of securities. The Series also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include both agency debentures and agency mortgage-backed securities.
Additionally, the Series will be able to terminate the loan at any time and
will receive reasonable interest on the loan, as well as amounts equal to any
dividends, interest or, other distributions on the loaned securities. However,
dividend income received from loaned securities may not be eligible for
taxation at qualified dividend income rates.
The following table reflects a breakdown of transactions accounted for as
secured borrowings, the gross obligation by the type of collateral pledged, and
the remaining contractual maturity of those transactions as of October 31, 2019:
REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
AS OF OCTOBER 31, 2019
---------------------------------------------
OVERNIGHT BETWEEN
AND 30 & 90
CONTINUOUS <30 DAYS DAYS >90 DAYS TOTAL
---------- -------- ------- -------- --------
SECURITIES LENDING TRANSACTIONS
THE EMERGING MARKETS SERIES
Common Stocks.................................. $133,343 -- -- -- $133,343
39
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
Series' 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.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Series
through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
40
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The Emerging Markets Series
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of The Emerging Markets Series (one
of the series constituting The DFA Investment Trust Company, hereafter referred
to as the "Series") as of October 31, 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 Series 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 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 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.
41
FUND MANAGEMENT
(UNAUDITED)
TRUSTEES/DIRECTORS
Each Board of Trustees/Directors (each, the "Board" and collectively, the
"Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment
Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG"),
and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and
collectively, the "Funds") is responsible for establishing the Funds' policies
and for overseeing the management of the Funds. The Trustees/Directors of the
Funds, including all of the disinterested Trustees/Directors, have adopted
written procedures to monitor potential conflicts of interest that might
develop between portfolios of the Funds (the "Feeder Portfolios") that invest
in certain series of DFAITC or DEM (the "Master Funds").
Each Board has three standing committees, an Audit Committee, a Nominating
Committee, and an Investment Strategy Committee (the "Strategy Committee"). The
Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson,
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.
42
DISINTERESTED DIRECTORS
OTHER
TERM OF PORTFOLIOS WITHIN DIRECTORSHIPS OF
OFFICE/1/ AND THE DFA FUND PUBLIC
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ COMPANIES HELD
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN DURING PAST 5 YEARS
----------------- -------- ----------- ----------------------------------------- ----------------- -------------------
George M. Director Since 1983 Leo Melamed Professor of Finance, 128 portfolios None
Constantinides University of Chicago Booth School of in 4 investment
University of Chicago Business (since 1978). companies
Booth School of
Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
Douglas W. Diamond Director Since 2017 Merton H. Miller Distinguished Service 128 portfolios None
c/o Dimensional Fund Professor of Finance, University of in 4 investment
Advisors LP Chicago Booth School of Business (since companies
6300 Bee Cave Road, 1988). Visiting Scholar, Federal Reserve
Building One Bank of Richmond (since 1990).
Austin, TX 78746 Formerly, Fischer Black Visiting
Professor of Financial Economics, Alfred
1953 P. Sloan School of Management,
Massachusetts Institute of Technology
(2015 to 2016).
Darrell Duffie Director Since March Dean Witter Distinguished Professor of 128 portfolios Formerly,
c/o Dimensional Fund 2019 Finance, Graduate School of Business, in 4 investment Director,
Advisors LP Stanford University (since 1984). companies Moody's
6300 Bee Cave Road, Corporation
Building One (financial
Austin, TX 78746 information and
information
1954 technology)
(2008-April 2018).
Roger G. Ibbotson Yale Director Since 1981 Professor in Practice Emeritus of 128 portfolios None
School of Management Finance, Yale School of Management in 4 investment
P.O. Box 208200 (since 1984). Chairman and Partner, companies
New Haven, Zebra Capital Management, LLC (hedge
CT 06520-8200 fund and asset manager) (since 2001).
Formerly, Consultant to Morningstar,
1943 Inc. (2006 - 2016).
Edward P. Lazear Director Since 2010 Distinguished Visiting Fellow, Becker 128 portfolios None
Stanford University Friedman Institute for Research in in 4 investment
Graduate School of Economics, University of Chicago (since companies
Business 2015). Morris Arnold Cox Senior Fellow,
Knight Management Hoover Institution (since 2002). Davies
Center, E346 Family Professor of Economics,
Stanford, CA 94305 Graduate School of Business, Stanford
University (since 1995). Cornerstone
1948 Research (expert testimony and
economic and financial analysis) (since
2009).
Myron S. Scholes Director Since 1981 Chief Investment Strategist, Janus 128 portfolios Formerly, Adviser,
c/o Dimensional Fund Henderson Investors (since 2014). Frank in 4 investment Kuapay, Inc.
Advisors LP E. Buck Professor of Finance, Emeritus, companies (2013-2014).
6300 Bee Cave Road, Graduate School of Business, Stanford Formerly,
Building One University (since 1981). Director,
Austin, TX 78746 American Century
Fund Complex
1941 (registered
investment
companies) (43
Portfolios) (1980-
2014).
43
OTHER
DIRECTORSHIPS OF
TERM OF PORTFOLIOS WITHIN PUBLIC
OFFICE/1/ AND THE DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
----------------- -------- ----------- ----------------------------------------------- ----------------- -----------------
Abbie J. Smith Director Since 2000 Boris and Irene Stem Distinguished Service 128 portfolios Director (since
University of Chicago Professor of Accounting, University of in 4 investment 2000)and
Booth School of Chicago Booth School of Business (since companies formerly, Lead
Business 1980). Director
5807 S. Woodlawn (2014-2017),
Avenue HNI
Chicago, IL 60637 Corporation
(office
1953 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 Professor of 128 portfolios Director,
c/o Dimensional Fund 2019 Finance, Fisher College of Business, The in 4 investment Fourth
Advisors LP Ohio State University (since 1998). Adjunct companies Swedish AP
6300 Bee Cave Road, Member, the Prize Committee for the Fund (pension
Building One Swedish Riksbank Prize in Economic fund asset
Austin, TX 78746 Sciences in Memory of Alfred Nobel (annual management)
award for significant scientific research (since 2017).
1961 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).
44
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.
OTHER
DIRECTORSHIPS OF
TERM OF PORTFOLIOS WITHIN PUBLIC
OFFICE/1/ AND THE DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
----------------- ------------ ----------- ------------------------------------------- ----------------- ----------------
David G. Booth Chairman Since 1981 Chairman, Director/Trustee, and formerly, 128 portfolios None
6300 Bee Cave Road, and Director President and Co-Chief Executive Officer in 4 investment
Building One (each until March 2017) of Dimensional companies
Austin, TX 78746 Emerging Markets Value Fund ("DEM"),
DFAIDG, Dimensional Investment Group
1946 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.
45
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/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- ------------------- ---------------- --------------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant
1967 Assistant Secretary Secretary of
. all the DFA Entities (since
2001)
. DFA Australia Limited (since
2002)
. Dimensional Fund Advisors Ltd.
(since 2002)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Director, Vice President and
Assistant Secretary (since 2003) of
. Dimensional Fund Advisors
Canada ULC
Ryan P. Buechner Vice President and Since September Vice President and Assistant
1982 Assistant Secretary 2019 Secretary of
. 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 Since 2017 Co-Chief Executive Officer (since
1964 Executive Officer 2017) of
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors
Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive
Officer (since 2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Head of Global Financial Advisor
Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 -
2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017)
1972 President of
. all the DFA entities
Director and Vice President (since
2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors
Canada ULC
Vice President (since 2008) and
Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte.
Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte.
Ltd.
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
46
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- ---------------- ---------------- --------------------------------------
Christopher S. Vice President Since 2004 Vice President and Global Chief
Crossan and Global Compliance Officer (since 2004) of
1965 Chief Compliance
Officer . all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006)
and Chief Privacy Officer (since
2015) of
. Dimensional Fund Advisors
Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Japan Ltd. (since
2017)
Formerly, Vice President and Global
Chief Compliance Officer (2010 -
2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Vice President Vice President, Chief Financial
1958 Chief Financial since 2015 Officer, and Treasurer (since 2016) of
Officer, and and Chief
Treasurer Financial . all the DFA Entities
Officer and
Treasurer . Dimensional Advisors Ltd.
since 2016
. Dimensional Fund Advisors Ltd.
. 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 2004 Vice President (since 2004) and
1973 Assistant Secretary (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 Vice President Vice President (since 2015) of
1971 and Assistant since 2015
Treasurer and Assistant . all the DFA Entities
Treasurer
since 2017 Assistant Treasurer (since 2017) of
. the DFA Fund Complex
Formerly, Senior Tax Manager (2013 -
2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972
. all the DFA Entities
. Dimensional Cayman Commodity
Fund I Ltd.
Catherine L. Newell President and President President (since 2017) of
1964 General Counsel since 2017
and General . the DFA Fund Complex
Counsel since
2001 General Counsel (since 2001) of
. All the DFA Entities
47
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- ----------------- ---------------- --------------------------------------
Executive Vice President (since 2017)
and Secretary (since 2000) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. DFA Securities LLC
. Dimensional Investment LLC
Director (since 2002), Vice President
(since 1997) and Secretary (since
2002) of
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Vice President and Secretary of
. Dimensional Fund Advisors
Canada ULC (since 2003)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Japan Ltd. (since
2012)
. Dimensional Advisors Ltd
(since 2012)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
Director of
. Dimensional Funds plc (since
2002)
. Dimensional Funds II plc
(since 2006)
. Director of Dimensional Japan
Ltd. (since 2012)
. Dimensional Advisors Ltd.
(since 2012)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Formerly, Vice President and
Secretary (2010 - 2014) of
. Dimensional SmartNest (US) LLC
Formerly, Vice President (1997 -
2017) and Secretary (2000 - 2017) of
. the DFA Fund Complex
Formerly, Vice President of
. Dimensional Fund Advisors LP
(1997 - 2017)
. Dimensional Holdings Inc.
(2006 - 2017)
. DFA Securities LLC (1997 -
2017)
. Dimensional Investment LLC
(2009 - 2017)
Selwyn Notelovitz Vice President Since 2013 Vice President and Deputy Chief
1961 and Deputy Chief Compliance Officer of
Compliance
Officer . the DFA Fund Complex (since
2013)
. Dimensional Fund Advisors LP
(since 2012)
Carolyn L. O Vice President Vice President Vice President (since 2010) and
1974 and Secretary since 2010 Secretary (since 2017) of
and Secretary
since 2017 . the DFA Fund Complex
Vice President (since 2010) and
Assistant Secretary (since 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors
Canada ULC (since 2016)
Gerard K. O'Reilly Co-Chief Co-Chief Co-Chief Executive Officer and Chief
1976 Executive Officer Executive Investment Officer (since 2017) of
and Chief Officer and
Investment Chief . all the DFA Entities
Officer Investment
Officer since . Dimensional Fund Advisors
2017 Canada ULC
Director, Chief Investment Officer
and Vice President (since 2017) of
. DFA Australia Limited
Chief Investment Officer (since 2017)
and Vice President (since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer
and Chief Investment Officer (since
2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Director of
. Dimensional Funds plc (since
2014)
. Dimensional Fund II plc (since
2014)
. Dimensional Holdings Inc.
(since 2017)
Formerly, Co-Chief Investment Officer
of
. Dimensional Japan Ltd. (2016 -
2017)
. DFA Australia Limited (2014 -
2017)
48
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- -------- ---------------- -------------------------------------
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.
49
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.
50
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
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
DIMENSIONAL INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
INVESTMENT GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
--------------------- ------------- ------------- ------------- --------- ---------- ------------- ------------- ----------
Emerging Markets
Portfolio II........... 37% -- 63% -- -- 100% -- 25%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
DIMENSIONAL GOVERNMENT TAX SOURCE INTEREST CAPITAL
INVESTMENT GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
--------------------- ------------ ---------- ---------- ---------- ----------
Emerging Markets
Portfolio II........... -- 4% 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).
51
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LOGO DFA103119-011A
00237498
[LOGO] Dimensional
Annual Report
YEAR ENDED: OCTOBER 31, 2019
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
DFA SHORT-TERM GOVERNMENT PORTFOLIO
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
DFA TARGETED CREDIT PORTFOLIO
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
DFA INVESTMENT GRADE PORTFOLIO
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
DFA LTIP PORTFOLIO
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
DFA SHORT-DURATION REAL RETURN PORTFOLIO
DFA MUNICIPAL REAL RETURN PORTFOLIO
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
DFA MUNICIPAL BOND PORTFOLIO
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
DFA NY MUNICIPAL BOND PORTFOLIO
DFA MN MUNICIPAL BOND PORTFOLIO
DFA OREGON MUNICIPAL BOND PORTFOLIO
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
DFA TWO-YEAR FIXED INCOME PORTFOLIO
DFA TWO-YEAR GOVERNMENT PORTFOLIO
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,
LOGO LOGO
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............................................................. 16
Disclosure of Fund Expenses...................................................................... 25
Disclosure of Portfolio Holdings................................................................. 29
Schedules of Investments
DFA One-Year Fixed Income Portfolio.......................................................... 31
DFA Two-Year Global Fixed Income Portfolio................................................... 37
DFA Selectively Hedged Global Fixed Income Portfolio......................................... 43
DFA Five-Year Global Fixed Income Portfolio.................................................. 50
DFA World ex U.S. Government Fixed Income Portfolio.......................................... 60
DFA Short-Term Government Portfolio.......................................................... 63
DFA Intermediate Government Fixed Income Portfolio........................................... 64
DFA Short-Term Extended Quality Portfolio.................................................... 66
DFA Intermediate-Term Extended Quality Portfolio............................................. 78
DFA Targeted Credit Portfolio................................................................ 85
DFA Global Core Plus Fixed Income Portfolio.................................................. 96
DFA Investment Grade Portfolio............................................................... 113
DFA Diversified Fixed Income Portfolio....................................................... 128
DFA LTIP Portfolio........................................................................... 129
DFA Inflation-Protected Securities Portfolio................................................. 130
DFA Short-Duration Real Return Portfolio..................................................... 131
DFA Municipal Real Return Portfolio.......................................................... 142
DFA California Municipal Real Return Portfolio............................................... 153
DFA Municipal Bond Portfolio................................................................. 159
DFA Short-Term Municipal Bond Portfolio...................................................... 170
DFA Intermediate-Term Municipal Bond Portfolio............................................... 182
DFA California Short-Term Municipal Bond Portfolio........................................... 197
DFA California Intermediate-Term Municipal Bond Portfolio.................................... 205
DFA NY Municipal Bond Portfolio.............................................................. 215
DFA MN Municipal Bond Portfolio.............................................................. 220
DFA Oregon Municipal Bond Portfolio.......................................................... 224
Statements of Assets and Liabilities............................................................. 226
Statements of Operations......................................................................... 233
Statements of Changes in Net Assets.............................................................. 240
Financial Highlights............................................................................. 247
Notes to Financial Statements.................................................................... 260
Report of Independent Registered Public Accounting Firm.......................................... 287
DIMENSIONAL INVESTMENT GROUP INC.
Performance Charts............................................................................... 289
Management's Discussion and Analysis............................................................. 290
Disclosure of Fund Expenses...................................................................... 292
Disclosure of Portfolio Holdings................................................................. 294
Schedules of Investments
DFA Two-Year Fixed Income Portfolio.......................................................... 295
DFA Two-Year Government Portfolio............................................................ 298
Statements of Assets and Liabilities............................................................. 299
Statements of Operations......................................................................... 300
Statements of Changes in Net Assets.............................................................. 301
Financial Highlights............................................................................. 302
Notes to Financial Statements.................................................................... 303
i
TABLE OF CONTENTS
CONTINUED
PAGE
----
Report of Independent Registered Public Accounting Firm.......................................... 310
FUND MANAGEMENT..................................................................................... 311
Board of Directors or Trustees Table............................................................. 312
VOTING PROXIES ON FUND PORTFOLIO SECURITIES......................................................... 319
NOTICE TO SHAREHOLDERS.............................................................................. 320
This report is submitted for the information of the Portfolio's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
ii
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
Investment Abbreviations
LIBOR London Interbank Offered Rate
P.L.C. Public Limited Company
SA Special Assessment
USTMMR U.S. Treasury Money Market Rate
AGM Assured Guaranty Municipal Corporation
ETM Escrowed to Maturity
GO General Obligation
PSF-GTD Public School Fund Guarantee
RB Revenue Bond
RN Revenue Note
SCH BD GTY School Bond Guaranty
SCSDE South Carolina State Department of
Education
SD CRED PROG School District Credit Program
ST Special Tax
ST AID WITHHLDG State Aid Withholding
AMBAC American Municipal Bond Assurance
Corporation
ST GTD State Guaranteed
SCH BD RES FD School Board Resolution Fund
FGIC Federal Guaranty Insurance Corporation
USD United States Dollar
CAD Canadian Dollars
DKK Danish Krone
EUR Euro
GBP British Pounds
NOK Norwegian Krone
SEK Swedish Krona
AUD Australian Dollars
JPY Japanese Yen
1
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
CONTINUED
Investment Footnotes
^ Denominated in USD, unless otherwise noted.
+ See Note B to Financial Statements.
(r) The adjustable rate shown is effective as of October 31, 2019.
# Total or Partial Securities on Loan.
(Omega) Rule 144A, Section 4(2), or other security that is restricted as to resale to
institutional investors. This security has been deemed liquid based upon the
Fund's Liquidity Guidelines. The liquidity determination is unaudited.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
(infinity) Rates reflect the effective yields at purchase date.
(plus-minus) Face Amount of security is not adjusted for inflation.
~ Total or Partial Security pledged as collateral for Swap Agreements.
(Currency) Pre-refunded bonds are collateralized by U.S. Government or other eligible
securities that are held in escrow and used to pay principal and interest and retire
the bonds at the earliest refunding date (payment date) and/or whose interest rates
vary with changes in a designated base rate (such as the prime interest rate).
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Non-Annualized
(C) Annualized
(D) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
(E) Represents the combined ratios for the respective Portfolio and its respective
pro-rata share of its Underlying Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
CPI Consumer Price Index
(a) Commencement of Operations
2
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
ICE BOFAML US 6-MONTH TREASURY BILL INDEX,
ICE BOFAML 1-YEAR US TREASURY NOTE INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA One-Year ICE BofAML US ICE BofAML
Fixed Income 6-Month Treasury 1-Year US Treasury
Portfolio Bill Index Note Index
--------------- ------------------ --------------------
10/2009 $10,000 $10,000 $10,000
11/2009 $10,027 $10,004 $10,018
12/2009 $9,992 $10,005 $10,004
01/2010 $10,021 $10,010 $10,027
02/2010 $10,035 $10,011 $10,032
03/2010 $10,031 $10,011 $10,029
04/2010 $10,037 $10,014 $10,035
05/2010 $10,042 $10,019 $10,040
06/2010 $10,066 $10,022 $10,055
07/2010 $10,083 $10,026 $10,066
08/2010 $10,098 $10,030 $10,075
09/2010 $10,103 $10,032 $10,080
10/2010 $10,119 $10,037 $10,087
11/2010 $10,104 $10,037 $10,085
12/2010 $10,108 $10,041 $10,087
01/2011 $10,118 $10,043 $10,097
02/2011 $10,121 $10,045 $10,100
03/2011 $10,127 $10,048 $10,103
04/2011 $10,150 $10,053 $10,113
05/2011 $10,165 $10,054 $10,120
06/2011 $10,160 $10,057 $10,123
07/2011 $10,174 $10,056 $10,120
08/2011 $10,178 $10,064 $10,138
09/2011 $10,172 $10,064 $10,135
10/2011 $10,177 $10,065 $10,139
11/2011 $10,171 $10,067 $10,142
12/2011 $10,168 $10,068 $10,145
01/2012 $10,197 $10,068 $10,147
02/2012 $10,201 $10,067 $10,145
03/2012 $10,206 $10,068 $10,145
04/2012 $10,220 $10,070 $10,149
05/2012 $10,215 $10,072 $10,151
06/2012 $10,229 $10,073 $10,149
07/2012 $10,244 $10,076 $10,158
08/2012 $10,248 $10,078 $10,160
09/2012 $10,253 $10,079 $10,162
10/2012 $10,257 $10,080 $10,162
11/2012 $10,261 $10,082 $10,166
12/2012 $10,263 $10,085 $10,169
01/2013 $10,273 $10,086 $10,171
02/2013 $10,275 $10,087 $10,173
03/2013 $10,278 $10,089 $10,177
04/2013 $10,282 $10,092 $10,181
05/2013 $10,275 $10,093 $10,182
06/2013 $10,278 $10,094 $10,180
07/2013 $10,281 $10,096 $10,187
08/2013 $10,284 $10,098 $10,188
09/2013 $10,296 $10,100 $10,194
10/2013 $10,300 $10,100 $10,194
11/2013 $10,302 $10,100 $10,194
12/2013 $10,297 $10,103 $10,195
01/2014 $10,307 $10,105 $10,197
02/2014 $10,318 $10,106 $10,199
03/2014 $10,312 $10,107 $10,203
04/2014 $10,314 $10,109 $10,207
05/2014 $10,327 $10,109 $10,210
06/2014 $10,319 $10,109 $10,210
07/2014 $10,322 $10,110 $10,212
08/2014 $10,324 $10,112 $10,217
09/2014 $10,327 $10,114 $10,220
10/2014 $10,330 $10,113 $10,222
11/2014 $10,342 $10,114 $10,223
12/2014 $10,324 $10,115 $10,213
01/2015 $10,344 $10,118 $10,224
02/2015 $10,346 $10,119 $10,222
03/2015 $10,350 $10,120 $10,224
04/2015 $10,353 $10,124 $10,231
05/2015 $10,356 $10,125 $10,233
06/2015 $10,359 $10,126 $10,235
07/2015 $10,363 $10,126 $10,238
08/2015 $10,356 $10,126 $10,237
09/2015 $10,371 $10,137 $10,246
10/2015 $10,375 $10,134 $10,245
11/2015 $10,361 $10,133 $10,228
12/2015 $10,356 $10,137 $10,229
01/2016 $10,381 $10,146 $10,250
02/2016 $10,385 $10,150 $10,251
03/2016 $10,403 $10,159 $10,266
04/2016 $10,408 $10,166 $10,276
05/2016 $10,404 $10,167 $10,271
06/2016 $10,441 $10,179 $10,296
07/2016 $10,437 $10,183 $10,295
08/2016 $10,434 $10,183 $10,294
09/2016 $10,440 $10,192 $10,301
10/2016 $10,448 $10,198 $10,306
11/2016 $10,435 $10,201 $10,300
12/2016 $10,443 $10,206 $10,306
01/2017 $10,460 $10,213 $10,321
02/2017 $10,467 $10,219 $10,327
03/2017 $10,477 $10,218 $10,323
04/2017 $10,486 $10,227 $10,331
05/2017 $10,496 $10,233 $10,334
06/2017 $10,506 $10,242 $10,337
07/2017 $10,516 $10,253 $10,351
08/2017 $10,528 $10,267 $10,362
09/2017 $10,537 $10,275 $10,363
10/2017 $10,538 $10,284 $10,367
11/2017 $10,536 $10,292 $10,361
12/2017 $10,542 $10,303 $10,365
01/2018 $10,539 $10,314 $10,370
02/2018 $10,541 $10,321 $10,373
03/2018 $10,555 $10,336 $10,391
04/2018 $10,559 $10,351 $10,397
05/2018 $10,596 $10,368 $10,420
06/2018 $10,603 $10,385 $10,432
07/2018 $10,622 $10,403 $10,446
08/2018 $10,650 $10,422 $10,469
09/2018 $10,656 $10,437 $10,475
10/2018 $10,666 $10,457 $10,496
11/2018 $10,699 $10,477 $10,520
12/2018 $10,739 $10,501 $10,557
01/2019 $10,762 $10,525 $10,585
02/2019 $10,781 $10,544 $10,607
03/2019 $10,822 $10,569 $10,644
04/2019 $10,844 $10,591 $10,667
05/2019 $10,864 $10,617 $10,700
06/2019 $10,884 $10,646 $10,744
07/2019 $10,907 $10,666 $10,750 Past performance is not predictive of
08/2019 $10,937 $10,694 $10,791 future performance.
09/2019 $10,953 $10,713 $10,803
10/2019 $10,976 $10,740 $10,840 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- ICE BofAML index data copyright 2019
2.90% 1.22% 0.94% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
FTSE WORLD GOVERNMENT BOND INDEX, 1-2 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
FTSE World Government
DFA Two-Year Global Bond Index, 1-2 Years,
Fixed Income Portfolio Currency-Hedged in USD Terms
------------------------- ------------------------------
10/2009 $10,000 $10,000
11/2009 $10,039 $10,019
12/2009 $10,005 $10,007
01/2010 $10,045 $10,029
02/2010 $10,065 $10,049
03/2010 $10,066 $10,048
04/2010 $10,076 $10,039
05/2010 $10,085 $10,068
06/2010 $10,115 $10,073
07/2010 $10,145 $10,087
08/2010 $10,164 $10,101
09/2010 $10,173 $10,097
10/2010 $10,183 $10,104
11/2010 $10,173 $10,092
12/2010 $10,180 $10,101
01/2011 $10,191 $10,104
02/2011 $10,191 $10,105
03/2011 $10,201 $10,104
04/2011 $10,221 $10,116
05/2011 $10,241 $10,135
06/2011 $10,241 $10,137
07/2011 $10,251 $10,141
08/2011 $10,271 $10,179
09/2011 $10,268 $10,181
10/2011 $10,268 $10,177
11/2011 $10,258 $10,171
12/2011 $10,260 $10,216
01/2012 $10,280 $10,236
02/2012 $10,290 $10,250
03/2012 $10,300 $10,250
04/2012 $10,311 $10,256
05/2012 $10,311 $10,253
06/2012 $10,322 $10,261
07/2012 $10,342 $10,275
08/2012 $10,352 $10,292
09/2012 $10,355 $10,300
10/2012 $10,355 $10,305
11/2012 $10,365 $10,314
12/2012 $10,366 $10,321
01/2013 $10,366 $10,326
02/2013 $10,376 $10,336
03/2013 $10,386 $10,341
04/2013 $10,397 $10,354
05/2013 $10,386 $10,350
06/2013 $10,376 $10,345
07/2013 $10,386 $10,358
08/2013 $10,386 $10,358
09/2013 $10,397 $10,371
10/2013 $10,407 $10,383
11/2013 $10,417 $10,390
12/2013 $10,413 $10,389
01/2014 $10,424 $10,401
02/2014 $10,424 $10,406
03/2014 $10,425 $10,407
04/2014 $10,435 $10,412
05/2014 $10,446 $10,420
06/2014 $10,439 $10,426
07/2014 $10,429 $10,429
08/2014 $10,439 $10,437
09/2014 $10,439 $10,439
10/2014 $10,460 $10,446
11/2014 $10,471 $10,455
12/2014 $10,453 $10,450
01/2015 $10,485 $10,472
02/2015 $10,474 $10,469
03/2015 $10,485 $10,478
04/2015 $10,485 $10,481
05/2015 $10,495 $10,487
06/2015 $10,498 $10,487
07/2015 $10,498 $10,494
08/2015 $10,498 $10,493
09/2015 $10,519 $10,506
10/2015 $10,519 $10,508
11/2015 $10,498 $10,501
12/2015 $10,487 $10,501
01/2016 $10,529 $10,531
02/2016 $10,529 $10,540
03/2016 $10,551 $10,548
04/2016 $10,561 $10,558
05/2016 $10,561 $10,559
06/2016 $10,593 $10,590
07/2016 $10,593 $10,590
08/2016 $10,593 $10,590
09/2016 $10,593 $10,604
10/2016 $10,603 $10,606
11/2016 $10,582 $10,599
12/2016 $10,587 $10,613
01/2017 $10,597 $10,625
02/2017 $10,619 $10,636
03/2017 $10,628 $10,638
04/2017 $10,649 $10,648
05/2017 $10,660 $10,658
06/2017 $10,661 $10,657
07/2017 $10,683 $10,675
08/2017 $10,704 $10,691
09/2017 $10,694 $10,692
10/2017 $10,704 $10,702
11/2017 $10,694 $10,700
12/2017 $10,685 $10,707
01/2018 $10,674 $10,707
02/2018 $10,674 $10,718
03/2018 $10,685 $10,739
04/2018 $10,696 $10,745
05/2018 $10,728 $10,759
06/2018 $10,734 $10,779
07/2018 $10,745 $10,791
08/2018 $10,777 $10,811
09/2018 $10,786 $10,821
10/2018 $10,797 $10,843
11/2018 $10,830 $10,873
12/2018 $10,889 $10,924
01/2019 $10,922 $10,953
02/2019 $10,944 $10,969
03/2019 $10,997 $11,015
04/2019 $11,019 $11,037
05/2019 $11,052 $11,083
06/2019 $11,079 $11,127
07/2019 $11,101 $11,138 Past performance is not predictive of
08/2019 $11,135 $11,192 future performance.
09/2019 $11,144 $11,196
10/2019 $11,166 $11,222 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- FTSE fixed income indices (C) 2019 FTSE
3.42% 1.31% 1.11% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
3
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO VS.
FTSE WORLD GOVERNMENT BOND INDEX,
1-3 YEARS, IN USD TERMS (UNHEDGED)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Selectively FTSE World Government
Hedged Global Fixed Bond Index, 1-3 Years,
Income Portfolio in USD Terms (Unhedged)
-------------------- ------------------------
10/2009 $10,000 $10,000
11/2009 $10,080 $10,243
12/2009 $10,018 $9,844
01/2010 $9,998 $9,835
02/2010 $10,028 $9,851
03/2010 $10,068 $9,702
04/2010 $10,118 $9,637
05/2010 $9,928 $9,488
06/2010 $9,958 $9,577
07/2010 $10,178 $9,851
08/2010 $10,108 $9,879
09/2010 $10,328 $10,116
10/2010 $10,408 $10,291
11/2010 $10,238 $9,956
12/2010 $10,495 $10,155
01/2011 $10,505 $10,194
02/2011 $10,576 $10,228
03/2011 $10,657 $10,270
04/2011 $10,931 $10,521
05/2011 $10,880 $10,440
06/2011 $10,890 $10,482
07/2011 $11,012 $10,620
08/2011 $10,962 $10,699
09/2011 $10,495 $10,399
10/2011 $10,809 $10,512
11/2011 $10,627 $10,382
12/2011 $10,584 $10,358
01/2012 $10,752 $10,460
02/2012 $10,867 $10,377
03/2012 $10,804 $10,306
04/2012 $10,825 $10,390
05/2012 $10,500 $10,205
06/2012 $10,731 $10,260
07/2012 $10,804 $10,270
08/2012 $10,888 $10,354
09/2012 $10,962 $10,447
10/2012 $10,941 $10,392
11/2012 $10,983 $10,340
12/2012 $11,030 $10,279
01/2013 $11,041 $10,227
02/2013 $10,987 $10,091
03/2013 $11,041 $10,015
04/2013 $11,127 $10,044
05/2013 $10,912 $9,879
06/2013 $10,653 $9,897
07/2013 $10,804 $10,003
08/2013 $10,664 $9,979
09/2013 $10,933 $10,101
10/2013 $10,998 $10,131
11/2013 $10,922 $10,059
12/2013 $10,908 $10,037
01/2014 $10,864 $10,034
02/2014 $11,028 $10,124
03/2014 $11,083 $10,105
04/2014 $11,137 $10,152
05/2014 $11,170 $10,132
06/2014 $11,214 $10,168
07/2014 $11,094 $10,060
08/2014 $11,148 $10,009
09/2014 $10,930 $9,763
10/2014 $10,919 $9,708
11/2014 $10,886 $9,594
12/2014 $10,736 $9,473
01/2015 $10,625 $9,333
02/2015 $10,659 $9,292
03/2015 $10,603 $9,177
04/2015 $10,803 $9,310
05/2015 $10,648 $9,190
06/2015 $10,570 $9,254
07/2015 $10,437 $9,204
08/2015 $10,315 $9,248
09/2015 $10,337 $9,262
10/2015 $10,437 $9,240
11/2015 $10,392 $9,080
12/2015 $10,396 $9,164
01/2016 $10,396 $9,157
02/2016 $10,441 $9,298
03/2016 $10,721 $9,465
04/2016 $10,766 $9,575
05/2016 $10,665 $9,409
06/2016 $10,867 $9,553
07/2016 $10,934 $9,568
08/2016 $10,912 $9,523
09/2016 $10,946 $9,592
10/2016 $10,901 $9,427
11/2016 $10,755 $9,182
12/2016 $10,736 $9,135
01/2017 $10,873 $9,273
02/2017 $10,907 $9,245
03/2017 $10,896 $9,269
04/2017 $10,907 $9,327
05/2017 $10,976 $9,436
06/2017 $11,021 $9,457
07/2017 $11,090 $9,607
08/2017 $11,090 $9,643
09/2017 $11,067 $9,590
10/2017 $11,010 $9,519
11/2017 $10,987 $9,606
12/2017 $11,017 $9,622
01/2018 $11,005 $9,791
02/2018 $10,982 $9,731
03/2018 $11,017 $9,776
04/2018 $11,017 $9,667
05/2018 $11,063 $9,570
06/2018 $11,063 $9,539
07/2018 $11,086 $9,535
08/2018 $11,133 $9,532
09/2018 $11,133 $9,498
10/2018 $11,133 $9,431
11/2018 $11,156 $9,446
12/2018 $11,219 $9,553
01/2019 $11,291 $9,618
02/2019 $11,326 $9,569
03/2019 $11,434 $9,571
04/2019 $11,470 $9,566
05/2019 $11,530 $9,611
06/2019 $11,602 $9,726
07/2019 $11,638 $9,646 Past performance is not predictive of
08/2019 $11,698 $9,688 future performance.
09/2019 $11,698 $9,636
10/2019 $11,722 $9,723 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------- FTSE fixed income indices (C) 2019 FTSE
5.29% 1.43% 1.60% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
FTSE WORLD GOVERNMENT BOND INDEX,
1-5 YEARS, CURRENCY-HEDGED IN USD TERMS
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
FTSE World Government Bond Index,
DFA Five-Year Global 1-5 Years, Currency-Hedged
Fixed Income Portfolio in USD Terms
---------------------- ----------------------------------
10/2009 $10,000 $10,000
11/2009 $10,124 $10,053
12/2009 $9,968 $10,016
01/2010 $10,095 $10,054
02/2010 $10,158 $10,096
03/2010 $10,151 $10,092
04/2010 $10,223 $10,097
05/2010 $10,287 $10,162
06/2010 $10,354 $10,188
07/2010 $10,510 $10,225
08/2010 $10,637 $10,274
09/2010 $10,677 $10,266
10/2010 $10,751 $10,276
11/2010 $10,640 $10,226
12/2010 $10,497 $10,215
01/2011 $10,526 $10,207
02/2011 $10,516 $10,198
03/2011 $10,526 $10,192
04/2011 $10,661 $10,222
05/2011 $10,786 $10,272
06/2011 $10,786 $10,277
07/2011 $10,960 $10,314
08/2011 $11,037 $10,403
09/2011 $11,016 $10,407
10/2011 $11,045 $10,392
11/2011 $10,879 $10,371
12/2011 $10,970 $10,451
01/2012 $11,080 $10,496
02/2012 $11,100 $10,514
03/2012 $11,131 $10,505
04/2012 $11,171 $10,526
05/2012 $11,241 $10,536
06/2012 $11,248 $10,546
07/2012 $11,390 $10,581
08/2012 $11,430 $10,609
09/2012 $11,448 $10,628
10/2012 $11,459 $10,634
11/2012 $11,499 $10,661
12/2012 $11,496 $10,670
01/2013 $11,445 $10,661
02/2013 $11,517 $10,686
03/2013 $11,537 $10,697
04/2013 $11,599 $10,731
05/2013 $11,496 $10,695
06/2013 $11,354 $10,662
07/2013 $11,427 $10,691
08/2013 $11,365 $10,676
09/2013 $11,458 $10,713
10/2013 $11,530 $10,748
11/2013 $11,551 $10,765
12/2013 $11,449 $10,737
01/2014 $11,576 $10,783
02/2014 $11,597 $10,797
03/2014 $11,540 $10,796
04/2014 $11,604 $10,815
05/2014 $11,688 $10,846
06/2014 $11,675 $10,858
07/2014 $11,643 $10,860
08/2014 $11,717 $10,891
09/2014 $11,664 $10,889
10/2014 $11,749 $10,915
11/2014 $11,823 $10,942
12/2014 $11,778 $10,940
01/2015 $11,972 $11,001
02/2015 $11,886 $10,985
03/2015 $11,940 $11,008
04/2015 $11,950 $11,006
05/2015 $11,950 $11,012
06/2015 $11,891 $10,996
07/2015 $11,934 $11,025
08/2015 $11,923 $11,023
09/2015 $12,021 $11,059
10/2015 $12,010 $11,062
11/2015 $11,988 $11,059
12/2015 $11,949 $11,050
01/2016 $12,091 $11,132
02/2016 $12,124 $11,164
03/2016 $12,225 $11,176
04/2016 $12,236 $11,177
05/2016 $12,214 $11,182
06/2016 $12,370 $11,256
07/2016 $12,404 $11,259
08/2016 $12,348 $11,247
09/2016 $12,370 $11,268
10/2016 $12,326 $11,246
11/2016 $12,149 $11,192
12/2016 $12,163 $11,215
01/2017 $12,196 $11,218
02/2017 $12,241 $11,245
03/2017 $12,255 $11,247
04/2017 $12,334 $11,280
05/2017 $12,379 $11,303
06/2017 $12,353 $11,288
07/2017 $12,409 $11,316
08/2017 $12,477 $11,354
09/2017 $12,420 $11,335
10/2017 $12,443 $11,349
11/2017 $12,420 $11,343
12/2017 $12,403 $11,341
01/2018 $12,323 $11,308
02/2018 $12,311 $11,318
03/2018 $12,357 $11,361
04/2018 $12,346 $11,351
05/2018 $12,414 $11,362
06/2018 $12,425 $11,388
07/2018 $12,425 $11,389
08/2018 $12,494 $11,410
09/2018 $12,456 $11,407
10/2018 $12,490 $11,431
11/2018 $12,536 $11,484
12/2018 $12,610 $11,582
01/2019 $12,694 $11,625
02/2019 $12,718 $11,635
03/2019 $12,826 $11,717
04/2019 $12,849 $11,737
05/2019 $12,933 $11,820
06/2019 $13,005 $11,894
07/2019 $13,053 $11,912 Past performance is not predictive of
08/2019 $13,124 $12,018 future performance.
09/2019 $13,100 $12,008
10/2019 $13,100 $12,025 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
--------------------------------------------------------------- FTSE fixed income indices (C) 2019 FTSE
4.88% 2.20% 2.74% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
4
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO VS.
FTSE NON-USD WORLD GOVERNMENT BOND INDEX, CURRENCY-HEDGED IN USD TERMS
DECEMBER 6, 2011-OCTOBER 31, 2019
[CHART]
DFA World Ex U.S. FTSE Non-USD World
Government Fixed Income Government Bond Index,
Portfolio Currency-Hedged in USD Terms
-------------------------- ----------------------------
12/2011 $10,000 $10,000
12/2011 $10,095 $10,085
01/2012 $10,145 $10,165
02/2012 $10,175 $10,216
03/2012 $10,165 $10,218
04/2012 $10,246 $10,246
05/2012 $10,506 $10,370
06/2012 $10,427 $10,329
07/2012 $10,648 $10,436
08/2012 $10,658 $10,456
09/2012 $10,656 $10,515
10/2012 $10,666 $10,538
11/2012 $10,757 $10,623
12/2012 $10,771 $10,641
01/2013 $10,606 $10,608
02/2013 $10,730 $10,670
03/2013 $10,834 $10,776
04/2013 $10,968 $10,899
05/2013 $10,741 $10,744
06/2013 $10,524 $10,638
07/2013 $10,587 $10,690
08/2013 $10,483 $10,668
09/2013 $10,576 $10,745
10/2013 $10,690 $10,852
11/2013 $10,680 $10,857
12/2013 $10,538 $10,792
01/2014 $10,780 $10,963
02/2014 $10,811 $11,013
03/2014 $10,848 $11,051
04/2014 $10,933 $11,119
05/2014 $11,081 $11,203
06/2014 $11,143 $11,273
07/2014 $11,239 $11,343
08/2014 $11,474 $11,505
09/2014 $11,431 $11,500
10/2014 $11,538 $11,562
11/2014 $11,730 $11,712
12/2014 $11,832 $11,847
01/2015 $12,152 $12,060
02/2015 $12,072 $12,013
03/2015 $12,186 $12,113
04/2015 $12,038 $12,005
05/2015 $11,946 $11,904
06/2015 $11,694 $11,726
07/2015 $11,889 $11,902
08/2015 $11,820 $11,868
09/2015 $11,957 $11,961
10/2015 $11,992 $12,031
11/2015 $12,038 $12,064
12/2015 $11,932 $12,030
01/2016 $12,239 $12,269
02/2016 $12,424 $12,442
03/2016 $12,460 $12,531
04/2016 $12,337 $12,504
05/2016 $12,485 $12,614
06/2016 $12,841 $12,920
07/2016 $12,989 $12,965
08/2016 $13,001 $12,936
09/2016 $13,013 $12,934
10/2016 $12,743 $12,752
11/2016 $12,510 $12,601
12/2016 $12,594 $12,648
01/2017 $12,430 $12,487
02/2017 $12,657 $12,622
03/2017 $12,632 $12,603
04/2017 $12,758 $12,684
05/2017 $12,872 $12,741
06/2017 $12,720 $12,679
07/2017 $12,720 $12,709
08/2017 $12,910 $12,833
09/2017 $12,784 $12,767
10/2017 $12,910 $12,863
11/2017 $12,973 $12,921
12/2017 $12,994 $12,908
01/2018 $12,779 $12,864
02/2018 $12,817 $12,922
03/2018 $13,007 $13,101
04/2018 $12,969 $13,076
05/2018 $13,146 $13,056
06/2018 $13,197 $13,131
07/2018 $13,146 $13,117
08/2018 $13,260 $13,084
09/2018 $13,133 $13,059
10/2018 $13,222 $13,096
11/2018 $13,323 $13,172
12/2018 $13,420 $13,358
01/2019 $13,598 $13,511
02/2019 $13,611 $13,514
03/2019 $13,980 $13,772
04/2019 $13,939 $13,758
05/2019 $14,225 $13,959
06/2019 $14,457 $14,205
07/2019 $14,689 $14,394 Past performance is not predictive of
08/2019 $15,098 $14,766 future performance.
09/2019 $14,975 $14,701
10/2019 $14,798 $14,591 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------------ FTSE fixed income indices (C) 2019 FTSE
11.92% 5.10% 5.08% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM GOVERNMENT PORTFOLIO VS.
ICE BOFAML 1-5 YEAR US TREASURY & AGENCY INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Short-Term Government ICE BofAML 1-5 Year US Treasury
Portfolio & Agency Index
--------------------------- ---------------------------------
10/2009 $10,000 $10,000
11/2009 $10,110 $10,091
12/2009 $9,966 $9,974
01/2010 $10,059 $10,071
02/2010 $10,106 $10,103
03/2010 $10,067 $10,063
04/2010 $10,124 $10,106
05/2010 $10,198 $10,177
06/2010 $10,306 $10,255
07/2010 $10,391 $10,311
08/2010 $10,428 $10,354
09/2010 $10,457 $10,381
10/2010 $10,532 $10,419
11/2010 $10,466 $10,380
12/2010 $10,410 $10,320
01/2011 $10,419 $10,350
02/2011 $10,400 $10,329
03/2011 $10,414 $10,324
04/2011 $10,501 $10,397
05/2011 $10,588 $10,467
06/2011 $10,575 $10,471
07/2011 $10,643 $10,544
08/2011 $10,721 $10,621
09/2011 $10,709 $10,607
10/2011 $10,719 $10,617
11/2011 $10,739 $10,631
12/2011 $10,763 $10,649
01/2012 $10,813 $10,683
02/2012 $10,793 $10,657
03/2012 $10,801 $10,637
04/2012 $10,841 $10,686
05/2012 $10,841 $10,705
06/2012 $10,857 $10,697
07/2012 $10,897 $10,740
08/2012 $10,927 $10,746
09/2012 $10,922 $10,747
10/2012 $10,922 $10,735
11/2012 $10,942 $10,758
12/2012 $10,934 $10,753
01/2013 $10,924 $10,740
02/2013 $10,944 $10,765
03/2013 $10,948 $10,770
04/2013 $10,979 $10,794
05/2013 $10,907 $10,739
06/2013 $10,827 $10,695
07/2013 $10,868 $10,720
08/2013 $10,817 $10,691
09/2013 $10,888 $10,745
10/2013 $10,919 $10,773
11/2013 $10,939 $10,786
12/2013 $10,885 $10,736
01/2014 $10,936 $10,782
02/2014 $10,947 $10,797
03/2014 $10,927 $10,764
04/2014 $10,948 $10,790
05/2014 $10,989 $10,833
06/2014 $10,977 $10,823
07/2014 $10,957 $10,799
08/2014 $10,977 $10,836
09/2014 $10,968 $10,817
10/2014 $11,009 $10,870
11/2014 $11,050 $10,904
12/2014 $11,021 $10,869
01/2015 $11,125 $10,977
02/2015 $11,073 $10,923
03/2015 $11,130 $10,968
04/2015 $11,130 $10,971
05/2015 $11,140 $10,981
06/2015 $11,133 $10,971
07/2015 $11,154 $10,991
08/2015 $11,144 $10,990
09/2015 $11,211 $11,047
10/2015 $11,190 $11,023
11/2015 $11,149 $10,991
12/2015 $11,130 $10,975
01/2016 $11,256 $11,092
02/2016 $11,287 $11,118
03/2016 $11,316 $11,145
04/2016 $11,305 $11,144
05/2016 $11,284 $11,128
06/2016 $11,396 $11,233
07/2016 $11,396 $11,229
08/2016 $11,343 $11,195
09/2016 $11,368 $11,214
10/2016 $11,347 $11,193
11/2016 $11,241 $11,092
12/2016 $11,240 $11,094
01/2017 $11,261 $11,113
02/2017 $11,272 $11,130
03/2017 $11,291 $11,136
04/2017 $11,323 $11,170
05/2017 $11,344 $11,195
06/2017 $11,324 $11,178
07/2017 $11,356 $11,209
08/2017 $11,399 $11,247
09/2017 $11,356 $11,210
10/2017 $11,335 $11,200
11/2017 $11,303 $11,169
12/2017 $11,298 $11,168
01/2018 $11,233 $11,106
02/2018 $11,212 $11,092
03/2018 $11,244 $11,127
04/2018 $11,200 $11,089
05/2018 $11,254 $11,142
06/2018 $11,254 $11,142
07/2018 $11,232 $11,132
08/2018 $11,286 $11,179
09/2018 $11,256 $11,148
10/2018 $11,267 $11,163
11/2018 $11,322 $11,216
12/2018 $11,429 $11,339
01/2019 $11,462 $11,376
02/2019 $11,473 $11,380
03/2019 $11,538 $11,476
04/2019 $11,560 $11,495
05/2019 $11,593 $11,609
06/2019 $11,608 $11,684
07/2019 $11,630 $11,664 Past performance is not predictive of
08/2019 $11,652 $11,800 future performance.
09/2019 $11,667 $11,772
10/2019 $11,690 $11,809 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
------------------------------------------------------------- ICE BofAML index data copyright 2019
3.75% 1.21% 1.57% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
5
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. GOVERNMENT BOND INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Intermediate Government Bloomberg Barclays U.S.
Fixed Income Portfolio Government Bond Index
--------------------------- ------------------------
10/2009 $10,000 $10,000
11/2009 $10,146 $10,128
12/2009 $9,902 $9,898
01/2010 $10,075 $10,042
02/2010 $10,133 $10,083
03/2010 $10,070 $10,008
04/2010 $10,178 $10,103
05/2010 $10,328 $10,258
06/2010 $10,520 $10,433
07/2010 $10,630 $10,503
08/2010 $10,814 $10,690
09/2010 $10,843 $10,695
10/2010 $10,885 $10,688
11/2010 $10,792 $10,617
12/2010 $10,587 $10,445
01/2011 $10,587 $10,445
02/2011 $10,587 $10,439
03/2011 $10,589 $10,436
04/2011 $10,719 $10,550
05/2011 $10,892 $10,700
06/2011 $10,845 $10,668
07/2011 $11,055 $10,846
08/2011 $11,326 $11,121
09/2011 $11,428 $11,292
10/2011 $11,367 $11,211
11/2011 $11,455 $11,287
12/2011 $11,585 $11,387
01/2012 $11,665 $11,437
02/2012 $11,612 $11,363
03/2012 $11,532 $11,259
04/2012 $11,712 $11,412
05/2012 $11,856 $11,589
06/2012 $11,830 $11,556
07/2012 $11,957 $11,666
08/2012 $12,002 $11,655
09/2012 $12,009 $11,624
10/2012 $11,991 $11,607
11/2012 $12,073 $11,664
12/2012 $12,014 $11,617
01/2013 $11,922 $11,529
02/2013 $12,014 $11,588
03/2013 $12,016 $11,599
04/2013 $12,118 $11,697
05/2013 $11,887 $11,506
06/2013 $11,622 $11,381
07/2013 $11,641 $11,370
08/2013 $11,520 $11,315
09/2013 $11,674 $11,394
10/2013 $11,740 $11,448
11/2013 $11,721 $11,415
12/2013 $11,592 $11,315
01/2014 $11,790 $11,463
02/2014 $11,819 $11,495
03/2014 $11,788 $11,464
04/2014 $11,864 $11,527
05/2014 $11,987 $11,632
06/2014 $11,971 $11,617
07/2014 $11,943 $11,598
08/2014 $12,057 $11,716
09/2014 $11,977 $11,655
10/2014 $12,092 $11,764
11/2014 $12,207 $11,856
12/2014 $12,192 $11,872
01/2015 $12,532 $12,168
02/2015 $12,328 $11,988
03/2015 $12,439 $12,062
04/2015 $12,410 $12,002
05/2015 $12,390 $11,982
06/2015 $12,291 $11,881
07/2015 $12,399 $11,976
08/2015 $12,399 $11,982
09/2015 $12,534 $12,084
10/2015 $12,485 $12,042
11/2015 $12,446 $11,994
12/2015 $12,407 $11,973
01/2016 $12,716 $12,222
02/2016 $12,826 $12,327
03/2016 $12,868 $12,347
04/2016 $12,858 $12,335
05/2016 $12,848 $12,335
06/2016 $13,149 $12,599
07/2016 $13,190 $12,648
08/2016 $13,099 $12,582
09/2016 $13,109 $12,567
10/2016 $12,978 $12,434
11/2016 $12,564 $12,112
12/2016 $12,550 $12,099
01/2017 $12,591 $12,127
02/2017 $12,662 $12,186
03/2017 $12,671 $12,181
04/2017 $12,784 $12,265
05/2017 $12,865 $12,343
06/2017 $12,817 $12,324
07/2017 $12,868 $12,345
08/2017 $13,012 $12,476
09/2017 $12,868 $12,371
10/2017 $12,857 $12,357
11/2017 $12,816 $12,340
12/2017 $12,828 $12,377
01/2018 $12,620 $12,212
02/2018 $12,537 $12,123
03/2018 $12,645 $12,235
04/2018 $12,509 $12,137
05/2018 $12,614 $12,245
06/2018 $12,630 $12,247
07/2018 $12,578 $12,197
08/2018 $12,683 $12,289
09/2018 $12,575 $12,177
10/2018 $12,543 $12,120
11/2018 $12,670 $12,227
12/2018 $12,946 $12,487
01/2019 $13,031 $12,545
02/2019 $12,999 $12,512
03/2019 $13,274 $12,749
04/2019 $13,242 $12,715
05/2019 $13,562 $13,010
06/2019 $13,702 $13,130
07/2019 $13,713 $13,115 Past performance is not predictive of
08/2019 $14,131 $13,556 future performance.
09/2019 $14,003 $13,443
10/2019 $14,024 $13,452 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
----------------------------------------------------------- Bloomberg Barclays data provided by
11.81% 3.01% 3.44% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO VS.
ICE BOFAML 1-5 YEAR US CORPORATE & GOVERNMENT INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Short-Term Extended ICE BofAML 1-5 Year US Corporate
Quality Portfolio & Government Index
----------------------- ----------------------------------
10/2009 $10,000 $10,000
11/2009 $10,121 $10,099
12/2009 $10,023 $9,998
01/2010 $10,157 $10,111
02/2010 $10,200 $10,147
03/2010 $10,194 $10,124
04/2010 $10,271 $10,178
05/2010 $10,277 $10,218
06/2010 $10,359 $10,297
07/2010 $10,474 $10,378
08/2010 $10,556 $10,434
09/2010 $10,610 $10,473
10/2010 $10,673 $10,521
11/2010 $10,609 $10,475
12/2010 $10,539 $10,414
01/2011 $10,588 $10,454
02/2011 $10,588 $10,445
03/2011 $10,590 $10,447
04/2011 $10,699 $10,531
05/2011 $10,768 $10,604
06/2011 $10,758 $10,601
07/2011 $10,858 $10,681
08/2011 $10,876 $10,727
09/2011 $10,836 $10,689
10/2011 $10,878 $10,725
11/2011 $10,805 $10,708
12/2011 $10,848 $10,737
01/2012 $10,948 $10,806
02/2012 $10,985 $10,807
03/2012 $10,994 $10,804
04/2012 $11,032 $10,851
05/2012 $11,039 $10,860
06/2012 $11,057 $10,870
07/2012 $11,153 $10,934
08/2012 $11,183 $10,956
09/2012 $11,222 $10,975
10/2012 $11,228 $10,979
11/2012 $11,244 $11,002
12/2012 $11,241 $11,002
01/2013 $11,231 $10,997
02/2013 $11,268 $11,028
03/2013 $11,281 $11,036
04/2013 $11,323 $11,069
05/2013 $11,267 $11,013
06/2013 $11,176 $10,948
07/2013 $11,221 $10,985
08/2013 $11,183 $10,958
09/2013 $11,264 $11,022
10/2013 $11,316 $11,064
11/2013 $11,340 $11,083
12/2013 $11,287 $11,037
01/2014 $11,360 $11,091
02/2014 $11,389 $11,116
03/2014 $11,362 $11,086
04/2014 $11,397 $11,119
05/2014 $11,453 $11,172
06/2014 $11,447 $11,167
07/2014 $11,428 $11,142
08/2014 $11,462 $11,182
09/2014 $11,434 $11,159
10/2014 $11,479 $11,211
11/2014 $11,525 $11,246
12/2014 $11,477 $11,203
01/2015 $11,604 $11,313
02/2015 $11,565 $11,271
03/2015 $11,602 $11,316
04/2015 $11,616 $11,323
05/2015 $11,617 $11,334
06/2015 $11,579 $11,317
07/2015 $11,605 $11,337
08/2015 $11,588 $11,330
09/2015 $11,657 $11,383
10/2015 $11,649 $11,372
11/2015 $11,647 $11,346
12/2015 $11,609 $11,321
01/2016 $11,696 $11,421
02/2016 $11,698 $11,444
03/2016 $11,811 $11,503
04/2016 $11,859 $11,521
05/2016 $11,844 $11,509
06/2016 $11,960 $11,617
07/2016 $11,989 $11,628
08/2016 $11,962 $11,605
09/2016 $11,978 $11,622
10/2016 $11,963 $11,603
11/2016 $11,838 $11,496
12/2016 $11,848 $11,504
01/2017 $11,884 $11,531
02/2017 $11,922 $11,560
03/2017 $11,944 $11,568
04/2017 $11,993 $11,610
05/2017 $12,034 $11,644
06/2017 $12,032 $11,632
07/2017 $12,083 $11,673
08/2017 $12,115 $11,713
09/2017 $12,093 $11,683
10/2017 $12,105 $11,680
11/2017 $12,074 $11,647
12/2017 $12,082 $11,651
01/2018 $12,025 $11,592
02/2018 $12,003 $11,568
03/2018 $12,025 $11,594
04/2018 $12,018 $11,563
05/2018 $12,059 $11,616
06/2018 $12,066 $11,614
07/2018 $12,086 $11,618
08/2018 $12,138 $11,669
09/2018 $12,135 $11,647
10/2018 $12,132 $11,653
11/2018 $12,156 $11,694
12/2018 $12,243 $11,814
01/2019 $12,325 $11,878
02/2019 $12,359 $11,897
03/2019 $12,452 $12,007
04/2019 $12,493 $12,035
05/2019 $12,557 $12,145
06/2019 $12,635 $12,238 Past performance is not predictive of
07/2019 $12,670 $12,229 future performance.
08/2019 $12,728 $12,368
09/2019 $12,729 $12,348 The returns shown do not reflect the
10/2019 $12,752 $12,393 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- ICE BofAML index data copyright 2019
5.11% 2.13% 2.46% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
6
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. CREDIT BOND INDEX
JULY 20, 2010-OCTOBER 31, 2019
[CHART]
DFA Intermediate-Term Bloomberg Barclays U.S.
Extended Quality Portfolio Credit Bond Index
-------------------------- ------------------------
07/2010 $10,000 $10,000
07/2010 $10,020 $10,093
08/2010 $10,230 $10,296
09/2010 $10,282 $10,362
10/2010 $10,315 $10,376
11/2010 $10,195 $10,273
12/2010 $9,963 $10,169
01/2011 $9,983 $10,191
02/2011 $10,018 $10,264
03/2011 $10,015 $10,260
04/2011 $10,184 $10,434
05/2011 $10,363 $10,594
06/2011 $10,278 $10,516
07/2011 $10,583 $10,769
08/2011 $10,745 $10,808
09/2011 $10,773 $10,835
10/2011 $10,825 $10,993
11/2011 $10,683 $10,809
12/2011 $10,897 $11,019
01/2012 $11,085 $11,248
02/2012 $11,133 $11,333
03/2012 $11,032 $11,243
04/2012 $11,228 $11,394
05/2012 $11,359 $11,471
06/2012 $11,356 $11,520
07/2012 $11,607 $11,832
08/2012 $11,644 $11,857
09/2012 $11,715 $11,928
10/2012 $11,819 $12,061
11/2012 $11,850 $12,061
12/2012 $11,798 $12,051
01/2013 $11,658 $11,946
02/2013 $11,770 $12,030
03/2013 $11,804 $12,030
04/2013 $11,989 $12,247
05/2013 $11,676 $11,958
06/2013 $11,290 $11,617
07/2013 $11,362 $11,700
08/2013 $11,224 $11,605
09/2013 $11,364 $11,701
10/2013 $11,509 $11,870
11/2013 $11,448 $11,838
12/2013 $11,348 $11,809
01/2014 $11,657 $12,007
02/2014 $11,730 $12,138
03/2014 $11,715 $12,153
04/2014 $11,855 $12,297
05/2014 $12,052 $12,471
06/2014 $12,051 $12,481
07/2014 $12,035 $12,476
08/2014 $12,223 $12,656
09/2014 $12,070 $12,478
10/2014 $12,189 $12,611
11/2014 $12,310 $12,697
12/2014 $12,263 $12,697
01/2015 $12,720 $13,057
02/2015 $12,563 $12,927
03/2015 $12,629 $12,972
04/2015 $12,579 $12,896
05/2015 $12,498 $12,822
06/2015 $12,275 $12,598
07/2015 $12,373 $12,677
08/2015 $12,288 $12,602
09/2015 $12,473 $12,665
10/2015 $12,513 $12,725
11/2015 $12,502 $12,697
12/2015 $12,420 $12,600
01/2016 $12,547 $12,666
02/2016 $12,642 $12,771
03/2016 $12,918 $13,093
04/2016 $13,054 $13,253
05/2016 $13,037 $13,247
06/2016 $13,346 $13,549
07/2016 $13,500 $13,727
08/2016 $13,484 $13,754
09/2016 $13,477 $13,716
10/2016 $13,340 $13,599
11/2016 $12,885 $13,228
12/2016 $12,921 $13,309
01/2017 $12,971 $13,354
02/2017 $13,110 $13,502
03/2017 $13,112 $13,481
04/2017 $13,278 $13,616
05/2017 $13,410 $13,763
06/2017 $13,396 $13,799
07/2017 $13,515 $13,900
08/2017 $13,653 $14,016
09/2017 $13,553 $13,985
10/2017 $13,614 $14,032
11/2017 $13,564 $14,019
12/2017 $13,640 $14,131
01/2018 $13,422 $14,000
02/2018 $13,247 $13,788
03/2018 $13,286 $13,830
04/2018 $13,141 $13,704
05/2018 $13,218 $13,773
06/2018 $13,177 $13,709
07/2018 $13,254 $13,807
08/2018 $13,355 $13,878
09/2018 $13,273 $13,831
10/2018 $13,133 $13,637
11/2018 $13,145 $13,628
12/2018 $13,354 $13,833
01/2019 $13,615 $14,132
02/2019 $13,662 $14,162
03/2019 $14,030 $14,507
04/2019 $14,095 $14,578
05/2019 $14,319 $14,792
06/2019 $14,633 $15,127 Past performance is not predictive of
07/2019 $14,716 $15,205 future performance.
08/2019 $15,100 $15,680
09/2019 $15,013 $15,578 The returns shown do not reflect the
10/2019 $15,139 $15,666 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------- Bloomberg Barclays data provided by
15.27% 4.43% 4.57% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TARGETED CREDIT PORTFOLIO VS.
BLOOMBERG BARCLAYS GLOBAL AGGREGATE CREDIT 1-5 YEAR (HEDGED TO USD)
MAY 20, 2015-OCTOBER 31, 2019
[CHART]
Bloomberg Barclays Global
DFA Targeted Aggregate Credit 1-5 Years
Credit Portfolio (hedged to USD)
------------------ -----------------------------------
05/2015 $10,000 $10,000
05/2015 $10,000 $10,015
06/2015 $9,941 $9,980
07/2015 $9,973 $10,006
08/2015 $9,957 $9,991
09/2015 $10,022 $10,003
10/2015 $10,018 $10,028
11/2015 $10,013 $10,031
12/2015 $9,969 $10,008
01/2016 $10,016 $10,054
02/2016 $10,018 $10,071
03/2016 $10,149 $10,157
04/2016 $10,205 $10,195
05/2016 $10,200 $10,205
06/2016 $10,320 $10,278
07/2016 $10,379 $10,323
08/2016 $10,366 $10,335
09/2016 $10,380 $10,350
10/2016 $10,358 $10,343
11/2016 $10,222 $10,276
12/2016 $10,238 $10,298
01/2017 $10,271 $10,328
02/2017 $10,319 $10,377
03/2017 $10,331 $10,383
04/2017 $10,400 $10,428
05/2017 $10,451 $10,468
06/2017 $10,443 $10,460
07/2017 $10,514 $10,512
08/2017 $10,546 $10,550
09/2017 $10,535 $10,542
10/2017 $10,559 $10,569
11/2017 $10,521 $10,554
12/2017 $10,521 $10,564
01/2018 $10,479 $10,537
02/2018 $10,437 $10,524
03/2018 $10,437 $10,538
04/2018 $10,429 $10,537
05/2018 $10,470 $10,573
06/2018 $10,471 $10,579
07/2018 $10,503 $10,605
08/2018 $10,555 $10,649
09/2018 $10,547 $10,648
10/2018 $10,540 $10,652
11/2018 $10,532 $10,661
12/2018 $10,600 $10,738
01/2019 $10,720 $10,829
02/2019 $10,774 $10,875
03/2019 $10,895 $10,981
04/2019 $10,938 $11,028
05/2019 $10,990 $11,094
06/2019 $11,085 $11,194 Past performance is not predictive of
07/2019 $11,127 $11,231 future performance.
08/2019 $11,200 $11,328
09/2019 $11,193 $11,322 The returns shown do not reflect the
10/2019 $11,226 $11,359 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION
-------------------------------------------------------------- Bloomberg Barclays data provided by
6.51% 2.63% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
7
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS GLOBAL AGGREGATE BOND INDEX (HEDGED TO USD)
JANUARY 11, 2018-OCTOBER 31, 2019
[CHART]
Bloomberg Barclays Global
DFA Global Core Plus Aggregate Bond Index
Fixed Income Portfolio (hedged to USD)
---------------------- -------------------------
01/2018 $10,000 $10,000
01/2018 $9,910 $9,966
02/2018 $9,860 $9,943
03/2018 $9,895 $10,026
04/2018 $9,875 $9,989
05/2018 $9,915 $10,026
06/2018 $9,924 $10,045
07/2018 $9,944 $10,047
08/2018 $10,004 $10,078
09/2018 $9,954 $10,040
10/2018 $9,944 $10,020
11/2018 $9,924 $10,069
12/2018 $9,992 $10,215
01/2019 $10,194 $10,323
02/2019 $10,257 $10,335
03/2019 $10,501 $10,520
04/2019 $10,555 $10,527
05/2019 $10,639 $10,678
06/2019 $10,863 $10,828 Past performance is not predictive of
07/2019 $11,033 $10,913 future performance.
08/2019 $11,224 $11,160
09/2019 $11,160 $11,109 The returns shown do not reflect the
10/2019 $11,170 $11,090 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION
------------------------------------------------------- Bloomberg Barclays data provided by
12.33% 6.33% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA INVESTMENT GRADE PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX
MARCH 7, 2011-OCTOBER 31, 2019
[CHART]
DFA Investment Grade Bloomberg Barclays U.S.
Portfolio Aggregate Bond Index
--------------------------- -------------------------
03/2011 $10,000 $10,000
03/2011 $10,040 $10,026
04/2011 $10,180 $10,153
05/2011 $10,330 $10,285
06/2011 $10,273 $10,255
07/2011 $10,505 $10,418
08/2011 $10,686 $10,570
09/2011 $10,725 $10,647
10/2011 $10,735 $10,658
11/2011 $10,694 $10,649
12/2011 $10,831 $10,766
01/2012 $10,953 $10,861
02/2012 $10,963 $10,858
03/2012 $10,899 $10,799
04/2012 $11,042 $10,919
05/2012 $11,145 $11,017
06/2012 $11,140 $11,022
07/2012 $11,295 $11,174
08/2012 $11,336 $11,181
09/2012 $11,371 $11,196
10/2012 $11,402 $11,218
11/2012 $11,443 $11,236
12/2012 $11,406 $11,220
01/2013 $11,322 $11,142
02/2013 $11,396 $11,197
03/2013 $11,418 $11,206
04/2013 $11,533 $11,320
05/2013 $11,313 $11,118
06/2013 $11,045 $10,946
07/2013 $11,098 $10,961
08/2013 $10,982 $10,905
09/2013 $11,116 $11,008
10/2013 $11,222 $11,097
11/2013 $11,180 $11,055
12/2013 $11,078 $10,993
01/2014 $11,314 $11,155
02/2014 $11,367 $11,215
03/2014 $11,349 $11,196
04/2014 $11,446 $11,290
05/2014 $11,596 $11,419
06/2014 $11,583 $11,424
07/2014 $11,561 $11,396
08/2014 $11,702 $11,522
09/2014 $11,595 $11,443
10/2014 $11,704 $11,556
11/2014 $11,801 $11,638
12/2014 $11,768 $11,649
01/2015 $12,119 $11,893
02/2015 $11,976 $11,781
03/2015 $12,053 $11,836
04/2015 $12,020 $11,793
05/2015 $11,987 $11,765
06/2015 $11,847 $11,637
07/2015 $11,936 $11,718
08/2015 $11,891 $11,701
09/2015 $12,028 $11,780
10/2015 $12,028 $11,782
11/2015 $12,017 $11,751
12/2015 $11,957 $11,713
01/2016 $12,125 $11,874
02/2016 $12,204 $11,958
03/2016 $12,358 $12,068
04/2016 $12,415 $12,114
05/2016 $12,392 $12,117
06/2016 $12,645 $12,335
07/2016 $12,713 $12,413
08/2016 $12,668 $12,399
09/2016 $12,686 $12,392
10/2016 $12,583 $12,297
11/2016 $12,253 $12,006
12/2016 $12,265 $12,023
01/2017 $12,299 $12,047
02/2017 $12,391 $12,127
03/2017 $12,398 $12,121
04/2017 $12,513 $12,215
05/2017 $12,606 $12,309
06/2017 $12,583 $12,296
07/2017 $12,664 $12,349
08/2017 $12,780 $12,460
09/2017 $12,680 $12,401
10/2017 $12,692 $12,408
11/2017 $12,645 $12,392
12/2017 $12,678 $12,449
01/2018 $12,514 $12,305
02/2018 $12,409 $12,189
03/2018 $12,462 $12,267
04/2018 $12,356 $12,176
05/2018 $12,438 $12,263
06/2018 $12,427 $12,247
07/2018 $12,439 $12,250
08/2018 $12,534 $12,329
09/2018 $12,450 $12,250
10/2018 $12,390 $12,153
11/2018 $12,450 $12,226
12/2018 $12,647 $12,450
01/2019 $12,816 $12,582
02/2019 $12,840 $12,575
03/2019 $13,120 $12,817
04/2019 $13,156 $12,820
05/2019 $13,398 $13,047
06/2019 $13,586 $13,211 Past performance is not predictive of
07/2019 $13,635 $13,240 future performance.
08/2019 $13,976 $13,583
09/2019 $13,902 $13,511 The returns shown do not reflect the
10/2019 $13,951 $13,552 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
-------------------------------------------------------------- Bloomberg Barclays data provided by
12.60% 3.58% 3.92% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
8
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA DIVERSIFIED FIXED INCOME PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. INTERMEDIATE GOVERNMENT BOND INDEX
AUGUST 10, 2016-OCTOBER 31, 2019
[CHART]
DFA Diversified Fixed Bloomberg Barclays U.S. Intermediate
Income Portfolio Government Bond Index
----------------------- ------------------------------------
08-2016 $10,000 $10,000
08-2016 $9,980 $9,968
09-2016 $9,996 $9,985
10-2016 $9,936 $9,937
11-2016 $9,755 $9,770
12-2016 $9,755 $9,767
01-2017 $9,785 $9,787
02-2017 $9,825 $9,815
03-2017 $9,829 $9,820
04-2017 $9,880 $9,871
05-2017 $9,920 $9,910
06-2017 $9,895 $9,884
07-2017 $9,925 $9,916
08-2017 $9,996 $9,976
09-2017 $9,910 $9,918
10-2017 $9,930 $9,906
11-2017 $9,910 $9,876
12-2017 $9,919 $9,878
01-2018 $9,826 $9,784
02-2018 $9,785 $9,755
03-2018 $9,843 $9,806
04-2018 $9,792 $9,751
05-2018 $9,853 $9,813
06-2018 $9,861 $9,812
07-2018 $9,841 $9,793
08-2018 $9,903 $9,851
09-2018 $9,857 $9,801
10-2018 $9,826 $9,805
11-2018 $9,899 $9,872
12-2018 $10,025 $10,019
01-2019 $10,088 $10,062
02-2019 $10,077 $10,055
03-2019 $10,223 $10,177
04-2019 $10,223 $10,182
05-2019 $10,370 $10,331
06-2019 $10,448 $10,416 Past performance is not predictive of
07-2019 $10,458 $10,398 future performance.
08-2019 $10,648 $10,585
09-2019 $10,588 $10,539 The returns shown do not reflect the
10-2019 $10,609 $10,569 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE SINCE redemption of fund shares.
TOTAL RETURN YEAR INCEPTION
-------------------------------------------------------------- Bloomberg Barclays data provided by
7.97% 1.85% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA LTIP PORTFOLIO VS.
FTSE U.S. INFLATION-LINKED SECURITIES INDEX, 20+ YEARS
MARCH 7, 2012-OCTOBER 31, 2019
[CHART]
DFA LTIP Portfolio - FTSE US Inflation-Linked
Institutional Class Securities Index, 20+ Years
--------------------- -----------------------------
03/2012 $10,000 $10,000
03/2012 $9,770 $9,821
04/2012 $10,310 $10,266
05/2012 $10,890 $10,921
06/2012 $10,751 $10,847
07/2012 $11,403 $11,424
08/2012 $11,152 $11,175
09/2012 $11,092 $11,148
10/2012 $11,423 $11,432
11/2012 $11,464 $11,528
12/2012 $11,239 $11,314
01/2013 $10,847 $10,952
02/2013 $10,817 $10,947
03/2013 $10,666 $10,809
04/2013 $11,159 $11,318
05/2013 $9,842 $10,024
06/2013 $9,044 $9,391
07/2013 $9,014 $9,290
08/2013 $8,659 $9,022
09/2013 $8,881 $9,195
10/2013 $8,963 $9,258
11/2013 $8,545 $8,887
12/2013 $8,309 $8,696
01/2014 $8,963 $9,275
02/2014 $8,983 $9,321
03/2014 $9,075 $9,416
04/2014 $9,423 $9,747
05/2014 $9,893 $10,169
06/2014 $9,981 $10,258
07/2014 $10,097 $10,411
08/2014 $10,432 $10,698
09/2014 $9,762 $10,063
10/2014 $10,059 $10,362
11/2014 $10,281 $10,486
12/2014 $10,356 $10,637
01/2015 $10,727 $11,406
02/2015 $10,282 $11,024
03/2015 $10,176 $10,893
04/2015 $10,123 $10,835
05/2015 $9,700 $10,453
06/2015 $9,318 $10,049
07/2015 $9,562 $10,241
08/2015 $9,318 $10,045
09/2015 $9,058 $9,719
10/2015 $9,250 $9,907
11/2015 $9,271 $9,917
12/2015 $9,047 $9,745
01/2016 $9,346 $9,990
02/2016 $9,623 $10,295
03/2016 $10,028 $10,694
04/2016 $10,071 $10,753
05/2016 $9,911 $10,618
06/2016 $10,499 $11,143
07/2016 $10,918 $11,584
08/2016 $10,929 $11,607
09/2016 $10,920 $11,496
10/2016 $10,628 $11,277
11/2016 $10,086 $10,824
12/2016 $9,986 $10,665
01/2017 $10,118 $10,803
02/2017 $10,260 $10,975
03/2017 $10,176 $10,892
04/2017 $10,275 $11,033
05/2017 $10,264 $11,027
06/2017 $10,112 $10,848
07/2017 $10,123 $10,848
08/2017 $10,444 $11,173
09/2017 $10,293 $11,054
10/2017 $10,360 $11,110
11/2017 $10,527 $11,290
12/2017 $10,944 $11,673
01/2018 $10,764 $11,529
02/2018 $10,301 $11,059
03/2018 $10,538 $11,317
04/2018 $10,549 $11,380
05/2018 $10,549 $11,371
06/2018 $10,758 $11,504
07/2018 $10,644 $11,407
08/2018 $10,724 $11,515
09/2018 $10,389 $11,158
10/2018 $9,766 $10,563
11/2018 $9,893 $10,692
12/2018 $10,031 $10,838
01/2019 $10,334 $11,118
02/2019 $10,206 $11,048
03/2019 $10,787 $11,574
04/2019 $10,729 $11,545
05/2019 $11,334 $12,105
06/2019 $11,288 $12,127 Past performance is not predictive of
07/2019 $11,429 $12,320 future performance.
08/2019 $12,571 $13,352
09/2019 $12,113 $12,816 The returns shown do not reflect the
10/2019 $11,983 $12,824 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
------------------------------------------------------------- FTSE fixed income indices (C) 2019 FTSE
22.69% 3.56% 2.39% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
9
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Inflation-Protected Bloomberg Barclays
Securities Portfolio U.S. TIPS Index
------------------------- --------------------
10-2009 $10,000 $10,000
11-2009 $10,274 $10,278
12-2009 $10,057 $10,053
01-2010 $10,214 $10,215
02-2010 $10,122 $10,096
03-2010 $10,108 $10,110
04-2010 $10,376 $10,349
05-2010 $10,367 $10,349
06-2010 $10,536 $10,496
07-2010 $10,545 $10,511
08-2010 $10,732 $10,692
09-2010 $10,847 $10,757
10-2010 $11,129 $11,042
11-2010 $10,950 $10,855
12-2010 $10,742 $10,687
01-2011 $10,799 $10,708
02-2011 $10,866 $10,800
03-2011 $10,965 $10,910
04-2011 $11,242 $11,184
05-2011 $11,318 $11,218
06-2011 $11,418 $11,308
07-2011 $11,895 $11,751
08-2011 $12,012 $11,847
09-2011 $11,966 $11,819
10-2011 $12,173 $12,039
11-2011 $12,291 $12,132
12-2011 $12,304 $12,136
01-2012 $12,586 $12,415
02-2012 $12,546 $12,374
03-2012 $12,415 $12,241
04-2012 $12,696 $12,489
05-2012 $12,898 $12,698
06-2012 $12,825 $12,627
07-2012 $13,048 $12,866
08-2012 $13,048 $12,829
09-2012 $13,140 $12,895
10-2012 $13,232 $13,006
11-2012 $13,313 $13,068
12-2012 $13,221 $12,983
01-2013 $13,128 $12,896
02-2013 $13,149 $12,900
03-2013 $13,190 $12,936
04-2013 $13,293 $13,039
05-2013 $12,704 $12,471
06-2013 $12,142 $12,024
07-2013 $12,277 $12,112
08-2013 $12,048 $11,935
09-2013 $12,297 $12,108
10-2013 $12,360 $12,175
11-2013 $12,224 $12,043
12-2013 $11,995 $11,866
01-2014 $12,278 $12,100
02-2014 $12,320 $12,155
03-2014 $12,225 $12,097
04-2014 $12,403 $12,260
05-2014 $12,676 $12,520
06-2014 $12,712 $12,558
07-2014 $12,701 $12,561
08-2014 $12,764 $12,616
09-2014 $12,424 $12,301
10-2014 $12,530 $12,406
11-2014 $12,584 $12,438
12-2014 $12,399 $12,298
01-2015 $12,848 $12,685
02-2015 $12,666 $12,532
03-2015 $12,623 $12,473
04-2015 $12,720 $12,565
05-2015 $12,602 $12,462
06-2015 $12,484 $12,340
07-2015 $12,549 $12,366
08-2015 $12,431 $12,271
09-2015 $12,386 $12,199
10-2015 $12,408 $12,230
11-2015 $12,386 $12,218
12-2015 $12,247 $12,121
01-2016 $12,484 $12,301
02-2016 $12,635 $12,438
03-2016 $12,861 $12,661
04-2016 $12,893 $12,705
05-2016 $12,786 $12,615
06-2016 $13,083 $12,877
07-2016 $13,159 $12,989
08-2016 $13,083 $12,931
09-2016 $13,212 $13,002
10-2016 $13,147 $12,950
11-2016 $12,832 $12,701
12-2016 $12,819 $12,689
01-2017 $12,962 $12,795
02-2017 $13,017 $12,856
03-2017 $13,011 $12,849
04-2017 $13,110 $12,925
05-2017 $13,110 $12,919
06-2017 $12,967 $12,797
07-2017 $13,067 $12,854
08-2017 $13,211 $12,990
09-2017 $13,079 $12,907
10-2017 $13,112 $12,935
11-2017 $13,112 $12,952
12-2017 $13,240 $13,070
01-2018 $13,082 $12,958
02-2018 $12,958 $12,832
03-2018 $13,093 $12,967
04-2018 $13,059 $12,960
05-2018 $13,116 $13,015
06-2018 $13,192 $13,067
07-2018 $13,112 $13,004
08-2018 $13,215 $13,098
09-2018 $13,072 $12,960
10-2018 $12,911 $12,774
11-2018 $12,992 $12,835
12-2018 $13,068 $12,905
01-2019 $13,287 $13,079
02-2019 $13,264 $13,077
03-2019 $13,541 $13,318
04-2019 $13,587 $13,362
05-2019 $13,806 $13,583
06-2019 $13,959 $13,699 Past performance is not predictive of
07-2019 $13,994 $13,748 future performance.
08-2019 $14,273 $14,075
09-2019 $14,094 $13,883 The returns shown do not reflect the
10-2019 $14,094 $13,919 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- Bloomberg Barclays data provided by
9.16% 2.38% 3.49% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT DURATION REAL RETURN PORTFOLIO VS.
BLOOMBERG BARCLAYS U.S. TIPS 1-5 YEARS INDEX
NOVEMBER 5, 2013-OCTOBER 31, 2019
[CHART]
DFA Short Duration Real Bloomberg Barclays U.S. TIPS
Return Portfolio 1-5 Years Index
------------------------- ------------------------------
11-2013 $10,000 $10,000
11-2013 $9,990 $10,020
12-2013 $9,930 $9,969
01-2014 $9,980 $10,009
02-2014 $10,040 $10,037
03-2014 $10,020 $9,989
04-2014 $10,060 $10,050
05-2014 $10,170 $10,135
06-2014 $10,221 $10,171
07-2014 $10,160 $10,136
08-2014 $10,140 $10,121
09-2014 $10,030 $10,015
10-2014 $10,020 $10,019
11-2014 $9,990 $10,004
12-2014 $9,836 $9,856
01-2015 $9,957 $9,968
02-2015 $9,967 $9,938
03-2015 $9,906 $9,901
04-2015 $9,987 $9,978
05-2015 $9,967 $9,971
06-2015 $9,927 $9,963
07-2015 $9,896 $9,930
08-2015 $9,856 $9,902
09-2015 $9,856 $9,892
10-2015 $9,896 $9,890
11-2015 $9,896 $9,870
12-2015 $9,881 $9,842
01-2016 $9,891 $9,912
02-2016 $9,891 $9,938
03-2016 $10,055 $10,054
04-2016 $10,086 $10,058
05-2016 $10,065 $10,038
06-2016 $10,157 $10,149
07-2016 $10,167 $10,140
08-2016 $10,157 $10,104
09-2016 $10,229 $10,177
10-2016 $10,260 $10,182
11-2016 $10,188 $10,118
12-2016 $10,240 $10,151
01-2017 $10,302 $10,205
02-2017 $10,333 $10,214
03-2017 $10,343 $10,230
04-2017 $10,333 $10,231
05-2017 $10,323 $10,222
06-2017 $10,292 $10,171
07-2017 $10,333 $10,203
08-2017 $10,354 $10,234
09-2017 $10,375 $10,219
10-2017 $10,406 $10,236
11-2017 $10,395 $10,212
12-2017 $10,415 $10,232
01-2018 $10,394 $10,193
02-2018 $10,394 $10,184
03-2018 $10,415 $10,244
04-2018 $10,426 $10,237
05-2018 $10,457 $10,276
06-2018 $10,478 $10,292
07-2018 $10,489 $10,271
08-2018 $10,542 $10,326
09-2018 $10,542 $10,294
10-2018 $10,478 $10,247
11-2018 $10,447 $10,251
12-2018 $10,427 $10,273
01-2019 $10,557 $10,351
02-2019 $10,589 $10,367
03-2019 $10,687 $10,454
04-2019 $10,741 $10,504
05-2019 $10,752 $10,566
06-2019 $10,828 $10,643 Past performance is not predictive of
07-2019 $10,871 $10,644 future performance.
08-2019 $10,871 $10,707
09-2019 $10,882 $10,672 The returns shown do not reflect the
10-2019 $10,915 $10,703 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE SINCE redemption of fund shares.
TOTAL RETURN YEAR YEARS INCEPTION
-------------------------------------------------------------- Bloomberg Barclays data provided by
4.16% 1.73% 1.47% Bloomberg Finance L.P.
--------------------------------------------------------------------------------
10
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MUNICIPAL REAL RETURN PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 4, 2014-OCTOBER 31, 2019
[CHART]
S&P Intermediate Term
DFA Municipal Real National AMT-Free Municipal
Return Portfolio Bond Index
-------------------- ---------------------------
11/4/2014 $10,000 $10,000
11/30/2014 9,910 10,026
12/31/2014 9,760 10,066
1/31/2015 9,950 10,212
2/28/2015 9,894 10,121
3/31/2015 9,786 10,137
4/30/2015 9,832 10,102
5/31/2015 9,760 10,066
6/30/2015 9,798 10,063
7/31/2015 9,756 10,130
8/31/2015 9,753 10,144
9/30/2015 9,711 10,211
10/31/2015 9,802 10,247
11/30/2015 9,838 10,279
12/31/2015 9,866 10,344
1/31/2016 9,911 10,459
2/29/2016 9,917 10,466
3/31/2016 9,990 10,487
4/30/2016 10,050 10,551
5/31/2016 9,977 10,556
6/30/2016 10,057 10,691
7/31/2016 10,068 10,695
8/31/2016 10,087 10,711
9/30/2016 10,135 10,670
10/31/2016 10,136 10,592
11/30/2016 9,890 10,260
12/31/2016 10,021 10,358
1/31/2017 10,126 10,408
2/28/2017 10,155 10,466
3/31/2017 10,180 10,487
4/30/2017 10,211 10,560
5/31/2017 10,253 10,691
6/30/2017 10,182 10,655
7/31/2017 10,255 10,729
8/31/2017 10,279 10,810
9/30/2017 10,257 10,768
10/31/2017 10,280 10,776
11/30/2017 10,185 10,703
12/31/2017 10,278 10,786
1/31/2018 10,231 10,696
2/28/2018 10,209 10,657
3/31/2018 10,215 10,682
4/30/2018 10,217 10,648
5/31/2018 10,283 10,752
6/30/2018 10,316 10,765
7/31/2018 10,361 10,801
8/31/2018 10,364 10,813
9/30/2018 10,312 10,759
10/31/2018 10,192 10,706
11/30/2018 10,243 10,815
12/31/2018 10,226 10,931
1/31/2019 10,392 11,019
2/28/2019 10,457 11,070
3/31/2019 10,522 11,201
4/30/2019 10,572 11,231
5/31/2019 10,597 11,381 Past performance is not predictive of
6/30/2019 10,642 11,424 future performance.
7/31/2019 10,764 11,514
8/31/2019 10,723 11,649 The returns shown do not reflect the
9/30/2019 10,628 11,563 deduction of taxes that a shareholder
10/31/2019 10,656 11,583 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2019 S&P Dow Jones Indices
------------------------------------------------------ LLC, a division of S&P Global. All rights
4.56% 1.28% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO VS.
S&P INTERMEDIATE TERM CALIFORNIA AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 1, 2017-OCTOBER 31, 2019
[CHART]
S&P Intermediate Term
DFA California Municipal California AMT-Free Municipal
Real Return Portfolio Bond Index
------------------------- ------------------------------
11/1/2017 $10,000 $10,000
11/30/2017 9,885 9,934
12/31/2017 9,980 9,999
1/31/2018 9,950 9,934
2/28/2018 9,927 9,904
3/31/2018 9,939 9,928
4/30/2018 9,938 9,900
5/31/2018 10,020 10,007
6/30/2018 10,052 10,014
7/31/2018 10,092 10,042
8/31/2018 10,092 10,059
9/30/2018 10,041 10,005
10/31/2018 9,914 9,947
11/30/2018 9,962 10,041
12/31/2018 9,934 10,138
1/31/2019 10,070 10,207
2/28/2019 10,120 10,245
3/31/2019 10,162 10,354
4/30/2019 10,207 10,380
5/31/2019 10,240 10,517 Past performance is not predictive of
6/30/2019 10,272 10,557 future performance.
7/31/2019 10,387 10,642
8/31/2019 10,341 10,754 The returns shown do not reflect the
9/30/2019 10,258 10,677 deduction of taxes that a shareholder
10/31/2019 10,284 10,699 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2019 S&P Dow Jones Indices
------------------------------------------------------------ LLC, a division of S&P Global. All rights
3.73% 1.41% reserved.
--------------------------------------------------------------------------------
11
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 10, 2015-OCTOBER 31, 2019
[CHART]
S&P Intermediate Term
DFA Municipal National AMT-Free Municipal
Bond Portfolio Bond Index
---------------- ---------------------------
3/10/2015 $10,000 $10,000
3/31/2015 10,060 10,072
4/30/2015 10,024 10,037
5/31/2015 9,984 10,001
6/30/2015 9,994 9,997
7/31/2015 10,052 10,065
8/31/2015 10,062 10,078
9/30/2015 10,132 10,145
10/31/2015 10,183 10,181
11/30/2015 10,180 10,213
12/31/2015 10,211 10,277
1/31/2016 10,358 10,392
2/29/2016 10,385 10,398
3/31/2016 10,348 10,419
4/30/2016 10,398 10,482
5/31/2016 10,377 10,488
6/30/2016 10,457 10,622
7/31/2016 10,477 10,626
8/31/2016 10,475 10,642
9/30/2016 10,440 10,601
10/31/2016 10,409 10,523
11/30/2016 10,184 10,193
12/31/2016 10,242 10,291
1/31/2017 10,306 10,340
2/28/2017 10,364 10,399
3/31/2017 10,357 10,419
4/30/2017 10,417 10,491
5/31/2017 10,489 10,622
6/30/2017 10,458 10,586
7/31/2017 10,510 10,660
8/31/2017 10,552 10,740
9/30/2017 10,498 10,698
10/31/2017 10,488 10,706
11/30/2017 10,393 10,634
12/31/2017 10,433 10,716
1/31/2018 10,395 10,627
2/28/2018 10,382 10,588
3/31/2018 10,376 10,613
4/30/2018 10,346 10,579
5/31/2018 10,410 10,683
6/30/2018 10,432 10,695
7/31/2018 10,466 10,731
8/31/2018 10,468 10,743
9/30/2018 10,417 10,689
10/31/2018 10,400 10,636
11/30/2018 10,472 10,745
12/31/2018 10,558 10,860
1/31/2019 10,639 10,948
2/28/2019 10,671 10,998
3/31/2019 10,726 11,129
4/30/2019 10,732 11,158
5/31/2019 10,819 11,308 Past performance is not predictive of
6/30/2019 10,863 11,350 future performance.
7/31/2019 10,931 11,440
8/31/2019 10,986 11,573 The returns shown do not reflect the
9/30/2019 10,912 11,488 deduction of taxes that a shareholder
10/31/2019 10,950 11,508 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2019 S&P Dow Jones Indices
------------------------------------------------------ LLC, a division of S&P Global. All rights
5.28% 1.97% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
ICE BOFAML 1-3 YEAR US MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
ICE BofAML 1-3 Year
DFA Short-Term Municipal US Municipal
Bond Portfolio Securities Index
-------------------------- -----------------------
10/31/2009 10,000 10,000
11/30/2009 10,094 10,050
12/31/2009 10,098 10,057
1/31/2010 10,127 10,084
2/28/2010 10,157 10,110
3/31/2010 10,100 10,082
4/30/2010 10,127 10,114
5/31/2010 10,171 10,148
6/30/2010 10,196 10,172
7/31/2010 10,270 10,215
8/31/2010 10,315 10,236
9/30/2010 10,278 10,225
10/31/2010 10,273 10,231
11/30/2010 10,247 10,204
12/31/2010 10,209 10,187
1/31/2011 10,209 10,207
2/28/2011 10,231 10,231
3/31/2011 10,266 10,255
4/30/2011 10,309 10,283
5/31/2011 10,353 10,324
6/30/2011 10,366 10,346
7/31/2011 10,401 10,374
8/31/2011 10,455 10,400
9/30/2011 10,428 10,395
10/31/2011 10,401 10,385
11/30/2011 10,412 10,399
12/31/2011 10,451 10,428
1/31/2012 10,482 10,454
2/29/2012 10,502 10,479
3/31/2012 10,475 10,473
4/30/2012 10,497 10,485
5/31/2012 10,499 10,492
6/30/2012 10,511 10,499
7/31/2012 10,525 10,515
8/31/2012 10,535 10,523
9/30/2012 10,537 10,533
10/31/2012 10,537 10,534
11/30/2012 10,537 10,543
12/31/2012 10,528 10,536
1/31/2013 10,538 10,557
2/28/2013 10,545 10,578
3/31/2013 10,546 10,583
4/30/2013 10,554 10,589
5/31/2013 10,552 10,588
6/30/2013 10,530 10,564
7/31/2013 10,538 10,587
8/31/2013 10,535 10,592
9/30/2013 10,552 10,613
10/31/2013 10,581 10,635
11/30/2013 10,578 10,645
12/31/2013 10,576 10,649
1/31/2014 10,607 10,670
2/28/2014 10,631 10,692
3/31/2014 10,588 10,675
4/30/2014 10,605 10,691
5/31/2014 10,634 10,706
6/30/2014 10,632 10,711
7/31/2014 10,639 10,717
8/31/2014 10,678 10,726
9/30/2014 10,665 10,724
10/31/2014 10,673 10,730
11/30/2014 10,681 10,736
12/31/2014 10,636 10,725
1/31/2015 10,730 10,758
2/28/2015 10,683 10,759
3/31/2015 10,683 10,753
4/30/2015 10,679 10,754
5/31/2015 10,656 10,746
6/30/2015 10,684 10,754
7/31/2015 10,714 10,779
8/31/2015 10,721 10,794
9/30/2015 10,750 10,815
10/31/2015 10,780 10,830
11/30/2015 10,761 10,808
12/31/2015 10,758 10,806
1/31/2016 10,835 10,856
2/29/2016 10,861 10,882
3/31/2016 10,820 10,861
4/30/2016 10,848 10,881
5/31/2016 10,835 10,874
6/30/2016 10,885 10,912
7/31/2016 10,915 10,934
8/31/2016 10,902 10,927
9/30/2016 10,866 10,893
10/31/2016 10,854 10,894
11/30/2016 10,745 10,826
12/31/2016 10,763 10,842
1/31/2017 10,826 10,891
2/28/2017 10,865 10,936
3/31/2017 10,856 10,930
4/30/2017 10,885 10,955
5/31/2017 10,926 10,981
6/30/2017 10,903 10,966
7/31/2017 10,932 10,999
8/31/2017 10,953 11,030
9/30/2017 10,938 11,013
10/31/2017 10,926 11,003
11/30/2017 10,880 10,934
12/31/2017 10,887 10,949
1/31/2018 10,899 10,975
2/28/2018 10,917 10,988
3/31/2018 10,909 10,981
4/30/2018 10,896 10,962
5/31/2018 10,928 11,005
6/30/2018 10,947 11,046
7/31/2018 10,969 11,074
8/31/2018 10,968 11,075
9/30/2018 10,955 11,044
10/31/2018 10,957 11,043
11/30/2018 10,986 11,091
12/31/2018 11,019 11,141
1/31/2019 11,044 11,186
2/28/2019 11,065 11,216
3/31/2019 11,087 11,255
4/30/2019 11,091 11,259
5/31/2019 11,114 11,313
6/30/2019 11,136 11,352
7/31/2019 11,160 11,400 Past performance is not predictive of
8/31/2019 11,169 11,419 future performance.
9/30/2019 11,167 11,389
10/31/2019 11,179 11,422 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
---------------------------------------------------------- ICE BofAML index data copyright 2019
2.03% 0.93% 1.12% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
12
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
MARCH 1, 2012-OCTOBER 31, 2019
[CHART]
DFA Intermediate-Term Municipal S&P Intermediate Term National
Bond Portfolio AMT-Free Municipal Bond Index
------------------------------- --------------------------------
3/1/2012 $10,000 $10,000
3/31/2012 $9,860 $9,930
4/30/2012 $9,957 $10,029
5/31/2012 $10,012 $10,093
6/30/2012 $9,974 $10,082
7/31/2012 $10,066 $10,209
8/31/2012 $10,055 $10,219
9/30/2012 $10,106 $10,278
10/31/2012 $10,113 $10,288
11/30/2012 $10,225 $10,425
12/31/2012 $10,114 $10,292
1/31/2013 $10,124 $10,338
2/28/2013 $10,160 $10,378
3/31/2013 $10,128 $10,329
4/30/2013 $10,227 $10,420
5/31/2013 $10,053 $10,300
6/30/2013 $9,828 $10,061
7/31/2013 $9,828 $10,026
8/31/2013 $9,704 $9,911
9/30/2013 $9,928 $10,084
10/31/2013 $10,022 $10,163
11/30/2013 $9,954 $10,143
12/31/2013 $9,907 $10,116
1/31/2014 $10,070 $10,278
2/28/2014 $10,177 $10,379
3/31/2014 $10,101 $10,359
4/30/2014 $10,228 $10,467
5/31/2014 $10,325 $10,560
6/30/2014 $10,299 $10,552
7/31/2014 $10,324 $10,574
8/31/2014 $10,430 $10,676
9/30/2014 $10,392 $10,672
10/31/2014 $10,457 $10,718
11/30/2014 $10,459 $10,724
12/31/2014 $10,450 $10,767
1/31/2015 $10,658 $10,923
2/28/2015 $10,526 $10,825
3/31/2015 $10,540 $10,843
4/30/2015 $10,510 $10,805
5/31/2015 $10,471 $10,767
6/30/2015 $10,472 $10,763
7/31/2015 $10,536 $10,835
8/31/2015 $10,559 $10,850
9/30/2015 $10,634 $10,921
10/31/2015 $10,679 $10,960
11/30/2015 $10,678 $10,994
12/31/2015 $10,722 $11,063
1/31/2016 $10,858 $11,187
2/29/2016 $10,887 $11,194
3/31/2016 $10,850 $11,217
4/30/2016 $10,913 $11,285
5/31/2016 $10,882 $11,291
6/30/2016 $10,989 $11,435
7/31/2016 $11,012 $11,439
8/31/2016 $11,002 $11,456
9/30/2016 $10,958 $11,412
10/31/2016 $10,917 $11,328
11/30/2016 $10,652 $10,973
12/31/2016 $10,706 $11,078
1/31/2017 $10,782 $11,132
2/28/2017 $10,846 $11,194
3/31/2017 $10,851 $11,217
4/30/2017 $10,915 $11,294
5/31/2017 $11,014 $11,435
6/30/2017 $10,962 $11,396
7/31/2017 $11,028 $11,476
8/31/2017 $11,074 $11,562
9/30/2017 $11,008 $11,517
10/31/2017 $11,000 $11,525
11/30/2017 $10,891 $11,448
12/31/2017 $10,935 $11,536
1/31/2018 $10,886 $11,440
2/28/2018 $10,863 $11,398
3/31/2018 $10,870 $11,426
4/30/2018 $10,828 $11,389
5/31/2018 $10,909 $11,500
6/30/2018 $10,932 $11,514
7/31/2018 $10,958 $11,552
8/31/2018 $10,961 $11,565
9/30/2018 $10,908 $11,507
10/31/2018 $10,881 $11,450
11/30/2018 $10,978 $11,567
12/31/2018 $11,081 $11,691
1/31/2019 $11,166 $11,785
2/28/2019 $11,211 $11,840
3/31/2019 $11,291 $11,980
4/30/2019 $11,299 $12,012
5/31/2019 $11,402 $12,173
6/30/2019 $11,449 $12,219
7/31/2019 $11,531 $12,315 Past performance is not predictive of
8/31/2019 $11,600 $12,459 future performance.
9/30/2019 $11,523 $12,368
10/31/2019 $11,552 $12,388 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION Copyright 2019 S&P Dow Jones Indices
---------------------------------------------------------------- LLC, a division of S&P Global. All rights
6.17% 2.01% 1.90% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO VS.
ICE BOFAML 1-3 YEAR CALIFORNIA INCLUDING PUERTO RICO MUNICIPAL SECURITIES INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA California Short-Term ICE BofAML 1-3 Year
Municipal Bond Portfolio California including Puerto Rico
Municipal Securities Index
-------------------------- --------------------------------
10/31/2009 $10,000 $10,000
11/30/2009 $10,104 $10,058
12/31/2009 $10,099 $10,066
1/31/2010 $10,129 $10,089
2/28/2010 $10,161 $10,115
3/31/2010 $10,106 $10,094
4/30/2010 $10,153 $10,130
5/31/2010 $10,188 $10,166
6/30/2010 $10,213 $10,191
7/31/2010 $10,298 $10,245
8/31/2010 $10,343 $10,275
9/30/2010 $10,318 $10,269
10/31/2010 $10,314 $10,269
11/30/2010 $10,259 $10,228
12/31/2010 $10,220 $10,198
1/31/2011 $10,230 $10,222
2/28/2011 $10,253 $10,257
3/31/2011 $10,290 $10,286
4/30/2011 $10,325 $10,309
5/31/2011 $10,380 $10,351
6/30/2011 $10,394 $10,382
7/31/2011 $10,429 $10,415
8/31/2011 $10,477 $10,441
9/30/2011 $10,461 $10,437
10/31/2011 $10,425 $10,425
11/30/2011 $10,444 $10,440
12/31/2011 $10,494 $10,468
1/31/2012 $10,524 $10,492
2/29/2012 $10,546 $10,517
3/31/2012 $10,529 $10,511
4/30/2012 $10,542 $10,520
5/31/2012 $10,555 $10,527
6/30/2012 $10,558 $10,539
7/31/2012 $10,581 $10,556
8/31/2012 $10,591 $10,562
9/30/2012 $10,592 $10,567
10/31/2012 $10,592 $10,570
11/30/2012 $10,602 $10,581
12/31/2012 $10,592 $10,564
1/31/2013 $10,603 $10,591
2/28/2013 $10,609 $10,611
3/31/2013 $10,619 $10,612
4/30/2013 $10,628 $10,618
5/31/2013 $10,617 $10,614
6/30/2013 $10,584 $10,590
7/31/2013 $10,603 $10,621
8/31/2013 $10,589 $10,613
9/30/2013 $10,628 $10,620
10/31/2013 $10,667 $10,639
11/30/2013 $10,664 $10,648
12/31/2013 $10,662 $10,648
1/31/2014 $10,693 $10,665
2/28/2014 $10,717 $10,687
3/31/2014 $10,674 $10,672
4/30/2014 $10,702 $10,690
5/31/2014 $10,731 $10,712
6/30/2014 $10,727 $10,720
7/31/2014 $10,734 $10,721
8/31/2014 $10,772 $10,730
9/30/2014 $10,758 $10,734
10/31/2014 $10,776 $10,736
11/30/2014 $10,772 $10,742
12/31/2014 $10,747 $10,735
1/31/2015 $10,830 $10,766
2/28/2015 $10,791 $10,771
3/31/2015 $10,790 $10,766
4/30/2015 $10,775 $10,770
5/31/2015 $10,750 $10,763
6/30/2015 $10,777 $10,761
7/31/2015 $10,806 $10,790
8/31/2015 $10,812 $10,805
9/30/2015 $10,851 $10,830
10/31/2015 $10,869 $10,843
11/30/2015 $10,860 $10,817
12/31/2015 $10,856 $10,815
1/31/2016 $10,931 $10,867
2/29/2016 $10,957 $10,891
3/31/2016 $10,926 $10,871
4/30/2016 $10,953 $10,886
5/31/2016 $10,929 $10,880
6/30/2016 $10,979 $10,917
7/31/2016 $11,008 $10,936
8/31/2016 $10,994 $10,933
9/30/2016 $10,968 $10,894
10/31/2016 $10,955 $10,895
11/30/2016 $10,846 $10,824
12/31/2016 $10,864 $10,839
1/31/2017 $10,915 $10,891
2/28/2017 $10,953 $10,934
3/31/2017 $10,943 $10,926
4/30/2017 $10,982 $10,950
5/31/2017 $11,022 $10,975
6/30/2017 $10,998 $10,960
7/31/2017 $11,037 $10,990
8/31/2017 $11,058 $11,017
9/30/2017 $11,032 $11,000
10/31/2017 $11,030 $10,990
11/30/2017 $10,973 $10,914
12/31/2017 $10,980 $10,927
1/31/2018 $11,001 $10,960
2/28/2018 $11,007 $10,972
3/31/2018 $10,997 $10,963
4/30/2018 $10,984 $10,946
5/31/2018 $11,026 $10,998
6/30/2018 $11,056 $11,033
7/31/2018 $11,067 $11,057
8/31/2018 $11,076 $11,061
9/30/2018 $11,053 $11,024
10/31/2018 $11,054 $11,020
11/30/2018 $11,083 $11,068
12/31/2018 $11,116 $11,113
1/31/2019 $11,142 $11,148
2/28/2019 $11,152 $11,172
3/31/2019 $11,175 $11,207
4/30/2019 $11,178 $11,210
5/31/2019 $11,212 $11,263
6/30/2019 $11,223 $11,295
7/31/2019 $11,256 $11,340 Past performance is not predictive of
8/31/2019 $11,265 $11,354 future performance.
9/30/2019 $11,251 $11,325
10/31/2019 $11,263 $11,356 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares.
TOTAL RETURN YEAR YEARS YEARS
-------------------------------------------------------------- ICE BofAML index data copyright 2019
1.88% 0.89% 1.20% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
13
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM CALIFORNIA AMT-FREE MUNICIPAL BOND INDEX
NOVEMBER 29, 2011-OCTOBER 31, 2019
[CHART]
DFA California Intermediate-Term S&P Intermediate Term California
Municipal Bond Portfolio AMT-Free Municipal Bond Index
-------------------------------- --------------------------------
11/29/2011 $10,000 $10,000
11/30/2011 $10,000 $10,005
12/31/2011 $10,155 $10,197
1/31/2012 $10,255 $10,401
2/29/2012 $10,226 $10,408
3/31/2012 $10,114 $10,321
4/30/2012 $10,216 $10,424
5/31/2012 $10,268 $10,495
6/30/2012 $10,262 $10,480
7/31/2012 $10,373 $10,610
8/31/2012 $10,366 $10,628
9/30/2012 $10,419 $10,703
10/31/2012 $10,421 $10,718
11/30/2012 $10,556 $10,873
12/31/2012 $10,441 $10,744
1/31/2013 $10,471 $10,798
2/28/2013 $10,491 $10,839
3/31/2013 $10,462 $10,790
4/30/2013 $10,546 $10,881
5/31/2013 $10,425 $10,759
6/30/2013 $10,213 $10,504
7/31/2013 $10,236 $10,470
8/31/2013 $10,145 $10,387
9/30/2013 $10,343 $10,607
10/31/2013 $10,430 $10,699
11/30/2013 $10,381 $10,681
12/31/2013 $10,365 $10,662
1/31/2014 $10,530 $10,859
2/28/2014 $10,618 $10,984
3/31/2014 $10,531 $10,970
4/30/2014 $10,681 $11,094
5/31/2014 $10,780 $11,207
6/30/2014 $10,776 $11,203
7/31/2014 $10,802 $11,233
8/31/2014 $10,922 $11,349
9/30/2014 $10,875 $11,352
10/31/2014 $10,932 $11,398
11/30/2014 $10,947 $11,402
12/31/2014 $10,930 $11,453
1/31/2015 $11,149 $11,624
2/28/2015 $11,031 $11,521
3/31/2015 $11,047 $11,542
4/30/2015 $11,019 $11,499
5/31/2015 $10,970 $11,473
6/30/2015 $10,984 $11,468
7/31/2015 $11,051 $11,547
8/31/2015 $11,065 $11,574
9/30/2015 $11,154 $11,654
10/31/2015 $11,200 $11,690
11/30/2015 $11,190 $11,725
12/31/2015 $11,235 $11,798
1/31/2016 $11,365 $11,923
2/29/2016 $11,396 $11,935
3/31/2016 $11,359 $11,965
4/30/2016 $11,424 $12,034
5/31/2016 $11,395 $12,038
6/30/2016 $11,504 $12,189
7/31/2016 $11,528 $12,186
8/31/2016 $11,520 $12,205
9/30/2016 $11,476 $12,149
10/31/2016 $11,435 $12,057
11/30/2016 $11,145 $11,667
12/31/2016 $11,201 $11,781
1/31/2017 $11,290 $11,842
2/28/2017 $11,355 $11,910
3/31/2017 $11,360 $11,933
4/30/2017 $11,426 $12,009
5/31/2017 $11,526 $12,152
6/30/2017 $11,485 $12,119
7/31/2017 $11,563 $12,195
8/31/2017 $11,599 $12,271
9/30/2017 $11,543 $12,222
10/31/2017 $11,546 $12,236
11/30/2017 $11,414 $12,152
12/31/2017 $11,458 $12,232
1/31/2018 $11,441 $12,153
2/28/2018 $11,418 $12,116
3/31/2018 $11,414 $12,145
4/30/2018 $11,371 $12,111
5/31/2018 $11,474 $12,242
6/30/2018 $11,487 $12,251
7/31/2018 $11,525 $12,285
8/31/2018 $11,538 $12,306
9/30/2018 $11,474 $12,239
10/31/2018 $11,435 $12,168
11/30/2018 $11,522 $12,283
12/31/2018 $11,614 $12,403
1/31/2019 $11,688 $12,486
2/28/2019 $11,722 $12,533
3/31/2019 $11,791 $12,666
4/30/2019 $11,786 $12,698
5/31/2019 $11,912 $12,866 Past performance is not predictive of
6/30/2019 $11,948 $12,915 future performance.
7/31/2019 $12,031 $13,019
8/31/2019 $12,090 $13,156 The returns shown do not reflect the
9/30/2019 $12,011 $13,061 deduction of taxes that a shareholder
10/31/2019 $12,040 $13,089 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE FIVE SINCE
TOTAL RETURN YEAR YEARS INCEPTION Copyright 2019 S&P Dow Jones Indices
---------------------------------------------------------------- LLC, a division of S&P Global. All rights
5.30% 1.95% 2.37% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA NY MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NEW YORK AMT-FREE MUNICIPAL BOND INDEX
JUNE 16, 2015-OCTOBER 31, 2019
[CHART]
S&P Intermediate Term
DFA NY Municipal New York AMT-Free Municipal
Bond Portfolio Bond Index
------------------ ---------------------------
6/16/2015 $10,000 $10,000
6/30/2015 $10,000 $10,015
7/31/2015 $10,052 $10,090
8/31/2015 $10,072 $10,112
9/30/2015 $10,143 $10,177
10/31/2015 $10,175 $10,216
11/30/2015 $10,184 $10,251
12/31/2015 $10,212 $10,321
1/31/2016 $10,340 $10,442
2/29/2016 $10,358 $10,450
3/31/2016 $10,330 $10,469
4/30/2016 $10,389 $10,539
5/31/2016 $10,368 $10,543
6/30/2016 $10,447 $10,687
7/31/2016 $10,466 $10,685
8/31/2016 $10,454 $10,697
9/30/2016 $10,429 $10,657
10/31/2016 $10,408 $10,568
11/30/2016 $10,253 $10,226
12/31/2016 $10,281 $10,333
1/31/2017 $10,331 $10,389
2/28/2017 $10,379 $10,444
3/31/2017 $10,381 $10,465
4/30/2017 $10,430 $10,545
5/31/2017 $10,501 $10,682
6/30/2017 $10,469 $10,643
7/31/2017 $10,520 $10,715
8/31/2017 $10,551 $10,781
9/30/2017 $10,506 $10,736
10/31/2017 $10,506 $10,735
11/30/2017 $10,431 $10,648
12/31/2017 $10,460 $10,738
1/31/2018 $10,451 $10,643
2/28/2018 $10,448 $10,599
3/31/2018 $10,441 $10,619
4/30/2018 $10,420 $10,581
5/31/2018 $10,462 $10,681
6/30/2018 $10,493 $10,694
7/31/2018 $10,515 $10,723
8/31/2018 $10,504 $10,730
9/30/2018 $10,483 $10,669
10/31/2018 $10,485 $10,617
11/30/2018 $10,523 $10,725
12/31/2018 $10,566 $10,841
1/31/2019 $10,612 $10,934
2/28/2019 $10,633 $10,989
3/31/2019 $10,665 $11,122
4/30/2019 $10,668 $11,154
5/31/2019 $10,722 $11,303 Past performance is not predictive of
6/30/2019 $10,743 $11,339 future performance.
7/31/2019 $10,788 $11,429
8/31/2019 $10,798 $11,554 The returns shown do not reflect the
9/30/2019 $10,765 $11,461 deduction of taxes that a shareholder
10/31/2019 $10,791 $11,475 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2019 S&P Dow Jones Indices
----------------------------------------------------- LLC, a division of S&P Global. All rights
2.92% 1.75% reserved.
--------------------------------------------------------------------------------
14
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA MN MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
JULY 25, 2017-OCTOBER 31, 2019
[CHART]
DFA MN Municipal S&P Intermediate Term National
Bond Portfolio AMT-Free Municipal Bond Index
------------------ --------------------------------
7/25/2017 $10,000 $10,000
7/31/2017 9,990 10,000
8/31/2017 10,030 10,076
9/30/2017 9,963 10,036
10/31/2017 9,972 10,044
11/30/2017 9,878 9,976
12/31/2017 9,914 10,053
1/31/2018 9,865 9,969
2/28/2018 9,851 9,933
3/31/2018 9,843 9,957
4/30/2018 9,810 9,925
5/31/2018 9,871 10,022
6/30/2018 9,889 10,034
7/31/2018 9,920 10,067
8/31/2018 9,918 10,078
9/30/2018 9,876 10,028
10/31/2018 9,856 9,978
11/30/2018 9,924 10,080
12/31/2018 9,994 10,188
1/31/2019 10,047 10,270
2/28/2019 10,086 10,317
3/31/2019 10,125 10,440
4/30/2019 10,127 10,468
5/31/2019 10,198 10,608 Past performance is not predictive of
6/30/2019 10,227 10,648 future performance.
7/31/2019 10,279 10,732
8/31/2019 10,308 10,857 The returns shown do not reflect the
9/30/2019 10,274 10,778 deduction of taxes that a shareholder
10/31/2019 10,297 10,796 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL ONE SINCE
TOTAL RETURN YEAR INCEPTION Copyright 2019 S&P Dow Jones Indices
------------------------------------------------------------ LLC, a division of S&P Global. All rights
4.47% 1.30% reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA OREGON MUNICIPAL BOND PORTFOLIO VS.
S&P INTERMEDIATE TERM NATIONAL AMT-FREE MUNICIPAL BOND INDEX
SEPTEMBER 10, 2019-OCTOBER 31, 2019
[CHART]
DFA Oregon Municipal S&P Intermediate Term National Past performance is not predictive of
Bond Portfolio AMT-Free Municipal Bond Index future performance.
---------------------- --------------------------------
9/10/2019 $10,000 $10,000 The returns shown do not reflect the
9/30/2019 10,000 9,974 deduction of taxes that a shareholder
10/31/2019 10,005 9,991 would pay on fund distributions or the
redemption of fund shares.
AVERAGE ANNUAL SINCE
TOTAL RETURN INCEPTION Copyright 2019 S&P Dow Jones Indices
---------------------------------------------------------- LLC, a division of S&P Global. All rights
0.05% reserved.
--------------------------------------------------------------------------------
15
MANAGEMENT'S DISCUSSION AND ANALYSIS
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Bond yields decreased in the U.S. during the 12 months ended October 31,
2019. Long-term yields decreased more than short-term yields did. As a result,
long-term bonds generally outperformed short-term bonds for the period. Bond
yields also generally decreased in Germany, Italy, Japan, Spain, and the U.K.,
resulting in outperformance of longer-term bonds in these markets as well.
Long-term bonds generally outperformed short-term bonds in global developed
fixed income markets for the 12-month period ended October 31, 2019. For
example, the FTSE World Government Bond Index 1-3 Years (hedged to USD)
returned 4.10%, while the FTSE World Government Bond Index 20+ Years (hedged to
USD) returned 24.96%. Within the U.S., the Bloomberg Barclays U.S. Treasury
Bond Index 1-3 Years returned 4.62%, while the Bloomberg Barclays U.S. Treasury
Bond Index 20+ Years returned 28.19%.
OCTOBER 31, 2018 OCTOBER 31, 2019 CHANGE
---------------- ---------------- ------
One-Month Treasury Bill (yield)......... 2.20% 1.59% -0.61%
Ten-Year U.S. Treasury Notes (yield).... 3.15% 1.69% -1.46%
Source: Bloomberg
Many of Dimensional's fixed income strategies use a variable maturity
approach that identifies a maturity range with higher expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer higher expected returns. When the yield curve is upwardly sloped,
portfolio maturities may be lengthened to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the short-term Portfolios employing a variable maturity approach
generally reduced their durations, reflecting the relatively flat to inverted
short-term segments of eligible yield curves. The intermediate-term Portfolios
employing a variable maturity approach generally continued to maintain a
duration near the longer end of their eligible range, reflecting the upward
slope of the term structure from the intermediate to longer end of eligible
yield curves.
Some of Dimensional's fixed income strategies use a variable credit approach
that varies exposure to lower-quality securities. When credit spreads are
narrow, higher-quality securities are emphasized. When credit spreads are wide,
additional credit exposure may be taken in order to position a Portfolio to
seek higher expected returns by capturing high expected credit premiums. Credit
spreads remained narrow during the 12 months ended October 31, 2019. Many of
the portfolios employing a variable credit approach held less than their
maximum allowable weight in credit.
DFA ONE-YEAR FIXED INCOME PORTFOLIO
The DFA One-Year Fixed Income Portfolio is designed to achieve a stable real
return in excess of the rate of inflation by generally investing in
high-quality fixed income securities and maintaining a weighted average
portfolio maturity of one year or less. The investment strategy uses a variable
maturity approach and shifts maturities based on changes in the yield curve.
The strategy uses current yields and identifies favorable maturity ranges of
expected returns based on potential buy and sell strategies. Maturity targets
are shifted based on Dimensional's expectations for term premiums. The weighted
average maturity of the Portfolio decreased to 55 days as of October 31, 2019,
from 333 days as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 2.90% for the
Portfolio, 2.71% for the ICE BofAML U.S. 6-Month Treasury Bill Index, and 3.28%
for the ICE BofAML 1-Year U.S. Treasury Note Index, the Portfolio's benchmarks.
The U.S. Treasury yield curve was inverted along the Portfolio's eligible
maturity range, producing lower yields at the longer end of the eligible
maturity range and reducing expected capital appreciation opportunities during
the period. As a result, the Portfolio's weighted average maturity was
shortened during the period. Interest rates decreased across the eligible
maturity range and realized term premiums were positive for the period. As
such, the Portfolio's exposure to securities with maturities greater than one
year contributed positively to performance relative to the ICE BofAML U.S.
6-Month Treasury Bill Index. Conversely, the Portfolio's shorter weighted
average maturity detracted from performance relative to the ICE BofAML 1-Year
U.S. Treasury Note Index.
16
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Two-Year Global Fixed Income Portfolio is designed to maximize
risk-adjusted total returns consistent with the preservation of capital by
investing in U.S. and foreign government securities, high-quality corporate
securities, and global fixed income instruments maturing in three years or less
(under normal circumstances, the Portfolio will invest at least 80% of its net
assets in fixed income securities that mature within two years). The currency
exposure associated with non-U.S. dollar-denominated securities within the
Portfolio is generally hedged back to the U.S. dollar. The investment strategy
uses a variable maturity approach and shifts maturities and country allocations
based on changes in the eligible yield curves. The strategy uses current yields
and identifies favorable maturity ranges of expected returns based on potential
buy and sell strategies for each eligible country. Maturity targets and country
allocations are shifted based on Dimensional's expectations for term premiums.
The weighted average maturity of the Portfolio decreased to 208 days as of
October 31, 2019, from 1.50 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 3.42% for the
Portfolio and 3.49% for the FTSE World Government Bond Index, 1-2 Years,
Currency-Hedged in USD terms, the Portfolio's benchmark. During the period,
yield curves in global developed markets generally flattened, indicating
smaller expected term premiums. As a result, the Portfolio's weighted average
maturity was decreased. Realized term premiums, however, were generally
positive in global developed markets for the period. As such, the Portfolio's
allocation to securities with maturities shorter than one year detracted from
performance relative to the benchmark. Conversely, the Portfolio's lack of
exposure to Japanese yen-denominated securities contributed positively to
relative performance.
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
The DFA Selectively Hedged Global Fixed Income Portfolio is designed to
maximize total returns by investing in U.S. and foreign government securities,
investment grade corporate securities, and global fixed income instruments. The
Portfolio primarily invests in securities that mature within five years and
maintains a weighted average portfolio maturity and duration of three years or
less. The Portfolio hedges foreign currency exposure on a selective basis to
capture higher interest rates that may be offered in foreign yield curves. The
investment strategy uses both variable maturity and variable credit approaches
and shifts maturities and country allocations based on changes in the eligible
yield curves for each country. Using current yield curves, the strategy
identifies the countries and maturity ranges offering favorable expected
returns. Maturity targets and country allocations are shifted as expected
return premiums change. The Portfolio may emphasize investment grade
obligations rated in the lower half of the investment grade spectrum or may
deemphasize these securities when Dimensional believes the expected credit
premium for holding such bonds is relatively low. The weighted average maturity
of the Portfolio decreased to 1.72 years as of October 31, 2019, from 2.80
years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 5.29% for the
Portfolio and 3.10% for the FTSE World Government Bond Index 1-3 Years
(unhedged) in USD terms, the Portfolio's benchmark. During the period, yield
curves in global developed markets generally flattened, indicating smaller
expected term premiums. As a result, the Portfolio's weighted average maturity
was decreased. Realized term premiums, however, were generally positive in
global developed markets for the period. Credit spreads remained relatively
unchanged during the period and realized credit premiums were also generally
positive. The U.S. dollar generally appreciated relative to foreign currencies
during the period. As a result, the Portfolio's exposure to U.S.
dollar-denominated securities and lack of exposure to unhedged euro-denominated
securities contributed positively to performance relative to the benchmark. The
Portfolio's allocation to corporate securities also contributed positively to
performance relative to the benchmark.
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
The DFA Five-Year Global Fixed Income Portfolio is designed to provide a
market rate of return by investing in U.S. and foreign government securities,
high-quality corporate fixed income securities, and currency-hedged global
fixed income instruments maturing in five years or less. The currency exposure
associated with non-U.S. dollar-denominated securities within the Portfolio is
generally hedged back to the U.S. dollar. The investment strategy uses a
variable maturity approach and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges of expected returns based on potential buy
and sell strategies for each eligible country. Maturity targets and country
allocations are shifted based on Dimensional's expectations for term premiums.
The weighted average maturity of the Portfolio decreased to 2.03 years as of
October 31, 2019, from 3.83 years as of October 31, 2018.
17
For the 12 months ended October 31, 2019, total returns were 4.88% for the
Portfolio and 5.19% for the FTSE World Government Bond Index, 1-5 Years,
Currency-Hedged in USD terms, the Portfolio's benchmark. During the period,
yield curves in global developed markets generally flattened, indicating
smaller expected term premiums. As a result, the Portfolio's weighted average
maturity was decreased. Realized term premiums, however, were generally
positive in global developed markets for the period. The Portfolio's
underweight to U.S. dollar-denominated securities in the four- to five-year
maturity range detracted from performance relative to the benchmark.
Additionally, the Portfolio's lack of exposure to certain lower-quality
government securities in countries such as Italy, which are included in the
benchmark, also detracted from relative performance. Conversely, the
Portfolio's underweight to Japanese yen-denominated securities and overweight
to Canadian dollar-denominated securities contributed positively to performance
relative to the benchmark.
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
The DFA World ex U.S. Government Fixed Income Portfolio is designed to
maximize total returns by investing in high-quality debt securities issued
primarily by non-U.S. government issuers and supranational organizations and
their agencies. The currency exposure associated with non-U.S.
dollar-denominated securities within the Portfolio is generally hedged back to
the U.S. dollar. The Portfolio primarily invests in securities that mature
within 15 years and generally maintains a weighted average duration of no more
than a quarter of a year greater than, and no less than one year below, the
weighted average duration of the Portfolio's benchmark. The weighted average
duration of the Portfolio increased to 9.76 years as of October 31, 2019, from
8.71 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 11.92% for the
Portfolio and 11.42% for the FTSE Non-USD World Government Bond Index,
Currency-Hedged in USD terms, the Portfolio's benchmark. The Portfolio's
underweight to securities denominated in Japanese yen and overweight to
intermediate-term securities denominated in the British pound, Canadian dollar,
euro, and Swedish krona contributed positively to performance relative to the
benchmark.
DFA SHORT-TERM GOVERNMENT PORTFOLIO
The DFA Short-Term Government Portfolio is designed to maximize
risk-adjusted total returns by investing in U.S. government and U.S. government
agency securities maturing in five years or less. The investment strategy uses
a variable maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges of expected returns based on potential buy and sell strategies. Maturity
targets are shifted based on Dimensional's expectations for term premiums. The
weighted average maturity of the Portfolio decreased to 11 days as of
October 31, 2019, from 2.67 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 3.75% for the
Portfolio and 5.79% for the ICE BofAML 1-5 Year U.S. Treasury and Agency Index,
the Portfolio's benchmark. The U.S. Treasury yield curve was inverted along the
Portfolio's eligible maturity range, producing lower yields at the longer end
of the eligible maturity range and reducing expected capital appreciation
opportunities during the period. As a result, the Portfolio's weighted average
maturity was shortened during the period. Interest rates decreased across the
eligible maturity range and realized term premiums were positive for the
period. As a result, the Portfolio's underweight to securities in the two- to
five-year maturity range and exposure to securities with maturities shorter
than one year detracted from performance relative to the benchmark.
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
The DFA Intermediate Government Fixed Income Portfolio is designed to
provide current income consistent with the preservation of capital from
investing generally in U.S. Treasury and government agency issues with
maturities of between five and 15 years. The weighted average duration of the
Portfolio increased to 6.44 years as of October 31, 2019, from 6.00 years as of
October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 11.81% for the
Portfolio and 10.99% for the Bloomberg Barclays U.S. Government Bond Index, the
Portfolio's benchmark. Interest rates generally decreased during the period and
realized term premiums were positive. The Portfolio's emphasis on the
intermediate segment of the yield curve contributed positively to performance
relative to the benchmark, as the intermediate segment outperformed the
combination of the long and short ends of the yield curve.
18
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
The DFA Short-Term Extended Quality Portfolio is designed to maximize total
returns by investing in U.S. and foreign corporate debt securities with an
investment grade credit rating. The Portfolio uses both variable maturity and
variable credit approaches and generally emphasizes investment grade
obligations rated in the lower half of the investment grade spectrum except
when Dimensional believes the expected credit premium is relatively low. The
Portfolio primarily invests in securities that mature within five years and
maintains a weighted average portfolio maturity and duration of three years or
less. The currency exposure associated with non-U.S. dollar-denominated
securities within the Portfolio is generally hedged back to the U.S. dollar.
The weighted average maturity of the Portfolio decreased to 1.32 years as of
October 31, 2019, from 2.62 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 5.11% for the
Portfolio and 6.35% for the ICE BofAML 1-5 Year U.S. Corporate & Government
Index, the Portfolio's benchmark. During the period, yield curves in global
developed markets generally flattened, indicating smaller expected term
premiums. As a result, the Portfolio's weighted average maturity was decreased.
Realized term premiums, however, were generally positive in global developed
markets for the period. Credit spreads were little changed during the period
and realized credit premiums were also generally positive. The Portfolio's
underweight to securities in the four- to five-year maturity range and
overweight to securities with maturities shorter than one year detracted from
performance relative to the benchmark.
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
The DFA Intermediate-Term Extended Quality Portfolio is designed to maximize
total returns by investing in U.S. and foreign corporate debt securities with
an investment grade credit rating. The Portfolio uses a variable credit
approach and generally emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when Dimensional believes
the expected credit premium is relatively low. The Portfolio primarily invests
in securities that mature within 15 years and generally maintains a weighted
average duration of no more than a quarter of a year greater than, and no less
than one year below, the weighted average duration of the Portfolio's
benchmark. The currency exposure associated with non-U.S. dollar-denominated
securities within the Portfolio is generally hedged back to the U.S. dollar.
The weighted average duration of the Portfolio was relatively unchanged at 6.79
years as of October 31, 2019, compared to 6.71 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 15.27% for the
Portfolio and 14.88% for the Bloomberg Barclays U.S. Credit Bond Index, the
Portfolio's benchmark. Although the U.S. yield curve flattened during the
period, it was still upwardly sloped in the intermediate and longer end,
indicating positive expected term premiums for intermediate-term strategies.
Realized term premiums were positive during the period. Credit spreads were
little changed during the period and realized credit premiums were also
positive. The Portfolio's underweight to securities in the one- to five-year
maturity range and overweight to securities in the intermediate segment of the
yield curve contributed positively to performance relative to the benchmark.
The Portfolio's underweight to government-related securities also contributed
positively to relative performance.
DFA TARGETED CREDIT PORTFOLIO
The DFA Targeted Credit Portfolio seeks to maximize total returns by
investing in U.S. and foreign corporate debt securities rated in the lower half
of the investment grade spectrum as well as BB-rated securities that mature
within five years. The currency exposure associated with non-U.S.
dollar-denominated securities within the Portfolio is generally hedged back to
the U.S. dollar. The investment strategy uses both variable maturity and
variable credit approaches and shifts maturities and country allocations based
on changes in the eligible yield curves. The strategy uses current yields and
identifies favorable maturity ranges of expected returns based on potential buy
and sell strategies for each eligible country. Maturity targets and country
allocations are shifted based on Dimensional's expectations for term premiums.
While the Portfolio targets debt securities rated single-A, BBB, and BB, it may
vary its exposure to credit within this range. The weighted average maturity of
the Portfolio decreased to 2.25 years as of October 31, 2019, from 3.22 years
as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 6.51% for the
Portfolio and 6.63% for the Bloomberg Barclays Global Aggregate Credit Index
1-5 Years (hedged to USD), the Portfolio's benchmark. During the period, yield
curves in global developed markets generally flattened, indicating smaller
expected term premiums. As a result, the Portfolio's weighted average maturity
was decreased. Realized term premiums, however, were generally positive in
global developed markets for the period. Credit spreads remained relatively
unchanged during
19
the period and realized credit premiums were also generally positive. The
Portfolio's underweight to securities in the four- to five-year maturity range
and allocation to securities with maturities shorter than one year detracted
from performance relative to the benchmark. Conversely, the Portfolio's
underweight to government-related securities contributed positively to relative
performance.
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
The DFA Global Core Plus Fixed Income Portfolio is designed to maximize
total returns by investing in a universe of U.S. and foreign fixed income
securities using a variable credit approach. The Portfolio emphasizes
investment grade obligations rated in the lower half of the investment grade
spectrum, as well as BB-rated securities, except when Dimensional believes the
expected credit premium is relatively low. The Portfolio primarily invests in
securities that mature within 15 years and generally maintains a weighted
average duration of no more than half a year greater than, and no less than one
year below, the weighted average duration of the Portfolio's benchmark. The
currency exposure associated with non-U.S. dollar-denominated securities within
the Portfolio is generally hedged back to the U.S. dollar. The weighted average
duration of the Portfolio increased to 7.21 years as of October 31, 2019, from
7.10 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 12.33% for the
Portfolio and 10.67% for the Bloomberg Barclays Global Aggregate Bond Index
(hedged to USD), the Portfolio's benchmark. Although global developed yield
curves generally flattened during the period, they were still upwardly sloped
in the intermediate and longer end, indicating positive expected term premiums
for intermediate-term strategies. Realized term premiums were positive during
the period. Credit spreads remained relatively unchanged during the period and
realized credit premiums were also positive. The Portfolio's underweight to
securities in the one- to six-year maturity range and overweight to
intermediate-term securities contributed positively to performance relative to
the benchmark. The Portfolio's overweight to corporate securities and
allocation to BB-rated securities also contributed positively to relative
performance.
DFA INVESTMENT GRADE PORTFOLIO
The DFA Investment Grade Portfolio is designed to maximize total returns
through exposure to a broad portfolio of investment grade debt securities of
U.S. and non-U.S. corporate and government issuers using a variable credit
approach. The Portfolio emphasizes investment grade obligations rated in the
lower half of the investment grade spectrum, except when Dimensional believes
the expected credit premium is relatively low. The Portfolio primarily invests
in securities that mature within 15 years and generally maintains a weighted
average duration of no more than a quarter of a year greater than, and no less
than one year below, the weighted average duration of the Portfolio's
benchmark. The currency exposure associated with non-U.S. dollar-denominated
securities within the Portfolio is generally hedged back to the U.S. dollar.
The weighted average duration of the Portfolio decreased to 5.67 years as of
October 31, 2019, from 5.81 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 12.60% for the
Portfolio and 11.51% for the Bloomberg Barclays U.S. Aggregate Bond Index, the
Portfolio's benchmark. Although the U.S. yield curve flattened during the
period, it was still upwardly sloped in the intermediate and longer end,
indicating positive expected term premiums for intermediate-term strategies.
Realized term premiums were positive during the period. Credit spreads were
little changed during the period and realized credit premiums were also
positive. The Portfolio's underweight to securities in the one- to five-year
maturity range and overweight to securities in the intermediate segment of the
yield curve contributed positively to performance relative to the benchmark.
The Portfolio's overweight to corporate securities also contributed positively
to relative performance.
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
The DFA Diversified Fixed Income Portfolio is designed to provide a market
rate of return for a fixed income portfolio with low relative volatility by
investing directly or through other funds managed by Dimensional ("Underlying
Funds") in a universe of U.S. and foreign debt securities, including
inflation-protected securities. The Underlying Funds may include the DFA
Two-Year Global Fixed Income Portfolio and DFA Intermediate Government Fixed
Income Portfolio and/or other Underlying Funds. Generally, the Portfolio or the
Underlying Funds will purchase debt securities that mature within 20 years. The
average maturity of the Portfolio decreased to 4.61 years as of October 31,
2019, from 4.71 years as of October 31, 2018.
20
For the 12 months ended October 31, 2019, total returns were 7.97% for the
Portfolio and 7.79% for the Bloomberg Barclays U.S. Intermediate Government
Bond Index, the Portfolio's benchmark. The Portfolio's exposure to government
securities in the 10- to 15-year maturity range contributed positively to
performance relative to the benchmark, as realized term premiums were positive.
DFA LTIP PORTFOLIO
The DFA LTIP Portfolio seeks to provide total return composed of income and
capital appreciation consistent with inflation protected long-term instruments.
The Portfolio generally invests in inflation-protected securities issued by the
U.S. government and its agencies and instrumentalities with maturities longer
than 10 years. The weighted average duration of the Portfolio increased to
24.74 years as of October 31, 2019, from 24.33 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 22.69% for the
Portfolio and 21.40% for the FTSE U.S. Inflation-Linked Securities Index, 20+
Years, the Portfolio's benchmark. The Portfolio's longer duration contributed
positively to performance relative to the benchmark, as realized term premiums
were positive in the U.S. treasury inflation-protected securities market.
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
The DFA Inflation-Protected Securities Portfolio is designed to provide
inflation protection and current income by investing in inflation-protected
securities (TIPS) issued by the U.S. government and its agencies and
instrumentalities with maturities of between five and 20 years. The weighted
average duration of the Portfolio increased to 7.73 years as of October 31,
2019, from 7.61 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 9.16% for the
Portfolio and 8.96% for the Bloomberg Barclays U.S. TIPS Index, the Portfolio's
benchmark. Real interest rates generally decreased during the period and
realized real term premiums were positive. The Portfolio's emphasis on the
intermediate segment of the real yield curve contributed positively to
performance relative to the benchmark, as the intermediate segment outperformed
the combination of the long and short ends of the real yield curve.
DFA SHORT-DURATION REAL RETURN PORTFOLIO
The DFA Short-Duration Real Return Portfolio is designed to seek inflation
protection and maximize total returns. The strategy pursues its investment
objective by using both variable maturity and variable credit approaches and
investing in a combination of investment grade debt securities,
inflation-protected securities that mature within five years, and derivative
instruments such as inflation swaps. The Portfolio maintains a weighted average
portfolio duration of three years or less. The weighted average duration of the
Portfolio decreased to 1.76 years as of October 31, 2019, from 2.86 years as of
October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 4.16% for the
Portfolio and 4.44% for the Bloomberg Barclays U.S. TIPS 1-5 Years Index, the
Portfolio's benchmark. During the period, yield curves in global developed
markets generally flattened, indicating smaller expected term premiums. As a
result, the Portfolio's weighted average duration was decreased. Realized term
premiums, however, were generally positive in global developed markets for the
period. Credit spreads remained relatively unchanged during the period and
realized credit premiums were also generally positive. The Portfolio's
underweight to securities in the four- to five-year maturity range and
overweight to securities with maturities shorter than one year detracted from
performance relative to the benchmark. Conversely, the Portfolio's allocation
to corporate securities contributed positively to relative performance.
DFA MUNICIPAL REAL RETURN PORTFOLIO
The DFA Municipal Real Return Portfolio seeks to provide inflation
protection and current income that is exempt from federal personal income taxes
by investing in a universe of investment grade municipal securities, including
inflation-protected municipal securities, and in derivative instruments to
provide inflation protection. The Portfolio maintains an average portfolio
duration of five years or less. The average duration of the Portfolio decreased
to 4.19 years as of October 31, 2019, from 4.81 years as of October 31, 2018.
21
For the 12 months ended October 31, 2019, total returns were 4.56% for the
Portfolio and 8.19% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. During the period, municipal yield
curves and the real yield curve were relatively flat, indicating smaller
expected term premiums. As a result, the Portfolio's duration was decreased.
Realized term premiums were, however, positive during the period. As such, the
Portfolio's overweight to shorter-term municipal securities and lack of
exposure to municipal securities with maturities longer than 10 years detracted
from performance relative to the benchmark. The Portfolio's focus on
higher-quality municipal securities also detracted from relative performance,
as lower-quality municipal securities generally outperformed higher-quality
municipal securities. The Portfolio's zero-coupon inflation swaps, designed for
protection from unexpected inflation, detracted from relative performance as
breakeven inflation rates decreased over the period. The benchmark is a nominal
interest rate benchmark that does not contain an inflation-protection component.
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
The DFA California Municipal Real Return Portfolio seeks to provide
inflation protection and current income that is exempt from both federal
personal income taxes and California state personal income taxes by investing
primarily in a universe of municipal securities issued by or on behalf of
California state or local governments and their agencies, instrumentalities,
and regional governmental authorities. The Portfolio also invests in derivative
instruments to provide inflation protection. The Portfolio maintains an average
portfolio duration of five years or less. The average duration of the Portfolio
decreased to 4.01 years as of October 31, 2019, from 4.45 years as of
October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 3.73% for the
Portfolio and 7.56% for the S&P Intermediate Term California AMT-Free Municipal
Bond Index, the Portfolio's benchmark. During the period, the California
municipal yield curve and the real yield curve were relatively flat, indicating
smaller expected term premiums. As a result, the Portfolio's duration was
decreased. Realized term premiums were, however, positive during the period. As
such, the Portfolio's overweight to shorter-term municipal securities and lack
of exposure to municipal securities with maturities longer than 10 years
detracted from performance relative to the benchmark. The Portfolio's
zero-coupon inflation swaps, designed for protection from unexpected inflation,
detracted from relative performance as breakeven inflation rates decreased over
the period. The benchmark is a nominal interest rate benchmark that does not
contain an inflation-protection component.
DFA MUNICIPAL BOND PORTFOLIO
The DFA Municipal Bond Portfolio is designed to provide current income
exempt from federal personal income tax by investing in a universe of
investment grade municipal securities. The investment strategy uses a variable
maturity approach. The Portfolio will maintain a weighted average duration of
more than three years but less than five years. The weighted average duration
of the Portfolio was relatively unchanged at 3.24 years as of October 31, 2019,
compared to 3.22 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 5.28% for the
Portfolio and 8.19% for S&P Intermediate Term National AMT-Free Municipal Bond
Index, the Portfolio's benchmark. During the period, municipal yield curves
were relatively flat, indicating smaller expected term premiums. As a result,
the Portfolio was focused on the shorter end of its eligible duration range.
Realized term premiums were, however, positive during the period. As such, the
Portfolio's overweight to shorter-term municipal securities and lack of
exposure to municipal securities with maturities longer than 10 years detracted
from performance relative to the benchmark. The Portfolio's focus on
higher-quality municipal securities also detracted from relative performance,
as lower-quality municipal securities generally outperformed higher-quality
municipal securities.
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA Short-Term Municipal Bond Portfolio seeks to provide current income
exempt from federal personal income tax by investing in high-quality municipal
securities. The investment strategy uses a variable maturity approach. The
weighted average maturity of the Portfolio generally will not exceed three
years. The weighted average maturity of the Portfolio decreased to 0.76 years
as of October 31, 2019, from 1.08 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 2.03% for the
Portfolio and 3.43% for the ICE BofAML 1-3 Year U.S. Municipal Securities
Index, the Portfolio's benchmark. During the period, municipal yield curves
were relatively flat, indicating smaller expected term premiums. As a result,
the Portfolio was focused on the
22
shorter end of its eligible duration range. Realized term premiums were,
however, positive during the period. The Portfolio's overweight to shorter-term
municipal securities detracted from performance relative to the benchmark. The
Portfolio's focus on higher-quality municipal securities also detracted from
relative performance, as lower-quality municipal securities generally
outperformed higher-quality municipal securities.
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA Intermediate-Term Municipal Bond Portfolio is designed to provide
current income exempt from federal personal income tax by investing in
high-quality municipal securities. The Portfolio will generally maintain a
weighted average duration of no more than half a year greater than, and no less
than one year below, the weighted average duration of the Portfolio's
benchmark. The weighted average duration of the Portfolio was relatively
unchanged at 3.69 years as of October 31, 2019, compared to 3.64 years as of
October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 6.17% for the
Portfolio and 8.19% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index, the Portfolio's benchmark. During the period, municipal yield
curves were relatively flat, indicating smaller expected term premiums. As a
result, the Portfolio maintained a shorter weighted average duration than its
benchmark. Realized term premiums were, however, positive during the period.
The Portfolio's overweight to securities in the zero- to seven-year maturity
range and underweight to securities with maturities greater than 10 years
detracted from performance relative to the benchmark. The Portfolio's focus on
higher-quality municipal securities also detracted from relative performance,
as lower-quality municipal securities generally outperformed higher-quality
municipal securities.
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Short-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The investment strategy uses a variable maturity approach. The
weighted average maturity of the Portfolio generally will not exceed three
years. The weighted average maturity of the Portfolio decreased to 1.16 years
as of October 31, 2019, from 1.24 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 1.88% for the
Portfolio and 3.04% for the ICE BofAML 1-3 Year California including Puerto
Rico Municipal Securities Index, the Portfolio's benchmark. During the period,
the California municipal yield curve was relatively flat, indicating smaller
expected term premiums. As a result, the Portfolio was focused on the shorter
end of its eligible average maturity range. Realized term premiums were,
however, positive during the period. The Portfolio's allocation to securities
with maturities shorter than one year and underweight to securities in the two-
to three-year maturity range detracted from performance relative to the
benchmark.
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
The DFA California Intermediate-Term Municipal Bond Portfolio is designed to
provide current income that is exempt from both federal personal income taxes
and California state personal income taxes by investing primarily in a universe
of municipal securities issued by or on behalf of California state or local
governments and their agencies, instrumentalities, and regional governmental
authorities. The Portfolio will generally maintain a weighted average duration
of no more than half a year greater than, and no less than one year below, the
weighted average duration of the Portfolio's benchmark. The weighted average
duration of the Portfolio increased to 3.65 years as of October 31, 2019, from
3.49 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 5.30% for the
Portfolio and 7.56% for the S&P Intermediate Term California AMT-Free Municipal
Bond Index, the Portfolio's benchmark. During the period, the California
municipal yield curve was relatively flat, indicating smaller expected term
premiums. As a result, the Portfolio maintained a shorter weighted average
duration than its benchmark. Realized term premiums were, however, positive
during the period. The Portfolio's overweight to securities in the zero- to
six-year maturity range and underweight to securities with maturities greater
than 10 years detracted from performance relative to the benchmark. The
Portfolio's focus on higher-quality municipal securities also detracted from
relative performance, as lower-quality municipal securities generally
outperformed higher-quality municipal securities.
23
DFA NY MUNICIPAL BOND PORTFOLIO
The DFA NY Municipal Bond Portfolio seeks to provide current income that is
exempt from both federal personal income taxes and New York state personal
income taxes by investing primarily in a universe of municipal securities
issued by or on behalf of New York state or local governments and their
agencies, instrumentalities, and regional governmental authorities. The
investment strategy uses a variable maturity approach. The Portfolio maintains
an average portfolio duration of five years or less. The average duration of
the Portfolio decreased to 1.49 years as of October 31, 2019, from 1.73 years
as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 2.92% for the
Portfolio and 8.08% for the S&P Intermediate Term New York AMT-Free Municipal
Bond Index, the Portfolio's benchmark. During the period, the New York
municipal yield curve was relatively flat, indicating smaller expected term
premiums. As a result, the Portfolio's duration was decreased. Realized term
premiums were, however, positive during the period. As such, the Portfolio's
overweight to shorter-term municipal securities and lack of exposure to
municipal securities with maturities longer than seven years detracted from
performance relative to the benchmark.
DFA MN MUNICIPAL BOND PORTFOLIO
The DFA MN Municipal Bond Portfolio seeks to provide current income that is
exempt from federal personal income taxes and Minnesota state personal income
taxes by investing primarily in a universe of municipal securities issued by or
on behalf of Minnesota state or local governments and their agencies,
instrumentalities, and regional governmental authorities. The investment
strategy uses a variable maturity approach. The average duration of the
Portfolio decreased to 2.11 years as of October 31, 2019, from 2.90 years as of
October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 4.47% for the
Portfolio and 8.19% for the S&P Intermediate Term National AMT-Free Municipal
Bond Index. During the period, the Minnesota municipal yield curve was
relatively flat, indicating smaller expected term premiums. As a result, the
Portfolio's duration was decreased. Realized term premiums were, however,
positive during the period. As such, the Portfolio's overweight to shorter-
term municipal securities and lack of exposure to municipal securities with
maturities longer than eight years detracted from performance relative to the
benchmark. Additionally, the Portfolio's focus on Minnesota securities
detracted from performance relative to the S&P Intermediate-Term National
AMT-Free Municipal Bond Index, as the national municipal bond market
outperformed the Minnesota bond market.
DFA OREGON MUNICIPAL BOND PORTFOLIO
The DFA Oregon Municipal Bond Portfolio seeks to provide current income that
is exempt from federal personal income taxes and Oregon state personal income
taxes by investing primarily in a universe of municipal securities issued by or
on behalf of Oregon state or local governments and their agencies,
instrumentalities, and regional governmental authorities. The average duration
of the Portfolio was 3.76 years as of October 31, 2019.
From its inception on September 10, 2019, through October 31, 2019, total
returns were 0.05% for the Portfolio and -0.09% for the S&P Intermediate Term
National AMT-Free Municipal Bond Index. During the period, the Oregon municipal
yield curve was relatively flat, indicating smaller expected term premiums. As
a result, the Portfolio's duration was positioned towards the lower end of its
eligible range. Realized term premiums were negative during the period of
September 10, 2019 to October 31, 2019. As such, the Portfolio's overweight to
shorter-term municipal securities and lack of exposure to municipal securities
with maturities longer than 10 years contributed positively to performance
relative to the benchmark.
24
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)
--------- --------- ---------- ----------
DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------
Actual Fund Return......................... $1,000.00 $1,012.20 0.18% $0.91
Hypothetical 5% Annual Return.............. $1,000.00 $1,024.30 0.18% $0.92
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------
Actual Fund Return......................... $1,000.00 $1,013.30 0.18% $0.91
Hypothetical 5% Annual Return.............. $1,000.00 $1,024.30 0.18% $0.92
25
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)
--------- --------- ---------- ----------
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
----------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,021.90 0.18% $0.92
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.30 0.18% $0.92
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return................................... $1,000.00 $1,019.50 0.29% $1.48
Hypothetical 5% Annual Return........................ $1,000.00 $1,023.74 0.29% $1.48
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,061.60 0.20% $1.04
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.20 0.20% $1.02
DFA SHORT-TERM GOVERNMENT PORTFOLIO
-----------------------------------
Actual Fund Return................................... $1,000.00 $1,011.20 0.20% $1.01
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.20 0.20% $1.02
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
--------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,059.10 0.13% $0.67
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.55 0.13% $0.66
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------
Actual Fund Return................................... $1,000.00 $1,020.70 0.22% $1.12
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.10 0.22% $1.12
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
------------------------------------------------
Actual Fund Return................................... $1,000.00 $1,074.00 0.22% $1.15
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.10 0.22% $1.12
DFA TARGETED CREDIT PORTFOLIO
-----------------------------
Actual Fund Return................................... $1,000.00 $1,026.40 0.20% $1.02
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.20 0.20% $1.02
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
-------------------------------------------
Actual Fund Return................................... $1,000.00 $1,058.30 0.30% $1.56
Hypothetical 5% Annual Return........................ $1,000.00 $1,023.69 0.30% $1.53
DFA INVESTMENT GRADE PORTFOLIO
------------------------------
Actual Fund Return................................... $1,000.00 $1,060.50 0.22% $1.14
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.10 0.22% $1.12
DFA DIVERSIFIED FIXED INCOME PORTFOLIO (2)
------------------------------------------
Actual Fund Return................................... $1,000.00 $1,037.80 0.15% $0.77
Hypothetical 5% Annual Return........................ $1,000.00 $1,024.45 0.15% $0.77
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)
--------- --------- ---------- ----------
DFA LTIP PORTFOLIO
------------------
Actual Fund Return........................................ $1,000.00 $1,116.80 0.15% $0.80
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.45 0.15% $0.77
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
--------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,037.40 0.12% $0.62
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.60 0.12% $0.61
DFA SHORT-DURATION REAL RETURN PORTFOLIO
----------------------------------------
Actual Fund Return........................................ $1,000.00 $1,016.20 0.24% $1.22
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.00 0.24% $1.22
DFA MUNICIPAL REAL RETURN PORTFOLIO
-----------------------------------
Actual Fund Return........................................ $1,000.00 $1,008.00 0.24% $1.21
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.00 0.24% $1.22
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
----------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,007.50 0.30% $1.52
Hypothetical 5% Annual Return............................. $1,000.00 $1,023.69 0.30% $1.53
DFA MUNICIPAL BOND PORTFOLIO
----------------------------
Actual Fund Return........................................ $1,000.00 $1,020.30 0.23% $1.17
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.05 0.23% $1.17
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------
Actual Fund Return........................................ $1,000.00 $1,008.00 0.23% $1.16
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.05 0.23% $1.17
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,022.50 0.23% $1.17
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.05 0.23% $1.17
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
--------------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,007.60 0.24% $1.21
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.00 0.24% $1.22
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------------
Actual Fund Return........................................ $1,000.00 $1,021.60 0.23% $1.17
Hypothetical 5% Annual Return............................. $1,000.00 $1,024.05 0.23% $1.17
DFA NY MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return........................................ $1,000.00 $1,011.50 0.25% $1.27
Hypothetical 5% Annual Return............................. $1,000.00 $1,023.95 0.25% $1.28
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)
--------- --------- ---------- ----------
DFA MN MUNICIPAL BOND PORTFOLIO
-------------------------------
Actual Fund Return...................... $1,000.00 $1,016.80 0.32% $1.63
Hypothetical 5% Annual Return........... $1,000.00 $1,023.59 0.32% $1.63
DFA OREGON MUNICIPAL BOND PORTFOLIO (3)
---------------------------------------
Actual Fund Return...................... $1,000.00 $1,000.50 0.32% $1.61
Hypothetical 5% Annual Return........... $1,000.00 $1,006.67 0.32% $0.46
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
(2)DFA Diversified Fixed Income Portfolio invests directly and indirectly
through other funds. The expenses shown reflect the direct expenses of the
Portfolio and the Portfolio's portion of the expenses of its Underlying
Funds (Affiliated Investment Companies).
(3)DFA Oregon Municipal Bond Portfolio commenced operations on September 10,
2019. Expenses are equal to the fund's annualized expense ratio for the
period, multiplied by the average account value over the period, multiplied
by the number of days since inception (51), then divided by the number of
days in the year (365) to reflect the period. "The Ending Account Value" is
derived from the fund's share class actual return since inception. The
"Hypothetical 5% Annual Return" information reflects the 184 day period for
the period ended October 31, 2019 to allow for comparability.
28
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.
PORTFOLIO HOLDINGS
The SEC requires that all funds present their categories of portfolio
holdings in a table, chart, or graph format in their annual and semi-annual
shareholder reports, whether or not a Schedule of Investments is used. The
following tables, which present portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
FIXED INCOME PORTFOLIOS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Corporate................................................... 12.2%
Government.................................................. 28.4%
Foreign Corporate........................................... 27.7%
Foreign Government.......................................... 26.5%
Supranational............................................... 5.2%
-----
100.0%
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate................................................... 10.1%
Government.................................................. 17.3%
Foreign Corporate........................................... 28.1%
Foreign Government.......................................... 34.6%
Supranational............................................... 9.9%
-----
100.0%
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Corporate................................................... 33.7%
Government.................................................. 16.8%
Foreign Corporate........................................... 32.9%
Foreign Government.......................................... 13.1%
Supranational............................................... 3.5%
-----
100.0%
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Corporate................................................... 5.8%
Government.................................................. 11.4%
Foreign Corporate........................................... 28.9%
Foreign Government.......................................... 43.4%
Supranational............................................... 10.5%
-----
100.0%
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
Foreign Government.......................................... 78.4%
Supranational............................................... 21.6%
-----
100.0%
DFA SHORT-TERM GOVERNMENT PORTFOLIO
Government.................................................. 100.0%
-----
100.0%
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
Government.................................................. 100.0%
-----
100.0%
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Corporate................................................... 34.2%
Government.................................................. 17.6%
Foreign Corporate........................................... 32.2%
Foreign Government.......................................... 14.4%
Supranational............................................... 1.6%
-----
100.0%
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Corporate................................................... 76.5%
Government.................................................. 3.8%
Foreign Corporate........................................... 19.5%
Foreign Government.......................................... 0.1%
Supranational............................................... 0.1%
-----
100.0%
DFA TARGETED CREDIT PORTFOLIO
Corporate................................................... 57.1%
Government.................................................. 1.4%
Foreign Corporate........................................... 39.7%
Foreign Government.......................................... 1.5%
Supranational............................................... 0.3%
-----
100.0%
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
Corporate................................................... 49.6%
Government.................................................. 0.6%
Foreign Corporate........................................... 27.1%
Foreign Government.......................................... 13.9%
Supranational............................................... 8.8%
-----
100.0%
DFA INVESTMENT GRADE PORTFOLIO
Corporate................................................... 43.1%
Government.................................................. 43.7%
Foreign Corporate........................................... 11.4%
Foreign Government.......................................... 1.8%
-----
100.0%
29
DISCLOSURE OF PORTFOLIO HOLDINGS
CONTINUED
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
Government.................................................. 19.9%
Affiliated Investment Companies............................. 80.1%
-----
100.0%
DFA LTIP PORTFOLIO
Government.................................................. 100.0%
-----
100.0%
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
Government.................................................. 100.0%
-----
100.0%
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Corporate................................................... 44.1%
Government.................................................. 14.0%
Foreign Corporate........................................... 28.6%
Foreign Government.......................................... 10.2%
Supranational............................................... 3.1%
-----
100.0%
DFA MUNICIPAL REAL RETURN PORTFOLIO
Muni G.O. Local............................................. 54.7%
Muni G.O. State............................................. 23.5%
Muni Revenue................................................ 21.3%
Muni Pre-Refunded........................................... 0.5%
-----
100.0%
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
Muni G.O. Local............................................. 35.5%
Muni G.O. State............................................. 19.7%
Muni Revenue................................................ 27.7%
Muni Pre-Refunded........................................... 17.1%
-----
100.0%
DFA MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 56.0%
Muni G.O. State............................................. 26.2%
Muni Revenue................................................ 15.3%
Muni Pre-Refunded........................................... 2.5%
-----
100.0%
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 52.5%
Muni G.O. State............................................. 24.8%
Muni Revenue................................................ 18.2%
Muni Pre-Refunded........................................... 4.5%
-----
100.0%
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 49.9%
Muni G.O. State............................................. 31.8%
Muni Revenue................................................ 17.5%
Muni Pre-Refunded........................................... 0.8%
-----
100.0%
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 49.4%
Muni G.O. State............................................. 17.7%
Muni Revenue................................................ 20.8%
Muni Pre-Refunded........................................... 12.1%
-----
100.0%
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 42.0%
Muni G.O. State............................................. 20.3%
Muni Insured................................................ 0.1%
Muni Revenue................................................ 25.9%
Muni Pre-Refunded........................................... 11.7%
-----
100.0%
DFA NY MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 64.5%
Muni G.O. State............................................. 3.7%
Muni Insured................................................ 1.2%
Muni Revenue................................................ 29.7%
Muni Pre-Refunded........................................... 0.9%
-----
100.0%
DFA MN MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 66.9%
Muni G.O. State............................................. 16.7%
Muni Revenue................................................ 13.4%
Muni Pre-Refunded........................................... 3.0%
-----
100.0%
DFA OREGON MUNICIPAL BOND PORTFOLIO
Muni G.O. Local............................................. 33.4%
Muni G.O. State............................................. 4.8%
Muni Insured................................................ 14.5%
Muni Revenue................................................ 30.6%
Muni Pre-Refunded........................................... 16.7%
-----
100.0%
30
DFA ONE-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
AGENCY OBLIGATIONS -- (9.9%)
Federal Farm Credit Bank, Floating Rate Note, 1M USD LIBOR + 0.015%, FRN
(r) 1.904%, 03/17/21................................................. 50,000 $ 49,942,228
Federal Farm Credit Bank, Floating Rate Note, 1M USD LIBOR + 0.045%, FRN
(r) 1.936%, 04/16/21................................................. 112,000 111,898,984
Federal Home Loan Bank
1.008%, 11/04/19................................................. 190,000 189,973,400
1.375%, 11/15/19................................................. 7,500 7,499,261
1.577%, 11/19/19................................................. 311,000 310,738,760
1.579%, 12/06/19................................................. 75,000 74,878,229
------------
TOTAL AGENCY OBLIGATIONS.................................................. 744,930,862
------------
BONDS -- (39.0%)
African Development Bank
1.875%, 03/16/20................................................. 26,600 26,596,542
Agence Francaise de Developpement
1.625%, 01/21/20................................................. 30,930 30,906,369
Agence Francaise de Developpement, Floating Rate Note, 3M USD LIBOR +
0.080%, FRN
(r) 2.239%, 03/23/20................................................. 30,000 29,999,882
Apple, Inc.
# 1.800%, 11/13/19................................................. 55,641 55,642,348
Apple, Inc., 3M USD LIBOR + 0.250%, FRN
#(r) 2.434%, 02/07/20................................................. 55,000 55,034,189
Australia & New Zealand Banking Group, Ltd.
(Omega) 2.250%, 12/19/19................................................. 60,000 60,028,677
Bank of Montreal
2.100%, 06/15/20................................................. 25,905 25,948,244
Bank of Montreal, 3M USD LIBOR + 0.440%, FRN
(r) 2.558%, 06/15/20................................................. 32,065 32,139,711
Bank of Montreal, 3M USD LIBOR + 0.460%, FRN
(r) 2.461%, 04/13/21................................................. 16,178 16,247,242
Bank of Montreal , 3M USD LIBOR + 0.340%, FRN
(r) 2.341%, 07/13/20................................................. 13,691 13,709,967
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Bank of Nova Scotia (The)
# 2.350%, 10/21/20................................................. 11,846 $11,902,771
Bank of Nova Scotia (The), 3M USD LIBOR + 0.290%, FRN
(r) 2.317%, 01/08/21................................................. 39,053 39,123,967
Bank of Nova Scotia (The), 3M USD LIBOR + 0.440%, FRN
(r) 2.406%, 04/20/21................................................. 6,000 6,019,331
Bank of Nova Scotia (The), 3M USD LIBOR + 0.620%, FRN
#(r) 2.747%,12/05/19.................................................. 34,000 34,026,456
BNG Bank NV
1.625%, 11/25/19................................................. 17,750 17,745,030
(Omega) 2.500%, 02/28/20................................................. 26,000 26,042,276
2.500%, 02/28/20................................................. 49,108 49,187,850
BNG Bank NV, 3M USD LIBOR + 0.100%, FRN
(r)(Omega) 2.101%,07/14/20.................................................. 15,000 15,009,059
Caisse d'Amortissement de la Dette Sociale
1.875%, 01/13/20................................................. 57,100 57,090,978
2.000%, 04/17/20................................................. 10,150 10,153,999
Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.310%, FRN
(r) 2.353%, 10/05/20................................................. 3,735 3,743,478
Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.315%, FRN
(r) 2.581%, 02/02/21................................................. 21,180 21,219,607
Chevron Corp.
1.991%, 03/03/20................................................. 9,500 9,503,911
Chevron Corp., Floating Rate Note, 3M USD LIBOR + 0.410%, FRN
#(r) 2.568%, 11/15/19................................................. 7,450 7,451,579
Cisco Systems, Inc.
4.450%, 01/15/20................................................. 8,329 8,372,394
Commonwealth Bank of Australia, Floating Rate Note, 3M USD LIBOR + 0.640%,
FRN
(r) 2.849%, 11/07/19................................................. 4,819 4,819,389
Cooperatieve Rabobank UA
2.250%, 01/14/20................................................. 14,470 14,478,827
# 4.750%, 01/15/20................................................. 9,332 9,383,156
(Omega) 4.750%, 01/15/20................................................. 6,750 6,787,002
31
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
Council Of Europe Development Bank
# 1.750%, 11/14/19................................................. 4,280 $ 4,279,829
1.875%, 01/27/20................................................. 29,349 29,347,533
1.625%, 03/10/20................................................. 26,465 26,443,024
CPPIB Capital, Inc., 3M USD LIBOR + 0.010%, FRN
(r)(Omega) 2.110%, 12/27/19................................................. 50,000 50,020,000
CPPIB Capital, Inc., Floating Rate Note, 3M USD LIBOR + 0.030%, FRN
(r)(Omega) 2.031%, 10/16/20................................................. 50,000 50,000,384
Dexia Credit Local SA
1.875%, 01/29/20................................................. 16,900 16,898,611
Equinor ASA
# 2.250%, 11/08/19................................................. 27,060 27,059,801
Erste Abwicklungsanstalt
2.500%, 03/13/20................................................. 15,200 15,232,194
EUROFIMA
1.750%, 05/29/20................................................. 14,900 14,882,120
European Bank for Reconstruction & Development
1.750%, 11/26/19................................................. 21,051 21,048,421
European Investment Bank
# 1.250%, 12/16/19................................................. 18,000 17,984,880
1.625%, 03/16/20................................................. 53,690 53,655,638
1.750%, 05/15/20................................................. 7,800 7,798,341
Export Development Canada
#(Omega) 2.300%, 02/10/20................................................. 85,250 85,336,145
FMS Wertmanagement
1.750%, 01/24/20................................................. 29,500 29,490,855
2.250%, 02/03/20................................................. 22,400 22,416,128
1.750%, 03/17/20................................................. 6,500 6,498,310
IBRD Discount Notes
1.346%, 11/04/19................................................. 102,000 101,985,720
Inter-American Development Bank, 3M USD LIBOR + 0.220%, FRN
(r) 2.221%,10/15/20.................................................. 10,700 10,721,186
Kommunalbanken A.S.
1.625%, 01/15/20................................................. 32,140 32,120,459
#(Omega) 2.500%, 04/17/20................................................. 7,028 7,046,484
2.500%, 04/17/20................................................. 25,396 25,462,537
Kommunalbanken A.S., 3M USD LIBOR + 0.040%, FRN
(r)(Omega) 2.172%, 03/12/21................................................. 5,000 4,998,895
Kommunalbanken A.S., 3M USD LIBOR + 0.330%, FRN
#(r)(Omega) 2.448%, 06/16/20................................................. 8,000 8,016,240
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Kommunalbanken A.S., Floating Rate Note, 3M USD LIBOR + 0.040%, FRN
(r) 2.172%, 03/12/21................................................. 66,522 $66,507,299
Kommunalbanken A.S., Floating Rate Note, 3M USD LIBOR + 0.330%, FRN
(r) 2.448%, 06/16/20................................................. 27,500 27,555,825
Kommunekredit
1.625%, 06/12/20................................................. 44,913 44,831,707
Kommuninvest I Sverige AB
2.000%, 11/12/19................................................. 17,950 17,950,718
1.750%, 03/19/20................................................. 38,544 38,525,422
Kreditanstalt fuer Wiederaufbau
4.000%, 01/27/20................................................. 4,100 4,120,377
1.500%, 04/20/20................................................. 39,500 39,443,851
Municipality Finance P.L.C.
1.500%, 03/23/20................................................. 6,167 6,156,824
Municipality Finance P.L.C., Floating Rate Note, 3M USD LIBOR + 0.170%, FRN
(r) 2.379%, 02/07/20................................................. 54,600 54,619,656
Municipality Finance P.L.C., Floating Rate Note, 3M USD LIBOR + 0.500%, FRN
(r) 2.174%, 02/17/21................................................. 27,200 27,201,088
Municipality Finance PLC, 3M USD LIBOR + 0.010%, FRN
(r)(Omega) 1.946%, 10/26/20................................................. 88,000 87,972,886
National Australia Bank, Ltd.
2.250%, 01/10/20................................................. 8,700 8,705,870
National Australia Bank, Ltd., Floating Rate Note, 3M USD LIBOR + 0.590%, FRN
(r)(Omega) 2.599%, 01/10/20................................................. 16,080 16,098,185
Nederlandse Waterschapsbank NV
1.625%, 03/04/20................................................. 15,750 15,734,344
Nestle Holdings, Inc.
2.125%, 01/14/20................................................. 13,703 13,705,987
Nordic Investment Bank
2.500%, 04/28/20................................................. 29,650 29,735,095
Novartis Capital Corp.
# 1.800%, 02/14/20................................................. 6,551 6,549,773
32
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NRW Bank, 3M USD LIBOR + 0.040%, FRN
(r) 2.227%,02/08/21.................................................. 30,200 $30,180,974
NRW. Bank, Floating Rate Note, 3M USD LIBOR + 0.060%, FRN
(r) 2.187%,03/05/21.................................................. 25,000 25,000,500
Oesterreichische Kontrollbank AG
1.750%, 01/24/20................................................. 56,352 56,344,111
1.375%, 02/10/20................................................. 56,482 56,411,769
Oesterreichische Kontrollbank AG, Floating Rate Note, 3M USD LIBOR +
0.010%, FRN
(r) 2.129%,09/15/20.................................................. 16,800 16,763,495
Province of Alberta Canada
1.900%, 12/06/19................................................. 70,200 70,184,556
Province of Ontario Canada
# 4.400%,04/14/20.................................................. 44,499 44,997,294
# 1.875%,05/21/20.................................................. 18,000 17,993,862
Royal Bank of Canada
# 2.125%,03/02/20.................................................. 76,155 76,212,626
# 2.150%,03/06/20.................................................. 54,939 54,983,856
2.150%, 10/26/20................................................. 22,453 22,522,453
Royal Bank of Canada, 3M USD LIBOR + 0.240%, FRN
(r) 2.176%,10/26/20.................................................. 3,340 3,347,667
Royal Bank of Canada, 3M USD LIBOR + 0.300%, FRN
(r) 2.253%,07/22/20.................................................. 12,800 12,829,371
Royal Bank of Canada, 3M USD LIBOR + 0.390%, FRN
(r) 2.325%,04/30/21.................................................. 16,700 16,759,502
Shell International Finance BV
# 4.375%,03/25/20.................................................. 3,110 3,139,243
2.125%, 05/11/20................................................. 39,156 39,222,626
Shell International Finance BV, 3M USD LIBOR + 0.450%, FRN
(r) 2.631%,05/11/20.................................................. 20,912 20,958,871
State of North Rhine-Westphalia Germany
1.625%, 01/22/20................................................. 55,400 55,359,115
Svensk Exportkredit AB, Floating Rate Note, 3M USD LIBOR + 0.030%, FRN
(r) 2.186%,12/20/19.................................................. 10,000 10,004,200
FACE
AMOUNT^ VALUE+
------- -----------
(000)
Toronto-Dominion Bank (The)
3.000%, 06/11/20................................................. 8,761 $ 8,821,745
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.240%, FRN
#(r) 2.180%, 01/25/21................................................. 23,000 23,019,852
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.260%, FRN
(r) 2.399%,09/17/20.................................................. 16,800 16,829,736
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.280%, FRN
#(r) 2.418% 06/11/20.................................................. 13,000 13,022,262
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.430%, FRN
(r) 2.568%,06/11/21.................................................. 18,350 18,414,592
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.560%, FRN
(r) 2.799%,11/05/19.................................................. 13,842 13,842,309
Toronto-Dominion Bank (The), Floating Rate Note, 3M USD LIBOR + 0.930%,
FRN
(r) 3.048%,12/14/20.................................................. 20,000 20,182,509
Toyota Motor Credit Corp.
# 2.200%,01/10/20.................................................. 20,831 20,843,082
2.150%, 03/12/20................................................. 14,891 14,905,774
Toyota Motor Credit Corp., 3M USD LIBOR + 0.100%, FRN
#(r) 2.110%, 01/10/20................................................. 16,000 16,002,478
Toyota Motor Credit Corp., 3M USD LIBOR + 0.150%, FRN
(r) 2.162%,10/09/20.................................................. 34,177 34,209,092
Toyota Motor Credit Corp., 3M USD LIBOR + 0.170%, FRN
(r) 2.315%,09/18/20.................................................. 82,712 82,804,034
Toyota Motor Credit Corp., 3M USD LIBOR + 0.260%, FRN
(r) 2.262%,04/17/20.................................................. 30,000 30,031,775
Toyota Motor Credit Corp., 3M USD LIBOR + 0.280%, FRN
(r) 2.281%,04/13/21.................................................. 3,327 3,332,094
33
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.150%,
FRN
(r) 2.301%, 08/21/20................................................. 5,500 $ 5,507,767
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.540%,
FRN
(r) 2.567%, 01/08/21................................................. 19,750 19,839,448
Toyota Motor Finance Netherlands BV, 3M USD LIBOR + 0.250%, FRN
(r) 2.382%, 12/12/19................................................. 3,000 3,001,530
Walmart, Inc.
# 2.850%, 06/23/20................................................. 37,314 37,580,451
Walmart, Inc., 3M USD LIBOR + 0.230%, FRN
(r) 2.389%, 06/23/21................................................. 4,105 4,118,288
Walmart, Inc., Floating Rate Note, 3M USD LIBOR + 0.040%, FRN
(r) 2.199%, 06/23/20................................................. 48,850 48,858,771
--------------
TOTAL BONDS........................................................... 2,940,856,553
--------------
U.S. TREASURY OBLIGATIONS -- (7.8%)
U.S. Treasury Bills
0.000%, 11/26/19................................................. 10,000 9,989,242
# 1.419%, 12/10/19................................................. 100,000 99,838,385
1.441%, 12/17/19................................................. 100,000 99,807,034
U.S. Treasury Notes, 3M Treasury money market yield + 0.220%, FRN
(r) 1.857%, 07/31/21................................................. 85,000 84,987,036
U.S. Treasury Notes, 3M USTMMR + 0.139%, FRN
(r) 1.776%, 04/30/21................................................. 295,500 295,120,483
--------------
TOTAL U.S. TREASURY OBLIGATIONS....................................... 589,742,180
--------------
CERTIFICATES OF DEPOSIT -- (5.8%)
Bank of Montreal, Floating Rate Note, 3M USD LIBOR + 0.190%, FRN
(r) 2.302%, 03/06/20................................................. 88,000 88,050,151
Bank of Nova Scotia (The), Floating Rate Note, 3M USD LIBOR + 0.050%,
FRN
(r) 2.182%, 02/27/20................................................. 75,000 75,016,219
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
Bank of Nova Scotia (The), Floating Rate Note, 3M USD LIBOR + 0.190%, FRN
(r) 2.329%, 03/11/20................................................. 34,450 $ 34,470,433
Bank of Nova Scotia (The), Floating Rate Note, 3M USD LIBOR + 0.280%, FRN
(r) 2.439%, 09/21/20................................................. 17,700 17,724,746
Canadian Imperial Bank of Commerce, Floating Rate Note, 1M USD LIBOR +
0.170%, FRN
(r) 2.148%, 05/08/20................................................. 49,000 48,985,334
(r) 2.084%, 05/15/20................................................. 20,000 19,993,212
Canadian Imperial Bank of Commerce, Floating Rate Note, 1M USD LIBOR +
0.180%, FRN
(r) 2.170%, 04/06/20................................................. 25,000 24,999,695
Oversea-Chinese Banking Corp., Ltd., Floating Rate Note, 1M USD LIBOR +
0.080%, FRN
(r)(Omega) 1.926%, 12/20/19................................................. 100,000 100,000,000
Svenska Handelsbanken AB, Floating Rate Note, 3M USD LIBOR + 0.220%, FRN
(r) 2.173%, 01/22/20................................................. 23,200 23,212,603
--------------
TOTAL CERTIFICATES OF DEPOSIT................................................ 432,452,393
--------------
TOTAL INVESTMENT SECURITIES
(Cost $4,703,374,002)...................................................... 4,707,981,988
--------------
COMMERCIAL PAPER -- (34.7%)
3M Co.
(Omega) 1.858%, 11/01/19................................................. 54,000 53,997,653
1.878%, 11/01/19................................................. 1,471 1,470,936
(Omega) 1.755%, 11/13/19................................................. 66,300 66,261,813
(Omega) ASB Finance, Ltd. 2.047%, 12/20/19............................... 36,900 36,813,029
(Omega) BNG Bank NV 1.930%, 11/12/19..................................... 60,000 59,969,160
(Omega) Chevron Corp. 2.014%, 11/22/19................................... 75,000 74,927,263
CPPIB Capital, Inc.
(Omega) 1.854%, 01/22/20................................................. 75,000 74,696,877
34
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
(Omega) 1.990%,11/01/19.............................................. 40,000 $ 39,998,261
DBS Bank, Ltd.
(Omega) 2.090%,01/07/20.............................................. 50,000 49,833,967
(Omega) 1.987%,01/09/20.............................................. 15,000 14,948,667
(Omega) 2.187%,11/18/19.............................................. 6,650 6,644,909
Eli Lilly & Co.
(Omega) 1.868%,11/20/19.............................................. 75,000 74,933,333
(Omega) 1.838%,11/21/19.............................................. 9,300 9,291,320
Erste Abwicklungsanstalt
(Omega) 2.134%,01/24/20.............................................. 19,000 18,921,628
(Omega) 1.776%,11/19/19.............................................. 2,350 2,348,068
(Omega) 1.779%,12/30/19.............................................. 24,000 23,932,800
European Investment Bank 1.809%, 12/17/19.................... 137,000 136,701,302
Exxon Mobil Corp.
1.898%, 11/06/19............................................. 50,000 49,986,883
2.002%, 11/12/19............................................. 88,000 87,954,504
1.847%, 11/21/19............................................. 7,000 6,993,467
1.912%, 12/04/19............................................. 49,000 48,925,632
(Omega) 1.903%,12/17/19.............................................. 25,000 24,946,636
KFW International Finance, Inc.
(Omega) 1.823%,01/28/20.............................................. 100,000 99,559,944
(Omega) 1.731%,01/30/20.............................................. 6,000 5,972,988
Landesbank Hessen-Thuringen
(Omega) 2.039%,01/02/20.............................................. 147,000 146,544,153
(Omega) 2.028%,12/19/19.............................................. 50,000 49,879,814
(Omega) Merck & Co., Inc. 1.869%, 11/12/19........................... 44,000 43,977,091
Nederlandse Waterschapsbank NV
(Omega) 2.077%,12/04/19.............................................. 32,500 32,448,955
(Omega) 2.078%,12/17/19.............................................. 40,000 39,910,752
(Omega) NIKE, Inc. 1.836%, 11/07/19.................................. 22,000 21,993,241
Novartis Finance Corp.
(Omega) 1.952%,12/02/19.............................................. 12,000 11,982,837
1.871%,12/19/19.............................................. 46,150 46,044,345
NRW Bank
(Omega) 1.775%,11/05/19.............................................. 10,000 9,997,719
(Omega) 2.014%,12/02/19.............................................. 25,000 24,961,111
NRW. Bank
(Omega) 1.894%,11/15/19.............................................. 75,000 74,947,500
2.035%, 12/02/19............................................. 50,000 49,922,222
Oesterreichische Kontrollbank AG
2.097%, 11/06/19............................................. 10,000 9,997,370
2.098%, 11/06/19............................................. 30,000 29,992,110
Oversea-Chinese Banking Corp., Ltd.
(Omega) 2.069%,01/06/20.............................................. 25,000 24,905,874
(Omega) 2.124%,01/16/20.............................................. 100,000 99,569,442
FACE
AMOUNT^ VALUE+
---------- --------------
(000)
----------
Pfizer, Inc.
(Omega) 2.072%,01/23/20......................................... 38,000 $ 37,846,252
(Omega) 2.063%,02/04/20......................................... 50,000 49,764,934
(Omega) 1.994%,03/05/20......................................... 20,000 19,875,680
2.087%, 03/05/20........................................ 10,000 9,937,840
(Omega) 2.096%,11/12/19......................................... 75,000 74,960,200
Province of Quebec Canada
(Omega) 1.823%,11/22/19......................................... 75,000 74,926,666
(Omega) 1.869%,01/23/20......................................... 75,000 74,696,550
PSP Capital, Inc.
(Omega) 1.800%,01/02/20......................................... 20,000 19,940,990
(Omega) 1.828%,11/25/19......................................... 60,000 59,935,541
(Omega) Sanofi 1.984%, 12/11/19................................. 100,000 99,813,222
Total Capital Canada, Ltd.
(Omega) 2.008%,01/06/20......................................... 50,000 49,838,362
(Omega) 1.996%,01/08/20......................................... 13,700 13,654,337
(Omega) 1.915%,01/23/20......................................... 100,000 99,590,733
(Omega) Total Fina ELF Cap. 1.775%, 11/07/19.................... 50,000 49,984,055
United Overseas Bank, Ltd.
(Omega) 2.162%,01/07/20......................................... 15,000 14,951,890
(Omega) 2.186%,11/12/19......................................... 24,000 23,987,472
(Omega) 2.158%,11/26/19......................................... 7,500 7,491,409
(Omega) Walmart, Inc.
1.869%, 11/18/19........................................ 50,000 49,960,000
--------------
TOTAL COMMERCIAL PAPER........................................... 2,618,261,709
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market
Fund 1.752%........................................... 29,512,946 29,512,946
--------------
SECURITIES LENDING COLLATERAL -- (1.7%)
@(S) The DFA Short Term Investment Fund...................... 11,436,471 132,331,409
--------------
35
DFA ONE-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------- --------------
(000)
-------
REPURCHASE AGREEMENTS -- (0.7%)
JPMorgan Chase & Co. 1.73% 11/01/2019,
(Purchased on 10/31/19, Proceeds at maturity
$25,001,201, collateralized by U.S. Treasury
Securities, 1.63% - 2.88%, 10/31/26
-08/15/28, Market Value $25,500,006)......... $25,000 $ 25,000,000
RBC Dominion Securities, Inc. 1.72%
11/01/2019, (Purchased on 10/31/19, Proceeds
at maturity $25,001,194, collateralized by
U.S. Treasury Securities, 0.00% -8.75%,
11/21/19 - 06/30/25, Market Value
$25,500,033)................................. 25,000 25,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 50,000,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $7,533,020,702)........................... $7,538,088,052
==============
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
----------- -------------- ------- --------------
Agency Obligations...................... -- $ 744,930,862 -- $ 744,930,862
Bonds................................... -- 2,940,856,553 -- 2,940,856,553
U.S. Treasury Obligations............... -- 589,742,180 -- 589,742,180
Certificates of Deposit................. -- 432,452,393 -- 432,452,393
Commercial Paper........................ -- 2,618,261,709 -- 2,618,261,709
Temporary Cash Investments.............. $29,512,946 -- -- 29,512,946
Securities Lending Collateral........... -- 132,331,409 -- 132,331,409
Repurchase Agreements................... -- 50,000,000 -- 50,000,000
----------- -------------- -- --------------
TOTAL................................... $29,512,946 $7,508,575,106 -- $7,538,088,052
=========== ============== == ==============
See accompanying Notes to Financial Statements.
36
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (79.1%)
AUSTRALIA -- (1.2%)
Australia & New Zealand Banking Group, Ltd.
(Omega) 2.250%, 12/19/19................................................. 12,000 $ 12,005,735
Commonwealth Bank of Australia
(Omega) 2.250%, 03/10/20................................................. 9,000 9,010,486
#(Omega) 2.050%, +09/18/20................................................ 4,250 4,262,440
# 2.400%, 11/02/20................................................. 19,446 19,548,955
National Australia Bank, Ltd.
(Omega) 2.400%, 12/09/19................................................. 2,492 2,493,371
# 2.250%, 01/10/20................................................. 4,300 4,302,902
# 2.625%, 07/23/20................................................. 6,100 6,134,758
2.500%, 01/12/21................................................. 10,000 10,062,300
------------
TOTAL AUSTRALIA............................................................ 67,820,947
------------
AUSTRIA -- (2.3%)
Oesterreichische Kontrollbank AG
1.750%, 01/24/20................................................. 68,158 68,148,458
1.375%, 02/10/20................................................. 55,318 55,249,216
------------
TOTAL AUSTRIA.............................................................. 123,397,674
------------
BELGIUM -- (3.0%)
Dexia Credit Local SA
0.040%, 12/11/19................................................. EUR 13,000 14,503,855
1.875%, 01/29/20................................................. 43,074 43,070,460
0.250%, 03/19/20................................................. EUR 33,800 37,780,063
2.000%, 01/22/21................................................. EUR 10,250 11,766,340
0.200%, 03/16/21................................................. EUR 23,900 26,862,670
0.875%, 09/07/21................................................. GBP 6,000 7,763,781
0.625%, 01/21/22................................................. EUR 7,400 8,427,361
1.125%, 06/15/22................................................. GBP 400 520,796
Kingdom of Belgium Treasury Bill
0.000%, 11/07/19................................................. EUR 12,000 13,384,276
------------
TOTAL BELGIUM.............................................................. 164,079,602
------------
CANADA -- (19.9%)
Bank of Montreal
(r) 2.559%, 06/15/20................................................. 4,530 4,540,555
1.880%, 03/31/21................................................. CAD 68,000 51,549,586
(r) 2.922%, 08/27/21................................................. 10,200 10,311,180
0.250%, 11/17/21................................................. EUR 12,000 13,466,644
(r) 0.087%, 09/28/21................................................. EUR 3,500 3,929,273
(r) 0.067%, 03/14/22................................................. EUR 1,500 1,684,175
Bank of Montreal
(r) 2.341%, 07/13/20................................................. 7,816 7,826,828
FACE
AMOUNT^ VALUE+
------- --------------
(000)
CANADA -- (Continued)
Bank of Nova Scotia (The)
2.130%, 06/15/20................................................................ CAD 58,000 $ 44,112,323
3.270%, 01/11/21................................................................ CAD 131,280 101,166,635
0.375%, 04/06/22................................................................ EUR 2,000 2,252,652
Canada Housing Trust No 1
(Omega) 3.750%, 03/15/20................................................................ CAD 50,000 38,239,314
Canadian Imperial Bank of Commerce
1.850%, 07/14/20................................................................ CAD 40,000 30,364,589
(r) 2.353%, 10/05/20................................................................ 7,000 7,015,890
(r) 2.581%, 02/02/21................................................................ 5,000 5,009,350
1.900%, 04/26/21................................................................ CAD 65,940 50,005,960
CPPIB Capital, Inc.
1.400%, 06/04/20................................................................ CAD 37,500 28,421,817
Manitoba, Province of Canada
0.750%, 12/15/21................................................................ GBP 10,760 13,868,947
Province of Alberta Canada
1.250%, 06/01/20................................................................ CAD 88,500 67,017,702
1.350%, 09/01/21................................................................ CAD 15,000 11,318,161
Province of British Columbia Canada
3.700%, 12/18/20................................................................ CAD 75,500 58,593,755
Province of Ontario Canada
4.200%, 06/02/20................................................................ CAD 137,500 105,889,929
4.000%, 06/02/21................................................................ CAD 28,794 22,649,560
Province of Quebec Canada
4.500%, 12/01/20................................................................ CAD 109,000 85,203,060
4.250%, 12/01/21................................................................ CAD 15,000 11,979,273
Royal Bank of Canada
2.125%, 03/02/20................................................................ 10,000 10,007,567
# 2.150%, 03/06/20................................................................ 7,000 7,005,715
1.920%, 07/17/20................................................................ CAD 78,000 59,239,374
(r) 2.176%, 10/26/20................................................................ 4,500 4,510,330
2.860%, 03/04/21................................................................ CAD 17,000 13,053,770
2.030%, 03/15/21................................................................ CAD 65,000 49,389,340
(r) 2.326%, 04/30/21................................................................ 3,057 3,067,892
Toronto-Dominion Bank (The)
(r) 2.799%, 11/05/19................................................................ 3,000 3,000,067
1.693%, 04/02/20................................................................ CAD 87,000 66,007,312
(r) 2.418%, 06/11/20................................................................ 10,000 10,017,125
2.563%, 06/24/20................................................................ CAD 103,000 78,550,892
0.625%, 03/08/21................................................................ EUR 8,605 9,703,951
--------------
TOTAL CANADA............................................................................. 1,089,970,493
--------------
DENMARK -- (2.3%)
Denmark Government Bond
3.000%, 11/15/21................................................................ DKK 740,000 118,937,093
Kommunekredit
1.625%, 06/12/20................................................................ 7,114 7,101,124
--------------
TOTAL DENMARK............................................................................ 126,038,217
--------------
37
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
FINLAND -- (0.6%)
Municipality Finance P.L.C.
1.500%, 03/23/20................................................. 8,929 $ 8,914,267
(r) 1.946%, 10/26/20................................................. 8,000 7,997,535
(r) 2.174%, 02/17/21................................................. 17,600 17,600,704
------------
TOTAL FINLAND......................................................... 34,512,506
------------
FRANCE -- (7.2%)
Agence Francaise de Developpement
1.625%, 01/21/20................................................. 119,240 119,148,901
2.125%, 02/15/21................................................. EUR 4,600 5,293,114
Agence Francaise de Developpement EPIC Floating Rate Note
(r) 2.284%, 06/19/20................................................. 20,000 20,008,926
(r) 2.222%, 06/07/21................................................. 7,400 7,381,594
Caisse d'Amortissement de la Dette Sociale
1.875%, 01/13/20................................................. 44,200 44,193,016
Caisse des Depots et Consignations Floating Rate Note
(r) 2.175%, 10/02/20................................................. 40,200 40,211,920
France Treasury Bill
0.000%, 11/14/19................................................. EUR 20,000 22,305,994
IXIS Corporate & Investment Bank SA
5.875%, 02/24/20................................................. GBP 4,000 5,258,086
Sanofi
0.000%, 01/13/20................................................. EUR 5,400 6,025,569
0.875%, 09/22/21................................................. EUR 16,300 18,529,156
1.125%, 03/10/22................................................. EUR 1,000 1,148,266
Sanofi Floating Rate Note
(r) 0.000%, 03/21/20................................................. EUR 1,000 1,116,716
SNCF Mobilites
3.625%, 06/03/20................................................. EUR 8,250 9,413,347
SNCF Reseau
6.000%, 10/12/20................................................. EUR 1,000 1,181,785
SNCF Reseau EPIC
5.500%, 12/01/21................................................. GBP 32,992 46,691,343
Total Capital International SA Floating Rate Note
(r) 0.000%, 03/19/20................................................. EUR 700 781,639
2.750%, 06/19/21................................................. 4,327 4,391,505
2.125%, 11/19/21................................................. EUR 14,000 16,362,771
Total Capital SA
4.450%, 06/24/20................................................. 18,250 18,549,005
4.125%, 01/28/21................................................. 3,500 3,596,519
Unedic Asseo
0.125%, 03/05/20................................................. EUR 1,500 1,675,556
------------
TOTAL FRANCE.......................................................... 393,264,728
------------
FACE
AMOUNT^ VALUE+
------- ------------
(000)
GERMANY -- (7.8%)
Deutsche Bahn Finance GMBH
3.500%, 06/10/20................................................. EUR 500 $ 570,130
4.375%, 09/23/21................................................. EUR 5,015 6,077,601
Erste Abwicklungsanstalt Floating Rate Note
(r) 2.312%, 03/09/20................................................. 6,200 6,204,898
Erste Abwicklungsanstalt
2.500%, 03/13/20................................................. 21,200 21,244,902
FMS Wertmanagement
1.125%, 12/13/19................................................. GBP 3,000 3,887,007
1.750%, 01/24/20................................................. 29,450 29,440,871
FMS Wertmanagement Floating Rate Note
(r) 0.991%, 01/14/22................................................. GBP 20,000 25,930,577
Kreditanstalt fuer Wiederaufbau
1.125%, 12/23/19................................................. GBP 2,000 2,591,550
4.000%, 01/27/20................................................. 250 251,243
1.625%, 06/05/20................................................. GBP 16,000 20,816,796
3.500%, 01/22/21................................................. SEK 2,000 215,516
1.375%, 02/01/21................................................. GBP 21,000 27,387,548
5.550%, 06/07/21................................................. GBP 5,000 6,957,637
1.000%, 10/12/21................................................. NOK 80,000 8,584,984
Land Baden-Wuerttemberg Floating Rate Note
(r) 0.343%, 07/19/21................................................. EUR 1,561 1,763,929
Landeskreditbank Baden-Wuerttemberg Foerderbank
(r) 2.220%, 09/27/21................................................. 76,000 76,082,080
Landwirtschaftliche Rentenbank Floating Rate Note
(r) 2.388%, 06/03/21................................................. 6,728 6,749,906
NRW Bank
1.875%, 01/27/20................................................. 23,000 22,995,170
(r) 2.227%, 02/08/21................................................. 19,000 18,988,030
0.000%, 02/01/22................................................. EUR 2,000 2,253,177
NRW. Bank Floating Rate Note
(r) 2.187%, 03/05/21................................................. 24,000 24,000,480
State of North Rhine-Westphalia Germany
1.625%, 01/22/20................................................. 48,650 48,614,096
1.250%, 03/13/20................................................. EUR 1,540 1,727,901
State of North Rhine-Westphalia Germany Floating Rate Note
(r) 0.857%, 10/29/21................................................. GBP 48,000 62,127,112
------------
TOTAL GERMANY......................................................... 425,463,141
------------
38
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
JAPAN -- (3.5%)
Total Capital Canada, Ltd.
1.875%, 07/09/20................................................. EUR 40,000 $ 45,279,293
Toyota Credit Canada, Inc.
2.480%, 11/19/19................................................. CAD 7,500 5,695,012
1.800%, 02/19/20................................................. CAD 5,000 3,794,321
2.200%, 02/25/21................................................. CAD 5,000 3,803,925
Toyota Motor Credit Corp.
# 2.200%, 01/10/20................................................. 36,592 36,613,223
# 2.150%, 03/12/20................................................. 65,658 65,723,141
1.800%, 07/23/20................................................. EUR 1,500 1,697,542
4.250%, 01/11/21................................................. 1,000 1,028,907
1.000%, 03/09/21................................................. EUR 5,899 6,679,432
1.900%, 04/08/21................................................. 1,883 1,887,265
1.000%, 09/10/21................................................. EUR 4,534 5,160,837
Toyota Motor Credit Corp. Floating Rate Note
#(r) 2.567%, 01/08/21................................................. 2,549 2,560,544
Toyota Motor Finance Netherlands BV
0.250%, 01/10/22................................................. EUR 9,662 10,857,934
------------
TOTAL JAPAN................................................................ 190,781,376
------------
NETHERLANDS -- (4.7%)
Bank Nederlandse Gemeenten NV
1.375%, 12/09/19................................................. GBP 4,000 5,183,784
BNG Bank NV
3.875%, 11/04/19................................................. EUR 8,333 9,293,792
1.625%, 11/25/19................................................. 2,800 2,799,216
(Omega) 2.500%, 02/28/20................................................. 17,000 17,027,642
1.750%, 03/24/20................................................. 48,034 48,003,162
5.375%, 06/07/21................................................. GBP 2,000 2,771,511
Cooperatieve Rabobank UA
2.250%, 01/14/20................................................. 17,345 17,355,581
4.750%, 01/15/20................................................. 5,000 5,027,409
#(Omega) 4.750%, 01/15/20................................................. 4,750 4,776,038
# 4.500%, 01/11/21................................................. 2,962 3,053,203
4.125%, 01/12/21................................................. EUR 500 586,369
4.625%, 01/13/21................................................. GBP 850 1,146,627
2.500%, 01/19/21................................................. 12,410 12,503,491
Nederlandse Waterschapsbank NV
1.625%, 03/04/20................................................. 39,199 39,160,036
Shell International Finance BV
2.000%, 12/20/19................................................. GBP 760 985,529
4.375%, 03/25/20................................................. 17,701 17,867,442
2.125%, 05/11/20................................................. 18,815 18,847,015
2.250%, 11/10/20................................................. 19,639 19,707,779
1.625%, 03/24/21................................................. EUR 24,210 27,706,952
1.875%, 05/10/21................................................. 2,909 2,911,848
1.250%, 03/15/22................................................. EUR 257 296,649
------------
TOTAL NETHERLANDS.......................................................... 257,011,075
------------
FACE
AMOUNT^ VALUE+
------- ------------
(000)
NORWAY -- (2.3%)
Equinor ASA
2.250%, 11/08/19................................................................ 46,499 $ 46,498,659
2.000%, 09/10/20................................................................ EUR 16,723 19,008,919
5.625%, 03/11/21................................................................ EUR 9,326 11,217,661
Kommunalbanken A.S.
2.500%, 04/17/20................................................................ 12,734 12,767,363
(r)(Omega) 2.172%, 03/12/21................................................................ 2,600 2,599,425
1.500%, 04/19/22................................................................ NOK 100,000 10,788,101
(r) 2.449%, 06/16/20................................................................ 20,000 20,040,600
(r) 2.041%, 04/15/21................................................................ 5,500 5,497,254
------------
TOTAL NORWAY................................................................................ 128,417,982
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (9.5%)
African Development Bank
1.875%, 03/16/20................................................................ 35,400 35,395,398
Asian Development Bank
1.375%, 06/11/20................................................................ CAD 835 632,612
Council Of Europe Development Bank
1.625%, 03/10/20................................................................ 72,316 72,255,949
EUROFIMA
4.000%, 10/27/21................................................................ EUR 6,950 8,432,117
(r) 2.248%, 11/15/21................................................................ 11,000 10,997,140
EUROFIMA Floating Rate Note
(r) 2.238%, 03/11/22................................................................ 5,285 5,280,719
European Financial Stability Facility
0.125%, 11/04/19................................................................ EUR 742 827,552
European Investment Bank Floating Rate Note
(r) 0.000%, 01/15/20................................................................ EUR 1,000 1,116,404
(r) 1.015%, 02/17/20................................................................ GBP 15,000 19,444,049
1.250%, 11/05/20................................................................ CAD 85,000 64,198,330
(r)(Omega) 2.245%, 03/24/21................................................................ 9,000 9,017,209
1.000%, 05/25/21................................................................ NOK 47,220 5,114,218
(Omega) 2.250%, 07/30/21................................................................ CAD 15,000 11,495,141
2.250%, 07/30/21................................................................ CAD 10,000 7,663,427
4.250%, 12/07/21................................................................ GBP 4,674 6,488,499
(r) 0.991%, 01/10/22................................................................ GBP 13,947 18,096,781
1.500%, 05/12/22................................................................ NOK 225,000 24,394,339
European Stability Mechanism
0.000%, 11/07/19................................................................ EUR 76,500 85,330,929
0.000%, 12/05/19................................................................ EUR 30,000 33,474,413
0.000%, 01/23/20................................................................ EUR 10,000 11,165,681
European Stability Mechanism Treasury Bill
0.000%, 11/21/19................................................................ EUR 12,500 13,945,119
Inter-American Development Bank
(r) 1.940%, 10/09/20................................................................ 15,000 14,993,550
39
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Inter-American Investment Corp.
(r) 2.076%, 10/12/21................................................. 47,500 $ 47,503,800
International Bank for Reconstruction & Development
1.125%, 03/11/20................................................. CAD 12,255 9,281,085
Nordic Investment Bank
1.375%, 07/15/20................................................. NOK 47,640 5,166,701
------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.......................... 521,711,162
------------
SWEDEN -- (3.7%)
Kommuninvest I Sverige AB
0.750%, 02/16/20................................................. SEK 20,000 2,075,851
1.750%, 03/19/20................................................. 57,760 57,732,160
2.500%, 12/01/20................................................. SEK 506,380 53,817,143
1.000%, 09/15/21................................................. SEK 430,000 45,310,534
Svensk Export Credit AB
(r) 2.169%, 12/14/20................................................. 28,929 28,929,190
Svensk Exportkredit AB
(r) 2.247%, 12/13/21................................................. 12,000 12,016,770
Svenska Handelsbanken AB
# 1.950%, 09/08/20................................................. 2,500 2,501,509
3.000%, 11/20/20................................................. GBP 1,000 1,321,371
------------
TOTAL SWEDEN.......................................................... 203,704,528
------------
SWITZERLAND -- (1.5%)
Nestle Finance International, Ltd.
1.250%, 05/04/20................................................. EUR 788 885,528
0.750%, 11/08/21................................................. EUR 1,356 1,541,390
Nestle Holdings, Inc.
2.125%, 01/14/20................................................. 9,572 9,574,087
1.750%, 12/09/20................................................. GBP 2,400 3,135,746
Novartis Capital Corp.
# 1.800%, 02/14/20................................................. 7,805 7,803,538
# 4.400%, 04/24/20................................................. 470 475,605
Novartis Finance SA
0.000%, 03/31/21................................................. EUR 50,532 56,591,083
0.750%, 11/09/21................................................. EUR 2,500 2,845,994
------------
TOTAL SWITZERLAND..................................................... 82,852,971
------------
UNITED KINGDOM -- (2.6%)
United Kingdom Treasury Bill
0.000%, 11/04/19................................................. GBP 41,300 53,497,964
0.000%, 11/11/19................................................. GBP 40,000 51,806,376
0.000%, 11/18/19................................................. GBP 30,000 38,849,059
------------
TOTAL UNITED KINGDOM.................................................. 144,153,399
------------
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (7.0%)
3M Co.
1.875%, 11/15/21................................................. EUR 300 $ 348,492
Apple, Inc.
1.550%, 02/07/20................................................. 7,500 7,488,614
# 1.900%, 02/07/20................................................. 11,408 11,409,637
#(r) 2.435%, 02/07/20................................................. 15,000 15,009,324
#(r) 3.278%, 02/23/21................................................. 800 810,586
Berkshire Hathaway, Inc.
0.250%, 01/17/21................................................. EUR 1,074 1,203,026
Chevron Corp.
2.193%, 11/15/19................................................. 31,566 31,569,788
# 1.991%, 03/03/20................................................. 19,589 19,597,064
#(r) 2.688%, 11/15/21................................................. 6,000 6,048,113
Cisco Systems, Inc.
4.450%, 01/15/20................................................. 30,642 30,801,645
Johnson & Johnson
0.250%, 01/20/22................................................. EUR 30,363 34,244,474
Merck & Co., Inc.
1.850%, 02/10/20................................................. 18,426 18,426,548
1.125%, 10/15/21................................................. EUR 46,986 53,614,201
Microsoft Corp.
# 1.850%, 02/06/20................................................. 12,000 12,002,931
2.125%, 12/06/21................................................. EUR 10,406 12,129,114
Oracle Corp.
2.250%, 01/10/21................................................. EUR 25,525 29,315,347
2.250%, 01/10/21................................................. EUR 22,330 25,645,904
1.900%, 09/15/21................................................. 760 761,625
Pfizer, Inc.
0.250%, 03/06/22................................................. EUR 2,857 3,217,421
Procter & Gamble Co. (The)
4.125%, 12/07/20................................................. EUR 9,791 11,439,466
2.000%, 11/05/21................................................. EUR 16,974 19,794,128
Walmart, Inc.
# 2.850%, 06/23/20................................................. 14,644 14,748,570
(r) 2.389%, 06/23/21................................................. 25,925 26,008,919
--------------
TOTAL UNITED STATES.................................................... 385,634,937
--------------
TOTAL BONDS............................................................ 4,338,814,738
--------------
U.S. TREASURY OBLIGATIONS -- (16.4%)
U.S. Treasury Notes
(r) 1.752%, 01/31/21................................................. 97,000 96,890,611
(r) 1.776%, 04/30/21................................................. 398,500 397,988,199
(r) 1.857%, 07/31/21................................................. 405,000 404,938,229
--------------
TOTAL U.S. TREASURY OBLIGATIONS........................................ 899,817,039
--------------
40
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
AGENCY OBLIGATIONS -- (0.1%)
Federal Farm Credit Bank
(r) 1.940%, 08/09/21................................................. 8,000 $ 7,982,089
--------------
TOTAL INVESTMENT SECURITIES (Cost $5,257,844,011)............................ 5,246,613,866
--------------
COMMERCIAL PAPER -- (4.2%)
(Omega) Erste Abwicklungsanstalt 1.866%, 02/19/20........................ 25,000 24,861,636
(Omega) KFW International Finance, Inc. 1.823%, 01/28/20................. 50,000 49,779,972
(Omega) NRW Bank 1.775%, 11/05/19........................................ 8,000 7,998,176
(r)(Omega) Oversea-Chinese Banking Corp., Ltd. 2.035%, 05/15/20............. 50,000 50,000,000
FACE
AMOUNT^ VALUE+
------- --------------
(000)
(Omega) Pfizer, Inc. 2.096%, 11/12/19.................................... 50,000 $ 49,973,466
(Omega) Total Fina Elf Cap 1.846%, 11/05/19.............................. 50,000 49,988,541
--------------
TOTAL COMMERCIAL PAPER.................................................... 232,601,791
--------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.2%)
@(S) The DFA Short Term Investment Fund............................... 714,069 8,262,498
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,498,703,985)................................................. $5,487,478,155
==============
As of October 31, 2019, DFA Two-Year Global Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ----------------------------- ---------- --------------
EUR 13,009,156 USD 14,527,014 State Street Bank and Trust 01/14/20 $ 55,645
GBP 7,573,651 USD 9,540,491 State Street Bank and Trust 12/30/19 289,285
USD 54,722,790 NOK 500,432,682 Goldman Sachs International 11/05/19 304,716
USD 134,378,873 CAD 176,735,833 State Street Bank and Trust 01/13/20 136,786
USD 78,591,407 CAD 102,872,104 State Street Bank and Trust 01/22/20 451,842
USD 121,417,902 CAD 158,449,682 National Australia Bank Ltd. 01/28/20 1,061,022
-----------
TOTAL APPRECIATION $ 2,299,296
CAD 174,873,710 USD 132,903,391 State Street Bank and Trust 11/04/19 $ (130,748)
USD 132,083,193 CAD 174,873,710 JP Morgan 11/04/19 (689,450)
USD 59,019,694 GBP 45,927,707 JP Morgan 11/15/19 (493,039)
USD 118,162,904 DKK 803,604,946 State Street Bank and Trust 12/30/19 (2,340,208)
USD 133,302,528 GBP 107,982,281 State Street Bank and Trust 12/30/19 (6,846,742)
USD 123,197,182 CAD 163,737,432 UBS AG 01/02/20 (1,168,548)
USD 116,938,143 GBP 94,372,423 Citibank, N.A. 01/03/20 (5,566,358)
USD 126,968,387 CAD 169,128,685 State Street Bank and Trust 01/03/20 (1,492,539)
USD 131,950,624 CAD 175,453,689 State Street Bank and Trust 01/07/20 (1,315,696)
USD 501,982 EUR 450,781 JP Morgan 01/08/20 (3,136)
USD 3,469,713 EUR 3,126,373 State Street Bank and Trust 01/08/20 (33,507)
USD 117,472,817 CAD 156,363,814 Citibank, N.A. 01/08/20 (1,294,019)
USD 121,747,799 EUR 110,046,291 State Street Bank and Trust 01/08/20 (1,563,259)
USD 121,478,703 CAD 161,486,414 JP Morgan 01/09/20 (1,179,318)
USD 132,814,328 EUR 120,199,401 Bank of America Corp. 01/09/20 (1,881,995)
USD 124,270,910 CAD 165,316,100 Bank of America Corp. 01/10/20 (1,296,271)
USD 134,631,197 EUR 121,249,715 JP Morgan 01/10/20 (1,250,508)
USD 5,112,472 SEK 49,741,055 JP Morgan 01/14/20 (60,980)
USD 95,772,231 SEK 936,230,392 HSBC Bank 01/14/20 (1,602,916)
41
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ----------------------------- ---------- --------------
USD 142,056,129 EUR 128,259,417 National Australia Bank Ltd. 01/14/20 $ (1,716,707)
USD 137,159,782 EUR 123,627,314 State Street Bank and Trust 01/15/20 (1,429,243)
USD 116,184,513 GBP 89,955,601 State Street Bank and Trust 01/22/20 (647,994)
USD 126,117,578 EUR 112,897,748 State Street Bank and Trust 01/24/20 (513,777)
------------
TOTAL (DEPRECIATION) $(34,516,958)
------------
TOTAL APPRECIATION
(DEPRECIATION) $(32,217,662)
============
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
------- -------------- ------- --------------
Bonds
Australia................................................ -- $ 67,820,947 -- $ 67,820,947
Austria.................................................. -- 123,397,674 -- 123,397,674
Belgium.................................................. -- 164,079,602 -- 164,079,602
Canada................................................... -- 1,089,970,493 -- 1,089,970,493
Denmark.................................................. -- 126,038,217 -- 126,038,217
Finland.................................................. -- 34,512,506 -- 34,512,506
France................................................... -- 393,264,728 -- 393,264,728
Germany.................................................. -- 425,463,141 -- 425,463,141
Japan.................................................... -- 190,781,376 -- 190,781,376
Netherlands.............................................. -- 257,011,075 -- 257,011,075
Norway................................................... -- 128,417,982 -- 128,417,982
Supranational Organization Obligations................... -- 521,711,162 -- 521,711,162
Sweden................................................... -- 203,704,528 -- 203,704,528
Switzerland.............................................. -- 82,852,971 -- 82,852,971
United Kingdom........................................... -- 144,153,399 -- 144,153,399
United States............................................ -- 385,634,937 -- 385,634,937
Agency Obligations.......................................... -- 7,982,089 -- 7,982,089
U.S. Treasury Obligations................................... -- 899,817,039 -- 899,817,039
Commercial Paper............................................ -- 232,601,791 -- 232,601,791
Securities Lending Collateral............................... -- 8,262,498 -- 8,262,498
Forward Currency Contracts**................................ -- (32,217,662) -- (32,217,662)
-- -------------- -- --------------
TOTAL....................................................... -- $5,455,260,493 -- $5,455,260,493
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
42
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (81.7%)
AUSTRALIA -- (3.0%)
ASB Finance, Ltd.
0.500%, 06/10/22.............................. EUR 2,000 $ 2,265,352
Australia & New Zealand Banking Group Ltd.
(r) 2.584%, 05/17/21.............................. 6,000 6,022,785
BHP Billiton Finance, Ltd. Co.
3.000%, 03/30/20.............................. AUD 6,500 4,510,544
Commonwealth Bank of Australia
0.500%, 07/11/22.............................. EUR 5,725 6,492,577
National Australia Bank, Ltd. Floating Rate Note
(r) 2.619%, 11/04/21.............................. 3,245 3,278,594
0.875%, 01/20/22.............................. EUR 1,112 1,268,031
0.350%, 09/07/22.............................. EUR 1,500 1,695,434
Westpac Banking Corp.
(r) 2.280%, 01/25/21.............................. 1,114 1,115,755
(r) 2.974%, 08/19/21.............................. 540 545,931
0.250%, 01/17/22.............................. EUR 8,500 9,556,741
-----------
TOTAL AUSTRALIA........................................ 36,751,744
-----------
BELGIUM -- (3.0%)
Anheuser-Busch InBev SA
0.800%, 04/20/23.............................. EUR 1,439 1,651,285
Dexia Credit Local SA
0.625%, 01/21/22.............................. EUR 1,250 1,423,541
0.250%, 06/02/22.............................. EUR 2,000 2,263,345
1.125%, 06/15/22.............................. GBP 2,000 2,603,982
0.750%, 01/25/23.............................. EUR 6,000 6,920,711
0.250%, 06/01/23.............................. EUR 12,900 14,661,014
0.625%, 02/03/24.............................. EUR 7,000 8,093,259
-----------
TOTAL BELGIUM.......................................... 37,617,137
-----------
CANADA -- (10.9%)
Alimentation Couche-Tard, Inc.
3.319%, 11/01/19.............................. CAD 8,200 6,225,986
Bank of Montreal
(r) 2.922%, 08/27/21.............................. 2,000 2,021,800
Bank of Nova Scotia (The)
(r) 2.406%, 04/20/21.............................. 5,000 5,016,109
Canada Housing Trust No 1
(Omega) 2.000%, 12/15/19.............................. CAD 15,000 11,390,821
(Omega) 1.450%, 06/15/20.............................. CAD 17,000 12,888,042
Canadian Imperial Bank of Commerce
0.750%, 03/22/23.............................. EUR 5,000 5,725,614
0.375%, 05/03/24.............................. EUR 1,740 1,945,531
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Canadian Natural Resources, Ltd.
2.950%, 01/15/23.............................. 5,660 $ 5,775,551
Enbridge, Inc.
# 4.000%, 10/01/23.............................. 3,000 3,183,322
Province of British Columbia Canada
4.100%, 12/18/19.............................. CAD 10,000 7,614,000
Rogers Communications, Inc.
4.100%, 10/01/23.............................. 1,000 1,066,520
Royal Bank of Canada
1.920%, 07/17/20.............................. CAD 10,000 7,594,792
2.860%, 03/04/21.............................. CAD 25,000 19,196,720
(r) 2.326%, 04/30/21.............................. 3,394 3,406,093
1.968%, 03/02/22.............................. CAD 8,000 6,058,401
Toronto-Dominion Bank (The)
2.250%, 11/05/19.............................. 9,067 9,067,066
1.693%, 04/02/20.............................. CAD 7,000 5,310,933
2.563%, 06/24/20.............................. CAD 14,000 10,676,820
(r) 3.043%, 04/07/21.............................. 1,077 1,089,289
(r) 2.568%, 06/11/21.............................. 2,000 2,007,040
1.994%, 03/23/22.............................. CAD 10,000 7,577,101
------------
TOTAL CANADA........................................... 134,837,551
------------
DENMARK -- (1.1%)
AP Moller - Maersk A.S.
1.500%, 11/24/22.............................. EUR 2,680 3,110,662
AP Moller Maersk A.S.
1.750%, 03/18/21.............................. EUR 2,551 2,913,811
Danske Bank A.S.
(Omega) 2.800%, 03/10/21.............................. 5,000 5,039,817
Kommunekredit
0.250%, 03/29/23.............................. EUR 2,000 2,278,829
------------
TOTAL DENMARK.......................................... 13,343,119
------------
FINLAND -- (0.6%)
Nordea Bank Abp
0.300%, 06/30/22.............................. EUR 5,000 5,639,557
OP Corporate Bank P.L.C.
0.750%, 03/03/22.............................. EUR 725 825,531
0.375%, 10/11/22.............................. EUR 500 565,580
------------
TOTAL FINLAND.......................................... 7,030,668
------------
FRANCE -- (2.1%)
BNP Paribas SA
1.000%, 06/27/24.............................. EUR 6,000 6,914,340
BPCE SA
1.125%, 12/14/22.............................. EUR 2,200 2,544,690
0.375%, 10/05/23.............................. EUR 500 565,252
43
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (Continued)
Caisse d'Amortissement de la Dette Sociale
0.125%, 10/25/23........................... EUR 6,500 $ 7,401,782
Pernod Ricard SA
2.000%, 06/22/20........................... EUR 300 339,307
(Omega) 4.450%, 01/15/22........................... 2,450 2,574,092
Societe Generale SA
(Omega) 2.500%, 04/08/21........................... 4,200 4,221,546
(Omega) 3.250%, 01/12/22........................... 1,000 1,020,591
-----------
TOTAL FRANCE........................................... 25,581,600
-----------
GERMANY -- (3.4%)
BMW Finance NV
0.125%, 01/12/21........................... EUR 645 721,627
0.625%, 10/06/23........................... EUR 2,000 2,273,873
BMW US Capital LLC
(Omega) 3.450%, 04/12/23........................... 5,000 5,206,395
Daimler Canada Finance, Inc.
1.570%, 05/25/20........................... CAD 3,000 2,271,787
Daimler Finance North America LLC
(r)(Omega) 2.677%, 05/04/20........................... 1,000 1,000,575
#(Omega) 2.850%, 01/06/22........................... 7,200 7,292,417
Deutsche Bank AG
2.950%, 08/20/20........................... 1,000 1,001,994
Landwirtschaftliche Rentenbank
0.375%, 01/22/24........................... EUR 4,630 5,339,966
NRW Bank
0.125%, 03/10/23........................... EUR 7,000 7,947,834
Volkswagen Financial Services AG
1.375%, 10/16/23........................... EUR 1,000 1,156,994
Volkswagen Group of America Finance LLC
(Omega) 2.400%, 05/22/20........................... 3,625 3,630,872
(Omega) 4.000%, 11/12/21........................... 2,000 2,072,815
Volkswagen International Finance NV
0.875%, 01/16/23........................... EUR 300 341,912
VW Credit Canada, Inc.
2.150%, 06/24/20........................... CAD 3,000 2,277,663
-----------
TOTAL GERMANY.......................................... 42,536,724
-----------
ITALY -- (0.5%)
Enel Finance International NV
(Omega) 2.875%, 05/25/22........................... 1,000 1,013,015
5.000%, 09/14/22........................... EUR 2,000 2,552,221
Eni SpA
4.000%, 06/29/20........................... EUR 600 687,706
1.750%, 01/18/24........................... EUR 1,170 1,398,540
-----------
TOTAL ITALY............................................ 5,651,482
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
JAPAN -- (6.7%)
American Honda Finance Corp.
(r) 2.488%, 06/11/21........................... 5,000 $ 5,011,921
1.375%, 11/10/22........................... EUR 2,000 2,321,148
0.550%, 03/17/23........................... EUR 2,606 2,959,125
Daiwa Securities Group, Inc.
(Omega) 3.129%, 04/19/22........................... 700 713,619
Mitsubishi UFJ Financial Group, Inc.
0.680%, 01/26/23........................... EUR 2,150 2,435,613
0.980%, 10/09/23........................... EUR 4,000 4,595,481
Mizuho Financial Group, Inc.
#(Omega) 2.632%, 04/12/21........................... 4,000 4,029,242
(r) 3.267%, 09/13/21........................... 1,735 1,756,757
2.953%, 02/28/22........................... 400 406,856
0.523%, 06/10/24........................... EUR 3,000 3,379,611
Nissan Motor Acceptance Corp.
(Omega) 2.550%, 03/08/21........................... 3,500 3,509,951
(r)(Omega) 2.789%, 09/21/21........................... 2,000 2,001,873
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21........................... 3,000 3,001,235
0.819%, 07/23/23........................... EUR 4,544 5,186,481
Takeda Pharmaceutical Co., Ltd.
0.375%, 11/21/20........................... EUR 4,152 4,653,205
Total Capital Canada, Ltd.
1.125%, 03/18/22........................... EUR 1,500 1,725,497
Toyota Credit Canada, Inc.
2.200%, 02/25/21........................... CAD 10,000 7,607,850
2.020%, 02/28/22........................... CAD 4,000 3,025,981
Toyota Motor Credit Corp. Floating Rate Note
(r) 2.220%, 05/22/20........................... 5,000 4,999,990
(r) 2.567%, 01/08/21........................... 992 996,493
(r) 2.281%, 04/13/21........................... 18,000 18,027,558
0.750%, 07/21/22........................... EUR 500 570,572
-----------
TOTAL JAPAN............................................ 82,916,059
-----------
LUXEMBOURG -- (0.1%)
ArcelorMittal
2.875%, 07/06/20........................... EUR 800 909,564
-----------
NETHERLANDS -- (1.2%)
ABN AMRO Bank NV
0.500%, 07/17/23........................... EUR 911 1,033,089
Cooperatieve Rabobank UA
0.125%, 10/11/21........................... EUR 900 1,009,598
4.000%, 01/11/22........................... EUR 980 1,192,395
4.750%, 06/06/22........................... EUR 1,367 1,718,441
44
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (Continued)
ING Bank NV Floating Rate Note
(r) 0.002%, 11/26/21.............................. EUR 2,000 $ 2,242,421
ING Groep NV
1.000%, 09/20/23.............................. EUR 5,000 5,757,602
Koninklijke Philips NV
0.500%, 09/06/23.............................. EUR 2,000 2,273,962
-----------
TOTAL NETHERLANDS...................................... 15,227,508
-----------
NORWAY -- (0.1%)
DNB Bank ASA
4.375%, 02/24/21.............................. EUR 1,288 1,523,225
-----------
SPAIN -- (1.8%)
Banco Santander SA
3.848%, 04/12/23.............................. 2,000 2,090,517
Iberdrola International BV
1.750%, 09/17/23.............................. EUR 1,000 1,190,230
Santander Holdings USA, Inc.
3.400%, 01/18/23.............................. 9,525 9,794,293
Spain Government Bond
(Omega) 5.400%, 01/31/23.............................. EUR 2,500 3,309,485
Telefonica Emisiones SA
0.750%, 04/13/22.............................. EUR 2,200 2,498,512
3.987%, 01/23/23.............................. EUR 1,700 2,136,537
1.069%, 02/05/24.............................. EUR 1,400 1,622,377
-----------
TOTAL SPAIN............................................ 22,641,951
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (5.6%)
Asian Development Bank
1.375%, 06/11/20.............................. CAD 12,461 9,440,690
European Financial Stability Facility
0.200%, 01/17/24.............................. EUR 23,536 26,892,286
European Stability Mechanism
0.000%, 12/05/19.............................. EUR 4,000 4,463,255
European Stability Mechanism Treasury Bill
0.000%, 11/21/19.............................. EUR 5,294 5,906,168
0.000%, 01/09/20.............................. EUR 20,000 22,327,050
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS........... 69,029,449
-----------
SWEDEN -- (3.5%)
Kommuninvest I Sverige AB
0.250%, 06/01/22.............................. SEK 269,000 27,970,730
0.750%, 02/22/23.............................. SEK 50,000 5,277,931
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22.............................. EUR 1,250 1,407,366
1.250%, 08/05/22.............................. GBP 2,000 2,598,592
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWEDEN -- (Continued)
Svenska Handelsbanken AB
0.250%, 02/28/22................................. EUR 4,600 $ 5,174,664
Swedbank AB
0.250%, 11/07/22................................. EUR 800 897,796
-----------
TOTAL SWEDEN........................................... 43,327,079
-----------
SWITZERLAND -- (1.0%)
Credit Suisse AG/London
1.000%, 06/07/23................................. EUR 2,000 2,309,036
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22................................. EUR 1,000 1,148,971
UBS Group Funding Switzerland AG
1.750%, 11/16/22................................. EUR 4,700 5,508,197
2.125%, 03/04/24................................. EUR 2,400 2,899,369
-----------
TOTAL SWITZERLAND...................................... 11,865,573
-----------
UNITED KINGDOM -- (8.6%)
Barclays P.L.C.
2.750%, 11/08/19................................. 8,000 8,000,454
3.250%, 01/12/21................................. 1,000 1,010,852
BAT International Finance P.L.C.
4.875%, 02/24/21................................. EUR 743 881,686
3.625%, 11/09/21................................. EUR 105 125,562
0.875%, 10/13/23................................. EUR 5,100 5,773,576
BP Capital Markets P.L.C.
1.109%, 02/16/23................................. EUR 5,000 5,777,743
BP Capital Markets PLC
3.497%, 11/09/20................................. CAD 4,000 3,078,612
British Telecommunications P.L.C.
0.500%, 06/23/22................................. EUR 400 451,326
1.125%, 03/10/23................................. EUR 7,000 8,063,889
HSBC Bank P.L.C. Floating Rate Note
(r) 0.017%, 03/09/20................................. EUR 4,600 5,137,222
HSBC Holdings PLC
#(r) 3.792%, 05/25/21................................. 3,082 3,138,768
Lloyds Banking Group P.L.C.
3.000%, 01/11/22................................. 1,000 1,016,475
Mead Johnson Nutrition Co.
3.000%, 11/15/20................................. 2,800 2,829,665
National Grid North America, Inc.
0.750%, 08/08/23................................. EUR 6,050 6,895,065
Nationwide Building Society
0.625%, 04/19/23................................. EUR 3,000 3,417,468
NatWest Markets P.L.C.
1.000%, 05/28/24................................. EUR 1,630 1,862,495
45
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED KINGDOM -- (Continued)
PPL WEM, Ltd. / Western Power Distribution, Ltd.
(Omega) 5.375%, 05/01/21............................. 500 $ 516,862
Praxair, Inc.
1.200%, 02/12/24............................. EUR 3,372 3,954,170
Rolls-Royce P.L.C.
0.875%, 05/09/24............................. EUR 1,500 1,705,130
Royal Bank of Scotland Group P.L.C.
2.500%, 03/22/23............................. EUR 3,500 4,187,805
United Kingdom Treasury Bill
0.000%, 11/18/19............................. GBP 14,000 18,129,561
0.000%, 11/25/19............................. GBP 15,000 19,421,670
Vodafone Group P.L.C.
1.750%, 08/25/23............................. EUR 1,300 1,543,239
------------
TOTAL UNITED KINGDOM.................................. 106,919,295
------------
UNITED STATES -- (28.5%)
Abbott Ireland Financing DAC
0.000%, 09/27/20............................. EUR 2,000 2,233,575
0.875%, 09/27/23............................. EUR 3,420 3,931,007
AbbVie, Inc.
2.900%, 11/06/22............................. 1,080 1,100,979
Aetna, Inc.
# 2.750%, 11/15/22............................. 5,000 5,072,033
Albemarle Corp.
1.875%, 12/08/21............................. EUR 5,100 5,904,742
Allergan Finance LLC
3.250%, 10/01/22............................. 3,200 3,274,234
Allergan Funding SCS
3.450%, 03/15/22............................. 6,000 6,149,820
Altria Group, Inc.
# 2.850%, 08/09/22............................. 5,700 5,783,827
1.000%, 02/15/23............................. EUR 1,500 1,694,196
Ameren Corp.
2.700%, 11/15/20............................. 1,000 1,006,629
American International Group, Inc.
1.500%, 06/08/23............................. EUR 2,000 2,325,158
AmerisourceBergen Corp.
# 3.500%, 11/15/21............................. 5,000 5,107,902
Anthem, Inc.
3.300%, 01/15/23............................. 5,000 5,192,428
Apache Corp.
3.250%, 04/15/22............................. 807 821,352
Ares Capital Corp.
4.200%, 06/10/24............................. 4,000 4,147,947
AT&T, Inc.
2.500%, 03/15/23............................. EUR 5,000 5,988,858
1.950%, 09/15/23............................. EUR 175 207,964
2.400%, 03/15/24............................. EUR 3,000 3,644,815
Autodesk, Inc.
3.600%, 12/15/22............................. 2,239 2,317,093
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor,
Inc.
# 2.773%, 12/15/22............................... 800 $ 813,184
Bank of America Corp.
0.750%, 07/26/23............................... EUR 2,000 2,287,422
Baxter International, Inc.
0.400%, 05/15/24............................... EUR 2,000 2,238,919
Booking Holdings, Inc.
0.800%, 03/10/22............................... EUR 1,900 2,161,663
Broadcom Corp. / Broadcom Cayman Finance Ltd.
3.000%, 01/15/22............................... 5,000 5,066,159
BUNGE, Ltd. FINANCE Corp. Co. GUAR 03/24 4.35
# 4.350%, 03/15/24............................... 2,000 2,114,562
Campbell Soup Co.
3.650%, 03/15/23............................... 1,000 1,042,584
Cardinal Health, Inc.
3.200%, 06/15/22............................... 5,000 5,116,303
Caterpillar Financial Services Corp.
(r) 2.338%, 05/15/20............................... 5,000 5,003,685
(r) 2.349%, 03/15/21............................... 2,000 2,001,688
(r) 2.514%, 05/17/21............................... 2,766 2,772,263
(r) 2.382%, 09/07/21............................... 2,000 2,000,580
Celgene Corp.
3.550%, 08/15/22............................... 1,777 1,852,053
Church & Dwight Co., Inc.
2.875%, 10/01/22............................... 2,000 2,040,376
Cigna Corp.
(Omega) 4.500%, 03/15/21............................... 1,000 1,025,430
Coca-Cola Co. (The)
0.750%, 03/09/23............................... EUR 2,000 2,292,869
Comcast Corp.
(r) 2.539%, 10/01/21............................... 2,243 2,254,955
Cox Communications, Inc.
(Omega) 3.250%, 12/15/22............................... 5,000 5,160,881
CVS Health Corp.
2.800%, 07/20/20............................... 2,665 2,677,642
Discovery Communications LLC
3.250%, 04/01/23............................... 497 511,485
Dover Corp.
2.125%, 12/01/20............................... EUR 1,250 1,425,342
Dow Chemical Co. (The)
3.000%, 11/15/22............................... 3,134 3,208,768
DTE Energy Co.
2.400%, 12/01/19............................... 1,151 1,151,366
E*TRADE Financial Corp.
2.950%, 08/24/22............................... 5,000 5,094,115
eBay, Inc.
2.600%, 07/15/22............................... 760 767,927
46
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Energy Transfer Partners L.P.
# 3.600%, 02/01/23............................... 4,594 $4,724,415
Enterprise Products Operating LLC
3.350%, 03/15/23............................... 2,000 2,071,629
EQT Corp.
# 4.875%, 11/15/21............................... 1,000 1,020,652
Equifax, Inc.
3.300%, 12/15/22............................... 1,000 1,030,816
Exelon Generation Co. LLC
3.400%, 03/15/22............................... 815 837,309
FedEx Corp.
1.000%, 01/11/23............................... EUR 7,000 8,004,492
Fluor Corp.
1.750%, 03/21/23............................... EUR 5,287 5,598,235
Fortune Brands Home & Security, Inc.
# 3.000%, 06/15/20............................... 3,000 3,014,694
GATX Corp.
4.750%, 06/15/22............................... 5,000 5,310,181
General Mills, Inc.
1.000%, 04/27/23............................... EUR 1,809 2,082,349
General Motors Financial Co., Inc.
4.200%, 03/01/21............................... 1,000 1,022,896
# 3.450%, 01/14/22............................... 5,000 5,097,884
Goldman Sachs Group, Inc. (The)
3.550%, 02/12/21............................... CAD 4,000 3,087,632
# 5.250%, 07/27/21............................... 5,000 5,271,042
5.750%, 01/24/22............................... 1,400 1,508,741
Harley-Davidson Financial Services, Inc.
(Omega) 2.150%, 02/26/20............................... 5,000 4,996,538
(Omega) 2.550%, 06/09/22............................... 1,924 1,924,707
Honeywell International, Inc.
1.300%, 02/22/23............................... EUR 8,000 9,300,511
HP, Inc.
4.300%, 06/01/21............................... 518 536,740
IBM Credit LLC
(r) 2.226%, 01/20/21............................... 4,000 4,007,440
International Business Machines Corp.
1.875%, 11/06/20............................... EUR 312 355,390
0.500%, 09/07/21............................... EUR 2,250 2,539,788
1.250%, 05/26/23............................... EUR 2,923 3,408,345
Johnson Controls International P.L.C.
1.000%, 09/15/23............................... EUR 4,501 5,160,081
JPMorgan Chase & Co.
2.625%, 04/23/21............................... EUR 4,000 4,649,390
0.625%, 01/25/24............................... EUR 3,333 3,800,172
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Kellogg Co.
0.800%, 11/17/22........................... EUR 1,790 $2,042,383
Keurig Dr Pepper, Inc.
2.700%, 11/15/22........................... 4,684 4,733,613
Marathon Petroleum Corp.
# 3.400%, 12/15/20........................... 3,500 3,549,115
Mastercard, Inc.
1.100%, 12/01/22........................... EUR 1,000 1,152,774
Medtronic Global Holdings SCA
0.000%, 03/07/21........................... EUR 2,000 2,235,864
0.000%, 12/02/22........................... EUR 2,062 2,303,694
Molson Coors Brewing Co.
1.250%, 07/15/24........................... EUR 1,112 1,283,607
Mondelez International, Inc.
2.375%, 01/26/21........................... EUR 300 344,932
Morgan Stanley
2.375%, 03/31/21........................... EUR 1,000 1,154,726
3.125%, 08/05/21........................... CAD 4,000 3,084,868
1.875%, 03/30/23........................... EUR 1,500 1,773,205
1.750%, 03/11/24........................... EUR 3,314 3,945,738
Mosaic Co. (The)
3.750%, 11/15/21........................... 6,000 6,169,875
Motorola Solutions, Inc.
# 3.500%, 03/01/23........................... 2,000 2,071,853
Mylan N.V.
3.150%, 06/15/21........................... 1,000 1,012,837
National Oilwell Varco, Inc.
2.600%, 12/01/22........................... 4,000 4,032,107
National Rural Utilities Cooperative Finance Corp.
(r) 2.479%, 06/30/21........................... 2,600 2,608,489
NBCUniversal Enterprise, Inc.
(r)(Omega) 2.499%, 04/01/21........................... 1,870 1,876,283
NetApp, Inc.
3.250%, 12/15/22........................... 500 509,829
Newell Brands, Inc.
4.000%, 06/15/22........................... 5,440 5,591,391
Newmont Goldcorp Corp.
3.625%, 06/09/21........................... 500 511,524
Nordstrom, Inc.
4.750%, 05/01/20........................... 5,225 5,285,888
Omnicom Group, Inc. / Omnicom Capital, Inc.
4.450%, 08/15/20........................... 600 611,194
3.625%, 05/01/22........................... 2,864 2,969,520
ONEOK Partners L.P.
3.375%, 10/01/22........................... 1,730 1,775,596
Oracle Corp.
2.250%, 01/10/21........................... EUR 1,140 1,309,285
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
(Omega) 3.375%, 02/01/22........................... 361 369,093
47
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Pfizer, Inc.
0.250%, 03/06/22................................................. EUR 13,680 $15,405,784
Philip Morris International, Inc.
2.875%, 05/30/24................................................. EUR 2,000 2,506,957
Procter & Gamble Co. (The)
2.000%, 08/16/22................................................. EUR 400 474,030
Ryder System, Inc.
3.400%, 03/01/23................................................. 2,325 2,403,106
Sempra Energy
# 4.050%, 12/01/23................................................. 1,000 1,058,639
Sky, Ltd.
1.875%, 11/24/23................................................. EUR 2,748 3,290,765
Southern Co. (The)
2.750%, 06/15/20................................................. 1,775 1,781,969
Southwest Airlines Co.
2.750%, 11/06/19................................................. 5,000 5,000,131
Stryker Corp.
1.125%, 11/30/23................................................. EUR 2,277 2,649,753
Tupperware Brands Corp.
# 4.750%, 06/01/21................................................. 1,585 1,589,664
United Parcel Service, Inc.
0.375%, 11/15/23................................................. EUR 8,546 9,657,870
Viacom, Inc.
4.500%, 03/01/21................................................. 6,000 6,189,905
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19................................................. 1,590 1,590,338
Walmart, Inc.
(r) 2.389%, 06/23/21................................................. 2,060 2,066,668
Wells Fargo & Co.
2.150%, 01/30/20................................................. 750 750,404
2.250%, 09/03/20................................................. EUR 1,294 1,473,944
1.500%, 09/12/22................................................. EUR 300 348,911
Wells Fargo Bank NA
(r) 2.463%, 10/22/21................................................. 7,000 7,025,613
Whirlpool Corp.
3.700%, 03/01/23................................................. 1,000 1,041,654
Williams Cos., Inc. (The)
3.700%, 01/15/23................................................. 670 693,438
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
Zimmer Biomet Holdings, Inc.
2.700%, 04/01/20...................................................... 2,210 $ 2,214,440
--------------
TOTAL UNITED STATES............................................................ 351,872,115
--------------
TOTAL BONDS.................................................................... 1,009,581,843
--------------
U.S. TREASURY OBLIGATIONS -- (16.5%)
U.S. Treasury Notes
(r) 1.752%, 01/31/21...................................................... 33,000 32,962,785
(r) 1.776%, 04/30/21...................................................... 118,500 118,347,808
(r) 1.857%, 07/31/21...................................................... 53,000 52,991,917
--------------
TOTAL U.S. TREASURY OBLIGATIONS................................................ 204,302,510
--------------
TOTAL INVESTMENT SECURITIES
(Cost $1,215,121,300)........................................................ 1,213,884,353
--------------
COMMERCIAL PAPER -- (1.2%)
(Omega) Campbell Soup Co. 2.191%, 01/22/20.................................... 4,000 3,979,794
(Omega) PFIZER INC 1.898%, 02/25/20........................................... 1,250 1,242,801
(Omega) Pfizer, Inc. 1.888%, 03/02/20......................................... 10,000 9,939,389
--------------
TOTAL COMMERCIAL PAPER 15,161,984
--------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.6%)
@(S) The DFA Short Term Investment Fund.................................... 603,833 6,986,946
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,237,267,772)........................................................ $1,236,033,283
--------------
As of October 31, 2019, DFA Selectively Hedged Global Fixed Income Portfolio
had entered into the following forward currency contracts and the net
unrealized forward currency gain (loss) is reflected in the accompanying
financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
EUR 88,173,262 USD 97,911,999 State Street Bank and Trust 11/01/19 $ 427,612
USD 98,737,791 EUR 88,061,253 State Street Bank and Trust 01/17/20 6,926
---------
TOTAL APPRECIATION $ 434,538
CAD 23,602,264 USD 18,090,531 UBS AG 01/03/20 $(163,539)
48
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ---------------------------- ---------- --------------
USD 97,128,227 EUR 88,173,262 Bank of America Corp. 11/01/19 $(1,211,384)
USD 4,451,149 AUD 6,577,769 State Street Bank and Trust 11/14/19 (84,533)
USD 97,955,175 EUR 87,892,669 State Street Bank and Trust 12/27/19 (441,295)
USD 11,597,552 CAD 15,429,116 Natwest Markets P.L.C. 01/03/20 (121,563)
USD 133,948,565 CAD 178,432,749 Citibank, N.A. 01/03/20 (1,579,221)
USD 861,258 EUR 769,676 Barclays Capital 01/07/20 (1,140)
USD 990,923 EUR 892,131 HSBC Bank 01/07/20 (8,682)
USD 10,977,428 EUR 9,951,065 State Street Bank and Trust 01/07/20 (172,431)
USD 13,952,145 EUR 12,629,999 State Street Bank and Trust 01/07/20 (199,376)
USD 22,018,222 EUR 19,883,814 Natwest Markets P.L.C. 01/07/20 (260,972)
USD 42,821,833 GBP 33,016,691 State Street Bank and Trust 01/22/20 (59,575)
USD 97,615,743 EUR 87,415,178 State Street Bank and Trust 01/23/20 (427,118)
USD 33,431,325 SEK 322,130,612 UBS AG 01/28/20 (93,966)
USD 98,377,216 EUR 88,129,753 Natwest Markets P.L.C. 01/28/20 (497,655)
-----------
TOTAL (DEPRECIATION) $(5,322,450)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $(4,887,912)
===========
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
------- -------------- ------- --------------
Bonds........................................
Australia................................. -- $ 36,751,744 -- $ 36,751,744
Belgium................................... -- 37,617,137 -- 37,617,137
Canada.................................... -- 134,837,551 -- 134,837,551
Denmark................................... -- 13,343,119 -- 13,343,119
Finland................................... -- 7,030,668 -- 7,030,668
France.................................... -- 25,581,600 -- 25,581,600
Germany................................... -- 42,536,724 -- 42,536,724
Italy..................................... -- 5,651,482 -- 5,651,482
Japan..................................... -- 82,916,059 -- 82,916,059
Luxembourg................................ -- 909,564 -- 909,564
Netherlands............................... -- 15,227,508 -- 15,227,508
Norway.................................... -- 1,523,225 -- 1,523,225
Spain..................................... -- 22,641,951 -- 22,641,951
Supranational Organization Obligations.... -- 69,029,449 -- 69,029,449
Sweden.................................... -- 43,327,079 -- 43,327,079
Switzerland............................... -- 11,865,573 -- 11,865,573
United Kingdom............................ -- 106,919,295 -- 106,919,295
United States............................. -- 351,872,115 -- 351,872,115
U.S. Treasury Obligations.................... -- 204,302,510 -- 204,302,510
Commercial Paper............................. -- 15,161,984 -- 15,161,984
Securities Lending Collateral................ -- 6,986,946 -- 6,986,946
Forward Currency Contracts**................. -- (4,887,912) -- (4,887,912)
-- -------------- -- --------------
TOTAL........................................ -- $1,231,145,371 -- $1,231,145,371
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
49
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (87.5%)
AUSTRALIA -- (1.5%)
ANZ New Zealand International, Ltd.
0.400%, 03/01/22................................................. EUR 27,377 $ 30,875,535
ASB Finance, Ltd.
0.500%, 06/10/22................................................. EUR 41,239 46,710,428
Commonwealth Bank of Australia
0.500%, 07/11/22................................................. EUR 16,950 19,222,565
National Australia Bank, Ltd.
2.800%, 01/10/22................................................. 37,541 38,254,751
0.875%, 01/20/22................................................. EUR 9,168 10,454,416
0.350%, 09/07/22................................................. EUR 27,190 30,732,566
Westpac Banking Corp.
# 2.800%, 01/11/22................................................. 33,146 33,781,556
0.250%, 01/17/22................................................. EUR 11,762 13,224,281
2.625%, 12/14/22................................................. GBP 5,416 7,345,238
------------
TOTAL AUSTRALIA........................................................... 230,601,336
------------
AUSTRIA -- (1.7%)
Oesterreichische Kontrollbank AG
0.750%, 03/07/22................................................. GBP 8,000 10,345,682
1.125%, 12/15/22................................................. GBP 2,907 3,799,202
Republic of Austria Government Bond
0.000%, 07/15/23................................................. EUR 216,591 246,600,480
Republic of Austria Government International Bond Floating Rate Note
(r) 0.000%, 06/04/20................................................. EUR 9,333 10,433,033
------------
TOTAL AUSTRIA............................................................. 271,178,397
------------
BELGIUM -- (4.7%)
Dexia Credit Local SA
0.040%, 12/11/19................................................. EUR 47,650 53,162,205
0.250%, 03/19/20................................................. EUR 34,450 38,506,603
2.000%, 01/22/21................................................. EUR 8,800 10,101,833
0.875%, 09/07/21................................................. GBP 8,100 10,481,105
0.625%, 01/21/22................................................. EUR 22,650 25,794,556
0.250%, 06/02/22................................................. EUR 72,400 81,933,073
1.125%, 06/15/22................................................. GBP 35,400 46,090,487
0.750%, 01/25/23................................................. EUR 60,100 69,322,456
0.250%, 06/01/23................................................. EUR 6,600 7,500,984
Kingdom of Belgium Government Bond
2.250%, 06/22/23................................................. EUR 227,360 279,849,423
(Omega) 0.200%, 10/22/23................................................. EUR 40,000 45,908,144
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BELGIUM -- (Continued)
Kingdom of Belgium Treasury Bill
0.000%, 11/07/19................................................. EUR 45,500 $ 50,748,714
------------
TOTAL BELGIUM............................................................. 719,399,583
------------
CANADA -- (19.8%)
Bank of Montreal
(r) 2.559%, 06/15/20................................................. 2,070 2,074,823
1.880%, 03/31/21................................................. CAD 129,816 98,411,192
(r) 2.461%, 04/13/21................................................. 83,200 83,556,096
1.610%, 10/28/21................................................. CAD 56,000 42,163,055
0.250%, 11/17/21................................................. EUR 17,940 20,132,633
1.375%, 12/29/21................................................. GBP 2,613 3,414,969
(r) 0.087%, 09/28/21................................................. EUR 38,275 42,969,410
(r) 0.067%, 03/14/22................................................. EUR 9,953 11,175,063
Bank of Nova Scotia (The)
2.270%, 01/13/20................................................. CAD 56,000 42,548,265
2.130%, 06/15/20................................................. CAD 239,000 181,773,191
3.270%, 01/11/21................................................. CAD 50,000 38,530,863
(r) 2.406%, 04/20/21................................................. 34,745 34,856,940
# 2.700%, 03/07/22................................................. 70,604 71,879,129
0.375%, 04/06/22................................................. EUR 29,000 32,663,457
1.250%, 06/08/22................................................. GBP 3,890 5,068,180
1.750%, 12/23/22................................................. GBP 25,148 33,306,070
Canada Housing Trust No 1
(Omega) 2.000%, 12/15/19................................................. CAD 115,000 87,329,626
Canadian Imperial Bank of Commerce
1.850%, 07/14/20................................................. CAD 128,200 97,318,507
(r) 2.353%, 10/05/20................................................. 28,525 28,589,751
1.900%, 04/26/21................................................. CAD 122,800 93,126,053
0.750%, 03/22/23................................................. EUR 2,000 2,290,246
CPPIB Capital, Inc.
1.400%, 06/04/20................................................. CAD 78,000 59,117,379
Manitoba, Province of Canada
1.150%, 11/21/19................................................. CAD 5,000 3,795,080
0.750%, 12/15/21................................................. GBP 8,500 10,955,953
Province of Alberta Canada
4.000%, 12/01/19................................................. CAD 144,500 109,886,265
1.250%, 06/01/20................................................. CAD 25,000 18,931,554
1.350%, 09/01/21................................................. CAD 29,500 22,259,050
Province of British Columbia Canada
4.100%, 12/18/19................................................. CAD 78,000 59,389,204
Province of Manitoba Canada
1.500%, 12/15/22................................................. GBP 36,230 47,691,865
Province of Ontario Canada
4.000%, 12/03/19................................................. EUR 10,085 11,286,602
4.200%, 06/02/20................................................. CAD 210,000 161,722,800
3.000%, 09/28/20................................................. EUR 1,803 2,072,616
1.350%, 03/08/22................................................. CAD 21,600 16,264,205
50
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
CANADA -- (Continued)
3.150%, 06/02/22.................................................... CAD 164,200 $ 129,135,926
Province of Ontario Canada Floating Rate Note
(r) 0.851%, 11/10/20.................................................... GBP 37,000 47,924,124
Province of Quebec Canada
4.500%, 12/01/19.................................................... CAD 298,266 226,893,670
4.500%, 12/01/20.................................................... CAD 60,000 46,900,767
4.250%, 12/01/21.................................................... CAD 39,800 31,785,003
0.875%, 05/24/22.................................................... GBP 11,551 14,943,678
Quebec, Province of Canada
1.500%, 12/15/23.................................................... GBP 20,000 26,503,047
2.375%, 01/22/24.................................................... EUR 17,728 21,996,386
Royal Bank of Canada
1.920%, 07/17/20.................................................... CAD 38,500 29,239,948
(r) 2.176%, 10/26/20.................................................... 2,600 2,605,969
2.860%, 03/04/21.................................................... CAD 40,000 30,714,752
2.030%, 03/15/21.................................................... CAD 160,500 121,953,679
(r) 2.326%, 04/30/21.................................................... 8,018 8,046,568
1.968%, 03/02/22.................................................... CAD 304,434 230,547,908
2.000%, 03/21/22.................................................... CAD 30,000 22,734,720
(r) 0.096%, 07/24/20.................................................... EUR 2,000 2,238,103
(r) 0.050%, 08/06/20.................................................... EUR 12,297 13,754,558
Toronto-Dominion Bank (The)
1.693%, 04/02/20.................................................... CAD 86,500 65,627,959
2.563%, 06/24/20.................................................... CAD 57,500 43,851,226
0.625%, 03/08/21.................................................... EUR 13,483 15,204,924
(r) 2.568%, 06/11/21.................................................... 3,000 3,010,560
2.621%, 12/22/21.................................................... CAD 57,179 43,925,072
1.994%, 03/23/22.................................................... CAD 313,467 237,517,118
3.005%, 05/30/23.................................................... CAD 33,000 25,840,020
0.625%, 07/20/23.................................................... EUR 25,256 28,900,377
Toronto-Dominion Bank (The) Floating Rate Note
(r) 0.082%, 07/13/20.................................................... EUR 2,000 2,237,920
--------------
TOTAL CANADA................................................................. 3,050,584,074
--------------
DENMARK -- (3.8%)
Denmark Government Bond
4.000%, 11/15/19.................................................... DKK 100,000 14,948,200
1.500%, 11/15/23.................................................... DKK 2,533,000 411,874,542
Kommunekredit
0.000%, 09/08/22.................................................... EUR 30,214 34,084,244
0.250%, 03/29/23.................................................... EUR 66,308 75,552,309
0.250%, 05/15/23.................................................... EUR 36,868 42,019,372
0.125%, 08/28/23.................................................... EUR 3,193 3,626,941
--------------
TOTAL DENMARK................................................................ 582,105,608
--------------
FINLAND -- (2.9%)
Finland Government Bond
(Omega) 0.000%, 09/15/23.................................................... EUR 239,177 272,487,109
Finland Government International Bond
1.500%, 12/19/19.................................................... GBP 3,711 4,810,515
FACE
AMOUNT^ VALUE+
------- ------------
(000)
FINLAND -- (Continued)
Municipality Finance P.L.C. Floating Rate Note
(r) 2.174%, 02/17/21................................................. 7,100 $ 7,100,284
Municipality Finance P.L.C.
1.250%, 12/07/22................................................. GBP 55,568 72,836,583
OP Corporate Bank P.L.C.
0.750%, 03/03/22................................................. EUR 56,018 63,785,623
2.500%, 05/20/22................................................. GBP 2,550 3,413,164
0.375%, 10/11/22................................................. EUR 16,840 19,048,722
------------
TOTAL FINLAND............................................................ 443,482,000
------------
FRANCE -- (8.1%)
Agence Francaise de Developpement
0.125%, 04/30/22................................................. EUR 58,200 65,695,338
Agence Francaise de Developpement EPIC
0.125%, 03/31/21................................................. EUR 1,000 1,122,580
0.500%, 10/25/22................................................. EUR 19,600 22,397,627
Caisse d'Amortissement de la Dette Sociale
0.125%, 11/25/22................................................. EUR 279,100 316,943,572
0.500%, 05/25/23................................................. EUR 33,500 38,609,701
0.125%, 10/25/23................................................. EUR 46,900 53,406,703
Caisse des Depots et Consignations Floating Rate Note
(r) 2.175%, 10/02/20................................................. 47,200 47,213,996
France Treasury Bill
0.000%, 11/14/19................................................. EUR 26,500 29,555,442
0.000%, 12/04/19................................................. EUR 95,500 106,557,155
0.000%, 12/18/19................................................. EUR 36,000 40,180,099
France Treasury Bill BTF
0.000%, 12/11/19................................................. EUR 112,000 124,993,509
0.000%, 02/12/20................................................. EUR 30,800 34,411,645
Sanofi
0.000%, 01/13/20................................................. EUR 2,300 2,566,446
0.875%, 09/22/21................................................. EUR 9,000 10,230,822
0.000%, 03/21/22................................................. EUR 3,600 4,038,246
0.000%, 09/13/22................................................. EUR 12,200 13,684,568
0.500%, 03/21/23................................................. EUR 132,300 150,716,233
Sanofi Floating Rate Note
(r) 0.000%, 03/21/20................................................. EUR 18,900 21,105,934
SNCF Reseau
6.000%, 10/12/20................................................. EUR 12,618 14,911,762
Total Capital International SA Floating Rate Note
(r) 0.000%, 03/19/20................................................. EUR 5,200 5,806,460
2.125%, 03/15/23................................................. EUR 3,200 3,842,377
0.250%, 07/12/23................................................. EUR 7,000 7,913,040
Unedic Asseo
0.125%, 03/05/20................................................. EUR 8,750 9,774,077
0.875%, 10/25/22................................................. EUR 97,900 113,333,389
51
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
FRANCE -- (Continued)
0.250%, 11/24/23................................................. EUR 5,000 $ 5,710,334
--------------
TOTAL FRANCE.......................................................... 1,244,721,055
--------------
GERMANY -- (9.8%)
Bayerische Landesbodenkreditanstalt
2.500%, 02/09/22................................................. EUR 17,829 21,209,912
Deutsche Bahn Finance GMBH
2.500%, 09/12/23................................................. EUR 1,000 1,227,100
FMS Wertmanagement
1.125%, 09/07/23................................................. GBP 20,300 26,639,819
Kreditanstalt fuer Wiederaufbau
1.125%, 12/23/19................................................. GBP 18,000 23,323,952
0.375%, 12/15/20................................................. GBP 5,000 6,446,932
1.000%, 10/12/21................................................. NOK 155,000 16,633,406
2.125%, 08/15/23................................................. EUR 57,114 69,955,382
0.000%, 09/15/23................................................. EUR 87,801 99,620,870
0.125%, 11/07/23................................................. EUR 173,800 198,234,580
0.125%, 01/15/24................................................. EUR 42,000 47,938,328
Land Baden-Wuerttemberg Floating Rate Note
(r) 0.343%, 07/19/21................................................. EUR 12,122 13,697,852
Landeskreditbank Baden-Wuertteberg Foerderbank Floating Rate Note
(r) 0.000%, 04/24/20................................................. EUR 2,500 2,794,015
Landeskreditbank Baden-Wuertteberg Foerderbank
1.125%, 05/17/21................................................. GBP 16,400 21,309,854
Landeskreditbank Baden-Wuerttemberg Foerderbank
(r) 2.220%, 09/27/21................................................. 32,600 32,635,208
0.875%, 03/07/22................................................. GBP 5,485 7,109,543
Landwirtschaftliche Rentenbank
1.500%, 12/23/19................................................. GBP 4,440 5,756,531
2.625%, 06/17/20................................................. NOK 125,000 13,660,499
0.050%, 06/12/23................................................. EUR 117,000 132,853,499
NRW Bank
0.000%, 01/27/20................................................. EUR 600 669,774
(r) 2.227%, 02/08/21................................................. 19,400 19,387,778
0.000%, 08/10/22................................................. EUR 23,000 25,952,841
0.000%, 11/11/22................................................. EUR 128,540 145,149,159
0.125%, 03/10/23................................................. EUR 89,000 101,051,028
0.125%, 07/07/23................................................. EUR 110,300 125,287,967
FACE
AMOUNT^ VALUE+
------- --------------
(000)
GERMANY -- (Continued)
State of North
Rhine-Westphalia Germany
0.875%, 12/16/19................................................. EUR 10,876 $ 12,148,534
1.250%, 03/13/20................................................. EUR 7,200 8,078,499
0.000%, 12/05/22................................................. EUR 117,200 132,343,377
0.375%, 02/16/23................................................. EUR 106,009 121,253,336
0.125%, 03/16/23................................................. EUR 27,260 30,935,366
0.200%, 04/17/23................................................. EUR 39,500 44,948,640
State of North Rhine-Westphalia Germany Floating Rate Note
(r) 0.857%, 10/29/21................................................. GBP 9,000 11,648,834
--------------
TOTAL GERMANY......................................................... 1,519,902,415
--------------
JAPAN -- (2.7%)
Total Capital Canada, Ltd.
1.875%, 07/09/20................................................. EUR 19,000 21,507,664
1.125%, 03/18/22................................................. EUR 21,600 24,847,155
Toyota Credit Canada, Inc.
2.200%, 02/25/21................................................. CAD 13,000 9,890,206
2.020%, 02/28/22................................................. CAD 43,966 33,260,074
2.350%, 07/18/22................................................. CAD 34,200 26,059,356
Toyota Finance Australia Ltd.
1.625%, 07/11/22................................................. GBP 2,000 2,629,167
Toyota Finance Australia, Ltd.
0.000%, 04/09/21................................................. EUR 4,735 5,286,690
0.500%, 04/06/23................................................. EUR 4,500 5,107,180
0.250%, 04/09/24................................................. EUR 4,000 4,496,862
Toyota Motor Credit Corp.
(r) 2.162%, 10/09/20................................................. 50,000 50,046,950
1.000%, 03/09/21................................................. EUR 9,640 10,915,363
# 1.900%, 04/08/21................................................. 58,313 58,445,064
0.000%, 07/21/21................................................. EUR 18,341 20,492,859
1.125%, 09/07/21................................................. GBP 3,352 4,351,523
2.600%, 01/11/22................................................. 53,709 54,632,762
0.750%, 07/21/22................................................. EUR 50,350 57,456,571
2.375%, 02/01/23................................................. EUR 13,707 16,500,861
Toyota Motor Finance Netherlands BV
0.250%, 01/10/22................................................. EUR 11,925 13,401,041
0.625%, 09/26/23................................................. EUR 4,000 4,575,985
--------------
TOTAL JAPAN........................................................... 423,903,333
--------------
NETHERLANDS -- (5.8%)
Bank Nederlandse Gemeenten NV
1.375%, 12/09/19................................................. GBP 5,726 7,420,587
1.000%, 06/17/22................................................. GBP 15,457 20,086,700
0.250%, 02/22/23................................................. EUR 59,000 67,283,636
BNG Bank NV
3.875%, 11/04/19................................................. EUR 18,977 21,165,042
1.500%, 04/15/20................................................. EUR 7,392 8,314,438
52
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
NETHERLANDS -- (Continued)
1.125%, 05/24/21................................................. GBP 14,000 $ 18,199,100
5.375%, 06/07/21................................................. GBP 8,367 11,594,614
1.250%, 12/15/21................................................. GBP 79,900 104,326,884
1.000%, 03/15/22................................................. GBP 5,030 6,537,947
0.050%, 07/11/23................................................. EUR 184,891 209,718,548
Cooperatieve Rabobank UA
0.125%, 10/11/21................................................. EUR 18,733 21,014,213
# 2.750%, 01/10/22................................................. 31,570 32,073,877
# 3.875%, 02/08/22................................................. 17,112 17,812,308
4.750%, 06/06/22................................................. EUR 35,519 44,650,561
0.500%, 12/06/22................................................. EUR 22,849 25,986,885
Nederlandse Waterschapsbank NV
1.750%, 07/09/20................................................. EUR 10,040 11,366,693
0.125%, 09/25/23................................................. EUR 55,009 62,627,632
Shell International Finance BV
2.000%, 12/20/19................................................. GBP 6,624 8,589,667
(r) 2.631%, 05/11/20................................................. 10,000 10,022,413
1.625%, 03/24/21................................................. EUR 39,343 45,025,800
1.875%, 05/10/21................................................. 6,257 6,263,127
1.250%, 03/15/22................................................. EUR 43,619 50,348,319
1.000%, 04/06/22................................................. EUR 55,401 63,598,509
# 2.375%, 08/21/22................................................. 24,379 24,749,916
------------
TOTAL NETHERLANDS..................................................... 898,777,416
------------
NORWAY -- (1.5%)
Equinor ASA
2.000%, 09/10/20................................................. EUR 13,660 15,527,228
5.625%, 03/11/21................................................. EUR 1,210 1,455,433
0.875%, 02/17/23................................................. EUR 28,954 33,243,075
Kommunalbanken A.S.
0.875%, 12/08/20................................................. GBP 11,450 14,824,492
0.125%, 03/21/22................................................. SEK 200,000 20,693,677
1.125%, 11/30/22................................................. GBP 57,699 75,388,411
1.500%, 12/15/23................................................. GBP 4,000 5,318,304
Kommunalbanken A.S. Floating Rate Note
(r) 2.041%, 04/15/21................................................. 47,000 46,976,532
Kommunalbanken AS
1.125%, 12/15/21................................................. GBP 12,237 15,930,552
------------
TOTAL NORWAY.......................................................... 229,357,704
------------
SINGAPORE -- (0.1%)
Temasek Financial I, Ltd.
0.500%, 03/01/22................................................. EUR 4,553 5,157,856
4.625%, 07/26/22................................................. GBP 4,200 5,977,663
------------
TOTAL SINGAPORE....................................................... 11,135,519
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (13.3%)
African Development Bank
0.250%, 01/24/24................................................. EUR 2,790 3,197,656
FACE
AMOUNT^ VALUE+
------- ------------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Asian Development Bank Floating Rate Note
(r) 0.971%, 02/01/22................................................. GBP 42,000 $ 54,443,336
1.000%, 12/15/22................................................. GBP 22,333 29,131,560
0.200%, 05/25/23................................................. EUR 244,378 278,850,719
0.370%, 06/26/23................................................. SEK 200,000 20,800,259
Council Of Europe Development Bank
0.375%, 10/27/22................................................. EUR 39,747 45,442,495
0.125%, 05/25/23................................................. EUR 87,670 99,755,401
Eurofima
0.250%, 04/25/23................................................. EUR 3,373 3,837,964
EUROFIMA
(r) 2.248%, 11/15/21................................................. 31,400 31,391,836
EUROFIMA Floating Rate Note
(r) 2.238%, 03/11/22................................................. 20,782 20,765,167
European Financial Stability Facility
0.125%, 11/04/19................................................. EUR 19,989 22,293,725
1.500%, 01/22/20................................................. EUR 13,143 14,722,118
0.000%, 11/17/22................................................. EUR 91,238 103,076,492
0.500%, 01/20/23................................................. EUR 33,658 38,658,538
0.125%, 10/17/23................................................. EUR 91,000 103,597,221
0.200%, 01/17/24................................................. EUR 153,094 174,925,544
European Investment Bank Floating Rate Note
(r) 0.000%, 01/15/20................................................. EUR 13,000 14,513,250
(r) 1.015%, 02/17/20................................................. GBP 12,575 16,300,594
(r) 0.964%, 05/21/21................................................. GBP 2,000 2,597,664
(r) 0.835%, 02/18/22................................................. GBP 33,000 42,776,480
(r) 0.991%, 01/10/22................................................. GBP 23,500 30,492,175
1.500%, 05/12/22................................................. NOK 955,770 103,623,899
2.375%, 01/18/23................................................. CAD 6,400 4,950,221
1.625%, 03/15/23................................................. EUR 44,367 52,968,543
0.000%, 10/16/23................................................. EUR 39,214 44,497,756
0.050%, 12/15/23................................................. EUR 19,500 22,198,926
0.875%, 12/15/23................................................. GBP 12,000 15,592,856
2.125%, 01/15/24................................................. EUR 45,625 56,373,656
European Stability Mechanism
0.000%, 11/07/19................................................. EUR 35,000 39,040,294
0.000%, 12/05/19................................................. EUR 103,900 115,933,050
0.000%, 01/23/20................................................. EUR 24,000 26,797,634
0.100%, 07/31/23................................................. EUR 224,961 255,630,885
European Stability Mechanism Treasury Bill
0.000%, 01/09/20................................................. EUR 16,500 18,419,816
Inter-American Development Bank
1.125%, 12/17/19................................................. GBP 32,627 42,273,112
53
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Inter-American Investment Corp.
(r) 2.076%, 10/12/21................................................. 11,805 $ 11,805,944
International Bank for Reconstruction & Development
1.125%, 03/11/20................................................. CAD 15,500 11,738,623
1.000%, 12/19/22................................................. GBP 21,785 28,444,055
International Finance Corp. Floating Rate Note
(r) 0.961%, 01/18/22................................................. GBP 16,500 21,388,110
Nordic Investment Bank
1.500%, 08/31/22................................................. NOK 100,000 10,798,541
1.375%, 06/19/23................................................. NOK 200,000 21,487,470
--------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS.......................... 2,055,533,585
--------------
SWEDEN -- (4.7%)
Kommuninvest I Sverige AB
0.750%, 02/16/20................................................. SEK 177,000 18,371,286
0.250%, 06/01/22................................................. SEK 2,395,000 249,033,081
0.750%, 02/22/23................................................. SEK 1,075,000 113,475,515
1.000%, 11/13/23................................................. SEK 775,000 82,932,688
Skandinaviska Enskilda Banken AB
0.300%, 02/17/22................................................. EUR 31,728 35,722,327
1.250%, 08/05/22................................................. GBP 5,351 6,952,532
Svensk Exportkredit AB
(r) 2.247%, 12/13/21................................................. 14,200 14,219,845
1.375%, 12/15/22................................................. GBP 31,487 41,401,090
1.375%, 12/15/23................................................. GBP 8,000 10,570,493
Svenska Handelsbanken AB
2.375%, 01/18/22................................................. GBP 1,000 1,332,736
0.250%, 02/28/22................................................. EUR 57,386 64,555,058
2.625%, 08/23/22................................................. EUR 10,905 13,076,684
2.750%, 12/05/22................................................. GBP 5,000 6,793,464
1.125%, 12/14/22................................................. EUR 53,008 61,287,847
--------------
TOTAL SWEDEN.......................................................... 719,724,646
--------------
SWITZERLAND -- (0.6%)
Nestle Finance International, Ltd.
1.250%, 05/04/20................................................. EUR 2,000 2,247,534
0.750%, 11/08/21................................................. EUR 5,000 5,683,589
1.750%, 09/12/22................................................. EUR 12,765 15,038,361
0.750%, 05/16/23................................................. EUR 4,500 5,178,448
Novartis Finance SA
0.750%, 11/09/21................................................. EUR 4,500 5,122,789
0.500%, 08/14/23................................................. EUR 31,860 36,335,793
0.125%, 09/20/23................................................. EUR 10,000 11,271,245
FACE
AMOUNT^ VALUE+
------- ------------
(000)
SWITZERLAND -- (Continued)
Roche Finance Europe BV
0.500%, 02/27/23................................................. EUR 6,000 $ 6,831,764
------------
TOTAL SWITZERLAND..................................................... 87,709,523
------------
UNITED KINGDOM -- (2.6%)
Transport for London
2.250%, 08/09/22................................................. GBP 29,447 39,586,360
United Kingdom Treasury Bill
0.000%, 11/04/19................................................. GBP 165,000 213,732,785
0.000%, 11/11/19................................................. GBP 55,000 71,233,767
0.000%, 11/18/19................................................. GBP 54,000 69,928,307
0.000%, 11/25/19................................................. GBP 8,000 10,358,224
------------
TOTAL UNITED KINGDOM.................................................. 404,839,443
------------
UNITED STATES -- (3.9%)
3M Co. Floating Rate Note
(r) 0.000%, 05/15/20................................................. EUR 8,292 9,263,380
1.875%, 11/15/21................................................. EUR 1,000 1,161,640
0.375%, 02/15/22................................................. EUR 55,027 62,063,376
0.375%, 02/15/22................................................. EUR 3,500 3,947,550
0.950%, 05/15/23................................................. EUR 6,000 6,945,578
Apple, Inc.
(r) 3.278%, 02/23/21................................................. 800 810,587
1.000%, 11/10/22................................................. EUR 27,825 32,168,347
Berkshire Hathaway, Inc.
0.625%, 01/17/23................................................. EUR 26,158 29,780,478
0.750%, 03/16/23................................................. EUR 21,058 24,009,566
1.300%, 03/15/24................................................. EUR 4,271 5,007,239
Chevron Corp.
# 2.498%, 03/03/22................................................. 9,743 9,895,753
Cisco Systems, Inc.
1.850%, 09/20/21................................................. 6,268 6,277,893
Coca-Cola Co. (The)
0.750%, 03/09/23................................................. EUR 22,430 25,714,523
Johnson &Johnson
4.750%, 11/06/19................................................. EUR 15,000 16,734,179
0.250%, 01/20/22................................................. EUR 38,623 43,560,396
Merck & Co., Inc.
1.125%, 10/15/21................................................. EUR 29,745 33,941,055
Oracle Corp.
2.250%, 01/10/21................................................. EUR 25,881 29,724,211
1.900%, 09/15/21................................................. 42,499 42,589,855
Pfizer, Inc.
# 2.200%, 12/15/21................................................. 27,656 27,934,368
0.250%, 03/06/22................................................. EUR 91,826 103,410,197
Procter & Gamble Co. (The)
4.125%, 12/07/20................................................. EUR 1,500 1,752,548
2.000%, 11/05/21................................................. EUR 9,900 11,544,825
2.000%, 08/16/22................................................. EUR 25,959 30,763,363
Walmart, Inc.
(r) 2.389%, 06/23/21................................................. 35,000 35,113,295
1.900%, 04/08/22................................................. EUR 5,000 5,839,821
54
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- ---------------
(000)
UNITED STATES -- (Continued)
1.900%, 04/08/22...................................................... EUR 3,500 $ 4,087,874
---------------
TOTAL UNITED STATES............................................................... 604,041,897
---------------
TOTAL BONDS....................................................................... 13,496,997,534
---------------
U.S. TREASURY OBLIGATIONS -- (11.2%)
U.S. Treasury Notes
(r) 1.776%, 04/30/21...................................................... 429,248 428,696,309
(r) 1.857%, 07/31/21...................................................... 1,305,000 1,304,800,961
---------------
TOTAL U.S. TREASURY OBLIGATIONS................................................... 1,733,497,270
---------------
TOTAL INVESTMENT SECURITIES
(Cost $15,468,160,590)........................................................ 15,230,494,804
---------------
COMMERCIAL PAPER -- (1.2%)
(r)(Omega) Oversea-Chinese Banking Corp., Ltd. 2.035%, 05/15/20.................. 119,000 119,000,000
FACE
AMOUNT^ VALUE+
------- ---------------
(000)
(Omega) Total Fina ELF Cap. 1.775%, 11/07/19............................. 64,500 $ 64,479,432
---------------
TOTAL COMMERCIAL PAPER.................................................... 183,479,432
---------------
SHARES
-------
SECURITIES LENDING COLLATERAL -- (0.1%)
@(S) The DFA Short Term Investment Fund............................... 895,837 10,365,732
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $15,662,006,466)................................................ $15,424,339,968
===============
As of October 31, 2019, DFA Five-Year Global Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ----------------------------- ---------- --------------
EUR 124,048,744 USD 137,731,321 National Australia Bank Ltd. 11/01/19 $ 620,205
EUR 23,597,074 USD 26,218,886 UBS AG 11/04/19 98,923
EUR 35,878,323 USD 39,754,969 JP Morgan 11/15/19 288,643
EUR 23,440,000 USD 26,076,292 JP Morgan 11/29/19 108,537
EUR 1,000,000 USD 1,112,464 ANZ Securities 11/29/19 4,636
EUR 10,325,907 USD 11,426,228 HSBC Bank 12/03/19 111,814
EUR 19,329,151 USD 21,308,591 Bank of America Corp. 12/19/19 316,750
EUR 6,194,290 USD 6,830,437 Bank of America Corp. 12/19/19 99,698
GBP 22,758,125 USD 28,635,634 State Street Bank and Trust 11/20/19 858,753
GBP 17,977,116 USD 23,153,307 State Street Bank and Trust 12/30/19 179,036
GBP 30,345,169 USD 37,589,401 Citibank, N.A. 01/03/20 1,801,553
GBP 28,760,921 USD 37,082,036 Citibank, N.A. 01/14/20 264,448
USD 145,456,880 EUR 130,147,080 JP Morgan 11/01/19 303,883
USD 139,395,765 EUR 123,887,558 JP Morgan 11/04/19 1,224,011
USD 35,665,737 NOK 323,209,261 State Street Bank and Trust 11/05/19 519,301
USD 138,103,057 EUR 122,484,604 JP Morgan 11/05/19 1,487,141
USD 39,924,803 NOK 365,079,245 State Street Bank and Trust 11/06/19 225,016
USD 148,470,874 EUR 131,681,858 JP Morgan 11/06/19 1,587,053
USD 39,553,015 NOK 359,868,321 JP Morgan 11/07/19 419,560
USD 145,684,447 EUR 129,282,792 JP Morgan 11/07/19 1,467,280
USD 140,089,804 EUR 124,225,929 Barclays Capital 11/08/19 1,504,649
USD 30,128,212 EUR 26,978,908 JP Morgan 11/12/19 22,997
USD 106,256,190 EUR 94,279,565 Citibank, N.A. 11/12/19 1,051,539
USD 146,238,000 EUR 129,506,258 State Street Bank and Trust 11/13/19 1,715,310
55
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ------------------------------------- ---------- --------------
USD 137,690,214 EUR 122,256,374 State Street Bank and Trust 11/14/19 $ 1,249,272
USD 148,577,147 EUR 132,338,817 JP Morgan 11/15/19 874,472
USD 3,155,888 NOK 28,694,401 Bank of America Corp. 11/20/19 35,342
USD 144,095,566 EUR 128,872,202 State Street Bank and Trust 11/27/19 150,926
USD 143,667,050 GBP 110,543,047 State Street Bank and Trust 01/13/20 128,915
USD 140,729,715 CAD 185,258,989 JP Morgan 01/16/20 12,747
USD 137,145,243 CAD 180,066,493 UBS AG 01/17/20 372,009
USD 66,010,838 SEK 630,230,151 State Street Bank and Trust 01/21/20 441,299
USD 129,341,767 CAD 169,351,521 State Street Bank and Trust 01/21/20 706,091
USD 140,226,992 EUR 124,789,018 State Street Bank and Trust 01/21/20 283,791
USD 72,922,469 SEK 698,722,458 Bank of America Corp. 01/22/20 223,657
USD 134,948,300 CAD 176,640,375 State Street Bank and Trust 01/22/20 775,853
USD 144,061,009 GBP 110,895,408 State Street Bank and Trust 01/22/20 32,305
USD 51,086,711 NOK 465,424,107 Morgan Stanley and Co. International 01/23/20 450,474
USD 140,180,534 CAD 183,111,720 State Street Bank and Trust 01/24/20 1,091,924
USD 113,807,943 CAD 148,523,280 National Australia Bank Ltd. 01/28/20 991,064
USD 112,738,301 CAD 146,963,902 State Street Bank and Trust 01/29/20 1,105,646
USD 112,295,725 EUR 100,009,819 State Street Bank and Trust 01/30/20 78,446
-----------
TOTAL APPRECIATION $25,284,969
CAD 10,277,666 USD 7,877,616 HSBC Bank 01/09/20 $ (71,150)
EUR 6,098,336 USD 6,828,379 State Street Bank and Trust 11/01/19 (26,907)
EUR 100,290,484 USD 111,932,203 State Street Bank and Trust 11/04/19 (78,258)
EUR 5,900,000 USD 6,608,738 State Street Bank and Trust 11/06/19 (27,615)
EUR 5,810,915 USD 6,513,389 State Street Bank and Trust 11/15/19 (27,857)
EUR 51,393,654 USD 57,567,019 State Street Bank and Trust 12/19/19 (68,101)
GBP 110,776,202 USD 143,622,454 State Street Bank and Trust 11/04/19 (128,479)
USD 136,976,967 GBP 110,776,202 Citibank, N.A. 11/04/19 (6,517,010)
USD 133,962,852 CAD 177,427,850 JP Morgan 11/05/19 (749,311)
USD 35,790,938 EUR 32,280,921 JP Morgan 11/15/19 (237,632)
USD 93,913,524 GBP 73,657,111 State Street Bank and Trust 11/15/19 (1,530,735)
USD 141,210,992 EUR 126,654,456 JP Morgan 11/18/19 (174,662)
USD 136,654,243 EUR 123,167,034 State Street Bank and Trust 11/19/19 (847,207)
USD 7,668,266 EUR 6,929,298 State Street Bank and Trust 11/20/19 (67,974)
USD 128,641,353 EUR 116,310,235 State Street Bank and Trust 11/20/19 (1,213,640)
USD 143,430,313 GBP 115,885,547 State Street Bank and Trust 11/20/19 (6,756,627)
USD 139,997,780 EUR 126,074,809 State Street Bank and Trust 11/21/19 (767,960)
USD 138,765,952 EUR 124,563,876 State Street Bank and Trust 11/22/19 (321,737)
USD 133,847,854 EUR 121,306,233 State Street Bank and Trust 11/25/19 (1,628,497)
USD 140,193,819 EUR 125,662,238 Bank of America Corp. 11/26/19 (156,402)
USD 21,690,926 EUR 19,601,344 Bank of America Corp. 11/29/19 (205,739)
USD 52,811,598 EUR 47,562,205 ANZ Securities 11/29/19 (320,151)
USD 97,592,259 EUR 88,033,550 HSBC Bank 11/29/19 (750,037)
USD 141,830,192 EUR 127,363,243 JP Morgan 12/02/19 (474,779)
USD 18,790,077 EUR 17,161,916 State Street Bank and Trust 12/03/19 (386,438)
USD 22,630,386 EUR 20,350,212 State Street Bank and Trust 12/03/19 (108,692)
USD 40,884,363 EUR 36,837,548 JP Morgan 12/03/19 (277,462)
USD 41,501,981 EUR 37,395,694 JP Morgan 12/03/19 (283,510)
USD 41,505,698 EUR 37,395,694 JP Morgan 12/03/19 (279,793)
USD 8,538,925 GBP 6,926,633 UBS AG 12/04/19 (441,872)
USD 133,522,049 GBP 106,881,922 Citibank, N.A. 12/04/19 (5,056,798)
USD 135,957,830 EUR 122,434,852 State Street Bank and Trust 12/05/19 (869,061)
USD 6,299,816 EUR 5,725,817 JP Morgan 12/06/19 (99,571)
USD 129,784,129 EUR 117,628,015 Barclays Capital 12/06/19 (1,681,343)
USD 13,923,773 EUR 12,500,000 JP Morgan 12/09/19 (50,029)
USD 14,225,530 EUR 12,770,860 JP Morgan 12/09/19 (51,067)
56
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ----------------------------- ---------- --------------
USD 112,623,672 EUR 100,816,091 UBS AG 12/09/19 $ (79,054)
USD 8,997,233 EUR 8,137,679 JP Morgan 12/10/19 (100,636)
USD 125,410,061 EUR 112,991,056 JP Morgan 12/10/19 (913,158)
USD 20,491,386 EUR 18,500,000 Goldman Sachs International 12/11/19 (193,132)
USD 123,674,317 EUR 111,491,597 State Street Bank and Trust 12/11/19 (982,434)
USD 4,210,107 EUR 3,800,000 Bank of America Corp. 12/12/19 (38,943)
USD 4,219,588 EUR 3,808,003 National Australia Bank Ltd. 12/12/19 (38,410)
USD 127,741,327 EUR 114,792,194 JP Morgan 12/12/19 (615,974)
USD 140,721,442 EUR 126,828,405 JP Morgan 12/13/19 (1,105,686)
USD 132,676,131 EUR 119,125,637 Barclays Capital 12/16/19 (569,109)
USD 133,596,869 EUR 120,833,908 JP Morgan 12/17/19 (1,569,876)
USD 139,169,393 EUR 125,961,533 JP Morgan 12/18/19 (1,744,412)
USD 50,353,858 EUR 45,791,858 State Street Bank and Trust 12/19/19 (877,804)
USD 129,776,674 EUR 117,996,076 HSBC Bank 12/19/19 (2,236,643)
USD 138,156,323 EUR 126,139,585 HSBC Bank 12/20/19 (2,979,140)
USD 134,483,204 EUR 121,861,431 Citibank, N.A. 12/23/19 (1,898,080)
USD 136,398,757 CAD 181,343,525 Citibank, N.A. 12/27/19 (1,330,660)
USD 140,391,162 EUR 128,062,636 National Australia Bank Ltd. 12/27/19 (2,975,873)
USD 96,727,796 DKK 658,437,905 Barclays Capital 12/30/19 (2,007,058)
USD 133,880,061 CAD 177,499,283 Citibank, N.A. 12/30/19 (934,035)
USD 139,586,037 EUR 126,831,275 Citibank, N.A. 12/30/19 (2,436,423)
USD 142,621,089 GBP 115,610,078 JP Morgan 12/30/19 (7,428,232)
USD 22,665,229 EUR 20,539,157 State Street Bank and Trust 01/02/20 (339,500)
USD 53,389,934 DKK 362,000,000 State Street Bank and Trust 01/02/20 (907,800)
USD 53,576,974 DKK 363,303,013 State Street Bank and Trust 01/02/20 (916,204)
USD 132,365,825 EUR 120,281,263 State Street Bank and Trust 01/02/20 (2,354,301)
USD 138,123,176 CAD 182,683,909 HSBC Bank 01/02/20 (633,230)
USD 16,083,160 GBP 13,119,800 Citibank, N.A. 01/03/20 (947,605)
USD 116,297,290 GBP 93,876,313 Citibank, N.A. 01/03/20 (5,563,213)
USD 125,947,343 CAD 167,758,523 State Street Bank and Trust 01/03/20 (1,472,883)
USD 131,572,953 EUR 119,342,073 State Street Bank and Trust 01/03/20 (2,105,894)
USD 29,683,105 EUR 26,716,834 State Street Bank and Trust 01/06/20 (250,427)
USD 29,683,952 EUR 26,716,834 UBS AG 01/06/20 (249,580)
USD 29,686,113 EUR 26,716,834 State Street Bank and Trust 01/06/20 (247,419)
USD 29,688,165 EUR 26,716,834 Citibank, N.A. 01/06/20 (245,367)
USD 140,163,256 CAD 185,099,848 State Street Bank and Trust 01/06/20 (429,496)
USD 142,524,099 GBP 112,780,739 Barclays Capital 01/06/20 (3,893,519)
USD 8,327,854 SEK 81,516,555 HSBC Bank 01/07/20 (147,809)
USD 61,308,025 SEK 604,052,707 State Street Bank and Trust 01/07/20 (1,498,202)
USD 86,654,544 GBP 70,063,523 Citibank, N.A. 01/07/20 (4,307,757)
USD 136,465,278 CAD 181,454,059 State Street Bank and Trust 01/07/20 (1,358,639)
USD 143,723,017 EUR 129,878,701 State Street Bank and Trust 01/07/20 (1,802,025)
USD 16,681,583 EUR 15,124,708 State Street Bank and Trust 01/08/20 (266,228)
USD 133,852,642 CAD 178,162,699 JP Morgan 01/08/20 (1,471,635)
USD 135,877,312 EUR 122,804,192 Bank of America Corp. 01/08/20 (1,729,460)
USD 72,064,903 SEK 703,537,277 HSBC Bank 01/09/20 (1,091,825)
USD 139,948,982 CAD 186,048,204 JP Morgan 01/09/20 (1,365,101)
USD 140,627,699 EUR 127,236,203 Barclays Capital 01/09/20 (1,954,116)
USD 78,248,262 SEK 765,266,989 Barclays Capital 01/10/20 (1,330,977)
USD 137,688,148 CAD 183,166,406 Bank of America Corp. 01/10/20 (1,437,377)
USD 141,110,225 GBP 114,753,923 JP Morgan 01/10/20 (7,884,265)
USD 143,190,410 EUR 128,959,265 JP Morgan 01/10/20 (1,331,207)
USD 138,452,614 EUR 124,048,744 National Australia Bank Ltd. 01/13/20 (591,662)
USD 128,981,245 CAD 170,500,359 Barclays Capital 01/14/20 (524,911)
USD 138,904,246 EUR 125,411,929 UBS AG 01/14/20 (1,676,688)
USD 146,390,850 GBP 115,406,428 State Street Bank and Trust 01/14/20 (3,466,116)
USD 64,921,514 CAD 85,686,297 State Street Bank and Trust 01/15/20 (162,978)
57
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ---------------- ------------------------------------- ---------- --------------
USD 64,924,958 CAD 85,686,298 State Street Bank and Trust 01/15/20 $ (159,535)
USD 143,714,498 EUR 129,528,346 State Street Bank and Trust 01/15/20 (1,489,719)
USD 5,753,104 EUR 5,138,134 Morgan Stanley and Co. International 01/16/20 (7,217)
USD 66,477,207 EUR 59,432,506 JP Morgan 01/16/20 (152,098)
USD 66,482,075 EUR 59,432,506 State Street Bank and Trust 01/16/20 (147,230)
USD 111,873,945 DKK 746,700,914 State Street Bank and Trust 01/16/20 (245,190)
USD 111,506,685 DKK 742,692,169 State Street Bank and Trust 01/17/20 (18,316)
USD 133,589,162 EUR 119,187,998 State Street Bank and Trust 01/17/20 (39,802)
USD 139,589,326 EUR 125,039,112 State Street Bank and Trust 01/17/20 (599,681)
USD 136,895,049 EUR 122,145,536 State Street Bank and Trust 01/22/20 (92,117)
USD 68,283,067 SEK 657,336,919 UBS AG 01/23/20 (112,868)
USD 137,077,371 GBP 105,977,033 State Street Bank and Trust 01/23/20 (566,956)
USD 143,884,052 EUR 128,560,157 State Street Bank and Trust 01/23/20 (306,074)
USD 148,895,031 EUR 133,044,781 State Street Bank and Trust 01/24/20 (334,171)
USD 78,705,683 SEK 757,400,692 State Street Bank and Trust 01/28/20 (119,731)
USD 140,886,523 EUR 126,109,063 State Street Bank and Trust 01/28/20 (598,242)
USD 132,796,232 EUR 118,967,732 State Street Bank and Trust 01/29/20 (684,758)
-------------
TOTAL (DEPRECIATION) $(127,417,996
-------------
TOTAL APPRECIATION
(DEPRECIATION) $(102,133,027)
=============
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
------- -------------- ------- --------------
Bonds
Australia.................................. -- $ 230,601,336 -- $ 230,601,336
Austria.................................... -- 271,178,397 -- 271,178,397
Belgium.................................... -- 719,399,583 -- 719,399,583
Canada..................................... -- 3,050,584,074 -- 3,050,584,074
Denmark.................................... -- 582,105,608 -- 582,105,608
Finland.................................... -- 443,482,000 -- 443,482,000
France..................................... -- 1,244,721,055 -- 1,244,721,055
Germany.................................... -- 1,519,902,415 -- 1,519,902,415
Japan...................................... -- 423,903,333 -- 423,903,333
Netherlands................................ -- 898,777,416 -- 898,777,416
Norway..................................... -- 229,357,704 -- 229,357,704
Singapore.................................. -- 11,135,519 -- 11,135,519
Supranational Organization Obligations..... -- 2,055,533,585 -- 2,055,533,585
Sweden..................................... -- 719,724,646 -- 719,724,646
Switzerland................................ -- 87,709,523 -- 87,709,523
United Kingdom............................. -- 404,839,443 -- 404,839,443
United States.............................. -- 604,041,897 -- 604,041,897
U.S. Treasury Obligations..................... -- 1,733,497,270 -- 1,733,497,270
Commercial Paper.............................. -- 183,479,432 -- 183,479,432
58
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
------- --------------- ------- ---------------
Securities Lending Collateral................. -- $ 10,365,732 -- $ 10,365,732
Forward Currency Contracts**.................. -- (102,133,027) -- (102,133,027)
-- --------------- -- ---------------
TOTAL......................................... -- $15,322,206,941 -- $15,322,206,941
== =============== == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
59
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (100.0%)
AUSTRALIA -- (0.9%)
Queensland Treasury Corp.
3.500%, 08/21/30................................................. AUD 16,000 $ 13,003,446
------------
AUSTRIA -- (2.5%)
Republic of Austria Government Bond
(Omega) 0.750%, 02/20/28................................................. EUR 31,000 37,458,132
------------
BELGIUM -- (6.4%)
Dexia Credit Local SA
1.000%, 10/18/27................................................. EUR 32,450 39,065,802
Kingdom of Belgium Government Bond
(Omega) 0.800%, 06/22/28................................................. EUR 2,500 3,025,574
(Omega) 1.000%, 06/22/31................................................. EUR 32,300 40,081,223
1.250%, 04/22/33................................................. EUR 9,000 11,555,596
------------
TOTAL BELGIUM............................................................. 93,728,195
------------
CANADA -- (16.5%)
CPPIB Capital, Inc.
0.875%, 02/06/29................................................. EUR 15,000 17,973,500
1.500%, 03/04/33................................................. EUR 29,520 38,136,448
Province of Alberta Canada
3.500%, 06/01/31................................................. CAD 31,000 26,363,534
3.900%, 12/01/33................................................. CAD 32,000 28,532,746
Province of Manitoba Canada
3.250%, 09/05/29................................................. CAD 24,700 20,412,616
Province of Ontario Canada
5.850%, 03/08/33................................................. CAD 51,000 54,463,632
Province of Quebec Canada
0.875%, 05/04/27................................................. EUR 32,763 39,066,686
0.875%, 07/05/28................................................. EUR 3,000 3,585,291
Province of Saskatchewan Canada
6.400%, 09/05/31................................................. CAD 13,000 14,055,318
------------
TOTAL CANADA.............................................................. 242,589,771
------------
DENMARK -- (3.8%)
Denmark Government Bond
(Omega) 0.500%, 11/15/29................................................. DKK 345,000 56,081,298
------------
FINLAND -- (5.8%)
Finland Government Bond
(Omega) 1.125%, 04/15/34................................................. EUR 36,000 46,192,037
Municipality Finance P.L.C.
1.250%, 02/23/33................................................. EUR 30,511 38,907,633
------------
TOTAL FINLAND............................................................. 85,099,670
------------
FACE
AMOUNT^ VALUE+
--------- ------------
(000)
FRANCE -- (21.0%)
Agence Francaise de Developpement
1.000%, 01/31/28.................................................. EUR 28,000 $ 33,750,643
0.875%, 05/25/31.................................................. EUR 5,500 6,584,456
1.375%, 07/05/32.................................................. EUR 13,000 16,412,936
FRANCE (GOVT OF) BONDS REGS 05/34 1.25
1.250%, 05/25/34.................................................. EUR 73,000 94,197,711
French Republic Government Bond OAT
0.750%, 05/25/28.................................................. EUR 32,000 38,720,707
SNCF Mobilites
5.375%, 03/18/27.................................................. GBP 16,226 27,187,701
1.500%, 02/02/29.................................................. EUR 21,000 26,392,519
SNCF Reseau
5.000%, 10/10/33.................................................. EUR 9,000 16,222,966
SNCF Reseau EPIC
5.250%, 12/07/28.................................................. GBP 16,713 29,156,261
1.125%, 05/25/30.................................................. EUR 8,000 9,792,991
Unedic Asseo
1.500%, 04/20/32.................................................. EUR 9,000 11,681,256
------------
TOTAL FRANCE........................................................... 310,100,147
------------
GERMANY -- (6.5%)
Deutsche Bahn Finance GMBH
3.125%, 07/24/26.................................................. GBP 15,550 22,659,844
0.625%, 09/26/28.................................................. EUR 1,000 1,166,113
1.125%, 12/18/28.................................................. EUR 1,500 1,822,712
Kreditanstalt fuer Wiederaufbau
2.050%, 02/16/26.................................................. JPY 1,029,000 11,042,276
2.050%, 02/16/26.................................................. JPY 399,000 4,281,699
0.500%, 09/15/27.................................................. EUR 27,400 32,326,397
5.750%, 06/07/32.................................................. GBP 5,000 10,072,319
State of North Rhine-Westphalia Germany
2.375%, 05/13/33.................................................. EUR 9,000 12,894,759
------------
TOTAL GERMANY.......................................................... 96,266,119
------------
NETHERLANDS -- (3.4%)
BNG Bank NV
0.625%, 06/19/27.................................................. EUR 10,125 11,966,657
0.750%, 01/11/28.................................................. EUR 12,300 14,702,933
Nederlandse Waterschapsbank NV
1.000%, 03/01/28.................................................. EUR 7,600 9,269,267
0.500%, 04/29/30.................................................. EUR 6,500 7,580,037
60
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
NETHERLANDS -- (Continued)
Netherlands Government Bond
(Omega) 0.250%, 07/15/29................................................. EUR 5,000 $ 5,862,818
-----------
TOTAL NETHERLANDS 49,381,712
-----------
NORWAY -- (2.6%)
Equinor ASA
6.875%, 03/11/31................................................. GBP 19,124 38,509,199
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (17.1%)
African Development Bank
0.875%, 05/24/28................................................. EUR 7,535 9,107,835
0.500%, 03/21/29................................................. EUR 3,500 4,101,849
Asian Development Bank
2.350%, 06/21/27................................................. JPY 4,130,000 46,221,830
Council Of Europe Development Bank
0.750%, 01/24/28................................................. EUR 9,500 11,400,339
European Financial Stability Facility
0.875%, 07/26/27................................................. EUR 8,000 9,660,190
1.250%, 05/24/33................................................. EUR 25,000 32,031,128
European Investment Bank
1.900%, 01/26/26................................................. JPY 2,297,800 24,366,143
2.150%, 01/18/27................................................. JPY 517,100 5,679,278
1.375%, 05/12/28................................................. SEK 110,000 12,262,829
6.000%, 12/07/28................................................. GBP 1,300 2,420,726
5.625%, 06/07/32................................................. GBP 5,800 11,460,228
European Stability Mechanism
0.750%, 09/05/28................................................. EUR 3,000 3,616,462
FACE
AMOUNT^ VALUE+
------- --------------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
1.200%, 05/23/33..................................................... EUR 38,500 $ 49,302,260
European Union
2.875%, 04/04/28..................................................... EUR 21,460 30,173,868
--------------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS............................. 251,804,965
--------------
SWEDEN -- (3.7%)
Sweden Government Bond
2.250%, 06/01/32..................................................... SEK 415,000 55,098,377
--------------
UNITED KINGDOM -- (9.8%)
Network Rail Infrastructure Finance P.L.C.
4.375%, 12/09/30..................................................... GBP 6,700 11,792,070
Transport for London
4.000%, 09/12/33..................................................... GBP 19,346 32,333,666
United Kingdom Gilt
4.250%, 06/07/32..................................................... GBP 54,650 100,531,612
--------------
TOTAL UNITED KINGDOM..................................................... 144,657,348
--------------
TOTAL BONDS.............................................................. 1,473,778,379
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,425,526,316)................................................ $1,473,778,379
==============
As of October 31, 2019, DFA World ex U.S. Government Fixed Income Portfolio had
entered into the following forward currency contracts and the net unrealized
forward currency gain (loss) is reflected in the accompanying financial
statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ------------------- --------------------------------------- ---------- --------------
DKK 4,882,095 USD 731,539 Anz Securities 01/06/20 $ 1,009
GBP 2,967,340 USD 3,851,393 JP Morgan 01/03/20 500
GBP 2,877,301 USD 3,711,995 UBS AG 01/03/20 23,019
USD 93,922,705 JPY 10,007,460,414 State Street Bank and Trust 12/20/19 975,334
-----------
TOTAL APPRECIATION $ 999,862
CAD 2,026,760 USD 1,544,217 State Street Bank and Trust 01/06/20 $ (4,790)
GBP 5,912,376 USD 7,688,767 Bank of America Corp. 01/06/20 (13,024)
USD 13,093,253 AUD 18,988,352 State Street Bank and Trust 12/04/19 (7,190)
USD 132,505,626 EUR 120,818,149 National Australia Bank Ltd. 12/30/19 (2,783,487)
USD 1,778,264 EUR 1,610,388 State Street Bank and Trust 01/03/20 (25,583)
USD 6,604,525 EUR 5,975,407 State Street Bank and Trust 01/03/20 (88,718)
USD 130,197,032 EUR 118,098,459 State Street Bank and Trust 01/03/20 (2,088,803)
61
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------- ---------------- --------------------------------------- ---------- --------------
USD 144,475,357 GBP 116,722,674 Bank of America Corp. 01/03/20 $ (7,041,925)
USD 1,870,638 EUR 1,672,971 UBS AG 01/06/20 (3,758)
USD 5,837,473 GBP 4,518,366 State Street Bank and Trust 01/06/20 (28,497)
USD 56,565,825 DKK 379,992,428 State Street Bank and Trust 01/06/20 (451,228)
USD 65,713,158 EUR 59,148,140 State Street Bank and Trust 01/06/20 (556,399)
USD 65,719,663 EUR 59,148,139 State Street Bank and Trust 01/06/20 (549,893)
USD 142,558,742 GBP 112,606,771 Barclays Capital 01/06/20 (3,633,022)
USD 145,164,545 CAD 191,675,411 UBS AG 01/06/20 (422,682)
USD 138,506,135 EUR 125,331,410 Barclays Capital 01/09/20 (1,941,155)
USD 68,036,637 EUR 60,707,077 State Street Bank and Trust 01/17/20 (25,785)
USD 68,038,507 EUR 60,707,077 State Street Bank and Trust 01/17/20 (23,915)
USD 68,252,031 SEK 656,333,443 Bank of America Corp. 01/17/20 (20,952)
USD 134,773,991 EUR 120,634,127 State Street Bank and Trust 01/28/20 (568,313)
------------
TOTAL (DEPRECIATION) $(20,279,119)
------------
TOTAL APPRECIATION (DEPRECIATION) $(19,279,257)
============
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
------- -------------- ------- --------------
Bonds
Australia................................................ -- $ 13,003,446 -- $ 13,003,446
Austria.................................................. -- 37,458,132 -- 37,458,132
Belgium.................................................. -- 93,728,195 -- 93,728,195
Canada................................................... -- 242,589,771 -- 242,589,771
Denmark.................................................. -- 56,081,298 -- 56,081,298
Finland.................................................. -- 85,099,670 -- 85,099,670
France................................................... -- 310,100,147 -- 310,100,147
Germany.................................................. -- 96,266,119 -- 96,266,119
Netherlands.............................................. -- 49,381,712 -- 49,381,712
Norway................................................... -- 38,509,199 -- 38,509,199
Supranational Organization Obligations................... -- 251,804,965 -- 251,804,965
Sweden................................................... -- 55,098,377 -- 55,098,377
United Kingdom........................................... -- 144,657,348 -- 144,657,348
Forward Currency Contracts**................................ -- (19,279,257) -- (19,279,257)
-- -------------- -- --------------
TOTAL....................................................... -- $1,454,499,122 -- $1,454,499,122
== ============== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
62
DFA SHORT-TERM GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
---------- --------------
(000)
----------
AGENCY OBLIGATIONS -- (36.9%)
Federal Home Loan Bank
1.008%, 11/04/19................................................. 233,000 $ 232,967,380
1.466%, 11/06/19................................................. 172,000 171,959,867
1.540%, 11/13/19................................................. 110,000 109,938,400
1.577%, 11/19/19................................................. 236,000 235,801,760
1.600%, 11/27/19................................................. 46,000 45,944,187
1.624%, 12/10/19................................................. 90,000 89,837,175
--------------
TOTAL AGENCY OBLIGATIONS..................................................... 886,448,769
--------------
U.S. TREASURY OBLIGATIONS -- (59.1%)
U.S. Treasury Bills
(infinity) 0.999%, 11/05/19................................................. 173,000 172,970,827
(infinity) 1.282%, 11/12/19................................................. 27,000 26,987,500
(infinity) 1.277%, 11/14/19................................................. 230,000 229,876,018
(infinity) 0.000%, 11/26/19................................................. 93,000 92,899,949
U.S. Treasury Notes
1.000%, 11/15/19................................................. 59,000 58,980,743
1.000%, 11/30/19................................................. 30,000 29,979,640
1.500%, 11/30/19................................................. 100,000 99,971,385
U.S. Treasury Notes, 3M USTMMR + 0.045%, FRN
(r) 1.682%, 10/31/20................................................. 236,000 235,727,710
U.S. Treasury Notes, 3M USTMMR + 0.115%, FRN
(r) 1.752%, 01/31/21................................................. 235,000 234,734,986
U.S. Treasury Notes, 3M USTMMR + 0.139%, FRN
(r) 1.776%, 04/30/21................................................. 235,000 234,698,185
--------------
TOTAL U.S. TREASURY OBLIGATIONS.............................................. 1,416,826,943
--------------
TOTAL INVESTMENT SECURITIES
(Cost $2,303,872,255).................................................... 2,303,275,712
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (4.0%)
State Street Institutional U.S. Government Money Market Fund
1.752%......................................................... 96,119,700 96,119,700
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,399,991,955).................................................... $2,399,395,412
==============
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
----------- -------------- ------- --------------
Agency Obligations.......................................... -- $ 886,448,769 -- $ 886,448,769
U.S. Treasury Obligations................................... -- 1,416,826,943 -- 1,416,826,943
Temporary Cash Investments.................................. $96,119,700 -- -- 96,119,700
----------- -------------- -- --------------
TOTAL....................................................... $96,119,700 $2,303,275,712 -- $2,399,395,412
=========== ============== == ==============
See accompanying Notes to Financial Statements.
63
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
AGENCY OBLIGATIONS -- (29.2%)
Federal Farm Credit Bank
5.350%, 08/07/20.................................................. 4,693 $ 4,827,147
5.250%, 03/02/21.................................................. 4,273 4,472,780
5.220%, 02/22/22.................................................. 3,503 3,791,112
5.210%, 12/19/22.................................................. 14,851 16,534,617
5.250%, 03/06/23.................................................. 4,203 4,716,924
5.220%, 05/15/23.................................................. 33,694 37,997,739
3.500%, 12/20/23.................................................. 6,000 6,471,657
Federal Home Loan Bank
5.250%, 12/11/20.................................................. 5,290 5,502,371
5.000%, 03/12/21.................................................. 3,645 3,813,190
5.250%, 06/10/22.................................................. 5,780 6,318,073
5.750%, 06/10/22.................................................. 13,660 15,107,793
5.375%, 09/30/22.................................................. 44,400 49,084,989
2.125%, 03/10/23.................................................. 10,000 10,177,646
4.750%, 03/10/23.................................................. 34,465 38,028,881
2.500%, 12/08/23.................................................. 25,000 25,878,726
3.250%, 03/08/24.................................................. 20,000 21,378,685
2.875%, 06/14/24.................................................. 61,000 64,398,918
5.375%, 08/15/24.................................................. 29,950 35,079,473
5.365%, 09/09/24.................................................. 1,400 1,641,377
2.875%, 09/13/24.................................................. 71,500 75,485,917
2.750%, 12/13/24.................................................. 20,000 21,063,351
3.125%, 06/13/25.................................................. 11,480 12,380,725
3.125%, 09/12/25.................................................. 43,715 47,104,300
4.375%, 03/13/26.................................................. 14,080 16,258,161
5.750%, 06/12/26.................................................. 8,080 10,093,348
3.000%, 09/11/26.................................................. 60,885 65,529,876
2.500%, 12/10/27.................................................. 43,230 45,005,886
3.000%, 03/10/28.................................................. 29,640 32,143,589
3.250%, 06/09/28.................................................. 149,850 165,807,419
3.250%, 11/16/28.................................................. 136,000 151,549,285
Tennessee Valley Authority
3.875%, 02/15/21.................................................. 49,241 50,612,840
1.875%, 08/15/22.................................................. 89,450 90,037,627
2.875%, 09/15/24.................................................. 122,775 129,427,088
6.750%, 11/01/25.................................................. 47,282 60,411,954
2.875%, 02/01/27.................................................. 140,706 149,433,288
7.125%, 05/01/30.................................................. 100,000 146,616,248
--------------
TOTAL AGENCY OBLIGATIONS............................................... 1,624,183,000
--------------
U.S. TREASURY OBLIGATIONS -- (70.4%)
U.S. Treasury Bonds
6.875%, 08/15/25.................................................. 71,630 92,631,493
6.000%, 02/15/26.................................................. 128,833 162,817,230
6.750%, 08/15/26.................................................. 90,183 120,031,193
FACE
AMOUNT^ VALUE+
---------- --------------
(000)
----------
6.625%, 02/15/27................................................. 98,828 $ 132,857,360
6.125%, 11/15/27................................................. 20,000 26,760,938
5.250%, 11/15/28................................................. 95,132 123,690,310
6.125%, 08/15/29................................................. 75,528 105,786,405
6.250%, 05/15/30................................................. 171,289 246,302,114
5.375%, 02/15/31................................................. 217,000 298,146,132
U.S. Treasury Notes
2.000%, 10/31/21................................................. 2 1,816
2.250%, 11/15/24................................................. 40,500 41,876,367
2.250%, 12/31/24................................................. 80,000 82,778,125
2.500%, 01/31/25................................................. 50,000 52,384,766
2.000%, 02/15/25................................................. 66,000 67,485,000
2.125%, 05/15/25................................................. 140,000 144,117,968
2.750%, 06/30/25................................................. 20,000 21,268,750
2.875%, 07/31/25................................................. 35,000 37,493,750
2.000%, 08/15/25................................................. 134,000 137,135,391
2.250%, 11/15/25................................................. 112,000 116,265,625
1.625%, 02/15/26................................................. 156,000 156,286,407
1.625%, 05/15/26................................................. 178,000 178,305,937
1.500%, 08/15/26................................................. 183,000 181,784,767
2.000%, 11/15/26................................................. 184,300 189,181,071
2.250%, 02/15/27................................................. 161,500 168,641,328
2.375%, 05/15/27................................................. 55,000 57,988,477
2.250%, 08/15/27................................................. 176,000 184,064,375
2.250%, 11/15/27................................................. 52,000 54,413,125
2.750%, 02/15/28................................................. 5,000 5,427,344
2.875%, 05/15/28................................................. 130,000 142,598,828
2.625%, 02/15/29................................................. 150,000 162,164,062
2.375%, 05/15/29................................................. 190,000 201,466,796
1.625%, 08/15/29................................................. 227,000 225,643,321
--------------
TOTAL U.S. TREASURY OBLIGATIONS...................................... 3,917,796,571
--------------
TOTAL INVESTMENT SECURITIES
(Cost $5,298,514,484)............................................ 5,541,979,571
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (0.4%)
State Street Institutional U.S. Government Money Market Fund
1.752%......................................................... 19,916,162 19,916,162
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $5,318,430,646)............................................ $5,561,895,733
==============
64
DFA INTERMEDIATE GOVERNMENT FIXED INCOME 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
----------- -------------- ------- --------------
Agency Obligations.......................................... -- $1,624,183,000 -- $1,624,183,000
U.S. Treasury Obligations................................... -- 3,917,796,571 -- 3,917,796,571
Temporary Cash Investments.................................. $19,916,162 -- -- 19,916,162
----------- -------------- -- --------------
TOTAL....................................................... $19,916,162 $5,541,979,571 -- $5,561,895,733
=========== ============== == ==============
See accompanying Notes to Financial Statements.
65
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
BONDS -- (76.5%)
Abbott Ireland Financing DAC
0.000%, 09/27/20................................................. EUR 8,847 $ 9,880,219
0.875%, 09/27/23................................................. EUR 23,016 26,454,985
AbbVie, Inc.
2.500%, 05/14/20................................................. 22,623 22,688,756
2.900%, 11/06/22................................................. 1,252 1,276,320
ABN AMRO Bank NV
0.500%, 07/17/23................................................. EUR 17,291 19,608,282
Aetna, Inc.
2.750%, 11/15/22................................................. 2,000 2,028,813
Aflac, Inc.
# 3.625%, 06/15/23................................................. 706 746,245
Agence Francaise de Developpement
1.625%, 01/21/20................................................. 12,892 12,882,151
Agence Francaise de Developpement EPIC, Floating Rate Note, FRN
(r) 2.284%, 06/19/20................................................. 30,000 30,013,390
Airbus Finance BV
(Omega) 2.700%, 04/17/23................................................. 7,000 7,158,478
Albemarle Corp.
1.875%, 12/08/21................................................. EUR 3,000 3,473,378
Alimentation Couche-Tard, Inc.
(Omega) 2.700%, 07/26/22................................................. 3,000 3,035,358
Allergan Finance LLC
3.250%, 10/01/22................................................. 18,630 19,062,179
Allergan Funding SCS
3.450%, 03/15/22................................................. 12,220 12,525,133
Altria Group, Inc.
# 2.625%, 01/14/20................................................. 1,025 1,025,310
1.000%, 02/15/23................................................. EUR 17,875 20,189,169
Ameren Corp.
2.700%, 11/15/20................................................. 1,000 1,006,629
American Express Co.
# 2.500%, 08/01/22................................................. 1,220 1,236,978
# 2.650%, 12/02/22................................................. 12,256 12,514,185
American Express Credit Corp.
# 2.600%, 09/14/20................................................. 13,165 13,238,601
American Honda Finance Corp.
#(r) 2.391%, 02/12/21................................................. 30,000 29,992,912
(r) 2.488%, 06/11/21................................................. 8,767 8,787,903
1.375%, 11/10/22................................................. EUR 5,000 5,802,871
0.550%, 03/17/23................................................. EUR 4,193 4,761,170
American International Group, Inc.
3.375%, 08/15/20................................................. 3,000 3,033,548
6.400%, 12/15/20................................................. 11,283 11,831,608
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
1.500%, 06/08/23................................................. EUR 7,600 $ 8,835,599
Ameriprise Financial, Inc.
5.300%, 03/15/20................................................. 6,957 7,038,258
AmerisourceBergen Corp.
3.500%, 11/15/21................................................. 2,000 2,043,161
Amgen, Inc.
# 3.450%, 10/01/20................................................. 4,990 5,062,951
# 4.100%, 06/15/21................................................. 5,000 5,161,202
Anheuser-Busch InBev SA
0.800%, 04/20/23................................................. EUR 5,000 5,737,615
ANZ New Zealand International, Ltd.
0.400%, 03/01/22................................................. EUR 9,750 10,995,963
AP Moller - Maersk A.S.
1.500%, 11/24/22................................................. EUR 540 626,775
AP Moller Maersk A.S.
1.750%, 03/18/21................................................. EUR 3,369 3,848,149
Apache Corp.
3.250%, 04/15/22................................................. 12,484 12,706,015
Applied Materials, Inc.
2.625%, 10/01/20................................................. 1,590 1,599,796
ArcelorMittal
2.875%, 07/06/20................................................. EUR 6,450 7,333,355
3.000%, 04/09/21................................................. EUR 700 812,151
0.950%, 01/17/23................................................. EUR 12,000 13,469,198
2.250%, 01/17/24................................................. EUR 7,000 8,173,157
Ares Capital Corp.
# 4.200%, 06/10/24................................................. 9,840 10,203,949
ASB Finance, Ltd.
0.500%, 06/10/22................................................. EUR 2,200 2,491,887
Assurant, Inc.
4.000%, 03/15/23................................................. 8,305 8,646,805
AstraZeneca P.L.C.
2.375%, 11/16/20................................................. 23,256 23,361,402
AT&T, Inc.
# 4.600%, 02/15/21................................................. 8,793 9,033,178
#(r) 2.888%, 06/01/21................................................. 7,800 7,834,410
3.800%, 03/15/22................................................. 9,259 9,630,747
2.500%, 03/15/23................................................. EUR 15,000 17,966,574
1.950%, 09/15/23................................................. EUR 5,200 6,179,487
Australia & New Zealand Banking Group Ltd.
(r) 2.584%, 05/17/21................................................. 12,500 12,547,468
Australia & New Zealand Banking Group, Ltd.
(r)(Omega) 2.504%, 11/09/20................................................. 4,000 4,006,982
3.300%, 03/07/22................................................. AUD 19,300 13,889,562
Australia & New Zealand Banking Group, Ltd., 3M USD LIBOR + 0.870%, FRN
(r)(Omega) 3.018%, 11/23/21................................................. 2,050 2,073,699
66
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Australia & New Zealand Banking Group, Ltd., Floating Rate Note, Update
Replacements.xls: US0003M + 0.870%, FRN
#(r) 3.018%, 11/23/21................................................. 10,000 $10,115,604
Autodesk, Inc.
3.125%, 06/15/20................................................. 14,337 14,412,507
3.600%, 12/15/22................................................. 1,000 1,034,878
AutoZone, Inc.
2.875%, 01/15/23................................................. 22,501 22,916,062
Avnet, Inc.
# 4.875%, 12/01/22................................................. 4,291 4,568,667
Banco Santander SA
3.848%, 04/12/23................................................. 25,400 26,549,562
Bank of America Corp.
2.625%, 10/19/20................................................. 2,300 2,315,398
# 5.700%, 01/24/22................................................. 19,171 20,768,410
3.228%, 06/22/22................................................. CAD 4,130 3,216,640
3.300%, 01/11/23................................................. 563 583,547
Bank of Montreal
(r) 2.353%, 01/22/21................................................. 22,772 22,817,088
# 1.900%, 08/27/21................................................. 5,254 5,258,518
(r) 2.922%, 08/27/21................................................. 4,608 4,658,227
Bank of Montreal, 3M USD LIBOR + 0.460%, FRN
(r) 2.461%, 04/13/21................................................. 5,000 5,021,400
Bank of New York Mellon Corp. (The)
# 2.150%, 02/24/20................................................. 11,695 11,703,089
Bank of Nova Scotia (The)
2.350%, 10/21/20................................................. 934 938,476
2.450%, 03/22/21................................................. 37,679 37,991,294
# 2.700%, 03/07/22................................................. 3,305 3,364,689
Bank of Nova Scotia (The), 3M USD LIBOR + 0.290%, FRN
(r) 2.317%, 01/08/21................................................. 1,898 1,901,449
Bank of Nova Scotia (The), 3M USD LIBOR + 0.440%, FRN
(r) 2.406%, 04/20/21................................................. 5,515 5,532,768
Barclays P.L.C.
2.750%, 11/08/19................................................. 25,424 25,425,442
1.500%, 04/01/22................................................. EUR 1,764 2,036,995
Barclays PLC
# 3.200%, 08/10/21................................................. 12,000 12,171,294
BAT International Finance P.L.C.
6.375%, 12/12/19................................................. GBP 1,787 2,326,564
4.875%, 02/24/21................................................. EUR 1,487 1,764,558
3.625%, 11/09/21................................................. EUR 1,854 2,217,058
(Omega) 3.250%, 06/07/22................................................. 7,350 7,509,079
2.375%, 01/19/23................................................. EUR 12,041 14,339,026
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
0.875%, 10/13/23............................................. EUR 3,487 $ 3,947,541
7.250%, 03/12/24............................................. GBP 2,443 3,873,980
Bayer Capital Corp. BV
1.250%, 11/13/23............................................. EUR 17,005 19,811,951
BB&T Corp.
2.050%, 05/10/21............................................. 1,292 1,294,505
Beam Suntory, Inc.
3.250%, 06/15/23............................................. 10,000 10,263,361
BHP Billiton Finance, Ltd.
2.250%, 09/25/20............................................. EUR 3,850 4,386,266
Biogen, Inc.
2.900%, 09/15/20............................................. 19,046 19,196,661
3.625%, 09/15/22............................................. 6,426 6,715,821
BMW Finance NV
0.125%, 01/12/21............................................. EUR 2,322 2,597,858
0.500%, 11/22/22............................................. EUR 4,200 4,751,272
0.375%, 07/10/23............................................. EUR 3,000 3,381,968
0.625%, 10/06/23............................................. EUR 12,085 13,739,878
BMW US Capital LLC
(r)(Omega) 2.676%, 08/13/21............................................. 20,407 20,445,403
0.625%, 04/20/22............................................. EUR 2,000 2,266,423
BNG Bank NV
0.050%, 07/11/23............................................. EUR 4,000 4,537,128
BNG Bank NV, Floating Rate Note, Update Replacements.xls: US0003M +
0.100%, FRN
(r) 2.101%, 07/14/20............................................. 14,000 14,008,455
BNP Paribas SA
2.875%, 10/24/22............................................. EUR 5,000 6,073,309
1.125%, 11/22/23............................................. EUR 15,500 17,927,738
1.000%, 06/27/24............................................. EUR 8,000 9,219,121
Booking Holdings, Inc.
0.800%, 03/10/22............................................. EUR 7,866 8,949,284
BP Capital Markets America, Inc.
# 2.112%, 09/16/21............................................. 1,000 1,002,631
BP Capital Markets P.L.C.
2.315%, 02/13/20............................................. 10,527 10,541,415
# 2.500%, 11/06/22............................................. 2,000 2,033,355
1.109%, 02/16/23............................................. EUR 5,000 5,777,743
1.117%, 01/25/24............................................. EUR 7,650 8,887,112
BPCE SA
# 2.250%, 01/27/20............................................. 11,575 11,572,272
2.750%, 12/02/21............................................. 1,000 1,014,064
1.125%, 12/14/22............................................. EUR 2,500 2,891,693
1.125%, 01/18/23............................................. EUR 1,600 1,842,192
0.625%, 09/26/23............................................. EUR 10,000 11,411,189
British Telecommunications P.L.C.
0.500%, 06/23/22............................................. EUR 1,600 1,805,304
1.125%, 03/10/23............................................. EUR 10,326 11,895,388
0.875%, 09/26/23............................................. EUR 15,480 17,707,924
67
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
British Telecommunications PLC
0.625%, 03/10/21................................................. EUR 4,647 $ 5,231,350
Broadcom Corp. / Broadcom Cayman Finance Ltd.
2.375%, 01/15/20................................................. 1,000 1,000,690
3.000%, 01/15/22................................................. 9,465 9,590,240
Caisse d'Amortissement de la Dette Sociale
2.000%, 04/17/20................................................. 17,000 17,006,698
0.125%, 11/25/22................................................. EUR 26,900 30,547,410
Caisse des Depots et Consignations, Floating Rate Note, 3M USD LIBOR +
0.090%, FRN
(r) 2.175%, 10/02/20................................................. 40,000 40,011,861
Canadian Imperial Bank of Commerce
0.750%, 03/22/23................................................. EUR 23,000 26,337,824
0.375%, 05/03/24................................................. EUR 2,880 3,220,190
Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.315%, FRN
(r) 2.581%, 02/02/21................................................. 645 646,206
Canadian Natural Resources, Ltd.
2.950%, 01/15/23................................................. 12,000 12,244,985
Capital One Financial Corp.
0.800%, 06/12/24................................................. EUR 5,125 5,806,268
Caterpillar Financial Services Corp.
(r) 2.338%, 05/15/20................................................. 28,500 28,521,005
(r) 2.349%, 03/15/21................................................. 7,053 7,058,952
(r) 2.514%, 05/17/21................................................. 3,935 3,943,909
Caterpillar Financial Services Corp., 3M USD LIBOR + 0.280%, FRN
(r) 2.382%, 09/07/21................................................. 7,723 7,725,240
CBS Corp.
3.375%, 03/01/22................................................. 5,000 5,123,874
Celgene Corp.
3.550%, 08/15/22................................................. 9,995 10,417,144
Chevron Corp.
# 1.991%, 03/03/20................................................. 1,500 1,500,617
# 2.498%, 03/03/22................................................. 540 548,466
Chubb INA Holdings, Inc.
2.300%, 11/03/20................................................. 7,229 7,251,314
Church & Dwight Co., Inc.
# 2.875%, 10/01/22................................................. 7,000 7,141,317
Cigna Corp.
(Omega) 3.900%, 02/15/22................................................. 1,000 1,037,191
Cisco Systems, Inc.
1.850%, 09/20/21................................................. 16,065 16,090,355
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Citigroup, Inc.
(r) 3.456%, 08/02/21................................................. 10,105 $10,251,017
0.750%, 10/26/23................................................. EUR 26,478 30,274,937
Citizens Bank N.A.
2.450%, 12/04/19................................................. 2,175 2,175,783
Citizens Bank NA
# 2.650%, 05/26/22................................................. 8,635 8,771,835
Coca-Cola Co. (The)
# 3.150%, 11/15/20................................................. 1,020 1,034,156
Coca-Cola European Partners P.L.C.
2.625%, 11/06/23................................................. EUR 4,620 5,664,800
Coca-Cola European Partners US LLC
3.500%, 09/15/20................................................. 4,591 4,639,359
Comcast Corp., 3M USD LIBOR + 0.440%, FRN
(r) 2.539%, 10/01/21................................................. 14,640 14,718,031
Commonwealth Bank of Australia
(Omega) 2.250%, 03/10/20................................................. 4,000 4,004,660
2.400%, 11/02/20................................................. 10,000 10,052,944
2.900%, 07/12/21................................................. AUD 5,000 3,536,378
3.250%, 01/17/22................................................. AUD 5,000 3,586,303
(Omega) 2.750%, 03/10/22................................................. 11,500 11,705,688
3.250%, 03/31/22................................................. AUD 3,200 2,301,989
Constellation Brands, Inc.
2.700%, 05/09/22................................................. 4,935 4,997,001
3.200%, 02/15/23................................................. 5,191 5,354,886
Cooperatieve Rabobank UA
# 2.500%, 01/19/21................................................. 8,935 9,002,312
0.125%, 10/11/21................................................. EUR 2,750 3,084,882
2.750%, 01/10/22................................................. 4,928 5,006,654
4.000%, 01/11/22................................................. EUR 2,500 3,041,824
3.875%, 02/08/22................................................. 15,799 16,445,573
4.750%, 06/06/22................................................. EUR 3,000 3,771,268
0.500%, 12/06/22................................................. EUR 3,496 3,976,110
Corning, Inc.
4.250%, 08/15/20................................................. 2,850 2,899,054
Costco Wholesale Corp.
1.700%, 12/15/19................................................. 2 1,999
Cox Communications, Inc.
(Omega) 3.250%, 12/15/22................................................. 770 794,776
Credit Agricole SA
0.750%, 12/05/23................................................. EUR 2,000 2,297,192
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22................................................. EUR 10,220 11,742,479
CVS Health Corp.
(r) 2.822%, 03/09/21................................................. 2,185 2,197,061
2.750%, 12/01/22................................................. 2,120 2,156,532
Daimler AG
1.400%, 01/12/24................................................. EUR 1,355 1,591,151
68
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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DAIMLER AG SR UNSECURED REGS 01/21 0.875
0.875%, 01/12/21................................................. EUR 1,500 $ 1,691,068
Daimler Finance North America LLC
#(Omega) 2.250%, 03/02/20................................................. 9,750 9,759,037
(Omega) 2.850%, 01/06/22................................................. 3,000 3,038,507
Daimler Finance North America LLC, Floating Rate Note, 3M USD LIBOR +
0.670%, FRN
#(r) 2.957%, 11/05/21................................................. 13,000 13,020,972
Daimler International Finance BV
0.200%, 09/13/21................................................. EUR 6,893 7,718,220
0.625%, 02/27/23................................................. EUR 6,000 6,801,329
2.000%, 09/04/23................................................. GBP 2,000 2,644,084
Daiwa Securities Group, Inc.
(Omega) 3.129%, 04/19/22................................................. 11,000 11,214,020
Danone SA
(Omega) 2.077%, 11/02/21................................................. 5,000 5,001,050
Danske Bank A.S.
(Omega) 2.750%, 09/17/20................................................. 15,822 15,917,451
0.875%, 05/22/23................................................. EUR 3,000 3,401,033
Denmark Government Bond
1.500%, 11/15/23................................................. DKK 45,000 7,317,155
Deutsche Telekom International Finance BV
#(Omega) 1.950%, 09/19/21................................................. 2,535 2,528,360
Dexia Credit Local SA
0.625%, 01/21/22................................................. EUR 750 854,124
0.250%, 06/02/22................................................. EUR 8,000 9,053,378
0.750%, 01/25/23................................................. EUR 1,200 1,384,142
Discovery Communications LLC
3.300%, 05/15/22................................................. 6,000 6,159,872
3.500%, 06/15/22................................................. 10,000 10,301,458
# 3.250%, 04/01/23................................................. 1,489 1,532,396
Dollar General Corp.
3.250%, 04/15/23................................................. 8,009 8,305,803
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20................................................. 5,000 5,038,820
(r) 2.718%, 06/15/21................................................. 18,669 18,759,542
Dover Corp.
2.125%, 12/01/20................................................. EUR 1,203 1,371,749
Dow Chemical Co. (The)
3.000%, 11/15/22................................................. 9,897 10,133,113
DTE Energy Co.
2.400%, 12/01/19................................................. 18,342 18,347,825
DXC Technology Co.
4.450%, 09/18/22................................................. 1,250 1,308,030
FACE
AMOUNT^ VALUE+
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(000)
-------
E*TRADE Financial Corp.
2.950%, 08/24/22................................................. 4,060 $ 4,136,422
Eastman Chemical Co.
2.700%, 01/15/20................................................. 1,166 1,166,877
Eaton Corp.
2.750%, 11/02/22................................................. 1,285 1,313,181
eBay, Inc.
3.800%, 03/09/22................................................. 1,636 1,694,888
Edison International
# 2.950%, 03/15/23................................................. 2,000 1,974,682
Electricite de France SA
2.750%, 03/10/23................................................. EUR 11,700 14,250,820
Electronic Arts, Inc.
3.700%, 03/01/21................................................. 11,879 12,121,180
EMD Finance LLC
(Omega) 2.400%, 03/19/20................................................. 1,755 1,756,143
Enbridge, Inc.
#(r) 2.410%, 01/10/20................................................. 1,245 1,245,672
2.900%, 07/15/22................................................. 18,189 18,583,701
3.190%, 12/05/22................................................. CAD 5,000 3,881,558
Enel Finance International NV
(Omega) 2.875%, 05/25/22................................................. 2,200 2,228,634
5.000%, 09/14/22................................................. EUR 2,000 2,552,221
Energy Transfer Operating L.P.
4.650%, 06/01/21................................................. 1,180 1,215,740
5.875%, 01/15/24................................................. 15,296 16,985,118
Energy Transfer Partners L.P.
3.600%, 02/01/23................................................. 2,000 2,056,776
Eni SpA
4.000%, 06/29/20................................................. EUR 3,450 3,954,306
1.750%, 01/18/24................................................. EUR 4,406 5,266,640
Enterprise Products Operating LLC
5.250%, 01/31/20................................................. 1,788 1,801,699
# 3.350%, 03/15/23................................................. 6,000 6,214,888
EQT Corp.
# 4.875%, 11/15/21................................................. 3,500 3,572,283
Equifax, Inc.
3.950%, 06/15/23................................................. 10,000 10,537,257
Equinor ASA
2.250%, 11/08/19................................................. 4,000 3,999,971
Erste Abwicklungsanstalt, Floating Rate Note, Update Replacements.xls:
US0003M + 0.210%, FRN
(r) 2.312%, 03/09/20................................................. 14,200 14,211,218
EUROFIMA, Floating Rate Note, 3M USD LIBOR + 0.100%, FRN
(r) 2.238%, 03/11/22................................................. 18,458 18,443,049
European Financial Stability Facility
0.000%, 11/17/22................................................. EUR 47,387 53,535,651
69
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
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FACE
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(000)
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0.500%, 01/20/23................................................. EUR 11,000 $12,634,260
European Investment Bank
1.250%, 12/16/19................................................. 10,000 9,991,600
1.625%, 03/16/20................................................. 7,000 6,995,520
European Stability Mechanism
0.000%, 11/07/19................................................. EUR 30,000 33,463,109
0.100%, 07/31/23................................................. EUR 7,000 7,954,340
Eversource Energy
2.500%, 03/15/21................................................. 5,500 5,533,317
Exelon Corp.
2.850%, 06/15/20................................................. 1,399 1,405,293
2.450%, 04/15/21................................................. 447 449,938
Exelon Generation Co. LLC
2.950%, 01/15/20................................................. 7,064 7,068,227
3.400%, 03/15/22................................................. 1,600 1,643,798
FedEx Corp.
1.000%, 01/11/23................................................. EUR 21,955 25,105,519
Fidelity National Information Services, Inc.
3.625%, 10/15/20................................................. 6,415 6,504,589
2.250%, 08/15/21................................................. 3,094 3,104,654
Fluor Corp.
1.750%, 03/21/23................................................. EUR 40,276 42,646,963
FMS Wertmanagement
2.250%, 02/03/20................................................. 12,600 12,609,072
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20................................................. 6,500 6,531,838
GATX Corp.
4.750%, 06/15/22................................................. 12,125 12,877,188
GE Capital European Funding Un, Ltd. Co.
4.350%, 11/03/21................................................. EUR 2,463 2,963,885
0.800%, 01/21/22................................................. EUR 1,750 1,970,485
GE Capital International Funding Co., Unlimited Co.
# 2.342%, 11/15/20................................................. 11,684 11,676,571
General Dynamics Corp.
(r) 2.561%, 05/11/21................................................. 15,000 15,071,088
General Electric Co.
0.375%, 05/17/22................................................. EUR 1,500 1,668,966
General Mills, Inc.
1.000%, 04/27/23................................................. EUR 5,922 6,816,845
General Motors Financial Co., Inc.
3.200%, 07/06/21................................................. 12,709 12,862,958
3.450%, 01/14/22................................................. 14,123 14,399,482
Gilead Sciences, Inc.
4.500%, 04/01/21................................................. 1,198 1,236,369
GlaxoSmithKline Capital P.L.C
0.625%, 12/02/19................................................. EUR 5,749 6,416,474
GlaxoSmithKline Capital, Inc.
# 2.800%, 03/18/23................................................. 5,700 5,870,138
FACE
AMOUNT^ VALUE+
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(000)
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Global Payments, Inc.
3.800%, 04/01/21................................................. 1,531 $ 1,563,412
Goldman Sachs Group, Inc.
2.500%, 10/18/21................................................. EUR 9,411 11,039,035
Goldman Sachs Group, Inc. (The)
# 2.750%, 09/15/20................................................. 10,000 10,060,332
5.750%, 01/24/22................................................. 5,000 5,388,362
3.250%, 02/01/23................................................. EUR 12,360 15,186,112
Harley-Davidson Financial Services, Inc.
(Omega) 2.150%, 02/26/20................................................. 21,047 21,032,427
(Omega) 2.550%, 06/09/22................................................. 11,012 11,016,046
Hartford Financial Services Group, Inc. (The)
5.500%, 03/30/20................................................. 4,600 4,664,937
Hewlett Packard Enterprise Co.
3.600%, 10/15/20................................................. 10,000 10,134,136
HP, Inc.
4.300%, 06/01/21................................................. 1,000 1,036,178
HSBC Bank P.L.C., Floating Rate Note, FRN
(r) 0.017%, 03/09/20................................................. EUR 4,700 5,248,901
HSBC Holdings PLC, 3M USD LIBOR + 1.660%, FRN
(r) 3.792%, 05/25/21................................................. 34,826 35,467,462
HSBC USA, Inc.
2.375%, 11/13/19................................................. 1,683 1,683,154
# 2.350%, 03/05/20................................................. 5,500 5,507,419
Iberdrola International BV
1.750%, 09/17/23................................................. EUR 3,000 3,570,690
IBM Credit LLC
(r) 2.594%, 11/30/20................................................. 6,536 6,563,622
(r) 2.226%, 01/20/21................................................. 26,000 26,048,360
#(r) 2.447%, 02/05/21................................................. 14,000 14,005,320
ING Bank NV
(Omega) 2.750%, 03/22/21................................................. 6,000 6,067,279
ING Bank NV, Floating Rate Note, FRN
(r) 0.002%, 11/26/21................................................. EUR 15,400 17,266,646
ING Groep NV
1.000%, 09/20/23................................................. EUR 4,200 4,836,385
Integrys Holding, Inc.
4.170%, 11/01/20................................................. 1,000 1,021,171
Inter-American Development Bank
(r) 1.940%, 10/09/20................................................. 20,573 20,564,154
International Business Machines Corp.
1.875%, 11/06/20................................................. EUR 3,938 4,485,662
1.250%, 05/26/23................................................. EUR 4,000 4,664,174
Intesa Sanpaolo SpA
0.875%, 06/27/22................................................. EUR 3,000 3,411,733
70
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Ireland Government Bond
3.400%, 03/18/24................................................. EUR 15,000 $19,530,983
John Deere Capital Corp.
2.050%, 03/10/20................................................. 8,620 8,624,226
Johnson Controls International P.L.C.
1.000%, 09/15/23................................................. EUR 15,011 17,209,060
JPMorgan Chase & Co.
3.875%, 09/23/20................................................. EUR 5,150 5,957,692
2.550%, 10/29/20................................................. 11,000 11,066,160
2.625%, 04/23/21................................................. EUR 3,000 3,487,042
4.350%, 08/15/21................................................. 4,994 5,207,970
0.625%, 01/25/24................................................. EUR 14,800 16,874,453
Kellogg Co.
0.800%, 11/17/22................................................. EUR 8,770 10,006,537
Keurig Dr Pepper, Inc.
2.000%, 01/15/20................................................. 747 746,775
# 3.200%, 11/15/21................................................. 5,000 5,074,695
2.700%, 11/15/22................................................. 2,000 2,021,184
KeyCorp
2.900%, 09/15/20................................................. 7,259 7,318,887
5.100%, 03/24/21................................................. 8,008 8,337,361
Kommunalbanken A.S., Floating Rate Note, 3M USD LIBOR + 0.040%, FRN
(r) 2.041%, 04/15/21................................................. 3,000 2,998,502
Kommunalbanken A.S., Floating Rate Note, 3M USD LIBOR + 0.130%, FRN
(r) 2.232%, 09/08/21................................................. 10,000 10,007,856
Kommunekredit
0.000%, 09/08/22................................................. EUR 1,750 1,974,165
Kommuninvest I Sverige AB
2.000%, 11/12/19................................................. 9,471 9,471,379
1.000%, 09/15/21................................................. SEK 360,000 37,934,401
0.250%, 06/01/22................................................. SEK 903,000 93,894,310
0.750%, 02/22/23................................................. SEK 150,000 15,833,793
Kreditanstalt fuer Wiederaufbau
# 1.500%, 04/20/20................................................. 18,500 18,473,702
Kroger Co. (The)
2.950%, 11/01/21................................................. 786 799,274
# 3.400%, 04/15/22................................................. 10,000 10,354,987
L3Harris Technologies, Inc.
2.700%, 04/27/20................................................. 4,247 4,254,034
Laboratory Corp. of America Holdings
2.625%, 02/01/20................................................. 7,623 7,634,573
Lam Research Corp.
# 2.750%, 03/15/20................................................. 8,942 8,959,609
FACE
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(000)
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Landeskreditbank Baden- Wuerttemberg Foerderbank, 3M USD LIBOR +
0.012%, FRN
(r) 2.220%, 09/27/21............................................ 1,000 $ 1,001,080
Liberty Mutual Group, Inc.
(Omega) 5.000%, 06/01/21............................................ 2,500 2,592,796
(Omega) 4.950%, 05/01/22............................................ 1,200 1,275,492
Lincoln National Corp.
6.250%, 02/15/20............................................ 3,215 3,251,523
4.850%, 06/24/21............................................ 1,188 1,239,008
Lloyds Bank P.L.C.
2.700%, 08/17/20............................................ 1,600 1,609,623
Lloyds Banking Group P.L.C.
# 3.100%, 07/06/21............................................ 10,250 10,420,106
3.000%, 01/11/22............................................ 27,304 27,753,836
Lockheed Martin Corp.
2.500%, 11/23/20............................................ 4,500 4,523,508
Manufacturers & Traders Trust Co.
2.100%, 02/06/20............................................ 22,867 22,875,213
2.500%, 05/18/22............................................ 1,780 1,802,170
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20............................................ 1,000 1,000,834
2.750%, 01/30/22............................................ 4,650 4,723,731
Mastercard, Inc.
1.100%, 12/01/22............................................ EUR 15,162 17,478,356
McDonald's Corp.
3.500%, 07/15/20............................................ 4,928 4,982,291
1.000%, 11/15/23............................................ EUR 12,500 14,499,091
Medtronic Global Holdings SCA
0.000%, 03/07/21............................................ EUR 9,878 11,042,930
0.000%, 12/02/22............................................ EUR 3,438 3,840,980
Merck & Co., Inc.
1.850%, 02/10/20............................................ 2,450 2,450,073
Microsoft Corp.
# 1.850%, 02/12/20............................................ 14,277 14,279,213
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21............................................ 1,725 1,745,241
(r) 2.586%, 07/26/21............................................ 5,335 5,356,415
(r) 3.187%, 09/13/21............................................ 8,500 8,598,498
0.680%, 01/26/23............................................ EUR 15,142 17,153,514
0.980%, 10/09/23............................................ EUR 5,004 5,748,946
Mizuho Bank, Ltd.
(Omega) 2.700%, 10/20/20............................................ 13,642 13,751,011
Mizuho Financial Group, Inc.
#(Omega) 2.632%, 04/12/21............................................ 5,000 5,036,553
(r) 3.267%, 09/13/21............................................ 20,693 20,952,490
2.953%, 02/28/22............................................ 600 610,284
Molson Coors Brewing Co.
2.100%, 07/15/21............................................ 3,000 3,002,262
71
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
Mondelez International Holdings Netherlands BV
#(Omega) 2.000%, 10/28/21................................................. 13,012 $13,018,324
Mondelez International, Inc.
2.375%, 01/26/21................................................. EUR 700 804,842
Morgan Stanley
5.375%, 08/10/20................................................. EUR 1,700 1,978,448
2.375%, 03/31/21................................................. EUR 7,000 8,083,079
(r) 3.366%, 04/21/21................................................. 15,237 15,481,706
3.125%, 08/05/21................................................. CAD 5,000 3,856,085
1.000%, 12/02/22................................................. EUR 600 688,194
1.875%, 03/30/23................................................. EUR 5,000 5,910,684
1.750%, 03/11/24................................................. EUR 18,985 22,604,054
Municipality Finance P.L.C.
1.500%, 03/23/20................................................. 8,600 8,585,810
Municipality Finance P.L.C., Floating Rate Note, 3M USD LIBOR + 0.500%, FRN
(r) 2.174%, 02/17/21................................................. 29,000 29,001,160
Mylan N.V.
3.150%, 06/15/21................................................. 1,500 1,519,255
Mylan NV
# 3.750%, 12/15/20................................................. 4,065 4,119,618
National Australia Bank, Ltd.
3.000%, 05/12/21................................................. AUD 6,000 4,240,398
1.875%, 07/12/21................................................. 2,500 2,500,136
2.800%, 01/10/22................................................. 17,631 17,966,211
# 2.500%, 05/22/22................................................. 35,800 36,311,508
0.350%, 09/07/22................................................. EUR 7,800 8,816,257
National Bank of Canada, 3M USD LIBOR + 0.400%, FRN
(r)(Omega) 2.559%, 03/21/21................................................. 14,390 14,401,475
National Grid North America, Inc.
0.750%, 08/08/23................................................. EUR 25,400 28,947,875
National Rural Utilities Cooperative Finance Corp.
(r) 2.479%, 06/30/21................................................. 2,500 2,508,162
Natwest Markets PLC
5.500%, 03/23/20................................................. EUR 3,225 3,674,972
NBCUniversal Enterprise, Inc.
(r)(Omega) 2.499%, 04/01/21................................................. 16,535 16,590,558
Nederlandse Waterschapsbank NV
1.625%, 03/04/20................................................. 30,000 29,970,180
Nederlandse Waterschapsbank NV, Floating Rate Note, Update Replacements.xls:
US0003M + 0.010%, FRN
(r) 2.191%, 11/10/20................................................. 22,123 22,111,886
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Nestle Holdings, Inc.
1.875%, 03/09/21................................................. 8,000 $ 8,004,256
NetApp, Inc.
3.375%, 06/15/21................................................. 8,650 8,811,990
Newell Brands, Inc.
4.000%, 06/15/22................................................. 12,950 13,310,389
Newmont Goldcorp Corp.
3.625%, 06/09/21................................................. 4,927 5,040,559
Nissan Motor Acceptance Corp.
(Omega) 2.550%, 03/08/21................................................. 16,249 16,295,197
Nissan Motor Acceptance Corp., 3M USD LIBOR + 0.630%, FRN
(r)(Omega) 2.789%, 09/21/21................................................. 7,000 7,006,554
Nissan Motor Acceptance Corp., Floating Rate Note, 3M USD LIBOR + 0.390%, FRN
(r) 2.494%, 09/28/20................................................. 9,000 9,003,525
Nissan Motor Acceptance Corp., Floating Rate Note, FRN
(r)(Omega) 2.638%, 03/15/21................................................. 13,300 13,304,849
Nordea Bank AB
1.000%, 02/22/23................................................. EUR 3,000 3,460,242
Nordstrom, Inc.
# 4.750%, 05/01/20................................................. 13,135 13,288,065
Norfolk Southern Corp.
3.000%, 04/01/22................................................. 1,352 1,381,079
NRW Bank
0.125%, 07/07/23................................................. EUR 4,000 4,543,535
NRW Bank, 3M USD LIBOR + 0.040%, FRN
(r) 2.227%, 02/08/21................................................. 22,200 22,186,014
NRW Bank, Floating Rate Note, FRN
(r) 2.209%, 12/17/21................................................. 10,000 9,993,200
Occidental Petroleum Corp.
4.100%, 02/01/21................................................. 542 552,425
Omnicom Group, Inc. / Omnicom Capital, Inc.
4.450%, 08/15/20................................................. 330 336,157
3.625%, 05/01/22................................................. 1,595 1,653,766
OP Corporate Bank P.L.C.
0.375%, 10/11/22................................................. EUR 325 367,627
Oracle Corp.
# 1.900%, 09/15/21................................................. 54,207 54,322,885
2.500%, 05/15/22................................................. 2,329 2,363,997
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
(Omega) 3.050%, 01/09/20................................................. 828 828,770
(Omega) 3.375%, 02/01/22................................................. 15,000 15,336,284
(Omega) 4.250%, 01/17/23................................................. 9,025 9,552,948
72
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Pernod Ricard SA
2.000%, 06/22/20................................................. EUR 700 $ 791,716
(Omega) 5.750%, 04/07/21................................................. 620 652,618
(Omega) 4.450%, 01/15/22................................................. 18,077 18,992,601
Pfizer, Inc.
# 1.950%, 06/03/21................................................. 3,447 3,457,306
# 2.200%, 12/15/21................................................. 9,400 9,494,614
0.250%, 03/06/22................................................. EUR 11,200 12,612,922
Philip Morris International, Inc.
1.750%, 03/19/20................................................. EUR 10,758 12,082,815
2.875%, 05/30/24................................................. EUR 5,000 6,267,393
PNC Bank NA
2.300%, 06/01/20................................................. 200 200,407
2.600%, 07/21/20................................................. 4,800 4,821,198
PPL Capital Funding, Inc.
3.400%, 06/01/23................................................. 3,000 3,096,813
Praxair, Inc.
1.200%, 02/12/24................................................. EUR 1,580 1,852,784
Progress Energy, Inc.
4.875%, 12/01/19................................................. 4,672 4,681,988
Progressive Corp. (The)
# 3.750%, 08/23/21................................................. 706 730,152
Province of Alberta Canada
1.350%, 09/01/21................................................. CAD 17,500 13,204,521
Province of Ontario Canada
4.400%, 04/14/20................................................. 28,000 28,313,540
1.875%, 05/21/20................................................. 15,000 14,994,885
1.350%, 03/08/22................................................. CAD 13,000 9,788,642
3.150%, 06/02/22................................................. CAD 17,300 13,605,673
Province of Quebec Canada
# 3.500%, 07/29/20................................................. 16,443 16,641,637
4.500%, 12/01/20................................................. CAD 5,000 3,908,397
Prudential Financial, Inc.
5.375%, 06/21/20................................................. 1,700 1,738,774
# 4.500%, 11/15/20................................................. 5,801 5,949,136
PSEG Power LLC
5.125%, 04/15/20................................................. 11,108 11,262,877
Puget Energy, Inc.
# 6.500%, 12/15/20................................................. 1,363 1,427,526
QUALCOMM, Inc.
2.250%, 05/20/20................................................. 5,078 5,082,122
Regions Financial Corp.
# 3.200%, 02/08/21................................................. 10,500 10,643,080
Republic Services, Inc.
3.550%, 06/01/22................................................. 2,000 2,078,513
Rolls-Royce P.L.C.
0.875%, 05/09/24................................................. EUR 1,500 1,705,130
Royal Bank of Canada
2.125%, 03/02/20................................................. 17,338 17,351,120
2.150%, 03/06/20................................................. 665 665,543
# 2.750%, 02/01/22................................................. 6,651 6,787,912
1.968%, 03/02/22................................................. CAD 10,000 7,573,001
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Royal Bank of Canada, 3M USD LIBOR + 0.240%, FRN
(r) 2.176%, 10/26/20................................................. 41,500 $41,595,270
Royal Bank of Canada, 3M USD LIBOR + 0.390%, FRN
(r) 2.326%, 04/30/21................................................. 8,362 8,391,794
Royal Bank of Canada, Floating Rate Note, Update Replacements.xls: US0003M
+ 0.350%, FRN
(r) 2.377%, 07/08/21................................................. 3,050 3,054,431
Royal Bank of Scotland Group P.L.C.
2.500%, 03/22/23................................................. EUR 5,000 5,982,579
Ryder System, Inc.
2.650%, 03/02/20................................................. 7,000 7,010,723
3.400%, 03/01/23................................................. 12,680 13,105,972
Sanofi
0.500%, 03/21/23................................................. EUR 8,000 9,113,604
Santander Holdings USA, Inc.
# 2.650%, 04/17/20................................................. 3,000 3,008,032
3.400%, 01/18/23................................................. 18,560 19,084,733
Santander UK Group Holdings P.L.C.
# 3.125%, 01/08/21................................................. 15,000 15,141,654
2.875%, 08/05/21................................................. 1,000 1,008,636
Santander UK P.L.C.
2.375%, 03/16/20................................................. 2,824 2,827,519
Sempra Energy
# 2.850%, 11/15/20................................................. 5,400 5,436,168
Shell International Finance BV
# 2.125%, 05/11/20................................................. 15,155 15,180,787
2.250%, 11/10/20................................................. 12,956 13,001,374
1.875%, 05/10/21................................................. 17,301 17,317,940
1.750%, 09/12/21................................................. 8,591 8,595,134
Sherwin-Williams Co. (The)
# 2.750%, 06/01/22................................................. 3,150 3,207,052
Siemens Financieringsmaatschappij NV
#(Omega) 1.700%, 09/15/21................................................. 3,020 3,013,205
Skandinaviska Enskilda Banken AB
1.250%, 08/05/22................................................. GBP 2,000 2,598,592
Sky, Ltd.
1.875%, 11/24/23................................................. EUR 12,700 15,208,414
Societe Generale SA
#(Omega) 2.625%, 09/16/20................................................. 17,000 17,091,296
(Omega) 2.500%, 04/08/21................................................. 4,200 4,221,546
(Omega) 3.250%, 01/12/22................................................. 2,000 2,041,181
0.500%, 01/13/23................................................. EUR 5,000 5,637,896
73
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
Southern Co. (The)
2.750%, 06/15/20................................................. 9,683 $ 9,721,015
Southern Power Co.
1.000%, 06/20/22................................................. EUR 17,310 19,771,378
Southwest Airlines Co.
2.750%, 11/06/19................................................. 17,072 17,072,446
2.650%, 11/05/20................................................. 4,500 4,533,212
Spain Government Bond
(Omega) 5.400%, 01/31/23................................................. EUR 17,000 22,504,495
(Omega) 4.800%, 01/31/24................................................. EUR 3,500 4,740,665
Standard Chartered PLC
1.625%, 06/13/21................................................. EUR 2,400 2,752,106
Starbucks Corp.
# 2.100%, 02/04/21................................................. 1,770 1,776,223
State of North Rhine-Westphalia Germany
1.625%, 01/22/20................................................. 3,950 3,947,085
0.200%, 04/17/23................................................. EUR 9,000 10,241,462
Stryker Corp.
# 2.625%, 03/15/21................................................. 6,121 6,178,881
1.125%, 11/30/23................................................. EUR 7,278 8,469,435
Sumitomo Mitsui Banking Corp.
(r) 2.371%, 10/16/20................................................. 5,000 5,011,705
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21................................................. 4,000 4,044,593
(r) 3.782%, 03/09/21................................................. 11,647 11,860,944
2.058%, 07/14/21................................................. 5,000 5,002,059
2.784%, 07/12/22................................................. 1,150 1,169,309
0.819%, 07/23/23................................................. EUR 8,946 10,210,884
Sumitomo Mitsui Financial Group, Inc., 3M USD LIBOR + 1.140%, FRN
(r) 3.106%, 10/19/21................................................. 705 713,801
Sunoco Logistics Partners Operations L.P.
3.450%, 01/15/23................................................. 9,515 9,721,035
SunTrust Banks, Inc.
# 2.900%, 03/03/21................................................. 7,565 7,650,396
Svensk Export Credit AB
(r) 2.169%, 12/14/20................................................. 22,250 22,250,146
Svensk Exportkredit AB, 3M USD LIBOR + 0.012%, FRN
(r) 2.247%, 12/13/21................................................. 29,000 29,040,529
Svenska Handelsbanken AB
# 2.450%, 03/30/21................................................. 1,930 1,945,521
#(r) 2.602%, 05/24/21................................................. 6,625 6,653,912
0.250%, 02/28/22................................................. EUR 13,000 14,624,050
2.625%, 08/23/22................................................. EUR 3,000 3,597,437
Swedbank AB
0.300%, 09/06/22................................................. EUR 12,020 13,509,530
0.250%, 11/07/22................................................. EUR 1,200 1,346,695
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
0.400%, 08/29/23................................................. EUR 250 $ 282,143
Sysco Corp.
2.600%, 10/01/20................................................. 16,190 16,286,440
Takeda Pharmaceutical Co. Ltd.
1.125%, 11/21/22................................................. EUR 1,200 1,381,364
Takeda Pharmaceutical Co., Ltd.
0.375%, 11/21/20................................................. EUR 25,680 28,779,938
(Omega) 1.125%, 11/21/22................................................. EUR 1,150 1,323,808
Telefoica Emisiones Sau Co.
5.597%, 03/12/20................................................. GBP 6,000 7,889,926
0.318%, 10/17/20................................................. EUR 11,800 13,221,470
Telefonica Emisiones SA
3.961%, 03/26/21................................................. EUR 1,100 1,297,291
3.987%, 01/23/23................................................. EUR 7,800 9,802,935
1.069%, 02/05/24................................................. EUR 1,300 1,506,493
Telefonica Emisiones SAU
5.134%, 04/27/20................................................. 10,180 10,329,324
Temasek Financial I, Ltd.
0.500%, 03/01/22................................................. EUR 2,700 3,058,689
Toronto-Dominion Bank (The)
2.500%, 12/14/20................................................. 20,000 20,147,121
1.800%, 07/13/21................................................. 12,605 12,599,151
1.994%, 03/23/22................................................. CAD 15,000 11,365,652
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.260%, FRN
#(r) 2.399%, 09/17/20 26,314 26,360,576
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.280%, FRN
(r) 2.418%, 06/11/20 11,121 11,140,044
Toronto-Dominion Bank (The), 3M USD LIBOR + 0.430%, FRN
#(r) 2.568%, 06/11/21 15,246 15,299,666
Toronto-Dominion Bank (The), 3M USD LIBOR + 1.000%, FRN
(r) 3.043%, 04/07/21 6,116 6,185,784
Total Capital International SA
2.750%, 06/19/21................................................. 2,000 2,029,815
# 2.875%, 02/17/22................................................. 1,416 1,449,906
0.250%, 07/12/23................................................. EUR 500 565,217
Total Capital SA
4.125%, 01/28/21................................................. 10,000 10,275,767
Toyota Credit Canada, Inc.
2.050%, 05/20/20................................................. CAD 3,092 2,347,605
2.020%, 02/28/22................................................. CAD 10,000 7,564,953
2.350%, 07/18/22................................................. CAD 10,000 7,619,695
Toyota Motor Credit Corp.
1.900%, 04/08/21................................................. 32,876 32,950,456
2.600%, 01/11/22................................................. 5,277 5,367,761
74
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
0.750%, 07/21/22................................................. EUR 2,080 $ 2,373,578
Toyota Motor Credit Corp., 3M USD LIBOR + 0.150%, FRN
(r) 2.162%, 10/09/20................................................. 500 500,470
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.540%, FRN
(r) 2.567%, 01/08/21................................................. 1,300 1,305,888
TransCanada PipeLines, Ltd.
2.500%, 08/01/22................................................. 300 304,027
Tupperware Brands Corp.
4.750%, 06/01/21................................................. 5,000 5,014,712
UBS AG Stamford CT
2.350%, 03/26/20................................................. 6,079 6,089,935
UBS Group Funding Switzerland AG
1.750%, 11/16/22................................................. EUR 9,052 10,608,554
2.125%, 03/04/24................................................. EUR 5,000 6,040,352
UBS Group Funding Switzerland AG, Floating Rate Note, Update
Replacements.xls: US0003M + 1.780%, FRN
(r) 3.766%, 04/14/21................................................. 3,900 3,976,052
Unedic Asseo
0.875%, 10/25/22................................................. EUR 27,300 31,603,693
United Kingdom Treasury Bill
0.000%, 11/25/19................................................. GBP 110,000 142,425,576
United Parcel Service, Inc.
0.375%, 11/15/23................................................. EUR 2,000 2,260,208
United Technologies Corp.
1.250%, 05/22/23................................................. EUR 3,825 4,431,884
1.150%, 05/18/24................................................. EUR 5,950 6,907,712
UnitedHealth Group, Inc.
4.700%, 02/15/21................................................. 925 952,611
2.375%, 10/15/22................................................. 6,225 6,307,102
Verizon Communications, Inc.
1.625%, 03/01/24................................................. EUR 5,000 5,960,886
Vodafone Group P.L.C.
1.750%, 08/25/23................................................. EUR 5,600 6,647,800
Volkswagen Bank GMBH
1.250%, 06/10/24................................................. EUR 6,900 7,947,398
Volkswagen Financial Services AG
0.875%, 04/12/23................................................. EUR 5,000 5,678,894
1.375%, 10/16/23................................................. EUR 12,000 13,883,929
Volkswagen Group of America Finance LLC
(Omega) 2.400%, 05/22/20................................................. 5,911 5,920,575
(Omega) 4.000%, 11/12/21................................................. 3,000 3,109,222
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
Volkswagen International Finance NV
0.875%, 01/16/23............................................... EUR 4,200 $ 4,786,769
Volkswagen Leasing GmbH
2.125%, 04/04/22............................................... EUR 2,496 2,919,575
Walgreen Co.
3.100%,09/15/22................................................ 4,127 4,258,210
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21............................................... 4,000 4,089,048
Walt Disney Co
(Omega) 5.650%, 08/15/20............................................... 4,210 4,334,922
WEC Energy Group, Inc.
2.450%, 06/15/20............................................... 14,176 14,208,788
Wells Fargo & Co.
2.250%, 09/03/20............................................... EUR 10,552 12,019,361
2.550%, 12/07/20............................................... 11,690 11,775,472
#(r) 3.473%, 03/04/21............................................... 15,234 15,444,534
(r) 2.961%, 07/26/21............................................... 3,400 3,441,480
1.500%, 09/12/22............................................... EUR 2,700 3,140,197
2.250%, 05/02/23............................................... EUR 5,700 6,843,547
Western Australian Treasury Corp.
2.750%, 10/20/22............................................... AUD 27,000 19,526,208
Westpac Banking Corp.
4.875%, 11/19/19............................................... 1,208 1,209,498
2.600%, 11/23/20............................................... 29,052 29,286,354
# 2.100%, 05/13/21............................................... 5,632 5,652,361
2.800%, 01/11/22............................................... 15,512 15,809,434
# 2.500%, 06/28/22............................................... 3,140 3,189,268
Whirlpool Corp.
3.700%, 03/01/23............................................... 1,525 1,588,522
Williams Partners LP
3.350%, 08/15/22............................................... 4,600 4,714,552
Xcel Energy, Inc.
2.400%, 03/15/21............................................... 4,070 4,093,054
Zimmer Biomet Holdings, Inc.
# 2.700%, 04/01/20............................................... 4,632 4,641,306
Zoetis, Inc.
# 3.450%, 11/13/20............................................... 12,400 12,554,610
# 3.250%, 02/01/23............................................... 3,015 3,114,323
--------------
TOTAL BONDS............................................................. 5,003,184,154
--------------
U.S. TREASURY OBLIGATIONS -- (16.3%)
U.S. Treasury Notes
1.000%, 11/30/19............................................... 60,000 59,959,280
# 1.375%, 12/15/19............................................... 20,000 19,989,337
U.S. Treasury Notes, 3M Treasury money market yield + 0.220%, FRN
(r) 1.856%, 07/31/21............................................... 504,200 504,123,099
U.S. Treasury Notes, 3M USTMMR + 0.115%, FRN
(r) 1.752%,01/31/21................................................ 75,000 74,915,421
75
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
U.S. Treasury Notes, 3M USTMMR + 0.139%, FRN
(r) 1.776%, 04/30/21......................................................... 411,000 $ 410,472,145
--------------
TOTAL U.S. TREASURY OBLIGATIONS................................................... 1,069,459,282
--------------
TOTAL INVESTMENT SECURITIES
(Cost $6,092,317,534)......................................................... 6,072,643,436
--------------
COMMERCIAL PAPER -- (6.4%)
(Omega) Boeing Co. 2.097%, 12/10/19.............................................. 11,850 11,827,841
(Omega) Cigna Corp. 1.884%, 01/23/20............................................. 6,000 5,970,404
(Omega) DOWDUPONT INC 2.256%, 11/05/19........................................... 30,000 29,991,604
GENERAL ELECTRIC CO 2.140%, 01/21/20..................................... 15,000 14,927,840
Intesa Funding LLC 2.296%, 04/20/20...................................... 3,000 2,967,578
INTESA FUNDING LLC 2.407%, 01/02/20...................................... 50,000 49,811,612
(Omega) John Deere Ltd. 1.971%, 11/07/19......................................... 39,000 38,988,322
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
---------
(Omega) MONDELEZ INTL INC 2.051%, 11/20/19................................... 45,000 $ 44,949,075
(Omega) NRW Bank 1.898%, 02/27/20............................................ 17,000 16,898,906
(r)(Omega) Oversea-Chinese Banking Corp., Ltd. 2.035%, 05/15/20................. 20,000 20,000,000
(Omega) PFIZER INC 1.836%, 03/03/20.......................................... 25,000 24,847,153
(Omega) Pfizer, Inc. 1.888%, 03/02/20........................................ 137,000 136,169,620
(Omega) WALT DISNEY CO 1.928%, 02/10/20...................................... 20,250 20,148,733
--------------
TOTAL COMMERCIAL PAPER........................................................... 417,498,688
--------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (0.8%)
@(S) The DFA Short Term Investment Fund .................................. 4,623,943 53,503,643
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,563,264,350)........................................................ $6,543,645,767
==============
As of October 31, 2019, DFA Short-Term Extended Quality Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
--------------------- ---------------------- --------------------------------------- ---------- --------------
EUR 90,604,866 USD 100,594,958 State Street Bank and Trust 11/01/19 $ 456,620
GBP 1,725,888 USD 2,227,300 Citibank, N.A. 01/10/20 13,563
USD 88,521,578 CAD 116,437,345 State Street Bank and Trust 01/13/20 80,021
USD 66,524,216 SEK 635,092,056 State Street Bank and Trust 01/21/20 448,841
-----------
TOTAL APPRECIATION $ 999,045
CAD 116,232,275 USD 88,326,042 State Street Bank and Trust 11/04/19 $ (76,834)
CAD 20,505,058 USD 15,708,019 State Street Bank and Trust 11/04/19 (139,580)
USD 99,779,877 EUR 90,604,866 JP Morgan 11/01/19 (1,271,701)
USD 103,268,584 CAD 136,737,333 HSBC Bank 11/04/19 (549,063)
USD 47,220,546 AUD 68,814,834 State Street Bank and Trust 11/29/19 (249,766)
USD 144,503,753 EUR 131,812,875 National Australia Bank Ltd. 12/27/19 (3,061,702)
USD 141,922,177 EUR 129,418,299 State Street Bank and Trust 12/30/19 (2,997,166)
USD 141,992,656 EUR 129,032,913 State Street Bank and Trust 01/02/20 (2,529,689)
USD 99,554,139 EUR 89,256,332 State Street Bank and Trust 01/03/20 (424,715)
USD 80,418,142 GBP 63,571,789 Barclays Capital 01/06/20 (2,113,947)
USD 1,272,824 EUR 1,143,031 JP Morgan 01/08/20 (7,986)
76
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
---------------------- ---------------------- --------------------------------------- ---------- ----------------
USD 3,137,710 EUR 2,827,645 HSBC Bank 01/08/20 $ (30,774)
USD 6,681,061 EUR 6,057,107 HSBC Bank 01/08/20 (106,158)
USD 9,708,284 EUR 8,787,750 Bank of America Corp. 01/08/20 (138,724)
USD 144,008,776 EUR 130,333,259 JP Morgan 01/09/20 (2,043,623)
USD 78,167,312 GBP 63,580,631 JP Morgan 01/10/20 (4,384,669)
USD 17,862,499 SEK 174,626,265 HSBC Bank 01/14/20 (299,973)
USD 142,507,601 EUR 128,673,408 UBS AG 01/14/20 (1,729,299)
USD 99,090,212 EUR 88,584,039 JP Morgan 01/16/20 (220,643)
USD 144,884,135 EUR 129,449,820 Barclays Capital 01/22/20 (294,842)
USD 7,374,410 DKK 49,171,123 JP Morgan 01/23/20 (12,377)
USD 64,542,528 SEK 621,614,445 UBS AG 01/23/20 (136,482)
USD 146,728,716 EUR 131,072,441 Barclays Capital 01/23/20 (279,130)
USD 98,188,075 EUR 87,917,106 State Street Bank and Trust 01/24/20 (423,832)
USD 114,949,859 EUR 102,894,217 State Street Bank and Trust 01/28/20 (489,618)
--------------
TOTAL (DEPRECIATION) $ (24,012,293)
--------------
TOTAL APPRECIATION
(DEPRECIATION) $ (23,013,248)
==============
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
-------- -------------- -------- --------------
Bonds....................................................... -- $5,003,184,154 -- $5,003,184,154
U.S. Treasury Obligations................................... -- 1,069,459,282 -- 1,069,459,282
Commercial Paper............................................ -- 417,498,688 -- 417,498,688
Securities Lending Collateral............................... -- 53,503,643 -- 53,503,643
Forward Currency Contracts**................................ -- (23,013,248) -- (23,013,248)
-------- -------------- -------- --------------
TOTAL....................................................... -- $6,520,632,519 -- $6,520,632,519
======== ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
77
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT VALUE+
------ -----------
(000)
------
AGENCY OBLIGATIONS -- (3.6%)
Federal Farm Credit Bank
2.630%, 08/03/26................................................. 3,173 $ 3,362,449
5.770%, 01/05/27................................................. 1,058 1,346,176
Federal Home LoanBank
3.250%, 06/09/28................................................. 570 630,699
3.250%,11/16/28.................................................. 15,100 16,826,428
Federal Home Loan Mortgage Corp.
6.750%, 03/15/31................................................. 6,000 8,870,005
# 6.250%, 07/15/32................................................. 16,000 23,572,387
Federal National Mortgage Association
6.250%, 05/15/29................................................. 2,275 3,142,328
7.250%, 05/15/30................................................. 1,000 1,501,841
6.625%, 11/15/30................................................. 2,000 2,921,277
Tennessee Valley Authority
7.125%,05/01/30.................................................. 2,000 2,932,325
-----------
TOTAL AGENCY OBLIGATIONS.................................................. 65,105,915
-----------
BONDS -- (90.3%)
3M Co.
2.875%, 10/15/27................................................. 17,127 17,949,733
AbbVie, Inc.
3.600%, 05/14/25................................................. 6,500 6,808,121
4.250%, 11/14/28................................................. 4,000 4,347,324
Activision Blizzard, Inc.
3.400%, 06/15/27................................................. 600 628,242
Affiliated Managers Group, Inc.
3.500%, 08/01/25................................................. 1,410 1,476,815
Ahold Finance USALLC
6.875%, 05/01/29................................................. 388 506,098
Airbus SE
(Omega) 3.150%, 04/10/27................................................. 1,000 1,048,456
Alimentation Couche-Tard, Inc.
(Omega) 3.550%, 07/26/27................................................. 1,185 1,228,333
Allergan Funding SCS
3.800%, 03/15/25................................................. 4,592 4,831,176
Allstate Corp. (The)
5.350%, 06/01/33................................................. 1,900 2,407,725
Altria Group, Inc.
4.800%, 02/14/29................................................. 2,000 2,197,968
Ameren Corp.
3.650%, 02/15/26................................................. 1,890 1,997,779
American Express Credit Corp.
# 3.300%, 05/03/27................................................. 8,500 9,138,224
FACE
AMOUNT VALUE+
------ -----------
(000)
------
American Honda Finance Corp.
2.300%, 09/09/26................................................. 1,500 $ 1,505,317
American International Group, Inc.
3.900%, 04/01/26................................................. 5,000 5,378,783
Ameriprise Financial, Inc.
2.875%, 09/15/26................................................. 1,000 1,032,047
AmerisourceBergen Corp.
3.450%, 12/15/27................................................. 8,000 8,346,714
Amgen, Inc.
2.600%, 08/19/26................................................. 5,776 5,836,417
Amphenol Corp.
2.800%, 02/15/30................................................. 3,000 2,958,024
Analog Devices, Inc.
# 3.900%, 12/15/25................................................. 4,502 4,858,486
Anheuser-Busch InBev Worldwide, Inc.
4.000%, 04/13/28................................................. 7,000 7,727,043
# 4.900%, 01/23/31................................................. 8,000 9,555,866
Anthem, Inc.
3.650%, 12/01/27................................................. 555 587,085
4.101%, 03/01/28................................................. 5,000 5,436,975
ANZ New Zealand InternationalLtd.
(Omega) 3.450%, 07/17/27................................................. 15,000 15,950,033
Aon Corp.
3.750%, 05/02/29................................................. 800 861,977
AP Moller - Maersk A.S.
(Omega) 3.875%, 09/28/25................................................. 1,914 1,978,536
Apache Corp.
# 4.375%, 10/15/28................................................. 2,000 1,985,077
Apple, Inc.
3.350%, 02/09/27................................................. 13,200 14,165,215
3.200%, 05/11/27................................................. 13,405 14,272,855
3.000%, 06/20/27................................................. 6,800 7,174,877
2.900%, 09/12/27................................................. 551 576,676
# 3.000%, 11/13/27................................................. 11,000 11,624,250
Applied Materials, Inc.
3.300%, 04/01/27................................................. 1,111 1,187,759
Archer-Daniels-Midland Co.
2.500%, 08/11/26................................................. 5,613 5,694,145
Arrow Electronics, Inc.
3.875%, 01/12/28................................................. 5,330 5,510,620
AstraZeneca P.L.C.
3.375%, 11/16/25................................................. 8,300 8,779,204
4.000%, 01/17/29................................................. 3,000 3,361,622
AT&T, Inc.
3.600%, 07/15/25................................................. 3,500 3,693,286
3.800%, 02/15/27................................................. 2,000 2,140,107
Autodesk, Inc.
4.375%, 06/15/25................................................. 4,017 4,402,972
78
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CONTINUED
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AMOUNT VALUE+
------ -----------
(000)
------
3.500%, 06/15/27................................................. 5,375 $ 5,581,521
Avnet, Inc.
# 4.625%, 04/15/26................................................. 5,850 6,243,776
AXIS Specialty Finance P.L.C.
4.000%, 12/06/27................................................. 4,780 5,005,648
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
3.337%, 12/15/27................................................. 10,970 11,302,392
Banco Santander SA
# 3.800%,02/23/28.................................................. 5,800 6,117,202
Bank of America Corp., 3M USD LIBOR + 1.040%, FRN
(r) 3.419%,12/20/28.................................................. 2,918 3,057,225
Barclays P.L.C.
3.650%, 03/16/25................................................. 6,080 6,290,502
4.375%, 01/12/26................................................. 2,700 2,901,336
BAT International Finance P.L.C.
# 3.950%, 06/15/25................................................. 1,500 1,568,249
Baxter International, Inc.
2.600%, 08/15/26................................................. 7,018 7,101,514
Bayer U.S. Finance II LLC
(Omega) 5.500%, 08/15/25................................................. 3,984 4,451,251
#(Omega) 4.375%, 12/15/28................................................. 7,000 7,593,035
Berkshire Hathaway, Inc.
3.125%, 03/15/26................................................. 2,552 2,713,938
Best Buy Co., Inc.
4.450%, 10/01/28................................................. 5,000 5,462,187
Biogen, Inc.
4.050%, 09/15/25................................................. 3,000 3,287,757
Black Hills Corp.
4.350%, 05/01/33................................................. 3,000 3,370,521
BlackRock, Inc.
# 3.200%, 03/15/27................................................. 17,645 18,762,308
BMW US Capital LLC
(Omega) 2.800%, 04/11/26................................................. 5,500 5,572,495
(Omega) 3.300%, 04/06/27................................................. 4,000 4,176,784
BNP Paribas SA
(Omega) 3.500%, 11/16/27................................................. 8,631 9,027,264
Boeing Co. (The)
6.125%, 02/15/33................................................. 3,335 4,404,212
BP Capital Markets America, Inc.
3.017%, 01/16/27................................................. 7,600 7,908,510
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27................................................. 6,075 6,278,444
Burlington Northern Santa Fe LLC
7.000%, 12/15/25................................................. 472 598,780
CA, Inc.
4.700%, 03/15/27................................................. 7,900 8,379,412
FACE
AMOUNT VALUE+
------ -----------
(000)
------
Campbell Soup Co.
3.300%, 03/19/25.................................................. 3,329 $ 3,413,898
4.150%, 03/15/28.................................................. 5,571 6,008,730
Canadian Natural Resources, Ltd.
# 7.200%, 01/15/32.................................................. 2,950 3,968,842
6.450%, 06/30/33.................................................. 5,800 7,424,296
Canadian Pacific Railway Co.
3.700%, 02/01/26.................................................. 2,115 2,270,768
Capital One Financial Corp.
3.750%, 03/09/27.................................................. 2,000 2,124,354
Cardinal Health, Inc.
# 3.410%, 06/15/27.................................................. 10,000 10,171,013
CBS Corp.
# 4.000%, 01/15/26.................................................. 1,000 1,071,918
2.900%, 01/15/27.................................................. 6,600 6,591,035
Celgene Corp.
3.625%, 05/15/24.................................................. 1,763 1,865,259
CenterPoint Energy Resources Corp.
4.000%, 04/01/28.................................................. 3,000 3,260,644
Cigna Corp.
(Omega) 3.250%, 04/15/25.................................................. 5,750 5,928,802
(Omega) 3.400%, 03/01/27.................................................. 3,500 3,610,936
Cincinnati Financial Corp.
6.920%, 05/15/28.................................................. 900 1,182,275
Citigroup, Inc.
3.750%, 06/16/24.................................................. 10 10,623
Clorox Co. (The)
3.900%, 05/15/28.................................................. 1,000 1,103,321
CMS Energy Corp.
3.600%, 11/15/25.................................................. 2,800 2,943,349
CNA Financial Corp.
4.500%, 03/01/26.................................................. 6,830 7,563,678
Coca-Cola Co. (The)
# 2.900%, 05/25/27.................................................. 8,000 8,438,840
Comcast Corp.
3.150%, 03/01/26.................................................. 4,000 4,222,501
4.250%, 01/15/33.................................................. 4,000 4,623,300
7.050%, 03/15/33.................................................. 5,337 7,665,196
Commonwealth Bank of Australia
(Omega) 2.850%, 05/18/26.................................................. 13,373 13,698,299
ConocoPhillips
5.900%, 10/15/32.................................................. 8,000 10,563,474
ConocoPhillips Co.
# 4.950%, 03/15/26.................................................. 5,000 5,760,468
Credit Agricole SA
3.875%, 04/15/24.................................................. 78 83,295
CRH America Finance, Inc.
(Omega) 3.950%, 04/04/28.................................................. 2,280 2,459,721
CVS Health Corp.
3.250%, 08/15/29.................................................. 7,000 7,052,116
79
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ -----------
(000)
------
Daimler Finance North America LLC
8.500%, 01/18/31................................................. 9,188 $13,867,476
Danske Bank A.S.
(Omega) 4.375%, 06/12/28................................................. 6,000 6,474,027
Deere & Co.
5.375%, 10/16/29................................................. 650 815,963
Discovery Communications LLC
3.450%, 03/15/25................................................. 4,263 4,419,045
4.900%, 03/11/26................................................. 4,000 4,467,393
Dollar Tree, Inc.
4.200%, 05/15/28................................................. 10,000 10,860,922
Dominion Energy, Inc.
3.900%, 10/01/25................................................. 4,000 4,308,318
Dover Corp.
# 3.150%, 11/15/25................................................. 2,100 2,142,533
DTE Energy Co.
2.850%, 10/01/26................................................. 945 959,517
6.375%, 04/15/33................................................. 10,407 13,921,503
DXC Technology Co.
# 4.750%, 04/15/27................................................. 8,000 8,454,878
E*TRADE Financial Corp.
4.500%, 06/20/28................................................. 2,500 2,725,399
Eastman Chemical Co.
3.800%, 03/15/25................................................. 3,023 3,164,934
Eaton Corp.
4.000%, 11/02/32................................................. 10,000 11,502,807
eBay, Inc.
# 3.600%, 06/05/27................................................. 2,000 2,089,426
Ecolab, Inc.
2.700%, 11/01/26................................................. 2,000 2,063,456
Electricite de France SA
#(Omega) 3.625%, 10/13/25................................................. 5,797 6,196,027
3.625%, 10/13/25................................................. 2,000 2,137,667
Electronic Arts, Inc.
4.800%, 03/01/26................................................. 2,200 2,510,945
Enbridge, Inc.
# 3.700%, 07/15/27................................................. 3,000 3,187,921
Enel Finance International NV
(Omega) 3.500%, 04/06/28................................................. 8,000 8,240,230
(Omega) 4.875%, 06/14/29................................................. 4,000 4,578,137
Energy Transfer Operating L.P.
4.750%, 01/15/26................................................. 4,000 4,333,172
4.200%, 04/15/27................................................. 2,000 2,085,631
Enterprise Products Operating LLC
3.700%, 02/15/26................................................. 6,000 6,378,156
6.875%, 03/01/33................................................. 525 718,079
EQT Corp.
# 3.900%, 10/01/27................................................. 1,610 1,420,497
Exelon Corp.
3.950%, 06/15/25................................................. 795 861,246
FACE
AMOUNT VALUE+
------ -----------
(000)
------
3.400%, 04/15/26................................................. 5,400 $ 5,680,545
Exxon Mobil Corp.
3.043%, 03/01/26................................................. 20,686 21,851,939
Fairfax Financial Holdings Ltd.
4.850%, 04/17/28................................................. 400 435,642
FedEx Corp.
# 3.400%, 02/15/28................................................. 3,000 3,093,140
4.900%, 01/15/34................................................. 7,988 9,209,967
Fidelity National Information Services, Inc.
5.000%, 10/15/25................................................. 278 317,835
Fifth Third Bancorp
3.950%, 03/14/28................................................. 2,943 3,223,044
FirstEnergy Corp.
7.375%, 11/15/31................................................. 2,000 2,845,211
Fluor Corp.
# 4.250%, 09/15/28................................................. 5,000 4,953,466
FMR LLC
(Omega) 4.950%, 02/01/33................................................. 5,000 6,215,686
Fortune Brands Home & Security, Inc.
# 3.250%, 09/15/29................................................. 2,700 2,738,592
GATX Corp.
3.250%, 03/30/25................................................. 2,820 2,888,477
3.250%, 09/15/26................................................. 2,200 2,245,226
General Dynamics Corp.
2.125%, 08/15/26................................................. 6,500 6,506,503
General Electric Co.
6.750%, 03/15/32................................................. 9,273 11,811,857
General Mills, Inc.
# 4.200%, 04/17/28................................................. 3,000 3,359,782
General Motors Financial Co., Inc.
5.250%, 03/01/26................................................. 7,000 7,594,163
4.350%, 01/17/27................................................. 3,000 3,093,983
Georgia Power Co.
3.250%, 04/01/26................................................. 3,000 3,128,764
Georgia-Pacific LLC
7.750%, 11/15/29................................................. 4,960 7,124,147
Gilead Sciences, Inc.
# 3.650%, 03/01/26................................................. 2,000 2,148,733
GlaxoSmithKline Capital, Inc.
3.875%, 05/15/28................................................. 2,800 3,129,836
5.375%, 04/15/34................................................. 8,000 10,469,373
Global Payments, Inc.
4.800%, 04/01/26................................................. 5,970 6,707,237
4.450%, 06/01/28................................................. 1,071 1,194,618
Goldman Sachs Group, Inc. (The)
3.750%, 02/25/26................................................. 1,100 1,170,228
# 6.125%, 02/15/33................................................. 10,000 13,423,394
Halliburton Co.
3.800%, 11/15/25................................................. 4,124 4,345,105
80
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ -----------
(000)
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Harley-Davidson, Inc.
# 3.500%, 07/28/25....................................................... 5,980 $ 6,238,861
Hasbro, Inc.
3.500%, 09/15/27....................................................... 2,820 2,884,428
Hewlett Packard Enterprise Co.
4.900%, 10/15/25....................................................... 8,542 9,551,548
Honeywell International, Inc.
2.500%, 11/01/26....................................................... 1,000 1,023,102
HSBC Holdings P.L.C.
4.300%, 03/08/26....................................................... 4,000 4,361,203
Husky Energy, Inc.
4.400%, 04/15/29....................................................... 3,000 3,178,342
ING Groep NV
3.950%, 03/29/27....................................................... 6,550 7,039,117
Inter-American Development Bank
6.750%, 07/15/27....................................................... 1,058 1,396,581
International Business Machines Corp.
# 3.300%, 01/27/27....................................................... 3,191 3,384,907
5.875%, 11/29/32....................................................... 66 87,274
International Paper Co.
3.800%, 01/15/26....................................................... 578 617,296
Janus Capital Group, Inc.
4.875%, 08/01/25....................................................... 2,000 2,181,284
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
# 4.850%, 01/15/27....................................................... 3,000 3,231,128
Johnson & Johnson
2.450%, 03/01/26....................................................... 8,500 8,705,867
# 2.900%, 01/15/28....................................................... 8,000 8,423,495
6.950%, 09/01/29....................................................... 1,000 1,399,753
4.950%, 05/15/33....................................................... 2,500 3,177,627
Juniper Networks, Inc.
# 3.750%, 08/15/29....................................................... 7,000 7,112,907
Kellogg Co.
3.250%, 04/01/26....................................................... 6,741 7,030,985
# 4.300%, 05/15/28....................................................... 3,000 3,344,403
7.450%, 04/01/31....................................................... 1,100 1,531,593
Keurig Dr Pepper, Inc.
3.400%, 11/15/25....................................................... 1,660 1,737,939
Koninklijke KPN NV
8.375%, 10/01/30....................................................... 2,000 2,706,444
Kraft Heinz Foods Co.
3.950%, 07/15/25....................................................... 8,000 8,428,502
# 4.625%, 01/30/29....................................................... 4,000 4,367,257
Kroger Co. (The)
# 7.500%, 04/01/31....................................................... 7,725 10,744,574
Laboratory Corp. of America Holdings
# 3.600%, 09/01/27....................................................... 3,100 3,294,031
Lam Research Corp.
4.000%, 03/15/29....................................................... 2,000 2,213,356
FACE
AMOUNT VALUE+
------ -----------
(000)
------
Las Vegas Sands Corp.
# 3.900%, 08/08/29................................................. 1,000 $ 1,029,597
Lazard Group LLC
# 4.500%, 09/19/28................................................. 2,000 2,195,661
Lear Corp.
3.800%, 09/15/27................................................. 1,000 1,012,779
4.250%, 05/15/29................................................. 1,000 1,031,151
Legg Mason, Inc.
4.750%, 03/15/26................................................. 3,205 3,521,450
Leggett & Platt, Inc.
4.400%, 03/15/29................................................. 11,000 11,972,232
Liberty Mutual Group, Inc.
#(Omega) 4.569%, 02/01/29................................................. 5,000 5,650,203
Lincoln National Corp.
3.350%, 03/09/25................................................. 5,425 5,687,213
3.050%, 01/15/30................................................. 2,000 2,020,314
Lloyds Banking Group P.L.C.
3.750%, 01/11/27................................................. 5,000 5,288,567
4.375%, 03/22/28................................................. 4,000 4,413,447
Loews Corp.
3.750%, 04/01/26................................................. 5,500 5,934,012
LYB International Finance II BV
3.500%, 03/02/27................................................. 2,000 2,083,908
Macquarie Bank, Ltd.
(Omega) 3.900%, 01/15/26................................................. 5,000 5,349,823
Marathon Petroleum Corp.
# 5.125%, 12/15/26................................................. 350 399,991
Markel Corp.
3.350%, 09/17/29................................................. 8,500 8,682,913
Marriott International, Inc.
# 4.000%, 04/15/28................................................. 2,000 2,158,680
Mars, Inc.
(Omega) 3.600%, 04/01/34................................................. 5,744 6,427,456
Marsh & McLennan Cos. Inc.
# 4.375%, 03/15/29................................................. 2,000 2,280,092
Marsh & McLennan Cos., Inc.
5.875%, 08/01/33................................................. 2,500 3,230,315
Maxim Integrated Products, Inc.
3.450%, 06/15/27................................................. 2,950 3,035,152
McDonald's Corp.
3.700%, 01/30/26................................................. 2,129 2,299,923
McKesson Corp.
3.796%, 03/15/24................................................. 201 210,970
# 3.950%, 02/16/28................................................. 1,000 1,061,502
4.750%, 05/30/29................................................. 3,100 3,478,153
Merck Sharp & Dohme Corp.
# 6.400%, 03/01/28................................................. 6,591 8,457,516
MetLife, Inc.
6.500%, 12/15/32................................................. 300 419,996
Microsoft Corp.
3.300%, 02/06/27................................................. 29,100 31,499,752
81
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ -----------
(000)
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Mitsubishi UFJ Financial Group, Inc.
3.850%, 03/01/26................................................. 7,000 $ 7,534,001
3.677%, 02/22/27................................................. 2,000 2,140,846
Mizuho Financial Group, Inc.
2.839%, 09/13/26................................................. 10,000 10,142,350
Molson Coors Brewing Co.
3.000%, 07/15/26................................................. 2,000 2,023,886
Morgan Stanley
3.875%, 01/27/26................................................. 3,000 3,238,192
3.625%, 01/20/27................................................. 6,400 6,826,631
7.250%, 04/01/32................................................. 4,000 5,709,525
Mosaic Co. (The)
# 4.050%, 11/15/27................................................. 4,000 4,228,789
Motorola Solutions, Inc.
4.600%, 05/23/29................................................. 10,000 10,999,274
MPLX L.P.
4.125%, 03/01/27................................................. 7,000 7,351,233
Mylan NV
3.950%, 06/15/26................................................. 5,000 5,191,004
National Australia Bank, Ltd.
(Omega) 3.500%, 01/10/27................................................. 14,790 15,901,083
Nationwide Building Society
(Omega) 3.900%, 07/21/25................................................. 7,000 7,637,240
NextEra Energy Capital Holdings, Inc.
3.550%, 05/01/27................................................. 2,000 2,130,651
Noble Energy, Inc.
# 3.850%, 01/15/28................................................. 2,000 2,077,550
Nordstrom, Inc.
# 4.000%, 03/15/27................................................. 4,412 4,591,022
6.950%, 03/15/28................................................. 282 339,909
Norfolk Southern Corp.
5.640%, 05/17/29................................................. 2,048 2,504,047
Novartis Capital Corp.
# 3.100%, 05/17/27................................................. 21,278 22,691,931
Nucor Corp.
3.950%, 05/01/28................................................. 6,000 6,563,739
Occidental Petroleum Corp.
3.400%, 04/15/26................................................. 5,280 5,374,315
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24................................................. 705 744,956
ONEOK, Inc.
4.000%, 07/13/27................................................. 3,915 4,130,256
Oracle Corp.
2.650%, 07/15/26................................................. 3,000 3,078,631
# 3.250%, 11/15/27................................................. 22,400 23,866,471
3.250%, 05/15/30................................................. 7,966 8,501,423
O'Reilly Automotive, Inc.
3.600%, 09/01/27................................................. 3,900 4,169,116
Parker-Hannifin Corp.
3.250%, 06/14/29................................................. 2,850 2,990,075
FACE
AMOUNT VALUE+
------ -----------
(000)
------
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
(Omega) 3.400%, 11/15/26.................................................. 4,000 $ 4,090,125
PerkinElmer, Inc.
3.300%, 09/15/29.................................................. 1,700 1,705,431
Pfizer, Inc.
2.750%, 06/03/26.................................................. 3,520 3,653,205
3.000%, 12/15/26.................................................. 11,817 12,537,783
Philip Morris International, Inc.
3.375%, 08/15/29.................................................. 3,000 3,153,497
Phillips 66 Partners L.P.
3.550%, 10/01/26.................................................. 4,550 4,753,247
PPG Industries, Inc.
# 3.750%, 03/15/28.................................................. 2,000 2,182,177
2.800%, 08/15/29.................................................. 500 502,412
Principal Financial Group, Inc.
3.100%, 11/15/26.................................................. 300 311,255
Procter & Gamble Co. (The)
# 2.850%, 08/11/27.................................................. 9,000 9,587,803
Progressive Corp. (The)
6.250%, 12/01/32.................................................. 900 1,254,399
Province of British Columbia
Canada............................................................
# 6.500%, 01/15/26.................................................. 1,363 1,709,778
Prudential Financial, Inc.
3.878%, 03/27/28.................................................. 4,900 5,417,244
5.750%, 07/15/33.................................................. 2,625 3,399,059
Quest Diagnostics, Inc.
3.500%, 03/30/25.................................................. 582 613,161
Reinsurance Group of
America, Inc......................................................
3.950%, 09/15/26.................................................. 7,358 7,778,417
Rio Tinto Finance USA, Ltd.
7.125%, 07/15/28.................................................. 2,120 2,876,148
Roche Holdings, Inc.
(Omega) 2.625%, 05/15/26.................................................. 3,132 3,225,565
(Omega) 2.375%, 01/28/27.................................................. 7,900 8,007,210
Rolls-Royce P.L.C.
(Omega) 3.625%, 10/14/25.................................................. 4,000 4,174,533
Royal Bank of Scotland Group P.L.C.
4.800%, 04/05/26.................................................. 1,000 1,109,359
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27.................................................. 5,401 6,910,463
3.700%, 03/15/28.................................................. 2,474 2,562,259
salesforce.com, Inc.
# 3.700%, 04/11/28.................................................. 2,000 2,208,640
Santander Holdings USA, Inc.
4.500%, 07/17/25.................................................. 9,000 9,697,097
4.400%, 07/13/27.................................................. 2,000 2,148,899
Sempra Energy
# 3.750%, 11/15/25.................................................. 1,000 1,054,018
Shell International Finance BV
# 2.875%, 05/10/26.................................................. 12,051 12,563,229
82
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ -----------
(000)
------
2.500%, 09/12/26.................................................... 10,200 $10,443,798
Sherwin-Williams Co. (The)
# 3.450%, 08/01/25.................................................... 5,503 5,817,747
# 3.950%, 01/15/26.................................................... 2,200 2,345,325
2.950%, 08/15/29.................................................... 1,230 1,241,021
Siemens Financieringsmaatschappij NV
(Omega) 6.125%, 08/17/26.................................................... 2,080 2,548,305
Solvay Finance America LLC
(Omega) 4.450%, 12/03/25.................................................... 3,000 3,261,444
Southern Power Co.
4.150%, 12/01/25.................................................... 2,000 2,188,055
Southwest Airlines Co.
3.000%, 11/15/26.................................................... 2,000 2,050,821
Spirit AeroSystems, Inc.
4.600%, 06/15/28.................................................... 500 539,533
Standard Chartered P.L.C.
#(Omega) 4.050%, 04/12/26.................................................... 1,962 2,084,692
Statoil ASA
#(Omega) 6.500%, 12/01/28.................................................... 5,000 6,603,205
Steelcase Inc.
# 5.125%, 01/18/29.................................................... 400 452,983
Stryker Corp.
# 3.375%, 11/01/25.................................................... 6,000 6,391,298
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26.................................................... 4,000 4,291,634
3.544%, 01/17/28.................................................... 6,000 6,409,186
3.040%, 07/16/29.................................................... 3,000 3,074,469
Sysco Corp.
# 3.750%, 10/01/25.................................................... 700 756,766
3.300%, 07/15/26.................................................... 12,345 13,033,254
Tapestry, Inc.
4.250%, 04/01/25.................................................... 8,534 8,971,943
Target Corp.
2.500%, 04/15/26.................................................... 4,230 4,351,764
TD Ameritrade Holding Corp.
# 2.750%,10/01/29..................................................... 3,000 3,012,753
Telefonica Europe BV
8.250%, 09/15/30.................................................... 9,275 13,380,802
Thomson Reuters Corp.
3.850%, 09/29/24.................................................... 112 118,779
TJX Cos., Inc. (The)
2.250%, 09/15/26.................................................... 1,975 1,981,843
Toyota Motor Credit Corp.
# 3.200%, 01/11/27.................................................... 20,213 21,663,611
3.050%, 01/11/28.................................................... 14,430 15,362,413
TransCanada PipeLines, Ltd.
4.875%, 01/15/26.................................................... 450 503,638
Travelers Property Casualty Corp.
6.375%, 03/15/33.................................................... 2,133 2,995,249
FACE
AMOUNT VALUE+
------ --------------
(000)
------
UBS Group Funding Switzerland AG
#(Omega) 4.125%, 09/24/25................................................. 9,500 $ 10,353,767
Union Pacific Corp.
3.950%, 09/10/28................................................. 4,930 5,486,056
United Technologies Corp.
7.500%, 09/15/29................................................. 5,114 7,229,125
UnitedHealth Group, Inc.
3.750%, 07/15/25................................................. 2,133 2,313,433
3.875%, 12/15/28................................................. 3,000 3,328,961
Unum Group
3.875%, 11/05/25................................................. 9,000 9,544,738
4.000%, 06/15/29................................................. 3,000 3,152,375
Valero Energy Corp.
7.500%, 04/15/32................................................. 4,000 5,480,227
Verizon Communications, Inc.
4.125%, 03/16/27................................................. 3,700 4,122,953
# 4.016%, 12/03/29................................................. 4,307 4,814,451
4.500%, 08/10/33................................................. 4,500 5,270,753
Vodafone Group P.L.C.
# 7.875%, 02/15/30................................................. 8,125 11,304,604
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26................................................. 9,000 9,315,749
Wells Fargo & Co.
3.000%, 04/22/26................................................. 5,700 5,849,779
# 4.150%, 01/24/29................................................. 8,000 8,886,326
Westpac Banking Corp.
2.700%, 08/19/26................................................. 10,595 10,907,730
# 3.350%, 03/08/27................................................. 7,000 7,486,742
WestRock MWV LLC
8.200%, 01/15/30................................................. 5,885 8,148,489
7.950%, 02/15/31................................................. 3,112 4,297,545
Whirlpool Corp.
3.700%, 05/01/25................................................. 2,468 2,604,926
# 4.750%, 02/26/29................................................. 2,000 2,251,525
Williams Cos. Inc
8.750%, 03/15/32................................................. 5,000 7,147,386
Williams Cos., Inc. (The)
4.000%, 09/15/25................................................. 3,000 3,184,532
3.750%, 06/15/27................................................. 2,771 2,885,082
WRKCo, Inc.
4.200%, 06/01/32................................................. 2,000 2,219,736
Zoetis, Inc.
3.000%, 09/12/27................................................. 1,500 1,544,996
--------------
TOTAL BONDS................................................................ 1,626,276,422
--------------
TOTAL INVESTMENT SECURITIES
(Cost $1,600,959,115).................................................. 1,691,382,337
--------------
83
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- --------------
SECURITIES LENDING COLLATERAL -- (6.1%)
@(S) The DFA Short Term Investment Fund............................... 9,541,625 $ 110,406,139
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,711,354,584).............................................. $1,801,788,476
==============
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
-------- -------------- -------- --------------
Agency Obligations.......................................... -- $ 65,105,915 -- $ 65,105,915
Bonds....................................................... -- 1,626,276,422 -- 1,626,276,422
Securities Lending Collateral............................... -- 110,406,139 -- 110,406,139
-------- -------------- -------- --------------
TOTAL....................................................... -- $1,801,788,476 -- $1,801,788,476
======== ============== ======== ==============
See accompanying Notes to Financial Statements.
84
DFA TARGETED CREDIT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (95.2%)
AUSTRALIA -- (2.7%)
Australia & New Zealand
Banking Group, Ltd.
2.550%, 11/23/21................................................. 886 $ 898,066
(r)(Omega) 3.018%, 11/23/21................................................. 1,750 1,770,231
0.625%, 02/21/23................................................. EUR 2,000 2,281,020
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22................................................. 704 720,019
BHP Billiton Finance, Ltd.
0.750%, 10/28/22................................................. EUR 2,554 2,915,682
Commonwealth Bank of Australia
#(r) 2.942%, 09/06/21................................................. 594 600,772
(Omega) 2.750%, 03/10/22................................................. 991 1,008,725
FMG Resources August 2006 Pty, Ltd.
4.750%, 05/15/22................................................. 1,300 1,339,000
National Australia Bank, Ltd.
2.800%, 01/10/22................................................. 1,000 1,019,013
2.500%, 05/22/22................................................. 4,500 4,564,296
Westpac Banking Corp.
(r) 2.280%, 01/25/21................................................. 1,000 1,001,575
2.500%, 06/28/22................................................. 1,000 1,015,690
0.750%, 10/17/23................................................. EUR 1,374 1,576,598
-----------
TOTAL AUSTRALIA.............................................................. 20,710,687
-----------
BELGIUM -- (0.6%)
Anheuser-Busch InBev SA
0.875%, 03/17/22................................................. EUR 3,272 3,728,902
0.800%, 04/20/23................................................. EUR 1,000 1,147,523
-----------
TOTAL BELGIUM................................................................ 4,876,425
-----------
CANADA -- (5.2%)
Alimentation Couche-Tard, Inc.
(Omega) 2.700%, 07/26/22................................................. 2,000 2,023,572
Bank of Montreal
1.900%, 08/27/21................................................. 500 500,430
Bank of Nova Scotia (The)
(r) 2.406%, 04/20/21................................................. 1,622 1,627,226
2.700%, 03/07/22................................................. 2,000 2,036,121
0.375%, 04/06/22................................................. EUR 1,000 1,126,326
Canadian Imperial Bank of Commerce
(r) 2.581%, 02/02/21................................................. 1,000 1,001,870
# 2.550%, 06/16/22................................................. 1,485 1,511,895
2.300%, 07/11/22................................................. CAD 3,000 2,288,254
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (Continued)
Canadian National Railway Co.
2.850%, 12/15/21................................................. 565 $ 572,841
Canadian Natural Resources Ltd.
2.890%, 08/14/20................................................. CAD 2,000 1,527,037
Canadian Natural Resources, Ltd.
# 3.450%, 11/15/21................................................. 2,800 2,873,040
2.950%, 01/15/23................................................. 1,000 1,020,415
Cenovus Energy, Inc.
3.000%, 08/15/22................................................. 1,122 1,132,517
Enbridge, Inc.
2.900%, 07/15/22................................................. 2,167 2,214,024
3.190%, 12/05/22................................................. CAD 1,000 776,312
Husky Energy, Inc.
7.250%, 12/15/19................................................. 925 929,222
Kinross Gold Corp.
5.125%, 09/01/21................................................. 2,250 2,333,250
National Bank of Canada
(r)(Omega) 2.559%, 03/21/21................................................. 2,000 2,001,595
Newfield Exploration Co.
5.750%, 01/30/22................................................. 2,420 2,584,278
Rogers Communications, Inc.
4.000%, 06/06/22................................................. CAD 2,500 1,978,608
Toronto-Dominion Bank (The)
# 2.125%, 04/07/21................................................. 1,000 1,003,770
(r) 3.043%, 04/07/21................................................. 2,500 2,528,525
3.250%, 06/11/21................................................. 1,000 1,022,349
1.800%, 07/13/21................................................. 1,000 999,536
TransCanada PipeLines, Ltd.
2.500%, 08/01/22................................................. 600 608,054
Videotron, Ltd.
5.000%, 07/15/22................................................. 1,980 2,083,950
-----------
TOTAL CANADA................................................................. 40,305,017
-----------
DENMARK -- (0.7%)
AP Moller Maersk A.S.
1.750%, 03/18/21................................................. EUR 2,200 2,512,891
Danske Bank A.S.
(Omega) 2.750%, 09/17/20................................................. 1,500 1,509,049
(Omega) 2.800%, 03/10/21................................................. 700 705,574
0.875%, 05/22/23................................................. EUR 1,000 1,133,678
-----------
TOTAL DENMARK................................................................ 5,861,192
-----------
FINLAND -- (0.8%)
Nokia Oyj
3.375%, 06/12/22................................................. 2,228 2,253,065
Nordea Bank AB
1.000%, 02/22/23................................................. EUR 1,803 2,079,605
85
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FINLAND -- (Continued)
Nordea Bank Abp
0.875%, 06/26/23................................................. EUR 2,000 $ 2,289,644
-----------
TOTAL FINLAND.............................................................. 6,622,314
-----------
FRANCE -- (2.8%)
Air Liquide Finance SA
0.500%, 06/13/22................................................. EUR 1,700 1,927,191
Airbus Finance BV
(Omega) 2.700%, 04/17/23................................................. 500 511,320
BNP Paribas SA
5.000%, 01/15/21................................................. 531 550,920
0.500%, 06/01/22................................................. EUR 2,800 3,176,277
BPCE SA
2.650%, 02/03/21................................................. 700 704,962
2.750%, 12/02/21................................................. 1,000 1,014,064
1.125%, 12/14/22................................................. EUR 1,200 1,388,013
Credit Agricole SA
0.750%, 12/01/22................................................. EUR 2,300 2,633,680
Danone SA
(Omega) 2.077%, 11/02/21................................................. 2,770 2,770,582
Electricite de France SA
2.750%, 03/10/23................................................. EUR 500 609,009
Orange SA
4.125%, 09/14/21................................................. 900 936,670
Pernod Ricard SA
(Omega) 5.750%, 04/07/21................................................. 2,000 2,105,218
Societe Generale SA
#(Omega) 2.625%, 09/16/20................................................. 500 502,685
(Omega) 2.500%, 04/08/21................................................. 1,000 1,005,130
4.250%, 07/13/22................................................. EUR 1,500 1,868,480
-----------
TOTAL FRANCE............................................................... 21,704,201
-----------
GERMANY -- (6.2%)
Bayer Capital Corp BV
0.625%, 12/15/22................................................. EUR 2,500 2,831,874
Bayer Capital Corp. BV
1.250%, 11/13/23................................................. EUR 1,260 1,467,983
BMW Finance NV
0.125%, 01/12/21................................................. EUR 90 100,692
1.250%, 09/05/22................................................. EUR 600 692,601
0.500%, 11/22/22................................................. EUR 1,400 1,583,757
0.375%, 07/10/23................................................. EUR 2,000 2,254,645
BMW US Capital LLC
0.625%, 04/20/22................................................. EUR 750 849,909
Daimler Canada Finance, Inc.
2.230%, 12/16/21................................................. CAD 2,000 1,514,054
Daimler Finance North America LLC Floating Rate Note
(r) 2.957%, 11/05/21................................................. 1,000 1,001,613
Daimler Finance North America LLC
(Omega) 2.850%, 01/06/22................................................. 2,500 2,532,089
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
Deutsche Bank AG
2.950%, 08/20/20................................................. 1,000 $ 1,001,994
3.125%, 01/13/21................................................. 500 502,395
1.500%, 01/20/22................................................. EUR 1,700 1,916,502
Deutsche Telekom International Finance BV
#(Omega) 1.950%, 09/19/21................................................. 1,500 1,496,071
4.250%, 07/13/22................................................. EUR 800 997,328
E.ON International Finance BV
5.750%, 05/07/20................................................. EUR 2,000 2,298,071
EMD Finance LLC
(Omega) 2.950%, 03/19/22................................................. 3,288 3,339,525
Merck Financial Services GmbH
4.500%, 03/24/20................................................. EUR 2,800 3,180,174
NRW Bank
(r) 2.227%, 02/08/21................................................. 5,000 4,996,850
Siemens Financieringsmaatschappij NV
(Omega) 1.700%, 09/15/21................................................. 1,000 997,750
2.900%, 05/27/22................................................. 1,500 1,536,946
0.375%, 09/06/23................................................. EUR 1,966 2,236,274
T-Mobile USA, Inc.
# 4.000%, 04/15/22................................................. 1,239 1,278,908
Volkswagen Financial Services NV
1.750%, 04/17/20................................................. GBP 500 648,617
Volkswagen International Finance NV
0.875%, 01/16/23................................................. EUR 1,000 1,139,707
Volkswagen Leasing GmbH
2.125%, 04/04/22................................................. EUR 900 1,052,732
2.375%, 09/06/22................................................. EUR 1,800 2,131,991
ZF North America Capital, Inc.
(Omega) 4.500%, 04/29/22................................................. 2,299 2,357,424
-----------
TOTAL GERMANY.............................................................. 47,938,476
-----------
IRELAND -- (0.6%)
Ireland Government Bond
0.000%, 10/18/22................................................. EUR 3,900 4,412,487
-----------
ITALY -- (1.2%)
Enel Finance International NV
5.000%, 09/14/22................................................. EUR 622 793,741
Intesa Sanpaolo SpA
0.875%, 06/27/22................................................. EUR 500 568,622
(Omega) 3.125%, 07/14/22................................................. 2,000 2,018,363
1.000%, 07/04/24................................................. EUR 2,000 2,276,585
Italy Buoni Poliennali Del Tesoro
1.200%, 04/01/22................................................. EUR 2,820 3,241,223
86
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
ITALY -- (Continued)
0.950%, 03/01/23............................................ EUR 400 $ 458,686
-----------
TOTAL ITALY............................................................. 9,357,220
-----------
JAPAN -- (4.1%)
American Honda Finance Corp.
0.550%, 03/17/23............................................ EUR 1,500 1,703,257
Daiwa Securities Group, Inc.
(Omega) 3.129%,04/19/22............................................. 1,500 1,529,185
Honda Canada Finance, Inc.
2.268%, 07/15/22............................................ CAD 5,500 4,180,810
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21............................................ 1,000 1,011,734
0.980%, 10/09/23............................................ EUR 1,500 1,723,305
Mizuho Financial Group, Inc.
#(Omega) 2.632%,04/12/21............................................. 800 805,848
2.953%, 02/28/22............................................ 3,500 3,559,991
MUFG Bank, Ltd.
0.875%, 03/11/22............................................ EUR 2,068 2,354,372
Nissan Motor Acceptance Corp. Floating Rate Note
(r) 2.494%,09/28/20............................................. 1,500 1,500,588
(Omega) 2.550%,03/08/21............................................. 1,100 1,103,127
(r)(Omega) 2.789%,09/21/21............................................. 500 500,468
(Omega) 2.650%,07/13/22............................................. 1,000 1,005,552
#(Omega) 2.600%,09/28/22............................................. 1,000 1,004,726
Shire Acquisitions Investments Ireland DAC
2.400%, 09/23/21............................................ 3,684 3,705,236
Sumitomo Mitsui Banking Corp.
1.000%, 01/19/22............................................ EUR 1,000 1,139,847
Sumitomo Mitsui Financial Group, Inc.
2.058%, 07/14/21............................................ 1,000 1,000,412
(r) 3.106%,10/19/21............................................. 765 774,550
2.784%, 07/12/22............................................ 400 406,716
0.819%, 07/23/23............................................ EUR 450 513,626
Takeda Pharmaceutical Co. Ltd.
1.125%, 11/21/22............................................ EUR 1,300 1,496,478
Toyota Motor Credit Corp.
2.600%, 01/11/22............................................ 776 789,347
-----------
TOTAL JAPAN............................................................. 31,809,175
-----------
LUXEMBOURG -- (0.3%)
ArcelorMittal
0.950%, 01/17/23............................................ EUR 2,000 2,244,866
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NETHERLANDS -- (1.7%)
ABN AMRO Bank NV
0.500%, 07/17/23............................................. EUR 500 $ 567,008
Cooperatieve Rabobank UA
2.375%, 05/22/23............................................. EUR 3,700 4,481,043
0.750%, 08/29/23............................................. EUR 300 343,396
Heineken NV
(Omega) 3.400%, 04/01/22............................................. 1,011 1,043,068
ING Bank NV
#(Omega) 2.750%,03/22/21.............................................. 1,500 1,516,820
4.500%, 02/21/22............................................. EUR 1,000 1,234,179
ING Groep NV
0.750%, 03/09/22............................................. EUR 1,600 1,814,941
Koninklijke Philips NV
0.500%, 09/06/23............................................. EUR 1,000 1,136,981
Shell International Finance BV
# 1.875%,05/10/21.............................................. 816 816,799
-----------
TOTAL NETHERLANDS....................................................... 12,954,235
-----------
NORWAY -- (0.3%)
DNB Bank ASA
4.375%, 02/24/21............................................. EUR 429 507,347
0.600%, 09/25/23............................................. EUR 1,500 1,714,489
-----------
TOTAL NORWAY............................................................ 2,221,836
-----------
SPAIN -- (2.1%)
Banco Santander SA
3.848%, 04/12/23............................................. 3,000 3,135,775
Iberdrola International BV
1.750%, 09/17/23............................................. EUR 500 595,115
Santander Holdings USA, Inc.
2.650%, 04/17/20............................................. 800 802,142
3.700%, 03/28/22............................................. 1,000 1,027,611
3.400%, 01/18/23............................................. 1,000 1,028,272
Santander UK Group Holdings P.L.C.
2.875%, 08/05/21............................................. 1,000 1,008,636
Spain Government Bond
0.450%, 10/31/22............................................. EUR 3,000 3,428,971
Telefonica Emisiones SA
5.462%, 02/16/21............................................. 1,185 1,236,305
3.961%, 03/26/21............................................. EUR 800 943,485
3.987%, 01/23/23............................................. EUR 300 377,036
1.069%, 02/05/24............................................. EUR 2,000 2,317,682
Telefonica Emisiones SAU
5.134%, 04/27/20............................................. 200 202,934
2.242%, 05/27/22............................................. EUR 400 472,016
-----------
TOTAL SPAIN............................................................. 16,575,980
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.2%)
EUROFIMA
(r) 2.248%,11/15/21.............................................. 2,000 1,999,480
-----------
87
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWEDEN -- (0.8%)
Svenska Handelsbanken AB
0.500%, 03/21/23................................................. EUR 900 $ 1,021,898
Swedbank AB
0.250%, 11/07/22................................................. EUR 3,000 3,366,737
Telefonaktiebolaget LM Ericsson
4.125%, 05/15/22................................................. 2,000 2,072,700
-----------
TOTAL SWEDEN.............................................................. 6,461,335
-----------
SWITZERLAND -- (1.4%)
ABB Finance BV Floating Rate Note
(r) 0.000%,10/12/20....................................................... EUR 3,000 3,354,117
ABB Finance BV
0.625%, 05/03/23................................................. EUR 2,500 2,849,050
Credit Suisse AG
3.000%, 10/29/21................................................. 1,457 1,485,394
Credit Suisse Group Funding Guernsey, Ltd.
1.250%, 04/14/22................................................. EUR 2,100 2,412,838
UBS AG
0.625%, 01/23/23................................................. EUR 1,000 1,138,962
-----------
TOTAL SWITZERLAND......................................................... 11,240,361
-----------
UNITED KINGDOM -- (8.6%)
AstraZeneca P.L.C.
2.375%, 11/16/20................................................. 2,250 2,260,198
# 2.375%,06/12/22.................................................. 1,500 1,514,167
BAE Systems Holdings, Inc.
(Omega) 2.850%,12/15/20.................................................. 1,650 1,662,449
Barclays P.L.C.
2.750%, 11/08/19................................................. 1,000 1,000,057
1.500%, 04/01/22................................................. EUR 1,100 1,270,235
3.125%, 01/17/24................................................. GBP 2,000 2,717,766
BAT International Finance P.L.C.
3.625%, 11/09/21................................................. EUR 700 837,077
1.000%, 05/23/22................................................. EUR 1,333 1,516,354
(Omega) 3.250%,06/07/22.................................................. 1,000 1,021,643
2.375%, 01/19/23................................................. EUR 500 595,425
BP Capital Markets P.L.C.
4.154%, 06/01/20................................................. EUR 1,000 1,143,604
3.561%, 11/01/21................................................. 1,300 1,343,675
1.373%, 03/03/22................................................. EUR 2,146 2,474,422
British Telecommunications P.L.C.
0.500%, 06/23/22................................................. EUR 3,100 3,497,777
0.875%, 09/26/23................................................. EUR 1,500 1,715,884
CNH Industrial Capital LLC
3.875%, 10/15/21................................................. 1,000 1,027,500
4.375%, 04/05/22................................................. 250 261,388
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED KINGDOM -- (Continued)
Coca-Cola European Partners P.L.C.
0.750%, 02/24/22................................................. EUR 1,846 $ 2,096,709
2.625%, 11/06/23................................................. EUR 1,200 1,471,377
Coca-Cola European Partners US LLC
4.500%, 09/01/21................................................. 270 278,441
GlaxoSmithKline Capital P.L.C
0.625%, 12/02/19................................................. EUR 3,500 3,906,359
HSBC Bank Canada
2.449%, 01/29/21................................................. CAD 2,000 1,525,245
HSBC Holdings P.L.C.
3.400%, 03/08/21................................................. 2,000 2,034,766
4.000%, 03/30/22................................................. 700 732,869
HSBC Holdings PLC
(r) 3.792%, 05/25/21 1,900 1,934,996
Lloyds Banking Group P.L.C.
3.100%, 07/06/21................................................. 1,000 1,016,596
3.000%, 01/11/22................................................. 600 609,885
Mead Johnson Nutrition Co.
3.000%, 11/15/20................................................. 919 928,736
National Grid North America, Inc.
0.750%, 08/08/23................................................. EUR 4,100 4,672,689
Nationwide Building Society
0.625%, 04/19/23................................................. EUR 3,600 4,100,961
Natwest Markets P.L.C.
1.125%, 06/14/23................................................. EUR 1,500 1,720,873
NatWest Markets P.L.C.
1.000%, 05/28/24................................................. EUR 2,500 2,856,587
PPL WEM, Ltd. / Western Power Distribution, Ltd.
(Omega) 5.375%,05/01/21.................................................. 500 516,862
Praxair, Inc.
1.200%, 02/12/24................................................. EUR 3,000 3,517,945
Rolls-Royce P.L.C.
0.875%, 05/09/24................................................. EUR 500 568,377
TechnipFMC P.L.C.
3.450%, 10/01/22................................................. 1,000 1,018,775
Unilever NV
0.000%, 04/29/20................................................. EUR 1,000 1,116,382
0.500%, 02/03/22................................................. EUR 1,125 1,276,246
Vodafone Group P.L.C.
1.250%, 08/25/21................................................. EUR 1,000 1,142,660
1.750%, 08/25/23................................................. EUR 1,750 2,077,437
-----------
TOTAL UNITED KINGDOM...................................................... 66,981,394
-----------
UNITED STATES -- (54.9%)
Abbott Ireland Financing DAC
0.875%, 09/27/23................................................. EUR 4,500 5,172,377
AbbVie, Inc.
2.900%, 11/06/22................................................. 2,500 2,548,563
88
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Activision Blizzard, Inc.
2.600%, 06/15/22................................................. 600 $ 607,526
Aflac, Inc.
3.625%, 06/15/23................................................. 500 528,502
Aircastle, Ltd.
4.125%, 05/01/24................................................. 2,046 2,142,640
Albemarle Corp.
1.875%, 12/08/21................................................. EUR 3,785 4,382,245
Allergan Finance LLC
3.250%, 10/01/22................................................. 1,000 1,023,198
Allergan Funding SCS
3.450%, 03/15/22................................................. 3,000 3,074,910
1.500%, 11/15/23................................................. EUR 1,100 1,292,507
Ally Financial, Inc.
7.500%, 09/15/20................................................. 500 521,250
4.125%, 02/13/22................................................. 1,525 1,576,469
Altria Group, Inc.
2.850%, 08/09/22................................................. 2,516 2,553,002
1.000%, 02/15/23................................................. EUR 2,000 2,258,928
Ameren Corp.
2.700%, 11/15/20................................................. 1,525 1,535,110
American Express Co.
2.500%, 08/01/22................................................. 3,000 3,041,750
American Express Credit Corp.
0.625%, 11/22/21................................................. EUR 1,445 1,635,041
American International Group, Inc.
4.875%, 06/01/22................................................. 1,750 1,876,544
1.500%, 06/08/23................................................. EUR 1,400 1,627,610
AmerisourceBergen Corp.
# 3.500%, 11/15/21................................................. 3,053 3,118,885
Amgen, Inc.
# 4.100%, 06/15/21................................................. 1,000 1,032,240
1.250%, 02/25/22................................................. EUR 4,160 4,764,741
Anixter, Inc.
5.125%, 10/01/21................................................. 1,175 1,213,188
5.500%, 03/01/23................................................. 220 225,632
Anthem, Inc.
4.350%, 08/15/20................................................. 200 203,643
3.125%, 05/15/22................................................. 3,000 3,079,786
Aon P.L.C.
2.800%, 03/15/21................................................. 1,500 1,512,005
Apache Corp.
3.250%, 04/15/22................................................. 951 967,913
Arconic, Inc.
5.870%, 02/23/22................................................. 1,200 1,283,172
Arrow Electronics, Inc.
3.500%, 04/01/22................................................. 700 713,712
Ashland LLC
4.750%, 08/15/22................................................. 1,920 2,011,200
AT&T, Inc.
4.600%, 02/15/21................................................. 600 616,389
3.875%, 08/15/21................................................. 300 309,720
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
1.450%, 06/01/22............................................. EUR 400 $ 460,891
1.050%, 09/05/23............................................. EUR 500 575,768
1.950%, 09/15/23............................................. EUR 1,500 1,782,544
AutoZone, Inc.
2.500%, 04/15/21............................................. 1,695 1,705,781
Avnet, Inc.
4.875%, 12/01/22............................................. 3,000 3,194,127
Baker Hughes a GE Co. LLC
3.200%, 08/15/21............................................. 309 316,116
Ball Corp.
4.375%, 12/15/20............................................. 500 509,063
5.000%, 03/15/22............................................. 750 793,125
Bank of America Corp.
# 5.700%, 01/24/22............................................. 1,000 1,083,324
3.228%, 06/22/22............................................. CAD 2,000 1,557,695
1.625%, 09/14/22............................................. EUR 1,050 1,225,484
0.750%, 07/26/23............................................. EUR 1,500 1,715,566
Bank of New York Mellon Corp. (The)
3.500%, 04/28/23............................................. 1,550 1,628,275
Baxter International, Inc.
1.700%, 08/15/21............................................. 2,500 2,484,148
0.400%, 05/15/24............................................. EUR 2,000 2,238,919
BB&T Corp.
2.750%, 04/01/22............................................. 2,000 2,033,261
Becton Dickinson and Co.
3.125%, 11/08/21............................................. 2,700 2,755,279
Bemis Co., Inc.
(Omega) 4.500%, 10/15/21............................................. 500 517,731
Best Buy Co., Inc.
5.500%, 03/15/21............................................. 2,000 2,072,733
Biogen, Inc.
3.625%, 09/15/22............................................. 3,500 3,657,854
Booking Holdings, Inc.
0.800%, 03/10/22............................................. EUR 2,900 3,299,380
2.150%, 11/25/22............................................. EUR 2,160 2,559,039
Boston Scientific Corp.
3.375%, 05/15/22............................................. 2,500 2,583,002
CA, Inc.
5.375%, 12/01/19............................................. 700 701,646
Campbell Soup Co.
2.500%, 08/02/22............................................. 886 892,483
Capital One Financial Corp.
4.750%, 07/15/21............................................. 1,900 1,984,764
# 3.200%, 01/30/23............................................. 2,000 2,054,804
Carpenter Technology Corp.
5.200%, 07/15/21............................................. 1,420 1,455,303
Caterpillar Financial Services Corp.
(r) 2.382%, 09/07/21............................................. 1,815 1,815,526
CBS Corp.
3.375%, 03/01/22............................................. 1,000 1,024,775
Celgene Corp.
3.550%, 08/15/22............................................. 3,307 3,446,673
89
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
CF Industries, Inc.
3.450%, 06/01/23.................................. 240 $ 243,600
Charles Schwab Corp. (The)
4.450%, 07/22/20.................................. 200 203,643
Chevron Corp.
(r) 2.688%, 11/15/21.................................. 3,750 3,780,070
Choice Hotels International, Inc.
5.750%, 07/01/22.................................. 1,430 1,551,550
Church & Dwight Co., Inc.
2.875%, 10/01/22.................................. 2,000 2,040,376
Cigna Corp.
(Omega) 3.300%, 02/25/21.................................. 2,000 2,030,157
(Omega) 3.900%, 02/15/22.................................. 500 518,595
(Omega) 4.000%, 02/15/22.................................. 2,400 2,483,137
CIT Group, Inc.
5.000%, 08/01/23.................................. 335 360,963
Citigroup, Inc.
2.700%, 03/30/21.................................. 1,100 1,110,672
1.375%, 10/27/21.................................. EUR 400 459,372
3.390%, 11/18/21.................................. CAD 2,000 1,555,782
Citizens Bank NA
2.550%, 05/13/21.................................. 1,600 1,612,608
2.650%, 05/26/22.................................. 1,000 1,015,847
CMS Energy Corp.
5.050%, 03/15/22.................................. 500 530,294
CNA Financial Corp.
5.750%, 08/15/21.................................. 720 765,772
Coca-Cola Co. (The)
0.500%, 03/08/24.................................. EUR 1,650 1,887,399
Comcast Corp.
(r) 2.539%, 10/01/21.................................. 1,275 1,281,796
Consolidated Edison, Inc.
2.000%, 05/15/21.................................. 1,860 1,861,356
Constellation Brands, Inc.
# 2.700%, 05/09/22.................................. 2,475 2,506,095
3.200%, 02/15/23.................................. 1,000 1,031,571
Continental Resources, Inc.
# 4.500%, 04/15/23.................................. 1,050 1,093,302
3.800%, 06/01/24.................................. 1,500 1,534,278
Cox Communications, Inc.
(Omega) 3.250%, 12/15/22.................................. 2,192 2,262,530
CVS Health Corp.
2.800%, 07/20/20.................................. 500 502,372
2.125%, 06/01/21.................................. 500 500,989
2.750%, 12/01/22.................................. 1,000 1,017,232
DCP Midstream Operating L.P.
# 4.950%, 04/01/22.................................. 1,200 1,239,120
Dell, Inc.
4.625%, 04/01/21.................................. 500 515,000
DH Europe Finance Sarl
1.700%, 01/04/22.................................. EUR 4,600 5,331,746
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Discovery Communications LLC
4.375%, 06/15/21.................................. 2,176 $2,248,097
Dollar Tree, Inc.
3.700%, 05/15/23.................................. 4,000 4,178,591
Dow Chemical Co. (The)
3.000%, 11/15/22.................................. 1,000 1,023,857
Duke Energy Corp.
2.400%, 08/15/22.................................. 1,775 1,792,517
E*TRADE Financial Corp.
2.950%, 08/24/22.................................. 3,500 3,565,881
Eastman Chemical Co.
4.500%, 01/15/21.................................. 34 34,671
1.500%, 05/26/23.................................. EUR 1,000 1,168,165
Eaton Corp.
2.750%, 11/02/22.................................. 1,500 1,532,896
eBay, Inc.
# 2.875%, 08/01/21.................................. 1,500 1,521,865
2.600%, 07/15/22.................................. 500 505,215
2.750%, 01/30/23.................................. 416 422,296
Ecolab, Inc.
4.350%, 12/08/21.................................. 1,224 1,286,408
Edgewell Personal Care Co.
4.700%, 05/19/21.................................. 900 921,375
4.700%, 05/24/22.................................. 850 877,625
Edison International
# 2.400%, 09/15/22.................................. 2,454 2,398,128
Electronic Arts, Inc.
3.700%, 03/01/21.................................. 1,962 2,002,000
EMC Corp.
2.650%, 06/01/20.................................. 1,000 1,000,000
3.375%, 06/01/23.................................. 131 131,655
Emerson Electric Co.
0.375%, 05/22/24.................................. EUR 1,020 1,148,879
Energy Transfer Partners L.P.
3.600%, 02/01/23.................................. 2,500 2,570,970
Enterprise Products Operating LLC
5.250%, 01/31/20.................................. 400 403,065
# 2.850%, 04/15/21.................................. 1,500 1,518,659
Equifax, Inc.
3.300%, 12/15/22.................................. 2,652 2,733,723
Evergy, Inc.
4.850%, 06/01/21.................................. 915 948,064
Eversource Energy
2.500%, 03/15/21.................................. 206 207,248
Exelon Corp.
5.150%, 12/01/20.................................. 300 307,629
Exelon Generation Co. LLC
2.950%, 01/15/20.................................. 150 150,090
4.000%, 10/01/20.................................. 1,000 1,013,179
3.400%, 03/15/22.................................. 1,000 1,027,374
4.250%, 06/15/22.................................. 500 524,011
90
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
FedEx Corp.
1.000%, 01/11/23.................................. EUR 1,000 $1,143,499
Fidelity National Information Services, Inc.
2.250%, 08/15/21.................................. 2,000 2,006,887
Fifth Third Bancorp
3.500%, 03/15/22.................................. 1,825 1,884,554
Fluor Corp.
1.750%, 03/21/23.................................. EUR 3,500 3,706,038
Ford Credit Canada Co.
2.766%, 06/22/22.................................. CAD 2,500 1,867,949
Ford Motor Credit Co. LLC
3.200%, 01/15/21.................................. 800 803,141
# 3.336%, 03/18/21.................................. 1,500 1,508,646
Fortune Brands Home & Security, Inc.
3.000%, 06/15/20.................................. 500 502,449
Gap, Inc. (The)
5.950%, 04/12/21.................................. 1,296 1,350,974
GATX Corp.
4.750%, 06/15/22.................................. 3,000 3,186,108
General Electric Co.
0.375%, 05/17/22.................................. EUR 3,000 3,337,931
# 2.700%, 10/09/22.................................. 1,500 1,510,266
General Mills, Inc.
(r) 2.541%, 04/16/21.................................. 1,000 1,002,710
3.150%, 12/15/21.................................. 985 1,006,931
General Motors Financial Co., Inc.
3.200%, 07/06/21.................................. 2,800 2,833,920
# 3.450%, 01/14/22.................................. 800 815,661
Gilead Sciences, Inc.
4.400%, 12/01/21.................................. 2,005 2,093,637
Global Payments, Inc.
3.800%, 04/01/21.................................. 234 238,954
Goldman Sachs Group Inc
2.000%, 07/27/23.................................. EUR 1,000 1,191,292
Goldman Sachs Group, Inc. (The)
5.375%, 03/15/20.................................. 500 506,204
3.550%, 02/12/21.................................. CAD 1,000 771,908
5.250%, 07/27/21.................................. 750 790,656
5.750%, 01/24/22.................................. 957 1,031,333
3.250%, 02/01/23.................................. EUR 291 357,537
Graphic Packaging International LLC
# 4.750%, 04/15/21.................................. 1,320 1,358,363
4.875%, 11/15/22.................................. 700 735,000
Harley-Davidson Financial Services, Inc.
(Omega) 2.550%, 06/09/22.................................. 3,500 3,501,286
Hasbro, Inc.
3.150%, 05/15/21.................................. 1,384 1,401,287
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Hewlett Packard Enterprise Co.
3.600%, 10/15/20.................................. 236 $ 239,166
Honeywell International Inc
0.650%, 02/21/20.................................. EUR 2,200 2,459,244
Huntington Bancshares, Inc.
3.150%, 03/14/21.................................. 1,500 1,520,976
2.300%, 01/14/22.................................. 400 402,275
Huntington National Bank (The)
2.400%, 04/01/20.................................. 500 500,796
Illinois Tool Works, Inc.
1.250%, 05/22/23.................................. EUR 1,000 1,164,326
International Business Machines Corp.
0.375%, 01/31/23.................................. EUR 2,625 2,967,232
1.250%, 05/26/23.................................. EUR 1,500 1,749,065
Johnson Controls International P.L.C.
1.000%, 09/15/23.................................. EUR 3,401 3,899,008
JPMorgan Chase & Co.
2.550%, 10/29/20.................................. 400 402,406
2.750%, 08/24/22.................................. EUR 2,868 3,449,840
0.625%, 01/25/24.................................. EUR 1,333 1,519,841
Kellogg Co.
4.000%, 12/15/20.................................. 130 132,652
0.800%, 11/17/22.................................. EUR 2,840 3,240,429
Keurig Dr Pepper, Inc.
2.700%, 11/15/22.................................. 1,000 1,010,592
Kroger Co. (The)
# 3.300%, 01/15/21.................................. 1,167 1,184,687
3.400%, 04/15/22.................................. 975 1,009,611
# 2.800%, 08/01/22.................................. 1,500 1,528,914
L Brands, Inc.
5.625%, 02/15/22.................................. 974 1,025,135
L3Harris Technologies, Inc.
2.700%, 04/27/20.................................. 382 382,633
(Omega) 4.950%, 02/15/21.................................. 164 168,604
Laboratory Corp. of America Holdings
3.200%, 02/01/22.................................. 900 921,255
Leidos Holdings, Inc.
4.450%, 12/01/20.................................. 1,100 1,116,500
Lennar Corp.
6.625%, 05/01/20.................................. 600 611,250
8.375%, 01/15/21.................................. 500 532,500
4.125%, 01/15/22.................................. 1,400 1,438,500
Liberty Mutual Group, Inc.
(Omega) 5.000%, 06/01/21.................................. 2,400 2,489,084
(Omega) 4.950%, 05/01/22.................................. 615 653,690
Lincoln National Corp.
6.250%, 02/15/20.................................. 300 303,408
4.850%, 06/24/21.................................. 824 859,379
91
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
LyondellBasell Industries NV
6.000%, 11/15/21.................................. 1,677 $1,790,324
Macy's Retail Holdings, Inc.
3.450%, 01/15/21.................................. 1,500 1,511,568
# 3.875%, 01/15/22.................................. 500 512,407
# 2.875%, 02/15/23.................................. 363 360,574
Manufacturers & Traders Trust Co.
2.500%, 05/18/22.................................. 2,300 2,328,647
Marathon Petroleum Corp.
3.400%, 12/15/20.................................. 2,100 2,129,469
Marriott International, Inc.
2.875%, 03/01/21.................................. 800 808,910
Marsh & McLennan Cos., Inc.
2.750%, 01/30/22.................................. 2,260 2,295,835
Mattel, Inc.
# 2.350%, 08/15/21.................................. 1,900 1,862,000
McDonald's Corp.
1.000%, 11/15/23.................................. EUR 2,000 2,319,855
Medtronic Global Holdings SCA
0.000%, 03/07/21.................................. EUR 2,500 2,794,829
0.000%, 12/02/22.................................. EUR 3,258 3,639,882
Meritage Homes Corp.
7.150%, 04/15/20.................................. 1,300 1,324,375
MGM Resorts International
7.750%, 03/15/22.................................. 2,000 2,240,000
Molson Coors Brewing Co.
2.100%, 07/15/21.................................. 2,000 2,001,508
Morgan Stanley
2.500%, 04/21/21.................................. 750 755,586
5.500%, 07/28/21.................................. 200 211,676
3.125%, 08/05/21.................................. CAD 1,600 1,233,947
2.625%, 11/17/21.................................. 1,500 1,516,905
1.875%, 03/30/23.................................. EUR 500 591,068
Mosaic Co. (The)
3.750%, 11/15/21.................................. 2,000 2,056,625
Murphy Oil Corp.
4.000%, 06/01/22.................................. 1,021 1,028,658
Mylan NV
3.750%, 12/15/20.................................. 885 896,891
Mylan, Inc.
(Omega) 3.125%, 01/15/23.................................. 1,000 1,012,686
National Oilwell Varco, Inc.
2.600%, 12/01/22.................................. 1,500 1,512,040
NetApp, Inc.
3.375%, 06/15/21.................................. 2,000 2,037,454
3.250%, 12/15/22.................................. 935 953,381
Newmont Goldcorp Corp
# 3.500%, 03/15/22.................................. 1,000 1,030,318
Newmont Goldcorp Corp.
3.625%, 06/09/21.................................. 1,700 1,739,182
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21.................................. 1,000 $1,032,823
Nordstrom, Inc.
4.750%, 05/01/20.................................. 1,000 1,011,653
4.000%, 10/15/21.................................. 1,000 1,024,608
Northrop Grumman Corp.
2.550%, 10/15/22.................................. 3,000 3,048,541
NuStar Logistics L.P.
6.750%, 02/01/21.................................. 1,083 1,122,183
NVIDIA Corp.
2.200%, 09/16/21.................................. 1,493 1,499,433
Occidental Petroleum Corp.
3.125%, 02/15/22.................................. 206 209,436
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.625%, 05/01/22.................................. 2,675 2,773,557
ONEOK, Inc.
4.250%, 02/01/22.................................. 1,066 1,107,991
Oracle Corp.
2.250%, 01/10/21.................................. EUR 600 689,097
2.500%, 05/15/22.................................. 3,750 3,806,350
# 2.500%, 10/15/22.................................. 1,451 1,477,648
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
(Omega) 3.375%, 02/01/22.................................. 2,104 2,151,169
(Omega) 4.250%, 01/17/23.................................. 1,709 1,808,974
Perrigo Finance Un, Ltd. Co.
3.500%, 03/15/21.................................. 1,180 1,186,178
Philip Morris International, Inc.
1.750%, 03/19/20.................................. EUR 500 561,573
2.500%, 08/22/22.................................. 1,095 1,107,926
Plains All American Pipeline L.P. / PAA Finance Corp.
2.850%, 01/31/23.................................. 1,500 1,506,736
PNC Bank NA
2.550%, 12/09/21.................................. 3,500 3,543,549
PolyOne Corp.
5.250%, 03/15/23.................................. 1,400 1,510,250
PPG Industries, Inc.
0.875%, 03/13/22.................................. EUR 500 568,694
Progress Energy, Inc.
4.400%, 01/15/21.................................. 1,100 1,124,917
Regions Financial Corp.
# 3.200%, 02/08/21.................................. 1,300 1,317,715
Republic Services, Inc.
3.550%, 06/01/22.................................. 1,000 1,039,256
Rockies Express Pipeline LLC
(Omega) 5.625%, 04/15/20.................................. 1,100 1,118,477
Rockwell Collins, Inc.
2.800%, 03/15/22.................................. 2,000 2,037,704
Roper Technologies, Inc.
3.000%, 12/15/20.................................. 1,200 1,212,618
92
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Ryder System, Inc.
3.450%, 11/15/21................................................. 900 $ 923,535
3.400%, 03/01/23................................................. 2,000 2,067,188
SCANA Corp.
6.250%, 04/01/20................................................. 242 245,180
# 4.750%, 05/15/21................................................. 440 451,382
Sealed Air Corp.
#(Omega) 6.500%, 12/01/20................................................. 1,449 1,496,092
(Omega) 4.875%, 12/01/22................................................. 800 847,000
Sempra Energy
2.875%, 10/01/22................................................. 600 612,116
Sherwin-Williams Co. (The)
2.750%, 06/01/22................................................. 900 916,301
Southern Co. (The)
2.750%, 06/15/20................................................. 250 250,982
Southern Power Co.
2.500%, 12/15/21................................................. 898 905,474
1.000%, 06/20/22................................................. EUR 1,950 2,227,278
Stryker Corp.
2.625%, 03/15/21................................................. 2,086 2,105,725
1.125%, 11/30/23................................................. EUR 1,833 2,133,069
Sunoco Logistics Partners Operations L.P.
3.450%, 01/15/23................................................. 500 510,827
SunTrust Bank
2.450%, 08/01/22................................................. 2,750 2,781,378
Symantec Corp.
4.200%, 09/15/20................................................. 1,000 1,012,782
# 3.950%, 06/15/22................................................. 1,200 1,233,395
Sysco Corp.
2.600%, 06/12/22................................................. 1,577 1,601,913
1.250%, 06/23/23................................................. EUR 375 433,820
Textron, Inc.
6.625%, 04/07/20................................................. GBP 540 713,381
Thermo Fisher Scientific, Inc.
2.150%, 07/21/22................................................. EUR 500 587,489
Time Warner Cable LLC
5.000%, 02/01/20................................................. 1,100 1,107,347
4.125%, 02/15/21................................................. 100 101,902
Toll Brothers Finance Corp.
5.875%, 02/15/22................................................. 1,100 1,170,125
Travelers Cos., Inc. (The)
3.900%, 11/01/20................................................. 250 255,111
TRI Pointe Group, Inc.
4.875%, 07/01/21................................................. 1,100 1,130,250
Tupperware Brands Corp.
4.750%, 06/01/21................................................. 1,700 1,705,002
Tyson Foods, Inc.
4.500%, 06/15/22................................................. 1,000 1,058,997
United Continental Holdings, Inc.
6.000%, 12/01/20................................................. 1,000 1,037,500
# 4.250%, 10/01/22................................................. 1,000 1,032,720
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED STATES -- (Continued)
United Parcel Service, Inc.
0.375%, 11/15/23................................................. EUR 3,632 $ 4,104,538
United Technologies Corp.
1.250%, 05/22/23................................................. EUR 607 703,308
UnitedHealth Group, Inc.
# 2.875%, 12/15/21................................................. 500 510,419
2.375%, 10/15/22................................................. 1,000 1,013,189
Verizon Communications, Inc.
3.450%, 03/15/21................................................. 215 219,802
2.375%, 02/17/22................................................. EUR 2,500 2,944,860
VF Corp.
3.500%, 09/01/21................................................. 1,040 1,065,515
VMware, Inc.
# 2.950%, 08/21/22................................................. 1,000 1,016,333
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21................................................. 1,000 1,022,262
Waste Management, Inc.
4.600%, 03/01/21................................................. 1,288 1,326,396
Wells Fargo & Co.
2.500%, 03/04/21................................................. 2,000 2,013,692
2.094%, 04/25/22................................................. CAD 3,000 2,267,003
1.500%, 09/12/22................................................. EUR 750 872,277
Western Gas Partners L.P.
5.375%, 06/01/21................................................. 175 180,662
4.000%, 07/01/22................................................. 800 812,581
Western Union Co. (The)
5.253%, 04/01/20................................................. 1,000 1,010,487
Whirlpool Corp.
4.850%, 06/15/21................................................. 436 454,949
Williams Cos., Inc. (The)
7.875%, 09/01/21................................................. 1,200 1,318,124
4.000%, 11/15/21................................................. 1,848 1,904,308
WR Berkley Corp.
4.625%, 03/15/22................................................. 975 1,032,925
WR Grace & Co-Conn
(Omega) 5.125%, 10/01/21................................................. 1,600 1,660,000
Wyndham Destinations, Inc.
# 4.250%, 03/01/22................................................. 2,400 2,448,000
Xilinx, Inc.
3.000%, 03/15/21................................................. 989 1,001,355
Zimmer Biomet Holdings, Inc.
3.150%, 04/01/22................................................. 1,345 1,372,962
Zoetis, Inc.
3.250%, 02/01/23................................................. 1,000 1,032,943
------------
TOTAL UNITED STATES....................................................... 426,954,760
------------
TOTAL BONDS............................................................... 741,231,441
------------
U.S. TREASURY OBLIGATIONS -- (1.4%)
U.S. Treasury Notes
(r) 1.776%, 04/30/21..................................................... 2,500 2,496,789
93
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
(r) 1.857%, 07/31/21................................................. 8,147 $ 8,145,858
------------
TOTAL U.S. TREASURY OBLIGATIONS........................................... 10,642,647
------------
TOTAL INVESTMENT SECURITIES (Cost $749,846,211) 751,874,088
------------
COMMERCIAL PAPER -- (0.7%)
(Omega) Campbell Soup Co.
2.191%, 01/22/20................................................. 3,000 2,984,845
(Omega) Cigna Corp. 1.884%,
01/23/20......................................................... 500 497,534
(Omega) Oversea-Chinese Banking Corp., Ltd.
1.904%, 01/24/20................................................. 2,000 1,990,532
------------
TOTAL COMMERCIAL PAPER.................................................... 5,472,911
------------
SHARES VALUE+
--------- ------------
SECURITIES LENDING COLLATERAL -- (2.7%)
@(S) The DFA Short Term Investment Fund............................................................. 1,807,600 $ 20,915,743
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $776,233,835)............................................................................ $778,262,742
============
As of October 31, 2019, DFA Targeted Credit Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ------------------------------------------------------ ---------- --------------
EUR 66,426,985 USD 73,757,867 State Street Bank and Trust 11/01/19 $ 328,128
USD 2,294,943 CAD 2,996,095 State Street Bank and Trust 01/06/20 19,256
USD 2,785,411 EUR 2,482,304 Citibank, N.A. 01/09/20 3,723
USD 84,597,293 EUR 75,422,218 State Street Bank and Trust 01/13/20 57,721
-----------
TOTAL APPRECIATION $ 408,828
EUR 75,391,126 USD 84,141,020 State Street Bank and Trust 11/04/19 $ (57,321)
USD 4,961,096 EUR 4,528,565 State Street Bank and Trust 11/01/19 (89,611)
USD 68,165,715 EUR 61,898,420 National Australia Bank Ltd. 11/01/19 (869,573)
USD 3,426,059 EUR 3,125,388 State Street Bank and Trust 11/04/19 (59,685)
USD 4,019,941 EUR 3,657,578 National Australia Bank Ltd. 11/04/19 (59,355)
USD 75,225,774 EUR 68,608,160 State Street Bank and Trust 11/04/19 (1,292,885)
USD 632,816 GBP 498,460 State Street Bank and Trust 11/06/19 (12,904)
USD 708,254 GBP 573,659 National Australia Bank Ltd. 11/06/19 (34,881)
USD 2,636,995 GBP 2,133,791 State Street Bank and Trust 11/06/19 (127,182)
USD 73,775,334 EUR 66,202,223 State Street Bank and Trust 12/27/19 (338,528)
USD 20,805,419 CAD 27,475,512 Citibank, N.A. 01/06/20 (63,630)
USD 1,138,315 EUR 1,025,739 State Street Bank and Trust 01/09/20 (11,135)
USD 2,080,436 EUR 1,868,227 Citibank, N.A. 01/09/20 (13,113)
USD 2,640,932 EUR 2,384,512 Citibank, N.A. 01/09/20 (31,169)
USD 2,782,562 EUR 2,486,342 Citibank, N.A. 01/09/20 (3,651)
USD 2,864,138 EUR 2,558,834 Citibank, N.A. 01/09/20 (3,310)
USD 4,063,342 EUR 3,678,001 Citibank, N.A. 01/09/20 (58,253)
USD 5,100,025 EUR 4,590,694 State Street Bank and Trust 01/09/20 (44,340)
94
DFA TARGETED CREDIT PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- --------------------------------------- ---------- --------------
USD 78,229,139 EUR 70,046,076 State Street Bank and Trust 01/24/20 $ (337,791)
-----------
TOTAL (DEPRECIATION) $(3,508,317)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $(3,099,489)
===========
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
-------- ------------ -------- ------------
Bonds
Australia................................................ -- $ 20,710,687 -- $ 20,710,687
Belgium.................................................. -- 4,876,425 -- 4,876,425
Canada................................................... -- 40,305,017 -- 40,305,017
Denmark.................................................. -- 5,861,192 -- 5,861,192
Finland.................................................. -- 6,622,314 -- 6,622,314
France................................................... -- 21,704,201 -- 21,704,201
Germany.................................................. -- 47,938,476 -- 47,938,476
Ireland.................................................. -- 4,412,487 -- 4,412,487
Italy.................................................... -- 9,357,220 -- 9,357,220
Japan.................................................... -- 31,809,175 -- 31,809,175
Luxembourg............................................... -- 2,244,866 -- 2,244,866
Netherlands.............................................. -- 12,954,235 -- 12,954,235
Norway................................................... -- 2,221,836 -- 2,221,836
Spain.................................................... -- 16,575,980 -- 16,575,980
Supranational Organization Obligations................... -- 1,999,480 -- 1,999,480
Sweden................................................... -- 6,461,335 -- 6,461,335
Switzerland.............................................. -- 11,240,361 -- 11,240,361
United Kingdom........................................... -- 66,981,394 -- 66,981,394
United States............................................ -- 426,954,760 -- 426,954,760
U.S. Treasury Obligations................................... -- 10,642,647 -- 10,642,647
Commercial Paper............................................ -- 5,472,911 -- 5,472,911
Securities Lending Collateral............................... -- 20,915,743 -- 20,915,743
Forward Currency Contracts**................................ -- (3,099,489) -- (3,099,489)
-------- ------------ -------- ------------
TOTAL....................................................... -- $775,163,253 -- $775,163,253
======== ============ ======== ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
95
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (94.7%)
AUSTRALIA -- (2.6%)
Australia & New Zealand Banking Group, Ltd.
0.750%, 09/29/26................................................. EUR 3,000 $ 3,479,681
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22................................................. 13 13,296
BHP Billiton Finance, Ltd.
3.250%, 09/24/27................................................. EUR 1,800 2,452,992
Commonwealth Bank of Australia
# 5.000%, 03/19/20................................................. 9 9,103
(Omega) 2.850%, 05/18/26................................................. 266 272,470
(Omega) 3.150%, 09/19/27................................................. 10 10,662
FMG Resources August 2006 Pty, Ltd.
#(Omega) 5.125%, 05/15/24................................................. 2,690 2,824,500
Macquarie Bank, Ltd.
(Omega) 3.900%, 01/15/26................................................. 289 309,220
National Australia Bank, Ltd.
0.625%, 09/18/24................................................. EUR 4,000 4,580,268
(Omega) 3.500%, 01/10/27................................................. 351 377,368
Queensland Treasury Corp.
2.500%, 03/06/29................................................. AUD 7,000 5,199,167
Rio Tinto Finance P.L.C.
4.000%, 12/11/29................................................. GBP 3,500 5,576,256
Telstra Corp., Ltd.
1.375%, 03/26/29................................................. EUR 3,000 3,610,801
Western Australian Treasury Corp.
2.750%, 07/24/29................................................. AUD 9,000 6,822,927
Westpac Banking Corp.
2.850%, 05/13/26................................................. 104 107,670
2.700%, 08/19/26................................................. 23 23,679
3.350%, 03/08/27................................................. 2,319 2,480,251
1.125%, 09/05/27................................................. EUR 2,000 2,390,252
-----------
TOTAL AUSTRALIA............................................................ 40,540,563
-----------
BELGIUM -- (1.4%)
Anheuser-Busch InBev SA
2.700%, 03/31/26................................................. EUR 1,000 1,293,705
2.000%, 03/17/28................................................. EUR 1,000 1,260,289
2.250%, 05/24/29................................................. GBP 600 805,345
1.650%, 03/28/31................................................. EUR 1,500 1,844,721
Anheuser-Busch InBev Worldwide, Inc.
# 4.000%, 04/13/28................................................. 2,500 2,759,659
Dexia Credit Local SA
1.000%, 10/18/27................................................. EUR 11,400 13,724,195
-----------
TOTAL BELGIUM.............................................................. 21,687,914
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (5.0%)
Alimentation Couche-Tard, Inc.
1.875%, 05/06/26................................................. EUR 700 $ 845,778
(Omega) 3.550%, 07/26/27................................................. 1,620 1,679,240
Bank of Montreal
2.700%, 12/09/26................................................. CAD 5,000 3,906,233
Bank of Nova Scotia (The)
2.620%, 12/02/26................................................. CAD 6,000 4,663,427
Canadian Imperial Bank of Commerce
3.300%, 05/26/25................................................. CAD 5,300 4,252,112
Canadian Natural Resources, Ltd.
3.420%, 12/01/26................................................. CAD 1,000 779,478
3.850%, 06/01/27................................................. 3,000 3,174,537
Canadian Pacific Railway Co.
2.900%, 02/01/25................................................. 535 551,875
3.700%, 02/01/26................................................. 45 48,314
Cenovus Energy, Inc.
3.000%, 08/15/22................................................. 719 725,740
CPPIB Capital, Inc.
0.875%, 02/06/29................................................. EUR 14,250 17,074,825
Enbridge, Inc.
# 4.000%, 10/01/23................................................. 34 36,078
3.500%, 06/10/24................................................. 15 15,672
Husky Energy, Inc.
3.600%, 03/10/27................................................. CAD 4,000 3,131,972
4.400%, 04/15/29................................................. 600 635,668
ITC Holdings Corp.
3.650%, 06/15/24................................................. 113 119,121
Newfield Exploration Co.
# 5.625%, 07/01/24................................................. 500 547,785
5.375%, 01/01/26................................................. 2,800 3,028,811
Nutrien, Ltd.
# 3.625%, 03/15/24................................................. 540 568,967
# 3.000%, 04/01/25................................................. 40 40,979
Province of British Columbia Canada
6.500%, 01/15/26................................................. 93 116,661
Province of Ontario Canada
5.850%, 03/08/33................................................. CAD 5,000 5,339,572
Province of Quebec
3.700%, 05/20/26................................................. AUD 3,500 2,708,146
Province of Quebec Canada
2.750%, 04/12/27................................................. 3,000 3,175,767
0.875%, 07/05/28................................................. EUR 6,800 8,126,661
Rogers Communications, Inc.
3.000%, 03/15/23................................................. 21 21,501
4.000%, 03/13/24................................................. CAD 2,000 1,611,039
Royal Bank of Canada
4.930%, 07/16/25................................................. CAD 4,000 3,482,044
96
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
CANADA -- (Continued)
Spectra Energy Partners L.P.
4.750%, 03/15/24................................................. 22 $ 24,015
Suncor Energy, Inc.
3.600%, 12/01/24................................................. 87 91,939
Thomson Reuters Corp.
4.300%, 11/23/23................................................. 60 64,557
3.850%, 09/29/24................................................. 79 83,781
3.350%, 05/15/26................................................. 2,000 2,072,351
Toronto-Dominion Bank (The)
1.994%, 03/23/22................................................. CAD 58 43,947
TransAlta Corp.
4.500%, 11/15/22................................................. 1,000 1,035,771
TransCanada PipeLines, Ltd.
3.800%, 10/01/20................................................. 15 15,244
4.875%, 01/15/26................................................. 3,000 3,357,586
Videotron, Ltd.
5.000%, 07/15/22................................................. 921 969,353
-----------
TOTAL CANADA.............................................................. 78,166,547
-----------
DENMARK -- (1.8%)
AP Moller - Maersk A.S.
1.750%, 03/16/26................................................. EUR 4,500 5,193,805
Denmark Government Bond
(Omega) 0.500%, 11/15/29................................................. DKK 78,600 12,776,783
Kommunekredit
2.900%, 11/27/26................................................. AUD 7,300 5,412,928
KOMMUNEKREDIT SR
0.750%, 07/05/28................................................. EUR 4,200 5,010,817
-----------
TOTAL DENMARK............................................................. 28,394,333
-----------
FINLAND -- (0.2%)
Nokia Oyj
# 4.375%, 06/12/27................................................. 3,750 3,819,375
-----------
FRANCE -- (6.2%)
Air Liquide Finance SA
1.000%, 03/08/27................................................. EUR 1,100 1,309,187
BNP Paribas SA
# 3.250%, 03/03/23................................................. 22 23,002
1.500%, 11/17/25................................................. EUR 1,200 1,424,925
BPCE S.A.
(Omega) 3.500%, 10/23/27................................................. 5,000 5,199,883
BPCE SA
4.000%, 04/15/24................................................. 500 537,397
Credit Agricole SA
1.375%, 05/03/27................................................. EUR 2,000 2,413,758
Electricite de France SA
(Omega) 3.625%, 10/13/25................................................. 40 42,753
6.250%, 05/30/28................................................. GBP 1,000 1,751,951
5.875%, 07/18/31................................................. GBP 3,200 5,770,713
Orange SA
0.875%, 02/03/27................................................. EUR 500 582,854
8.125%, 11/20/28................................................. GBP 1,964 3,879,958
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (Continued)
2.000%, 01/15/29................................................. EUR 1,200 $ 1,526,402
Pernod Ricard SA
1.500%, 05/18/26................................................. EUR 800 960,951
#(Omega) 3.250%, 06/08/26................................................. 173 182,389
Sanofi
0.500%, 01/13/27................................................. EUR 2,300 2,651,903
1.125%, 04/05/28................................................. EUR 1,700 2,051,334
0.875%, 03/21/29................................................. EUR 1,500 1,779,818
1.375%, 03/21/30................................................. EUR 9,200 11,422,775
SNCF Mobilites
5.375%, 03/18/27................................................. GBP 500 837,782
1.500%, 02/02/29................................................. EUR 3,600 4,524,432
SNCF Reseau
0.875%, 01/22/29................................................. EUR 2,000 2,377,043
SNCF Reseau EPIC
5.250%, 12/07/28................................................. GBP 10,498 18,314,032
1.125%, 05/25/30................................................. EUR 1,100 1,346,536
Societe Generale SA
1.125%, 01/23/25................................................. EUR 1,200 1,381,562
2.125%, 09/27/28................................................. EUR 2,000 2,493,489
Total Capital Internatioal SA
1.491%, 09/04/30................................................. EUR 800 995,152
Total Capital International SA
3.750%, 04/10/24................................................. 112 120,423
0.696%, 05/31/28................................................. EUR 7,300 8,499,108
1.375%, 10/04/29................................................. EUR 1,200 1,478,901
TOTAL CAPITAL INTL SA
0.750%, 07/12/28................................................. EUR 3,800 4,436,323
Total Capital S.A.
# 3.883%, 10/11/28................................................. 6,000 6,721,112
-----------
TOTAL FRANCE............................................................... 97,037,848
-----------
GERMANY -- (4.9%)
Bayer Capital Corp BV
1.500%, 06/26/26................................................. EUR 5,700 6,717,128
Bayer Capital Corp. B.V. Co.
2.125%, 12/15/29................................................. EUR 900 1,101,186
Bayer U.S. Finance II LLC
(Omega) 5.500%, 08/15/25................................................. 26 29,049
BMW Finance NV
1.125%, 01/10/28................................................. EUR 750 885,850
1.500%, 02/06/29................................................. EUR 2,600 3,137,573
BMW US Capital LLC
(Omega) 2.800%, 04/11/26................................................. 194 196,557
(Omega) 3.300%, 04/06/27................................................. 58 60,563
1.000%, 04/20/27................................................. EUR 1,800 2,106,752
Daimler AG
1.000%, 11/15/27................................................. EUR 4,300 4,974,326
1.125%, 08/08/34................................................. EUR 1,900 2,078,994
Daimler Finance North
America LLC
8.500%, 01/18/31................................................. 604 911,619
97
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
GERMANY -- (Continued)
Deutsche Bahn Finance GMBH
1.125%, 12/18/28................................................. EUR 6,000 $ 7,290,848
Deutsche Bank AG
2.950%, 08/20/20................................................. 2 2,004
3.125%, 01/13/21................................................. 23 23,110
# 3.700%, 05/30/24................................................. 113 114,313
Deutsche Telekom AG
1.375%, 07/05/34................................................. EUR 3,000 3,462,970
Deutsche Telekom International Finance BV
1.125%, 05/22/26................................................. EUR 1,000 1,182,042
1.375%, 01/30/27................................................. EUR 500 600,783
2.250%, 04/13/29................................................. GBP 1,600 2,131,451
E.ON International Finance BV
6.375%, 06/07/32................................................. GBP 1,150 2,155,974
E.ON SE
1.625%, 05/22/29................................................. EUR 1,200 1,477,121
EMD Finance LLC
(Omega) 2.950%, 03/19/22................................................. 60 60,940
Kreditanstalt fuer Wiederaufbau
2.050%, 02/16/26................................................. JPY 1,653,000 17,738,466
3.200%, 03/15/28................................................. AUD 15,000 11,633,817
T-Mobile USA, Inc.
# 4.000%, 04/15/22................................................. 800 825,768
Volkswagen International Finance NV
1.875%, 03/30/27................................................. EUR 5,400 6,432,902
-----------
TOTAL GERMANY............................................................. 77,332,106
-----------
ITALY -- (1.0%)
Enel Finance International NV
1.375%, 06/01/26................................................. EUR 1,500 1,792,760
1.125%, 09/16/26................................................. EUR 2,000 2,352,060
(Omega) 4.875%, 06/14/29................................................. 2,000 2,289,068
Eni SpA
1.500%, 01/17/27................................................. EUR 1,000 1,207,651
1.125%, 09/19/28................................................. EUR 1,700 1,999,873
Intesa Sanpaolo SpA
1.750%, 07/04/29................................................. EUR 3,800 4,437,001
Italy Buoni Poliennali Del Tesoro
1.250%, 12/01/26................................................. EUR 2,100 2,444,874
-----------
TOTAL ITALY............................................................... 16,523,287
-----------
JAPAN -- (1.4%)
American Honda Finance Corp.
2.300%, 09/09/26................................................. 130 130,461
FACE
AMOUNT^ VALUE+
------- -----------
(000)
JAPAN -- (Continued)
Beam Suntory, Inc.
3.250%, 06/15/23................................................. 21 $ 21,553
Honda Canada Finance, Inc.
3.444%, 05/23/25................................................. CAD 5,000 3,983,031
Japan Government Twenty Year Bond
1.800%, 09/20/31................................................. JPY 880,000 9,939,379
Mitsubishi UFJ Financial Group, Inc.
3.677%, 02/22/27................................................. 35 37,465
MUFG Americas Holdings Corp.
3.500%, 06/18/22................................................. 64 66,083
Nissan Motor Acceptance Corp.
(Omega) 2.125%, 03/03/20................................................. 20 20,000
Nomura Holdings, Inc.
6.700%, 03/04/20................................................. 16 16,246
Shire Acquisitions Investments Ireland DAC
3.200%, 09/23/26................................................. 800 827,162
StanCorp Financial Group, Inc.
5.000%, 08/15/22................................................. 37 39,351
Sumitomo Mitsui Financial Group, Inc.
3.784%, 03/09/26................................................. 58 62,229
3.040%, 07/16/29................................................. 4,250 4,355,498
Toyota Credit Canada, Inc.
2.020%, 02/28/22................................................. CAD 58 43,877
Toyota Motor Credit Corp.
2.625%, 01/10/23................................................. 75 76,697
# 3.650%, 01/08/29................................................. 2,000 2,220,329
-----------
TOTAL JAPAN................................................................ 21,839,361
-----------
NETHERLANDS -- (3.2%)
Ahold Finance USA LLC
6.875%, 05/01/29................................................. 8 10,435
BNG Bank NV
0.625%, 06/19/27................................................. EUR 500 590,946
3.500%, 07/19/27................................................. AUD 5,000 3,904,359
3.300%, 04/26/29................................................. AUD 4,000 3,115,685
Cooperatieve Rabobank UA
3.875%, 02/08/22................................................. 83 86,397
1.250%, 03/23/26................................................. EUR 2,500 2,996,939
Heineken NV
#(Omega) 2.750%, 04/01/23................................................. 26 26,459
1.375%, 01/29/27................................................. EUR 1,200 1,444,216
ING Groep NV
1.375%, 01/11/28................................................. EUR 3,100 3,720,526
Koninklijke Ahold Delhaize NV
1.125%, 03/19/26................................................. EUR 520 610,978
98
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
NETHERLANDS -- (Continued)
Koninklijke KPN NV
5.750%, 09/17/29................................................. GBP 1,500 $ 2,350,046
Koninklijke Philips NV
1.375%, 05/02/28................................................. EUR 2,000 2,418,005
Nederlandse Waterschapsbank NV
3.150%, 09/02/26................................................. AUD 1,300 982,449
1.000%, 03/01/28................................................. EUR 7,500 9,147,303
SHELL INTERNATIONAL FIN
1.250%, 05/12/28................................................. EUR 5,600 6,792,238
Shell International Finance B.V.
3.875%, 11/13/28................................................. 1,200 1,350,648
Shell International Finance BV
2.250%, 11/10/20................................................. 54 54,189
1.625%, 01/20/27................................................. EUR 6,208 7,689,468
0.750%, 08/15/28................................................. EUR 2,000 2,329,567
-----------
TOTAL NETHERLANDS.................................................... 49,620,853
-----------
NORWAY -- (3.5%)
Equinor ASA
2.650%, 01/15/24................................................. 81 83,363
6.125%, 11/27/28................................................. GBP 1,250 2,266,060
6.875%, 03/11/31................................................. GBP 18,350 36,950,627
Kommunalbanken A.S.
3.000%, 12/09/26................................................. AUD 12,500 9,473,549
3.400%, 07/24/28................................................. AUD 8,500 6,652,931
-----------
TOTAL NORWAY......................................................... 55,426,530
-----------
SPAIN -- (0.6%)
Iberdrola International BV
0.375%, 09/15/25................................................. EUR 1,400 1,582,842
Santander Holdings USA, Inc.
4.500%, 07/17/25................................................. 206 221,956
Santander UK P.L.C.
4.000%, 03/13/24................................................. 103 110,272
3.875%, 10/15/29................................................. GBP 1,478 2,284,039
Telefonica Emisiones SA
5.462%, 02/16/21................................................. 10 10,433
Telefonica Emisiones SAU
1.715%, 01/12/28................................................. EUR 4,300 5,240,944
Telefonica Europe BV
8.250%, 09/15/30................................................. 500 721,337
-----------
TOTAL SPAIN.......................................................... 10,171,823
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (5.1%)
African Development Bank
3.300%, 07/27/27................................................. AUD 3,000 2,291,517
Asian Development Bank
2.350%, 06/21/27................................................. JPY 2,720,000 30,441,496
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (Continued)
Council Of Europe Development Bank
0.625%, 01/30/29................................................. EUR 2,000 $ 2,382,383
EUROFIMA
3.350%, 05/21/29................................................. AUD 4,000 3,124,070
European Financial Stability Facility
0.950%, 02/14/28................................................. EUR 1,900 2,316,482
European Investment Bank
1.900%, 01/26/26................................................. JPY 568,700 6,030,562
2.150%, 01/18/27................................................. JPY 1,489,600 16,360,188
1.375%, 05/12/28................................................. SEK 19,000 2,118,125
4.500%, 06/07/29................................................. GBP 4,200 7,187,460
1.250%, 11/12/29................................................. SEK 10,000 1,101,885
5.625%, 06/07/32................................................. GBP 2,000 3,951,803
Inter-American Development Bank
2.500%, 04/14/27................................................. AUD 5,000 3,668,691
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS......................... 80,974,662
-----------
SWEDEN -- (1.3%)
Svenska Handelsbanken AB
0.250%, 02/28/22................................................. EUR 110 123,742
Sweden Government Bond
2.250%, 06/01/32................................................. SEK 147,000 19,516,775
Telefonaktiebolaget LM Ericsson
# 4.125%, 05/15/22................................................. 1,323 1,371,091
-----------
TOTAL SWEDEN......................................................... 21,011,608
-----------
SWITZERLAND -- (1.3%)
ABB Finance USA, Inc.
2.875%, 05/08/22................................................. 45 46,102
Credit Suisse AG
1.500%, 04/10/26................................................. EUR 700 844,292
Nestle Finance International, Ltd.
1.250%, 11/02/29................................................. EUR 1,380 1,702,644
Novartis Finance SA
1.625%, 11/09/26................................................. EUR 3,300 4,080,558
1.125%, 09/30/27................................................. EUR 7,000 8,417,831
0.625%, 09/20/28................................................. EUR 2,300 2,654,488
UBS Group Funding Switzerland AG
1.250%, 09/01/26................................................. EUR 1,800 2,128,895
-----------
TOTAL SWITZERLAND.................................................... 19,874,810
-----------
99
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED KINGDOM -- (5.6%)
AstraZeneca P.L.C.
2.375%, 11/16/20................................................. 34 $ 34,154
3.375%, 11/16/25................................................. 802 848,304
1.250%, 05/12/28................................................. EUR 1,200 1,427,615
4.000%, 01/17/29................................................. 1,000 1,120,541
5.750%, 11/13/31................................................. GBP 450 839,782
BAE Systems Holdings, Inc.
#(Omega) 2.850%, 12/15/20................................................. 14 14,106
Barclays P.L.C.
4.375%, 01/12/26................................................. 2,000 2,149,138
3.250%, 02/12/27................................................. GBP 1,657 2,284,559
3.250%, 01/17/33................................................. GBP 2,500 3,423,202
BAT International Finance P.L.C.
4.000%, 09/04/26................................................. GBP 1,220 1,748,439
1.250%, 03/13/27................................................. EUR 1,000 1,115,855
3.125%, 03/06/29................................................. EUR 3,200 4,005,264
BP Capital Markets America, Inc.
3.245%, 05/06/22................................................. 33 34,083
3.119%, 05/04/26................................................. 35 36,685
3.017%, 01/16/27................................................. 127 132,155
BP Capital Markets P.L.C.
3.535%, 11/04/24................................................. 26 27,714
1.077%, 06/26/25................................................. EUR 1,200 1,400,127
1.594%, 07/03/28................................................. EUR 1,233 1,506,773
1.231%, 05/08/31................................................. EUR 2,500 2,951,356
British Telecommunications P.L.C.
1.000%, 11/21/24................................................. EUR 1,200 1,374,048
1.500%, 06/23/27................................................. EUR 2,500 2,924,874
# 5.125%, 12/04/28................................................. 1,000 1,162,861
3.125%, 11/21/31................................................. GBP 700 980,819
Centrica P.L.C.
4.375%, 03/13/29................................................. GBP 1,000 1,531,804
CNH Industrial Capital LLC
4.375%, 04/05/22................................................. 406 424,493
Coca-Cola European Partners P.L.C.
1.750%, 05/26/28................................................. EUR 1,400 1,727,420
Diageo Finance P.L.C.
1.500%, 10/22/27................................................. EUR 1,000 1,221,856
Diageo Investment Corp.
2.875%, 05/11/22................................................. 2 2,047
Fiat Chrysler Automobiles NV
# 5.250%, 04/15/23................................................. 500 534,375
GLAXOSMITHKLINE CAPITAL
5.250%, 12/19/33................................................. GBP 1,388 2,579,006
GlaxoSmithKline Capital P.L.C.
1.000%, 09/12/26................................................. EUR 1,500 1,765,952
HSBC Holdings P.L.C.
4.000%, 03/30/22................................................. 59 61,770
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED KINGDOM -- (Continued)
2.625%, 08/16/28................................................. GBP 5,164 $ 7,125,832
HSBC USA, Inc.
3.500%, 06/23/24................................................. 147 155,602
Janus Capital Group, Inc.
4.875%, 08/01/25................................................. 106 115,608
Lloyds Banking Group P.L.C.
# 3.750%, 01/11/27................................................. 3,500 3,701,997
1.500%, 09/12/27................................................. EUR 2,100 2,497,605
Mead Johnson Nutrition Co.
4.125%, 11/15/25................................................. 69 75,773
Nationwide Building Society
3.250%, 01/20/28................................................. GBP 1,500 2,183,972
Network Rail Infrastructure Finance P.L.C.
4.375%, 12/09/30................................................. GBP 2,450 4,312,026
Praxair, Inc.
2.200%, 08/15/22................................................. 9 9,064
Reynolds American, Inc.
6.875%, 05/01/20................................................. 47 48,063
Rolls-Royce P.L.C.
(Omega) 3.625%, 10/14/25................................................. 520 542,689
3.375%, 06/18/26................................................. GBP 800 1,138,142
Royal Bank of Scotland Group P.L.C.
# 4.800%, 04/05/26................................................. 3,000 3,328,077
TechnipFMC P.L.C.
3.450%, 10/01/22................................................. 49 49,920
Transport for London
4.000%, 09/12/33................................................. GBP 6,900 11,532,218
Unilever NV
1.000%, 02/14/27................................................. EUR 1,500 1,789,932
1.375%, 07/31/29................................................. EUR 700 866,672
Vodafone Group P.L.C.
1.125%, 11/20/25................................................. EUR 500 584,881
1.500%, 07/24/27................................................. EUR 1,750 2,098,454
4.200%, 12/13/27................................................. AUD 1,800 1,367,482
7.875%, 02/15/30................................................. 77 107,133
1.625%, 11/24/30................................................. EUR 2,500 2,969,569
-----------
TOTAL UNITED KINGDOM...................................................... 87,991,888
-----------
UNITED STATES -- (49.6%)
3M Co.
1.500%, 11/09/26................................................. EUR 1,100 1,340,041
2.875%, 10/15/27................................................. 168 176,070
Abbott Ireland Financing DAC
1.500%, 09/27/26................................................. EUR 5,000 5,994,836
Abbott Laboratories
2.950%, 03/15/25................................................. 146 152,304
AbbVie, Inc.
2.900%, 11/06/22................................................. 33 33,641
3.600%, 05/14/25................................................. 1,000 1,047,403
4.250%, 11/14/28................................................. 2,400 2,608,394
100
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Activision Blizzard, Inc.
3.400%, 06/15/27................................................. 1,052 $1,101,517
Adobe, Inc.
3.250%, 02/01/25................................................. 22 23,285
Advance Auto Parts, Inc.
4.500%, 12/01/23................................................. 14 15,099
AECOM
# 5.875%, 10/15/24................................................. 500 539,375
5.125%, 03/15/27................................................. 2,660 2,805,502
Aetna, Inc.
2.750%, 11/15/22................................................. 97 98,397
3.500%, 11/15/24................................................. 63 66,058
Affiliated Managers Group, Inc.
3.500%, 08/01/25................................................. 1,730 1,811,978
Aflac, Inc.
3.250%, 03/17/25................................................. 129 135,749
Alabama Power Co.
2.800%, 04/01/25................................................. 30 30,803
Albemarle Corp.
4.150%, 12/01/24................................................. 86 92,773
Allergan Finance LLC
3.250%, 10/01/22................................................. 88 90,041
Allergan Funding SCS
3.450%, 03/15/22................................................. 150 153,746
3.800%, 03/15/25................................................. 529 556,553
2.625%, 11/15/28................................................. EUR 3,200 4,100,998
2.625%, 11/15/28................................................. EUR 216 276,817
2.125%, 06/01/29................................................. EUR 1,500 1,845,655
Ally Financial, Inc.
4.125%, 02/13/22................................................. 1,250 1,292,187
5.125%, 09/30/24................................................. 2,000 2,197,420
Alphabet, Inc.
1.998%, 08/15/26................................................. 86 86,108
Altria Group, Inc.
4.750%, 05/05/21................................................. 2 2,078
2.200%, 06/15/27................................................. EUR 3,000 3,519,255
4.800%, 02/14/29................................................. 2,500 2,747,460
Amazon.com, Inc.
3.150%, 08/22/27................................................. 2,000 2,133,839
Ameren Corp.
2.700%, 11/15/20................................................. 12 12,080
American Express Credit Corp.
# 2.250%, 05/05/21................................................. 2 2,011
3.300%, 05/03/27................................................. 131 140,836
American International Group, Inc.
3.300%, 03/01/21................................................. 17 17,277
4.875%, 06/01/22................................................. 17 18,229
4.125%, 02/15/24................................................. 118 126,769
3.750%, 07/10/25................................................. 95 101,635
3.900%, 04/01/26................................................. 46 49,485
1.875%, 06/21/27................................................. EUR 4,075 4,912,433
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
American Water Capital Corp.
3.850%, 03/01/24................................................. 25 $ 26,667
Ameriprise Financial, Inc.
4.000%, 10/15/23................................................. 43 45,939
2.875%, 09/15/26................................................. 65 67,083
AmerisourceBergen Corp.
3.400%, 05/15/24................................................. 433 450,713
Amgen, Inc.
4.100%, 06/15/21................................................. 82 84,644
3.625%, 05/22/24................................................. 75 79,700
3.125%, 05/01/25................................................. 37 38,593
2.600%, 08/19/26................................................. 28 28,293
4.000%, 09/13/29................................................. GBP 1,836 2,795,515
Amphenol Technologies Holding GmbH
2.000%, 10/08/28................................................. EUR 4,000 4,952,644
Analog Devices, Inc.
3.900%, 12/15/25................................................. 35 37,771
3.500%, 12/05/26................................................. 23 24,154
Anixter, Inc.
# 5.500%, 03/01/23................................................. 1,090 1,117,904
Anthem, Inc.
4.350%, 08/15/20................................................. 13 13,237
3.125%, 05/15/22................................................. 25 25,665
# 3.500%, 08/15/24................................................. 58 61,015
3.650%, 12/01/27................................................. 4,424 4,679,758
Aon Corp.
5.000%, 09/30/20................................................. 9 9,243
4.500%, 12/15/28................................................. 960 1,087,210
Aon P.L.C.
4.000%, 11/27/23................................................. 47 50,166
3.500%, 06/14/24................................................. 107 112,526
2.875%, 05/14/26................................................. EUR 1,400 1,773,550
Apache Corp.
3.250%, 04/15/22................................................. 39 39,694
# 4.375%, 10/15/28................................................. 3,000 2,977,616
Apple, Inc.
2.500%, 02/09/25................................................. 53 54,435
3.250%, 02/23/26................................................. 1,000 1,065,109
2.450%, 08/04/26................................................. 200 204,142
3.350%, 02/09/27................................................. 2,393 2,567,982
3.000%, 06/20/27................................................. 64 67,528
3.000%, 11/13/27................................................. 81 85,597
1.375%, 05/24/29................................................. EUR 8,800 10,915,702
3.050%, 07/31/29................................................. GBP 16,156 24,178,783
Applied Materials, Inc.
3.300%, 04/01/27................................................. 59 63,076
Archer-Daniels-Midland Co.
2.500%, 08/11/26................................................. 58 58,838
Arconic, Inc.
5.900%, 02/01/27................................................. 2,700 3,002,153
Arizona Public Service Co.
3.150%, 05/15/25................................................. 71 73,964
101
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Arrow Electronics, Inc.
3.875%, 01/12/28................................................. 1,903 $1,967,488
Ashland LLC
4.750%, 08/15/22................................................. 900 942,750
Assurant, Inc.
4.000%, 03/15/23................................................. 75 78,087
AT&T, Inc.
3.000%, 02/15/22................................................. 74 75,690
3.550%, 06/01/24................................................. 52 54,558
3.950%, 01/15/25................................................. 115 123,098
3.400%, 05/15/25................................................. 253 265,161
3.600%, 07/15/25................................................. 998 1,053,114
1.800%, 09/05/26................................................. EUR 800 968,758
3.800%, 02/15/27................................................. 653 698,745
4.375%, 09/14/29................................................. GBP 500 762,101
2.600%, 12/17/29................................................. EUR 1,463 1,904,423
Autodesk, Inc.
3.125%, 06/15/20................................................. 31 31,163
4.375%, 06/15/25................................................. 35 38,363
# 3.500%, 06/15/27................................................. 3,036 3,152,651
Automatic Data Processing, Inc.
3.375%, 09/15/25................................................. 144 154,816
AutoZone, Inc.
2.875%, 01/15/23................................................. 140 142,582
# 3.125%, 07/15/23................................................. 15 15,472
3.250%, 04/15/25................................................. 72 75,031
# 3.125%, 04/21/26................................................. 1,187 1,231,353
Avnet, Inc.
4.625%, 04/15/26................................................. 65 69,375
Baker Hughes a GE Co. LLC
3.200%, 08/15/21................................................. 2 2,046
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
3.337%, 12/15/27................................................. 2,000 2,060,600
Ball Corp.
5.000%, 03/15/22................................................. 1,035 1,094,512
# 5.250%, 07/01/25................................................. 500 556,250
4.875%, 03/15/26................................................. 1,500 1,627,500
Baltimore Gas & Electric Co.
# 2.400%, 08/15/26................................................. 8 8,010
Bank of America Corp.
3.300%, 01/11/23................................................. 52 53,898
4.000%, 04/01/24................................................. 72 77,392
7.000%, 07/31/28................................................. GBP 1,500 2,755,354
(r) 3.419%, 12/20/28................................................. 184 192,779
Bank of New York Mellon Corp. (The)
3.650%, 02/04/24................................................. 123 131,081
3.000%, 02/24/25................................................. 330 345,832
2.800%, 05/04/26................................................. 64 66,033
Baxter International, Inc.
2.600%, 08/15/26................................................. 49 49,583
FACE
AMOUNT^ VALUE+
--------- -----------
(000)
UNITED STATES -- (Continued)
1.300%, 05/15/29................................................. EUR 1,300 $ 1,501,430
Bed Bath & Beyond, Inc.
3.749%, 08/01/24................................................. 1,907 1,892,697
Bemis Co., Inc.
(Omega) 4.500%, 10/15/21................................................. 7 7,248
Berkshire Hathaway, Inc.
3.400%, 01/31/22................................................. 37 38,370
3.125%, 03/15/26................................................. 13,387 14,236,479
1.125%, 03/16/27................................................. EUR 3,748 4,434,383
2.150%, 03/15/28................................................. EUR 700 894,593
0.440%, 09/13/29................................................. JPY 1,230,000 11,355,176
Best Buy Co., Inc.
4.450%, 10/01/28................................................. 5,000 5,462,187
Biogen, Inc.
2.900%, 09/15/20................................................. 172 173,361
4.050%, 09/15/25................................................. 1,000 1,095,919
BlackRock, Inc.
# 3.200%, 03/15/27................................................. 6,306 6,705,306
3.250%, 04/30/29................................................. 4,000 4,295,991
Boeing Co. (The)
8.750%, 08/15/21................................................. 11 12,243
2.500%, 03/01/25................................................. 75 75,748
2.600%, 10/30/25................................................. 42 42,572
Booking Holdings, Inc.
2.375%, 09/23/24................................................. EUR 1,000 1,235,915
3.600%, 06/01/26................................................. 108 116,558
1.800%, 03/03/27................................................. EUR 800 988,780
3.550%, 03/15/28................................................. 2,300 2,477,669
Boston Scientific Corp.
4.125%, 10/01/23................................................. 17 18,164
Brinker International, Inc.
3.875%, 05/15/23................................................. 1,500 1,500,000
Bristol-Myers Squibb Co.
2.000%, 08/01/22................................................. 79 79,464
Brown & Brown, Inc.
4.200%, 09/15/24................................................. 54 57,622
# 4.500%, 03/15/29................................................. 1,500 1,638,877
Brown-Forman Corp.
1.200%, 07/07/26................................................. EUR 3,000 3,519,417
2.600%, 07/07/28................................................. GBP 1,100 1,550,052
Buckeye Partners L.P.
4.150%, 07/01/23................................................. 22 22,137
3.950%, 12/01/26................................................. 87 80,363
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27................................................. 2,900 2,997,117
Burlington Northern Santa Fe LLC
3.000%, 04/01/25................................................. 50 52,389
7.000%, 12/15/25................................................. 10 12,686
CA, Inc.
4.700%, 03/15/27................................................. 205 217,440
Campbell Soup Co.
4.250%, 04/15/21................................................. 12 12,352
2.500%, 08/02/22................................................. 23 23,168
102
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
3.300%, 03/19/25................................................. 47 $ 48,199
4.150%, 03/15/28................................................. 3,050 3,289,647
Capital One Financial Corp.
4.750%, 07/15/21................................................. 23 24,026
3.750%, 04/24/24................................................. 54 57,065
3.750%, 03/09/27................................................. 1,800 1,911,919
# 3.800%, 01/31/28................................................. 3,000 3,190,344
1.650%, 06/12/29................................................. EUR 2,800 3,244,155
Cardinal Health, Inc.
4.625%, 12/15/20................................................. 7 7,191
3.200%, 06/15/22................................................. 45 46,047
# 3.410%, 06/15/27................................................. 4,067 4,136,551
Caterpillar, Inc.
2.600%, 06/26/22................................................. 30 30,489
3.400%, 05/15/24................................................. 21 22,172
CBS Corp.
3.375%, 03/01/22................................................. 27 27,669
3.500%, 01/15/25................................................. 28 29,222
# 4.000%, 01/15/26................................................. 775 830,736
2.900%, 01/15/27................................................. 3,269 3,264,560
7.875%, 07/30/30................................................. 13 18,331
5.500%, 05/15/33................................................. 400 486,591
Celgene Corp.
4.000%, 08/15/23................................................. 96 102,164
3.625%, 05/15/24................................................. 52 55,016
3.450%, 11/15/27................................................. 600 641,440
CenterPoint Energy Resources Corp.
4.500%, 01/15/21................................................. 18 18,421
CF Industries, Inc.
3.450%, 06/01/23................................................. 1,048 1,063,720
Charles Schwab Corp.
4.000%, 02/01/29................................................. 1,000 1,115,524
Charles Schwab Corp. (The)
3.000%, 03/10/25................................................. 99 102,929
3.200%, 03/02/27................................................. 1,000 1,049,697
Chemours Co. (The)
5.375%, 05/15/27................................................. 1,600 1,421,744
Chevron Corp.
2.954%, 05/16/26................................................. 133 140,063
Choice Hotels International, Inc.
5.750%, 07/01/22................................................. 988 1,071,980
Chubb INA Holdings, Inc.
2.700%, 03/13/23................................................. 35 35,803
3.350%, 05/15/24................................................. 60 63,358
1.550%, 03/15/28................................................. EUR 4,900 5,903,040
Cigna Corp.
(Omega) 3.900%, 02/15/22................................................. 56 58,083
#(Omega) 4.000%, 02/15/22................................................. 9 9,312
(Omega) 3.500%, 06/15/24................................................. 97 100,916
(Omega) 3.400%, 03/01/27................................................. 174 179,515
CIT Group, Inc.
5.000%, 08/01/23................................................. 1,300 1,400,750
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
5.250%, 03/07/25................................................. 2,140 $2,356,675
Citigroup Inc.
1.500%, 10/26/28................................................. EUR 1,900 2,288,680
Citigroup, Inc.
4.500%, 01/14/22................................................. 17 17,876
3.875%, 10/25/23................................................. 33 35,030
3.750%, 06/16/24................................................. 30 31,870
3.300%, 04/27/25................................................. 90 94,307
5.150%, 05/21/26................................................. GBP 1,323 2,083,284
CME Group, Inc.
3.000%, 03/15/25................................................. 33 34,700
CMS Energy Corp.
3.875%, 03/01/24................................................. 20 21,092
3.600%, 11/15/25................................................. 37 38,894
3.000%, 05/15/26................................................. 58 59,678
CNA Financial Corp.
5.750%, 08/15/21................................................. 49 52,115
4.500%, 03/01/26................................................. 75 83,057
CNO Financial Group, Inc.
# 5.250%, 05/30/25................................................. 2,220 2,430,900
# 5.250%, 05/30/29................................................. 2,000 2,205,740
Coca Cola Co.
1.875%, 09/22/26................................................. EUR 1,400 1,754,205
Coca-Cola Co. (The)
# 2.250%, 09/01/26................................................. 147 148,611
2.900%, 05/25/27................................................. 275 290,085
Colgate-Palmolive Co.
1.375%, 03/06/34................................................. EUR 2,000 2,456,336
Comcast Corp.
3.375%, 08/15/25................................................. 49 52,206
3.150%, 03/01/26................................................. 102 107,674
4.250%, 01/15/33................................................. 1,500 1,733,737
Comerica, Inc.
4.000%, 02/01/29................................................. 2,800 3,106,101
ConocoPhillips Co.
# 4.950%, 03/15/26................................................. 173 199,312
ConocoPhillips Holding Co.
6.950%, 04/15/29................................................. 800 1,087,955
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24................................................. 15 15,738
Constellation Brands, Inc.
3.500%, 05/09/27................................................. 3,000 3,158,856
Continental Resources, Inc.
# 4.500%, 04/15/23................................................. 800 832,992
Corning, Inc.
3.700%, 11/15/23................................................. 32 33,518
Cox Communications, Inc.
(Omega) 3.850%, 02/01/25................................................. 79 83,945
#(Omega) 3.500%, 08/15/27................................................. 800 844,959
CSX Corp.
4.250%, 06/01/21................................................. 9 9,256
CVS Health Corp.
2.800%, 07/20/20................................................. 22 22,104
103
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
# 2.125%, 06/01/21...................................................... 15 $ 15,030
3.375%, 08/12/24...................................................... 174 181,322
3.875%, 07/20/25...................................................... 1,985 2,110,533
3.250%, 08/15/29...................................................... 1,000 1,007,445
Danaher Corp.
# 3.350%, 09/15/25...................................................... 917 970,018
Darden Restaurants, Inc.
3.850%, 05/01/27...................................................... 4,000 4,213,846
DCP Midstream Operating LP
5.375%, 07/15/25...................................................... 3,100 3,262,750
Deere & Co.
# 5.375%, 10/16/29...................................................... 5 6,277
DH Europe Finance SA
1.200%, 06/30/27...................................................... EUR 1,300 1,536,120
Discover Bank
4.650%, 09/13/28...................................................... 2,000 2,247,835
Discovery Communications LLC
# 3.300%, 05/15/22...................................................... 16 16,426
3.500%, 06/15/22...................................................... 90 92,713
3.250%, 04/01/23...................................................... 7 7,204
# 3.900%, 11/15/24...................................................... 63 66,716
3.450%, 03/15/25...................................................... 66 68,416
1.900%, 03/19/27...................................................... EUR 5,700 6,729,474
Dollar General Corp.
3.250%, 04/15/23...................................................... 79 81,928
4.150%, 11/01/25...................................................... 13 14,178
# 4.125%, 05/01/28...................................................... 2,000 2,217,751
Dollar Tree, Inc.
4.200%, 05/15/28...................................................... 3,600 3,909,932
Dominion Energy Gas Holdings LLC
2.800%, 11/15/20...................................................... 84 84,652
Dominion Energy, Inc.
3.900%, 10/01/25...................................................... 117 126,018
Dover Corp.
1.250%, 11/09/26...................................................... EUR 3,100 3,604,024
Dow Chemical Co. (The)
3.000%, 11/15/22...................................................... 31 31,740
# 3.500%, 10/01/24...................................................... 87 91,160
DTE Energy Co.
3.850%, 12/01/23...................................................... 11 11,626
2.850%, 10/01/26...................................................... 500 507,681
Duke Energy Corp.
3.050%, 08/15/22...................................................... 131 134,509
3.750%, 04/15/24...................................................... 67 71,201
DXC Technology Co.
4.450%, 09/18/22 37 38,718
E*TRADE Financial Corp.
4.500%, 06/20/28...................................................... 3,297 3,594,256
Eastman Chemical Co.
2.700%, 01/15/20...................................................... 3 3,002
3.600%, 08/15/22...................................................... 3 3,100
3.800%, 03/15/25...................................................... 51 53,395
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
1.875%, 11/23/26................................................. EUR 5,000 $6,048,103
Eaton Vance Corp.
3.500%, 04/06/27................................................. 517 546,181
eBay, Inc.
2.600%, 07/15/22................................................. 31 31,323
# 3.600%, 06/05/27................................................. 2,215 2,314,040
Ecolab, Inc.
2.700%, 11/01/26................................................. 52 53,650
Edgewell Personal Care Co.
4.700%, 05/24/22................................................. 1,185 1,223,512
Edison International
4.125%, 03/15/28................................................. 795 790,870
EMC Corp.
3.375%, 06/01/23................................................. 1,255 1,261,275
Emerson Electric Co.
# 3.150%, 06/01/25................................................. 62 64,982
Energy Transfer Operating L.P.
4.750%, 01/15/26................................................. 2,567 2,780,813
EnLink Midstream Partners L.P.
4.150%, 06/01/25................................................. 500 451,185
4.850%, 07/15/26................................................. 3,176 2,906,040
Enterprise Products Operating LLC
5.200%, 09/01/20................................................. 6 6,156
3.900%, 02/15/24................................................. 24 25,566
3.700%, 02/15/26................................................. 62 65,908
EOG Resources, Inc.
4.100%, 02/01/21................................................. 20 20,545
3.150%, 04/01/25................................................. 79 82,955
EQT Corp.
# 3.900%, 10/01/27................................................. 1,500 1,323,445
Equifax, Inc.
3.250%, 06/01/26................................................. 900 910,736
ERAC USA Finance LLC
(Omega) 3.850%, 11/15/24................................................. 1,388 1,482,021
Evergy, Inc.
# 4.850%, 06/01/21................................................. 29 30,048
Eversource Energy
2.800%, 05/01/23................................................. 55 55,887
Exelon Corp.
2.450%, 04/15/21................................................. 15 15,099
3.950%, 06/15/25................................................. 27 29,250
3.400%, 04/15/26................................................. 1,225 1,288,642
Exelon Generation Co. LLC
# 2.950%, 01/15/20................................................. 10 10,006
Exxon Mobil Corp.
# 3.043%, 03/01/26................................................. 2,750 2,905,000
2.440%, 08/16/29................................................. 7,300 7,363,506
FedEx Corp.
2.625%, 08/01/22................................................. 51 51,708
4.000%, 01/15/24................................................. 99 105,799
3.200%, 02/01/25................................................. 44 45,711
104
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
1.625%, 01/11/27...................................................... EUR 2,000 $2,364,748
4.900%, 01/15/34...................................................... 1,300 1,498,868
Fidelity National Information Services, Inc.
2.250%, 08/15/21...................................................... 45 45,155
5.000%, 10/15/25...................................................... 35 40,015
2.000%, 05/21/30...................................................... EUR 3,000 3,693,719
FirstEnergy Corp.
7.375%, 11/15/31...................................................... 750 1,066,954
Fiserv, Inc.
1.625%, 07/01/30...................................................... EUR 6,000 7,110,276
Fluor Corp.
# 4.250%, 09/15/28...................................................... 5,885 5,830,229
Freeport-McMoRan, Inc.
# 4.550%, 11/14/24...................................................... 3,809 3,961,360
Gap, Inc. (The)
5.950%, 04/12/21...................................................... 315 328,362
GATX Corp.
3.250%, 03/30/25...................................................... 60 61,457
3.250%, 09/15/26...................................................... 32 32,658
General Electric Co.
0.375%, 05/17/22...................................................... EUR 135 150,207
3.375%, 03/11/24...................................................... 37 38,223
0.875%, 05/17/25...................................................... EUR 500 557,310
6.750%, 03/15/32...................................................... 221 281,508
General Mills, Inc.
# 3.150%, 12/15/21...................................................... 9 9,200
# 3.200%, 02/10/27...................................................... 1,007 1,064,687
1.500%, 04/27/27...................................................... EUR 2,000 2,343,967
General Motors Financial Co., Inc.
2.250%, 09/06/24...................................................... GBP 950 1,229,133
5.250%, 03/01/26...................................................... 208 225,655
4.350%, 01/17/27...................................................... 58 59,817
Georgia Power Co.
3.250%, 03/30/27...................................................... 154 160,581
Gilead Sciences, Inc.
4.400%, 12/01/21...................................................... 17 17,752
3.700%, 04/01/24...................................................... 124 131,766
3.650%, 03/01/26...................................................... 757 813,295
Global Payments, Inc.
4.800%, 04/01/26...................................................... 69 77,521
Goldman Sachs Group Inc(The)
4.250%, 01/29/26...................................................... GBP 2,300 3,376,626
Goldman Sachs Group, Inc. (The)
5.250%, 07/27/21...................................................... 26 27,409
4.000%, 03/03/24...................................................... 250 267,047
3.750%, 05/22/25...................................................... 87 92,289
1.625%, 07/27/26...................................................... EUR 1,175 1,402,868
2.000%, 03/22/28...................................................... EUR 2,000 2,455,453
6.125%, 02/15/33...................................................... 2,000 2,684,679
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Goodyear Tire & Rubber Co. (The)
# 4.875%, 03/15/27................................................. 2,739 $2,752,695
Graphic Packaging International LLC
# 4.125%, 08/15/24................................................. 922 959,894
Graphic Packaging International, LLC
(Omega) 4.750%, 07/15/27................................................. 1,000 1,057,500
Halliburton Co.
3.500%, 08/01/23................................................. 75 77,957
3.800%, 11/15/25................................................. 2,029 2,137,783
Hanesbrands, Inc.
#(Omega) 4.875%, 05/15/26................................................. 3,800 4,018,500
Harley-Davidson, Inc.
3.500%, 07/28/25................................................. 42 43,818
Hasbro, Inc.
3.500%, 09/15/27................................................. 3,562 3,643,380
HCA Inc.
5.375%, 02/01/25................................................. 3,055 3,356,681
Hewlett Packard Enterprise Co.
4.900%, 10/15/25................................................. 35 39,137
Honeywell International, Inc.
2.500%, 11/01/26................................................. 102 104,356
2.250%, 02/22/28................................................. EUR 3,905 5,065,934
Hormel Foods Corp.
4.125%, 04/15/21................................................. 17 17,491
Humana, Inc.
3.850%, 10/01/24................................................. 91 96,509
Huntington Bancshares, Inc.
3.150%, 03/14/21................................................. 18 18,252
2.300%, 01/14/22................................................. 38 38,216
Hyatt Hotels Corp.
# 3.375%, 07/15/23................................................. 23 23,842
4.375%, 09/15/28................................................. 3,300 3,609,731
Illinois Tool Works, Inc.
3.500%, 03/01/24................................................. 75 79,562
Intel Corp.
2.700%, 12/15/22................................................. 11 11,304
Intercontinental Exchange, Inc.
3.750%, 12/01/25................................................. 1,000 1,082,300
International Business Machines Corp.
3.625%, 02/12/24................................................. 112 118,882
3.300%, 01/27/27................................................. 306 324,646
1.750%, 03/07/28................................................. EUR 1,000 1,245,455
# 3.500%, 05/15/29................................................. 800 859,988
International Paper Co.
# 3.650%, 06/15/24................................................. 92 97,080
3.800%, 01/15/26................................................. 12 12,816
105
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24................................................. 546 $ 586,920
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
4.850%, 01/15/27................................................. 57 61,391
JM Smucker Co. (The)
3.500%, 03/15/25................................................. 58 61,168
John Deere Capital Corp.
# 3.350%, 06/12/24................................................. 672 712,273
Johnson & Johnson
2.450%, 03/01/26................................................. 38 38,920
Johnson Controls International P.L.C.
3.625%, 07/02/24................................................. 11 11,580
JPMorgan Chase & Co.
3.625%, 05/13/24................................................. 142 151,032
3.900%, 07/15/25................................................. 129 139,048
3.300%, 04/01/26................................................. 2,000 2,105,298
Juniper Networks, Inc.
4.500%, 03/15/24................................................. 49 52,923
# 3.750%, 08/15/29................................................. 4,000 4,064,518
Kellogg Co.
1.250%, 03/10/25................................................. EUR 500 586,528
3.250%, 04/01/26................................................. 661 689,435
7.450%, 04/01/31................................................. 61 84,934
Keurig Dr Pepper, Inc.
# 3.400%, 11/15/25................................................. 20 20,939
Kimberly-Clark Corp.
2.400%, 06/01/23................................................. 22 22,460
Kohl's Corp.
4.750%, 12/15/23................................................. 17 18,257
Kraft Heinz Foods Co.
3.950%, 07/15/25................................................. 2,212 2,330,481
4.125%, 07/01/27................................................. GBP 1,600 2,265,951
2.250%, 05/25/28................................................. EUR 1,000 1,190,614
Kroger Co.
3.700%, 08/01/27................................................. 3,394 3,613,039
Kroger Co. (The)
# 3.850%, 08/01/23................................................. 39 41,202
# 7.500%, 04/01/31................................................. 90 125,180
L Brands, Inc.
6.694%, 01/15/27................................................. 950 935,750
L3Harris Technologies, Inc.
2.700%, 04/27/20................................................. 6 6,010
#(Omega) 3.950%, 05/28/24................................................. 29 30,932
Laboratory Corp. of America Holdings
4.000%, 11/01/23................................................. 45 47,781
Lam Research Corp.
3.800%, 03/15/25................................................. 1,000 1,072,090
Lazard Group LLC
4.500%, 09/19/28................................................. 1,800 1,976,095
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Lear Corp.
3.800%, 09/15/27................................................... 3,600 $3,646,003
Legg Mason, Inc.
3.950%, 07/15/24................................................... 55 58,410
4.750%, 03/15/26................................................... 23 25,271
Leggett & Platt, Inc.
# 4.400%, 03/15/29................................................... 5,000 5,441,924
Lennar Corp.
4.750%, 05/30/25................................................... 1,965 2,102,550
Liberty Mutual Group, Inc.
2.750%, 05/04/26................................................... EUR 5,200 6,509,356
(Omega) 4.569%, 02/01/29................................................... 78 88,143
Lincoln National Corp.
# 3.050%, 01/15/30................................................... 2,300 2,323,361
Lockheed Martin Corp.
2.900%, 03/01/25................................................... 552 576,649
3.550%, 01/15/26................................................... 56 60,518
Loews Corp.
2.625%, 05/15/23................................................... 44 44,852
3.750%, 04/01/26................................................... 125 134,864
Lowe's Cos., Inc.
# 3.120%, 04/15/22................................................... 3 3,071
3.375%, 09/15/25................................................... 61 64,641
LYB International Finance II BV
# 3.500%, 03/02/27................................................... 2,035 2,120,376
1.625%, 09/17/31................................................... EUR 4,000 4,565,875
LyondellBasell Industries NV
5.750%, 04/15/24................................................... 1,400 1,581,167
Macy's Retail Holdings, Inc.
# 3.625%, 06/01/24................................................... 750 753,606
Magellan Midstream Partners L.P.
4.250%, 02/01/21................................................... 18 18,493
Marathon Petroleum Corp.
3.625%, 09/15/24................................................... 96 101,315
Markel Corp.
3.350%, 09/17/29................................................... 4,300 4,392,532
Marriott International, Inc.
2.875%, 03/01/21................................................... 12 12,134
Marsh & McLennan Cos., Inc.
3.500%, 06/03/24................................................... 97 102,064
3.500%, 03/10/25................................................... 700 740,105
1.349%, 09/21/26................................................... EUR 6,000 7,050,371
Maxim Integrated Products, Inc.
3.450%, 06/15/27................................................... 69 70,992
McDonald's Corp.
2.200%, 05/26/20................................................... 9 9,013
3.500%, 07/15/20................................................... 57 57,628
2.625%, 01/15/22................................................... 22 22,373
2.875%, 12/17/25................................................... EUR 600 776,147
1.500%, 11/28/29................................................... EUR 1,000 1,219,732
5.875%, 04/23/32................................................... GBP 750 1,385,489
106
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
McKesson Corp.
3.796%, 03/15/24................................................. 51 $ 53,530
# 3.950%, 02/16/28................................................. 3,050 3,237,581
3.125%, 02/17/29................................................. GBP 4,420 5,972,737
4.750%, 05/30/29................................................. 1,000 1,121,985
Medtronic, Inc.
3.500%, 03/15/25................................................. 11 11,825
Merck & Co., Inc.
2.750%, 02/10/25................................................. 136 141,150
Meritage Homes Corp.
7.000%, 04/01/22................................................. 272 297,160
# 6.000%, 06/01/25................................................. 2,688 3,003,840
MetLife, Inc.
3.600%, 04/10/24................................................. 189 200,916
3.000%, 03/01/25................................................. 1,500 1,565,978
6.500%, 12/15/32................................................. 281 393,396
MGIC Investment Corp.
5.750%, 08/15/23................................................. 500 549,375
MGM Resorts International
7.750%, 03/15/22................................................. 1,100 1,232,000
5.750%, 06/15/25................................................. 2,120 2,353,200
4.625%, 09/01/26................................................. 105 109,988
Microsoft Corp.
# 3.300%, 02/06/27................................................. 3,400 3,680,383
Molson Coors Brewing Co.
3.500%, 05/01/22................................................. 33 33,983
1.250%, 07/15/24................................................. EUR 1,200 1,385,187
3.000%, 07/15/26................................................. 87 88,039
Mondelez International, Inc.
1.625%, 03/08/27................................................. EUR 2,500 3,002,554
Morgan Stanley
5.500%, 07/28/21................................................. 10 10,584
3.875%, 04/29/24................................................. 140 149,283
3.875%, 01/27/26................................................. 1,095 1,181,940
1.375%, 10/27/26................................................. EUR 2,550 3,017,141
1.875%, 04/27/27................................................. EUR 1,856 2,279,273
Mosaic Co. (The)
4.250%, 11/15/23................................................. 46 49,000
# 4.050%, 11/15/27................................................. 4,000 4,228,789
Motorola Solutions, Inc.
# 3.750%, 05/15/22................................................. 21 21,825
3.500%, 03/01/23................................................. 37 38,329
4.600%, 05/23/29................................................. 2,300 2,529,833
MPLX L.P.
# 4.125%, 03/01/27................................................. 2,289 2,403,853
4.000%, 03/15/28................................................. 1,500 1,558,751
Murphy Oil Corp.
# 4.000%, 06/01/22................................................. 1,100 1,108,250
Mylan NV
2.250%, 11/22/24................................................. EUR 1,000 1,186,367
3.950%, 06/15/26................................................. 173 179,609
3.125%, 11/22/28................................................. EUR 3,400 4,288,280
Mylan, Inc.
4.200%, 11/29/23................................................. 52 54,469
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Nasdaq, Inc.
4.250%, 06/01/24................................................. 33 $ 35,671
1.750%, 03/28/29................................................. EUR 5,924 7,129,044
National Oilwell Varco, Inc.
2.600%, 12/01/22................................................. 94 94,755
National Rural Utilities Cooperative Finance Corp.
8.000%, 03/01/32................................................. 32 48,036
NetApp, Inc.
3.250%, 12/15/22................................................. 13 13,256
# 3.300%, 09/29/24................................................. 1,800 1,851,510
Netflix, Inc.
# 4.375%, 11/15/26................................................. 500 508,900
4.875%, 04/15/28................................................. 2,040 2,107,912
5.875%, 11/15/28................................................. 1,000 1,101,250
Newell Brands, Inc.
4.000%, 06/15/22................................................. 76 78,115
Newmont Goldcorp Corp.
3.625%, 06/09/21................................................. 46 47,060
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21................................................. 10 10,328
3.550%, 05/01/27................................................. 684 728,683
NextEra Energy Operating Partners L.P.
#(Omega) 4.500%, 09/15/27................................................. 2,200 2,244,000
NiSource, Inc.
3.850%, 02/15/23................................................. 27 28,141
Noble Energy, Inc.
3.900%, 11/15/24................................................. 18 18,967
# 3.850%, 01/15/28................................................. 1,000 1,038,775
Nordstrom, Inc.
4.750%, 05/01/20................................................. 16 16,186
4.000%, 10/15/21................................................. 11 11,271
# 4.000%, 03/15/27................................................. 4,148 4,316,310
Norfolk Southern Corp.
2.900%, 06/15/26................................................. 526 544,181
Northrop Grumman Corp.
3.250%, 08/01/23................................................. 12 12,519
NuStar Logistics L.P.
4.750%, 02/01/22................................................. 500 507,500
5.625%, 04/28/27................................................. 2,867 2,981,680
Nuveen Finance LLC
(Omega) 4.125%, 11/01/24................................................. 32 34,751
Occidental Petroleum Corp.
2.700%, 02/15/23................................................. 5 5,038
3.400%, 04/15/26................................................. 85 86,518
3.000%, 02/15/27................................................. 5,376 5,328,581
Ohio Power Co.
5.375%, 10/01/21................................................. 27 28,727
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24................................................. 2,038 2,153,503
107
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
ONEOK, Inc.
4.000%, 07/13/27................................................. 77 $ 81,234
Oracle Corp.
# 2.500%, 10/15/22................................................. 22 22,404
2.950%, 05/15/25................................................. 325 338,069
# 2.650%, 07/15/26................................................. 2,078 2,132,465
# 3.250%, 11/15/27................................................. 5,256 5,600,097
O'Reilly Automotive, Inc.
3.600%, 09/01/27................................................. 2,200 2,351,809
Packaging Corp. of America
4.500%, 11/01/23................................................. 45 48,264
Parker-Hannifin Corp.
3.300%, 11/21/24................................................. 71 74,454
3.250%, 06/14/29................................................. 1,000 1,049,149
PepsiCo, Inc.
2.750%, 03/05/22................................................. 33 33,807
2.750%, 03/01/23................................................. 52 53,701
0.875%, 07/18/28................................................. EUR 1,500 1,761,950
PerkinElmer, Inc.
# 3.300%, 09/15/29................................................. 600 601,917
Perrigo Finance Unlimited Co.
4.375%, 03/15/26................................................. 2,500 2,586,069
Pfizer, Inc.
3.450%, 03/15/29................................................. 6,000 6,546,491
Philip Morris International, Inc.
3.250%, 11/10/24................................................. 68 71,316
2.875%, 05/14/29................................................. EUR 2,650 3,476,352
0.800%, 08/01/31................................................. EUR 3,200 3,401,682
Phillips 66
4.300%, 04/01/22................................................. 49 51,774
Phillips 66 Partners L.P.
3.550%, 10/01/26................................................. 752 785,592
# 3.750%, 03/01/28................................................. 700 735,097
Plains All American Pipeline L.P. / PAA Finance Corp.
4.650%, 10/15/25................................................. 800 855,005
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20................................................. 3 3,058
# 3.300%, 03/08/22................................................. 9 9,275
3.150%, 05/19/27................................................. 1,000 1,056,404
PolyOne Corp.
5.250%, 03/15/23................................................. 1,170 1,262,137
PPG Industries, Inc.
1.400%, 03/13/27................................................. EUR 1,800 2,112,574
# 3.750%, 03/15/28................................................. 2,750 3,000,493
2.800%, 08/15/29................................................. 947 951,568
Principal Financial Group, Inc.
3.125%, 05/15/23................................................. 52 53,681
3.100%, 11/15/26................................................. 53 54,988
Procter & Gamble Co. (The)
2.450%, 11/03/26................................................. 13 13,398
# 2.850%, 08/11/27................................................. 150 159,797
1.200%, 10/30/28................................................. EUR 6,160 7,482,371
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
1.800%, 05/03/29................................................. GBP 9,800 $13,349,820
1.250%, 10/25/29................................................. EUR 1,000 1,218,061
Proctor + Gamble Co. Ltd.
6.250%, 01/31/30................................................. GBP 563 1,060,500
Progress Energy, Inc.
4.875%, 12/01/19................................................. 6 6,013
4.400%, 01/15/21................................................. 27 27,612
7.750%, 03/01/31................................................. 500 714,963
7.000%, 10/30/31................................................. 630 870,604
Progressive Corp.
2.450%, 01/15/27................................................. 500 506,529
Progressive Corp. (The)
# 3.750%, 08/23/21................................................. 51 52,745
Prudential Financial, Inc.
# 3.500%, 05/15/24................................................. 1,712 1,820,688
PSEG Power LLC
5.125%, 04/15/20................................................. 26 26,363
4.300%, 11/15/23................................................. 68 72,322
Puget Energy, Inc.
6.000%, 09/01/21................................................. 92 98,176
PulteGroup, Inc.
5.000%, 01/15/27................................................. 2,500 2,734,375
QUALCOMM, Inc.
3.450%, 05/20/25................................................. 1,631 1,729,704
3.250%, 05/20/27................................................. 2,800 2,946,972
Quest Diagnostics, Inc.
3.500%, 03/30/25................................................. 4 4,214
# 4.200%, 06/30/29................................................. 925 1,023,253
Radian Group, Inc.
# 4.500%, 10/01/24................................................. 2,700 2,824,875
Reinsurance Group of America, Inc.
5.000%, 06/01/21................................................. 11 11,484
4.700%, 09/15/23................................................. 45 49,002
3.950%, 09/15/26................................................. 111 117,342
Republic Services, Inc.
3.550%, 06/01/22................................................. 52 54,041
Rockwell Automation, Inc.
2.875%, 03/01/25................................................. 67 69,447
Roper Technologies, Inc.
3.000%, 12/15/20................................................. 15 15,158
Royal Caribbean Cruises, Ltd.
3.700%, 03/15/28................................................. 1,000 1,035,675
SCANA Corp.
4.125%, 02/01/22................................................. 11 11,354
Sealed Air Corp.
(Omega) 4.875%, 12/01/22................................................. 1,180 1,249,325
#(Omega) 5.125%, 12/01/24................................................. 1,817 1,957,817
#(Omega) 5.500%, 09/15/25................................................. 100 109,000
Sempra Energy
4.050%, 12/01/23................................................. 49 51,873
3.550%, 06/15/24................................................. 76 78,808
Sensata Technologies BV
(Omega) 5.000%, 10/01/25................................................. 3,886 4,187,942
108
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Sherwin-Williams Co. (The)
# 3.450%, 08/01/25................................................. 53 $ 56,031
2.950%, 08/15/29................................................. 3,000 3,026,880
Sky Ltd.
2.500%, 09/15/26................................................. EUR 2,000 2,559,042
Southern Co. (The)
3.250%, 07/01/26................................................. 556 580,062
Southern Power Co.
4.150%, 12/01/25................................................. 1,017 1,112,626
1.850%, 06/20/26................................................. EUR 1,200 1,469,091
Southwest Airlines Co.
2.650%, 11/05/20................................................. 60 60,443
3.000%, 11/15/26................................................. 107 109,719
Spirit AeroSystems, Inc.
# 4.600%, 06/15/28................................................. 3,500 3,776,729
Springleaf Finance Corp.
6.875%, 03/15/25................................................. 3,500 3,963,750
State Street Corp.
# 3.300%, 12/16/24................................................. 163 172,345
3.550%, 08/18/25................................................. 96 103,619
Steelcase Inc.
5.125%, 01/18/29................................................. 1,052 1,191,345
Stryker Corp.
3.375%, 05/15/24................................................. 6 6,312
3.375%, 11/01/25................................................. 109 116,109
2.125%, 11/30/27................................................. EUR 4,709 5,990,160
Sysco Corp.
2.600%, 10/01/20................................................. 35 35,208
3.300%, 07/15/26................................................. 23 24,282
Tapestry, Inc.
4.250%, 04/01/25................................................. 1,196 1,257,376
Target Corp.
2.500%, 04/15/26................................................. 52 53,497
TC PipeLines L.P.
3.900%, 05/25/27................................................. 2,000 2,101,185
TD Ameritrade Holding Corp.
2.950%, 04/01/22................................................. 21 21,466
3.625%, 04/01/25................................................. 86 91,304
# 2.750%, 10/01/29................................................. 2,000 2,008,502
Thermo Fisher Scientific, Inc.
2.000%, 04/15/25................................................. EUR 1,000 1,217,814
1.450%, 03/16/27................................................. EUR 1,000 1,195,327
1.375%, 09/12/28................................................. EUR 1,315 1,569,869
TJX Cos., Inc. (The)
# 2.250%, 09/15/26................................................. 600 602,079
Toll Brothers Finance Corp.
# 4.875%, 03/15/27................................................. 1,800 1,955,250
4.350%, 02/15/28................................................. 800 831,750
TRI Pointe Group, Inc. / TRI Pointe Homes, Inc.
# 5.875%, 06/15/24................................................. 1,300 1,400,750
Trimble, Inc.
4.900%, 06/15/28................................................. 500 546,582
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
TWDC Enterprises 18 Corp.
# 3.150%, 09/17/25................................................. 75 $ 79,874
Tyson Foods, Inc.
4.500%, 06/15/22................................................. 65 68,835
Under Armour, Inc.
3.250%, 06/15/26................................................. 3,750 3,624,674
Union Pacific Corp.
2.750%, 04/15/23................................................. 7 7,156
3.250%, 01/15/25................................................. 111 116,313
United Continental Holdings Inc.
# 4.875%, 01/15/25................................................. 1,000 1,049,600
United Continental Holdings, Inc.
# 4.250%, 10/01/22................................................. 1,400 1,445,808
United Technologies Corp.
3.100%, 06/01/22................................................. 2 2,061
7.500%, 09/15/29................................................. 7 9,895
UnitedHealth Group, Inc.
2.750%, 02/15/23................................................. 101 103,347
3.750%, 07/15/25................................................. 137 148,589
Unum Group
4.000%, 03/15/24................................................. 734 779,306
3.875%, 11/05/25................................................. 23 24,392
# 4.000%, 06/15/29................................................. 5,100 5,359,037
US Bancorp
2.350%, 01/29/21................................................. 9 9,058
Valero Energy Corp.
3.400%, 09/15/26................................................. 1,046 1,084,589
VeriSign, Inc.
5.250%, 04/01/25................................................. 2,307 2,526,165
Verizon Communications, Inc.
3.376%, 02/15/25................................................. 26 27,597
2.625%, 08/15/26................................................. 24 24,517
1.375%, 10/27/26................................................. EUR 1,500 1,793,054
1.375%, 11/02/28................................................. EUR 2,000 2,395,441
4.016%, 12/03/29................................................. 183 204,561
2.625%, 12/01/31................................................. EUR 2,500 3,372,387
Viacom, Inc.
4.500%, 03/01/21................................................. 22 22,696
4.250%, 09/01/23................................................. 7 7,438
3.875%, 04/01/24................................................. 57 59,932
Visa, Inc.
3.150%, 12/14/25................................................. 1,970 2,106,339
VMware, Inc.
3.900%, 08/21/27................................................. 3,121 3,221,601
WAL MART, Inc.
5.625%, 03/27/34................................................. GBP 2,500 4,909,772
Walgreens Boots Alliance, Inc.
3.450%, 06/01/26................................................. 3,035 3,141,478
2.125%, 11/20/26................................................. EUR 2,700 3,255,737
Walmart, Inc.
3.700%, 06/26/28................................................. 3,000 3,333,603
4.875%, 09/21/29................................................. EUR 5,166 8,291,873
109
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
5.750%, 12/19/30................................................. GBP 3,919 $7,400,387
Walt Disney Co. (The)
(Omega) 3.700%, 09/15/24................................................. 168 180,329
Waste Management, Inc.
4.600%, 03/01/21................................................. 21 21,626
3.500%, 05/15/24................................................. 58 61,280
3.125%, 03/01/25................................................. 40 41,907
WEC Energy Group, Inc.
2.450%, 06/15/20................................................. 19 19,044
3.550%, 06/15/25................................................. 52 55,559
Wells Fargo & Co.
# 2.600%, 07/22/20................................................. 3 3,013
3.500%, 03/08/22................................................. 102 105,323
3.000%, 02/19/25................................................. 190 195,406
3.000%, 04/22/26................................................. 32 32,841
2.000%, 04/27/26................................................. EUR 800 982,163
2.975%, 05/19/26................................................. CAD 3,000 2,308,800
1.375%, 10/26/26................................................. EUR 500 592,268
1.000%, 02/02/27................................................. EUR 800 925,092
4.150%, 01/24/29................................................. 1,000 1,110,791
2.500%, 05/02/29................................................. GBP 750 1,017,825
Western Digital Corp.
# 4.750%, 02/15/26................................................. 3,695 3,764,281
Western Gas Partners L.P.
4.000%, 07/01/22................................................. 2,200 2,234,599
Western Power Distribution South West P.L.C.
5.875%, 03/25/27................................................. GBP 900 1,494,027
2.375%, 05/16/29................................................. GBP 1,300 1,754,755
Western Union Co. (The)
5.253%, 04/01/20................................................. 27 27,283
Westlake Chemical Corp.
1.625%, 07/17/29................................................. EUR 4,000 4,499,060
WestRock MWV LLC
8.200%, 01/15/30................................................. 180 249,232
Whirlpool Corp.
4.700%, 06/01/22................................................. 22 23,374
3.700%, 05/01/25................................................. 145 153,045
4.750%, 02/26/29................................................. 1,000 1,125,763
Whirlpool Finance Luxembourg Sarl
1.250%, 11/02/26................................................. EUR 1,200 1,411,568
1.100%, 11/09/27................................................. EUR 500 578,718
Williams Cos., Inc. (The)
7.875%, 09/01/21................................................. 498 547,021
3.700%, 01/15/23................................................. 100 103,498
4.000%, 09/15/25................................................. 136 144,365
3.750%, 06/15/27................................................. 16 16,659
Wisconsin Electric Power Co.
3.100%, 06/01/25................................................. 37 38,643
WR Grace & Co-Conn
(Omega) 5.125%, 10/01/21................................................. 1,010 1,047,875
WRKCo, Inc.
4.200%, 06/01/32................................................. 2,600 2,885,656
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
Wyndham Destinations, Inc.
3.900%, 03/01/23..................................................................... 1,088 $ 1,096,160
Xerox Corp.
4.070%, 03/17/22..................................................................... 13 13,228
3.800%, 05/15/24..................................................................... 50 50,250
Xilinx, Inc.
3.000%, 03/15/21..................................................................... 11 11,137
Zimmer Biomet Holdings, Inc.
# 3.550%, 04/01/25..................................................................... 731 773,282
Zoetis, Inc.
3.000%, 09/12/27..................................................................... 62 63,860
--------------
TOTAL UNITED STATES...................................................................... 780,599,652
--------------
TOTAL BONDS.............................................................................. 1,491,013,160
--------------
AGENCY OBLIGATIONS -- (0.3%)
Federal Farm Credit Bank
4.670%, 05/07/20..................................................................... 19 19,299
5.350%, 08/07/20..................................................................... 23 23,658
3.650%, 12/21/20..................................................................... 152 155,241
5.250%, 03/02/21..................................................................... 21 21,982
5.220%, 02/22/22..................................................................... 17 18,398
5.210%, 12/19/22..................................................................... 73 81,276
4.800%, 02/13/23..................................................................... 7 7,740
5.250%, 03/06/23..................................................................... 21 23,568
5.220%, 05/15/23..................................................................... 166 187,203
2.630%, 08/03/26..................................................................... 67 71,000
5.770%, 01/05/27..................................................................... 22 27,992
Federal Home Loan Bank
3.000%, 03/18/20..................................................................... 65 65,347
2.875%, 09/11/20..................................................................... 50 50,556
4.625%, 09/11/20..................................................................... 90 92,363
3.125%, 12/11/20..................................................................... 20 20,327
5.250%, 12/11/20..................................................................... 25 26,004
5.000%, 03/12/21..................................................................... 20 20,923
3.625%, 06/11/21..................................................................... 35 36,138
5.000%, 12/10/21..................................................................... 155 165,935
2.250%, 03/11/22..................................................................... 35 35,566
5.250%, 06/10/22..................................................................... 30 32,793
5.750%, 06/10/22..................................................................... 65 71,889
5.250%, 12/09/22..................................................................... 50 55,510
4.750%, 03/10/23..................................................................... 170 187,579
2.875%, 06/14/24..................................................................... 55 58,065
5.375%, 08/15/24..................................................................... 65 76,132
4.375%, 03/13/26..................................................................... 70 80,829
3.250%, 11/16/28..................................................................... 3,000 3,342,999
Federal National Mortgage Association
1.500%, 06/22/20..................................................................... 53 52,960
1.250%, 05/06/21..................................................................... 58 57,725
7.125%, 01/15/30..................................................................... 75 110,830
--------------
TOTAL AGENCY OBLIGATIONS................................................................. 5,277,827
--------------
110
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
U.S. TREASURY OBLIGATIONS -- (0.2%)
U.S. Treasury Notes
1.000%, 11/30/19................................................. 1,000 $ 999,321
1.625%, 08/15/29................................................. 2,000 1,988,047
--------------
TOTAL U.S. TREASURY OBLIGATIONS...................................... 2,987,368
--------------
TOTAL INVESTMENT SECURITIES
(Cost $1,456,886,029).............................................. 1,499,278,355
--------------
SHARES VALUE+
--------- --------------
SECURITIES LENDING COLLATERAL -- (4.8%)
@(S) The DFA Short Term Investment Fund 6,552,162 $ 75,815,072
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,532,694,549)................................................ $1,575,093,427
==============
As of October 31, 2019, DFA Global Core Plus Fixed Income Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ ------------------ ---------------------------- ---------- --------------
AUD 38,016,158 USD 26,057,795 State Street Bank and Trust 11/01/19 $ 148,642
CAD 587,218 USD 445,029 State Street Bank and Trust 01/08/20 995
DKK 821,106 USD 122,900 State Street Bank and Trust 12/30/19 228
EUR 73,861,154 USD 82,012,471 State Street Bank and Trust 11/01/19 364,851
JPY 101,089,650 USD 930,564 Citibank, N.A. 12/30/19 9,134
USD 40,712,520 AUD 58,935,637 State Street Bank and Trust 12/02/19 53,846
USD 2,407,440 GBP 1,854,756 Citibank, N.A. 12/30/19 168
USD 93,491,990 JPY 10,047,434,614 ANZ Securities 12/30/19 94,137
USD 82,254,158 EUR 73,317,568 State Street Bank and Trust 01/13/20 73,655
-----------
TOTAL APPRECIATION $ 745,656
AUD 58,860,816 USD 40,629,267 State Street Bank and Trust 11/04/19 $ (53,566)
EUR 73,317,568 USD 81,844,401 State Street Bank and Trust 11/04/19 (73,341)
SEK 3,224,124 USD 335,935 State Street Bank and Trust 01/14/20 (601)
USD 2,717,305 AUD 4,018,106 Citibank, N.A. 11/01/19 (52,576)
USD 4,413,260 EUR 4,021,439 ANZ Securities 11/01/19 (71,850)
USD 23,034,132 AUD 33,998,052 State Street Bank and Trust 11/01/19 (402,423)
USD 76,909,506 EUR 69,839,715 Citibank, N.A. 11/01/19 (982,706)
USD 2,438,534 AUD 3,558,735 ANZ Securities 11/04/19 (14,680)
USD 3,800,331 EUR 3,477,852 State Street Bank and Trust 11/04/19 (78,516)
USD 37,444,022 AUD 55,302,081 State Street Bank and Trust 11/04/19 (678,466)
USD 76,925,786 EUR 69,839,716 Citibank, N.A. 11/04/19 (966,427)
USD 26,117,857 AUD 38,074,743 State Street Bank and Trust 11/29/19 (147,118)
USD 82,309,142 EUR 73,861,154 State Street Bank and Trust 12/27/19 (378,948)
USD 943,320 DKK 6,322,967 Goldman Sachs 12/30/19 (4,829)
USD 1,515,262 DKK 10,204,283 State Street Bank and Trust 12/30/19 (14,903)
USD 4,221,134 GBP 3,446,904 State Street Bank and Trust 12/30/19 (252,573)
USD 10,256,792 DKK 69,546,123 State Street Bank and Trust 12/30/19 (171,870)
USD 97,165,695 GBP 78,671,249 State Street Bank and Trust 12/30/19 (4,941,039)
USD 5,535,545 GBP 4,293,837 State Street Bank and Trust 01/06/20 (38,930)
USD 100,585,898 GBP 79,555,913 State Street Bank and Trust 01/06/20 (2,697,583)
USD 33,691,356 CAD 44,840,318 Citibank, N.A. 01/08/20 (367,308)
USD 4,126,300 EUR 3,725,520 State Street Bank and Trust 01/10/20 (48,802)
USD 5,707,351 EUR 5,116,052 State Street Bank and Trust 01/10/20 (26,088)
USD 74,935,224 EUR 67,666,587 State Street Bank and Trust 01/10/20 (897,130)
USD 594,330 EUR 530,833 State Street Bank and Trust 01/14/20 (709)
111
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
USD 1,121,798 SEK 10,823,403 Citibank, N.A. 01/14/20 $ (3,919)
USD 2,057,108 SEK 20,049,515 State Street Bank and Trust 01/14/20 (28,196)
USD 3,566,771 EUR 3,201,933 Citibank, N.A. 01/14/20 (22,447)
USD 3,799,765 EUR 3,394,916 State Street Bank and Trust 01/14/20 (5,778)
USD 4,215,532 EUR 3,765,930 Citibank, N.A. 01/14/20 (5,900)
USD 19,681,365 SEK 192,432,600 State Street Bank and Trust 01/14/20 (333,102)
USD 74,964,418 EUR 67,676,822 State Street Bank and Trust 01/14/20 (898,149)
USD 5,798,455 EUR 5,188,994 State Street Bank and Trust 01/23/20 (21,402)
USD 80,143,352 EUR 71,593,441 Citibank, N.A. 01/23/20 (154,211)
USD 2,124,316 EUR 1,895,129 State Street Bank and Trust 01/24/20 (1,349)
USD 80,136,865 EUR 71,593,441 Citibank, N.A. 01/24/20 (165,661)
------------
TOTAL (DEPRECIATION) $(15,003,096)
------------
TOTAL APPRECIATION (DEPRECIATION) $(14,257,440)
============
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
------- -------------- ------- --------------
Bonds
Australia.............................. -- $ 40,540,563 -- $ 40,540,563
Belgium................................ -- 21,687,914 -- 21,687,914
Canada................................. -- 78,166,547 -- 78,166,547
Denmark................................ -- 28,394,333 -- 28,394,333
Finland................................ -- 3,819,375 -- 3,819,375
France................................. -- 97,037,848 -- 97,037,848
Germany................................ -- 77,332,106 -- 77,332,106
Italy.................................. -- 16,523,287 -- 16,523,287
Japan.................................. -- 21,839,361 -- 21,839,361
Netherlands............................ -- 49,620,853 -- 49,620,853
Norway................................. -- 55,426,530 -- 55,426,530
Spain.................................. -- 10,171,823 -- 10,171,823
Supranational Organization Obligations. -- 80,974,662 -- 80,974,662
Sweden................................. -- 21,011,608 -- 21,011,608
Switzerland............................ -- 19,874,810 -- 19,874,810
United Kingdom......................... -- 87,991,888 -- 87,991,888
United States.......................... -- 780,599,652 -- 780,599,652
Agency Obligations........................ -- 5,277,827 -- 5,277,827
U.S. Treasury Obligations................. -- 2,987,368 -- 2,987,368
Securities Lending Collateral............. -- 75,815,072 -- 75,815,072
Forward Currency Contracts**.............. -- (14,257,440) -- (14,257,440)
------ -------------- ------ --------------
TOTAL..................................... -- $1,560,835,987 -- $1,560,835,987
====== ============== ====== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
112
DFA INVESTMENT GRADE PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ------------
(000)
BONDS -- (52.5%)
AUSTRALIA -- (1.6%)
ANZ New Zealand International Ltd.
(Omega) 3.450%, 07/17/27................................................. 6,000 $ 6,380,013
Australia & New Zealand Banking Group, Ltd.
0.625%, 02/21/23................................................. EUR 7,326 8,355,376
# 3.700%, 11/16/25................................................. 6,110 6,639,707
BHP Billiton Finance USA, Ltd.
2.875%, 02/24/22................................................. 1,077 1,101,507
Commonwealth Bank of Australia
5.000%, 03/19/20................................................. 784 792,946
2.400%, 11/02/20................................................. 3,605 3,624,086
(Omega) 2.850%, 05/18/26................................................. 22,784 23,338,223
(Omega) 3.150%, 09/19/27................................................. 890 948,959
Macquarie Bank, Ltd.
(Omega) 3.900%, 01/15/26................................................. 24,711 26,439,897
National Australia Bank, Ltd.
3.375%, 01/14/26................................................. 3,000 3,174,281
(Omega) 3.500%, 01/10/27................................................. 29,999 32,252,643
Rio Tinto Finance USA, Ltd.
7.125%, 07/15/28................................................. 1,270 1,722,976
Westpac Banking Corp.
4.875%, 11/19/19................................................. 2,958 2,961,668
2.850%, 05/13/26................................................. 10,267 10,629,318
2.700%, 08/19/26................................................. 5,052 5,201,118
# 3.350%, 03/08/27................................................. 27,267 29,163,000
------------
TOTAL AUSTRALIA........................................................... 162,725,718
------------
BELGIUM -- (0.4%)
Anheuser-Busch InBev Worldwide, Inc.
4.000%, 04/13/28................................................. 14,000 15,454,087
# 4.900%, 01/23/31................................................. 2,000 2,388,966
Dexia Credit Local SA
1.375%, 12/07/22................................................. GBP 20,000 26,267,592
Solvay Finance America LLC
(Omega) 4.450%, 12/03/25................................................. 865 940,383
------------
TOTAL BELGIUM............................................................. 45,051,028
------------
CANADA -- (1.3%)
Alimentation Couche-Tard, Inc.
(Omega) 3.550%, 07/26/27................................................. 2,780 2,881,660
Bank of Montreal
1.375%, 12/29/21................................................. GBP 1,900 2,483,139
Bank of Nova Scotia (The)
4.375%, 01/13/21................................................. 2,092 2,153,049
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
1.750%, 12/23/22................................................. GBP 6,650 $ 8,807,275
Canadian Imperial Bank of Commerce
0.750%, 03/22/23................................................. EUR 18,319 20,977,504
Canadian Natural Resources, Ltd.
3.850%, 06/01/27................................................. 3,898 4,124,782
Canadian Pacific Railway Co.
2.900%, 02/01/25................................................. 3,024 3,119,385
3.700%, 02/01/26................................................. 4,880 5,239,408
Enbridge, Inc.
3.500%, 06/10/24................................................. 1,280 1,337,354
# 3.700%, 07/15/27................................................. 1,575 1,673,658
Fairfax Financial Holdings Ltd.
# 4.850%, 04/17/28................................................. 1,000 1,089,104
Husky Energy, Inc.
4.400%, 04/15/29................................................. 5,300 5,615,071
ITC Holdings Corp.
3.650%, 06/15/24................................................. 9,714 10,240,181
Nutrien, Ltd.
3.625%, 03/15/24................................................. 3,460 3,645,603
# 3.000%, 04/01/25................................................. 3,460 3,544,644
Province of Ontario Canada
3.150%, 06/02/22................................................. CAD 19,927 15,671,691
Rogers Communications, Inc.
3.000%, 03/15/23................................................. 1,765 1,807,109
Spectra Energy Partners L.P.
4.750%, 03/15/24................................................. 1,915 2,090,421
Suncor Energy, Inc.
3.600%, 12/01/24................................................. 2,406 2,542,599
Thomson Reuters Corp.
4.300%, 11/23/23................................................. 5,120 5,508,856
3.850%, 09/29/24................................................. 203 215,287
Toronto-Dominion Bank (The)
# 2.125%, 04/07/21................................................. 7,407 7,434,924
1.994%, 03/23/22................................................. CAD 4,942 3,744,603
0.625%, 07/20/23................................................. EUR 9,326 10,671,718
TransCanada PipeLines, Ltd.
3.800%, 10/01/20................................................. 780 792,675
4.875%, 01/15/26................................................. 5,560 6,222,726
# 4.250%, 05/15/28................................................. 1,300 1,436,600
------------
TOTAL CANADA.............................................................. 135,071,026
------------
DENMARK -- (0.4%)
Danske Bank A.S.
(Omega) 2.750%, 09/17/20................................................. 1,058 1,064,383
(Omega) 2.800%, 03/10/21................................................. 6,530 6,582,001
0.875%, 05/22/23................................................. EUR 4,900 5,555,020
0.750%, 06/02/23................................................. EUR 4,700 5,364,925
(Omega) 4.375%, 06/12/28................................................. 2,000 2,158,009
113
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
DENMARK -- (Continued)
Kommunekredit
0.000%, 09/08/22................................................. EUR 21,894 $ 24,698,499
------------
TOTAL DENMARK.............................................................. 45,422,837
------------
FINLAND -- (0.0%)
Nordea Bank Abp
0.875%, 06/26/23................................................. EUR 1,000 1,144,822
------------
FRANCE -- (1.0%)
Airbus SE
(Omega) 3.150%, 04/10/27................................................. 7,500 7,863,420
BNP Paribas SA
# 3.250%, 03/03/23................................................. 1,920 2,007,459
(Omega) 3.500%, 11/16/27................................................. 500 522,956
BPCE SA
0.375%, 10/05/23................................................. EUR 8,100 9,157,078
4.000%, 04/15/24................................................. 10,914 11,730,296
Credit Agricole SA
(Omega) 2.750%, 06/10/20................................................. 1,125 1,129,519
# 3.875%, 04/15/24................................................. 8,591 9,174,144
Electricite de France SA
(Omega) 3.625%, 10/13/25................................................. 6,638 7,094,916
Pernod Ricard SA
(Omega) 4.450%, 01/15/22................................................. 6,474 6,801,908
#(Omega) 3.250%, 06/08/26................................................. 14,827 15,631,700
Sanofi
3.625%, 06/19/28................................................. 20,000 22,309,819
Total Capital International SA
2.125%, 03/15/23................................................. EUR 4,700 5,643,491
# 3.750%, 04/10/24................................................. 9,600 10,321,999
------------
TOTAL FRANCE............................................................... 109,388,705
------------
GERMANY -- (1.3%)
Bayer U.S. Finance II LLC
(Omega) 5.500%, 08/15/25................................................. 2,240 2,502,712
#(Omega) 4.375%, 12/15/28................................................. 10,000 10,847,193
Bayer U.S. Finance LLC
#(Omega) 3.375%, 10/08/24................................................. 12,544 12,896,076
BMW US Capital LLC
(Omega) 2.800%, 04/11/26................................................. 21,530 21,813,784
(Omega) 3.300%, 04/06/27................................................. 6,742 7,039,969
Daimler Finance North America LLC
#(Omega) 3.250%, 08/01/24................................................. 2,072 2,148,480
8.500%, 01/18/31................................................. 28,596 43,160,029
Deutsche Bank AG
2.950%, 08/20/20................................................. 136 136,271
EMD Finance LLC
(Omega) 2.950%, 03/19/22................................................. 5,120 5,200,233
Siemens Financieringsmaatschappij NV
(Omega) 6.125%, 08/17/26................................................. 7,621 9,336,842
FACE
AMOUNT^ VALUE+
------- ------------
(000)
GERMANY -- (Continued)
Volkswagen Financial Services AG
0.875%, 04/12/23................................................. EUR 4,500 $ 5,111,005
1.375%, 10/16/23................................................. EUR 3,500 4,049,479
Volkswagen Financial Services NV
1.625%, 06/09/22................................................. GBP 5,000 6,477,399
Volkswagen Group of America Finance LLC
(Omega) 2.400%, 05/22/20................................................. 699 700,132
------------
TOTAL GERMANY.............................................................. 131,419,604
------------
IRELAND -- (0.0%)
CRH America Finance, Inc.
(Omega) 3.950%, 04/04/28................................................. 1,520 1,639,814
------------
ITALY -- (0.1%)
Enel Finance International NV
(Omega) 3.500%, 04/06/28................................................. 2,800 2,884,081
(Omega) 4.875%, 06/14/29................................................. 10,000 11,445,342
------------
TOTAL ITALY................................................................ 14,329,423
------------
JAPAN -- (1.7%)
American Honda Finance Corp.
0.550%, 03/17/23................................................. EUR 4,900 5,563,972
# 2.300%, 09/09/26................................................. 21,110 21,184,825
Beam Suntory, Inc.
3.250%, 06/15/23................................................. 1,743 1,788,904
Mitsubishi UFJ Financial Group, Inc.
0.680%, 01/26/23................................................. EUR 3,822 4,329,727
3.850%, 03/01/26................................................. 12,000 12,915,431
# 3.677%, 02/22/27................................................. 4,465 4,779,439
Mizuho Financial Group, Inc.
#(Omega) 2.632%, 04/12/21................................................. 2,000 2,014,621
1.020%, 10/11/23................................................. EUR 5,461 6,272,153
# 2.839%, 09/13/26................................................. 18,000 18,256,230
MUFG Americas Holdings Corp.
# 3.500%, 06/18/22................................................. 5,472 5,650,113
MUFG Bank, Ltd.
3.250%, 09/08/24................................................. 3,237 3,385,792
Nissan Motor Acceptance Corp.
(Omega) 2.125%, 03/03/20................................................. 1,680 1,680,013
Nomura Holdings, Inc.
6.700%, 03/04/20................................................. 1,394 1,415,483
StanCorp Financial Group, Inc.
5.000%, 08/15/22................................................. 3,200 3,403,297
114
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
JAPAN -- (Continued)
Sumitomo Mitsui Banking Corp.
3.950%, 07/19/23................................................. 5,931 $ 6,293,389
Sumitomo Mitsui Financial Group, Inc.
0.606%, 01/18/22................................................. EUR 4,000 4,518,793
3.784%, 03/09/26................................................. 5,242 5,624,186
3.040%, 07/16/29................................................. 3,900 3,996,810
Takeda Pharmaceutical Co. Ltd.
1.125%, 11/21/22................................................. EUR 5,000 5,755,685
Toyota Credit Canada, Inc.
2.020%, 02/28/22................................................. CAD 4,942 3,738,600
Toyota Motor Credit Corp.
3.300%, 01/12/22................................................. 2,605 2,687,777
2.625%, 01/10/23................................................. 2,999 3,066,845
3.200%, 01/11/27................................................. 26,976 28,911,967
3.050%, 01/11/28................................................. 11,550 12,296,318
# 3.650%, 01/08/29................................................. 5,000 5,550,824
------------
TOTAL JAPAN................................................................ 175,081,194
------------
NETHERLANDS -- (1.3%)
ABN AMRO Bank NV
0.500%, 07/17/23................................................. EUR 911 1,033,089
Ahold Finance USA LLC
6.875%, 05/01/29................................................. 704 918,281
Cooperatieve Rabobank UA
# 3.875%, 02/08/22................................................. 4,090 4,257,383
0.750%, 08/29/23................................................. EUR 1,200 1,373,583
3.375%, 05/21/25................................................. 17,522 18,720,938
Heineken NV
#(Omega) 2.750%, 04/01/23................................................. 2,219 2,258,211
ING Bank NV
(Omega) 2.050%, 08/15/21................................................. 5,000 5,010,850
ING Groep NV
1.000%, 09/20/23................................................. EUR 2,400 2,763,649
# 3.950%, 03/29/27................................................. 10,000 10,746,743
# 4.050%, 04/09/29................................................. 4,000 4,410,873
Shell International Finance BV
2.250%, 11/10/20................................................. 4,646 4,662,271
3.250%, 05/11/25................................................. 31,117 33,031,007
2.875%, 05/10/26................................................. 29,810 31,077,078
# 2.500%, 09/12/26................................................. 11,169 11,435,958
------------
TOTAL NETHERLANDS.......................................................... 131,699,914
------------
NORWAY -- (0.1%)
Equinor ASA
2.450%, 01/17/23................................................. 3,586 3,649,721
0.875%, 02/17/23................................................. EUR 2,913 3,344,515
# 2.650%, 01/15/24................................................. 6,950 7,152,798
------------
TOTAL NORWAY............................................................... 14,147,034
------------
FACE
AMOUNT^ VALUE+
------- ------------
(000)
SPAIN -- (0.7%)
Banco Santander SA
3.800%, 02/23/28................................................. 7,000 $ 7,382,830
Santander Holdings USA, Inc.
4.500%, 07/17/25................................................. 17,590 18,952,437
4.400%, 07/13/27................................................. 2,000 2,148,899
Santander UK P.L.C.
# 4.000%, 03/13/24................................................. 8,788 9,408,477
Telefonica Emisiones SA
5.462%, 02/16/21................................................. 829 864,892
3.987%, 01/23/23................................................. EUR 1,000 1,256,787
4.570%, 04/27/23................................................. 7,532 8,143,234
Telefonica Europe BV
# 8.250%, 09/15/30................................................. 13,567 19,572,760
------------
TOTAL SPAIN................................................................ 67,730,316
------------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (0.2%)
European Financial Stability Facility
0.000%, 11/17/22................................................. EUR 19,769 22,334,106
Inter-American Development Bank
6.750%, 07/15/27................................................. 1,942 2,563,478
------------
TOTAL SUPRANATIONAL ORGANIZATION
OBLIGATIONS................................................................ 24,897,584
------------
SWEDEN -- (1.0%)
Kommuninvest I Sverige AB
0.250%, 06/01/22................................................. SEK 296,540 30,834,351
1.000%, 11/13/23................................................. SEK 500,000 53,504,960
Svenska Handelsbanken AB
0.250%, 02/28/22................................................. EUR 9,390 10,563,064
0.500%, 03/21/23................................................. EUR 1,000 1,135,442
Swedbank AB
0.300%, 09/06/22................................................. EUR 4,800 5,394,820
------------
TOTAL SWEDEN............................................................... 101,432,637
------------
SWITZERLAND -- (0.7%)
ABB Finance USA, Inc.
2.875%, 05/08/22................................................. 3,884 3,979,088
Credit Suisse AG
3.000%, 10/29/21................................................. 3,011 3,069,679
3.625%, 09/09/24................................................. 16,929 18,002,741
Novartis Capital Corp.
3.100%, 05/17/27................................................. 10,983 11,712,824
Roche Holdings, Inc.
(Omega) 2.625%, 05/15/26................................................. 1,000 1,029,874
#(Omega) 2.375%, 01/28/27................................................. 14,000 14,189,992
115
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWITZERLAND -- (Continued)
UBS Group Funding Switzerland AG
(Omega) 4.125%, 09/24/25................................................. 20,990 $22,876,375
-----------
TOTAL SWITZERLAND......................................................... 74,860,573
-----------
UNITED KINGDOM -- (2.7%)
AstraZeneca P.L.C.
2.375%, 11/16/20................................................. 2,316 2,326,497
3.375%, 11/16/25................................................. 8,259 8,735,837
4.000%, 01/17/29................................................. 2,000 2,241,081
BAE Systems Holdings, Inc.
(Omega) 2.850%, 12/15/20................................................. 1,239 1,248,348
Barclays P.L.C.
2.750%, 11/08/19................................................. 626 626,036
1.500%, 04/01/22................................................. EUR 2,800 3,233,325
3.650%, 03/16/25................................................. 14,330 14,826,134
# 4.375%, 01/12/26................................................. 9,970 10,713,450
BAT International Finance P.L.C.
2.375%, 01/19/23................................................. EUR 5,895 7,020,061
BP Capital Markets America, Inc.
3.245%, 05/06/22................................................. 2,848 2,941,472
3.119%, 05/04/26................................................. 8,415 8,820,114
3.017%, 01/16/27................................................. 11,773 12,250,906
BP Capital Markets P.L.C.
3.535%, 11/04/24................................................. 2,240 2,387,642
# 3.017%, 01/16/27................................................. 1,700 1,718,713
3.279%, 09/19/27................................................. 11,000 11,608,146
British Telecommunications P.L.C.
1.125%, 03/10/23................................................. EUR 2,800 3,225,556
0.875%, 09/26/23................................................. EUR 4,900 5,605,221
5.125%, 12/04/28................................................. 7,200 8,372,601
Coca-Cola European Partners P.L.C.
1.125%, 05/26/24................................................. EUR 7,555 8,823,918
Diageo Investment Corp.
2.875%, 05/11/22................................................. 131 134,068
GlaxoSmithKline Capital, Inc.
3.875%, 05/15/28................................................. 7,700 8,607,048
HSBC Holdings P.L.C.
3.400%, 03/08/21................................................. 4,100 4,171,271
4.000%, 03/30/22................................................. 5,009 5,244,199
4.300%, 03/08/26................................................. 13,270 14,468,290
3.900%, 05/25/26................................................. 12,666 13,527,681
HSBC USA, Inc.
2.375%, 11/13/19................................................. 317 317,029
3.500%, 06/23/24................................................. 12,593 13,329,891
Janus Capital Group, Inc.
4.875%, 08/01/25................................................. 9,046 9,865,949
Lloyds Banking Group P.L.C.
1.000%, 11/09/23................................................. EUR 300 343,803
FACE
AMOUNT^ VALUE+
------- ------------
(000)
UNITED KINGDOM -- (Continued)
3.750%, 01/11/27................................................. 10,250 $ 10,841,563
4.375%, 03/22/28................................................. 4,000 4,413,447
Mead Johnson Nutrition Co.
4.125%, 11/15/25................................................. 5,931 6,513,179
National Grid North America, Inc.
0.750%, 08/08/23................................................. EUR 450 512,856
Nationwide Building Society
(Omega) 3.900%, 07/21/25................................................. 4,600 5,018,758
NatWest Markets P.L.C.
0.625%, 03/02/22................................................. EUR 6,800 7,671,391
Praxair, Inc.
# 2.200%, 08/15/22................................................. 800 805,689
Rolls-Royce P.L.C.
0.875%, 05/09/24................................................. EUR 2,510 2,853,252
(Omega) 3.625%, 10/14/25................................................. 20,258 21,141,925
Royal Bank of Scotland Group P.L.C.
2.500%, 03/22/23................................................. EUR 4,900 5,862,927
4.800%, 04/05/26................................................. 4,800 5,324,923
Standard Chartered P.L.C.
(Omega) 4.050%, 04/12/26................................................. 4,380 4,653,899
TechnipFMC P.L.C.
3.450%, 10/01/22................................................. 4,235 4,314,511
Unilever Capital Corp.
2.000%, 07/28/26................................................. 1,900 1,878,860
Vodafone Group P.L.C.
7.875%, 02/15/30................................................. 7,107 9,888,224
------------
TOTAL UNITED KINGDOM...................................................... 278,429,691
------------
UNITED STATES -- (38.0%)
3M Co.
2.875%, 10/15/27................................................. 14,390 15,081,255
Abbott Ireland Financing DAC
0.000%, 09/27/20................................................. EUR 864 964,904
Abbott Laboratories
2.950%, 03/15/25................................................. 12,469 13,007,416
AbbVie, Inc.
2.900%, 11/06/22................................................. 2,800 2,854,391
3.600%, 05/14/25................................................. 18,850 19,743,550
# 4.250%, 11/14/28................................................. 25,500 27,714,187
Activision Blizzard, Inc.
# 3.400%, 06/15/27................................................. 6,308 6,604,915
Adobe, Inc.
3.250%, 02/01/25................................................. 1,920 2,032,127
Advance Auto Parts, Inc.
4.500%, 12/01/23................................................. 1,186 1,279,101
Aetna, Inc.
2.750%, 11/15/22................................................. 8,320 8,439,863
3.500%, 11/15/24................................................. 5,359 5,619,130
Affiliated Managers Group, Inc.
3.500%, 08/01/25................................................. 3,410 3,571,587
116
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Aflac, Inc.
# 3.250%, 03/17/25................................................. 11,007 $11,582,845
Alabama Power Co.
2.800%, 04/01/25................................................. 2,560 2,628,505
Albemarle Corp.
4.150%, 12/01/24................................................. 7,365 7,945,052
Allergan Finance LLC
3.250%, 10/01/22................................................. 7,562 7,737,424
Allergan Funding SCS
3.450%, 03/15/22................................................. 12,881 13,202,639
3.800%, 03/15/25................................................. 2,471 2,599,703
Allstate Corp. (The)
5.350%, 06/01/33................................................. 7,500 9,504,178
Alphabet, Inc.
# 1.998%, 08/15/26................................................. 7,385 7,394,303
Altria Group, Inc.
4.750%, 05/05/21................................................. 208 216,096
Amazon.com, Inc.
3.150%, 08/22/27................................................. 9,200 9,815,660
Ameren Corp.
2.700%, 11/15/20................................................. 988 994,550
3.650%, 02/15/26................................................. 10,631 11,237,244
American Express Credit
Corp.............................................................
2.250%, 05/05/21................................................. 148 148,791
3.300%, 05/03/27................................................. 16,929 18,200,116
American International Group, Inc.
3.300%, 03/01/21................................................. 1,483 1,507,175
4.875%, 06/01/22................................................. 1,425 1,528,043
1.500%, 06/08/23................................................. EUR 2,000 2,325,158
# 4.125%, 02/15/24................................................. 10,069 10,817,283
3.750%, 07/10/25................................................. 9,247 9,892,838
3.900%, 04/01/26................................................. 6,429 6,916,039
4.200%, 04/01/28................................................. 2,100 2,309,042
American Water Capital Corp.
3.850%, 03/01/24................................................. 2,115 2,256,058
2.950%, 09/01/27................................................. 584 600,739
Ameriprise Financial, Inc.
5.300%, 03/15/20................................................. 129 130,507
# 4.000%, 10/15/23................................................. 3,722 3,976,388
2.875%, 09/15/26................................................. 6,175 6,372,890
AmerisourceBergen Corp.
3.400%, 05/15/24................................................. 1,223 1,273,030
3.450%, 12/15/27................................................. 3,000 3,130,018
Amgen, Inc.
# 4.100%, 06/15/21................................................. 6,993 7,218,457
3.625%, 05/22/24................................................. 6,399 6,799,992
# 3.125%, 05/01/25................................................. 3,200 3,337,796
2.600%, 08/19/26................................................. 10,375 10,483,522
Analog Devices, Inc.
3.900%, 12/15/25................................................. 4,965 5,358,148
# 3.500%, 12/05/26................................................. 11,977 12,577,912
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Anthem, Inc.
4.350%, 08/15/20................................................. 1,087 $ 1,106,798
# 3.125%, 05/15/22................................................. 2,177 2,234,898
# 3.500%, 08/15/24................................................. 4,986 5,245,192
3.650%, 12/01/27................................................. 4,000 4,231,246
# 4.101%, 03/01/28................................................. 16,600 18,050,757
Aon Corp.
5.000%, 09/30/20................................................. 810 831,896
Aon P.L.C.
4.000%, 11/27/23................................................. 4,000 4,269,409
3.500%, 06/14/24................................................. 9,147 9,619,394
Apache Corp.
3.250%, 04/15/22................................................. 3,282 3,340,367
# 4.375%, 10/15/28................................................. 5,000 4,962,693
Apple, Inc.
# 2.500%, 02/09/25................................................. 4,560 4,683,439
3.250%, 02/23/26................................................. 19,942 21,240,401
# 2.450%, 08/04/26................................................. 17,090 17,443,934
# 3.350%, 02/09/27................................................. 33,607 36,064,422
3.000%, 06/20/27................................................. 11,436 12,066,456
# 3.000%, 11/13/27................................................. 26,919 28,446,653
Applied Materials, Inc.
# 3.300%, 04/01/27................................................. 16,750 17,907,254
Archer-Daniels-Midland Co.
2.500%, 08/11/26................................................. 4,942 5,013,445
Arizona Public Service Co.
3.150%, 05/15/25................................................. 9,580 9,979,926
Arrow Electronics, Inc.
3.875%, 01/12/28................................................. 12,338 12,756,104
Assurant, Inc.
# 4.000%, 03/15/23................................................. 6,399 6,662,360
AT&T, Inc.
4.000%, 01/15/22................................................. 1,152 1,202,547
# 3.550%, 06/01/24................................................. 4,480 4,700,395
3.950%, 01/15/25................................................. 9,885 10,581,108
3.400%, 05/15/25................................................. 23,617 24,752,212
# 3.600%, 07/15/25................................................. 12,500 13,190,307
3.800%, 02/15/27................................................. 8,782 9,397,209
Autodesk, Inc.
3.125%, 06/15/20................................................. 372 373,959
4.375%, 06/15/25................................................. 3,015 3,304,695
3.500%, 06/15/27................................................. 12,009 12,470,417
Automatic Data Processing, Inc.
3.375%, 09/15/25................................................. 12,356 13,284,073
AutoZone, Inc.
2.875%, 01/15/23................................................. 11,988 12,209,135
# 3.125%, 07/15/23................................................. 1,270 1,309,949
# 3.250%, 04/15/25................................................. 6,203 6,464,118
# 3.125%, 04/21/26................................................. 988 1,024,917
Avnet, Inc.
4.625%, 04/15/26................................................. 5,560 5,934,255
AXIS Specialty Finance P.L.C.
# 4.000%, 12/06/27................................................. 20,320 21,279,240
117
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Baker Hughes a GE Co. LLC
3.200%, 08/15/21................................................. 183 $ 187,214
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
3.337%, 12/15/27................................................. 1,900 1,957,570
Baltimore Gas & Electric Co.
2.400%, 08/15/26................................................. 692 692,881
Bank of America Corp.
# 4.000%, 04/01/24................................................. 6,120 6,578,326
# 3.875%, 08/01/25................................................. 2,350 2,540,174
(r) 3.419%, 12/20/28................................................. 15,341 16,072,959
Bank of New York Mellon Corp. (The)
3.650%, 02/04/24................................................. 10,524 11,215,397
3.000%, 02/24/25................................................. 1,913 2,004,777
2.800%, 05/04/26................................................. 7,088 7,313,157
Baxter International, Inc.
# 2.600%, 08/15/26................................................. 4,951 5,009,917
BB&T Corp.
3.700%, 06/05/25................................................. 14,345 15,413,236
Bemis Co., Inc.
(Omega) 4.500%, 10/15/21................................................. 640 662,696
Berkshire Hathaway, Inc.
0.750%, 03/16/23................................................. EUR 650 741,106
3.125%, 03/15/26................................................. 33,128 35,230,153
Best Buy Co., Inc.
4.450%, 10/01/28................................................. 19,493 21,294,883
Biogen, Inc.
2.900%, 09/15/20................................................. 14,678 14,794,108
4.050%, 09/15/25................................................. 8,950 9,808,474
Black Hills Corp.
4.350%, 05/01/33................................................. 1,750 1,966,137
BlackRock, Inc.
# 3.200%, 03/15/27................................................. 24,563 26,118,367
Boeing Co. (The)
# 8.750%, 08/15/21................................................. 977 1,087,390
2.500%, 03/01/25................................................. 6,399 6,462,846
# 2.600%, 10/30/25................................................. 3,568 3,616,605
Booking Holdings, Inc.
0.800%, 03/10/22................................................. EUR 2,000 2,275,434
2.150%, 11/25/22................................................. EUR 4,020 4,762,657
3.600%, 06/01/26................................................. 12,494 13,484,080
# 3.550%, 03/15/28................................................. 5,000 5,386,237
Boston Scientific Corp.
4.125%, 10/01/23................................................. 1,472 1,572,765
Bristol-Myers Squibb Co.
# 2.000%, 08/01/22................................................. 4,244 4,268,929
Brown &Brown, Inc.
4.200%, 09/15/24................................................. 4,660 4,972,594
Bunge, Ltd. Finance Corp.
3.750%, 09/25/27................................................. 15,000 15,502,331
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Burlington Northern Santa Fe LLC
3.000%, 04/01/25................................................. 4,279 $ 4,483,478
7.000%, 12/15/25................................................. 858 1,088,460
CA, Inc.
4.700%, 03/15/27................................................. 17,502 18,564,110
Campbell Soup Co.
4.250%, 04/15/21................................................. 1,024 1,054,012
# 2.500%, 08/02/22................................................. 1,939 1,953,189
3.300%, 03/19/25................................................. 4,045 4,148,158
4.150%, 03/15/28................................................. 9,628 10,384,500
Capital One Financial Corp.
4.750%, 07/15/21................................................. 1,956 2,043,263
3.750%, 04/24/24................................................. 4,607 4,868,519
0.800%, 06/12/24................................................. EUR 2,650 3,002,265
# 3.200%, 02/05/25................................................. 2,700 2,795,924
3.750%, 03/09/27................................................. 7,165 7,610,499
# 3.800%, 01/31/28................................................. 3,000 3,190,344
Cardinal Health, Inc.
# 4.625%, 12/15/20................................................. 640 657,489
3.200%, 06/15/22................................................. 3,840 3,929,321
# 3.410%, 06/15/27................................................. 17,718 18,021,000
Caterpillar, Inc.
# 2.600%, 06/26/22................................................. 2,531 2,572,295
3.400%, 05/15/24................................................. 1,823 1,924,751
CBS Corp.
3.500%, 01/15/25................................................. 2,364 2,467,169
2.900%, 01/15/27................................................. 26,061 26,025,602
7.875%, 07/30/30................................................. 1,137 1,603,286
Celgene Corp.
4.000%, 08/15/23................................................. 8,237 8,765,888
3.625%, 05/15/24................................................. 4,433 4,690,126
CenterPoint Energy Resources Corp.
4.500%, 01/15/21................................................. 1,549 1,585,261
4.000%, 04/01/28................................................. 4,800 5,217,031
Charles Schwab Corp. (The)
# 3.000%, 03/10/25................................................. 12,777 13,284,076
Chevron Corp.
# 2.954%, 05/16/26................................................. 11,356 11,959,085
Chubb INA Holdings, Inc.
2.875%, 11/03/22................................................. 1,852 1,905,060
2.700%, 03/13/23................................................. 2,965 3,033,031
3.350%, 05/15/24................................................. 5,120 5,406,559
Cigna Corp.
(Omega) 3.900%, 02/15/22................................................. 4,767 4,944,289
(Omega) 4.000%, 02/15/22................................................. 743 768,738
#(Omega) 3.500%, 06/15/24................................................. 8,342 8,678,734
(Omega) 3.250%, 04/15/25................................................. 4,500 4,639,932
(Omega) 3.400%, 03/01/27................................................. 14,920 15,392,905
Cincinnati Financial Corp.
6.920%, 05/15/28................................................. 4,000 5,254,555
Citigroup, Inc.
4.500%, 01/14/22................................................. 1,472 1,547,831
118
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
3.750%, 06/16/24................................................. 2,560 $ 2,719,581
3.300%, 04/27/25................................................. 7,679 8,046,522
Clorox Co. (The)
3.100%, 10/01/27................................................. 5,077 5,327,684
# 3.900%, 05/15/28................................................. 16,112 17,776,705
CME Group, Inc.
# 3.000%, 03/15/25................................................. 2,833 2,978,907
CMS Energy Corp.
3.875%, 03/01/24................................................. 1,725 1,819,184
3.600%, 11/15/25................................................. 3,163 3,324,933
3.000%, 05/15/26................................................. 4,942 5,084,971
CNA Financial Corp.
4.500%, 03/01/26................................................. 22,057 24,426,362
Coca-Cola Co. (The)
3.200%, 11/01/23................................................. 13,789 14,534,967
# 2.250%, 09/01/26................................................. 12,603 12,741,105
2.900%, 05/25/27................................................. 13,535 14,277,463
Comcast Cable Communications Holdings, Inc.
9.455%, 11/15/22................................................. 2,731 3,340,491
Comcast Corp.
3.375%, 08/15/25................................................. 4,946 5,269,643
# 3.150%, 03/01/26................................................. 9,198 9,709,640
3.150%, 02/15/28................................................. 5,000 5,253,873
# 4.250%, 10/15/30................................................. 5,000 5,762,058
# 7.050%, 03/15/33................................................. 2,200 3,159,721
Comerica, Inc.
# 4.000%, 02/01/29................................................. 5,000 5,546,609
Conagra Brands, Inc.
3.200%, 01/25/23................................................. 4,643 4,799,129
ConocoPhillips Co.
# 4.950%, 03/15/26................................................. 14,827 17,082,093
ConocoPhillips Holding Co.
6.950%, 04/15/29................................................. 9,700 13,191,449
Consolidated Edison Co. of New York, Inc.
3.300%, 12/01/24................................................. 1,280 1,343,010
Constellation Brands, Inc.
# 3.600%, 02/15/28................................................. 6,325 6,683,666
Corning, Inc.
3.700%, 11/15/23................................................. 2,710 2,838,517
Costco Wholesale Corp.
3.000%, 05/18/27................................................. 19,300 20,543,481
Cox Communications, Inc.
(Omega) 3.850%, 02/01/25................................................. 6,790 7,215,017
(Omega) 3.500%, 08/15/27................................................. 1,200 1,267,438
CSX Corp.
# 4.250%, 06/01/21................................................. 748 769,274
CVS Health Corp.
2.800%, 07/20/20................................................. 1,913 1,922,075
# 2.125%, 06/01/21................................................. 1,285 1,287,542
3.375%, 08/12/24................................................. 14,857 15,482,211
3.875%, 07/20/25................................................. 13,408 14,255,935
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
3.250%, 08/15/29................................................. 4,000 $ 4,029,781
Danaher Corp.
# 3.350%, 09/15/25................................................. 1,483 1,568,742
Deere & Co.
5.375%, 10/16/29................................................. 467 586,238
Discover Bank
4.650%, 09/13/28................................................. 2,800 3,146,969
Discovery Communications LLC
3.500%, 06/15/22................................................. 7,694 7,925,942
3.250%, 04/01/23................................................. 640 658,652
# 3.900%, 11/15/24................................................. 5,376 5,693,127
3.450%, 03/15/25................................................. 5,671 5,878,583
Dollar General Corp.
3.250%, 04/15/23................................................. 6,733 6,982,516
# 4.150%, 11/01/25................................................. 1,604 1,749,364
Dollar Tree, Inc.
4.200%, 05/15/28................................................. 35,940 39,034,155
Dominion Energy Gas Holdings LLC
# 2.800%, 11/15/20................................................. 7,166 7,221,637
Dominion Energy, Inc.
3.900%, 10/01/25................................................. 10,013 10,784,796
Dow Chemical Co. (The)
3.000%, 11/15/22................................................. 1,694 1,734,414
# 3.500%, 10/01/24................................................. 7,452 7,808,334
DTE Energy Co.
3.850%, 12/01/23................................................. 960 1,014,638
2.850%, 10/01/26................................................. 1,000 1,015,362
6.375%, 04/15/33................................................. 2,305 3,083,412
Duke Energy Corp.
3.750%, 04/15/24................................................. 5,705 6,062,702
DXC Technology Co.
4.450%, 09/18/22................................................. 3,200 3,348,558
# 4.750%, 04/15/27................................................. 35,329 37,337,800
E*TRADE Financial Corp.
4.500%, 06/20/28................................................. 8,496 9,261,995
Eastman Chemical Co.
2.700%, 01/15/20................................................. 137 137,103
4.500%, 01/15/21................................................. 88 89,738
3.600%, 08/15/22................................................. 297 306,877
1.500%, 05/26/23................................................. EUR 7,630 8,913,098
3.800%, 03/15/25................................................. 9,527 9,974,307
Eaton Corp.
4.000%, 11/02/32................................................. 11,600 13,343,256
Eaton Vance Corp.
3.500%, 04/06/27................................................. 10,462 11,052,508
eBay, Inc.
# 3.800%, 03/09/22................................................. 5,177 5,363,346
2.600%, 07/15/22................................................. 1,688 1,705,607
3.600%, 06/05/27................................................. 13,375 13,973,039
Ecolab, Inc.
4.350%, 12/08/21................................................. 480 504,474
# 2.700%, 11/01/26................................................. 4,448 4,589,127
119
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Electronic Arts, Inc.
4.800%, 03/01/26................................................. 15,000 $17,120,078
Emerson Electric Co.
3.150%, 06/01/25................................................. 5,312 5,567,523
Energy Transfer Operating L.P.
4.750%, 01/15/26................................................. 8,233 8,918,752
Enterprise Products Operating LLC
5.200%, 09/01/20................................................. 480 492,500
3.900%, 02/15/24................................................. 2,080 2,215,697
3.700%, 02/15/26................................................. 5,276 5,608,525
6.875%, 03/01/33................................................. 700 957,438
EOG Resources, Inc.
4.100%, 02/01/21................................................. 1,722 1,768,938
3.150%, 04/01/25................................................. 6,718 7,054,353
EQT Corp.
# 3.900%, 10/01/27................................................. 8,525 7,521,578
ERAC USA Finance LLC
#(Omega) 3.850%, 11/15/24................................................. 6,590 7,036,394
Evergy, Inc.
4.850%, 06/01/21................................................. 2,466 2,555,110
Eversource Energy
2.500%, 03/15/21................................................. 494 496,992
2.800%, 05/01/23................................................. 4,743 4,819,527
4.250%, 04/01/29................................................. 1,000 1,123,762
Exelon Corp.
2.450%, 04/15/21................................................. 370 372,432
3.950%, 06/15/25................................................. 2,323 2,516,572
3.400%, 04/15/26................................................. 20,540 21,607,109
Exelon Generation Co. LLC
# 2.950%, 01/15/20................................................. 326 326,195
Exxon Mobil Corp.
3.176%, 03/15/24................................................. 2,929 3,083,566
# 2.440%, 08/16/29................................................. 3,500 3,530,448
FedEx Corp.
2.625%, 08/01/22................................................. 3,357 3,403,598
1.000%, 01/11/23................................................. EUR 8,560 9,788,351
# 4.000%, 01/15/24................................................. 8,491 9,074,155
# 3.200%, 02/01/25................................................. 3,744 3,889,584
# 3.400%, 02/15/28................................................. 5,250 5,412,995
4.900%, 01/15/34................................................. 2,075 2,392,424
Fidelity National Information Services, Inc.
2.250%, 08/15/21................................................. 3,855 3,868,275
5.000%, 10/15/25................................................. 4,265 4,876,133
Fifth Third Bancorp
# 3.950%, 03/14/28................................................. 26,032 28,509,102
FirstEnergy Corp.
7.375%, 11/15/31................................................. 2,368 3,368,730
Fluor Corp.
1.750%, 03/21/23................................................. EUR 4,500 4,764,906
4.250%, 09/15/28................................................. 5,500 5,448,812
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
FMR LLC
(Omega) 4.950%, 02/01/33................................................. 2,400 $ 2,983,529
GATX Corp.
3.250%, 03/30/25................................................. 5,120 5,244,326
# 3.250%, 09/15/26................................................. 7,749 7,908,299
General Electric Co.
6.750%, 03/15/32................................................. 29,038 36,988,321
General Mills, Inc.
4.200%, 04/17/28................................................. 8,600 9,631,375
General Motors Co.
4.200%, 10/01/27................................................. 2,000 2,044,147
General Motors Financial Co., Inc.
5.250%, 03/01/26................................................. 17,826 19,339,078
4.350%, 01/17/27................................................. 4,942 5,096,821
Georgia Power Co.
3.250%, 04/01/26................................................. 3,000 3,128,764
# 3.250%, 03/30/27................................................. 15,966 16,648,302
Georgia-Pacific LLC
7.750%, 11/15/29................................................. 1,000 1,436,320
Gilead Sciences, Inc.
4.400%, 12/01/21................................................. 1,414 1,476,510
3.700%, 04/01/24................................................. 10,612 11,276,657
3.650%, 03/01/26................................................. 8,806 9,460,871
Global Payments, Inc.
# 4.800%, 04/01/26................................................. 7,031 7,899,260
4.450%, 06/01/28................................................. 7,882 8,791,761
Goldman Sachs Group, Inc. (The)
6.000%, 06/15/20................................................. 42 43,036
# 5.250%, 07/27/21................................................. 2,240 2,361,427
4.000%, 03/03/24................................................. 21,404 22,863,532
3.750%, 05/22/25................................................. 8,213 8,712,292
3.750%, 02/25/26................................................. 5,350 5,691,562
Halliburton Co.
3.500%, 08/01/23................................................. 6,399 6,651,327
3.800%, 11/15/25................................................. 4,981 5,248,053
Harley-Davidson, Inc.
# 3.500%, 07/28/25................................................. 5,593 5,835,108
Hasbro, Inc.
3.500%, 09/15/27................................................. 3,300 3,375,394
Hewlett Packard Enterprise Co.
4.900%, 10/15/25................................................. 6,965 7,788,168
Honeywell International, Inc.
2.500%, 11/01/26................................................. 9,698 9,922,047
Hormel Foods Corp.
4.125%, 04/15/21................................................. 1,479 1,521,689
Humana, Inc.
# 3.850%, 10/01/24................................................. 7,825 8,298,713
Huntington Bancshares, Inc.
3.150%, 03/14/21................................................. 1,582 1,604,123
# 2.300%, 01/14/22................................................. 2,292 2,305,033
120
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Hyatt Hotels Corp.
# 3.375%, 07/15/23................................................. 1,936 $ 2,006,895
Illinois Tool Works, Inc.
1.250%, 05/22/23................................................. EUR 1,000 1,164,326
# 3.500%, 03/01/24................................................. 6,399 6,788,214
Intel Corp.
# 2.700%, 12/15/22................................................. 413 424,414
# 3.150%, 05/11/27................................................. 2,500 2,675,016
4.000%, 12/15/32................................................. 3,200 3,731,072
Intercontinental Exchange, Inc.
3.750%, 12/01/25................................................. 10,000 10,823,000
International Business Machines Corp.
# 2.250%, 02/19/21................................................. 17,824 17,912,860
# 3.375%, 08/01/23................................................. 4,409 4,611,625
# 3.625%, 02/12/24................................................. 9,600 10,189,892
# 3.300%, 01/27/27................................................. 26,154 27,747,111
International Paper Co.
# 3.650%, 06/15/24................................................. 7,850 8,283,447
3.800%, 01/15/26................................................. 3,050 3,257,358
Interpublic Group of Cos., Inc. (The)
4.200%, 04/15/24................................................. 3,903 4,195,512
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
# 4.850%, 01/15/27................................................. 6,594 7,102,018
JM Smucker Co. (The)
3.500%, 03/15/25................................................. 6,042 6,371,966
Johnson & Johnson
# 2.450%, 03/01/26................................................. 3,212 3,289,794
Johnson Controls International P.L.C.
1.000%, 09/15/23................................................. EUR 13,315 15,264,714
# 3.625%, 07/02/24................................................. 915 963,210
JPMorgan Chase & Co.
2.750%, 02/01/23................................................. EUR 5,750 6,983,741
3.625%, 05/13/24................................................. 12,131 12,902,562
# 3.900%, 07/15/25................................................. 13,351 14,390,879
2.950%, 10/01/26................................................. 500 515,865
Juniper Networks, Inc.
# 4.500%, 03/15/24................................................. 4,224 4,562,195
# 3.750%, 08/15/29................................................. 4,000 4,064,518
Kellogg Co.
# 3.250%, 04/01/26................................................. 13,739 14,330,026
# 3.400%, 11/15/27................................................. 14,600 15,354,961
7.450%, 04/01/31................................................. 6,959 9,689,414
Keurig Dr Pepper, Inc.
2.000%, 01/15/20................................................. 88 87,973
3.400%, 11/15/25................................................. 5,885 6,161,306
KeyBank NA
2.500%, 12/15/19................................................. 153 153,083
3.300%, 06/01/25................................................. 750 795,262
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
KeyCorp
2.900%, 09/15/20................................................. 319 $ 321,632
5.100%, 03/24/21................................................. 101 105,154
Kimberly-Clark Corp.
# 2.400%, 06/01/23................................................. 1,920 1,960,155
Kohl's Corp.
4.750%, 12/15/23................................................. 1,417 1,521,751
Kraft Heinz Foods Co.
3.950%, 07/15/25................................................. 18,315 19,296,002
Kroger Co. (The)
3.850%, 08/01/23................................................. 3,341 3,529,615
7.500%, 04/01/31................................................. 16,177 22,500,319
L3Harris Technologies, Inc.
2.700%, 04/27/20................................................. 121 121,200
#(Omega) 3.950%, 05/28/24................................................. 2,469 2,633,451
Laboratory Corp. of America Holdings
4.000%, 11/01/23................................................. 3,840 4,077,270
# 3.600%, 09/01/27................................................. 2,500 2,656,477
Lam Research Corp.
3.800%, 03/15/25................................................. 4,094 4,389,136
4.000%, 03/15/29................................................. 3,000 3,320,034
Lear Corp.
# 3.800%, 09/15/27................................................. 5,000 5,063,893
Legg Mason, Inc.
# 3.950%, 07/15/24................................................. 4,736 5,029,610
4.750%, 03/15/26................................................. 9,317 10,236,928
Liberty Mutual Group, Inc.
(Omega) 4.569%, 02/01/29................................................. 6,665 7,531,721
Lincoln National Corp.
6.250%, 02/15/20................................................. 117 118,329
Lockheed Martin Corp.
2.900%, 03/01/25................................................. 4,480 4,680,050
3.550%, 01/15/26................................................. 4,800 5,187,222
Loews Corp.
# 2.625%, 05/15/23................................................. 3,761 3,833,828
3.750%, 04/01/26................................................. 10,670 11,511,982
Lowe's Cos., Inc.
# 3.120%, 04/15/22................................................. 292 298,886
3.375%, 09/15/25................................................. 5,183 5,492,335
LYB International Finance II BV
1.875%, 03/02/22................................................. EUR 4,900 5,666,298
3.500%, 03/02/27................................................. 4,166 4,340,780
LyondellBasell Industries NV
5.750%, 04/15/24................................................. 5,827 6,581,042
Magellan Midstream Partners L.P.
# 4.250%, 02/01/21................................................. 1,516 1,557,517
Manufacturers & Traders Trust Co.
2.100%, 02/06/20................................................. 243 243,087
2.900%, 02/06/25................................................. 8,028 8,300,693
121
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Marathon Petroleum Corp.
3.625%, 09/15/24................................................. 8,191 $ 8,644,482
Marriott International, Inc.
2.875%, 03/01/21................................................. 1,009 1,020,238
4.000%, 04/15/28................................................. 7,900 8,526,785
Marsh & McLennan Cos., Inc.
3.500%, 06/03/24................................................. 8,320 8,754,324
Mastercard, Inc.
1.100%, 12/01/22................................................. EUR 405 466,873
2.950%, 11/21/26................................................. 2,700 2,851,809
Maxim Integrated Products, Inc.
3.450%, 06/15/27................................................. 5,931 6,102,200
McDonald's Corp.
# 2.200%, 05/26/20................................................. 802 803,196
3.500%, 07/15/20................................................. 4,915 4,969,148
2.000%, 06/01/23................................................. EUR 3,100 3,716,404
0.625%, 01/29/24................................................. EUR 8,900 10,172,058
McKesson Corp.
3.796%, 03/15/24................................................. 4,348 4,563,676
4.750%, 05/30/29................................................. 7,500 8,414,887
Medtronic, Inc.
3.500%, 03/15/25................................................. 880 945,980
Merck & Co., Inc.
2.750%, 02/10/25................................................. 11,609 12,048,592
MetLife, Inc.
# 3.600%, 04/10/24................................................. 6,140 6,527,118
Microsoft Corp.
# 2.700%, 02/12/25................................................. 1,567 1,630,871
# 2.400%, 08/08/26................................................. 29,634 30,363,478
# 3.300%, 02/06/27................................................. 14,692 15,903,586
Molson Coors Brewing Co.
# 3.500%, 05/01/22................................................. 2,787 2,870,030
3.000%, 07/15/26................................................. 18,416 18,635,942
Morgan Stanley
5.500%, 07/28/21................................................. 865 915,498
3.875%, 04/29/24................................................. 11,982 12,776,491
3.875%, 01/27/26................................................. 18,683 20,166,377
# 3.625%, 01/20/27................................................. 18,926 20,187,628
Mosaic Co. (The)
4.250%, 11/15/23................................................. 3,965 4,223,558
# 4.050%, 11/15/27................................................. 6,000 6,343,183
Motorola Solutions, Inc.
# 3.750%, 05/15/22................................................. 1,799 1,869,653
3.500%, 03/01/23................................................. 3,200 3,314,965
4.600%, 05/23/29................................................. 4,700 5,169,659
MPLX L.P.
4.125%, 03/01/27................................................. 12,320 12,938,169
Mylan NV
3.950%, 06/15/26................................................. 18,167 18,860,994
Mylan, Inc.
# 4.200%, 11/29/23................................................. 4,480 4,692,751
Nasdaq, Inc.
4.250%, 06/01/24................................................. 2,816 3,043,955
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
National Oilwell Varco, Inc.
# 2.600%, 12/01/22................................................. 3,923 $ 3,954,489
National Rural Utilities Cooperative Finance Corp.
8.000%, 03/01/32................................................. 2,708 4,065,023
NetApp, Inc.
3.250%, 12/15/22................................................. 1,088 1,109,389
# 3.300%, 09/29/24................................................. 3,451 3,549,756
Newell Brands, Inc.
4.000%, 06/15/22................................................. 6,483 6,663,417
Newmont Goldcorp Corp.
3.625%, 06/09/21................................................. 3,975 4,066,617
NextEra Energy Capital Holdings, Inc.
4.500%, 06/01/21................................................. 828 855,177
3.550%, 05/01/27................................................. 25,641 27,316,012
NIKE, Inc.
# 2.375%, 11/01/26................................................. 28,083 28,774,622
NiSource, Inc.
3.850%, 02/15/23................................................. 2,335 2,433,693
Noble Energy, Inc.
3.900%, 11/15/24................................................. 1,556 1,639,634
# 3.850%, 01/15/28................................................. 12,760 13,254,768
Nordstrom, Inc.
4.750%, 05/01/20................................................. 1,337 1,352,580
4.000%, 10/15/21................................................. 960 983,623
# 4.000%, 03/15/27................................................. 27,954 29,088,264
Northrop Grumman Corp.
3.250%, 08/01/23................................................. 988 1,030,742
Nucor Corp.
# 3.950%, 05/01/28................................................. 10,245 11,207,584
Nuveen Finance LLC
(Omega) 4.125%, 11/01/24................................................. 2,748 2,984,229
NVIDIA Corp.
3.200%, 09/16/26................................................. 3,800 4,003,550
Occidental Petroleum Corp.
2.700%, 02/15/23................................................. 420 423,208
3.400%, 04/15/26................................................. 7,291 7,421,238
# 3.000%, 02/15/27................................................. 7,118 7,055,216
Ohio Power Co.
# 5.375%, 10/01/21................................................. 2,308 2,455,634
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.650%, 11/01/24................................................. 6,057 6,400,278
ONEOK, Inc.
4.000%, 07/13/27................................................. 6,623 6,987,149
Oracle Corp.
2.950%, 05/15/25................................................. 27,858 28,978,234
# 2.650%, 07/15/26................................................. 39,785 40,827,778
3.250%, 11/15/27................................................. 36,794 39,202,810
O'Reilly Automotive, Inc.
# 3.600%, 09/01/27................................................. 21,580 23,069,110
Packaging Corp. of America
4.500%, 11/01/23................................................. 3,888 4,170,016
122
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
Parker-Hannifin Corp.
3.300%, 11/21/24................................................. 6,093 $ 6,389,429
# 3.250%, 06/14/29................................................. 6,200 6,504,725
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
(Omega) 3.400%, 11/15/26................................................. 1,000 1,022,531
PepsiCo, Inc.
# 2.750%, 03/05/22................................................. 2,810 2,878,695
# 2.750%, 03/01/23................................................. 4,480 4,626,550
# 3.500%, 07/17/25................................................. 10,309 11,126,032
PerkinElmer, Inc.
# 3.300%, 09/15/29................................................. 3,700 3,711,820
Pfizer, Inc.
# 3.000%, 12/15/26................................................. 42,108 44,676,397
Philip Morris International, Inc.
# 3.250%, 11/10/24................................................. 7,098 7,444,095
Phillips 66
4.300%, 04/01/22................................................. 2,235 2,361,531
Phillips 66 Partners L.P.
3.550%, 10/01/26................................................. 23,603 24,657,338
3.750%, 03/01/28................................................. 3,265 3,428,702
PNC Bank NA
2.950%, 02/23/25................................................. 8,093 8,394,879
3.250%, 06/01/25................................................. 8,000 8,435,007
PNC Financial Services Group, Inc. (The)
4.375%, 08/11/20................................................. 267 272,121
# 3.300%, 03/08/22................................................. 795 819,306
PPG Industries, Inc.
# 3.750%, 03/15/28................................................. 13,512 14,742,785
2.800%, 08/15/29................................................. 2,603 2,615,557
PPL Capital Funding, Inc.
# 3.400%, 06/01/23................................................. 3,334 3,441,592
3.100%, 05/15/26................................................. 11,200 11,475,917
Precision Castparts Corp.
3.250%, 06/15/25................................................. 30,987 32,805,880
Principal Financial Group, Inc.
3.125%, 05/15/23................................................. 4,444 4,587,652
# 3.400%, 05/15/25................................................. 5,700 5,993,833
3.100%, 11/15/26................................................. 5,472 5,677,294
Procter & Gamble Co. (The)
# 2.450%, 11/03/26................................................. 1,077 1,109,971
# 2.850%, 08/11/27................................................. 12,850 13,689,253
Progress Energy, Inc.
# 4.875%, 12/01/19................................................. 547 548,169
4.400%, 01/15/21................................................. 1,225 1,252,749
7.750%, 03/01/31................................................. 2,500 3,574,817
Progressive Corp. (The)
3.750%, 08/23/21................................................. 4,352 4,500,880
Prudential Financial, Inc.
3.878%, 03/27/28................................................. 1,215 1,343,255
PSEG Power LLC
5.125%, 04/15/20................................................. 2,243 2,274,274
4.300%, 11/15/23................................................. 5,815 6,184,571
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
Puget Energy, Inc.
6.000%, 09/01/21................................................. 7,900 $ 8,430,334
QUALCOMM, Inc.
3.450%, 05/20/25................................................. 15,743 16,695,722
Quest Diagnostics, Inc.
3.500%, 03/30/25................................................. 384 404,560
Reinsurance Group of America, Inc.
5.000%, 06/01/21................................................. 960 1,002,235
4.700%, 09/15/23................................................. 3,840 4,181,506
3.950%, 09/15/26................................................. 16,189 17,113,997
Republic Services, Inc.
3.550%, 06/01/22................................................. 4,488 4,664,182
Rockwell Automation, Inc.
2.875%, 03/01/25................................................. 5,738 5,947,556
Roper Technologies, Inc.
# 3.000%, 12/15/20................................................. 1,285 1,298,512
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27................................................. 5,180 6,627,699
3.700%, 03/15/28................................................. 14,325 14,836,039
salesforce.com, Inc.
3.700%, 04/11/28................................................. 12,800 14,135,296
Sempra Energy
2.850%, 11/15/20................................................. 3,650 3,674,447
# 4.050%, 12/01/23................................................. 4,205 4,451,578
# 3.550%, 06/15/24................................................. 6,528 6,769,225
Sherwin-Williams Co. (The)
3.450%, 08/01/25................................................. 6,794 7,182,586
3.450%, 06/01/27................................................. 1,035 1,090,688
# 2.950%, 08/15/29................................................. 6,000 6,053,760
Southern Co. (The)
3.250%, 07/01/26................................................. 8,992 9,381,140
Southern Power Co.
# 4.150%, 12/01/25................................................. 5,433 5,943,851
Southwest Airlines Co.
2.650%, 11/05/20................................................. 5,140 5,177,935
3.000%, 11/15/26................................................. 9,166 9,398,914
Southwest Gas Corp.
3.700%, 04/01/28................................................. 2,900 3,128,552
Spirit AeroSystems, Inc.
# 4.600%, 06/15/28................................................. 4,200 4,532,075
Starbucks Corp.
# 3.850%, 10/01/23................................................. 1,231 1,309,571
State Street Corp.
# 3.300%, 12/16/24................................................. 13,947 14,746,570
# 3.550%, 08/18/25................................................. 8,254 8,909,040
Steelcase Inc.
5.125%, 01/18/29................................................. 3,000 3,397,373
Stryker Corp.
2.625%, 03/15/21................................................. 896 904,473
3.375%, 05/15/24................................................. 512 538,616
3.375%, 11/01/25................................................. 11,427 12,172,227
# 3.650%, 03/07/28................................................. 25,656 27,872,369
123
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
SunTrust Banks, Inc.
2.900%, 03/03/21................................................. 2,000 $ 2,022,577
Sysco Corp.
2.600%, 10/01/20................................................. 2,965 2,982,662
3.750%, 10/01/25................................................. 685 740,550
# 3.300%, 07/15/26................................................. 18,844 19,894,584
# 3.250%, 07/15/27................................................. 4,934 5,183,798
Tapestry, Inc.
4.250%, 04/01/25................................................. 16,805 17,667,390
Target Corp.
# 2.500%, 04/15/26................................................. 4,468 4,596,615
TCI Communications, Inc.
7.875%, 02/15/26................................................. 1,520 1,990,436
TD Ameritrade Holding Corp.
2.950%, 04/01/22................................................. 1,785 1,824,589
3.625%, 04/01/25................................................. 7,358 7,811,768
Texas Instruments, Inc.
# 2.900%, 11/03/27................................................. 3,500 3,672,825
TJX Cos., Inc. (The)
2.250%, 09/15/26................................................. 17,600 17,660,983
TWDC Enterprises 18 Corp.
# 3.150%, 09/17/25................................................. 9,588 10,211,085
Tyson Foods, Inc.
4.500%, 06/15/22................................................. 5,527 5,853,078
U.S. Bank NA
2.800%, 01/27/25................................................. 5,950 6,173,605
Union Pacific Corp.
2.750%, 04/15/23................................................. 640 654,263
3.250%, 01/15/25................................................. 9,515 9,970,393
3.950%, 09/10/28................................................. 22,950 25,538,534
United Parcel Service, Inc.
0.375%, 11/15/23................................................. EUR 850 960,589
# 3.050%, 11/15/27................................................. 2,127 2,237,397
United Technologies Corp.
3.100%, 06/01/22................................................. 158 162,780
7.500%, 09/15/29................................................. 615 869,361
UnitedHealth Group, Inc.
# 2.750%, 02/15/23................................................. 8,672 8,873,535
# 3.750%, 07/15/25................................................. 12,530 13,589,927
3.100%, 03/15/26................................................. 1,290 1,345,551
Unum Group
4.000%, 03/15/24................................................. 5,051 5,362,773
3.875%, 11/05/25................................................. 1,977 2,096,661
4.000%, 06/15/29................................................. 7,000 7,355,541
US Bancorp
2.350%, 01/29/21................................................. 806 811,186
Valero Energy Corp.
3.400%, 09/15/26................................................. 8,918 9,246,999
7.500%, 04/15/32................................................. 580 794,633
Verizon Communications, Inc.
3.376%, 02/15/25................................................. 2,414 2,562,292
2.625%, 08/15/26................................................. 2,026 2,069,630
4.125%, 03/16/27................................................. 3,000 3,342,935
4.329%, 09/21/28................................................. 2,500 2,845,107
FACE
AMOUNT^ VALUE+
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(000)
UNITED STATES -- (Continued)
4.016%, 12/03/29................................................. 17,153 $ 19,173,966
Viacom, Inc.
4.500%, 03/01/21................................................. 1,856 1,914,744
4.250%, 09/01/23................................................. 640 680,079
3.875%, 04/01/24................................................. 4,899 5,150,978
Visa, Inc.
3.150%, 12/14/25................................................. 14,555 15,562,316
VMware, Inc.
3.900%, 08/21/27................................................. 1,024 1,057,007
Walgreen Co.
3.100%, 09/15/22................................................. 3,807 3,928,036
Walgreens Boots Alliance, Inc.
3.300%, 11/18/21................................................. 7,828 8,002,267
3.450%, 06/01/26................................................. 4,465 4,621,647
Walt Disney Co. (The)
(Omega) 3.700%, 09/15/24................................................. 14,364 15,418,153
Waste Management, Inc.
# 4.600%, 03/01/21................................................. 1,831 1,885,584
3.500%, 05/15/24................................................. 4,942 5,221,494
3.125%, 03/01/25................................................. 3,460 3,624,983
WEC Energy Group, Inc.
2.450%, 06/15/20................................................. 1,658 1,661,835
3.550%, 06/15/25................................................. 6,271 6,700,254
Wells Fargo & Co.
# 2.600%, 07/22/20................................................. 297 298,321
# 3.500%, 03/08/22................................................. 8,768 9,053,627
3.000%, 02/19/25................................................. 16,264 16,726,790
3.000%, 04/22/26................................................. 11,473 11,774,476
3.000%, 10/23/26................................................. 1,490 1,533,052
WestRock MWV LLC
# 8.200%, 01/15/30................................................. 19,367 26,815,937
Whirlpool Corp.
4.700%, 06/01/22................................................. 1,920 2,039,916
3.700%, 05/01/25................................................. 15,463 16,320,899
Williams Cos., Inc. (The)
4.000%, 09/15/25................................................. 12,364 13,124,517
3.750%, 06/15/27................................................. 7,863 8,186,720
Wisconsin Electric Power Co.
3.100%, 06/01/25................................................. 3,200 3,342,132
WRKCo, Inc.
# 4.200%, 06/01/32................................................. 1,800 1,997,762
Zimmer Biomet Holdings, Inc.
3.550%, 04/01/25................................................. 5,634 5,959,875
Zoetis, Inc.
# 3.000%, 09/12/27................................................. 26,275 27,063,181
--------------
TOTAL UNITED STATES....................................................... 3,964,764,573
--------------
TOTAL BONDS............................................................... 5,479,236,493
--------------
AGENCY OBLIGATIONS -- (21.0%)
Federal Farm Credit Bank
4.670%, 05/07/20................................................. 1,658 1,684,123
5.350%, 08/07/20................................................. 1,984 2,040,711
3.650%, 12/21/20................................................. 13,026 13,303,706
124
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
5.250%, 03/02/21................................................. 1,806 $ 1,890,438
5.220%, 02/22/22................................................. 1,480 1,601,726
5.210%, 12/19/22................................................. 6,276 6,987,493
4.800%, 02/13/23................................................. 576 636,884
5.250%, 03/06/23................................................. 1,776 1,993,161
5.220%, 05/15/23................................................. 14,240 16,058,877
2.630%, 08/03/26................................................. 5,760 6,103,909
5.770%, 01/05/27................................................. 1,920 2,442,967
Federal Home Loan Bank
1.577%, 11/19/19................................................. 56,000 55,952,960
1.875%, 03/13/20................................................. 7,260 7,267,494
4.125%, 03/13/20................................................. 6,560 6,620,541
3.000%, 03/18/20................................................. 5,350 5,378,574
3.375%, 06/12/20................................................. 8,435 8,524,632
2.875%, 09/11/20................................................. 4,355 4,403,449
4.625%, 09/11/20................................................. 7,590 7,789,249
3.125%, 12/11/20................................................. 1,775 1,804,010
5.250%, 12/11/20................................................. 2,235 2,324,726
1.750%, 03/12/21................................................. 11,970 11,989,910
5.000%, 03/12/21................................................. 1,535 1,605,829
# 3.625%, 06/11/21................................................. 2,970 3,066,553
5.625%, 06/11/21................................................. 10,945 11,639,240
2.625%, 12/10/21................................................. 31,855 32,556,185
5.000%, 12/10/21................................................. 13,470 14,420,275
2.250%, 03/11/22................................................. 1,460 1,483,620
5.250%, 06/10/22................................................. 2,440 2,667,145
5.750%, 06/10/22................................................. 5,775 6,387,079
5.375%, 09/30/22................................................. 18,760 20,739,514
5.250%, 12/09/22................................................. 4,440 4,929,314
3.250%, 03/08/24................................................. 29,405 31,432,012
2.875%, 06/14/24................................................. 4,845 5,114,963
5.375%, 08/15/24................................................. 5,490 6,430,261
5.365%, 09/09/24................................................. 600 703,447
2.875%, 09/13/24................................................. 67,240 70,988,434
2.750%, 12/13/24................................................. 86,645 91,251,701
3.125%, 09/12/25................................................. 10,000 10,775,317
4.375%, 03/13/26................................................. 5,950 6,870,459
5.750%, 06/12/26................................................. 11,775 14,709,056
2.500%, 12/10/27................................................. 4,000 4,164,320
3.000%, 03/10/28................................................. 26,900 29,172,151
3.250%, 06/09/28................................................. 100,515 111,218,770
# 3.250%, 11/16/28................................................. 106,250 118,397,879
Federal Home Loan Mortgage Corp.
6.750%, 09/15/29................................................. 20,465 29,287,222
6.750%, 03/15/31................................................. 70,931 104,859,714
# 6.250%, 07/15/32................................................. 49,127 72,377,541
Federal National Mortgage Association
# 1.250%, 05/06/21................................................. 4,942 4,918,582
2.000%, 01/05/22................................................. 24,395 24,609,252
# 2.375%, 01/19/23................................................. 38,550 39,542,912
# 2.625%, 09/06/24................................................. 151,431 158,693,887
# 2.125%, 04/24/26................................................. 111,970 115,225,472
# 1.875%, 09/24/26................................................. 169,229 171,632,490
FACE
AMOUNT^ VALUE+
------- --------------
(000)
# 6.250%, 05/15/29................................................. 79,208 $ 109,405,497
7.125%, 01/15/30................................................. 29,779 44,005,533
7.250%, 05/15/30................................................. 58,101 87,258,488
6.625%, 11/15/30................................................. 110,212 160,979,875
Tennessee Valley Authority
3.875%, 02/15/21................................................. 31,374 32,248,071
1.875%, 08/15/22................................................. 37,801 38,049,327
# 2.875%, 09/15/24................................................. 68,801 72,528,716
6.750%, 11/01/25................................................. 25,327 32,360,170
2.875%, 02/01/27................................................. 31,804 33,776,643
# 7.125%, 05/01/30................................................. 60,683 88,971,138
--------------
TOTAL AGENCY OBLIGATIONS............................................. 2,188,253,594
--------------
U.S. TREASURY OBLIGATIONS -- (19.8%)
U.S. Treasury Bills
0.000%, 11/26/19................................................. 120,000 119,870,903
U.S. Treasury Bonds
7.500%, 11/15/24................................................. 24,371 31,385,844
6.875%, 08/15/25................................................. 47,904 61,949,990
6.000%, 02/15/26................................................. 44,152 55,798,183
6.750%, 08/15/26................................................. 38,863 51,725,875
6.625%, 02/15/27................................................. 44,651 60,025,675
6.125%, 11/15/27................................................. 29,407 39,347,142
5.250%, 11/15/28................................................. 10,442 13,576,769
5.250%, 02/15/29................................................. 85,685 112,019,749
6.125%, 08/15/29................................................. 35,585 49,840,820
6.250%, 05/15/30................................................. 35,710 51,348,757
5.375%, 02/15/31................................................. 95,000 130,524,805
U.S. Treasury Notes
2.125%, 07/31/24................................................. 10,000 10,268,750
2.125%, 05/15/25................................................. 68,730 70,751,217
2.875%, 05/31/25................................................. 25,000 26,738,281
2.000%, 08/15/25................................................. 60,000 61,403,906
2.250%, 11/15/25................................................. 98,895 102,661,509
1.625%, 02/15/26................................................. 90,499 90,665,451
1.625%, 05/15/26................................................. 103,533 103,711,148
1.500%, 08/15/26................................................. 103,787 103,098,088
1.625%, 09/30/26................................................. 20,000 20,024,219
2.250%, 02/15/27................................................. 60,000 62,653,125
2.375%, 05/15/27................................................. 61,200 64,525,360
2.250%, 11/15/27................................................. 79,018 82,685,243
2.750%, 02/15/28................................................. 51,300 55,684,547
2.875%, 05/15/28................................................. 45,000 49,361,133
2.875%, 08/15/28................................................. 63,000 69,211,406
3.125%, 11/15/28................................................. 77,000 86,351,289
2.625%, 02/15/29................................................. 100,000 108,109,375
2.375%, 05/15/29................................................. 88,000 93,310,937
125
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
1.625%, 08/15/29.................................... 30,000 $ 29,820,703
--------------
TOTAL U.S. TREASURY OBLIGATIONS........................ 2,068,450,199
--------------
TOTAL INVESTMENT SECURITIES (Cost $9,268,790,757) 9,735,940,286
--------------
SHARES VALUE+
---------- ---------------
SECURITIES LENDING COLLATERAL -- (6.7%)
@(S) The DFA Short Term Investment Fund..................... 59,944,133 $ 693,613,558
---------------
TOTAL INVESTMENTS -- (100.0%) (Cost $9,962,336,303)......... $10,429,553,844
===============
As of October 31, 2019, DFA Investment Grade Portfolio had entered into the
following forward currency contracts and the net unrealized forward currency
gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- ---------------------------- ---------- --------------
EUR................ 129,339,551 USD 143,596,650 State Street Bank and Trust 11/01/19 $ 655,710
-----------
TOTAL APPRECIATION $ 655,710
USD................ 142,442,423 EUR 129,339,551 UBS AG 11/01/19 $(1,809,936)
USD................ 79,178,163 EUR 72,235,296 National Australia Bank Ltd. 12/27/19 (1,689,767)
USD................ 79,517,832 EUR 72,531,854 Bank of America Corp. 12/30/19 (1,701,507)
USD................ 23,023,091 CAD 30,666,244 State Street Bank and Trust 01/03/20 (269,316)
USD................ 143,559,618 EUR 128,713,529 State Street Bank and Trust 01/03/20 (616,495)
USD................ 84,809,291 SEK 816,810,918 UBS AG 01/23/20 (179,921)
USD................ 43,846,155 GBP 34,113,528 State Street Bank and Trust 01/24/20 (462,061)
-----------
TOTAL (DEPRECIATION) $(6,729,003)
-----------
TOTAL APPRECIATION
(DEPRECIATION) $(6,073,293)
===========
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
------- ------------ ------- ------------
Bonds
Australia................................. -- $162,725,718 -- $162,725,718
Belgium................................... -- 45,051,028 -- 45,051,028
Canada.................................... -- 135,071,026 -- 135,071,026
Denmark................................... -- 45,422,837 -- 45,422,837
Finland................................... -- 1,144,822 -- 1,144,822
France.................................... -- 109,388,705 -- 109,388,705
Germany................................... -- 131,419,604 -- 131,419,604
Ireland................................... -- 1,639,814 -- 1,639,814
Italy..................................... -- 14,329,423 -- 14,329,423
Japan..................................... -- 175,081,194 -- 175,081,194
Netherlands............................... -- 131,699,914 -- 131,699,914
Norway.................................... -- 14,147,034 -- 14,147,034
126
DFA INVESTMENT GRADE PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
---------- --------------- ---------- ---------------
Spain............................................... -- $ 67,730,316 -- $ 67,730,316
Supranational Organization Obligations.............. -- 24,897,584 -- 24,897,584
Sweden.............................................. -- 101,432,637 -- 101,432,637
Switzerland......................................... -- 74,860,573 -- 74,860,573
United Kingdom...................................... -- 278,429,691 -- 278,429,691
United States....................................... -- 3,964,764,573 -- 3,964,764,573
Agency Obligations..................................... -- 2,188,253,594 -- 2,188,253,594
U.S. Treasury Obligations.............................. -- 2,068,450,199 -- 2,068,450,199
Securities Lending Collateral.......................... -- 693,613,558 -- 693,613,558
Forward Currency Contracts**........................... -- (6,073,293) -- (6,073,293)
---------- --------------- ---------- ---------------
TOTAL.................................................. -- $10,423,480,551 -- $10,423,480,551
========== =============== ========== ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
127
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT VALUE+
---------- --------------
(000)
----------
U.S. TREASURY OBLIGATIONS -- (19.7%)
Treasury Inflation Protected Security
0.125%, 04/15/20................................................... 34,407 $ 37,494,461
0.125%, 04/15/21................................................... 38,186 41,011,438
0.125%, 01/15/22................................................... 8,500 9,569,119
0.125%, 04/15/22................................................... 17,400 18,208,546
0.125%, 01/15/23................................................... 20,300 22,423,696
2.375%, 01/15/25................................................... 20,873 31,574,191
0.625%, 01/15/26................................................... 10,650 11,796,540
1.750%, 01/15/28................................................... 1,800 2,477,689
3.625%, 04/15/28................................................... 11,900 24,202,765
2.500%, 01/15/29................................................... 2,500 3,608,897
3.875%, 04/15/29................................................... 3,600 7,526,449
--------------
TOTAL U.S. TREASURY OBLIGATIONS....................................... 209,893,791
--------------
SHARES
----------
AFFILIATED INVESTMENT COMPANIES -- (79.3%)
Investment in DFA Intermediate Government Fixed Income Portfolio
of DFA Investment Dimensions Group Inc........................... 40,731,482 529,101,954
Investment in DFA Two-Year Global Fixed Income Portfolio of DFA
Investment Dimensions Group Inc.................................. 31,456,750 315,511,199
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES.................. 844,613,153
--------------
TOTAL INVESTMENT SECURITIES
(Cost $1,026,886,443)............................................... 1,054,506,944
--------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
State Street Institutional U.S. Government Money Market
Fund 1.752%........................................................ 10,216,360 10,216,360
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,037,102,803)............................................... $1,064,723,304
==============
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
------------ ------------ -------- --------------
U.S. Treasury Obligations................................... -- $209,893,791 -- $ 209,893,791
Affiliated Investment Companies............................. $844,613,153 -- -- 844,613,153
Temporary Cash Investments.................................. 10,216,360 -- -- 10,216,360
------------ ------------ -------- --------------
TOTAL....................................................... $854,829,513 $209,893,791 -- $1,064,723,304
============ ============ ======== ==============
See accompanying Notes to Financial Statements.
128
DFA LTIP PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^(+/-) VALUE+
------------ ------------
(000)
------------
U.S. TREASURY OBLIGATIONS -- (100.0%)
Treasury Inflation Protected Security
1.000%, 02/15/46....................................................................... 17,555 $ 20,990,114
0.875%, 02/15/47....................................................................... 56,315 64,384,709
1.000%, 02/15/48....................................................................... 55,760 64,450,365
1.000%, 02/15/49....................................................................... 56,350 64,212,558
------------
TOTAL U.S. TREASURY OBLIGATIONS........................................................... 214,037,746
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $192,914,637)..................................................................... $214,037,746
============
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
- ------- ------------ ------- ------------
U.S. Treasury Obligations......................... -- $214,037,746 -- $214,037,746
------ ------------ ------ ------------
TOTAL............................................. -- $214,037,746 -- $214,037,746
====== ============ ====== ============
See accompanying Notes to Financial Statements.
129
DFA INFLATION-PROTECTED SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT(+/-) VALUE+
----------- --------------
(000)
-----------
U.S. TREASURY OBLIGATIONS -- (99.4%)
Treasury Inflation Protected Security
0.625%, 01/15/26............................................................................ 435,000 $ 481,830,639
2.000%, 01/15/26............................................................................ 147,800 211,839,280
0.125%, 07/15/26............................................................................ 396,950 424,391,706
0.375%, 01/15/27............................................................................ 490,000 526,712,525
2.375%, 01/15/27............................................................................ 167,500 245,954,131
0.375%, 07/15/27............................................................................ 445,500 475,121,977
0.500%, 01/15/28............................................................................ 71,100 75,756,569
1.750%, 01/15/28............................................................................ 206,700 284,521,320
3.625%, 04/15/28............................................................................ 152,500 310,161,488
0.750%, 07/15/28............................................................................ 83,000 89,169,833
0.875%, 01/15/29............................................................................ 442,000 476,999,947
2.500%, 01/15/29............................................................................ 282,500 407,805,408
3.875%, 04/15/29............................................................................ 185,745 388,333,404
3.375%, 04/15/32............................................................................ 232,000 462,161,828
--------------
TOTAL U.S. TREASURY OBLIGATIONS................................................................ 4,860,760,055
--------------
SHARES
-----------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund 1.752%......................... 27,470,660 27,470,660
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,741,191,387)........................................................................ $4,888,230,715
==============
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
----------- -------------- ------- --------------
U.S. Treasury Obligations......................... -- $4,860,760,055 -- $4,860,760,055
Temporary Cash Investments........................ $27,470,660 -- -- 27,470,660
----------- -------------- ------ --------------
TOTAL............................................. $27,470,660 $4,860,760,055 -- $4,888,230,715
=========== ============== ====== ==============
See accompanying Notes to Financial Statements.
130
DFA SHORT-DURATION REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
BONDS -- (83.9%)
AUSTRALIA -- (3.2%)
ANZ New Zealand International, Ltd.
0.400%, 03/01/22................................................................ EUR 200 $ 225,558
ASB Finance, Ltd.
0.500%, 06/10/22................................................................ EUR 3,800 4,304,169
Australia & New Zealand Banking Group Ltd.
(r) 2.584%, 05/17/21................................................................ 2,000 2,007,595
Australia & New Zealand Banking Group, Ltd.
2.550%, 11/23/21................................................................ 2,700 2,736,770
(r)(Omega) 3.018%, 11/23/21................................................................ 4,000 4,046,242
# 2.625%, 05/19/22................................................................ 250 254,716
Commonwealth Bank of Australia
(Omega) 2.750%, 03/10/22................................................................ 4,974 5,062,965
# 2.750%, 03/10/22................................................................ 200 203,577
0.500%, 07/11/22................................................................ EUR 2,500 2,835,187
National Australia Bank, Ltd.
2.800%, 01/10/22................................................................ 8,000 8,152,100
0.875%, 01/20/22................................................................ EUR 1,700 1,938,537
# 2.500%, 05/22/22................................................................ 1,635 1,658,361
0.350%, 09/07/22................................................................ EUR 1,600 1,808,463
Westpac Banking Corp.
# 2.100%, 05/13/21................................................................ 461 462,667
2.800%, 01/11/22................................................................ 11,749 11,974,280
0.250%, 01/17/22................................................................ EUR 450 505,945
-----------
TOTAL AUSTRALIA............................................................................. 48,177,132
-----------
BELGIUM -- (1.1%)
Anheuser-Busch InBev SA
0.800%, 04/20/23................................................................ EUR 1,700 1,950,789
Dexia Credit Local SA
0.250%, 06/02/22................................................................ EUR 350 396,085
0.750%, 01/25/23................................................................ EUR 7,750 8,939,252
0.250%, 06/01/23................................................................ EUR 5,400 6,137,169
-----------
TOTAL BELGIUM............................................................................... 17,423,295
-----------
CANADA -- (7.6%)
Bank of Montreal
3.100%, 07/13/20................................................................ 5,000 5,043,171
(r) 2.922%, 08/27/21................................................................ 800 808,720
Bank of Nova Scotia (The)
2.350%, 10/21/20................................................................ 8,005 8,043,364
Canadian Natural Resources, Ltd.
2.950%, 01/15/23................................................................ 4,500 4,591,870
Enbridge, Inc.
2.900%, 07/15/22................................................................ 6,010 6,140,417
FACE
AMOUNT^ VALUE+
------- ------------
(000)
CANADA -- (Continued)
Husky Energy, Inc.
# 3.950%, 04/15/22................................................. 1,250 $ 1,293,490
Province of Alberta Canada
1.900%, 12/06/19................................................. 5,000 4,998,900
Rogers Communications, Inc.
4.100%, 10/01/23................................................. 3,000 3,199,560
Royal Bank of Canada
2.125%, 03/02/20................................................. 3,965 3,968,000
2.350%, 10/30/20................................................. 11,000 11,058,829
(r) 2.326%, 04/30/21................................................. 11,812 11,854,086
1.583%, 09/13/21................................................. CAD 6,000 4,519,201
1.968%, 03/02/22................................................. CAD 2,300 1,741,790
2.000%, 03/21/22................................................. CAD 11,000 8,336,064
Toronto-Dominion Bank (The)
# 3.150%, 09/17/20................................................. 2,000 2,022,247
2.500%, 12/14/20................................................. 16,681 16,803,706
1.994%, 03/23/22................................................. CAD 16,300 12,350,675
3.005%, 05/30/23................................................. CAD 5,000 3,915,155
0.625%, 07/20/23................................................. EUR 4,800 5,492,628
------------
TOTAL CANADA............................................................... 116,181,873
------------
DENMARK -- (0.2%)
Danske Bank A.S.
(Omega) 2.750%, 09/17/20................................................. 3,000 3,018,098
------------
FINLAND -- (0.8%)
Nordea Bank Abp
#(Omega) 2.500%, 09/17/20................................................. 4,000 4,023,425
(Omega) 2.250%, 05/27/21................................................. 3,800 3,820,772
0.300%, 06/30/22................................................. EUR 1,000 1,127,912
OP Corporate Bank P.L.C.
0.375%, 08/29/23................................................. EUR 3,000 3,399,132
------------
TOTAL FINLAND.............................................................. 12,371,241
------------
FRANCE -- (2.9%)
Agence Francaise de Developpement EPIC
1.625%, 01/21/20................................................. 872 871,334
0.500%, 10/25/22................................................. EUR 500 571,368
Airgas, Inc.
2.375%, 02/15/20................................................. 4,000 4,002,409
BNP Paribas SA
2.375%, 05/21/20................................................. 500 501,316
(Omega) 2.950%, 05/23/22................................................. 2,500 2,548,482
BPCE SA
2.650%, 02/03/21................................................. 1,300 1,309,214
Caisse d'Amortissement de la Dette Sociale
0.500%, 05/25/23................................................. EUR 4,500 5,186,378
131
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
FRANCE -- (Continued)
Credit Agricole SA
(Omega) 3.375%, 01/10/22................................................. 2,000 $ 2,049,963
Electricite de France SA
#(Omega) 2.350%, 10/13/20................................................. 1,000 1,003,492
Pernod Ricard SA
(Omega) 5.750%, 04/07/21................................................. 5,000 5,263,045
Sanofi
0.500%, 03/21/23................................................. EUR 5,900 6,721,283
2.500%, 11/14/23................................................. EUR 3,500 4,295,824
Societe Generale S.A.
(Omega) 4.250%, 09/14/23................................................. 5,000 5,310,692
Societe Generale SA
(Omega) 3.250%, 01/12/22................................................. 2,000 2,041,181
Total Capital International SA
0.250%, 07/12/23................................................. EUR 1,500 1,695,651
-----------
TOTAL FRANCE................................................................. 43,371,632
-----------
GERMANY -- (5.5%)
BMW Finance NV
0.625%, 10/06/23................................................. EUR 2,200 2,501,260
BMW US Capital LLC
(r)(Omega) 2.676%, 08/13/21................................................. 5,463 5,473,281
(Omega) 3.450%, 04/12/23................................................. 2,000 2,082,558
Daimler Finance North America LLC
(Omega) 2.700%, 08/03/20................................................. 3,085 3,100,459
(Omega) 2.850%, 01/06/22................................................. 3,000 3,038,507
Daimler Finance North America, LLC
(r)(Omega) 2.600%, 02/22/21................................................. 2,125 2,125,425
Deutsche Bank AG
# 2.950%, 08/20/20................................................. 1,900 1,903,789
Erste Abwicklungsanstalt Floating Rate Note
(r) 2.312%, 03/09/20................................................. 1,000 1,000,790
FMS Wertmanagement
1.375%, 06/08/21................................................. 4,000 3,980,765
Kreditanstalt fuer Wiederaufbau
1.875%, 06/30/20................................................. 4,000 4,002,110
# 2.750%, 09/08/20................................................. 2,000 2,016,838
0.000%, 12/15/22................................................. EUR 12,500 14,154,324
0.125%, 06/07/23................................................. EUR 3,400 3,872,751
0.000%, 09/15/23................................................. EUR 2,000 2,269,242
Landwirtschaftliche Rentenbank Floating Rate Note
(r) 2.388%, 06/03/21................................................. 4,806 4,821,648
Landwirtschaftliche Rentenbank
0.050%, 06/12/23................................................. EUR 7,500 8,516,250
NRW Bank
0.000%, 08/10/22................................................. EUR 3,500 3,949,345
FACE
AMOUNT^ VALUE+
------- -----------
(000)
GERMANY -- (Continued)
0.125%, 07/07/23................................................. EUR 2,400 $ 2,726,121
NRW. Bank Floating Rate Note
(r) 2.187%, 03/05/21................................................. 1,000 1,000,020
State of North Rhine- Westphalia Germany
0.200%, 04/17/23................................................. EUR 1,000 1,137,940
Volkswagen Group of America Finance LLC
(Omega) 2.400%, 05/22/20................................................. 4,000 4,006,479
(r)(Omega) 2.946%, 11/13/20................................................. 2,890 2,902,439
(Omega) 4.000%, 11/12/21................................................. 3,000 3,109,222
-----------
TOTAL GERMANY................................................................ 83,691,563
-----------
ITALY -- (0.2%)
Enel Finance International NV
(Omega) 2.875%, 05/25/22................................................. 2,500 2,532,538
-----------
JAPAN -- (5.7%)
American Honda Finance Corp.
# 2.450%, 09/24/20................................................. 3,000 3,015,495
(r) 2.391%, 02/12/21................................................. 3,000 2,999,291
#(r) 2.637%, 11/05/21................................................. 1,000 1,001,960
0.550%, 03/17/23................................................. EUR 3,000 3,406,513
Daiwa Securities Group, Inc.
(Omega) 3.129%, 04/19/22................................................. 1,770 1,804,438
Mitsubishi UFJ Financial Group, Inc.
2.950%, 03/01/21................................................. 5,000 5,058,671
2.190%, 09/13/21................................................. 2,000 2,003,570
Mizuho Bank, Ltd.
(Omega) 2.700%, 10/20/20................................................. 2,000 2,015,982
Mizuho Financial Group, Inc.
(r) 3.267%, 09/13/21................................................. 1,786 1,808,396
2.953%, 02/28/22................................................. 5,000 5,085,701
MUFG Bank, Ltd.
(Omega) 2.300%, 03/05/20................................................. 3,900 3,903,817
Nissan Motor Acceptance Corp.
(Omega) 2.125%, 03/03/20................................................. 2,250 2,250,018
(r)(Omega) 2.789%, 09/21/21................................................. 730 730,684
Nissan Motor Acceptance Corp. Floating Rate Note
(r)(Omega) 2.639%, 03/15/21................................................. 200 200,073
Shire Acquisitions Investments Ireland DAC
2.875%, 09/23/23................................................. 5,000 5,103,808
Sumitomo Mitsui Banking Corp.
2.450%, 01/16/20................................................. 2,000 2,002,319
132
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
JAPAN -- (Continued)
Sumitomo Mitsui Financial Group, Inc.
2.934%, 03/09/21................................................. 5,000 $ 5,055,741
(r) 3.782%, 03/09/21................................................. 1,000 1,018,369
2.058%, 07/14/21................................................. 400 400,165
Total Capital Canada, Ltd.
1.125%, 03/18/22................................................. EUR 5,000 5,751,656
Toyota Credit Canada, Inc.
2.020%, 02/28/22................................................. CAD 8,500 6,430,210
2.350%, 07/18/22................................................. CAD 3,000 2,285,908
2.700%, 01/25/23................................................. CAD 4,000 3,081,194
Toyota Motor Credit Corp. Floating Rate Note
(r) 2.567%, 01/08/21................................................. 1,652 1,659,482
# 1.900%, 04/08/21................................................. 10,500 10,523,780
1.000%, 09/10/21................................................. EUR 1,800 2,048,855
2.600%, 01/11/22................................................. 3,000 3,051,598
3.300%, 01/12/22................................................. 1,561 1,610,602
Toyota Motor Finance Netherlands BV
0.625%, 09/26/23................................................. EUR 1,500 1,715,995
-----------
TOTAL JAPAN............................................................... 87,024,291
-----------
NETHERLANDS -- (4.3%)
BNG Bank NV
(Omega) 2.375%, 02/01/22................................................. 19,932 20,225,997
2.375%, 02/01/22................................................. 6,000 6,088,500
0.050%, 07/11/23................................................. EUR 9,000 10,208,539
Cooperatieve Rabobank UA
4.500%, 01/11/21................................................. 3,000 3,092,373
2.750%, 01/10/22................................................. 5,000 5,079,803
4.000%, 01/11/22................................................. EUR 2,950 3,589,352
ING Bank NV
(Omega) 2.750%, 03/22/21................................................. 3,000 3,033,639
Shell International Finance BV
2.125%, 05/11/20................................................. 2,200 2,203,743
1.875%, 05/10/21................................................. 1,900 1,901,860
1.750%, 09/12/21................................................. 8,500 8,504,091
1.000%, 04/06/22................................................. EUR 2,000 2,295,934
-----------
TOTAL NETHERLANDS......................................................... 66,223,831
-----------
SPAIN -- (1.2%)
Banco Santander SA
3.848%, 04/12/23................................................. 2,000 2,090,517
Santander Holdings USA, Inc.
2.650%, 04/17/20................................................. 2,000 2,005,355
3.700%, 03/28/22................................................. 780 801,536
3.400%, 01/18/23................................................. 2,150 2,210,785
Santander UK Group Holdings P.L.C.
2.875%, 08/05/21................................................. 750 756,477
Santander UK P.L.C.
2.375%, 03/16/20................................................. 4,600 4,605,733
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SPAIN -- (Continued)
Telefonica Emisiones SA
5.462%, 02/16/21................................................................ 1,000 $ 1,043,296
Telefonica Emisiones SAU
5.134%, 04/27/20................................................................ 4,250 4,312,340
-----------
TOTAL SPAIN................................................................................. 17,826,039
-----------
SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.8%)
Council Of Europe Development Bank
0.125%, 05/25/23................................................................ EUR 8,500 9,671,734
European Financial Stability Facility
0.000%, 11/17/22................................................................ EUR 9,842 11,119,039
0.125%, 10/17/23................................................................ EUR 1,000 1,138,431
European Investment Bank
0.000%, 10/16/23................................................................ EUR 2,000 2,269,483
European Stability Mechanism
0.000%, 10/18/22................................................................ EUR 13,950 15,757,516
0.100%, 07/31/23................................................................ EUR 14,500 16,476,846
International Bank for Reconstruction & Development
1.625%, 03/09/21................................................................ 1,765 1,764,323
-----------
TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS................................................ 58,197,372
-----------
SWEDEN -- (4.1%)
Kommuninvest I Sverige AB
0.250%, 06/01/22................................................................ SEK 185,000 19,236,376
0.750%, 02/22/23................................................................ SEK 170,000 17,944,965
1.000%, 11/13/23................................................................ SEK 20,000 2,140,198
Skandinaviska Enskilda Banken AB
(r)(Omega) 2.554%, 05/17/21................................................................ 4,823 4,836,312
Svensk Exportkredit AB
(r) 2.247%, 12/13/21................................................................ 7,000 7,009,783
Svenska Handelsbanken AB
1.875%, 09/07/21................................................................ 447 446,866
0.250%, 02/28/22................................................................ EUR 1,900 2,137,361
Swedbank AB
0.300%, 09/06/22................................................................ EUR 3,000 3,371,763
0.250%, 11/07/22................................................................ EUR 4,400 4,937,881
0.400%, 08/29/23................................................................ EUR 250 282,144
-----------
TOTAL SWEDEN................................................................................ 62,343,649
-----------
SWITZERLAND -- (0.7%)
Credit Suisse AG
# 3.000%, 10/29/21................................................................ 480 489,354
Novartis Finance SA
0.500%, 08/14/23................................................................ EUR 3,000 3,421,450
0.125%, 09/20/23................................................................ EUR 3,000 3,381,374
133
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SWITZERLAND -- (Continued)
UBS Group Funding Switzerland AG Floating Rate Note
(r) 3.766%, 04/14/21................................................. 2,850 $ 2,905,576
-----------
TOTAL SWITZERLAND......................................................... 10,197,754
-----------
UNITED KINGDOM -- (3.5%)
AstraZeneca P.L.C.
2.375%, 11/16/20................................................. 5,071 5,093,983
Barclays P.L.C.
2.750%, 11/08/19................................................. 2,000 2,000,113
3.250%, 01/12/21................................................. 3,500 3,537,982
Barclays PLC
3.200%, 08/10/21................................................. 5,500 5,578,510
BAT International Finance P.L.C.
(Omega) 3.250%, 06/07/22................................................. 7,900 8,070,982
BP Capital Markets America, Inc.
4.500%, 10/01/20................................................. 3,750 3,838,124
BP Capital Markets P.L.C.
1.117%, 01/25/24................................................. EUR 3,000 3,485,142
BP Capital Markets plc
(r) 2.989%, 09/16/21................................................. 137 138,617
HSBC Holdings P.L.C.
4.000%, 03/30/22................................................. 700 732,869
3.600%, 05/25/23................................................. 775 809,577
HSBC USA, Inc.
2.375%, 11/13/19................................................. 3,281 3,281,301
2.750%, 08/07/20................................................. 4,000 4,030,387
Lloyds Banking Group P.L.C.
3.100%, 07/06/21................................................. 1,156 1,175,185
3.000%, 01/11/22................................................. 2,500 2,541,188
Mead Johnson Nutrition Co.
3.000%, 11/15/20................................................. 700 707,416
Praxair, Inc.
1.200%, 02/12/24................................................. EUR 6,625 7,768,796
Unilever Capital Corp.
# 4.250%, 02/10/21................................................. 1,200 1,236,897
-----------
TOTAL UNITED KINGDOM...................................................... 54,027,069
-----------
UNITED STATES -- (39.1%)
AbbVie, Inc.
2.500%, 05/14/20................................................. 6,000 6,017,440
2.900%, 11/06/22................................................. 1,000 1,019,425
Aetna, Inc.
2.750%, 11/15/22................................................. 825 836,885
Agilent Technologies, Inc.
# 3.200%, 10/01/22................................................. 2,000 2,045,385
Allergan Finance LLC
3.250%, 10/01/22................................................. 2,300 2,353,356
Allergan Funding SCS
3.450%, 03/15/22................................................. 7,800 7,994,766
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Altria Group, Inc.
4.750%, 05/05/21..................................................................... 500 $ 519,461
American Express Co.
2.500%, 08/01/22..................................................................... 7,383 7,485,746
American Express Credit Corp.
2.375%, 05/26/20..................................................................... 800 801,927
American International Group, Inc.
3.375%, 08/15/20..................................................................... 3,000 3,033,548
6.400%, 12/15/20..................................................................... 2,475 2,595,341
3.300%, 03/01/21..................................................................... 500 508,151
# 4.875%, 06/01/22..................................................................... 1,400 1,501,235
Ameriprise Financial, Inc.
5.300%, 03/15/20..................................................................... 1,000 1,011,680
Anthem, Inc.
# 3.125%, 05/15/22..................................................................... 1,907 1,957,717
3.300%, 01/15/23..................................................................... 825 856,751
Aon Corp.
5.000%, 09/30/20..................................................................... 2,710 2,783,256
Apache Corp.
3.250%, 04/15/22..................................................................... 257 261,570
Apple, Inc.
#(r) 3.278%, 02/23/21..................................................................... 496 502,564
# 2.500%, 02/09/22..................................................................... 1,628 1,654,267
# 2.300%, 05/11/22..................................................................... 7,500 7,600,577
# 2.100%, 09/12/22..................................................................... 5,000 5,047,022
1.000%, 11/10/22..................................................................... EUR 2,700 3,121,457
Ares Capital Corp.
4.200%, 06/10/24..................................................................... 3,000 3,110,960
Assurant, Inc.
4.000%, 03/15/23..................................................................... 3,000 3,123,469
AT&T, Inc.
2.450%, 06/30/20..................................................................... 1,331 1,334,999
4.600%, 02/15/21..................................................................... 1,000 1,027,315
(r) 2.951%, 07/15/21..................................................................... 5,000 5,051,000
4.000%, 01/15/22..................................................................... 1,500 1,565,816
3.000%, 06/30/22..................................................................... 620 633,839
Autodesk, Inc.
3.600%, 12/15/22..................................................................... 1,000 1,034,878
AutoZone, Inc.
3.700%, 04/15/22..................................................................... 750 777,637
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc.
2.773%, 12/15/22..................................................................... 3,000 3,049,440
Baltimore Gas & Electric Co.
3.350%, 07/01/23..................................................................... 610 636,764
Bank of America Corp.
2.625%, 10/19/20..................................................................... 2,500 2,516,710
3.300%, 01/11/23..................................................................... 500 518,248
Bank of New York Mellon Corp. (The)
4.600%, 01/15/20..................................................................... 680 683,584
134
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
# 2.150%, 02/24/20................................................. 1,200 $ 1,200,830
# 3.500%, 04/28/23................................................. 2,000 2,101,000
BB&T Corp.
# 2.050%, 05/10/21................................................. 731 732,417
2.750%, 04/01/22................................................. 1,090 1,108,127
Berkshire Hathaway, Inc.
0.750%, 03/16/23................................................. EUR 600 684,098
Biogen, Inc.
2.900%, 09/15/20................................................. 1,500 1,511,866
# 3.625%, 09/15/22................................................. 4,500 4,702,956
Booking Holdings, Inc.
2.750%, 03/15/23................................................. 4,500 4,611,916
Broadcom Corp. / Broadcom Cayman Finance Ltd.
2.375%, 01/15/20................................................. 645 645,445
3.000%, 01/15/22................................................. 5,000 5,066,159
Bunge, Ltd. Finance Corp.
# 3.000%, 09/25/22................................................. 2,600 2,638,366
Campbell Soup Co.
2.500%, 08/02/22................................................. 1,000 1,007,318
# 3.650%, 03/15/23................................................. 11,000 11,468,421
Capital One Financial Corp.
# 3.200%, 01/30/23................................................. 6,000 6,164,413
Cardinal Health, Inc.
4.625%, 12/15/20................................................. 1,700 1,746,456
Caterpillar Financial Services Corp.
(r) 2.338%, 05/15/20................................................. 3,000 3,002,211
(r) 2.349%, 03/15/21................................................. 4,000 4,003,375
1.700%, 08/09/21................................................. 1,000 997,204
(r) 2.382%, 09/07/21................................................. 1,319 1,319,383
# 2.625%, 03/01/23................................................. 500 511,290
CBS Corp.
# 2.500%, 02/15/23................................................. 3,000 3,021,406
Celgene Corp.
2.750%, 02/15/23................................................. 5,500 5,602,201
Chevron Corp.
# 2.419%, 11/17/20................................................. 800 805,100
2.498%, 03/03/22................................................. 4,680 4,753,374
Chubb INA Holdings, Inc.
2.300%, 11/03/20................................................. 425 426,312
Church & Dwight Co., Inc.
2.875%, 10/01/22................................................. 1,000 1,020,188
Cigna Corp.
(Omega) 3.900%, 02/15/22................................................. 1,866 1,935,398
Cisco Systems, Inc.
1.850%, 09/20/21................................................. 9,700 9,715,309
Citigroup, Inc.
# 2.400%, 02/18/20................................................. 3,000 3,003,354
3.875%, 10/25/23................................................. 530 562,610
Citizens Bank N.A.
3.700%, 03/29/23................................................. 8,178 8,587,055
CMS Energy Corp.
5.050%, 03/15/22................................................. 2,549 2,703,440
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
CNA Financial Corp.
5.750%, 08/15/21................................................. 880 $ 935,944
Comcast Corp.
#(r) 2.539%, 10/01/21................................................. 5,765 5,795,727
Conagra Brands, Inc.
3.200%, 01/25/23 2,075 2,144,775
Constellation Brands, Inc.
2.700%, 05/09/22................................................. 7,000 7,087,945
3.200%, 02/15/23................................................. 1,706 1,759,861
Cox Communications, Inc.
(Omega) 3.250%, 12/15/22................................................. 975 1,006,372
CVS Health Corp.
2.125%, 06/01/21................................................. 500 500,989
# 3.500%, 07/20/22................................................. 2,500 2,587,171
2.750%, 12/01/22................................................. 2,500 2,543,080
Discovery Communications LLC
3.250%, 04/01/23................................................. 1,489 1,532,396
Dollar General Corp.
3.250%, 04/15/23................................................. 2,320 2,405,976
Dollar Tree, Inc.
3.700%, 05/15/23................................................. 8,393 8,767,728
Dominion Energy Gas Holdings LLC
(r) 2.719%, 06/15/21................................................. 4,500 4,521,824
Dow Chemical Co. (The)
3.000%, 11/15/22................................................. 2,000 2,047,714
DTE Energy Co.
2.400%, 12/01/19................................................. 4,000 4,001,270
3.300%, 06/15/22................................................. 503 516,932
Duke Energy Corp.
# 2.400%, 08/15/22................................................. 1,357 1,370,392
E*TRADE Financial Corp.
2.950%, 08/24/22................................................. 8,280 8,435,855
eBay, Inc.
2.750%, 01/30/23................................................. 417 423,311
Edison International
# 2.950%, 03/15/23................................................. 5,500 5,430,376
Electronic Arts, Inc.
3.700%, 03/01/21................................................. 2,000 2,040,774
Energy Transfer Operating L.P.
4.650%, 06/01/21................................................. 1,180 1,215,740
Energy Transfer Operating, LP
7.500%, 10/15/20................................................. 1,500 1,573,870
Enterprise Products Operating LLC
3.350%, 03/15/23................................................. 2,000 2,071,629
EQT Corp.
# 4.875%, 11/15/21................................................. 3,000 3,061,957
Equifax, Inc.
3.950%, 06/15/23................................................. 5,000 5,268,628
Exelon Generation Co. LLC
2.950%, 01/15/20................................................. 2,600 2,601,556
135
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
4.000%, 10/01/20................................................. 600 $ 607,907
Exxon Mobil Corp.
# 1.912%, 03/06/20................................................. 2,400 2,400,296
# 2.397%, 03/06/22................................................. 11,161 11,332,727
Fidelity National Information Services, Inc.
# 2.250%, 08/15/21................................................. 5,000 5,017,218
Fifth Third Bancorp
3.500%, 03/15/22................................................. 2,000 2,065,264
Flex, Ltd.
5.000%, 02/15/23................................................. 8,000 8,549,358
GE Capital European Funding Un, Ltd. Co.
0.800%, 01/21/22................................................. EUR 2,400 2,702,380
GE Capital International Funding Co., Unlimited Co.
2.342%, 11/15/20................................................. 3,046 3,044,063
General Mills, Inc.
# 3.150%, 12/15/21................................................. 500 511,133
# 2.600%, 10/12/22................................................. 4,385 4,457,743
General Motors Financial Co., Inc.
3.200%, 07/06/21................................................. 7,200 7,287,222
Georgia Power Co.
4.250%, 12/01/19................................................. 215 215,331
Gilead Sciences, Inc.
2.550%, 09/01/20................................................. 1,000 1,005,483
Global Payments, Inc.
3.750%, 06/01/23................................................. 4,480 4,682,161
Goldman Sachs Group, Inc. (The)
5.750%, 01/24/22................................................. 5,500 5,927,198
Harley-Davidson Financial Services, Inc.
#(Omega) 2.850%, 01/15/21................................................. 500 502,018
(Omega) 3.550%, 05/21/21................................................. 1,000 1,014,547
#(Omega) 2.550%, 06/09/22................................................. 2,924 2,925,074
Hewlett Packard Enterprise Co.
3.600%, 10/15/20................................................. 3,800 3,850,972
#(r) 2.807%, 03/12/21................................................. 500 501,908
Huntington National Bank (The)
2.400%, 04/01/20................................................. 2,600 2,604,141
IBM Credit LLC
(r) 2.226%, 01/20/21................................................. 7,200 7,213,392
(r) 2.447%, 02/05/21................................................. 1,000 1,000,380
Intercontinental Exchange, Inc.
2.750%, 12/01/20................................................. 268 270,262
International Business Machines Corp.
# 1.625%, 05/15/20................................................. 1,390 1,388,699
FACE
AMOUNT^ VALUE+
------- -----------
(000)
UNITED STATES -- (Continued)
0.375%, 01/31/23................................................. EUR 1,000 $ 1,130,374
JM Smucker Co. (The)
2.500%, 03/15/20................................................. 3,320 3,324,943
John Deere Capital Corp.
# 2.050%, 03/10/20................................................. 1,625 1,625,797
Johnson & Johnson
# 2.250%, 03/03/22................................................. 1,500 1,520,955
JPMorgan Chase & Co.
3.250%, 09/23/22................................................. 1,300 1,345,212
Kellogg Co.
4.000%, 12/15/20................................................. 162 165,305
KeyCorp
2.900%, 09/15/20................................................. 2,000 2,016,500
Kohl's Corp.
3.250%, 02/01/23................................................. 2,000 2,027,298
Kroger Co. (The)
3.400%, 04/15/22................................................. 1,000 1,035,499
# 2.800%, 08/01/22................................................. 500 509,638
L3Harris Technologies, Inc.
2.700%, 04/27/20................................................. 4,500 4,507,453
(Omega) 4.950%, 02/15/21................................................. 701 720,680
Laboratory Corp. of America Holdings
3.200%, 02/01/22................................................. 1,500 1,535,425
4.000%, 11/01/23................................................. 5,000 5,308,945
Lam Research Corp.
2.750%, 03/15/20................................................. 2,800 2,805,514
Liberty Mutual Group, Inc.
(Omega) 5.000%, 06/01/21................................................. 2,900 3,007,644
LyondellBasell Industries NV
6.000%, 11/15/21................................................. 3,853 4,113,367
Manufacturers & Traders Trust Co.
2.100%, 02/06/20................................................. 4,225 4,226,518
Marriott International, Inc.
2.300%, 01/15/22................................................. 1,385 1,391,912
Marsh & McLennan Cos., Inc.
2.350%, 03/06/20................................................. 2,000 2,001,667
2.750%, 01/30/22................................................. 1,500 1,523,784
McKesson Corp.
2.700%, 12/15/22................................................. 2,451 2,483,605
2.850%, 03/15/23................................................. 1,220 1,239,810
Microsoft Corp.
2.000%, 11/03/20................................................. 3,500 3,508,612
1.550%, 08/08/21................................................. 4,000 3,991,400
2.375%, 02/12/22................................................. 18,000 18,269,401
# 2.650%, 11/03/22................................................. 6,400 6,572,251
# 2.000%, 08/08/23................................................. 4,000 4,040,417
Mondelez International Holdings Netherlands BV
(Omega) 2.000%, 10/28/21................................................. 2,258 2,259,097
Mondelez International, Inc.
# 3.625%, 05/07/23................................................. 890 932,381
136
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Morgan Stanley
(r) 3.076%, 01/27/20................................................. 1,046 $1,048,383
2.800%, 06/16/20................................................. 3,000 3,014,492
5.500%, 07/28/21................................................. 925 979,000
3.125%, 01/23/23................................................. 3,000 3,086,354
Mosaic Co. (The)
3.750%, 11/15/21................................................. 1,000 1,028,313
3.250%, 11/15/22................................................. 1,000 1,026,191
Motorola Solutions, Inc.
3.500%, 03/01/23................................................. 1,750 1,812,871
National Oilwell Varco, Inc.
2.600%, 12/01/22................................................. 5,283 5,325,406
National Rural Utilities Cooperative Finance Corp.
(r) 2.479%, 06/30/21................................................. 7,000 7,022,854
NBCUniversal Enterprise, Inc.
(r)(Omega) 2.499%, 04/01/21................................................. 3,500 3,511,760
NetApp, Inc.
3.250%, 12/15/22................................................. 2,000 2,039,317
Newell Brands, Inc.
4.000%, 06/15/22................................................. 1,000 1,027,829
Newmont Goldcorp Corp.
3.625%, 06/09/21................................................. 398 407,173
Nordstrom, Inc.
4.750%, 05/01/20................................................. 350 354,079
Northrop Grumman Corp.
# 3.500%, 03/15/21................................................. 535 545,884
NVIDIA Corp.
2.200%, 09/16/21................................................. 575 577,477
Occidental Petroleum Corp.
2.700%, 02/15/23................................................. 2,352 2,369,966
Omnicom Group, Inc. / Omnicom Capital, Inc.
3.625%, 05/01/22................................................. 6,335 6,568,404
ONEOK, Inc.
4.250%, 02/01/22................................................. 3,000 3,118,174
Oracle Corp.
1.900%, 09/15/21................................................. 8,600 8,618,385
2.500%, 05/15/22................................................. 3,000 3,045,080
# 2.500%, 10/15/22................................................. 2,000 2,036,731
Penske Truck Leasing Co. L.P. / PTL Finance Corp.
(Omega) 3.375%, 02/01/22................................................. 1,605 1,640,982
(Omega) 4.875%, 07/11/22................................................. 1,455 1,553,843
(Omega) 4.250%, 01/17/23................................................. 822 870,086
PepsiCo, Inc.
# 2.250%, 05/02/22................................................. 710 718,547
Pfizer, Inc.
0.250%, 03/06/22................................................. EUR 4,000 4,504,615
Philip Morris International, Inc.
# 2.375%, 08/17/22................................................. 200 201,954
Phillips 66
4.300%, 04/01/22................................................. 990 1,046,047
FACE
AMOUNT^ VALUE+
------- ----------
(000)
UNITED STATES -- (Continued)
Principal Financial Group, Inc.
3.300%, 09/15/22.......................................................................... 1,416 $1,462,112
3.125%, 05/15/23.......................................................................... 890 918,769
Procter & Gamble Co. (The)
2.000%, 08/16/22.......................................................................... EUR 1,000 1,185,075
Progress Energy, Inc.
# 4.400%, 01/15/21.......................................................................... 2,150 2,198,702
Prudential Financial, Inc.
5.375%, 06/21/20.......................................................................... 3,000 3,068,425
QUALCOMM, Inc.
2.250%, 05/20/20.......................................................................... 3,000 3,002,435
# 2.600%, 01/30/23.......................................................................... 6,690 6,820,830
Quest Diagnostics, Inc.
2.500%, 03/30/20.......................................................................... 3,630 3,633,627
Regions Financial Corp.
# 2.750%, 08/14/22.......................................................................... 2,750 2,801,425
Reinsurance Group of America, Inc.
# 4.700%, 09/15/23.......................................................................... 4,600 5,009,095
Ryder System, Inc.
3.400%, 03/01/23.......................................................................... 1,200 1,240,313
Sempra Energy
2.850%, 11/15/20.......................................................................... 5,000 5,033,489
4.050%, 12/01/23.......................................................................... 735 778,100
Sherwin-Williams Co. (The)
2.750%, 06/01/22.......................................................................... 1,913 1,947,648
Southern Power Co.
2.500%, 12/15/21.......................................................................... 539 543,486
Southwest Airlines Co.
2.750%, 11/06/19.......................................................................... 426 426,011
Spirit AeroSystems, Inc.
3.950%, 06/15/23.......................................................................... 500 517,459
State Street Corp.
# 4.375%, 03/07/21.......................................................................... 2,000 2,065,359
Stryker Corp.
2.625%, 03/15/21.......................................................................... 2,378 2,400,487
Sunoco Logistics Partners Operations L.P.
# 3.450%, 01/15/23.......................................................................... 740 756,024
SunTrust Banks, Inc.
2.900%, 03/03/21.......................................................................... 3,000 3,033,865
Sysco Corp.
2.600%, 10/01/20.......................................................................... 3,970 3,993,648
Thermo Fisher Scientific, Inc.
3.000%, 04/15/23.......................................................................... 1,200 1,238,752
Tupperware Brands Corp.
4.750%, 06/01/21.......................................................................... 1,950 1,955,738
Tyson Foods, Inc.
4.500%, 06/15/22.......................................................................... 2,000 2,117,994
United Parcel Service, Inc.
# 2.450%, 10/01/22.......................................................................... 300 305,042
UnitedHealth Group, Inc.
2.300%, 12/15/19.......................................................................... 815 815,399
2.700%, 07/15/20.......................................................................... 439 441,667
137
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- --------------
(000)
UNITED STATES -- (Continued)
2.125%, 03/15/21................................................. 2,000 $ 2,008,056
Viacom, Inc.
3.875%, 12/15/21................................................. 2,740 2,836,073
Walgreen Co.
3.100%, 09/15/22................................................. 1,500 1,547,690
Walgreens Boots Alliance, Inc.
2.700%, 11/18/19................................................. 2,000 2,000,425
3.300%, 11/18/21................................................. 500 511,131
Walmart, Inc.
(r) 2.389%, 06/23/21................................................. 4,880 4,895,797
Wells Fargo & Co.
2.150%, 01/30/20................................................. 1,500 1,500,809
2.094%, 04/25/22................................................. CAD 1,000 755,668
Wells Fargo Bank NA
(r) 2.463%, 10/22/21................................................. 8,000 8,029,272
Whirlpool Corp.
3.700%, 03/01/23................................................. 2,170 2,260,389
Williams Cos., Inc. (The)
3.700%, 01/15/23................................................. 1,190 1,231,629
Zimmer Biomet Holdings, Inc.
3.150%, 04/01/22................................................. 950 969,750
Zoetis, Inc.
3.250%, 02/01/23................................................. 2,976 3,074,039
--------------
TOTAL UNITED STATES.................................................... 596,233,158
--------------
TOTAL BONDS............................................................ 1,278,840,535
--------------
U.S. TREASURY OBLIGATIONS -- (13.2%)
Treasury Inflation Protected Security
~ 0.125%, 04/15/20................................................. 32,319 32,147,325
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
U.S. Treasury Notes
(r) 1.776%, 04/30/21................................................. 52,500 $ 52,432,573
(r) 1.857%, 07/31/21................................................. 116,000 115,982,308
--------------
TOTAL U.S. TREASURY OBLIGATIONS 200,562,206
--------------
AGENCY OBLIGATIONS -- (0.5%)
Federal National Mortgage Association
1.500%, 06/22/20................................................. 6,000 5,995,473
Tennessee Valley Authority
3.875%, 02/15/21................................................. 2,000 2,055,720
--------------
TOTAL AGENCY OBLIGATIONS............................................... 8,051,193
--------------
TOTAL INVESTMENT SECURITIES
(Cost $1,479,827,602).................................................. 1,487,453,934
--------------
SHARES
---------
SECURITIES LENDING COLLATERAL -- (2.4%)
@(S) The DFA Short Term
Investment Fund.................................................. 3,195,024 36,969,628
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,516,793,131).................................................. $1,524,423,562
==============
As of October 31, 2019, DFA Short-Duration Real Return Portfolio had entered
into the following forward currency contracts and the net unrealized forward
currency gain (loss) is reflected in the accompanying financial statements:
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ -------------- ---------------- ---------- -------------
EUR 8,202,349 USD 9,146,026 Citibank, N.A. 12/27/19 $ 36,562
USD 7,473,003 CAD 9,762,657 Citibank, N.A. 01/02/20 57,839
-----------
TOTAL APPRECIATION $ 94,401
USD 87,047,282 EUR 79,399,433 Citibank, N.A. 12/27/19 $(1,840,950)
USD 28,326,552 EUR 25,832,120 Citibank, N.A. 12/30/19 (599,604)
USD 35,839,593 CAD 47,634,998 Citibank, N.A. 01/02/20 (341,268)
USD 32,378,492 EUR 29,363,253 Barclays Capital 01/03/20 (512,221)
USD 84,162,151 EUR 75,240,118 Barclays Capital 01/16/20 (188,941)
138
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
UNREALIZED
FOREIGN
EXCHANGE
SETTLEMENT APPRECIATION
CURRENCY PURCHASED CURRENCY SOLD COUNTERPARTY DATE (DEPRECIATION)
------------------ --------------- -------------- ---------- --------------
USD 39,831,909 SEK 383,128,192 Citibank, N.A. 01/17/20 $ (21,773)
-----------
TOTAL (DEPRECIATION) $(3,504,757)
-----------
Total Appreciation
(Depreciation) $(3,410,356)
===========
As of October 31, 2019, DFA Short-Duration Real Return Portfolio had entered
into the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ -------- -------- --------- -------------- ---------- -------- -------- ----------- --------------
Bank of
America
Corp......... 1.633%Fixed CPI Maturity USD 27,000,000 04/14/21 -- -- $ 434,381 $ 434,381
Bank of
America
Corp......... 1.525%Fixed CPI Maturity USD 43,000,000 08/31/21 -- -- 692,735 692,735
Bank of
America
Corp......... 1.435%Fixed CPI Maturity USD 30,000,000 10/30/20 -- -- 550,276 550,276
Bank of
America
Corp......... 1.244% CPI Maturity USD 30,000,000 09/05/20 -- -- 80,287 80,287
Citibank, N.A.. 1.849%Fixed CPI Maturity USD 20,000,000 10/27/21 -- -- 26,111 26,111
Citibank, N.A.. 1.788%Fixed CPI Maturity USD 30,000,000 03/08/20 -- -- 55,218 55,218
Citibank, N.A.. 1.695%Fixed CPI Maturity USD 42,000,000 02/21/20 -- -- 74,164 74,164
Citibank, N.A.. 1.683%Fixed CPI Maturity USD 22,000,000 02/28/20 -- -- 56,618 56,618
Citibank, N.A.. 1.655%Fixed CPI Maturity USD 40,000,000 07/20/20 -- -- 566,546 566,546
Citibank, N.A.. 1.623%Fixed CPI Maturity USD 38,000,000 06/20/20 -- -- 686,615 686,615
Citibank, N.A.. 1.350% CPI Maturity USD 43,000,000 08/07/20 -- -- 42,640 42,640
Citibank, N.A.. 1.350% CPI Maturity USD 48,000,000 10/09/20 -- -- 34,141 34,141
Deutsche
Bank AG,
London
Branch....... 1.860%Fixed CPI Maturity USD 60,000,000 06/30/20 -- -- 193,801 193,801
----------- -----------
TOTAL APPRECIATION.......... $ 3,493,533 $ 3,493,533
Bank of
America
Corp......... 2.340%Fixed CPI Maturity USD 21,000,000 09/26/23 -- -- (811,355) (811,355)
Bank of
America
Corp......... 2.282%Fixed CPI Maturity USD 40,000,000 02/08/20 -- -- (343,971) (343,971)
Bank of
America
Corp......... 2.254%Fixed CPI Maturity USD 30,000,000 10/24/23 -- -- (1,008,875) (1,008,875)
Bank of
America
Corp......... 2.228%Fixed CPI Maturity USD 26,000,000 03/12/22 -- -- (585,303) (585,303)
Bank of
America
Corp......... 2.225%Fixed CPI Maturity USD 29,000,000 03/01/20 -- -- (213,122) (213,122)
Bank of
America
Corp......... 2.208%Fixed CPI Maturity USD 26,000,000 02/01/23 -- -- (689,337) (689,337)
Bank of
America
Corp......... 1.769%Fixed CPI Maturity USD 26,000,000 05/30/20 -- -- (5,052) (5,052)
Citibank, N.A.. 2.318%Fixed CPI Maturity USD 24,000,000 07/05/22 -- -- (694,034) (694,034)
Citibank, N.A.. 2.196%Fixed CPI Maturity USD 24,000,000 05/31/23 -- -- (683,298) (683,298)
Citibank, N.A.. 2.190%Fixed CPI Maturity USD 23,000,000 08/13/21 -- -- (436,446) (436,446)
Citibank, N.A.. 2.182%Fixed CPI Maturity USD 23,000,000 01/19/23 -- -- (564,884) (564,884)
Citibank, N.A.. 2.149%Fixed CPI Maturity USD 38,000,000 01/23/21 -- -- (408,991) (408,991)
Citibank, N.A.. 2.144%Fixed CPI Maturity USD 44,000,000 01/11/21 -- -- (466,227) (466,227)
Citibank, N.A.. 2.041%Fixed CPI Maturity USD 24,000,000 10/17/22 -- -- (274,462) (274,462)
Citibank, N.A.. 2.036%Fixed CPI Maturity USD 36,000,000 11/21/22 -- -- (544,573) (544,573)
139
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ -------- -------- --------- -------------- ---------- -------- -------- ------------ --------------
Citibank, N.A.. 2.009%Fixed CPI Maturity USD 42,000,000 10/23/22 -- -- $ (424,626) $ (424,626)
Citibank, N.A.. 1.998%Fixed CPI Maturity USD 23,000,000 12/10/23 -- -- (476,339) (476,339)
Citibank, N.A.. 1.879%Fixed CPI Maturity USD 54,000,000 07/26/21 -- -- (14,864) (14,864)
Deutsche
Bank AG...... 2.333%Fixed CPI Maturity USD 40,000,000 07/11/21 -- -- (863,569) (863,569)
Deutsche
Bank AG...... 2.289%Fixed CPI Maturity USD 33,000,000 06/13/22 -- -- (883,959) (883,959)
Deutsche
Bank AG...... 2.235%Fixed CPI Maturity USD 38,000,000 05/02/22 -- -- (978,557) (978,557)
Deutsche
Bank AG...... 2.208%Fixed CPI Maturity USD 20,000,000 04/05/23 -- -- (600,071) (600,071)
Deutsche
Bank AG...... 2.203%Fixed CPI Maturity USD 31,000,000 10/25/22 -- -- (791,521) (791,521)
Deutsche
Bank AG...... 2.193%Fixed CPI Maturity USD 40,000,000 03/08/21 -- -- (559,072) (559,072)
Deutsche
Bank AG...... 2.128%Fixed CPI Maturity USD 34,000,000 11/15/22 -- -- (762,123) (762,123)
Deutsche
Bank AG...... 2.125%Fixed CPI Maturity USD 20,000,000 01/04/23 -- -- (417,282) (417,282)
Deutsche
Bank AG...... 2.035%Fixed CPI Maturity USD 22,000,000 12/11/22 -- -- (359,971) (359,971)
Deutsche
Bank AG...... 1.938%Fixed CPI Maturity USD 25,000,000 09/08/22 -- -- (146,333) (146,333)
Deutsche
Bank AG,
London
Branch....... 2.145%Fixed CPI Maturity USD 25,000,000 03/17/20 -- -- (163,399) (163,399)
Deutsche
Bank AG,
London
Branch....... 2.135%Fixed CPI Maturity USD 30,000,000 04/05/21 -- -- (455,816) (455,816)
Deutsche
Bank AG,
London
Branch....... 1.990%Fixed CPI Maturity USD 45,000,000 06/05/22 -- -- (468,764) (468,764)
Deutsche
Bank AG,
London
Branch....... 1.983%Fixed CPI Maturity USD 32,000,000 05/12/22 -- -- (393,207) (393,207)
------------ ------------
Total (Depreciation)........ $(16,489,403) $(16,489,403)
============ ============
Total Appreciation
(Depreciation).............. $(12,995,870) $(12,995,870)
============ ============
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
-------- ------------ -------- ------------
Bonds..................................................
Australia........................................... -- $ 48,177,132 -- $ 48,177,132
Belgium............................................. -- 17,423,295 -- 17,423,295
Canada.............................................. -- 116,181,873 -- 116,181,873
Denmark............................................. -- 3,018,098 -- 3,018,098
Finland............................................. -- 12,371,241 -- 12,371,241
France.............................................. -- 43,371,632 -- 43,371,632
Germany............................................. -- 83,691,563 -- 83,691,563
Italy............................................... -- 2,532,538 -- 2,532,538
140
DFA SHORT-DURATION REAL RETURN PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------- -------------- -------- --------------
Japan.................................. -- $ 87,024,291 -- $ 87,024,291
Netherlands............................ -- 66,223,831 -- 66,223,831
Spain.................................. -- 17,826,039 -- 17,826,039
Supranational Organization Obligations. -- 58,197,372 -- 58,197,372
Sweden................................. -- 62,343,649 -- 62,343,649
Switzerland............................ -- 10,197,754 -- 10,197,754
United Kingdom......................... -- 54,027,069 -- 54,027,069
United States.......................... -- 596,233,158 -- 596,233,158
Agency Obligations........................ -- 8,051,193 -- 8,051,193
U.S. Treasury Obligations................. -- 200,562,206 -- 200,562,206
Securities Lending Collateral............. -- 36,969,628 -- 36,969,628
Forward Currency Contracts**.............. -- (3,410,356) -- (3,410,356)
Swap Agreements**......................... -- (12,995,870) -- (12,995,870)
-------- -------------- -------- --------------
TOTAL..................................... -- $1,508,017,336 -- $1,508,017,336
======== ============== ======== ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
141
DFA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/20.................................................. 2,250 $ 2,313,922
5.000%, 08/01/23.................................................. 2,200 2,506,306
-----------
TOTAL ALABAMA.......................................................... 4,820,228
-----------
ALASKA -- (0.5%)
City of Anchorage (GO)
Series D...............................................................
5.000%, 09/01/23.................................................. 2,585 2,951,579
Municipality of Anchorage
(GO) Series B..........................................................
5.000%, 09/01/21.................................................. 900 962,217
5.000%, 09/01/23.................................................. 600 685,086
-----------
TOTAL ALASKA........................................................... 4,598,882
-----------
ARIZONA -- (0.6%)
City of Phoenix (GO)
4.000%, 07/01/20.................................................. 1,500 1,528,245
5.000%, 07/01/20.................................................. 875 897,190
City of Tempe (GO) Series C
4.000%, 07/01/22.................................................. 1,400 1,505,154
Maricopa County High School District No. 210-Phoenix (GO)
3.000%, 07/01/23.................................................. 650 691,918
Scottsdale Municipal Property Corp. (RB) Series A
3.000%, 07/01/21.................................................. 805 829,786
-----------
TOTAL ARIZONA.......................................................... 5,452,293
-----------
ARKANSAS -- (1.2%)
Arkansas State (GO)
5.000%, 04/01/21.................................................. 2,600 2,740,530
5.000%, 10/01/21.................................................. 7,195 7,721,962
-----------
TOTAL ARKANSAS......................................................... 10,462,492
-----------
CALIFORNIA -- (2.5%)
California State (GO)
5.000%, 08/01/26.................................................. 9,000 11,150,280
3.500%, 08/01/27.................................................. 1,500 1,731,615
5.000%, 08/01/27.................................................. 4,000 5,056,560
California State (GO) Series B
5.000%, 09/01/25.................................................. 3,140 3,811,269
-----------
TOTAL CALIFORNIA....................................................... 21,749,724
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
COLORADO -- (1.1%)
City of Colorado Springs CO Utilities System Revenue (RB) Series A-1
5.000%, 11/15/26.................................................. 3,000 $ 3,734,700
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG)
Series B
5.000%, 12/01/24.................................................. 900 1,067,445
El Paso County School District No. 20 Academy (GO) (ST AID WITHHLDG)
5.000%, 12/15/21.................................................. 1,240 1,339,944
Jefferson County School District R-1 (GO) (ST AID WITHHLDG) Series 1
5.250%, 12/15/24.................................................. 1,000 1,199,180
Weld County School District No. RE-4 (GO) (ST AID WITHHLDG)
4.000%, 12/01/23.................................................. 2,425 2,694,151
-----------
TOTAL COLORADO......................................................... 10,035,420
-----------
CONNECTICUT -- (0.2%)
City of Danbury (GO) (BAN)
3.000%, 07/16/20.................................................. 2,000 2,026,580
-----------
DELAWARE -- (0.5%)
New Castle County (GO)
5.000%, 10/01/23.................................................. 2,275 2,611,882
New Castle County (GO) Series B
5.000%, 07/15/22.................................................. 1,450 1,600,075
-----------
TOTAL DELAWARE......................................................... 4,211,957
-----------
DISTRICT OF COLUMBIA -- (1.4%)
District of Columbia (GO) Series A
5.000%, 06/01/20.................................................. 1,900 1,942,009
District of Columbia (GO) Series E
5.000%, 06/01/21.................................................. 2,550 2,702,771
5.000%, 06/01/26.................................................. 1,875 2,312,625
Washington Metropolitan Area Transit Authority (RB) Series A-1
5.000%, 07/01/27.................................................. 4,535 5,696,232
-----------
TOTAL DISTRICT OF COLUMBIA....................................................... 12,653,637
-----------
142
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
FLORIDA -- (2.6%)
Florida Department of Environmental Protection (RB) Series A
5.000%, 07/01/26................................................. 5,000 $ 6,136,050
Florida State (GO) Series A
5.000%, 07/01/21................................................. 2,000 2,127,120
5.000%, 06/01/23................................................. 700 794,073
5.000%, 07/01/24................................................. 500 585,890
Florida State (GO) Series B
5.000%, 06/01/20................................................. 3,300 3,373,359
5.000%, 06/01/23................................................. 650 737,354
Florida State Board of Education (GO) Series B
5.000%, 06/01/25................................................. 3,000 3,605,220
Miami-Dade County (GO) Series A
5.000%, 07/01/26................................................. 1,810 2,231,603
Miami-Dade County (GO) Series D
5.000%, 07/01/20................................................. 3,520 3,608,352
-----------
TOTAL FLORIDA........................................................ 23,199,021
-----------
GEORGIA -- (3.5%)
Cobb County (GO)
5.000%, 01/01/22................................................. 2,335 2,528,128
Fulton County (RN)
2.500%, 12/31/19................................................. 5,000 5,011,400
Georgia State (GO) Series A
5.000%, 07/01/26................................................. 1,200 1,487,280
~ 5.000%, 07/01/27................................................. 8,000 10,141,280
Georgia State (GO) Series C
5.000%, 10/01/21................................................. 2,490 2,672,865
Georgia State (GO) Series C-1
5.000%, 07/01/23................................................. 3,000 3,414,540
5.000%, 07/01/24................................................. 3,200 3,756,064
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)
5.000%, 10/01/23................................................. 1,580 1,812,671
-----------
TOTAL GEORGIA........................................................ 30,824,228
-----------
HAWAII -- (0.9%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23................................................. 2,150 2,463,943
5.000%, 10/01/25................................................. 450 545,463
Hawaii State (GO) Series EF
5.000%, 11/01/22................................................. 300 333,846
Hawaii State (GO) Series EH-2017
5.000%, 08/01/23................................................. 970 1,105,819
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
HAWAII -- (Continued)
Hawaii State (GO) Series FK
5.000%, 05/01/23................................................. 1,800 $ 2,035,818
Hawaii State (GO) (ETM) Series EH
5.000%, 08/01/23................................................. 1,225 1,397,701
Hawaii State (GO) (ETM) Series EH- 2017
5.000%, 08/01/23................................................. 305 347,999
-----------
TOTAL HAWAII......................................................... 8,230,589
-----------
KANSAS -- (1.4%)
City of Lenexa (GO) Series A
5.000%, 09/01/21................................................. 600 642,042
City of Lenexa (GO) Series B
5.000%, 09/01/20................................................. 1,610 1,661,134
City of Merriam (GO)
5.000%, 10/01/25................................................. 200 242,936
City of Wichita (GO) Series A
5.000%, 12/01/20................................................. 3,000 3,124,020
Johnson County (GO) Series B
5.000%, 09/01/22................................................. 1,405 1,555,813
Johnson County Unified School District No. 229 Blue Valley (GO) Series A
5.000%, 10/01/26................................................. 1,500 1,866,645
Kansas State Department of Transportation (RB) Series A
5.000%, 09/01/27................................................. 1,000 1,264,740
Kansas State Department of Transportation (RB) Series B
5.000%, 09/01/20................................................. 1,975 2,037,548
-----------
TOTAL KANSAS......................................................... 12,394,878
-----------
KENTUCKY -- (0.7%)
Louisville & Jefferson County (GO) Series A
5.000%, 12/01/25................................................. 3,800 4,613,542
Louisville/Jefferson County Metropolitan Government (GO) Series A
5.000%, 12/01/22................................................. 1,500 1,672,335
-----------
TOTAL KENTUCKY....................................................... 6,285,877
-----------
LOUISIANA -- (0.2%)
Louisiana State (GO) Series C
5.000%, 07/15/22................................................. 250 275,170
5.000%, 08/01/23................................................. 1,100 1,247,961
143
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
LOUISIANA -- (Continued)
Louisiana State (GO) Series D-2
5.000%, 12/01/21................................................. 600 $ 646,476
-----------
TOTAL LOUISIANA...................................................... 2,169,607
-----------
MAINE -- (0.1%)
Maine State (GO) Series B
5.000%, 06/01/23................................................. 495 560,969
-----------
MARYLAND -- (9.4%)
Anne County Arundel (GO)
5.000%, 04/01/23................................................. 4,000 4,513,360
Baltimore County (GO)
4.000%, 03/19/20................................................. 6,800 6,875,140
5.000%, 08/01/21................................................. 500 533,450
3.000%, 11/01/24................................................. 5,015 5,446,842
City of Baltimore (GO) Series B
5.000%, 10/15/22................................................. 645 716,331
City of Frederick (GO) Series C
5.000%, 03/01/27................................................. 3,100 3,877,945
Harford County (GO) Series A
5.000%, 09/15/20................................................. 900 929,925
Howard County (GO) Series A
5.000%, 02/15/28................................................. 3,000 3,839,310
Howard County (GO) Series D
5.000%, 02/15/24................................................. 4,000 4,634,720
5.000%, 02/15/25................................................. 8,390 10,009,354
Maryland State (GO) Series A
5.000%, 03/15/28................................................. 7,000 8,974,420
Maryland State (GO) Series B
4.000%, 08/01/23................................................. 1,785 1,970,461
5.000%, 08/01/26................................................. 5,500 6,806,030
5.000%, 08/01/26................................................. 1,000 1,237,460
5.000%, 08/01/27................................................. 325 411,118
Maryland State (GO) Series C
5.000%, 08/01/20................................................. 2,000 2,058,100
Montgomery County (GO) Series C
5.000%, 10/01/27................................................. 6,655 8,448,988
Montgomery County (GO) Series D
3.000%, 11/01/23................................................. 2,000 2,141,660
Washington Suburban Sanitary Commission (RB)
4.000%, 06/01/20................................................. 2,600 2,642,172
5.000%, 06/01/24................................................. 4,325 5,055,536
3.000%, 06/01/26................................................. 2,080 2,287,459
-----------
TOTAL MARYLAND....................................................... 83,409,781
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MASSACHUSETTS -- (4.0%)
City of Boston (GO) Series A
5.000%, 03/01/20................................................. 1,200 $ 1,215,120
City of Boston (GO) Series B
5.000%, 04/01/24................................................. 3,500 4,075,890
Commonwealth of Massachusetts (GO) Series A
4.000%, 04/23/20................................................. 2,000 2,026,880
Commonwealth of Massachusetts (GO) Series B
4.000%, 05/21/20................................................. 3,000 3,046,860
5.250%, 08/01/21................................................. 500 535,600
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/23................................................. 4,000 4,510,520
5.000%, 08/01/24................................................. 1,360 1,596,831
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27................................................. 1,000 1,269,260
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20................................................. 400 411,456
Massachusetts School Building Authority (RB) (ETM) Series A
5.000%, 11/15/25................................................. 3,240 3,939,451
Massachusetts Water Resources Authority (RB) (AGM) Series B
5.250%, 08/01/28................................................. 9,000 11,771,100
Town of Lexington (GO)
4.000%, 02/15/27................................................. 1,000 1,187,500
-----------
TOTAL MASSACHUSETTS.................................................. 35,586,468
-----------
MICHIGAN -- (0.6%)
Michigan State (GO)
5.000%, 11/01/19................................................. 700 700,000
Michigan State (GO) Series A
5.000%, 05/01/23................................................. 2,425 2,744,494
5.000%, 05/01/25................................................. 1,500 1,800,225
-----------
TOTAL MICHIGAN....................................................... 5,244,719
-----------
MINNESOTA -- (3.7%)
Hennepin County (GO) Series C
5.000%, 12/01/28................................................. 1,150 1,495,943
144
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
MINNESOTA -- (Continued)
Metropolitan Council (GO) Series A
5.000%, 03/01/20................................................. 955 $ 967,033
Metropolitan Council (GO) Series C
5.000%, 03/01/24................................................. 6,250 7,254,312
Minneapolis Special School District No. 1 (GO) (SD CRED PROG) Series B
5.000%, 02/01/28................................................. 2,590 3,309,606
Minnesota State (GO) Series A
5.000%, 08/01/21................................................. 1,330 1,418,977
5.000%, 08/01/25................................................. 7,000 8,463,840
~ 5.000%, 08/01/28................................................. 6,000 7,764,720
Minnesota State (GO) Series D
5.000%, 08/01/21................................................. 700 746,830
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20................................................. 900 911,277
-----------
TOTAL MINNESOTA...................................................... 32,332,538
-----------
MISSISSIPPI -- (0.3%)
Madison County School District (GO)
3.500%, 12/01/19................................................. 350 350,616
Mississippi State (GO) Series B
5.000%, 11/01/20................................................. 600 622,770
Mississippi State (GO) Series C
5.000%, 10/01/20................................................. 1,565 1,619,415
-----------
TOTAL MISSISSIPPI.................................................... 2,592,801
-----------
MISSOURI -- (0.6%)
Columbia School District (GO) Series B
5.000%, 03/01/23................................................. 2,500 2,809,775
North Kansas City School District No. 74 (GO) (ST AID DIR DEP)
4.000%, 03/01/26................................................. 1,845 2,135,754
-----------
TOTAL MISSOURI....................................................... 4,945,529
-----------
NEBRASKA -- (1.2%)
Douglas County School District No. 17 (GO)
4.000%, 12/15/26................................................. 3,000 3,536,790
Omaha School District (GO)
5.000%, 12/15/25................................................. 1,345 1,641,532
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NEBRASKA -- (Continued)
5.000%, 12/15/26................................................. 3,975 $ 4,961,039
-----------
TOTAL NEBRASKA....................................................... 10,139,361
-----------
NEVADA -- (3.2%)
City of Henderson NV (GO)
5.000%, 06/01/21................................................. 600 636,042
Clark County (GO) Series B
5.000%, 11/01/24................................................. 8,665 10,220,368
Nevada State (GO) Series D
5.000%, 04/01/25................................................. 11,625 13,885,481
Nevada State (GO) Series D1
5.000%, 03/01/22................................................. 2,000 2,176,360
Washoe County School District (GO) Series F
5.000%, 06/01/21................................................. 900 951,444
-----------
TOTAL NEVADA......................................................... 27,869,695
-----------
NEW HAMPSHIRE -- (0.3%)
City of Dover (GO) Series C
5.000%, 07/01/20................................................. 220 225,579
City of Nashua (GO)
4.000%, 07/15/24................................................. 2,000 2,255,160
-----------
TOTAL NEW HAMPSHIRE.................................................. 2,480,739
-----------
NEW JERSEY -- (0.3%)
City of Hoboken (GO)
3.000%, 02/01/27................................................. 1,000 1,090,320
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/21................................................. 1,515 1,539,240
-----------
TOTAL NEW JERSEY..................................................... 2,629,560
-----------
NEW MEXICO -- (1.6%)
New Mexico State (GO)
5.000%, 03/01/21................................................. 2,105 2,210,650
New Mexico State Severance Tax Permanent Fund (RB) Series A
5.000%, 07/01/27................................................. 2,570 3,225,967
New Mexico State Severance Tax Permanent Fund (RB) Series B
4.000%, 07/01/20................................................. 2,000 2,037,380
New Mexico State Severance Tax Permanent Fund (RB) Series D
5.000%, 07/01/26................................................. 5,580 6,851,793
-----------
TOTAL NEW MEXICO..................................................... 14,325,790
-----------
145
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NEW YORK -- (6.2%)
City of New York (GO) Series A-1
3.000%, 08/01/20................................................. 2,615 $ 2,651,192
4.000%, 08/01/20................................................. 2,220 2,267,064
City of New York (GO) Series C
5.000%, 08/01/26................................................. 500 615,465
5.000%, 08/01/26................................................. 3,650 4,492,894
City of New York (GO) Series E
5.000%, 08/01/26................................................. 3,825 4,708,307
City of New York (GO) Series J
5.000%, 08/01/22................................................. 650 717,229
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/25................................................. 500 596,540
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22................................................. 2,500 2,718,200
5.000%, 02/15/24................................................. 700 812,070
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/27................................................. 14,000 17,586,800
New York State Dormitory Authority (RB) Series E-GROUP 1
5.000%, 03/15/27................................................. 7,000 8,793,400
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/26................................................. 6,890 8,452,239
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22................................................. 700 716,961
-----------
TOTAL NEW YORK....................................................... 55,128,361
-----------
NORTH CAROLINA -- (5.6%)
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/21................................................. 1,800 1,915,020
Forsyth County (GO)
4.000%, 12/01/21................................................. 1,500 1,588,725
Gaston County (GO)
5.000%, 02/01/26................................................. 2,500 3,048,975
Iredell County (GO) Series B
2.500%, 02/01/24................................................. 2,285 2,400,164
Mecklenburg County (GO) Series A
5.000%, 04/01/22................................................. 5,000 5,460,000
FACE
AMOUNT^ VALUE+
------- -----------
(000)
NORTH CAROLINA -- (Continued)
Mecklenburg County (GO) Series B
5.000%, 12/01/21................................................. 6,120 $ 6,607,152
5.000%, 12/01/26................................................. 8,430 10,544,075
North Carolina Eastern Municipal Power Agency (RB) (NATL-IBC) (ETM)
Series B
6.000%, 01/01/22................................................. 650 716,560
North Carolina State (GO) Series C
4.000%, 05/01/20................................................. 1,000 1,014,180
Wake County (GO)
5.000%, 09/01/21................................................. 2,250 2,407,230
5.000%, 09/01/24................................................. 4,000 4,716,200
Wake County (GO) Series C
5.000%, 03/01/25................................................. 7,530 9,003,320
-----------
TOTAL NORTH CAROLINA................................................. 49,421,601
-----------
NORTH DAKOTA -- (0.1%)
North Dakota State University of Agriculture & Applied Science (RB)
Series A
5.000%, 04/01/21................................................. 545 573,356
-----------
OHIO -- (5.7%)
City of Columbus (GO) Series 1
5.000%, 07/01/21................................................. 2,775 2,949,964
City of Columbus (GO) Series 2017-1
4.000%, 04/01/27................................................. 4,205 4,965,306
City of Columbus (GO) Series A
5.000%, 02/15/20................................................. 650 656,975
2.000%, 08/15/22................................................. 2,000 2,045,440
4.000%, 08/15/25................................................. 3,500 4,031,125
City of Columbus (GO) Series A
4.000%, 04/01/24................................................. 4,000 4,479,440
Columbus City School District (GO) Series A
5.000%, 12/01/21................................................. 1,595 1,720,255
Franklin County (GO)
5.000%, 06/01/21................................................. 1,830 1,940,532
Ohio State (GO) Series A
4.000%, 03/01/21................................................. 1,475 1,530,696
5.000%, 09/15/25................................................. 1,950 2,369,425
5.000%, 09/01/28................................................. 2,500 3,226,500
Ohio State (GO) Series B
5.000%, 08/01/20................................................. 650 668,564
5.000%, 09/01/27................................................. 9,300 11,754,177
146
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
OHIO -- (Continued)
5.000%, 09/15/27................................................................ 3,500 $ 4,427,255
Ohio Water Development Authority (RB) Series A
(Currency) 5.000%, 12/01/26 (Pre-refunded @ $100, 12/1/19)................................. 1,850 1,855,402
Upper Arlington City School District (GO) Series A
5.000%, 12/01/26................................................................ 1,530 1,906,671
-----------
TOTAL OHIO.................................................................................. 50,527,727
-----------
OREGON -- (1.2%)
City of Portland Sewer System Revenue (RB) Series A
5.000%, 10/01/23................................................................ 3,570 4,088,328
Multnomah County School District No. 1 Portland (GO) (SCH BD GTY) Series B
5.000%, 06/15/23................................................................ 1,005 1,141,861
Oregon State (GO) Series A
5.000%, 05/01/20................................................................ 1,800 1,834,056
5.000%, 05/01/21................................................................ 800 845,664
Oregon State (GO) Series G
5.000%, 12/01/22................................................................ 2,050 2,285,525
-----------
TOTAL OREGON................................................................................ 10,195,434
-----------
PENNSYLVANIA -- (0.5%)
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 04/01/22................................................................ 3,925 4,277,269
-----------
RHODE ISLAND -- (0.4%)
Rhode Island State (GO) Series A
5.000%, 08/01/20................................................................ 1,900 1,953,979
Rhode Island State (GO) Series D
5.000%, 08/01/22................................................................ 600 662,058
Rhode State Island (GO) Series A
5.000%, 04/01/27................................................................ 1,060 1,324,247
-----------
TOTAL RHODE ISLAND.......................................................................... 3,940,284
-----------
SOUTH CAROLINA -- (2.5%)
Beaufort County (GO) (ST AID WITHHLDG) Series A
4.000%, 03/01/22................................................................ 640 681,491
FACE
AMOUNT^ VALUE+
------- -----------
(000)
SOUTH CAROLINA -- (Continued)
Beaufort County School District (GO) (SCSDE) Series A
5.000%, 03/01/23................................................. 6,000 $ 6,743,460
Berkeley County School District (GO) (SCSDE) Series A
5.000%, 03/01/27................................................. 2,500 3,125,400
Charleston County (GO)
5.000%, 11/01/23................................................. 1,000 1,149,430
Charleston County School District (GO) (SCSDE) Series A
5.000%, 02/01/21................................................. 800 838,152
Clemson University (RB) Series B
5.000%, 05/01/25................................................. 750 898,793
Lexington & Richland School District No. 5 (GO) (SCSDE)
5.000%, 03/01/24................................................. 2,750 3,184,363
Richland County (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/26................................................. 1,870 2,297,893
South Carolina State (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/23................................................. 3,000 3,441,780
-----------
TOTAL SOUTH CAROLINA................................................. 22,360,762
-----------
TENNESSEE -- (3.7%)
City of Kingsport (GO) Series A
5.000%, 09/01/21................................................. 510 545,542
Hamilton County (GO) Series B
5.000%, 03/01/22................................................. 2,000 2,178,780
Maury County (GO) Series B
5.000%, 04/01/20................................................. 1,205 1,223,882
Metropolitan Government of Nashville & Davidson County (GO)
5.000%, 01/01/26................................................. 5,000 6,092,500
4.000%, 07/01/28................................................. 1,000 1,201,620
Rutherford County (GO) Series B
5.000%, 04/01/23................................................. 4,085 4,606,369
Shelby County (GO)
5.000%, 04/01/25................................................. 5,000 5,983,800
Shelby County (GO) Series A
5.000%, 04/01/20................................................. 1,500 1,523,625
5.000%, 04/01/27................................................. 3,975 4,978,608
147
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TENNESSEE -- (Continued)
Sullivan County (GO) Series A
5.000%, 04/01/21................................................. 1,000 $ 1,053,770
Sumner County (GO)
5.000%, 06/01/21................................................. 650 689,045
5.000%, 12/01/21................................................. 900 970,479
Washington County (GO) Series A
4.000%, 06/01/26................................................. 1,705 1,982,932
-----------
TOTAL TENNESSEE...................................................... 33,030,952
-----------
TEXAS -- (13.9%)
City of Arlington (GO)
5.000%, 08/15/25................................................. 1,000 1,202,980
City of Dallas Waterworks & Sewer System Revenue (RB) Series A
5.000%, 10/01/22................................................. 9,000 9,979,920
City of Frisco (GO) Series A
5.000%, 02/15/25................................................. 2,000 2,379,260
City of Garland (GO) Series A
5.000%, 02/15/24................................................. 400 462,748
City of Houston (RN)
3.000%, 06/26/20................................................. 5,000 5,059,950
City of Houston (GO) Series A
5.000%, 03/01/20................................................. 1,515 1,533,786
5.000%, 03/01/27................................................. 5,000 6,172,400
City of Lubbock (GO)
5.000%, 02/15/23................................................. 4,000 4,483,720
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/24................................................. 9,515 10,986,400
5.000%, 02/01/26................................................. 2,850 3,462,494
City of Sugar Land (GO)
5.000%, 02/15/21................................................. 1,050 1,099,025
Conroe Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/26................................................. 8,710 10,608,780
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)
5.000%, 02/15/21................................................. 800 839,024
Dallas County Community College District (GO)
5.000%, 02/15/21................................................. 2,155 2,260,703
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24................................................. 3,035 3,562,938
Frisco Independent School District (GO) (PSF-GTD)
5.000%, 08/15/20................................................. 2,460 2,533,529
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
TEXAS -- (Continued)
Goose Creek Consolidated Independent School District (GO) (PSF-GTD)
5.000%, 02/15/27................................................. 3,000 $ 3,727,890
Highland Park Independent School District (GO)
5.000%, 02/15/23................................................. 3,120 3,498,362
Houston Independent School District (GO) (PSF-GTD)
5.000%, 02/15/27................................................. 5,000 6,248,350
Permanent University Fund - University of Texas System (RB) Series B
5.250%, 07/01/28................................................. 2,610 3,417,404
Pflugerville Independent School District (GO) (PSF-GTD)
4.000%, 08/15/20................................................. 2,000 2,044,300
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24................................................. 2,225 2,575,037
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20................................................. 1,790 1,809,260
Texas State (RN)
4.000%, 08/27/20................................................. 5,000 5,114,150
Texas State (GO)
~ 5.000%, 10/01/23................................................. 4,200 4,816,728
Texas Transportation Commission State Highway Fund (RB)
5.000%, 10/01/26................................................. 2,505 3,089,366
University of Texas System (The) (RB) Series J
5.000%, 08/15/25................................................. 12,500 15,122,375
5.000%, 08/15/26................................................. 3,850 4,762,835
Ysleta Independent School District (GO) (PSF-GTD) Series A
5.000%, 08/15/20................................................. 460 473,749
------------
TOTAL TEXAS.......................................................... 123,327,463
------------
UTAH -- (1.8%)
City of American Fork (GO)
5.000%, 05/01/26................................................. 1,165 1,421,114
Davis School District (GO) (SCH BD GTY) Series B
5.000%, 06/01/23................................................. 1,000 1,134,770
Salt County Lake (GO)
3.000%, 12/27/19................................................. 10,000 10,030,600
148
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
UTAH -- (Continued)
Tooele County School District (GO) (SCH BD GTY) Series B
5.000%, 06/01/22................................................. 650 $ 713,453
Utah State (GO)
5.000%, 07/01/22................................................. 1,500 1,652,670
Weber School District (GO) (SCH BD GTY)
5.000%, 06/15/21................................................. 650 690,111
-----------
TOTAL UTAH........................................................... 15,642,718
-----------
VIRGINIA -- (6.3%)
Arlington County (GO)
5.000%, 08/15/26................................................. 3,575 4,433,107
5.000%, 08/15/27................................................. 4,000 5,074,320
5.000%, 08/15/27................................................. 3,820 4,845,976
Arlington County (GO) Series B
5.000%, 08/15/22................................................. 4,830 5,339,178
Chesterfield County (GO) (ST AID WITHHLDG) Series A
5.000%, 01/01/22................................................. 1,735 1,878,502
City of Lynchburg (GO)
5.000%, 02/01/26................................................. 1,930 2,364,192
City of Manassas (GO) (ST AID WITHHLDG) Series C
5.000%, 07/01/21................................................. 1,040 1,106,633
City of Norfolk (GO) (ST AID WTHHLDG)
5.000%, 08/01/27................................................. 2,300 2,911,386
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/21................................................. 900 945,540
City of Virginia Beach (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/20................................................. 2,200 2,259,554
5.000%, 09/15/24................................................. 3,000 3,539,640
Fairfax County (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/23................................................. 4,775 5,476,161
5.000%, 10/01/26................................................. 5,535 6,900,374
Loudoun County (GO) Series A
5.000%, 12/01/21................................................. 5,000 5,399,100
Virginia Public Building Authority (RB) Series C
5.000%, 08/01/23................................................. 600 683,304
Virginia Resources Authority (GO) Series A
5.000%, 06/01/27................................................. 2,115 2,676,109
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
VIRGINIA -- (Continued)
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20................................................. 200 $ 207,590
-----------
TOTAL VIRGINIA....................................................... 56,040,666
-----------
WASHINGTON -- (4.1%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20................................................. 175 177,742
City of Seattle Municipal Light & Power Revenue (RB) Series B
5.000%, 04/01/24................................................. 3,000 3,489,420
City of Spokane (GO)
5.000%, 12/01/25................................................. 1,165 1,416,698
Clark County School District No. 119 Battleground (GO) (SCH BD GTY)
4.000%, 12/01/21................................................. 510 539,284
King & Snohomish Counties School District No. 417 Northshore (GO)
(SCH BD GTY)
5.000%, 12/01/19................................................. 2,825 2,833,164
King County (GO) Series A
5.000%, 07/01/20................................................. 700 717,752
5.000%, 12/01/25................................................. 1,830 2,230,148
King County School District No. 405 Bellevue (GO) (SCH BD GTY)
5.000%, 12/01/24................................................. 2,265 2,680,288
King County School District No. 414 Lake Washington (GO) (SCH BD GTY)
5.000%, 12/01/22................................................. 925 1,032,467
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/22................................................. 2,080 2,320,323
Port of Seattle (GO)
5.000%, 06/01/21................................................. 3,150 3,339,221
Washington State (GO) Series 2017-A
5.000%, 08/01/26................................................. 1,480 1,828,214
Washington State (GO) Series A
5.000%, 08/01/21................................................. 500 533,360
Washington State (GO) Series C
5.000%, 02/01/25................................................. 1,930 2,297,819
149
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
- -------
WASHINGTON -- (Continued)
Washington State (GO) Series R-2012C
4.000%, 07/01/21................................................. 150 $ 157,052
Washington State (GO) Series R-2013A
5.000%, 07/01/20................................................. 2,775 2,845,568
Washington State (GO) Series R-2015
5.000%, 07/01/20................................................. 1,560 1,599,671
Washington State (GO) Series R-2018C
5.000%, 08/01/27................................................. 4,800 6,047,808
-----------
TOTAL WASHINGTON..................................................... 36,085,999
-----------
WISCONSIN -- (4.9%)
City of Janesville (GO)
3.000%, 03/01/24................................................. 1,245 1,332,212
City of Milwaukee (GO)
5.000%, 05/01/20................................................. 2,370 2,414,604
City of Milwaukee (GO) Series N2
4.000%, 03/01/24................................................. 6,500 7,227,610
City of Milwaukee (GO) Series N4
5.000%, 04/01/27................................................. 1,510 1,881,626
5.000%, 04/01/28................................................. 9,990 12,692,994
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
WISCONSIN -- (Continued)
City of Oshkosh (GO) Series B
3.000%, 12/01/23................................................. 650 $ 693,966
Germantown School District (GO) Series A
5.000%, 04/01/27................................................. 2,200 2,767,798
Oregon School District (GO)
3.000%, 03/01/21................................................. 1,900 1,945,049
Wisconsin State (GO) Series 1
5.000%, 05/01/20................................................. 2,300 2,343,746
5.000%, 11/01/24................................................. 4,025 4,758,194
Wisconsin State (GO) Series 2
5.000%, 11/01/20................................................. 800 830,608
5.000%, 11/01/22................................................. 600 667,128
Wisconsin State (GO) Series B
5.000%, 05/01/21................................................. 3,405 3,600,413
------------
TOTAL WISCONSIN...................................................... 43,155,948
------------
TOTAL MUNICIPAL BONDS................................................ 884,941,903
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $857,291,644)................................................ $884,941,903
============
As of October 31, 2019, DFA Municipal Real Return Portfolio had entered into
the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- -------- --------------
Bank of
America
Corp...... 1.826% Fixed CPI Maturity USD 26,000,000 11/07/20 -- -- $148,217 $148,217
Bank of
America
Corp...... 1.715% Fixed CPI Maturity USD 11,000,000 09/28/23 -- -- 69,006 69,006
Bank of
America
Corp...... 1.706% Fixed CPI Maturity USD 11,000,000 06/14/22 -- -- 116,136 116,136
Bank of
America
Corp...... 1.704% Fixed CPI Maturity USD 27,000,000 05/31/21 -- -- 346,791 346,791
Bank of
America
Corp...... 1.663% Fixed CPI Maturity USD 17,000,000 04/15/22 -- -- 222,280 222,280
Bank of
America
Corp...... 1.619% Fixed CPI Maturity USD 12,000,000 10/14/22 -- -- 67,084 67,084
Bank of
America
Corp...... 1.610% Fixed CPI Maturity USD 20,000,000 12/31/20 -- -- 239,824 239,824
Bank of
America
Corp...... 1.609% Fixed CPI Maturity USD 17,000,000 06/24/21 -- -- 284,823 284,823
Bank of
America
Corp...... 1.580% Fixed CPI Maturity USD 14,000,000 12/30/20 -- -- 189,914 189,914
Bank of
America
Corp...... 1.548% Fixed CPI Maturity USD 8,000,000 01/08/21 -- -- 124,000 124,000
150
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- ----------- --------------
Bank of
America
Corp...... 1.530% Fixed CPI Maturity USD 19,000,000 12/24/20 -- -- $ 307,646 $ 307,646
Citibank,
N.A....... 1.789% Fixed CPI Maturity USD 21,000,000 03/31/24 -- -- 32,097 32,097
Citibank,
N.A....... 1.752% Fixed CPI Maturity USD 17,000,000 05/20/23 -- -- 133,604 133,604
Citibank,
N.A....... 1.698% Fixed CPI Maturity USD 22,000,000 06/02/22 -- -- 264,871 264,871
Citibank,
N.A....... 1.578% Fixed CPI Maturity USD 25,000,000 08/09/23 -- -- 396,212 396,212
Citibank,
N.A....... 1.577% Fixed CPI Maturity USD 10,000,000 11/18/21 -- -- 118,697 118,697
Citibank,
N.A....... 1.555% Fixed CPI Maturity USD 10,000,000 12/11/20 -- -- 148,780 148,780
Citibank,
N.A....... 1.533% Fixed CPI Maturity USD 10,000,000 11/10/20 -- -- 141,936 141,936
Citibank,
N.A....... 1.520% Fixed CPI Maturity USD 24,000,000 08/01/21 -- -- 448,350 448,350
Citibank,
N.A....... 1.481% Fixed CPI Maturity USD 17,000,000 08/18/21 -- -- 329,615 329,615
Citibank,
N.A....... 1.253% Fixed CPI Maturity USD 12,000,000 02/11/22 -- -- 419,344 419,344
----------- -----------
TOTAL APPRECIATION........ $ 4,549,227 $ 4,549,227
Bank of
America
Corp...... 2.373% Fixed CPI Maturity USD 18,000,000 07/13/26 -- -- (1,057,845) (1,057,845)
Bank of
America
Corp...... 2.355% Fixed CPI Maturity USD 17,000,000 05/29/28 -- -- (1,120,964) (1,120,964)
Bank of
America
Corp...... 2.349% Fixed CPI Maturity USD 14,000,000 08/13/27 -- -- (885,560) (885,560)
Bank of
America
Corp...... 2.349% Fixed CPI Maturity USD 14,000,000 09/20/26 -- -- (806,858) (806,858)
Bank of
America
Corp...... 2.327% Fixed CPI Maturity USD 17,000,000 07/30/24 -- -- (749,801) (749,801)
Bank of
America
Corp...... 2.243% Fixed CPI Maturity USD 15,000,000 11/01/27 -- -- (771,995) (771,995)
Bank of
America
Corp...... 2.195% Fixed CPI Maturity USD 15,000,000 01/09/24 -- -- (477,433) (477,433)
Bank of
America
Corp...... 2.192% Fixed CPI Maturity USD 14,000,000 03/29/25 -- -- (559,628) (559,628)
Bank of
America
Corp...... 2.186% Fixed CPI Maturity USD 20,000,000 11/20/25 -- -- (768,816) (768,816)
Bank of
America
Corp...... 2.177% Fixed CPI Maturity USD 11,000,000 09/20/27 -- -- (432,338) (432,338)
Bank of
America
Corp...... 2.149% Fixed CPI Maturity USD 14,000,000 08/10/27 -- -- (526,415) (526,415)
Bank of
America
Corp...... 2.064% Fixed CPI Maturity USD 13,000,000 10/24/24 -- -- (261,113) (261,113)
Bank of
America
Corp...... 2.029% Fixed CPI Maturity USD 15,000,000 05/24/25 -- -- (343,245) (343,245)
Bank of
America
Corp...... 2.004% Fixed CPI Maturity USD 14,000,000 06/13/25 -- -- (278,991) (278,991)
Bank of
America
Corp...... 1.971% Fixed CPI Maturity USD 25,000,000 02/21/25 -- -- (470,354) (470,354)
Bank of
America
Corp...... 1.902% Fixed CPI Maturity USD 25,000,000 07/14/22 -- -- (135,406) (135,406)
Bank of
America
Corp...... 0.022% Fixed CPI Maturity USD 16,000,000 02/14/24 -- -- (519,520) (519,520)
Citibank,
N.A....... 2.367% Fixed CPI Maturity USD 10,000,000 05/04/28 -- -- (693,686) (693,686)
Citibank,
N.A....... 2.234% Fixed CPI Maturity USD 34,000,000 01/23/24 -- -- (1,123,969) (1,123,969)
Citibank,
N.A....... 2.171% Fixed CPI Maturity USD 11,000,000 04/07/24 -- -- (375,071) (375,071)
Citibank,
N.A....... 2.148% Fixed CPI Maturity USD 19,000,000 01/04/24 -- -- (509,038) (509,038)
Citibank,
N.A....... 2.141% Fixed CPI Maturity USD 17,000,000 04/16/28 -- -- (629,819) (629,819)
Citibank,
N.A....... 2.114% Fixed CPI Maturity USD 14,000,000 12/19/23 -- -- (352,487) (352,487)
Citibank,
N.A....... 2.112% Fixed CPI Maturity USD 11,000,000 05/02/24 -- -- (324,059) (324,059)
Citibank,
N.A....... 2.112% Fixed CPI Maturity USD 27,000,000 12/21/24 -- -- (759,258) (759,258)
Citibank,
N.A....... 2.102% Fixed CPI Maturity USD 11,000,000 11/21/26 -- -- (361,994) (361,994)
Citibank,
N.A....... 2.100% Fixed CPI Maturity USD 18,000,000 12/11/25 -- -- (551,725) (551,725)
Citibank,
N.A....... 2.087% Fixed CPI Maturity USD 23,000,000 12/29/22 -- -- (434,100) (434,100)
Citibank,
N.A....... 2.005% Fixed CPI Maturity USD 12,000,000 11/09/25 -- -- (238,027) (238,027)
151
DFA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- -------- ------------ --------------
Citibank,
N.A....... 1.986% Fixed CPI Maturity USD 20,000,000 07/24/23 -- -- $ (256,544) $ (256,544)
Citibank,
N.A....... 1.678% Fixed CPI Maturity USD 15,000,000 06/17/23 -- -- (66,803) (66,803)
Citibank,
N.A....... 1.675% Fixed CPI Maturity USD 20,000,000 09/03/24 -- -- (69,375) (69,375)
------------ ------------
TOTAL (DEPRECIATION)......................... $(16,912,237) $(16,912,237)
------------ ------------
TOTAL APPRECIATION (DEPRECIATION)............ $(12,363,010) $(12,363,010)
============ ============
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
-------- ------------ -------- ------------
Municipal Bonds....................................................... -- $884,941,903 -- $884,941,903
Swap Agreements**..................................................... -- (12,363,010) -- (12,363,010)
-------- ------------ -------- ------------
TOTAL................................................................. -- $872,578,893 -- $872,578,893
======== ============ ======== ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
152
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
CALIFORNIA -- (100.0%)
Albany Unified School District (GO)
5.000%, 08/01/25................................................. 230 $ 279,236
Alhambra Unified School District (GO) Series A
1.750%, 08/01/22................................................. 300 305,610
Alhambra Unified School District (GO) Series B
5.000%, 08/01/23................................................. 100 114,794
Anaheim Housing & Public Improvements Authority (RB)
(Currency) 5.000%, 10/01/33 (Pre-refunded @ $100, 10/1/21).................. 500 537,610
(Currency) 5.000%, 10/01/41 (Pre-refunded @ $100, 10/1/21).................. 1,320 1,419,290
Anaheim Union High School District (GO)
5.000%, 08/01/20................................................. 100 102,855
Bay Area Toll Authority (RB) Series S-4
(Currency) 5.250%, 04/01/53 (Pre-refunded @ $100, 4/1/23)................... 250 285,423
Berkeley Unified School District (GO) Series E
5.000%, 08/01/27................................................. 695 893,283
Beverly Hills Unified School District (GO)
2.000%, 08/01/22................................................. 150 154,310
Burbank Unified School District (GO)
5.000%, 08/01/24................................................. 565 669,700
Cajon Valley Union School District (GO)
5.000%, 08/01/24................................................. 305 360,897
California Infrastructure & Economic Development Bank (RB) (AMBAC) Series A
(Currency) 5.000%, 07/01/36 (Pre-refunded @ $100, 1/1/28)................... 100 129,627
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California Municipal Finance Authority (RB)
(Currency) 6.000%, 01/01/42 (Pre-refunded @ $100, 1/1/22)................... 1,250 $1,382,537
California State (GO)
5.000%, 12/01/22................................................. 500 559,220
5.000%, 08/01/23................................................. 585 668,532
5.000%, 10/01/25................................................. 1,700 2,068,203
~ 5.000%, 08/01/26................................................. 2,380 2,948,630
~ 5.000%, 08/01/26................................................. 2,540 3,146,857
4.000%, 11/01/26................................................. 1,735 2,046,346
3.500%, 08/01/27................................................. 2,835 3,272,752
5.000%, 08/01/27................................................. 4,200 5,309,388
5.000%, 11/01/27................................................. 200 254,198
5.000%, 08/01/28................................................. 730 940,554
California State (GO) Series B
5.000%, 09/01/26................................................. 3,215 3,990,812
California State (GO) (AMBAC)
5.000%, 02/01/27................................................. 625 781,356
California State Department of Water Resources (RB) Series AQ
(Currency) 4.000%, 12/01/32 (Pre-refunded @ $100, 6/1/23)................... 3,500 3,879,540
California State Department of Water Resources (RB) Series AS
5.000%, 12/01/24................................................. 775 927,210
California State Department of Water Resources Power Supply Revenue (RB)
Series L
5.000%, 05/01/20................................................. 325 331,409
(Currency) 5.000%, 05/01/22 (Pre-refunded @ $100, 5/1/20)................... 1,000 1,019,870
California State Department of Water Resources Power Supply Revenue (RB)
Series O
5.000%, 05/01/21................................................. 1,000 1,059,540
5.000%, 05/01/22................................................. 1,675 1,838,631
153
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California State Public Works Board (RB)
(Currency) 6.125%, 11/01/29 (Pre-refunded @ $100, 11/1/19).................. 1,000 $1,000,000
California State Public Works Board (RB) Series C-1
(Currency) 5.000%, 03/01/22 (Pre-refunded @ $100, 3/1/20)................... 310 314,120
California State Public Works Board (RB) Series D
(Currency) 5.000%, 09/01/24 (Pre-refunded @ $100, 9/1/22)................... 935 1,041,403
(Currency) 5.000%, 09/01/29 (Pre-refunded @ $100, 9/1/22)................... 1,250 1,392,250
California State University (RB) Series A
5.000%, 11/01/20................................................. 570 592,960
5.000%, 11/01/21................................................. 250 269,948
5.000%, 11/01/23................................................. 375 433,898
5.000%, 11/01/23................................................. 1,935 2,238,911
Camrosa Water District Financing Authority (RB) Series A
4.000%, 01/15/22................................................. 205 218,647
Carlsbad Unified School District (GO)
5.000%, 08/01/26................................................. 310 389,301
City & County of San Francisco (GO) Series
5.000%, 06/15/22................................................. 200 220,792
City & County of San Francisco (GO) Series A
5.000%, 06/15/24................................................. 800 943,688
City & County of San Francisco (GO) Series R1
5.000%, 06/15/21................................................. 250 266,133
City of Grover Beach (GO)
5.000%, 09/01/22................................................. 390 433,941
5.000%, 09/01/26................................................. 345 434,414
5.000%, 09/01/27................................................. 445 573,467
City of Los Angeles (RN)
5.000%, 06/25/20................................................. 4,410 4,523,072
City of Los Angeles CA Solid Waste Resources Revenue (RB) Series A
5.500%, 02/01/20................................................. 2,000 2,022,020
City of Pacifica COP
5.000%, 01/01/24................................................. 250 290,373
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
City of Pittsburg Water Revenue (RB) Series A
5.000%, 08/01/24................................................. 275 $ 325,820
City of San Francisco Public Utilities Commission Water Revenue (RB)
5.000%, 11/01/23................................................. 645 744,936
5.000%, 11/01/24................................................. 1,000 1,191,240
City of San Francisco Public Utilities Commission Water Revenue (RB) Series D
5.000%, 11/01/25................................................. 220 269,837
5.000%, 11/01/26................................................. 150 188,735
City of Santa Rosa Wastewater Revenue (RB) Series A
5.000%, 09/01/21................................................. 330 354,308
Cloverdale Unified School District (GO) (AGM) Series A
(Currency) 5.250%, 08/01/32 (Pre-refunded @ $100, 8/1/21)................... 235 252,367
Conejo Valley Unified School District (GO) Series
4.000%, 08/01/27................................................. 525 635,985
Contra Costa Transportation Authority (RB) Series A
5.000%, 03/01/24................................................. 2,750 3,214,722
Contra Costa Transportation Authority (RB) Series B
(Currency) 5.000%, 03/01/23 (Pre-refunded @ $100, 3/1/20)................... 225 227,990
Culver City Unified School District (GO) Series C
8.000%, 08/01/23................................................. 460 578,643
Desert Sands Unified School District (GO) Series A
5.000%, 06/01/23................................................. 375 428,089
Dixie School District (GO)
5.000%, 08/01/21................................................. 500 535,160
Dublin-San Ramon Services District Water Revenue (RB)
(Currency) 5.500%, 08/01/34 (Pre-refunded @ $100, 2/1/21)................... 1,425 1,505,555
El Monte Union High School District (GO)
5.000%, 06/01/24................................................. 250 294,795
154
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Elsinore Valley Municipal Water District Financing Authority (RB) Series A
5.000%, 07/01/24................................................. 400 $ 472,896
Emery Unified School District (GO)
5.000%, 08/01/27................................................. 600 766,074
Fairfield-Suisun Unified School District (GO)
5.000%, 08/01/26................................................. 695 873,302
Grossmont Healthcare District (GO) Series C
5.000%, 07/15/23................................................. 1,000 1,145,460
Grossmont Union High School District (GO)
5.000%, 08/01/21................................................. 200 214,064
Kern High School District (GO) Series E
4.000%, 08/01/24................................................. 200 227,720
Los Angeles Community College District (GO) Series C
5.000%, 08/01/22................................................. 360 399,193
5.000%, 06/01/26................................................. 530 658,991
Los Angeles County Metropolitan Transportation Authority (RB)
(Currency) 5.000%, 07/01/23 (Pre-refunded @ $100, 7/1/21)................... 1,000 1,067,150
Los Angeles County Metropolitan Transportation Authority (RB) Series A
5.000%, 07/01/22................................................. 1,600 1,769,968
5.000%, 07/01/24................................................. 600 708,744
Los Angeles County Metropolitan Transportation Authority (RB) Series A-
5.000%, 07/01/25................................................. 570 693,878
Los Angeles Department of Water (RB) Series A
5.000%, 07/01/24................................................. 250 295,560
5.000%, 07/01/25................................................. 1,000 1,218,560
Los Angeles Department of Water & Power Power System Revenue (RB) Series B
5.000%, 07/01/26................................................. 400 500,112
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Department of Water & Power Power System Revenue (RB) Series C
5.000%, 07/01/26................................................. 335 $ 418,844
Los Angeles Department of Water & Power Power System Revenue (RB) Series D
5.000%, 07/01/27................................................. 1,000 1,283,610
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/24................................................. 1,425 1,671,197
5.000%, 07/01/26................................................. 1,085 1,339,281
5.000%, 07/01/27................................................. 480 604,891
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/27................................................. 175 220,533
Los Rios Community College District (GO) Series F
2.000%, 08/01/20................................................. 200 201,576
Mesa Water District COP
(Currency) 5.000%, 03/15/22 (Pre-refunded @ $100, 3/15/20).................. 500 507,350
Millbrae Public Financing Authority (RB)
5.000%, 12/01/25................................................. 390 480,152
5.000%, 12/01/26................................................. 265 333,293
5.000%, 12/01/27................................................. 385 494,956
Morongo Unified School District (GO) Series A
5.000%, 08/01/25................................................. 20 24,294
5.000%, 08/01/26................................................. 280 348,944
5.000%, 08/01/27................................................. 130 165,653
Mount Diablo Unified School District (GO) Series G
3.000%, 08/01/24................................................. 130 141,697
Municipal Improvement Corp.of Los Angeles (RB) Series A
5.000%, 11/01/22................................................. 1,100 1,227,897
5.000%, 11/01/23................................................. 750 865,245
5.000%, 11/01/24................................................. 425 505,138
Napa Valley Community College District (GO) Series A
5.000%, 08/01/21................................................. 250 267,580
New Haven Unified School District (GO)
5.000%, 08/01/26................................................. 150 186,276
155
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Northern California Transmission Agency (RB) Series
5.000%, 05/01/24................................................. 280 $ 328,367
Northern Humboldt Union High School District (GO)
4.000%, 08/01/25................................................. 120 138,820
Novato Sanitary District (RB)
5.000%, 02/01/22................................................. 340 370,522
Oak Park Unified School District (GO)
4.000%, 08/01/22................................................. 200 216,320
Oakdale Joint Unified School District (GO)
4.000%, 08/01/23................................................. 400 443,268
Oakland Unified School District/Alameda County (GO)
5.000%, 08/01/24................................................. 750 878,715
(Currency) 6.625%, 08/01/38 (Pre- refunded @ $100, 8/1/21).................. 800 877,784
Oakland Unified School District/Alameda County (GO) Series A
5.000%, 08/01/25................................................. 200 240,716
Oakland Unified School District/Alameda County (GO) Series C
5.000%, 08/01/24................................................. 510 597,526
Oakland Unified School District/Alameda County (GO) (AGM)
5.000%, 08/01/25................................................. 1,075 1,297,149
Ontario Montclair School District (GO) (AGM) Series B
5.000%, 08/01/21................................................. 160 171,251
Otay Water District (RB)
5.000%, 09/01/22................................................. 740 822,495
Pacific Grove Unified School District (GO)
3.000%, 08/01/26................................................. 210 234,721
Palm Springs Financing Authority (RB)
5.000%, 11/01/25................................................. 260 319,914
Palomar Community College District (GO)
5.000%, 05/01/23................................................. 200 227,676
Pasadena Unified School District (GO)
5.000%, 08/01/26................................................. 525 658,135
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Pasadena Unified School District (GO) Series B
5.000%, 08/01/26................................................. 1,000 $1,253,590
Placentia-Yorba Linda Unified School District (GO)
5.000%, 08/01/23................................................. 205 235,492
Redondo Beach Unified School District (GO) (AGM) Series A
5.000%, 08/01/23................................................. 255 292,118
Reed Union School District (GO)
4.000%, 08/01/26................................................. 250 297,908
Regents of the University of California Medical Center Pooled Revenue (RB)
Series J
(Currency) 5.000%, 05/15/25 (Pre- refunded @ $100, 5/15/23)................. 530 602,175
(Currency) 5.250%, 05/15/27 (Pre- refunded @ $100, 5/15/23)................. 260 297,653
Ross Valley Public Financing Authority (RB)
5.000%, 01/01/25................................................. 410 493,132
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/23................................................. 350 401,877
San Carlos CA School District (GO)
5.000%, 10/01/20................................................. 500 518,360
San Diego Community College District (GO)
5.000%, 08/01/23................................................. 500 574,170
5.000%, 08/01/26................................................. 1,660 2,080,959
San Diego County Water Authority (RB)
5.000%, 05/01/24................................................. 940 1,103,729
San Diego Unified School District (RN) Series A
5.000%, 06/30/20................................................. 2,000 2,051,020
San Diego Unified School District (GO) (AGM) Series F-1
5.250%, 07/01/27................................................. 475 614,773
San Diego Unified School District (GO) Series R-5
5.000%, 07/01/26................................................. 200 249,182
San Diego Unified School District/ CA Series R-4
5.000%, 07/01/24 (GO)............................................ 605 712,539
156
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
San Francisco Community College District (GO)
5.000%, 06/15/24................................................. 1,315 $1,549,885
San Francisco County Transportation Authority (RB)
3.000%, 02/01/22................................................. 1,300 1,359,761
San Francisco Unified School District (GO) Series A
5.000%, 06/15/25................................................. 650 790,231
5.000%, 06/15/26................................................. 880 1,100,290
San Gabriel Unified School District (GO) Series A
5.000%, 08/01/25................................................. 230 278,666
San Lorenzo Unified School District (GO)
5.000%, 08/01/21................................................. 140 149,845
San Mateo Union High School District (GO) Series C
4.000%, 09/01/26................................................. 320 379,827
San Matro County Community College District (GO) Series B
5.000%, 09/01/28................................................. 100 132,066
San Rafael City High School District (GO) Series B
5.000%, 08/01/27................................................. 100 128,615
Santa Clara County Financing Authority (RB) Series A
5.000%, 11/15/22................................................. 2,000 2,240,560
Santa Clara Valley Transportation Authority (RB) Series A
5.000%, 06/01/26................................................. 400 500,516
Santa County Clara (GO) Series C
~ 5.000%, 08/01/26................................................. 1,100 1,382,205
Santee School District (GO)
5.000%, 08/01/24................................................. 290 343,296
Scotts Valley Unified School District (GO) Series B
4.000%, 08/01/24................................................. 150 170,865
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
CALIFORNIA -- (Continued)
4.000%, 08/01/25........................................................... 250 $ 291,325
5.000%, 08/01/26........................................................... 250 313,583
Southwestern Community College District (GO) Series B
4.000%, 08/01/25........................................................... 250 291,020
Sylvan Union School District (GO)
5.000%, 08/01/26........................................................... 620 777,226
Sylvan Union School District (GO) Series
5.000%, 08/01/25........................................................... 380 463,471
Tahoe-Truckee Unified School District (GO)
5.000%, 08/01/26........................................................... 100 124,990
Tahoe-Truckee Unified School District (GO) Series C
2.000%, 08/01/20........................................................... 1,190 1,199,377
University of California (RB) Series AF
5.000%, 05/15/22........................................................... 750 825,960
(Currency) 5.000%, 05/15/27 (Pre-refunded @ $100, 5/15/23)............................ 4,240 4,817,403
Washington Union School District/ Monterey County (GO)
5.000%, 08/01/27........................................................... 135 172,595
West Valley-Mission Community College District (GO) Series B
5.000%, 08/01/27........................................................... 220 282,953
------------
TOTAL MUNICIPAL BONDS.................................................................. 131,994,406
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $128,034,844).................................................................. $131,994,406
============
As of October 31, 2019, DFA California Municipal Real Return Portfolio had
entered into the following outstanding Inflation Swaps:
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ -------- -------- --------- ------------- ---------- -------- -------- --------- --------------
Bank of America 2.367%
Corp.......... Fixed CPI Maturity USD 6,000,000 07/17/25 -- -- $(312,898) $(312,898)
157
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
CONTINUED
PAYMENTS PAYMENTS UPFRONT UPFRONT UNREALIZED
MADE RECEIVED PAYMENT NOTIONAL EXPIRATION PREMIUMS PREMIUMS MARKET APPRECIATION
COUNTERPARTY BY FUND BY FUND FREQUENCY AMOUNT DATE PAID RECEIVED VALUE (DEPRECIATION)
------------ ------------ -------- --------- -------------- ---------- -------- --------- ----------- --------------
Bank of America
Corp.............. 2.265% Fixed CPI Maturity USD 7,000,000 02/23/24 -- -- $ (249,523) $ (249,523)
Bank of America
Corp.............. 2.065% Fixed CPI Maturity USD 9,000,000 12/12/26 -- -- (296,696) (296,696)
Bank of America
Corp.............. 2.062% Fixed CPI Maturity USD 4,000,000 11/08/23 -- -- (74,120) (74,120)
Bank of America
Corp.............. 2.060% Fixed CPI Maturity USD 11,000,000 11/06/21 -- -- (99,189) (99,189)
Bank of America
Corp.............. 2.058% Fixed CPI Maturity USD 11,000,000 12/12/22 -- -- (192,659) (192,659)
Bank of America
Corp.............. 1.885% Fixed CPI Maturity USD 8,000,000 01/22/24 -- -- (119,061) (119,061)
Citibank, N.A....... 2.312% Fixed CPI Maturity USD 7,000,000 07/24/23 -- -- (258,384) (258,384)
Citibank, N.A....... 2.289% Fixed CPI Maturity USD 12,000,000 07/26/23 -- -- (429,806) (429,806)
Citibank, N.A....... 2.260% Fixed CPI Maturity USD 10,000,000 08/08/22 -- -- (283,987) (283,987)
Citibank, N.A....... 2.225% Fixed CPI Maturity USD 6,000,000 03/26/23 -- -- (180,550) (180,550)
Citibank, N.A....... 2.160% Fixed CPI Maturity USD 7,000,000 01/09/23 -- -- (160,531) (160,531)
Citibank, N.A....... 2.143% Fixed CPI Maturity USD 8,000,000 01/18/22 -- -- (133,621) (133,621)
Citibank, N.A....... 2.054% Fixed CPI Maturity USD 10,000,000 11/06/22 -- -- (138,147) (138,147)
Citibank, N.A....... 1.986% Fixed CPI Maturity USD 6,000,000 02/20/26 -- -- (131,403) (131,403)
Citibank, N.A....... 1.808% Fixed CPI Maturity USD 4,000,000 07/01/25 -- -- (45,906) (45,906)
Merrill Lynch
Capital Services,
Inc............... 2.317% Fixed CPI Maturity USD 6,000,000 05/09/25 -- -- (239,157) (239,157)
----------- -----------
TOTAL (DEPRECIATION)....... $(3,345,638) $(3,345,638)
----------- -----------
TOTAL APPRECIATION
(DEPRECIATION)........... $(3,345,638) $(3,345,638)
=========== ===========
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
------- ------------ ------- ------------
Municipal Bonds................................... -- $131,994,406 -- $131,994,406
Swap Agreements**................................. -- (3,345,638) -- (3,345,638)
-- ------------ -- ------------
TOTAL............................................. -- $128,648,768 -- $128,648,768
== ============ == ============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
158
DFA MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/20................................................. 200 $ 205,682
5.000%, 08/01/21................................................. 1,000 1,066,540
5.000%, 08/01/23................................................. 300 341,769
Baldwin County (GO)
4.000%, 05/01/20................................................. 610 618,528
----------
TOTAL ALABAMA........................................................ 2,232,519
----------
ALASKA -- (0.3%)
Alaska State (GO) Series B
5.000%, 08/01/20................................................. 290 298,108
Borough of Fairbanks North Star (GO) Series S
4.000%, 10/01/21................................................. 560 589,927
City of Anchorage (GO) Series A
3.000%, 09/01/22................................................. 765 803,388
----------
TOTAL ALASKA......................................................... 1,691,423
----------
ARIZONA -- (0.5%)
City of Chandler (GO)
3.000%, 07/01/20................................................. 550 556,759
City of Phoenix (GO)
5.000%, 07/01/20................................................. 880 902,317
4.000%, 07/01/21................................................. 500 523,590
Maricopa County School District No. 3 Tempe Elementary (GO)
3.000%, 07/01/21................................................. 550 566,753
----------
TOTAL ARIZONA........................................................ 2,549,419
----------
ARKANSAS -- (0.6%)
Arkansas State (GO)
5.000%, 04/01/21................................................. 400 421,620
5.000%, 06/15/21................................................. 1,250 1,327,337
5.000%, 04/01/22................................................. 1,110 1,211,288
----------
TOTAL ARKANSAS....................................................... 2,960,245
----------
CALIFORNIA -- (1.5%)
California State (GO)
3.500%, 08/01/27................................................. 5,000 5,772,050
California State (GO) Series B
5.000%, 09/01/26................................................. 1,195 1,483,365
----------
TOTAL CALIFORNIA..................................................... 7,255,415
----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
COLORADO -- (2.3%)
Boulder Valley School District No. Re-2 Boulder (GO) (ST AID
WITHHLDG) Series B
4.000%, 12/01/24................................................. 1,000 $ 1,136,450
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG)
5.000%, 12/01/25................................................. 4,150 5,057,439
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG)
Series B
5.000%, 12/01/24................................................. 550 652,327
Pueblo City Schools (GO) (ST AID WITHHLDG)
5.000%, 12/15/20................................................. 550 573,491
Weld County School District No. RE-4 (GO) (ST AID WITHHLDG)
4.000%, 12/01/22................................................. 1,140 1,236,661
5.000%, 12/01/24................................................. 2,280 2,700,500
-----------
TOTAL COLORADO....................................................... 11,356,868
-----------
CONNECTICUT -- (0.5%)
City of Danbury (GO) (BAN)
3.000%, 07/16/20................................................. 2,000 2,026,580
Connecticut State (GO) Series E
4.000%, 09/15/20................................................. 550 563,332
-----------
TOTAL CONNECTICUT.................................................... 2,589,912
-----------
DELAWARE -- (0.5%)
Kent County (GO)
4.000%, 09/01/24................................................. 415 469,270
New Castle County (GO)
5.000%, 10/01/23................................................. 1,600 1,836,928
-----------
TOTAL DELAWARE....................................................... 2,306,198
-----------
DISTRICT OF COLUMBIA -- (0.4%)
Washington Metropolitan Area Transit Authority (RB) Series B
5.000%, 07/01/25................................................. 720 864,626
5.000%, 07/01/27................................................. 1,000 1,256,060
-----------
TOTAL DISTRICT OF COLUMBIA........................................... 2,120,686
-----------
159
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
FLORIDA -- (1.3%)
City of Port Saint Lucie (GO)
5.000%, 07/01/20................................................. 420 $ 430,370
Flagler County (GO) (BAM)
5.000%, 07/01/22................................................. 465 510,398
Florida State (GO) Series A
5.000%, 06/01/24................................................. 350 409,461
Florida State (GO) Series C
5.000%, 06/01/23................................................. 1,015 1,151,406
Florida State Board of Education (GO) Series E
5.000%, 06/01/20................................................. 1,390 1,420,900
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21................................................. 525 563,451
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22................................................. 1,000 1,116,310
Palm Beach County (RB)
5.000%, 11/01/23................................................. 810 930,698
-----------
TOTAL FLORIDA........................................................ 6,532,994
-----------
GEORGIA -- (3.5%)
Columbia County School District (GO) (ST AID WITHHLDG)
5.000%, 04/01/20................................................. 1,305 1,325,502
Georgia State (GO) Series A
5.000%, 07/01/26................................................. 1,200 1,487,280
Georgia State (GO) Series E
5.000%, 12/01/21................................................. 3,000 3,239,340
5.000%, 12/01/26................................................. 2,000 2,503,100
Georgia State (GO) Series F
5.000%, 07/01/26................................................. 1,450 1,797,130
Georgia State (GO) Series I
5.000%, 07/01/20................................................. 2,000 2,050,860
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)
5.000%, 10/01/23................................................. 4,590 5,265,923
-----------
TOTAL GEORGIA........................................................ 17,669,135
-----------
HAWAII -- (3.0%)
City & County of Honolulu (GO) Series B
5.000%, 10/01/23................................................. 150 171,903
5.000%, 10/01/25................................................. 725 878,802
Hawaii County (GO) Series D
5.000%, 09/01/20................................................. 1,375 1,418,092
Hawaii State (GO) Series EE
5.000%, 11/01/20................................................. 1,300 1,349,478
Hawaii State (GO) Series EO
5.000%, 08/01/22................................................. 1,000 1,103,710
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
HAWAII -- (Continued)
Hawaii State (GO) Series FB
5.000%, 04/01/24................................................. 2,975 $ 3,460,341
Hawaii State (GO) Series FE
5.000%, 10/01/23................................................. 2,000 2,292,040
5.000%, 10/01/24................................................. 1,005 1,186,272
5.000%, 10/01/25................................................. 2,790 3,381,871
-----------
TOTAL HAWAII......................................................... 15,242,509
-----------
INDIANA -- (0.6%)
Indiana University (RB) Series A
5.000%, 06/01/21................................................. 2,755 2,921,402
-----------
IOWA -- (0.3%)
City of Davenport (GO) Series C
4.000%, 06/01/24................................................. 1,410 1,580,892
-----------
KANSAS -- (1.3%)
City of Merriam (GO)
5.000%, 10/01/25................................................. 800 971,744
City of Wichita (GO) Series 811
5.000%, 06/01/22................................................. 550 603,548
Johnson County (GO) Series B
5.000%, 09/01/22................................................. 650 719,771
Johnson County Unified School District No. 229 Blue Valley (GO)
Series A
5.000%, 10/01/26................................................. 225 279,997
Johnson County Unified School District No. 229 Blue Valley (GO)
Series B
5.000%, 10/01/23................................................. 750 860,130
Kansas State Department of Transportation (RB) Series A
5.000%, 09/01/26................................................. 1,000 1,236,890
Saline County Unified School District No. 305 Salina (GO)
5.000%, 09/01/20................................................. 1,900 1,960,021
-----------
TOTAL KANSAS......................................................... 6,632,101
-----------
KENTUCKY -- (1.4%)
Louisville & Jefferson County (RB)
5.000%, 12/01/35 (Pre- refunded @ $100, 12/1/35)................. 2,200 2,410,166
160
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
KENTUCKY -- (Continued)
Louisville & Jefferson County (GO) Series B
5.000%, 11/01/21........................................................... 1,700 $1,827,466
Louisville & Jefferson County Metropolitan Sewer District (RB) Series C
5.000%, 05/15/23........................................................... 1,850 2,089,482
Louisville Water Co. (RB) Series A
4.000%, 11/15/21........................................................... 800 846,128
----------
TOTAL KENTUCKY................................................................. 7,173,242
----------
LOUISIANA -- (0.3%)
Louisiana State (GO) Series C
5.000%, 08/01/21........................................................... 1,000 1,064,750
5.000%, 08/01/23........................................................... 500 567,255
----------
TOTAL LOUISIANA................................................................ 1,632,005
----------
MAINE -- (0.2%)
Maine State (GO) Series B
5.000%, 06/01/23........................................................... 1,000 1,133,270
----------
MARYLAND -- (6.1%)
Anne County Arundel (GO)
5.000%, 10/01/20........................................................... 500 517,430
Baltimore County (GO)
5.000%, 08/01/20........................................................... 750 771,420
5.000%, 08/01/22........................................................... 600 662,400
5.000%, 03/01/28........................................................... 1,335 1,710,148
Carroll County (GO)
5.000%, 11/01/21........................................................... 550 592,031
City of Baltimore (GO) Series B
5.000%, 10/15/27........................................................... 2,025 2,562,577
Harford County (GO) Series A
5.000%, 09/15/20........................................................... 570 588,952
Howard County (GO) Series D
5.000%, 02/15/24........................................................... 1,300 1,506,284
Maryland State (GO)
5.000%, 06/01/22........................................................... 1,175 1,290,021
5.000%, 06/01/23........................................................... 3,000 3,403,170
Maryland State (GO) Series A
5.000%, 08/01/27........................................................... 3,000 3,794,940
Maryland State (GO) Series B
5.000%, 08/01/20........................................................... 1,000 1,029,050
4.000%, 08/01/23........................................................... 850 938,315
5.000%, 08/01/24........................................................... 1,000 1,174,650
5.000%, 08/01/27........................................................... 500 632,490
Maryland State (GO) Series C
5.000%, 08/01/20........................................................... 700 720,335
5.000%, 08/01/22........................................................... 1,000 1,104,000
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MARYLAND -- (Continued)
Montgomery County (GO) Series A
5.000%, 11/01/24................................................. 2,000 $ 2,366,440
Montgomery County (GO) Series B
5.000%, 12/01/21................................................. 350 377,174
Montgomery County (GO) Series D
3.000%, 11/01/23................................................. 3,000 3,212,490
Washington Suburban Sanitary Commission (RB)
5.000%, 06/01/24................................................. 655 765,636
Worcester County (GO) Series B
4.000%, 08/01/21................................................. 1,000 1,049,350
-----------
TOTAL MARYLAND............................................................... 30,769,303
-----------
MASSACHUSETTS -- (2.4%)
City of Lowell (GO) (ST AID WITHHLDG)
4.000%, 09/01/23................................................. 250 276,133
City of Springfield (GO) (ST AID WITHHLDG) Series C
4.000%, 08/01/23................................................. 285 313,950
Commonwealth of Massachusetts (GO) Series A
5.000%, 07/01/26................................................. 1,250 1,542,950
Commonwealth of Massachusetts (GO) Series B
5.000%, 01/01/22................................................. 1,000 1,082,260
5.000%, 08/01/22................................................. 1,165 1,285,822
Commonwealth of Massachusetts (GO) Series C
5.000%, 08/01/20................................................. 100 102,879
5.000%, 10/01/21................................................. 1,750 1,878,170
5.000%, 04/01/22................................................. 1,275 1,391,662
Commonwealth of Massachusetts (GO) (AGM) Series B
5.250%, 09/01/24................................................. 400 475,472
Massachusetts Development Finance Agency (RB) Series I
(Currency) 6.750%, 01/01/36 (Pre- refunded @ $100, 1/1/21).................. 2,865 3,047,644
161
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MASSACHUSETTS -- (Continued)
Town of Holbrook (GO)
5.000%, 12/01/21................................................... 755 $ 814,909
-----------
TOTAL MASSACHUSETTS............................................................ 12,211,851
-----------
MICHIGAN -- (1.0%)
Michigan State (GO) Series A
5.000%, 12/01/24................................................... 1,275 1,514,292
Michigan State Trunk Line Revenue (RB) (AGM)
5.500%, 11/01/21................................................... 3,275 3,559,728
-----------
TOTAL MICHIGAN................................................................. 5,074,020
-----------
MINNESOTA -- (3.9%)
Bloomington Independent School District No. 271 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21................................................... 1,100 1,151,898
City of Rochester (GO) Series A
5.000%, 02/01/20................................................... 150 151,398
City of Saint Paul (GO) Series A
5.000%, 09/01/21................................................... 400 428,028
City of Saint Paul (GO) Series B
5.000%, 11/01/20................................................... 100 103,816
Elk River Independent School District No. 728 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21................................................... 520 544,404
Elk River Independent School District No. 728 (GO) (SD CRED PROG) Series C
5.000%, 02/01/21................................................... 3,000 3,140,790
Hennepin County (GO) Series B
5.000%, 12/01/21................................................... 350 377,709
Housing & Redevelopment Authority of The City of Saint Paul Minnesota (RB)
Series A1
(Currency) 5.250%, 11/15/29 (Pre- refunded @ $100, 11/15/19).................. 2,000 2,002,460
Metropolitan Council (GO) Series B
5.000%, 03/01/24................................................... 1,295 1,503,094
Minnesota State (GO) Series A
5.000%, 10/01/27................................................... 2,000 2,542,580
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MINNESOTA -- (Continued)
Minnesota State (GO) Series D
5.000%, 08/01/21........................................................... 2,000 $ 2,133,800
Minnesota State (GO) Series E
5.000%, 08/01/22........................................................... 760 839,253
4.000%, 10/01/22........................................................... 3,000 3,244,710
Saint Paul Independent School District No. 625 (GO) (SD CRED PROG) Series B
5.000%, 02/01/21........................................................... 1,425 1,491,875
-----------
TOTAL MINNESOTA................................................................ 19,655,815
-----------
MISSISSIPPI -- (0.2%)
Mississippi State (GO) Series C
5.000%, 10/01/20........................................................... 950 983,032
-----------
MISSOURI -- (1.9%)
Cass County Reorganized School District No. R-2 (GO) (ST AID DIR DEP)
5.000%, 03/01/21........................................................... 1,110 1,165,711
Columbia School District (GO) Series B
5.000%, 03/01/25........................................................... 1,725 2,056,631
Saint Louis County Reorganized School District No R-6 (GO)
5.000%, 02/01/26........................................................... 5,000 6,111,400
-----------
TOTAL MISSOURI................................................................. 9,333,742
-----------
MONTANA -- (0.1%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21........................................................... 500 523,165
-----------
NEBRASKA -- (1.3%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21........................................................... 700 731,766
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20........................................................... 300 312,270
Omaha School District (GO)
5.000%, 12/15/25........................................................... 4,000 4,881,880
Southern Public Power District (RB)
5.000%, 12/15/21........................................................... 400 431,632
-----------
TOTAL NEBRASKA................................................................. 6,357,548
-----------
162
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEVADA -- (1.1%)
Clark County School District (GO) Series A
5.000%, 06/15/21................................................. 1,250 $ 1,321,550
Nevada State (GO) Series C
5.000%, 11/01/24................................................. 450 531,972
Nevada State (GO) Series D1
5.000%, 03/01/22................................................. 250 272,045
Washoe County School District (GO) Series D
5.000%, 06/01/21................................................. 3,335 3,525,629
-----------
TOTAL NEVADA......................................................... 5,651,196
-----------
NEW HAMPSHIRE -- (0.3%)
City of Dover (GO)
3.000%, 06/15/20................................................. 610 616,991
City of Nashua (GO)
4.000%, 07/15/24................................................. 770 868,236
-----------
TOTAL NEW HAMPSHIRE.................................................. 1,485,227
-----------
NEW JERSEY -- (2.7%)
City of Hoboken (GO)
3.000%, 02/01/23................................................. 2,000 2,104,520
3.000%, 02/01/25................................................. 910 980,762
Middlesex County (GO)
4.000%, 01/15/21................................................. 1,210 1,251,309
Montville Township (GO)
3.000%, 10/01/25................................................. 500 548,415
Princeton (GO)
3.000%, 09/15/24................................................. 1,515 1,639,488
Township of North Brunswick (GO) (BAN) Series A
3.000%, 07/21/20................................................. 5,000 5,061,550
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/21................................................. 2,000 2,032,000
-----------
TOTAL NEW JERSEY..................................................... 13,618,044
-----------
NEW MEXICO -- (1.4%)
New Mexico State (GO)
5.000%, 03/01/21................................................. 1,000 1,050,190
New Mexico State Severance Tax Permanent Fund (RB) Series A
5.000%, 07/01/27................................................. 4,000 5,020,960
Santa Fe County (GO)
5.000%, 07/01/22................................................. 710 781,866
-----------
TOTAL NEW MEXICO..................................................... 6,853,016
-----------
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (6.3%)
City of New York (GO) Series A
5.000%, 08/01/24................................................. 1,000 $1,172,130
5.000%, 08/01/24................................................. 2,100 2,461,473
5.000%, 08/01/25................................................. 1,500 1,806,285
City of New York (GO) Series C
5.000%, 08/01/22................................................. 500 551,715
City of New York (GO) Series E
5.000%, 08/01/21................................................. 265 282,490
5.000%, 08/01/22................................................. 1,000 1,103,430
City of New York (GO) Series F
5.000%, 08/01/21................................................. 450 479,700
City of New York (GO) Series F-1
5.000%, 06/01/21................................................. 2,110 2,235,735
City of New York (GO) Series H
5.000%, 08/01/22................................................. 2,010 2,217,894
Kingston City School District (GO) (ST AID WITHHLDG)
3.000%, 06/01/26................................................. 1,530 1,672,535
Metropolitan Transportation Authority (RB)
5.000%, 11/15/25................................................. 1,275 1,534,004
Middle Country Central School District (GO) (ST AID WITHHLDG)
2.000%, 08/15/21................................................. 400 406,468
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20................................................. 760 764,218
New York State Dormitory Authority (RB) Series A
5.000%, 03/15/21................................................. 1,000 1,052,360
5.000%, 02/15/22................................................. 2,000 2,174,560
5.000%, 03/15/23................................................. 600 676,896
5.000%, 02/15/25................................................. 500 596,540
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22................................................. 800 869,824
5.000%, 02/15/24................................................. 300 348,030
New York State Dormitory Authority (RB) Series E
5.000%, 02/15/21................................................. 100 104,918
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20................................................. 810 821,429
163
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW YORK -- (Continued)
5.000%, 03/15/25................................................. 500 $ 598,240
North Shore Central School District (GO) (ST AID WITHHLDG)
2.000%, 12/15/23................................................. 315 325,962
Riverhead Central School District (GO) (ST AID WITHHLDG)
2.000%, 10/15/22................................................. 540 553,084
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/20................................................. 4,700 4,892,277
Triborough Bridge & Tunnel Authority (RB) Series C
4.000%, 11/15/27................................................. 1,500 1,799,580
-----------
TOTAL NEW YORK....................................................... 31,501,777
-----------
NORTH CAROLINA -- (4.7%)
City of Charlotte (GO) Series A
5.000%, 06/01/29................................................. 2,000 2,631,260
New Hanover County (GO)................................................
5.000%, 02/01/23................................................. 1,550 1,740,572
North Carolina Eastern Municipal Power Agency (RB) (NATL-IBC) (ETM)
Series B
6.000%, 01/01/22................................................. 1,725 1,901,640
North Carolina State (GO)
5.000%, 06/01/25................................................. 2,000 2,410,680
North Carolina State (GO) Series A
5.000%, 06/01/24................................................. 2,200 2,575,892
North Carolina State (GO) Series B
5.000%, 06/01/25................................................. 3,455 4,164,450
North Carolina State (GO) Series C
4.000%, 05/01/22................................................. 1,530 1,638,003
5.000%, 05/01/22................................................. 1,950 2,135,932
North Carolina State (GO) Series D
4.000%, 06/01/23................................................. 350 384,944
Wake County (GO).................................................
5.000%, 09/01/21................................................. 1,300 1,390,844
Wake County (GO) Series B
5.000%, 03/01/21................................................. 2,390 2,511,269
-----------
TOTAL NORTH CAROLINA................................................. 23,485,486
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NORTH DAKOTA -- (0.4%)
City of West Fargo (GO) Series A
5.000%, 05/01/24................................................. 1,150 $ 1,325,145
North Dakota State University of Agriculture & Applied Science (RB)
Series A
5.000%, 04/01/21................................................. 500 526,015
-----------
TOTAL NORTH DAKOTA................................................... 1,851,160
-----------
OHIO -- (5.0%)
City of Columbus (GO) Series 3
5.000%, 02/15/27................................................. 1,250 1,563,075
City of Columbus (GO) Series A
4.000%, 04/01/22................................................. 2,000 2,134,640
3.000%, 07/01/22................................................. 835 875,013
5.000%, 02/15/23................................................. 4,000 4,491,960
City of Columbus (GO) Series B
5.000%, 02/15/23................................................. 475 533,420
City of Columbus (GO) Series A
4.000%, 04/01/24................................................. 1,500 1,679,790
Hamilton County Sewer System Revenue (RB) Series A
5.000%, 12/01/21................................................. 500 539,480
Ohio State (GO) Series A
5.000%, 09/15/21................................................. 800 857,240
5.000%, 08/01/22................................................. 1,000 1,104,000
5.000%, 09/15/22................................................. 2,250 2,494,058
5.000%, 02/01/24................................................. 2,820 3,266,209
Ohio State (GO) Series B
5.000%, 08/01/21................................................. 1,000 1,066,900
5.000%, 06/15/22................................................. 450 494,694
5.000%, 09/01/24................................................. 2,000 2,357,080
Ohio State Water Development Authority (RB) Series A.................
5.000%, 06/01/21................................................. 1,550 1,643,620
-----------
TOTAL OHIO........................................................... 25,101,179
-----------
OKLAHOMA -- (1.1%)
City of Oklahoma City (GO)
4.000%, 03/01/23................................................. 1,680 1,835,282
4.000%, 03/01/25................................................. 1,255 1,435,306
164
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
OKLAHOMA -- (Continued)
Tulsa County Independent School District No. 1 Tulsa (GO) Series B
2.000%, 08/01/20................................................. 2,000 $ 2,011,920
-----------
TOTAL OKLAHOMA....................................................... 5,282,508
-----------
OREGON -- (2.2%)
City of McMinnville (GO)
5.000%, 02/01/22................................................. 290 314,682
City of Portland Water System Revenue (RB) Series A
5.000%, 04/01/21................................................. 1,250 1,317,563
Lane County School District No. 4J Eugene (GO) (SCH BD GTY)
3.000%, 06/15/25................................................. 940 1,027,617
5.000%, 06/15/28................................................. 2,500 3,212,675
Oregon State (GO) Series E
5.000%, 08/01/21................................................. 410 437,355
Oregon State (GO) Series F
3.000%, 05/01/20................................................. 750 756,855
Oregon State (GO) Series L
5.000%, 11/01/19................................................. 200 200,000
Washington County (GO)
5.000%, 03/01/24................................................. 3,000 3,484,830
-----------
TOTAL OREGON......................................................... 10,751,577
-----------
PENNSYLVANIA -- (0.4%)
Berks County (GO)
5.000%, 11/15/22................................................. 445 495,837
Commonwealth of Pennsylvania (GO) Series REF
5.000%, 07/01/21................................................. 550 584,205
5.000%, 07/01/22................................................. 1,025 1,126,485
-----------
TOTAL PENNSYLVANIA................................................... 2,206,527
-----------
RHODE ISLAND -- (0.2%)
Rhode Island State (GO) Series A
5.000%, 08/01/21................................................. 1,000 1,066,540
-----------
SOUTH CAROLINA -- (3.6%)
Aiken County Consolidated School District (GO) (SCSDE) Series A
5.000%, 03/01/20................................................. 770 779,648
Anderson County School District No. 4 (GO) (SCSDE) Series A
5.000%, 03/01/21................................................. 500 525,435
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
SOUTH CAROLINA -- (Continued)
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21................................................. 500 $ 528,985
Clemson University (RB) Series B
5.000%, 05/01/25................................................. 750 898,793
Florence School District One (GO) (SCSDE)
5.000%, 03/01/22................................................. 2,000 2,175,400
Richland County (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/22................................................. 1,085 1,181,196
Richland County (GO) (ST AID WITHHLDG) Series B
5.000%, 03/01/25................................................. 535 639,983
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20................................................. 500 506,265
5.000%, 03/01/21................................................. 1,235 1,297,824
5.000%, 03/01/28................................................. 3,000 3,805,290
Richland County School District No. 2 (GO) (SCSDE) Series A
5.000%, 02/01/20................................................. 600 605,592
York County (GO) (ST AID WITHHLDG)
5.000%, 04/01/24................................................. 4,195 4,887,217
-----------
TOTAL SOUTH CAROLINA................................................. 17,831,628
-----------
TENNESSEE -- (3.4%)
Blount County (GO) Series B
5.000%, 06/01/22................................................. 2,635 2,890,832
City of Clarksville Water Sewer & Gas Revenue (RB)
5.000%, 02/01/20................................................. 565 570,238
City of Knoxville Wastewater System Revenue (RB) Series B
4.000%, 04/01/22................................................. 310 330,869
City of Memphis (GO) Series A
5.000%, 04/01/25................................................. 1,250 1,492,337
Hamilton County (GO) Series B
5.000%, 03/01/22................................................. 1,735 1,890,092
Metropolitan Government of Nashville & Davidson County (GO)
5.000%, 07/01/22................................................. 650 715,078
165
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TENNESSEE -- (Continued)
Metropolitan Government of Nashville & Davidson County (GO) Series A
5.000%, 01/01/22................................................. 615 $ 665,313
(Currency) 5.000%, 07/01/25 (Pre-refunded @ $100, 7/1/20)................... 3,000 3,075,690
5.000%, 07/01/25................................................. 2,325 2,800,486
Sullivan County (GO) Series A
5.000%, 04/01/21................................................. 450 474,197
Sumner County (GO)
5.000%, 12/01/21................................................. 230 248,011
5.000%, 12/01/22................................................. 640 712,915
Town of Collierville (GO) Series A
5.000%, 01/01/21................................................. 1,095 1,143,738
-----------
TOTAL TENNESSEE.............................................................. 17,009,796
-----------
TEXAS -- (12.8%)
Austin Independent School District (GO) Series B
5.000%, 08/01/20................................................. 2,410 2,478,830
Bexar County (GO)
5.000%, 06/15/20................................................. 500 511,765
5.000%, 06/15/21................................................. 1,275 1,353,464
City of Dallas (GO) Series A
5.000%, 02/15/21................................................. 500 524,455
City of Fort Worth Water & Sewer System Revenue (RB)
5.000%, 02/15/21................................................. 1,745 1,830,819
City of Fort Worth Water & Sewer System Revenue (RB) Series A
5.000%, 02/15/25................................................. 1,930 2,295,986
City of Garland (GO) Series A
5.000%, 02/15/24................................................. 200 231,374
City of Houston (GO) Series A
5.000%, 03/01/20................................................. 1,000 1,012,400
5.000%, 03/01/21................................................. 3,000 3,150,990
City of San Antonio Electric & Gas Systems Revenue (RB) (ETM)
5.000%, 02/01/21................................................. 700 732,942
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/22................................................. 3,360 3,642,845
Conroe Independent School District (GO) (PSF-GTD)
5.000%, 02/15/26................................................. 2,000 2,436,000
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
TEXAS -- (Continued)
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)
5.000%, 02/15/21.......................................................... 790 $ 828,536
Dallas Independent School District (GO) (PSF-GTD) Series A
5.000%, 08/15/24.......................................................... 3,250 3,818,620
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24.......................................................... 500 586,975
Fort Bend Independent School District (GO) (PSF-GTD) Series C
5.000%, 02/15/24.......................................................... 1,275 1,477,891
Fort Worth Independent School District (GO) (PSF- GTD)
5.000%, 02/15/26.......................................................... 445 541,409
Highland Park Independent School District (GO) (PSF- GTD)
5.000%, 02/15/20.......................................................... 1,500 1,516,140
Highland Park Independent School District (GO)
5.000%, 02/15/23.......................................................... 2,000 2,242,540
Houston Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24.......................................................... 2,000 2,313,740
Houston Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/26.......................................................... 750 916,530
Humble Independent School District (GO) (PSF-GTD) Series B
5.000%, 02/15/20.......................................................... 1,000 1,010,760
Katy Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/20.......................................................... 750 758,093
5.000%, 02/15/21.......................................................... 400 419,564
McAllen Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/22.......................................................... 2,725 2,960,821
Northwest Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/24.......................................................... 1,000 1,155,960
166
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TEXAS -- (Continued)
Permanent University Fund - University of Texas System (RB) Series B
5.000%, 07/01/20................................................. 2,875 $ 2,948,312
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20................................................. 400 404,304
Texas State (GO)
5.000%, 10/01/22................................................. 1,140 1,266,198
5.000%, 10/01/23................................................. 375 430,065
Texas State (GO) Series A
5.000%, 10/01/21................................................. 1,300 1,395,732
5.000%, 04/01/25................................................. 2,185 2,617,455
5.000%, 10/01/25................................................. 2,465 2,994,186
University of Texas System (The) (RB) Series C
5.000%, 08/15/24................................................. 1,000 1,175,980
University of Texas System (The) (RB) Series D
5.000%, 08/15/21................................................. 615 656,488
University of Texas System (The) (RB) Series J
5.000%, 08/15/25................................................. 3,000 3,629,370
Williamson County (GO)
5.000%, 02/15/21................................................. 5,640 5,917,375
-----------
TOTAL TEXAS.......................................................... 64,184,914
-----------
UTAH -- (2.1%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21................................................. 550 578,721
Central Utah Water Conservancy District (RB) Series A
5.000%, 10/01/20................................................. 450 465,732
Davis School District (GO) (SCH BD GTY) Series B
5.000%, 06/01/23................................................. 2,445 2,774,513
Salt Lake County (GO) Series B
5.000%, 12/15/24................................................. 1,600 1,902,416
Snyderville Basin Special Recreation District (GO) Series B
4.000%, 12/15/20................................................. 540 557,161
State of Utah (GO)
5.000%, 07/01/22................................................. 1,045 1,151,360
Utah State (GO)
5.000%, 07/01/22................................................. 800 881,424
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
UTAH -- (Continued)
5.000%, 07/01/24................................................. 2,000 $ 2,348,520
-----------
TOTAL UTAH........................................................... 10,659,847
-----------
VERMONT -- (0.2%)
Vermont State (GO) Series B
5.000%, 08/15/23................................................. 1,000 1,141,820
-----------
VIRGINIA -- (5.3%)
Arlington County (GO)
5.000%, 06/15/22................................................. 3,000 3,297,960
City of Alexandria (GO) (ST AID WITHHLDG) Series D
5.000%, 07/01/26................................................. 2,235 2,770,059
City of Hampton (GO) (ST AID WITHHLDG) Series B
5.000%, 09/01/21................................................. 840 899,338
5.000%, 09/01/22................................................. 475 525,288
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/20................................................. 1,635 1,655,552
City of Richmond (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/22................................................. 1,065 1,173,428
City of Suffolk (GO) (ST AID WITHHLDG)
5.000%, 02/01/23................................................. 1,575 1,768,095
Commonwealth of Virginia (GO) Series A
5.000%, 06/01/25................................................. 1,430 1,723,636
Henrico County (GO)
5.000%, 08/01/27................................................. 3,000 3,805,020
Loudoun County (GO) (ST AID WITHHLDG) Series A
5.000%, 12/01/22................................................. 4,620 5,159,708
5.000%, 12/01/22................................................. 1,225 1,368,104
Loudoun County (GO) (ST AID WITHHLDG) Series B
5.000%, 12/01/20................................................. 550 572,919
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21................................................. 1,830 1,916,815
-----------
TOTAL VIRGINIA....................................................... 26,635,922
-----------
WASHINGTON -- (7.4%)
City of Marysville Water & Sewer Revenue (RB)
5.000%, 04/01/20................................................. 755 766,831
City of Seattle (GO) Series A
5.000%, 05/01/26................................................. 3,165 3,900,514
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 09/01/20................................................. 1,500 1,547,385
167
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
WASHINGTON -- (Continued)
5.000%, 04/01/21................................................. 445 $ 469,052
City of Seattle Municipal Light & Power Revenue (RB)
5.000%, 09/01/20................................................. 650 670,585
King County (GO) Series A
5.000%, 07/01/20................................................. 265 271,720
King County (GO) Series E
5.000%, 12/01/25................................................. 1,275 1,553,791
King County School District No. 405 Bellevue (GO) (SCH BD GTY)
Series A
5.000%, 12/01/20................................................. 1,350 1,405,809
King County School District No. 411 Issaquah (GO) (SCH BD GTY)
5.000%, 12/01/23................................................. 1,440 1,656,936
King County School District No. 414 Lake Washington (GO) (SCH BD GTY)
5.000%, 12/01/22................................................. 2,000 2,232,360
King County Sewer Revenue (RB)
5.000%, 01/01/21................................................. 585 611,038
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22................................................. 1,165 1,282,281
5.000%, 07/01/25................................................. 1,305 1,572,669
Kitsap County (GO)
5.000%, 06/01/21................................................. 1,455 1,542,882
Snohomish County School District No. 6 Mukilteo (GO) (SCH BD GTY)
5.000%, 12/01/25................................................. 2,000 2,436,020
Spokane County (GO)
5.000%, 12/01/20................................................. 450 468,603
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21................................................. 350 377,622
Washington State (GO) Series 2013A
5.000%, 08/01/21................................................. 200 213,344
Washington State (GO) Series 2017-A
5.000%, 08/01/26................................................. 1,675 2,069,094
Washington State (GO) Series A- 1
5.000%, 08/01/21................................................. 800 853,376
Washington State (GO) Series B
5.000%, 07/01/20................................................. 325 333,265
5.000%, 07/01/24................................................. 800 937,032
5.000%, 07/01/25................................................. 475 572,142
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
WASHINGTON -- (Continued)
Washington State (GO) Series C
5.000%, 02/01/20................................................. 1,320 $ 1,332,329
5.000%, 02/01/23................................................. 500 560,960
Washington State (GO) Series R-2012C
4.000%, 07/01/21................................................. 100 104,701
Washington State (GO) Series R-2013A
5.000%, 07/01/21................................................. 1,520 1,616,353
Washington State (GO) Series R-2017A
5.000%, 08/01/22................................................. 1,000 1,104,280
Washington State (GO) Series R-2018C
5.000%, 08/01/25................................................. 2,500 3,018,175
Washington State (GO) Series R-2018D
5.000%, 08/01/25................................................. 1,365 1,647,924
-----------
TOTAL WASHINGTON..................................................... 37,129,073
-----------
WEST VIRGINIA -- (0.5%)
Jefferson County Board of Education (GO) (WV BD COMM)
4.000%, 05/01/20................................................. 250 253,520
West Virginia State (GO)
4.000%, 11/01/20................................................. 1,975 2,029,945
-----------
TOTAL WEST VIRGINIA.................................................. 2,283,465
-----------
WISCONSIN -- (3.0%)
City of Janesville (GO)
3.000%, 03/01/24................................................. 2,000 2,140,100
City of Madison Water Utility Revenue (RB)
5.000%, 01/01/21................................................. 1,000 1,044,280
City of Milwaukee (GO) Series N3
5.000%, 05/15/20................................................. 1,000 1,020,300
Germantown School District (GO) Series A
5.000%, 04/01/27................................................. 1,000 1,258,090
Milwaukee County (GO) Series E
2.000%, 12/01/20................................................. 1,060 1,068,915
Milwaukee County Metropolitan Sewer District (GO) Series A
5.000%, 10/01/25................................................. 2,635 3,197,335
168
DFA MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
WISCONSIN -- (Continued)
Oak Creek Franklin Joint School District (GO) Series B
3.000%, 04/01/20................................................... 630 $ 634,473
Wisconsin State (GO) Series 2
5.000%, 11/01/20................................................... 600 622,956
5.000%, 11/01/22................................................... 1,400 1,556,632
Wisconsin State (GO) Series 3
5.000%, 11/01/22................................................... 1,875 2,084,775
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
WISCONSIN -- (Continued)
Wisconsin State (GO) Series B
5.000%, 05/01/21................................................... 400 $ 422,956
------------
TOTAL WISCONSIN....................................................... 15,050,812
------------
TOTAL MUNICIPAL BONDS................................................. 501,270,225
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $491,440,732)................................................ $501,270,225
============
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
-------- ------------ -------- ------------
Municipal Bonds................................... -- $501,270,225 -- $501,270,225
-------- ------------ -------- ------------
TOTAL............................................. -- $501,270,225 -- $501,270,225
======== ============ ======== ============
See accompanying Notes to Financial Statements.
169
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
October 31, 2019
FACE
AMOUNT^ VALUE+
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(000)
-------
MUNICIPAL BONDS -- (97.8%)
ALABAMA -- (0.5%)
Alabama State (GO) Series A
5.000%, 08/01/20................................................. 5,495 $ 5,651,113
5.000%, 08/01/21................................................. 1,450 1,546,483
5.000%, 08/01/21................................................. 6,030 6,431,236
-----------
TOTAL ALABAMA........................................................ 13,628,832
-----------
ALASKA -- (0.1%)
Alaska State (GO) Series B
5.000%, 08/01/20................................................. 3,920 4,029,603
-----------
ARIZONA -- (0.9%)
Arizona State Transportation Board
(RB)
5.000%, 07/01/20................................................. 5,000 5,126,800
City of Phoenix (GO)
4.000%, 07/01/20................................................. 1,085 1,105,430
5.000%, 07/01/20................................................. 1,245 1,276,573
4.000%, 07/01/21................................................. 5,970 6,251,665
Madison Elementary School
District No. 38 (GO) Series A
2.000%, 07/01/20................................................. 1,400 1,408,050
Maricopa County Community
College District (GO)
3.000%, 07/01/20................................................. 6,505 6,584,946
Maricopa County School District
No. 3 Tempe Elementary (GO)
3.000%, 07/01/21................................................. 1,410 1,452,949
-----------
TOTAL ARIZONA........................................................ 23,206,413
-----------
ARKANSAS -- (0.8%)
Arkansas State (GO)
5.000%, 04/01/21................................................. 4,300 4,532,415
5.000%, 04/01/21................................................. 6,495 6,846,055
5.000%, 06/15/21................................................. 8,730 9,270,125
-----------
TOTAL ARKANSAS....................................................... 20,648,595
-----------
CALIFORNIA -- (1.2%)
California State (GO)
2.000%, 11/01/19................................................. 695 695,000
5.000%, 10/01/21................................................. 2,215 2,379,420
City of Los Angeles (RN)
5.000%, 06/25/20................................................. 20,255 20,774,338
County of Riverside (RN)
5.000%, 06/30/20................................................. 6,665 6,841,356
-----------
TOTAL CALIFORNIA................................................. 30,690,114
-----------
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
COLORADO -- (2.1%)
City & County of Denver (GO) Series A
5.000%, 08/01/20................................................. 4,920 $ 5,060,515
Colorado State (RN)
3.000%, 06/26/20................................................. 30,000 30,363,600
5.000%, 06/26/20................................................. 10,000 10,250,800
Denver City & County School District No. 1 (GO) (ST AID WITHHLDG)
5.000%, 12/01/19................................................. 3,675 3,685,658
5.000%, 12/01/20................................................. 2,000 2,082,900
Jefferson County School District R-1 (GO) (ST AID WITHHLDG)
5.000%, 12/15/20................................................. 3,510 3,659,912
Weld County School District No. RE-4 (GO) (ST AID WITHHLDG)
4.000%, 12/01/22................................................. 1,000 1,084,790
-----------
TOTAL COLORADO....................................................... 56,188,175
-----------
CONNECTICUT -- (0.9%)
City of Danbury (GO) (BAN)
3.000%, 07/16/20................................................. 2,500 2,533,225
City of Middletown (GO)
5.000%, 04/01/21................................................. 1,905 2,013,776
Town of Fairfield (GO)
3.000%, 07/10/20................................................. 5,000 5,063,150
Town of Greenwich (GO)
3.000%, 01/16/20................................................. 12,800 12,853,248
-----------
TOTAL CONNECTICUT.................................................... 22,463,399
-----------
DELAWARE -- (0.2%)
Delaware State (GO)
5.000%, 03/01/20................................................. 3,000 3,037,890
Delaware State (GO) Series B
5.000%, 02/01/20................................................. 2,755 2,780,869
-----------
TOTAL DELAWARE....................................................... 5,818,759
-----------
DISTRICT OF COLUMBIA -- (0.1%)
District of Columbia (GO) Series A
5.000%, 06/01/20................................................. 2,320 2,371,295
-----------
FLORIDA -- (2.3%)
Florida State (GO)
5.000%, 07/01/20................................................. 3,500 3,588,305
Florida State (GO) Series A
5.000%, 06/01/20................................................. 2,850 2,913,356
170
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
FLORIDA -- (Continued)
5.000%, 06/01/20................................................. 12,730 $13,012,988
5.000%, 01/01/21................................................. 2,340 2,444,434
Florida State (GO) Series B
5.000%, 06/01/20................................................. 1,000 1,022,230
5.000%, 07/01/20................................................. 2,705 2,773,247
Florida State (GO) Series C
5.000%, 06/01/20................................................. 1,120 1,144,898
5.000%, 06/01/20................................................. 5,940 6,072,046
Florida State (GO) Series E
5.000%, 06/01/20................................................. 11,210 11,459,198
Florida State (GO) Series F
5.000%, 06/01/20................................................. 1,000 1,022,230
Orange County Water Utility System Revenue (RB)
5.000%, 10/01/21................................................. 2,500 2,683,100
School District of Broward County (RN)
3.000%, 06/30/20................................................. 7,475 7,566,644
Tampa Bay Water (RB)
5.000%, 10/01/20................................................. 2,000 2,069,360
(Currency) 5.000%, 10/01/25 (Pre-refunded @ $100, 10/1/20).................. 2,160 2,233,699
-----------
TOTAL FLORIDA................................................................ 60,005,735
-----------
GEORGIA -- (6.2%)
City of Atlanta Water & Wastewater Revenue (RB) (AGM) Series B
(Currency) 5.375%, 11/01/39 (Pre-refunded @ $100, 11/1/19).................. 8,815 8,815,000
Cobb County (GO)
3.000%, 11/26/19................................................. 32,000 32,042,880
5.000%, 01/01/21................................................. 3,710 3,875,132
5.000%, 01/01/22................................................. 500 541,355
Cobb County School District
3.000%, 12/18/19................................................. 10,000 10,024,500
DeKalb County School District (GO) (ST AID WITHHLDG)
4.000%, 10/01/20................................................. 3,000 3,076,740
Forsyth County School District (GO)
5.000%, 02/01/20................................................. 3,525 3,557,924
Fulton County (RN)
2.500%, 12/31/19................................................. 24,900 24,956,772
Gainesville & Hall County Hospital Authority (RB)
5.500%, 02/15/45 (Pre-refunded @ $100, 2/15/20).................. 11,575 11,715,983
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
GEORGIA -- (Continued)
Georgia State (GO) Series A-1
5.000%, 02/01/20................................................. 8,510 $ 8,589,483
Georgia State (GO) Series C
5.000%, 07/01/20................................................. 1,350 1,384,331
5.000%, 10/01/20................................................. 5,000 5,175,250
Georgia State (GO) Series E
5.000%, 12/01/19................................................. 6,200 6,217,980
5.000%, 12/01/20................................................. 13,120 13,663,824
Georgia State (GO) Series F
5.000%, 07/01/20................................................. 5,000 5,127,150
5.000%, 01/01/21................................................. 2,330 2,433,988
Georgia State (GO) Series I
5.000%, 07/01/20................................................. 1,890 1,938,063
Georgia State Road & Tollway Authority (RB) (ST GTD) Series A
5.000%, 03/01/20................................................. 11,000 11,138,930
Gwinnett County School District (GO)
4.000%, 02/01/20................................................. 8,750 8,810,725
------------
TOTAL GEORGIA................................................................ 163,086,010
------------
HAWAII -- (2.2%)
City & County of Honolulu (GO) Series B
5.000%, 11/01/19................................................. 8,000 8,000,000
City & Henrico County (GO) Series B
(Currency) 5.000%, 12/01/30 (Pre- refunded @ $100, 12/1/20)................. 5,000 5,206,700
Hawaii State (GO) Series DY
5.000%, 02/01/20................................................. 1,010 1,019,383
Hawaii State (GO) Series EF
5.000%, 11/01/19................................................. 23,455 23,455,000
5.000%, 11/01/21................................................. 5,500 5,916,900
Hawaii State (GO) Series EO
4.000%, 08/01/20................................................. 1,990 2,032,029
5.000%, 08/01/22................................................. 6,000 6,622,260
Hawaii State (GO) Series FN
5.000%, 10/01/21................................................. 4,750 5,092,285
------------
TOTAL HAWAII................................................................. 57,344,557
------------
KANSAS -- (0.7%)
City of Olathe (GO) Series A
3.000%, 08/01/20................................................. 10,000 10,130,900
City of Wichita (GO) Series A
5.000%, 12/01/19................................................. 3,960 3,971,444
171
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
KANSAS -- (Continued)
State of Kansas Department of Transportation Series C
5.000%, 09/01/20............................................ 5,000 $ 5,158,350
-----------
TOTAL KANSAS............................................................ 19,260,694
-----------
KENTUCKY -- (0.8%)
Louisville & Jefferson County (RB)
(Currency) 5.000%, 12/01/35 (Pre-refunded @ $100, 12/1/35)............. 1,675 1,835,013
Louisville & Jefferson County Metropolitan Government (GO) Series A
5.000%, 12/01/19............................................ 4,095 4,106,753
Louisville Water Co (RB)
5.000%, 11/15/20............................................ 8,280 8,609,130
5.000%, 11/15/21............................................ 2,825 3,044,446
Louisville/Jefferson County Metropolitan Government (GO) Series A
5.000%, 08/01/20............................................ 4,110 4,226,765
-----------
TOTAL KENTUCKY.......................................................... 21,822,107
-----------
LOUISIANA -- (0.2%)
Louisiana State (GO) Series C
5.000%, 08/01/21............................................ 5,000 5,323,750
-----------
MARYLAND -- (8.5%)
Anne County Arundel (GO)
5.000%, 04/01/20............................................ 4,410 4,479,281
5.000%, 04/01/20............................................ 5,410 5,494,991
5.000%, 10/01/20............................................ 1,790 1,852,399
5.000%, 04/01/21............................................ 12,740 13,426,813
Baltimore County (GO)
5.000%, 03/01/20............................................ 1,850 1,873,181
5.000%, 03/01/20............................................ 3,510 3,553,980
4.000%, 03/19/20............................................ 30,000 30,331,500
5.000%, 02/01/21............................................ 3,520 3,687,869
Harford County (GO) Series B
5.000%, 02/01/20............................................ 2,650 2,674,698
Howard County (GO) Series A
5.000%, 08/15/20............................................ 14,215 14,642,161
Maryland State (GO)
4.500%, 08/01/20............................................ 4,015 4,114,893
Maryland State (GO) Series 1
5.000%, 03/15/20............................................ 3,590 3,641,229
Maryland State (GO) Series 1-A
5.000%, 03/01/20............................................ 7,250 7,342,438
Maryland State (GO) Series A
5.000%, 03/01/20............................................ 1,980 2,005,245
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
MARYLAND -- (Continued)
Maryland State (GO) Series B
5.000%, 08/01/20.................................................. 8,425 $ 8,669,746
5.000%, 08/01/20.................................................. 5,000 5,145,250
5.000%, 08/01/21.................................................. 5,000 5,334,500
Maryland State (GO) Series C
5.000%, 11/01/19.................................................. 4,000 4,000,000
5.000%, 08/01/20.................................................. 8,810 9,065,931
Maryland State Department of Transportation (RB)
5.000%, 12/15/19.................................................. 15,745 15,814,121
Montgomery County (GO) Series A
5.000%, 11/01/19.................................................. 4,660 4,660,000
5.000%, 11/01/19.................................................. 1,400 1,400,000
5.000%, 11/01/19.................................................. 3,450 3,450,000
5.000%, 12/01/19.................................................. 14,800 14,842,032
5.000%, 07/01/20.................................................. 3,615 3,705,230
Montgomery County (GO) Series B
5.000%, 12/01/19.................................................. 7,475 7,496,229
5.000%, 12/01/21.................................................. 4,000 4,310,560
Prince County George's (GO) Series A
5.000%, 07/15/20.................................................. 11,720 12,033,041
Prince County George's (GO) Series C
5.000%, 08/01/20.................................................. 6,980 7,178,302
Prince George's County (GO) Series B
4.000%, 03/01/20.................................................. 9,780 9,870,269
Talbot County (GO)
2.000%, 12/15/21.................................................. 1,330 1,353,820
Washington Suburban Sanitary Commission (GO)
5.000%, 06/01/20.................................................. 3,720 3,801,580
------------
TOTAL MARYLAND......................................................... 221,251,289
------------
MASSACHUSETTS -- (5.0%)
City of Cambridge (GO)
5.000%, 02/15/20.................................................. 4,865 4,918,321
City of Quincy (GO)
3.250%, 01/17/20.................................................. 15,000 15,070,800
2.250%, 07/10/20.................................................. 11,000 11,079,200
City of Quincy (GO) Series A
3.000%, 06/12/20.................................................. 10,000 10,112,800
City of Springfield (GO) (ST AID WITHHLDG)
5.000%, 09/01/21.................................................. 4,240 4,533,238
Commonwealth of Massachusetts (GO) Series A
5.000%, 03/01/20.................................................. 6,840 6,926,389
172
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
MASSACHUSETTS -- (Continued)
5.000%, 04/01/20................................................. 10,000 $ 10,158,700
4.000%, 04/23/20................................................. 10,000 10,134,400
5.000%, 05/01/21................................................. 10,000 10,572,400
Commonwealth of Massachusetts (GO) Series B
4.000%, 05/21/20................................................. 5,000 5,078,100
Commonwealth of Massachusetts (GO) Series C
5.000%, 04/01/20................................................. 2,700 2,742,849
5.000%, 08/01/20................................................. 18,500 19,032,615
5.000%, 10/01/21................................................. 8,000 8,585,920
Commonwealth of Massachusetts (GO) (AGM) Series B
5.250%, 09/01/21................................................. 2,405 2,584,341
Massachusetts Clean Water Trust (The) (RB)
5.000%, 08/01/20................................................. 5,830 5,996,971
Massachusetts Water Resources Authority (RB) Series G
5.000%, 08/01/20................................................. 3,000 3,085,680
------------
TOTAL MASSACHUSETTS.......................................................... 130,612,724
------------
MICHIGAN -- (0.5%)
Michigan State (GO)
5.000%, 11/01/19................................................. 13,000 13,000,000
------------
MINNESOTA -- (3.0%)
Bloomington Independent School District No. 271 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21................................................. 1,290 1,350,862
Chaska Independent School District No. 112 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21................................................. 590 617,689
City of Minneapolis (GO)
2.000%, 12/01/19................................................. 3,690 3,692,435
4.000%, 12/01/19................................................. 3,435 3,442,385
5.000%, 12/01/19................................................. 1,300 1,303,770
5.000%, 12/01/19................................................. 6,545 6,563,980
City of Saint Cloud (RB) Series A
(Currency) 5.125%, 05/01/30 (Pre- refunded @ $100, 5/1/20).................. 950 968,269
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
City of State Paul (GO) Series D
5.000%, 03/01/20................................................. 1,515 $1,533,983
Elk River Independent School District No. 728 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21................................................. 1,000 1,046,930
Elk River Independent School District No. 728 (GO) (SD CRED PROG) Series C
5.000%, 02/01/20................................................. 5,000 5,045,850
5.000%, 02/01/21................................................. 2,000 2,093,860
Hennepin County (GO) Series B
5.000%, 12/01/21................................................. 650 701,461
Hennepin County Sales Tax Revenue (RB)
5.000%, 12/15/19................................................. 345 346,518
Housing & Redevelopment Authority of The City of Saint Paul Minnesota (RB)
Series A1
(Currency) 5.250%, 11/15/29 (Pre-refunded @ $100, 11/15/19)................. 2,210 2,212,718
Metropolitan Council (GO) Series A
5.000%, 03/01/20................................................. 4,000 4,050,400
Minneapolis Special School District No. 1 (GO) (SD CRED PROG) Series A
5.000%, 02/01/20................................................. 2,250 2,270,633
Minnesota State (GO) Series A
5.000%, 08/01/20................................................. 1,000 1,028,560
5.000%, 08/01/20................................................. 3,000 3,085,680
5.000%, 08/01/20................................................. 3,145 3,234,821
5.000%, 10/01/20................................................. 3,705 3,834,527
Minnesota State (GO) Series B
4.000%, 08/01/20................................................. 8,800 8,986,560
Minnesota State (GO) Series D
5.000%, 08/01/20................................................. 740 761,134
5.000%, 08/01/20................................................. 6,330 6,510,785
5.000%, 08/01/21................................................. 7,230 7,713,687
Minnesota State (GO) (ETM) Series D
(Currency) 5.000%, 08/01/20 (Pre-refunded @ $100, 8/1/20)................... 10 10,283
173
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
MINNESOTA -- (Continued)
Olmsted County (GO) Series A
4.000%, 02/01/20................................................. 700 $ 704,837
Osseo Independent School District No. 279 (GO) (SD CRED PROG)
Series C
5.000%, 02/01/21................................................. 4,650 4,869,387
Watertown-Mayer Independent School District No. 111 (GO) (SD CRED
PROG) Series B
4.000%, 02/01/20................................................. 1,610 1,620,771
-----------
TOTAL MINNESOTA...................................................... 79,602,775
-----------
MISSOURI -- (0.9%)
Clayton School District (GO)
5.000%, 03/01/20................................................. 3,115 3,154,031
Jackson County Reorganized School District No. 7 (GO)
3.000%, 03/01/21................................................. 2,375 2,433,544
Missouri State (GO) Series A
5.000%, 12/01/20................................................. 4,515 4,701,650
Saint Louis County Reorganized School District No. R-6 (GO)
4.000%, 02/01/20................................................. 12,775 12,863,275
-----------
TOTAL MISSOURI....................................................... 23,152,500
-----------
NEBRASKA -- (0.4%)
Lancaster County School District 001 (GO)
5.000%, 01/15/21................................................. 1,620 1,693,516
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20................................................. 4,340 4,517,506
Omaha Public Power District (RB) Series B
5.000%, 02/01/20................................................. 4,620 4,662,827
-----------
TOTAL NEBRASKA....................................................... 10,873,849
-----------
NEW HAMPSHIRE -- (0.1%)
City of Nashua (GO)
4.000%, 07/15/21................................................. 1,720 1,802,732
-----------
NEW JERSEY -- (3.8%)
Bergen County (GO)
3.000%, 06/12/20................................................. 3,000 3,033,270
City of Jersey (GO) Series
2.000%, 06/18/20................................................. 15,000 15,080,700
Hudson County (GO)
4.000%, 12/10/19................................................. 30,000 30,097,800
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW JERSEY -- (Continued)
Monmouth County (GO)
5.000%, 07/15/20................................................. 4,540 $ 4,661,945
5.000%, 07/15/21................................................. 3,770 4,015,163
Somerset County (GO)
3.000%, 09/11/20................................................. 10,600 10,764,724
Sussex County (GO)
2.500%, 06/19/20................................................. 5,000 5,039,600
Township of Berkeley Heights (GO)
3.000%, 07/10/20................................................. 10,000 10,116,600
Township of Cherry Hill (GO)
2.000%, 10/29/20................................................. 6,000 6,048,480
Township of North Brunswick (GO) (BAN) Series A
3.000%, 07/21/20................................................. 10,000 10,123,100
-----------
TOTAL NEW JERSEY..................................................... 98,981,382
-----------
NEW MEXICO -- (1.0%)
New Mexico State (GO)
5.000%, 03/01/20................................................. 15,000 15,187,050
5.000%, 03/01/21................................................. 4,000 4,200,760
New Mexico State (GO) Series B
5.000%, 03/01/20................................................. 3,775 3,822,074
State of New Mexico Severance Tax Permanent Fund (RB) Series A
5.000%, 07/01/20................................................. 2,085 2,137,605
-----------
TOTAL NEW MEXICO..................................................... 25,347,489
-----------
NEW YORK -- (5.0%)
City of New York (GO) Series A-1
4.000%, 08/01/20................................................. 1,400 1,429,680
City of New York (GO) Series B
5.000%, 08/01/20................................................. 865 889,704
5.000%, 08/01/22................................................. 1,000 1,103,430
5.000%, 08/01/22................................................. 1,220 1,346,185
City of New York (GO) Series C
5.000%, 08/01/20................................................. 1,975 2,031,406
City of New York (GO) Series E
5.000%, 08/01/20................................................. 3,565 3,666,816
5.000%, 08/01/20................................................. 2,570 2,643,399
5.000%, 08/01/21................................................. 1,500 1,599,000
5.000%, 08/01/21................................................. 10,000 10,660,000
City of New York (GO) Series F
5.000%, 08/01/21................................................. 1,000 1,066,000
174
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW YORK -- (Continued)
City of New York (GO) Series G
5.000%, 08/01/21................................................. 5,915 $ 6,305,390
City of New York (GO) Series J7
5.000%, 08/01/20................................................. 5,000 5,142,800
City of Rochester (GO) Series II
3.000%, 08/06/20................................................. 14,000 14,196,280
Hilton Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21................................................. 685 695,494
Metropolitan Transportation Authority (RB) (ETM) Series A
(Currency) 5.000%, 11/15/21 (Pre-refunded @ $100, 11/15/21)................. 85 91,871
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21................................................. 515 553,172
New York State Dormitory Authority (RB) Series
5.000%, 12/15/21................................................. 3,545 3,831,507
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/20................................................. 2,900 2,931,523
5.000%, 02/15/20................................................. 5,100 5,155,437
4.000%, 03/15/20................................................. 600 606,294
5.000%, 03/15/20................................................. 5,115 5,187,173
5.000%, 03/15/21................................................. 1,795 1,888,986
5.000%, 03/15/21................................................. 17,900 18,837,244
(Currency) 5.500%, 07/01/25 (Pre-refunded @ $100, 7/1/20)................... 500 514,350
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20................................................. 15,000 15,163,050
5.000%, 03/15/20................................................. 3,565 3,615,302
5.000%, 03/15/21................................................. 3,150 3,314,934
5.000%, 02/15/22................................................. 4,000 4,349,120
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/20................................................. 1,400 1,419,754
5.000%, 03/15/21................................................. 2,000 2,104,720
New York State Urban Development Corp. (RB) (NATL)
5.500%, 03/15/20................................................. 4,250 4,317,660
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
NEW YORK -- (Continued)
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20..................................................................... 550 $ 557,761
Triborough Bridge & Tunnel Authority (RB) Series A-1
5.000%, 11/15/19..................................................................... 500 500,605
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/19..................................................................... 1,000 1,001,210
Ulster County (GO)
3.250%, 11/20/19..................................................................... 1,000 1,001,050
------------
TOTAL NEW YORK........................................................................... 129,718,307
------------
NORTH CAROLINA -- (4.1%)
City of Charlotte (GO)
5.000%, 12/01/20..................................................................... 1,605 1,671,704
City of Charlotte Water & Sewer System Revenue (RB)
5.000%, 07/01/20..................................................................... 3,375 3,461,062
City of Raleigh (GO) Series A
5.000%, 09/01/20..................................................................... 1,980 2,043,043
Davie County (GO)
5.000%, 05/01/20..................................................................... 1,595 1,625,177
Guilford County (GO) Series A
4.000%, 02/01/20..................................................................... 2,135 2,149,817
5.000%, 02/01/21..................................................................... 2,430 2,546,203
Mecklenburg County (GO)
5.000%, 02/01/21..................................................................... 950 995,068
5.000%, 03/01/21..................................................................... 9,555 10,038,483
Mecklenburg County (GO) Series C
5.000%, 12/01/19..................................................................... 1,500 1,504,305
North Carolina State (GO)
5.000%, 06/01/20..................................................................... 1,175 1,201,179
North Carolina State (GO) Series A
5.000%, 05/01/20..................................................................... 2,220 2,262,335
5.000%, 06/01/20..................................................................... 18,300 18,707,724
5.000%, 06/01/21..................................................................... 12,440 13,195,357
North Carolina State (GO) Series B
5.000%, 06/01/20..................................................................... 5,000 5,111,400
5.000%, 06/01/22..................................................................... 2,880 3,163,478
North Carolina State (GO) Series C
4.000%, 05/01/20..................................................................... 1,640 1,663,255
North Carolina State (GO) Series D
4.000%, 06/01/21..................................................................... 2,925 3,057,064
175
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
NORTH CAROLINA -- (Continued)
North Carolina State (GO) Series E
5.000%, 05/01/20................................................. 14,615 $ 14,893,708
Wake County (GO) Series A
5.000%, 02/01/20................................................. 4,500 4,541,805
Wake County (GO) Series B
5.000%, 02/01/20................................................. 12,665 12,782,658
Wake County (GO) Series C
5.000%, 03/01/22................................................. 1,825 1,986,805
------------
TOTAL NORTH CAROLINA......................................................... 108,601,630
------------
OHIO -- (5.3%)
City of Columbus (GO) Series 1
5.000%, 07/01/20................................................. 10,000 10,251,600
City of Columbus (GO) Series A
3.000%, 02/15/20................................................. 13,250 13,318,237
5.000%, 02/15/20................................................. 800 808,584
5.000%, 08/15/20................................................. 2,350 2,420,053
4.000%, 02/15/21................................................. 1,690 1,751,026
5.000%, 04/01/21................................................. 6,495 6,843,262
5.000%, 04/01/21................................................. 1,500 1,580,430
3.000%, 07/01/21................................................. 12,830 13,218,621
5.000%, 07/01/21................................................. 1,010 1,073,681
Ohio State (GO)
5.000%, 09/01/20................................................. 6,380 6,582,629
5.000%, 09/01/20................................................. 4,340 4,477,838
Ohio State (GO) Series A
2.000%, 03/01/20................................................. 2,900 2,908,236
3.000%, 05/01/20................................................. 5,000 5,045,950
5.000%, 05/01/20................................................. 7,000 7,132,790
5.000%, 09/15/21................................................. 6,700 7,179,385
5.000%, 09/15/21................................................. 2,335 2,502,069
Ohio State (GO) Series B
5.000%, 08/01/20................................................. 10,000 10,285,600
2.000%, 09/01/20................................................. 2,500 2,518,000
5.000%, 06/15/21................................................. 9,500 10,087,765
Ohio State (GO) Series Q
5.000%, 05/01/20................................................. 1,635 1,666,098
Ohio State (GO) Series R
5.000%, 05/01/20................................................. 11,830 12,055,007
Ohio State (GO) Series T
5.000%, 04/01/21................................................. 2,040 2,150,262
Ohio State Water Development Authority (RB) Series A
5.000%, 06/01/21................................................. 1,825 1,935,230
(Currency) 5.000%, 12/01/24 (Pre- refunded @ $100, 12/1/19)................. 7,000 7,020,440
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
OHIO -- (Continued)
Ohio Water Development Authority (RB) Series A
(Currency) 5.000%, 12/01/26 (Pre- refunded @ $100, 12/1/19)................. 4,000 $ 4,011,680
------------
TOTAL OHIO................................................................... 138,824,473
------------
OKLAHOMA -- (0.5%)
City of Tulsa (GO) Series A
5.000%, 12/01/21................................................. 7,650 8,258,940
Tulsa County Independent School District No. 1 Tulsa (GO) Series B
2.000%, 08/01/20................................................. 5,000 5,029,800
------------
TOTAL OKLAHOMA............................................................... 13,288,740
------------
OREGON -- (2.4%)
City of Portland (GO)
3.000%, 06/25/20................................................. 10,000 10,119,400
City of Portland Sewer System Revenue (RB) Series A
5.000%, 06/01/20................................................. 3,500 3,577,595
City of Portland Water System (RB) Series A
5.000%, 04/01/20................................................. 8,005 8,131,079
Metro (GO)
5.000%, 06/01/20................................................. 2,125 2,172,345
5.000%, 06/01/20................................................. 3,800 3,884,664
Metro (GO) Series A
5.000%, 06/01/21................................................. 2,110 2,237,444
Multnomah County (GO)
5.000%, 06/01/21................................................. 1,850 1,961,740
Oregon State (GO) Series A
5.000%, 05/01/20................................................. 1,025 1,044,393
Oregon State (GO) Series D
4.000%, 05/01/21................................................. 6,085 6,342,578
Oregon State (GO) Series F
3.000%, 05/01/20................................................. 7,755 7,825,881
Oregon State (GO) Series L
5.000%, 11/01/19................................................. 11,515 11,515,000
Oregon State (GO) Series M
5.000%, 11/01/20................................................. 2,000 2,075,900
Oregon State (GO) Series N
5.000%, 05/01/21................................................. 1,000 1,056,980
176
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
OREGON -- (Continued)
Tri-County Metropolitan Transportation District of Oregon (RB) Series A
(Currency) 5.000%, 09/01/23 (Pre-refunded @ $100, 9/1/22)................... 250 $ 276,895
-----------
TOTAL OREGON................................................................. 62,221,894
-----------
PENNSYLVANIA -- (0.8%)
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 04/01/20................................................. 8,500 8,631,750
Commonwealth of Pennsylvania (GO) Series REF
5.000%, 07/01/22................................................. 2,000 2,198,020
Montgomery County Industrial Development Authority (RB) (FHA INS)
(Currency) 5.375%, 08/01/38 (Pre-refunded @ $100, 8/1/20)................... 10,000 10,314,700
-----------
TOTAL PENNSYLVANIA........................................................... 21,144,470
-----------
SOUTH CAROLINA -- (4.4%)
Aiken County Consolidated School District (GO) (SCSDE) Series A
5.000%, 03/01/20................................................. 3,000 3,037,590
Beaufort County School District (GO) (SCSDE) Series B
5.000%, 03/01/20................................................. 7,000 7,086,590
Berkeley County School District (GO) (SCSDE) Series A
5.000%, 03/01/20................................................. 1,085 1,098,595
Charleston County (GO) Series B
5.000%, 11/01/20................................................. 12,000 12,455,400
Charleston County School District (BAN) (SCSDE) Series A
2.500%, 11/15/19................................................. 10,000 10,005,400
Charleston County School District (BAN) (SCSDE) Series B
4.000%, 05/13/20................................................. 2,000 2,029,680
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
SOUTH CAROLINA -- (Continued)
Dorchester County School District No. 2 (GO) (SCSDE) Series A
5.000%, 03/01/21................................................. 1,885 $ 1,980,890
Florence County (GO) (ST AID WITHHLDG)
4.000%, 06/01/20................................................. 7,475 7,597,141
Lexington & Richland School District No. 5 (GO) (SCSDE) Series B
5.000%, 03/01/20................................................. 8,235 8,338,185
5.000%, 03/01/21................................................. 1,660 1,744,444
Oconee County School District (GO) (SCSDE)
5.000%, 03/01/20................................................. 4,900 4,961,397
Richland County (GO) Series A
3.000%, 02/27/20................................................. 15,000 15,083,400
Richland County School District No. 2 (GO) (SCSDE)
5.000%, 03/01/20................................................. 910 921,402
Richland County School District No. 2 (GO) (SCSDE) Series A
5.000%, 02/01/20................................................. 5,520 5,571,446
5.000%, 02/01/21................................................. 7,000 7,333,830
South Carolina Jobs-Economic Dev Authority (RB) Series A
(Currency) 6.250%, 04/01/35 (Pre-refunded @ $ 100, 4/1/20).................. 2,180 2,225,126
(Currency) 6.500%, 04/01/42 (Pre-refunded @ $ 100, 4/1/20).................. 2,000 2,043,340
South Carolina State (GO) (ST AID WITHHLDG) Series A
4.000%, 04/01/20................................................. 1,185 1,198,853
5.000%, 10/01/20................................................. 7,760 8,031,290
South Carolina State (GO) Series A
5.000%, 06/01/20................................................. 8,945 9,143,311
Spartanburg County School District No. 6 (GO) (SCSDE)
5.000%, 04/01/21................................................. 3,905 4,116,065
------------
TOTAL SOUTH CAROLINA......................................................... 116,003,375
------------
177
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
TENNESSEE -- (2.5%)
City of Cleveland (GO)
5.000%, 12/01/19................................................. 3,430 $ 3,439,776
City of Knoxville Wastewater System Revenue (RB) Series A
5.000%, 04/01/20................................................. 2,000 2,031,080
City of Memphis (GO) Series A
5.000%, 04/01/20................................................. 8,060 8,186,300
5.000%, 04/01/21................................................. 4,550 4,794,653
Hamilton County (GO) Series A
5.000%, 05/01/21................................................. 3,895 4,117,950
Metropolitan Government of Nashville & Davidson County (GO)
5.000%, 07/01/21................................................. 9,055 9,625,918
Metropolitan Government of Nashville & Davidson County (GO) Series A
(Currency) 5.000%, 07/01/25 (Pre-refunded @ $100, 7/1/20)................... 525 538,246
Metropolitan Government of Nashville & Davidson County Electric Revenue (RB)
Series A
5.000%, 05/15/20................................................. 2,000 2,040,600
Shelby County (GO) Series A
5.000%, 04/01/20................................................. 18,135 18,420,626
5.000%, 03/01/21................................................. 2,550 2,679,719
Tennessee State (GO) Series A
5.000%, 02/01/20................................................. 3,500 3,532,795
5.000%, 09/01/20................................................. 5,010 5,169,969
-----------
TOTAL TENNESSEE.............................................................. 64,577,632
-----------
TEXAS -- (12.0%)
Austin Community College District (GO)
5.000%, 08/01/20................................................. 3,715 3,818,314
Austin Independent School District (GO) Series B
5.000%, 08/01/20................................................. 3,705 3,810,815
Bexar County Health Facilities Dev. Corp. (RB)
(Currency) 6.200%, 07/01/45 (Pre-refunded @ $100, 7/1/20)................... 3,030 3,127,960
City of Allen (GO)
5.000%, 08/15/21................................................. 1,840 1,964,126
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TEXAS -- (Continued)
City of Austin (GO)
5.000%, 09/01/20.................................................. 16,250 $16,764,637
City of Dallas (GO)
5.000%, 02/15/21.................................................. 1,500 1,573,365
City of Fort Worth (GO)
3.000%, 03/01/20.................................................. 20,665 20,787,130
3.000%, 03/01/22.................................................. 4,520 4,709,659
City of Frisco (GO) Series A
5.000%, 02/15/20.................................................. 3,485 3,522,882
5.000%, 02/15/21.................................................. 4,825 5,060,991
City of Houston (RN)
3.000%, 06/26/20.................................................. 15,000 15,179,850
City of Houston (GO) Series A
5.000%, 03/01/20.................................................. 2,500 2,531,000
5.000%, 03/01/21.................................................. 4,625 4,857,776
City of San Antonio (GO)
5.000%, 02/01/20.................................................. 650 655,961
5.000%, 02/01/20.................................................. 7,350 7,417,400
5.000%, 02/01/21.................................................. 3,100 3,245,483
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/20.................................................. 5,000 5,045,700
City of Waco (GO)
5.000%, 02/01/20.................................................. 5,765 5,817,980
Conroe Independent School District (GO) (PSF-GTD) Series A
4.000%, 02/15/21.................................................. 1,940 2,009,297
Dallas County Community College District (GO)
5.000%, 02/15/20.................................................. 11,975 12,104,210
Dallas Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20.................................................. 2,235 2,259,049
5.000%, 02/15/20.................................................. 1,380 1,394,849
Fort Bend Independent School District (GO) (PSF-GTD)
5.000%, 08/15/20.................................................. 6,380 6,570,698
Fort Worth Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20.................................................. 4,970 5,023,477
Fort Worth Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20.................................................. 3,875 3,916,695
Highland Park Independent School District (GO)
4.000%, 02/15/20.................................................. 2,070 2,086,622
178
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
TEXAS -- (Continued)
Houston Higher Education Finance Corp. (RB) Series A
(Currency) 6.875%, 05/15/41 (Pre- refunded @ $100, 5/15/21)................. 6,000 $ 6,496,620
Houston Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20................................................. 2,700 2,728,971
Humble Independent School District (GO) (PSF-GTD) Series B
5.000%, 02/15/20................................................. 7,260 7,338,118
Metropolitan Transit Authority of Harris County (RB) Series B
(Currency) 5.000%, 11/01/33 (Pre- refunded @ $100, 11/1/19)................. 10,000 10,000,000
Plano Independent School District (GO) (PSF-GTD) Series B
5.000%, 02/15/20................................................. 9,935 10,041,901
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20................................................. 7,000 7,075,320
Texas State (RN)
4.000%, 08/27/20................................................. 65,000 66,483,950
Texas State (GO)
5.000%, 10/01/20................................................. 3,825 3,959,411
5.000%, 04/01/21................................................. 8,130 8,571,784
5.000%, 04/01/21................................................. 4,000 4,217,360
5.000%, 10/01/23................................................. 1,425 1,634,247
Texas State (GO) Series A
5.000%, 10/01/21................................................. 2,200 2,362,008
Texas State (GO) Series C
5.000%, 08/01/20................................................. 1,365 1,404,189
Texas Transportation Commission State Highway Fund (RB) Series A
5.000%, 04/01/20................................................. 15,240 15,477,439
5.000%, 10/01/20................................................. 20,660 21,374,629
------------
TOTAL TEXAS.................................................................. 314,421,873
------------
UTAH -- (2.5%)
Alpine School District (GO) (SCH BD GTY)
5.000%, 03/15/21................................................. 940 989,087
City of Park UT (GO)
5.000%, 02/01/20................................................. 2,680 2,704,978
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
UTAH -- (Continued)
Davis School District (GO) (SCH BD GTY) Series A
5.000%, 06/01/20................................................. 8,250 $ 8,432,407
Jordan School District (GO) (SCH BD GTY)
5.000%, 06/15/20................................................. 9,175 9,391,530
Nebo School District (GO) (SCH BD GTY)
5.000%, 07/01/20................................................. 5,980 6,131,294
Salt County Lake (GO)
3.000%, 12/27/19................................................. 25,000 25,076,500
Utah State (GO)
5.000%, 07/01/21................................................. 2,820 2,999,239
5.000%, 07/01/22................................................. 9,690 10,676,248
-----------
TOTAL UTAH................................................................... 66,401,283
-----------
VERMONT -- (0.1%)
Vermont State (GO) Series B
2.000%, 08/15/20................................................. 3,630 3,654,720
-----------
VIRGINIA -- (5.9%)
Arlington County (GO)
5.000%, 06/15/20................................................. 7,015 7,180,063
Arlington County (GO) (ST AID WITHHLDG)
4.000%, 08/15/21................................................. 2,125 2,232,185
City of Hampton (GO) (ST AID WITHHLDG) Series B
5.000%, 09/01/21................................................. 2,700 2,890,728
City of Norfolk (GO) (ST AID WITHHLDG) (ETM)
(Currency) 5.000%, 08/01/20 (Pre- refunded @ $100, 8/1/20).................. 285 292,969
City of Norfolk (GO) (STAID WITHHLDG)
5.000%, 08/01/20................................................. 6,395 6,576,682
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 03/01/20................................................. 1,000 1,012,570
5.000%, 03/01/20................................................. 2,700 2,733,939
5.000%, 07/15/21................................................. 6,930 7,378,232
City of Virginia Beach (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/20................................................. 11,225 11,528,861
Commonwealth of Virginia (GO) (ST AID WITHHLDG) Series B
4.000%, 06/01/20................................................. 9,130 9,282,836
5.000%, 06/01/21................................................. 13,645 14,480,210
179
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
VIRGINIA -- (Continued)
Commonwealth of Virginia (GO) Series B
5.000%, 06/01/20........................................................ 2,260 $ 2,310,760
5.000%, 06/01/20........................................................ 5,960 6,093,862
5.000%, 06/01/20........................................................ 10,000 10,224,600
Fairfax County (GO) (ST AID WITHHLDG) Series A
3.000%, 10/01/20........................................................ 10,735 10,919,749
4.000%, 10/01/20........................................................ 15,530 15,937,197
4.000%, 10/01/22........................................................ 7,220 7,811,101
Hanover County (GO) (ST AID WITHHLDG)
5.000%, 01/15/21........................................................ 1,245 1,302,569
Henrico County (GO) (ST AID WITHHLDG)
5.000%, 08/01/20........................................................ 4,970 5,113,832
5.000%, 08/01/21........................................................ 2,980 3,182,044
Loudoun County (GO) Series A
5.000%, 12/01/19........................................................ 3,105 3,114,035
Loudoun County (GO) (ST AID WITHHLDG) Series A
5.000%, 12/01/19........................................................ 5,850 5,867,023
University of Virginia (RB) Series B
5.000%, 08/01/21........................................................ 15,000 16,011,600
------------
TOTAL VIRGINIA.............................................................. 153,477,647
------------
WASHINGTON -- (6.6%)
City of Seattle (GO) Series A
5.000%, 05/01/20........................................................ 2,345 2,389,602
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 04/01/21........................................................ 3,000 3,162,150
City of Seattle Municipal Light & Power Revenue (RB) Series B
5.000%, 02/01/21........................................................ 21,795 22,829,391
City of Seattle Municipal Light & Power Revenue (RB) Series C
5.000%, 10/01/21........................................................ 11,130 11,943,046
King & Snohomich Countries School District No. 417 (GO) (SCH BD GTY)
4.000%, 12/01/19........................................................ 1,330 1,332,846
5.000%, 12/01/20........................................................ 2,000 2,082,680
King County (GO)
5.000%, 12/01/20........................................................ 3,000 3,124,020
5.000%, 12/01/21........................................................ 3,000 3,238,050
King County (GO) Series B
5.000%, 07/01/20........................................................ 4,880 5,003,757
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
WASHINGTON -- (Continued)
King County (GO) Series D
5.000%, 12/01/20................................................. 2,630 $ 2,738,724
King County School District No. 405 Bellevue (GO) (SCH BD GTY)
5.000%, 12/01/20................................................. 2,150 2,238,881
King County School District No. 414 Lake Washington (GO) (SCH BD GTY)
5.000%, 12/01/19................................................. 4,815 4,828,915
5.000%, 12/01/19................................................. 4,550 4,563,149
King County Sewer Revenue (RB)
(Currency) 5.000%, 01/01/50 (Pre-refunded @ $100, 7/1/20)................... 3,005 3,081,808
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/19................................................. 5,810 5,826,791
Snohomish County School District No. 201 Snohomish (GO) (SCH BD GTY)
5.000%, 12/01/21................................................. 4,000 4,311,400
Spokane County School District No. 81 Spokane (GO) (SCH BD GTY)
5.000%, 12/01/20................................................. 7,505 7,813,606
State of Washington (GO) Series R-C
5.000%, 07/01/20................................................. 1,840 1,886,791
Washington Health Care Facilities Authority (RB)
(Currency) 5.000%, 11/01/20 (Pre-refunded @ $100, 11/1/19).................. 6,050 6,050,000
Washington State (GO)
5.000%, 06/01/20................................................. 3,630 3,710,695
5.000%, 07/01/20................................................. 5,000 5,127,150
Washington State (GO) Series 2010E
(Currency) 5.000%, 02/01/32 (Pre-refunded @ $100, 2/1/20)................... 6,480 6,540,847
(Currency) 5.000%, 02/01/33 (Pre-refunded @ $100, 2/1/20)................... 10,000 10,093,900
Washington State (GO) Series 2013A
5.000%, 08/01/21................................................. 4,245 4,528,226
180
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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WASHINGTON -- (Continued)
Washington State (GO) Series A
(Currency) 5.000%, 08/01/34 (Pre- refunded @ $ 100, 8/1/21)............ 10,000 $ 10,658,200
Washington State (GO) Series A-1
5.000%, 08/01/21............................................ 1,500 1,600,080
Washington State (GO) Series B
5.000%, 07/01/20......................................... 15,000 15,381,450
Washington State (GO) Series C
5.000%, 07/01/20............................................ 3,650 3,742,820
Washington State (GO) Series D
5.000%, 02/01/20............................................ 5,350 5,399,969
5.000%, 02/01/20............................................ 4,320 4,360,349
Washington State (GO) Series R-2017A
5.000%, 08/01/22............................................ 2,500 2,760,700
------------
TOTAL WASHINGTON........................................................ 172,349,993
------------
WEST VIRGINIA -- (0.4%)
West Virginia State (GO) Series A
5.000%, 06/01/21............................................ 9,620 10,193,256
------------
WISCONSIN -- (2.9%)
City of Milwaukee (GO) Series N2
5.000%, 04/01/20............................................ 5,860 5,951,592
Wisconsin State (GO) (ETM) Series 1
(Currency) 5.000%, 05/01/20 (Pre- refunded @ $ 100, 5/1/20)............ 120 122,234
FACE
AMOUNT^ VALUE+
---------- --------------
(000)
----------
WISCONSIN -- (Continued)
Wisconsin State (GO) Series 1
5.000%, 05/01/20............................................ 3,235 $ 3,296,530
Wisconsin State (GO) Series 2
5.000%, 11/01/19............................................ 4,000 4,000,000
5.000%, 11/01/21............................................ 6,160 6,631,178
5.000%, 11/01/22............................................ 3,000 3,335,640
Wisconsin State (GO) Series B
5.000%, 05/01/20............................................ 5,045 5,140,956
5.000%, 05/01/20............................................ 11,930 12,156,909
5.000%, 05/01/20............................................ 23,790 24,242,486
5.000%, 05/01/21............................................ 9,655 10,209,100
--------------
TOTAL WISCONSIN................................................. 75,086,625
--------------
TOTAL MUNICIPAL BONDS........................................... 2,560,478,696
--------------
COMMERCIAL PAPER -- (0.9%)
University of Michigan
1.260%, 11/01/19.......................................... 23,540 23,540,049
--------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (1.3%)
BlackRock Liquidity Funds MuniCash Portfolio................ 33,048,014 33,048,014
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,611,533,223)..................................... $2,617,066,759
==============
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
-------- -------------- -------- --------------
Municipal Bonds........................................ -- $2,560,478,696 -- $2,560,478,696
Commercial Paper....................................... -- 23,540,049 -- 23,540,049
Temporary Cash Investments............................. -- 33,048,014 -- 33,048,014
-------- -------------- -------- --------------
TOTAL.................................................. -- $2,617,066,759 -- $2,617,066,759
======== ============== ======== ==============
See accompanying Notes to Financial Statements.
181
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
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(000)
-------
MUNICIPAL BONDS -- (100.0%)
ALABAMA -- (0.2%)
Alabama State (GO) Series A
5.000%, 08/01/21......................................... 250 $ 266,635
Alabama State (GO) Series B
5.000%, 11/01/19......................................... 1,000 1,000,000
Alabama State (GO) Series C
5.000%, 08/01/24......................................... 3,000 3,522,420
-----------
TOTAL ALABAMA............................................... 4,789,055
-----------
ALASKA -- (0.4%)
Municipality of Anchorage (GO) Series B
5.000%, 09/01/21......................................... 3,845 4,110,805
5.000%, 09/01/23......................................... 200 228,362
Municipality of Anchorage (GO) Series C
5.000%, 09/01/24......................................... 2,765 3,248,709
-----------
TOTAL ALASKA................................................ 7,587,876
-----------
ARIZONA -- (0.2%)
City of Tucson (GO) Series 2012- C
3.000%, 07/01/22......................................... 1,455 1,524,724
Maricopa County High School District No. 210-Phoenix (GO)
3.000%, 07/01/23......................................... 1,810 1,926,727
-----------
TOTAL ARIZONA............................................... 3,451,451
-----------
ARKANSAS -- (0.6%)
Arkansas State (GO)
5.000%, 04/01/21......................................... 1,000 1,054,050
5.000%, 06/15/21......................................... 3,750 3,982,012
5.000%, 04/01/22......................................... 2,800 3,055,500
4.250%, 06/01/23......................................... 3,325 3,683,535
-----------
TOTAL ARKANSAS.............................................. 11,775,097
-----------
CALIFORNIA -- (2.0%)
California State (GO)
5.000%, 11/01/24......................................... 1,175 1,394,043
5.000%, 08/01/25......................................... 750 908,228
5.000%, 08/01/25......................................... 4,165 5,043,690
5.000%, 11/01/25......................................... 1,985 2,420,489
5.000%, 08/01/26......................................... 200 247,784
5.000%, 08/01/26......................................... 8,000 9,911,360
3.500%, 08/01/27......................................... 800 923,528
5.000%, 11/01/27......................................... 5,580 7,092,124
5.000%, 04/01/29......................................... 2,000 2,607,100
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
California State (GO) Series B
5.000%, 09/01/21......................................... 250 $ 267,753
5.000%, 09/01/25......................................... 9,000 10,924,020
-----------
TOTAL CALIFORNIA............................................ 41,740,119
-----------
COLORADO -- (1.0%)
Adams &Arapahoe Joint School District 28J (GO) (ST AID
WITHHLDG)
5.000%, 12/01/21......................................... 425 458,635
Arapahoe County School District No. 5 (GO) (ST AID WITHHLDG)
5.000%, 12/15/19......................................... 3,115 3,128,706
5.000%, 12/15/19......................................... 5,705 5,730,102
Boulder Valley School District No. Re- 2 Boulder (GO) (ST
AID WITHHLDG) Series B
4.000%, 12/01/24......................................... 2,185 2,483,143
Denver City & County School District No. 1 (GO) (NATL ST
AID WITHHLDG) Series A
5.250%, 12/01/21......................................... 2,490 2,700,853
Denver City & County School District No. 1 (GO) (ST AID
WITHHLDG) Series C
3.000%, 12/01/23......................................... 1,540 1,651,142
Platte River Power Authority (RB) Series JJ
5.000%, 06/01/23......................................... 4,425 5,021,357
-----------
TOTAL COLORADO.............................................. 21,173,938
-----------
CONNECTICUT -- (0.1%)
City of Middletown (GO)
4.000%, 04/01/22......................................... 1,350 1,444,554
-----------
DELAWARE -- (0.7%)
Delaware State (GO)
5.000%, 02/01/24......................................... 2,000 2,320,960
5.000%, 02/01/29......................................... 5,000 6,559,100
Delaware State (GO) Series A
5.000%, 08/01/23......................................... 2,225 2,541,818
New Castle County (GO)
5.000%, 10/01/23......................................... 1,000 1,148,080
182
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
DELAWARE -- (Continued)
New Castle County (GO) Series B
5.000%, 07/15/22......................................... 700 $ 772,450
-----------
TOTAL DELAWARE.............................................. 13,342,408
-----------
DISTRICT OF COLUMBIA -- (1.6%)
District of Columbia (GO) Series A
5.000%, 06/01/20......................................... 3,445 3,521,169
5.000%, 06/01/20......................................... 6,000 6,132,660
5.000%, 06/01/23......................................... 2,000 2,268,040
5.000%, 06/01/25......................................... 1,500 1,805,310
District of Columbia (GO) Series B
5.000%, 06/01/25......................................... 4,500 5,415,930
Washington Metropolitan Area Transit Authority (RB) Series B
5.000%, 07/01/26......................................... 3,500 4,302,725
5.000%, 07/01/27......................................... 8,100 10,174,086
-----------
TOTAL DISTRICT OF COLUMBIA.................................. 33,619,920
-----------
FLORIDA -- (3.4%)
Board of Governors State University System of Florida (RB)
Series A
3.000%, 07/01/24......................................... 2,580 2,777,938
City of Tallahassee Energy System Revenue (RB)
5.000%, 10/01/20......................................... 250 258,623
Florida State (GO) Series A
5.000%, 06/01/20......................................... 4,000 4,088,920
5.000%, 07/01/21......................................... 7,000 7,444,920
5.000%, 06/01/23......................................... 1,300 1,474,707
5.000%, 06/01/24......................................... 1,400 1,637,846
5.000%, 07/01/24......................................... 5,000 5,858,900
5.000%, 06/01/25......................................... 6,500 7,811,310
Florida State (GO) Series B
5.000%, 06/01/20......................................... 6,400 6,542,272
5.000%, 06/01/23......................................... 350 397,036
Florida State (GO) Series C
5.000%, 06/01/20......................................... 3,000 3,066,690
5.000%, 06/01/23......................................... 7,000 7,940,730
5.000%, 06/01/27......................................... 2,000 2,512,540
Florida State (GO) Series D
5.000%, 06/01/22......................................... 1,000 1,097,890
Florida State (GO) (ST GTD) Series A
5.000%, 06/01/27......................................... 6,565 8,247,413
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
FLORIDA -- (Continued)
Orlando Utilities Commission (RB) Series C
5.250%, 10/01/22......................................... 1,745 $ 1,947,961
Peace River Manasota Regional Water Supply Authority (RB)
5.000%, 10/01/25......................................... 2,030 2,443,978
Tampa Bay Water (RB) Series A
5.000%, 10/01/25......................................... 2,850 3,452,803
-----------
TOTAL FLORIDA............................................... 69,002,477
-----------
GEORGIA -- (4.7%)
City of Atlanta (GO)
5.000%, 12/01/19......................................... 5,875 5,891,803
City of Atlanta Water & Wastewater Revenue (RB) Series B
5.000%, 11/01/19......................................... 1,700 1,700,000
Cobb County Water & Sewerage Revenue (RB)
5.000%, 07/01/23......................................... 5,935 6,752,784
Columbia County School District (GO) (STAID WITHHLDG)
5.000%, 04/01/20......................................... 1,700 1,726,707
DeKalb County Water & Sewerage Revenue (RB) Series B
5.250%, 10/01/24......................................... 2,830 3,366,625
Georgia State (GO) Series A
5.000%, 02/01/22......................................... 2,730 2,964,889
5.000%, 07/01/26......................................... 1,340 1,660,796
5.000%, 07/01/27......................................... 6,090 7,720,049
Georgia State (GO) Series C
5.000%, 10/01/21......................................... 3,060 3,284,726
Georgia State (GO) Series C-1
5.000%, 07/01/23......................................... 10,915 12,423,235
5.000%, 07/01/26......................................... 9,200 11,402,480
Georgia State (GO) Series E
5.000%, 12/01/25......................................... 3,960 4,838,882
5.000%, 12/01/26......................................... 3,000 3,754,650
Georgia State (GO) Series F
5.000%, 12/01/19......................................... 6,000 6,017,400
5.000%, 07/01/26......................................... 5,335 6,612,199
5.000%, 01/01/27......................................... 2,000 2,506,460
Georgia State (GO) Series I
5.000%, 07/01/20......................................... 900 922,887
183
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FACE
AMOUNT^ VALUE+
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(000)
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GEORGIA -- (Continued)
Georgia State Road & Tollway Authority (RB) (MUN GOVT GTD)
5.000%, 10/01/23................................................... 6,000 $ 6,883,560
Gwinnett County School District (GO)
5.000%, 02/01/20................................................... 1,700 1,715,878
5.000%, 02/01/20................................................... 1,585 1,599,804
5.000%, 08/01/22................................................... 1,890 2,087,089
-----------
TOTAL GEORGIA......................................................... 95,832,903
-----------
HAWAII -- (2.6%)
City & County of Honolulu (GO) Series B
5.000%, 08/01/20................................................... 1,470 1,511,645
5.000%, 10/01/23................................................... 200 229,204
5.000%, 10/01/24................................................... 6,870 8,109,142
5.000%, 10/01/25................................................... 4,925 5,969,789
Hawaii State (GO) Series EA
5.000%, 12/01/21................................................... 850 916,903
Hawaii State (GO) Series EE
5.000%, 11/01/20................................................... 515 534,601
Hawaii State (GO) Series EF
5.000%, 11/01/22................................................... 2,240 2,492,717
Hawaii State (GO) Series ET
3.000%, 10/01/23................................................... 3,710 3,969,069
Hawaii State (GO) Series EZ
5.000%, 10/01/21................................................... 6,080 6,518,125
Hawaii State (GO) Series FE
5.000%, 10/01/23................................................... 2,000 2,292,040
Hawaii State (GO) Series FH
5.000%, 10/01/25................................................... 1,640 1,987,910
Hawaii State (GO) Series FT
5.000%, 01/01/27................................................... 10,000 12,454,800
Hawaii State (GO) Series FW
5.000%, 01/01/26................................................... 5,000 6,092,500
-----------
TOTAL HAWAII.......................................................... 53,078,445
-----------
KANSAS -- (1.3%)
City of Lenexa (GO) Series A
5.000%, 09/01/21................................................... 525 561,787
City of Wichita (GO) Series A
5.000%, 12/01/19................................................... 3,000 3,008,670
Johnson County (GO) Series B
3.000%, 09/01/22................................................... 2,260 2,372,119
Johnson County Unified School District No. 229 Blue Valley (GO)
Series B
5.000%, 10/01/23................................................... 445 510,344
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
KANSAS -- (Continued)
Johnson County Unified School District No. 232De Soto (GO) Series A
5.000%, 09/01/20................................................... 2,550 $ 2,630,554
Johnson County Unified School District No. 233 Olathe (GO) Series B
5.000%, 09/01/23................................................... 4,380 5,006,428
Kansas State Department of Transportation (RB) Series A
5.000%, 09/01/21................................................... 3,250 3,477,110
5.000%, 09/01/27................................................... 1,500 1,897,110
Kansas State Department of Transportation (RB) Series B
5.000%, 09/01/20................................................... 3,000 3,095,010
Saline County Unified School District No. 305 Salina (GO)
5.000%, 09/01/20................................................... 1,860 1,918,757
Sedgwick County Unified School District No. 260 Derby (GO)
5.000%, 10/01/21................................................... 1,325 1,420,744
-----------
TOTAL KANSAS.......................................................... 25,898,633
-----------
KENTUCKY -- (1.2%)
Louisville Water Co. (RB)
5.000%, 11/15/22................................................... 9,665 10,772,222
Louisville Water Co. (RB) Series A
4.000%, 11/15/21................................................... 1,215 1,285,057
Louisville/Jefferson County Metropolitan Government (GO)
5.000%, 12/01/19................................................... 1,250 1,253,587
Louisville/Jefferson County Metropolitan Government (GO) Series A
5.000%, 12/01/20................................................... 5,155 5,366,974
5.000%, 12/01/22................................................... 5,645 6,293,554
-----------
TOTAL KENTUCKY........................................................ 24,971,394
-----------
LOUISIANA -- (1.2%)
Louisiana State (GO) Series A
5.000%, 11/15/19................................................... 4,500 4,505,130
5.000%, 02/01/24................................................... 2,000 2,303,000
Louisiana State (GO) Series C
5.000%, 07/15/22................................................... 12,765 14,050,180
184
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
LOUISIANA -- (Continued)
Louisiana State (GO) Series D-1
5.000%, 12/01/20................................................. 4,065 $ 4,227,682
-----------
TOTAL LOUISIANA...................................................... 25,085,992
-----------
MAINE -- (0.3%)
Maine State (GO) Series B
5.000%, 06/01/20................................................. 3,000 3,066,150
5.000%, 06/01/27................................................. 2,000 2,519,080
-----------
TOTAL MAINE.......................................................... 5,585,230
-----------
MARYLAND -- (9.5%)
Anne County Arundel (GO)
5.000%, 04/01/22................................................. 2,475 2,702,081
5.000%, 04/01/23................................................. 1,165 1,314,516
Baltimore County (GO)
5.000%, 08/01/21................................................. 1,980 2,112,462
5.000%, 02/01/22................................................. 2,100 2,279,697
5.000%, 08/01/22................................................. 400 441,600
3.000%, 11/01/24................................................. 1,000 1,086,110
5.000%, 03/01/27................................................. 5,000 6,266,600
5.000%, 11/01/27................................................. 2,175 2,766,274
5.000%, 03/01/28................................................. 4,000 5,124,040
Baltimore County (GO) Series B
5.000%, 08/01/24................................................. 5,800 6,812,970
Carroll County (GO)
5.000%, 11/01/19................................................. 2,300 2,300,000
5.000%, 11/01/20................................................. 5,450 5,658,517
City of Baltimore (GO) Series B
5.000%, 10/15/21................................................. 2,500 2,685,800
5.000%, 10/15/22................................................. 8,060 8,951,355
5.000%, 10/15/23................................................. 2,640 3,026,971
Frederick County (GO) Series A
5.000%, 08/01/27................................................. 4,725 5,977,031
Howard County (GO) Series A
5.000%, 02/15/28................................................. 1,220 1,561,319
Howard County (GO) Series D
5.000%, 02/15/24................................................. 5,140 5,955,615
Maryland State (GO)
5.000%, 06/01/23................................................. 5,000 5,671,950
Maryland State (GO) Series A
5.000%, 03/15/26................................................. 8,155 10,002,434
5.000%, 08/01/27................................................. 5,000 6,324,900
Maryland State (GO) Series B
5.000%, 08/01/26................................................. 10,000 12,374,600
5.000%, 08/01/27................................................. 5,945 7,520,306
5.000%, 08/01/28................................................. 4,000 5,168,880
Maryland State (GO) Series C
5.000%, 08/01/20................................................. 7,250 7,460,613
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
MARYLAND -- (Continued)
5.000%, 08/01/22................................................. 1,500 $ 1,656,000
Montgomery County (GO) Series A
5.000%, 11/01/27................................................. 2,500 3,179,625
Montgomery County (GO) Series C
5.000%, 10/01/27................................................. 8,500 10,791,345
Montgomery County (GO) Series D
3.000%, 11/01/23................................................. 4,000 4,283,320
4.000%, 11/01/26................................................. 9,500 11,183,875
Prince County George's (GO) Series A
4.000%, 07/01/26................................................. 2,000 2,341,620
3.000%, 09/15/27................................................. 10,950 12,090,114
Prince County George's (GO) Series B
4.000%, 03/01/22................................................. 2,480 2,643,134
Prince County George's (GO) Series C
5.000%, 08/01/20................................................. 3,450 3,548,015
Queen County Anne's (GO)
5.000%, 11/15/19................................................. 1,805 1,807,130
University System of Maryland (RB) Series B
5.000%, 04/01/20................................................. 4,355 4,423,591
University System of Maryland (RB) Series C
4.000%, 04/01/23................................................. 10,515 11,502,990
Worcester County (GO) Series B
4.000%, 08/01/21................................................. 2,000 2,098,700
------------
TOTAL MARYLAND....................................................... 193,096,100
------------
MASSACHUSETTS -- (4.1%)
City of Boston (GO) Series A
5.000%, 03/01/20................................................. 3,270 3,311,202
5.000%, 03/01/28................................................. 6,800 8,747,860
City of Boston (GO) Series B
4.000%, 01/01/23................................................. 1,795 1,954,073
5.000%, 04/01/24................................................. 3,000 3,493,620
City of Cambridge (GO)
3.000%, 02/15/20................................................. 2,070 2,081,137
City of Springfield (GO) (ST AID WITHHLDG) Series C
4.000%, 08/01/23................................................. 150 165,237
City of Woburn (GO)
4.000%, 09/01/22................................................. 350 377,867
Commonwealth of Massachusetts (GO) Series B
5.250%, 08/01/21................................................. 5,000 5,356,000
185
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FACE
AMOUNT^ VALUE+
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(000)
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MASSACHUSETTS -- (Continued)
5.000%, 07/01/28................................................. 1,725 $ 2,218,764
5.000%, 07/01/28................................................. 4,000 5,144,960
Commonwealth of Massachusetts (GO) Series C
5.000%, 10/01/21................................................. 1,005 1,078,606
5.000%, 04/01/23................................................. 10,000 11,276,300
5.000%, 08/01/24................................................. 1,500 1,761,210
5.000%, 04/01/26................................................. 4,000 4,908,640
Commonwealth of Massachusetts (GO) Series E
5.000%, 11/01/27................................................. 9,000 11,423,340
Commonwealth of Massachusetts (GO) (AGM) Series B
5.250%, 09/01/24................................................. 3,700 4,398,116
Commonwealth of Massachusetts (GO) (AMBAC) Series C
5.500%, 12/01/23................................................. 3,500 4,099,690
Massachusetts Bay Transportation Authority (RB) (NATL) Series B
5.500%, 07/01/24................................................. 3,020 3,610,018
Massachusetts Water Resources Authority (RB) Series A
5.000%, 08/01/22................................................. 3,000 3,311,130
Massachusetts Water Resources Authority (RB) (AGM) Series B
5.250%, 08/01/28................................................. 1,000 1,307,900
Town of Nantucket (GO)
3.000%, 10/01/22................................................. 1,115 1,172,177
Town of Wilmington (GO)
5.000%, 03/15/20................................................. 1,665 1,688,676
-----------
TOTAL MASSACHUSETTS.................................................. 82,886,523
-----------
MICHIGAN -- (0.2%)
Kentwood Public Schools (GO)
4.000%, 05/01/22................................................. 500 533,380
Michigan State (GO) Series A
5.000%, 05/01/25................................................. 2,000 2,400,300
Michigan State Comprehensive Transportation Revenue (RB) (AGM)
5.250%, 05/15/21................................................. 1,000 1,062,810
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MICHIGAN -- (Continued)
University of Michigan (RB) Series A
4.000%, 04/01/23................................................. 1,000 $ 1,096,070
-----------
TOTAL MICHIGAN....................................................... 5,092,560
-----------
MINNESOTA -- (4.0%)
Bloomington Independent School District No. 271 (GO) (SD CRED PROG)
Series A
5.000%, 02/01/20................................................. 1,150 1,160,603
City of Saint Cloud (GO) Series B
5.000%, 02/01/21................................................. 1,275 1,334,351
Dakota County Community Development Agency (RB) (CNTY GTD) Series B
5.000%, 01/01/23................................................. 800 895,112
Elk River Independent School District No. 728 (GO) (SD CRED PROG)
Series A
5.000%, 02/01/21................................................. 5,000 5,234,650
Hennepin County (GO) Series C
5.000%, 12/01/26................................................. 4,070 5,071,993
5.000%, 12/01/27................................................. 5,800 7,390,070
Lakeville Independent School District No. 194 (GO) (SD CRED PROG)
Series D
5.000%, 02/01/22................................................. 4,000 4,337,640
Metropolitan Council (GO) Series B
5.000%, 03/01/23................................................. 2,015 2,268,185
Metropolitan Council (GO) Series C
5.000%, 03/01/26................................................. 700 858,263
Minnesota State (GO) Series A
5.000%, 10/01/20................................................. 4,390 4,543,474
5.000%, 08/01/22................................................. 3,000 3,312,840
5.000%, 08/01/27................................................. 5,000 6,333,300
5.000%, 08/01/28................................................. 6,130 7,932,956
Minnesota State (GO) Series B
5.000%, 08/01/20................................................. 5,460 5,615,938
5.000%, 10/01/21................................................. 4,660 5,001,298
Minnesota State (GO) Series F
5.000%, 10/01/21................................................. 12,025 12,905,711
186
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FACE
AMOUNT^ VALUE+
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(000)
MINNESOTA -- (Continued)
Minnesota State (GO) Series K
5.000%, 11/01/19.................................................. 3,680 $ 3,680,000
Morris Area Schools Independent School District No. 2769 (GO) (SD
CRED PROG) Series A
4.000%, 02/01/24.................................................. 1,125 1,250,167
Rochester Independent School District No. 535 (GO) (SD CRED PROG)
Series A
3.000%, 02/01/22.................................................. 1,240 1,289,414
Saint Paul Public Library Agency (GO) Series C
5.000%, 03/01/20.................................................. 250 253,133
-----------
TOTAL MINNESOTA......................................................... 80,669,098
-----------
MISSISSIPPI -- (1.0%)
Mississippi State (GO) Series A
5.000%, 10/01/27.................................................. 9,110 11,534,627
Mississippi State (GO) Series F
5.000%, 11/01/21.................................................. 7,750 8,339,000
-----------
TOTAL MISSISSIPPI....................................................... 19,873,627
-----------
MISSOURI -- (1.3%)
Cass County Reorganized School District No. R-2 (GO) (ST AID DIR DEP)
5.000%, 03/01/21.................................................. 1,000 1,050,190
City of Belton (GO) Series C
5.000%, 03/01/27.................................................. 2,150 2,675,976
City of Kansas City (GO) Series A
4.000%, 02/01/22.................................................. 1,150 1,222,232
5.000%, 02/01/23.................................................. 3,955 4,434,504
Columbia School District (GO) Series B
5.000%, 03/01/23.................................................. 1,120 1,258,779
5.000%, 03/01/24.................................................. 4,100 4,751,326
North Kansas City School District No. 74 (GO) (ST AID DIR DEP)
4.000%, 03/01/23.................................................. 5,335 5,818,991
Saint Louis County Reorganized School District No R-6 (GO)
5.000%, 02/01/26.................................................. 2,000 2,444,560
FACE
AMOUNT^ VALUE+
------- -----------
(000)
MISSOURI -- (Continued)
St. Charles Community College (GO)
3.000%, 02/15/20................................................. 2,245 $ 2,256,764
-----------
TOTAL MISSOURI....................................................... 25,913,322
-----------
MONTANA -- (0.0%)
City & County of Butte-Silver Bow (GO)
4.000%, 07/01/21................................................. 615 643,493
-----------
NEBRASKA -- (0.5%)
City of Omaha (GO) Series B
3.000%, 11/15/22................................................. 1,665 1,755,809
Douglas County School District No. 17 (GO)
4.000%, 12/15/26................................................. 2,260 2,664,382
Lancaster County School District 001 (GO)
5.000%, 01/15/21................................................. 2,470 2,582,088
Metropolitan Utilities District of Omaha (RB)
5.000%, 12/01/20................................................. 1,000 1,040,900
Omaha School District (GO)
4.000%, 12/15/19................................................. 1,365 1,369,341
-----------
TOTAL NEBRASKA....................................................... 9,412,520
-----------
NEVADA -- (0.2%)
City of Henderson NV (GO)
5.000%, 06/01/21................................................. 490 519,434
Clark County (GO) Series A
5.000%, 07/01/25................................................. 2,700 3,243,996
-----------
TOTAL NEVADA......................................................... 3,763,430
-----------
NEW HAMPSHIRE -- (0.5%)
City of Nashua (GO)
4.000%, 07/15/20................................................. 2,720 2,774,210
New Hampshire State (GO) Series A
5.000%, 03/01/23................................................. 5,910 6,646,445
-----------
TOTAL NEW HAMPSHIRE.................................................. 9,420,655
-----------
NEW JERSEY -- (1.2%)
City of Hoboken (GO)
3.000%, 02/01/26................................................. 2,945 3,197,593
3.000%, 02/01/27................................................. 3,035 3,309,121
3.000%, 02/01/28................................................. 4,560 4,986,041
Essex County (GO) Series A
5.000%, 08/01/20................................................. 1,000 1,028,560
Montville Township (GO)
3.000%, 10/01/25................................................. 505 553,899
187
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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NEW JERSEY -- (Continued)
Morris County (GO)
4.000%, 10/15/20.................................................. 2,390 $ 2,454,673
Princeton Regional School District (GO) (STAID WITHHLDG)
1.750%, 02/01/22.................................................. 1,095 1,109,180
South Orange & Maplewood School District (GO) (SCH BD RES FD)
3.000%, 03/01/22.................................................. 350 364,605
Township of Livingston (GO)
3.000%, 01/15/21.................................................. 350 357,714
Township of Parsippany-Troy Hills (GO) Series ABCD
2.000%, 09/15/22.................................................. 4,100 4,179,335
Union County (GO) (ETM) Series B
3.000%, 03/01/22.................................................. 45 46,778
Union County (GO) Series B
3.000%, 03/01/22.................................................. 2,315 2,409,429
-----------
TOTAL NEW JERSEY 23,996,928
-----------
NEW MEXICO -- (1.1%)
City of Albuquerque (GO) Series A
5.000%, 07/01/24.................................................. 1,300 1,522,027
Farmington Municipal School District No. 5 (GO) (STAID WITHHLDG)
4.000%, 09/01/20.................................................. 945 966,877
Las Cruces School District No. 2 (GO) (ST AID WITHHLDG) Series A
4.000%, 08/01/20.................................................. 125 127,602
New Mexico State (GO)
5.000%, 03/01/23.................................................. 5,000 5,619,550
New Mexico State Severance Tax Permanent Fund (RB) Series A
5.000%, 07/01/27.................................................. 2,000 2,510,480
New Mexico State Severance Tax Permanent Fund (RB) Series B
4.000%, 07/01/20.................................................. 4,100 4,176,629
Santa Fe County (GO)
5.000%, 07/01/22.................................................. 1,000 1,101,220
Santa Fe Public School District (GO) (ST AID WITHHLDG)
5.000%, 08/01/20.................................................. 3,270 3,362,149
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
NEW MEXICO -- (Continued)
5.000%, 08/01/24.................................................. 2,000 $ 2,343,240
-----------
TOTAL NEW MEXICO 21,729,774
-----------
NEW YORK -- (5.5%)
City of New York (GO) Series A
5.000%, 08/01/24.................................................. 3,860 4,524,422
5.000%, 08/01/26.................................................. 7,015 8,634,974
City of New York (GO) Series B
5.000%, 08/01/21.................................................. 450 479,700
5.000%, 08/01/22.................................................. 600 662,058
5.000%, 12/01/22.................................................. 2,240 2,498,810
City of New York (GO) Series C
5.000%, 08/01/20.................................................. 5,625 5,785,650
5.000%, 08/01/22.................................................. 1,500 1,655,145
City of New York (GO) Series D
5.000%, 08/01/22.................................................. 1,055 1,164,119
City of New York (GO) Series E
5.000%, 08/01/21.................................................. 3,975 4,237,350
5.000%, 08/01/23.................................................. 6,000 6,830,640
5.000%, 08/01/23.................................................. 3,725 4,240,689
5.000%, 08/01/26.................................................. 2,500 3,077,325
City of New York (GO) Series H
5.000%, 08/01/22.................................................. 1,000 1,103,430
Kingston City School District (GO) (ST AID WITHHLDG)
3.000%, 06/01/26.................................................. 2,000 2,186,320
New York State Dormitory Authority (RB) Series A
3.000%, 07/01/20.................................................. 1,615 1,636,657
5.000%, 12/15/22.................................................. 10,000 11,179,500
5.000%, 03/15/23.................................................. 200 225,632
5.000%, 02/15/25.................................................. 4,055 4,837,939
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/22.................................................. 10,200 11,090,256
5.000%, 02/15/24.................................................. 4,900 5,684,490
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/27.................................................. 1,265 1,589,093
New York State Dormitory Authority (RB) Series D
5.000%, 02/15/24.................................................. 9,950 11,542,995
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/21.................................................. 2,000 2,104,720
5.000%, 03/15/28.................................................. 2,505 3,212,036
188
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
NEW YORK -- (Continued)
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/22................................................. 1,250 $ 1,363,275
5.000%, 03/15/25................................................. 3,440 4,115,891
Town of Cheektowaga (GO)
5.000%, 07/15/23................................................. 300 342,462
Town of Huntington (GO)
2.000%, 12/01/23................................................. 100 103,533
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/20................................................. 4,000 4,163,640
Triborough Bridge & Tunnel Authority (RB) Series C
4.000%, 11/15/27................................................. 1,250 1,499,650
------------
TOTAL NEW YORK....................................................... 111,772,401
------------
NORTH CAROLINA -- (6.0%)
City of Greensboro (GO) Series B
5.000%, 10/01/27................................................. 4,430 5,650,864
City of Raleigh (GO) Series A
5.000%, 09/01/22................................................. 2,685 2,974,792
Forsyth County (GO)
4.000%, 12/01/21................................................. 3,500 3,707,025
Guilford County (GO)
5.000%, 03/01/24................................................. 2,300 2,671,703
Guilford County (GO) Series A
5.000%, 02/01/22................................................. 1,800 1,954,026
Guilford County (GO) Series B
5.000%, 05/01/24................................................. 5,000 5,837,350
Johnston County (GO)
4.000%, 02/01/20................................................. 3,735 3,760,921
Johnston County (GO) Series A
5.000%, 02/01/21................................................. 2,995 3,138,221
Moore County (GO)
5.000%, 06/01/22................................................. 2,740 3,005,287
New Hanover County (GO)
5.000%, 02/01/23................................................. 250 280,737
North Carolina Eastern Municipal Power Agency (RB) (NATL-IBC) (ETM)
Series B
6.000%, 01/01/22................................................. 9,700 10,693,280
North Carolina State (GO) Series A
5.000%, 06/01/24................................................. 4,800 5,620,128
5.000%, 06/01/25................................................. 5,000 6,026,700
5.000%, 06/01/26................................................. 5,000 6,184,750
5.000%, 06/01/28................................................. 5,035 6,512,168
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
NORTH CAROLINA -- (Continued)
North Carolina State (GO) Series B
5.000%, 06/01/25................................................. 10,545 $ 12,710,310
North Carolina State (GO) Series C
5.000%, 05/01/20................................................. 3,270 3,332,359
4.000%, 05/01/22................................................. 3,000 3,211,770
North Carolina State (GO) Series D
4.000%, 06/01/23................................................. 8,700 9,568,608
Wake County (GO)
5.000%, 09/01/21................................................. 1,450 1,551,326
Wake County (GO) Series A
5.000%, 03/01/28................................................. 2,000 2,569,260
Wake County (GO) Series B
5.000%, 03/01/24................................................. 10,000 11,616,100
5.000%, 03/01/25................................................. 5,000 5,978,300
Wake County (GO) Series C
5.000%, 03/01/24................................................. 3,000 3,484,830
------------
TOTAL NORTH CAROLINA................................................. 122,040,815
------------
OHIO -- (5.2%)
City of Cincinnati (GO) Series A
4.000%, 12/01/21................................................. 2,645 2,800,314
City of Cincinnati (GO) Series C
5.000%, 12/01/19................................................. 2,955 2,963,510
City of Columbus (GO) Series 1
5.000%, 07/01/22................................................. 4,100 4,510,492
5.000%, 07/01/26................................................. 4,260 5,255,349
City of Columbus (GO) Series 2017-1
4.000%, 04/01/27................................................. 3,690 4,357,189
City of Columbus (GO) Series A
2.000%, 08/15/20................................................. 3,285 3,306,615
3.000%, 07/01/21................................................. 470 484,236
4.000%, 04/01/22................................................. 2,000 2,134,640
3.000%, 07/01/22................................................. 700 733,544
2.000%, 08/15/22................................................. 6,160 6,299,955
5.000%, 04/01/23................................................. 750 845,723
4.000%, 07/01/23................................................. 4,995 5,501,044
4.000%, 04/01/27................................................. 8,800 10,391,128
City of Columbus (GO) Series A
4.000%, 04/01/24................................................. 4,000 4,479,440
Hamilton County Sewer System Revenue (RB) Series A
5.000%, 12/01/21................................................. 200 215,792
189
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
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FACE
AMOUNT^ VALUE+
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(000)
-------
OHIO -- (Continued)
Ohio Higher Educational Facility Commission (RB)
(Currency) 5.250%, 07/01/44 (Pre- refunded @ $100, 7/1/20).................. 1,875 $ 1,924,744
Ohio State (GO) Series A
3.000%, 02/01/22................................................. 500 520,715
5.000%, 08/01/22................................................. 4,005 4,421,520
5.000%, 08/01/22................................................. 3,000 3,312,000
5.000%, 09/15/22................................................. 250 277,118
5.000%, 09/15/22................................................. 500 554,235
5.000%, 09/01/25................................................. 5,550 6,736,479
Ohio State (GO) Series B
5.000%, 08/01/20................................................. 3,020 3,106,251
5.000%, 06/15/21................................................. 1,500 1,592,805
5.000%, 09/01/24................................................. 2,665 3,140,809
5.000%, 09/01/27................................................. 625 789,931
5.000%, 09/15/27................................................. 1,500 1,897,395
Ohio State (GO) Series C
5.000%, 09/15/21................................................. 1,000 1,071,550
5.000%, 09/15/21................................................. 4,500 4,821,975
5.000%, 08/01/27................................................. 6,880 8,680,014
Ohio State (GO) Series U
5.000%, 05/01/28................................................. 4,325 5,552,003
Upper Arlington City School District (GO) Series A
5.000%, 12/01/27................................................. 3,190 4,058,956
------------
TOTAL OHIO................................................................... 106,737,471
------------
OKLAHOMA -- (0.0%)
City of Oklahoma City (GO)
4.000%, 03/01/23................................................. 1,000 1,092,430
------------
OREGON -- (2.2%)
City of Portland (GO) Series B
4.000%, 06/01/20................................................. 935 950,381
City of Portland Sewer System Revenue (RB) Series A
5.000%, 06/15/26................................................. 1,550 1,905,756
City of Portland Water System Revenue (RB) Series A
5.000%, 04/01/21................................................. 8,000 8,432,400
City of Salem (GO)
5.000%, 06/01/25................................................. 530 638,512
Clackamas County School District No. 46 Oregon Trail (GO) (SCH BD GTY)
5.000%, 06/15/22................................................. 1,215 1,335,674
FACE
AMOUNT^ VALUE+
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OREGON -- (Continued)
Deschutes County Administrative School District No. 1 Bend-La Pine
(GO) (SCH BD GTY)
5.000%, 06/15/27................................................. 4,680 $ 5,891,933
Lane County School District No. 4J Eugene (GO) (SCH BD GTY) Series A
5.000%, 06/15/23................................................. 3,355 3,811,884
Oregon State (GO) Series A
5.000%, 05/01/21................................................. 200 211,416
Oregon State (GO) Series G
5.000%, 12/01/24................................................. 2,290 2,716,055
Oregon State (GO) Series H
5.000%, 05/01/25................................................. 2,420 2,902,935
Oregon State Department of Transportation (RB) Series B
5.000%, 11/15/26................................................. 3,500 4,359,810
Washington & Multnomah Counties School District No 48J Beaverton
(GO) (SCH BD GTY) Series C
5.000%, 06/15/27................................................. 2,390 3,008,914
Washington County (GO)
5.000%, 03/01/24................................................. 2,400 2,787,864
5.000%, 03/01/25................................................. 5,100 6,094,959
5.000%, 03/01/26................................................. 300 367,623
-----------
TOTAL OREGON......................................................... 45,416,116
-----------
PENNSYLVANIA -- (1.7%)
Commonwealth of Pennsylvania (GO)
5.000%, 07/15/22................................................. 12,820 14,107,128
Commonwealth of Pennsylvania (GO) Series 1
5.000%, 04/01/22................................................. 11,260 12,270,585
Commonwealth of Pennsylvania (GO) Series REF
5.000%, 07/01/22................................................. 2,000 2,198,020
Montgomery County (GO)
5.000%, 05/01/23................................................. 5,255 5,947,346
West View Municipal Authority Water Revenue (RB)
4.000%, 11/15/20................................................. 1,100 1,132,252
-----------
TOTAL PENNSYLVANIA................................................... 35,655,331
-----------
190
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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RHODE ISLAND -- (0.4%)
Rhode Island State (GO) Series A
5.000%, 08/01/22................................................. 1,605 $1,771,005
Rhode Island State (GO) Series C
5.000%, 08/01/20................................................. 4,870 5,008,357
Rhode Island State (GO) Series D
5.000%, 08/01/22................................................. 685 755,849
----------
TOTAL RHODE ISLAND................................................... 7,535,211
----------
SOUTH CAROLINA -- (2.8%)
Beaufort County (GO) (ST AID WITHHLDG) Series C
5.000%, 03/01/22................................................. 3,485 3,790,635
Berkeley County School District (GO) (SCSDE) Series B
5.000%, 03/01/22................................................. 4,120 4,481,324
Charleston County (GO)
5.000%, 11/01/23................................................. 1,000 1,149,430
Charleston County (GO) Series A
5.000%, 11/01/22................................................. 4,780 5,320,761
Charleston County (GO) Series B
5.000%, 11/01/23................................................. 3,560 4,091,971
Charleston County (GO) (ST AID WITHHLDG) Series C
5.000%, 11/01/27................................................. 2,855 3,641,067
Charleston County School District (GO) (SCSDE) Series A
5.000%, 02/01/21................................................. 2,020 2,116,334
City of Charleston Waterworks & Sewer System Revenue (RB)
5.000%, 01/01/20................................................. 1,805 1,816,011
City of North Charleston (GO) (ST AID WITHHLDG)
5.000%, 06/01/21................................................. 385 407,318
Clemson University (RB)
3.000%, 05/01/21................................................. 350 359,443
Dorchester County School District No. 2 (GO) (SCSDE) Series B
5.000%, 03/01/25................................................. 1,430 1,704,102
Florence School District One (GO) (SCSDE)
5.000%, 03/01/20................................................. 3,335 3,376,788
5.000%, 03/01/21................................................. 3,170 3,331,258
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
SOUTH CAROLINA -- (Continued)
Richland County School District No. 1 (GO) (SCSDE) Series A
5.000%, 03/01/20................................................. 5,480 $ 5,548,664
Richland County School District No. 2 (GO) (SCSDE) Series A
5.000%, 02/01/21................................................. 2,085 2,184,434
South Carolina State (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/23................................................. 5,500 6,309,930
South Carolina State (GO) (ST AID WITHHLDG) Series B
4.000%, 08/01/26................................................. 1,405 1,653,221
York County (GO) (ST AID WITHHLDG)
5.000%, 04/01/20................................................. 1,900 1,929,925
York County School District No. 1 (GO) (SCSDE)
5.000%, 03/01/21................................................. 3,790 3,981,281
-----------
TOTAL SOUTH CAROLINA................................................. 57,193,897
-----------
TENNESSEE -- (4.4%)
City of Clarksville Water Sewer & Gas Revenue (RB)
5.000%, 02/01/20................................................. 3,150 3,179,201
City of Maryville (GO) Series A
5.000%, 06/01/22................................................. 1,865 2,043,574
City of Memphis (GO) Series A
5.000%, 11/01/22................................................. 9,695 10,782,779
5.000%, 04/01/25................................................. 1,945 2,322,077
City of Pigeon Forge (GO)
4.000%, 06/01/21................................................. 670 698,750
Hamilton County (GO) Series A
5.000%, 04/01/26................................................. 3,000 3,696,000
Hamilton County (GO) Series B
3.000%, 03/01/22................................................. 4,550 4,743,056
Knox County (GO)
5.000%, 06/01/20................................................. 2,585 2,642,309
5.000%, 04/01/24................................................. 3,440 4,002,818
Maury County (GO)
5.000%, 04/01/21................................................. 5,105 5,379,496
191
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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TENNESSEE -- (Continued)
Metropolitan Government of Nashville & Davidson County (GO)
5.000%, 07/01/22................................................. 1,000 $ 1,100,120
5.000%, 01/01/26................................................. 5,840 7,116,040
5.000%, 07/01/27................................................. 3,510 4,426,180
4.000%, 07/01/28................................................. 10,000 12,016,200
Metropolitan Government of Nashville & Davidson County (GO) Series A
5.000%, 01/01/20................................................. 1,100 1,106,655
5.000%, 01/01/22................................................. 1,500 1,622,715
Putnam County (GO)
4.000%, 04/01/23................................................. 975 1,066,611
Shelby County (GO) Series A
5.000%, 04/01/20................................................. 7,000 7,110,250
Sumner County (GO)
5.000%, 06/01/21................................................. 110 116,608
Tennessee State (GO) Series A
5.000%, 02/01/27................................................. 7,720 9,687,596
Tennessee State (GO) Series B
5.000%, 08/01/20................................................. 1,945 2,000,841
Town of Greeneville (GO)
3.000%, 06/01/21................................................. 1,360 1,398,719
Williamson County (GO) Series A
4.000%, 05/01/22................................................. 300 321,024
Wilson County (GO) Series B
4.000%, 04/01/20................................................. 1,040 1,052,158
-----------
TOTAL TENNESSEE...................................................... 89,631,777
-----------
TEXAS -- (12.2%)
Aldine Independent School District (GO) (PSF-GTD)
5.000%, 02/15/25................................................. 4,750 5,642,715
Austin Independent School District (GO) (PSF-GTD)
5.000%, 08/01/20................................................. 350 359,944
City of Arlington (GO) Series A
3.000%, 08/15/20................................................. 1,700 1,724,752
City of Austin (GO)
5.000%, 09/01/20................................................. 1,655 1,707,414
City of Dallas (GO)
5.000%, 02/15/21................................................. 9,505 9,969,890
City of Denton (GO)
4.000%, 02/15/22................................................. 2,510 2,667,954
City of Fort Worth (GO) Series A
5.000%, 03/01/25................................................. 5,000 5,935,700
FACE
AMOUNT^ VALUE+
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(000)
-------
TEXAS -- (Continued)
City of Houston (GO) Series A
5.000%, 03/01/21................................................. 3,100 $3,256,023
5.000%, 03/01/22................................................. 5,890 6,393,772
City of Lubbock (GO)
5.000%, 02/15/23................................................. 1,000 1,120,930
City of Richardson (GO)
5.000%, 02/15/27................................................. 1,715 2,128,435
City of San Antonio Electric & Gas Systems Revenue (RB) (ETM)
5.000%, 02/01/21................................................. 720 753,883
City of San Antonio Electric & Gas Systems Revenue (RB)
5.000%, 02/01/21................................................. 3,000 3,140,400
City of Southlake (GO)
3.000%, 02/15/23................................................. 1,510 1,594,802
Clear Creek Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/25................................................. 2,175 2,583,769
Conroe Independent School District (GO) (PSF-GTD)
5.000%, 02/15/26................................................. 2,260 2,752,680
Cypress-Fairbanks Independent School District (GO) (PSF-GTD)
5.000%, 02/15/21................................................. 3,500 3,670,730
Dallas Area Rapid Transit (RB) Series B
5.000%, 12/01/21................................................. 2,545 2,744,859
El Paso Independent School District (GO) (PSF-GTD)
5.000%, 08/15/24................................................. 500 586,975
Galveston County (GO)
5.000%, 02/01/22................................................. 1,000 1,082,790
Grayson County (GO)
5.000%, 01/01/21................................................. 1,990 2,078,117
Hays Consolidated Independent School District (GO) (PSF-GTD)
5.000%, 08/15/23................................................. 1,355 1,542,302
Hidalgo County Drain District No. 1 (GO)
5.000%, 09/01/22................................................. 1,000 1,103,810
Highland Park Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20................................................. 1,790 1,809,260
192
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
TEXAS -- (Continued)
Houston Higher Education Finance Corp. (RB) Series A
(Currency) 6.875%, 05/15/41 (Pre-refunded @ $100, 5/15/21)........... 3,225 $3,491,933
Houston Independent School District (GO) (PSF-GTD)
5.000%, 02/15/26.......................................... 7,020 8,578,721
Humble Independent School District (GO) (PSF-GTD) Series A
5.500%, 02/15/25.......................................... 7,000 8,497,580
Katy Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/20.......................................... 3,820 3,861,218
La Porte Independent School District (GO)
5.000%, 02/15/21.......................................... 1,700 1,783,147
Lake Travis Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20.......................................... 3,480 3,517,445
Mansfield Independent School District (GO)
5.000%, 02/15/20.......................................... 1,000 1,010,760
Mansfield Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/22.......................................... 895 971,818
North Texas Municipal Water District Water System Revenue (RB)
5.000%, 09/01/24.......................................... 5,715 6,703,066
Northside Independent School District (GO) (PSF-GTD)
5.000%, 02/15/23.......................................... 4,535 5,088,089
5.000%, 08/15/25.......................................... 1,880 2,263,934
Northside Independent School District (GO) (PSF-GTD) Series A
4.000%, 08/15/24.......................................... 5,215 5,875,636
Northwest Independent School District (GO) (PSF-GTD) Series A
5.000%, 02/15/24.......................................... 1,695 1,959,352
Permanent University Fund - Texas A&M University System (RB)
5.000%, 07/01/23.......................................... 3,500 3,976,875
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
TEXAS -- (Continued)
Permanent University Fund - University of Texas System (RB) Series B
5.000%, 07/01/26................................................. 5,500 $ 6,788,980
Plano Independent School District (GO) (PSF-GTD)
5.000%, 02/15/24................................................. 11,000 12,730,520
San Antonio Independent School District (GO) (PSF-GTD)
5.000%, 02/15/20................................................. 4,100 4,144,116
5.000%, 08/15/26................................................. 4,340 5,365,846
Spring Independent School District (GO) (BAM)
5.000%, 08/15/24................................................. 4,985 5,852,141
Tarrant Regional Water District (RB)
6.000%, 09/01/24................................................. 3,450 4,214,589
Texas A&M University (RB) Series B
5.000%, 05/15/21................................................. 4,000 4,233,600
Texas State (GO)
5.000%, 04/01/23................................................. 10,000 11,287,000
5.000%, 10/01/23................................................. 15,345 17,598,260
5.000%, 10/01/26................................................. 2,845 3,529,791
Texas State (GO) Series A
5.000%, 04/01/25................................................. 1,000 1,197,920
Texas Transportation Commission State Highway Fund (RB)
5.000%, 10/01/25................................................. 10,000 12,083,400
5.250%, 04/01/26................................................. 300 370,461
5.000%, 10/01/26................................................. 4,340 5,352,435
Texas Transportation Commission State Highway Fund (RB) Series A
5.000%, 04/01/20................................................. 7,900 8,023,082
Trinity River Authority Central Regional Wastewater System Revenue
(RB)
5.000%, 08/01/27................................................. 3,150 3,958,384
University of Texas System (The) (RB) Series C
5.000%, 08/15/24................................................. 1,850 2,175,563
University of Texas System (The) (RB) Series D
5.000%, 08/15/26................................................. 2,000 2,474,200
University of Texas System (The) (RB) Series E
5.000%, 08/15/26................................................. 4,835 5,981,378
193
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
TEXAS -- (Continued)
University of Texas System (The) (RB) Series J
5.000%, 08/15/25....................................... 2,500 $ 3,024,475
5.000%, 08/15/26....................................... 1,500 1,855,650
Via Metropolitan Transit (RB)
5.000%, 07/15/20....................................... 2,495 2,561,641
------------
TOTAL TEXAS............................................... 248,734,912
------------
UTAH -- (2.5%)
North Davis County Sewer District (RB)
3.000%, 03/01/21....................................... 2,135 2,187,628
Salt County Lake (GO)
5.000%, 12/15/26....................................... 1,095 1,370,852
Utah State (GO)
5.000%, 07/01/22....................................... 11,285 12,433,587
5.000%, 07/01/24....................................... 12,350 14,502,111
5.000%, 07/01/26....................................... 4,450 5,512,126
5.000%, 07/01/27....................................... 4,435 5,614,710
5.000%, 07/01/27....................................... 1,665 2,107,890
Washington County School District Board of Education/St
George (GO) (SCH BD GTY)
5.000%, 03/01/20....................................... 2,135 2,161,688
5.000%, 03/01/22....................................... 4,465 4,857,652
------------
TOTAL UTAH................................................ 50,748,244
------------
VERMONT -- (0.1%)
Vermont State (GO) Series B
5.000%, 08/15/23....................................... 1,270 1,450,112
Vermont State (GO) Series C
4.000%, 08/15/23....................................... 225 248,609
Vermont State (GO) Series F
5.000%, 08/15/20....................................... 1,100 1,133,055
------------
TOTAL VERMONT............................................. 2,831,776
------------
VIRGINIA -- (3.8%)
Arlington County (GO)
5.000%, 08/15/22....................................... 3,000 3,316,260
City of Alexandria (GO) (ST AID WITHHLDG) Series A
5.000%, 07/15/27....................................... 3,160 4,011,936
City of Hampton (GO) (ST AID WITHHLDG) Series B
5.000%, 09/01/21....................................... 3,000 3,211,920
5.000%, 09/01/22....................................... 2,050 2,267,033
City of Lynchburg (GO)
5.000%, 02/01/20....................................... 1,390 1,402,983
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
VIRGINIA -- (Continued)
City of Norfolk (GO) (ST AID WTHHLDG)
5.000%, 08/01/28......................................... 2,405 $3,107,789
City of Richmond (GO) (ST AID WITHHLDG) Series A
5.000%, 07/15/23......................................... 4,315 4,908,917
City of Richmond (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/26......................................... 3,635 4,488,280
City of Richmond (GO) (ST AID WITHHLDG) Series D
5.000%, 03/01/27......................................... 3,275 4,102,036
City of Richmond (GO) Series B
5.000%, 07/15/25......................................... 5,350 6,454,240
City of Roanoke (GO) (ST AID WITHHLDG)
4.000%, 04/01/20......................................... 1,000 1,011,810
City of Suffolk (GO) (ST AID WITHHLDG)
5.000%, 02/01/23......................................... 2,000 2,245,200
City of Virginia Beach (GO) (ST AID WITHHLDG) Series A
5.000%, 07/15/23......................................... 2,725 3,103,257
City of Virginia Beach (GO) (ST AID WITHHLDG) Series B
5.000%, 07/15/25......................................... 1,000 1,208,240
Commonwealth of Virginia (GO) Series A
5.000%, 06/01/24......................................... 2,250 2,635,537
5.000%, 06/01/25......................................... 500 602,670
Commonwealth of Virginia (GO) Series B
4.000%, 06/01/23......................................... 2,500 2,751,450
Fairfax County (GO) (ST AID WITHHLDG) Series A
5.000%, 10/01/24......................................... 5,000 5,912,300
5.000%, 10/01/26......................................... 1,000 1,246,680
5.000%, 10/01/27......................................... 1,000 1,275,590
Henrico County (GO) (ST AID WITHHLDG)
5.000%, 08/01/27......................................... 1,680 2,130,811
5.000%, 08/01/28......................................... 2,905 3,748,380
Loudoun County (GO) (ST AID WITHHLDG) Series A
5.000%, 12/01/22......................................... 4,000 4,467,280
Pittsylvania County (GO) (ST AID WITHHLDG)
5.000%, 02/01/21......................................... 250 261,860
194
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
VIRGINIA -- (Continued)
University of Virginia (RB) Series B
5.000%, 08/01/21....................................... 6,250 $ 6,671,500
Virginia Resources Authority (RB) Series D
5.000%, 11/01/20....................................... 745 773,273
-----------
TOTAL VIRGINIA............................................ 77,317,232
-----------
WASHINGTON -- (7.1%)
Benton County School District No. 400 Richland (GO) (SCH
BD GTY)
5.000%, 12/01/22....................................... 4,705 5,239,535
City of Seattle (GO)
5.000%, 12/01/19....................................... 1,500 1,504,350
City of Seattle Drainage & Wastewater Revenue (RB)
5.000%, 09/01/20....................................... 3,665 3,780,777
5.000%, 07/01/27....................................... 8,400 10,606,512
City of Seattle Municipal Light & Power Revenue (RB)
5.000%, 09/01/20....................................... 350 361,085
City of Seattle Municipal Light & Power Revenue (RB)
Series A
5.000%, 06/01/22....................................... 310 340,182
City of Seattle Municipal Light & Power Revenue (RB)
Series B
5.000%, 02/01/23....................................... 12,040 13,502,619
City of Seattle Water System Revenue (RB)
5.000%, 09/01/22....................................... 6,000 6,640,500
Clark County School District No. 119 Battleground (GO)
(SCH BD GTY)
4.000%, 12/01/21....................................... 1,000 1,057,420
4.000%, 12/01/22....................................... 2,630 2,855,496
King County (GO)
5.000%, 01/01/21....................................... 425 443,917
King County (GO) Series A
5.000%, 06/01/28....................................... 3,555 4,564,833
5.000%, 06/01/29....................................... 2,050 2,671,478
King County (GO) Series E
5.000%, 12/01/19....................................... 1,300 1,303,757
5.000%, 12/01/25....................................... 955 1,163,820
King County School District No. 400 Mercer Island (GO)
(SCH BD GTY)
5.000%, 12/01/22....................................... 1,145 1,278,026
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
WASHINGTON -- (Continued)
King County School District No. 403 Renton (GO) (SCH BD
GTY)
5.000%, 12/01/19........................................ 1,150 $1,153,324
King County School District No. 405 Bellevue (GO) (SCH BD
GTY) Series B
3.000%, 12/01/22........................................ 6,105 6,448,284
King County School District No. 411 Issaquah (GO) (SCH BD
GTY)
5.000%, 12/01/23........................................ 3,500 4,027,275
King County School District No. 412 Shoreline (GO) (SCH BD
GTY)
4.000%, 12/01/21........................................ 1,000 1,058,050
King County Sewer Revenue (RB) Series B
5.000%, 07/01/22........................................ 1,000 1,100,670
Kitsap County (GO)
5.000%, 06/01/21........................................ 200 212,080
North Thurston Public Schools (GO) (SCH BD GTY)
5.000%, 12/01/20........................................ 2,880 2,998,426
Skagit County School District No. 103 Anacortes (GO) (SCH
BD GTY)
5.000%, 12/01/19........................................ 1,925 1,930,486
5.000%, 12/01/20........................................ 2,245 2,336,574
Snohomish County Public Utility District No. 1 (RB)
5.000%, 12/01/19........................................ 1,655 1,659,783
Snohomish County School District No. 15 Edmonds (GO) (SCH
BD GTY)
5.000%, 12/01/20........................................ 2,555 2,660,062
Snohomish County School District No. 201 Snohomish (GO)
(SCH BD GTY)
5.000%, 12/01/25........................................ 4,000 4,869,400
Spokane County (GO)
5.000%, 12/01/22........................................ 1,025 1,142,434
Tacoma Metropolitan Park District (GO) Series B
5.000%, 12/01/21........................................ 150 161,838
Thurston County School District No. 111 Olympia (GO) (SCH
BD GTY)
5.000%, 12/01/21........................................ 425 458,358
University of Washington (RB) Series A
5.000%, 07/01/22........................................ 6,505 7,163,436
195
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
WASHINGTON -- (Continued)
Washington State (GO) Series 2013A
5.000%, 08/01/21...................................... 225 $ 240,012
Washington State (GO) Series A
5.000%, 08/01/23...................................... 750 855,015
Washington State (GO) Series B
5.000%, 07/01/24...................................... 1,200 1,405,548
5.000%, 07/01/25...................................... 1,500 1,806,765
Washington State (GO) Series C
5.000%, 02/01/23...................................... 1,500 1,682,880
Washington State (GO) Series D
5.000%, 07/01/20...................................... 5,000 5,127,150
5.000%, 07/01/23...................................... 3,800 4,320,676
5.000%, 06/01/27...................................... 3,000 3,766,380
Washington State (GO) Series R-2012C
4.000%, 07/01/21...................................... 1,610 1,685,686
Washington State (GO) Series R-2013A
5.000%, 07/01/21...................................... 7,000 7,443,730
Washington State (GO) Series R-2015
5.000%, 07/01/22...................................... 3,720 4,096,538
Washington State (GO) Series R-2015-C
5.000%, 07/01/20...................................... 2,000 2,050,860
Washington State (GO) Series R-2015E
5.000%, 07/01/21...................................... 5,000 5,316,950
Washington State (GO) Series R-2017A
5.000%, 08/01/22...................................... 4,000 4,417,120
Washington State (GO) Series R-2018D
5.000%, 08/01/25...................................... 3,635 4,388,426
------------
TOTAL WASHINGTON......................................... 145,298,523
------------
FACE
AMOUNT^ VALUE+
------- --------------
(000)
-------
WEST VIRGINIA -- (0.0%)
Jefferson County Board of Education (GO) (WV BD COMM)
4.000%, 05/01/20..................................... 130 $ 131,830
WISCONSIN -- (1.0%)
City of Milwaukee (GO) Series N4
5.000%, 04/01/27..................................... 2,000 2,492,220
City of Oshkosh (GO) Series B
3.000%, 12/01/23..................................... 445 475,100
Oregon School District (GO)
3.000%, 03/01/21..................................... 430 440,195
Sun Prairie Area School District (GO)
4.000%, 03/01/20..................................... 570 575,210
Wisconsin State (GO)
5.000%, 05/01/24..................................... 2,515 2,930,201
Wisconsin State (GO) Series 3
5.000%, 11/01/22..................................... 3,110 3,457,947
Wisconsin State (GO) Series A
5.000%, 05/01/23..................................... 8,515 9,621,184
--------------
TOTAL WISCONSIN......................................... 19,992,057
--------------
TOTAL MUNICIPAL BONDS................................... 2,037,007,545
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,981,742,694)................................. $2,037,007,545
==============
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
------- -------------- ------- --------------
Municipal Bonds.. -- $2,037,007,545 -- $2,037,007,545
-- -------------- -- --------------
TOTAL............ -- $2,037,007,545 -- $2,037,007,545
== ============== == ==============
See accompanying Notes to Financial Statements.
196
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
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(000)
-------
MUNICIPAL BONDS -- (99.6%)
CALIFORNIA -- (99.6%)
Alameda County Transportation Commission (RB)
5.000%, 03/01/20................................................. 4,500 $ 4,559,220
Alhambra Unified School District (GO) Series A
4.000%, 08/01/20................................................. 750 766,973
4.000%, 08/01/20................................................. 585 598,239
Anaheim Housing & Public Improvements Authority (RB)
(Currency) 5.000%, 10/01/33 (Pre-refunded @ $100, 10/1/21).................. 1,910 2,053,670
(Currency) 5.000%, 10/01/34 (Pre-refunded @ $100, 10/1/21).................. 3,225 3,467,585
Anaheim Union High School District (GO)
5.000%, 08/01/20................................................. 600 617,130
Bay Area Toll Authority (RB)
(Currency) 5.000%, 10/01/42 (Pre-refunded @ $100, 10/1/20).................. 22,635 23,459,819
Bay Area Toll Authority (RB) Series F-2
4.000%, 04/01/20................................................. 12,780 12,940,006
4.000%, 04/01/21................................................. 1,500 1,564,485
Berkeley Unified School District (GO) Series D
5.000%, 08/01/23................................................. 295 338,642
Beverly Hills Unified School District (GO) Series
5.000%, 08/01/20................................................. 13,055 13,446,650
5.000%, 08/01/21................................................. 9,700 10,382,104
California Educational Facilities Authority (RB) Series A
4.000%, 11/01/19................................................. 850 850,000
California Municipal Finance Authority (RB)
(Currency) 6.000%, 01/01/42 (Pre-refunded @ $100, 1/1/22)................... 1,750 1,935,553
California State (GO)
2.000%, 11/01/19................................................. 8,000 8,000,000
4.000%, 11/01/19................................................. 225 225,000
4.000%, 11/01/19................................................. 1,095 1,095,000
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 11/01/19........................................................ 3,545 $ 3,545,000
5.000%, 11/01/19........................................................ 5,935 5,935,000
5.000%, 02/01/20........................................................ 13,120 13,243,590
3.000%, 04/01/20........................................................ 9,700 9,775,563
5.000%, 04/01/20........................................................ 325 330,174
5.000%, 04/01/20........................................................ 3,705 3,763,984
5.000%, 04/01/20........................................................ 15,000 15,238,800
5.000%, 04/01/20........................................................ 18,000 18,286,560
5.000%, 08/01/20........................................................ 7,440 7,654,718
5.000%, 08/01/20........................................................ 2,415 2,484,697
5.000%, 09/01/20........................................................ 700 722,463
5.000%, 10/01/20........................................................ 1,580 1,635,821
5.000%, 10/01/20........................................................ 3,410 3,530,475
5.000%, 10/01/20........................................................ 1,610 1,666,881
5.000%, 10/01/20........................................................ 11,000 11,388,630
5.000%, 11/01/20........................................................ 8,000 8,308,480
5.000%, 02/01/21........................................................ 1,575 1,651,120
5.000%, 02/01/21........................................................ 650 681,415
5.000%, 04/01/21........................................................ 795 838,550
5.000%, 08/01/21........................................................ 8,060 8,606,468
5.000%, 08/01/21........................................................ 510 544,578
5.000%, 08/01/21........................................................ 2,000 2,135,600
5.000%, 08/01/21........................................................ 7,065 7,544,007
5.000%, 09/01/21........................................................ 1,125 1,204,886
5.000%, 09/01/21........................................................ 2,645 2,832,821
5.000%, 09/01/21........................................................ 7,845 8,402,073
5.000%, 09/01/21........................................................ 6,070 6,501,031
5.000%, 10/01/21........................................................ 17,155 18,428,416
5.000%, 12/01/21........................................................ 2,000 2,162,220
5.000%, 03/01/22........................................................ 1,075 1,172,126
5.000%, 04/01/22........................................................ 1,800 1,968,300
5.000%, 04/01/22........................................................ 1,500 1,640,250
5.000%, 08/01/22........................................................ 785 868,210
5.000%, 09/01/22........................................................ 2,290 2,539,862
5.250%, 09/01/22........................................................ 5,750 6,417,287
5.000%, 10/01/22........................................................ 12,000 13,346,640
5.250%, 10/01/22........................................................ 500 559,680
California State (GO) Series B
5.000%, 09/01/20........................................................ 3,600 3,715,524
5.000%, 09/01/21........................................................ 840 899,648
5.000%, 08/01/22........................................................ 2,250 2,488,500
California State Department of Water Resources (RB)
5.000%, 12/01/21........................................................ 1,000 1,082,610
California State Department of Water Resources (RB) Series AS
5.000%, 12/01/19........................................................ 2,070 2,076,251
5.000%, 12/01/22........................................................ 3,355 3,762,129
197
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
California State Department of Water Resources (RB) (ETM) Series AS
5.000%, 12/01/22................................................. 35 $ 39,206
California State Department of Water Resources Power Supply Revenue (RB)
Series
4.000%, 05/01/20................................................. 4,705 4,774,775
5.000%, 05/01/20................................................. 3,000 3,059,160
California State Department of Water Resources Power Supply Revenue (RB)
Series L
5.000%, 05/01/20................................................. 17,945 18,298,875
(Currency) 5.000%, 05/01/22 (Pre-refunded @ $100, 5/1/20)................... 7,675 7,827,502
California State Department of Water Resources Power Supply Revenue (RB)
Series O
5.000%, 05/01/21................................................. 15,855 16,799,007
5.000%, 05/01/22................................................. 3,280 3,600,423
California State Public Works Board (RB)
(Currency) 5.500%, 03/01/25 (Pre-refunded @ $100, 3/1/20)................... 2,020 2,050,118
(Currency) 6.125%, 11/01/29 (Pre-refunded @ $100, 11/1/19).................. 6,450 6,450,000
(Currency) 6.000%, 11/01/34 (Pre-refunded @ $100, 11/1/19).................. 865 865,000
(Currency) 6.375%, 11/01/34 (Pre-refunded @ $100, 11/1/19).................. 2,550 2,550,000
California State Public Works Board (RB) (ETM) Series F
5.000%, 10/01/20................................................. 2,015 2,089,374
California State Public Works Board (RB) (ETM) Series H
5.000%, 09/01/21................................................. 1,050 1,127,543
California State University (RB) Series A
5.000%, 11/01/19................................................. 1,000 1,000,000
5.000%, 11/01/19................................................. 1,000 1,000,000
5.000%, 11/01/21................................................. 2,595 2,802,055
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
California State University (RB) Series A-
5.000%, 11/01/19................................................. 3,660 $ 3,660,000
California Statewide Communities Dev. Authority (RB) Series A
(Currency) 6.000%, 08/15/42 (Pre-refunded @ $100, 8/15/20).................. 5,500 5,714,940
Carlsbad Unified School District (GO) Series A
4.000%, 08/01/20................................................. 2,000 2,045,260
5.000%, 08/01/21................................................. 1,160 1,241,571
Cerritos Community College District (GO) Series
4.000%, 08/01/20................................................. 425 434,618
4.000%, 08/01/21................................................. 1,250 1,316,350
Chabot-Las Positas Community College District (GO)
4.000%, 08/01/22................................................. 3,050 3,301,473
Chabot-Las Positas Community College District (GO) Series A
4.000%, 08/01/20................................................. 1,275 1,303,853
Chico Unified School District (GO) Series
4.000%, 08/01/21................................................. 625 658,175
City & County of San Francisco (GO)
5.000%, 06/15/20................................................. 1,600 1,639,456
City & County of San Francisco (GO) Series
5.000%, 06/15/20................................................. 750 768,495
5.000%, 06/15/20................................................. 1,000 1,024,660
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20................................................. 965 988,797
5.000%, 06/15/21................................................. 250 266,133
City of Berkeley (RN)
2.000%, 07/22/20................................................. 15,000 15,091,650
City of Long Beach CA Harbor Revenue (RB) Series A
5.000%, 12/15/20................................................. 3,995 4,171,539
City of Los Angeles (RN)
5.000%, 06/25/20................................................. 30,375 31,153,815
City of Los Angeles (GO) Series A
5.000%, 09/01/20................................................. 9,400 9,708,038
City of Los Angeles (GO) Series B
5.000%, 09/01/21................................................. 4,700 5,046,202
198
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
City of Los Angeles CA Solid Waste Resources Revenue (RB) Series A
5.500%, 02/01/20................................................. 2,860 $ 2,891,489
City of Los Angeles Wastewater System Revenue (RB) Series B
5.000%, 06/01/21................................................. 1,400 1,488,872
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22................................................. 385 424,135
City of San Francisco Public Utilities Commission Water Revenue (RB)
5.000%, 11/01/19................................................. 5,920 5,920,000
5.000%, 11/01/20................................................. 5,695 5,919,212
5.000%, 11/01/20................................................. 1,070 1,112,126
5.000%, 11/01/21................................................. 4,290 4,628,781
4.000%, 11/01/22................................................. 3,000 3,263,460
5.000%, 11/01/22................................................. 1,345 1,502,647
5.000%, 11/01/23................................................. 1,835 2,119,315
(Currency) 5.000%, 11/01/27 (Pre-refunded @ $100, 11/1/21).................. 4,690 5,062,902
City of San Francisco Public Utilities Commission Water Revenue (RB) Series
(Currency) 5.000%, 11/01/26 (Pre-refunded @ $100, 11/1/20).................. 3,510 3,649,628
(Currency) 5.000%, 11/01/28 (Pre-refunded @ $100, 11/1/20).................. 6,200 6,446,636
(Currency) 5.000%, 11/01/35 (Pre-refunded @ $100, 11/1/19).................. 10,625 10,625,000
(Currency) 5.125%, 11/01/39 (Pre-refunded @ $100, 11/1/19).................. 12,875 12,875,000
City of San Francisco Public Utilities Commission Water Revenue (RB) Series B
5.000%, 11/01/19................................................. 275 275,000
City of Santa Rosa Wastewater Revenue (RB) Series A
5.000%, 09/01/21................................................. 1,760 1,889,642
City of Torrance (RN)
2.000%, 06/25/20................................................. 19,000 19,131,290
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
City of Tulare Sewer Revenue (RB) (AGM)
3.000%, 11/15/19......................................................... 200 $ 200,118
Colton Joint Unified School District (GO) (AGM)
4.000%, 08/01/20......................................................... 1,000 1,021,870
Conejo Valley Unified School District (GO) Series
5.000%, 08/01/20......................................................... 1,000 1,030,000
Contra Costa Community College District (GO)
5.000%, 08/01/21......................................................... 1,250 1,337,450
Contra Costa Community College District (GO) Series
3.000%, 08/01/20......................................................... 9,515 9,660,199
4.000%, 08/01/21......................................................... 4,000 4,210,920
County of Riverside (RN)
5.000%, 06/30/20......................................................... 13,835 14,201,074
County of Santa Clara (GO) Series B
5.000%, 08/01/21......................................................... 1,105 1,182,704
County of Santa Cruz (RN)
4.000%, 07/01/20......................................................... 20,000 20,398,800
County of Ventura (RN)
5.000%, 07/01/20......................................................... 43,120 44,259,662
Del Mar Union School District (GO)
4.000%, 08/01/20......................................................... 4,250 4,345,540
Desert Community College District (GO)
5.000%, 08/01/21......................................................... 665 711,763
Desert Sands Unified School District (GO)
3.000%, 08/01/20......................................................... 1,250 1,269,075
4.000%, 08/01/21......................................................... 450 473,886
East Bay Regional Park District (GO) Series A
4.000%, 09/01/21......................................................... 210 221,676
East Bay Regional Park District (GO) Series A-
5.000%, 09/01/20......................................................... 810 837,022
5.000%, 09/01/20......................................................... 4,900 5,063,464
East Side Union High School District (GO)
2.000%, 08/01/20......................................................... 1,055 1,063,313
El Monte Union High School District (GO)
2.000%, 06/01/22......................................................... 1,080 1,108,177
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/20......................................................... 780 797,651
199
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
El Segundo Unified School District (GO) Series
5.000%, 08/01/20........................................ 1,095 $ 1,127,850
5.000%, 08/01/21........................................ 600 642,192
Fontana Unified School District (GO)
4.000%, 08/01/20........................................ 3,620 3,701,921
4.000%, 08/01/21........................................ 530 558,132
Fremont Unified School District (GO) Series C
5.000%, 08/01/20........................................ 13,340 13,740,200
Fremont Union High School District (GO)
5.000%, 08/01/20........................................ 1,000 1,030,000
Fremont Union High School District (GO) Series
3.000%, 08/01/20........................................ 3,505 3,558,486
Fresno Unified School District (GO) Series
4.000%, 08/01/20........................................ 4,000 4,090,520
4.000%, 08/01/21........................................ 1,165 1,226,838
Gavilan Joint Community College District (GO) Series A
4.000%, 08/01/20........................................ 2,100 2,147,523
4.000%, 08/01/21........................................ 1,500 1,579,620
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/23........................................ 1,900 2,111,432
Grossmont Union High School District (GO)
4.000%, 08/01/20........................................ 2,420 2,474,765
Kern Community College District (GO)
4.000%, 08/01/20........................................ 5,000 5,109,350
Livermore Valley Joint Unified School District (GO)
5.000%, 08/01/20........................................ 800 823,456
Long Beach Community College District (GO) Series
4.000%, 08/01/20........................................ 4,000 4,088,720
Long Beach Unified School District (GO) Series
5.000%, 08/01/20........................................ 7,375 7,588,949
Long Beach Unified School District (GO) Series B
5.000%, 08/01/21........................................ 10,000 10,679,800
5.000%, 08/01/22........................................ 10,000 11,062,900
Long Beach Unified School District (GO) Series F
5.000%, 08/01/20........................................ 2,200 2,263,822
5.000%, 08/01/21........................................ 5,145 5,494,757
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
Los Altos Elementary School District (GO)
4.000%, 08/01/21........................................ 1,550 $ 1,632,274
Los Altos Elementary School District (RN) Series A
2.000%, 06/30/20........................................ 7,000 7,047,110
Los Angeles Community College District (GO)
5.000%, 08/01/21........................................ 2,890 3,091,664
Los Angeles Community College District (GO) Series A
5.000%, 08/01/20........................................ 10,000 10,297,700
5.000%, 08/01/21........................................ 3,625 3,877,953
Los Angeles Community College District (GO) Series C
5.000%, 08/01/20........................................ 4,080 4,201,462
Los Angeles Community College District (GO) Series G
5.000%, 08/01/23........................................ 3,350 3,840,273
Los Angeles County Metropolitan Transportation Authority
(RB) Series A
5.000%, 06/01/20........................................ 6,215 6,357,510
5.000%, 07/01/20........................................ 12,985 13,325,726
5.000%, 07/01/20........................................ 3,005 3,083,851
5.000%, 07/01/21........................................ 9,000 9,599,760
5.000%, 07/01/22........................................ 1,765 1,952,496
Los Angeles County Metropolitan Transportation Authority
(RB) Series C
5.000%, 07/01/20........................................ 5,460 5,603,270
5.000%, 07/01/21........................................ 1,400 1,493,296
Los Angeles Department of Water (RB) Series B
4.000%, 07/01/20........................................ 500 510,115
5.000%, 07/01/20........................................ 1,785 1,832,784
4.000%, 07/01/21........................................ 700 735,511
5.000%, 07/01/21........................................ 1,500 1,600,725
Los Angeles Department of Water & Power Power System
Revenue (RB) Series A
5.000%, 07/01/20........................................ 1,050 1,078,046
5.000%, 07/01/21........................................ 1,750 1,867,215
5.000%, 07/01/21........................................ 2,000 2,133,960
200
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Department of Water & Power Power System Revenue (RB) Series D
5.000%, 07/01/20................................................. 1,000 $ 1,026,710
5.000%, 07/01/21................................................. 875 933,608
Los Angeles Unified School District (GO) Series A
5.000%, 07/01/21................................................. 3,500 3,726,030
5.000%, 07/01/23................................................. 20,000 22,748,200
Los Angeles Unified School District (GO) Series A-2
5.000%, 07/01/21................................................. 4,625 4,923,682
Los Angeles Unified School District (GO) Series B
5.000%, 07/01/22................................................. 1,350 1,486,647
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/20................................................. 1,740 1,784,840
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/20................................................. 1,895 1,943,834
5.000%, 07/01/22................................................. 5,560 6,122,783
5.000%, 07/01/23................................................. 2,000 2,274,820
Los County Angeles
5.000%, 06/30/20................................................. 10,000 10,263,200
Los Rios Community College District (GO) Series
4.000%, 08/01/20................................................. 15,735 16,091,083
4.000%, 08/01/21................................................. 8,970 9,446,128
Los Rios Community College District (GO) Series A
(Currency) 4.750%, 08/01/32 (Pre- refunded @ $100, 8/1/20).................. 5,000 5,138,150
Los Rios Community College District (GO) Series F
2.000%, 08/01/20................................................. 2,365 2,383,636
Manhattan Beach Unified School District (GO) Series A- MEASURE C
5.000%, 09/01/20................................................. 1,575 1,627,542
Manhattan Beach Unified School District (GO) Series F
4.000%, 09/01/21................................................. 500 527,800
Mill Valley School District (GO) Series A
(Currency) 4.250%, 08/01/34 (Pre- refunded @ $100, 8/1/20).................. 1,280 1,311,616
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
New Haven Unified School District (GO) (BAM) Series B
5.000%, 08/01/21.......................................................... 3,100 $3,317,992
North Orange County Community College District (GO) Series B
4.000%, 08/01/20.......................................................... 3,500 3,579,205
Norwalk-La Mirada Unified School District (GO) Series
4.000%, 08/01/20.......................................................... 300 306,789
4.000%, 08/01/21.......................................................... 1,205 1,268,961
4.000%, 08/01/22.......................................................... 1,000 1,082,450
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/20.......................................................... 600 616,998
Oceanside Unified School District (GO) Series E
4.000%, 08/01/20.......................................................... 1,500 1,533,945
Orange County Sanitation District (RB) Series A
5.000%, 02/01/24.......................................................... 5,295 6,183,077
Oxnard Union High School District (GO) Series A
4.000%, 08/01/20.......................................................... 3,000 3,067,890
Palm Springs Unified School District (GO) Series D
3.000%, 08/01/20.......................................................... 3,120 3,167,611
Palo Alto Unified School District (GO)
6.000%, 08/01/20.......................................................... 8,265 8,573,863
Palomar Community College District (GO)
5.000%, 05/01/23.......................................................... 715 813,942
Pasadena Unified School District (GO)
5.000%, 05/01/20.......................................................... 550 560,956
Peralta Community College District (GO) Series A
5.000%, 08/01/20.......................................................... 1,645 1,693,100
4.000%, 08/01/23.......................................................... 1,515 1,671,242
Peralta Community College District (GO) Series B
5.000%, 08/01/22.......................................................... 1,845 2,035,828
Redwood City School District (GO)
4.000%, 08/01/20.......................................................... 450 459,810
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/21.......................................................... 2,550 2,731,407
201
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
Sacramento Municipal Utility District (RB) Series X
5.000%, 08/15/21................................................. 750 $ 803,355
(Currency) 5.000%, 08/15/25 (Pre-refunded @ $100, 8/15/21).................. 2,985 3,194,607
(Currency) 5.000%, 08/15/26 (Pre-refunded @ $100, 8/15/21).................. 6,065 6,490,884
San Diego Community College District (GO)
4.000%, 08/01/20................................................. 1,040 1,063,535
(Currency) 5.000%, 08/01/41 (Pre-refunded @ $100, 8/1/21)................... 6,800 7,279,400
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/20................................................. 1,385 1,412,520
5.000%, 05/01/21................................................. 550 583,000
San Diego Public Facilities Financing Authority (RB) Series A
(Currency) 5.000%, 09/01/26 (Pre-refunded @ $100, 9/1/20)................... 4,455 4,604,733
San Diego Public Facilities Financing Authority Sewer Revenue (RB)
5.000%, 05/15/22................................................. 6,175 6,790,586
San Diego Public Facilities Financing Authority Sewer Revenue (RB) Series A
4.000%, 05/15/20................................................. 11,000 11,175,340
5.000%, 05/15/20................................................. 7,750 7,914,455
(Currency) 5.250%, 05/15/24 (Pre-refunded @ $100, 5/15/20).................. 1,235 1,263,096
San Diego Unified School District (GO) Series
4.000%, 07/01/20................................................. 10,000 10,194,300
5.000%, 07/01/21................................................. 7,695 8,195,944
San Diego Unified School District (GO) Series K-
4.000%, 07/01/21................................................. 8,000 8,389,600
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/23................................................. 2,000 2,282,540
San Diego Unified School District (RN) Series A
5.000%, 06/30/20................................................. 16,600 17,023,466
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
San Diego Unified School District (GO) (AGM) Series C-2
5.500%, 07/01/21.................................................. 1,390 $1,491,887
San Francisco Community College District (GO)
5.000%, 06/15/20.................................................. 5,430 5,564,935
5.000%, 06/15/22.................................................. 2,000 2,209,000
San Francisco County Transportation Authority (RB)
3.000%, 02/01/20.................................................. 5,000 5,024,850
San Francisco Unified School District (GO)
3.000%, 06/15/20.................................................. 500 506,225
5.000%, 06/15/21.................................................. 3,200 3,406,496
San Francisco Unified School District (GO) Series
5.000%, 06/15/20.................................................. 3,080 3,155,953
San Francisco Unified School District (GO) Series A
3.000%, 06/15/20.................................................. 5,320 5,386,234
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22.................................................. 1,750 1,796,743
San Joaquin County Transportation Authority (RB) Series A
(Currency) 6.000%, 03/01/36 (Pre-refunded @ $100, 3/1/21).................... 1,175 1,251,798
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21.................................................. 250 268,415
San Juan Unified School District (GO)
3.000%, 08/01/22.................................................. 1,200 1,266,876
San Leandro Unified School District (GO) Series B
4.000%, 08/01/21.................................................. 265 278,595
San Mateo County Community College District (GO)
4.000%, 09/01/21.................................................. 1,310 1,382,836
San Mateo County Community College District (GO) Series B
4.000%, 09/01/20.................................................. 755 773,996
San Rafael City High School District (GO) Series B
4.000%, 08/01/20.................................................. 305 311,902
202
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21............................ 4,225 $ 4,449,263
Santa Barbara Unified School District (RN)
3.000%, 06/30/20............................ 3,500 3,545,955
Santa Clara Unified School District (GO)
5.000%, 07/01/20............................ 5,000 5,132,200
5.000%, 07/01/20............................ 1,200 1,231,728
5.000%, 07/01/20............................ 3,195 3,279,476
Santa Monica Community College District (GO) Series D
4.000%, 08/01/20............................ 1,855 1,896,979
Santa Monica-Malibu Unified School District (GO)
4.000%, 08/01/20............................ 14,365 14,690,080
Santa Monica-Malibu Unified School District (GO)
Series D
4.000%, 08/01/20............................ 5,765 5,895,462
Sequoia Union High School District (RN)
2.000%, 06/30/20............................ 5,000 5,033,000
Sequoia Union High School District (GO)
1.500%, 07/01/20............................ 5,640 5,661,037
Southern California Public Power Authority (RB)
4.000%, 07/01/20............................ 4,090 4,172,168
5.000%, 07/01/20............................ 1,175 1,206,302
5.000%, 07/01/21............................ 3,825 4,078,598
Tustin Unified School District (GO)
(Currency) 6.000%, 08/01/36 (Pre-refunded @ $100,
8/1/21)................................... 1,500 1,629,960
University of California (RB) Series G
(Currency) 5.000%, 05/15/37 (Pre-refunded @ $100,
5/15/22).................................. 14,770 16,238,729
FACE
AMOUNT^ VALUE+
--------- --------------
(000)
---------
CALIFORNIA -- (Continued)
Washington Unified School District (GO)
4.000%, 08/01/20............................ 1,000 $ 1,021,870
West Contra Costa Unified School District (GO) (AGM)
5.000%, 08/01/20............................ 820 844,600
5.000%, 08/01/21............................ 2,350 2,515,252
West Contra Costa Unified School District (GO)
Series A
4.000%, 08/01/20............................ 2,715 2,776,440
West Contra Costa Unified School District (GO)
Series B
6.000%, 08/01/21............................ 1,000 1,087,550
West Valley-Mission Community College District (GO)
Series
3.000%, 08/01/20............................ 7,020 7,127,125
West Valley-Mission Community College District (GO)
Series B
5.000%, 08/01/21............................ 1,345 1,439,096
Western Placer Unified School District (RN)
2.000%, 06/30/20............................
8,000 8,053,840
Westlands Water District (RB) (AGM) Series A
4.000%, 09/01/20............................ 1,045 1,069,725
--------------
TOTAL MUNICIPAL BONDS................................ 1,207,872,522
--------------
SHARES
---------
TEMPORARY CASH INVESTMENTS -- (0.4%)
BlackRock Liquidity Funds California Money
Fund Portfolio............................ 5,262,092 5,262,092
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,207,809,673).............................. $1,213,134,614
==============
203
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND 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
------- -------------- ------- --------------
Municipal Bonds... -- $1,207,872,522 -- $1,207,872,522
Temporary Cash
Investments..... -- 5,262,092 -- 5,262,092
-- -------------- -- --------------
TOTAL............. -- $1,213,134,614 -- $1,213,134,614
== ============== == ==============
See accompanying Notes to Financial Statements.
204
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
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(000)
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MUNICIPAL BONDS -- (96.7%)
CALIFORNIA -- (96.7%)
Albany Unified School District (GO)
4.000%, 08/01/21............................ 240 $ 252,739
Anaheim Housing & Public Improvements Authority (RB)
(Currency) 5.000%, 10/01/32 (Pre-refunded @ $100,
10/1/21).................................. 235 252,677
(Currency) 5.000%, 10/01/33 (Pre-refunded @ $100,
10/1/21).................................. 965 1,037,587
(Currency) 5.000%, 10/01/34 (Pre-refunded @ $100,
10/1/21).................................. 400 430,088
(Currency) 5.000%, 10/01/41 (Pre-refunded @ $100,
10/1/21).................................. 960 1,032,211
Anaheim Union High School District (GO)
5.000%, 08/01/23............................ 1,905 2,186,083
Antelope Valley Community College District (GO) Series A
5.000%, 08/01/24............................ 850 1,007,513
Antelope Valley Union High School District (GO)
4.000%, 08/01/21............................ 500 526,540
5.000%, 08/01/22............................ 1,650 1,828,695
Arcadia Unified School District (GO)
3.000%, 08/01/26............................ 1,035 1,157,554
Azusa Unified School District (GO)
4.000%, 07/01/21............................ 400 420,156
5.000%, 07/01/21............................ 825 880,118
Bay Area Toll Authority (RB) Series S-4
(Currency) 5.000%, 04/01/30 (Pre-refunded @ $100,
4/1/23)................................... 10,500 11,900,070
Berkeley Unified School
District (GO) Series D 5.000%, 08/01/23..... 600 688,764
Berkeley Unified School
District (GO) Series E 5.000%, 08/01/27..... 455 584,811
FACE
AMOUNT^ VALUE+
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(000)
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CALIFORNIA -- (Continued)
5.000%, 08/01/28............................ 2,540 $3,340,786
Beverly Hills Unified School District (GO)
2.000%, 08/01/21............................ 145 147,698
2.000%, 08/01/22............................ 2,805 2,885,588
Buena Park School District (GO) (AGM)
2.500%, 08/01/21............................ 75 77,042
Burbank Unified School District (GO)
5.000%, 08/01/24............................ 300 355,593
Butte-Glenn Community College District (GO)
2.500%, 08/01/20............................ 550 556,363
California Infrastructure & Economic Dev. Bank (RB)
(FGIC) (ETM) Series A
5.000%, 07/01/25............................ 2,500 3,048,750
California Infrastructure & Economic Development Bank
(RB) (FGIC) Series A
5.000%, 07/01/26............................ 7,500 9,389,250
California Infrastructure & Economic Development Bank
(RB) (AMBAC) Series A
(Currency) 5.000%, 07/01/36 (Pre-refunded @ $ 100,
1/1/28)................................... 225 291,661
California Municipal Finance Authority (RB)
(Currency) 5.750%, 01/01/33 (Pre-refunded @ $ 100,
1/1/22)................................... 750 825,697
(Currency) 6.000%, 01/01/42 (Pre-refunded @ $ 100,
1/1/22)................................... 3,905 4,319,047
California State (GO)
4.000%, 11/01/19............................ 135 135,000
5.250%, 02/01/20............................ 500 505,010
5.000%, 11/01/20............................ 750 778,920
4.000%, 12/01/20............................ 750 773,340
5.000%, 02/01/21............................ 700 733,831
5.000%, 04/01/21............................ 475 501,020
5.000%, 09/01/21............................ 460 492,665
5.000%, 09/01/21............................ 3,705 3,968,092
5.000%, 09/01/21............................ 175 187,427
5.000%, 10/01/21............................ 200 214,846
5.000%, 02/01/22............................ 2,575 2,799,540
205
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 04/01/22............................ 940 $ 1,027,890
4.000%, 09/01/22............................ 525 567,714
5.000%, 09/01/22............................ 625 693,194
5.250%, 09/01/22............................ 2,585 2,884,989
5.000%, 10/01/22............................ 1,000 1,112,220
5.250%, 10/01/22............................ 2,380 2,664,077
5.000%, 12/01/22............................ 1,245 1,392,458
5.000%, 02/01/23............................ 1,400 1,574,034
5.000%, 08/01/23............................ 1,500 1,714,185
5.000%, 09/01/23............................ 1,635 1,873,465
5.000%, 10/01/23............................ 100 114,891
5.000%, 11/01/23............................ 875 1,007,974
5.000%, 05/01/24............................ 975 1,139,677
5.000%, 09/01/24............................ 1,000 1,180,600
5.000%, 10/01/24............................ 2,400 2,840,424
5.000%, 11/01/24............................ 850 1,008,457
5.500%, 02/01/25............................ 1,000 1,219,290
5.000%, 08/01/25............................ 3,275 3,965,927
5.000%, 08/01/25............................ 4,500 5,449,365
5.000%, 09/01/25............................ 840 1,019,575
5.000%, 10/01/25............................ 1,000 1,216,590
5.000%, 11/01/25............................ 4,000 4,877,560
5.000%, 08/01/26............................ 800 991,136
5.000%, 08/01/26............................ 1,400 1,734,488
5.000%, 08/01/26............................ 2,850 3,530,922
3.500%, 08/01/27............................ 2,220 2,562,790
5.000%, 08/01/27............................ 8,750 11,061,225
5.000%, 04/01/28............................ 1,000 1,279,630
5.000%, 08/01/28............................ 1,000 1,288,430
5.000%, 10/01/28............................ 4,750 6,140,657
5.000%, 10/01/28............................ 2,000 2,585,540
5.000%, 04/01/29............................ 5,000 6,517,750
California State (GO) Series B
5.000%, 09/01/21............................ 1,060 1,135,271
5.000%, 09/01/21............................ 1,700 1,820,717
5.000%, 08/01/22............................ 1,250 1,382,500
5.000%, 09/01/23............................ 2,285 2,618,267
5.000%, 08/01/25............................ 3,000 3,632,910
5.000%, 08/01/26............................ 1,000 1,238,920
5.000%, 09/01/26............................ 305 378,600
California State Department of Water Resources (RB)
Series AM
5.000%, 12/01/22............................ 4,105 4,603,142
California State Department of Water Resources (RB)
Series AQ
(Currency) 4.000%, 12/01/32 (Pre-refunded @ $100,
6/1/23)................................... 5,000 5,542,200
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California State Department of Water Resources (RB)
Series AR
5.000%, 12/01/22............................ 3,210 $3,599,533
5.000%, 12/01/23............................ 900 1,043,757
California State Department of Water Resources (RB)
Series AS
5.000%, 12/01/19............................ 530 531,601
5.000%, 12/01/22............................ 1,485 1,665,205
5.000%, 12/01/24............................ 1,000 1,196,400
California State Department of Water Resources (RB)
Series BA
5.000%, 12/01/28............................ 4,000 5,287,000
California State Department of Water Resources (RB)
(ETM) Series AS
5.000%, 12/01/19............................ 15 15,045
5.000%, 12/01/22............................ 15 16,803
California State Department of Water Resources Power
Supply Revenue (RB) Series L
5.000%, 05/01/20............................ 3,380 3,446,654
(Currency) 5.000%, 05/01/22 (Pre-refunded @ $100,
5/1/20)................................... 610 622,121
California State Department of Water Resources Power
Supply Revenue (RB) Series O
5.000%, 05/01/21............................ 3,640 3,856,726
5.000%, 05/01/22............................ 7,410 8,133,883
California State Public Works Board (RB) (ETM) Series F
5.000%, 10/01/20............................ 500 518,455
California State Public Works Board (RB) (ETM) Series H
5.000%, 09/01/20............................ 1,000 1,033,610
5.000%, 09/01/21............................ 1,740 1,868,499
California State University (RB) Series A
5.000%, 11/01/19............................ 3,000 3,000,000
5.000%, 11/01/20............................ 685 712,592
5.000%, 11/01/25............................ 1,015 1,248,237
5.000%, 11/01/25............................ 2,000 2,459,580
5.000%, 11/01/29............................ 1,500 2,007,405
California State University (RB) Series A-
5.000%, 11/01/19............................ 450 450,000
206
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
California State University (RB) (AGM) Series C
5.000%, 11/01/22............................ 100 $ 111,847
California Statewide Communities Dev. Authority (RB)
(Currency) 6.000%, 06/01/33 (Pre-refunded @ $100,
6/1/21)................................... 1,295 1,396,554
Capistrano Unified School District School Facilities
Improvement District No. 1 (GO)
4.000%, 08/01/22............................ 170 183,728
Carlsbad Unified School District (GO)
5.000%, 08/01/21............................ 230 246,174
5.000%, 08/01/24............................ 325 385,557
Central Marin Sanitation Agency (RB)
4.000%, 09/01/21............................ 1,425 1,504,230
Cerritos Community College District (GO) Series C
5.000%, 08/01/29............................ 400 537,672
Chabot-Las Positas Community College District (GO)
5.000%, 08/01/22............................ 900 998,505
4.000%, 08/01/23............................ 1,970 2,189,222
Chaffey Community College District (GO) Series E
4.000%, 06/01/22............................ 335 361,271
Chico Unified School District (GO) Series A-2
4.000%, 08/01/24............................ 250 284,775
Chino Valley Unified School District (GO) Series A
4.000%, 08/01/21............................ 200 210,616
Chula Vista Elementary School District (GO)
5.000%, 08/01/22............................ 1,835 2,034,776
Chula Vista Municipal Financing Authority (RB) Series F
5.000%, 05/01/25............................ 250 301,218
City & County of San Francisco (GO) Series A
5.000%, 06/15/20............................ 1,715 1,757,292
5.000%, 06/15/22............................ 2,200 2,428,712
5.000%, 06/15/24............................ 1,000 1,179,610
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
City & County of San Francisco (GO) Series B
4.000%, 06/15/20............................ 800 $ 814,840
City & County of San Francisco (GO) Series C
5.000%, 06/15/20............................ 575 589,179
City & County of San Francisco (GO) Series D
5.000%, 06/15/20............................ 2,000 2,049,320
City & County of San Francisco (GO) Series R1
5.000%, 06/15/20............................ 500 512,330
5.000%, 06/15/21............................ 2,315 2,464,387
City of Grover Beach (GO)
5.000%, 09/01/23............................ 360 414,407
City of Long Beach Harbor Revenue (RB) Series A
5.000%, 05/15/28............................ 500 652,170
5.000%, 05/15/29............................ 375 499,260
City of Los Angeles (GO) Series A
5.000%, 09/01/20............................ 445 459,583
City of Los Angeles (GO) Series B
5.000%, 09/01/24............................ 1,000 1,188,360
City of Oakland (GO) Series A
5.000%, 01/15/25............................ 500 600,125
City of Pacifica COP
5.000%, 01/01/24............................ 250 290,373
City of Pasadena Electric Revenue (RB) Series A
5.000%, 06/01/22............................ 1,000 1,101,650
City of San Francisco Public Utilities Commission Water
Revenue (RB)
5.000%, 11/01/21............................ 865 933,309
5.000%, 11/01/22............................ 1,335 1,491,475
5.000%, 11/01/23............................ 1,475 1,703,536
5.000%, 11/01/24............................ 1,250 1,489,050
5.000%, 11/01/25............................ 1,000 1,226,530
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series B
5.000%, 11/01/19............................ 420 420,000
City of San Francisco Public Utilities Commission Water
Revenue (RB) Series F
(Currency) 5.000%, 11/01/23 (Pre-refunded @ $100,
11/1/20).................................. 1,000 1,039,780
207
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
-------
CALIFORNIA -- (Continued)
(Currency) 5.500%, 11/01/30 (Pre- refunded @ $100, 11/1/20).. 1,000 $1,044,700
Coachella Valley Unified School District (GO) (BAM)
4.000%, 08/01/22.................................. 825 891,850
Colton Joint Unified School District (GO)
5.000%, 08/01/21.................................. 900 961,668
Conejo Valley Unified School District (GO) Series B
5.000%, 08/01/21.................................. 500 535,160
Contra Costa Transportation Authority (RB) Series A
5.000%, 03/01/22.................................. 470 513,607
5.000%, 03/01/24.................................. 1,250 1,461,237
Contra Costa Transportation Authority (RB) Series B
(Currency) 5.000%, 03/01/23 (Pre- refunded @ $100, 3/1/20)... 500 506,645
5.000%, 03/01/27.................................. 1,250 1,588,612
Contra Costa Water District (RB) Series Q
5.000%, 10/01/22.................................. 505 563,519
Corona-Norco Unified School District (GO) Series B
3.000%, 08/01/23.................................. 500 536,740
5.000%, 08/01/27.................................. 150 190,505
Culver City School Facilities Financing Authority (RB) (AGM)
5.500%, 08/01/26.................................. 855 1,098,256
Cupertino Union School District (GO) Series B
4.000%, 08/01/21.................................. 400 421,232
Davis Joint Unified School District Community Facilities
District (ST) (AGM)
3.000%, 08/15/22.................................. 1,000 1,051,400
Del Mar Union School District (GO)
4.000%, 08/01/28.................................. 240 295,128
Desert Sands Unified School District (GO)
5.000%, 08/01/21.................................. 3,000 3,210,960
Dublin Unified School District (GO)
5.000%, 08/01/22.................................. 875 970,261
5.000%, 08/01/23.................................. 1,665 1,910,005
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
East Bay Regional Park District (GO) Series A-
5.000%, 09/01/27....................................... 550 $ 709,731
East Side Union High School District (GO)
4.000%, 08/01/21....................................... 600 631,848
East Side Union High School District (GO) Series A
3.000%, 08/01/21....................................... 575 595,614
El Rancho Unified School District (GO) (AGM)
4.000%, 08/01/21....................................... 1,285 1,353,208
Elsinore Valley Municipal Water District Financing Authority
(RB) Series A
5.000%, 07/01/24....................................... 200 236,448
Fallbrook Union Elementary School District (GO) Series A
5.000%, 08/01/20....................................... 200 206,000
Folsom Cordova Unified School District School Facilities
Improvement Dist No. 5 (GO) (AGM) Series B
5.000%, 10/01/26....................................... 250 314,685
Folsom Cordova Unified School District School Facilities
Improvement Dist No. 5 (GO) Series C
5.000%, 10/01/25....................................... 100 122,684
Fontana Unified School District (GO)
4.000%, 08/01/21....................................... 1,585 1,669,132
4.000%, 08/01/22....................................... 875 946,400
Fountain Valley Public Finance Authority (RB) Series A
5.000%, 07/01/24....................................... 250 295,813
Franklin-Mckinley School District (GO)
4.000%, 08/01/23....................................... 325 360,913
Fremont Union High School District (GO) Series A
5.000%, 08/01/25....................................... 795 972,611
Fresno Unified School District (GO) (AGM) Series A
4.500%, 08/01/20....................................... 480 492,629
Gilroy Unified School District (GO) (AGM)
4.000%, 08/01/24....................................... 2,615 2,978,746
208
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Grossmont Healthcare District (GO) Series C
5.000%, 07/15/23.................................... 100 $ 114,546
Grossmont Union High School District (GO)
5.000%, 08/01/27.................................... 500 639,665
Hacienda La Puente Unified School District (GO) (NATL)
5.000%, 08/01/23.................................... 225 258,467
Jurupa Unified School District (GO) (AGM)
5.000%, 08/01/20.................................... 725 746,917
Kern High School District (GO) Series A
3.000%, 08/01/20.................................... 3,885 3,944,285
3.000%, 08/01/26.................................... 895 998,516
Kern High School District (GO) Series E
2.000%, 08/01/20.................................... 2,435 2,454,188
3.000%, 08/01/21.................................... 465 481,670
Lakeside Union School District/San Diego County (GO)
5.000%, 08/01/23.................................... 695 797,269
Lancaster Financing Authority (NATL) (ETM)
5.250%, 02/01/20.................................... 540 545,530
Liberty Union High School District (GO)
5.000%, 08/01/20.................................... 380 391,400
4.000%, 08/01/21.................................... 500 526,540
Lompoc Unified School District (GO) (AGC)
5.250%, 08/01/20.................................... 540 557,194
Long Beach Community College District (GO) Series C
5.000%, 08/01/28.................................... 140 182,651
Long Beach Unified School District (GO)
5.000%, 08/01/20.................................... 1,500 1,543,515
5.000%, 08/01/26.................................... 200 249,246
Los Altos Elementary School District (GO)
4.000%, 08/01/21.................................... 250 263,270
4.000%, 08/01/21.................................... 470 494,948
Los Angeles Community College District (GO) Series A
5.000%, 08/01/21.................................... 2,725 2,915,150
5.000%, 08/01/23.................................... 340 389,759
5.000%, 08/01/24.................................... 250 295,563
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Community College District (GO) Series C
5.000%, 08/01/22.................................... 400 $ 443,548
5.000%, 08/01/25.................................... 1,240 1,510,072
5.000%, 06/01/26.................................... 2,500 3,108,450
Los Angeles Community College District (GO) Series G
5.000%, 08/01/23.................................... 650 745,127
Los Angeles County Metropolitan Transportation
Authority (RB) Series A
5.000%, 07/01/20.................................... 830 851,779
5.000%, 07/01/20.................................... 300 307,872
5.000%, 07/01/21.................................... 520 554,653
5.000%, 07/01/22.................................... 870 962,420
5.000%, 07/01/25.................................... 1,590 1,935,555
5.000%, 07/01/27.................................... 3,565 4,567,050
Los Angeles County Metropolitan Transportation
Authority (RB) Series A-
5.000%, 07/01/25.................................... 3,435 4,181,529
Los Angeles County Metropolitan Transportation
Authority (RB) Series B
5.000%, 06/01/20.................................... 500 511,465
5.000%, 07/01/20.................................... 525 538,776
Los Angeles County Metropolitan Transportation
Authority (RB) Series C
5.000%, 07/01/20.................................... 525 538,776
Los Angeles County Public Works Financing Authority
(RB) Series D
5.000%, 12/01/25.................................... 165 202,597
Los Angeles Department of Water (RB) Series A
5.000%, 07/01/24.................................... 1,450 1,714,248
Los Angeles Department of Water (RB) Series B
5.000%, 07/01/20.................................... 500 513,385
5.000%, 07/01/22.................................... 435 481,210
5.000%, 07/01/28.................................... 750 982,462
Los Angeles Department of Water &Power Power System
Revenue (RB) Series A
5.000%, 07/01/20.................................... 600 616,026
5.000%, 07/01/21.................................... 1,000 1,066,980
5.000%, 07/01/21.................................... 2,950 3,147,591
5.000%, 07/01/21.................................... 1,650 1,760,517
209
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Los Angeles Department of Water & Power Power System
Revenue (RB) Series B
5.000%, 07/01/24......................................... 5,000 $5,906,200
Los Angeles Department of Water & Power Power System
Revenue (RB) Series C
5.000%, 07/01/26......................................... 1,665 2,081,716
Los Angeles Unified School District (GO) Series A
3.000%, 07/01/20......................................... 790 800,025
5.000%, 07/01/20......................................... 150 153,866
2.000%, 07/01/22......................................... 1,515 1,549,663
5.000%, 07/01/22......................................... 1,115 1,227,860
5.000%, 07/01/24......................................... 720 844,394
5.000%, 07/01/26......................................... 1,270 1,567,637
5.000%, 07/01/27......................................... 1,500 1,890,285
5.000%, 07/01/28......................................... 1,000 1,282,500
Los Angeles Unified School District (GO) Series A-1
5.000%, 07/01/21......................................... 1,710 1,820,432
Los Angeles Unified School District (GO) Series A-2
5.000%, 07/01/21......................................... 2,600 2,767,908
Los Angeles Unified School District (GO) Series B-1
5.000%, 07/01/27......................................... 500 630,095
Los Angeles Unified School District (GO) Series C
5.000%, 07/01/22......................................... 500 550,610
5.000%, 07/01/23......................................... 3,050 3,469,100
Los Rios Community College District (GO) Series B
5.000%, 08/01/23......................................... 510 584,638
Los Rios Community College District (GO) Series F
3.000%, 08/01/21......................................... 800 828,680
Lynwood Unified School District (GO) (AGM)
5.000%, 08/01/21......................................... 450 480,267
5.000%, 08/01/22......................................... 485 535,440
Manhattan Beach Unified School District (GO) Series C
3.500%, 09/01/21......................................... 1,185 1,240,197
Manhattan Beach Unified School District (GO) Series E
3.000%, 09/01/22......................................... 660 697,653
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Montebello Unified School District (GO)
5.000%, 08/01/20......................................... 415 $ 426,948
Moreland School District (GO) Series B
5.000%, 08/01/21......................................... 500 535,160
Moreno Valley Public Financing Authority (RB)
5.000%, 11/01/20......................................... 1,470 1,527,433
Morongo Unified School District (GO)
3.000%, 08/01/22......................................... 480 505,546
Morongo Unified School District (GO) Series A
5.000%, 08/01/24......................................... 100 118,072
5.000%, 08/01/25......................................... 80 97,175
5.000%, 08/01/26......................................... 220 274,171
5.000%, 08/01/27......................................... 120 152,910
Mount Diablo Unified School District (GO) Series G
3.000%, 08/01/24......................................... 800 871,984
Municipal Improvement Corp.of Los Angeles (RB) Series A
5.000%, 11/01/24......................................... 325 386,282
North Orange County Community College District (GO) Series B
4.000%, 08/01/22......................................... 2,500 2,706,125
Northern Humboldt Union High School District (GO)
4.000%, 08/01/26......................................... 220 258,711
Novato Sanitary District (RB)
5.000%, 02/01/28......................................... 1,475 1,916,762
Oak Park Unified School District (GO)
4.000%, 08/01/22......................................... 445 481,312
Oakland Unified School District/ Alameda County (GO)
5.000%, 08/01/20......................................... 1,005 1,033,472
5.000%, 08/01/22......................................... 1,500 1,652,565
5.000%, 08/01/24......................................... 900 1,054,458
5.000%, 08/01/26......................................... 575 707,371
Oakland Unified School District/ Alameda County (GO)
Series A
5.000%, 08/01/21......................................... 610 649,931
4.000%, 08/01/22......................................... 350 376,191
5.000%, 08/01/22......................................... 3,000 3,305,130
4.000%, 08/01/24......................................... 500 562,870
5.000%, 08/01/25......................................... 540 649,933
210
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
5.000%, 08/01/25....................................... 750 $ 902,685
Oakland Unified School District/ Alameda County (GO) Series B
5.000%, 08/01/24....................................... 1,675 1,962,463
Oakland Unified School District/ Alameda County (GO) Series C
5.000%, 08/01/20....................................... 255 262,224
5.000%, 08/01/26....................................... 500 615,105
Oakland Unified School District/ Alameda County (GO) (AGM)
5.000%, 08/01/23....................................... 300 341,769
5.000%, 08/01/24....................................... 1,125 1,320,907
5.000%, 08/01/25....................................... 1,250 1,508,312
Orange County Sanitation District (RB) Series A
5.000%, 02/01/23....................................... 1,240 1,400,493
Oxnard Union High School District (GO)
4.000%, 08/01/21....................................... 320 336,986
4.000%, 08/01/22....................................... 500 541,225
Palomar Community College District (GO)
5.000%, 05/01/21....................................... 965 1,023,045
Palomar Community College District (GO) Series D
5.000%, 08/01/23....................................... 150 172,191
Palos Verdes Peninsula Unified School District (GO) Series B
5.000%, 11/01/21....................................... 250 270,053
Pasadena Unified School District (GO) Series B
5.000%, 08/01/24....................................... 800 948,656
Piedmont Unified School District (GO)
3.000%, 08/01/20....................................... 845 857,895
Placentia-Yorba Linda Unified School District (GO)
4.000%, 08/01/29....................................... 1,000 1,240,250
Plumas Unified School District (GO) (AGM)
5.250%, 08/01/21....................................... 800 857,824
Rancho Santiago Community College District (GO) (AGM)
5.250%, 09/01/20....................................... 500 517,705
Redlands Financing Authority (RB) Series A
5.000%, 09/01/22....................................... 1,290 1,435,718
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
Redlands Unified School District (GO)
5.000%, 07/01/26....................................... 300 $ 375,738
5.000%, 07/01/27....................................... 500 642,650
Redwood City School District (GO)
5.000%, 08/01/27....................................... 50 64,095
5.000%, 08/01/28....................................... 85 111,304
Reed Union School District (GO)
4.000%, 08/01/27....................................... 460 558,385
Regents of the University of California Medical Center Pooled
Revenue (RB) Series J
(Currency) 5.250%, 05/15/29 (Pre-refunded @ $ 100, 5/15/23)....... 670 767,029
(Currency) 5.000%, 05/15/33 (Pre-refunded @ $ 100, 5/15/23)....... 500 569,955
Riverside County Infrastructure Financing Authority (RB) Series A
5.000%, 11/01/24....................................... 1,100 1,309,781
Sacramento Municipal Utility District (RB) Series D
5.000%, 08/15/22....................................... 525 582,787
Sacramento Municipal Utility District (RB) Series E
5.000%, 08/15/23....................................... 1,050 1,205,631
5.000%, 08/15/26....................................... 1,000 1,251,080
Sacramento Municipal Utility District (RB) Series F
5.000%, 08/15/22....................................... 1,000 1,110,070
Saddleback Valley Unified School District (GO)
5.000%, 08/01/22....................................... 465 515,894
SAN DIEGO CA UNIF SCH DIST SDGSCD 07/29 FIXED 5
5.000%, 07/01/29....................................... 895 1,191,540
San Diego Community College District (GO)
5.000%, 08/01/24....................................... 1,300 1,540,903
San Diego County Water Authority (RB)
5.000%, 05/01/24....................................... 940 1,103,729
San Diego County Water Authority Financing Corp. (RB)
5.000%, 05/01/21....................................... 310 328,600
211
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
San Diego County Water Authority Financing Corp. (RB) Series A
(Currency) 5.250%, 05/01/23 (Pre-refunded @ $100, 11/1/19)... 1,395 $1,395,000
San Diego Public Facilities Financing Authority (RB)
5.000%, 05/15/25.................................. 1,020 1,234,598
San Diego Public Facilities Financing Authority Sewer
Revenue (RB)
5.000%, 05/15/22.................................. 700 769,783
5.000%, 05/15/23.................................. 2,070 2,354,894
San Diego Public Facilities Financing Authority Sewer
Revenue (RB) Series A
4.000%, 05/15/20.................................. 3,000 3,047,820
(Currency) 5.250%, 05/15/24 (Pre-refunded @ $100, 5/15/20)... 1,975 2,019,931
San Diego Public Facilities Financing Authority Water Revenue
(RB) Series A
(Currency) 5.000%, 08/01/23 (Pre-refunded @ $100, 8/1/20).... 2,690 2,770,296
San Diego Unified School District (GO) (AGM) Series C-2
5.500%, 07/01/21.................................. 4,270 4,582,991
5.500%, 07/01/25.................................. 2,550 3,166,156
San Diego Unified School District (GO) (AGM) Series E-2
5.500%, 07/01/27.................................. 3,000 3,937,470
San Diego Unified School District (GO) (NATL) Series D-1
5.500%, 07/01/24.................................. 190 228,076
5.500%, 07/01/25.................................. 445 551,974
San Diego Unified School District (GO) Series R-3
5.000%, 07/01/20.................................. 435 446,297
5.000%, 07/01/21.................................. 1,705 1,815,995
5.000%, 07/01/22.................................. 1,000 1,103,720
5.000%, 07/01/23.................................. 300 342,381
San Diego Unified School District (GO) Series R-5
5.000%, 07/01/26.................................. 110 137,050
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
San Diego Unified School District/CA Series R-4
5.000%, 07/01/24 (GO)............................. 1,000 $1,177,750
San Dieguito Union High School District (GO) Series A-2
5.000%, 08/01/23.................................. 490 562,687
San Francisco Bay Area Rapid Transit District Sales Tax
Revenue (RB)
4.000%, 07/01/26.................................. 375 444,570
San Francisco City & County Airport Comm-San Francisco
International Airport (RB) Series C
(Currency) 5.000%, 05/01/21 (Pre-refunded @ $ 100, 5/1/20)... 540 550,730
San Francisco City & County Airport Comm-San Francisco
International Airport (RB) Series D
(Currency) 5.000%, 05/01/23 (Pre-refunded @ $ 100, 5/3/21)... 875 926,747
San Francisco Community College District (GO)
5.000%, 06/15/20.................................. 2,100 2,152,185
5.000%, 06/15/22.................................. 2,070 2,286,315
5.000%, 06/15/23.................................. 3,775 4,310,710
5.000%, 06/15/24.................................. 1,365 1,608,816
San Francisco Community College District (GO) Series D
5.000%, 06/15/20.................................. 600 614,910
San Francisco County Transportation Authority (RB)
3.000%, 02/01/22.................................. 2,000 2,091,940
San Francisco Municipal Transportation Agency (RB) Series A
5.000%, 03/01/20.................................. 860 871,318
San Francisco Unified School District (GO)
5.000%, 06/15/20.................................. 725 742,878
5.000%, 06/15/21.................................. 230 244,842
San Francisco Unified School District (GO) Series A
5.000%, 06/15/26.................................. 1,595 1,994,276
212
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
CALIFORNIA -- (Continued)
San Francisco Unified School District (GO) Series F&C
2.000%, 06/15/22................................................. 1,580 $1,622,202
San Joaquin County Transportation Authority (RB) Series A
(Currency) 6.000%, 03/01/36 (Pre-refunded @ $100, 3/1/21)................... 335 356,896
San Jose Evergreen Community College District (GO)
5.000%, 09/01/21................................................. 1,750 1,878,905
San Jose Evergreen Community College District (GO) Series A
4.000%, 09/01/23................................................. 100 111,486
San Juan Unified School District (GO)
3.000%, 08/01/22................................................. 1,480 1,562,480
5.000%, 08/01/22................................................. 800 887,792
3.000%, 08/01/24................................................. 610 666,071
3.000%, 08/01/25................................................. 1,475 1,634,182
3.000%, 08/01/26................................................. 3,135 3,491,136
San Juan Water District (RB)
5.000%, 02/01/26................................................. 500 619,605
San Lorenzo Unified School District (GO)
5.000%, 08/01/21................................................. 265 283,635
San Mateo County Community College District (GO) Series B
5.000%, 09/01/27................................................. 450 580,689
San Matro County Community College District (GO) Series B
5.000%, 09/01/28................................................. 400 528,264
San Ramon Valley Unified School District (GO)
4.000%, 08/01/21................................................. 1,600 1,684,928
Santa Ana Unified School District (GO)
5.000%, 08/01/25................................................. 350 427,756
Santa Clara Unified School District (GO)
5.000%, 07/01/24................................................. 1,000 1,181,240
Santa County Clara (GO) Series C
5.000%, 08/01/26................................................. 900 1,130,895
5.000%, 08/01/27................................................. 3,405 4,385,197
FACE
AMOUNT^ VALUE+
------- ----------
(000)
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CALIFORNIA -- (Continued)
Santa Cruz City High School District (GO)
4.000%, 08/01/22................................................. 715 $ 774,152
Santa Monica Community College District (GO) Series A
5.000%, 08/01/22................................................. 225 249,755
5.000%, 08/01/22................................................. 400 444,008
5.000%, 08/01/26................................................. 105 131,782
Santa Monica Public Financing Authority (RB) Series B
4.000%, 12/01/19................................................. 175 175,401
Simi Valley Unified School District (GO)
5.000%, 08/01/23................................................. 260 298,464
Sonoma Valley Unified School District (GO) Series B
5.000%, 08/01/25................................................. 500 611,080
Southern California Public Power Authority (RB) Series A
5.000%, 07/01/26................................................. 5,500 6,844,530
Standard Elementary School District (GO) Series A
4.000%, 08/01/24................................................. 240 269,705
Stockton Unified School District (GO) (AGM)
5.000%, 07/01/20................................................. 150 153,795
Sylvan Union School District (GO) Series C
5.000%, 08/01/26................................................. 405 507,109
Tahoe Forest Hospital District (GO)
4.000%, 08/01/20................................................. 295 301,431
Tustin Unified School District (GO) Series B
(Currency) 5.250%, 08/01/31 (Pre-refunded @ $100, 8/1/21)................... 415 446,046
University of California (RB) Series AF
5.000%, 05/15/22................................................. 3,000 3,303,840
(Currency) 5.000%, 05/15/26 (Pre-refunded @ $100, 5/15/23).................. 400 454,472
University of California (RB) Series G
(Currency) 5.000%, 05/15/37 (Pre-refunded @ $100, 5/15/22).................. 305 335,329
213
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
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(000)
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CALIFORNIA -- (Continued)
Upland Unified School District (GO) Series A
5.000%, 08/01/21................................................. 500 $ 535,160
Upper Santa Clara Valley Joint Powers Authority (RB) (ETM) Series A
4.000%, 08/01/21................................................. 1,125 1,183,916
Walnut Creek Elementary School District Contra Costa County (GO)
4.000%, 09/01/25................................................. 100 116,872
West Contra Costa Unified School District (GO) (AGM)
5.000%, 08/01/20................................................. 100 103,000
West Contra Costa Unified School District (GO)
5.000%, 08/01/21................................................. 430 460,238
West Contra Costa Unified School District (GO) Series A
5.000%, 08/01/24................................................. 1,095 1,295,681
West Contra Costa Unified School District (GO) Series A-1
5.000%, 08/01/25................................................. 520 633,901
5.000%, 08/01/26................................................. 545 681,599
5.000%, 08/01/27................................................. 575 736,103
West Contra Costa Unified School District (GO) Series B
6.000%, 08/01/20................................................. 1,475 1,530,121
West Covina Unified School District (GO) (AGM)
5.000%, 08/01/21................................................. 385 412,073
FACE
AMOUNT^ VALUE+
---------- ------------
(000)
----------
CALIFORNIA -- (Continued)
West Valley-Mission Community College District (GO)
5.000%, 08/01/22............................................... 1,015 $ 1,125,797
West Valley-Mission Community College District (GO) Series A
5.000%, 08/01/29............................................... 135 181,464
Westside Union School District (GO) Series A
3.000%, 08/01/21............................................... 300 310,755
4.000%, 08/01/23............................................... 700 777,896
Windsor Unified School District (GO)
4.000%, 08/01/26............................................... 105 123,476
Wright Elementary School District (GO) Series A
3.000%, 08/01/20............................................... 165 167,394
Yuba Community College District (GO) Series B
4.000%, 08/01/21............................................... 355 373,087
------------
TOTAL MUNICIPAL BONDS 500,009,528
------------
SHARES
----------
TEMPORARY CASH INVESTMENTS -- (3.3%)
BlackRock Liquidity Funds California Money Fund Portfolio...... 17,053,869 17,053,869
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $503,484,428)............................................ $517,063,397
============
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
------- ------------ ------- ------------
Municipal Bonds............................... -- $500,009,528 -- $500,009,528
Temporary Cash Investments.................... -- 17,053,869 -- 17,053,869
-- ------------ -- ------------
TOTAL......................................... -- $517,063,397 -- $517,063,397
== ============ == ============
See accompanying Notes to Financial Statements.
214
DFA NY MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
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(000)
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MUNICIPAL BONDS -- (99.5%)
NEW YORK -- (99.5%)
Albany County (GO)
5.000%, 04/01/20................................................. 500 $ 508,060
5.000%, 06/01/21................................................. 370 392,888
Ardsley Union Free School District (GO) (ST AID WITHHLDG)
2.250%, 08/15/23................................................. 290 301,383
Babylon Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20................................................. 290 291,662
Bedford Central School District (GO)
3.000%, 07/01/22................................................. 500 525,440
Bronxville Union Free School District (GO) (ST AID WITHHLDG)
5.000%, 09/15/21................................................. 700 751,296
City of Ithaca (GO) Series A
3.000%, 02/15/21................................................. 225 230,767
City of New York (GO) Series
5.000%, 08/01/22................................................. 310 342,063
City of New York (GO) Series A
5.000%, 08/01/20................................................. 450 462,852
5.000%, 08/01/23................................................. 1,200 1,366,128
5.000%, 08/01/24................................................. 620 726,721
5.000%, 08/01/25................................................. 220 264,922
City of New York (GO) Series A-1
4.000%, 08/01/20................................................. 100 102,120
City of New York (GO) Series B
5.000%, 08/01/20................................................. 375 385,710
5.000%, 08/01/21................................................. 1,000 1,066,000
City of New York (GO) Series C
5.000%, 08/01/20................................................. 200 205,712
5.000%, 08/01/20................................................. 100 102,856
5.000%, 08/01/20................................................. 100 102,856
5.000%, 08/01/21................................................. 300 319,800
City of New York (GO) Series E
5.000%, 08/01/20................................................. 1,000 1,028,560
5.000%, 08/01/20................................................. 2,700 2,777,112
5.000%, 08/01/20................................................. 2,365 2,432,544
5.000%, 08/01/21................................................. 625 666,250
5.000%, 08/01/23................................................. 1,000 1,138,440
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
City of New York (GO) Series F
5.000%, 08/01/21................................................. 300 $ 319,800
City of New York (GO) Series F-1
5.000%, 06/01/21................................................. 300 317,877
City of New York (GO) Series I-
5.000%, 03/01/22................................................. 265 288,368
City of New York (GO) Series J7
5.000%, 08/01/20................................................. 1,000 1,028,560
City of New York (GO) Series E
5.000%, 08/01/21................................................. 350 373,100
City of New York NY Series J
5.000%, 08/01/20................................................. 1,120 1,151,987
City of Rochester (GO) Series
5.000%, 02/01/20................................................. 200 201,912
4.000%, 02/15/21................................................. 1,080 1,120,824
City of Rochester (GO) Series I
4.000%, 10/15/21................................................. 675 712,739
City of Rochester (GO) Series II
3.000%, 08/06/20................................................. 2,000 2,028,040
Dutchess County (GO)
5.000%, 12/01/19................................................. 1,045 1,048,145
Eastport-South Manor Central School District (GO) (ST AID WITHHLDG)
4.000%, 08/01/23................................................. 500 549,440
Eden Central School District (GO) (ST AID WITHHLDG)
5.000%, 06/01/20................................................. 660 674,744
Edgemont Union Free School District at Greenburgh (GO) (ST AID
WITHHLDG)
4.000%, 08/15/20................................................. 525 536,959
Grand Island Central School District (GO) (ST AID WITHHLDG)
5.000%, 12/01/21................................................. 500 540,320
Haverstraw-Stony Point Central School District (GO) (ST AID WITHHLDG)
3.000%, 08/15/22................................................. 200 209,998
3.000%, 08/15/23................................................. 360 383,947
215
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
Herricks Union Free School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/21................................................. 150 $ 157,037
Hilton Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21................................................. 450 456,894
Island Park Union Free School District (GO) (ST AID WITHHLDG)
4.000%, 07/15/24................................................. 580 656,264
Island Trees Union Free School District (GO) (ST AID WITHHLDG)
5.000%, 05/15/20................................................. 1,170 1,194,324
Kenmore-Tonawanda Union Free School District (GO) (ST AID WITHHLDG)
5.000%, 06/01/20................................................. 730 746,308
Kingston City School District (GO) (ST AID WITHHLDG)
3.000%, 06/01/20................................................. 510 515,564
Lakeland Central School District (GO) (ST AID WITHHLDG)
5.000%, 11/15/19................................................. 1,470 1,471,749
Lindenhurst Union Free School District (GO) (ST AID WITHHLDG)
2.250%, 09/01/23................................................. 195 202,589
Long Beach City School District (GO) (ST AID WITHHLDG)
3.000%, 05/01/20................................................. 160 161,518
Longwood Central School District Suffolk County (GO) (ST AID WITHHLDG)
2.000%, 06/15/21................................................. 1,195 1,213,307
Metropolitan Transportation Authority (RB) (ETM) Series A
(Currency) 5.000%, 11/15/21 (Pre-refunded @ $100, 11/15/21)................. 145 156,720
Metropolitan Transportation Authority (RB) Series A
5.000%, 11/15/21................................................. 855 918,373
Middle Country Central School District (GO) (ST AID WITHHLDG)
2.000%, 08/15/21................................................. 500 508,085
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
Middle Country Central School District At Centereach (GO) (ST AID WITHHLDG)
3.000%, 01/15/23......................................................... 725 $ 768,485
Middletown City School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20......................................................... 500 502,775
5.000%, 09/15/24......................................................... 130 152,913
Mount Pleasant Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/20......................................................... 1,550 1,558,974
Nassau County Interim Finance Authority (RB) Series A
5.000%, 11/15/21......................................................... 505 545,607
New Hartford Central School District (GO) (AGM ST AID WITHHLDG)
2.125%, 06/15/21......................................................... 250 254,128
New Rochelle City School District (GO) (ST AID WITHHLDG)
4.000%, 06/01/20......................................................... 300 305,076
New York State (GO) Series
5.000%, 03/15/22......................................................... 160 174,850
5.000%, 03/01/23......................................................... 2,000 2,258,300
New York State (GO) Series A
5.000%, 02/15/21......................................................... 750 789,150
New York State (GO) Series C
5.000%, 04/15/22......................................................... 600 657,594
New York State Dormitory Authority (RB) Series
5.000%, 12/15/21......................................................... 150 162,123
5.000%, 03/15/22......................................................... 1,475 1,608,296
5.000%, 03/15/23......................................................... 650 733,304
New York State Dormitory Authority (RB) Series A
5.000%, 02/15/20......................................................... 2,290 2,314,892
4.000%, 03/15/20......................................................... 400 404,196
5.000%, 03/15/20......................................................... 1,175 1,191,579
5.000%, 03/15/20......................................................... 350 354,939
5.000%, 07/01/20......................................................... 395 405,389
5.000%, 12/15/20......................................................... 265 276,408
5.000%, 03/15/21......................................................... 225 236,781
5.000%, 03/15/21......................................................... 475 499,871
5.000%, 02/15/22......................................................... 235 255,511
5.000%, 10/01/22......................................................... 475 529,753
4.000%, 12/15/22......................................................... 100 108,744
5.000%, 12/15/22......................................................... 500 558,975
5.000%, 03/15/23......................................................... 325 366,652
216
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
(Currency) 5.500%, 07/01/25 (Pre-refunded @ $100, 7/1/20) 900 $ 925,830
New York State Dormitory Authority (RB) Series B
5.000%, 02/15/20................................................. 2,690 2,719,240
5.000%, 03/15/20................................................. 1,000 1,014,110
5.000%, 03/15/21................................................. 310 326,232
5.000%, 02/15/22................................................. 1,000 1,087,280
5.000%, 02/15/24................................................. 455 527,845
New York State Dormitory Authority (RB) Series B-
5.000%, 02/15/25................................................. 550 656,194
New York State Dormitory Authority (RB) Series C
5.000%, 03/15/20................................................. 300 304,233
5.000%, 03/15/21................................................. 1,970 2,073,149
New York State Dormitory Authority (RB) Series D
5.000%, 02/15/24................................................. 300 348,030
New York State Dormitory Authority (RB) Series E
5.000%, 03/15/20................................................. 1,160 1,176,368
5.000%, 02/15/21................................................. 900 944,262
5.000%, 03/15/21................................................. 1,000 1,052,360
New York State Urban Development Corp. (RB) (NATL)
5.500%, 03/15/20................................................. 750 761,940
New York State Urban Development Corp. (RB) Series A
5.000%, 03/15/20................................................. 560 567,902
5.000%, 03/15/20................................................. 1,550 1,571,870
5.000%, 03/15/21................................................. 300 315,708
5.000%, 03/15/22................................................. 760 828,871
5.000%, 03/15/25................................................. 1,200 1,435,776
New York State Urban Development Corp. (RB) Series A-
5.000%, 03/15/21................................................. 800 841,888
New York State Urban Development Corp. (RB) Series A-1
5.000%, 03/15/21................................................. 360 378,850
Niagara County (GO)
2.000%, 12/01/21................................................. 250 254,550
Niskayuna Central School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/20................................................. 555 565,401
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
North Shore Central School District (GO) (ST AID WITHHLDG)
2.000%, 12/15/22......................................................... 285 $ 292,347
2.000%, 12/15/23......................................................... 550 569,140
North Tonawanda City School District (GO) (ST AID WITHHLDG)
4.000%, 09/15/21......................................................... 650 684,924
Oceanside Union Free School District (GO) (ST AID WITHHLDG)
2.500%, 07/01/23......................................................... 520 542,162
Oneida County (GO)
5.000%, 04/01/20......................................................... 225 228,674
Onondaga County (GO)
4.000%, 05/01/22......................................................... 590 632,704
Orange County (GO)
3.000%, 08/15/20......................................................... 665 675,414
3.000%, 08/15/21......................................................... 830 859,664
Orange County (GO) Series
5.000%, 03/15/21......................................................... 325 342,654
Pittsford Central School District (GO) (ST AID WITHHLDG)
4.000%, 10/01/21......................................................... 1,225 1,293,563
Port Authority of New York & New Jersey (RB) Series 189
5.000%, 05/01/23......................................................... 305 345,297
Port Washington Union Free School District (GO) (ST AID WITHHLDG)
3.000%, 08/01/21......................................................... 135 139,531
Red Hook Central School District (GO) (ST AID WITHHLDG)
4.000%, 06/15/20......................................................... 150 152,663
Riverhead Central School District (GO) (ST AID WITHHLDG)
3.000%, 03/15/22......................................................... 120 125,374
2.000%, 10/15/22......................................................... 280 286,784
Saranac Lake Central School District (GO) (ST AID WITHHLDG)
3.000%, 06/15/20......................................................... 1,070 1,082,465
Schenectady County (GO)
5.000%, 12/15/20......................................................... 800 835,712
5.000%, 06/15/25......................................................... 140 170,204
217
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
Schenectady County (GO) Series B
3.000%, 12/15/21........................................................ 470 $ 490,013
Sewanhaka Central High School District of Elmont (GO) (ST AID WITHHLDG)
3.000%, 07/15/23........................................................ 590 628,427
Spencerport Central School District (GO) (ST AID WITHHLDG)
2.000%, 06/15/21........................................................ 500 507,095
State of New York (GO) Series C
5.000%, 04/15/20........................................................ 500 509,150
Suffern Central School District (GO) (ST AID WITHHLDG)
5.000%, 10/15/21........................................................ 215 231,325
Syosset Central School District (GO) (ST AID WITHHLDG)
2.000%, 12/15/20........................................................ 1,210 1,222,826
Taconic Hills Central School District at Craryville (GO) (ST AID WITHHLDG)
5.000%, 06/15/20........................................................ 100 102,403
4.000%, 06/15/22........................................................ 250 268,878
Town of Amherst (BAN)
3.250%, 11/07/19........................................................ 3,915 3,915,666
Town of Babylon (GO)
5.000%, 10/01/20........................................................ 400 414,316
3.000%, 07/01/25........................................................ 375 414,079
Town of Babylon (GO) Series
2.000%, 06/01/20........................................................ 150 150,831
Town of Bedford (GO) Series A
3.000%, 03/15/21........................................................ 455 467,544
3.000%, 03/15/25........................................................ 330 362,984
Town of Brookhaven (GO)
5.000%, 04/15/20........................................................ 200 203,596
Town of Brookhaven (GO) Series
3.000%, 03/15/22........................................................ 650 680,816
Town of Brookhaven (GO) Series A
5.000%, 09/15/20........................................................ 1,040 1,076,046
5.000%, 09/15/21........................................................ 1,000 1,074,640
Town of Cheektowaga (GO)
5.000%, 07/15/23........................................................ 265 302,508
Town of Clarence (GO)
2.000%, 08/01/21........................................................ 250 254,523
2.250%, 08/01/24........................................................ 210 220,632
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
NEW YORK -- (Continued)
Town of Hempstead (GO) Series B
5.000%, 09/15/20........................................................ 1,030 $1,066,071
5.000%, 09/15/21........................................................ 2,250 2,412,720
Town of Huntington (GO)
2.000%, 12/01/23........................................................ 220 227,773
Town of Huntington (GO) Series B
5.000%, 11/01/20........................................................ 2,280 2,370,698
Town of Islip (GO) Series
5.000%, 05/15/20........................................................ 885 903,877
Town of Islip (GO) Series A
5.000%, 05/01/20........................................................ 150 152,966
Town of LaGrange (GO)
4.000%, 03/01/20........................................................ 220 222,147
Town of North Hempstead (GO) Series A
5.000%, 03/15/21........................................................ 1,075 1,132,491
3.000%, 04/01/24........................................................ 425 460,607
Triborough Bridge & Tunnel Authority (RB) Series A
5.000%, 11/15/20........................................................ 165 171,750
5.000%, 01/01/22........................................................ 190 205,928
Triborough Bridge & Tunnel Authority (RB) Series A-1
5.000%, 11/15/19........................................................ 300 300,363
Triborough Bridge & Tunnel Authority (RB) Series B
5.000%, 11/15/19........................................................ 2,215 2,217,680
5.000%, 11/15/20........................................................ 570 593,319
5.000%, 11/15/22........................................................ 190 212,127
Triborough Bridge & Tunnel Authority Series B
4.000%, 11/15/20........................................................ 940 968,839
Tuckahoe Union Free School District (GO) (ST AID WITHHLDG)
5.000%, 07/15/21........................................................ 230 245,401
Ulster County (GO)
2.000%, 11/15/22........................................................ 240 245,964
Village of Croton-On-Hudson (GO) Series A
3.000%, 04/01/21........................................................ 300 308,028
Village of Farmingdale (GO)
3.000%, 07/15/21........................................................ 215 222,291
Village of Mamaroneck (GO)
5.000%, 08/15/22........................................................ 1,090 1,207,437
Wantagh Union Free School District (GO) (ST AID WITHHLDG)
2.000%, 11/15/22........................................................ 250 256,213
218
DFA NY MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
NEW YORK -- (Continued)
Washingtonville Central School District (GO) (ST AID WITHHLDG)
5.000%, 06/15/20............................................ 750 $ 768,022
Westchester County (GO) Series
5.000%, 11/15/20............................................ 500 520,665
5.000%, 12/01/20............................................ 500 521,550
5.000%, 11/15/22............................................ 525 586,808
5.000%, 12/01/22............................................ 1,000 1,119,410
Westchester County (GO) Series A
5.000%, 01/01/20............................................ 1,050 1,056,678
5.000%, 01/15/20............................................ 500 503,960
Yorktown Central School District (GO) (ST AID WITHHLDG)
2.000%, 07/01/21............................................ 400 406,028
------------
TOTAL MUNICIPAL BONDS.......................................... 119,336,173
------------
SHARES VALUE+
------- ------------
TEMPORARY CASH INVESTMENTS -- (0.5%)
BlackRock Liquidity Funds New York Money Fund Portfolio..... 551,701 $ 551,701
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $118,787,904)......................................... $119,887,874
============
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
-------- ------------ ------- ------------
Municipal Bonds........................... -- $119,336,173 -- $119,336,173
Temporary Cash Investments................ $551,701 -- -- 551,701
-------- ------------ -- ------------
TOTAL..................................... $551,701 $119,336,173 -- $119,887,874
======== ============ == ============
See accompanying Notes to Financial Statements.
219
DFA MN MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
MINNESOTA -- (100.0%)
Bloomington Independent School District No. 271 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21.......................................................... 100 $ 104,718
Chaska Independent School District No. 112 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21.......................................................... 1,150 1,203,969
City of Bemidji (GO) (AGM) Series A
5.000%, 02/01/20.......................................................... 230 232,086
5.000%, 02/01/21.......................................................... 575 601,691
City of Brainerd (GO) (MN CRED PROG) Series A
5.000%, 10/01/21.......................................................... 570 610,738
City of Cambridge (GO) Series A
3.000%, 02/01/23.......................................................... 375 395,212
City of Chaska (GO) Series B
5.000%, 02/01/21.......................................................... 385 403,264
City of Circle Pines (GO) Series B
3.000%, 02/01/21.......................................................... 215 219,833
City of Duluth (GO) Series A
3.000%, 02/01/20.......................................................... 240 241,042
City of East Grand Forks (GO) Series A
3.000%, 02/01/21.......................................................... 200 204,372
City of Hopkins (GO) Series D
3.000%, 02/01/22.......................................................... 130 135,181
City of Kasson (GO)
4.000%, 02/01/23.......................................................... 320 347,584
City of Kasson (GO) Series A
2.000%, 02/01/20.......................................................... 160 160,298
City of Lakeville (GO) Series A
5.000%, 02/01/20.......................................................... 470 474,380
City of Lakeville (GO) Series B
5.000%, 02/01/24.......................................................... 710 820,746
City of Mankato (GO) Series A
2.000%, 02/01/20.......................................................... 1,320 1,322,719
City of Marshall (GO) Series B
5.000%, 02/01/21.......................................................... 110 115,148
City of Minneapolis (GO)
2.000%, 12/01/19.......................................................... 100 100,066
4.000%, 12/01/19.......................................................... 300 300,645
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
5.000%, 12/01/19................................................. 245 $ 245,711
5.000%, 12/01/19................................................. 500 501,450
2.000%, 12/01/20................................................. 520 524,872
3.000%, 12/01/27................................................. 5,000 5,375,900
City of New Ulm (GO) Series B
2.000%, 12/01/19................................................. 325 325,195
City of Red Wing (GO) Series A
4.000%, 02/01/26................................................. 700 806,925
City of Richfield (GO) Series A
3.000%, 02/01/24................................................. 255 272,335
City of Rochester (GO) Series A
5.000%, 02/01/20................................................. 1,000 1,009,320
City of Saint Cloud (GO) Series A
3.000%, 02/01/24................................................. 450 473,827
City of Saint Cloud (GO) Series B
5.000%, 02/01/20................................................. 275 277,527
City of Saint Cloud (RB) Series A
(Currency) 5.125%, 05/01/30 (Pre-refunded @ $100, 5/1/20)................... 300 305,769
City of Saint Francis (GO) Series A
3.000%, 02/01/20................................................. 285 286,237
City of Saint Paul (GO) Series A
5.000%, 09/01/21................................................. 610 652,743
City of Saint Paul (GO) Series B
5.000%, 11/01/20................................................. 835 866,864
City of Saint Paul Sewer Revenue (RB) Series C
3.000%, 12/01/19................................................. 250 250,353
City of Savage (GO) Series A
3.000%, 02/01/22................................................. 325 332,134
City of Shoreview (GO) Series A
3.000%, 02/01/21................................................. 290 296,592
City of State Paul (GO) Series D
5.000%, 03/01/20................................................. 500 506,265
City of State Paul (GO) Series E
5.000%, 12/01/19................................................. 170 170,493
220
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
City of Waconia (GO) Series A
3.000%, 02/01/23........................................................... 450 $ 474,840
3.000%, 02/01/26........................................................... 820 893,390
City of West Saint Paul (GO) Series A
3.000%, 02/01/23........................................................... 230 242,245
City of Woodbury (GO) Series A
2.000%, 02/01/20........................................................... 135 135,285
2.000%, 02/01/22........................................................... 145 147,807
Cloquet Independent School District No. 94 (GO) (SD CRED PROG) Series A
5.000%, 04/01/22........................................................... 910 991,900
Cook County (GO) Series A
3.000%, 02/01/21........................................................... 180 184,001
County of Itasca (GO) Series A
5.000%, 02/01/24........................................................... 545 626,352
County of Olmsted (GO) Series A
5.000%, 02/01/24........................................................... 675 781,198
4.000%, 02/01/27........................................................... 445 502,779
County of Rice (GO)
3.000%, 02/01/20........................................................... 220 220,981
County of Sherburne (GO) Series A
3.000%, 02/01/24........................................................... 1,360 1,446,659
County of Swift (GO) Series A
3.000%, 02/01/23........................................................... 215 226,868
Dakota County Community Development Agency (RB) (CNTY GTD) Series B
5.000%, 01/01/23........................................................... 1,180 1,320,290
Eden Prairie Independent School District No. 272 (GO) (SD CRED PROG) Series C
5.000%, 02/01/20........................................................... 1,105 1,115,133
Fosston Independent School District No. 601 (GO) (SD CRED PROG)
4.000%, 02/01/25........................................................... 550 623,694
Hastings Independent School District No. 200 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21........................................................... 740 774,728
Hennepin County (GO) Series A
5.000%, 12/01/20........................................................... 400 416,536
5.000%, 12/01/22........................................................... 2,125 2,371,202
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
Hennepin County (GO) Series B
5.000%, 12/01/21................................................. 2,000 $2,158,340
Hennepin County Sales Tax Revenue (RB)
5.000%, 12/15/19................................................. 250 251,100
Housing & Redevelopment Authority of The City of Saint Paul Minnesota (RB)
Series A1
(Currency) 5.250%, 11/15/29 (Pre-refunded @ $100, 11/15/19)................. 350 350,430
Itasca County (GO) Series A
5.000%, 02/01/23................................................. 865 964,899
Lakeville Independent School District No. 194 (GO) (SD CRED PROG) Series A
5.000%, 02/01/20................................................. 345 348,164
Luverne Independent School District No. 2184 (GO) (SD CRED PROG) Series A
4.000%, 02/01/21................................................. 510 527,666
Mahtomedi Independent School District No. 832 (GO) (SD CRED PROG) Series A
5.000%, 02/01/21................................................. 175 183,257
Metropolitan Council (GO) Series A
5.000%, 03/01/20................................................. 1,000 1,012,600
Metropolitan Council (GO) Series B
5.000%, 03/01/21................................................. 350 367,902
Metropolitan Council (GO) Series C
5.000%, 03/01/26................................................. 1,550 1,900,439
Milaca Independent School District No. 912 (GO) (SD CRED PROG) Series A
4.000%, 02/01/23................................................. 825 893,104
4.000%, 02/01/24................................................. 830 918,362
Minneapolis Special School District No. 1 (GO) (SD CRED PROG) Series A
5.000%, 02/01/22................................................. 750 814,005
Minneapolis Special School District No. 1 (GO) (SD CRED PROG) Series B
5.000%, 02/01/24................................................. 1,200 1,389,336
221
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
Minnesota Higher Education Facilities Authority (RB) Series 7-K2-HA
(Currency) 6.000%, 10/01/40 (Pre-refunded @ $100, 10/1/21).................. 450 $ 490,356
Minnesota Public Facilities Authority (RB) Series C
(Currency) 3.250%, 03/01/24 (Pre-refunded @ $100, 3/1/20)................... 770 775,244
Minnesota State (GO) Series A
5.000%, 08/01/20................................................. 2,585 2,658,828
5.000%, 08/01/20................................................. 2,000 2,057,120
5.000%, 08/01/20................................................. 1,000 1,028,560
5.000%, 08/01/20................................................. 1,000 1,028,560
5.000%, 10/01/20................................................. 505 522,655
(Currency) 5.000%, 08/01/23 (Pre-refunded @ $100, 8/1/20)................... 250 257,083
Minnesota State (GO) Series D
5.000%, 08/01/20................................................. 1,975 2,031,406
5.000%, 08/01/22................................................. 1,820 2,009,790
Minnesota State (GO) (ETM) Series D
5.000%, 08/01/20 (Pre-refunded @ $100, 8/1/20)................... 25 25,708
Moorhead Independent School District No. 152 (GO) (SD CRED PROG) Series A
4.000%, 02/01/24................................................. 600 667,278
Morris Area Schools Independent School District No. 2769 (GO) (SD CRED PROG)
Series A
4.000%, 02/01/23................................................. 1,490 1,620,420
4.000%, 02/01/24................................................. 300 333,378
New London-Spicer Independent School District No. 345 (GO) (SD CRED PROG)
Series A
3.000%, 02/01/23................................................. 150 158,330
New Prague Independent School District No. 721 (GO) (SD CRED PROG) Series A
4.000%, 02/01/20................................................. 605 609,017
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
North Branch Independent School District No. 138 (GO) (SD CRED PROG) Series A
5.000%, 02/01/20.......................................................... 300 $ 302,751
North St Paul-Maplewood-Oakdale Independent School District No. 622 (GO) (SD
CRED PROG) Series A
5.000%, 02/01/22.......................................................... 255 276,111
3.000%, 02/01/24.......................................................... 255 272,881
Northern Municipal Power Agency (RB)
5.000%, 01/01/23.......................................................... 740 824,071
Olmsted County (GO) Series A
4.000%, 02/01/20.......................................................... 545 548,766
Osseo Independent School District No. 279 (GO) (SD CRED PROG) Series C
5.000%, 02/01/20.......................................................... 780 787,192
5.000%, 02/01/21.......................................................... 350 366,513
Pine City Independent School District No. 578 (GO) (SD CRED PROG) Series A
2.000%, 02/01/21.......................................................... 300 303,021
Robbinsdale Independent School District No. 281 (GO) (SD CRED PROG) Series A
5.000%, 02/01/20.......................................................... 250 252,255
Rochester Independent School District No. 535 (GO) (SD CRED PROG) Series B
5.000%, 02/01/20.......................................................... 205 206,880
5.000%, 02/01/22.......................................................... 210 227,970
Rosemount-Apple Valley-Eagan Independent School District No 196 (GO) (SD
CRED PROG) Series A
5.000%, 02/01/21.......................................................... 765 801,093
St Louis County Independent School District No. 2142 (GO) (SD CRED PROG)
Series A
3.000%, 02/01/20.......................................................... 600 602,574
Three Rivers Park District (GO) Series C
5.000%, 02/01/21.......................................................... 1,060 1,110,551
222
DFA MN MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MINNESOTA -- (Continued)
Washington County (GO) Series A
5.000%, 02/01/21........................................... 310 $ 324,784
5.000%, 02/01/21........................................... 1,000 1,047,690
Watertown-Mayer Independent School District No. 111 (GO) (SD
CRED PROG) Series B
4.000%, 02/01/20........................................... 500 503,345
Westonka Independent School District No. 277 (GO) (SD CRED
PROG) Series A
2.000%, 02/01/20........................................... 500 500,980
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
MINNESOTA -- (Continued)
White Bear Lake Independent School District No. 624 (GO) (SD
CRED PROG) Series A
3.000%, 02/01/23........................................... 350 $ 363,363
-----------
TOTAL MUNICIPAL BONDS......................................... 72,946,220
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $72,467,694)......................................... $72,946,220
===========
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
------- ----------- ------- -----------
Municipal Bonds............................ -- $72,946,220 -- $72,946,220
-- ----------- -- -----------
TOTAL...................................... -- $72,946,220 -- $72,946,220
== =========== == ===========
See accompanying Notes to Financial Statements.
223
DFA OREGON MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
MUNICIPAL BONDS -- (100.0%)
OREGON -- (100.0%)
Blue Mountain Community College District
4.000%, 06/15/23......................................................... 160 $ 175,782
City of Bend Water Revenue
5.000%, 12/01/23......................................................... 400 460,604
City of Bend Water Revenue (RB)
5.000%, 12/01/26......................................................... 200 245,908
City of Cottage Grove
5.000%, 09/01/26......................................................... 500 613,690
4.000%, 06/01/29......................................................... 100 119,888
City of Eugene Water Utility System Revenue
4.000%, 08/01/20......................................................... 100 102,105
City of Lake Oswego (GO)
5.000%, 06/01/28......................................................... 450 579,001
City of Newberg
4.000%, 12/01/25......................................................... 100 115,023
City of Portland (GO)
5.000%, 06/15/20......................................................... 1,015 1,039,015
5.000%, 06/15/23......................................................... 100 113,618
City of Portland (GO) Series B
5.000%, 06/15/26......................................................... 100 123,665
City of Portland Sewer System Revenue Series
5.000%, 05/01/24......................................................... 260 303,542
City of Portland Sewer System Revenue Series A
5.000%, 06/15/23......................................................... 140 158,852
City of Redmond Series B-
5.000%, 06/01/30......................................................... 80 101,730
City of Salem (GO)
5.000%, 06/01/23......................................................... 145 164,542
5.000%, 06/01/25......................................................... 375 451,778
5.000%, 06/01/26......................................................... 150 184,904
City of Salem Water & Sewer Revenue
5.000%, 06/01/25......................................................... 600 721,404
City of Springfield Sewer System Revenue (RB)
4.000%, 04/01/24......................................................... 140 156,397
4.000%, 04/01/26......................................................... 250 289,963
4.000%, 04/01/27......................................................... 265 311,285
Clackamas Community College District Series
4.000%, 06/15/25......................................................... 110 126,066
Clackamas County School District No 7J Lake Oswego
5.250%, 06/01/25......................................................... 215 261,133
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
OREGON -- (Continued)
Clackamas County Service District No. 1 (RB)
5.000%, 12/01/26................................................. 230 $ 286,272
Clatsop County School District No. 30 Warrenton-Hammond Series
5.000%, 06/15/29................................................. 500 651,990
Columbia Gorge Community College District
4.000%, 04/01/26................................................. 75 86,541
County of Clackamas
5.000%, 06/01/21................................................. 750 795,300
Deschutes County Administrative School District No. 1 Bend-La Pine
5.000%, 06/15/20................................................. 440 450,353
Linn & Benton Counties School District No 8J Greater Albany
5.000%, 06/15/26................................................. 380 469,657
Metro (GO)
5.000%, 06/01/20................................................. 500 511,140
Metropolitan Wastewater Management Commission (RB)
5.000%, 11/01/23................................................. 600 689,406
Multnomah & Clackamas Counties School District No. 10JT Gresham-Barlow Series
5.000%, 06/15/27................................................. 500 629,480
Multnomah County (GO)
5.000%, 06/01/24................................................. 650 760,740
Oregon State Department of Transportation (RB) Series A
5.000%, 11/15/23................................................. 125 143,904
Oregon State Lottery Series A
(Currency) 5.250%, 04/01/27................................................. 1,000 1,056,090
Portland Community College District
5.000%, 06/15/23................................................. 500 567,900
Portland Community College District (GO)
5.000%, 06/15/23................................................. 100 113,580
5.000%, 06/15/25................................................. 100 120,363
State of Oregon (GO)
5.000%, 06/01/28................................................. 150 192,470
224
DFA OREGON MUNICIPAL BOND PORTFOLIO
CONTINUED
FACE
AMOUNT^ VALUE+
------- ----------
(000)
-------
OREGON -- (Continued)
State of Oregon (GO) Series H
5.000%, 06/01/25................................................. 145 $ 174,339
State of Oregon Series
5.000%, 11/01/20................................................. 100 103,806
State of Oregon Series D
(Currency) 5.000%, 08/01/39................................................. 1,765 1,816,061
State of Oregon Series F
5.000%, 05/01/24................................................. 400 466,416
State of Oregon Series H
5.000%, 08/01/23................................................. 105 119,661
State of Oregon Department of Transportation Series A
5.000%, 11/15/25................................................. 520 632,668
Tri-County Metropolitan Transportation District of Oregon (RB) Series
5.000%, 09/01/22................................................. 725 802,821
5.000%, 09/01/23................................................. 325 371,745
Tri-County Metropolitan Transportation District of Oregon (RB) Series A
(Currency) 5.000%, 09/01/23 (Pre-refunded @ $100, 9/1/22)................... 750 830,685
Tri-County Metropolitan Transportation District of Oregon Series
5.000%, 09/01/24................................................. 435 512,887
FACE
AMOUNT^ VALUE+
------- -----------
(000)
-------
OREGON -- (Continued)
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin
5.000%, 06/15/28......................................................... 140 $ 176,103
Washington Clackamas & Yamhill Counties School District No. 88J
5.000%, 06/15/25......................................................... 345 414,424
Washington County (GO)
5.000%, 03/01/25......................................................... 410 489,987
5.000%, 03/01/26......................................................... 200 245,082
Washington County Clean Water Services (RB)
5.000%, 10/01/23......................................................... 310 355,520
Washington County Clean Water Services
5.000%, 10/01/24......................................................... 225 265,817
-----------
TOTAL MUNICIPAL BONDS....................................................... 22,223,103
-----------
TOTAL INVESTMENTS -- (100.0%)
(Cost $22,222,838)....................................................... $22,223,103
===========
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
------- ----------- ------- -----------
Municipal Bonds........................................ -- $22,223,103 -- $22,223,103
-- ----------- -- -----------
TOTAL.................................................. -- $22,223,103 -- $22,223,103
== =========== == ===========
See accompanying Notes to Financial Statements.
225
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investment Securities at Value
(including $129,665, $8,058, $6,836
and $10,122 of securities on loan,
respectively)......................... $ 7,326,244 $ 5,479,216 $ 1,229,046 $ 15,413,974
Temporary Cash Investments at Value &
Cost.................................. 29,513 -- -- --
Collateral from Securities on Loan
Invested in Affiliate at Value
(including cost of $132,327, $8,262,
$6,986 and $10,365)................... 132,331 8,262 6,987 10,366
Repurchase Agreements at Value & Cost... 50,000 -- -- --
Foreign Currencies at Value............. -- 15,256 15 29,221
Cash.................................... -- 28,107 6,123 156,915
Receivables:
Dividends and Interest............... 14,274 31,921 6,105 59,855
Securities Lending Income............ 7 1 1 1
Fund Shares Sold..................... 8,657 3,853 234 11,964
Unrealized Gain on Forward Currency
Contracts............................. -- 2,299 435 25,285
Prepaid Expenses and Other Assets....... 75 37 9 149
-------------- -------------- -------------- --------------
Total Assets..................... 7,561,101 5,568,952 1,248,955 15,707,730
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned..... 132,331 8,250 6,987 10,382
Fund Shares Redeemed................. 8,376 6,302 374 9,344
Due to Advisor....................... 951 704 157 3,302
Unrealized Loss on Forward Currency
Contracts............................. -- 34,517 5,322 127,418
Unrealized Loss on Foreign Currency
Contracts............................. -- 57 -- 105
Accrued Expenses and Other Liabilities.. 909 702 118 1,526
-------------- -------------- -------------- --------------
Total Liabilities................ 142,567 50,532 12,958 152,077
-------------- -------------- -------------- --------------
NET ASSETS.............................. $ 7,418,534 $ 5,518,420 $ 1,235,997 $ 15,555,653
============== ============== ============== ==============
Institutional Class Shares -- based on
net assets of $7,418,534; $5,518,420;
$1,235,997 and $15,555,653 and shares
outstanding of 719,789,370,
550,184,505, 126,283,417 and
1,418,778,318, respectively........... $ 10.31 $ 10.03 $ 9.79 $ 10.96
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED............. 4,000,000,000 4,000,000,000 1,000,000,000 6,600,000,000
============== ============== ============== ==============
Investment Securities at Cost........... $ 7,371,181 $ 5,490,442 $ 1,230,282 $ 15,651,641
============== ============== ============== ==============
Foreign Currencies at Cost.............. $ -- $ 15,219 $ 15 $ 29,080
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital......................... $ 7,425,246 $ 5,479,858 $ 1,285,514 $ 15,620,034
Total Distributable Earnings (Loss)..... (6,712) 38,562 (49,517) (64,381)
-------------- -------------- -------------- --------------
NET ASSETS.............................. $ 7,418,534 $ 5,518,420 $ 1,235,997 $ 15,555,653
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
226
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-
GOVERNMENT TERM GOVERNMENT TERM EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investment Securities at Value (including $0,
$0, $0 and $52,285 of securities on loan,
respectively)................................ $ 1,473,778 $ 2,303,275 $ 5,541,980 $ 6,490,142
Temporary Cash Investments at Value & Cost..... -- 96,120 19,916 --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0,
$0, $0 and $53,497).......................... -- -- -- 53,504
Foreign Currencies at Value.................... 13 -- -- 6,381
Cash........................................... 40,482 -- -- 29,823
Receivables:
Dividends and Interest...................... 11,768 1,234 51,118 31,349
Securities Lending Income................... -- -- -- 9
Fund Shares Sold............................ 5,039 709 3,176 5,764
Unrealized Gain on Forward Currency Contracts.. 1,000 -- -- 999
Unrealized Gain on Foreign Currency Contracts.. 46 -- -- --
Prepaid Expenses and Other Assets.............. 45 20 32 71
-------------- -------------- -------------- --------------
Total Assets............................ 1,532,171 2,401,358 5,616,222 6,618,042
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian............................ -- 89,844 -- --
Upon Return of Securities Loaned............ -- -- -- 53,485
Investment Securities Purchased............. 23,015 -- -- --
Fund Shares Redeemed........................ 1,216 4,097 4,080 4,932
Due to Advisor.............................. 143 318 475 965
Unrealized Loss on Forward Currency Contracts.. 20,279 -- -- 24,012
Unrealized Loss on Foreign Currency Contracts.. -- -- -- 13
Accrued Expenses and Other Liabilities......... 145 241 480 589
-------------- -------------- -------------- --------------
Total Liabilities....................... 44,798 94,500 5,035 83,996
-------------- -------------- -------------- --------------
NET ASSETS..................................... $ 1,487,373 $ 2,306,858 $ 5,611,187 $ 6,534,046
============== ============== ============== ==============
Institutional Class Shares -- based on net
assets of $1,487,373; $2,306,858; $5,611,187
and $6,534,046 and shares outstanding of
137,143,603, 218,336,337, 431,923,613 and
596,594,337, respectively.................... $ 10.85 $ 10.57 $ 12.99 $ 10.95
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................... 1,000,000,000 1,500,000,000 1,700,000,000 3,000,000,000
============== ============== ============== ==============
Investment Securities at Cost.................. $ 1,425,526 $ 2,303,872 $ 5,298,515 $ 6,509,767
============== ============== ============== ==============
Foreign Currencies at Cost..................... $ 13 $ -- $ -- $ 6,347
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 1,380,151 $ 2,328,507 $ 5,377,994 $ 6,476,220
Total Distributable Earnings (Loss)............ 107,222 (21,649) 233,193 57,826
-------------- -------------- -------------- --------------
NET ASSETS..................................... $ 1,487,373 $ 2,306,858 $ 5,611,187 $ 6,534,046
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
227
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
INTERMEDIATE- DFA
TERM EXTENDED DFA TARGETED GLOBAL CORE DFA
QUALITY CREDIT PLUS FIXED INVESTMENT
PORTFOLIO* PORTFOLIO* INCOME PORTFOLIO* GRADE PORTFOLIO *
-------------- -------------- ----------------- -----------------
ASSETS:
Investment Securities at Value (including
$108,111, $20,437, $74,172 and $679,123 of
securities on loan, respectively)............ $ 1,691,382 $ 757,347 $ 1,499,278 $ 9,735,940
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of
$110,395, $20,913, $75,809 and $693,546)..... 110,406 20,916 75,815 693,614
Foreign Currencies at Value.................... -- 70 230 1
Cash........................................... 4,650 4,755 36,448 27,471
Receivables:
Dividends and Interest...................... 15,094 5,960 13,544 86,343
Securities Lending Income................... 18 3 24 147
Fund Shares Sold............................ 4,114 2,309 3,315 10,100
Unrealized Gain on Forward Currency Contracts.. -- 409 746 656
Unrealized Gain on Foreign Currency Contracts.. -- -- 73 --
Prepaid Expenses and Other Assets.............. 34 29 23 67
-------------- -------------- -------------- --------------
Total Assets............................ 1,825,698 791,798 1,629,496 10,554,339
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............ 110,421 20,916 75,812 693,605
Investment Securities Purchased............. 1,825 -- 16,631 --
Fund Shares Redeemed........................ 670 601 272 8,527
Due to Advisor.............................. 255 85 256 1,494
Unrealized Loss on Forward Currency Contracts.. -- 3,508 15,003 6,729
Accrued Expenses and Other Liabilities......... 151 81 143 690
-------------- -------------- -------------- --------------
Total Liabilities....................... 113,322 25,191 108,117 711,045
-------------- -------------- -------------- --------------
NET ASSETS..................................... $ 1,712,376 $ 766,607 $ 1,521,379 $ 9,843,294
============== ============== ============== ==============
Institutional Class Shares -- based on net
assets of $1,712,376; $766,607; $1,521,379
and $9,843,294 and shares outstanding of
151,724,797, 75,204,739, 144,944,040 and
864,696,344, respectively.................... $ 11.29 $ 10.19 $ 10.50 $ 11.38
============== ============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................... 2,000,000,000 1,000,000,000 2,000,000,000 2,000,000,000
============== ============== ============== ==============
Investment Securities at Cost.................. $ 1,600,959 $ 755,321 $ 1,456,886 $ 9,268,791
============== ============== ============== ==============
Foreign Currencies at Cost..................... $ -- $ 70 $ 229 $ 1
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 1,635,003 $ 752,835 $ 1,459,438 $ 9,395,141
Total Distributable Earnings (Loss)............ 77,373 13,772 61,941 448,153
-------------- -------------- -------------- --------------
NET ASSETS..................................... $ 1,712,376 $ 766,607 $ 1,521,379 $ 9,843,294
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
228
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA INFLATION- DFA SHORT-
DIVERSIFIED PROTECTED DURATION REAL
FIXED INCOME DFA LTIP SECURITIES RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
-------------- -------------- -------------- --------------
ASSETS:
Investments in Affiliated Investment Companies
at Value..................................... $ 844,613 -- -- --
Investment Securities at Value (including $0,
$0, $0 and $36,084 of securities on loan,
respectively)................................ 209,894 $ 214,038 $ 4,860,760 $ 1,487,454
Temporary Cash Investments at Value & Cost..... 10,216 -- 27,471 --
Collateral from Securities on Loan Invested in
Affiliate at Value (including cost of $0,
$0, $0 and $36,966).......................... -- -- -- 36,970
Foreign Currencies at Value.................... -- -- -- 20
Cash........................................... -- 1,911 -- 6,588
Receivables:
Investment Securities/Affiliated Investment
Companies Sold............................ -- -- -- 5
Dividends and Interest...................... 324 396 11,528 7,530
Securities Lending Income................... -- -- -- 4
Fund Shares Sold............................ 1,230 137 3,366 902
Due from Advisor............................ 30 -- -- --
Unrealized Gain on Swap Contracts.............. -- -- -- 3,494
Unrealized Gain on Forward Currency Contracts.. -- -- -- 94
Prepaid Expenses and Other Assets.............. 27 4 39 23
-------------- -------------- -------------- --------------
Total Assets............................ 1,066,334 216,486 4,903,164 1,543,084
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned............ -- -- -- 36,961
Investment Securities/Affiliated Investment
Companies Purchased....................... -- 1,376 10,692 --
Fund Shares Redeemed........................ 1,329 32 3,943 932
Due to Advisor.............................. -- 14 413 243
Unrealized Loss on Swap Contracts.............. -- -- -- 16,489
Unrealized Loss on Forward Currency Contracts.. -- -- -- 3,505
Accrued Expenses and Other Liabilities......... 55 24 380 157
-------------- -------------- -------------- --------------
Total Liabilities....................... 1,384 1,446 15,428 58,287
-------------- -------------- -------------- --------------
NET ASSETS..................................... $ 1,064,950 $ 215,040 $ 4,887,736 $ 1,484,797
============== ============== ============== ==============
Institutional Class Shares -- based on net
assets of $1,064,950; $215,040; $4,887,736
and $1,484,797 and shares outstanding of
106,490,100, 21,272,963, 406,287,571 and
147,637,501, respectively.................... $ 10.00 $ 10.11 $ 12.03 $ 10.06
============== ============== ============== ==============
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...................................... $ 819,085 $ -- $ -- $ --
============== ============== ============== ==============
Investment Securities at Cost.................. $ 207,802 $ 192,915 $ 4,713,720 $ 1,479,828
============== ============== ============== ==============
Foreign Currencies at Cost..................... $ -- $ -- $ -- $ 20
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 1,037,835 $ 195,200 $ 4,736,477 $ 1,480,006
Total Distributable Earnings (Loss)............ 27,115 19,840 151,259 4,791
-------------- -------------- -------------- --------------
NET ASSETS..................................... $ 1,064,950 $ 215,040 $ 4,887,736 $ 1,484,797
============== ============== ============== ==============
--------
* See Note I in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
229
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA
CALIFORNIA DFA SHORT-
DFA MUNICIPAL MUNICIPAL TERM
REAL RETURN REAL RETURN DFA MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- ------------ -------------- --------------
ASSETS:
Investment Securities at Value................. $ 884,942 $ 131,994 $ 501,270 $ 2,584,019
Temporary Cash Investments at Value & Cost..... -- -- -- 33,048
Cash........................................... 2,867 4,231 1,096 --
Receivables:
Dividends and Interest...................... 8,802 1,788 5,915 32,456
Fund Shares Sold............................ 221 1,051 1,670 1,843
Unrealized Gain on Swap Contracts.............. 4,549 -- -- --
Prepaid Expenses and Other Assets.............. 20 14 18 35
-------------- ------------ -------------- --------------
Total Assets............................ 901,401 139,078 509,969 2,651,401
-------------- ------------ -------------- --------------
LIABILITIES:
Payables:
Investment Securities Purchased............. -- 103 -- 29,022
Fund Shares Redeemed........................ 84 9 24 3,462
Due to Advisor.............................. 150 15 65 446
Due to Broker............................... 25 -- -- --
Unrealized Loss on Swap Contracts.............. 16,912 3,346 -- --
Accrued Expenses and Other Liabilities......... 88 30 50 222
-------------- ------------ -------------- --------------
Total Liabilities....................... 17,259 3,503 139 33,152
-------------- ------------ -------------- --------------
NET ASSETS..................................... $ 884,142 $ 135,575 $ 509,830 $ 2,618,249
============== ============ ============== ==============
Institutional Class Shares -- based on net
assets of $884,142; $135,575; $509,830 and
$2,618,249 and shares outstanding of
88,493,094, 13,529,163, 49,370,619 and
257,186,498, respectively.................... $ 9.99 $ 10.02 $ 10.33 $ 10.18
============== ============ ============== ==============
NUMBER OF SHARES AUTHORIZED.................... 1,000,000,000 500,000,000 1,000,000,000 1,500,000,000
============== ============ ============== ==============
Investment Securities at Cost.................. $ 857,292 $ 128,035 $ 491,441 $ 2,578,485
============== ============ ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 871,066 $ 134,990 $ 499,881 $ 2,612,321
Total Distributable Earnings (Loss)............ 13,076 585 9,949 5,928
-------------- ------------ -------------- --------------
NET ASSETS..................................... $ 884,142 $ 135,575 $ 509,830 $ 2,618,249
============== ============ ============== ==============
See accompanying Notes to Financial Statements.
230
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA DFA CALIFORNIA
INTERMEDIATE- DFA CALIFORNIA INTERMEDIATE-
TERM SHORT-TERM TERM
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investment Securities at Value................. $ 2,037,008 $ 1,207,873 $ 500,009
Temporary Cash Investments at Value & Cost..... -- 5,262 17,054
Cash........................................... 23,184 -- --
Receivables:
Investment Securities Sold.................. -- 1,932 --
Dividends and Interest...................... 22,680 15,492 6,146
Fund Shares Sold............................ 2,220 764 435
Prepaid Expenses and Other Assets.............. 39 14 16
-------------- -------------- --------------
Total Assets............................ 2,085,131 1,231,337 523,660
-------------- -------------- --------------
LIABILITIES:
Payables:
Due to Custodian............................ -- 1,932 --
Investment Securities Purchased............. 13,460 617 3,793
Fund Shares Redeemed........................ 1,568 154 317
Due to Advisor.............................. 300 208 69
Accrued Expenses and Other Liabilities......... 144 100 50
-------------- -------------- --------------
Total Liabilities....................... 15,472 3,011 4,229
-------------- -------------- --------------
NET ASSETS..................................... $ 2,069,659 $ 1,228,326 $ 519,431
============== ============== ==============
Institutional Class Shares -- based on net
assets of $2,069,659; $1,228,326 and
$519,431 and shares outstanding of
199,464,286, 119,214,011 and 48,457,612,
respectively................................. $ 10.38 $ 10.30 $ 10.72
============== ============== ==============
NUMBER OF SHARES AUTHORIZED.................... 1,500,000,000 1,000,000,000 1,000,000,000
============== ============== ==============
Investment Securities at Cost.................. $ 1,981,743 $ 1,202,548 $ 486,430
============== ============== ==============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 2,014,057 $ 1,223,376 $ 505,813
Total Distributable Earnings (Loss)............ 55,602 4,950 13,618
-------------- -------------- --------------
NET ASSETS..................................... $ 2,069,659 $ 1,228,326 $ 519,431
============== ============== ==============
See accompanying Notes to Financial Statements.
231
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA NY DFA MN DFA OREGON
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
ASSETS:
Investment Securities at Value................. $ 119,336 $ 72,946 $ 22,223
Temporary Cash Investments at Value & Cost..... 552 -- --
Cash........................................... -- 415 1,151
Receivables:
Dividends and Interest...................... 1,410 818 303
Fund Shares Sold............................ 20 -- --
Due from Advisor............................ -- -- 1
Deferred Offering Costs........................ -- -- 51
Prepaid Expenses and Other Assets.............. 7 8 --
-------------- ------------ ------------
Total Assets............................ 121,325 74,187 23,729
-------------- ------------ ------------
LIABILITIES:
Payables:
Investment Securities Purchased............. -- -- 578
Fund Shares Redeemed........................ 126 30 --
Due to Advisor.............................. 10 7 --
Accrued Expenses and Other Liabilities......... 20 11 7
-------------- ------------ ------------
Total Liabilities....................... 156 48 585
-------------- ------------ ------------
NET ASSETS..................................... $ 121,169 $ 74,139 $ 23,144
============== ============ ============
Institutional Class Shares -- based on net
assets of $121,169; $74,139 and $23,144 and
shares outstanding of 11,808,602, 7,377,479
and 2,314,029, respectively.................. $ 10.26 $ 10.05 $ 10.00
============== ============ ============
NUMBER OF SHARES AUTHORIZED.................... 1,000,000,000 500,000,000 500,000,000
============== ============ ============
Investment Securities at Cost.................. $ 118,236 $ 72,468 $ 22,223
============== ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................ $ 120,041 $ 73,683 $ 23,141
Total Distributable Earnings (Loss)............ 1,128 456 3
-------------- ------------ ------------
NET ASSETS..................................... $ 121,169 $ 74,139 $ 23,144
============== ============ ============
See accompanying Notes to Financial Statements.
232
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA
DFA TWO-YEAR SELECTIVELY DFA FIVE-YEAR
DFA ONE-YEAR GLOBAL FIXED HEDGED GLOBAL GLOBAL FIXED
FIXED INCOME INCOME FIXED INCOME INCOME
PORTFOLIO# PORTFOLIO# PORTFOLIO# PORTFOLIO#
------------ ------------ ------------- -------------
INVESTMENT INCOME
Interest..................................................... $188,850 $112,199 $ 21,603 $ 136,036
Income from Securities Lending............................... 296 61 17 36
-------- -------- -------- ---------
Total Investment Income............................... 189,146 112,260 21,620 136,072
-------- -------- -------- ---------
EXPENSES
Investment Management Fees................................... 11,806 8,389 1,820 37,566
Accounting & Transfer Agent Fees............................. 1,260 978 164 2,711
Custodian Fees............................................... 179 239 49 1,016
Filing Fees.................................................. 188 158 42 277
Shareholders' Reports........................................ 277 185 45 586
Directors'/Trustees' Fees & Expenses......................... 48 34 7 90
Professional Fees............................................ 141 103 24 278
Other........................................................ 160 117 29 307
-------- -------- -------- ---------
Total Expenses........................................ 14,059 10,203 2,180 42,831
-------- -------- -------- ---------
Fees Paid Indirectly (Note C)................................ -- (171) (27) (755)
-------- -------- -------- ---------
Net Expenses................................................. 14,059 10,032 2,153 42,076
-------- -------- -------- ---------
NET INVESTMENT INCOME (LOSS)................................. 175,087 102,228 19,467 93,996
-------- -------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................. 7,758 (14,551) (7,643) (223,369)
Affiliated Investment Companies Shares Sold.............. 23 3 -- --
Foreign Currency Transactions............................ -- (1,144) (12) (1,934)
Forward Currency Contracts............................... -- 91,348 32,151 806,336
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 37,497 57,063 28,079 374,136
Affiliated Investment Companies Shares................... (9) (2) 1 --
Translation of Foreign Currency-Denominated Amounts...... -- 193 43 1,187
Forward Currency Contracts............................... -- (46,587) (10,404) (329,331)
-------- -------- -------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................... 45,269 86,323 42,215 627,025
-------- -------- -------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $220,356 $188,551 $ 61,682 $ 721,021
======== ======== ======== =========
--------
** 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.
233
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA WORLD EX DFA
U.S. DFA SHORT- INTERMEDIATE DFA SHORT-
GOVERNMENT TERM GOVERNMENT TERM EXTENDED
FIXED INCOME GOVERNMENT FIXED INCOME QUALITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ ---------- ------------ -------------
INVESTMENT INCOME
Interest........................................................ $ 13,644 $ 50,197 $125,127 $116,756
Income from Securities Lending.................................. -- -- -- 218
-------- -------- -------- --------
Total Investment Income.................................. 13,644 50,197 125,127 116,974
-------- -------- -------- --------
EXPENSES
Investment Management Fees...................................... 2,352 4,026 5,193 12,002
Accounting & Transfer Agent Fees................................ 238 433 977 1,088
Custodian Fees.................................................. 97 25 53 153
Filing Fees..................................................... 92 64 82 219
Shareholders' Reports........................................... 60 101 209 251
Directors'/Trustees' Fees & Expenses............................ 8 14 30 35
Professional Fees............................................... 22 42 87 107
Other........................................................... 31 51 118 121
-------- -------- -------- --------
Total Expenses........................................... 2,900 4,756 6,749 13,976
-------- -------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................ (286) (19) -- (774)
Fees Paid Indirectly (Note C)................................... (47) -- -- --
-------- -------- -------- --------
Net Expenses.................................................... 2,567 4,737 6,749 13,202
-------- -------- -------- --------
NET INVESTMENT INCOME (LOSS).................................... 11,077 45,460 118,378 103,772
-------- -------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ 8,592 (15,943) 6,761 (23,319)
Affiliated Investment Companies Shares Sold................. -- -- -- (1)
Foreign Currency Transactions............................... (339) -- -- (77)
Forward Currency Contracts.................................. 79,266 -- -- 113,274
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 82,846 56,188 448,239 145,875
Affiliated Investment Companies Shares...................... -- -- -- 3
Translation of Foreign Currency-Denominated Amounts......... 436 -- -- 212
Forward Currency Contracts.................................. (37,331) -- -- (44,073)
-------- -------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 133,470 40,245 455,000 191,894
-------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $144,547 $ 85,705 $573,378 $295,666
======== ======== ======== ========
--------
** 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.
234
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA
INTERMEDIATE-
TERM EXTENDED DFA TARGETED DFA GLOBAL CORE
QUALITY CREDIT PLUS FIXED DFA INVESTMENT
PORTFOLIO# PORTFOLIO# INCOME PORTFOLIO# GRADE PORTFOLIO #
------------- ------------ ----------------- -----------------
INVESTMENT INCOME
Interest................................................. $ 60,051 $16,432 $ 21,193 $ 261,347
Income from Securities Lending........................... 185 36 168 1,268
-------- ------- -------- ----------
Total Investment Income........................... 60,236 16,468 21,361 262,615
-------- ------- -------- ----------
EXPENSES
Investment Management Fees............................... 3,472 1,348 2,331 18,076
Accounting & Transfer Agent Fees......................... 289 175 202 1,658
Custodian Fees........................................... 12 18 44 82
Filing Fees.............................................. 56 66 133 181
Shareholders' Reports.................................... 77 42 31 315
Directors'/Trustees' Fees & Expenses..................... 11 5 4 53
Professional Fees........................................ 32 12 30 158
Organizational & Offering Costs.......................... -- -- 13 --
Other.................................................... 43 20 20 203
-------- ------- -------- ----------
Total Expenses.................................... 3,992 1,686 2,808 20,726
-------- ------- -------- ----------
Fees (Waived), (Expenses Reimbursed), and/or Previously
Waived Fees Recovered by Advisor (Note C).............. (172) (267) (11) (841)
-------- ------- -------- ----------
Net Expenses............................................. 3,820 1,419 2,797 19,885
-------- ------- -------- ----------
NET INVESTMENT INCOME (LOSS)............................. 56,416 15,049 18,564 242,730
-------- ------- -------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**......................... 596 688 (3,435) (26,638)
Affiliated Investment Companies Shares Sold.......... (4) -- (3) 13
Foreign Currency Transactions........................ -- (37) 35,410 (111)
Forward Currency Contracts........................... -- 14,795 -- 24,616
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... 189,030 21,583 74,421 836,659
Affiliated Investment Companies Shares............... 9 3 7 57
Translation of Foreign Currency-Denominated
Amounts............................................ -- 32 256 21
Forward Currency Contracts........................... -- (6,974) (21,664) (10,327)
-------- ------- -------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS).................. 189,631 30,090 84,992 824,290
-------- ------- -------- ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $246,047 $45,139 $103,556 $1,067,020
======== ======= ======== ==========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
235
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA DFA INFLATION- DFA SHORT-
DIVERSIFIED PROTECTED DURATION REAL
FIXED INCOME DFA LTIP SECURITIES RETURN
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO#
------------ --------- -------------- -------------
INVESTMENT INCOME
Income Distributions.................................................... $16,905 -- -- --
------- ------- -------- --------
Total Investment Income....................................... 16,905 -- -- --
------- ------- -------- --------
FUND INVESTMENT INCOME
Interest............................................................. 3,744 $ 5,237 $104,783 $ 32,348
Income from Securities Lending....................................... -- -- -- 62
------- ------- -------- --------
Total Fund Investment Income.................................. 3,744 5,237 104,783 32,410
------- ------- -------- --------
EXPENSES
Investment Management Fees........................................... 1,106 196 4,652 2,910
Accounting & Transfer Agent Fees..................................... 193 43 593 310
Custodian Fees....................................................... 3 2 46 61
Filing Fees.......................................................... 80 22 81 62
Shareholders' Reports................................................ 32 20 173 89
Directors'/Trustees' Fees & Expenses................................. 5 1 27 9
Professional Fees.................................................... 5 4 81 27
Other................................................................ 11 7 106 170
------- ------- -------- --------
Total Expenses................................................ 1,435 295 5,759 3,638
------- ------- -------- --------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)...................................... (1,147) (1) -- (37)
------- ------- -------- --------
Net Expenses......................................................... 288 294 5,759 3,601
------- ------- -------- --------
NET INVESTMENT INCOME (LOSS)......................................... 20,361 4,943 99,024 28,809
------- ------- -------- --------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... (360) (1,051) 19,214 (6,498)
Affiliated Investment Companies Shares Sold...................... (338) -- -- 2
Swap Contracts................................................... -- -- -- (2,983)
Foreign Currency Transactions.................................... -- -- -- (43)
Forward Currency Contracts....................................... -- -- -- 25,856
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 6,084 36,494 286,465 43,174
Affiliated Investment Companies Shares........................... 43,274 -- -- 3
Swap Contracts................................................... -- -- -- (20,599)
Translation of Foreign Currency-Denominated Amounts.............. -- -- -- 27
Forward Currency Contracts....................................... -- -- -- (9,099)
------- ------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 48,660 35,443 305,679 29,840
------- ------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $69,021 $40,386 $404,703 $ 58,649
======= ======= ======== ========
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
236
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA
CALIFORNIA DFA SHORT-
DFA MUNICIPAL MUNICIPAL TERM
REAL RETURN REAL RETURN DFA MUNICIPAL MUNICIPAL
PORTFOLIO PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
------------- ----------- -------------- --------------
INVESTMENT INCOME
Interest........................................................ $ 16,139 $ 2,276 $ 8,361 $37,925
-------- ------- ------- -------
Total Investment Income.................................. 16,139 2,276 8,361 37,925
-------- ------- ------- -------
EXPENSES
Investment Management Fees...................................... 1,735 263 966 5,240
Accounting & Transfer Agent Fees................................ 203 55 122 489
Custodian Fees.................................................. 40 14 7 29
Filing Fees..................................................... 47 19 65 124
Shareholders' Reports........................................... 32 17 24 76
Directors'/Trustees' Fees & Expenses............................ 5 -- 3 16
Professional Fees............................................... 15 2 8 46
Other........................................................... 104 13 16 56
-------- ------- ------- -------
Total Expenses........................................... 2,181 383 1,211 6,076
-------- ------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor (Note C)............................ -- 11 (99) --
Fees Paid Indirectly (Note C)................................... (84) (32) (38) (125)
-------- ------- ------- -------
Net Expenses.................................................... 2,097 362 1,074 5,951
-------- ------- ------- -------
NET INVESTMENT INCOME (LOSS).................................... 14,042 1,914 7,287 31,974
-------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**................................ (167) (28) (14) (40)
Swap Contracts.............................................. 320 (48) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. 49,821 6,441 17,118 19,393
Swap Contracts.............................................. (25,584) (3,484) -- --
-------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................... 24,390 2,881 17,104 19,353
-------- ------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.... $ 38,432 $ 4,795 $24,391 $51,327
======== ======= ======= =======
--------
** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0,
respectively.
See accompanying Notes to Financial Statements.
237
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA DFA CALIFORNIA
INTERMEDIATE- DFA CALIFORNIA INTERMEDIATE-
TERM SHORT-TERM TERM
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
-------------- -------------- --------------
INVESTMENT INCOME
Interest............................................................. $ 34,487 $17,572 $ 8,269
-------- ------- -------
Total Investment Income....................................... 34,487 17,572 8,269
-------- ------- -------
EXPENSES
Investment Management Fees........................................... 3,853 2,483 976
Accounting & Transfer Agent Fees..................................... 382 273 127
Custodian Fees....................................................... 22 15 7
Filing Fees.......................................................... 115 57 29
Shareholders' Reports................................................ 63 35 23
Directors'/Trustees' Fees & Expenses................................. 11 8 3
Professional Fees.................................................... 32 21 8
Other................................................................ 54 28 16
-------- ------- -------
Total Expenses................................................ 4,532 2,920 1,189
-------- ------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)...................................... (101) -- (67)
Fees Paid Indirectly (Note C)........................................ (96) (69) (38)
-------- ------- -------
Net Expenses......................................................... 4,335 2,851 1,084
-------- ------- -------
NET INVESTMENT INCOME (LOSS)......................................... 30,152 14,721 7,185
-------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... (132) (521) (113)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 81,331 9,345 17,427
-------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 81,199 8,824 17,314
-------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $111,351 $23,545 $24,499
======== ======= =======
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
238
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA NY DFA MN DFA OREGON
MUNICIPAL MUNICIPAL MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO(A)
-------------- -------------- -----------------
INVESTMENT INCOME
Interest............................................................. $1,765 $1,009 $ 24
------ ------ ----
Total Investment Income....................................... 1,765 1,009 24
------ ------ ----
EXPENSES
Investment Management Fees........................................... 228 175 7
Accounting & Transfer Agent Fees..................................... 53 44 2
Custodian Fees....................................................... 2 2 2
Filing Fees.......................................................... 22 19 --
Shareholders' Reports................................................ 17 16 1
Professional Fees.................................................... 2 2 --
Other................................................................ 6 5 8
------ ------ ----
Total Expenses................................................ 330 263 20
------ ------ ----
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor (Note C)...................................... (45) (39) (10)
Fees Paid Indirectly (Note C)........................................ (23) (14) --
------ ------ ----
Net Expenses......................................................... 262 210 10
------ ------ ----
NET INVESTMENT INCOME (LOSS)......................................... 1,503 799 14
------ ------ ----
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**..................................... -- (16) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 1,739 2,198 --
------ ------ ----
NET REALIZED AND UNREALIZED GAIN (LOSS).............................. 1,739 2,182 --
------ ------ ----
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......... $3,242 $2,981 $ 14
====== ====== ====
--------
** Net of foreign capital gain taxes withheld of $0, $0 and $0, respectively.
(a)The Portfolio commenced operations on September 10, 2019.
See accompanying Notes to Financial Statements.
239
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA ONE- DFA TWO-YEAR DFA SELECTIVELY
YEAR FIXED GLOBAL HEDGED GLOBAL
INCOME FIXED INCOME FIXED INCOME
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)..................... $ 175,087 $ 138,457 $ 102,228 $ 93,691 $ 19,467 $ 19,282
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............... 7,758 (17,244) (14,551) (43,407) (7,643) (8,987)
Affiliated Investment Companies
Shares Sold................................ 23 (27) 3 (5) -- (2)
Foreign Currency Transactions................ -- -- (1,144) (217) (12) (89)
Forward Currency Contracts................... -- -- 91,348 63,372 32,151 24,270
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 37,497 (21,946) 57,063 (51,466) 28,079 (28,811)
Affiliated Investment Companies Shares....... (9) 17 (2) 3 1 --
Translation of Foreign
Currency-Denominated Amounts............... -- -- 193 (34) 43 (17)
Forward Currency Contracts................... -- -- (46,587) (12,380) (10,404) 8,093
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) in Net
Assets Resulting from Operations........ 220,356 99,257 188,551 49,557 61,682 13,739
----------- ----------- ----------- ----------- ---------- ----------
Distributions:
Institutional Class Shares................... (170,989) (134,236) (141,446) (67,032) (37,788) (19,847)
----------- ----------- ----------- ----------- ---------- ----------
Total Distributions....................... (170,989) (134,236) (141,446) (67,032) (37,788) (19,847)
----------- ----------- ----------- ----------- ---------- ----------
Capital Share Transactions (1):
Shares Issued.................................... 3,514,943 4,214,515 1,273,102 1,406,818 186,134 260,563
Shares Issued in Lieu of Cash
Distributions.................................. 158,775 124,874 129,904 61,604 37,698 19,805
Shares Redeemed.................................. (4,274,622) (3,792,350) (1,522,630) (1,061,658) (222,433) (201,281)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Capital Share Transactions.............. (600,904) 547,039 (119,624) 406,764 1,399 79,087
----------- ----------- ----------- ----------- ---------- ----------
Total Increase (Decrease) in Net
Assets.................................. (551,537) 512,060 (72,519) 389,289 25,293 72,979
NET ASSETS
Beginning of Year................................ 7,970,071 7,458,011 5,590,939 5,201,650 1,210,704 1,137,725
----------- ----------- ----------- ----------- ---------- ----------
End of Year...................................... $ 7,418,534 $ 7,970,071 $ 5,518,420 $ 5,590,939 $1,235,997 $1,210,704
=========== =========== =========== =========== ========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................... 341,528 410,649 128,270 141,973 19,503 27,307
Shares Issued in Lieu of Cash
Distributions.................................. 15,430 12,179 13,178 6,228 4,036 2,085
Shares Redeemed.................................. (415,202) (369,575) (153,222) (107,140) (23,331) (21,084)
----------- ----------- ----------- ----------- ---------- ----------
Net Increase (Decrease) from
Shares Issued and Redeemed.............. (58,244) 53,253 (11,774) 41,061 208 8,308
=========== =========== =========== =========== ========== ==========
DFA
FIVE-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)..................... $ 93,996 $ 151,731
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............... (223,369) (204,764)
Affiliated Investment Companies
Shares Sold................................ -- (17)
Foreign Currency Transactions................ (1,934) 5,633
Forward Currency Contracts................... 806,336 536,489
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................... 374,136 (587,143)
Affiliated Investment Companies Shares....... -- 3
Translation of Foreign
Currency-Denominated Amounts............... 1,187 (821)
Forward Currency Contracts................... (329,331) 152,598
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from Operations........ 721,021 53,709
----------- -----------
Distributions:
Institutional Class Shares................... (619,057) (226,263)
----------- -----------
Total Distributions....................... (619,057) (226,263)
----------- -----------
Capital Share Transactions (1):
Shares Issued.................................... 3,716,149 3,770,863
Shares Issued in Lieu of Cash
Distributions.................................. 583,539 213,684
Shares Redeemed.................................. (3,976,985) (2,766,123)
----------- -----------
Net Increase (Decrease) from
Capital Share Transactions.............. 322,703 1,218,424
----------- -----------
Total Increase (Decrease) in Net
Assets.................................. 424,667 1,045,870
NET ASSETS
Beginning of Year................................ 15,130,986 14,085,116
----------- -----------
End of Year...................................... $15,555,653 $15,130,986
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................... 344,630 346,747
Shares Issued in Lieu of Cash
Distributions.................................. 55,469 19,638
Shares Redeemed.................................. (369,922) (254,450)
----------- -----------
Net Increase (Decrease) from
Shares Issued and Redeemed.............. 30,177 111,935
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2019 of $0, $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
240
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA WORLD EX U.S. DFA INTERMEDIATE
GOVERNMENT FIXED DFA SHORT-TERM GOVERNMENT FIXED
INCOME PORTFOLIO GOVERNMENT PORTFOLIO INCOME PORTFOLIO
---------------------- ---------------------- -----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
---------- ---------- ---------- ---------- ----------- ----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................ $ 11,077 $ 9,807 $ 45,460 $ 34,564 $ 118,378 $ 107,648
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.................. 8,592 21,129 (15,943) (8,657) 6,761 (29,472)
Affiliated Investment Companies Shares
Sold.......................................... -- -- -- -- -- --
Foreign Currency Transactions................... (339) 127 -- -- -- --
Forward Currency Contracts...................... 79,266 48,335 -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 82,846 (60,943) 56,188 (39,753) 448,239 (192,885)
Affiliated Investment Companies Shares.......... -- -- -- -- -- --
Translation of Foreign
Currency-Denominated Amounts.................. 436 (370) -- -- -- --
Forward Currency Contracts...................... (37,331) 7,776 -- -- -- --
---------- ---------- ---------- ---------- ----------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. 144,547 25,861 85,705 (13,846) 573,378 (114,709)
---------- ---------- ---------- ---------- ----------- ----------
Distributions:
Institutional Class Shares...................... (83,829) (1,574) (44,098) (32,064) (116,094) (107,136)
---------- ---------- ---------- ---------- ----------- ----------
Total Distributions.......................... (83,829) (1,574) (44,098) (32,064) (116,094) (107,136)
---------- ---------- ---------- ---------- ----------- ----------
Capital Share Transactions (1):
Shares Issued....................................... 523,406 311,042 641,748 651,375 1,165,957 1,241,223
Shares Issued in Lieu of Cash Distributions......... 81,438 1,534 40,238 29,939 110,257 101,281
Shares Redeemed..................................... (304,226) (144,466) (721,109) (552,871) (1,086,981) (785,830)
---------- ---------- ---------- ---------- ----------- ----------
Net Increase (Decrease) from Capital
Share Transactions......................... 300,618 168,110 (39,123) 128,443 189,233 556,674
---------- ---------- ---------- ---------- ----------- ----------
Total Increase (Decrease) in Net
Assets..................................... 361,336 192,397 2,484 82,533 646,517 334,829
NET ASSETS
Beginning of Year................................... 1,126,037 933,640 2,304,374 2,221,841 4,964,670 4,629,841
---------- ---------- ---------- ---------- ----------- ----------
End of Year......................................... $1,487,373 $1,126,037 $2,306,858 $2,304,374 $ 5,611,187 $4,964,670
========== ========== ========== ========== =========== ==========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................... 50,680 30,234 61,021 62,307 93,063 102,427
Shares Issued in Lieu of Cash Distributions......... 8,301 149 3,825 2,871 8,798 8,365
Shares Redeemed..................................... (29,575) (14,028) (68,502) (52,932) (87,670) (64,976)
---------- ---------- ---------- ---------- ----------- ----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................ 29,406 16,355 (3,656) 12,246 14,191 45,816
========== ========== ========== ========== =========== ==========
DFA
SHORT-TERM EXTENDED
QUALITY PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................ $ 103,772 $ 102,558
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.................. (23,319) (19,815)
Affiliated Investment Companies Shares
Sold.......................................... (1) (2)
Foreign Currency Transactions................... (77) (372)
Forward Currency Contracts...................... 113,274 87,752
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency...................................... 145,875 (166,633)
Affiliated Investment Companies Shares.......... 3 2
Translation of Foreign
Currency-Denominated Amounts.................. 212 (182)
Forward Currency Contracts...................... (44,073) 11,894
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations.................. 295,666 15,202
----------- -----------
Distributions:
Institutional Class Shares...................... (142,314) (104,210)
----------- -----------
Total Distributions.......................... (142,314) (104,210)
----------- -----------
Capital Share Transactions (1):
Shares Issued....................................... 2,062,765 1,708,188
Shares Issued in Lieu of Cash Distributions......... 139,001 102,004
Shares Redeemed..................................... (1,471,131) (1,630,889)
----------- -----------
Net Increase (Decrease) from Capital
Share Transactions......................... 730,635 179,303
----------- -----------
Total Increase (Decrease) in Net
Assets..................................... 883,987 90,295
NET ASSETS
Beginning of Year................................... 5,650,059 5,559,764
----------- -----------
End of Year......................................... $ 6,534,046 $ 5,650,059
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................... 191,700 159,261
Shares Issued in Lieu of Cash Distributions......... 13,107 9,516
Shares Redeemed..................................... (137,209) (152,282)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed........................ 67,598 16,495
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2019 of $0, $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
241
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA INTERMEDIATE- DFA GLOBAL
TERM EXTENDED DFA TARGETED CORE PLUS FIXED
QUALITY PORTFOLIO CREDIT PORTFOLIO INCOME PORTFOLIO
---------------------- -------------------- --------------------
PERIOD
JAN 11,
YEAR YEAR YEAR YEAR YEAR 2018(A)
ENDED ENDED ENDED ENDED ENDED TO
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)............................ $ 56,416 $ 59,068 $ 15,049 $ 13,278 $ 18,564 $ 6,618
Net Realized Gain (Loss) on:
Investment Securities Sold*,**...................... 596 (14,076) 688 (807) (3,435) (629)
Affiliated Investment Companies Shares Sold......... (4) (20) -- (2) (3) (2,559)
Foreign Currency Transactions....................... -- -- (37) 6 35,410 (197)
Forward Currency Contracts.......................... -- -- 14,795 4,180 -- 20,855
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... 189,030 (110,775) 21,583 (20,100) 74,421 (32,027)
Affiliated Investment Companies Shares.............. 9 4 3 1 7 (1)
Translation of Foreign Currency-Denominated
Amounts........................................... -- -- 32 (18) 256 (102)
Forward Currency Contracts.......................... -- -- (6,974) 3,019 (21,664) 7,407
---------- ---------- --------- --------- ---------- --------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 246,047 (65,799) 45,139 (443) 103,556 (635)
---------- ---------- --------- --------- ---------- --------
Distributions:
Institutional Class Shares.......................... (55,145) (63,709) (16,395) (14,525) (35,318) (2,471)
---------- ---------- --------- --------- ---------- --------
Total Distributions.............................. (55,145) (63,709) (16,395) (14,525) (35,318) (2,471)
---------- ---------- --------- --------- ---------- --------
Capital Share Transactions (1):
Shares Issued........................................... 437,804 594,054 278,164 254,756 1,027,377 627,094
Shares Issued in Lieu of Cash Distributions............. 51,783 59,798 15,909 14,077 35,318 2,471
Shares Redeemed......................................... (750,304) (547,044) (207,990) (116,673) (201,879) (34,134)
---------- ---------- --------- --------- ---------- --------
Net Increase (Decrease) from Capital
Share Transactions............................. (260,717) 106,808 86,083 152,160 860,816 595,431
---------- ---------- --------- --------- ---------- --------
Total Increase (Decrease) in Net Assets.......... (69,815) (22,700) 114,827 137,192 929,054 592,325
NET ASSETS
Beginning of Period..................................... 1,782,191 1,804,891 651,780 514,588 592,325 --
---------- ---------- --------- --------- ---------- --------
End of Period........................................... $1,712,376 $1,782,191 $ 766,607 $ 651,780 $1,521,379 $592,325
========== ========== ========= ========= ========== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 40,841 56,798 27,911 25,763 101,960 63,115
Shares Issued in Lieu of Cash Distributions............. 4,827 5,734 1,613 1,425 3,728 250
Shares Redeemed......................................... (70,148) (52,724) (20,861) (11,815) (20,658) (3,451)
---------- ---------- --------- --------- ---------- --------
Net Increase (Decrease) from Shares
Issued and Redeemed............................ (24,480) 9,808 8,663 15,373 85,030 59,914
========== ========== ========= ========= ========== ========
DFA INVESTMENT GRADE
PORTFOLIO
------------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
----------- -----------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................ $ 242,730 $ 217,652
Net Realized Gain (Loss) on:
Investment Securities Sold*,**...................... (26,638) (35,141)
Affiliated Investment Companies Shares Sold......... 13 (85)
Foreign Currency Transactions....................... (111) (99)
Forward Currency Contracts.......................... 24,616 13,170
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.......... 836,659 (402,382)
Affiliated Investment Companies Shares.............. 57 18
Translation of Foreign Currency-Denominated
Amounts........................................... 21 (7)
Forward Currency Contracts.......................... (10,327) 2,028
----------- -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... 1,067,020 (204,846)
----------- -----------
Distributions:
Institutional Class Shares.......................... (241,381) (212,294)
----------- -----------
Total Distributions.............................. (241,381) (212,294)
----------- -----------
Capital Share Transactions (1):
Shares Issued........................................... 2,817,218 3,474,177
Shares Issued in Lieu of Cash Distributions............. 237,758 209,307
Shares Redeemed......................................... (2,676,114) (2,812,841)
----------- -----------
Net Increase (Decrease) from Capital
Share Transactions............................. 378,862 870,643
----------- -----------
Total Increase (Decrease) in Net Assets.......... 1,204,501 453,503
NET ASSETS
Beginning of Period..................................... 8,638,793 8,185,290
----------- -----------
End of Period........................................... $ 9,843,294 $ 8,638,793
=========== ===========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 258,905 327,812
Shares Issued in Lieu of Cash Distributions............. 21,807 19,784
Shares Redeemed......................................... (248,227) (266,225)
----------- -----------
Net Increase (Decrease) from Shares
Issued and Redeemed............................ 32,485 81,371
=========== ===========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2019 of $0, $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
242
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA DIVERSIFIED DFA INFLATION-
FIXED INCOME DFA LTIP PROTECTED SECURITIES DFA SHORT-DURATION
PORTFOLIO PORTFOLIO PORTFOLIO REAL RETURN PORTFOLIO
--------------------- ------------------ ------------------------ ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018 2019 2018
---------- --------- -------- -------- ----------- ----------- ---------- ----------
INCREASE (DECREASE) IN
NET ASSETS
Operations:
Net Investment Income
(Loss)....................... $ 20,361 $ 13,508 $ 4,943 $ 5,730 $ 99,024 $ 137,272 $ 28,809 $ 22,734
Capital Gain
Distributions
Received from
Investment
Securities................... -- 302 -- -- -- -- -- --
Net Realized Gain
(Loss) on:
Investment
Securities
Sold*,**................. (360) (403) (1,051) 862 19,214 (14,593) (6,498) (4,509)
Affiliated
Investment
Companies
Shares Sold.............. (338) -- -- -- -- -- 2 (4)
Swap Contracts............. -- -- -- -- -- -- (2,983) 2,092
Foreign Currency
Transactions............. -- -- -- -- -- -- (43) (4)
Forward Currency
Contracts................ -- -- -- -- -- -- 25,856 17,453
Change in Unrealized
Appreciation
(Depreciation) of:
Investment
Securities and
Foreign Currency......... 6,084 (3,675) 36,494 (17,426) 286,465 (194,604) 43,174 (35,170)
Affiliated
Investment
Companies Shares......... 43,274 (15,638) -- -- -- -- 3 1
Swap Contracts............. -- -- -- -- -- -- (20,599) 3,426
Translation of
Foreign
Currency-Denominated
Amounts.................. -- -- -- -- -- -- 27 (22)
Forward Currency
Contracts................ -- -- -- -- -- -- (9,099) 2,070
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Net Increase
(Decrease)
in Net
Assets
Resulting
from
Operations............ 69,021 (5,906) 40,386 (10,834) 404,703 (71,925) 58,649 8,067
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Distributions:
Institutional
Class Shares............. (20,204) (13,542) (5,453) (5,731) (96,788) (141,539) (38,948) (19,458)
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Total
Distributions......... (20,204) (13,542) (5,453) (5,731) (96,788) (141,539) (38,948) (19,458)
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Capital Share
Transactions (1):
Shares Issued.................. 430,279 467,593 58,343 93,798 1,231,285 1,424,209 425,606 591,329
Shares Issued in Lieu
of Cash
Distributions................ 20,200 13,539 5,453 5,731 91,253 128,414 38,094 18,997
Shares Redeemed................ (230,642) (195,404) (52,337) (38,907) (1,234,043) (1,207,134) (440,322) (287,635)
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Net Increase
(Decrease)
from Capital
Share
Transactions.......... 219,837 285,728 11,459 60,622 88,495 345,489 23,378 322,691
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Total Increase
(Decrease)
in Net Assets......... 268,654 266,280 46,392 44,057 396,410 132,025 43,079 311,300
NET ASSETS
Beginning of Year.............. 796,296 530,016 168,648 124,591 4,491,326 4,359,301 1,441,718 1,130,418
---------- --------- -------- -------- ----------- ----------- ---------- ----------
End of Year.................... $1,064,950 $ 796,296 $215,040 $168,648 $ 4,887,736 $ 4,491,326 $1,484,797 $1,441,718
========== ========= ======== ======== =========== =========== ========== ==========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.................. 44,054 48,776 6,328 10,137 104,817 122,790 43,208 59,699
Shares Issued in Lieu
of Cash
Distributions................ 2,073 1,413 579 612 7,698 11,087 3,960 1,933
Shares Redeemed................ (23,679) (20,443) (5,546) (4,219) (105,557) (104,237) (44,873) (29,051)
---------- --------- -------- -------- ----------- ----------- ---------- ----------
Net Increase
(Decrease)
from Shares
Issued and
Redeemed.............. 22,448 29,746 1,361 6,530 6,958 29,640 2,295 32,581
========== ========= ======== ======== =========== =========== ========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2019 of $0, $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
243
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA DFA SHORT-TERM
DFA MUNICIPAL REAL MUNICIPAL REAL DFA MUNICIPAL MUNICIPAL BOND
RETURN PORTFOLIO RETURN PORTFOLIO BOND PORTFOLIO PORTFOLIO
-------------------- ------------------ -------------------- -----------------------
PERIOD
NOV 01,
YEAR YEAR YEAR 2017(A) YEAR YEAR YEAR YEAR
ENDED ENDED ENDED TO ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018 2019 2018
--------- --------- -------- -------- --------- --------- ----------- ----------
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income
(Loss)....................... $ 14,042 $ 12,183 $ 1,914 $ 1,127 $ 7,287 $ 5,687 $ 31,974 $ 27,896
Net Realized Gain (Loss)
on:
Investment Securities
Sold*,**................. (167) (758) (28) -- (14) (6) (40) (31)
Swap Contracts............. 320 747 (48) -- -- -- -- --
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency............. 49,821 (25,235) 6,441 (2,482) 17,118 (8,949) 19,393 (20,244)
Swap Contracts................. (25,584) 5,402 (3,484) 138 -- -- -- --
--------- --------- -------- -------- --------- --------- ----------- ----------
Net Increase
(Decrease) in
Net Assets
Resulting
from
Operations............ 38,432 (7,661) 4,795 (1,217) 24,391 (3,268) 51,327 7,621
--------- --------- -------- -------- --------- --------- ----------- ----------
Distributions:
Institutional
Class Shares............. (14,027) (12,044) (1,907) (1,086) (7,271) (5,602) (32,121) (27,517)
--------- --------- -------- -------- --------- --------- ----------- ----------
Total
Distributions......... (14,027) (12,044) (1,907) (1,086) (7,271) (5,602) (32,121) (27,517)
--------- --------- -------- -------- --------- --------- ----------- ----------
Capital Share Transactions (1):
Shares Issued.................. 290,520 410,521 64,370 145,121 166,180 264,400 1,033,600 906,692
Shares Issued in Lieu of
Cash Distributions........... 14,011 12,037 1,907 1,086 7,226 5,583 28,928 26,799
Shares Redeemed................ (310,504) (253,964) (55,958) (21,536) (134,143) (159,604) (1,016,742) (892,279)
--------- --------- -------- -------- --------- --------- ----------- ----------
Net Increase
(Decrease)
from Capital
Share
Transactions.......... (5,973) 168,594 10,319 124,671 39,263 110,379 45,786 41,212
--------- --------- -------- -------- --------- --------- ----------- ----------
Total Increase
(Decrease) in
Net Assets............ 18,432 148,889 13,207 122,368 56,383 101,509 64,992 21,316
NET ASSETS
Beginning of Year.............. 865,710 716,821 122,368 -- 453,447 351,938 2,553,257 2,531,941
--------- --------- -------- -------- --------- --------- ----------- ----------
End of Year.................... $ 884,142 $ 865,710 $135,575 $122,368 $ 509,830 $ 453,447 $ 2,618,249 $2,553,257
========= ========= ======== ======== ========= ========= =========== ==========
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.................. 29,354 41,589 6,482 14,545 16,318 26,315 101,744 89,489
Shares Issued in Lieu of
Cash Distributions........... 1,408 1,223 191 109 706 557 2,846 2,647
Shares Redeemed................ (31,450) (25,760) (5,633) (2,165) (13,193) (15,893) (100,079) (88,080)
--------- --------- -------- -------- --------- --------- ----------- ----------
Net Increase
(Decrease)
from Shares
Issued and
Redeemed.............. (688) 17,052 1,040 12,489 3,831 10,979 4,511 4,056
========= ========= ======== ======== ========= ========= =========== ==========
--------
* Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2019 of $0, $0, $0 and $0, respectively.
** Net of foreign capital gain taxes withheld for the fiscal year ended
October 31, 2018 of $0, $0, $0 and $0, respectively.
See accompanying Notes to Financial Statements.
244
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA CALIFORNIA
DFA INTERMEDIATE- INTERMEDIATE-TERM
TERM MUNICIPAL BOND DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND
PORTFOLIO MUNICIPAL BOND PORTFOLIO PORTFOLIO
---------------------- ------------------------ --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019 2018
---------- ---------- ---------- ---------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................ $ 30,152 $ 26,566 $ 14,721 $ 11,227 $ 7,185 $ 5,810
Net Realized Gain (Loss) on:
Investment Securities Sold*,**.......... (132) (92) (521) (96) (113) (13)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency...................... 81,331 (44,920) 9,345 (8,418) 17,427 (9,087)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) in
Net Assets Resulting from
Operations......................... 111,351 (18,446) 23,545 2,713 24,499 (3,290)
---------- ---------- ---------- ---------- --------- ---------
Distributions:
Institutional Class Shares.............. (30,101) (26,332) (14,735) (11,064) (7,149) (5,751)
---------- ---------- ---------- ---------- --------- ---------
Total Distributions.................. (30,101) (26,332) (14,735) (11,064) (7,149) (5,751)
---------- ---------- ---------- ---------- --------- ---------
Capital Share Transactions (1):
Shares Issued............................... 764,488 682,137 386,341 536,227 163,979 222,985
Shares Issued in Lieu of Cash
Distributions............................. 28,921 25,243 14,141 10,947 7,052 5,676
Shares Redeemed............................. (587,680) (547,570) (366,699) (384,629) (104,499) (131,373)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) from
Capital Share Transactions......... 205,729 159,810 33,783 162,545 66,532 97,288
---------- ---------- ---------- ---------- --------- ---------
Total Increase (Decrease) in
Net Assets......................... 286,979 115,032 42,593 154,194 83,882 88,247
NET ASSETS
Beginning of Year........................... 1,782,680 1,667,648 1,185,733 1,031,539 435,549 347,302
---------- ---------- ---------- ---------- --------- ---------
End of Year................................. $2,069,659 $1,782,680 $1,228,326 $1,185,733 $ 519,431 $ 435,549
========== ========== ========== ========== ========= =========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 74,969 67,950 37,575 52,277 15,534 21,398
Shares Issued in Lieu of Cash
Distributions............................. 2,819 2,519 1,374 1,068 664 545
Shares Redeemed............................. (57,788) (54,612) (35,640) (37,491) (9,902) (12,613)
---------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) from
Shares Issued and Redeemed......... 20,000 15,857 3,309 15,854 6,296 9,330
========== ========== ========== ========== ========= =========
--------
* 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.
245
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA NY MUNICIPAL DFA MN MUNICIPAL DFA OREGON MUNICIPAL
BOND PORTFOLIO BOND PORTFOLIO BOND PORTFOLIO
------------------ ------------------ --------------------
PERIOD
SEP 10,
YEAR YEAR YEAR YEAR 2019(A)
ENDED ENDED ENDED ENDED TO
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2019
-------- -------- -------- -------- --------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................... $ 1,503 $ 1,123 $ 799 $ 709 $ 14
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................. -- (8) (16) (27) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 1,739 (1,345) 2,198 (1,420) --
-------- -------- -------- -------- -------
Net Increase (Decrease) in Net Assets Resulting
from Operations....................................... 3,242 (230) 2,981 (738) 14
-------- -------- -------- -------- -------
Distributions:
Institutional Class Shares................................. (1,493) (1,109) (795) (698) (11)
-------- -------- -------- -------- -------
Total Distributions..................................... (1,493) (1,109) (795) (698) (11)
-------- -------- -------- -------- -------
Capital Share Transactions (1):
Shares Issued.................................................. 40,618 38,034 19,440 59,841 23,898
Shares Issued in Lieu of Cash Distributions.................... 1,493 1,109 795 698 11
Shares Redeemed................................................ (23,123) (28,576) (14,600) (54,044) (768)
-------- -------- -------- -------- -------
Net Increase (Decrease) from Capital Share
Transactions.......................................... 18,988 10,567 5,635 6,495 23,141
-------- -------- -------- -------- -------
Total Increase (Decrease) in Net Assets................. 20,737 9,228 7,821 5,059 23,144
NET ASSETS
Beginning of Year.............................................. 100,432 91,204 66,318 61,259 --
-------- -------- -------- -------- -------
End of Year.................................................... $121,169 $100,432 $ 74,139 $ 66,318 $23,144
======== ======== ======== ======== =======
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................................. 3,975 3,749 1,961 6,101 2,390
Shares Issued in Lieu of Cash Distributions.................... 146 109 80 71 1
Shares Redeemed................................................ (2,261) (2,816) (1,480) (5,511) (77)
-------- -------- -------- -------- -------
Net Increase (Decrease) from Shares Issued and
Redeemed.............................................. 1,860 1,042 561 661 2,314
======== ======== ======== ======== =======
--------
* 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.
246
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA ONE-YEAR FIXED INCOME 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........... $ 10.24 $ 10.29 $ 10.31 $ 10.32 $ 10.32
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.23 0.18 0.11 0.07 0.04
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.06 (0.06) (0.02) -- 0.01
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 0.29 0.12 0.09 0.07 0.05
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.22) (0.17) (0.11) (0.07) (0.04)
Net Realized Gains........................ -- -- -- (0.01) (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.22) (0.17) (0.11) (0.08) (0.05)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................. $ 10.31 $ 10.24 $ 10.29 $ 10.31 $ 10.32
========== ========== ========== ========== ==========
Total Return................................. 2.90% 1.22% 0.86% 0.70% 0.44%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......... $7,418,534 $7,970,071 $7,458,011 $6,985,789 $7,306,008
Ratio of Expenses to Average Net Assets...... 0.18% 0.17% 0.17% 0.17% 0.17%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.18% 0.17% 0.17% 0.17% 0.17%
Ratio of Net Investment Income to Average
Net Assets................................. 2.22% 1.76% 1.08% 0.69% 0.38%
Portfolio Turnover Rate...................... 30% 68% 86% 64% 81%
---------- ---------- ---------- ---------- ----------
DFA TWO-YEAR GLOBAL FIXED INCOME 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........... $ 9.95 $ 9.99 $ 9.99 $ 9.96 $ 10.02
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.18 0.17 0.12 0.08 0.05
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.15 (0.08) (0.03) -- --
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 0.33 0.09 0.09 0.08 0.05
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.25) (0.13) (0.09) (0.05) (0.10)
Net Realized Gains........................ -- -- -- -- (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.25) (0.13) (0.09) (0.05) (0.11)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................. $ 10.03 $ 9.95 $ 9.99 $ 9.99 $ 9.96
========== ========== ========== ========== ==========
Total Return................................. 3.42% 0.87% 0.95% 0.81% 0.56%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......... $5,518,420 $5,590,939 $5,201,650 $4,724,757 $5,360,173
Ratio of Expenses to Average Net Assets...... 0.18% 0.17% 0.17% 0.17% 0.18%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.18% 0.17% 0.17% 0.17% 0.18%
Ratio of Net Investment Income to Average
Net Assets................................. 1.83% 1.73% 1.21% 0.79% 0.54%
Portfolio Turnover Rate...................... 59% 81% 121% 87% 125%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
247
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME 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........... $ 9.60 $ 9.66 $ 9.72 $ 9.41 $ 10.00
---------- ---------- ---------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.15 0.15 0.17 0.17 0.15
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.34 (0.04) (0.08) 0.24 (0.59)
---------- ---------- ---------- -------- --------
Total from Investment Operations...... 0.49 0.11 0.09 0.41 (0.44)
---------- ---------- ---------- -------- --------
Less Distributions:
-------------------
Net Investment Income..................... (0.30) (0.17) (0.15) (0.10) (0.15)
Net Realized Gains........................ -- -- -- -- --
---------- ---------- ---------- -------- --------
Total Distributions................... (0.30) (0.17) (0.15) (0.10) (0.15)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Year................. $ 9.79 $ 9.60 $ 9.66 $ 9.72 $ 9.41
========== ========== ========== ======== ========
Total Return................................. 5.29% 1.12% 1.00% 4.44% (4.42%)
---------- ---------- ---------- -------- --------
Net Assets, End of Year (thousands).......... $1,235,997 $1,210,704 $1,137,725 $988,751 $995,914
Ratio of Expenses to Average Net Assets...... 0.18% 0.17% 0.17% 0.17% 0.17%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.18% 0.17% 0.17% 0.17% 0.17%
Ratio of Net Investment Income to Average
Net Assets................................. 1.60% 1.62% 1.77% 1.75% 1.55%
Portfolio Turnover Rate...................... 62% 63% 52% 54% 56%
---------- ---------- ---------- -------- --------
DFA FIVE-YEAR GLOBAL FIXED INCOME 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........... $ 10.90 $ 11.03 $ 11.16 $ 11.08 $ 11.06
----------- ----------- ----------- ----------- -----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.07 0.11 0.18 0.18 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.44 (0.07) (0.08) 0.10 0.07
----------- ----------- ----------- ----------- -----------
Total from Investment Operations...... 0.51 0.04 0.10 0.28 0.24
----------- ----------- ----------- ----------- -----------
Less Distributions:
-------------------
Net Investment Income..................... (0.45) (0.16) (0.19) (0.17) (0.20)
Net Realized Gains........................ -- (0.01) (0.04) (0.03) (0.02)
----------- ----------- ----------- ----------- -----------
Total Distributions................... (0.45) (0.17) (0.23) (0.20) (0.22)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Year................. $ 10.96 $ 10.90 $ 11.03 $ 11.16 $ 11.08
=========== =========== =========== =========== ===========
Total Return................................. 4.88% 0.38% 0.95% 2.63% 2.22%
----------- ----------- ----------- ----------- -----------
Net Assets, End of Year (thousands).......... $15,555,653 $15,130,986 $14,085,116 $12,597,375 $11,237,965
Ratio of Expenses to Average Net Assets...... 0.28% 0.27% 0.27% 0.27% 0.27%
Ratio of Expenses to Average Net Assets
(Excluding Fees Paid Indirectly)........... 0.29% 0.27% 0.27% 0.27% 0.27%
Ratio of Net Investment Income to Average
Net Assets................................. 0.63% 1.03% 1.66% 1.60% 1.55%
Portfolio Turnover Rate...................... 46% 67% 69% 41% 51%
----------- ----------- ----------- ----------- -----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
248
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
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............................... $ 10.45 $ 10.22 $ 10.37 $ 10.48 $ 10.81
---------- ---------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................................. 0.09 0.10 0.10 0.11 0.14
Net Gains (Losses) on Securities (Realized and Unrealized).... 1.08 0.15 0.02 0.50 0.27
---------- ---------- -------- -------- --------
Total from Investment Operations.......................... 1.17 0.25 0.12 0.61 0.41
---------- ---------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income......................................... (0.73) (0.02) (0.25) (0.71) (0.69)
Net Realized Gains............................................ (0.04) -- (0.02) (0.01) (0.05)
---------- ---------- -------- -------- --------
Total Distributions....................................... (0.77) (0.02) (0.27) (0.72) (0.74)
---------- ---------- -------- -------- --------
Net Asset Value, End of Year..................................... $ 10.85 $ 10.45 $ 10.22 $ 10.37 $ 10.48
========== ========== ======== ======== ========
Total Return..................................................... 11.92% 2.42% 1.31% 6.26% 3.93%
---------- ---------- -------- -------- --------
Net Assets, End of Year (thousands).............................. $1,487,373 $1,126,037 $933,640 $772,664 $567,118
Ratio of Expenses to Average Net Assets.......................... 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid Indirectly))............... 0.22% 0.21% 0.21% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets............. 0.85% 0.94% 1.04% 1.09% 1.37%
Portfolio Turnover Rate.......................................... 49% 37% 51% 48% 27%
---------- ---------- -------- -------- --------
DFA SHORT-TERM GOVERNMENT 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............................... $ 10.38 $ 10.59 $ 10.75 $ 10.75 $ 10.69
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................................. 0.20 0.16 0.12 0.11 0.10
Net Gains (Losses) on Securities (Realized and Unrealized).... 0.19 (0.22) (0.13) 0.04 0.07
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 0.39 (0.06) (0.01) 0.15 0.17
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income......................................... (0.20) (0.15) (0.12) (0.11) (0.09)
Net Realized Gains............................................ -- -- (0.03) (0.04) (0.02)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.20) (0.15) (0.15) (0.15) (0.11)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year..................................... $ 10.57 $ 10.38 $ 10.59 $ 10.75 $ 10.75
========== ========== ========== ========== ==========
Total Return..................................................... 3.75% (0.60%) (0.10%) 1.40% 1.65%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).............................. $2,306,858 $2,304,374 $2,221,841 $2,094,510 $2,144,989
Ratio of Expenses to Average Net Assets.......................... 0.20% 0.19% 0.19% 0.19% 0.19%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor and (Fees Paid Indirectly))............... 0.20% 0.19% 0.19% 0.19% 0.19%
Ratio of Net Investment Income to Average Net Assets............. 1.92% 1.52% 1.17% 1.02% 0.90%
Portfolio Turnover Rate.......................................... 58% 30% 34% 51% 82%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
249
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........... $ 11.88 $ 12.45 $ 12.86 $ 12.67 $ 12.60
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.29 0.27 0.26 0.26 0.27
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 1.10 (0.57) (0.39) 0.24 0.13
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 1.39 (0.30) (0.13) 0.50 0.40
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.28) (0.26) (0.25) (0.25) (0.27)
Net Realized Gains........................ -- (0.01) (0.03) (0.06) (0.06)
---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.28) (0.27) (0.28) (0.31) (0.33)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................. $ 12.99 $ 11.88 $ 12.45 $ 12.86 $ 12.67
========== ========== ========== ========== ==========
Total Return................................. 11.81% (2.44%) (0.93%) 3.95% 3.25%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......... $5,611,187 $4,964,670 $4,629,841 $3,811,636 $3,378,949
Ratio of Expenses to Average Net Assets...... 0.13% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)...................... 0.13% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average
Net Assets................................. 2.28% 2.22% 2.06% 2.01% 2.17%
Portfolio Turnover Rate...................... 25% 16% 12% 17% 19%
---------- ---------- ---------- ---------- ----------
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year........... $ 10.68 $ 10.85 $ 10.90 $ 10.82 $ 10.86
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).............. 0.19 0.19 0.20 0.19 0.17
Net Gains (Losses) on Securities
(Realized and Unrealized)............... 0.35 (0.16) (0.07) 0.10 (0.01)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations...... 0.54 0.03 0.13 0.29 0.16
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income..................... (0.27) (0.19) (0.18) (0.19) (0.19)
Net Realized Gains........................ -- (0.01) -- (0.02) (0.01)
---------- ---------- ---------- ---------- ----------
Total Distributions................... (0.27) (0.20) (0.18) (0.21) (0.20)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................. $ 10.95 $ 10.68 $ 10.85 $ 10.90 $ 10.82
========== ========== ========== ========== ==========
Total Return................................. 5.11% 0.22% 1.19% 2.70% 1.48%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands).......... $6,534,046 $5,650,059 $5,559,764 $4,723,470 $3,896,233
Ratio of Expenses to Average Net Assets...... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor)...................... 0.23% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average
Net Assets................................. 1.73% 1.76% 1.85% 1.77% 1.58%
Portfolio Turnover Rate...................... 51% 27% 23% 25% 28%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
250
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period............................. $ 10.11 $ 10.85 $ 10.97 $ 10.67 $ 10.80
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................................. 0.35 0.33 0.33 0.32 0.33
Net Gains (Losses) on Securities (Realized and Unrealized).... 1.17 (0.71) (0.11) 0.37 (0.04)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations.......................... 1.52 (0.38) 0.22 0.69 0.29
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income......................................... (0.34) (0.33) (0.32) (0.34) (0.37)
Net Realized Gains............................................ -- (0.03) (0.02) (0.05) (0.05)
---------- ---------- ---------- ---------- ----------
Total Distributions....................................... (0.34) (0.36) (0.34) (0.39) (0.42)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period................................... $ 11.29 $ 10.11 $ 10.85 $ 10.97 $ 10.67
========== ========== ========== ========== ==========
Total Return..................................................... 15.27% (3.53%) 2.05% 6.61% 2.66%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)............................ $1,712,376 $1,782,191 $1,804,891 $1,414,041 $1,068,817
Ratio of Expenses to Average Net Assets.......................... 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor).......................................... 0.23% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets............. 3.25% 3.21% 3.03% 2.99% 3.05%
Portfolio Turnover Rate.......................................... 19% 24% 18% 28% 30%
---------- ---------- ---------- ---------- ----------
DFA TARGETED CREDIT PORTFOLIO
--------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR MAY 20,
ENDED ENDED ENDED ENDED 2015(A) TO
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- -------- ----------
Net Asset Value, Beginning of Period............................. $ 9.80 $ 10.06 $ 10.08 $ 9.96 $ 10.00
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss).................................. 0.21 0.22 0.22 0.21 0.08
Net Gains (Losses) on Securities (Realized and Unrealized).... 0.42 (0.24) (0.03) 0.12 (0.06)
-------- -------- -------- -------- --------
Total from Investment Operations.......................... 0.63 (0.02) 0.19 0.33 0.02
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income......................................... (0.24) (0.22) (0.21) (0.21) (0.06)
Net Realized Gains............................................ -- (0.02) -- -- --
-------- -------- -------- -------- --------
Total Distributions....................................... (0.24) (0.24) (0.21) (0.21) (0.06)
-------- -------- -------- -------- --------
Net Asset Value, End of Period................................... $ 10.19 $ 9.80 $ 10.06 $ 10.08 $ 9.96
======== ======== ======== ======== ========
Total Return..................................................... 6.51% (0.18%) 1.94% 3.39% 0.18%(B)
-------- -------- -------- -------- --------
Net Assets, End of Period (thousands)............................ $766,607 $651,780 $514,588 $356,579 $220,608
Ratio of Expenses to Average Net Assets.......................... 0.20% 0.20% 0.20% 0.20% 0.20%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived Fees
Recovered by Advisor).......................................... 0.24% 0.23% 0.23% 0.24% 0.28%(C)(D)
Ratio of Net Investment Income to Average Net Assets............. 2.12% 2.25% 2.25% 2.06% 1.81%(C)(D)
Portfolio Turnover Rate.......................................... 17% 19% 41% 21% 2%(B)
-------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
251
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA
GLOBAL CORE
PLUS FIXED
INCOME PORTFOLIO DFA INVESTMENT GRADE PORTFOLIO
--------------------- -----------------------------------------------------------
PERIOD
YEAR JAN 11, YEAR YEAR YEAR YEAR YEAR
ENDED 2018(A) TO ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of
Period.......................... $ 9.89 $ 10.00 $ 10.38 $ 10.90 $ 11.04 $ 10.80 $ 10.76
---------- -------- ---------- ---------- ---------- ---------- ----------
Income from Investment
Operations (A)
----------------------
Net Investment Income
(Loss)....................... 0.20 0.15 0.29 0.27 0.25 0.24 0.27
Net Gains (Losses) on
Securities (Realized and
Unrealized).................. 0.96 (0.21) 1.00 (0.53) (0.16) 0.25 0.02
---------- -------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Operations............... 1.16 (0.06) 1.29 (0.26) 0.09 0.49 0.29
---------- -------- ---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......... (0.55) (0.05) (0.29) (0.26) (0.23) (0.22) (0.25)
Net Realized Gains............. -- -- -- -- -- (0.03) --
---------- -------- ---------- ---------- ---------- ---------- ----------
Total Distributions........ (0.55) (0.05) (0.29) (0.26) (0.23) (0.25) (0.25)
---------- -------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.... $ 10.50 $ 9.89 $ 11.38 $ 10.38 $ 10.90 $ 11.04 $ 10.80
========== ======== ========== ========== ========== ========== ==========
Total Return...................... 12.33% (0.56%)(B) 12.60% (2.38%) 0.86% 4.62% 2.77%
---------- -------- ---------- ---------- ---------- ---------- ----------
Net Assets, End of Period
(thousands)..................... $1,521,379 $592,325 $9,843,294 $8,638,793 $8,185,290 $6,193,789 $4,153,194
Ratio of Expenses to Average
Net Assets *.................... 0.30% 0.30%(C)(D)(E) 0.22% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average
Net Assets (Excluding Fees
(Waived), (Expenses
Reimbursed), and/or
Previously Waived Fees
Recovered by Advisor) *......... 0.30% 0.31%(C)(D)(E) 0.23% 0.22% 0.22% 0.22% 0.38%
Ratio of Net Investment
Income to Average Net Assets.... 1.99% 1.82%(C)(D) 2.69% 2.55% 2.32% 2.20% 2.49%
Portfolio Turnover Rate........... 14% 68%(B) 21% 15% 18% 7% 52%
---------- -------- ---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to
Average Net Assets is
inclusive of acquired fund
fees and expenses incurred
by the Portfolio indirectly
as a result of Portfolio's
investment in Underlying
Funds as follows:............... N/A 0.01% N/A N/A N/A N/A 0.16%
---------- -------- ---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
252
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA DIVERSIFIED FIXED INCOME PORTFOLIO
--------------------------------------------------
PERIOD
YEAR YEAR YEAR AUG 10,
ENDED ENDED ENDED 2016(A) TO
OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016
---------- -------- -------- ----------
Net Asset Value, Beginning of Period........................ $ 9.47 $ 9.76 $ 9.92 $ 10.00
---------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.22 0.19 0.15 0.02
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.53 (0.29) (0.16) (0.08)
---------- -------- -------- --------
Total from Investment Operations..................... 0.75 (0.10) (0.01) (0.06)
---------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.22) (0.19) (0.15) (0.02)
Net Realized Gains....................................... -- (-- ) -- --
---------- -------- -------- --------
Total Distributions.................................. (0.22) (0.19) (0.15) (0.02)
---------- -------- -------- --------
Net Asset Value, End of Period.............................. $ 10.00 $ 9.47 $ 9.76 $ 9.92
========== ======== ======== ========
Total Return................................................ 7.97% (1.05%) (0.05%) (0.64%)(B)
---------- -------- -------- --------
Net Assets, End of Period (thousands)....................... $1,064,950 $796,296 $530,016 $112,561
Ratio of Expenses to Average Net Assets *................... 0.15%(E) 0.15%(E) 0.15%(E) 0.15%(C)(D)(E)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) *.............................. 0.27%(E) 0.26%(E) 0.29%(E) 0.45%(C)(D)(E)
Ratio of Net Investment Income to Average Net Assets........ 2.21% 1.93% 1.56% 0.91%(C)(D)
Portfolio Turnover Rate..................................... 3% 3% 5% N/A
---------- -------- -------- --------
* The Ratio of Expenses to Average Net Assets is inclusive
of acquired fund fees and expenses incurred by the
Portfolio indirectly as a result of Portfolio's
investment in Underlying Funds as follows:................ 0.12% 0.11% 0.11% 0.11%
---------- -------- -------- --------
DFA LTIP PORTFOLIO
-----------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- ------- -------
Net Asset Value, Beginning of Period........................ $ 8.47 $ 9.31 $ 9.81 $ 8.67 $ 9.50
-------- -------- -------- ------- ------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.24 0.33 0.25 0.26 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 1.66 (0.83) (0.50) 1.03 (0.81)
-------- -------- -------- ------- ------
Total from Investment Operations..................... 1.90 (0.50) (0.25) 1.29 (0.76)
-------- -------- -------- ------- ------
Less Distributions:
-------------------
Net Investment Income.................................... (0.22) (0.34) (0.24) (0.15) (0.07)
Net Realized Gains....................................... (0.04) -- (0.01) -- --
-------- -------- -------- ------- ------
Total Distributions.................................. (0.26) (0.34) (0.25) (0.15) (0.07)
-------- -------- -------- ------- ------
Net Asset Value, End of Period.............................. $ 10.11 $ 8.47 $ 9.31 $ 9.81 $ 8.67
======== ======== ======== ======= ======
Total Return................................................ 22.69% (5.73%) (2.52%) 14.90% (8.04%)
-------- -------- -------- ------- ------
Net Assets, End of Period (thousands)....................... $215,040 $168,648 $124,591 $63,267 $ 208
Ratio of Expenses to Average Net Assets *................... 0.15% 0.15% 0.15% 0.15% 0.28%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor) *.............................. 0.15% 0.14% 0.14% 0.21% 16.22%
Ratio of Net Investment Income to Average Net Assets........ 2.52% 3.52% 2.75% 2.76% 0.49%
Portfolio Turnover Rate..................................... 38% 53% 2% 4% 88%
-------- -------- -------- ------- ------
* The Ratio of Expenses to Average Net Assets is inclusive
of acquired fund fees and expenses incurred by the
Portfolio indirectly as a result of Portfolio's
investment in Underlying Funds as follows:................ N/A N/A N/A N/A N/A
-------- -------- -------- ------- ------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
253
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INFLATION-PROTECTED SECURITIES 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.......................... $ 11.25 $ 11.79 $ 12.09 $ 11.54 $ 11.75
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.25 0.35 0.25 0.16 0.06
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.78 (0.52) (0.29) 0.53 (0.17)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 1.03 (0.17) (0.04) 0.69 (0.11)
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.25) (0.37) (0.23) (0.13) (0.07)
Net Realized Gains....................................... -- -- (0.03) (0.01) (0.03)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.25) (0.37) (0.26) (0.14) (0.10)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year................................ $ 12.03 $ 11.25 $ 11.79 $ 12.09 $ 11.54
========== ========== ========== ========== ==========
Total Return................................................ 9.16% (1.53%) (0.26%) 5.96% (0.98%)
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)......................... $4,887,736 $4,491,326 $4,359,301 $3,514,067 $2,982,898
Ratio of Expenses to Average Net Assets..................... 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.12% 0.12% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets........ 2.13% 3.01% 2.14% 1.35% 0.54%
Portfolio Turnover Rate..................................... 28% 24% 16% 19% 12%
---------- ---------- ---------- ---------- ----------
DFA SHORT-DURATION REAL RETURN 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.......................... $ 9.92 $ 10.02 $ 10.02 $ 9.79 $ 10.00
---------- ---------- ---------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.20 0.18 0.17 0.17 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.20 (0.11) (0.03) 0.18 (0.26)
---------- ---------- ---------- -------- --------
Total from Investment Operations..................... 0.40 0.07 0.14 0.35 (0.12)
---------- ---------- ---------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.26) (0.17) (0.14) (0.12) (0.09)
Net Realized Gains....................................... -- -- -- -- --
---------- ---------- ---------- -------- --------
Total Distributions.................................. (0.26) (0.17) (0.14) (0.12) (0.09)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Year................................ $ 10.06 $ 9.92 $ 10.02 $ 10.02 $ 9.79
========== ========== ========== ======== ========
Total Return................................................ 4.16% 0.70% 1.42% 3.67% (1.14%)
---------- ---------- ---------- -------- --------
Net Assets, End of Year (thousands)......................... $1,484,797 $1,441,718 $1,130,418 $914,956 $784,996
Ratio of Expenses to Average Net Assets..................... 0.24% 0.23% 0.24% 0.24% 0.24%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor)................................ 0.24% 0.23% 0.23% 0.23% 0.23%
Ratio of Net Investment Income to Average Net Assets........ 1.98% 1.78% 1.72% 1.68% 1.38%
Portfolio Turnover Rate..................................... 42% 39% 35% 62% 30%
---------- ---------- ---------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
254
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MUNICIPAL REAL RETURN PORTFOLIO
--------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR NOV 4,
ENDED ENDED ENDED ENDED 2014(A) TO
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- -------- ----------
Net Asset Value, Beginning of Period........................ $ 9.71 $ 9.94 $ 9.93 $ 9.72 $ 10.00
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.16 0.15 0.13 0.12 0.11
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.28 (0.23) 0.01 0.21 (0.31)
-------- -------- -------- -------- --------
Total from Investment Operations..................... 0.44 (0.08) 0.14 0.33 (0.20)
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.16) (0.15) (0.13) (0.12) (0.08)
-------- -------- -------- -------- --------
Total Distributions.................................. (0.16) (0.15) (0.13) (0.12) (0.08)
-------- -------- -------- -------- --------
Net Asset Value, End of Period.............................. $ 9.99 $ 9.71 $ 9.94 $ 9.93 $ 9.72
======== ======== ======== ======== ========
Total Return................................................ 4.56% (0.86%) 1.42% 3.40% (1.98%)(B)
-------- -------- -------- -------- --------
Net Assets, End of Period (thousands)....................... $884,142 $865,710 $716,821 $473,985 $184,238
Ratio of Expenses to Average Net Assets..................... 0.23% 0.23% 0.23% 0.26% 0.27%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.24% 0.24% 0.24% 0.24% 0.35%(C)(D)
Ratio of Net Investment Income to Average Net Assets........ 1.62% 1.51% 1.34% 1.19% 1.12%(C)(D)
Portfolio Turnover Rate..................................... 6% 8% 4% N/A N/A(B)
-------- -------- -------- -------- --------
DFA
CALIFORNIA
MUNICIPAL
REAL RETURN
PORTFOLIO
-------------------
PERIOD
YEAR NOV 1,
ENDED 2017(A) TO
OCT 31, OCT 31,
2019 2018
-------- ----------
Net Asset Value, Beginning of Period........................ $ 9.80 $ 10.00
-------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.15 0.13
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.21 (0.22)
-------- --------
Total from Investment Operations..................... 0.36 (0.09)
-------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.14) (0.11)
-------- --------
Total Distributions.................................. (0.14) (0.11)
-------- --------
Net Asset Value, End of Period.............................. $ 10.02 $ 9.80
======== ========
Total Return................................................ 3.73% (0.86%)(B)
-------- --------
Net Assets, End of Period (thousands)....................... $135,575 $122,368
Ratio of Expenses to Average Net Assets..................... 0.28% 0.30%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.29% 0.32%(C)(D)
Ratio of Net Investment Income to Average Net Assets........ 1.46% 1.31%(C)(D)
Portfolio Turnover Rate..................................... 12% 2%(B)
-------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
255
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA MUNICIPAL BOND PORTFOLIO
-------------------------------------------------
PERIOD
YEAR YEAR YEAR YEAR MAR 10,
ENDED ENDED ENDED ENDED 2015(A) TO
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- ------- -------- ----------
Net Asset Value, Beginning of Period........................ $ 9.96 $ 10.18 $ 10.22 $ 10.12 $ 10.00
-------- -------- ------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.15 0.14 0.12 0.12 0.09
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.37 (0.23) (0.04) 0.10 0.09
-------- -------- ------- -------- --------
Total from Investment Operations..................... 0.52 (0.09) 0.08 0.22 0.18
-------- -------- ------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.15) (0.13) (0.12) (0.12) (0.06)
-------- -------- ------- -------- --------
Total Distributions.................................. (0.15) (0.13) (0.12) (0.12) (0.06)
-------- -------- ------- -------- --------
Net Asset Value, End of Period.............................. $ 10.33 $ 9.96 $ 10.18 $ 10.22 $ 10.12
======== ======== ======= ======== ========
Total Return................................................ 5.28% (0.84%) 0.76% 2.22% 1.83%(B)
-------- -------- ------- -------- --------
Net Assets, End of Period (thousands)....................... $509,830 $453,447 $351,93 $220,721 $100,315
Ratio of Expenses to Average Net Assets..................... 0.22% 0.23% 0.23% 0.23% 0.23%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.25% 0.24% 0.24% 0.25% 0.37%(C)(D)
Ratio of Net Investment Income to Average Net Assets........ 1.51% 1.38% 1.17% 1.13% 1.31%(C)(D)
Portfolio Turnover Rate..................................... 13% 11% 8% 2% 2%(B)
-------- -------- ------- -------- --------
DFA SHORT-TERM MUNICIPAL BOND PORTFOLIO
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Period........................ $ 10.10 $ 10.18 $ 10.21 $ 10.24 $ 10.23
---------- ---------- ---------- ---------- ----------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.12 0.11 0.10 0.09 0.09
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.08 (0.08) (0.03) (0.02) 0.01
---------- ---------- ---------- ---------- ----------
Total from Investment Operations..................... 0.20 0.03 0.07 0.07 0.10
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.................................... (0.12) (0.11) (0.10) (0.10) (0.09)
---------- ---------- ---------- ---------- ----------
Total Distributions.................................. (0.12) (0.11) (0.10) (0.10) (0.09)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period.............................. $ 10.18 $ 10.10 $ 10.18 $ 10.21 $ 10.24
========== ========== ========== ========== ==========
Total Return................................................ 2.03% 0.28% 0.67% 0.68% 1.00%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Period (thousands)....................... $2,618,249 $2,553,257 $2,531,941 $2,103,981 $2,199,837
Ratio of Expenses to Average Net Assets..................... 0.23% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.23% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets........ 1.22% 1.08% 0.96% 0.92% 0.90%
Portfolio Turnover Rate..................................... 90% 31% 16% 11% 18%
---------- ---------- ---------- ---------- ----------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
256
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERMEDIATE-TERM MUNICIPAL BOND PORTFOLIO
---------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- --------
Net Asset Value, Beginning of Year.......................... $ 9.93 $ 10.19 $ 10.25 $ 10.17 $ 10.10
---------- ---------- ---------- ---------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.16 0.15 0.14 0.14 0.15
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.45 (0.26) (0.06) 0.09 0.06
---------- ---------- ---------- ---------- --------
Total from Investment Operations..................... 0.61 (0.11) 0.08 0.23 0.21
---------- ---------- ---------- ---------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.16) (0.15) (0.14) (0.15) (0.14)
---------- ---------- ---------- ---------- --------
Total Distributions.................................. (0.16) (0.15) (0.14) (0.15) (0.14)
---------- ---------- ---------- ---------- --------
Net Asset Value, End of Year................................ $ 10.38 $ 9.93 $ 10.19 $ 10.25 $ 10.17
========== ========== ========== ========== ========
Total Return................................................ 6.17% (1.08%) 0.75% 2.23% 2.13%
---------- ---------- ---------- ---------- --------
Net Assets, End of Year (thousands)......................... $2,069,659 $1,782,680 $1,667,648 $1,264,647 $910,481
Ratio of Expenses to Average Net Assets..................... 0.23% 0.22% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.23% 0.22% 0.23% 0.22% 0.23%
Ratio of Net Investment Income to Average Net Assets........ 1.57% 1.51% 1.35% 1.34% 1.47%
Portfolio Turnover Rate..................................... 12% 6% 4% 3% 1%
---------- ---------- ---------- ---------- --------
DFA CALIFORNIA SHORT-TERM MUNICIPAL BOND PORTFOLIO
------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- -------- --------
Net Asset Value, Beginning of Year.......................... $ 10.23 $ 10.31 $ 10.33 $ 10.34 $ 10.33
---------- ---------- ---------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.12 0.11 0.09 0.09 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.07 (0.09) (0.02) (0.01) 0.01
---------- ---------- ---------- -------- --------
Total from Investment Operations..................... 0.19 0.02 0.07 0.08 0.09
---------- ---------- ---------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.12) (0.10) (0.09) (0.09) (0.08)
---------- ---------- ---------- -------- --------
Total Distributions.................................. (0.12) (0.10) (0.09) (0.09) (0.08)
---------- ---------- ---------- -------- --------
Net Asset Value, End of Year................................ $ 10.30 $ 10.23 $ 10.31 $ 10.33 $ 10.34
========== ========== ========== ======== ========
Total Return................................................ 1.88% 0.22% 0.68% 0.79% 0.87%
---------- ---------- ---------- -------- --------
Net Assets, End of Year (thousands)......................... $1,228,326 $1,185,733 $1,031,539 $880,209 $825,484
Ratio of Expenses to Average Net Assets..................... 0.23% 0.22% 0.22% 0.22% 0.22%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.24% 0.22% 0.22% 0.22% 0.22%
Ratio of Net Investment Income to Average Net Assets........ 1.19% 1.02% 0.88% 0.84% 0.78%
Portfolio Turnover Rate..................................... 97% 39% 19% 20% 23%
---------- ---------- ---------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
257
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA CALIFORNIA INTERMEDIATE-TERM MUNICIPAL BOND 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 2017 2016 2015 2019
-------- -------- -------- -------- -------- --------
Net Asset Value, Beginning of Period........................ $ 10.33 $ 10.58 $ 10.62 $ 10.56 $ 10.47 $ 10.10
-------- -------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.16 0.15 0.14 0.15 0.17 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.38 (0.25) (0.04) 0.07 0.08 0.15
-------- -------- -------- -------- -------- --------
Total from Investment Operations..................... 0.54 (0.10) 0.10 0.22 0.25 0.29
-------- -------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.................................... (0.15) (0.15) (0.14) (0.16) (0.16) (0.13)
-------- -------- -------- -------- -------- --------
Total Distributions.................................. (0.15) (0.15) (0.14) (0.16) (0.16) (0.13)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period.............................. $ 10.72 $ 10.33 $ 10.58 $ 10.62 $ 10.56 $ 10.26
======== ======== ======== ======== ======== ========
Total Return................................................ 5.30% (0.96%) 0.97% 2.10% 2.46% 2.92%
-------- -------- -------- -------- -------- --------
Net Assets, End of Period (thousands)....................... $519,431 $435,549 $347,302 $255,893 $196,624 $121,169
Ratio of Expenses to Average Net Assets..................... 0.22% 0.23% 0.23% 0.23% 0.23% 0.23%
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.24% 0.23% 0.23% 0.23% 0.23% 0.29%
Ratio of Net Investment Income to Average Net Assets........ 1.47% 1.45% 1.36% 1.42% 1.59% 1.32%
Portfolio Turnover Rate..................................... 19% 7% 7% 4% 2% 40%
-------- -------- -------- -------- -------- --------
DFA NY MUNICIPAL BOND PORTFOLIO
-------------------------------------
PERIOD
YEAR YEAR YEAR JUN 16,
ENDED ENDED ENDED 2015(A) TO
OCT 31, OCT 31, OCT 31, OCT 31,
2018 2017 2016 2015
-------- ------- ------- ----------
Net Asset Value, Beginning of Period........................ $ 10.24 $ 10.25 $ 10.14 $ 10.00
-------- ------- ------- -------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.12 0.11 0.11 0.05
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ (0.14) (0.01) 0.12 0.12
-------- ------- ------- -------
Total from Investment Operations..................... (0.02) 0.10 0.23 0.17
-------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.................................... (0.12) (0.11) (0.12) (0.03)
-------- ------- ------- -------
Total Distributions.................................. (0.12) (0.11) (0.12) (0.03)
-------- ------- ------- -------
Net Asset Value, End of Period.............................. $ 10.10 $ 10.24 $ 10.25 $ 10.14
======== ======= ======= =======
Total Return................................................ (0.20%) 0.94% 2.29% 1.75%(B)
-------- ------- ------- -------
Net Assets, End of Period (thousands)....................... $100,432 $91,204 $57,581 $28,985
Ratio of Expenses to Average Net Assets..................... 0.25% 0.25% 0.25% 0.25%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.25% 0.25% 0.34% 0.51%(C)(D)
Ratio of Net Investment Income to Average Net Assets........ 1.20% 1.06% 1.10% 1.25%(C)(D)
Portfolio Turnover Rate..................................... 27% 15% 1% N/A
-------- ------- ------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
258
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA OREGON
MUNICIPAL
DFA MN MUNICIPAL BOND PORTFOLIO BOND PORTFOLIO
--------------------------- --------------
PERIOD PERIOD
YEAR YEAR JUL 25, SEP 10,
ENDED ENDED 2017(A) TO 2019(A) TO
OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2019
------- ------- ---------- --------------
Net Asset Value, Beginning of Period........................ $ 9.73 $ 9.95 $ 10.00 $ 10.00
------- ------- ------- -------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)............................. 0.11 0.11 0.02 0.01
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................ 0.32 (0.22) (0.05) (0.01)
------- ------- ------- -------
Total from Investment Operations..................... 0.43 (0.11) (0.03) --
------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.................................... (0.11) (0.11) (0.02) (-- )
------- ------- ------- -------
Total Distributions.................................. (0.11) (0.11) (0.02) --
------- ------- ------- -------
Net Asset Value, End of Period.............................. $ 10.05 $ 9.73 $ 9.95 $ 10.00
======= ======= ======= =======
Total Return................................................ 4.47% (1.16%) (0.28%)(B) 0.05%(B)
------- ------- ------- -------
Net Assets, End of Period (thousands)....................... $74,139 $66,318 $61,259 $23,144
Ratio of Expenses to Average Net Assets..................... 0.30% 0.32% 0.24%(C)(D) 0.32%(C)(D)
Ratio of Expenses to Average Net Assets (Excluding Fees
(Waived), (Expenses Reimbursed), and/or Previously Waived
Fees Recovered by Advisor and (Fees Paid Indirectly))..... 0.38% 0.38% 0.37%(C)(D) 0.65%(C)(D)
Ratio of Net Investment Income to Average Net Assets........ 1.14% 1.09% 0.96%(C)(D) 0.47%(C)(D)
Portfolio Turnover Rate..................................... 14% 14% N/A(B) 0%(B)
------- ------- ------- -------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
259
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-six (the "Portfolios") are
included in this report. The remaining operational portfolios are presented in
separate reports. The Portfolios are investment companies, and accordingly,
follow the accounting and reporting guidance under the Financial Accounting
Standards Board ("FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies."
The DFA Diversified Fixed Income Portfolio achieves its investment objective
by investing directly in securities as listed on its Schedule of Investments
and/or in other series of the Fund as indicated below (collectively, the
"Underlying Funds"). The Underlying Funds' shareholder reports are included in
this report. As of October 31, 2019, the Portfolio was the owner of record of
the following approximate percentages of the total outstanding shares of the
following Underlying Funds as detailed below:
PERCENTAGE
OWNERSHIP
FUND OF FUNDS UNDERLYING FUNDS AT 10/31/19
------------- --------------------------------------------------- -----------
DFA Diversified Fixed Income Portfolio DFA Two-Year Global Fixed Income Portfolio 6%
DFA Intermediate Government Fixed Income Portfolio 9%
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolios use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. These valuations are generally categorized as Level 2 in the
hierarchy.
260
Over-the-counter derivative contracts, which include forward currency
contracts, do not require material subjectivity as pricing inputs are observed
from quoted markets and are categorized as Level 2 in the hierarchy. Swap
agreements will be valued at the price provided by an independent third-party
pricing service or source. If a price is not available from an independent
third-party pricing service or source, the swap agreement will be valued in
good faith at fair value in accordance with procedures adopted by the Board.
These securities are generally categorized as Level 2 in the hierarchy.
Shares held by the Portfolios in other investment companies (such as the
Underlying Funds shares held by the DFA Diversified Fixed Income Portfolio) are
valued at their respective daily net asset values as reported by their
administrator. These valuations are classified as Level 1 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities
of DFA Two-Year Global Fixed Income Portfolio, DFA Selectively Hedged Global
Fixed Income Portfolio, DFA Five-Year Global Fixed Income Portfolio, DFA World
ex U.S. Government Fixed Income Portfolio, DFA Short-Term Extended Quality
Portfolio, DFA Intermediate-Term Extended Quality Portfolio, DFA Targeted
Credit Portfolio, DFA Global Core Plus Fixed Income Portfolio (the
"International Fixed Income Portfolios"), DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
whose values are initially expressed in foreign currencies are translated to
U.S. dollars using the mean between the most recent bid and ask prices for the
U.S. dollar as quoted by generally recognized reliable sources. To facilitate
the translation, the Portfolios enter into foreign currency contracts. A
foreign currency contract is a spot agreement between two parties to buy and
sell currencies at current market exchange rates, for settlement generally
within two business days. Dividend and interest income and certain expenses are
translated to U.S. dollars at the rate of exchange on their respective accrual
dates. Receivables and payables denominated in foreign currencies are
marked-to-market daily based on daily exchange rates and exchange gains or
losses are realized upon ultimate receipt or disbursement. The International
Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA Diversified Fixed
Income Portfolio and DFA Short-Duration Real Return Portfolio also enter into
forward currency contracts for the purpose of hedging against fluctuations in
currency exchange rates or to transfer balances from one currency to another.
DFA Selectively Hedged Global Fixed Income Portfolio may hedge the currency
exposure of its foreign securities or leave some or all of the currency
exposure unhedged. Forward currency contracts are marked-to-market daily based
on daily forward exchange rates.
The International Fixed Income Portfolios, DFA Investment Grade Portfolio,
DFA Diversified Fixed Income Portfolio and DFA Short-Duration Real Return
Portfolio isolate the effect of foreign currency rate fluctuations when
determining the realized gain or loss upon the sale or maturity of foreign
currency-denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates of
securities transactions, and the difference between amounts of interest,
dividends and any foreign withholding taxes recorded on the books of the
International Fixed Income Portfolios, DFA Investment Grade Portfolio, DFA
Diversified Fixed Income Portfolio and DFA Short-Duration Real Return Portfolio
and the U.S. dollar equivalent amounts actually received or paid.
3. TREASURY INFLATION-PROTECTED SECURITIES (TIPS): Inflation-protected
securities (also known as inflation indexed securities) are securities whose
principal and/or interest payments are adjusted for inflation, unlike
conventional debt securities that make fixed principal and interest payments.
Inflation-protected securities include Treasury Inflation-Protected Securities
("TIPS"), which are securities issued by the U.S. Treasury. The principal value
of TIPS is adjusted for inflation (payable at maturity) and the semi-annual
interest payments by TIPS equal a fixed percentage of the inflation-adjusted
principal amount. These inflation adjustments are based upon the Consumer Price
Index for Urban Consumers (CPI-U). The original principal value of TIPS is
guaranteed, even during period of deflation. At maturity, TIPS are redeemed at
the greater of their inflation-adjusted principal or par amount at original
issue. Other
261
types of inflation-protected securities may use other methods to adjust for
inflation and other measures of inflation. Additionally, inflation-protected
securities issued by entities other than the U.S. Treasury may not provide a
guarantee of principal value at maturity.
4. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core
Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio,
U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core
Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity
Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions
made under the Plan and the change in unrealized appreciation (depreciation)
and income are included in Directors'/ Trustees' Fees & Expenses.
The Directors may receive their distributions of proceeds by one of the
following methods: lump sum, annual installments over a period of agreed-upon
years, or quarterly installments over a period of agreed-upon years. Each
Director shall have the right in a notice of election (the "Notice") to defer
the receipt of the Director's deferred compensation until a date specified by
such Director in the Notice. The date may not be sooner than the earlier of:
(i) the first business day of January following the year in which such Director
ceases to be a member of the Board of Directors of the Fund; and (ii) five
years following the effective date of the Director's first deferral election.
If a Director who elects to defer fees fails to designate in the Notice a time
or date as of which payment of the Director's deferred fee account shall
commence, payment of such amount shall commence as of the first business day of
January following the year in which the Director ceases to be a member of the
Board (unless the Director files an amended Notice selecting a different
distribution date). As of October 31, 2019, none of the Directors have
requested or received a distribution of proceeds of a deferred fee account.
5. OTHER: Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of investment
securities/affiliated investment companies and foreign currency are accounted
for on the basis of identified cost. Dividend income and distributions to
shareholders are recorded on the ex-dividend date. Distributions received on
securities and from the investment in affiliated investment companies that
represent a return of capital or capital gains are recorded as a reduction of
cost of investments or as a realized gain, respectively. The Portfolios
estimate the character of received distributions that may be considered return
of capital distributions. Interest income is recorded on an accrual basis.
Discount and premium on debt securities purchased are amortized over the lives
of the respective securities, using the effective interest method. Expenses
directly attributable to a Portfolio are directly charged. Common expenses of
the Fund or the Portfolios are allocated using methods approved by the Board,
generally based on average net assets.
The Portfolios may be subject to taxes imposed by countries in which they
invest with respect to their investments in issuers existing or operating in
such countries. Such taxes are generally based on income earned or repatriated
and capital gains realized on the sale of such investments. The Portfolios
accrue such taxes when the related income or capital gains are earned or
throughout the holding period. Some countries require governmental approval for
the repatriation of investment income, capital or the proceeds of sales earned
by foreign investors. Additionally, if there is a deterioration in a country's
balance of payments or for other reasons, a country may impose temporary
restrictions on foreign capital remittances abroad.
Organizational costs are expensed during the fiscal year of inception of the
Portfolios. Offering costs are amortized over a twelve-month period from the
inception of the Portfolios.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Portfolios. For the year ended October 31, 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:
DFA One-Year Fixed Income Portfolio.................... 0.15%
DFA Two-Year Global Fixed Income Portfolio............. 0.15%
DFA Selectively Hedged Global Fixed Income Portfolio... 0.15%
262
DFA Five-Year Global Fixed Income Portfolio............ 0.25%
DFA World ex U.S. Government Fixed Income Portfolio.... 0.18%
DFA Short-Term Government Portfolio.................... 0.17%
DFA Intermediate Government Fixed Income Portfolio..... 0.10%
DFA Short-Term Extended Quality Portfolio.............. 0.20%
DFA Intermediate-Term Extended Quality Portfolio....... 0.20%
DFA Targeted Credit Portfolio.......................... 0.19%
DFA Global Core Plus Fixed Income Portfolio............ 0.25%
DFA Investment Grade Portfolio......................... 0.20%
DFA Diversified Fixed Income Portfolio................. 0.12%
DFA LTIP Portfolio..................................... 0.10%
DFA Inflation-Protected Securities Portfolio........... 0.10%
DFA Short-Duration Real Return Portfolio............... 0.20%
DFA Municipal Real Return Portfolio.................... 0.20%
DFA California Municipal Real Return Portfolio......... 0.20%
DFA Municipal Bond Portfolio........................... 0.20%
DFA Short-Term Municipal Bond Portfolio................ 0.20%
DFA Intermediate-Term Municipal Bond Portfolio......... 0.20%
DFA California Short-Term Municipal Bond Portfolio..... 0.20%
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 0.20%
DFA NY Municipal Bond Portfolio........................ 0.20%
DFA MN Municipal Bond Portfolio........................ 0.25%
DFA Oregon Municipal Bond Portfolio.................... 0.25%
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 Portfolios will remain in effect through February 28, 2020 (February
28, 2021 for the DFA Oregon Municipal Bond Portfolio), may only be terminated
by the Fund's Board of Directors prior to that date and shall continue in
effect from year to year thereafter unless terminated by the Fund or the
Advisor. During the year ended October 31, 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 Portfolios, is not obligated
to reimburse the Advisor for fees previously waived or expenses previously
assumed by the Advisor more than thirty-six months before the date of recovery.
With respect to each Fee Waiver Agreement, prior year 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.
NET
WAIVED
FEES/
EXPENSES PREVIOUSLY
RECOVERY ASSUMED WAIVED
OF (RECOVERED FEES/
PREVIOUSLY PREVIOUSLY EXPENSES
WAIVED WAIVED ASSUMED
EXPENSE FEES/ FEES/ SUBJECT TO
LIMITATION EXPENSES EXPENSES FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------- ---------- ----------
DFA Selectively Hedged Global Fixed Income Portfolio (1).... 0.25% -- -- --
263
NET
WAIVED
FEES/
EXPENSES PREVIOUSLY
RECOVERY ASSUMED WAIVED
OF (RECOVERED FEES/
PREVIOUSLY PREVIOUSLY EXPENSES
WAIVED WAIVED ASSUMED
EXPENSE FEES/ FEES/ SUBJECT TO
LIMITATION EXPENSES EXPENSES FUTURE
INSTITUTIONAL CLASS SHARES AMOUNT ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------- ---------- ----------
DFA World ex U.S. Government Fixed Income Portfolio (1)......... 0.20% $10 $ 286 $ 440
DFA Short-Term Government Portfolio (2)......................... 0.20% -- 19 19
DFA Short-Term Extended Quality Portfolio (1)................... 0.22% 10 774 1,275
DFA Intermediate-Term Extended Quality Portfolio (1)............ 0.22% 2 172 267
DFA Targeted Credit Portfolio (1)............................... 0.20% -- 267 530
DFA Global Core Plus Fixed Income Portfolio (3)................. 0.30% 63 11 65
DFA Investment Grade Portfolio (4).............................. 0.22% 45 841 1,370
DFA Diversified Fixed Income Portfolio (3)...................... 0.15% -- 1,147 2,377
DFA LTIP Portfolio (1).......................................... 0.15% 10 1 18
DFA Inflation-Protected Securities Portfolio (1)................ 0.20% -- -- --
DFA Short-Duration Real Return Portfolio (5).................... 0.24% 5 37 37
DFA Municipal Real Return Portfolio (1)......................... 0.27% -- -- --
DFA California Municipal Real Return Portfolio (3).............. 0.30% 22 (11) 11
DFA Municipal Bond Portfolio (1)................................ 0.23% 3 99 145
DFA Short-Term Municipal Bond Portfolio (2)..................... 0.30% -- -- --
DFA Intermediate-Term Municipal Bond Portfolio (1).............. 0.23% 1 101 101
DFA California Short-Term Municipal Bond Portfolio (1).......... 0.30% -- -- --
DFA California Intermediate-Term Municipal Bond Portfolio (1)... 0.23% -- 67 67
DFA NY Municipal Bond Portfolio (1)............................. 0.25% 1 45 55
DFA MN Municipal Bond Portfolio (1)............................. 0.32% 1 39 97
DFA Oregon Municipal Bond Portfolio (1)......................... 0.32% -- 10 10
(1)The Advisor has contractually agreed to waive all or a portion of its
management fee and assume the ordinary operating expenses of a class of each
of the Portfolios listed above (excluding the expenses that the Portfolio
incurs indirectly through its investment in other investment companies)
("Portfolio Expenses") to the extent necessary to limit the Portfolio
Expenses of a class of each Portfolio, on an annualized basis, to the rates
listed above as a percentage of a class of the respective Portfolio's
average net assets (the "Expense Limitation Amount"). At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for such class of shares of the Portfolio, the Advisor
retains the right to recover any fees previously waived and/or expenses
previously assumed to the extent that such recovery will not cause the
annualized Portfolio Expenses for such class of shares of the Portfolio to
exceed the applicable Expense Limitation Amount.
(2)The Advisor has contractually agreed to waive all or a portion of its
management fee to the extent necessary to reduce the ordinary operating
expenses (excluding expenses incurred through its investment in other
investment companies) ("Portfolio Expenses") of a class of each of the
Portfolios listed above so that such Portfolio Expenses, on an annualized
basis, do not exceed the rate reflected above for a class of each
264
such Portfolio (the "Expense Limitation Amount").At any time that the
Portfolio Expenses of a class of the Portfolio are less than the Expense
Limitation Amount for a class of the Portfolio, the Advisor retains the
right to recover any fees previously waived to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the Expense Limitation Amount.
(3)The Advisor has contractually agreed to waive all or a portion of its
management fee and to assume the ordinary operating expenses of a class of
the Portfolio (including the expenses that the Portfolio bears as a
shareholder of other funds managed by the Advisor, excluding money market
funds, but excluding the expenses that the Portfolio incurs indirectly
through its investment in unaffiliated investment companies) ("Portfolio
Expenses") to the extent necessary to limit the Portfolio Expenses of a
class of the Portfolio to the rate listed above as a percentage of the
average net assets of a class of the Portfolio on an annualized basis (the
"Expense Limitation Amount"). At any time that the Portfolio Expenses are
less than the Expense Limitation Amount of a class of shares of the
Portfolio, the Advisor retains the right to recover any fees previously
waived and/or expenses previously assumed to the extent that such recovery
will not cause the annualized Portfolio Expenses for such class of shares of
the Portfolio to exceed the Expense Limitation Amount.
(4)The Advisor has agreed to waive all or a portion of its management fee and
to assume the expenses of a class of the Portfolio (including the expenses
that the Portfolio bears as a shareholder of other funds managed by the
Advisor but excluding the expenses that the Portfolio incurs indirectly
through investment of its securities lending cash collateral in The DFA
Short Term Investment Fund (the "Money Market Series") and its investment in
unaffiliated investment companies) ("Portfolio Expenses") to the extent
necessary to limit Portfolio Expenses of a class of the Portfolio, on an
annualized basis, to the rate listed above as a percentage of the average
net assets of a class of the Portfolio (the "Expense Limitation Amount"). At
any time that the Portfolio Expenses are less than the Expense Limitation
Amount of a class of shares of the Portfolio, the Advisor retains the right
to recover any fees previously waived and/or expenses previously assumed to
the extent that such recovery will not cause the annualized Portfolio
Expenses for such class of shares of the Portfolio to exceed the Expense
Limitation Amount.
(5)The Advisor has contractually agreed to waive up to the full amount of the
Portfolio's management fee to the extent necessary to offset the
proportionate share of the management fees paid by the Portfolio through its
investment in other funds managed by the Advisor, except for the fees paid
through its investment of securities lending cash collateral in the Money
Market Series (the "Underlying Funds"). In addition, under the Fee Waiver
Agreement, the Advisor has also agreed to waive all or a portion of the
management fee and to assume the ordinary operating expenses of a class of
the Portfolio (including the expenses that the Portfolio bears as a
shareholder of other funds managed by the Advisor but excluding the expenses
that the Portfolio incurs indirectly through investment of its securities
lending cash collateral in the Money Market Series and the expenses that the
Portfolio incurs indirectly through its investment in unaffiliated
investment companies) ("Portfolio Expenses") to the extent necessary to
limit the Portfolio Expenses of a class of the Portfolio to the rate listed
above as a percentage of the average net assets of a class of the Portfolio
on an annualized basis (the "Expense Limitation Amount"). At any time that
the Portfolio's annualized Portfolio Expenses are less than the Portfolio's
Expense Limitation Amount, described above, the Advisor retains the right to
recover any fees previously waived and/or expenses previously assumed to the
extent that such recovery will not cause the annualized Portfolio Expenses
of a class of the Portfolio to exceed the Expense Limitation Amount. The
Advisor, however, shall not be reimbursed for any management fees previously
waived to offset the Portfolio's proportionate share of the management fees
paid by the Portfolio through its investment in other funds managed by the
Advisor.
EARNED INCOME CREDIT:
Additionally, the Portfolios have entered into arrangements with their
custodian whereby net interest earned on uninvested cash balances was used to
reduce a portion of the Portfolios' custody expenses. Custody expense in the
accompanying financial statements is presented before reduction for credits.
The impact of such credits is generally less than one basis point of each
Portfolio's net assets. During the year ended October 31, 2019, expenses
reduced were as follows (amounts in thousands):
FEES PAID
INDIRECTLY
----------
DFA Two-Year Global Fixed Income Portfolio............. $171
DFA Selectively Hedged Global Fixed Income Portfolio... 27
DFA Five-Year Global Fixed Income Portfolio............ 755
DFA World ex U.S. Government Fixed Income Portfolio.... 47
DFA Municipal Real Return Portfolio.................... 84
DFA California Municipal Real Return Portfolio......... 32
DFA Municipal Bond Portfolio........................... 38
DFA Short-Term Municipal Bond Portfolio................ 125
DFA Intermediate-Term Municipal Bond Portfolio......... 96
DFA California Short-Term Municipal Bond Portfolio..... 69
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 38
DFA NY Municipal Bond Portfolio........................ 23
DFA MN Municipal Bond Portfolio........................ 14
265
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):
DFA One-Year Fixed Income Portfolio.................... $400
DFA Two-Year Global Fixed Income Portfolio............. 319
DFA Selectively Hedged Global Fixed Income Portfolio... 33
DFA Five-Year Global Fixed Income Portfolio............ 354
DFA World ex U.S. Government Fixed Income Portfolio.... 13
DFA Short-Term Government Portfolio.................... 81
DFA Intermediate Government Fixed Income Portfolio..... 138
DFA Short-Term Extended Quality Portfolio.............. 103
DFA Intermediate-Term Extended Quality Portfolio....... 34
DFA Targeted Credit Portfolio.......................... 5
DFA Global Core Plus Fixed Income Portfolio............ 1
DFA Investment Grade Portfolio......................... 101
DFA Diversified Fixed Income Portfolio................. 4
DFA LTIP Portfolio..................................... 1
DFA Inflation-Protected Securities Portfolio........... 100
DFA Short-Duration Real Return Portfolio............... 14
DFA Municipal Real Return Portfolio.................... 7
DFA California Municipal Real Return Portfolio......... --
DFA Municipal Bond Portfolio........................... 4
DFA Short-Term Municipal Bond Portfolio................ 85
DFA Intermediate-Term Municipal Bond Portfolio......... 21
DFA California Short-Term Municipal Bond Portfolio..... 24
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 5
DFA NY Municipal Bond Portfolio........................ 1
DFA MN Municipal Bond Portfolio........................ --
DFA Oregon Municipal Bond Portfolio.................... --
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and in-kind redemptions (amounts in thousands):
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ---------- ----------
DFA One-Year Fixed Income Portfolio.......... $ 720,360 $1,842,777 $1,003,403 $4,198,441
DFA Two-Year Global Fixed Income Portfolio... 1,011,477 596,409 2,045,095 3,312,791
266
U.S. GOVERNMENT SECURITIES OTHER INVESTMENT SECURITIES
-------------------------- ---------------------------
PURCHASES SALES PURCHASES SALES
---------- ---------- ---------- ----------
DFA Selectively Hedged Global Fixed Income Portfolio... $ 241,380 $ 126,671 $ 465,593 $ 691,324
DFA Five-Year Global Fixed Income Portfolio............ 1,733,475 -- 4,807,726 8,318,063
DFA World ex U.S. Government Fixed Income Portfolio.... 3,048 5,867 916,783 616,184
DFA Short-Term Government Portfolio.................... 807,231 2,427,017 -- --
DFA Intermediate Government Fixed Income Portfolio..... 1,497,428 1,277,928 -- --
DFA Short-Term Extended Quality Portfolio.............. 989,938 963 1,850,168 2,825,383
DFA Intermediate-Term Extended Quality Portfolio....... 53,618 54,464 280,191 537,533
DFA Targeted Credit Portfolio.......................... 10,641 -- 182,945 116,397
DFA Global Core Plus Fixed Income Portfolio............ 8,984 15,354 974,317 108,967
DFA Investment Grade Portfolio......................... 1,264,753 1,241,283 863,847 591,860
DFA Diversified Fixed Income Portfolio................. 71,746 17,314 87,940 4,000
DFA LTIP Portfolio..................................... 82,166 74,428 -- --
DFA Inflation-Protected Securities Portfolio........... 1,309,659 1,277,458 -- --
DFA Short-Duration Real Return Portfolio............... 253,351 127,795 357,183 470,658
DFA Municipal Real Return Portfolio.................... -- -- 47,210 77,760
DFA California Municipal Real Return Portfolio......... -- -- 21,595 15,009
DFA Municipal Bond Portfolio........................... -- -- 112,499 61,525
DFA Short-Term Municipal Bond Portfolio................ -- -- 1,827,554 2,240,859
DFA Intermediate-Term Municipal Bond Portfolio......... -- -- 472,980 228,133
DFA California Short-Term Municipal Bond Portfolio..... -- -- 1,049,949 1,037,943
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ -- -- 173,170 89,635
DFA NY Municipal Bond Portfolio........................ -- -- 44,683 39,365
DFA MN Municipal Bond Portfolio........................ -- -- 10,025 9,204
DFA Oregon Municipal Bond Portfolio.................... -- -- 20,175 --
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
267
The amounts presented below may differ from the respective amounts
presented in the corresponding Schedule of Investments, 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 AS
BALANCE AT GAIN/ UNREALIZED BALANCE AT OF
OCTOBER 31, PURCHASES AT PROCEEDS (LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ------------ ---------- -------- ------------- ----------- ----------- -------- -------------
DFA ONE-YEAR
FIXED INCOME
PORTFOLIO
The DFA Short Term
Investment Fund... $177,374 $2,747,185 $2,792,242 $23 $(9) $132,331 11,436 $4,136 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $177,374 $2,747,185 $2,792,242 $23 $(9) $132,331 11,436 $4,136 --
======== ========== ========== === === ======== ====== ====== ==
DFA TWO-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
The DFA Short Term
Investment Fund... $ 80,883 $ 479,847 $ 552,469 $ 3 $(2) $ 8,262 714 $ 665 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $ 80,883 $ 479,847 $ 552,469 $ 3 $(2) $ 8,262 714 $ 665 --
======== ========== ========== === === ======== ====== ====== ==
DFA SELECTIVELY
HEDGED GLOBAL
FIXED INCOME
PORTFOLIO
The DFA Short Term
Investment Fund... $ 10,691 $ 247,537 $ 251,242 -- $ 1 $ 6,987 604 $ 219 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $ 10,691 $ 247,537 $ 251,242 -- $ 1 $ 6,987 604 $ 219 --
======== ========== ========== === === ======== ====== ====== ==
DFA FIVE-YEAR
GLOBAL FIXED
INCOME PORTFOLIO
The DFA Short Term
Investment Fund... $ 56,718 $ 302,163 $ 348,515 -- -- $ 10,366 896 $ 450 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $ 56,718 $ 302,163 $ 348,515 -- -- $ 10,366 896 $ 450 --
======== ========== ========== === === ======== ====== ====== ==
DFA SHORT-TERM
EXTENDED QUALITY
PORTFOLIO
The DFA Short Term
Investment Fund... $ 72,662 $ 996,102 $1,015,262 $(1) $ 3 $ 53,504 4,624 $1,837 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $ 72,662 $ 996,102 $1,015,262 $(1) $ 3 $ 53,504 4,624 $1,837 --
======== ========== ========== === === ======== ====== ====== ==
DFA INTERMEDIATE-
TERM EXTENDED
QUALITY PORTFOLIO
The DFA Short Term
Investment Fund... $ 92,092 $ 374,935 $ 356,625 $(4) $ 9 $110,406 9,542 $2,326 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $ 92,092 $ 374,935 $ 356,625 $(4) $ 9 $110,406 9,542 $2,326 --
======== ========== ========== === === ======== ====== ====== ==
DFA TARGETED
CREDIT PORTFOLIO
The DFA Short Term
Investment Fund... $ 17,485 $ 116,737 $ 113,309 -- $ 3 $ 20,916 1,808 $ 415 --
-------- ---------- ---------- --- --- -------- ------ ------ --
TOTAL............... $ 17,485 $ 116,737 $ 113,309 -- $ 3 $ 20,916 1,808 $ 415 --
======== ========== ========== === === ======== ====== ====== ==
268
NET
REALIZED CHANGE IN SHARES AS
BALANCE AT GAIN/ UNREALIZED BALANCE AT OF
OCTOBER 31, PURCHASES AT PROCEEDS (LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 COST FROM SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- ------------ ---------- -------- ------------- ----------- ----------- -------- -------------
DFA GLOBAL CORE
PLUS FIXED INCOME
PORTFOLIO
The DFA Short Term
Investment Fund... $ 12,149 $ 200,745 $ 137,083 $ (3) $ 7 $ 75,815 6,552 -- --
-------- ---------- ---------- ----- ------- -------- ------ ------- --
TOTAL............... $ 12,149 $ 200,745 $ 137,083 $ (3) $ 7 $ 75,815 6,552 -- --
======== ========== ========== ===== ======= ======== ====== ======= ==
DFA INVESTMENT
GRADE PORTFOLIO
The DFA Short Term
Investment Fund... $328,173 $3,400,611 $3,035,240 $ 13 $ 57 $693,614 59,944 $12,630 --
-------- ---------- ---------- ----- ------- -------- ------ ------- --
TOTAL............... $328,173 $3,400,611 $3,035,240 $ 13 $ 57 $693,614 59,944 $12,630 --
======== ========== ========== ===== ======= ======== ====== ======= ==
DFA DIVERSIFIED
FIXED INCOME
PORTFOLIO
DFA Intermediate
Government Fixed
Income............ $404,763 $ 87,940 $ 4,001 $(338) $40,738 $529,102 40,731 $10,290 --
DFA Two-Year Global
Fixed Income...... 243,515 69,460 -- -- 2,536 315,511 31,457 6,510 --
DFA Short Term
Investment Fund... -- 27,963 27,963 -- -- -- -- -- --
-------- ---------- ---------- ----- ------- -------- ------ ------- --
TOTAL............... $648,278 $ 185,363 $ 31,964 $(338) $43,274 $844,613 72,188 $16,800 --
======== ========== ========== ===== ======= ======== ====== ======= ==
DFA SHORT-DURATION
REAL RETURN
PORTFOLIO
The DFA Short Term
Investment Fund... $ 49,993 $ 244,086 $ 257,114 $ 2 $ 3 $ 36,970 3,195 $ 661 --
-------- ---------- ---------- ----- ------- -------- ------ ------- --
TOTAL............... $ 49,993 $ 244,086 $ 257,114 $ 2 $ 3 $ 36,970 3,195 $ 661 --
======== ========== ========== ===== ======= ======== ====== ======= ==
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.
269
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 LONG-TERM
SHORT-TERM CAPITAL TAX EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ---------- --------
DFA One-Year Fixed Income Portfolio
2018................................................. $134,236 -- -- $134,236
2019................................................. 170,989 -- -- 170,989
DFA Two-Year Global Fixed Income Portfolio
2018................................................. 67,032 -- -- 67,032
2019................................................. 141,446 -- -- 141,446
DFA Selectively Hedged Global Fixed Income Portfolio
2018................................................. 19,847 -- -- 19,847
2019................................................. 37,788 -- -- 37,788
DFA Five-Year Global Fixed Income Portfolio
2018................................................. 217,046 $9,217 -- 226,263
2019................................................. 619,058 -- -- 619,058
DFA World ex U.S. Government Fixed Income Portfolio
2018................................................. 1,574 -- -- 1,574
2019................................................. 79,500 4,329 -- 83,829
DFA Short-Term Government Portfolio
2018................................................. 32,064 -- -- 32,064
2019................................................. 44,098 -- -- 44,098
DFA Intermediate Government Fixed Income Portfolio
2018................................................. 102,138 4,998 -- 107,136
2019................................................. 116,094 -- -- 116,094
DFA Short-Term Extended Quality Portfolio
2018................................................. 100,156 4,054 -- 104,210
2019................................................. 142,314 -- -- 142,314
DFA Intermediate-Term Extended Quality Portfolio
2018................................................. 58,070 5,639 -- 63,709
2019................................................. 55,145 -- -- 55,145
DFA Targeted Credit Portfolio
2018................................................. 13,620 906 -- 14,526
2019................................................. 16,395 -- -- 16,395
DFA Global Core Plus Fixed Income Portfolio
2018................................................. 2,471 -- -- 2,471
2019................................................. 35,318 -- -- 35,318
DFA Investment Grade Portfolio
2018................................................. 212,294 -- -- 212,294
2019................................................. 241,381 -- -- 241,381
DFA Diversified Fixed Income Portfolio
2018................................................. 13,444 98 -- 13,542
2019................................................. 20,185 19 -- 20,204
DFA LTIP Portfolio
2018................................................. 5,731 -- -- 5,731
2019................................................. 4,624 829 -- 5,453
270
NET INVESTMENT
INCOME AND LONG-TERM
SHORT-TERM CAPITAL TAX EXEMPT
CAPITAL GAINS GAINS INCOME TOTAL
-------------- --------- ---------- --------
DFA Inflation-Protected Securities Portfolio
2018...................................................... $141,539 -- -- $141,539
2019...................................................... 96,788 -- -- 96,788
DFA Short-Duration Real Return Portfolio
2018...................................................... 19,458 -- -- 19,458
2019...................................................... 38,949 -- -- 38,949
DFA Municipal Real Return Portfolio
2018...................................................... -- -- $12,044 12,044
2019...................................................... -- -- 14,027 14,027
DFA California Municipal Real Return Portfolio
2018...................................................... -- -- 1,086 1,086
2019...................................................... -- -- 1,907 1,907
DFA Municipal Bond Portfolio
2018...................................................... -- -- 5,602 5,602
2019...................................................... -- -- 7,271 7,271
DFA Short-Term Municipal Bond Portfolio
2018...................................................... -- -- 27,517 27,517
2019...................................................... -- -- 32,120 32,120
DFA Intermediate-Term Municipal Bond Portfolio
2018...................................................... -- -- 26,332 26,332
2019...................................................... -- -- 30,101 30,101
DFA California Short-Term Municipal Bond Portfolio
2018...................................................... -- -- 11,064 11,064
2019...................................................... -- -- 14,735 14,735
DFA California Intermediate-Term Municipal Bond Portfolio
2018...................................................... -- -- 5,751 5,751
2019...................................................... -- -- 7,150 7,150
DFA NY Municipal Bond Portfolio
2018...................................................... -- -- 1,109 1,109
2019...................................................... -- -- 1,493 1,493
DFA MN Municipal Bond Portfolio
2018...................................................... -- -- 698 698
2019...................................................... -- -- 796 796
DFA Oregon Municipal Bond Portfolio
2019...................................................... -- -- 11 11
The DFA Oregon Municipal Bond Portfolio commenced operations on
September 10, 2019, and did not pay any distributions for the year ended
October 31, 2018.
271
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 LONG-TERM
SHORT-TERM CAPITAL
CAPITAL GAINS GAINS TOTAL
-------------- --------- --------
DFA One-Year Fixed Income Portfolio.................... $ (2,827) -- $ (2,827)
DFA Two-Year Global Fixed Income Portfolio............. (487) -- (487)
DFA Selectively Hedged Global Fixed Income Portfolio... (1,646) -- (1,646)
DFA Five-Year Global Fixed Income Portfolio............ (32,284) -- (32,284)
DFA World ex U.S. Government Fixed Income Portfolio.... (1,758) -- (1,758)
DFA Short-Term Government Portfolio.................... (1,432) -- (1,432)
DFA Intermediate Government Fixed Income Portfolio..... (2,284) -- (2,284)
DFA Short-Term Extended Quality Portfolio.............. (7,929) -- (7,929)
DFA Intermediate-Term Extended Quality Portfolio....... (793) -- (793)
DFA Targeted Credit Portfolio.......................... (1,772) -- (1,772)
DFA Global Core Plus Fixed Income Portfolio............ (1,900) -- (1,900)
DFA Investment Grade Portfolio......................... (8,244) -- (8,244)
DFA Diversified Fixed Income Portfolio................. (179) -- (179)
DFA LTIP Portfolio..................................... (261) -- (261)
DFA Inflation-Protected Securities Portfolio........... (4,638) -- (4,638)
DFA Short-Duration Real Return Portfolio............... (3,311) -- (3,311)
DFA Municipal Real Return Portfolio.................... -- -- --
DFA California Municipal Real Return Portfolio......... -- -- --
DFA Municipal Bond Portfolio........................... -- -- --
DFA Short-Term Municipal Bond Portfolio................ -- -- --
DFA Intermediate-Term Municipal Bond Portfolio......... -- -- --
DFA California Short-Term Municipal Bond Portfolio..... -- -- --
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ -- -- --
DFA NY Municipal Bond Portfolio........................ -- -- --
DFA MN Municipal Bond Portfolio........................ -- -- --
DFA Oregon Municipal Bond Portfolio.................... -- -- --
As of October 31, 2019, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
------------- ------------- ------------- -------------- -------------
DFA One-Year Fixed Income Portfolio.......... $ 1,289 -- $ (12,589) $ 4,989 $ (6,311)
DFA Two-Year Global Fixed Income Portfolio... 74,653 -- (22,082) (13,691) 38,880
DFA Selectively Hedged Global Fixed Income
Portfolio.................................. 27,861 -- (76,545) (799) (49,483)
DFA Five-Year Global Fixed Income Portfolio.. 323,204 -- (145,964) (241,736) (64,496)
DFA World ex U.S. Government Fixed Income
Portfolio.................................. 46,332 $12,934 -- 47,969 107,235
272
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
------------- ------------- ------------- -------------- -------------
DFA Short-Term Government Portfolio.................... $ 3,957 -- $(24,930) $ (597) $(21,570)
DFA Intermediate Government Fixed Income Portfolio..... 12,858 -- (22,991) 243,465 233,332
DFA Short-Term Extended Quality Portfolio.............. 89,114 -- (11,962) (19,223) 57,929
DFA Intermediate-Term Extended Quality Portfolio....... 482 -- (13,399) 90,323 77,406
DFA Targeted Credit Portfolio.......................... 11,388 $ 72 -- 2,304 13,764
DFA Global Core Plus Fixed Income Portfolio............ 21,979 -- (2,784) 42,747 61,942
DFA Investment Grade Portfolio......................... 40,240 -- (59,642) 467,657 448,255
DFA Diversified Fixed Income Portfolio................. 288 -- (478) 27,309 27,119
DFA LTIP Portfolio..................................... 153 -- (1,188) 20,877 19,842
DFA Inflation-Protected Securities Portfolio........... 1,664 3,623 -- 146,073 151,360
DFA Short-Duration Real Return Portfolio............... 32,139 -- (21,875) (5,459) 4,805
DFA Municipal Real Return Portfolio.................... -- -- (2,524) 15,287 12,763
DFA California Municipal Real Return Portfolio......... -- -- (67) 605 538
DFA Municipal Bond Portfolio........................... -- -- (48) 9,829 9,781
DFA Short-Term Municipal Bond Portfolio................ -- -- (151) 5,510 5,359
DFA Intermediate-Term Municipal Bond Portfolio......... -- -- (327) 55,265 54,938
DFA California Short-Term Municipal Bond Portfolio..... -- -- (636) 5,325 4,689
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ -- -- (134) 13,579 13,445
DFA NY Municipal Bond Portfolio........................ -- -- (10) 1,100 1,090
DFA MN Municipal Bond Portfolio........................ -- -- (43) 479 436
DFA Oregon Municipal Bond Portfolio.................... -- -- -- 0 --
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Portfolios after October 31, 2011, will not be subject
to expiration and will retain their character as either short-term or long-term
capital losses. Additionally, such losses must be used prior to the losses
incurred in the years preceding enactment. As of October 31, 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
--------- --------
DFA One-Year Fixed Income Portfolio.......... $ 12,589 $ 12,589
DFA Two-Year Global Fixed Income Portfolio... 22,082 22,082
DFA Selectively Hedged Global Fixed Income
Portfolio.................................. 76,545 76,545
DFA Five-Year Global Fixed Income Portfolio.. 145,964 145,964
273
UNLIMITED TOTAL
--------- -------
DFA World ex U.S. Government Fixed Income Portfolio......... -- --
DFA Short-Term Government Portfolio......................... $24,930 $24,930
DFA Intermediate Government Fixed Income Portfolio.......... 22,991 22,991
DFA Short-Term Extended Quality Portfolio................... 11,962 11,962
DFA Intermediate-Term Extended Quality Portfolio............ 13,399 13,399
DFA Targeted Credit Portfolio............................... -- --
DFA Global Core Plus Fixed Income Portfolio................. 2,784 2,784
DFA Investment Grade Portfolio.............................. 59,642 59,642
DFA Diversified Fixed Income Portfolio...................... 478 478
DFA LTIP Portfolio.......................................... 1,188 1,188
DFA Inflation-Protected Securities Portfolio................ -- --
DFA Short-Duration Real Return Portfolio.................... 21,875 21,875
DFA Municipal Real Return Portfolio......................... 2,524 2,524
DFA California Municipal Real Return Portfolio.............. 67 67
DFA Municipal Bond Portfolio................................ 48 48
DFA Short-Term Municipal Bond Portfolio..................... 151 151
DFA Intermediate-Term Municipal Bond Portfolio.............. 327 327
DFA California Short-Term Municipal Bond Portfolio.......... 636 636
DFA California Intermediate-Term Municipal Bond Portfolio... 134 134
DFA NY Municipal Bond Portfolio............................. 10 10
DFA MN Municipal Bond Portfolio............................. 43 43
DFA Oregon Municipal Bond 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):
DFA One-Year Fixed Income Portfolio.................... $ 7,819
DFA Two-Year Global Fixed Income Portfolio............. 6,397
DFA Selectively Hedged Global Fixed Income Portfolio... 215
DFA Intermediate Government Fixed Income Portfolio..... 6,762
DFA Short-Term Extended Quality Portfolio.............. 1,705
DFA Intermediate-Term Extended Quality Portfolio....... 679
DFA Targeted Credit Portfolio.......................... 684
DFA Inflation-Protected Securities Portfolio........... 15,577
DFA Municipal Real Return Portfolio.................... 154
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 One-Year Fixed Income Portfolio.................... $ 7,533,099 $ 5,031 $ (624) $ 4,407
DFA Two-Year Global Fixed Income Portfolio............. 5,498,705 24,477 (38,204) (13,727)
DFA Selectively Hedged Global Fixed Income Portfolio... 1,237,268 10,575 (11,384) (809)
DFA Five-Year Global Fixed Income Portfolio............ 15,662,135 67,180 (206,992) (139,812)
274
NET
UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION)
---------- ------------ -------------- --------------
DFA World ex U.S. Government Fixed Income Portfolio.... $1,425,526 $ 72,718 $ (5,637) $ 67,081
DFA Short-Term Government Portfolio.................... 2,399,992 149 (745) (596)
DFA Intermediate Government Fixed Income Portfolio..... 5,318,431 246,711 (3,246) 243,465
DFA Short-Term Extended Quality Portfolio.............. 6,563,270 43,448 (62,670) (19,222)
DFA Intermediate-Term Extended Quality Portfolio....... 1,711,465 91,220 (897) 90,323
DFA Targeted Credit Portfolio.......................... 776,237 11,631 (6,234) 5,397
DFA Global Core Plus Fixed Income Portfolio............ 1,532,927 48,462 (6,066) 42,396
DFA Investment Grade Portfolio......................... 9,962,554 479,722 (12,065) 467,657
DFA Diversified Fixed Income Portfolio................. 1,037,414 28,197 (888) 27,309
DFA LTIP Portfolio..................................... 193,161 20,877 -- 20,877
DFA Inflation-Protected Securities Portfolio........... 4,742,158 152,914 (6,842) 146,072
DFA Short-Duration Real Return Portfolio............... 1,516,883 5,918 (11,373) (5,455)
DFA Municipal Real Return Portfolio.................... 857,292 32,217 (16,929) 15,288
DFA California Municipal Real Return Portfolio......... 128,044 3,961 (3,356) 605
DFA Municipal Bond Portfolio........................... 491,441 10,037 (207) 9,830
DFA Short-Term Municipal Bond Portfolio................ 2,611,556 5,834 (324) 5,510
DFA Intermediate-Term Municipal Bond Portfolio......... 1,981,743 55,593 (328) 55,265
DFA California Short-Term Municipal Bond Portfolio..... 1,207,810 5,695 (370) 5,325
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 503,484 13,668 (89) 13,579
DFA NY Municipal Bond Portfolio........................ 118,788 1,123 (23) 1,100
DFA MN Municipal Bond Portfolio........................ 72,468 496 (17) 479
DFA Oregon Municipal Bond Portfolio.................... 22,223 28 (27) 1
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' investment objectives and policies, the
Portfolios may invest in certain financial instruments that have off-balance
sheet risk in excess of the amounts recognized in the financial statements and
concentrations of credit and market risk. These instruments and their
significant corresponding risks are described below:
1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain
considerations and risks not typically associated with investments in the
United States of America, including the possibility of future political and
economic developments and the level of foreign governmental supervision and
regulation of foreign securities markets. These markets are generally smaller,
less liquid and more volatile than the major securities markets in the United
States of America. Consequently, acquisition and disposition of international
securities held by the Portfolios may be inhibited.
275
2. INFLATION PROTECTION RISKS: Because the interest and/or principal
payments on an inflation-protected security are adjusted periodically for
changes in inflation, the income distributed by the DFA Diversified Fixed
Income Portfolio, DFA LTIP Portfolio, DFA Inflation-Protected Securities
Portfolio, DFA Short-Duration Real Return Portfolio, DFA Municipal Real Return
Portfolio and DFA California Municipal Real Return Portfolio may be irregular.
Although the U.S. Treasury guarantees to pay at least the original face value
of any inflation-protected securities the Treasury issues, other issuers may
not offer the same guarantee. Also, inflation-protected securities, including
those issued by the U.S. Treasury, are not protected against deflation. As a
result, in a period of deflation, the principal and income of
inflation-protected securities held by a Portfolio will decline and the
Portfolio may suffer a loss during such periods. While inflation-protected
securities are expected to be protected from long-term inflationary trends,
short-term increases in inflation may lead to a decline in a Portfolio's value.
For example, if interest rates rise due to reasons other than inflation, the
Portfolio's investment in these securities may not be protected to the extent
that the increase is not reflected in the securities' inflation measures.
Additionally, positive adjustments to principal generally will result in
taxable income to a Portfolio at the time of such adjustments (which generally
would be distributed by the Portfolio as part of its taxable dividends), even
though the principal amount is not paid until maturity. The current market
value of inflation-protected securities is not guaranteed and will fluctuate.
DERIVATIVE FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
Portfolios.
3. FORWARD CURRENCY CONTRACTS: The Portfolios listed below may acquire and
sell forward currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies (foreign exchange rate
risk). The decision to hedge a Portfolio's currency exposure with respect to a
foreign market will be based primarily on the Portfolio's existing exposure to
a given foreign currency. Each contract is valued daily and the change in value
is recorded by the Portfolio as an unrealized gain or loss, which is presented
in the Statement of Operations as the change in unrealized appreciation or
depreciation of forward currency contracts. When the contract is closed or
offset with the same counterparty, the Portfolio records a realized gain or
loss equal to the change in the value of the contract when it was opened and
the value at the time it was closed or offset. This is presented in the
Statement of Operations as a net realized gain or loss on forward currency
contracts. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of foreign currency relative to the
U.S. dollar.
4. SWAP AGREEMENTS: The Portfolios noted below may enter into inflation swap
agreements to seek inflation protection. Inflation swap agreements are
contracts in which one party agrees to pay the cumulative percentage increase
in a price index (the Consumer Price Index with respect to CPI swaps) over the
term of the swap (with some lag on the inflation index), and the other pays a
compounded fixed rate. Inflation swap agreements may be used by the Portfolios
to hedge the inflation risk in nominal bonds (i.e. non-inflation indexed bonds)
thereby creating "synthetic" inflation-indexed bonds. Among other reasons, one
factor that may lead to changes in the values of inflation swap agreements are
changes in real interest rates. Real interest rates are tied to the
relationship between nominal interest rates and the rate of inflation. If
nominal interest rates increase at a faster rate than inflation, real interest
rates may rise, which may lead to a change in the value of an inflation swap
agreement. Additionally, payments received by the Portfolios from inflation
swap agreements will result in taxable income, either as ordinary income or
capital gains, which will increase the amount of taxable distributions received
by shareholders.
The Advisor and the Fund do not believe that a Portfolio's obligations under
swap contracts are senior securities and, accordingly, the Portfolio will not
treat them as being subject to the Portfolio's borrowing or senior securities
restrictions. Most swap agreements entered into by the Portfolio will calculate
the obligations of the parties to the agreement on a "net" basis, which means
that the two payment streams are netted out, with the Portfolio receiving or
paying, as the case may be, only the net amount of the two payments. The
Portfolio's current obligations under a swap agreement will be accrued daily
(offset against any amounts owed to the Portfolio) and any accrued but unpaid
net amounts owed to a swap counterparty will be covered by the segregation of
assets determined to be liquid to avoid any potential leveraging of the
Portfolio's portfolio. To the extent that a Portfolio reasonably expects a swap
cannot be sold or disposed of in current market conditions in seven calendar
days or less without the sale or
276
disposition significantly changing the market value of the investment, the
Portfolio will treat the swap as illiquid and subject to its overall limit on
illiquid investments of 15% of the Portfolio's net assets. Inflation swap
agreements are not currently subject to mandatory central clearing and
exchange-trading.
Uncleared swaps are typically executed bilaterally with a swap dealer rather
than traded on exchanges. Parties to uncleared swaps face greater counterparty
credit risk than those engaging in cleared swaps since performance of uncleared
swap obligations is the responsibility only of the swap counterparty rather
than a clearing house, as is the case with cleared swaps. As a result, a
Portfolio bears the risk of loss of the amount expected to be received under a
swap agreement in the event of the default, insolvency or bankruptcy of a swap
agreement counterparty beyond any collateral received. In such an event, the
Portfolio will have contractual remedies pursuant to the swap agreements, but
bankruptcy and insolvency laws could affect the Portfolio's rights as a
creditor.
5. REPURCHASE AGREEMENTS: The Portfolios may engage in repurchase agreement
transactions with institutions that the Advisor has determined are
creditworthy. The Portfolios, through their custodian, receive delivery of
underlying securities collateralizing a repurchase agreement. Collateral for
certain tri-party repurchase agreements is held at the counterparty's custodian
in a segregated account for the benefit of the Portfolios and the counterparty.
The counterparty will be required to maintain collateral with a value at least
equal, at all times, to the value of the repurchase obligation including
interest. A repurchase agreement transaction involves certain risks in the
event of default or insolvency of the counterparty. These risks include
possible delay or restrictions upon the Portfolios' ability to dispose of the
collateral and a possible decline in the value of the collateral during the
period while the Portfolios seek to assert its rights.
Repurchase agreements ("RA") permit the Portfolios, under certain
circumstances including an event of default (such as bankruptcy or insolvency),
to offset payables and/or receivables under the RA with collateral held and/or
posted to the counterparty and create one single net payment due to or from the
Portfolios. However, bankruptcy or insolvency laws of a particular jurisdiction
may impose restrictions on or prohibitions against such a right of offset in
the event of the RA counterparty's bankruptcy or insolvency. Pursuant to the
terms of the RA, the Portfolios receive securities as collateral with a market
value in excess of the repurchase price to be received by the Portfolios upon
the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of
the RA counterparty, the Portfolios would recognize a liability with respect to
such excess collateral to reflect the Portfolios' obligation under bankruptcy
law to return the excess to the counterparty.
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 SWAP
CONTRACTS* CONTRACTS***
----------- ------------
DFA Two-Year Global Fixed Income Portfolio............. $ 2,274,441 $ --
DFA Selectively Hedged Global Fixed Income Portfolio... 639,981 --
DFA Five-Year Global Fixed Income Portfolio............ 13,737,899 --
DFA World ex U.S. Government Fixed Income Portfolio.... 1,343,301 --
DFA Short-Term Extended Quality Portfolio.............. 1,748,929 --
DFA Targeted Credit Portfolio.......................... 247,169 --
DFA Global Core Plus Fixed Income Portfolio............ 644,280 --
DFA Investment Grade Portfolio......................... 386,465 --
DFA Short-Duration Real Return Portfolio............... 331,938 1,325,077
DFA Municipal Real Return Portfolio.................... -- 795,385
DFA California Municipal Real Return Portfolio......... -- 119,077
* Average amount of Currency Purchased/Sold in USD
***Average Notional Value of agreements
277
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 AT FORWARD
OCTOBER 31, CURRENCY SWAP
2019 CONTRACTS (1) CONTRACTS (2)
----------- ------------- -------------
DFA Two-Year Global Fixed Income Portfolio............. $ 2,299 $ 2,299 --
DFA Selectively Hedged Global Fixed Income Portfolio... 435 435 --
DFA Five-Year Global Fixed Income Portfolio............ 25,285 25,285 --
DFA World ex U.S. Government Fixed Income Portfolio.... 1,000 1,000 --
DFA Short-Term Extended Quality Portfolio.............. 999 999 --
DFA Targeted Credit Portfolio.......................... 409 409 --
DFA Global Core Plus Fixed Income Portfolio............ 746 746 --
DFA Investment Grade Portfolio......................... 656 656 --
DFA Short-Duration Real Return Portfolio............... 3,588 94 $3,494
DFA Municipal Real Return Portfolio.................... 4,549 -- 4,549
LIABILITY DERIVATIVES VALUE
--------------------------------------
TOTAL VALUE
AT FORWARD
OCTOBER 31, CURRENCY SWAP
2019 CONTRACTS (3) CONTRACTS (4)
----------- ------------- -------------
DFA Two-Year Global Fixed Income Portfolio............. $ (34,517) $ (34,517) --
DFA Selectively Hedged Global Fixed Income Portfolio... (5,322) (5,322) --
DFA Five-Year Global Fixed Income Portfolio............ (127,418) (127,418) --
DFA World ex U.S. Government Fixed Income Portfolio.... (20,279) (20,279) --
DFA Short-Term Extended Quality Portfolio.............. (24,012) (24,012) --
DFA Targeted Credit Portfolio.......................... (3,508) (3,508) --
DFA Global Core Plus Fixed Income Portfolio............ (15,003) (15,003) --
DFA Investment Grade Portfolio......................... (6,729) (6,729) --
DFA Short-Duration Real Return Portfolio............... (19,994) (3,505) $(16,489)
DFA Municipal Real Return Portfolio.................... (16,912) -- (16,912)
DFA California Municipal Real Return Portfolio......... (3,346) -- (3,346)
(1)Presented on Statements of Assets and Liabilities as Unrealized Gain on
Forward Currency Contracts.
(2)Presented on Statements of Assets and Liabilities as Unrealized Gain on Swap
Contracts.
(3)Presented on Statements of Assets and Liabilities as Unrealized Loss on
Forward Currency Contracts.
(4)Presented on Statements of Assets and Liabilities as Unrealized Loss on Swap
Contracts.
The following is a summary of the realized and change in unrealized gains
and losses from the Portfolios' derivative instrument holdings categorized by
primary risk exposure through the year ended October 31, 2019 (amounts in
thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES
-----------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS (1) CONTRACTS (2)
------- ------------- -------------
DFA Two-Year Global Fixed Income Portfolio... $91,348 $91,348 --
278
REALIZED GAIN (LOSS) ON DERIVATIVES
------------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS (1) CONTRACTS (2)
-------- ------------- -------------
DFA Selectively Hedged Global Fixed Income Portfolio... $ 32,151 $ 32,151 --
DFA Five-Year Global Fixed Income Portfolio............ 806,336 806,336 --
DFA World ex U.S. Government Fixed Income Portfolio.... 79,266 79,266 --
DFA Short-Term Extended Quality Portfolio.............. 113,274 113,274 --
DFA Targeted Credit Portfolio.......................... 14,795 14,795 --
DFA Investment Grade Portfolio......................... 24,616 24,616 --
DFA Short-Duration Real Return Portfolio............... 22,873 25,856 $(2,983)
DFA Municipal Real Return Portfolio.................... 320 -- 320
DFA California Municipal Real Return Portfolio......... (48) -- (48)
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES
-------------------------------------
FORWARD
CURRENCY SWAP
TOTAL CONTRACTS (3) CONTRACTS (4)
--------- ------------- -------------
DFA Two-Year Global Fixed Income Portfolio............. $ (46,587) $ (46,587) --
DFA Selectively Hedged Global Fixed Income Portfolio... (10,404) (10,404) --
DFA Five-Year Global Fixed Income Portfolio............ (329,331) (329,331) --
DFA World ex U.S. Government Fixed Income Portfolio.... (37,331) (37,331) --
DFA Short-Term Extended Quality Portfolio.............. (44,073) (44,073) --
DFA Targeted Credit Portfolio.......................... (6,974) (6,974) --
DFA Global Core Plus Fixed Income Portfolio............ (21,664) (21,664) --
DFA Investment Grade Portfolio......................... (10,327) (10,327) --
DFA Short-Duration Real Return Portfolio............... (29,698) (9,099) $(20,599)
DFA Municipal Real Return Portfolio.................... (25,584) -- (25,584)
DFA California Municipal Real Return Portfolio......... (3,484) -- (3,484)
(1)Presented on Statements of Operations as Net Realized Gain (Loss) on:
Forward Currency Contracts.
(2)Presented on Statements of Operations as Net Realized Gain (Loss) on: Swap
Contracts.
(3)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Forward Currency Contracts.
(4)Presented on Statements of Operations as Change in Unrealized Appreciation
(Depreciation) of: Swap Contracts.
OFFSETTING OF DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
In order to better define its contractual rights and to secure rights that
will help the Fund mitigate its counterparty risk, the Fund entered into an
International Swaps and Derivatives Association, Inc. Master Agreement (ISDA
Master Agreement) or a similar agreement with certain of its derivative
contract counterparties. An ISDA Master Agreement is a bilateral agreement
between the Fund and a counterparty that governs over-the-counter (OTC)
derivatives and forward currency contracts and typically contains, among other
things, provisions in the event of a default and/or termination event and may
also include collateral posting items. Under an ISDA Master Agreement, the Fund
may, under certain circumstances, offset with the counterparty certain
derivative financial instruments' payables and/or receivables with collateral
held and/or posted, if any, and create one single net payment. The provisions
of the ISDA Master Agreement typically permit a single net payment in the event
of a default (close-out), including the bankruptcy or insolvency of the
counterparty. However, bankruptcy or insolvency laws of a particular
jurisdiction may impose restrictions on or prohibitions against the right of
offset in bankruptcy, insolvency, or other events.
279
For financial reporting purposes, the Fund does not offset derivative assets
and derivative liabilities that are subject to netting arrangements in the
Statements of Assets and Liabilities.
The Portfolios are subject to master netting agreements ("MNA") with certain
counterparties that govern the terms of derivative transactions and reduce the
counterparty risk associated with such transactions by specifying offsetting
mechanisms and collateral posting arrangements at pre-arranged exposure levels.
Since different types of transactions have different mechanics and are
sometimes traded out of different legal entities of a particular counterparty
organization, each type of transaction may be covered by a different MNA,
possibly resulting in the need for multiple agreements with a single
counterparty. As the MNA's are specific to unique operations of different asset
types, they allow each Portfolio to close out and net its total exposure to a
counterparty in the event of a default with respect to all the transactions
governed under a single MNA with a counterparty. Certain MNA's contain
provisions which allow for the net settlement of receivable and payable
positions with the same counterparty if defined conditions are met.
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):
NET AMOUNTS GROSS AMOUNTS NOT OFFSET
OF ASSETS IN THE STATEMENTS OF ASSETS
GROSS PRESENTED IN AND LIABILITIES
AMOUNTS THE -------------------------- GROSS
OF STATEMENTS OF CASH AMOUNTS OF
RECOGNIZED ASSETS FINANCIAL COLLATERAL NET RECOGNIZED
DESCRIPTION ASSETS (A) AND LIABILITIES INSTRUMENTS (B) RECEIVED AMOUNT (C) LIABILITIES (A)
----------- ---------- --------------- --------------- ---------- ---------- ---------------
ASSETS
---------------------------------------------------------------- ---------------
DFA TWO-YEAR GLOBAL FIXED INCOME
PORTFOLIO
JP Morgan.......................... -- -- -- -- -- $ 3,677
State Street Bank and Trust........ $ 934 $ 934 $ (934) -- -- 16,314
Goldman Sachs International........ 305 305 -- -- $305 --
Citibank, N.A...................... -- -- -- -- -- 6,860
UBS AG............................. -- -- -- -- -- 1,169
Bank of America Corp............... -- -- -- -- -- 3,178
HSBC Bank.......................... -- -- -- -- -- 1,603
National Australia Bank Ltd........ 1,061 1,061 (1,061) -- -- 1,717
------ ------ ------- -- ---- -------
Total.............................. $2,300 $2,300 $(1,995) -- $305 $34,518
====== ====== ======= == ==== =======
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
Bank of America Corp............... -- -- -- -- -- $ 1,211
Citibank, N.A...................... -- -- -- -- -- 1,579
Natwest Markets P.L.C.............. -- -- -- -- -- 880
State Street Bank and Trust........ $ 434 $ 434 $ (434) -- -- 1,384
HSBC Bank.......................... -- -- -- -- -- 9
Barclays Capital................... -- -- -- -- -- 1
UBS AG............................. -- -- -- -- -- 258
------ ------ ------- -- ---- -------
Total.............................. $ 434 $ 434 $ (434) -- -- $ 5,322
====== ====== ======= == ==== =======
NET AMOUNTS GROSS AMOUNTS NOT OFFSET
OF LIABILITIES IN THE STATEMENTS OF ASSETS
PRESENTED IN AND LIABILITIES
THE --------------------------
STATEMENTS OF CASH
ASSETS FINANCIAL COLLATERAL NET
DESCRIPTION AND LIABILITIES INSTRUMENTS (D) PLEDGED AMOUNT (E)
----------- --------------- --------------- ---------- ----------
LIABILITIES
------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME
PORTFOLIO
JP Morgan.......................... $ 3,677 -- -- $ 3,677
State Street Bank and Trust........ 16,314 $ (934) -- 15,380
Goldman Sachs International........ -- -- -- --
Citibank, N.A...................... 6,860 -- -- 6,860
UBS AG............................. 1,169 -- -- 1,169
Bank of America Corp............... 3,178 -- -- 3,178
HSBC Bank.......................... 1,603 -- -- 1,603
National Australia Bank Ltd........ 1,717 (1,061) -- 656
------- ------- -- -------
Total.............................. $34,518 $(1,995) -- $32,523
======= ======= == =======
DFA SELECTIVELY HEDGED GLOBAL
FIXED INCOME PORTFOLIO
Bank of America Corp............... $ 1,211 -- -- $ 1,211
Citibank, N.A...................... 1,579 -- -- 1,579
Natwest Markets P.L.C.............. 880 -- -- 880
State Street Bank and Trust........ 1,384 $ (434) -- 950
HSBC Bank.......................... 9 -- -- 9
Barclays Capital................... 1 -- -- 1
UBS AG............................. 258 -- -- 258
------- ------- -- -------
Total.............................. $ 5,322 $ (434) -- $ 4,888
======= ======= == =======
280
NET AMOUNTS GROSS AMOUNTS NOT OFFSET
OF ASSETS IN THE STATEMENTS OF ASSETS
GROSS PRESENTED IN AND LIABILITIES
AMOUNTS THE -------------------------- GROSS
OF STATEMENTS OF CASH AMOUNTS OF
RECOGNIZED ASSETS FINANCIAL COLLATERAL NET RECOGNIZED
DESCRIPTION ASSETS (A) AND LIABILITIES INSTRUMENTS (B) RECEIVED AMOUNT (C) LIABILITIES (A)
----------- ---------- --------------- --------------- ---------- ---------- ---------------
ASSETS
---------------------------------------------------------------- ---------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
JP Morgan.......................... $ 7,796 $ 7,796 $ (7,796) -- -- $ 28,360
Barclays Capital................... 1,505 1,505 (1,505) -- -- 11,961
Citibank, N.A...................... 3,118 3,118 (3,118) -- -- 29,237
State Street Bank and Trust........ 9,542 9,542 (9,542) -- -- 39,696
Bank of America Corp............... 675 675 (675) -- -- 3,568
ANZ Securities..................... 5 5 (5) -- -- 320
HSBC Bank.......................... 112 112 (112) -- -- 7,910
UBS AG............................. 471 471 (471) -- -- 2,560
Goldman Sachs International........ -- -- -- -- -- 193
National Australia Bank Ltd........ 1,611 1,611 (1,611) -- -- 3,606
Morgan Stanley and Co.
International.................... 450 450 (7) -- $443 7
------- ------- -------- -- ---- --------
Total.............................. $25,285 $25,285 $(24,842) -- $443 $127,418
======= ======= ======== == ==== ========
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
National Australia Bank Ltd........ -- -- -- -- -- $ 2,783
Bank of America Corp............... -- -- -- -- -- 7,076
State Street Bank and Trust........ $ 975 $ 975 $ (975) -- -- 4,419
Barclays Capital................... -- -- -- -- -- 5,574
UBS AG............................. 23 23 (23) -- -- 426
JP Morgan.......................... -- -- -- -- -- --
Anz Securities..................... 1 1 -- -- $ 1 --
------- ------- -------- -- ---- --------
Total.............................. $ 999 $ 999 $ (998) -- $ 1 $ 20,278
======= ======= ======== == ==== ========
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
JP Morgan.......................... -- -- -- -- -- $ 7,941
HSBC Bank.......................... -- -- -- -- -- 986
State Street Bank and Trust........ $ 985 $ 985 $ (985) -- -- 7,331
National Australia Bank Ltd........ -- -- -- -- -- 3,061
Bank of America Corp............... -- -- -- -- -- 139
Barclays Capital................... -- -- -- -- -- 2,688
UBS AG............................. -- -- -- -- -- 1,866
Citibank, N.A...................... 14 14 -- -- $ 14 --
------- ------- -------- -- ---- --------
Total.............................. $ 999 $ 999 $ (985) -- $ 14 $ 24,012
======= ======= ======== == ==== ========
DFA TARGETED CREDIT PORTFOLIO
National Australia Bank Ltd........ -- -- -- -- -- $ 964
State Street Bank and Trust........ $ 405 $ 405 $ (405) -- -- 2,371
Citibank, N.A...................... 4 4 (4) -- -- 173
------- ------- -------- -- ---- --------
Total.............................. $ 409 $ 409 $ (409) -- -- $ 3,508
======= ======= ======== == ==== ========
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
Citibank, N.A...................... $ 9 $ 9 $ (9) -- -- $ 2,721
State Street Bank and Trust........ 642 642 (642) -- -- 12,190
ANZ Securities..................... 94 94 (86) -- $ 8 86
Goldman Sachs...................... -- -- -- -- -- 5
------- ------- -------- -- ---- --------
Total.............................. $ 745 $ 745 $ (737) -- $ 8 $ 15,002
======= ======= ======== == ==== ========
NET AMOUNTS
OF LIABILITIES GROSS AMOUNTS NOT OFFSET
PRESENTED IN IN THE STATEMENTS OF ASSETS
THE AND LIABILITIES
STATEMENTS OF CASH
ASSETS FINANCIAL COLLATERAL NET
DESCRIPTION AND LIABILITIES INSTRUMENTS (D) PLEDGED AMOUNT (E)
----------- --------------- --------------- ---------- ----------
LIABILITIES
------------------------------------------------------
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
JP Morgan.......................... $ 28,360 $ (7,796) -- $ 20,564
Barclays Capital................... 11,961 (1,505) -- 10,456
Citibank, N.A...................... 29,237 (3,118) -- 26,119
State Street Bank and Trust........ 39,696 (9,542) -- 30,154
Bank of America Corp............... 3,568 (675) -- 2,893
ANZ Securities..................... 320 (5) -- 315
HSBC Bank.......................... 7,910 (112) -- 7,798
UBS AG............................. 2,560 (471) -- 2,089
Goldman Sachs International........ 193 -- -- 193
National Australia Bank Ltd........ 3,606 (1,611) -- 1,995
Morgan Stanley and Co.
International.................... 7 (7) -- --
-------- -------- -- --------
Total.............................. $127,418 $(24,842) -- $102,576
======== ======== == ========
DFA WORLD EX U.S. GOVERNMENT FIXED INCOME PORTFOLIO
National Australia Bank Ltd........ $ 2,783 -- -- $ 2,783
Bank of America Corp............... 7,076 -- -- 7,076
State Street Bank and Trust........ 4,419 $ (975) -- 3,444
Barclays Capital................... 5,574 -- -- 5,574
UBS AG............................. 426 (23) -- 403
JP Morgan.......................... -- -- -- --
Anz Securities..................... -- -- -- --
-------- -------- -- --------
Total.............................. $ 20,278 $ (998) -- $ 19,280
======== ======== == ========
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
JP Morgan.......................... $ 7,941 -- -- $ 7,941
HSBC Bank.......................... 986 -- -- 986
State Street Bank and Trust........ 7,331 $ (985) -- 6,346
National Australia Bank Ltd........ 3,061 -- -- 3,061
Bank of America Corp............... 139 -- -- 139
Barclays Capital................... 2,688 -- -- 2,688
UBS AG............................. 1,866 -- -- 1,866
Citibank, N.A...................... -- -- -- --
-------- -------- -- --------
Total.............................. $ 24,012 $ (985) -- $ 23,027
======== ======== == ========
DFA TARGETED CREDIT PORTFOLIO
National Australia Bank Ltd........ $ 964 -- -- $ 964
State Street Bank and Trust........ 2,371 $ (405) -- 1,966
Citibank, N.A...................... 173 (4) -- 169
-------- -------- -- --------
Total.............................. $ 3,508 $ (409) -- $ 3,099
======== ======== == ========
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
Citibank, N.A...................... $ 2,721 $ (9) -- $ 2,712
State Street Bank and Trust........ 12,190 (642) -- 11,548
ANZ Securities..................... 86 (86) -- --
Goldman Sachs...................... 5 -- -- 5
-------- -------- -- --------
Total.............................. $ 15,002 $ (737) -- $ 14,265
======== ======== == ========
281
NET AMOUNTS GROSS AMOUNTS NOT OFFSET
OF ASSETS IN THE STATEMENTS OF ASSETS
GROSS PRESENTED IN AND LIABILITIES
AMOUNTS THE -------------------------- GROSS
OF STATEMENTS OF CASH AMOUNTS OF
RECOGNIZED ASSETS FINANCIAL COLLATERAL NET RECOGNIZED
DESCRIPTION ASSETS (A) AND LIABILITIES INSTRUMENTS (B) RECEIVED AMOUNT (C) LIABILITIES (A)
----------- ---------- --------------- --------------- ---------- ---------- ---------------
ASSETS
---------------------------------------------------------------- ---------------
DFA INVESTMENT GRADE PORTFOLIO
UBS AG........................ -- -- -- -- -- $ 1,990
Bank of America Corp.......... -- -- -- -- -- 1,701
National Australia Bank Ltd... -- -- -- -- -- 1,690
State Street Bank and Trust... $ 656 $ 656 $ (656) -- -- 1,348
------ ------ ------- -- -- -------
Total......................... $ 656 $ 656 $ (656) -- -- $ 6,729
====== ====== ======= == == =======
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Citibank, N.A................. $1,636 $1,636 $(1,636) -- -- $ 7,792
Bank of America Corp.......... 1,758 1,758 (1,758) -- -- 3,657
Deutsche Bank AG.............. 194 194 (194) -- -- 7,844
Barclays Capital.............. -- -- -- -- -- 701
------ ------ ------- -- -- -------
Total......................... $3,588 $3,588 $(3,588) -- -- $19,994
====== ====== ======= == == =======
DFA MUNICIPAL REAL RETURN PORTFOLIO
Bank of America Corp.......... $2,116 $2,116 $(2,116) -- -- $10,167
Citibank, N.A................. 2,434 2,434 (2,434) -- -- 6,746
------ ------ ------- -- -- -------
Total......................... $4,550 $4,550 $(4,550) -- -- $16,913
====== ====== ======= == == =======
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
Bank of America Corp.......... -- -- -- -- -- $ 1,344
Citibank, N.A................. -- -- -- -- -- 1,763
Merrill Lynch Capital
Services, Inc............... -- -- -- -- -- 239
------ ------ ------- -- -- -------
Total......................... -- -- -- -- -- $ 3,346
====== ====== ======= == == =======
NET AMOUNTS GROSS AMOUNTS NOT OFFSET
OF LIABILITIES IN THE STATEMENTS OF ASSETS
PRESENTED IN AND LIABILITIES
THE --------------------------
STATEMENTS OF CASH
ASSETS FINANCIAL COLLATERAL NET
DESCRIPTION AND LIABILITIES INSTRUMENTS (D) PLEDGED AMOUNT (E)
----------- --------------- --------------- ---------- ----------
LIABILITIES
------------------------------------------------------
DFA INVESTMENT GRADE PORTFOLIO
UBS AG........................ $ 1,990 -- -- $ 1,990
Bank of America Corp.......... 1,701 -- -- 1,701
National Australia Bank Ltd... 1,690 -- -- 1,690
State Street Bank and Trust... 1,348 $ (656) -- 692
------- ------- -- -------
Total......................... $ 6,729 $ (656) -- $ 6,073
======= ======= == =======
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Citibank, N.A................. $ 7,792 $(1,636) -- $ 6,156
Bank of America Corp.......... 3,657 (1,758) -- 1,899
Deutsche Bank AG.............. 7,844 (194) -- 7,650
Barclays Capital.............. 701 -- -- 701
------- ------- -- -------
Total......................... $19,994 $(3,588) -- $16,406
======= ======= == =======
DFA MUNICIPAL REAL RETURN PORTFOLIO
Bank of America Corp.......... $10,167 $(2,116) -- $ 8,051
Citibank, N.A................. 6,746 (2,434) -- 4,312
------- ------- -- -------
Total......................... $16,913 $(4,550) -- $12,363
======= ======= == =======
DFA CALIFORNIA MUNICIPAL REAL RETURN PORTFOLIO
Bank of America Corp.......... $ 1,344 -- -- $ 1,344
Citibank, N.A................. 1,763 -- -- 1,763
Merrill Lynch Capital
Services, Inc............... 239 -- -- 239
------- ------- -- -------
Total......................... $ 3,346 -- -- $ 3,346
======= ======= == =======
(a)No amounts have been netted against the gross amounts recognized in the
Statements of Assets and Liabilities.
(b)Represents the amount of assets that could be offset by liabilities with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(c)Represents the net amount due from counterparties in the event of default.
(d)Represents the amount of liabilities that could be offset by assets with the
same counterparty under master netting or similar agreements that management
elects not to offset on the Statements of Assets and Liabilities.
(e)Represents the net amount due to counterparties in the event of default.
Note I contains information regarding securities lending amounts that are
subject to netting arrangements.
H. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective 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.
282
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
For the year ended October 31, 2019, borrowings by the following Portfolio
under the lines of credit were as follows (amounts in thousands, except
percentages and days):
MAXIMUM
WEIGHTED WEIGHTED AMOUNT OUTSTANDING
AVERAGE AVERAGE NUMBER OF INTEREST BORROWED BORROWINGS
INTEREST LOAN DAYS EXPENSE DURING AS OF
RATE BALANCE OUTSTANDING* INCURRED THE PERIOD 10/31/2019
-------- -------- ------------ -------- ---------- -----------
DFA World ex U.S. Government Fixed
Income Portfolio................. 1.58% $4,180 2 $1 $8,361 --
* Number of Days Outstanding represents the total of single or consecutive days
during the year ended October 31, 2019, that each Fund'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. 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.
I. SECURITIES LENDING:
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, cash collateral being maintained by
the borrower is insufficient to cover the value of loaned securities, and such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, each Portfolio with securities
on loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with other payments to and from
borrowers of securities. Such Portfolios also
283
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 BETWEEN
AND 30 & 90
CONTINUOUS <30 DAYS DAYS >90 DAYS TOTAL
---------- -------- ------- -------- --------
SECURITIES LENDING TRANSACTIONS
DFA ONE-YEAR FIXED INCOME PORTFOLIO
Agency Obligations, Bonds, U.S. Treasury Obligations.. $132,331 -- -- -- $132,331
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
Bonds................................................. 8,250 -- -- -- 8,250
DFA SELECTIVELY HEDGED GLOBAL FIXED INCOME PORTFOLIO
Bonds................................................. 6,987 -- -- -- 6,987
DFA FIVE-YEAR GLOBAL FIXED INCOME PORTFOLIO
Bonds................................................. 10,382 -- -- -- 10,382
DFA SHORT-TERM EXTENDED QUALITY PORTFOLIO
Bonds, U.S. Treasury Obligations...................... 53,485 -- -- -- 53,485
DFA INTERMEDIATE-TERM EXTENDED QUALITY PORTFOLIO
Agency Obligations, Bonds............................. 110,421 -- -- -- 110,421
DFA TARGETED CREDIT PORTFOLIO
Bonds................................................. 20,916 -- -- -- 20,916
DFA GLOBAL CORE PLUS FIXED INCOME PORTFOLIO
Bonds................................................. 75,812 -- -- -- 75,812
DFA INVESTMENT GRADE PORTFOLIO
Agency Obligations, Bonds............................. 693,605 -- -- -- 693,605
DFA SHORT-DURATION REAL RETURN PORTFOLIO
Bonds................................................. 36,961 -- -- -- 36,961
J. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
284
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
Portfolios' 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.
L. 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
OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -----------
DFA One-Year Fixed Income Portfolio.................... 5 78%
DFA Two-Year Global Fixed Income Portfolio............. 5 83%
DFA Selectively Hedged Global Fixed Income Portfolio... 3 83%
DFA Five-Year Global Fixed Income Portfolio............ 3 76%
DFA World ex U.S. Government Fixed Income Portfolio.... 4 73%
DFA Short-Term Government Portfolio.................... 5 82%
DFA Intermediate Government Fixed Income Portfolio..... 4 84%
DFA Short-Term Extended Quality Portfolio.............. 4 80%
DFA Intermediate-Term Extended Quality Portfolio....... 4 77%
DFA Targeted Credit Portfolio.......................... 3 87%
DFA Global Core Plus Fixed Income Portfolio............ 4 92%
DFA Investment Grade Portfolio......................... 4 86%
DFA Diversified Fixed Income Portfolio................. 3 99%
DFA LTIP Portfolio..................................... 6 91%
DFA Inflation-Protected Securities Portfolio........... 3 48%
DFA Short-Duration Real Return Portfolio............... 3 82%
DFA Municipal Real Return Portfolio.................... 3 92%
DFA California Municipal Real Return Portfolio......... 4 100%
DFA Municipal Bond Portfolio........................... 4 96%
DFA Short-Term Municipal Bond Portfolio................ 5 90%
DFA Intermediate-Term Municipal Bond Portfolio......... 5 91%
DFA California Short-Term Municipal Bond Portfolio..... 3 92%
DFA California Intermediate-Term Municipal Bond
Portfolio............................................ 4 96%
DFA NY Municipal Bond Portfolio........................ 3 94%
DFA MN Municipal Bond Portfolio........................ 2 97%
DFA Oregon Municipal Bond Portfolio.................... 2 96%
285
The Portfolios are subject to claims and suits that arise from time to time
in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when The Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
M. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
286
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-six portfolios listed in the table below
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of each of the portfolios indicated in
the table below (twenty-six 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 FINANCIAL
PORTFOLIO OPERATIONS NET ASSETS HIGHLIGHTS
--------- ------------ ------------ ----------
DFA One-Year Fixed Income Portfolio For the For the For each
DFA Two-Year Global Fixed Income year years of the
Portfolio ended ended periods
DFA Selectively Hedged Global Fixed October 31, October 31, indicated
Income Portfolio 2019 2019 and therein
DFA Five-Year Global Fixed Income 2018
Portfolio
DFA World ex U.S. Government Fixed
Income Portfolio
DFA Short-Term Government Portfolio
DFA Intermediate Government Fixed
Income Portfolio
DFA Short-Term Extended Quality
Portfolio
DFA Intermediate-Term Extended Quality
Portfolio
DFA Targeted Credit Portfolio
DFA Investment Grade Portfolio
DFA Diversified Fixed Income Portfolio
DFA LTIP Portfolio
DFA Inflation-Protected Securities
Portfolio
DFA Short-Duration Real Return
Portfolio
DFA Municipal Real Return Portfolio
DFA Municipal Bond Portfolio
DFA Short-Term Municipal Bond Portfolio
DFA Intermediate-Term Municipal Bond
Portfolio
DFA California Short-Term Municipal
Bond Portfolio
DFA California Intermediate-Term
Municipal Bond Portfolio
DFA NY Municipal Bond Portfolio
DFA MN Municipal Bond Portfolio
DFA California Municipal Real Return For the For the year ended
Portfolio year ended October 31, 2019 and
October 31, the period from
2019 November 1, 2017
(commencement of
operations) through
October 31, 2018
DFA Global Core Plus Fixed Income For the For the year ended
Portfolio year ended October 31, 2019 and
October 31, the period from
2019 January 11, 2018
(commencement of
operations) through
October 31, 2018
Oregon Municipal Bond Portfolio For the period September 10, 2019
(commencement of operations)
through October 31, 2019
287
BASIS FOR OPINIONS
These financial statements are the responsibility of the Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
(PCAOB) and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 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.
288
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
DFA TWO-YEAR FIXED INCOME PORTFOLIO VS. ICE BOFAML 1-3 YEAR US CORPORATE &
GOVERNMENT INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Two-Year Fixed ICE BofAML 1-3 Year US
Income Portfolio Corporate & Government Index
------------------ ----------------------------
10/31/2009 $10,000 $10,000
11/30/2009 $10,040 $10,064
12/31/2009 $9,986 $10,001
1/31/2010 $10,036 $10,082
2/28/2010 $10,046 $10,106
3/31/2010 $10,037 $10,093
4/30/2010 $10,057 $10,124
5/31/2010 $10,067 $10,148
6/30/2010 $10,109 $10,195
7/31/2010 $10,139 $10,237
8/31/2010 $10,149 $10,263
9/30/2010 $10,168 $10,289
10/31/2010 $10,188 $10,318
11/30/2010 $10,168 $10,298
12/31/2010 $10,169 $10,283
1/31/2011 $10,179 $10,305
2/28/2011 $10,179 $10,303
3/31/2011 $10,178 $10,303
4/30/2011 $10,208 $10,353
5/31/2011 $10,238 $10,391
6/30/2011 $10,240 $10,393
7/31/2011 $10,251 $10,424
8/31/2011 $10,261 $10,443
9/30/2011 $10,253 $10,419
10/31/2011 $10,263 $10,442
11/30/2011 $10,253 $10,433
12/31/2011 $10,253 $10,443
1/31/2012 $10,283 $10,479
2/29/2012 $10,283 $10,485
3/31/2012 $10,289 $10,491
4/30/2012 $10,300 $10,511
5/31/2012 $10,300 $10,510
6/30/2012 $10,308 $10,516
7/31/2012 $10,328 $10,553
8/31/2012 $10,328 $10,564
9/30/2012 $10,340 $10,577
10/31/2012 $10,340 $10,580
11/30/2012 $10,340 $10,590
12/31/2012 $10,349 $10,598
1/31/2013 $10,349 $10,604
2/28/2013 $10,349 $10,616
3/31/2013 $10,353 $10,621
4/30/2013 $10,363 $10,638
5/31/2013 $10,353 $10,623
6/30/2013 $10,349 $10,606
7/31/2013 $10,359 $10,630
8/31/2013 $10,349 $10,623
9/30/2013 $10,367 $10,652
10/31/2013 $10,367 $10,671
11/30/2013 $10,367 $10,685
12/31/2013 $10,367 $10,673
1/31/2014 $10,377 $10,694
2/28/2014 $10,377 $10,708
3/31/2014 $10,379 $10,699
4/30/2014 $10,390 $10,716
5/31/2014 $10,390 $10,741
6/30/2014 $10,384 $10,739
7/31/2014 $10,384 $10,730
8/31/2014 $10,394 $10,749
9/30/2014 $10,388 $10,742
10/31/2014 $10,399 $10,769
11/30/2014 $10,409 $10,786
12/31/2014 $10,396 $10,756
1/31/2015 $10,427 $10,810
2/28/2015 $10,407 $10,796
3/31/2015 $10,433 $10,820
4/30/2015 $10,433 $10,828
5/31/2015 $10,433 $10,837
6/30/2015 $10,434 $10,835
7/31/2015 $10,434 $10,842
8/31/2015 $10,434 $10,835
9/30/2015 $10,458 $10,866
10/31/2015 $10,458 $10,864
11/30/2015 $10,437 $10,842
12/31/2015 $10,429 $10,828
1/31/2016 $10,471 $10,885
2/29/2016 $10,471 $10,896
3/31/2016 $10,500 $10,934
4/30/2016 $10,511 $10,949
5/31/2016 $10,500 $10,942
6/30/2016 $10,541 $11,007
7/31/2016 $10,541 $11,009
8/31/2016 $10,530 $10,997
9/30/2016 $10,536 $11,010
10/31/2016 $10,536 $11,005
11/30/2016 $10,525 $10,960
12/31/2016 $10,523 $10,967
1/31/2017 $10,544 $10,986
2/28/2017 $10,555 $11,005
3/31/2017 $10,558 $11,010
4/30/2017 $10,579 $11,030
5/31/2017 $10,590 $11,048
6/30/2017 $10,600 $11,044
7/31/2017 $10,621 $11,072
8/31/2017 $10,632 $11,094
9/30/2017 $10,633 $11,081
10/31/2017 $10,633 $11,079
11/30/2017 $10,622 $11,057
12/31/2017 $10,619 $11,061
1/31/2018 $10,609 $11,033
2/28/2018 $10,609 $11,024
3/31/2018 $10,621 $11,041
4/30/2018 $10,621 $11,031
5/31/2018 $10,653 $11,071
6/30/2018 $10,661 $11,073
7/31/2018 $10,671 $11,080
8/31/2018 $10,704 $11,118
9/30/2018 $10,703 $11,112
10/31/2018 $10,725 $11,125
11/30/2018 $10,747 $11,156
12/31/2018 $10,808 $11,242
1/31/2019 $10,841 $11,285
2/28/2019 $10,852 $11,304
3/31/2019 $10,894 $11,379
4/30/2019 $10,916 $11,406
5/31/2019 $10,959 $11,482
6/30/2019 $10,980 $11,548
7/31/2019 $11,002 $11,543
8/31/2019 $11,024 $11,634 Past performance is not predictive of
9/30/2019 $11,044 $11,628 future performance.
10/31/2019 $11,055 $11,669 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
------------------------------------------------------ ICE BofAML index data copyright 2019
3.07% 1.23% 1.01% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DFA TWO-YEAR GOVERNMENT PORTFOLIO VS. ICE BOFAML 1-3 YEAR US TREASURY & AGENCY
INDEX
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
DFA Two-Year ICE BofAML 1-3 Year
Government Portfolio US Treasury & Agency Index
-------------------- --------------------------
10/31/2009 $10,000 $10,000
11/30/2009 $10,040 $10,058
12/31/2009 $9,988 $9,986
1/31/2010 $10,029 $10,057
2/28/2010 $10,049 $10,077
3/31/2010 $10,040 $10,055
4/30/2010 $10,060 $10,082
5/31/2010 $10,080 $10,124
6/30/2010 $10,121 $10,169
7/31/2010 $10,141 $10,196
8/31/2010 $10,151 $10,214
9/30/2010 $10,167 $10,232
10/31/2010 $10,198 $10,256
11/30/2010 $10,167 $10,236
12/31/2010 $10,178 $10,219
1/31/2011 $10,188 $10,236
2/28/2011 $10,178 $10,228
3/31/2011 $10,172 $10,225
4/30/2011 $10,213 $10,269
5/31/2011 $10,244 $10,305
6/30/2011 $10,243 $10,310
7/31/2011 $10,253 $10,335
8/31/2011 $10,264 $10,371
9/30/2011 $10,265 $10,357
10/31/2011 $10,265 $10,367
11/30/2011 $10,275 $10,372
12/31/2011 $10,276 $10,378
1/31/2012 $10,297 $10,391
2/29/2012 $10,297 $10,380
3/31/2012 $10,298 $10,376
4/30/2012 $10,308 $10,397
5/31/2012 $10,308 $10,400
6/30/2012 $10,302 $10,396
7/31/2012 $10,312 $10,419
8/31/2012 $10,323 $10,421
9/30/2012 $10,316 $10,422
10/31/2012 $10,316 $10,417
11/30/2012 $10,316 $10,426
12/31/2012 $10,321 $10,430
1/31/2013 $10,321 $10,432
2/28/2013 $10,321 $10,439
3/31/2013 $10,322 $10,442
4/30/2013 $10,332 $10,453
5/31/2013 $10,322 $10,438
6/30/2013 $10,322 $10,430
7/31/2013 $10,332 $10,447
8/31/2013 $10,322 $10,438
9/30/2013 $10,333 $10,461
10/31/2013 $10,344 $10,472
11/30/2013 $10,344 $10,482
12/31/2013 $10,336 $10,468
1/31/2014 $10,347 $10,485
2/28/2014 $10,347 $10,494
3/31/2014 $10,347 $10,483
4/30/2014 $10,357 $10,497
5/31/2014 $10,368 $10,516
6/30/2014 $10,359 $10,511
7/31/2014 $10,359 $10,503
8/31/2014 $10,369 $10,520
9/30/2014 $10,363 $10,515
10/31/2014 $10,384 $10,543
11/30/2014 $10,395 $10,559
12/31/2014 $10,370 $10,534
1/31/2015 $10,412 $10,587
2/28/2015 $10,391 $10,565
3/31/2015 $10,406 $10,589
4/30/2015 $10,416 $10,594
5/31/2015 $10,416 $10,602
6/30/2015 $10,414 $10,604
7/31/2015 $10,414 $10,610
8/31/2015 $10,414 $10,606
9/30/2015 $10,434 $10,638
10/31/2015 $10,424 $10,628
11/30/2015 $10,392 $10,603
12/31/2015 $10,381 $10,592
1/31/2016 $10,434 $10,657
2/29/2016 $10,434 $10,668
3/31/2016 $10,458 $10,687
4/30/2016 $10,458 $10,691
5/31/2016 $10,448 $10,680
6/30/2016 $10,494 $10,743
7/31/2016 $10,483 $10,737
8/31/2016 $10,473 $10,720
9/30/2016 $10,484 $10,733
10/31/2016 $10,484 $10,726
11/30/2016 $10,452 $10,683
12/31/2016 $10,462 $10,687
1/31/2017 $10,473 $10,701
2/28/2017 $10,473 $10,712
3/31/2017 $10,483 $10,715
4/30/2017 $10,494 $10,730
5/31/2017 $10,494 $10,743
6/30/2017 $10,488 $10,734
7/31/2017 $10,510 $10,757
8/31/2017 $10,520 $10,778
9/30/2017 $10,514 $10,760
10/31/2017 $10,504 $10,754
11/30/2017 $10,493 $10,732
12/31/2017 $10,493 $10,734
1/31/2018 $10,482 $10,703
2/28/2018 $10,482 $10,700
3/31/2018 $10,497 $10,721
4/30/2018 $10,487 $10,704
5/31/2018 $10,519 $10,743
6/30/2018 $10,528 $10,745
7/31/2018 $10,517 $10,744
8/31/2018 $10,550 $10,779
9/30/2018 $10,545 $10,766
10/31/2018 $10,567 $10,782
11/30/2018 $10,588 $10,820
12/31/2018 $10,642 $10,905
1/31/2019 $10,664 $10,935
2/28/2019 $10,686 $10,946
3/31/2019 $10,721 $11,012
4/30/2019 $10,732 $11,035
5/31/2019 $10,765 $11,113
6/30/2019 $10,780 $11,170
7/31/2019 $10,802 $11,157
8/31/2019 $10,814 $11,247 Past performance is not predictive of
9/30/2019 $10,834 $11,235 future performance.
10/31/2019 $10,845 $11,271 The returns shown do not reflect the
deduction of taxes that a shareholder
AVERAGE ANNUAL ONE FIVE TEN would pay on fund distributions or the
TOTAL RETURN YEAR YEARS YEARS redemption of fund shares.
----------------------------------------------------- ICE BofAML index data copyright 2019
2.63% 0.87% 0.81% ICE Data Indices, LLC.
--------------------------------------------------------------------------------
289
MANAGEMENT'S DISCUSSION AND ANALYSIS
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Bond yields decreased in the U.S. during the 12 months ended October 31,
2019. Long-term yields decreased more than short-term yields did. As a result,
long-term bonds generally outperformed short-term bonds for the period. Bond
yields also generally decreased in Germany, Italy, Japan, Spain, and the U.K.,
resulting in outperformance of longer-term bonds in these markets as well.
Long-term bonds generally outperformed short-term bonds in global developed
fixed income markets for the 12-month period ended October 31, 2019. For
example, the FTSE World Government Bond Index 1-3 Years (hedged to USD)
returned 4.10%, while the FTSE World Government Bond Index 20+ Years (hedged to
USD) returned 24.96%. Within the U.S., the Bloomberg Barclays U.S. Treasury
Bond Index 1-3 Years returned 4.62%, while the Bloomberg Barclays U.S. Treasury
Bond Index 20+ Years returned 28.19%.
OCTOBER 31, OCTOBER 31,
2018 2019 CHANGE
----------- ----------- ------
One-Month Treasury Bill (yield)......... 2.20% 1.59% -0.61%
Ten-Year U.S. Treasury Notes (yield).... 3.15% 1.69% -1.46%
Source: Bloomberg
Many of Dimensional's fixed income strategies use a variable maturity
approach that identifies a maturity range with higher expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer higher expected returns. When the yield curve is upwardly sloped,
portfolio maturities may be lengthened to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the short-term Portfolios employing a variable maturity approach
generally reduced their durations, reflecting the relatively flat to inverted
short-term segments of eligible yield curves. The intermediate-term Portfolios
employing a variable maturity approach generally continued to maintain a
duration near the longer end of their eligible range, reflecting the upward
slope of the term structure from the intermediate to longer end of eligible
yield curves.
Some of Dimensional's fixed income strategies use a variable credit approach
that varies exposure to lower-quality securities. When credit spreads are
narrow, higher-quality securities are emphasized. When credit spreads are wide,
additional credit exposure may be taken in order to position a Portfolio to
seek higher expected returns by capturing high expected credit premiums. Credit
spreads remained narrow during the 12 months ended October 31, 2019. Many of
the portfolios employing a variable credit approach held less than their
maximum allowable weight in credit.
DFA TWO-YEAR FIXED INCOME PORTFOLIO
The DFA Two-Year Fixed Income Portfolio is designed to maximize total
returns consistent with preservation of capital by investing in high-quality
fixed income securities maturing in three years or less. The weighted average
maturity of the Portfolio will not exceed two years. The investment strategy
uses a variable maturity approach and shifts maturities based on changes in the
yield curve. The strategy uses current yields and identifies favorable maturity
ranges of expected returns based on potential buy and sell strategies. Maturity
targets are shifted based on Dimensional's expectations for term premiums. The
average maturity of the Portfolio decreased to 0.17 years as of October 31,
2019, from 1.38 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 3.07% for the
Portfolio and 4.90% for the ICE BofAML 1-3 Year U.S. Corporate & Government
Index, the Portfolio's benchmark. The U.S. Treasury yield curve was inverted
along the Portfolio's eligible maturity range, producing lower yields at the
longer end of the eligible maturity range and reducing expected capital
appreciation opportunities during the period. As a result, the Portfolio's
weighted average maturity was shortened during the period. Interest rates
decreased across the eligible maturity range, and realized term premiums were
positive for the period. As such, the Portfolio's exposure to securities with
maturities shorter than one year detracted from performance relative to the
benchmark. The Portfolio's focus on higher-quality corporate securities also
detracted from relative performance, as realized credit premiums were also
positive.
290
DFA TWO-YEAR GOVERNMENT PORTFOLIO
The DFA Two-Year Government Portfolio is designed to maximize total returns
consistent with preservation of capital by investing in securities of the U.S.
government and its agencies maturing in three years or less. The investment
strategy uses a variable maturity approach and shifts maturities based on
changes in the yield curve. The strategy uses current yields and identifies
favorable maturity ranges of expected returns based on potential buy and sell
strategies. Maturity targets are shifted based on Dimensional's expectations
for term premiums. The weighted average maturity of the Portfolio decreased to
15 days as of October 31, 2019, from 1.37 years as of October 31, 2018.
For the 12 months ended October 31, 2019, total returns were 2.63% for the
Portfolio and 4.54% for the ICE BofAML 1-3 Year U.S. Treasury & Agency Index,
the Portfolio's benchmark. The U.S. Treasury yield curve was inverted along the
Portfolio's eligible maturity range, producing lower yields at the longer end
of the eligible maturity range and reducing expected capital appreciation
opportunities during the period. As a result, the Portfolio's weighted average
maturity was shortened during the period. Interest rates decreased across the
eligible maturity range and realized term premiums were positive for the
period. The benchmark can hold securities with maturities between one and three
years, whereas the Portfolio must invest at least 80% of its assets in
securities with maturities of no longer than two years. The Portfolio's
exposure to securities with maturities shorter than one year and lack of
exposure to securities in the two- to three-year maturity range detracted from
performance relative to the benchmark.
291
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is
derived from the fund's actual return, and "Expenses Paid During Period"
reflects the dollar amount that would have been paid by an investor who
started with $1,000 in the fund. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result
by the number given for your fund under the heading "Expenses Paid
During Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with
those of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making
comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% annual return. You can assess your fund's costs
by comparing this hypothetical example with the hypothetical examples
that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
DFA TWO-YEAR FIXED INCOME PORTFOLIO
Actual Fund Return.................. $1,000.00 $1,012.70 0.25% $1.27
Hypothetical 5% Annual Return....... $1,000.00 $1,023.95 0.25% $1.28
DFA TWO-YEAR GOVERNMENT PORTFOLIO
Actual Fund Return.................. $1,000.00 $1,010.50 0.26% $1.32
292
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 $1,023.90 0.26% $1.33
--------
(1)Expenses are equal to the fund's annualized expense ratio for the six-month
period, multiplied by the average account value over the period, multiplied
by the number of days in the most recent six-month period (184), then
divided by the number of days in the year (365) to reflect the six-month
period.
293
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 tables, which present portfolio holdings as a percentage of total
investments before short-term investments and collateral for loaned securities,
are provided in compliance with this requirement. The categories shown below
represent broad industry sectors. Each industry sector consists of one or more
specific industry classifications.
FIXED INCOME PORTFOLIOS
DFA TWO-YEAR FIXED INCOME PORTFOLIO DFA TWO-YEAR GOVERNMENT PORTFOLIO
Corporate........................... 25.1% Government........................ 100.0%
-----
Government.......................... 18.9% 100.0%
Foreign Corporate................... 31.4%
Foreign Government.................. 19.9%
Supranational....................... 4.7%
-----
100.0%
294
DFA TWO-YEAR FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT VALUE+
------ ----------
(000)
------
AGENCY OBLIGATIONS -- (1.4%)
Federal Farm Credit Bank, Floating Rate Note, 1M USD LIBOR + 0.045%, FRN
(r) 1.936%, 04/16/21.................................................... 1,450 $1,448,692
----------
BONDS -- (51.5%)
African Development Bank
1.875%, 03/16/20.................................................... 1,500 1,499,805
Agence Francaise de Developpement
1.625%, 01/21/20.................................................... 1,934 1,932,522
Apple, Inc., 3M USD LIBOR + 0.250%, FRN
(r) 2.434%, 02/07/20.................................................... 1,000 1,000,622
Australia & New Zealand Banking Group, Ltd.
(Omega) 2.250%, 12/19/19.................................................... 400 400,191
Bank of Montreal
2.100%, 06/15/20.................................................... 1,500 1,502,504
3.100%, 07/13/20.................................................... 725 731,260
Bank of Montreal, 3M USD LIBOR + 0.440%, FRN
(r) 2.558%, 06/15/20.................................................... 500 501,165
Bank of Nova Scotia (The)
2.350%, 10/21/20.................................................... 528 530,530
Bank of Nova Scotia (The), 3M USD LIBOR + 0.290%, FRN
(r) 2.317%, 01/08/21.................................................... 1,000 1,001,817
BNG Bank NV
1.625%, 11/25/19.................................................... 250 249,930
(Omega) 2.500%, 02/28/20.................................................... 1,850 1,853,008
2.500%, 02/28/20.................................................... 700 701,138
Chevron Corp.
1.991%, 03/03/20.................................................... 2,750 2,751,132
Cisco Systems, Inc.
4.450%, 01/15/20.................................................... 250 251,303
Cooperatieve Rabobank UA
(Omega) 4.750%, 01/15/20.................................................... 500 502,741
Council Of Europe Development Bank
1.875%, 01/27/20.................................................... 750 749,962
Dexia Credit Local SA
1.875%, 01/29/20.................................................... 1,500 1,499,877
Equinor ASA
2.250%, 11/08/19.................................................... 1,463 1,462,989
Erste Abwicklungsanstalt
2.500%, 03/13/20.................................................... 600 601,271
FACE
AMOUNT VALUE+
------ ----------
(000)
------
IBRD Discount Notes
1.346%, 11/04/19................................................. 3,000 $2,999,580
Inter-American Development Bank, 3M USD LIBOR + 0.220%, FRN
(r) 2.221%, 10/15/20................................................. 1,000 1,001,980
Kommunalbanken A.S., 3M USD LIBOR + 0.040%, FRN
(r)(Omega) 2.172%, 03/12/21................................................. 400 399,912
Kommunalbanken A.S., Floating Rate Note, 3M USD LIBOR + 0.040%, FRN
(r) 2.172%, 03/12/21................................................. 300 299,934
Kommunalbanken A.S., Floating Rate Note, 3M USD LIBOR + 0.330%, FRN
(r) 2.448%, 06/16/20................................................. 500 501,015
Kommuninvest I Sverige AB
1.750%, 03/19/20................................................. 500 499,759
Landeskreditbank Baden-Wuerttemberg Foerderbank, 3M USD LIBOR + 0.012%, FRN
(r) 2.220%, 09/27/21................................................. 2,000 2,002,160
Merck & Co., Inc.
# 1.850%, 02/10/20................................................. 1,989 1,989,059
(r) 2.556%, 02/10/20................................................. 970 970,857
Municipality Finance P.L.C., Floating Rate Note, 3M USD LIBOR + 0.500%, FRN
(r) 2.174%, 02/17/21................................................. 400 400,016
Municipality Finance P.L.C., Floating Rate Note, FRN
(r) 1.946%, 10/26/20................................................. 2,000 1,999,384
National Australia Bank, Ltd.
2.250%, 01/10/20................................................. 500 500,337
Nederlandse Waterschapsbank NV
1.625%, 03/04/20................................................. 500 499,503
Nestle Holdings, Inc.
2.125%, 01/14/20................................................. 1,219 1,219,266
Novartis Capital Corp.
1.800%, 02/14/20................................................. 2,335 2,334,563
4.400%, 04/24/20................................................. 464 469,533
295
DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ -----------
(000)
------
NRW Bank, 3M USD LIBOR + 0.040%, FRN
(r) 2.227%, 02/08/21.................................................... 1,200 $ 1,199,244
Oesterreichische Kontrollbank AG
1.375%, 02/10/20.................................................... 200 199,751
Oesterreichische Kontrollbank AG, Floating Rate Note, 3M USD LIBOR +
0.010%, FRN
(r) 2.129%, 09/15/20.................................................... 1,000 997,827
Province of Alberta Canada
1.900%, 12/06/19.................................................... 2,700 2,699,406
Royal Bank of Canada
2.150%, 10/26/20.................................................... 369 370,141
Royal Bank of Canada, 3M USD LIBOR + 0.390%, FRN
(r) 2.325%, 04/30/21.................................................... 2,000 2,007,126
Shell International Finance BV
4.375%, 03/25/20.................................................... 946 954,895
Shell International Finance BV, 3M USD LIBOR + 0.450%, FRN
(r) 2.631%, 05/11/20.................................................... 612 613,372
State of North Rhine-Westphalia Germany
1.625%, 01/22/20.................................................... 1,500 1,498,893
Toronto-Dominion Bank (The)
3.000%, 06/11/20.................................................... 589 593,084
Total Capital SA
4.450%, 06/24/20.................................................... 1,999 2,031,751
Toyota Motor Credit Corp.
2.200%, 01/10/20.................................................... 1,854 1,855,075
2.150%, 03/12/20.................................................... 513 513,509
Toyota Motor Credit Corp., 3M USD LIBOR + 0.170%, FRN
(r) 2.315%, 09/18/20.................................................... 400 400,445
Toyota Motor Credit Corp., Floating Rate Note, 3M USD LIBOR + 0.540%, FRN
(r) 2.567%, 01/08/21.................................................... 191 191,865
Walmart, Inc., 3M USD LIBOR + 0.230%, FRN
(r) 2.389%, 06/23/21.................................................... 500 501,619
-----------
TOTAL BONDS 54,438,628
-----------
U.S. TREASURY OBLIGATIONS -- (11.1%)
U.S. Treasury Bills
# 1.419%, 12/10/19.................................................... 500 499,192
FACE
AMOUNT VALUE+
------ -----------
(000)
------
U.S. Treasury Notes, 3M USTMMR + 0.115%, FRN
(r) 1.752%, 01/31/21................................................. 1,000 $ 998,872
U.S. Treasury Notes, 3M USTMMR + 0.139%, FRN
(r) 1.776%, 04/30/21................................................. 10,250 10,236,836
-----------
TOTAL U.S. TREASURY OBLIGATIONS 11,734,900
-----------
CERTIFICATES OF DEPOSIT -- (1.9%)
Bank of Nova Scotia (The), Floating Rate Note, 3M USD LIBOR + 0.280%, FRN
(r) 2.439%, 09/21/20................................................. 500 500,699
Canadian Imperial Bank of Commerce, Floating Rate Note, 1M USD LIBOR +
0.180%, FRN
(r) 2.169%, 04/06/20................................................. 1,500 1,499,981
-----------
TOTAL CERTIFICATES OF DEPOSIT 2,000,680
-----------
TOTAL INVESTMENT SECURITIES
(Cost $69,526,315)............................................... 69,622,900
-----------
COMMERCIAL PAPER -- (32.6%)
(Omega) 3M Co. 1.878%, 11/01/19.......................................... 3,000 2,999,870
(Omega) DBS Bank Ltd. 1.950%, 11/06/19................................... 1,000 999,793
(Omega) DBS Bank, Ltd. 1.905%, 01/23/20.................................. 2,000 1,991,721
Eli Lilly & Co.
(Omega) 1.980%, 11/01/19................................................. 1,000 999,957
(Omega) 1.868%, 11/20/19................................................. 2,000 1,998,222
(Omega) Erste Abwicklungsanstalt 1.776%, 11/19/19........................ 700 699,424
European Investment Bank 1.809%, 12/17/19........................ 2,000 1,995,640
Exxon Mobil Corp.
1.888%, 11/13/19................................................. 1,000 999,441
1.890%, 12/02/19................................................. 1,000 998,575
(Omega) Landesbank Hessen-Thuringen 2.039%, 01/02/20..................... 1,000 996,899
296
DFA TWO-YEAR FIXED INCOME PORTFOLIO
CONTINUED
FACE
AMOUNT VALUE+
------ ----------
(000)
------
(Omega) Landesbank Hessen-Thuringen Girozentrale 1.920%, 11/25/19........ 2,050 $2,047,510
(Omega) NIKE, Inc. 1.836%, 11/07/19...................................... 3,000 2,999,078
(Omega) NRW Bank 2.014%, 12/02/19........................................ 1,000 998,444
Oesterreichische Kontrollbank AG 2.098%, 11/06/19................ 1,500 1,499,606
(Omega) Oversea-Chinese Banking Corp., Ltd. 1.904%, 01/24/20............. 2,500 2,488,165
(Omega) Pfizer Inc. 1.994%, 03/12/20..................................... 1,000 993,428
Pfizer, Inc.
(Omega) 2.063%, 02/04/20................................................. 1,000 995,299
(Omega) 2.096%, 11/12/19................................................. 1,000 999,469
(Omega) PSP Capital, Inc. 1.800%, 01/02/20............................... 2,100 2,093,804
(Omega) Sanofi 1.985%, 12/13/19.......................................... 650 648,721
FACE
AMOUNT VALUE+
------- ------------
(000)
-------
(Omega) Total Capital Canada, Ltd. 1.967%, 01/07/20...................... 1,000 $ 996,717
United Overseas Bank, Ltd.
(Omega) 2.162%, 01/07/20................................................. 500 498,396
(Omega) 2.158%, 11/26/19................................................. 500 499,427
(Omega) 2.159%, 11/26/19................................................. 2,000 1,997,709
------------
TOTAL COMMERCIAL PAPER.................................................... 34,435,315
------------
SHARES
-------
TEMPORARY CASH INVESTMENTS -- (0.5%)
State Street Institutional U.S. Government Money Market Fund
1.752%......................................................... 511,738 511,738
------------
SECURITIES LENDING COLLATERAL -- (1.0%)
@(S) The DFA Short Term Investment Fund............................... 89,406 1,034,514
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $105,504,095)......................................................... $105,604,467
============
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
-------- ------------ ------- ------------
Agency Obligations.............. -- $ 1,448,692 -- $ 1,448,692
Bonds........................... -- 54,438,628 -- 54,438,628
U.S. Treasury Obligations....... -- 11,734,900 -- 11,734,900
Certificates of Deposit......... -- 2,000,680 -- 2,000,680
Commercial Paper................ -- 34,435,315 -- 34,435,315
Temporary Cash Investments...... $511,738 -- -- 511,738
Securities Lending Collateral... -- 1,034,514 -- 1,034,514
-------- ------------ -- ------------
TOTAL........................... $511,738 $105,092,729 -- $105,604,467
======== ============ == ============
See accompanying Notes to Financial Statements.
297
DFA TWO-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
FACE
AMOUNT^ VALUE+
------- ------------
(000)
-------
AGENCY OBLIGATIONS -- (46.3%)
Federal Home Loan Bank
1.008%, 11/04/19................................................. 14,000 $ 13,998,040
1.466%, 11/06/19................................................. 11,000 10,997,433
1.540%, 11/13/19................................................. 3,000 2,998,320
1.577%, 11/19/19................................................. 12,000 11,989,920
1.600%, 11/27/19................................................. 4,000 3,995,147
1.579%, 12/06/19................................................. 250 249,594
1.644%, 12/27/19................................................. 12,000 11,968,826
------------
TOTAL AGENCY OBLIGATIONS.............................................. 56,197,280
------------
U.S. TREASURY OBLIGATIONS -- (53.4%)
U.S. Treasury Bills
0.999%, 11/05/19................................................. 4,400 4,399,258
1.282%, 11/12/19................................................. 12,000 11,994,444
1.419%, 12/10/19................................................. 4,700 4,692,404
1.441%, 12/17/19................................................. 5,500 5,489,387
U.S. Treasury Notes, 3M USTMMR + 0.045%, FRN
(r) 1.682%, 10/31/20................................................. 12,200 12,185,924
U.S. Treasury Notes, 3M USTMMR + 0.115%, FRN
(r) 1.752%, 01/31/21................................................. 13,000 12,985,340
U.S. Treasury Notes, 3M USTMMR + 0.139%, FRN
(r) 1.776%, 04/30/21................................................. 13,000 12,983,304
------------
TOTAL U.S. TREASURY OBLIGATIONS....................................... 64,730,061
------------
TOTAL INVESTMENT SECURITIES
(Cost $120,957,589)............................................. 120,927,341
------------
SHARES
-------
TEMPORARY CASH INVESTMENTS -- (0.3%)
State Street Institutional U.S. Government Money Market Fund
1.752%......................................................... 340,639 340,639
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $121,298,228)............................................. $121,267,980
============
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
-------- ------------ ------- ------------
Agency Obligations............ -- $ 56,197,280 -- $ 56,197,280
U.S. Treasury Obligations..... -- 64,730,061 -- 64,730,061
Temporary Cash Investments.... $340,639 -- -- 340,639
-------- ------------ -- ------------
TOTAL......................... $340,639 $120,927,341 -- $121,267,980
======== ============ == ============
See accompanying Notes to Financial Statements.
298
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA TWO-YEAR DFA TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO* PORTFOLIO
------------ ------------
ASSETS:
Investment Securities at Value (including $1,012 and $0 of securities on loan, respectively)......... $ 104,058 $ 120,927
Temporary Cash Investments at Value & Cost........................................................... 512 341
Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,034 and $0).. 1,035 --
Receivables:
Dividends and Interest............................................................................ 301 12
Fund Shares Sold.................................................................................. 341 --
Prepaid Expenses and Other Assets.................................................................... 6 10
------------ ------------
Total Assets.................................................................................. 106,253 121,290
------------ ------------
LIABILITIES:
Payables:
Upon Return of Securities Loaned.................................................................. 1,033 --
Fund Shares Redeemed.............................................................................. 9 99
Due to Advisor.................................................................................... 13 16
Accrued Expenses and Other Liabilities............................................................... 25 27
------------ ------------
Total Liabilities............................................................................. 1,080 142
------------ ------------
NET ASSETS........................................................................................... $ 105,173 $ 121,148
============ ============
Institutional Class Shares -- based on net assets of $105,173 and $121,148 and shares outstanding of
10,543,976 and 12,394,946, respectively............................................................ $ 9.97 $ 9.77
============ ============
NUMBER OF SHARES AUTHORIZED.......................................................................... 300,000,000 300,000,000
============ ============
Investment Securities at Cost........................................................................ $ 103,958 $ 120,958
============ ============
NET ASSETS CONSIST OF:
Paid-In Capital...................................................................................... $ 105,231 $ 122,453
Total Distributable Earnings (Loss).................................................................. (58) (1,305)
------------ ------------
NET ASSETS........................................................................................... $ 105,173 $ 121,148
============ ============
--------
* See Note H in the Notes to Financial Statements for additional information
about securities lending collateral.
See accompanying Notes to Financial Statements.
299
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
DFA TWO-YEAR DFA TWO-YEAR
FIXED INCOME GOVERNMENT
PORTFOLIO# PORTFOLIO
------------ ------------
INVESTMENT INCOME
Interest..................................................................... $3,067 $2,920
Income from Securities Lending............................................... 1 --
------ ------
Total Investment Income............................................... 3,068 2,920
------ ------
FUND EXPENSES
Investment Management Fees................................................... 177 189
Accounting & Transfer Agent Fees............................................. 54 56
Custodian Fees............................................................... 6 2
Filing Fees.................................................................. 33 48
Shareholders' Reports........................................................ 18 17
Directors'/Trustees' Fees & Expenses......................................... 1 --
Professional Fees............................................................ 4 4
Other........................................................................ 6 7
------ ------
Total Fund Expenses................................................... 299 323
------ ------
Net Expenses................................................................. 299 323
------ ------
NET INVESTMENT INCOME (LOSS)................................................. 2,769 2,597
------ ------
REALIZED AND UNREALIZED GAIN (LOSS)
Net Realized Gain (Loss) on:
Investment Securities Sold**............................................. 332 131
Affiliated Investment Companies Shares Sold.............................. 1 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................... 658 636
Affiliated Investment Companies Shares................................... 1 --
------ ------
NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 992 767
------ ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $3,761 $3,364
====== ======
--------
** Net of foreign capital gain taxes withheld of $0 and $0, respectively.
# Portion of income is from investment in affiliated fund.
See accompanying Notes to Financial Statements.
300
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
DFA TWO-YEAR FIXED DFA TWO-YEAR
INCOME PORTFOLIO GOVERNMENT PORTFOLIO
------------------ ------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2019 2018
-------- -------- -------- --------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).................................................. $ 2,769 $ 1,902 $ 2,597 $ 1,992
Net Realized Gain (Loss) on:
Investment Securities Sold*,**............................................ 332 (498) 131 (1,024)
Affiliated Investment Companies Shares Sold............................... 1 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................................ 658 (425) 636 (347)
Affiliated Investment Companies Shares.................................... 1 -- -- --
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations........ 3,761 979 3,364 621
-------- -------- -------- --------
Distributions:
Institutional Class Shares................................................ (2,848) (1,635) (2,614) (1,767)
-------- -------- -------- --------
Total Distributions.................................................... (2,848) (1,635) (2,614) (1,767)
-------- -------- -------- --------
Capital Share Transactions (1):
Shares Issued................................................................. 36,301 60,182 37,078 35,971
Shares Issued in Lieu of Cash Distributions................................... 2,848 1,635 2,613 1,767
Shares Redeemed............................................................... (63,458) (11,407) (43,503) (25,316)
-------- -------- -------- --------
Net Increase (Decrease) from Capital Share Transactions................ (24,309) 50,410 (3,812) 12,422
-------- -------- -------- --------
Total Increase (Decrease) in Net Assets................................ (23,396) 49,754 (3,062) 11,276
NET ASSETS
Beginning of Year............................................................. 128,569 78,815 124,210 112,934
-------- -------- -------- --------
End of Year................................................................... $105,173 $128,569 $121,148 $124,210
======== ======== ======== ========
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................................................................. 3,644 6,065 3,798 3,689
Shares Issued in Lieu of Cash Distributions................................... 286 165 268 182
Shares Redeemed............................................................... (6,366) (1,150) (4,453) (2,594)
-------- -------- -------- --------
Net Increase (Decrease) from Shares Issued and Redeemed................ (2,436) 5,080 (387) 1,277
======== ======== ======== ========
--------
* 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.
301
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA TWO-YEAR FIXED INCOME 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.................................... $ 9.91 $ 9.98 $ 10.00 $ 10.02 $ 10.02
-------- -------- ------- ------- -------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)....................................... 0.23 0.19 0.11 0.08 0.04
Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.07 (0.10) (0.02) (0.01) 0.02
-------- -------- ------- ------- -------
Total from Investment Operations............................... 0.30 0.09 0.09 0.07 0.06
-------- -------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.24) (0.16) (0.11) (0.07) (0.04)
Net Realized Gains................................................. -- -- -- (0.02) (0.02)
-------- -------- ------- ------- -------
Total Distributions............................................ (0.24) (0.16) (0.11) (0.09) (0.06)
-------- -------- ------- ------- -------
Net Asset Value, End of Year.......................................... $ 9.97 $ 9.91 $ 9.98 $ 10.00 $ 10.02
======== ======== ======= ======= =======
Total Return.......................................................... 3.07% 0.86% 0.92% 0.74% 0.57%
-------- -------- ------- ------- -------
Net Assets, End of Year (thousands)................................... $105,173 $128,569 $78,815 $81,168 $91,779
Ratio of Expenses to Average Net Assets............................... 0.25% 0.21% 0.24% 0.29% 0.29%
Ratio of Net Investment Income to Average Net Assets.................. 2.34% 1.92% 1.14% 0.75% 0.43%
Portfolio Turnover Rate............................................... 50% 89% 115% 93% 238%
-------- -------- ------- ------- -------
DFA TWO-YEAR GOVERNMENT 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.................................... $ 9.72 $ 9.81 $ 9.88 $ 9.90 $ 9.92
-------- -------- -------- -------- --------
Income from Investment Operations (A)
-------------------------------------
Net Investment Income (Loss)....................................... 0.20 0.17 0.09 0.05 0.03
Net Gains (Losses) on Securities (Realized and Unrealized)......... 0.05 (0.11) (0.07) 0.01 0.01
-------- -------- -------- -------- --------
Total from Investment Operations............................... 0.25 0.06 0.02 0.06 0.04
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.............................................. (0.20) (0.15) (0.09) (0.05) (0.03)
Net Realized Gains................................................. -- -- -- (0.03) (0.03)
-------- -------- -------- -------- --------
Total Distributions............................................ (0.20) (0.15) (0.09) (0.08) (0.06)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.......................................... $ 9.77 $ 9.72 $ 9.81 $ 9.88 $ 9.90
======== ======== ======== ======== ========
Total Return.......................................................... 2.63% 0.60% 0.19% 0.58% 0.38%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)................................... $121,148 $124,210 $112,934 $115,499 $133,648
Ratio of Expenses to Average Net Assets............................... 0.26% 0.20% 0.23% 0.28% 0.28%
Ratio of Net Investment Income to Average Net Assets.................. 2.06% 1.76% 0.93% 0.55% 0.31%
Portfolio Turnover Rate............................................... 57% 115% 176% 118% 262%
-------- -------- -------- -------- --------
See page 1 - 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
302
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are generally offered to institutional investors, retirement plans and
clients of registered investment advisors. The Fund consists of twelve
portfolios, two of which, DFA Two-Year Fixed Income Portfolio and DFA Two-Year
Government Portfolio (the "Portfolios") are presented in this report. The
remaining operational portfolios are presented in separate reports. The
Portfolios are investment companies, and accordingly, follow the accounting and
reporting guidance under the Financial Accounting Standards Board ("FASB")
Accounting Standards Certification ("ASC"), Topic 946, "Financial
Services-Investment Companies."
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Portfolios use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities (including equity securities, open-end investment companies,
and futures contracts)
. Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
. Level 3 - significant unobservable inputs (including the Portfolios' own
assumptions in determining the fair value of investments)
Debt securities held by the Portfolios are valued on the basis of evaluated
prices provided by one or more pricing services or other reasonably reliable
sources including broker/dealers that typically handle the purchase and sale of
such securities. Securities that are traded over-the-counter and on a stock
exchange generally will be valued according to the broadest and most
representative market, and it is expected that for bonds and other fixed income
securities, this ordinarily will be the over-the-counter market. Securities for
which quotations are not readily available (including restricted securities),
or for which market quotations have become unreliable, are valued in good faith
at fair value in accordance with procedures adopted by the Board of Directors
of the Fund. Fair value pricing may also be used if events that have a
significant effect on the value of an investment (as determined in the
discretion of Dimensional Fund Advisors LP) occur before the net asset value of
the Portfolio is calculated. When fair value pricing is used, the prices of
securities used by the Portfolios may differ from the quoted or published
prices for the same securities on their primary markets or exchanges. These
securities are generally categorized as Level 2 in the hierarchy.
A summary of the inputs used to value the Portfolios' investments by each
major security type, industry and/or country is disclosed previously in this
note. Valuation hierarchy tables have been included at the end of the Schedules
of Investments. The methodology or inputs used for valuing securities are not
necessarily an indication of the risk associated with investing in those
securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio,
303
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.
C. INVESTMENT ADVISOR:
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:
DFA Two-Year Fixed Income Portfolio... 0.15%
DFA Two-Year Government Portfolio..... 0.15%
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2019, the total related amount paid by the Fund
to the CCO was $30 (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):
DFA Two-Year Fixed Income Portfolio... $5
DFA Two-Year Government Portfolio..... 8
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Portfolios made the following
purchases and sales of investment securities, other than short-term securities
and in-kind redemptions (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
------------------ -----------------
PURCHASES SALES PURCHASES SALES
--------- -------- --------- -------
DFA Two-Year Fixed Income Portfolio.. $17,921 $ 33,837 $31,258 $83,491
DFA Two-Year Government Portfolio.... 50,311 137,226 -- --
For the year ended October 31, 2019, transactions related to Affiliated
Investment Companies, excluding in-kind redemptions, are presented below.
304
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments, 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 AS
BALANCE AT PROCEEDS GAIN/ UNREALIZED BALANCE AT OF
OCTOBER 31, PURCHASES FROM (LOSS) APPRECIATION/ OCTOBER 31, OCTOBER 31, DIVIDEND CAPITAL GAIN
2018 AT COST SALES ON SALES DEPRECIATION 2019 2019 INCOME DISTRIBUTIONS
----------- --------- -------- -------- ------------- ----------- ----------- -------- -------------
DFA TWO-YEAR FIXED
INCOME PORTFOLIO
The DFA Short Term
Investment Fund.. -- $71,167 $70,133 -- $1 $1,035 89 $31 --
-- ------- ------- -- -- ------ -- --- --
TOTAL.............. -- $71,167 $70,133 -- $1 $1,035 89 $31 --
== ======= ======= == == ====== == === ==
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- LONG-
TERM TERM TAX
CAPITAL CAPITAL EXEMPT
GAINS GAINS INCOME TOTAL
---------- ------- ------ ------
DFA Two-Year Fixed Income Portfolio
2018................................ $1,635 -- -- $1,635
2019................................ 2,848 -- -- 2,848
DFA Two-Year Government Portfolio
2018................................ 1,767 -- -- 1,767
2019................................ 2,614 -- -- 2,614
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- LONG-
TERM TERM
CAPITAL CAPITAL
GAINS GAINS TOTAL
---------- ------- -----
DFA Two-Year Fixed Income Portfolio.......... $(107) -- $(107)
DFA Two-Year Government Portfolio............ (85) -- (85)
305
As of October 31, 2019, the components of distributable earnings
(accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED
NET TOTAL NET
INVESTMENT DISTRIBUTABLE
INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS
SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS CARRYFORWARDS (DEPRECIATION) LOSSES)
------------- ------------- ------------- -------------- -------------
DFA Two-Year Fixed
Income Portfolio... $149 -- $ (301) $100 $ (52)
DFA Two-Year
Government
Portfolio.......... 177 -- (1,445) (30) (1,298)
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
--------- ------
DFA Two-Year Fixed Income Portfolio.......... $ 301 $ 301
DFA Two-Year Government Portfolio............ 1,445 1,445
During the year ended October 31, 2019, the Portfolios used the following
capital loss carryforwards to offset realized capital gains for federal income
tax purposes (amounts in thousands):
DFA Two-Year Fixed Income Portfolio.......... $334
DFA Two-Year Government Portfolio............ 130
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 Two-Year Fixed Income Portfolio..... $105,504 $111 $(16) $ 95
DFA Two-Year Government Portfolio....... 121,298 9 (39) (30)
The difference between GAAP-basis and tax-basis unrealized gains (losses) is
attributable primarily to wash sales and net mark to market gains (losses) on
regulated futures contracts, net mark-to-market gain/loss on foreign currency
contracts, and differences in the tax treatment of passive foreign investment
company investments.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed the
Portfolios' tax positions and has concluded that no additional provision for
income tax is required in the Portfolios' financial statements. The Portfolios
are not aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. The Portfolios' federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. 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
306
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.
There were no borrowings by the Portfolios under the lines of credit during
the year ended October 31, 2019.
Pursuant to an exemptive order issued by the SEC (the "Order"), the
Portfolios may participate in an interfund lending program among certain
portfolios managed by the Advisor. The program allows the participating
portfolios to borrow money from and loan money to each other for temporary or
emergency purposes, subject to the conditions in the Order. A loan can only be
made through the program if the interfund loan rate on that day is more
favorable to both the borrowing and lending portfolios as compared to rates
available through short-term bank loans or investments in overnight repurchase
agreements and money market funds, respectively, as detailed in the Order.
Further, a portfolio may participate in the program only if and to the extent
that such participation is consistent with its investment objectives and
limitations. Interfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Portfolios did not use the interfund lending program during the year
ended October 31, 2019.
H. SECURITIES LENDING:
Each Portfolio with securities on loan invests the cash collateral, as
described below, and records a liability for the return of the collateral,
during the period the securities are on loan. Loans of securities are expected
at all times to be secured by collateral in an amount (i) equal to at least
100% of the current market value of the loaned securities with respect to
securities of the U.S. government or its agencies, (ii) generally equal to 102%
of the current market value of the loaned securities with respect to U.S.
securities, and (iii) generally equal to 105% of the current market value of
the loaned securities with respect to foreign securities. However, daily market
fluctuations could cause the Portfolios' collateral to be lower or higher than
the expected thresholds. If this were to occur, the collateral would be
adjusted the next business day to ensure adequate collateralization. In the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. If the
borrower fails to return loaned securities, cash collateral being maintained by
the borrower is insufficient to cover the value of loaned securities, and such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Portfolio or, at the
option of the lending agent, to replace the securities. In the event of the
bankruptcy of the borrower, the Portfolio could experience delay in recovering
the loaned securities or only recover cash or a security of equivalent value.
Subject to their stated investment policies, each Portfolio with securities
on loan will generally invest the cash collateral received for the loaned
securities in the Money Market Series, an affiliated registered money market
fund advised by the Advisor for which the Advisor receives a management fee of
0.05% of the average daily net assets of the Money Market Series. Income
received from the Money Market Series is netted with fees for securities
lending and collateral investment expenses and with other payments to and from
borrowers of securities. Such Portfolios also may invest the cash collateral
received for the loaned securities in securities of the U.S. government or its
agencies, repurchase agreements collateralized by securities of the U.S.
government or its agencies, and affiliated or unaffiliated money market funds
that are registered or unregistered. For purposes of this paragraph, agencies
include
307
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 BETWEEN
AND 30 & 90
CONTINUOUS <30 DAYS DAYS >90 DAYS TOTAL
---------- -------- ------- -------- ------
SECURITIES LENDING TRANSACTIONS DFA TWO-YEAR FIXED INCOME PORTFOLIO
Bonds, U.S. Treasury Obligations................................. $1,033 -- -- -- $1,033
I. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
J. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Portfolios' 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.
K. 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
OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -----------
DFA Two-Year Fixed Income Portfolio.......... 4 100%
DFA Two-Year Government Portfolio............ 3 92%
308
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.
L. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the
Portfolios through the date on which the financial statements were issued and
has determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
309
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of DFA Two-Year Fixed Income Portfolio and DFA Two-Year Government Portfolio
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of DFA Two-Year Fixed Income Portfolio
and DFA Two-Year Government Portfolio (two of the portfolios constituting
Dimensional Investment Group Inc., hereafter collectively referred to as the
"Portfolios") as of October 31, 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 Portfolios 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 Portfolios'
management. Our responsibility is to express an opinion on the Portfolios'
financial statements based on our audits. We are a public accounting firm
registered with the Public Company Accounting Oversight Board (United States)
(PCAOB) and are required to be independent with respect to the Portfolios in
accordance with the U.S. federal securities laws and the applicable rules and
regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the custodian 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.
310
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.
311
DISINTERESTED DIRECTORS
OTHER DIRECTORSHIPS
TERM OF PORTFOLIOS WITHIN OF PUBLIC
OFFICE/1/ AND THE DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN YEARS
----------------- -------- ----------- ----------------------------- ----------------- -------------------
George M. Director Since 1983 Leo Melamed Professor of 128 portfolios None
Constantinides Finance, University of in 4 investment
University of Chicago Chicago Booth School of companies
Booth School of Business (since 1978).
Business 5807 S.
Woodlawn Avenue
Chicago, IL 60637
1947
Douglas W. Director Since 2017 Merton H. Miller 128 portfolios None
Diamond Distinguished Service in 4 investment
c/o Dimensional Fund Professor of Finance, companies
Advisors LP 6300 Bee University of Chicago Booth
Cave Road, Building School of Business (since
One Austin, TX 78746 1988). Visiting Scholar,
Federal Reserve Bank of
1953 Richmond (since 1990).
Formerly, Fischer Black
Visiting Professor of
Financial Economics, Alfred
P. Sloan School of
Management, Massachusetts
Institute of Technology (2015
to 2016).
Darrell Duffie Director Since March Dean Witter Distinguished 128 portfolios Formerly,
c/o Dimensional Fund 2019 Professor of Finance, in 4 investment Director,
Advisors LP 6300 Bee Graduate School of Business, companies Moody's
Cave Road, Building Stanford University (since Corporation
One Austin, TX 78746 1984). (financial
information and
1954 information
technology)
(2008-April
2018).
Roger G. Ibbotson Director Since 1981 Professor in Practice 128 portfolios None
Yale School of Emeritus of Finance, Yale in 4 investment
Management School of Management (since companies
P.O. Box 208200 New 1984). Chairman and Partner,
Haven, CT 06520-8200 Zebra Capital Management, LLC
(hedge fund and asset
1943 manager) (since 2001).
Formerly, Consultant to
Morningstar, Inc. (2006 -
2016).
Edward P. Lazear Director Since 2010 Distinguished Visiting 128 portfolios None
Stanford University Fellow, Becker Friedman in 4 investment
Graduate School of Institute for Research in companies
Business Economics, University of
Knight Management Chicago (since 2015). Morris
Center, E346 Stanford, Arnold Cox Senior Fellow,
CA 94305 Hoover Institution (since
2002). Davies Family
1948 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 Formerly,
c/o Dimensional Fund Janus Henderson Investors in 4 investment Adviser,
Advisors LP 6300 Bee (since 2014). Frank E. Buck companies Kuapay, Inc.
Cave Road, Building Professor of Finance, (2013-2014).
One Austin, Emeritus, Graduate School of Formerly,
TX 78746 Business, Stanford University Director,
(since 1981). American
1941 Century Fund
Complex
(registered
investment
companies) (43
Portfolios)
(1980-2014).
312
OTHER DIRECTORSHIPS
TERM OF PORTFOLIOS WITHIN OF PUBLIC
OFFICE/1/ AND THE DFA FUND COMPANIES HELD
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ DURING PAST 5
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
----------------- -------- ----------- ------------------------------------------ ----------------- -------------------
Abbie J. Smith Director Since 2000 Boris and Irene Stern Distinguished 128 portfolios Director (since
University of Chicago Service Professor of Accounting, in 4 investment 2000) and
Booth School of University of Chicago Booth School of companies formerly, Lead
Business 5807 S. Business (since 1980). Director (2014-
Woodlawn Avenue 2017), HNI
Chicago, IL 60637 Corporation
(office
1953 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 Professor of 128 portfolios Director, Fourth
c/o Dimensional Fund 2019 Finance, Fisher College of Business, The in 4 investment Swedish AP
Advisors LP 6300 Bee Ohio State University (since 1998). companies Fund (pension
Cave Road, Building Adjunct Member, the Prize Committee for fund asset
One Austin, TX 78746 the Swedish Riksbank Prize in Economic management)
Sciences in Memory of Alfred Nobel (since 2017).
1961 (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).
313
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.
TERM OF PORTFOLIOS WITHIN OTHER DIRECTORSHIPS
OFFICE/1/ AND THE DFA FUND OF PUBLIC
NAME, ADDRESS AND YEAR OF LENGTH OF PRINCIPAL OCCUPATION DURING COMPLEX/2/ COMPANIES HELD
BIRTH POSITION SERVICE PAST 5 YEARS OVERSEEN DURING PAST 5 YEARS
------------------------- -------- ----------- ----------------------------- ----------------- -------------------
David G. Booth Chairman Since 1981 Chairman, Director/Trustee, 128 portfolios None
6300 Bee Cave Road, and and formerly, President and in 4 investment
Building One Director 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.
314
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 2017 Co-Chief Executive Officer (since 2017) of
1964 Officer
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive Officer (since 2017) of
. Dimensional Cayman Commodity Fund I Ltd.
Head of Global Financial Advisor Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 - 2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017) of
1972 President
. all the DFA entities
Director and Vice President (since 2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors Canada ULC
Vice President (since 2008) and Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte. Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte. Ltd.
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
315
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH
BIRTH POSITION OF SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS
---------------- ----------------------- ---------------- -----------------------------------------------------------
Christopher S. Vice President and Since 2004 Vice President and Global Chief Compliance Officer (since
Crossan Global Chief 2004) of
1965 Compliance Officer
. all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006) and Chief Privacy
Officer (since 2015) of
. Dimensional Fund Advisors Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte. Ltd. (since 2012)
. Dimensional Japan Ltd. (since 2017)
Formerly, Vice President and Global Chief Compliance
Officer (2010 - 2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Hinkle Vice President, Chief Vice President Vice President, Chief Financial Officer, and Treasurer
1958 Financial Officer, and since 2015 (since 2016) of
Treasurer and Chief
Financial . all the DFA Entities
Officer
and . Dimensional Advisors Ltd.
Treasurer since
2016 . Dimensional Fund Advisors Ltd.
. 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 President Vice President (since 2015) of
1971 Assistant Treasurer since 2015
and . all the DFA Entities
Assistant
Treasurer Assistant Treasurer (since 2017) of
since 2017
. the DFA Fund Complex
Formerly, Senior Tax Manager (2013 - 2015) for
. Dimensional Fund Advisors LP
Kenneth M. Manell Vice President Since 2010 Vice President (since 2010) of
1972
. all the DFA Entities
. Dimensional Cayman Commodity Fund I Ltd.
Catherine L. Newell President and General President President (since 2017) of
1964 Counsel since 2017
and . the DFA Fund Complex
General Counsel
since 2001 General Counsel (since 2001) of
. All the DFA Entities
Executive Vice President (since 2017) and Secretary (since
2000) of
316
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 2013 Vice President and Deputy Chief Compliance Officer of
1961 Deputy Chief
Compliance Officer . the DFA Fund Complex (since 2013)
. Dimensional Fund Advisors LP (since 2012)
Carolyn L. O Vice President and Vice President Vice President (since 2010) and Secretary (since 2017) of
1974 Secretary since 2010
and . the DFA Fund Complex
Secretary
since 2017 Vice President (since 2010) and Assistant Secretary (since
2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Canada ULC (since 2016)
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)
317
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.
318
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.
319
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
NET CORPORATE
DFA INVESTMENT INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
DIMENSIONS GROUP INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
---------------- ------------- ------------- ------------- --------- ---------- ------------- ------------- ----------
DFA One-Year Fixed
Income Portfolio.. 100% -- -- -- -- 100% -- --
DFA Two-Year Global
Fixed Income
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Selectively
Hedged Global
Fixed Income
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Five-Year
Global Fixed
Income Portfolio.. 100% -- -- -- -- 100% -- --
DFA World ex U.S.
Government Fixed
Income Portfolio.. 95% -- 5% -- -- 100% -- --
DFA Short-Term
Government
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Intermediate
Government Fixed
Income Portfolio.. 100% -- -- -- -- 100% -- --
DFA Short-Term
Extended Quality
Portfolio......... 100% -- -- -- -- 100% -- --
DFA
Intermediate-Term
Extended Quality
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Targeted Credit
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Global Core
Plus Fixed Income
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Investment
Grade Portfolio... 100% -- -- -- -- 100% -- --
DFA Diversified
Fixed Income
Portfolio......... 100% -- -- -- -- 100% -- --
DFA LTIP Portfolio.. 85% -- 15% -- -- 100% -- --
DFA Inflation-
Protected
Securities
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Short-Duration
Real Return
Portfolio......... 100% -- -- -- -- 100% -- --
DFA Municipal Real
Return Portfolio.. -- -- -- -- 100% 100% -- --
DFA California
Municipal Real
Return Portfolio.. -- -- -- -- 100% 100% -- --
DFA Municipal Bond
Portfolio......... -- -- -- -- 100% 100% -- --
DFA Short-Term
Municipal Bond
Portfolio......... -- -- -- -- 100% 100% -- --
QUALIFYING
SHORT-
DFA INVESTMENT U.S. FOREIGN FOREIGN QUALIFYING TERM
DIMENSIONS GROUP GOVERNMENT TAX SOURCE INTEREST CAPITAL
INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
---------------- ------------ ---------- ---------- ---------- ----------
DFA One-Year Fixed
Income Portfolio.. 15% -- -- 39% --
DFA Two-Year Global
Fixed Income
Portfolio......... 7% -- -- 18% --
DFA Selectively
Hedged Global
Fixed Income
Portfolio......... 9% -- -- 38% --
DFA Five-Year
Global Fixed
Income Portfolio.. 1% -- -- 5% --
DFA World ex U.S.
Government Fixed
Income Portfolio.. -- -- -- -- --
DFA Short-Term
Government
Portfolio......... 100% -- -- 100% --
DFA Intermediate
Government Fixed
Income Portfolio.. 94% -- -- 100% --
DFA Short-Term
Extended Quality
Portfolio......... 6% -- -- 46% --
DFA
Intermediate-Term
Extended Quality
Portfolio......... 2% -- -- 85% --
DFA Targeted Credit
Portfolio......... -- -- -- 72% --
DFA Global Core
Plus Fixed Income
Portfolio......... 1% -- -- 40% --
DFA Investment
Grade Portfolio... 34% -- -- 95% --
DFA Diversified
Fixed Income
Portfolio......... 3% -- -- 4% --
DFA LTIP Portfolio.. 41% -- -- 41% --
DFA Inflation-
Protected
Securities
Portfolio......... 30% -- -- 30% --
DFA Short-Duration
Real Return
Portfolio......... 4% -- -- 53% --
DFA Municipal Real
Return Portfolio.. -- -- -- -- --
DFA California
Municipal Real
Return Portfolio.. -- -- -- -- --
DFA Municipal Bond
Portfolio......... -- -- -- -- --
DFA Short-Term
Municipal Bond
Portfolio......... -- -- -- 1% --
See accompanying Notes to Financial Statements.
320
QUALIFYING
FOR
" NET CORPORATE
DFA INVESTMENT INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS QUALIFYING
DIMENSIONS GROUP INCOME CAPITAL GAIN CAPITAL GAIN RETURN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
---------------- ------------- ------------- ------------- --------- ---------- ------------- ------------- ----------
DFA
Intermediate-Term
Municipal Bond
Portfolio......... -- -- -- -- 100% 100% -- --
DFA California
Short- Term
Municipal Bond
Portfolio......... -- -- -- -- 100% 100% -- --
DFA California
Intermediate-Term
Municipal Bond
Portfolio......... -- -- -- -- 100% 100% -- --
DFA NY Municipal
Bond Portfolio.... -- -- -- -- 100% 100% -- --
DFA MN Municipal
Bond Portfolio.... -- -- -- -- 100% 100% -- --
DFA Oregon
Municipal Bond
Portfolio......... -- -- -- -- 100% 100% -- --
DIMENSIONAL
INVESTMENT GROUP
INC.
----------------
DFA Two-Year Fixed
Income Portfolio.. 100% -- -- -- -- 100% -- --
DFA Two-Year
Government
Portfolio......... 100% -- -- -- -- 100% -- --
QUALIFYING
" SHORT-
DFA INVESTMENT U.S. FOREIGN FOREIGN QUALIFYING TERM
DIMENSIONS GROUP GOVERNMENT TAX SOURCE INTEREST CAPITAL
INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
---------------- ------------ ---------- ---------- ---------- ----------
DFA
Intermediate-Term
Municipal Bond
Portfolio......... -- -- -- -- --
DFA California
Short- Term
Municipal Bond
Portfolio......... -- -- -- -- --
DFA California
Intermediate-Term
Municipal Bond
Portfolio......... -- -- -- -- --
DFA NY Municipal
Bond Portfolio.... -- -- -- -- --
DFA MN Municipal
Bond Portfolio.... -- -- -- -- --
DFA Oregon
Municipal Bond
Portfolio......... -- -- -- -- --
DIMENSIONAL
INVESTMENT GROUP
INC.
----------------
DFA Two-Year Fixed
Income Portfolio.. 14% -- -- 37% --
DFA Two-Year
Government
Portfolio......... 100% -- -- 100% --
(1)Qualifying Dividends represents dividends that qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
income distributions (the total of short-term capital gain and net
investment income distributions).
(2)The percentage in this column represents the amount of "Qualifying Dividend
Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of
2003 and is reflected as a percentage of ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
Please note that these percentages are designated only, refer to your 1099
for actual qualified dividend income.
(3)"U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax.
(4)"Foreign Tax Credit" represents dividends which qualify for the foreign tax
credit pass through and is reflected as a percentage of investment company
taxable income.
(5)"Foreign Source Income" represents the portion of dividends derived from
foreign sources, and is reflected as a percentage of investment company
taxable income.
(6)The percentage in this column represents the amount of "Qualifying Interest
Income" as created by The American Jobs Creation Act of 2004. The
information is reflected as a percentage ordinary income distributions (the
total of short-term capital gain and net investment income distributions).
(7)The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by The American Jobs Creation Act of
2004. The information is reflected as a percentage of ordinary income
distributions (the total of short-term capital gain and net investment
income distributions).
See accompanying Notes to Financial Statements.
321
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[GRAPHIC] Recycled Recyclable DFA103119-024A
00237501
LOGO
Annual Report
YEAR ENDED: OCTOBER 31, 2019
--------------------------------------------------------------------------------
DIMENSIONAL INVESTMENT GROUP INC.
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO
GLOBAL ALLOCATION 60/40 PORTFOLIO
GLOBAL ALLOCATION 25/75 PORTFOLIO
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
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
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DIMENSIONAL INVESTMENT GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
PAGE
----
LETTER TO SHAREHOLDERS
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES................................. 1
Performance Charts...................................................... 2
Management's Discussion and Analysis.................................... 5
Disclosure of Fund Expenses............................................. 10
Disclosure of Portfolio Holdings........................................ 12
Schedules of Investments
Global Equity Portfolio............................................. 13
Global Allocation 60/40 Portfolio................................... 14
Global Allocation 25/75 Portfolio................................... 15
Statements of Assets and Liabilities.................................... 16
Statements of Operations................................................ 17
Statements of Changes in Net Assets..................................... 18
Financial Highlights.................................................... 19
Notes to Financial Statements........................................... 23
Report of Independent Registered Public Accounting Firm................. 35
Section 19(a) Notice.................................................... 36
FUND MANAGEMENT............................................................ 37
Board of Directors or Trustees Table.................................... 38
VOTING PROXIES ON FUND PORTFOLIO SECURITIES................................ 45
NOTICE TO SHAREHOLDERS..................................................... 46
This report is submitted for the information of the Global Fund's shareholders.
It is not authorized for distribution to prospective investors unless preceded
or accompanied by an effective prospectus.
i
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DIMENSIONAL INVESTMENT GROUP INC.
DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES
SCHEDULES OF INVESTMENTS
------------------------
Investment Footnotes
+ See Note B to Financial Statements.
FINANCIAL HIGHLIGHTS
--------------------
(A) Computed using average shares outstanding.
(B) Represents the combined ratios for the respective Portfolio and its respective pro-rata
share of its Underlying Funds.
ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS
-----------------------------------------------------------
-- Amounts designated as -- are either zero or rounded to zero.
SEC Securities and Exchange Commission
1
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO - INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Global Equity Portfolio - MSCI World Index
Institutional Class (net dividends)
--------------------------- ------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,410 10,409
12/31/2009 10,774 10,596
1/31/2010 10,381 10,158
2/28/2010 10,662 10,301
3/31/2010 11,438 10,939
4/30/2010 11,682 10,940
5/31/2010 10,604 9,892
6/30/2010 10,107 9,553
7/31/2010 10,966 10,328
8/31/2010 10,428 9,942
9/30/2010 11,531 10,869
10/31/2010 11,957 11,274
11/30/2010 11,882 11,031
12/31/2010 12,859 11,842
1/31/2011 13,079 12,109
2/28/2011 13,536 12,533
3/31/2011 13,618 12,410
4/30/2011 14,096 12,937
5/31/2011 13,809 12,669
6/30/2011 13,555 12,468
7/31/2011 13,199 12,242
8/31/2011 12,142 11,380
9/30/2011 10,847 10,397
10/31/2011 12,151 11,472
11/30/2011 11,967 11,192
12/31/2011 11,907 11,186
1/31/2012 12,685 11,747
2/29/2012 13,269 12,321
3/31/2012 13,445 12,479
4/30/2012 13,260 12,338
5/31/2012 12,130 11,273
6/30/2012 12,682 11,847
7/31/2012 12,731 11,999
8/31/2012 13,104 12,304
9/30/2012 13,537 12,642
10/31/2012 13,488 12,556
11/30/2012 13,646 12,717
12/31/2012 14,079 12,956
1/31/2013 14,815 13,616
2/28/2013 14,884 13,639
3/31/2013 15,308 13,958
4/30/2013 15,577 14,398
5/31/2013 15,786 14,403
6/30/2013 15,459 14,048
7/31/2013 16,322 14,788
8/31/2013 15,911 14,473
9/30/2013 16,770 15,197
10/31/2013 17,425 15,792
11/30/2013 17,777 16,072
12/31/2013 18,183 16,412
1/31/2014 17,514 15,804
2/28/2014 18,385 16,596
3/31/2014 18,558 16,620
4/30/2014 18,588 16,790
5/31/2014 18,913 17,120
6/30/2014 19,402 17,427
7/31/2014 18,942 17,148
8/31/2014 19,514 17,526
9/30/2014 18,741 17,051
10/31/2014 18,998 17,161
11/30/2014 19,193 17,505
12/31/2014 19,023 17,223
1/31/2015 18,621 16,911
2/28/2015 19,725 17,901
3/31/2015 19,541 17,621
4/30/2015 19,883 18,034
5/31/2015 20,007 18,096
6/30/2015 19,653 17,676
7/31/2015 19,591 17,993
8/31/2015 18,424 16,802
9/30/2015 17,787 16,183
10/31/2015 19,011 17,465
11/30/2015 19,053 17,378
12/31/2015 18,507 17,073
1/31/2016 17,413 16,051
2/29/2016 17,392 15,932
3/31/2016 18,758 17,013
4/30/2016 19,001 17,282
5/31/2016 19,138 17,379
6/30/2016 19,027 17,184
7/31/2016 19,868 17,910
8/31/2016 19,995 17,925
9/30/2016 20,122 18,020
10/31/2016 19,706 17,672
11/30/2016 20,474 17,926
12/31/2016 20,900 18,355
1/31/2017 21,405 18,798
2/28/2017 21,941 19,319
3/31/2017 22,087 19,525
4/30/2017 22,367 19,814
5/31/2017 22,550 20,233
6/30/2017 22,826 20,311
7/31/2017 23,356 20,797
8/31/2017 23,334 20,827
9/30/2017 23,944 21,294
10/31/2017 24,499 21,696
11/30/2017 25,130 22,167
12/31/2017 25,530 22,466
1/31/2018 26,738 23,653
2/28/2018 25,585 22,673
3/31/2018 25,302 22,178
4/30/2018 25,390 22,433
5/31/2018 25,709 22,574
6/30/2018 25,564 22,563
7/31/2018 26,305 23,268
8/31/2018 26,714 23,556
9/30/2018 26,606 23,687
10/31/2018 24,441 21,948
11/30/2018 24,796 22,197
12/31/2018 22,598 20,509
1/31/2019 24,600 22,105
2/28/2019 25,342 22,770
3/31/2019 25,415 23,069
4/30/2019 26,374 23,887
5/31/2019 24,524 22,508
6/30/2019 26,219 23,992 Past performance is not predictive of
7/31/2019 26,310 24,110 future performance.
8/31/2019 25,527 23,617
9/30/2019 26,229 24,120 The returns shown do not reflect the
10/31/2019 26,891 24,734 deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL redemption of fund shares.
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- --------- MSCI data copyright MSCI 2019, all
10.03% 7.20% 10.40% rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL EQUITY PORTFOLIO - CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Global Equity Portfolio - MSCI World Index
Class R2 (net dividends)
--------------------------- ------------------
10/31/2009 $10,000 $10,000
11/30/2009 10,407 10,409
12/31/2009 10,770 10,596
1/31/2010 10,371 10,158
2/28/2010 10,650 10,301
3/31/2010 11,422 10,939
4/30/2010 11,664 10,940
5/31/2010 10,586 9,892
6/30/2010 10,086 9,553
7/31/2010 10,937 10,328
8/31/2010 10,404 9,942
9/30/2010 11,508 10,869
10/31/2010 11,921 11,274
11/30/2010 11,846 11,031
12/31/2010 12,819 11,842
1/31/2011 13,036 12,109
2/28/2011 13,489 12,533
3/31/2011 13,567 12,410
4/30/2011 14,039 12,937
5/31/2011 13,747 12,669
6/30/2011 13,486 12,468
7/31/2011 13,135 12,242
8/31/2011 12,081 11,380
9/30/2011 10,794 10,397
10/31/2011 12,081 11,472
11/30/2011 11,900 11,192
12/31/2011 11,832 11,186
1/31/2012 12,609 11,747
2/29/2012 13,195 12,321
3/31/2012 13,360 12,479
4/30/2012 13,177 12,338
5/31/2012 12,044 11,273
6/30/2012 12,598 11,847
7/31/2012 12,637 11,999
8/31/2012 13,005 12,304
9/30/2012 13,442 12,642
10/31/2012 13,383 12,556
11/30/2012 13,539 12,717
12/31/2012 13,963 12,956
1/31/2013 14,687 13,616
2/28/2013 14,745 13,639
3/31/2013 15,176 13,958
4/30/2013 15,440 14,398
5/31/2013 15,636 14,403
6/30/2013 15,316 14,048
7/31/2013 16,164 14,788
8/31/2013 15,750 14,473
9/30/2013 16,594 15,197
10/31/2013 17,247 15,792
11/30/2013 17,593 16,072
12/31/2013 17,986 16,412
1/31/2014 17,320 15,804
2/28/2014 18,175 16,596
3/31/2014 18,347 16,620
4/30/2014 18,367 16,790
5/31/2014 18,686 17,120
6/30/2014 19,164 17,427
7/31/2014 18,713 17,148
8/31/2014 19,274 17,526
9/30/2014 18,501 17,051
10/31/2014 18,753 17,161
11/30/2014 18,944 17,505
12/31/2014 18,774 17,223
1/31/2015 18,370 16,911
2/28/2015 19,461 17,901
3/31/2015 19,271 17,621
4/30/2015 19,605 18,034
5/31/2015 19,717 18,096
6/30/2015 19,373 17,676
7/31/2015 19,301 17,993
8/31/2015 18,151 16,802
9/30/2015 17,517 16,183
10/31/2015 18,722 17,465
11/30/2015 18,753 17,378
12/31/2015 18,214 17,073
1/31/2016 17,135 16,051
2/29/2016 17,115 15,932
3/31/2016 18,448 17,013
4/30/2016 18,686 17,282
5/31/2016 18,810 17,379
6/30/2016 18,700 17,184
7/31/2016 19,521 17,910
8/31/2016 19,646 17,925
9/30/2016 19,769 18,020
10/31/2016 19,353 17,672
11/30/2016 20,103 17,926
12/31/2016 20,513 18,355
1/31/2017 21,005 18,798
2/28/2017 21,529 19,319
3/31/2017 21,661 19,525
4/30/2017 21,933 19,814
5/31/2017 22,101 20,233
6/30/2017 22,378 20,311
7/31/2017 22,895 20,797
8/31/2017 22,863 20,827
9/30/2017 23,454 21,294
10/31/2017 23,994 21,696
11/30/2017 24,608 22,167
12/31/2017 25,001 22,466
1/31/2018 26,177 23,653
2/28/2018 25,044 22,673
3/31/2018 24,763 22,178
4/30/2018 24,837 22,433
5/31/2018 25,147 22,574
6/30/2018 25,001 22,563
7/31/2018 25,721 23,268
8/31/2018 26,108 23,556
9/30/2018 25,996 23,687
10/31/2018 23,882 21,948
11/30/2018 24,216 22,197
12/31/2018 22,066 20,509
1/31/2019 24,020 22,105
2/28/2019 24,741 22,770
3/31/2019 24,807 23,069
4/30/2019 25,737 23,887
5/31/2019 23,932 22,508
6/30/2019 25,571 23,992
7/31/2019 25,659 24,110 Past performance is not predictive of
8/31/2019 24,889 23,617 future performance.
9/30/2019 25,577 24,120
10/31/2019 26,207 24,734 The returns shown do not reflect the
deduction of taxes that a shareholder
would pay on fund distributions or the
AVERAGE ANNUAL redemption of fund shares.
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS
-------------- -------- ---------- --------- MSCI data copyright MSCI 2019, all
9.73% 6.92% 10.11% rights reserved.
--------------------------------------------------------------------------------
2
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO - INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
Global Allocation FTSE World
60/40 Government Bond Global 60/40
Portfolio - Index,1-3 Years, Composite
Institutional MSCI World Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/FTSE)
-------------- ----------------- --------------- ----------------
10/31/2009 $10,000 $10,000 $10,000 $10,000
11/30/2009 10,289 10,409 10,031 10,258
12/31/2009 10,456 10,596 10,009 10,359
1/31/2010 10,256 10,158 10,035 10,113
2/28/2010 10,428 10,301 10,066 10,211
3/31/2010 10,884 10,939 10,065 10,590
4/30/2010 11,057 10,940 10,063 10,590
5/31/2010 10,421 9,892 10,104 9,999
6/30/2010 10,169 9,553 10,114 9,797
7/31/2010 10,727 10,328 10,137 10,282
8/31/2010 10,444 9,942 10,159 10,061
9/30/2010 11,142 10,869 10,153 10,622
10/31/2010 11,427 11,274 10,164 10,864
11/30/2010 11,326 11,031 10,139 10,712
12/31/2010 11,892 11,842 10,144 11,187
1/31/2011 12,022 12,109 10,144 11,339
2/28/2011 12,290 12,533 10,141 11,575
3/31/2011 12,359 12,410 10,136 11,505
4/30/2011 12,712 12,937 10,153 11,806
5/31/2011 12,573 12,669 10,181 11,672
6/30/2011 12,441 12,468 10,185 11,563
7/31/2011 12,338 12,242 10,196 11,442
8/31/2011 11,797 11,380 10,255 10,985
9/30/2011 10,954 10,397 10,254 10,415
10/31/2011 11,808 11,472 10,245 11,058
11/30/2011 11,658 11,192 10,231 10,890
12/31/2011 11,636 11,186 10,289 10,911
1/31/2012 12,167 11,747 10,317 11,251
2/29/2012 12,528 12,321 10,331 11,587
3/31/2012 12,611 12,479 10,328 11,675
4/30/2012 12,535 12,338 10,337 11,600
5/31/2012 11,861 11,273 10,333 10,997
6/30/2012 12,223 11,847 10,345 11,338
7/31/2012 12,299 11,999 10,363 11,434
8/31/2012 12,548 12,304 10,388 11,619
9/30/2012 12,825 12,642 10,400 11,816
10/31/2012 12,796 12,556 10,406 11,770
11/30/2012 12,901 12,717 10,421 11,867
12/31/2012 13,154 12,956 10,428 12,005
1/31/2013 13,542 13,616 10,431 12,373
2/28/2013 13,591 13,639 10,444 12,392
3/31/2013 13,841 13,958 10,451 12,569
4/30/2013 14,036 14,398 10,473 12,817
5/31/2013 14,055 14,403 10,461 12,814
6/30/2013 13,767 14,048 10,449 12,619
7/31/2013 14,275 14,788 10,468 13,027
8/31/2013 14,011 14,473 10,464 12,858
9/30/2013 14,544 15,197 10,484 13,254
10/31/2013 14,926 15,792 10,504 13,575
11/30/2013 15,082 16,072 10,516 13,726
12/31/2013 15,255 16,412 10,508 13,896
1/31/2014 14,969 15,804 10,529 13,599
2/28/2014 15,452 16,596 10,538 14,011
3/31/2014 15,545 16,620 10,537 14,023
4/30/2014 15,594 16,790 10,546 14,115
5/31/2014 15,812 17,120 10,562 14,289
6/30/2014 16,061 17,427 10,569 14,446
7/31/2014 15,812 17,148 10,570 14,309
8/31/2014 16,140 17,526 10,586 14,507
9/30/2014 15,683 17,051 10,586 14,270
10/31/2014 15,833 17,161 10,601 14,334
11/30/2014 15,952 17,505 10,615 14,514
12/31/2014 15,821 17,223 10,609 14,370
1/31/2015 15,680 16,911 10,644 14,233
2/28/2015 16,214 17,901 10,637 14,730
3/31/2015 16,127 17,621 10,653 14,600
4/30/2015 16,339 18,034 10,655 14,806
5/31/2015 16,349 18,096 10,663 14,841
6/30/2015 16,131 17,676 10,660 14,633
7/31/2015 16,091 17,993 10,671 14,797
8/31/2015 15,473 16,802 10,669 14,208
9/30/2015 15,191 16,183 10,690 13,904
10/31/2015 15,832 17,465 10,692 14,567
11/30/2015 15,832 17,378 10,685 14,519
12/31/2015 15,547 17,073 10,684 14,366
1/31/2016 15,044 16,051 10,727 13,873
2/29/2016 15,065 15,932 10,743 13,819
3/31/2016 15,879 17,013 10,752 14,387
4/30/2016 16,023 17,282 10,759 14,527
5/31/2016 16,064 17,379 10,760 14,577
6/30/2016 16,116 17,184 10,803 14,502
7/31/2016 16,592 17,910 10,803 14,870
8/31/2016 16,633 17,925 10,799 14,875
9/30/2016 16,718 18,020 10,815 14,931
10/31/2016 16,479 17,672 10,811 14,755
11/30/2016 16,749 17,926 10,792 14,873
12/31/2016 16,971 18,355 10,810 15,096
1/31/2017 17,253 18,798 10,817 15,318
2/28/2017 17,557 19,319 10,833 15,582
3/31/2017 17,623 19,525 10,836 15,684
4/30/2017 17,791 19,814 10,853 15,833
5/31/2017 17,917 20,233 10,867 16,042
6/30/2017 18,044 20,311 10,861 16,076
7/31/2017 18,339 20,797 10,884 16,320
8/31/2017 18,360 20,827 10,906 16,347
9/30/2017 18,610 21,294 10,899 16,563
10/31/2017 18,875 21,696 10,910 16,757
11/30/2017 19,150 22,167 10,905 16,972
12/31/2017 19,353 22,466 10,909 17,112
1/31/2018 19,856 23,653 10,897 17,647
2/28/2018 19,310 22,673 10,907 17,215
3/31/2018 19,220 22,178 10,933 17,006
4/30/2018 19,241 22,433 10,934 17,124
5/31/2018 19,423 22,574 10,948 17,197
6/30/2018 19,370 22,563 10,969 17,205
7/31/2018 19,703 23,268 10,976 17,532
8/31/2018 19,929 23,556 10,997 17,676
9/30/2018 19,868 23,687 11,003 17,739 Past performance is not predictive of
10/31/2018 18,886 21,948 11,026 16,972 future performance.
11/30/2018 19,058 22,197 11,063 17,111
12/31/2018 18,113 20,509 11,133 16,373 The returns shown do not reflect the
1/31/2019 19,137 22,105 11,166 17,157 deduction of taxes that a shareholder
2/28/2019 19,500 22,770 11,180 17,475 would pay on fund distributions or the
3/31/2019 19,639 23,069 11,237 17,648 redemption of fund shares.
4/30/2019 20,102 23,887 11,259 18,038
5/31/2019 19,319 22,508 11,318 17,451 MSCI data copyright MSCI 2019, all
6/30/2019 20,173 23,992 11,373 18,175 rights reserved.
7/31/2019 20,261 24,110 11,384 18,236
8/31/2019 19,973 23,617 11,455 18,058 FTSE fixed income indices (C) 2019 FTSE
9/30/2019 20,277 24,120 11,455 18,288 Fixed Income LLC. All rights reserved.
10/31/2019 20,588 24,734 11,478 18,582
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL for additional details. MSCI data
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS copyright MSCI 2019, all rights reserved.
-------------- -------- ---------- --------- FTSE fixed income indices (C) 2019 FTSE
9.01% 5.39% 7.49% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 60/40 PORTFOLIO - CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 60/40 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
FTSE World
Global Allocation Government Bond Global 60/40
60/40 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/FTSE)
----------------- --------------- --------------- ----------------
10/31/2009 $10,000 $10,000 $10,000 $10,000
11/30/2009 10,296 10,409 10,031 10,258
12/31/2009 10,456 10,596 10,009 10,359
1/31/2010 10,258 10,158 10,035 10,113
2/28/2010 10,429 10,301 10,066 10,211
3/31/2010 10,885 10,939 10,065 10,590
4/30/2010 11,057 10,940 10,063 10,590
5/31/2010 10,415 9,892 10,104 9,999
6/30/2010 10,159 9,553 10,114 9,797
7/31/2010 10,723 10,328 10,137 10,282
8/31/2010 10,423 9,942 10,159 10,061
9/30/2010 11,118 10,869 10,153 10,622
10/31/2010 11,401 11,274 10,164 10,864
11/30/2010 11,309 11,031 10,139 10,712
12/31/2010 11,862 11,842 10,144 11,187
1/31/2011 11,990 12,109 10,144 11,339
2/28/2011 12,257 12,533 10,141 11,575
3/31/2011 12,320 12,410 10,136 11,505
4/30/2011 12,670 12,937 10,153 11,806
5/31/2011 12,532 12,669 10,181 11,672
6/30/2011 12,393 12,468 10,185 11,563
7/31/2011 12,282 12,242 10,196 11,442
8/31/2011 11,746 11,380 10,255 10,985
9/30/2011 10,903 10,397 10,254 10,415
10/31/2011 11,757 11,472 10,245 11,058
11/30/2011 11,599 11,192 10,231 10,890
12/31/2011 11,579 11,186 10,289 10,911
1/31/2012 12,095 11,747 10,317 11,251
2/29/2012 12,462 12,321 10,331 11,587
3/31/2012 12,537 12,479 10,328 11,675
4/30/2012 12,462 12,338 10,337 11,600
5/31/2012 11,785 11,273 10,333 10,997
6/30/2012 12,136 11,847 10,345 11,338
7/31/2012 12,221 11,999 10,363 11,434
8/31/2012 12,458 12,304 10,388 11,619
9/30/2012 12,722 12,642 10,400 11,816
10/31/2012 12,704 12,556 10,406 11,770
11/30/2012 12,808 12,717 10,421 11,867
12/31/2012 13,047 12,956 10,428 12,005
1/31/2013 13,430 13,616 10,431 12,373
2/28/2013 13,478 13,639 10,444 12,392
3/31/2013 13,729 13,958 10,451 12,569
4/30/2013 13,911 14,398 10,473 12,817
5/31/2013 13,930 14,403 10,461 12,814
6/30/2013 13,637 14,048 10,449 12,619
7/31/2013 14,138 14,788 10,468 13,027
8/31/2013 13,868 14,473 10,464 12,858
9/30/2013 14,404 15,197 10,484 13,254
10/31/2013 14,780 15,792 10,504 13,575
11/30/2013 14,935 16,072 10,516 13,726
12/31/2013 15,102 16,412 10,508 13,896
1/31/2014 14,811 15,804 10,529 13,599
2/28/2014 15,287 16,596 10,538 14,011
3/31/2014 15,372 16,620 10,537 14,023
4/30/2014 15,421 16,790 10,546 14,115
5/31/2014 15,625 17,120 10,562 14,289
6/30/2014 15,880 17,427 10,569 14,446
7/31/2014 15,616 17,148 10,570 14,309
8/31/2014 15,948 17,526 10,586 14,507
9/30/2014 15,499 17,051 10,586 14,270
10/31/2014 15,646 17,161 10,601 14,334
11/30/2014 15,763 17,505 10,615 14,514
12/31/2014 15,629 17,223 10,609 14,370
1/31/2015 15,491 16,911 10,644 14,233
2/28/2015 16,013 17,901 10,637 14,730
3/31/2015 15,921 17,621 10,653 14,600
4/30/2015 16,119 18,034 10,655 14,806
5/31/2015 16,139 18,096 10,663 14,841
6/30/2015 15,906 17,676 10,660 14,633
7/31/2015 15,867 17,993 10,671 14,797
8/31/2015 15,252 16,802 10,669 14,208
9/30/2015 14,977 16,183 10,690 13,904
10/31/2015 15,603 17,465 10,692 14,567
11/30/2015 15,603 17,378 10,685 14,519
12/31/2015 15,320 17,073 10,684 14,366
1/31/2016 14,819 16,051 10,727 13,873
2/29/2016 14,839 15,932 10,743 13,819
3/31/2016 15,629 17,013 10,752 14,387
4/30/2016 15,770 17,282 10,759 14,527
5/31/2016 15,810 17,379 10,760 14,577
6/30/2016 15,861 17,184 10,803 14,502
7/31/2016 16,316 17,910 10,803 14,870
8/31/2016 16,357 17,925 10,799 14,875
9/30/2016 16,439 18,020 10,815 14,931
10/31/2016 16,206 17,672 10,811 14,755
11/30/2016 16,469 17,926 10,792 14,873
12/31/2016 16,671 18,355 10,810 15,096
1/31/2017 16,958 18,798 10,817 15,318
2/28/2017 17,244 19,319 10,833 15,582
3/31/2017 17,310 19,525 10,836 15,684
4/30/2017 17,464 19,814 10,853 15,833
5/31/2017 17,587 20,233 10,867 16,042
6/30/2017 17,710 20,311 10,861 16,076
7/31/2017 17,998 20,797 10,884 16,320
8/31/2017 18,008 20,827 10,906 16,347
9/30/2017 18,262 21,294 10,899 16,563
10/31/2017 18,509 21,696 10,910 16,757
11/30/2017 18,778 22,167 10,905 16,972
12/31/2017 18,970 22,466 10,909 17,112
1/31/2018 19,460 23,653 10,897 17,647
2/28/2018 18,918 22,673 10,907 17,215
3/31/2018 18,827 22,178 10,933 17,006
4/30/2018 18,838 22,433 10,934 17,124
5/31/2018 19,026 22,574 10,948 17,197
6/30/2018 18,962 22,563 10,969 17,205
7/31/2018 19,287 23,268 10,976 17,532
8/31/2018 19,507 23,556 10,997 17,676
9/30/2018 19,435 23,687 11,003 17,739 Past performance is not predictive of
10/31/2018 18,468 21,948 11,026 16,972 future performance.
11/30/2018 18,636 22,197 11,063 17,111
12/31/2018 17,725 20,509 11,133 16,373 The returns shown do not reflect the
1/31/2019 18,709 22,105 11,166 17,157 deduction of taxes that a shareholder
2/28/2019 19,072 22,770 11,180 17,475 would pay on fund distributions or the
3/31/2019 19,196 23,069 11,237 17,648 redemption of fund shares.
4/30/2019 19,646 23,887 11,259 18,038
5/31/2019 18,874 22,508 11,318 17,451 MSCI data copyright MSCI 2019, all
6/30/2019 19,712 23,992 11,373 18,175 rights reserved.
7/31/2019 19,788 24,110 11,384 18,236
8/31/2019 19,497 23,617 11,455 18,058 FTSE fixed income indices (C) 2019 FTSE
9/30/2019 19,801 24,120 11,455 18,288 Fixed Income LLC. All rights reserved.
10/31/2019 20,103 24,734 11,478 18,582
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL for additional details. MSCI data
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS copyright MSCI 2019, all rights reserved.
-------------- -------- ---------- --------- FTSE fixed income indices (C) 2019 FTSE
8.85% 5.14% 7.23% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
3
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHARTS
(UNAUDITED)
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO - INSTITUTIONAL CLASS VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
FTSE World
Global Allocation Government Bond Global 25/75
25/75 Portfolio - MSCI World Index,1-3 Years, Composite
Institutional Index Currency-Hedged Index
Class (net dividends) in USD Terms (MSCI/FTSE)
----------------- --------------- ---------------- ----------------
10/31/2009 $10,000 $10,000 $10,000 $10,000
11/30/2009 10,183 10,409 10,031 10,126
12/31/2009 10,203 10,596 10,009 10,154
1/31/2010 10,185 10,158 10,035 10,069
2/28/2010 10,259 10,301 10,066 10,128
3/31/2010 10,436 10,939 10,065 10,284
4/30/2010 10,567 10,940 10,063 10,283
5/31/2010 10,315 9,892 10,104 10,068
6/30/2010 10,255 9,553 10,114 9,989
7/31/2010 10,517 10,328 10,137 10,208
8/31/2010 10,442 9,942 10,159 10,130
9/30/2010 10,757 10,869 10,153 10,362
10/31/2010 10,917 11,274 10,164 10,467
11/30/2010 10,851 11,031 10,139 10,391
12/31/2010 11,031 11,842 10,144 10,585
1/31/2011 11,107 12,109 10,144 10,645
2/28/2011 11,221 12,533 10,141 10,736
3/31/2011 11,256 12,410 10,136 10,706
4/30/2011 11,437 12,937 10,153 10,833
5/31/2011 11,418 12,669 10,181 10,799
6/30/2011 11,382 12,468 10,185 10,760
7/31/2011 11,411 12,242 10,196 10,720
8/31/2011 11,229 11,380 10,255 10,577
9/30/2011 10,904 10,397 10,254 10,348
10/31/2011 11,269 11,472 10,245 10,609
11/30/2011 11,211 11,192 10,231 10,533
12/31/2011 11,211 11,186 10,289 10,576
1/31/2012 11,473 11,747 10,317 10,731
2/29/2012 11,609 12,321 10,331 10,873
3/31/2012 11,643 12,479 10,328 10,905
4/30/2012 11,652 12,338 10,337 10,881
5/31/2012 11,439 11,273 10,333 10,644
6/30/2012 11,563 11,847 10,345 10,789
7/31/2012 11,641 11,999 10,363 10,837
8/31/2012 11,738 12,304 10,388 10,926
9/30/2012 11,858 12,642 10,400 11,010
10/31/2012 11,858 12,556 10,406 10,996
11/30/2012 11,917 12,717 10,421 11,043
12/31/2012 11,996 12,956 10,428 11,101
1/31/2013 12,134 13,616 10,431 11,245
2/28/2013 12,174 13,639 10,444 11,260
3/31/2013 12,282 13,958 10,451 11,331
4/30/2013 12,371 14,398 10,473 11,438
5/31/2013 12,321 14,403 10,461 11,429
6/30/2013 12,150 14,048 10,449 11,349
7/31/2013 12,358 14,788 10,468 11,515
8/31/2013 12,239 14,473 10,464 11,450
9/30/2013 12,455 15,197 10,484 11,609
10/31/2013 12,614 15,792 10,504 11,739
11/30/2013 12,674 16,072 10,516 11,802
12/31/2013 12,698 16,412 10,508 11,857
1/31/2014 12,648 15,804 10,529 11,766
2/28/2014 12,818 16,596 10,538 11,920
3/31/2014 12,834 16,620 10,537 11,924
4/30/2014 12,874 16,790 10,546 11,962
5/31/2014 12,995 17,120 10,562 12,034
6/30/2014 13,081 17,427 10,569 12,094
7/31/2014 12,990 17,148 10,570 12,047
8/31/2014 13,131 17,526 10,586 12,126
9/30/2014 12,949 17,051 10,586 12,044
10/31/2014 13,030 17,161 10,601 12,076
11/30/2014 13,101 17,505 10,615 12,149
12/31/2014 13,028 17,223 10,609 12,095
1/31/2015 13,079 16,911 10,644 12,070
2/28/2015 13,232 17,901 10,637 12,241
3/31/2015 13,216 17,621 10,653 12,206
4/30/2015 13,278 18,034 10,655 12,280
5/31/2015 13,288 18,096 10,663 12,297
6/30/2015 13,195 17,676 10,660 12,224
7/31/2015 13,206 17,993 10,671 12,288
8/31/2015 12,989 16,802 10,669 12,083
9/30/2015 12,916 16,183 10,690 11,989
10/31/2015 13,133 17,465 10,692 12,228
11/30/2015 13,123 17,378 10,685 12,207
12/31/2015 12,993 17,073 10,684 12,153
1/31/2016 12,899 16,051 10,727 12,008
2/29/2016 12,920 15,932 10,743 11,998
3/31/2016 13,242 17,013 10,752 12,210
4/30/2016 13,305 17,282 10,759 12,264
5/31/2016 13,315 17,379 10,760 12,282
6/30/2016 13,400 17,184 10,803 12,284
7/31/2016 13,567 17,910 10,803 12,414
8/31/2016 13,578 17,925 10,799 12,413
9/30/2016 13,616 18,020 10,815 12,444
10/31/2016 13,532 17,672 10,811 12,380
11/30/2016 13,564 17,926 10,792 12,409
12/31/2016 13,638 18,355 10,810 12,498
1/31/2017 13,754 18,798 10,817 12,580
2/28/2017 13,871 19,319 10,833 12,681
3/31/2017 13,901 19,525 10,836 12,717
4/30/2017 13,996 19,814 10,853 12,779
5/31/2017 14,039 20,233 10,867 12,860
6/30/2017 14,060 20,311 10,861 12,866
7/31/2017 14,188 20,797 10,884 12,963
8/31/2017 14,220 20,827 10,906 12,987
9/30/2017 14,283 21,294 10,899 13,055
10/31/2017 14,390 21,696 10,910 13,126
11/30/2017 14,465 22,167 10,905 13,193
12/31/2017 14,543 22,466 10,909 13,241
1/31/2018 14,662 23,653 10,897 13,405
2/28/2018 14,478 22,673 10,907 13,275
3/31/2018 14,469 22,178 10,933 13,227
4/30/2018 14,480 22,433 10,934 13,265
5/31/2018 14,567 22,574 10,948 13,299
6/30/2018 14,568 22,563 10,969 13,316
7/31/2018 14,676 23,268 10,976 13,427
8/31/2018 14,773 23,556 10,997 13,487
9/30/2018 14,741 23,687 11,003 13,512 Past performance is not predictive of
10/31/2018 14,425 21,948 11,026 13,285 future performance.
11/30/2018 14,512 22,197 11,063 13,357
12/31/2018 14,275 20,509 11,133 13,166 The returns shown do not reflect the
1/31/2019 14,652 22,105 11,166 13,451 deduction of taxes that a shareholder
2/28/2019 14,786 22,770 11,180 13,564 would pay on fund distributions or the
3/31/2019 14,902 23,069 11,237 13,661 redemption of fund shares.
4/30/2019 15,069 23,887 11,259 13,803
5/31/2019 14,880 22,508 11,318 13,657 MSCI data copyright MSCI 2019, all
6/30/2019 15,189 23,992 11,373 13,932 rights reserved.
7/31/2019 15,233 24,110 11,384 13,959
8/31/2019 15,211 23,617 11,455 13,954 FTSE fixed income indices (C) 2019 FTSE
9/30/2019 15,294 24,120 11,455 14,028 Fixed Income LLC. All rights reserved.
10/31/2019 15,395 24,734 11,478 14,138
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL for additional details. MSCI data
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS copyright MSCI 2019, all rights reserved.
-------------- -------- ---------- --------- FTSE fixed income indices (C) 2019 FTSE
6.73% 3.39% 4.41% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GLOBAL ALLOCATION 25/75 PORTFOLIO--CLASS R2 VS.
MSCI WORLD INDEX (NET DIVIDENDS),
FTSE WORLD GOVERNMENT BOND INDEX, 1-3 YEARS, CURRENCY-HEDGED IN USD TERMS,
GLOBAL 25/75 COMPOSITE INDEX (MSCI/FTSE)
OCTOBER 31, 2009-OCTOBER 31, 2019
[CHART]
FTSE World
Global Government Bond Global 25/75
Allocation 25/75 MSCI World Index,1-3 Years, Composite
Portfolio - Index Currency-Hedged Index
Class R2 (net dividends) in USD Terms (MSCI/FTSE)
---------------- --------------- --------------- ----------------
10/31/2009 $10,000 $10,000 $10,000 $10,000
11/30/2009 10,192 10,409 10,031 10,126
12/31/2009 10,205 10,596 10,009 10,154
1/31/2010 10,186 10,158 10,035 10,069
2/28/2010 10,251 10,301 10,066 10,128
3/31/2010 10,439 10,939 10,065 10,284
4/30/2010 10,559 10,940 10,063 10,283
5/31/2010 10,309 9,892 10,104 10,068
6/30/2010 10,250 9,553 10,114 9,989
7/31/2010 10,482 10,328 10,137 10,208
8/31/2010 10,408 9,942 10,159 10,130
9/30/2010 10,712 10,869 10,153 10,362
10/31/2010 10,870 11,274 10,164 10,467
11/30/2010 10,805 11,031 10,139 10,391
12/31/2010 10,975 11,842 10,144 10,585
1/31/2011 11,050 12,109 10,144 10,645
2/28/2011 11,154 12,533 10,141 10,736
3/31/2011 11,180 12,410 10,136 10,706
4/30/2011 11,359 12,937 10,153 10,833
5/31/2011 11,340 12,669 10,181 10,799
6/30/2011 11,291 12,468 10,185 10,760
7/31/2011 11,320 12,242 10,196 10,720
8/31/2011 11,140 11,380 10,255 10,577
9/30/2011 10,805 10,397 10,254 10,348
10/31/2011 11,165 11,472 10,245 10,609
11/30/2011 11,099 11,192 10,231 10,533
12/31/2011 11,103 11,186 10,289 10,576
1/31/2012 11,352 11,747 10,317 10,731
2/29/2012 11,495 12,321 10,331 10,873
3/31/2012 11,522 12,479 10,328 10,905
4/30/2012 11,531 12,338 10,337 10,881
5/31/2012 11,311 11,273 10,333 10,644
6/30/2012 11,427 11,847 10,345 10,789
7/31/2012 11,504 11,999 10,363 10,837
8/31/2012 11,600 12,304 10,388 10,926
9/30/2012 11,718 12,642 10,400 11,010
10/31/2012 11,708 12,556 10,406 10,996
11/30/2012 11,766 12,717 10,421 11,043
12/31/2012 11,842 12,956 10,428 11,101
1/31/2013 11,978 13,616 10,431 11,245
2/28/2013 12,017 13,639 10,444 11,260
3/31/2013 12,108 13,958 10,451 11,331
4/30/2013 12,196 14,398 10,473 11,438
5/31/2013 12,147 14,403 10,461 11,429
6/30/2013 11,981 14,048 10,449 11,349
7/31/2013 12,175 14,788 10,468 11,515
8/31/2013 12,049 14,473 10,464 11,450
9/30/2013 12,272 15,197 10,484 11,609
10/31/2013 12,428 15,792 10,504 11,739
11/30/2013 12,486 16,072 10,516 11,802
12/31/2013 12,499 16,412 10,508 11,857
1/31/2014 12,450 15,804 10,529 11,766
2/28/2014 12,617 16,596 10,538 11,920
3/31/2014 12,627 16,620 10,537 11,924
4/30/2014 12,667 16,790 10,546 11,962
5/31/2014 12,785 17,120 10,562 12,034
6/30/2014 12,861 17,427 10,569 12,094
7/31/2014 12,772 17,148 10,570 12,047
8/31/2014 12,900 17,526 10,586 12,126
9/30/2014 12,673 17,051 10,586 12,044
10/31/2014 12,762 17,161 10,601 12,076
11/30/2014 12,821 17,505 10,615 12,149
12/31/2014 12,749 17,223 10,609 12,095
1/31/2015 12,799 16,911 10,644 12,070
2/28/2015 12,939 17,901 10,637 12,241
3/31/2015 12,927 17,621 10,653 12,206
4/30/2015 12,987 18,034 10,655 12,280
5/31/2015 12,997 18,096 10,663 12,297
6/30/2015 12,897 17,676 10,660 12,224
7/31/2015 12,907 17,993 10,671 12,288
8/31/2015 12,695 16,802 10,669 12,083
9/30/2015 12,615 16,183 10,690 11,989
10/31/2015 12,826 17,465 10,692 12,228
11/30/2015 12,816 17,378 10,685 12,207
12/31/2015 12,685 17,073 10,684 12,153
1/31/2016 12,584 16,051 10,727 12,008
2/29/2016 12,604 15,932 10,743 11,998
3/31/2016 12,922 17,013 10,752 12,210
4/30/2016 12,973 17,282 10,759 12,264
5/31/2016 12,983 17,379 10,760 12,282
6/30/2016 13,062 17,184 10,803 12,284
7/31/2016 13,225 17,910 10,803 12,414
8/31/2016 13,236 17,925 10,799 12,413
9/30/2016 13,274 18,020 10,815 12,444
10/31/2016 13,182 17,672 10,811 12,380
11/30/2016 13,213 17,926 10,792 12,409
12/31/2016 13,282 18,355 10,810 12,498
1/31/2017 13,385 18,798 10,817 12,580
2/28/2017 13,509 19,319 10,833 12,681
3/31/2017 13,531 19,525 10,836 12,717
4/30/2017 13,614 19,814 10,853 12,779
5/31/2017 13,666 20,233 10,867 12,860
6/30/2017 13,678 20,311 10,861 12,866
7/31/2017 13,792 20,797 10,884 12,963
8/31/2017 13,834 20,827 10,906 12,987
9/30/2017 13,877 21,294 10,899 13,055
10/31/2017 13,981 21,696 10,910 13,126
11/30/2017 14,054 22,167 10,905 13,193
12/31/2017 14,126 22,466 10,909 13,241
1/31/2018 14,241 23,653 10,897 13,405
2/28/2018 14,052 22,673 10,907 13,275
3/31/2018 14,052 22,178 10,933 13,227
4/30/2018 14,052 22,433 10,934 13,265
5/31/2018 14,136 22,574 10,948 13,299
6/30/2018 14,139 22,563 10,969 13,316
7/31/2018 14,234 23,268 10,976 13,427
8/31/2018 14,329 23,556 10,997 13,487
9/30/2018 14,299 23,687 11,003 13,512 Past performance is not predictive of
10/31/2018 13,992 21,948 11,026 13,285 future performance.
11/30/2018 14,066 22,197 11,063 13,357
12/31/2018 13,825 20,509 11,133 13,166 The returns shown do not reflect the
1/31/2019 14,203 22,105 11,166 13,451 deduction of taxes that a shareholder
2/28/2019 14,322 22,770 11,180 13,564 would pay on fund distributions or the
3/31/2019 14,426 23,069 11,237 13,661 redemption of fund shares.
4/30/2019 14,588 23,887 11,259 13,803
5/31/2019 14,405 22,508 11,318 13,657 MSCI data copyright MSCI 2019, all
6/30/2019 14,707 23,992 11,373 13,932 rights reserved.
7/31/2019 14,750 24,110 11,384 13,959
8/31/2019 14,717 23,617 11,455 13,954 FTSE fixed income indices (C) 2019 FTSE
9/30/2019 14,798 24,120 11,455 14,028 Fixed Income LLC. All rights reserved.
10/31/2019 14,896 24,734 11,478 14,138
Data includes composite data from
multiple sources; see data descriptions
AVERAGE ANNUAL for additional details. MSCI data
TOTAL RETURN ONE YEAR FIVE YEARS TEN YEARS copyright MSCI 2019, all rights reserved.
-------------- -------- ---------- --------- FTSE fixed income indices (C) 2019 FTSE
6.46% 3.14% 4.07% Fixed Income LLC. All rights reserved.
--------------------------------------------------------------------------------
4
MANAGEMENT'S DISCUSSION AND ANALYSIS
U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
U.S. equities had mostly positive returns for the period. The broad U.S.
equity market, as measured by the Russell 3000(R) Index, gained approximately
13.5%. As measured by Russell 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 as measured
by Russell indices. Value stocks underperformed growth stocks as measured by
the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 3000(R) Index............................. 13.49%
Russell 1000(R) Index (large-cap stocks).......... 14.15%
Russell Midcap(R) Index (mid-cap stocks).......... 13.72%
Russell 2000(R) Index (small-cap stocks).......... 4.90%
Russell Microcap(R) Index (micro-cap stocks)...... -3.27%
Dow Jones U.S. Select REIT Index/SM/.............. 20.72%
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2019
-------------------------------------------------
Russell 1000(R) Value Index (large-cap value
stocks)......................................... 11.21%
Russell 1000(R) Growth Index (large-cap growth
stocks)......................................... 17.10%
Russell 2000(R) Value Index (small-cap value
stocks)......................................... 3.22%
Russell 2000(R) Growth Index (small-cap growth
stocks)......................................... 6.40%
Source: Frank Russell Company is the source and owner of the trademarks,
service marks, and copyrights related to the Russell Indexes.
INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 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.
5
12 MONTHS ENDED OCTOBER 31, 2019
--------------------------------
RETURN IN
TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET LOCAL RETURN U.S. DOLLARS
CAP ------------ ------------
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%
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 IN
LOCAL RETURN U.S. DOLLARS
TEN LARGEST EMERGING MARKETS BY MARKET CAP ------------ ------------
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.
6
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.
FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2019
Bond yields decreased in the U.S. during the 12 months ended October 31,
2019. Long-term yields decreased more than short-term yields did. As a result,
long-term bonds generally outperformed short-term bonds for the period. Bond
yields also generally decreased in Germany, Italy, Japan, Spain, and the U.K.,
resulting in outperformance of longer-term bonds in these markets as well.
Long-term bonds generally outperformed short-term bonds in global developed
fixed income markets for the 12- month period ended October 31, 2019. For
example, the FTSE World Government Bond Index 1-3 Years (hedged to USD)
returned 4.10%, while the FTSE World Government Bond Index 20+ Years (hedged to
USD) returned 24.96%. Within the U.S., the Bloomberg Barclays U.S. Treasury
Bond Index 1-3 Years returned 4.62%, while the Bloomberg Barclays U.S. Treasury
Bond Index 20+ Years returned 28.19%.
OCTOBER 31, OCTOBER 31,
2018 2019 CHANGE
----------- ----------- ------
One-Month Treasury Bill (yield)................... 2.20% 1.59% -0.61%
Ten-Year U.S. Treasury Notes (yield).............. 3.15% 1.69% -1.46%
Source: Bloomberg
Many of Dimensional's fixed income strategies use a variable maturity
approach that identifies a maturity range with higher expected returns. When
the yield curve is flat or inverted, short-term securities are believed to
offer higher expected returns. When the yield curve is upwardly sloped,
portfolio maturities may be lengthened to seek the higher expected returns
associated with longer maturities. These higher returns may be achieved by
capital appreciation (from holding bonds through an upwardly sloped term
structure) as well as by earning higher current yields. During the period under
review, the short-term Portfolios employing a variable maturity approach
generally reduced their durations, reflecting the relatively flat to inverted
short-term segments of eligible yield curves. The intermediate-term Portfolios
employing a variable maturity approach generally continued to maintain a
duration near the longer end of their eligible range, reflecting the upward
slope of the term structure from the intermediate to longer end of eligible
yield curves.
Some of Dimensional's fixed income strategies use a variable credit approach
that varies exposure to lower-quality securities. When credit spreads are
narrow, higher-quality securities are emphasized. When credit spreads are wide,
additional credit exposure may be taken in order to position a Portfolio to
seek higher expected returns by capturing high expected credit premiums. Credit
spreads remained narrow during the 12 months ended October 31, 2019. Many of
the portfolios employing a variable credit approach held less than their
maximum allowable weight in credit.
GLOBAL EQUITY PORTFOLIO
The Global Equity Portfolio seeks long-term capital appreciation by
investing in a combination of mutual funds managed by Dimensional that invest
in domestic and international equity securities, including emerging markets
securities. As of the date of this report, the Portfolio's investments in the
domestic equity funds included the U.S. Core Equity 1 Portfolio, the U.S. Core
Equity 2 Portfolio, and the DFA Real Estate Securities Portfolio; and the
Portfolio's investments in the international equity funds included the
International Core Equity Portfolio and the Emerging Markets Core Equity
Portfolio (collectively, the "Underlying Funds"). The investment strategy is
process driven, emphasizing broad diversification. As of October 31, 2019, the
Underlying Funds collectively held approximately 13,200 securities in 44
eligible developed and emerging markets.
7
For the 12 months ended October 31, 2019, total returns were 10.03% for the
Portfolio's Institutional Class shares, 9.73% for the Portfolio's Class R2
shares, and 12.69% for the MSCI World Index (net dividends), the Portfolio's
benchmark. As a result of the Underlying Funds' diversified investment
approach, performance was determined principally by broad trends in global
equity markets rather than by the behavior of a limited group of stocks. 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). The Underlying Funds' greater emphasis on low relative price (value)
stocks also had a negative impact on relative performance, as value stocks
underperformed high relative price (growth) stocks globally.
GLOBAL ALLOCATION 60/40 PORTFOLIO
The Global Allocation 60/40 Portfolio seeks capital appreciation and current
income by investing in a combination of mutual funds managed by Dimensional
that invest in domestic and international equity securities, including emerging
markets securities, and fixed income securities. As of the date of this report,
the Portfolio's investments in domestic equity funds included the U.S. Core
Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio, and the DFA Real Estate
Securities Portfolio; the Portfolio's investments in international equity funds
included the International Core Equity Portfolio and the Emerging Markets Core
Equity Portfolio (collectively, the "Equity Underlying Funds"); and the
Portfolio's investments in fixed income funds included the DFA Short-Term
Extended Quality Portfolio, the DFA Five-Year Global Fixed Income Portfolio,
the Global Core Plus Fixed Income Portfolio, the DFA Inflation-Protected
Securities Portfolio, the DFA Selectively Hedged Global Fixed Income Portfolio,
the DFA Intermediate-Term Extended Quality Portfolio, and the DFA World ex U.S.
Government Fixed Income Portfolio (the "Fixed Income Underlying Funds," and,
collectively with the Equity Underlying Funds, the "Equity and Fixed Income
Underlying Funds"). The investment strategy is process driven, emphasizing
broad diversification. As of October 31, 2019, the Equity Underlying Funds
collectively held approximately 13,200 securities in 44 eligible developed and
emerging markets and the Fixed Income Underlying Funds collectively held
approximately 1,800 fixed income securities in 21 countries, excluding
supranationals.
For the 12 months ended October 31, 2019, total returns were 9.01% for the
Portfolio's Institutional Class shares, 8.85% for the Portfolio's Class R2
shares, and 9.49% for the Portfolio's composite benchmark, a hypothetical
composite index composed of 60% MSCI World Index (net dividends), the
Portfolio's equity benchmark, and 40% FTSE World Government Bond Index 1-3
Years (hedged to USD), the Portfolio's fixed income benchmark. As a result of
the Equity and Fixed Income Underlying Funds' diversified investment approach,
performance was determined principally by broad trends in global equity and
fixed income markets rather than by the behavior of a limited group of
securities. The Portfolio's equity component underperformed the equity
component of the composite benchmark and detracted from the Portfolio's
performance relative to the composite benchmark. The Portfolio's fixed income
component outperformed the fixed income component of the composite benchmark
and contributed positively to the Portfolio's performance relative to the
composite benchmark.
With small-caps underperforming large-caps globally for the period, the
Equity Underlying Funds' inclusion of and emphasis on small-cap stocks
detracted from performance relative to the benchmark (which is composed
primarily of large- and mid-cap stocks). The Equity Underlying Funds' greater
emphasis on low relative price (value) stocks also had a negative impact on
relative performance, as value stocks underperformed high relative price
(growth) stocks globally.
During the period ended October 31, 2019, interest rates generally decreased
and realized term premiums were generally positive. Credit spreads were little
changed during the period and realized credit premiums were also generally
positive. The Fixed Income Underlying Funds' exposure to longer-term and credit
securities contributed positively to performance relative to the fixed income
benchmark.
GLOBAL ALLOCATION 25/75 PORTFOLIO
The Global Allocation 25/75 Portfolio seeks total return consistent with
current income and preservation of capital with some capital appreciation by
investing in a combination of mutual funds managed by Dimensional that invest
in domestic and international equity securities, including emerging markets
securities, and fixed income securities. The Portfolio allocates the majority
of its assets to fixed income funds, but also invests a portion of its assets
in domestic
8
and international equity funds. As of the date of this report, the Portfolio's
investments in domestic equity funds included the U.S. Core Equity 1 Portfolio,
the U.S. Core Equity 2 Portfolio, and the DFA Real Estate Securities Portfolio;
the Portfolio's investments in international equity funds included the
International Core Equity Portfolio and the Emerging Markets Core Equity
Portfolio (collectively, the "Equity Underlying Funds"); and the Portfolio's
investments in fixed income funds included the DFA Two-Year Global Fixed Income
Portfolio, the DFA Inflation-Protected Securities Portfolio, the DFA Short-Term
Extended Quality Portfolio, and the DFA World ex U.S. Government Fixed Income
Portfolio (the "Fixed Income Underlying Funds," and, collectively with the
Equity Underlying Funds, the "Equity and Fixed Income Underlying Funds"). The
investment strategy is process driven, emphasizing broad diversification. As of
October 31, 2019, the Equity Underlying Funds collectively held approximately
13,200 securities in 44 eligible developed and emerging markets and the Fixed
Income Underlying Funds collectively held approximately 800 fixed income
securities in 21 countries, excluding supranationals.
For the 12 months ended October 31, 2019, total returns were 6.73% for the
Portfolio's Institutional Class shares, 6.46% for the Portfolio's Class R2
shares, and 6.42% for the Portfolio's composite benchmark, hypothetical
composite index composed of 25% MSCI World Index (net dividends), the
Portfolio's equity benchmark, and 75% FTSE World Government Bond Index, 1-3
Years (hedged to USD), the Portfolio's fixed income benchmark. As a result of
the Equity and Fixed Income Underlying Funds' diversified investment approach,
performance was determined principally by broad trends in global equity and
fixed income markets rather than by the behavior of a limited group of
securities. The Portfolio's equity component underperformed the equity
component of the composite benchmark and detracted from the Portfolio's
performance relative to the composite benchmark. The Portfolio's fixed income
component outperformed the fixed income component of the composite benchmark
and contributed positively to the Portfolio's performance relative to the
composite benchmark.
With small-caps underperforming large-caps globally for the period, the
Equity Underlying Funds' inclusion of and emphasis on small-cap stocks
detracted from performance relative to the benchmark (which is composed
primarily of large- and mid-cap stocks). The Equity Underlying Funds' greater
emphasis on low relative price (value) stocks also had a negative impact on
relative performance, as value stocks underperformed high relative price
(growth) stocks globally.
During the period ended October 31, 2019, interest rates generally decreased
and realized term premiums were generally positive. Credit spreads were little
changed during the period and realized credit premiums were also generally
positive. The Fixed Income Underlying Funds' exposure to longer-term and credit
securities contributed positively to performance relative to the fixed income
benchmark.
9
DIMENSIONAL INVESTMENT GROUP INC.
DISCLOSURE OF FUND EXPENSES
(UNAUDITED)
The following Expense Tables are shown so that you can understand the impact
of fees on your investment. All mutual funds have operating expenses. As a
shareholder of the fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports, among
others. Operating expenses and legal and audit services, which are deducted
from a fund's gross income, directly reduce the investment return of the fund.
A fund's expenses are expressed as a percentage of its average net assets. This
figure is known as the expense ratio. The following examples are intended to
help you understand the ongoing costs, in dollars, of investing in the fund and
to compare these costs with those of other mutual funds. The examples are based
on an investment of $1,000 made at the beginning of the period shown and held
for the entire period.
The Expense Tables below illustrate your fund's costs in two ways.
ACTUAL FUND RETURN
This section helps you to estimate the actual expenses after fee waivers
that you paid over the period. The "Ending Account Value" shown is derived
from the fund's actual return, and "Expenses Paid During Period" reflects
the dollar amount that would have been paid by an investor who started
with $1,000 in the fund. You may use the information here, together with
the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, a
$7,500 account value divided by $1,000 = 7.5), then multiply the result by
the number given for your fund under the heading "Expenses Paid During
Period."
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
This section is intended to help you compare your fund's costs with those
of other mutual funds. The hypothetical "Ending Account Value" and
"Expenses Paid During Period" are derived from the fund's actual expense
ratio and an assumed 5% annual return before expenses. In this case,
because the return used is not the fund's actual return, the results do
not apply to your investment. The example is useful in making comparisons
because the SEC requires all mutual funds to calculate expenses based on a
5% annual return. You can assess your fund's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the tables are meant to highlight and
help you compare ongoing costs only and do not reflect any transactional costs,
if applicable. The "Annualized Expense Ratio" represents the actual expenses
for the six-month period indicated.
SIX MONTHS ENDED OCTOBER 31, 2019
EXPENSE TABLES
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
05/01/19 10/31/19 RATIO (1) PERIOD (1)
--------- --------- ---------- ----------
GLOBAL EQUITY PORTFOLIO (2)
Actual Fund Return
Class R2 Shares................. $1,000.00 $1,018.20 0.57% $2.90
Institutional Class Shares...... $1,000.00 $1,019.60 0.32% $1.63
Hypothetical 5% Annual Return
Class R2 Shares................. $1,000.00 $1,022.33 0.57% $2.91
Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63
10
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 ALLOCATION 60/40 PORTFOLIO (2)
-------------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,023.30 0.55% $2.80
Institutional Class Shares......... $1,000.00 $1,024.20 0.30% $1.53
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.43 0.55% $2.80
Institutional Class Shares......... $1,000.00 $1,023.69 0.30% $1.53
GLOBAL ALLOCATION 25/75 PORTFOLIO (2)
-------------------------------------
Actual Fund Return
Class R2 Shares.................... $1,000.00 $1,021.10 0.53% $2.70
Institutional Class Shares......... $1,000.00 $1,021.70 0.28% $1.43
Hypothetical 5% Annual Return
Class R2 Shares.................... $1,000.00 $1,022.53 0.53% $2.70
Institutional Class Shares......... $1,000.00 $1,023.79 0.28% $1.43
--------
(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).
11
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.
AFFILIATED INVESTMENT COMPANIES
-------------------------------
Global Equity Portfolio........................... 100.0%
Global Allocation 60/40 Portfolio................. 100.0%
Global Allocation 25/75 Portfolio................. 100.0%
12
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................. 171,115,974 $3,877,487,973
Investment in International Core Equity Portfolio
of DFA Investment Dimensions Group Inc.......... 121,772,309 1,606,176,761
Investment in U.S. Core Equity 1 Portfolio of DFA
Investment Dimensions Group Inc................. 52,373,451 1,294,147,970
Investment in Emerging Markets Core Equity
Portfolio of DFA Investment Dimensions Group Inc 26,078,030 536,946,634
Investment in DFA Real Estate Securities
Portfolio of DFA Investment Dimensions Group Inc 5,183,856 217,203,571
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT
COMPANIES (Cost $5,005,362,968)................. $7,531,962,909
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money
Market Fund, 1.752% (Cost $1,912,249)........... 1,912,249 1,912,249
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$5,007,275,217)................................. $7,533,875,158
==============
Summary of the Global 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.... $7,531,962,909 -- -- $7,531,962,909
Temporary Cash Investments......... 1,912,249 -- -- 1,912,249
-------------- -- -- --------------
TOTAL.............................. $7,533,875,158 -- -- $7,533,875,158
============== == == ==============
See accompanying Notes to Financial Statements.
13
GLOBAL ALLOCATION 60/40 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................... 58,214,554 $1,319,141,802
Investment in DFA Selectively Hedged Global Fixed
Income Portfolio of DFA Investment Dimensions
Group Inc......................................... 64,171,079 628,234,867
Investment in International Core Equity Portfolio
of DFA Investment Dimensions Group Inc............ 41,733,154 550,460,304
Investment in U.S. Core Equity 1 Portfolio of DFA
Investment Dimensions Group Inc................... 17,929,867 443,047,022
Investment in DFA Short-Term Extended Quality
Portfolio of DFA Investment Dimensions Group
Inc............................................... 38,360,058 420,042,634
Investment in DFA Five-Year Global Fixed Income
Portfolio of DFA Investment Dimensions Group
Inc............................................... 19,376,426 212,365,630
Investment in DFA Global Core Plus Fixed Income
Portfolio of DFA Investment Dimensions Group
Inc............................................... 18,738,283 196,751,966
Investment in Emerging Markets Core Equity
Portfolio of DFA Investment Dimensions
Group Inc......................................... 8,965,848 184,606,804
Investment in DFA Inflation-Protected Securities
Portfolio of DFA Investment Dimensions Group
Inc............................................... 9,029,750 108,627,895
Investment in DFA World ex U.S. Government Fixed
Income Portfolio of DFA Investment Dimensions
Group Inc......................................... 9,963,594 108,104,988
Investment in DFA Real Estate Securities
Portfolio of DFA Investment Dimensions Group
Inc............................................... 1,773,464 74,308,142
--------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $3,271,328,877)............................ $4,245,692,054
==============
Summary of the Global 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.... $4,245,692,054 -- -- $4,245,692,054
-------------- -- -- --------------
TOTAL.............................. $4,245,692,054 -- -- $4,245,692,054
============== == == ==============
See accompanying Notes to Financial Statements.
14
GLOBAL ALLOCATION 25/75 PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
---------- ------------
AFFILIATED INVESTMENT COMPANIES -- (100.0%)
Investment in DFA Two-Year Global Fixed Income Portfolio of DFA Investment Dimensions Group
Inc.......................................................................................... 26,788,017 $268,683,817
Investment in DFA Short-Term Extended Quality Portfolio of DFA Investment Dimensions Group
Inc.......................................................................................... 24,535,249 268,660,981
Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.............. 5,093,469 115,418,008
Investment in DFA Inflation-Protected Securities Portfolio of DFA Investment Dimensions Group
Inc.......................................................................................... 8,178,631 98,388,934
Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc....... 3,634,816 47,943,219
Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc.............. 1,561,143 38,575,838
Investment in DFA World ex U.S. Government Fixed Income Portfolio of DFA Investment Dimensions
Group Inc.................................................................................... 3,276,814 35,553,428
Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.... 785,536 16,174,191
Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc...... 155,748 6,525,845
------------
TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES
(Cost $778,763,778).......................................................................... $895,924,261
------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S. Government Money Market Fund, 1.752%
(Cost $150,065).............................................................................. 150,065 150,065
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $778,913,843).......................................................................... $896,074,326
============
Summary of the Global 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................... $895,924,261 -- -- $895,924,261
Temporary Cash Investments........................ 150,065 -- -- 150,065
------------ -- -- ------------
TOTAL............................................. $896,074,326 -- -- $896,074,326
============ == == ============
See accompanying Notes to Financial Statements.
15
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
ASSETS:
Investments in Affiliated Investment Companies at Value......................... $ 7,531,963 $ 4,245,692 $ 895,924
Temporary Cash Investments at Value & Cost...................................... 1,912 -- 150
Receivables:
Affiliated Investment Companies Sold......................................... -- 6,646 --
Dividends and Interest....................................................... 1 1 --
Fund Shares Sold............................................................. 3,975 2,315 677
Prepaid Expenses and Other Assets............................................... 48 31 12
------------ ------------ ------------
Total Assets............................................................. 7,537,899 4,254,685 896,763
------------ ------------ ------------
LIABILITIES:
Payables:
Affiliated Investment Companies Purchased.................................... 1,856 -- 150
Fund Shares Redeemed......................................................... 5,197 2,901 335
Due to Advisor............................................................... 335 223 41
Line of Credit............................................................... -- 5,802 --
Accrued Expenses and Other Liabilities.......................................... 405 217 58
------------ ------------ ------------
Total Liabilities........................................................ 7,793 9,143 584
------------ ------------ ------------
NET ASSETS...................................................................... $ 7,530,106 $ 4,245,542 $ 896,179
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:
Class R2 Shares -- based on net assets of $26,463; $3,166 and $742 and shares
outstanding of 1,115,936, 169,902 and 54,153, respectively.................... $ 23.71 $ 18.64 $ 13.70
============ ============ ============
NUMBER OF SHARES AUTHORIZED..................................................... 500,000,000 300,000,000 300,000,000
============ ============ ============
Institutional Class Shares -- based on net assets of $7,503,643; $4,242,376 and
$895,437 and shares outstanding of 318,327,448, 229,163,855 and 65,153,626,
respectively.................................................................. $ 23.57 $ 18.51 $ 13.74
============ ============ ============
NUMBER OF SHARES AUTHORIZED..................................................... 700,000,000 500,000,000 300,000,000
============ ============ ============
Investments in Affiliated Investment Companies at Cost.......................... $ 5,005,363 $ 3,271,329 $ 778,764
============ ============ ============
NET ASSETS CONSIST OF:
Paid-In Capital................................................................. $ 5,135,532 $ 3,277,910 $ 783,508
Total Distributable Earnings (Loss)............................................. 2,394,574 967,632 112,671
------------ ------------ ------------
NET ASSETS...................................................................... $ 7,530,106 $ 4,245,542 $ 896,179
============ ============ ============
See accompanying Notes to Financial Statements.
16
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2019
(AMOUNTS IN THOUSANDS)
GLOBAL GLOBAL
GLOBAL EQUITY ALLOCATION ALLOCATION
PORTFOLIO 60/40 PORTFOLIO 25/75 PORTFOLIO
------------- --------------- ---------------
INVESTMENT INCOME
Net Investment Income Allocated from Affiliated Investment Companies Income
Distributions.................................................................... $147,981 $103,930 $22,057
-------- -------- -------
Total Net Investment Income Allocated from Affiliated Investment
Companies.............................................................. 147,981 103,930 22,057
-------- -------- -------
FUND EXPENSES
Investment Management Fees...................................................... 21,073 10,402 1,752
Accounting & Transfer Agent Fees................................................ 996 565 154
Custodian Fees.................................................................. 2 3 2
Shareholder Servicing Fees
Class R2 Shares............................................................... 64 9 2
Filing Fees..................................................................... 204 135 63
Shareholders' Reports........................................................... 210 113 28
Directors'/Trustees' Fees & Expenses............................................ 41 25 5
Professional Fees............................................................... 73 45 9
Other........................................................................... 44 46 12
-------- -------- -------
Total Fund Expenses...................................................... 22,707 11,343 2,027
-------- -------- -------
Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered
by Advisor (Note C)...........................................................
Class R2 Shares............................................................... (67) (7) (1)
Institutional Class Shares.................................................... (18,168) (8,443) (1,358)
-------- -------- -------
Net Expenses.................................................................... 4,472 2,893 668
-------- -------- -------
NET INVESTMENT INCOME (LOSS).................................................... 143,509 101,037 21,389
-------- -------- -------
REALIZED AND UNREALIZED GAIN (LOSS)
Capital Gain Distributions Received from Affiliated Investment Companies........ 43,816 16,128 1,540
Net Realized Gain (Loss) on:
Affiliated Investment Companies Shares Sold................................. (25,704) 10,387 2,386
Futures..................................................................... -- 859 --
Change in Unrealized Appreciation (Depreciation) of:
Affiliated Investment Companies Shares...................................... 523,723 239,509 32,290
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)......................................... 541,835 266,883 36,216
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................... $685,344 $367,920 $57,605
======== ======== =======
See accompanying Notes to Financial Statements.
17
DIMENSIONAL INVESTMENT GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
GLOBAL ALLOCATION 60/40
GLOBAL EQUITY PORTFOLIO PORTFOLIO
------------------------ -----------------------
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)........................... $ 143,509 $ 122,639 $ 101,037 $ 73,214
Capital Gain Distributions Received from
Affiliated Investment Companies.................... 43,816 36,754 16,128 14,379
Net Realized Gain (Loss) on:
Investment Securities Sold**....................... -- 1 -- --
Affiliated Investment Companies Shares Sold........ (25,704) 1,009 10,387 (1,730)
Futures............................................ -- 53 859 --
Change in Unrealized Appreciation
(Depreciation) of:
Affiliated Investment Companies Shares............. 523,723 (192,562) 239,509 (89,878)
Futures............................................ -- (7) -- --
----------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 685,344 (32,113) 367,920 (4,015)
----------- ----------- ----------- ----------
Distributions:
Class R2 Shares.................................... (604) (562) (76) (128)
Institutional Class Shares......................... (182,149) (141,845) (117,163) (82,506)
----------- ----------- ----------- ----------
Total Distributions............................. (182,753) (142,407) (117,239) (82,634)
----------- ----------- ----------- ----------
Capital Share Transactions:
Shares Issued.......................................... 1,750,264 1,575,632 1,081,298 1,114,804
Shares Issued in Lieu of Cash Distributions............ 181,214 141,114 115,009 81,286
Shares Redeemed........................................ (1,605,300) (1,261,621) (1,251,196) (905,941)
----------- ----------- ----------- ----------
Net Increase (Decrease) from Capital
Share Transactions............................ 326,178 455,125 (54,889) 290,149
----------- ----------- ----------- ----------
Total Increase (Decrease) in Net Assets......... 828,769 280,605 195,792 203,500
NET ASSETS
Beginning of Year...................................... 6,701,337 6,420,732 4,049,750 3,846,250
----------- ----------- ----------- ----------
End of Year............................................ $ 7,530,106 $ 6,701,337 $ 4,245,542 $4,049,750
=========== =========== =========== ==========
GLOBAL ALLOCATION 25/75
PORTFOLIO
----------------------
YEAR YEAR
ENDED ENDED
OCT 31, OCT 31,
2019 2018
--------- ---------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)........................... $ 21,389 $ 14,256
Capital Gain Distributions Received from
Affiliated Investment Companies.................... 1,540 1,377
Net Realized Gain (Loss) on:
Investment Securities Sold**....................... -- --
Affiliated Investment Companies Shares Sold........ 2,386 1,602
Futures............................................ -- --
Change in Unrealized Appreciation
(Depreciation) of:
Affiliated Investment Companies Shares............. 32,290 (15,141)
Futures............................................ -- --
--------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations..................... 57,605 2,094
--------- ---------
Distributions:
Class R2 Shares.................................... (23) (16)
Institutional Class Shares......................... (25,191) (16,226)
--------- ---------
Total Distributions............................. (25,214) (16,242)
--------- ---------
Capital Share Transactions:
Shares Issued.......................................... 280,660 249,574
Shares Issued in Lieu of Cash Distributions............ 25,123 16,176
Shares Redeemed........................................ (308,250) (227,795)
--------- ---------
Net Increase (Decrease) from Capital
Share Transactions............................ (2,467) 37,955
--------- ---------
Total Increase (Decrease) in Net Assets......... 29,924 23,807
NET ASSETS
Beginning of Year...................................... 866,255 842,448
--------- ---------
End of Year............................................ $ 896,179 $ 866,255
========= =========
--------
** 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.
18
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL EQUITY PORTFOLIO-CLASS R2 SHARES
--------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year................ $ 22.14 $ 22.66 $ 18.58 $ 18.32 $ 18.66
------- ------- ------- ------- -------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)................... 0.40 0.35 0.34 0.34 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.70 (0.44) 4.08 0.26 (0.34)
------- ------- ------- ------- -------
Total from Investment Operations........... 2.10 (0.09) 4.42 0.60 (0.03)
------- ------- ------- ------- -------
Less Distributions:
-------------------
Net Investment Income.......................... (0.40) (0.36) (0.34) (0.34) (0.31)
Net Realized Gains............................. (0.13) (0.07) -- -- --
------- ------- ------- ------- -------
Total Distributions........................ (0.53) (0.43) (0.34) (0.34) (0.31)
------- ------- ------- ------- -------
Net Asset Value, End of Year...................... $ 23.71 $ 22.14 $ 22.66 $ 18.58 $ 18.32
======= ======= ======= ======= =======
Total Return...................................... 9.73% (0.47%) 23.98% 3.37% (0.16%)
------- ------- ------- ------- -------
Net Assets, End of Year (thousands)............... $26,463 $27,415 $30,644 $19,844 $50,269
Ratio of Expenses to Average Net Assets *(B)...... 0.57% 0.55% 0.55% 0.55% 0.57%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(B)...................... 0.83% 0.82% 0.82% 0.83% 0.86%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.79% 1.49% 1.62% 1.89% 1.67%
------- ------- ------- ------- -------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a
result of Portfolio's investment in Underlying
Funds as follows:............................... 0.26% 0.25% 0.26% 0.27% 0.29%
------- ------- ------- ------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO-CLASS
R2 SHARES
---------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year................ $17.58 $17.94 $15.99 $15.70 $16.01
------ ------ ------ ------ ------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)................... 0.34 0.28 0.26 0.26 0.26
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.18 (0.31) 1.99 0.33 (0.31)
------ ------ ------ ------ ------
Total from Investment Operations........... 1.52 (0.03) 2.25 0.59 (0.05)
------ ------ ------ ------ ------
Less Distributions:
-------------------
Net Investment Income.......................... (0.39) (0.28) (0.28) (0.30) (0.26)
Net Realized Gains............................. (0.07) (0.05) (0.02) -- --
------ ------ ------ ------ ------
Total Distributions........................ (0.46) (0.33) (0.30) (0.30) (0.26)
------ ------ ------ ------ ------
Net Asset Value, End of Year...................... $18.64 $17.58 $17.94 $15.99 $15.70
====== ====== ====== ====== ======
Total Return...................................... 8.85% (0.22%) 14.21% 3.86% (0.27%)
------ ------ ------ ------ ------
Net Assets, End of Year (thousands)............... $3,166 $6,774 $6,902 $5,793 $5,455
Ratio of Expenses to Average Net Assets *(B)...... 0.55% 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) *(B)...................... 0.75% 0.74% 0.74% 0.75% 0.77%
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.93% 1.55% 1.56% 1.67% 1.61%
------ ------ ------ ------ ------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a
result of Portfolio's investment in Underlying
Funds as follows:............................... 0.23% 0.23% 0.24% 0.25% 0.25%
------ ------ ------ ------ ------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
19
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL ALLOCATION 25/75
PORTFOLIO-CLASS R2 SHARES
--------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year................ $13.22 $13.44 $12.89 $12.74 $12.93
------ ------ ------ ------ ------
Income from Investment Operations(A)
------------------------------------
Net Investment Income (Loss)................... 0.29 0.19 0.16 0.16 0.14
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 0.55 (0.18) 0.61 0.19 (0.08)
------ ------ ------ ------ ------
Total from Investment Operations........... 0.84 0.01 0.77 0.35 0.06
------ ------ ------ ------ ------
Less Distributions:
-------------------
Net Investment Income.......................... (0.30) (0.19) (0.18) (0.20) (0.23)
Net Realized Gains............................. (0.06) (0.04) (0.04) -- (0.02)
------ ------ ------ ------ ------
Total Distributions........................ (0.36) (0.23) (0.22) (0.20) (0.25)
------ ------ ------ ------ ------
Net Asset Value, End of Year...................... $13.70 $13.22 $13.44 $12.89 $12.74
====== ====== ====== ====== ======
Total Return...................................... 6.46% 0.08% 6.06% 2.78% 0.50%
------ ------ ------ ------ ------
Net Assets, End of Year (thousands)............... $ 742 $ 983 $ 902 $ 848 $ 428
Ratio of Expenses to Average Net Assets *(B)...... 0.53% 0.51% 0.51% 0.50% 0.51%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(B)...................... 0.69% 0.67% 0.67% 0.67% 0.68%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.15% 1.40% 1.26% 1.22% 1.12%
------ ------ ------ ------ ------
* 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:............................... 0.21% 0.20% 0.20% 0.21% 0.21%
------ ------ ------ ------ ------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
20
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL EQUITY PORTFOLIO-INSTITUTIONAL CLASS SHARES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year................ $ 22.01 $ 22.53 $ 18.46 $ 18.17 $ 18.51
---------- ---------- ---------- ---------- ----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)................... 0.46 0.42 0.38 0.36 0.35
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.69 (0.46) 4.07 0.29 (0.34)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 2.15 (0.04) 4.45 0.65 0.01
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.46) (0.41) (0.38) (0.36) (0.35)
Net Realized Gains............................. (0.13) (0.07) -- -- --
---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.59) (0.48) (0.38) (0.36) (0.35)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...................... $ 23.57 $ 22.01 $ 22.53 $ 18.46 $ 18.17
========== ========== ========== ========== ==========
Total Return...................................... 10.03% (0.24%) 24.33% 3.65% 0.07%
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $7,503,643 $6,673,922 $6,390,088 $4,781,441 $4,331,809
Ratio of Expenses to Average Net Assets *(B)...... 0.32% 0.30% 0.30% 0.30% 0.31%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(B)...................... 0.58% 0.57% 0.57% 0.58% 0.60%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.04% 1.78% 1.85% 1.99% 1.90%
---------- ---------- ---------- ---------- ----------
* The Ratio of Expenses to Average Net Assets is
inclusive of acquired fund fees and expenses
incurred by the Portfolio indirectly as a
result of Portfolio's investment in Underlying
Funds as follows:............................... 0.26% 0.25% 0.26% 0.27% 0.29%
---------- ---------- ---------- ---------- ----------
GLOBAL ALLOCATION 60/40 PORTFOLIO-INSTITUTIONAL CLASS SHARES
----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
---------- ---------- ---------- ---------- ----------
Net Asset Value, Beginning of Year................ $ 17.49 $ 17.84 $ 15.89 $ 15.57 $ 15.88
---------- ---------- ---------- ---------- ----------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)................... 0.43 0.32 0.30 0.30 0.31
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 1.10 (0.30) 1.98 0.33 (0.31)
---------- ---------- ---------- ---------- ----------
Total from Investment Operations........... 1.53 0.02 2.28 0.63 --
---------- ---------- ---------- ---------- ----------
Less Distributions:
-------------------
Net Investment Income.......................... (0.44) (0.32) (0.31) (0.31) (0.31)
Net Realized Gains............................. (0.07) (0.05) (0.02) -- --
---------- ---------- ---------- ---------- ----------
Total Distributions........................ (0.51) (0.37) (0.33) (0.31) (0.31)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Year...................... $ 18.51 $ 17.49 $ 17.84 $ 15.89 $ 15.57
========== ========== ========== ========== ==========
Total Return...................................... 9.01% 0.06% 14.54% 4.09% --
---------- ---------- ---------- ---------- ----------
Net Assets, End of Year (thousands)............... $4,242,376 $4,042,976 $3,839,348 $3,093,230 $2,954,230
Ratio of Expenses to Average Net Assets *(B)...... 0.30% 0.28% 0.28% 0.28% 0.29%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(B)...................... 0.50% 0.49% 0.49% 0.50% 0.52%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.43% 1.78% 1.80% 1.93% 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:............................... 0.23% 0.23% 0.24% 0.25% 0.25%
---------- ---------- ---------- ---------- ----------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
21
DIMENSIONAL INVESTMENT GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
GLOBAL ALLOCATION 25/75 PORTFOLIO-INSTITUTIONAL
CLASS SHARES
------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
OCT 31, OCT 31, OCT 31, OCT 31, OCT 31,
2019 2018 2017 2016 2015
-------- -------- -------- -------- --------
Net Asset Value, Beginning of Year................ $ 13.26 $ 13.48 $ 12.92 $ 12.72 $ 12.89
-------- -------- -------- -------- --------
Income (loss) from Investment Operations(A)
-------------------------------------------
Net Investment Income (Loss)................... 0.33 0.22 0.20 0.19 0.20
Net Gains (Losses) on Securities (Realized and
Unrealized).................................. 0.54 (0.19) 0.60 0.19 (0.10)
-------- -------- -------- -------- --------
Total from Investment Operations........... 0.87 0.03 0.80 0.38 0.10
-------- -------- -------- -------- --------
Less Distributions:
-------------------
Net Investment Income.......................... (0.33) (0.21) (0.20) (0.18) (0.25)
Net Realized Gains............................. (0.06) (0.04) (0.04) -- (0.02)
-------- -------- -------- -------- --------
Total Distributions........................ (0.39) (0.25) (0.24) (0.18) (0.27)
-------- -------- -------- -------- --------
Net Asset Value, End of Year...................... $ 13.74 $ 13.26 $ 13.48 $ 12.92 $ 12.72
======== ======== ======== ======== ========
Total Return...................................... 6.73% 0.24% 6.34% 3.04% 0.79%
-------- -------- -------- -------- --------
Net Assets, End of Year (thousands)............... $895,437 $865,272 $841,546 $726,458 $712,072
Ratio of Expenses to Average Net Assets *(B)...... 0.28% 0.26% 0.26% 0.25% 0.26%
Ratio of Expenses to Average Net Assets
(Excluding Fees (Waived), (Expenses
Reimbursed), and/or Previously Waived Fees
Recovered by Advisor) *(B)...................... 0.44% 0.42% 0.42% 0.42% 0.43%
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.44% 1.65% 1.49% 1.53% 1.58%
-------- -------- -------- -------- --------
* 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:............................... 0.21% 0.20% 0.20% 0.21% 0.21%
-------- -------- -------- -------- --------
See page 1 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements.
22
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers twelve portfolios,
three of which, the Global Equity Portfolio, Global Allocation 60/40 Portfolio
and Global Allocation 25/75 Portfolio (each a "Global Fund" and collectively,
the "Global Funds"), are presented in this report. The remaining operational
portfolios are presented in separate reports.
The Global Funds are investment companies and accordingly, follow the
accounting and reporting guidance under the Financial Accounting Standards
Board ("FASB") Accounting Standards Certification ("ASC"), Topic 946,
"Financial Services-Investment Companies."
The Global Funds are "Funds of Funds" that achieve their investment
objectives by allocating their assets among other portfolios within DFA
Investment Dimensions Group Inc. ("IDG") (collectively, the "Underlying
Funds"). The Underlying Funds' shareholder reports are not included in this
report. A copy of the Underlying Funds' shareholder reports is available from
the EDGAR database on the SEC's website at http://www.sec.gov. As of
-------------------
October 31, 2019, the Global Funds were the owners of record of the following
approximate percentages of the total outstanding shares of the following
Underlying Funds as detailed below:
PERCENTAGE
OWNERSHIP
FUNDS OF FUNDS UNDERLYING FUNDS AT 10/31/19
-------------- ----------------------------------------------------------- -----------
Global Equity Portfolio U.S. Core Equity 1 Portfolio (IDG) 5%
U.S. Core Equity 2 Portfolio (IDG) 14%
DFA Real Estate Securities Portfolio (IDG) 2%
International Core Equity Portfolio (IDG) 5%
Emerging Markets Core Equity Portfolio (IDG) 2%
Global Allocation 60/40 Portfolio U.S. Core Equity 1 Portfolio (IDG) 2%
U.S. Core Equity 2 Portfolio (IDG) 5%
DFA Real Estate Securities Portfolio (IDG) 1%
International Core Equity Portfolio (IDG) 2%
DFA Selectively Hedged Global Fixed Income Portfolio (IDG) 51%
Emerging Markets Core Equity Portfolio (IDG) 1%
DFA Five-Year Global Fixed Income Portfolio (IDG) 1%
DFA Inflation-Protected Securities Portfolio (IDG) 2%
DFA Short-Term Extended Quality Portfolio (IDG) 6%
DFA Intermediate-Term Extended Quality Portfolio (IDG) --
DFA World ex U.S. Government Fixed Income Portfolio (IDG) 7%
DFA Global Core Plus Fixed Income Portfolio (IDG) 13%
Global Allocation 25/75 Portfolio U.S. Core Equity 1 Portfolio (IDG) --
U.S. Core Equity 2 Portfolio (IDG) --
23
PERCENTAGE
OWNERSHIP
FUNDS OF FUNDS UNDERLYING FUNDS AT 10/31/19
-------------- ---------------------------------------------------------- -----------
DFA Real Estate Securities Portfolio (IDG) --
International Core Equity Portfolio (IDG) --
DFA Two-Year Global Fixed Income Portfolio (IDG) 5%
Emerging Markets Core Equity Portfolio (IDG) --
DFA Inflation-Protected Securities Portfolio (IDG) 2%
DFA Short-Term Extended Quality Portfolio (IDG) 4%
DFA World ex U.S. Government Fixed Income Portfolio (IDG) 2%
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
accounting principles generally accepted in the United States of America. Such
policies are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the fair
value of investments, the reported amounts of assets and liabilities, the
disclosure of contingent assets and liabilities at the date of the financial
statements, and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates, and those differences could be material.
1. SECURITY VALUATION: The Global Funds use a fair value hierarchy, which
prioritizes the inputs-to-valuation techniques used to measure fair value into
three broad levels described below:
. Level 1 - inputs are quoted prices in active markets for identical
securities, including, though not limited to, equity securities and
futures contracts. Underlying Fund shares are valued at their respective
daily net asset values as reported by their administrator, as the
Underlying Funds are treated as regulated investment companies and are
also included as Level 1 investments.
. 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 a Global Fund's own
assumptions in determining the fair value of investments)
A valuation hierarchy table is included at the end of the Global Funds'
Schedules of Investments. The methodology or inputs used for valuing securities
are not necessarily an indication of the risk associated with investing in
those securities.
2. DEFERRED COMPENSATION PLAN: Each eligible Director of the Fund may elect
to participate in the Fee Deferral Plan for Independent Directors and Trustees
(the "Plan"). Under the Plan, effective January 1, 2002, such Directors may
defer payment of all or a portion of their total fees earned as a Director.
These deferred amounts may be treated as though such amounts had been invested
in shares of the following funds: the U.S. Large Cap Value Portfolio, 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
24
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. Security transactions are accounted for as of the trade date.
Costs used in determining realized gains and losses on the sale of affiliated
investment company shares are accounted for on the basis of identified cost.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Distributions received from the investment in affiliated
investment companies that represent a return of capital or capital gains are
recorded as a reduction of cost of investments or as a realized gain,
respectively. The Global Funds estimate the character of received distributions
that may be considered return of capital distributions. Interest income is
recorded on an accrual basis. Expenses directly attributable to a Global Fund
are directly charged. Common expenses of the Fund or Global Funds are allocated
using methods approved by the Board, generally based on average net assets.
Class R2 Shares and Institutional Class Shares have equal rights to assets
and earnings of its Global Fund. Income, gains and losses, and common expenses
of each Global Fund are allocated to each class of shares based on its relative
net assets. Each class will bear its own class-specific expenses, if any.
C. INVESTMENT ADVISOR:
The Advisor, Dimensional Fund Advisors LP, provides investment management
services to the Global Funds. For the year ended October 31, 2019, the Global
Funds' investment management fees were accrued daily and paid monthly to the
Advisor based on the following effective annual rates of average daily net
assets:
Global Equity Portfolio........................... 0.30%
Global Allocation 60/40 Portfolio................. 0.25%
Global Allocation 25/75 Portfolio................. 0.20%
Pursuant to an Amended and Restated Fee Waiver Agreement (the "Fee Waiver
Agreement"), the Advisor has agreed to waive certain fees of the Global Funds,
as described below. The Fee Waiver Agreement for the Global Funds will remain
in effect through February 28, 2020 and may only be terminated by the Fund's
Board of Directors prior to that date. The Fee Waiver Agreement shall continue
in effect from year to year thereafter unless terminated by the Fund or the
Advisor.
Effective July 21, 2015, pursuant to the Fee Waiver Agreement, in order to
limit the total management fees received by the Advisor, the Advisor has agreed
to waive the management fee each Global Fund pays to the Advisor to the extent
necessary to limit the proportionate share of the total combined management fee
paid by a class of each Global Fund and management fees paid by each Global
Fund's Underlying Funds to the Advisor, except for fees paid indirectly through
its investment of securities lending cash collateral in The DFA Short Term
Investment Fund, on an annualized basis (the "Annualized Expense Ratio"), to
the Total Management Fee Limits listed below based on a percentage of average
net assets of a class of a Global Fund on an annualized basis. The maximum
amount waived under this waiver is the full amount of a Global Fund's
management fee to the Advisor.
At any time that the Annualized Expense Ratio of a class of a Global Fund is
less than the limit listed below for such class of the Global Fund, the Advisor
retains the right to recover any fees previously waived to the extent that such
recovery will not cause the Annualized Expense Ratio of such class of shares of
the Global Fund to exceed the limit listed below. During the year ended
October 31, 2019, the Global Funds had Total Management Fee Limits based on a
percentage of average net assets on an annualized basis, and the Advisor
recovered previously waived fees (amounts in thousands), as listed below. The
net amount of waived fees (recovered previously waived fees) during the year
ended October 31, 2019 and the previously waived fees subject to future
recovery as of October 31, 2019, are also reflected below (amounts in
thousands). The Global Funds are not obligated to reimburse the Advisor for
fees waived by the Advisor more than thirty-six months before the date of such
reimbursement. With respect to the Fee Waiver Agreement, prior year waived fees
can be recaptured only if the expense ratio following such recapture is less
than the expense cap that was in place when such prior year fees were waived,
and less than the current expense cap in place for a Portfolio.
25
NET WAIVED FEES/
EXPENSES ASSUMED PREVIOUSLY
RECOVERY (RECOVERED WAIVED FEES/
TOTAL OF PREVIOUSLY PREVIOUSLY WAIVED EXPENSES ASSUMED
MANAGEMENT WAIVED FEES/ FEES/EXPENSES SUBJECT TO FUTURE
INSTITUTIONAL CLASS SHARES FEE LIMIT EXPENSES ASSUMED ASSUMED) RECOVERY
-------------------------- ---------- ---------------- ----------------- -----------------
Global Equity Portfolio........................... 0.27% -- $18,168 $51,575
Global Allocation 60/40 Portfolio................. 0.25% -- 8,443 24,518
Global Allocation 25/75 Portfolio................. 0.22% -- 1,358 4,010
CLASS R2 SHARES
---------------
Global Equity Portfolio........................... 0.27% -- 67 222
Global Allocation 60/40 Portfolio................. 0.25% -- 7 35
Global Allocation 25/75 Portfolio................. 0.22% -- 1 4
Prior to July 21, 2015, in order to limit the total administration and
management fees received by the Advisor, the Advisor had agreed to waive the
administration fee each Global Fund paid to the Advisor to the extent necessary
to limit the proportionate share of the total combined administration fee paid
by a class of each Global Fund and management fees paid by each Global Fund's
Underlying Funds to the Advisor to the percentages listed above. The maximum
amount waived under this waiver was the full amount of a Global Fund's
administration fee to the Advisor.
FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES:
Certain Officers and Directors of the Advisor are also Officers and
Directors of the Fund; however, such Officers and Directors (with the exception
of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund.
For the year ended October 31, 2019, the total related amounts paid by the Fund
to the CCO was $30 (in thousands). The total related amount paid by each of the
Global Funds 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):
Global Equity Portfolio........................... $138
Global Allocation 60/40 Portfolio................. 85
Global Allocation 25/75 Portfolio................. 21
E. PURCHASES AND SALES OF SECURITIES:
For the year ended October 31, 2019, the Global Funds' transactions related
to Affiliated Investment Companies, excluding in-kind redemptions, are
presented below.
26
The amounts presented below may differ from the respective amounts presented
in the corresponding Schedule of Investments, Statement of Assets and
Liabilities or Statement of Operations due to rounding. The amounts are as
follows (amounts in thousands):
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
- ---------------- --------- ---------- ------------ -------------
GLOBAL EQUITY PORTFOLIO
U.S. Core Equity 2 Portfolio $3,462,527 $331,594 $165,635 $ (7,828) $256,830
International Core Equity Portfolio 1,456,023 170,173 86,352 (11,446) 77,779
U.S. Core Equity 1 Portfolio 1,150,431 89,845 48,794 (2,201) 104,867
Emerging Markets Core Equity Portfolio 464,324 65,066 32,779 (4,398) 44,734
DFA Real Estate Securities Portfolio 167,896 20,258 10,633 170 39,513
---------- -------- -------- -------- --------
TOTAL $6,701,201 $676,936 $344,193 $(25,703) $523,723
========== ======== ======== ======== ========
GLOBAL ALLOCATION 60/40 PORTFOLIO
U.S. Core Equity 2 Portfolio $1,231,148 $144,612 $152,484 $ 3,451 $ 92,415
DFA Selectively Hedged Global Fixed Income
Portfolio 619,207 60,065 64,109 (4,253) 17,325
International Core Equity Portfolio 511,692 54,082 42,103 (980) 27,769
U.S. Core Equity 1 Portfolio 407,785 32,239 36,166 4,327 34,862
DFA Short-Term Extended Quality Portfolio 417,967 33,251 41,753 (613) 11,191
DFA Five-Year Global Fixed Income Portfolio 212,245 16,614 17,863 (607) 1,977
DFA Global Core Plus Fixed Income Portfolio -- 191,453 -- -- 5,299
Emerging Markets Core Equity Portfolio 165,452 11,203 6,940 (714) 15,606
DFA Inflation-Protected Securities Portfolio 105,798 2,313 6,475 (363) 7,355
DFA World ex U.S. Government Fixed Income
Portfolio 107,225 7,719 11,119 (80) 4,360
DFA Real Estate Securities Portfolio 59,251 3,310 2,322 190 13,879
DFA Intermediate-Term Extended Quality Portfolio 211,111 9,071 237,683 10,030 7,471
---------- -------- -------- -------- --------
TOTAL $4,048,881 $565,932 $619,017 $ 10,388 $239,509
========== ======== ======== ======== ========
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2019 OCTOBER 31, 2019 INCOME DISTRIBUTIONS
- ---------------- ---------------- -------- -------------
GLOBAL EQUITY PORTFOLIO
U.S. Core Equity 2 Portfolio $3,877,488 171,116 $ 61,521 $36,617
International Core Equity Portfolio 1,606,177 121,772 48,007 --
U.S. Core Equity 1 Portfolio 1,294,148 52,373 20,508 7,199
Emerging Markets Core Equity Portfolio 536,947 26,078 13,652 --
DFA Real Estate Securities Portfolio 217,204 5,184 4,249 --
---------- ------- -------- -------
TOTAL $7,531,964 376,523 $147,937 $43,816
========== ======= ======== =======
GLOBAL ALLOCATION 60/40 PORTFOLIO
U.S. Core Equity 2 Portfolio $1,319,142 58,215 $ 21,672 $13,175
DFA Selectively Hedged Global Fixed Income
Portfolio 628,235 64,171 19,071 --
International Core Equity Portfolio 550,460 41,733 16,802 --
U.S. Core Equity 1 Portfolio 443,047 17,930 7,207 2,560
DFA Short-Term Extended Quality Portfolio 420,043 38,360 10,169 --
DFA Five-Year Global Fixed Income Portfolio 212,366 19,376 8,588 --
DFA Global Core Plus Fixed Income Portfolio 196,752 18,738 -- 344
Emerging Markets Core Equity Portfolio 184,607 8,966 4,763 --
DFA Inflation-Protected Securities Portfolio 108,628 9,030 2,204 --
DFA World ex U.S. Government Fixed Income
Portfolio 108,105 9,964 7,224 393
DFA Real Estate Securities Portfolio 74,308 1,773 1,496 --
DFA Intermediate-Term Extended Quality Portfolio -- -- 4,349 --
---------- ------- -------- -------
TOTAL $4,245,693 288,256 $103,545 $16,472
========== ======= ======== =======
27
CHANGE IN
NET REALIZED UNREALIZED
BALANCE AT PURCHASES PROCEEDS GAIN/(LOSS) APPRECIATION/
OCTOBER 31, 2018 AT COST FROM SALES ON SALES DEPRECIATION
---------------- --------- ---------- ------------ -------------
GLOBAL ALLOCATION 25/75 PORTFOLIO
DFA Two-Year Global Fixed Income Portfolio $265,403 $ 34,872 $ 33,760 $ (803) $ 2,972
DFA Short-Term Extended Quality Portfolio 265,375 32,196 35,533 (506) 7,129
U.S. Core Equity 2 Portfolio 110,170 29,942 33,845 2,338 6,813
DFA Inflation-Protected Securities Portfolio 97,488 11,169 16,741 (273) 6,746
International Core Equity Portfolio 44,328 11,722 10,751 498 2,146
U.S. Core Equity 1 Portfolio 35,430 7,662 8,157 1,084 2,557
DFA World ex U.S. Government Fixed Income
Portfolio 36,032 5,543 7,458 (3) 1,439
Emerging Markets Core Equity Portfolio 14,335 2,134 1,630 39 1,296
DFA Real Estate Securities Portfolio 5,155 581 413 12 1,191
-------- -------- -------- ------ -------
TOTAL $873,716 $135,821 $148,288 $2,386 $32,289
======== ======== ======== ====== =======
BALANCE AT SHARES AS OF DIVIDEND CAPITAL GAIN
OCTOBER 31, 2019 OCTOBER 31, 2019 INCOME DISTRIBUTIONS
---------------- ---------------- -------- -------------
GLOBAL ALLOCATION 25/75 PORTFOLIO
DFA Two-Year Global Fixed Income Portfolio $268,684 26,788 $ 6,617 --
DFA Short-Term Extended Quality Portfolio 268,661 24,535 6,427 --
U.S. Core Equity 2 Portfolio 115,418 5,093 1,909 $1,181
DFA Inflation-Protected Securities Portfolio 98,389 8,179 2,004 --
International Core Equity Portfolio 47,943 3,635 1,479 --
U.S. Core Equity 1 Portfolio 38,576 1,561 634 227
DFA World ex U.S. Government Fixed Income
Portfolio 35,553 3,277 2,431 132
Emerging Markets Core Equity Portfolio 16,174 786 418 --
DFA Real Estate Securities Portfolio 6,526 156 129 --
-------- ------ ------- ------
TOTAL $895,924 74,010 $22,048 $1,540
======== ====== ======= ======
F. FEDERAL INCOME TAXES:
Each Global Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code
for federal income tax purposes and to distribute substantially all of its
taxable income and net capital gains to its shareholders. Accordingly, no
provision has been made for federal income taxes.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. federal income tax regulations, which may
differ from those amounts determined under accounting principles generally
accepted in the United States of America. These book/tax differences are either
temporary or permanent in nature. To the extent that these differences are
permanent, they are charged or credited to paid-in capital or distributable
earnings, undistributed net investment income or accumulated net realized gains
or losses, as appropriate, in the period that the differences arise.
Accordingly, the permanent differences as of October 31, 2019, primarily
attributable to passive foreign investment companies, short-term distributions
received from underlying RICs, return of capital, the use of accumulated
earnings and profits distributed to shareholders on redemptions of shares as
part of the dividends paid deduction for income tax purposes, were reclassified
to the accounts mentioned above. These reclassifications had no effect on net
assets or net asset value per share.
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
-------------- ------------- ---------- --------
Global Equity Portfolio
2018.............................................. $121,683 $20,724 -- $142,407
2019.............................................. 143,524 39,228 -- 182,752
Global Allocation 60/40 Portfolio
2018.............................................. 72,229 10,405 -- 82,634
28
NET INVESTMENT
INCOME AND
SHORT-TERM LONG-TERM TAX EXEMPT
CAPITAL GAINS CAPITAL GAINS INCOME TOTAL
-------------- ------------- ---------- --------
2019.............................................. $102,372 $14,867 -- $117,239
Global Allocation 25/75 Portfolio
2018.............................................. 13,998 2,244 -- 16,242
2019.............................................. 21,990 3,224 -- 25,214
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
-------------- ------------- -------
Global Equity Portfolio........................... $(28) $(5,199) $(5,227)
Global Allocation 60/40 Portfolio................. -- (2,211) (2,211)
Global Allocation 25/75 Portfolio................. -- (279) (279)
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 APPRECIATION (ACCUMULATED
CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES)
-------------- ------------- -------------- -------------
Global Equity Portfolio........................... -- $38,553 $2,356,158 $2,394,711
Global Allocation 60/40 Portfolio................. -- 28,602 939,117 967,719
Global Allocation 25/75 Portfolio................. -- 4,588 108,103 112,691
For federal income tax purposes, the Fund measures its capital loss
carryforwards annually at October 31, its fiscal year end. Capital loss
carryforwards may be carried forward and applied against future capital gains.
Under the Regulated Investment Company Modernization Act of 2010, capital
losses incurred by these Global Funds after October 31, 2011, will not be
subject to expiration and will retain their character as either short-term or
long-term capital losses. As of October 31, 2019, the Global Funds did not have
any capital loss carryforwards available to offset future realized capital
gains.
During the year ended October 31, 2019, the Portfolios did not use capital
loss carryforwards to offset realized capital gains for federal income tax
purposes.
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)
---------- ------------ -------------- --------------
Global Equity Portfolio........................... $5,177,717 $2,356,159 -- $2,356,159
Global Allocation 60/40 Portfolio................. 3,306,575 939,117 -- 939,117
Global Allocation 25/75 Portfolio................. 787,972 108,103 -- 108,103
29
The difference between book-basis and tax-basis unrealized appreciation
(depreciation) is primarily attributable to the tax deferral of losses on wash
sales.
ASC 740 ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES sets forth a minimum
threshold for financial statement recognition of the benefit of a tax position
taken or expected to be taken in a tax return. Management has analyzed each
Global Fund's tax positions and has concluded that no additional provision for
income tax is required in any Global Fund's financial statements. No Global
Fund is aware of any tax positions for which it is more likely than not that
the total amounts of unrecognized tax benefits will significantly change in the
next twelve months. Each Global Fund's federal tax returns for the prior three
fiscal years remain subject to examination by the Internal Revenue Service.
G. FINANCIAL INSTRUMENTS:
Summarized below are the specific types of derivative instruments used by
the Global Funds.
1. FUTURES CONTRACTS: The Global Funds may purchase or sell futures
contracts and options on futures contracts for foreign or U.S. equity
securities and indices to adjust market exposure based on actual or expected
cash inflows to or outflows from the Global Funds. The Global Funds, however,
do not intend to sell futures contracts to establish short positions in
individual securities. Upon entering into a futures contract, a Global 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 Global Fund as unrealized gains or losses until the contract is
closed. When the contract is closed, the Global Fund 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 a Global Fund could lose more than
the initial margin requirements. Entering into stock index futures subjects a
Global Fund to equity price risk from those futures contracts.
The following is a summary of the realized and change in unrealized gains
and losses from the Global Funds' 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)
----- -------------
Global Allocation 60/40 Portfolio................. $859 $859*
(1) Presented on Statements of Operations as Net Realized Gain (Loss) on:
Futures.
* As of October 31, 2019, there were no futures contracts outstanding. During
the year ended October 31, 2019, the Global Fund had limited activity in
futures contracts.
30
H. 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
----------- ------- ----------- -------
GLOBAL EQUITY PORTFOLIO
Class R2 Shares
Shares Issued.................................. $ 5,221 235 $ 7,897 338
Shares Issued in Lieu of Cash Distributions.... 604 28 561 24
Shares Redeemed................................ (8,554) (385) (11,265) (476)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares $ (2,729) (122) $ (2,807) (114)
=========== ======= =========== =======
Institutional Class Shares
Shares Issued.................................. $ 1,745,043 78,736 $ 1,567,735 66,986
Shares Issued in Lieu of Cash Distributions.... 180,610 8,340 140,553 6,056
Shares Redeemed................................ (1,596,746) (71,930) (1,250,356) (53,488)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional
Class Shares.................................... $ 328,907 15,146 $ 457,932 19,554
=========== ======= =========== =======
YEAR ENDED YEAR ENDED
OCTOBER 31, 2019 OCTOBER 31, 2018
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
GLOBAL ALLOCATION 60/40 PORTFOLIO
Class R2 Shares
Shares Issued.................................. $ 822 47 $ 1,091 60
Shares Issued in Lieu of Cash Distributions.... 76 4 128 7
Shares Redeemed................................ (4,743) (267) (1,215) (66)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares........ $ (3,845) (216) $ 4 1
=========== ======= =========== =======
Institutional Class Shares
Shares Issued.................................. $ 1,080,476 61,807 $ 1,113,712 61,356
Shares Issued in Lieu of Cash Distributions.... 114,933 6,735 81,159 4,499
Shares Redeemed................................ (1,246,453) (70,593) (904,726) (49,853)
----------- ------- ----------- -------
Net Increase (Decrease) -- Institutional
Class Shares.................................... $ (51,044) (2,051) $ 290,145 16,002
=========== ======= =========== =======
YEAR ENDED YEAR ENDED
OCTOBER 31, 2019 OCTOBER 31, 2018
-------------------- --------------------
AMOUNT SHARES AMOUNT SHARES
----------- ------- ----------- -------
GLOBAL ALLOCATION 25/75 PORTFOLIO
Class R2 Shares
Shares Issued.................................. $ 56 4 $ 180 13
Shares Issued in Lieu of Cash Distributions.... 22 2 16 1
Shares Redeemed................................ (355) (26) (98) (7)
----------- ------- ----------- -------
Net Increase (Decrease) -- Class R2 Shares........ $ (277) (20) $ 98 7
=========== ======= =========== =======
31
YEAR ENDED YEAR ENDED
OCTOBER 31, 2019 OCTOBER 31, 2018
------------------ ------------------
AMOUNT SHARES AMOUNT SHARES
--------- ------- --------- -------
Institutional Class Shares
Shares Issued.................................. $ 280,604 21,094 $ 249,394 18,472
Shares Issued in Lieu of Cash Distributions.... 25,101 1,924 16,160 1,201
Shares Redeemed................................ (307,895) (23,101) (227,698) (16,887)
--------- ------- --------- -------
Net Increase (Decrease) -- Institutional
Class Shares.................................... $ (2,190) (83) $ 37,856 2,786
========= ======= ========= =======
I. LINE OF CREDIT AND INTERFUND LENDING PROGRAM:
The Fund, together with other Dimensional-advised portfolios, has entered
into a $500 million uncommitted, unsecured discretionary line of credit
effective April 10, 2019, with its domestic custodian bank. A line of credit
with similar terms was in effect through April 10, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $500 million in the aggregate. Borrowings under the line of credit are
charged interest at rates agreed upon by the parties at the time of borrowing.
Each portfolio is individually, and not jointly, liable for its particular
advances under the line of credit. There is no commitment fee on the unused
portion of the line of credit. The agreement for the discretionary line of
credit may be terminated by either party at any time. The agreement for the
line of credit expires on April 8, 2020.
The Fund, together with other Dimensional-advised portfolios, has also
entered into an additional $700 million unsecured line of credit with its
international custodian bank effective January 4, 2019. A line of credit with
similar terms was in effect through January 4, 2019. Each portfolio is
permitted to borrow, subject to its investment limitations, up to a maximum of
$500 million, as long as total borrowings under the line of credit do not
exceed $700 million in the aggregate. Each portfolio is individually, and not
jointly, liable for its particular advances under the line of credit.
Borrowings under the line of credit are charged interest at rates agreed upon
by the parties at the time of borrowing. There is no commitment fee on the
unused portion of the line of credit. The agreement for the discretionary line
of credit may be terminated by either party at any time. The line of credit
agreement expires on January 3, 2020.
For the year ended October 31, 2019, borrowings by the following Global
Funds under the lines of credit were as follows (amounts in thousands, except
percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD
------------- ------------ ------------ -------- ---------------
Global Equity Portfolio........................... 2.96% $2,945 93 $23 $19,357
Global Allocation 60/40 Portfolio................. 3.00% 2,570 152 33 27,644
Global Allocation 25/75 Portfolio................. 2.98% 919 107 8 7,436
OUTSTANDING
BORROWINGS
AS OF 10/31/2019
----------------
Global Equity Portfolio........................... --
Global Allocation 60/40 Portfolio................. $5,801
Global Allocation 25/75 Portfolio................. --
* Number of Days Outstanding represents the total of single or consecutive
days during the year ended October 31, 2019, that each Global Fund's
available line of credit was used.
Pursuant to an exemptive order issued by the SEC (the "Order"), the Global
Funds may participate in an interfund lending program among certain portfolios
managed by the Advisor (portfolios that operate as feeder funds do not
participate in the program). The program allows the participating portfolios to
borrow money from and loan money to each other for temporary or emergency
purposes, subject to the conditions in the Order. A loan can only be made
through the program if the interfund loan rate on that day is more favorable to
both the borrowing and lending portfolios as compared to rates available
through short-term bank loans or investments in overnight
32
repurchase agreements and money market funds, respectively, as detailed in the
Order. Further, a portfolio may participate in the program only if and to the
extent that such participation is consistent with its investment objectives and
limitations. lnterfund loans have a maximum duration of seven days and may be
called on one business day's notice.
The Global Funds did not use the interfund lending program during the year
ended October 31, 2019.
J. SHAREHOLDER SERVICING FEES:
The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25%
of their annual average net assets to compensate service agents that provide
shareholder servicing, record keeping, account maintenance and other services
to investors in the Global Funds' Class R2 Shares.
K. INDEMNITEES; CONTRACTUAL OBLIGATIONS:
Under the Fund's organizational documents, its Officers and Directors are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund.
In the normal course of business, the Fund enters into contracts that
contain a variety of representations and warranties that provide general
indemnification. The Fund's maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Fund
and/or its affiliates that have not yet occurred. However, based on experience,
the Fund expects the risk of loss to be remote.
L. RECENTLY ISSUED ACCOUNTING STANDARDS:
In March 2017, the Financial Accounting Standards Board (FASB) issued
Accounting Standards Update (ASU) 2017-08 which changes the amortization period
for a callable debt security from the maturity date to the earliest call date.
The ASU is effective for annual periods beginning after December 15, 2018, and
interim periods within those annual periods. Management has evaluated the
requirements of this update and does not expect any material impact to the
Global Funds' 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 Global Funds' 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:
As of October 31, 2019, the following number of shareholders held the
following approximate percentages of the Global Funds' outstanding shares. One
or more of the shareholders may be omnibus accounts, which typically hold
shares for the benefit of several other underlying investors.
APPROXIMATE
PERCENTAGE OF
NUMBER OF OUTSTANDING
SHAREHOLDERS SHARES
------------ -------------
Global Equity Portfolio-Class R2.................. 4 86%
Global Equity Portfolio-Institutional Class....... 3 76%
Global Allocation 60/40 Portfolio-Class R2........ 4 94%
Global Allocation 60/40 Portfolio-Institutional
Class........................................... 4 80%
Global Allocation 25/75 Portfolio-Class R2........ 2 98%
Global Allocation 25/75 Portfolio-Institutional
Class........................................... 4 86%
33
The Global Funds are subject to claims and suits that arise from time to
time in the ordinary course of business (for example, in The Tribune Company
Bankruptcy, certain creditors have filed actions against all shareholders of
The Tribune Company who tendered shares when The Tribune Company went private
in 2007 in a leveraged buy-out transaction, seeking the return of proceeds
received by the shareholders). Although management currently believes that
resolving claims against us, individually or in aggregate, will not have a
material adverse impact on our financial position, our results of operations,
or our cash flows, these matters are subject to inherent uncertainties and
management's view of these matters may change in the future.
N. SUBSEQUENT EVENT EVALUATIONS:
Management has evaluated the impact of all subsequent events on the Global
Funds through the date on which the financial statements were issued and has
determined that there are no subsequent events requiring recognition or
disclosure in the financial statements.
34
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of Global Equity Portfolio, Global Allocation 60/40 Portfolio and Global
Allocation 25/75 Portfolio
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Global Equity Portfolio, Global
Allocation 60/40 Portfolio and Global Allocation 25/75 Portfolio (three of the
funds constituting Dimensional Investment Group Inc., hereafter collectively
referred to as the "Funds") as of October 31, 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 Funds
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 Funds' management. Our
responsibility is to express an opinion on the Funds' financial statements
based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to
be independent with respect to the Funds in accordance with the U.S. federal
securities laws and the applicable rules and regulations of the Securities and
Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the
standards of the PCAOB. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements, whether due to error or fraud, and
performing procedures that respond to those risks. Such procedures included
examining, on a test basis, evidence regarding the amounts and disclosures in
the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as
evaluating the overall presentation of the financial statements. Our procedures
included confirmation of securities owned as of October 31, 2019 by
correspondence with the custodian and the transfer agent of the investee funds.
We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 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.
35
NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO
RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940
As noted in the table provided below, the following Portfolios paid
distributions to shareholders of record, a portion of which is estimated to be
in excess of a Portfolio's current and accumulated undistributed net income.
Please note that this information is being provided to satisfy certain notice
requirements under the Investment Company Act of 1940 and is not being provided
for tax reporting purposes. Tax reporting information for the shareholders of a
Portfolio will not be available until the end of the Portfolio's fiscal year.
As a result, shareholders should not use the information provided in this
notice for tax reporting purposes.
ESTIMATED % BREAKDOWN OF DISTRIBUTION SOURCES
--------------------------------------------
NET INCOME FOR ACCUMULATED
THE CURRENT OR UNDISTRIBUTED
PRECEDING NET PROFITS PAID-IN
FISCAL YEAR, FROM THE SALE SURPLUS
AND ACCUMULATED OF SECURITIES OR OTHER
UNDISTRIBUTED NET OR OTHER CAPITAL
PORTFOLIO NAME INCOME PROPERTIES SOURCE
-------------- ----------------- ------------- --------
Global Equity Portfolio
September 27, 2019............................. 99% 0% 1%
Global Allocation 60/40 Portfolio
September 27, 2019............................. 99% 0% 1%
Global Allocation 25/75 Portfolio
September 27, 2019............................. 99% 0% 1%
The ultimate composition of these distributions may vary from the estimates
provided above due to a variety of factors including future income and
expenses, and realized gains and losses from the purchase and sale of
securities.
36
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.
37
DISINTERESTED DIRECTORS
TERM OF PORTFOLIOS WITHIN
OFFICE/1/ AND THE DFA FUND OTHER DIRECTORSHIPS OF
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ PUBLIC COMPANIES HELD
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN DURING PAST 5 YEARS
----------------- -------- ----------- ---------------------------------------- ----------------- ----------------------
George M. Director Since 1983 Leo Melamed Professor of Finance, 128 portfolios in None
Constantinides University of Chicago Booth School of 4 investment
University of Business (since 1978). companies
Chicago Booth
School of Business
5807 S. Woodlawn
Avenue
Chicago, IL 60637
1947
Douglas W. Diamond Director Since 2017 Merton H. Miller Distinguished 128 portfolios in None
c/o Dimensional Service Professor of Finance, 4 investment
Fund Advisors LP University of Chicago Booth School of companies
6300 Bee Cave Business (since 1988). Visiting
Road, Building One Scholar, Federal Reserve Bank of
Austin, TX 78746 Richmond (since 1990). Formerly,
1953 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 Professor 128 portfolios in Formerly,
c/o Dimensional 2019 of Finance, Graduate School of 4 investment Director,
Fund Advisors LP Business, Stanford University (since companies Moody's
6300 Bee Cave 1984). Corporation
Road, Building One (financial
Austin, TX 78746 information and
1954 information
technology)
(2008- April
2018).
Roger G. Ibbotson Director Since 1981 Professor in Practice Emeritus of 128 portfolios in None
Yale School of Finance, Yale School of Management 4 investment
Management (since 1984). Chairman and Partner, companies
P.O. Box 208200 Zebra Capital Management, LLC (hedge
New Haven, CT fund and asset manager) (since 2001).
06520-8200 Formerly, Consultant to Morningstar,
1943 Inc. (2006 - 2016).
Edward P. Lazear Director Since 2010 Distinguished Visiting Fellow, Becker 128 portfolios in None
Stanford University Friedman Institute for Research in 4 investment
Graduate School of Economics, University of Chicago companies
Business (since 2015). Morris Arnold Cox
Knight Management Senior Fellow, Hoover Institution
Center, E346 (since 2002). Davies Family Professor
Stanford, CA 94305 of Economics, Graduate School of
1948 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, Janus 128 portfolios in Formerly, Adviser,
c/o Dimensional Henderson Investors (since 2014). 4 investment Kuapay, Inc.
Fund Advisors LP Frank E. Buck Professor of Finance, companies (2013-2014).
6300 Bee Cave Emeritus, Graduate School of Formerly,
Road, Building One Business, Stanford University (since Director,
Austin, TX 78746 1981). American
1941 Century Fund
Complex
(registered
investment
companies) (43
Portfolios)
(1980-2014).
38
TERM OF PORTFOLIOS WITHIN
OFFICE/1/ AND THE DFA FUND OTHER DIRECTORSHIPS OF
NAME, ADDRESS AND LENGTH OF COMPLEX/2/ PUBLIC COMPANIES HELD
YEAR OF BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN DURING PAST 5 YEARS
----------------- -------- ----------- ---------------------------------------- ----------------- ----------------------
Abbie J. Smith Director Since 2000 Boris and Irene Stern Distinguished 128 portfolios in Director (since
University of Service Professor of Accounting, 4 investment 2000)and
Chicago Booth University of Chicago Booth School of companies formerly, Lead
School of Business Business (since 1980). Director (2014-
5807 S. Woodlawn 2017), HNI
Avenue Corporation
Chicago, IL 60637 (office furniture);
1953 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 Professor of 128 portfolios in Director, Fourth
c/o Dimensional 2019 Finance, Fisher College of Business, 4 investment Swedish AP
Fund Advisors LP The Ohio State University (since companies Fund (pension
6300 Bee Cave 1998). Adjunct Member, the Prize fund asset
Road, Building One Committee for the Swedish Riksbank management)
Austin, TX 78746 Prize in Economic Sciences in Memory (since 2017).
1961 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.)
39
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.
TERM OF PORTFOLIOS WITHIN OTHER DIRECTORSHIPS
NAME, ADDRESS OFFICE/1/ AND THE DFA FUND OF PUBLIC COMPANIES
AND YEAR OF LENGTH OF COMPLEX/2/ HELD DURING PAST 5
BIRTH POSITION SERVICE PRINCIPAL OCCUPATION DURING PAST 5 YEARS OVERSEEN YEARS
------------- -------- ----------- ---------------------------------------- ----------------- -------------------
David G. Booth Chairman Since 1981 Chairman, Director/Trustee, and 128 portfolios None
6300 Bee Cave and Director formerly, President and Co-Chief in 4 investment
Road, Building Executive Officer (each until March companies
One 2017) of Dimensional Emerging
Austin, TX Markets Value Fund ("DEM"),
78746 DFAIDG, Dimensional Investment
1946 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.
40
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/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- ---------- ---------------- ----------------------------------
Valerie A. Brown Vice President and Since 2001 Vice President and Assistant
1967 Assistant Secretary Secretary of
. all the DFA Entities (since
2001)
. DFA Australia Limited (since
2002)
. Dimensional Fund Advisors Ltd.
(since 2002)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Hong Kong Limited
(since 2012)
Director, Vice President and
Assistant Secretary (since 2003) of
. Dimensional Fund Advisors
Canada ULC
Ryan P. Buechner Vice President and Since September Vice President and Assistant
1982 Assistant Secretary 2019 Secretary of
. 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 2017 Co-Chief Executive Officer (since
1964 Officer 2017) of
. all the DFA entities
Director (since 2017) of
. Dimensional Holdings Inc.
. Dimensional Fund Advisors
Canada ULC
. Dimensional Japan Ltd.
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. DFA Australia Limited
Director and Co-Chief Executive
Officer (since 2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Head of Global Financial Advisor
Services (since 2007) for
. Dimensional Fund Advisors LP
Formerly, Vice President (2007 -
2017) of
. all the DFA Entities
Stephen A. Clark Executive Vice Since 2017 Executive Vice President (since 2017)
1972 President of
. all the DFA entities
Director and Vice President (since
2016) of
. Dimensional Japan Ltd.
President and Director (since 2016) of
. Dimensional Fund Advisors
Canada ULC
Vice President (since 2008) and
Director (since 2016) of
. DFA Australia Limited
Director (since 2016) of
. Dimensional Advisors Ltd.
. Dimensional Fund Advisors Pte.
Ltd.
. Dimensional Hong Kong Limited
Vice President (since 2016) of
. Dimensional Fund Advisors Pte.
Ltd.
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
41
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE YEARS
---------------- ---------- ---------------- ----------------------------------
Christopher S. Vice President and Since 2004 Vice President and Global Chief
Crossan Global Chief Compliance Officer (since 2004) of
1965 Compliance Officer
. all the DFA Entities
. DFA Australia Limited
. Dimensional Fund Advisors Ltd.
Chief Compliance Officer (since 2006)
and Chief Privacy Officer (since
2015) of
. Dimensional Fund Advisors
Canada ULC
Chief Compliance Officer of
. Dimensional Fund Advisors Pte.
Ltd. (since 2012)
. Dimensional Japan Ltd. (since
2017)
Formerly, Vice President and Global
Chief Compliance Officer (2010 -
2014) for
. Dimensional SmartNest (US) LLC
Gregory K. Vice President, Chief Vice President Vice President, Chief Financial
Hinkle Financial Officer, since 2015 and Officer, and Treasurer (since 2016) of
1958 and Treasurer Chief Financial
Officer and . all the DFA Entities
Treasurer since
2016 . Dimensional Advisors Ltd.
. Dimensional Fund Advisors Ltd.
. 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 2004 Vice President (since 2004) and
1973 Assistant Secretary (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 President Vice President (since 2015) of
1971 Assistant Treasurer since 2015 and
Assistant . all the DFA Entities
Treasurer since
2017 Assistant Treasurer (since 2017) of
. the DFA Fund Complex
Formerly, Senior Tax Manager (2013 -
2015) for
. Dimensional Fund Advisors LP
Kenneth M. Vice President Since 2010 Vice President (since 2010) of
Manell
1972 . all the DFA Entities
. Dimensional Cayman Commodity
Fund I Ltd.
Catherine L. President and President since President (since 2017) of
Newell General Counsel 2017 and
1964 General Counsel . the DFA Fund Complex
since 2001
General Counsel (since 2001) of
. All the DFA Entities
Executive Vice President (since 2017)
and Secretary (since 2000) of
42
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE 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 Vice President and Since 2013 Vice President and Deputy Chief
Notelovitz Deputy Chief Compliance Officer of
1961 Compliance Officer
. the DFA Fund Complex (since
2013)
. Dimensional Fund Advisors LP
(since 2012)
Carolyn L. O Vice President and Vice President Vice President (since 2010) and
1974 Secretary since 2010 and Secretary (since 2017) of
Secretary since
2017 . the DFA Fund Complex
Vice President (since 2010) and
Assistant Secretary (since 2016) of
. Dimensional Fund Advisors LP
. Dimensional Holdings Inc.
. Dimensional Investment LLC
Vice President of
. DFA Securities LLC (since 2010)
. Dimensional Cayman Commodity
Fund I Ltd. (since 2010)
. Dimensional Fund Advisors
Canada ULC (since 2016)
Gerard K. Co-Chief Executive Co-Chief Co-Chief Executive Officer and Chief
O'Reilly Officer and Chief Executive Investment Officer (since 2017) of
1976 Investment Officer Officer and
Chief . all the DFA Entities
Investment
Officer since . Dimensional Fund Advisors
2017 Canada ULC
Director, Chief Investment Officer
and Vice President (since 2017) of
. DFA Australia Limited
Chief Investment Officer (since 2017)
and Vice President (since 2016) of
. Dimensional Japan Ltd.
Director, Co-Chief Executive Officer
and Chief Investment Officer (since
2017) of
. Dimensional Cayman Commodity
Fund I Ltd.
Director of
. Dimensional Funds plc (since
2014)
. Dimensional Fund II plc (since
2014)
. Dimensional Holdings Inc.
(since 2017)
Formerly, Co-Chief Investment Officer
of
. Dimensional Japan Ltd. (2016 -
2017)
43
TERM OF OFFICE/1/
NAME AND YEAR OF AND LENGTH OF PRINCIPAL OCCUPATION DURING PAST 5
BIRTH POSITION SERVICE 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.
44
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.
45
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
NET CORPORATE
INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS QUALIFYING
DIMENSIONAL INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DIVIDEND
GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION (1) INCOME (2)
---------------------- ------------- ------------- ------------- ------- ---------- ------------- ------------- ----------
Global Equity Portfolio.. 79% -- 21% -- -- 100% 58% 100%
Global Allocation 60/40
Portfolio ............. 87% 1% 12% -- -- 100% 48% 86%
Global Allocation 25/75
Portfolio ............. 86% 2% 12% -- -- 100% 21% 39%
QUALIFYING
SHORT-
U.S. FOREIGN FOREIGN QUALIFYING TERM
DIMENSIONAL INVESTMENT GOVERNMENT TAX SOURCE INTEREST CAPITAL
GROUP INC. INTEREST (3) CREDIT (4) INCOME (5) INCOME (6) GAIN (7)
---------------------- ------------ ---------- ---------- ---------- ----------
Global Equity Portfolio.. -- 3% 95% -- --
Global Allocation 60/40
Portfolio ............. -- 1% 77% -- --
Global Allocation 25/75
Portfolio ............. -- 1% 35% -- --
(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).
46
LOGO DFA103119-025A
00237502
ITEM 2. CODE OF ETHICS.
The Registrant has adopted, as of the end of the period covered by this Form
N-CSR (the "Report"), a code of ethics that applies to the Registrant's
Co-Principal Executive Officers and Principal Financial Officer (the "Code of
Business Ethics"). The Registrant has not made any substantive amendments to
the Code of Business Ethics during the period covered by this Report. The
Registrant also has not granted any waiver from any provisions of the Code of
Business Ethics during the period covered by this Report. A copy of the Code of
Business Ethics is filed as an exhibit to this Report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant's Board of Directors has determined that Abbie J. Smith
possesses the technical attributes to qualify as an "audit committee financial
expert" serving on the Registrant's Audit Committee and has designated
Ms. Smith as the "audit committee financial expert." Ms. Smith
earned a Ph.D. in Accounting, and has taught Accounting at the graduate level
since 1980. Ms. Smith's education and career have provided her with an
understanding of generally accepted accounting principles and financial
statements; the ability to assess the general application of such principles in
connection with the accounting for estimates, accruals and reserves; and
experience preparing, analyzing and evaluating financial statements that
present a breadth and level of complexity of issues that can reasonably be
expected to be raised by the Registrant's financial statements. In addition,
Ms. Smith has served on the boards of directors and audit committees of
entities other than the Registrant. Ms. Smith is independent under the
standards set forth in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
Fiscal Year Ended October 31, 2019: $254,002
Fiscal Year Ended October 31, 2018: $248,494
(b) Audit-Related Fees
Fees for Registrant Fiscal Year Ended October 31, 2019: $20,899
Fiscal Year Ended October 31, 2018: $20,652
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 and N-14 filings.
Audit-Related Fees required to be approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X
Fiscal Year Ended October 31, 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: $58,018
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: $1,276,961
Fiscal Year Ended October 31, 2018: $1,230,276
(h) The Registrant's Audit Committee has considered whether the
provision of non-audit services that were rendered to the
Registrant's investment adviser, and any entity controlling,
controlled by, or under common control with the investment adviser
that provides ongoing services to the Registrant, that were not
pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
This item is not applicable to the Registrant because it is not a listed issuer.
ITEM 6. INVESTMENTS.
(a) Please see the schedules of investments contained in the reports to
stockholders included under Item 1 of this Report except as discussed below.
Provided below is a complete schedule of investments for each series of the
Registrant or the master fund in which the series of the Registrant invests
that provided a summary schedule of portfolio holdings in a report to
stockholders included under Item 1 in lieu of a complete schedule of
investments. The schedules of investments for the following series are provided
below:
NAME OF ENTITY FOR WHICH SCHEDULE OF
INVESTMENTS IS PROVIDED RELATIONSHIP TO SERIES OF THE REGISTRANT
------------------------------------ --------------------------------------------
U.S. Large Company Portfolio Series of Registrant
The U.S. Large Cap Value Series Master fund for U.S. Large Cap Value
Portfolio II and U.S. Large Cap Value
Portfolio III
The DFA International Value Series Master fund for DFA International Value
Portfolio and DFA International Value
Portfolio III
The Emerging Markets Series Master fund for Emerging Markets Portfolio II
The Tax-Managed U.S. Marketwide Value Series Master fund for Tax-Managed U.S. Marketwide
Value Portfolio II
U.S. LARGE COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
--------- --------------
COMMON STOCKS -- (99.0%)
COMMUNICATION SERVICES -- (10.3%)
Activision Blizzard, Inc......................................... 296,729 $ 16,625,726
* Alphabet, Inc., Class A.......................................... 115,876 145,864,709
* Alphabet, Inc., Class C.......................................... 116,904 147,311,899
AT&T, Inc........................................................ 2,826,761 108,802,031
CBS Corp., Class B............................................... 126,592 4,562,376
# CenturyLink, Inc................................................. 379,774 4,914,276
* Charter Communications, Inc., Class A............................ 62,547 29,263,239
Comcast Corp., Class A........................................... 1,754,604 78,641,351
# * Discovery, Inc., Class A......................................... 62,721 1,690,645
* Discovery, Inc., Class C......................................... 133,612 3,372,367
* DISH Network Corp., Class A...................................... 92,769 3,189,398
* Electronic Arts, Inc............................................. 114,549 11,042,524
* Facebook, Inc., Class A.......................................... 930,670 178,362,905
Fox Corp., Class A............................................... 136,480 4,372,819
* Fox Corp., Class B............................................... 62,577 1,954,905
Interpublic Group of Cos., Inc. (The)............................ 151,377 3,292,450
* Netflix, Inc..................................................... 169,379 48,681,218
News Corp., Class A.............................................. 148,401 2,034,578
News Corp., Class B.............................................. 47,476 670,361
# Omnicom Group, Inc............................................... 83,742 6,464,045
* Take-Two Interactive Software, Inc............................... 44,098 5,307,194
* T-Mobile US, Inc................................................. 122,060 10,089,480
* TripAdvisor, Inc................................................. 40,797 1,648,199
* Twitter, Inc..................................................... 299,047 8,962,439
Verizon Communications, Inc...................................... 1,600,039 96,754,358
Viacom, Inc., Class B............................................ 135,029 2,911,225
Walt Disney Co. (The)............................................ 696,875 90,538,000
--------------
TOTAL COMMUNICATION SERVICES.......................................... 1,017,324,717
--------------
CONSUMER DISCRETIONARY -- (9.9%)
Advance Auto Parts, Inc.......................................... 27,792 4,515,644
* Amazon.com, Inc.................................................. 160,743 285,585,658
Aptiv P.L.C...................................................... 99,561 8,915,688
* AutoZone, Inc.................................................... 9,472 10,839,567
Best Buy Co., Inc................................................ 90,368 6,491,133
* Booking Holdings, Inc............................................ 16,446 33,694,071
BorgWarner, Inc.................................................. 80,018 3,335,150
* Capri Holdings, Ltd.............................................. 59,947 1,862,553
# * CarMax, Inc...................................................... 64,173 5,978,998
Carnival Corp.................................................... 154,350 6,620,072
* Chipotle Mexican Grill, Inc...................................... 9,867 7,678,105
Darden Restaurants, Inc.......................................... 47,898 5,377,508
Dollar General Corp.............................................. 99,749 15,993,755
* Dollar Tree, Inc................................................. 91,892 10,144,877
DR Horton, Inc................................................... 129,591 6,786,681
eBay, Inc........................................................ 305,012 10,751,673
Expedia Group, Inc............................................... 54,220 7,409,705
Ford Motor Co.................................................... 1,516,494 13,026,683
# Gap, Inc. (The).................................................. 83,464 1,357,125
Garmin, Ltd...................................................... 55,892 5,239,875
General Motors Co................................................ 486,047 18,061,507
Genuine Parts Co................................................. 56,569 5,802,848
# H&R Block, Inc................................................... 79,275 1,981,082
# Hanesbrands, Inc................................................. 139,536 2,122,343
# Harley-Davidson, Inc............................................. 61,287 2,384,677
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
CONSUMER DISCRETIONARY -- (Continued)
Hasbro, Inc........................................................ 45,404 $ 4,418,263
Hilton Worldwide Holdings, Inc..................................... 110,972 10,759,845
Home Depot, Inc. (The)............................................. 423,667 99,383,805
Kohl's Corp........................................................ 61,111 3,132,550
# L Brands, Inc...................................................... 88,331 1,505,160
Las Vegas Sands Corp............................................... 131,032 8,103,019
# Leggett & Platt, Inc............................................... 50,612 2,596,396
Lennar Corp., Class A.............................................. 110,619 6,592,892
* LKQ Corp........................................................... 118,923 4,042,193
Lowe's Cos., Inc................................................... 298,576 33,324,067
# Macy's, Inc........................................................ 119,802 1,816,198
Marriott International, Inc., Class A.............................. 105,754 13,383,169
McDonald's Corp.................................................... 293,796 57,789,673
MGM Resorts International.......................................... 201,717 5,748,935
* Mohawk Industries, Inc............................................. 22,838 3,274,512
Newell Brands, Inc................................................. 150,474 2,854,492
NIKE, Inc., Class B................................................ 484,072 43,348,648
# Nordstrom, Inc..................................................... 41,457 1,488,306
* Norwegian Cruise Line Holdings, Ltd................................ 83,640 4,245,566
* NVR, Inc........................................................... 1,329 4,833,028
* O'Reilly Automotive, Inc........................................... 29,600 12,891,096
PulteGroup, Inc.................................................... 100,961 3,961,710
PVH Corp........................................................... 28,204 2,458,261
Ralph Lauren Corp.................................................. 20,368 1,956,550
Ross Stores, Inc................................................... 140,963 15,459,412
Royal Caribbean Cruises, Ltd....................................... 66,609 7,249,057
Starbucks Corp..................................................... 463,067 39,156,946
Tapestry, Inc...................................................... 111,822 2,891,717
Target Corp........................................................ 197,833 21,150,326
# Tiffany & Co....................................................... 41,586 5,177,873
TJX Cos., Inc. (The)............................................... 468,260 26,995,189
Tractor Supply Co.................................................. 45,844 4,356,097
# * Ulta Salon Cosmetics & Fragrance, Inc.............................. 22,766 5,307,893
# * Under Armour, Inc., Class A........................................ 71,087 1,467,947
# * Under Armour, Inc., Class C........................................ 76,183 1,409,386
VF Corp............................................................ 126,311 10,394,132
# Whirlpool Corp..................................................... 24,425 3,715,531
Wynn Resorts, Ltd.................................................. 37,318 4,528,166
Yum! Brands, Inc................................................... 117,676 11,968,826
------------
TOTAL CONSUMER DISCRETIONARY............................................ 977,093,810
------------
CONSUMER STAPLES -- (7.3%)
Altria Group, Inc.................................................. 722,784 32,373,495
Archer-Daniels-Midland Co.......................................... 216,613 9,106,410
# Brown-Forman Corp., Class B........................................ 70,414 4,613,525
# Campbell Soup Co................................................... 65,241 3,021,311
Church & Dwight Co., Inc........................................... 95,198 6,658,148
# Clorox Co. (The)................................................... 48,644 7,184,232
Coca-Cola Co. (The)................................................ 1,488,788 81,034,731
Colgate-Palmolive Co............................................... 331,508 22,741,449
Conagra Brands, Inc................................................ 189,049 5,113,775
Constellation Brands, Inc., Class A................................ 64,911 12,354,511
Costco Wholesale Corp.............................................. 170,135 50,548,810
# Coty, Inc., Class A................................................ 116,654 1,363,685
Estee Lauder Cos., Inc. (The), Class A............................. 85,580 15,940,987
General Mills, Inc................................................. 233,464 11,873,979
Hershey Co. (The).................................................. 57,628 8,463,824
# Hormel Foods Corp.................................................. 107,416 4,392,240
JM Smucker Co. (The)............................................... 43,867 4,635,865
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
CONSUMER STAPLES -- (Continued)
Kellogg Co......................................................... 95,603 $ 6,073,659
Kimberly-Clark Corp................................................ 133,156 17,693,769
Kraft Heinz Co. (The).............................................. 241,593 7,810,702
Kroger Co. (The)................................................... 308,859 7,610,286
Lamb Weston Holdings, Inc.......................................... 57,039 4,451,324
# McCormick & Co., Inc. Non-Voting................................... 47,702 7,665,234
Molson Coors Brewing Co., Class B.................................. 72,334 3,813,448
Mondelez International, Inc., Class A.............................. 558,028 29,268,569
* Monster Beverage Corp.............................................. 150,397 8,441,784
PepsiCo, Inc....................................................... 540,546 74,146,695
Philip Morris International, Inc................................... 601,887 49,017,677
Procter & Gamble Co. (The)......................................... 968,160 120,545,602
Sysco Corp......................................................... 198,526 15,856,272
Tyson Foods, Inc., Class A......................................... 114,504 9,479,786
Walgreens Boots Alliance, Inc...................................... 293,485 16,077,108
Walmart, Inc....................................................... 550,165 64,512,348
------------
TOTAL CONSUMER STAPLES................................................. 723,885,240
------------
ENERGY -- (4.3%)
Apache Corp........................................................ 145,317 3,147,566
Baker Hughes Co.................................................... 251,105 5,373,647
Cabot Oil & Gas Corp............................................... 159,380 2,970,843
Chevron Corp....................................................... 734,711 85,329,336
Cimarex Energy Co.................................................. 39,851 1,682,509
Concho Resources, Inc.............................................. 77,599 5,239,484
ConocoPhillips..................................................... 429,466 23,706,523
Devon Energy Corp.................................................. 156,367 3,171,123
Diamondback Energy, Inc............................................ 63,074 5,409,226
EOG Resources, Inc................................................. 224,515 15,561,135
Exxon Mobil Corp................................................... 1,636,831 110,600,671
Halliburton Co..................................................... 337,475 6,496,394
Helmerich & Payne, Inc............................................. 41,995 1,574,813
Hess Corp.......................................................... 100,122 6,583,021
HollyFrontier Corp................................................. 58,273 3,201,519
Kinder Morgan, Inc................................................. 753,160 15,048,137
Marathon Oil Corp.................................................. 307,742 3,548,265
Marathon Petroleum Corp............................................ 254,009 16,243,876
National Oilwell Varco, Inc........................................ 148,567 3,360,586
Noble Energy, Inc.................................................. 183,116 3,526,814
Occidental Petroleum Corp.......................................... 345,747 14,002,753
ONEOK, Inc......................................................... 159,759 11,155,971
Phillips 66........................................................ 173,521 20,270,723
Pioneer Natural Resources Co....................................... 64,459 7,929,746
Schlumberger, Ltd.................................................. 535,874 17,517,721
# TechnipFMC P.L.C................................................... 162,614 3,208,374
Valero Energy Corp................................................. 160,297 15,545,603
Williams Cos., Inc. (The).......................................... 468,463 10,451,410
------------
TOTAL ENERGY........................................................... 421,857,789
------------
FINANCIALS -- (12.8%)
Affiliated Managers Group, Inc..................................... 19,291 1,540,965
Aflac, Inc......................................................... 285,801 15,193,181
Allstate Corp. (The)............................................... 127,350 13,552,587
American Express Co................................................ 263,191 30,867,040
American International Group, Inc.................................. 336,530 17,822,629
Ameriprise Financial, Inc.......................................... 50,628 7,639,259
Aon P.L.C.......................................................... 91,237 17,623,339
Arthur J Gallagher & Co............................................ 71,625 6,533,632
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
Assurant, Inc...................................................... 23,901 $ 3,013,199
Bank of America Corp............................................... 3,240,880 101,342,318
Bank of New York Mellon Corp. (The)................................ 331,854 15,514,174
# BB&T Corp.......................................................... 296,915 15,751,341
* Berkshire Hathaway, Inc., Class B.................................. 758,568 161,256,385
BlackRock, Inc..................................................... 45,446 20,982,418
Capital One Financial Corp......................................... 181,951 16,966,931
Cboe Global Markets, Inc........................................... 42,835 4,932,450
Charles Schwab Corp. (The)......................................... 450,066 18,322,187
Chubb, Ltd......................................................... 176,347 26,878,810
Cincinnati Financial Corp.......................................... 58,329 6,603,426
Citigroup, Inc..................................................... 873,931 62,800,682
Citizens Financial Group, Inc...................................... 172,959 6,081,238
CME Group, Inc..................................................... 138,530 28,502,547
Comerica, Inc...................................................... 57,781 3,780,033
Discover Financial Services........................................ 123,114 9,881,130
E*TRADE Financial Corp............................................. 87,740 3,666,655
Everest Re Group, Ltd.............................................. 15,898 4,087,217
Fifth Third Bancorp................................................ 284,361 8,269,218
First Republic Bank................................................ 65,078 6,921,696
# Franklin Resources, Inc............................................ 109,114 3,006,091
Globe Life, Inc.................................................... 38,603 3,757,230
Goldman Sachs Group, Inc. (The).................................... 125,190 26,713,042
Hartford Financial Services Group, Inc. (The)...................... 139,913 7,986,234
Huntington Bancshares, Inc......................................... 403,271 5,698,219
Intercontinental Exchange, Inc..................................... 216,661 20,435,465
Invesco, Ltd....................................................... 149,029 2,506,668
JPMorgan Chase & Co................................................ 1,236,968 154,522,043
KeyCorp............................................................ 390,245 7,012,703
Lincoln National Corp.............................................. 77,465 4,375,223
Loews Corp......................................................... 100,601 4,929,449
M&T Bank Corp...................................................... 51,710 8,094,166
MarketAxess Holdings, Inc.......................................... 14,557 5,365,565
Marsh & McLennan Cos., Inc......................................... 195,870 20,296,049
MetLife, Inc....................................................... 307,930 14,408,045
Moody's Corp....................................................... 62,946 13,891,553
Morgan Stanley..................................................... 485,932 22,377,169
MSCI, Inc.......................................................... 32,620 7,651,347
Nasdaq, Inc........................................................ 44,501 4,439,865
Northern Trust Corp................................................ 83,086 8,282,012
# People's United Financial, Inc..................................... 152,087 2,459,247
PNC Financial Services Group, Inc. (The)........................... 172,251 25,269,222
Principal Financial Group, Inc..................................... 99,834 5,329,139
Progressive Corp. (The)............................................ 226,175 15,764,397
Prudential Financial, Inc.......................................... 155,516 14,173,728
Raymond James Financial, Inc....................................... 47,681 3,980,887
Regions Financial Corp............................................. 384,420 6,189,162
S&P Global, Inc.................................................... 95,412 24,615,342
State Street Corp.................................................. 144,079 9,519,300
SunTrust Banks, Inc................................................ 171,048 11,689,420
* SVB Financial Group................................................ 19,812 4,387,962
Synchrony Financial................................................ 236,124 8,351,706
T Rowe Price Group, Inc............................................ 91,074 10,546,369
Travelers Cos., Inc. (The)......................................... 100,452 13,165,239
U.S. Bancorp....................................................... 554,753 31,632,016
Unum Group......................................................... 81,507 2,244,703
Wells Fargo & Co................................................... 1,551,124 80,084,532
Willis Towers Watson P.L.C......................................... 49,710 9,290,799
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- --------------
FINANCIALS -- (Continued)
# Zions Bancorp NA................................................... 68,459 $ 3,318,208
--------------
TOTAL FINANCIALS....................................................... 1,264,086,203
--------------
HEALTH CARE -- (13.9%)
Abbott Laboratories................................................ 683,730 57,166,665
AbbVie, Inc........................................................ 572,009 45,503,316
* ABIOMED, Inc....................................................... 17,803 3,695,547
Agilent Technologies, Inc.......................................... 119,720 9,068,790
* Alexion Pharmaceuticals, Inc....................................... 86,683 9,136,388
* Align Technology, Inc.............................................. 28,063 7,080,014
Allergan P.L.C..................................................... 126,902 22,348,711
AmerisourceBergen Corp............................................. 59,405 5,071,999
Amgen, Inc......................................................... 231,998 49,473,573
Anthem, Inc........................................................ 98,875 26,605,285
Baxter International, Inc.......................................... 197,512 15,149,170
Becton Dickinson and Co............................................ 104,477 26,746,112
* Biogen, Inc........................................................ 71,355 21,314,452
* Boston Scientific Corp............................................. 538,881 22,471,338
Bristol-Myers Squibb Co............................................ 633,592 36,349,173
Cardinal Health, Inc............................................... 115,191 5,696,195
* Celgene Corp....................................................... 274,181 29,619,773
* Centene Corp....................................................... 159,877 8,486,271
Cerner Corp........................................................ 123,173 8,267,372
* Cigna Corp......................................................... 146,398 26,126,187
Cooper Cos., Inc. (The)............................................ 19,095 5,556,645
CVS Health Corp.................................................... 503,106 33,401,207
Danaher Corp....................................................... 246,991 34,040,300
* DaVita, Inc........................................................ 37,460 2,195,156
DENTSPLY SIRONA, Inc............................................... 86,727 4,750,905
* Edwards Lifesciences Corp.......................................... 80,580 19,208,660
Eli Lilly & Co..................................................... 328,666 37,451,491
Gilead Sciences, Inc............................................... 489,482 31,184,898
HCA Healthcare, Inc................................................ 102,724 13,717,763
* Henry Schein, Inc.................................................. 57,564 3,602,643
* Hologic, Inc....................................................... 103,173 4,984,288
Humana, Inc........................................................ 52,260 15,374,892
* IDEXX Laboratories, Inc............................................ 33,439 9,530,449
* Illumina, Inc...................................................... 56,868 16,805,631
* Incyte Corp........................................................ 69,337 5,818,761
* Intuitive Surgical, Inc............................................ 44,580 24,650,511
* IQVIA Holdings, Inc................................................ 70,478 10,178,433
Johnson & Johnson.................................................. 1,020,979 134,810,067
* Laboratory Corp. of America Holdings............................... 37,558 6,188,432
McKesson Corp...................................................... 71,531 9,513,623
Medtronic P.L.C.................................................... 519,033 56,522,694
Merck & Co., Inc................................................... 990,498 85,836,557
* Mettler-Toledo International, Inc.................................. 9,459 6,668,027
* Mylan NV........................................................... 199,850 3,827,128
# PerkinElmer, Inc................................................... 43,275 3,719,919
Perrigo Co. P.L.C.................................................. 52,634 2,790,655
Pfizer, Inc........................................................ 2,140,935 82,147,676
Quest Diagnostics, Inc............................................. 52,266 5,291,933
* Regeneron Pharmaceuticals, Inc..................................... 30,913 9,468,034
ResMed, Inc........................................................ 55,752 8,246,836
Stryker Corp....................................................... 124,131 26,845,811
Teleflex, Inc...................................................... 17,758 6,169,307
Thermo Fisher Scientific, Inc...................................... 154,927 46,784,855
UnitedHealth Group, Inc............................................ 366,557 92,628,954
Universal Health Services, Inc., Class B........................... 31,257 4,296,587
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- --------------
HEALTH CARE -- (Continued)
* Varian Medical Systems, Inc........................................ 34,996 $ 4,227,867
* Vertex Pharmaceuticals, Inc........................................ 99,468 19,444,005
* Waters Corp........................................................ 25,826 5,465,298
* WellCare Health Plans, Inc......................................... 19,405 5,755,523
Zimmer Biomet Holdings, Inc........................................ 79,084 10,931,781
Zoetis, Inc........................................................ 184,401 23,588,576
--------------
TOTAL HEALTH CARE...................................................... 1,368,999,109
--------------
INDUSTRIALS -- (9.2%)
3M Co.............................................................. 222,306 36,678,267
Alaska Air Group, Inc.............................................. 48,203 3,346,734
Allegion P.L.C..................................................... 36,022 4,179,993
# American Airlines Group, Inc....................................... 155,030 4,660,202
AMETEK, Inc........................................................ 87,865 8,052,827
# AO Smith Corp...................................................... 53,171 2,641,535
Arconic, Inc....................................................... 148,293 4,073,609
Boeing Co. (The)................................................... 206,804 70,294,748
Caterpillar, Inc................................................... 217,641 29,990,930
# CH Robinson Worldwide, Inc......................................... 52,695 3,985,850
Cintas Corp........................................................ 32,115 8,628,337
* Copart, Inc........................................................ 78,561 6,492,281
CSX Corp........................................................... 308,780 21,697,971
Cummins, Inc....................................................... 61,041 10,528,352
Deere & Co......................................................... 121,796 21,209,556
Delta Air Lines, Inc............................................... 223,866 12,330,539
Dover Corp......................................................... 56,105 5,828,749
Eaton Corp. P.L.C.................................................. 162,604 14,164,435
Emerson Electric Co................................................ 237,763 16,679,075
Equifax, Inc....................................................... 46,440 6,348,812
Expeditors International of Washington, Inc........................ 66,060 4,818,416
Fastenal Co........................................................ 222,110 7,982,633
FedEx Corp......................................................... 92,970 14,192,800
Flowserve Corp..................................................... 50,269 2,455,138
Fortive Corp....................................................... 113,917 7,860,273
Fortune Brands Home & Security, Inc................................ 53,428 3,208,351
General Dynamics Corp.............................................. 90,510 16,002,168
General Electric Co................................................ 3,378,140 33,713,837
Honeywell International, Inc....................................... 278,346 48,078,705
Huntington Ingalls Industries, Inc................................. 16,038 3,619,135
IDEX Corp.......................................................... 29,234 4,546,764
* IHS Markit, Ltd.................................................... 155,168 10,864,863
Illinois Tool Works, Inc........................................... 113,877 19,197,385
Ingersoll-Rand P.L.C............................................... 93,696 11,889,085
Jacobs Engineering Group, Inc...................................... 52,418 4,905,276
# JB Hunt Transport Services, Inc.................................... 33,506 3,938,965
Johnson Controls International P.L.C............................... 307,283 13,314,572
Kansas City Southern............................................... 38,637 5,439,317
L3Harris Technologies, Inc......................................... 86,378 17,820,645
Lockheed Martin Corp............................................... 96,138 36,213,262
Masco Corp......................................................... 111,486 5,156,228
Nielsen Holdings P.L.C............................................. 136,140 2,744,582
Norfolk Southern Corp.............................................. 101,901 18,545,982
Northrop Grumman Corp.............................................. 60,873 21,456,515
PACCAR, Inc........................................................ 133,389 10,145,567
Parker-Hannifin Corp............................................... 49,462 9,075,782
Pentair P.L.C...................................................... 65,011 2,696,006
Quanta Services, Inc............................................... 54,838 2,305,938
Raytheon Co........................................................ 107,556 22,824,459
Republic Services, Inc............................................. 82,493 7,218,962
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- ------------
INDUSTRIALS -- (Continued)
Robert Half International, Inc..................................... 45,246 $ 2,591,238
Rockwell Automation, Inc........................................... 45,025 7,743,850
# Rollins, Inc....................................................... 54,281 2,068,649
Roper Technologies, Inc............................................ 40,361 13,600,043
Snap-on, Inc....................................................... 21,299 3,464,708
Southwest Airlines Co.............................................. 186,914 10,491,483
Stanley Black & Decker, Inc........................................ 58,739 8,888,973
Textron, Inc....................................................... 88,840 4,094,636
TransDigm Group, Inc............................................... 19,203 10,106,155
Union Pacific Corp................................................. 272,722 45,124,582
* United Airlines Holdings, Inc...................................... 85,333 7,751,650
United Parcel Service, Inc., Class B............................... 270,155 31,113,751
* United Rentals, Inc................................................ 29,851 3,987,198
United Technologies Corp........................................... 313,796 45,054,830
Verisk Analytics, Inc.............................................. 63,565 9,197,856
# Wabtec Corp........................................................ 70,301 4,876,780
Waste Management, Inc.............................................. 151,020 16,945,954
WW Grainger, Inc................................................... 17,254 5,328,725
Xylem, Inc......................................................... 69,774 5,350,968
------------
TOTAL INDUSTRIALS....................................................... 901,826,442
------------
INFORMATION TECHNOLOGY -- (22.1%)
Accenture P.L.C., Class A.......................................... 246,553 45,715,857
* Adobe, Inc......................................................... 187,987 52,247,227
# * Advanced Micro Devices, Inc........................................ 419,951 14,248,937
* Akamai Technologies, Inc........................................... 63,612 5,502,438
Alliance Data Systems Corp......................................... 16,029 1,602,900
Amphenol Corp., Class A............................................ 114,849 11,522,800
Analog Devices, Inc................................................ 142,497 15,194,455
* ANSYS, Inc......................................................... 32,755 7,211,013
Apple, Inc......................................................... 1,643,378 408,806,711
Applied Materials, Inc............................................. 357,360 19,390,354
* Arista Networks, Inc............................................... 21,052 5,148,688
* Autodesk, Inc...................................................... 85,046 12,532,379
Automatic Data Processing, Inc..................................... 168,059 27,264,212
Broadcom, Inc...................................................... 153,998 45,098,314
Broadridge Financial Solutions, Inc................................ 44,043 5,515,065
* Cadence Design Systems, Inc........................................ 108,317 7,078,516
CDW Corp........................................................... 55,984 7,160,913
Cisco Systems, Inc................................................. 1,642,318 78,026,528
Citrix Systems, Inc................................................ 47,956 5,220,490
Cognizant Technology Solutions Corp., Class A...................... 213,657 13,020,258
Corning, Inc....................................................... 300,806 8,912,882
DXC Technology Co.................................................. 100,676 2,785,705
* F5 Networks, Inc................................................... 23,326 3,360,810
Fidelity National Information Services, Inc........................ 237,315 31,268,624
* Fiserv, Inc........................................................ 220,938 23,450,359
* FleetCor Technologies, Inc......................................... 33,557 9,873,141
FLIR Systems, Inc.................................................. 51,638 2,662,455
* Fortinet, Inc...................................................... 54,714 4,462,474
* Gartner, Inc....................................................... 34,987 5,390,797
Global Payments, Inc............................................... 116,072 19,637,061
Hewlett Packard Enterprise Co...................................... 505,080 8,288,363
HP, Inc............................................................ 573,288 9,958,013
Intel Corp......................................................... 1,713,775 96,879,701
International Business Machines Corp............................... 342,707 45,830,207
Intuit, Inc........................................................ 100,611 25,907,333
# * IPG Photonics Corp................................................. 13,904 1,867,029
Jack Henry & Associates, Inc....................................... 30,073 4,257,134
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
--------- --------------
INFORMATION TECHNOLOGY -- (Continued)
Juniper Networks, Inc.............................................. 132,676 $ 3,293,018
* Keysight Technologies, Inc......................................... 72,332 7,299,022
KLA Corp........................................................... 61,609 10,414,385
Lam Research Corp.................................................. 55,914 15,154,931
Leidos Holdings, Inc............................................... 52,295 4,509,398
Mastercard, Inc., Class A.......................................... 345,373 95,602,700
Maxim Integrated Products, Inc..................................... 105,194 6,170,680
# Microchip Technology, Inc.......................................... 92,274 8,700,516
* Micron Technology, Inc............................................. 427,337 20,319,874
Microsoft Corp..................................................... 2,953,808 423,487,453
Motorola Solutions, Inc............................................ 64,046 10,652,131
NetApp, Inc........................................................ 92,038 5,143,083
NortonLifeLock Inc................................................. 219,963 5,032,753
NVIDIA Corp........................................................ 235,596 47,359,508
Oracle Corp........................................................ 851,719 46,410,168
Paychex, Inc....................................................... 123,425 10,323,267
* PayPal Holdings, Inc............................................... 455,204 47,386,736
* Qorvo, Inc......................................................... 45,721 3,697,000
QUALCOMM, Inc...................................................... 470,285 37,829,725
* salesforce.com, Inc................................................ 339,273 53,092,832
Seagate Technology P.L.C........................................... 91,590 5,314,968
Skyworks Solutions, Inc............................................ 66,277 6,035,184
* Synopsys, Inc...................................................... 58,059 7,881,509
TE Connectivity, Ltd............................................... 129,472 11,587,744
Texas Instruments, Inc............................................. 361,403 42,641,940
* VeriSign, Inc...................................................... 40,502 7,696,190
# Visa, Inc., Class A................................................ 668,090 119,494,577
Western Digital Corp............................................... 114,511 5,914,493
# Western Union Co. (The)............................................ 166,280 4,166,977
* Xerox Holdings Corp................................................ 74,290 2,520,660
Xilinx, Inc........................................................ 98,076 8,899,416
--------------
TOTAL INFORMATION TECHNOLOGY........................................... 2,176,332,981
--------------
MATERIALS -- (2.6%)
Air Products & Chemicals, Inc...................................... 85,063 18,140,535
# Albemarle Corp..................................................... 41,247 2,505,343
* Amcor P.L.C........................................................ 627,623 5,974,971
Avery Dennison Corp................................................ 32,318 4,132,180
Ball Corp.......................................................... 128,699 9,005,069
Celanese Corp...................................................... 47,795 5,790,364
CF Industries Holdings, Inc........................................ 84,169 3,817,064
* Corteva, Inc....................................................... 289,893 7,647,377
* Dow, Inc........................................................... 286,604 14,470,636
DuPont de Nemours, Inc............................................. 288,584 19,020,571
Eastman Chemical Co................................................ 53,662 4,080,459
Ecolab, Inc........................................................ 96,847 18,601,403
FMC Corp........................................................... 50,839 4,651,769
Freeport-McMoRan, Inc.............................................. 565,553 5,553,730
# International Flavors & Fragrances, Inc............................ 41,307 5,039,867
International Paper Co............................................. 153,207 6,692,082
Linde P.L.C........................................................ 209,049 41,464,869
LyondellBasell Industries NV, Class A.............................. 99,863 8,957,711
Martin Marietta Materials, Inc..................................... 24,305 6,365,723
Mosaic Co. (The)................................................... 137,652 2,736,522
Newmont Goldcorp Corp.............................................. 315,962 12,553,170
Nucor Corp......................................................... 118,136 6,361,624
Packaging Corp. of America......................................... 37,001 4,050,129
PPG Industries, Inc................................................ 91,245 11,416,574
Sealed Air Corp.................................................... 60,845 2,541,496
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
------- ------------
MATERIALS -- (Continued)
Sherwin-Williams Co. (The)........................................... 31,764 $ 18,179,173
Vulcan Materials Co.................................................. 50,996 7,285,799
WestRock Co.......................................................... 99,036 3,700,975
------------
TOTAL MATERIALS.......................................................... 260,737,185
------------
REAL ESTATE -- (3.1%)
Alexandria Real Estate Equities, Inc................................. 43,608 6,922,770
American Tower Corp.................................................. 171,256 37,347,508
Apartment Investment & Management Co., Class A....................... 57,469 3,153,899
AvalonBay Communities, Inc........................................... 54,126 11,781,065
Boston Properties, Inc............................................... 55,610 7,629,692
* CBRE Group, Inc., Class A............................................ 130,114 6,967,605
Crown Castle International Corp...................................... 160,838 22,322,706
# Digital Realty Trust, Inc............................................ 80,571 10,235,740
Duke Realty Corp..................................................... 138,947 4,882,598
Equinix, Inc......................................................... 32,813 18,597,752
Equity Residential................................................... 134,859 11,956,599
Essex Property Trust, Inc............................................ 25,450 8,325,458
Extra Space Storage, Inc............................................. 50,101 5,624,839
Federal Realty Investment Trust...................................... 26,967 3,667,782
Healthpeak Properties, Inc........................................... 189,989 7,147,386
Host Hotels & Resorts, Inc........................................... 281,864 4,619,751
# Iron Mountain, Inc................................................... 110,695 3,630,796
# Kimco Realty Corp.................................................... 164,913 3,555,524
# Macerich Co. (The)................................................... 41,418 1,138,995
Mid-America Apartment Communities, Inc............................... 44,483 6,182,692
Prologis, Inc........................................................ 244,156 21,427,130
Public Storage....................................................... 58,088 12,945,492
# Realty Income Corp................................................... 123,109 10,069,085
Regency Centers Corp................................................. 64,585 4,342,695
SBA Communications Corp.............................................. 43,869 10,557,075
Simon Property Group, Inc............................................ 118,854 17,908,921
SL Green Realty Corp................................................. 31,408 2,625,709
UDR, Inc............................................................. 113,288 5,692,722
Ventas, Inc.......................................................... 144,137 9,383,319
Vornado Realty Trust................................................. 61,268 4,021,019
Welltower, Inc....................................................... 156,364 14,180,651
Weyerhaeuser Co...................................................... 287,648 8,402,198
------------
TOTAL REAL ESTATE........................................................ 307,247,173
------------
UTILITIES -- (3.5%)
AES Corp............................................................. 256,519 4,373,649
Alliant Energy Corp.................................................. 92,510 4,934,483
Ameren Corp.......................................................... 95,323 7,406,597
American Electric Power Co., Inc..................................... 191,028 18,031,133
American Water Works Co., Inc........................................ 69,571 8,576,017
Atmos Energy Corp.................................................... 45,727 5,143,373
CenterPoint Energy, Inc.............................................. 193,580 5,627,371
CMS Energy Corp...................................................... 109,308 6,986,967
Consolidated Edison, Inc............................................. 128,492 11,849,532
Dominion Energy, Inc................................................. 317,963 26,247,846
DTE Energy Co........................................................ 71,197 9,064,802
Duke Energy Corp..................................................... 282,300 26,609,598
Edison International................................................. 138,529 8,713,474
Entergy Corp......................................................... 76,919 9,344,120
Evergy, Inc.......................................................... 91,092 5,821,690
# Eversource Energy.................................................... 125,192 10,483,578
Exelon Corp.......................................................... 375,142 17,065,210
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
SHARES VALUE+
---------- --------------
UTILITIES -- (Continued)
FirstEnergy Corp................................................. 208,898 $ 10,093,951
NextEra Energy, Inc.............................................. 189,077 45,064,612
NiSource, Inc.................................................... 144,098 4,040,508
NRG Energy, Inc.................................................. 97,550 3,913,706
Pinnacle West Capital Corp....................................... 43,234 4,069,184
PPL Corp......................................................... 278,891 9,340,060
Public Service Enterprise Group, Inc............................. 195,707 12,390,210
Sempra Energy.................................................... 106,233 15,351,731
Southern Co. (The)............................................... 404,355 25,336,884
WEC Energy Group, Inc............................................ 121,794 11,497,354
Xcel Energy, Inc................................................. 202,856 12,883,385
--------------
TOTAL UTILITIES......................................................... 340,261,025
--------------
TOTAL COMMON STOCKS..................................................... 9,759,651,674
--------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
State Street Institutional U.S. Government Money Market
Fund 1.752%.................................................... 20,161,824 20,161,824
--------------
SECURITIES LENDING COLLATERAL -- (0.8%)
@ (S) The DFA Short Term Investment Fund............................... 7,154,639 82,786,331
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,156,134,666)............................................... $9,862,599,829
==============
P.L.C. Public Limited Company
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S)Affiliated Fund.
As of October 31, 2019, U.S. Large Company Portfolio had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ----------- ----------- --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index............. 186 12/20/19 $28,010,050 $28,232,940 $222,890
----------- ----------- --------
TOTAL FUTURES CONTRACTS............ $28,010,050 $28,232,940 $222,890
=========== =========== ========
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
Communication Services............... $1,017,324,717 -- -- $1,017,324,717
Consumer Discretionary............... 977,093,810 -- -- 977,093,810
Consumer Staples..................... 723,885,240 -- -- 723,885,240
Energy............................... 421,857,789 -- -- 421,857,789
Financials........................... 1,264,086,203 -- -- 1,264,086,203
Health Care.......................... 1,368,999,109 -- -- 1,368,999,109
Industrials.......................... 901,826,442 -- -- 901,826,442
Information Technology............... 2,176,332,981 -- -- 2,176,332,981
Materials............................ 260,737,185 -- -- 260,737,185
U.S. LARGE COMPANY PORTFOLIO
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
-------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- ----------- ------- --------------
Real Estate.......................... $ 307,247,173 -- -- $ 307,247,173
Utilities............................ 340,261,025 -- -- 340,261,025
Temporary Cash Investments.............. 20,161,824 -- -- 20,161,824
Securities Lending Collateral........... -- $82,786,331 -- 82,786,331
Futures Contracts**..................... 222,890 -- -- 222,890
-------------- ----------- -- --------------
TOTAL................................... $9,780,036,388 $82,786,331 -- $9,862,822,719
============== =========== == ==============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
---------- --------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (12.0%)
* Altice USA, Inc., Class A........................................ 584,995 $ 18,105,595
AT&T, Inc........................................................ 33,969,452 1,307,484,208
CBS Corp., Class B............................................... 46,200 1,665,048
# CenturyLink, Inc................................................. 7,391,428 95,645,078
* Charter Communications, Inc., Class A............................ 940,732 440,130,874
Comcast Corp., Class A........................................... 21,970,229 984,705,664
# * Discovery, Inc., Class A......................................... 1,025,284 27,636,530
* Discovery, Inc., Class C......................................... 1,502,102 37,913,054
* DISH Network Corp., Class A...................................... 589,358 20,262,128
Fox Corp., Class A............................................... 316,800 10,150,272
* Fox Corp., Class B............................................... 124,736 3,896,753
# * GCI Liberty, Inc., Class A....................................... 59,566 4,168,429
Interpublic Group of Cos., Inc. (The)............................ 601,891 13,091,129
* Liberty Broadband Corp., Class A................................. 27,366 3,228,914
* Liberty Broadband Corp., Class C................................. 180,560 21,318,719
# * Liberty Media Corp.-Liberty Formula One, Class A................. 39,281 1,588,131
* Liberty Media Corp.-Liberty Formula One, Class C................. 78,562 3,338,885
* Liberty Media Corp.-Liberty SiriusXM, Class A.................... 157,126 7,056,529
* Liberty Media Corp.-Liberty SiriusXM, Class C.................... 314,252 14,201,048
* Madison Square Garden Co. (The), Class A......................... 12,058 3,218,521
News Corp., Class A.............................................. 527,829 7,236,536
News Corp., Class B.............................................. 64,856 915,767
# * Sprint Corp...................................................... 2,014,058 12,507,300
* T-Mobile US, Inc................................................. 1,093,947 90,425,659
# Viacom, Inc., Class A............................................ 4,879 116,559
Viacom, Inc., Class B............................................ 1,876,508 40,457,512
Walt Disney Co. (The)............................................ 3,453,204 448,640,264
--------------
TOTAL COMMUNICATION SERVICES.......................................... 3,619,105,106
--------------
CONSUMER DISCRETIONARY -- (6.7%)
Advance Auto Parts, Inc.......................................... 260,621 42,345,700
Aramark.......................................................... 991,310 43,379,726
# Autoliv, Inc..................................................... 418,017 32,538,443
BorgWarner, Inc.................................................. 1,108,515 46,202,905
# * Caesars Entertainment Corp....................................... 154,842 1,901,460
* Capri Holdings, Ltd.............................................. 24,034 746,736
# * CarMax, Inc...................................................... 262,735 24,479,020
Carnival Corp.................................................... 1,353,266 58,041,579
* Dollar Tree, Inc................................................. 407,456 44,983,142
DR Horton, Inc................................................... 3,053,585 159,916,246
# Foot Locker, Inc................................................. 82,279 3,579,959
Ford Motor Co.................................................... 16,051,999 137,886,671
# Gap, Inc. (The).................................................. 942,706 15,328,400
Garmin, Ltd...................................................... 539,936 50,619,000
General Motors Co................................................ 6,055,833 225,034,754
Gentex Corp...................................................... 1,387,044 38,906,584
# Harley-Davidson, Inc............................................. 509,141 19,810,676
# Hyatt Hotels Corp., Class A...................................... 139,548 10,429,817
Kohl's Corp...................................................... 1,636,864 83,905,649
Lear Corp........................................................ 355,345 41,848,981
Lennar Corp., Class A............................................ 976,115 58,176,454
Lennar Corp., Class B............................................ 37,985 1,786,055
* LKQ Corp......................................................... 1,651,942 56,149,509
# Macy's, Inc...................................................... 108,603 1,646,421
MGM Resorts International........................................ 2,471,336 70,433,076
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
CONSUMER DISCRETIONARY -- (Continued)
* Mohawk Industries, Inc........................................... 582,542 $ 83,524,872
Newell Brands, Inc............................................... 686,895 13,030,398
* Norwegian Cruise Line Holdings, Ltd.............................. 1,521,501 77,231,391
PulteGroup, Inc.................................................. 2,391,049 93,824,763
PVH Corp......................................................... 453,566 39,532,813
* Qurate Retail, Inc., Class A..................................... 1,514,172 14,445,201
Ralph Lauren Corp................................................ 326,288 31,343,225
Royal Caribbean Cruises, Ltd..................................... 1,212,750 131,983,582
* Skechers U.S.A., Inc., Class A................................... 31,900 1,192,103
Tapestry, Inc.................................................... 434,510 11,236,429
Target Corp...................................................... 1,473,116 157,490,831
# Tiffany & Co..................................................... 56,092 6,984,015
Toll Brothers, Inc............................................... 212,428 8,448,262
# * Veoneer, Inc..................................................... 295,951 4,711,540
# Whirlpool Corp................................................... 493,880 75,129,026
--------------
TOTAL CONSUMER DISCRETIONARY.......................................... 2,020,185,414
--------------
CONSUMER STAPLES -- (4.8%)
Archer-Daniels-Midland Co........................................ 1,090,428 45,841,593
Bunge, Ltd....................................................... 587,605 31,730,670
Conagra Brands, Inc.............................................. 406,040 10,983,382
Constellation Brands, Inc., Class A.............................. 213,898 40,711,206
# Coty, Inc., Class A.............................................. 428,541 5,009,644
Ingredion, Inc................................................... 246,558 19,478,082
JM Smucker Co. (The)............................................. 872,710 92,227,993
Kraft Heinz Co. (The)............................................ 974,551 31,507,234
Kroger Co. (The)................................................. 2,545,010 62,709,046
# Molson Coors Brewing Co., Class B................................ 659,891 34,789,454
Mondelez International, Inc., Class A............................ 3,530,822 185,191,614
* Pilgrim's Pride Corp............................................. 6,211 188,566
* Post Holdings, Inc............................................... 411,384 42,331,414
Seaboard Corp.................................................... 13 54,848
Spectrum Brands Holdings, Inc.................................... 7,603 381,747
Tyson Foods, Inc., Class A....................................... 1,750,467 144,921,163
* US Foods Holding Corp............................................ 1,067,900 42,363,593
Walgreens Boots Alliance, Inc.................................... 3,401,321 186,324,364
Walmart, Inc..................................................... 3,918,069 459,432,771
--------------
TOTAL CONSUMER STAPLES................................................ 1,436,178,384
--------------
ENERGY -- (12.1%)
# Apache Corp...................................................... 2,420,600 52,430,196
Baker Hughes Co.................................................. 820,593 17,560,690
Chevron Corp..................................................... 8,424,414 978,411,442
Cimarex Energy Co................................................ 11,916 503,094
Concho Resources, Inc............................................ 769,257 51,940,233
ConocoPhillips................................................... 5,133,675 283,378,860
Devon Energy Corp................................................ 1,796,255 36,428,051
Diamondback Energy, Inc.......................................... 521,040 44,684,390
EOG Resources, Inc............................................... 101,477 7,033,371
Exxon Mobil Corp................................................. 13,344,776 901,706,514
# Helmerich & Payne, Inc........................................... 20,914 784,275
# Hess Corp........................................................ 966,730 63,562,497
HollyFrontier Corp............................................... 1,384,206 76,048,278
Kinder Morgan, Inc............................................... 4,919,231 98,286,235
Marathon Oil Corp................................................ 6,031,073 69,538,272
Marathon Petroleum Corp.......................................... 3,109,699 198,865,251
National Oilwell Varco, Inc...................................... 1,225,519 27,721,240
Noble Energy, Inc................................................ 2,942,820 56,678,713
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
ENERGY -- (Continued)
Occidental Petroleum Corp........................................ 3,385,945 $ 137,130,772
Parsley Energy, Inc., Class A.................................... 89,221 1,410,584
Phillips 66...................................................... 1,185,191 138,454,013
Pioneer Natural Resources Co..................................... 372,180 45,785,584
Schlumberger, Ltd................................................ 1,658,862 54,228,199
# Targa Resources Corp............................................. 921,528 35,829,009
TechnipFMC P.L.C................................................. 1,440,051 28,412,206
# * Transocean, Ltd.................................................. 586,439 2,785,585
Valero Energy Corp............................................... 2,446,279 237,240,137
* WPX Energy, Inc.................................................. 3,215 32,086
--------------
TOTAL ENERGY.......................................................... 3,646,869,777
--------------
FINANCIALS -- (23.2%)
Aflac, Inc....................................................... 2,296,128 122,062,165
* Alleghany Corp................................................... 33,873 26,363,017
Allstate Corp. (The)............................................. 958,107 101,961,747
Ally Financial, Inc.............................................. 3,013,089 92,290,916
American Financial Group, Inc.................................... 352,608 36,685,336
American International Group, Inc................................ 1,399,338 74,108,941
* Arch Capital Group, Ltd.......................................... 522,976 21,839,478
Assurant, Inc.................................................... 226,026 28,495,098
* Athene Holding, Ltd., Class A.................................... 122,622 5,315,664
AXA Equitable Holdings, Inc...................................... 1,600 34,560
Axis Capital Holdings, Ltd....................................... 110,882 6,589,717
Bank of America Corp............................................. 22,040,613 689,210,000
Bank of New York Mellon Corp. (The).............................. 3,657,167 170,972,557
# BB&T Corp........................................................ 2,089,291 110,836,888
* Berkshire Hathaway, Inc., Class B................................ 2,984,980 634,547,048
# BOK Financial Corp............................................... 6,114 471,695
Capital One Financial Corp....................................... 2,121,634 197,842,371
Chubb, Ltd....................................................... 590,560 90,013,155
CIT Group, Inc................................................... 65,813 2,822,720
Citigroup, Inc................................................... 7,149,102 513,734,470
Citizens Financial Group, Inc.................................... 912,076 32,068,592
CNA Financial Corp............................................... 188,355 8,445,838
Comerica, Inc.................................................... 140,757 9,208,323
E*TRADE Financial Corp........................................... 64,016 2,675,229
East West Bancorp, Inc........................................... 105,524 4,529,090
Everest Re Group, Ltd............................................ 128,591 33,059,460
Fifth Third Bancorp.............................................. 4,857,785 141,264,388
# Franklin Resources, Inc.......................................... 47,772 1,316,119
Goldman Sachs Group, Inc. (The).................................. 1,393,141 297,268,427
Hartford Financial Services Group, Inc. (The).................... 2,308,918 131,793,039
Huntington Bancshares, Inc....................................... 6,621,934 93,567,927
# Invesco, Ltd..................................................... 920,299 15,479,429
Jefferies Financial Group, Inc................................... 303,442 5,665,262
JPMorgan Chase & Co.............................................. 7,660,148 956,905,688
KeyCorp.......................................................... 4,153,962 74,646,697
Lincoln National Corp............................................ 796,355 44,978,130
Loews Corp....................................................... 1,174,023 57,527,127
M&T Bank Corp.................................................... 147,509 23,089,584
* Markel Corp...................................................... 240 281,040
MetLife, Inc..................................................... 1,663,754 77,847,050
Morgan Stanley................................................... 4,980,221 229,339,177
# New York Community Bancorp, Inc.................................. 922,610 10,748,407
Old Republic International Corp.................................. 816,263 18,235,315
PacWest Bancorp.................................................. 150,183 5,555,269
# People's United Financial, Inc................................... 396,896 6,417,808
PNC Financial Services Group, Inc. (The)......................... 1,313,525 192,694,118
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
FINANCIALS -- (Continued)
Principal Financial Group, Inc................................... 1,705,517 $ 91,040,497
# Prosperity Bancshares, Inc....................................... 47,592 3,284,800
Prudential Financial, Inc........................................ 751,138 68,458,717
Regions Financial Corp........................................... 6,240,662 100,474,658
Reinsurance Group of America, Inc................................ 239,920 38,979,802
RenaissanceRe Holdings, Ltd...................................... 112,797 21,113,342
Santander Consumer USA Holdings, Inc............................. 811,033 20,340,708
Signature Bank................................................... 400 47,328
State Street Corp................................................ 412,299 27,240,595
SunTrust Banks, Inc.............................................. 1,285,995 87,884,898
Synchrony Financial.............................................. 1,129,706 39,957,701
Synovus Financial Corp........................................... 261,271 8,849,249
TCF Financial Corp............................................... 136,600 5,407,994
Travelers Cos., Inc. (The)....................................... 1,165,331 152,728,281
Unum Group....................................................... 831,133 22,889,403
Voya Financial, Inc.............................................. 184,436 9,952,167
Wells Fargo & Co................................................. 16,157,084 834,190,247
WR Berkley Corp.................................................. 418,566 29,257,763
# Zions Bancorp NA................................................. 923,809 44,777,022
--------------
TOTAL FINANCIALS...................................................... 7,007,679,248
--------------
HEALTH CARE -- (14.2%)
Abbott Laboratories.............................................. 1,462,722 122,298,186
* Alexion Pharmaceuticals, Inc..................................... 28,582 3,012,543
Allergan P.L.C................................................... 496,938 87,515,751
Anthem, Inc...................................................... 1,376,563 370,405,572
Becton Dickinson and Co.......................................... 71,096 18,200,576
* Biogen, Inc...................................................... 111,156 33,203,409
* Bio-Rad Laboratories, Inc., Class A.............................. 21,944 7,277,069
Cardinal Health, Inc............................................. 1,267,954 62,700,325
# * Centene Corp..................................................... 1,548,926 82,216,992
* Cigna Corp....................................................... 1,498,160 267,361,634
CVS Health Corp.................................................. 5,447,574 361,664,438
Danaher Corp..................................................... 1,690,202 232,943,640
# * DaVita, Inc...................................................... 1,134,770 66,497,522
DENTSPLY SIRONA, Inc............................................. 220,294 12,067,705
# * Elanco Animal Health, Inc........................................ 76,665 2,071,488
# * Henry Schein, Inc................................................ 186,248 11,656,331
Humana, Inc...................................................... 529,635 155,818,617
* IQVIA Holdings, Inc.............................................. 340,428 49,164,612
* Jazz Pharmaceuticals P.L.C....................................... 216,273 27,170,377
* Laboratory Corp. of America Holdings............................. 759,892 125,207,405
McKesson Corp.................................................... 681,683 90,663,839
Medtronic P.L.C.................................................. 4,359,974 474,801,169
* Mylan NV......................................................... 3,245,750 62,156,112
PerkinElmer, Inc................................................. 110,802 9,524,540
Perrigo Co. P.L.C................................................ 386,545 20,494,616
Pfizer, Inc...................................................... 24,583,746 943,278,334
Quest Diagnostics, Inc........................................... 959,708 97,170,435
STERIS P.L.C..................................................... 209,661 29,681,708
* Syneos Health, Inc............................................... 13,705 687,306
Thermo Fisher Scientific, Inc.................................... 1,073,774 324,258,273
* United Therapeutics Corp......................................... 39,888 3,583,538
Universal Health Services, Inc., Class B......................... 542,770 74,609,164
* WellCare Health Plans, Inc....................................... 37,753 11,197,540
Zimmer Biomet Holdings, Inc...................................... 322,650 44,599,909
--------------
TOTAL HEALTH CARE..................................................... 4,285,160,675
--------------
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
INDUSTRIALS -- (10.6%)
Acuity Brands, Inc............................................... 24,065 $ 3,003,071
* AECOM............................................................ 520,350 20,819,204
AGCO Corp........................................................ 438,069 33,595,512
Alaska Air Group, Inc............................................ 643,400 44,671,262
AMERCO........................................................... 84,734 34,320,659
Arconic, Inc..................................................... 2,019,433 55,473,825
Arcosa, Inc...................................................... 81,906 3,146,009
Carlisle Cos., Inc............................................... 360,870 54,949,675
Cummins, Inc..................................................... 400,577 69,091,521
Delta Air Lines, Inc............................................. 2,950,569 162,517,341
Dover Corp....................................................... 485,505 50,439,114
Eaton Corp. P.L.C................................................ 1,816,899 158,270,072
FedEx Corp....................................................... 1,023,792 156,292,087
Fluor Corp....................................................... 363 5,848
Fortive Corp..................................................... 1,646 113,574
Fortune Brands Home & Security, Inc.............................. 523,155 31,415,458
# * Gardner Denver Holdings, Inc..................................... 81,351 2,589,402
General Electric Co.............................................. 9,293,605 92,750,178
* Genesee & Wyoming, Inc., Class A................................. 58,287 6,471,606
Hubbell, Inc..................................................... 27,996 3,967,033
Ingersoll-Rand P.L.C............................................. 830,409 105,370,598
Jacobs Engineering Group, Inc.................................... 415,660 38,897,463
* JetBlue Airways Corp............................................. 2,227,456 42,989,901
Johnson Controls International P.L.C............................. 2,804,749 121,529,774
Kansas City Southern............................................. 681,598 95,955,366
L3Harris Technologies, Inc....................................... 438,763 90,521,195
ManpowerGroup, Inc............................................... 395,462 35,955,405
Nielsen Holdings P.L.C........................................... 1,415,182 28,530,069
Norfolk Southern Corp............................................ 1,385,379 252,138,978
nVent Electric P.L.C............................................. 369,406 8,518,502
Oshkosh Corp..................................................... 362,340 30,936,589
Owens Corning.................................................... 810,816 49,686,804
PACCAR, Inc...................................................... 769,837 58,553,802
Pentair P.L.C.................................................... 1,025,620 42,532,461
Quanta Services, Inc............................................. 653,713 27,488,632
Republic Services, Inc........................................... 1,904,674 166,678,022
* Sensata Technologies Holding P.L.C............................... 638,184 32,668,639
# Snap-on, Inc..................................................... 315,643 51,345,647
Southwest Airlines Co............................................ 1,400,836 78,628,925
Stanley Black & Decker, Inc...................................... 1,031,996 156,171,955
Textron, Inc..................................................... 1,940,539 89,439,443
* United Airlines Holdings, Inc.................................... 1,825,283 165,808,708
* United Rentals, Inc.............................................. 223,950 29,913,001
United Technologies Corp......................................... 2,227,609 319,840,100
# Wabtec Corp...................................................... 304,785 21,142,935
# * XPO Logistics, Inc............................................... 847,283 64,732,421
--------------
TOTAL INDUSTRIALS..................................................... 3,189,877,786
--------------
INFORMATION TECHNOLOGY -- (9.8%)
* Akamai Technologies, Inc......................................... 37,876 3,276,274
Amdocs, Ltd...................................................... 707,865 46,152,798
Analog Devices, Inc.............................................. 609,183 64,957,183
* Arrow Electronics, Inc........................................... 552,900 43,833,912
Avnet, Inc....................................................... 182,124 7,204,825
Broadcom, Inc.................................................... 36,815 10,781,273
* Cerence Inc...................................................... 658 10,199
* Ciena Corp....................................................... 75,200 2,791,424
Cisco Systems, Inc............................................... 1 48
Cognizant Technology Solutions Corp., Class A.................... 153,816 9,373,547
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
---------- --------------
INFORMATION TECHNOLOGY -- (Continued)
Corning, Inc..................................................... 3,764,880 $ 111,553,394
Cypress Semiconductor Corp....................................... 93,842 2,183,703
* Dell Technologies, Inc., Class C................................. 226,346 11,971,440
Dolby Laboratories, Inc., Class A................................ 16,857 1,084,411
DXC Technology Co................................................ 1,347,255 37,278,546
Fidelity National Information Services, Inc...................... 1,545,803 203,675,003
* Fiserv, Inc...................................................... 293,749 31,178,519
* Flex, Ltd........................................................ 1,392,460 16,361,405
Global Payments, Inc............................................. 157,082 26,575,133
Hewlett Packard Enterprise Co.................................... 8,049,570 132,093,444
HP, Inc.......................................................... 9,619,949 167,098,514
Intel Corp....................................................... 22,465,295 1,269,963,126
# * IPG Photonics Corp............................................... 1,434 192,558
Jabil, Inc....................................................... 219,735 8,090,643
Juniper Networks, Inc............................................ 1,355,970 33,655,175
Lam Research Corp................................................ 71,254 19,312,684
Leidos Holdings, Inc............................................. 739,121 63,734,404
# Marvell Technology Group, Ltd.................................... 1,053,978 25,706,523
* Micron Technology, Inc........................................... 5,266,057 250,401,010
* Nuance Communications, Inc....................................... 5,268 85,974
* ON Semiconductor Corp............................................ 1,982,115 40,435,146
* Qorvo, Inc....................................................... 509,020 41,159,357
Skyworks Solutions, Inc.......................................... 302,382 27,534,905
SS&C Technologies Holdings, Inc.................................. 177,841 9,249,510
SYNNEX Corp...................................................... 30,166 3,551,745
TE Connectivity, Ltd............................................. 991,804 88,766,458
Western Digital Corp............................................. 1,392,000 71,896,800
* Xerox Holdings Corp.............................................. 1,739,519 59,021,880
--------------
TOTAL INFORMATION TECHNOLOGY.......................................... 2,942,192,893
--------------
MATERIALS -- (4.6%)
Air Products & Chemicals, Inc.................................... 389,905 83,151,140
# Albemarle Corp................................................... 584,580 35,507,389
* Amcor P.L.C...................................................... 14,097 134,203
Ashland Global Holdings, Inc..................................... 217,336 16,815,286
Ball Corp........................................................ 481,524 33,692,234
CF Industries Holdings, Inc...................................... 1,284,847 58,267,812
* Corteva, Inc..................................................... 1,044,893 27,564,277
* Dow, Inc......................................................... 1,197,177 60,445,467
DuPont de Nemours, Inc........................................... 1,044,893 68,868,898
Eastman Chemical Co.............................................. 1,058,943 80,522,026
Freeport-McMoRan, Inc............................................ 7,074,669 69,473,250
Huntsman Corp.................................................... 494,288 10,938,593
# International Flavors & Fragrances, Inc.......................... 36,015 4,394,190
International Paper Co........................................... 2,075,616 90,662,907
Linde P.L.C...................................................... 427,622 84,818,824
LyondellBasell Industries NV, Class A............................ 567,935 50,943,770
Martin Marietta Materials, Inc................................... 262,581 68,772,590
Mosaic Co. (The)................................................. 1,232,432 24,500,748
Newmont Goldcorp Corp............................................ 2,243,786 89,145,618
Nucor Corp....................................................... 2,517,086 135,545,081
# Packaging Corp. of America....................................... 104,846 11,476,443
Reliance Steel & Aluminum Co..................................... 456,094 52,925,148
# Royal Gold, Inc.................................................. 121,993 14,082,872
Sonoco Products Co............................................... 172,782 9,969,521
Steel Dynamics, Inc.............................................. 1,698,064 51,553,223
Valvoline, Inc................................................... 1,033,732 22,059,841
Vulcan Materials Co.............................................. 517,644 73,955,798
# Westlake Chemical Corp........................................... 371,564 23,479,129
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
SHARES VALUE+
----------- ---------------
MATERIALS -- (Continued)
WestRock Co...................................................... 1,082,194 $ 40,441,590
---------------
TOTAL MATERIALS......................................................... 1,394,107,868
---------------
REAL ESTATE -- (0.3%)
* CBRE Group, Inc., Class A........................................ 741,284 39,695,758
# * Howard Hughes Corp. (The)........................................ 4,513 504,644
Jones Lang LaSalle, Inc.......................................... 309,764 45,386,621
---------------
TOTAL REAL ESTATE....................................................... 85,587,023
---------------
UTILITIES -- (0.3%)
MDU Resources Group, Inc......................................... 248,941 7,191,906
NRG Energy, Inc.................................................. 1,445,428 57,990,571
Vistra Energy Corp............................................... 1,084,247 29,307,196
---------------
TOTAL UTILITIES......................................................... 94,489,673
---------------
TOTAL COMMON STOCKS..................................................... 29,721,433,847
---------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
State Street Institutional U.S. Government Money Market Fund
1.752%......................................................... 166,338,555 166,338,555
---------------
SECURITIES LENDING COLLATERAL -- (0.8%)
@ (S) The DFA Short Term Investment Fund............................... 22,114,935 255,891,910
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $22,145,430,170)................................................ $30,143,664,312
===============
P.L.C. Public Limited Company
+ See Note B to Financial Statements.
* Non-Income Producing Securities.
# Total or Partial Securities on Loan.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
As of October 31, 2019, The U.S. Large Cap Value Series had entered into the
following outstanding futures contracts:
UNREALIZED
NUMBER OF EXPIRATION NOTIONAL MARKET APPRECIATION
DESCRIPTION CONTRACTS DATE VALUE VALUE (DEPRECIATION)
----------- --------- ---------- ------------ ------------ --------------
LONG POSITION CONTRACTS:
S&P 500(R) Emini Index........ 985 12/20/19 $148,128,680 $149,513,150 $1,384,470
------------ ------------ ----------
TOTAL FUTURES CONTRACTS....... $148,128,680 $149,513,150 $1,384,470
============ ============ ==========
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............... $3,619,105,106 -- -- $3,619,105,106
Consumer Discretionary............... 2,020,185,414 -- -- 2,020,185,414
Consumer Staples..................... 1,436,178,384 -- -- 1,436,178,384
Energy............................... 3,646,869,777 -- -- 3,646,869,777
Financials........................... 7,007,679,248 -- -- 7,007,679,248
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
--------------- ------------ ------- ---------------
Health Care.......................... $ 4,285,160,675 -- -- $ 4,285,160,675
Industrials.......................... 3,189,877,786 -- -- 3,189,877,786
Information Technology............... 2,942,192,893 -- -- 2,942,192,893
Materials............................ 1,394,107,868 -- -- 1,394,107,868
Real Estate.......................... 85,587,023 -- -- 85,587,023
Utilities............................ 94,489,673 -- -- 94,489,673
Temporary Cash Investments.............. 166,338,555 -- -- 166,338,555
Securities Lending Collateral........... -- $255,891,910 -- 255,891,910
Futures Contracts**..................... 1,384,470 -- -- 1,384,470
--------------- ------------ -- ---------------
TOTAL................................... $29,889,156,872 $255,891,910 -- $30,145,048,782
=============== ============ == ===============
** Valued at the unrealized appreciation/(depreciation) on the investment.
See accompanying Notes to Financial Statements.
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
COMMON STOCKS -- (96.6%)
AUSTRALIA -- (6.5%)
AMP, Ltd......................................................... 8,236,100 $ 10,406,641
Aurizon Holdings, Ltd............................................ 1,818,522 7,398,180
Australia & New Zealand Banking Group, Ltd....................... 10,445,267 191,953,787
# Bank of Queensland, Ltd.......................................... 1,684,752 10,514,632
Bendigo & Adelaide Bank, Ltd..................................... 2,018,520 14,814,125
BlueScope Steel, Ltd............................................. 3,397,511 31,101,430
Boral, Ltd....................................................... 4,088,291 14,194,205
Challenger, Ltd.................................................. 39,058 214,222
Crown Resorts, Ltd............................................... 143,373 1,231,661
Downer EDI, Ltd.................................................. 2,503,006 13,921,851
Fortescue Metals Group, Ltd...................................... 7,465,115 45,691,150
# Harvey Norman Holdings, Ltd...................................... 2,695,782 7,606,193
Incitec Pivot, Ltd............................................... 6,510,201 15,490,625
LendLease Group.................................................. 1,329,871 17,189,523
National Australia Bank, Ltd..................................... 5,095,804 100,026,219
Newcrest Mining, Ltd............................................. 960,312 20,962,001
Oil Search, Ltd.................................................. 1,717,575 8,476,725
Origin Energy, Ltd............................................... 4,869,242 26,398,375
QBE Insurance Group, Ltd......................................... 3,591,778 31,249,847
Qube Holdings, Ltd............................................... 11,942 26,775
Santos, Ltd...................................................... 6,433,210 35,984,249
South32, Ltd..................................................... 25,273,728 44,227,256
Star Entertainment Grp, Ltd. (The)............................... 3,958,059 12,833,958
# Suncorp Group, Ltd............................................... 3,397,664 31,545,598
Tabcorp Holdings, Ltd............................................ 4,801,883 15,911,734
Westpac Banking Corp............................................. 787,485 15,289,404
# Whitehaven Coal, Ltd............................................. 4,495,686 10,224,929
Woodside Petroleum, Ltd.......................................... 3,123,201 69,220,947
Worley, Ltd...................................................... 648,053 6,082,772
------------
TOTAL AUSTRALIA...................................................... 810,189,014
------------
AUSTRIA -- (0.1%)
Raiffeisen Bank International AG................................. 352,752 8,691,555
------------
BELGIUM -- (1.0%)
Ageas............................................................ 469,049 27,050,373
KBC Group NV..................................................... 565,642 39,772,707
Solvay SA........................................................ 314,975 34,245,956
# UCB SA........................................................... 290,018 23,375,105
------------
TOTAL BELGIUM........................................................ 124,444,141
------------
CANADA -- (8.1%)
# AltaGas, Ltd..................................................... 455,083 6,620,143
Bank of Montreal, (2073174)...................................... 1,357,448 100,437,577
# Bank of Montreal, (2076009)...................................... 276,383 20,459,603
Bank of Nova Scotia (The)........................................ 43,229 2,479,325
# Bank of Nova Scotia (The)........................................ 1,142,490 65,498,952
Barrick Gold Corp................................................ 1,196,009 20,776,468
Barrick Gold Corp................................................ 605,141 10,505,248
Cameco Corp...................................................... 468,671 4,184,626
# Cameco Corp...................................................... 571,821 5,106,361
# Canadian Imperial Bank of Commerce............................... 516,520 44,044,007
# Canadian Imperial Bank of Commerce............................... 248,491 21,186,343
Canadian Natural Resources, Ltd.................................. 496,828 12,527,263
Canadian Natural Resources, Ltd.................................. 2,927,565 73,833,189
# Cenovus Energy, Inc.............................................. 2,110,053 17,914,350
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
CANADA -- (Continued)
Empire Co., Ltd., Class A........................................ 178,680 $ 4,744,089
Encana Corp...................................................... 2,565,885 10,052,362
# Encana Corp...................................................... 846,145 3,325,350
Fairfax Financial Holdings, Ltd.................................. 100,734 42,676,769
First Quantum Minerals, Ltd...................................... 1,844,735 15,588,716
# Genworth MI Canada, Inc.......................................... 153,865 6,214,880
Great-West Lifeco, Inc........................................... 455,724 11,082,560
Husky Energy, Inc................................................ 1,715,497 11,982,820
IA Financial Crop., Inc.......................................... 573,199 27,604,595
Imperial Oil, Ltd................................................ 208,007 5,180,039
# Imperial Oil, Ltd................................................ 499,213 12,415,427
* Kinross Gold Corp................................................ 6,772,750 32,909,878
Linamar Corp..................................................... 5,374 175,244
Lundin Mining Corp............................................... 3,127,964 15,793,000
Magna International, Inc......................................... 1,359,530 73,101,928
Manulife Financial Corp.......................................... 1,802,195 33,564,531
# Manulife Financial Corp.......................................... 1,671,414 31,121,729
Nutrien, Ltd..................................................... 603,968 28,863,621
Onex Corp........................................................ 14,437 848,726
SNC-Lavalin Group, Inc........................................... 3,772 68,189
# * Stars Group, Inc. (The).......................................... 275,049 5,985,066
Sun Life Financial, Inc.......................................... 381,771 17,127,666
# Sun Life Financial, Inc.......................................... 334,277 15,002,352
# Suncor Energy, Inc., (B3NB0P5)................................... 1,502,973 44,623,268
Suncor Energy, Inc., (B3NB1P2)................................... 3,145,720 93,528,520
Teck Resources, Ltd., Class B.................................... 1,355,792 21,431,622
# Teck Resources, Ltd., Class B.................................... 1,867,648 29,564,868
TMX Group, Ltd................................................... 135,224 11,815,031
Tourmaline Oil Corp.............................................. 524,911 4,503,450
West Fraser Timber Co., Ltd...................................... 11,386 526,465
Wheaton Precious Metals Corp..................................... 5,802 162,862
--------------
TOTAL CANADA.......................................................... 1,017,159,078
--------------
DENMARK -- (1.6%)
AP Moller - Maersk A.S., Class A................................. 7,614 9,146,287
# AP Moller - Maersk A.S., Class B................................. 7,899 10,075,978
Carlsberg A.S., Class B.......................................... 288,439 40,619,175
Danske Bank A.S.................................................. 950,671 13,585,591
# * Demant A.S....................................................... 12,806 338,273
DSV Panalpina A.S................................................ 281,831 27,390,904
H Lundbeck A.S................................................... 222,954 7,618,469
ISS A.S.......................................................... 553,648 14,495,179
# Novozymes A.S., Class B.......................................... 121,202 5,713,409
Rockwool International A.S., Class B............................. 21,183 4,163,268
Tryg A.S......................................................... 171,756 4,800,759
Vestas Wind Systems A.S.......................................... 774,838 63,124,344
--------------
TOTAL DENMARK......................................................... 201,071,636
--------------
FINLAND -- (0.9%)
Fortum Oyj....................................................... 834,044 20,382,047
# Nokia Oyj........................................................ 118,722 435,830
Nordea Bank Abp.................................................. 4,139,333 30,297,162
Stora Enso Oyj, Class R.......................................... 1,157,812 15,041,965
UPM-Kymmene Oyj.................................................. 1,263,589 41,154,394
--------------
TOTAL FINLAND......................................................... 107,311,398
--------------
FRANCE -- (10.2%)
Amundi SA........................................................ 15,838 1,131,898
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
FRANCE -- (Continued)
Arkema SA........................................................ 237,138 $ 24,268,207
Atos SE.......................................................... 34,537 2,680,299
AXA SA........................................................... 2,698,893 71,442,974
BNP Paribas SA................................................... 1,990,380 104,016,346
Bollore SA....................................................... 1,707,770 7,398,690
# * Bollore SA....................................................... 9,929 42,302
Bouygues SA...................................................... 1,023,747 43,425,349
Carrefour SA..................................................... 2,495,917 42,494,361
# Casino Guichard Perrachon SA..................................... 71,021 3,834,040
Cie de Saint-Gobain.............................................. 2,069,157 84,272,496
Cie Generale des Etablissements Michelin SCA..................... 664,554 80,914,229
CNP Assurances................................................... 584,638 11,604,622
Credit Agricole SA............................................... 1,053,519 13,746,679
Electricite de France SA......................................... 1,705,570 17,619,927
Engie SA......................................................... 2,838,450 47,529,199
Iliad SA......................................................... 12,285 1,273,161
Natixis SA....................................................... 3,147,635 14,461,249
# Orange SA........................................................ 5,978,647 96,223,277
Peugeot SA....................................................... 3,133,702 79,364,489
Publicis Groupe SA............................................... 226,598 9,752,444
Renault SA....................................................... 1,007,824 51,458,411
Sanofi........................................................... 12,712 1,171,882
SCOR SE.......................................................... 326,474 13,770,388
SES SA........................................................... 240,518 4,662,418
Societe Generale SA.............................................. 1,959,974 55,739,510
# Total SA......................................................... 6,874,996 363,468,614
Valeo SA......................................................... 751,932 28,002,463
--------------
TOTAL FRANCE.......................................................... 1,275,769,924
--------------
GERMANY -- (6.6%)
# 1&1 Drillisch AG................................................. 13,439 359,934
Allianz SE....................................................... 188,750 46,097,005
BASF SE.......................................................... 58,708 4,462,935
Bayer AG......................................................... 1,905,818 147,846,053
Bayerische Motoren Werke AG...................................... 1,225,665 93,854,917
Commerzbank AG................................................... 3,217,449 19,252,390
Continental AG................................................... 299,004 40,048,830
Daimler AG....................................................... 3,530,733 205,922,022
# Deutsche Bank AG................................................. 1,938,873 14,060,183
Deutsche Bank AG................................................. 1,679,248 12,174,548
Deutsche Lufthansa AG............................................ 1,604,407 27,793,441
Evonik Industries AG............................................. 444,408 11,711,902
Fraport AG Frankfurt Airport Services Worldwide.................. 186,460 15,584,820
# Hapag-Lloyd AG................................................... 25,653 1,863,563
HeidelbergCement AG.............................................. 686,024 50,860,464
METRO AG......................................................... 335,254 5,474,494
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen........ 148,512 41,262,513
RWE AG........................................................... 410,121 12,498,218
* Talanx AG........................................................ 207,392 9,558,367
Telefonica Deutschland Holding AG................................ 3,595,005 11,417,086
Uniper SE........................................................ 842,588 26,260,563
Volkswagen AG.................................................... 125,075 23,644,195
--------------
TOTAL GERMANY......................................................... 822,008,443
--------------
HONG KONG -- (2.9%)
Bank of East Asia, Ltd. (The).................................... 127,125 306,231
BOC Aviation, Ltd................................................ 647,400 6,082,259
# Cathay Pacific Airways, Ltd...................................... 5,830,000 7,448,119
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
HONG KONG -- (Continued)
CK Asset Holdings, Ltd........................................... 3,840,000 $ 26,717,600
CK Hutchison Holdings, Ltd....................................... 7,657,984 70,706,751
Guoco Group, Ltd................................................. 9,000 149,040
Hang Lung Group, Ltd............................................. 2,714,000 6,797,576
Hang Lung Properties, Ltd........................................ 5,009,000 11,010,791
Henderson Land Development Co., Ltd.............................. 2,256,485 11,270,193
Kerry Properties, Ltd............................................ 3,101,000 10,027,585
Melco International Development, Ltd............................. 257,000 681,139
MTR Corp., Ltd................................................... 2,070,933 11,874,276
New World Development Co., Ltd................................... 22,867,168 32,710,006
# NWS Holdings, Ltd................................................ 3,760,400 5,596,525
# Shangri-La Asia, Ltd............................................. 3,398,000 3,487,749
Sino Land Co., Ltd............................................... 8,949,867 13,378,860
SJM Holdings, Ltd................................................ 5,295,000 5,656,337
# Sun Hung Kai Properties, Ltd..................................... 4,291,920 65,036,781
Swire Pacific, Ltd., Class A..................................... 2,580,500 24,598,049
Swire Pacific, Ltd., Class B..................................... 3,447,500 5,091,025
WH Group, Ltd.................................................... 8,773,000 9,260,274
Wharf Holdings, Ltd. (The)....................................... 4,339,990 9,848,538
Wheelock & Co., Ltd.............................................. 2,720,000 16,822,114
Xinyi Glass Holdings, Ltd........................................ 1,106,000 1,243,519
Yue Yuen Industrial Holdings, Ltd................................ 3,080,500 8,681,428
------------
TOTAL HONG KONG....................................................... 364,482,765
------------
IRELAND -- (0.3%)
AIB Group P.L.C.................................................. 909,055 2,915,356
Bank of Ireland Group P.L.C...................................... 913,924 4,405,146
CRH P.L.C........................................................ 293,793 10,696,932
CRH P.L.C., Sponsored ADR........................................ 198,709 7,252,879
Flutter Entertainment P.L.C...................................... 93,007 9,612,041
------------
TOTAL IRELAND......................................................... 34,882,354
------------
ISRAEL -- (0.4%)
Bank Hapoalim BM................................................. 2,736,994 21,905,963
Bank Leumi Le-Israel BM.......................................... 1,337,753 9,744,521
* First International Bank Of Israel, Ltd.......................... 86,561 2,376,399
Israel Discount Bank, Ltd., Class A.............................. 2,621,812 11,981,221
Mizrahi Tefahot Bank, Ltd........................................ 43,779 1,086,183
------------
TOTAL ISRAEL.......................................................... 47,094,287
------------
ITALY -- (2.2%)
Assicurazioni Generali SpA....................................... 32,593 660,904
Eni SpA.......................................................... 3,780,702 57,356,971
Fiat Chrysler Automobiles NV, (BRJ2W98).......................... 1,744,870 26,731,409
Fiat Chrysler Automobiles NV, (BRJFWP3).......................... 2,776,827 43,092,922
Intesa Sanpaolo SpA.............................................. 21,612,178 54,156,316
Mediobanca Banca di Credito Finanziario SpA...................... 359,455 4,274,397
* Telecom Italia SpA............................................... 63,812,045 37,348,785
# * Telecom Italia SpA, Sponsored ADR................................ 1,847,002 10,675,672
UniCredit SpA.................................................... 3,293,998 41,791,053
------------
TOTAL ITALY........................................................... 276,088,429
------------
JAPAN -- (21.9%)
AEON Financial Service Co., Ltd.................................. 15,000 228,606
AGC, Inc......................................................... 895,500 31,485,840
Aisin Seiki Co., Ltd............................................. 484,000 19,316,346
Alfresa Holdings Corp............................................ 26,900 600,646
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
JAPAN -- (Continued)
Alps Alpine Co., Ltd............................................. 135,200 $ 2,898,499
Amada Holdings Co., Ltd.......................................... 907,100 10,330,153
Aozora Bank, Ltd................................................. 253,300 6,499,262
Asahi Kasei Corp................................................. 781,000 8,670,147
Bank of Kyoto, Ltd. (The)........................................ 113,679 4,499,475
Brother Industries, Ltd.......................................... 107,100 2,012,841
Canon Marketing Japan, Inc....................................... 153,000 3,237,130
Chiba Bank, Ltd. (The)........................................... 1,064,000 5,783,211
Chugoku Bank, Ltd. (The)......................................... 256,900 2,510,394
Citizen Watch Co., Ltd........................................... 792,400 4,212,837
# Coca-Cola Bottlers Japan Holdings, Inc........................... 407,057 9,241,844
Concordia Financial Group, Ltd................................... 2,530,100 10,317,577
Credit Saison Co., Ltd........................................... 393,600 5,699,616
Dai Nippon Printing Co., Ltd..................................... 474,300 12,667,839
Daicel Corp...................................................... 1,087,400 9,720,740
# Daido Steel Co., Ltd............................................. 112,900 4,926,732
Dai-ichi Life Holdings, Inc...................................... 1,805,447 29,427,711
Daio Paper Corp.................................................. 39,000 519,859
Daiwa Securities Group, Inc...................................... 4,492,800 20,194,243
DeNA Co., Ltd.................................................... 163,100 2,780,169
Denka Co., Ltd................................................... 234,800 6,776,012
Denso Corp....................................................... 834,500 38,745,765
Dentsu, Inc...................................................... 330,100 11,800,991
DIC Corp......................................................... 361,500 10,355,207
Dowa Holdings Co., Ltd........................................... 189,000 6,525,069
Ebara Corp....................................................... 278,900 8,251,622
Fuji Media Holdings, Inc......................................... 52,200 705,357
FUJIFILM Holdings Corp........................................... 65,700 2,884,375
Fukuoka Financial Group, Inc..................................... 386,600 7,452,619
Fukuyama Transporting Co., Ltd................................... 50,893 1,825,509
Furukawa Electric Co., Ltd....................................... 392,700 10,976,485
Fuyo General Lease Co., Ltd...................................... 5,300 345,447
Glory, Ltd....................................................... 185,800 5,470,426
Hachijuni Bank, Ltd. (The)....................................... 622,531 2,677,914
Hankyu Hanshin Holdings, Inc..................................... 676,200 27,059,481
Haseko Corp...................................................... 290,600 3,750,012
Heiwa Corp....................................................... 173,900 3,579,332
Hino Motors, Ltd................................................. 50,400 476,497
Hitachi Capital Corp............................................. 199,000 4,459,236
Hitachi Chemical Co., Ltd........................................ 82,000 2,699,423
Hitachi Construction Machinery Co., Ltd.......................... 9,200 237,472
Hitachi Metals, Ltd.............................................. 1,026,900 12,887,911
Hitachi, Ltd..................................................... 1,735,400 64,769,362
# Honda Motor Co., Ltd., Sponsored ADR............................. 26,040 702,299
Honda Motor Co., Ltd............................................. 4,590,300 124,185,871
Ibiden Co., Ltd.................................................. 472,600 10,912,681
Idemitsu Kosan Co., Ltd.......................................... 586,700 17,246,206
IHI Corp......................................................... 236,700 5,833,029
# Iida Group Holdings Co., Ltd..................................... 655,750 10,922,900
Inpex Corp....................................................... 2,842,483 26,277,270
# Isetan Mitsukoshi Holdings, Ltd.................................. 647,400 5,163,123
Isuzu Motors, Ltd................................................ 610,000 7,088,144
ITOCHU Corp...................................................... 1,299,900 27,178,152
Itoham Yonekyu Holdings, Inc..................................... 196,800 1,268,480
Iyo Bank, Ltd. (The)............................................. 492,300 2,601,189
J Front Retailing Co., Ltd....................................... 1,025,800 13,043,958
Japan Post Holdings Co., Ltd..................................... 1,147,210 10,530,504
JFE Holdings, Inc................................................ 1,980,900 24,776,381
JGC Holdings Corp................................................ 257,700 3,727,228
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
JAPAN -- (Continued)
JSR Corp......................................................... 706,100 $13,256,129
JTEKT Corp....................................................... 980,500 12,505,673
JXTG Holdings, Inc............................................... 9,040,403 42,257,005
Kajima Corp...................................................... 217,600 2,990,384
Kamigumi Co., Ltd................................................ 342,200 7,737,531
Kandenko Co., Ltd................................................ 402,500 3,805,784
Kaneka Corp...................................................... 250,708 8,345,725
Kansai Mirai Financial Group, Inc................................ 12,897 83,908
Kawasaki Heavy Industries, Ltd................................... 677,300 16,254,065
Kinden Corp...................................................... 222,800 3,351,547
Kobe Steel, Ltd.................................................. 1,581,200 8,501,357
Kokuyo Co., Ltd.................................................. 160,600 2,356,709
Konica Minolta, Inc.............................................. 2,140,500 15,710,837
K's Holdings Corp................................................ 403,300 4,607,829
Kuraray Co., Ltd................................................. 1,529,300 18,194,553
Kurita Water Industries, Ltd..................................... 7,500 215,907
Kyocera Corp..................................................... 122,600 8,043,402
Kyushu Financial Group, Inc...................................... 668,749 2,699,322
LIXIL Group Corp................................................. 933,500 17,361,146
Mabuchi Motor Co., Ltd........................................... 81,200 3,289,984
Maeda Corp....................................................... 39,500 366,592
Maeda Road Construction Co., Ltd................................. 10,100 217,285
Marubeni Corp.................................................... 2,948,900 20,754,586
Maruichi Steel Tube, Ltd......................................... 15,500 423,279
Mazda Motor Corp................................................. 3,004,500 27,582,257
Mebuki Financial Group, Inc...................................... 1,258,420 3,197,158
Medipal Holdings Corp............................................ 186,050 4,250,782
Mitsubishi Chemical Holdings Corp................................ 3,045,600 23,211,195
Mitsubishi Corp.................................................. 1,950,600 49,612,351
Mitsubishi Gas Chemical Co., Inc................................. 727,100 10,257,136
Mitsubishi Heavy Industries, Ltd................................. 603,600 24,427,291
Mitsubishi Logistics Corp........................................ 89,600 2,274,469
Mitsubishi Materials Corp........................................ 518,200 14,900,850
Mitsubishi Motors Corp........................................... 2,460,900 11,235,979
Mitsubishi Tanabe Pharma Corp.................................... 252,700 3,024,385
# Mitsubishi UFJ Financial Group, Inc., Sponsored ADR.............. 4,284,125 22,191,768
Mitsubishi UFJ Financial Group, Inc.............................. 11,934,650 61,872,666
Mitsubishi UFJ Lease & Finance Co., Ltd.......................... 1,638,400 10,058,112
Mitsui & Co., Ltd., Sponsored ADR................................ 11,723 4,018,234
Mitsui & Co., Ltd................................................ 1,157,000 19,870,274
Mitsui Chemicals, Inc............................................ 823,660 19,587,810
Mitsui Fudosan Co., Ltd.......................................... 264,100 6,756,426
Mitsui OSK Lines, Ltd............................................ 546,400 14,883,125
Mizuho Financial Group, Inc...................................... 28,808,800 44,724,954
Mizuho Financial Group, Inc., ADR................................ 64,489 201,851
MS&AD Insurance Group Holdings, Inc.............................. 666,953 21,536,723
Nagase & Co., Ltd................................................ 251,300 3,799,917
NEC Corp......................................................... 464,410 18,404,850
NGK Insulators, Ltd.............................................. 20,600 316,473
NGK Spark Plug Co., Ltd.......................................... 200,600 4,066,924
NH Foods, Ltd.................................................... 404,567 16,998,227
NHK Spring Co., Ltd.............................................. 883,400 7,216,672
# Nikon Corp....................................................... 902,000 11,500,770
Nippo Corp....................................................... 285,900 5,874,508
Nippon Electric Glass Co., Ltd................................... 232,300 5,232,917
Nippon Express Co., Ltd.......................................... 316,124 18,036,625
Nippon Kayaku Co., Ltd........................................... 162,000 1,968,832
Nippon Paper Industries Co., Ltd................................. 475,600 8,198,203
Nippon Shokubai Co., Ltd......................................... 115,900 7,146,729
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
JAPAN -- (Continued)
Nippon Steel Corp................................................ 2,166,993 $ 31,628,399
# Nippon Yusen K.K................................................. 771,300 13,856,463
Nipro Corp....................................................... 136,100 1,595,850
Nissan Motor Co., Ltd............................................ 6,443,700 40,663,481
Nitto Denko Corp................................................. 19,300 1,067,786
# NOK Corp......................................................... 423,620 6,635,180
Nomura Holdings, Inc............................................. 4,281,202 19,457,985
Nomura Real Estate Holdings, Inc................................. 521,500 12,359,220
NSK, Ltd......................................................... 1,136,400 10,566,712
Obayashi Corp.................................................... 2,342,282 24,105,334
Oji Holdings Corp................................................ 3,422,700 17,696,178
Orient Corp...................................................... 38,400 56,099
ORIX Corp........................................................ 3,324,900 52,250,442
Panasonic Corp................................................... 835,200 7,019,337
Rengo Co., Ltd................................................... 899,500 6,522,306
Resona Holdings, Inc............................................. 2,696,600 11,726,332
Ricoh Co., Ltd................................................... 2,220,400 19,774,024
Rohm Co., Ltd.................................................... 169,400 13,421,355
Sankyo Co., Ltd.................................................. 26,400 923,938
Sawai Pharmaceutical Co., Ltd.................................... 7,500 423,202
Sega Sammy Holdings, Inc......................................... 52,200 734,616
Seiko Epson Corp................................................. 195,100 2,758,917
Seino Holdings Co., Ltd.......................................... 481,500 6,191,121
Sekisui House, Ltd............................................... 1,702,700 36,717,668
Shimamura Co., Ltd............................................... 73,000 6,183,325
Shimizu Corp..................................................... 746,000 6,954,213
Shinsei Bank, Ltd................................................ 313,400 4,885,827
Shizuoka Bank, Ltd. (The)........................................ 851,000 6,466,557
Showa Denko K.K.................................................. 234,100 6,568,128
SoftBank Group Corp.............................................. 1,015,100 39,047,247
Sojitz Corp...................................................... 3,995,200 12,575,052
Sompo Holdings, Inc.............................................. 309,710 12,173,485
Sumitomo Bakelite Co., Ltd....................................... 3,400 140,982
Sumitomo Chemical Co., Ltd....................................... 7,962,000 36,421,195
Sumitomo Corp.................................................... 1,701,500 27,636,427
Sumitomo Electric Industries, Ltd................................ 3,161,100 43,350,550
Sumitomo Forestry Co., Ltd....................................... 598,600 8,688,397
Sumitomo Heavy Industries, Ltd................................... 524,600 16,295,143
Sumitomo Metal Mining Co., Ltd................................... 767,164 25,661,386
Sumitomo Mitsui Financial Group, Inc............................. 2,857,600 101,453,852
Sumitomo Mitsui Trust Holdings, Inc.............................. 391,544 14,269,964
Sumitomo Osaka Cement Co., Ltd................................... 16,700 728,988
Sumitomo Rubber Industries, Ltd.................................. 770,500 10,212,016
T&D Holdings, Inc................................................ 1,897,000 21,128,280
Taiheiyo Cement Corp............................................. 528,721 14,956,977
Taisho Pharmaceutical Holdings Co., Ltd.......................... 2,800 199,289
Taiyo Yuden Co., Ltd............................................. 155,900 4,122,919
# Takashimaya Co., Ltd............................................. 463,917 5,385,156
# * Takeda Pharmaceutical Co, Ltd., Sponsored ADR.................... 247,252 4,443,112
Takeda Pharmaceutical Co., Ltd................................... 302,271 10,921,974
TDK Corp......................................................... 89,800 8,860,902
Teijin, Ltd...................................................... 855,090 17,134,578
THK Co., Ltd..................................................... 197,800 5,687,796
Toda Corp........................................................ 717,800 4,483,768
Toho Holdings Co., Ltd........................................... 194,600 4,935,525
Tokai Rika Co., Ltd.............................................. 28,300 546,198
Tokio Marine Holdings, Inc....................................... 11,719 633,595
Tokyo Broadcasting System Holdings, Inc.......................... 56,000 892,944
Tokyo Tatemono Co., Ltd.......................................... 870,300 12,382,173
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
JAPAN -- (Continued)
Tokyu Fudosan Holdings Corp...................................... 2,556,700 $ 16,958,334
Toppan Printing Co., Ltd......................................... 656,900 12,149,573
Toray Industries, Inc............................................ 1,741,000 12,303,888
Tosoh Corp....................................................... 1,241,700 17,001,980
Toyo Seikan Group Holdings, Ltd.................................. 477,449 7,545,303
Toyoda Gosei Co., Ltd............................................ 311,200 7,280,431
Toyota Industries Corp........................................... 235,200 14,112,580
# Toyota Motor Corp., Sponsored ADR................................ 212,618 29,458,224
Toyota Motor Corp................................................ 3,658,590 253,836,203
Toyota Tsusho Corp............................................... 524,100 18,080,674
TS Tech Co., Ltd................................................. 145,000 4,643,981
TV Asahi Holdings Corp........................................... 31,700 495,120
Ube Industries, Ltd.............................................. 504,100 10,793,365
Universal Entertainment Corp..................................... 32,900 1,097,869
Wacoal Holdings Corp............................................. 69,200 1,819,365
Yamada Denki Co., Ltd............................................ 1,863,600 9,007,675
Yamaguchi Financial Group, Inc................................... 399,348 2,801,945
Yamaha Motor Co., Ltd............................................ 427,000 8,357,639
Yamato Kogyo Co., Ltd............................................ 51,100 1,325,619
Yamazaki Baking Co., Ltd......................................... 21,100 359,727
Yokohama Rubber Co., Ltd. (The).................................. 563,500 12,585,904
Zeon Corp........................................................ 404,300 4,605,664
--------------
TOTAL JAPAN........................................................... 2,736,919,566
--------------
NETHERLANDS -- (3.5%)
ABN AMRO Bank NV................................................. 1,461,221 27,237,243
Aegon NV......................................................... 4,539,272 19,692,878
# Aegon NV......................................................... 523,920 2,263,334
Akzo Nobel NV.................................................... 29,483 2,718,107
ArcelorMittal.................................................... 1,780,735 26,477,694
# ArcelorMittal.................................................... 726,121 10,761,115
ASR Nederland NV................................................. 30,999 1,136,380
Coca-Cola European Partners P.L.C................................ 24,638 1,321,314
# ING Groep NV, Sponsored ADR...................................... 921,132 10,436,426
ING Groep NV..................................................... 6,111,967 69,208,773
Koninklijke Ahold Delhaize NV.................................... 5,195,538 129,473,095
Koninklijke DSM NV............................................... 645,359 76,596,330
Koninklijke Philips NV........................................... 81,630 3,581,440
# Koninklijke Philips NV........................................... 33,914 1,488,825
# Koninklijke Vopak NV............................................. 167,250 9,187,988
NN Group NV...................................................... 858,083 32,741,782
Randstad NV...................................................... 209,874 11,647,345
--------------
TOTAL NETHERLANDS..................................................... 435,970,069
--------------
NEW ZEALAND -- (0.2%)
Air New Zealand, Ltd............................................. 2,720,019 4,924,198
Auckland International Airport, Ltd.............................. 1,975,400 11,773,035
EBOS Group, Ltd.................................................. 129,451 2,044,602
Fletcher Building, Ltd........................................... 1,687,154 4,957,087
# * Fonterra Co-operative Group, Ltd................................. 284,937 757,840
# Ryman Healthcare, Ltd............................................ 39,063 322,854
SKYCITY Entertainment Group, Ltd................................. 266,175 666,858
--------------
TOTAL NEW ZEALAND..................................................... 25,446,474
--------------
NORWAY -- (0.8%)
Austevoll Seafood ASA............................................ 33,739 340,699
DNB ASA.......................................................... 2,146,171 39,075,935
Equinor ASA...................................................... 164,244 3,049,301
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
NORWAY -- (Continued)
Norsk Hydro ASA.................................................. 5,166,320 $ 18,255,496
SpareBank 1 SR-Bank ASA.......................................... 369,350 3,935,638
Storebrand ASA................................................... 1,436,496 10,155,294
# Subsea 7 SA...................................................... 885,085 8,315,118
Yara International ASA........................................... 283,939 11,061,188
------------
TOTAL NORWAY......................................................... 94,188,669
------------
PORTUGAL -- (0.0%)
Banco Espirito Santo SA.......................................... 2,631,973 0
EDP Renovaveis SA................................................ 541,158 6,172,620
------------
TOTAL PORTUGAL....................................................... 6,172,620
------------
SINGAPORE -- (1.0%)
CapitaLand, Ltd.................................................. 8,246,300 21,796,799
City Developments, Ltd........................................... 1,714,600 13,578,244
Frasers Property, Ltd............................................ 492,700 666,468
Golden Agri-Resources, Ltd....................................... 5,473,500 821,578
Hongkong Land Holdings, Ltd...................................... 1,260,100 6,922,226
Hutchison Port Holdings Trust.................................... 5,888,800 912,181
Keppel Corp., Ltd................................................ 6,501,200 32,736,043
Olam International, Ltd.......................................... 464,700 624,070
Oversea-Chinese Banking Corp., Ltd............................... 803,956 6,463,169
Sembcorp Industries, Ltd......................................... 1,075,800 1,806,150
Singapore Airlines, Ltd.......................................... 3,017,400 20,855,560
Singapore Press Holdings, Ltd.................................... 453,900 738,674
United Industrial Corp., Ltd..................................... 1,368,070 2,914,607
UOL Group, Ltd................................................... 1,203,774 6,892,666
Wilmar International, Ltd........................................ 4,462,100 12,268,445
Yangzijiang Shipbuilding Holdings Ltd............................ 597,000 417,952
------------
TOTAL SINGAPORE...................................................... 130,414,832
------------
SPAIN -- (2.1%)
# Banco Bilbao Vizcaya Argentaria SA............................... 3,587,557 18,895,044
# Banco Bilbao Vizcaya Argentaria SA, Sponsored ADR................ 538,369 2,815,670
Banco de Sabadell SA............................................. 18,523,466 20,361,537
Banco Santander SA............................................... 52,022,978 208,887,734
Banco Santander SA, Sponsored ADR................................ 71,002 281,168
Bankia SA........................................................ 1,716,143 3,274,091
CaixaBank SA..................................................... 366,705 1,051,562
Repsol SA........................................................ 732,346 12,068,838
------------
TOTAL SPAIN.......................................................... 267,635,644
------------
SWEDEN -- (2.3%)
# BillerudKorsnas AB............................................... 504,958 6,073,168
Boliden AB....................................................... 1,195,043 32,227,279
Dometic Group AB................................................. 188,158 1,746,902
Getinge AB, Class B.............................................. 559,676 9,568,528
# Holmen AB, Class A............................................... 5,562 167,232
Holmen AB, Class B............................................... 416,562 12,293,019
Husqvarna AB, Class B............................................ 132,968 1,018,655
ICA Gruppen AB................................................... 167,988 7,433,759
# Intrum AB........................................................ 198,388 5,348,355
# Millicom International Cellular SA............................... 133,262 6,075,164
Pandox AB........................................................ 92,987 1,860,791
Peab AB.......................................................... 213,986 1,804,427
Saab AB, Class B................................................. 726 22,420
Skandinaviska Enskilda Banken AB, Class A........................ 4,478,462 42,954,423
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SWEDEN -- (Continued)
# Skandinaviska Enskilda Banken AB, Class C........................ 28,685 $ 277,355
SKF AB, Class B.................................................. 1,179,544 21,356,998
SSAB AB, Class A................................................. 546,342 1,529,183
# SSAB AB, Class B................................................. 1,359,160 3,424,018
Svenska Cellulosa AB SCA, Class A................................ 63,918 675,844
Svenska Cellulosa AB SCA, Class B................................ 1,727,990 17,632,631
Svenska Handelsbanken AB, Class A................................ 2,560,946 25,701,152
# Svenska Handelsbanken AB, Class B................................ 37,204 373,871
Swedbank AB, Class A............................................. 1,322,874 18,537,811
Tele2 AB, Class B................................................ 140,411 2,010,005
Telefonaktiebolaget LM Ericsson, Class B......................... 63,056 551,033
Telia Co. AB..................................................... 7,857,507 34,564,450
# Trelleborg AB, Class B........................................... 639,453 10,340,365
Volvo AB, Class A................................................ 32,487 486,851
Volvo AB, Class B................................................ 1,717,312 25,735,232
--------------
TOTAL SWEDEN.......................................................... 291,790,921
--------------
SWITZERLAND -- (9.4%)
ABB, Ltd......................................................... 3,061,074 64,282,501
Adecco Group AG.................................................. 683,506 40,631,800
* Alcon, Inc....................................................... 63,250 3,748,851
* Alcon, Inc....................................................... 507,291 30,000,201
Baloise Holding AG............................................... 165,168 30,548,385
Banque Cantonale Vaudoise........................................ 3,001 2,353,150
Barry Callebaut AG............................................... 484 1,022,837
Chocoladefabriken Lindt & Spruengli AG........................... 6 491,333
# Cie Financiere Richemont SA...................................... 1,165,784 91,608,647
Clariant AG...................................................... 390,354 8,007,154
Credit Suisse Group AG........................................... 1,363,427 16,876,313
# Credit Suisse Group AG, Sponsored ADR............................ 1,052,790 13,033,540
Flughafen Zurich AG.............................................. 44,330 7,987,917
Helvetia Holding AG.............................................. 15,210 2,136,507
# Julius Baer Group, Ltd........................................... 716,015 31,707,719
LafargeHolcim, Ltd............................................... 804,630 41,533,768
LafargeHolcim, Ltd............................................... 375,078 19,263,945
Lonza Group AG................................................... 193,034 69,575,711
# Novartis AG, Sponsored ADR....................................... 333,391 29,151,709
Novartis AG...................................................... 2,468,436 215,680,082
# Swatch Group AG (The)............................................ 144,166 39,974,069
Swatch Group AG (The)............................................ 195,503 10,495,849
Swiss Life Holding AG............................................ 104,266 52,218,157
Swiss Prime Site AG.............................................. 120,516 12,421,805
Swiss Re AG...................................................... 324,348 34,020,445
# Swisscom AG...................................................... 67,885 34,722,794
UBS Group AG..................................................... 6,275,625 74,273,024
# * UBS Group AG..................................................... 1,233,581 14,519,248
Vifor Pharma AG.................................................. 32,760 5,159,020
Zurich Insurance Group AG........................................ 445,436 174,477,301
--------------
TOTAL SWITZERLAND..................................................... 1,171,923,782
--------------
UNITED KINGDOM -- (14.6%)
3i Group P.L.C................................................... 794,832 11,614,784
Anglo American P.L.C............................................. 3,439,726 88,528,544
Antofagasta P.L.C................................................ 246,621 2,777,620
Aviva P.L.C...................................................... 16,319,347 87,962,023
# Barclays P.L.C., Sponsored ADR................................... 6,570,671 56,704,891
Barclays P.L.C................................................... 191,609 415,614
Barratt Developments P.L.C....................................... 3,934,603 32,176,411
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
UNITED KINGDOM -- (Continued)
BP P.L.C., Sponsored ADR......................................... 3,728,757 $ 141,357,178
# British American Tobacco P.L.C., Sponsored ADR................... 952,398 33,295,834
British American Tobacco P.L.C................................... 3,130,216 109,482,004
Carnival P.L.C................................................... 102,449 4,099,679
Carnival P.L.C., ADR............................................. 20,467 832,188
Glencore P.L.C................................................... 26,606,474 80,308,409
GVC Holdings P.L.C............................................... 69,102 797,212
HSBC Holdings P.L.C.............................................. 13,949,143 105,387,283
HSBC Holdings P.L.C., Sponsored ADR.............................. 2,719,882 102,784,340
Investec P.L.C................................................... 1,312,079 7,438,773
J Sainsbury P.L.C................................................ 8,162,535 21,510,522
John Wood Group P.L.C............................................ 531,596 2,334,035
Kingfisher P.L.C................................................. 7,975,671 21,395,589
Lloyds Banking Group P.L.C....................................... 181,694,609 133,655,657
# Lloyds Banking Group P.L.C., ADR................................. 1,479,223 4,289,747
Melrose Industries P.L.C......................................... 4,733,470 13,081,828
# Micro Focus International P.L.C., Sponsored ADR.................. 187,071 2,566,621
Micro Focus International P.L.C.................................. 241,441 3,313,827
Pearson P.L.C.................................................... 515,601 4,553,579
# Pearson P.L.C., Sponsored ADR.................................... 1,119,256 9,849,453
Phoenix Group Holdings P.L.C..................................... 430,695 3,934,026
Royal Bank of Scotland Group P.L.C............................... 5,175,515 14,306,357
# Royal Bank of Scotland Group P.L.C., Sponsored ADR............... 1,051,278 5,834,593
Royal Dutch Shell P.L.C., Sponsored ADR, Class A................. 3,293,873 190,945,796
# Royal Dutch Shell P.L.C., Sponsored ADR, Class B................. 3,560,210 207,524,641
Royal Dutch Shell P.L.C. , Class A (B03MLX2)..................... 136,125 3,946,003
Royal Mail P.L.C................................................. 786,558 2,152,376
Standard Chartered P.L.C......................................... 4,078,355 37,006,706
Standard Life Aberdeen P.L.C..................................... 1,614,944 6,349,414
Vodafone Group P.L.C............................................. 58,351,986 119,080,026
# Vodafone Group P.L.C., Sponsored ADR............................. 4,011,201 81,908,730
Wm Morrison Supermarkets P.L.C................................... 9,487,736 24,510,173
# WPP P.L.C., Sponsored ADR........................................ 150,428 9,392,724
WPP P.L.C........................................................ 2,296,513 28,659,467
---------------
TOTAL UNITED KINGDOM.................................................... 1,818,064,677
---------------
TOTAL COMMON STOCKS..................................................... 12,067,720,278
---------------
PREFERRED STOCKS -- (1.3%)
GERMANY -- (1.3%)
Bayerische Motoren Werke AG...................................... 157,620 9,702,006
Porsche Automobil Holding SE..................................... 322,304 23,731,440
Volkswagen AG.................................................... 701,336 133,327,635
---------------
TOTAL GERMANY........................................................... 166,761,081
---------------
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
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $12,281,304,441)................................................ $12,492,073,344
===============
ADR American Depositary Receipt
P.L.C. Public Limited Company
SA Special Assessment
(double right angle quote) Securities that have generally been fair value
factored. See Note B to Financial Statements.
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
As of October 31, 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.
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COMMON STOCKS -- (95.8%)
BRAZIL -- (6.7%)
Ambev SA, ADR.................................................... 5,984,451 $25,792,984
Ambev SA......................................................... 855,320 3,706,636
Atacadao S.A..................................................... 313,081 1,491,828
# * Azul SA, ADR..................................................... 15,266 595,069
* B2W Cia Digital.................................................. 164,095 2,078,550
B3 SA - Brasil Bolsa Balcao...................................... 1,724,517 20,803,424
Banco Bradesco SA, ADR........................................... 1,268,081 11,108,388
Banco Bradesco SA................................................ 1,230,994 10,083,070
Banco BTG Pactual SA............................................. 244,931 3,967,265
Banco do Brasil SA............................................... 716,865 8,606,670
Banco Santander Brasil SA........................................ 311,157 3,651,178
BB Seguridade Participacoes SA................................... 636,043 5,387,453
# Braskem SA, Sponsored ADR........................................ 144,940 1,961,038
* BRF SA........................................................... 644,423 5,705,887
CCR SA........................................................... 2,372,017 9,723,466
Centrais Eletricas Brasileiras SA................................ 173,077 1,707,250
Centrais Eletricas Brasileiras SA, ADR........................... 33,305 337,380
Cia de Saneamento Basico do Estado de Sao Paulo.................. 367,100 4,999,627
Cia de Saneamento Basico do Estado de Sao Paulo, ADR............. 11,702 158,445
Cia Energetica de Minas Gerais................................... 193,500 721,313
Cia Siderurgica Nacional SA, Sponsored ADR....................... 525,351 1,534,025
Cia Siderurgica Nacional SA...................................... 1,479,065 4,351,818
Cielo SA......................................................... 1,668,136 3,144,523
Cogna Educacao................................................... 2,954,754 7,124,416
Cosan SA......................................................... 304,626 4,389,562
CPFL Energia SA.................................................. 108,000 889,206
# Embraer SA, Sponsored ADR........................................ 318,053 5,524,581
Energisa SA...................................................... 130,144 1,555,043
Engie Brasil Energia SA.......................................... 271,376 3,062,580
Equatorial Energia SA............................................ 333,000 8,459,304
# Gerdau SA, Sponsored ADR......................................... 631,681 2,078,231
Gerdau SA........................................................ 176,416 490,472
Hapvida Participacoes e Investimentos S.A........................ 174,209 2,445,572
Hypera SA........................................................ 499,044 4,270,587
IRB Brasil Resseguros S/A........................................ 646,722 6,093,910
Itau Unibanco Holding SA......................................... 471,739 3,666,402
JBS SA........................................................... 2,773,918 19,567,171
Klabin SA........................................................ 929,979 3,668,437
Localiza Rent a Car SA........................................... 446,680 4,809,286
Lojas Americanas SA.............................................. 166,884 628,754
Lojas Renner SA.................................................. 1,339,032 16,944,489
Magazine Luiza SA................................................ 917,600 10,213,605
Natura Cosmeticos SA............................................. 678,400 5,270,900
Notre Dame Intermedica Participacoes S.A......................... 397,767 5,950,884
Petrobras Distribuidora S.A...................................... 550,056 3,878,714
Petroleo Brasileiro SA........................................... 3,033,556 24,734,393
Petroleo Brasileiro SA , Sponsored ADR (US71654V1017)............ 1,299,604 19,611,024
Petroleo Brasileiro SA , Sponsored ADR (US71654V4086)............ 556,265 9,033,744
Porto Seguro SA.................................................. 331,829 4,749,279
Raia Drogasil SA................................................. 402,200 11,031,542
* Rumo SA.......................................................... 998,988 5,679,323
Sul America SA................................................... 317,525 3,823,285
Suzano SA........................................................ 725,080 5,901,162
# * Suzano SA, Sponsored ADR......................................... 90,813 733,768
Telefonica Brasil SA, ADR........................................ 45,286 596,417
TIM Participacoes SA............................................. 1,203,613 3,427,318
Ultrapar Participacoes SA........................................ 622,968 2,931,157
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
----------- -------------------------------
BRAZIL -- (Continued)
# Ultrapar Participacoes SA, Sponsored ADR......................... 519,216 $ 2,424,739
* Vale SA, Sponsored ADR........................................... 1,665,738 19,555,770
* Vale SA.......................................................... 3,260,013 38,367,434
WEG SA........................................................... 363,333 2,310,184
------------
TOTAL BRAZIL.......................................................... 407,509,932
------------
CHILE -- (1.1%)
AES Gener SA..................................................... 2,468,815 528,799
Aguas Andinas SA, Class A........................................ 4,770,656 2,186,673
# Banco de Chile, ADR.............................................. 128,472 3,299,168
Banco de Credito e Inversiones SA................................ 58,898 3,274,236
Banco Santander Chile, ADR....................................... 227,071 5,501,930
Cencosud SA...................................................... 3,159,901 4,286,910
Cia Cervecerias Unidas SA........................................ 109,017 1,086,150
Cia Cervecerias Unidas SA, Sponsored ADR......................... 138,016 2,739,618
Colbun SA........................................................ 11,908,297 2,057,821
Embotelladora Andina SA, ADR, Class B............................ 24,029 405,850
* Empresa Nacional de Telecomunicaciones SA........................ 255,024 1,994,800
Empresas CMPC SA................................................. 1,691,695 3,866,507
Empresas COPEC SA................................................ 319,791 2,862,347
Enel Americas SA, ADR............................................ 1,131,713 10,819,177
Enel Chile SA, ADR............................................... 808,893 3,356,907
Itau CorpBanca................................................... 240,267,938 1,454,356
Itau CorpBanca, ADR.............................................. 30,902 280,590
Latam Airlines Group SA, Sponsored ADR........................... 539,134 6,076,040
Latam Airlines Group SA.......................................... 35,910 397,116
Parque Arauco SA................................................. 43,325 114,052
SACI Falabella................................................... 783,273 3,983,837
# Sociedad Quimica y Minera de Chile SA, Sponsored ADR............. 153,936 4,183,980
------------
TOTAL CHILE........................................................... 64,756,864
------------
CHINA -- (17.4%)
* 51job, Inc., ADR................................................. 5,672 446,783
* 58.com, Inc., ADR................................................ 93,188 4,921,258
AAC Technologies Holdings, Inc................................... 1,203,000 7,784,967
Agile Group Holdings, Ltd........................................ 3,456,000 4,658,228
Agricultural Bank of China, Ltd., Class H........................ 14,618,000 6,015,359
Air China, Ltd., Class H......................................... 2,406,000 2,124,264
* Alibaba Group Holding, Ltd., Sponsored ADR....................... 468,034 82,687,567
* Alibaba Health Information Technology, Ltd....................... 1,702,000 1,713,053
* Alibaba Pictures Group, Ltd...................................... 2,380,000 390,360
# * Aluminum Corp. of China, Ltd., ADR............................... 72,800 543,088
* Aluminum Corp. of China, Ltd., Class H........................... 3,302,000 978,272
# Angang Steel Co., Ltd., Class H.................................. 3,060,200 1,023,710
# Anhui Conch Cement Co., Ltd., Class H............................ 1,609,000 9,616,553
ANTA Sports Products, Ltd........................................ 912,000 8,921,288
BAIC Motor Corp., Ltd., Class H.................................. 3,597,500 2,231,554
* Baidu, Inc., Sponsored ADR....................................... 187,957 19,143,421
Bank of China, Ltd., Class H..................................... 36,089,181 14,716,618
Bank of Communications Co., Ltd., Class H........................ 4,249,515 2,902,195
BBMG Corp., Class H.............................................. 3,531,500 1,010,687
Beijing Capital International Airport Co., Ltd., Class H......... 1,172,000 1,110,025
Beijing Enterprises Holdings, Ltd................................ 579,472 2,728,384
Beijing Enterprises Water Group, Ltd............................. 6,636,000 3,458,869
Bosideng International Holdings, Ltd............................. 2,556,000 1,321,733
Brilliance China Automotive Holdings, Ltd........................ 2,892,000 3,189,221
# BYD Co., Ltd., Class H........................................... 757,886 3,554,877
CGN Power Co., Ltd., Class H..................................... 4,916,000 1,279,824
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
China Cinda Asset Management Co., Ltd., Class H.................. 9,500,000 $ 1,970,745
China CITIC Bank Corp., Ltd., Class H............................ 6,492,928 3,763,695
China Coal Energy Co., Ltd., Class H............................. 2,393,777 954,593
China Common Rich Renewable Energy Investments, Ltd.............. 5,416,000 1,295,950
China Communications Construction Co., Ltd., Class H............. 4,559,000 3,470,503
China Communications Services Corp., Ltd., Class H............... 2,176,000 1,343,741
China Conch Venture Holdings, Ltd................................ 1,494,000 5,845,849
China Construction Bank Corp., Class H........................... 50,692,590 40,618,473
* China Eastern Airlines Corp., Ltd., ADR.......................... 2,200 54,428
* China Eastern Airlines Corp., Ltd., Class H...................... 2,432,000 1,212,945
China Everbright Bank Co., Ltd., Class H......................... 2,968,000 1,365,778
China Everbright International, Ltd.............................. 2,975,703 2,249,054
# China Evergrande Group........................................... 3,151,000 7,670,335
China Galaxy Securities Co., Ltd., Class H....................... 2,505,000 1,277,266
China Gas Holdings, Ltd.......................................... 1,752,800 7,466,819
China Hongqiao Group, Ltd........................................ 2,630,000 1,460,676
China Huarong Asset Management Co., Ltd., Class H................ 11,878,000 1,753,603
China International Capital Corp., Ltd., Class H................. 1,072,800 1,956,193
China International Marine Containers Group Co., Ltd., Class H... 415,920 365,851
China Jinmao Holdings Group, Ltd................................. 5,284,000 3,512,910
China Life Insurance Co., Ltd., ADR.............................. 539,265 6,918,770
China Longyuan Power Group Corp., Ltd., Class H.................. 2,767,000 1,494,828
China Mengniu Dairy Co., Ltd..................................... 1,227,000 4,891,735
China Merchants Bank Co., Ltd., Class H.......................... 2,624,054 12,514,718
China Merchants Port Holdings Co., Ltd........................... 1,482,638 2,318,149
# China Merchants Securities Co., Ltd., Class H.................... 281,400 318,544
China Minsheng Banking Corp., Ltd., Class H...................... 7,584,100 5,304,856
China Mobile, Ltd., Sponsored ADR................................ 903,735 36,492,819
# China Molybdenum Co., Ltd., Class H.............................. 4,872,966 1,535,647
China National Building Material Co., Ltd., Class H.............. 7,652,000 6,449,286
China Oilfield Services, Ltd., Class H........................... 2,012,000 2,801,259
China Overseas Land & Investment, Ltd............................ 5,818,000 18,358,646
China Pacific Insurance Group Co., Ltd., Class H................. 1,180,200 4,282,106
# China Petroleum & Chemical Corp., ADR............................ 108,820 6,147,225
China Petroleum & Chemical Corp., Class H........................ 10,440,800 5,938,463
China Railway Construction Corp., Ltd., Class H.................. 2,318,500 2,535,946
China Railway Group, Ltd., Class H............................... 3,787,000 2,282,481
China Railway Signal & Communication Corp., Ltd., Class H........ 1,109,000 662,055
China Reinsurance Group Corp., Class H........................... 5,460,000 890,756
China Resources Beer Holdings Co., Ltd........................... 687,611 3,525,396
China Resources Cement Holdings, Ltd............................. 4,378,000 4,794,304
China Resources Gas Group, Ltd................................... 1,004,000 6,053,421
China Resources Land, Ltd........................................ 3,844,666 16,350,891
China Resources Pharmaceutical Group, Ltd........................ 1,594,500 1,472,533
China Resources Power Holdings Co., Ltd.......................... 1,790,517 2,250,203
China Shenhua Energy Co., Ltd., Class H.......................... 2,551,000 5,180,925
# China Southern Airlines Co., Ltd., Sponsored ADR................. 11,404 352,726
China Southern Airlines Co., Ltd., Class H....................... 3,138,000 1,931,248
China State Construction International Holdings, Ltd............. 1,914,250 1,762,934
China Taiping Insurance Holdings Co., Ltd........................ 1,808,106 4,064,802
China Telecom Corp., Ltd., ADR................................... 55,096 2,335,520
China Telecom Corp., Ltd., Class H............................... 3,440,000 1,463,405
China Unicom Hong Kong, Ltd...................................... 4,736,000 4,662,586
China Unicom Hong Kong, Ltd., ADR................................ 508,463 4,957,514
China Vanke Co., Ltd., Class H................................... 1,335,700 4,870,693
Chongqing Rural Commercial Bank Co., Ltd., Class H............... 3,392,000 1,810,470
CIFI Holdings Group Co., Ltd..................................... 2,931,191 1,955,034
CITIC Securities Co., Ltd., Class H.............................. 1,467,000 2,691,528
CITIC, Ltd....................................................... 5,048,000 6,640,561
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
CHINA -- (Continued)
CNOOC, Ltd....................................................... 2,444,000 $ 3,637,283
CNOOC, Ltd., Sponsored ADR....................................... 109,986 16,337,321
COSCO SHIPPING Development Co., Ltd., Class H.................... 921,000 103,178
* COSCO SHIPPING Holdings Co., Ltd., Class H....................... 2,831,500 1,059,312
Country Garden Holdings Co., Ltd................................. 9,612,686 13,344,605
Country Garden Services Holdings Co., Ltd........................ 1,194,492 4,047,381
CRRC Corp., Ltd., Class H........................................ 2,686,000 1,796,490
CSC Financial Co., Ltd., Class H................................. 374,500 259,706
CSPC Pharmaceutical Group, Ltd................................... 4,510,000 11,550,655
Dali Foods Group Co., Ltd........................................ 1,145,500 783,156
# Dalian Port PDA Co., Ltd., Class H............................... 155,000 19,577
Datang International Power Generation Co., Ltd., Class H......... 2,836,000 559,391
Dongfeng Motor Group Co., Ltd., Class H.......................... 3,130,000 3,139,742
ENN Energy Holdings, Ltd......................................... 511,500 5,835,471
Everbright Securities Co., Ltd., Class H......................... 202,000 143,223
Fosun International, Ltd......................................... 2,541,222 3,322,843
# Future Land Development Holdings, Ltd............................ 3,038,000 3,201,494
# Fuyao Glass Industry Group Co., Ltd., Class H.................... 748,800 2,115,807
# * GDS Holdings, Ltd., ADR.......................................... 39,043 1,627,312
Geely Automobile Holdings, Ltd................................... 5,975,000 11,305,962
* GF Securities Co., Ltd., Class H................................. 1,142,800 1,190,199
Great Wall Motor Co., Ltd., Class H.............................. 3,150,000 2,552,291
Guangdong Investment, Ltd........................................ 1,340,000 2,900,157
# Guangshen Railway Co., Ltd., Sponsored ADR....................... 25,401 410,734
# Guangzhou Automobile Group Co., Ltd., Class H.................... 2,175,162 2,172,411
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class H.. 260,000 822,329
# Guangzhou R&F Properties Co., Ltd., Class H...................... 2,051,600 3,178,858
Guotai Junan Securities Co., Ltd., Class H....................... 371,200 567,230
Haier Electronics Group Co., Ltd................................. 1,516,000 4,328,311
Haitian International Holdings, Ltd.............................. 22,000 51,914
Haitong Securities Co., Ltd., Class H............................ 2,362,400 2,411,793
Hengan International Group Co., Ltd.............................. 853,000 5,955,642
Huadian Power International Corp., Ltd., Class H................. 1,738,000 651,243
# Huaneng Power International, Inc., Sponsored ADR................. 33,132 623,213
Huaneng Power International, Inc., Class H....................... 1,082,000 513,923
Huatai Securities Co., Ltd., Class H............................. 1,105,800 1,643,679
# Huazhu Group, Ltd., ADR.......................................... 136,890 5,182,655
Huishang Bank Corp., Ltd., Class H............................... 800,800 311,092
Industrial & Commercial Bank of China, Ltd., Class H............. 37,297,185 26,719,448
* JD.com, Inc., ADR................................................ 221,362 6,895,426
Jiangsu Expressway Co., Ltd., Class H............................ 1,192,000 1,583,629
Jiangxi Copper Co., Ltd., Class H................................ 1,322,000 1,547,703
Kunlun Energy Co., Ltd........................................... 5,892,000 5,483,897
Legend Holdings Corp., Class H................................... 414,700 911,593
Lenovo Group, Ltd................................................ 13,905,278 9,693,964
Li Ning Co., Ltd................................................. 1,697,500 5,755,916
Logan Property Holdings Co., Ltd................................. 2,428,000 3,697,796
Longfor Group Holdings, Ltd...................................... 1,986,000 8,242,195
# Maanshan Iron & Steel Co., Ltd., Class H......................... 1,124,000 425,123
Metallurgical Corp. of China, Ltd., Class H...................... 3,247,000 687,386
Minth Group, Ltd................................................. 68,000 240,528
# Momo, Inc., Sponsored ADR........................................ 172,429 5,779,820
NetEase, Inc., ADR............................................... 51,056 14,594,868
New China Life Insurance Co., Ltd., Class H...................... 705,100 2,736,618
* New Oriental Education & Technology Group, Inc., Sponsored ADR... 40,986 5,002,751
# Nine Dragons Paper Holdings, Ltd................................. 3,293,000 2,856,559
Orient Securities Co., Ltd., Class H............................. 778,800 435,333
People's Insurance Co. Group of China, Ltd. (The), Class H....... 3,240,000 1,364,601
PetroChina Co., Ltd., ADR........................................ 118,623 5,721,187
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
CHINA -- (Continued)
PetroChina Co., Ltd., Class H....................................... 3,964,000 $ 1,933,090
PICC Property & Casualty Co., Ltd., Class H......................... 5,771,198 7,303,557
Ping An Insurance Group Co. of China, Ltd., Class H................. 3,770,000 43,512,512
Postal Savings Bank of China Co., Ltd., Class H..................... 3,044,000 1,951,699
Qingdao Port International Co., Ltd., Class H....................... 57,000 32,688
Red Star Macalline Group Corp., Ltd., Class H....................... 350,809 281,083
# * Semiconductor Manufacturing International Corp...................... 3,782,600 4,804,838
Shandong Weigao Group Medical Polymer Co., Ltd., Class H............ 604,000 693,417
Shanghai Electric Group Co., Ltd., Class H.......................... 2,476,000 757,351
Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H.............. 511,500 1,443,638
Shanghai Pharmaceuticals Holding Co., Ltd., Class H................. 919,700 1,661,822
Shenzhen International Holdings, Ltd................................ 210,009 426,955
Shenzhou International Group Holdings, Ltd.......................... 545,300 7,535,309
Shimao Property Holdings, Ltd....................................... 2,297,871 7,698,058
Sino Biopharmaceutical, Ltd......................................... 7,435,000 11,069,913
Sinopec Engineering Group Co., Ltd., Class H........................ 505,500 288,770
# * Sinopec Oilfield Service Corp., Class H............................. 1,960,000 209,705
Sinopec Shanghai Petrochemical Co., Ltd., Sponsored ADR............. 7,417 202,720
Sinopec Shanghai Petrochemical Co., Ltd., Class H................... 5,113,000 1,412,156
Sinopharm Group Co., Ltd., Class H.................................. 1,449,600 5,191,377
Sinotruk Hong Kong, Ltd............................................. 1,021,000 1,542,800
Sun Art Retail Group, Ltd........................................... 3,156,500 3,220,868
Sunac China Holdings, Ltd........................................... 3,104,000 14,079,085
Sunny Optical Technology Group Co., Ltd............................. 581,700 9,350,176
Tencent Holdings, Ltd............................................... 3,697,300 149,973,259
Tingyi Cayman Islands Holding Corp.................................. 3,436,000 4,570,896
# TravelSky Technology, Ltd., Class H................................. 1,092,000 2,489,165
Trip.com Group Ltd.................................................. 301,237 9,937,809
Tsingtao Brewery Co., Ltd., Class H................................. 320,000 1,854,404
Uni-President China Holdings, Ltd................................... 76,000 78,503
* United Energy Group, Ltd............................................ 5,182,000 1,049,026
# * Vipshop Holdings, Ltd., ADR......................................... 525,284 6,061,777
Want Want China Holdings, Ltd....................................... 6,644,000 5,596,964
# * Weibo Corp., Sponsored ADR.......................................... 72,263 3,554,617
Weichai Power Co., Ltd., Class H.................................... 3,524,800 5,548,102
Xinjiang Goldwind Science & Technology Co., Ltd., Class H........... 788,159 939,964
# Xinyi Solar Holdings, Ltd........................................... 2,710,000 1,531,248
Yanzhou Coal Mining Co., Ltd., Class H.............................. 3,532,000 3,583,470
Yihai International Holding, Ltd.................................... 477,000 3,243,953
Yum China Holdings, Inc............................................. 281,179 11,950,108
* YY, Inc., ADR....................................................... 33,875 1,925,455
Zhejiang Expressway Co., Ltd., Class H.............................. 904,000 740,258
Zhongsheng Group Holdings, Ltd...................................... 1,081,000 3,583,749
Zhuzhou CRRC Times Electric Co., Ltd., Class H...................... 476,700 1,768,827
Zijin Mining Group Co., Ltd., Class H............................... 7,043,000 2,439,622
Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H... 1,258,200 923,640
# * ZTE Corp., Class H.................................................. 319,685 891,887
# ZTO Express Cayman, Inc., ADR....................................... 156,968 3,453,296
--------------
TOTAL CHINA.............................................................. 1,063,674,058
--------------
COLOMBIA -- (0.4%)
Banco de Bogota SA.................................................. 51,765 1,332,719
Bancolombia SA, Sponsored ADR....................................... 105,078 5,451,447
Bancolombia SA...................................................... 227,945 2,771,757
Cementos Argos SA................................................... 306,742 692,438
# Ecopetrol SA, Sponsored ADR......................................... 103,177 1,882,980
Ecopetrol SA........................................................ 3,327,922 2,993,161
Grupo Argos SA...................................................... 397,985 2,154,771
Grupo Aval Acciones y Valores SA, ADR............................... 81,855 667,118
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
COLOMBIA -- (Continued)
Grupo de Inversiones Suramericana SA............................. 276,874 $ 2,801,506
* Grupo Energia Bogota SA ESP...................................... 904,734 582,188
Grupo Nutresa SA................................................. 173,509 1,316,204
Interconexion Electrica SA ESP................................... 489,262 2,822,666
-----------
TOTAL COLOMBIA....................................................... 25,468,955
-----------
CZECH REPUBLIC -- (0.1%)
CEZ A.S.......................................................... 217,847 4,969,185
Komercni banka A.S............................................... 57,958 1,958,803
O2 Czech Republic A.S............................................ 70,083 661,142
-----------
TOTAL CZECH REPUBLIC................................................. 7,589,130
-----------
EGYPT -- (0.1%)
# Commercial International Bank Egypt S.A.E., GDR.................. 1,751,028 8,649,499
Commercial International Bank Egypt S.A.E., GDR.................. 37,452 185,013
Egyptian Financial Group-Hermes Holding Co., GDR................. 34,725 79,867
Egyptian Financial Group-Hermes Holding Co., GDR................. 17,482 40,207
-----------
TOTAL EGYPT.......................................................... 8,954,586
-----------
GREECE -- (0.4%)
* Alpha Bank AE.................................................... 743,230 1,585,895
* Eurobank Ergasias SA............................................. 1,589,411 1,611,235
* FF Group......................................................... 12,618 28,643
Hellenic Petroleum SA............................................ 102,242 971,865
Hellenic Telecommunications Organization SA...................... 340,319 5,161,411
JUMBO SA......................................................... 168,373 3,280,310
Motor Oil Hellas Corinth Refineries SA........................... 96,253 2,380,548
Mytilineos SA.................................................... 88,879 974,054
* National Bank of Greece SA....................................... 424,423 1,439,386
OPAP SA.......................................................... 294,440 3,202,153
* Piraeus Bank SA.................................................. 11,341 39,555
Terna Energy SA.................................................. 78,450 639,633
* Titan Cement International SA.................................... 61,385 1,294,067
-----------
TOTAL GREECE......................................................... 22,608,755
-----------
HUNGARY -- (0.5%)
MOL Hungarian Oil & Gas P.L.C.................................... 1,279,647 12,654,752
OTP Bank P.L.C................................................... 262,272 12,095,181
Richter Gedeon Nyrt.............................................. 181,838 3,370,800
-----------
TOTAL HUNGARY........................................................ 28,120,733
-----------
INDIA -- (13.2%)
* 3M India, Ltd.................................................... 1,931 612,986
* 5Paisa Capital, Ltd.............................................. 8,097 19,157
ABB India, Ltd................................................... 42,536 868,454
ACC, Ltd......................................................... 89,253 1,978,135
Adani Gas, Ltd................................................... 274,364 567,807
* Adani Green Energy, Ltd.......................................... 208,791 263,169
Adani Ports & Special Economic Zone, Ltd......................... 1,042,109 5,808,538
* Adani Power, Ltd................................................. 1,288,677 1,197,126
* Adani Transmissions, Ltd......................................... 358,918 1,394,922
* Aditya Birla Capital, Ltd........................................ 952,698 1,102,925
* Aditya Birla Fashion and Retail, Ltd............................. 281,439 844,554
AIA Engineering, Ltd............................................. 17,408 421,466
Ambuja Cements, Ltd.............................................. 906,197 2,591,135
Apollo Hospitals Enterprise, Ltd................................. 98,257 2,058,962
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Ashok Leyland, Ltd............................................... 3,332,094 $ 3,603,768
Asian Paints, Ltd................................................ 448,324 11,424,248
Astral Polytechnik, Ltd.......................................... 11,063 173,882
Aurobindo Pharma, Ltd............................................ 652,018 4,318,435
* Avenue Supermarts, Ltd........................................... 47,872 1,343,931
Axis Bank, Ltd................................................... 1,278,234 13,167,528
Bajaj Auto, Ltd.................................................. 138,030 6,304,909
Bajaj Finance, Ltd............................................... 249,497 14,153,534
Bajaj Finserv, Ltd............................................... 46,272 5,300,414
Bajaj Holdings & Investment, Ltd................................. 65,332 3,358,437
Balkrishna Industries, Ltd....................................... 140,951 1,757,492
Bandhan Bank, Ltd................................................ 141,728 1,223,055
* Bank of Baroda................................................... 1,133,342 1,551,835
Bata India, Ltd.................................................. 32,925 837,271
Bayer CropScience, Ltd........................................... 3,410 174,458
Berger Paints India, Ltd......................................... 372,075 2,718,247
Bharat Electronics, Ltd.......................................... 1,847,465 3,073,865
Bharat Forge, Ltd................................................ 405,941 2,580,274
Bharat Heavy Electricals, Ltd.................................... 1,489,332 1,187,992
Bharat Petroleum Corp., Ltd...................................... 775,412 5,732,358
Bharti Airtel, Ltd............................................... 2,578,179 13,556,390
Bharti Infratel, Ltd............................................. 472,935 1,265,632
Biocon, Ltd...................................................... 298,370 1,030,887
Bosch, Ltd....................................................... 8,773 1,886,347
Britannia Industries, Ltd........................................ 63,182 2,914,933
Cadila Healthcare, Ltd........................................... 502,353 1,780,612
Castrol India, Ltd............................................... 521,631 1,110,459
Cholamandalam Investment and Finance Co., Ltd.................... 569,821 2,447,315
Cipla, Ltd....................................................... 555,658 3,695,899
City Union Bank, Ltd............................................. 112,069 334,909
Coal India, Ltd.................................................. 745,896 2,186,340
Colgate-Palmolive India, Ltd..................................... 118,327 2,582,284
Container Corp. Of India, Ltd.................................... 312,698 2,589,758
Coromandel International, Ltd.................................... 5,122 34,379
Crompton Greaves Consumer Electricals, Ltd....................... 9,816 35,260
Cummins India, Ltd............................................... 97,690 746,836
Dabur India, Ltd................................................. 716,101 4,659,408
* Dewan Housing Finance Corp., Ltd................................. 360,475 88,320
Divi's Laboratories, Ltd......................................... 107,580 2,650,567
DLF, Ltd......................................................... 859,072 2,221,745
Dr Reddy's Laboratories, Ltd., ADR............................... 153,127 5,994,922
Dr Reddy's Laboratories, Ltd..................................... 71,015 2,792,976
Edelweiss Financial Services, Ltd................................ 879,818 1,143,126
Eicher Motors, Ltd............................................... 20,610 6,561,016
Emami, Ltd....................................................... 182,619 841,505
Endurance Technologies, Ltd...................................... 16,026 247,109
Exide Industries, Ltd............................................ 403,542 1,094,745
Federal Bank, Ltd................................................ 2,661,927 3,142,334
* Future Retail, Ltd............................................... 179,554 963,139
GAIL India, Ltd.................................................. 2,255,765 4,383,432
GAIL India, Ltd., GDR............................................ 102,368 1,180,100
General Insurance Corp. of India................................. 10,633 46,707
Gillette India, Ltd.............................................. 1,999 226,383
GlaxoSmithKline Consumer Healthcare, Ltd......................... 13,803 1,796,102
GlaxoSmithKline Pharmaceuticals, Ltd............................. 30,018 705,648
Glenmark Pharmaceuticals, Ltd.................................... 209,511 932,536
Godrej Consumer Products, Ltd.................................... 473,915 4,932,037
Godrej Industries, Ltd........................................... 102,233 598,149
* Godrej Properties, Ltd........................................... 34,346 482,033
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
INDIA -- (Continued)
Graphite India, Ltd.............................................. 47,786 $ 192,077
Grasim Industries, Ltd........................................... 389,869 4,230,723
Havells India, Ltd............................................... 262,162 2,549,695
HCL Technologies, Ltd............................................ 842,668 13,737,124
HDFC Bank Ltd.................................................... 2,767,968 47,944,947
HDFC Life Insurance Co., Ltd..................................... 234,226 2,063,954
* Hemisphere Properties India, Ltd................................. 109,030 256,401
Hero MotoCorp, Ltd............................................... 91,372 3,486,852
Hindalco Industries, Ltd......................................... 2,362,100 6,229,207
Hindustan Petroleum Corp., Ltd................................... 726,814 3,300,546
Hindustan Unilever, Ltd.......................................... 959,377 29,474,730
Honeywell Automation India, Ltd.................................. 750 296,037
Housing Development Finance Corp., Ltd........................... 1,218,361 36,652,982
ICICI Bank, Ltd., Sponsored ADR.................................. 938,097 12,223,397
ICICI Lombard General Insurance Co., Ltd......................... 50,721 955,315
ICICI Prudential Life Insurance Co., Ltd......................... 237,801 1,707,053
* IDFC First Bank, Ltd............................................. 2,686,862 1,689,233
IIFL Finance, Ltd................................................ 120,008 194,543
* IIFL Securities, Ltd............................................. 120,008 49,490
IIFL Wealth Management, Ltd...................................... 17,144 320,746
Indiabulls Housing Finance, Ltd.................................. 888,168 2,561,697
Indiabulls Ventures, Ltd......................................... 103,518 146,521
Indian Hotels Co., Ltd. (The).................................... 182,164 392,490
Indian Oil Corp., Ltd............................................ 1,482,131 3,003,002
Indraprastha Gas, Ltd............................................ 274,014 1,518,738
IndusInd Bank, Ltd............................................... 173,449 3,208,474
Info Edge India, Ltd............................................. 42,448 1,525,332
Infosys, Ltd., Sponsored ADR..................................... 1,695,776 16,262,492
Infosys, Ltd..................................................... 3,610,458 34,788,558
InterGlobe Aviation, Ltd......................................... 62,008 1,270,110
ITC, Ltd......................................................... 4,651,620 16,917,657
* Jindal Steel & Power, Ltd........................................ 718,573 1,170,024
JSW Steel, Ltd................................................... 2,677,650 8,580,456
Jubilant Foodworks, Ltd.......................................... 128,080 2,876,986
Kansai Nerolac Paints, Ltd....................................... 135,798 1,072,801
Kotak Mahindra Bank, Ltd......................................... 538,866 11,896,834
L&T Finance Holdings, Ltd........................................ 1,403,145 1,889,565
Larsen & Toubro Infotech, Ltd.................................... 77,400 1,872,968
Larsen & Toubro, Ltd............................................. 417,782 8,673,750
LIC Housing Finance, Ltd......................................... 915,481 5,351,005
Lupin, Ltd....................................................... 520,813 5,463,851
Mahindra & Mahindra Financial Services, Ltd...................... 687,295 3,435,991
Mahindra & Mahindra, Ltd......................................... 1,128,701 9,632,530
Marico, Ltd...................................................... 738,680 3,811,222
Maruti Suzuki India, Ltd......................................... 138,331 14,739,086
Mindtree, Ltd.................................................... 30,554 306,816
Motherson Sumi Systems, Ltd...................................... 1,767,890 3,077,721
Mphasis, Ltd..................................................... 172,487 2,306,537
MRF, Ltd......................................................... 2,969 2,749,273
Muthoot Finance, Ltd............................................. 360,148 3,573,327
Nestle India, Ltd................................................ 35,878 7,557,878
NHPC, Ltd........................................................ 3,026,547 1,004,257
NTPC, Ltd........................................................ 1,621,967 2,798,147
Oberoi Realty, Ltd............................................... 85,041 604,925
* Odisha Cement, Ltd............................................... 78,770 898,674
Oil & Natural Gas Corp., Ltd..................................... 1,347,023 2,686,579
Oil India, Ltd................................................... 356,798 864,596
* Oracle Financial Services Software, Ltd.......................... 36,943 1,639,798
Page Industries, Ltd............................................. 6,750 2,466,155
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDIA -- (Continued)
Petronet LNG, Ltd................................................ 1,989,103 $ 8,015,198
Pfizer, Ltd...................................................... 2,325 133,407
PI Industries, Ltd............................................... 3,550 71,174
Pidilite Industries, Ltd......................................... 195,176 3,864,737
Piramal Enterprises, Ltd......................................... 139,734 3,312,054
PNB Housing Finance, Ltd......................................... 26,993 203,584
* Power Finance Corp., Ltd......................................... 1,664,471 2,557,105
Power Grid Corp. of India, Ltd................................... 1,910,627 5,345,584
Procter & Gamble Hygiene & Health Care, Ltd...................... 11,021 1,898,425
* Punjab National Bank............................................. 1,362,458 1,251,828
Rajesh Exports, Ltd.............................................. 161,667 1,540,371
Ramco Cements, Ltd. (The)........................................ 106,172 1,173,130
RBL Bank, Ltd.................................................... 362,712 1,580,150
REC, Ltd......................................................... 2,124,950 4,180,298
Reliance Industries, Ltd., GDR................................... 3,374 138,370
Reliance Industries, Ltd......................................... 3,145,620 64,868,528
Sanofi India, Ltd................................................ 529 50,222
SBI Life Insurance Co., Ltd...................................... 73,656 1,030,256
Shree Cement, Ltd................................................ 10,928 3,078,378
Shriram Transport Finance Co., Ltd............................... 437,608 7,022,946
Siemens, Ltd..................................................... 70,252 1,652,096
SRF, Ltd......................................................... 10,220 417,385
* State Bank of India.............................................. 1,330,384 5,852,741
Steel Authority of India, Ltd.................................... 1,037,967 537,606
Sun Pharmaceutical Industries, Ltd............................... 943,956 5,783,656
Sun TV Network, Ltd.............................................. 164,006 1,218,258
Sundaram Finance Holdings, Ltd................................... 27,690 26,943
Sundaram Finance, Ltd............................................ 47,405 1,070,686
Supreme Industries, Ltd.......................................... 3,625 59,422
Tata Chemicals, Ltd.............................................. 103,755 920,430
Tata Communications, Ltd......................................... 109,030 541,932
Tata Consultancy Services, Ltd................................... 1,281,838 41,123,575
Tata Global Beverages, Ltd....................................... 335,765 1,499,434
# * Tata Motors, Ltd., Sponsored ADR................................. 41,094 496,416
* Tata Motors, Ltd................................................. 4,307,173 10,656,444
Tata Power Co., Ltd. (The)....................................... 1,609,942 1,345,854
Tata Steel, Ltd.................................................. 1,004,275 5,369,481
Tech Mahindra, Ltd............................................... 939,022 9,777,751
Titan Co., Ltd................................................... 364,783 6,846,880
Torrent Pharmaceuticals, Ltd..................................... 106,907 2,677,805
UltraTech Cement, Ltd............................................ 84,071 4,909,930
United Breweries, Ltd............................................ 97,945 1,762,012
* United Spirits, Ltd.............................................. 364,742 3,228,135
UPL, Ltd......................................................... 1,192,254 10,052,139
Varun Beverages, Ltd............................................. 4,274 37,227
Vedanta, Ltd..................................................... 4,103,469 8,573,127
* Vodafone Idea, Ltd............................................... 12,908,562 698,855
Voltas, Ltd...................................................... 145,520 1,444,367
Whirlpool of India, Ltd.......................................... 23,593 736,019
Wipro, Ltd....................................................... 1,581,554 5,805,013
Yes Bank, Ltd.................................................... 3,630,287 3,589,974
Zee Entertainment Enterprises, Ltd............................... 1,232,655 4,521,658
------------
TOTAL INDIA.......................................................... 806,298,419
------------
INDONESIA -- (2.7%)
Ace Hardware Indonesia Tbk PT.................................... 11,832,300 1,424,053
Adaro Energy Tbk PT.............................................. 56,601,000 5,277,105
Aneka Tambang Tbk................................................ 17,868,700 1,131,739
Astra Agro Lestari Tbk PT........................................ 1,255,245 1,022,395
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
INDONESIA -- (Continued)
Astra International Tbk PT......................................... 22,239,310 $ 10,999,577
Bank Central Asia Tbk PT........................................... 8,457,600 18,930,876
Bank Danamon Indonesia Tbk PT...................................... 4,749,479 1,420,734
Bank Mandiri Persero Tbk PT........................................ 15,448,034 7,721,994
Bank Negara Indonesia Persero Tbk PT............................... 13,179,322 7,194,360
* Bank Pan Indonesia Tbk PT.......................................... 3,721,000 356,164
* Bank Permata Tbk PT................................................ 7,825,200 743,907
Bank Rakyat Indonesia Persero Tbk PT............................... 63,168,800 18,927,597
Bank Tabungan Negara Persero Tbk PT................................ 9,133,700 1,208,870
Barito Pacific Tbk PT.............................................. 61,598,500 4,168,751
Bayan Resources Tbk PT............................................. 79,500 77,969
Bukit Asam Tbk PT.................................................. 10,313,700 1,651,495
* Bumi Serpong Damai Tbk PT.......................................... 15,017,500 1,512,245
Charoen Pokphand Indonesia Tbk PT.................................. 11,695,400 5,245,142
Ciputra Development Tbk PT......................................... 4,428,800 349,898
Gudang Garam Tbk PT................................................ 1,002,000 4,001,706
Indah Kiat Pulp & Paper Corp. Tbk PT............................... 8,689,000 4,497,921
Indocement Tunggal Prakarsa Tbk PT................................. 1,443,900 2,057,080
Indofood CBP Sukses Makmur Tbk PT.................................. 3,456,800 2,861,979
Indofood Sukses Makmur Tbk PT...................................... 13,548,600 7,424,678
Japfa Comfeed Indonesia Tbk PT..................................... 525,300 64,348
Jasa Marga Persero Tbk PT.......................................... 3,871,113 1,502,099
Kalbe Farma Tbk PT................................................. 29,646,700 3,366,638
Mayora Indah Tbk PT................................................ 12,659,525 1,927,987
Media Nusantara Citra Tbk PT....................................... 3,313,700 310,279
Mitra Keluarga Karyasehat Tbk PT................................... 3,840,200 710,990
Pabrik Kertas Tjiwi Kimia Tbk PT................................... 914,500 688,385
Pakuwon Jati Tbk PT................................................ 33,683,900 1,499,035
Perusahaan Gas Negara Tbk PT....................................... 14,270,600 2,141,575
Sarana Menara Nusantara Tbk PT..................................... 38,313,400 1,798,890
Semen Indonesia Persero Tbk PT..................................... 4,149,000 3,741,923
Sinar Mas Agro Resources & Technology Tbk PT....................... 1,035,700 283,565
* Smartfren Telecom Tbk PT........................................... 46,920,100 497,593
Surya Citra Media Tbk PT........................................... 8,191,700 711,663
Telekomunikasi Indonesia Persero Tbk PT............................ 37,216,900 10,860,667
# Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR............. 196,768 5,682,660
* Totalindo Eka Persada Tbk PT....................................... 722,000 30,066
Tower Bersama Infrastructure Tbk PT................................ 2,356,000 1,061,440
Unilever Indonesia Tbk PT.......................................... 2,015,700 6,276,257
United Tractors Tbk PT............................................. 4,737,496 7,312,465
* Vale Indonesia Tbk PT.............................................. 4,774,500 1,260,627
Waskita Karya Persero Tbk PT....................................... 11,872,279 1,314,673
* XL Axiata Tbk PT................................................... 13,224,900 3,336,356
------------
TOTAL INDONESIA........................................................ 166,588,416
------------
MALAYSIA -- (2.6%)
AFFIN Bank Bhd..................................................... 156,890 72,796
AirAsia Group Bhd.................................................. 6,063,200 2,768,239
Alliance Bank Malaysia Bhd......................................... 588,800 405,210
AMMB Holdings Bhd.................................................. 3,703,359 3,532,502
Astro Malaysia Holdings Bhd........................................ 2,812,500 908,912
Axiata Group Bhd................................................... 3,987,343 4,098,438
Batu Kawan Bhd..................................................... 105,400 393,375
BIMB Holdings Bhd.................................................. 1,193,855 1,213,884
Boustead Holdings Bhd.............................................. 221,300 52,900
British American Tobacco Malaysia Bhd.............................. 198,100 891,838
Carlsberg Brewery Malaysia Bhd, Class B............................ 101,300 672,392
CIMB Group Holdings Bhd............................................ 4,938,173 6,197,509
Dialog Group Bhd................................................... 1,629,918 1,356,243
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MALAYSIA -- (Continued)
DiGi.Com Bhd....................................................... 5,082,520 $ 5,707,922
Fraser & Neave Holdings Bhd........................................ 213,400 1,764,778
Gamuda Bhd......................................................... 3,172,400 2,836,744
Genting Bhd........................................................ 3,593,900 4,992,325
Genting Malaysia Bhd............................................... 4,360,000 3,344,065
Genting Plantations Bhd............................................ 415,400 984,565
HAP Seng Consolidated Bhd.......................................... 973,700 2,325,329
Hartalega Holdings Bhd............................................. 2,213,600 2,784,709
Heineken Malaysia Bhd.............................................. 84,600 516,784
Hong Leong Bank Bhd................................................ 473,166 1,948,296
Hong Leong Financial Group Bhd..................................... 575,883 2,400,012
IHH Healthcare Bhd................................................. 1,387,400 1,890,870
IJM Corp. Bhd...................................................... 5,975,162 3,072,090
Inari Amertron Bhd................................................. 3,079,300 1,447,502
# IOI Corp. Bhd...................................................... 1,524,905 1,591,565
IOI Properties Group Bhd........................................... 2,847,529 707,795
Kuala Lumpur Kepong Bhd............................................ 416,900 2,161,566
Lotte Chemical Titan Holding Bhd................................... 162,100 96,125
Malayan Banking Bhd................................................ 4,863,338 10,001,124
Malaysia Airports Holdings Bhd..................................... 2,790,541 5,281,643
# Malaysia Building Society Bhd...................................... 3,639,160 761,456
Maxis Bhd.......................................................... 2,881,400 3,710,192
MISC Bhd........................................................... 1,396,698 2,781,940
Nestle Malaysia Bhd................................................ 44,500 1,540,053
Petronas Chemicals Group Bhd....................................... 3,389,400 6,055,551
Petronas Dagangan Bhd.............................................. 307,800 1,734,518
Petronas Gas Bhd................................................... 792,400 3,156,346
PPB Group Bhd...................................................... 925,080 4,001,978
Press Metal Aluminium Holdings Bhd................................. 1,919,800 2,184,324
Public Bank Bhd.................................................... 3,656,014 17,743,930
QL Resources Bhd................................................... 1,068,790 1,858,625
RHB Bank Bhd....................................................... 2,413,105 3,319,465
Serba Dinamik Holdings Bhd......................................... 1,168,300 1,164,932
Sime Darby Bhd..................................................... 6,338,861 3,436,998
# Sime Darby Plantation Bhd.......................................... 2,911,661 3,414,535
# Sime Darby Property Bhd............................................ 3,479,461 603,315
SP Setia Bhd Group................................................. 1,538,111 444,897
Sunway Bhd......................................................... 3,657,082 1,486,587
Telekom Malaysia Bhd............................................... 1,604,564 1,441,921
Tenaga Nasional Bhd................................................ 3,718,850 12,315,884
Top Glove Corp. Bhd................................................ 2,847,100 2,962,025
UMW Holdings Bhd................................................... 775,266 821,442
United Plantations Bhd............................................. 36,600 218,573
Westports Holdings Bhd............................................. 1,666,900 1,705,231
Yinson Holdings Bhd................................................ 466,300 770,154
YTL Corp. Bhd...................................................... 13,265,999 2,758,458
# YTL Power International Bhd........................................ 2,843,597 466,344
------------
TOTAL MALAYSIA......................................................... 161,279,721
------------
MEXICO -- (3.6%)
Alfa S.A.B. de C.V., Class A....................................... 11,293,476 9,827,816
# America Movil S.A.B. de C.V........................................ 48,207,854 38,167,318
America Movil S.A.B. de C.V., Sponsored ADR, Class L............... 109,448 1,730,373
Arca Continental S.A.B. de C.V..................................... 692,024 3,867,981
# Becle S.A.B. de C.V................................................ 932,836 1,606,574
# Cemex S.A.B. de C.V................................................ 24,758,419 9,305,402
Coca-Cola Femsa S.A.B. de C.V., Sponsored ADR...................... 29,997 1,649,235
# Coca-Cola Femsa S.A.B. de C.V...................................... 390,519 2,148,651
El Puerto de Liverpool S.A.B. de C.V............................... 334,218 1,702,841
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
MEXICO -- (Continued)
Fomento Economico Mexicano S.A.B. de C.V........................... 1,232,252 $ 10,953,280
Gruma S.A.B. de C.V., Class B...................................... 573,607 6,002,202
Grupo Aeroportuario del Pacifico S.A.B. de C.V., ADR............... 13,641 1,425,621
Grupo Aeroportuario del Pacifico S.A.B. de C.V., Class B........... 533,221 5,589,029
Grupo Aeroportuario del Sureste S.A.B. de C.V., ADR................ 32,374 5,301,243
# Grupo Bimbo S.A.B. de C.V., Class A................................ 3,048,353 5,688,970
# Grupo Carso S.A.B. de C.V.......................................... 793,269 2,647,460
Grupo Elektra S.A.B. de C.V........................................ 93,302 6,778,236
Grupo Financiero Banorte S.A.B. de C.V............................. 5,267,183 28,799,538
Grupo Financiero Inbursa S.A.B. de C.V............................. 3,950,124 4,913,912
# Grupo Lala S.A.B. de C.V........................................... 604,703 595,068
Grupo Mexico S.A.B. de C.V., Class B............................... 5,062,536 13,366,579
* Grupo Qumma S.A. de C.V., Class B.................................. 1,591 0
Grupo Televisa S.A.B., Sponsored ADR............................... 202,737 2,240,244
# Grupo Televisa S.A.B............................................... 3,760,780 8,310,803
# * Impulsora del Desarrollo y el Empleo en America Latina S.A.B. de
C.V.............................................................. 2,300,948 2,584,851
# Industrias Penoles S.A.B. de C.V................................... 374,851 4,464,345
* Infraestructura Energetica Nova S.A.B. de C.V...................... 466,917 2,063,158
Kimberly-Clark de Mexico S.A.B. de C.V., Class A................... 2,758,212 5,541,803
Megacable Holdings S.A.B. de C.V................................... 250,780 1,029,506
# Orbia Advance Corp. S.A.B. de C.V.................................. 3,426,482 7,417,083
Organizacion Soriana S.A.B. de C.V., Class B....................... 967,645 1,245,491
Promotora y Operadora de Infraestructura S.A.B. de C.V............. 333,142 3,079,700
# Wal-Mart de Mexico S.A.B. de C.V................................... 7,198,435 21,573,040
------------
TOTAL MEXICO............................................................ 221,617,353
------------
NETHERLANDS -- (0.1%)
* Prosus N.V......................................................... 49,677 3,425,675
------------
PERU -- (0.3%)
Cementos Pacasmayo SAA, ADR........................................ 15,158 147,718
Cia de Minas Buenaventura SAA, ADR................................. 125,122 1,919,371
Credicorp, Ltd..................................................... 70,995 15,195,770
Grana y Montero SAA, Sponsored ADR................................. 108,988 268,110
------------
TOTAL PERU.............................................................. 17,530,969
------------
PHILIPPINES -- (1.4%)
Aboitiz Equity Ventures, Inc....................................... 2,238,260 2,463,738
Aboitiz Power Corp................................................. 1,962,800 1,545,020
Alliance Global Group, Inc......................................... 9,328,900 2,108,063
* Altus San Nicolas Corp............................................. 61,317 6,259
Ayala Corp......................................................... 239,962 4,062,856
Ayala Land, Inc.................................................... 9,812,818 9,377,403
Bank of the Philippine Islands..................................... 1,250,932 2,389,881
BDO Unibank, Inc................................................... 1,553,962 4,740,370
Bloomberry Resorts Corp............................................ 1,686,400 331,815
DMCI Holdings, Inc................................................. 12,875,600 2,080,206
* Emperador, Inc..................................................... 1,850,900 255,313
Globe Telecom, Inc................................................. 67,895 2,440,457
GT Capital Holdings, Inc........................................... 169,516 2,983,868
International Container Terminal Services, Inc..................... 2,021,610 4,726,067
JG Summit Holdings, Inc............................................ 3,764,670 5,650,511
Jollibee Foods Corp................................................ 639,740 2,923,191
LT Group, Inc...................................................... 4,703,300 1,236,392
Manila Electric Co................................................. 295,630 1,971,662
Megaworld Corp..................................................... 27,020,000 2,570,130
Metro Pacific Investments Corp..................................... 20,451,700 1,932,267
Metropolitan Bank & Trust Co....................................... 2,128,588 2,833,599
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
PHILIPPINES -- (Continued)
PLDT, Inc., Sponsored ADR.......................................... 121,988 $ 2,545,890
PLDT, Inc.......................................................... 120,010 2,582,553
Puregold Price Club, Inc........................................... 2,108,900 1,696,292
Robinsons Land Corp................................................ 3,184,682 1,596,093
Robinsons Retail Holdings, Inc..................................... 541,860 810,138
San Miguel Corp.................................................... 1,462,960 4,815,479
San Miguel Food and Beverage, Inc.................................. 48,780 88,471
Security Bank Corp................................................. 429,970 1,687,021
Semirara Mining & Power Corp....................................... 144,900 66,672
SM Investments Corp................................................ 189,763 3,846,955
SM Prime Holdings, Inc............................................. 7,772,210 5,967,575
* Top Frontier Investment Holdings, Inc.............................. 23,189 105,298
Universal Robina Corp.............................................. 1,309,160 3,889,276
-----------
TOTAL PHILIPPINES....................................................... 88,326,781
-----------
POLAND -- (1.4%)
* Alior Bank SA...................................................... 227,085 1,604,352
* AmRest Holdings SE................................................. 60,781 752,576
Bank Handlowy w Warszawie SA....................................... 53,319 711,907
* Bank Millennium SA................................................. 1,416,084 2,279,602
Bank Polska Kasa Opieki SA......................................... 102,625 2,898,203
# CCC SA............................................................. 41,478 1,211,768
CD Projekt SA...................................................... 47,312 3,123,240
Cyfrowy Polsat SA.................................................. 496,240 3,599,458
* Dino Polska SA..................................................... 82,960 3,232,949
* Grupa Azoty SA..................................................... 26,707 245,426
Grupa Lotos SA..................................................... 316,053 7,892,813
ING Bank Slaski SA................................................. 38,424 1,950,827
* KGHM Polska Miedz SA............................................... 384,416 8,427,796
LPP SA............................................................. 2,033 4,342,816
# * mBank SA........................................................... 30,837 3,083,127
* Orange Polska SA................................................... 864,174 1,415,962
* PGE Polska Grupa Energetyczna SA................................... 1,516,559 3,251,743
Polski Koncern Naftowy Orlen S.A................................... 565,808 15,470,940
Polskie Gornictwo Naftowe i Gazownictwo SA......................... 1,283,848 1,581,722
Powszechna Kasa Oszczednosci Bank Polski SA........................ 684,957 6,839,222
Powszechny Zaklad Ubezpieczen SA................................... 808,411 7,823,071
Santander Bank Polska SA........................................... 33,813 2,773,758
-----------
TOTAL POLAND............................................................ 84,513,278
-----------
RUSSIA -- (2.1%)
Gazprom PJSC, Sponsored ADR........................................ 2,221,918 17,812,774
Gazprom PJSC, Sponsored ADR........................................ 42,939 344,049
Lukoil PJSC, Sponsored ADR......................................... 240,181 22,133,405
Magnitogorsk Iron & Steel Works PJSC, GDR.......................... 199,210 1,461,817
* Mail.Ru Group, Ltd., GDR........................................... 52,592 1,117,054
MMC Norilsk Nickel PJSC, ADR....................................... 36,191 1,003,757
MMC Norilsk Nickel PJSC, ADR....................................... 406,377 11,274,147
Mobile TeleSystems PJSC, Sponsored ADR............................. 427,008 3,821,722
Novatek PJSC, GDR.................................................. 30,449 6,532,337
Novolipetsk Steel PJSC, GDR........................................ 111,869 2,192,755
Novolipetsk Steel PJSC, GDR........................................ 13,308 260,304
PhosAgro PJSC, GDR................................................. 83,207 1,047,943
PhosAgro PJSC, GDR................................................. 2,148 27,022
Polyus PJSC, GDR................................................... 1,468 86,611
POLYUS PJSC........................................................ 17,913 1,054,180
Rosneft Oil Co. PJSC, GDR.......................................... 71,061 470,566
Rosneft Oil Co. PJSC, GDR.......................................... 700,727 4,656,933
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
RUSSIA -- (Continued)
Rostelecom PJSC, Sponsored ADR..................................... 17,296 $ 127,385
Rostelecom PJSC, Sponsored ADR..................................... 78,867 572,440
RusHydro PJSC, ADR................................................. 12,131 9,341
RusHydro PJSC, ADR................................................. 1,183,182 887,088
Sberbank of Russia PJSC, Sponsored ADR............................. 1,512,183 22,268,858
Severstal PJSC, GDR................................................ 191,829 2,622,014
Severstal PJSC, GDR................................................ 11,227 153,361
Tatneft PJSC, Sponsored ADR........................................ 137,960 9,674,158
Tatneft PJSC, Sponsored ADR........................................ 80,484 5,612,552
VEON, Ltd.......................................................... 361,489 867,574
VTB Bank PJSC, GDR................................................. 1,358,280 1,805,354
VTB Bank PJSC, GDR................................................. 1,442,703 1,917,352
X5 Retail Group NV, GDR............................................ 114,794 3,841,007
------------
TOTAL RUSSIA............................................................ 125,655,860
------------
SOUTH AFRICA -- (6.6%)
Absa Group, Ltd.................................................... 2,048,444 21,009,003
Anglo American Platinum, Ltd....................................... 87,998 6,572,513
AngloGold Ashanti, Ltd............................................. 7,142 157,969
AngloGold Ashanti, Ltd., Sponsored ADR............................. 1,511,371 33,371,072
* Aspen Pharmacare Holdings, Ltd..................................... 574,874 4,013,135
Assore, Ltd........................................................ 47,921 807,160
AVI, Ltd........................................................... 87,426 501,987
Bid Corp., Ltd..................................................... 557,382 13,003,280
Bidvest Group, Ltd. (The).......................................... 983,621 13,427,252
# Capitec Bank Holdings, Ltd......................................... 75,595 6,871,578
Clicks Group, Ltd.................................................. 444,655 7,228,259
Discovery, Ltd..................................................... 778,483 6,197,159
Exxaro Resources, Ltd.............................................. 744,658 6,088,007
FirstRand, Ltd..................................................... 4,821,116 20,841,591
Foschini Group, Ltd. (The)......................................... 615,580 7,099,390
Gold Fields, Ltd................................................... 61,553 382,268
Gold Fields, Ltd., Sponsored ADR................................... 3,517,277 21,736,772
* Impala Platinum Holdings, Ltd...................................... 1,257,286 8,656,370
Investec, Ltd...................................................... 738,692 4,197,329
Kumba Iron Ore, Ltd................................................ 164,394 4,005,624
Liberty Holdings, Ltd.............................................. 170,283 1,311,421
Life Healthcare Group Holdings, Ltd................................ 2,954,770 4,666,439
Momentum Metropolitan Holdings..................................... 46,831 62,541
Mr. Price Group, Ltd............................................... 439,100 4,642,969
# MTN Group, Ltd..................................................... 4,153,006 25,705,368
* MultiChoice Group, Ltd............................................. 660,191 5,498,349
Naspers, Ltd., Class N............................................. 269,196 38,093,520
Nedbank Group, Ltd................................................. 878,815 13,331,877
NEPI Rockcastle P.L.C.............................................. 431,671 3,759,114
* Northam Platinum, Ltd.............................................. 364,883 2,463,905
Old Mutual, Ltd.................................................... 6,793,519 8,834,527
PSG Group, Ltd..................................................... 301,924 4,721,215
# Sanlam, Ltd........................................................ 2,683,932 14,125,109
# Sasol, Ltd., Sponsored ADR......................................... 742,393 13,437,313
# Shoprite Holdings, Ltd............................................. 824,913 7,391,620
* Sibanye Gold, Ltd.................................................. 3,938,565 7,604,165
* Sibanye Gold, Ltd., Sponsored ADR.................................. 395,460 3,025,269
SPAR Group, Ltd. (The)............................................. 287,889 3,873,323
Standard Bank Group, Ltd........................................... 2,064,368 23,699,452
# * Steinhoff International Holdings NV................................ 3,896,458 252,864
Telkom SA SOC, Ltd................................................. 998,545 4,564,797
Tiger Brands, Ltd.................................................. 444,130 6,306,561
Vodacom Group, Ltd................................................. 888,759 7,764,485
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH AFRICA -- (Continued)
Woolworths Holdings, Ltd........................................... 2,502,184 $ 9,513,129
------------
TOTAL SOUTH AFRICA...................................................... 400,817,050
------------
SOUTH KOREA -- (14.8%)
# Amorepacific Corp.................................................. 27,561 4,534,144
AMOREPACIFIC Group................................................. 17,552 1,272,041
BGF retail Co., Ltd................................................ 8,265 1,265,850
BNK Financial Group, Inc........................................... 525,177 3,136,554
# * Celltrion Pharm, Inc............................................... 11,585 396,955
# * Celltrion, Inc..................................................... 79,315 13,574,758
Cheil Worldwide, Inc............................................... 108,287 2,301,694
CJ CheilJedang Corp................................................ 19,918 3,914,849
CJ Corp............................................................ 49,649 3,509,332
CJ ENM Co., Ltd.................................................... 23,451 3,318,980
# * CJ Logistics Corp.................................................. 15,593 2,110,294
Com2uSCorp......................................................... 11,105 936,249
Cuckoo Holdings Co., Ltd........................................... 480 42,666
Daelim Industrial Co., Ltd......................................... 64,004 4,974,997
* Daewoo Engineering & Construction Co., Ltd......................... 410,336 1,530,153
* Daewoo Shipbuilding & Marine Engineering Co., Ltd.................. 71,856 1,732,943
Daewoong Pharmaceutical Co., Ltd................................... 3,379 441,862
DB Insurance Co., Ltd.............................................. 176,504 7,652,437
DGB Financial Group, Inc........................................... 341,331 2,060,641
Dongsuh Cos., Inc.................................................. 31,182 468,950
Doosan Bobcat, Inc................................................. 81,448 2,196,049
Doosan Co., Ltd.................................................... 15,267 1,018,948
# * Doosan Fuel Cell Co., Ltd.......................................... 51,053 338,762
# * Doosan Heavy Industries & Construction Co., Ltd.................... 378,754 1,997,230
# * Doosan Infracore Co., Ltd.......................................... 492,270 2,387,221
* Doosan Solus Co., Ltd.............................................. 28,141 430,538
Douzone Bizon Co., Ltd............................................. 28,707 1,811,065
E-MART, Inc........................................................ 42,516 4,066,811
F&F Co., Ltd....................................................... 1,448 124,790
# Fila Korea, Ltd.................................................... 75,486 3,724,692
Grand Korea Leisure Co., Ltd....................................... 41,934 765,248
Green Cross Corp................................................... 5,939 653,764
Green Cross Holdings Corp.......................................... 23,565 420,103
GS Engineering & Construction Corp................................. 193,329 5,118,527
GS Holdings Corp................................................... 190,987 8,139,330
GS Home Shopping, Inc.............................................. 4,597 587,669
GS Retail Co., Ltd................................................. 53,143 1,746,567
Hana Financial Group, Inc.......................................... 522,739 15,134,623
# * Hanall Biopharma Co., Ltd.......................................... 21,051 598,596
# Hanjin Kal Corp.................................................... 39,259 1,021,623
Hankook Tire & Technology Co., Ltd................................. 174,928 4,664,473
Hanmi Pharm Co., Ltd............................................... 6,448 1,844,375
Hanmi Science Co., Ltd............................................. 10,613 396,942
Hanon Systems...................................................... 266,528 2,652,601
Hanssem Co., Ltd................................................... 16,476 895,762
* Hanwha Aerospace Co., Ltd.......................................... 61,456 1,996,286
Hanwha Chemical Corp............................................... 253,700 3,549,838
Hanwha Corp........................................................ 97,248 1,982,546
Hanwha Life Insurance Co., Ltd..................................... 1,038,851 1,988,059
HDC Holdings Co., Ltd.............................................. 3,027 30,758
Hite Jinro Co., Ltd................................................ 48,621 1,188,123
# * HLB, Inc........................................................... 26,246 3,744,338
# Hotel Shilla Co., Ltd.............................................. 55,107 3,663,337
* Hugel, Inc......................................................... 2,135 667,950
* Hyosung Advanced Materials Corp.................................... 7,969 749,447
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
------- -------------------------------
SOUTH KOREA -- (Continued)
Hyosung Chemical Corp.............................................. 5,674 $ 805,748
Hyosung Corp....................................................... 20,694 1,469,961
Hyosung TNC Co., Ltd............................................... 7,698 1,060,810
Hyundai Department Store Co., Ltd.................................. 28,328 1,798,566
Hyundai Elevator Co., Ltd.......................................... 16,325 1,029,807
Hyundai Engineering & Construction Co., Ltd........................ 107,639 3,965,749
Hyundai Glovis Co., Ltd............................................ 27,895 3,613,296
Hyundai Greenfood Co., Ltd......................................... 51,951 500,075
Hyundai Heavy Industries Holdings Co., Ltd......................... 14,457 4,233,789
Hyundai Home Shopping Network Corp................................. 5,020 364,623
Hyundai Marine & Fire Insurance Co., Ltd........................... 226,396 4,916,587
* Hyundai Merchant Marine Co., Ltd................................... 188,580 532,995
Hyundai Mipo Dockyard Co., Ltd..................................... 40,720 1,518,514
Hyundai Mobis Co., Ltd............................................. 54,300 11,073,592
Hyundai Motor Co................................................... 128,680 13,478,504
# * Hyundai Rotem Co., Ltd............................................. 49,288 679,571
Hyundai Steel Co................................................... 136,222 3,709,992
Hyundai Wia Corp................................................... 31,556 1,386,737
# * Iljin Materials Co., Ltd........................................... 21,152 712,077
Industrial Bank of Korea........................................... 481,487 4,876,197
Innocean Worldwide, Inc............................................ 7,081 390,886
# Kakao Corp......................................................... 26,447 3,209,403
Kangwon Land, Inc.................................................. 104,801 2,821,674
KB Financial Group, Inc............................................ 413,344 14,880,128
KB Financial Group, Inc., ADR...................................... 63,998 2,286,009
KCC Corp........................................................... 11,809 2,292,105
KEPCO Plant Service & Engineering Co., Ltd......................... 30,975 866,730
Kia Motors Corp.................................................... 227,908 8,329,435
# KIWOOM Securities Co., Ltd......................................... 26,617 1,578,564
# * KMW Co., Ltd....................................................... 39,619 1,815,742
Koh Young Technology, Inc.......................................... 2,393 193,521
Kolon Industries, Inc.............................................. 40,014 1,619,899
Korea Aerospace Industries, Ltd.................................... 37,044 1,209,169
# * Korea Electric Power Corp., Sponsored ADR.......................... 130,759 1,422,658
* Korea Electric Power Corp.......................................... 150,306 3,285,782
Korea Gas Corp..................................................... 41,078 1,387,839
Korea Investment Holdings Co., Ltd................................. 87,714 5,095,699
Korea Petrochemical Ind Co., Ltd................................... 946 96,580
# * Korea Shipbuilding & Offshore Engineering Co., Ltd................. 55,095 5,758,117
Korea Zinc Co., Ltd................................................ 7,670 2,858,092
Korean Air Lines Co., Ltd.......................................... 185,901 3,978,946
Korean Reinsurance Co.............................................. 59,695 406,714
KT Corp., Sponsored ADR............................................ 82,100 921,983
KT&G Corp.......................................................... 98,283 8,436,769
Kumho Petrochemical Co., Ltd....................................... 48,226 2,887,493
* Kumho Tire Co., Inc................................................ 149,636 543,542
LG Chem, Ltd....................................................... 41,518 10,954,316
LG Corp............................................................ 147,582 8,798,328
# * LG Display Co., Ltd., ADR.......................................... 808,137 4,735,683
* LG Display Co., Ltd................................................ 525,059 6,154,760
LG Electronics, Inc................................................ 271,709 15,571,433
LG Household & Health Care, Ltd.................................... 13,212 14,296,668
LG Innotek Co., Ltd................................................ 40,182 4,173,691
LG Uplus Corp...................................................... 427,869 4,943,022
Lotte Chemical Corp................................................ 42,891 8,344,611
Lotte Chilsung Beverage Co., Ltd................................... 3,309 389,771
Lotte Confectionery Co., Ltd....................................... 237 28,569
# Lotte Corp......................................................... 35,011 1,095,956
LOTTE Fine Chemical Co., Ltd....................................... 35,146 1,332,601
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
SOUTH KOREA -- (Continued)
Lotte Shopping Co., Ltd............................................ 21,751 $ 2,324,795
LS Corp............................................................ 41,095 1,711,133
LS Industrial Systems Co., Ltd..................................... 33,789 1,443,910
Macquarie Korea Infrastructure Fund................................ 501,890 5,112,946
# Mando Corp......................................................... 102,609 3,145,155
Medy-Tox, Inc...................................................... 7,354 2,081,110
Meritz Financial Group, Inc........................................ 132,014 1,410,951
Meritz Fire & Marine Insurance Co., Ltd............................ 174,445 2,768,527
Meritz Securities Co., Ltd......................................... 775,459 2,997,902
# Mirae Asset Daewoo Co., Ltd........................................ 680,937 4,174,776
NAVER Corp......................................................... 127,452 17,970,279
NCSoft Corp........................................................ 14,764 6,552,196
# * Netmarble Corp..................................................... 13,796 1,064,649
Nexen Tire Corp.................................................... 38,894 312,571
NH Investment & Securities Co., Ltd................................ 316,524 3,282,240
* NHN Corp........................................................... 18,836 933,268
NongShim Co., Ltd.................................................. 5,761 1,199,223
OCI Co., Ltd....................................................... 46,230 2,491,073
Orange Life Insurance, Ltd......................................... 40,537 974,614
Orion Corp......................................................... 8,589 780,383
Orion Holdings Corp................................................ 67,257 913,125
Ottogi Corp........................................................ 1,212 588,840
* Pan Ocean Co., Ltd................................................. 431,074 1,624,862
# Paradise Co., Ltd.................................................. 49,111 783,721
# * Pearl Abyss Corp................................................... 10,242 1,905,209
POSCO, Sponsored ADR............................................... 104,186 4,678,993
POSCO.............................................................. 70,065 12,712,981
# POSCO Chemtech Co., Ltd............................................ 25,913 1,065,933
Posco International Corp........................................... 99,219 1,550,673
S-1 Corp........................................................... 25,840 2,082,135
# * Samsung Biologics Co., Ltd......................................... 6,740 2,302,508
Samsung C&T Corp................................................... 52,857 4,526,218
Samsung Card Co., Ltd.............................................. 60,944 1,757,973
Samsung Electro-Mechanics Co., Ltd................................. 66,506 6,438,740
Samsung Electronics Co., Ltd....................................... 4,912,950 212,336,945
Samsung Electronics Co., Ltd. , GDR (4942818)...................... 52,509 56,131,486
* Samsung Engineering Co., Ltd....................................... 229,832 3,508,637
Samsung Fire & Marine Insurance Co., Ltd........................... 63,656 11,841,521
* Samsung Heavy Industries Co., Ltd.................................. 625,252 3,882,312
Samsung Life Insurance Co., Ltd.................................... 119,059 7,230,144
# Samsung SDI Co., Ltd............................................... 32,644 6,370,336
Samsung SDS Co., Ltd............................................... 29,343 5,068,012
Samsung Securities Co., Ltd........................................ 135,268 3,897,008
Seoul Semiconductor Co., Ltd....................................... 43,467 499,482
SFA Engineering Corp............................................... 28,906 1,035,930
Shinhan Financial Group Co., Ltd................................... 305,033 11,113,901
# Shinhan Financial Group Co., Ltd., ADR............................. 67,490 2,435,714
Shinsegae International, Inc....................................... 2,305 392,527
Shinsegae, Inc..................................................... 17,633 3,573,534
SK Discovery Co., Ltd.............................................. 3,578 68,949
SK Holdings Co., Ltd............................................... 38,964 8,644,367
SK Hynix, Inc...................................................... 821,484 57,763,436
SK Innovation Co., Ltd............................................. 77,982 10,670,707
SK Materials Co., Ltd.............................................. 9,016 1,415,306
SK Networks Co., Ltd............................................... 438,461 2,187,009
SK Telecom Co., Ltd., Sponsored ADR................................ 24,883 573,553
SK Telecom Co., Ltd................................................ 18,352 3,751,081
# SKC Co., Ltd....................................................... 45,410 1,731,997
S-Oil Corp......................................................... 22,431 1,916,305
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
SOUTH KOREA -- (Continued)
Ssangyong Cement Industrial Co., Ltd............................... 246,810 $ 1,241,221
Taekwang Industrial Co., Ltd....................................... 565 532,725
Tongyang Life Insurance Co., Ltd................................... 44,805 141,098
# WONIK IPS Co., Ltd................................................. 28,695 814,898
Woongjin Coway Co., Ltd............................................ 80,403 6,347,396
# * Woori Financial Group, Inc., Sponsored ADR......................... 3,749 112,170
Woori Financial Group, Inc......................................... 807,880 8,144,902
Young Poong Corp................................................... 516 270,253
Youngone Corp...................................................... 47,262 1,409,846
Yuhan Corp......................................................... 9,855 1,899,702
* Yungjin Pharmaceutical Co., Ltd.................................... 41,594 190,629
------------
TOTAL SOUTH KOREA....................................................... 907,402,069
------------
SPAIN -- (0.1%)
# Banco Santander SA, Sponsored ADR.................................. 145,551 576,382
Banco Santander SA................................................. 968,663 3,834,569
------------
TOTAL SPAIN............................................................. 4,410,951
------------
TAIWAN -- (16.0%)
Accton Technology Corp............................................. 685,000 4,074,844
Acer, Inc.......................................................... 5,550,811 3,238,859
Advantech Co., Ltd................................................. 306,663 3,029,783
Airtac International Group......................................... 218,518 2,969,805
ASE Technology Holding Co., Ltd., ADR.............................. 133,966 683,228
ASE Technology Holding Co., Ltd.................................... 7,079,782 18,368,006
Asia Cement Corp................................................... 3,763,758 5,313,015
Asustek Computer, Inc.............................................. 1,099,180 7,456,759
AU Optronics Corp., Sponsored ADR.................................. 169,591 423,978
# AU Optronics Corp.................................................. 22,720,873 5,792,919
Brighton-Best International Taiwan, Inc............................ 175,000 183,866
Catcher Technology Co., Ltd........................................ 1,524,429 12,921,228
Cathay Financial Holding Co., Ltd.................................. 6,384,450 8,450,831
Chailease Holding Co., Ltd......................................... 2,525,473 11,379,829
Chang Hwa Commercial Bank, Ltd..................................... 9,406,413 7,339,694
Cheng Shin Rubber Industry Co., Ltd................................ 3,477,965 5,466,051
Chicony Electronics Co., Ltd....................................... 1,172,497 3,642,640
China Airlines, Ltd................................................ 9,779,536 2,912,454
China Development Financial Holding Corp........................... 21,262,121 6,630,888
* China Life Insurance Co., Ltd...................................... 5,303,933 4,371,330
China Motor Corp................................................... 114,000 154,994
China Petrochemical Development Corp............................... 3,324,300 1,107,475
China Steel Corp................................................... 17,219,932 13,259,085
Chipbond Technology Corp........................................... 1,246,000 2,468,670
Chroma ATE, Inc.................................................... 663,000 3,296,502
Chunghwa Telecom Co., Ltd., Sponsored ADR.......................... 254,851 9,322,449
Chunghwa Telecom Co., Ltd.......................................... 1,536,000 5,656,267
Compal Electronics, Inc............................................ 9,678,541 5,777,775
CTBC Financial Holding Co., Ltd.................................... 20,702,175 14,392,417
CTCI Corp.......................................................... 1,199,000 1,611,945
Delta Electronics, Inc............................................. 2,518,486 11,057,372
E Ink Holdings, Inc................................................ 1,268,000 1,244,156
# E.Sun Financial Holding Co., Ltd................................... 16,099,057 14,546,464
Eclat Textile Co., Ltd............................................. 258,402 3,464,817
Eternal Materials Co., Ltd......................................... 1,081,591 919,462
Eva Airways Corp................................................... 8,294,758 3,886,649
* Evergreen Marine Corp. Taiwan, Ltd................................. 5,141,782 2,105,436
Far Eastern International Bank..................................... 412,653 161,889
Far Eastern New Century Corp....................................... 7,623,085 7,413,803
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Far EasTone Telecommunications Co., Ltd............................ 2,601,000 $ 6,240,918
Feng TAY Enterprise Co., Ltd....................................... 550,466 3,718,583
First Financial Holding Co., Ltd................................... 14,373,297 10,539,189
Formosa Chemicals & Fibre Corp..................................... 2,951,518 8,579,105
Formosa Petrochemical Corp......................................... 1,249,000 3,978,197
Formosa Plastics Corp.............................................. 3,312,153 10,631,663
# Formosa Sumco Technology Corp...................................... 143,000 546,852
Formosa Taffeta Co., Ltd........................................... 1,665,000 1,893,960
Foxconn Technology Co., Ltd........................................ 1,689,627 3,613,244
Fubon Financial Holding Co., Ltd................................... 8,139,233 11,907,984
General Interface Solution Holding, Ltd............................ 608,000 2,281,401
# Genius Electronic Optical Co., Ltd................................. 34,000 489,705
Giant Manufacturing Co., Ltd....................................... 489,506 3,619,621
# Globalwafers Co., Ltd.............................................. 293,000 3,495,860
Highwealth Construction Corp....................................... 1,580,190 2,425,409
# Hiwin Technologies Corp............................................ 466,205 3,999,401
Hon Hai Precision Industry Co., Ltd................................ 9,612,322 25,387,128
Hotai Motor Co., Ltd............................................... 390,000 6,899,194
Hua Nan Financial Holdings Co., Ltd................................ 12,045,308 8,656,056
Innolux Corp....................................................... 18,433,241 4,086,031
International CSRC Investment Holdings Co.......................... 520,930 560,561
Inventec Corp...................................................... 5,188,550 3,759,500
ITEQ Corp.......................................................... 132,000 668,567
King's Town Bank Co., Ltd.......................................... 1,629,000 1,694,777
Largan Precision Co., Ltd.......................................... 133,860 19,641,853
Lien Hwa Industrial Holdings Corp.................................. 87,780 100,025
Lite-On Technology Corp............................................ 4,435,410 7,308,769
# Macronix International............................................. 5,204,074 5,282,889
# Makalot Industrial Co., Ltd........................................ 229,950 1,283,785
MediaTek, Inc...................................................... 1,092,995 14,596,785
Mega Financial Holding Co., Ltd.................................... 8,265,369 8,112,260
Merida Industry Co., Ltd........................................... 184,287 1,066,431
Micro-Star International Co., Ltd.................................. 1,742,000 5,144,550
Nan Ya Plastics Corp............................................... 3,945,599 9,323,737
Nanya Technology Corp.............................................. 2,714,010 6,207,767
Nien Made Enterprise Co., Ltd...................................... 272,000 2,467,350
# Novatek Microelectronics Corp...................................... 954,000 6,110,978
Parade Technologies, Ltd........................................... 82,000 1,584,407
Pegatron Corp...................................................... 4,155,345 8,068,734
Phison Electronics Corp............................................ 295,000 2,682,397
Pou Chen Corp...................................................... 5,027,487 6,721,419
Powertech Technology, Inc.......................................... 2,453,819 7,734,553
Poya International Co., Ltd........................................ 55,275 759,274
President Chain Store Corp......................................... 795,831 7,939,297
Qisda Corp......................................................... 3,366,000 2,524,105
Quanta Computer, Inc............................................... 3,869,000 7,421,827
Radiant Opto-Electronics Corp...................................... 865,000 3,434,290
Realtek Semiconductor Corp......................................... 711,950 5,281,212
Ruentex Development Co., Ltd....................................... 1,044,230 1,592,694
Ruentex Industries, Ltd............................................ 771,109 1,851,468
Shin Kong Financial Holding Co., Ltd............................... 19,133,243 6,044,335
Silergy Corp....................................................... 85,000 2,381,214
Simplo Technology Co., Ltd......................................... 338,000 3,113,377
Sino-American Silicon Products, Inc................................ 1,508,000 4,533,829
SinoPac Financial Holdings Co., Ltd................................ 17,621,623 7,231,990
Standard Foods Corp................................................ 713,418 1,440,552
Synnex Technology International Corp............................... 2,164,343 2,581,487
# TA Chen Stainless Pipe............................................. 1,806,000 1,948,769
Taichung Commercial Bank Co., Ltd.................................. 2,432,688 939,720
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
TAIWAN -- (Continued)
Taishin Financial Holding Co., Ltd............................... 16,966,307 $ 7,879,320
Taiwan Business Bank............................................. 10,576,462 4,458,596
Taiwan Cement Corp............................................... 9,177,565 12,184,531
Taiwan Cooperative Financial Holding Co., Ltd.................... 13,656,570 9,395,664
Taiwan FamilyMart Co., Ltd....................................... 85,000 611,563
# Taiwan Fertilizer Co., Ltd....................................... 1,349,000 2,147,186
Taiwan Glass Industry Corp....................................... 2,181,374 831,204
Taiwan High Speed Rail Corp...................................... 2,031,000 2,403,459
Taiwan Mobile Co., Ltd........................................... 2,215,300 8,259,927
Taiwan Secom Co., Ltd............................................ 432,670 1,238,647
Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR...... 1,784,041 92,110,037
Taiwan Semiconductor Manufacturing Co., Ltd...................... 22,557,808 221,061,961
# * Tatung Co., Ltd.................................................. 3,114,000 1,871,578
# TCI Co., Ltd..................................................... 113,749 1,256,134
Teco Electric and Machinery Co., Ltd............................. 3,372,000 2,989,971
Tripod Technology Corp........................................... 893,870 3,454,650
Unimicron Technology Corp........................................ 2,809,000 4,316,270
Uni-President Enterprises Corp................................... 5,022,033 12,406,333
United Microelectronics Corp..................................... 31,829,000 14,657,898
Vanguard International Semiconductor Corp........................ 1,669,000 3,565,959
Voltronic Power Technology Corp.................................. 86,117 1,906,278
Walsin Lihwa Corp................................................ 6,242,000 3,052,578
# Walsin Technology Corp........................................... 882,000 5,280,406
Wan Hai Lines, Ltd............................................... 1,467,800 873,129
Win Semiconductors Corp.......................................... 295,034 3,070,954
Winbond Electronics Corp......................................... 7,437,407 4,186,638
Wintek Corp...................................................... 604,760 6,816
Wistron Corp..................................................... 6,755,699 6,193,625
WPG Holdings, Ltd................................................ 3,260,039 4,132,863
# Yageo Corp....................................................... 420,682 4,316,782
Yuanta Financial Holding Co., Ltd................................ 16,914,806 10,571,245
Zhen Ding Technology Holding, Ltd................................ 1,232,700 5,828,692
------------
TOTAL TAIWAN.......................................................... 977,149,563
------------
THAILAND -- (3.4%)
Advanced Info Service PCL........................................ 1,483,600 11,251,677
AEON Thana Sinsap Thailand PCL................................... 4,400 29,727
Airports of Thailand PCL......................................... 4,615,300 11,998,710
B Grimm Power PCL................................................ 922,400 1,466,309
Bangkok Bank PCL................................................. 207,800 1,200,897
Bangkok Bank PCL................................................. 116,600 671,913
Bangkok Dusit Medical Services PCL, Class F...................... 7,404,000 5,884,948
Bangkok Expressway & Metro PCL................................... 12,212,199 4,368,000
Banpu PCL........................................................ 8,310,150 3,192,507
Banpu Power PCL.................................................. 910,600 524,737
Berli Jucker PCL................................................. 1,497,800 2,418,207
BTS Group Holdings PCL........................................... 5,507,800 2,444,263
Bumrungrad Hospital PCL.......................................... 787,300 3,141,899
Carabao Group PCL, Class F....................................... 416,000 1,160,722
Central Pattana PCL.............................................. 1,713,700 3,632,283
Central Plaza Hotel PCL.......................................... 1,157,700 1,054,372
CH Karnchang PCL................................................. 70,400 47,563
Charoen Pokphand Foods PCL....................................... 7,424,300 6,208,431
CP ALL PCL....................................................... 5,689,600 14,744,534
Delta Electronics Thailand PCL................................... 110,900 161,603
Electricity Generating PCL....................................... 187,700 2,157,043
Energy Absolute PCL.............................................. 2,027,900 2,753,565
Global Power Synergy PCL, Class F................................ 608,700 1,658,075
Home Product Center PCL.......................................... 6,546,913 3,729,323
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (Continued)
Indorama Ventures PCL............................................ 3,766,400 $ 3,492,605
Intouch Holdings PCL............................................. 871,186 1,904,232
Intouch Holdings PCL, Class F.................................... 399,000 872,131
IRPC PCL......................................................... 23,713,100 2,670,129
Jasmine International PCL........................................ 5,215,000 1,079,442
Kasikornbank PCL................................................. 990,400 4,575,618
Kasikornbank PCL................................................. 349,000 1,606,590
Kiatnakin Bank PCL............................................... 753,600 1,634,734
Krung Thai Bank PCL.............................................. 5,913,587 3,251,053
Krungthai Card PCL............................................... 1,904,000 2,616,857
Land & Houses PCL................................................ 5,359,100 1,721,585
Land & Houses PCL................................................ 2,877,040 924,235
Minor International PCL.......................................... 2,330,270 2,778,265
MK Restaurants Group PCL......................................... 807,000 2,077,968
Muangthai Capital PCL............................................ 1,772,300 3,639,099
Pruksa Holding PCL............................................... 928,800 486,009
PTT Exploration & Production PCL................................. 1,864,655 7,441,329
PTT Global Chemical PCL.......................................... 3,993,272 6,744,722
PTT PCL.......................................................... 16,434,000 24,627,869
Ratch Group PCL.................................................. 908,800 2,212,181
Robinson PCL..................................................... 1,398,800 3,022,742
Siam Cement PCL (The)............................................ 347,000 4,252,028
Siam Cement PCL (The)............................................ 223,000 2,710,416
Siam City Cement PCL............................................. 113,167 809,540
Siam Commercial Bank PCL (The)................................... 769,066 2,865,373
Siam Global House PCL............................................ 4,761,044 2,396,684
Srisawad Corp. PCL............................................... 1,813,372 3,873,572
Supalai PCL...................................................... 18,800 10,086
Thai Oil PCL..................................................... 2,644,600 5,999,507
Thai Union Group PCL, Class F.................................... 5,320,840 2,572,753
Thanachart Capital PCL........................................... 774,000 1,358,569
Tisco Financial Group PCL........................................ 724,600 2,339,742
TMB Bank PCL..................................................... 26,863,500 1,281,121
TOA Paint Thailand PCL........................................... 859,500 1,280,924
Total Access Communication PCL................................... 1,066,300 2,189,455
Total Access Communication PCL................................... 1,459,300 2,996,410
True Corp. PCL................................................... 26,817,231 4,440,674
TTW PCL.......................................................... 1,094,800 493,104
VGI PCL.......................................................... 3,110,500 1,004,384
WHA Corp. PCL.................................................... 12,298,000 1,906,098
------------
TOTAL THAILAND........................................................ 210,061,143
------------
TURKEY -- (0.8%)
# * Akbank Turk A.S.................................................. 2,375,117 2,869,533
Anadolu Efes Biracilik Ve Malt Sanayii A.S....................... 280,317 943,081
* Arcelik A.S...................................................... 371,451 1,150,771
# Aselsan Elektronik Sanayi Ve Ticaret A.S......................... 141,812 455,297
# BIM Birlesik Magazalar A.S....................................... 691,274 5,720,659
Coca-Cola Icecek A.S............................................. 204,766 1,118,711
Enka Insaat ve Sanayi A.S........................................ 1,161,058 1,172,225
Eregli Demir ve Celik Fabrikalari TAS............................ 2,645,192 3,023,883
Ford Otomotiv Sanayi A.S......................................... 126,138 1,422,467
KOC Holding A.S.................................................. 540,881 1,772,896
* Koza Altin Isletmeleri A.S....................................... 67,645 831,466
# * Petkim Petrokimya Holding A.S.................................... 2,262,679 1,361,076
# Soda Sanayii A.S................................................. 477,309 457,341
TAV Havalimanlari Holding A.S.................................... 540,265 2,462,985
Tekfen Holding A.S............................................... 423,774 1,254,692
Tofas Turk Otomobil Fabrikasi A.S................................ 285,875 1,117,856
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
--------- -------------------------------
TURKEY -- (Continued)
Tupras Turkiye Petrol Rafinerileri A.S........................... 173,991 $ 3,787,143
# * Turk Hava Yollari AO............................................. 1,606,643 3,269,660
* Turk Telekomunikasyon A.S........................................ 802,767 815,348
Turkcell Iletisim Hizmetleri A.S................................. 1,664,980 3,660,974
# Turkcell Iletisim Hizmetleri A.S., ADR........................... 73,838 403,894
# * Turkiye Garanti Bankasi A.S...................................... 2,660,861 4,276,974
# * Turkiye Halk Bankasi A.S......................................... 1,332,954 1,220,810
* Turkiye Is Bankasi A.S., Class C................................. 1,851,674 1,876,326
Turkiye Sise ve Cam Fabrikalari A.S.............................. 1,624,463 1,233,130
# * Turkiye Vakiflar Bankasi TAO, Class D............................ 1,962,311 1,488,171
* Yapi ve Kredi Bankasi A.S........................................ 2,897,125 1,154,199
--------------
TOTAL TURKEY.......................................................... 50,321,568
--------------
UNITED KINGDOM -- (0.0%)
# Mondi P.L.C...................................................... 140,279 2,900,887
--------------
TOTAL COMMON STOCKS................................................... 5,856,982,716
--------------
PREFERRED STOCKS -- (2.0%)
BRAZIL -- (1.9%)
* AZUL SA.......................................................... 118,500 1,551,832
Banco Bradesco SA................................................ 2,296,111 20,135,700
Centrais Eletricas Brasileiras SA, Class B....................... 192,052 1,962,900
Cia Brasileira de Distribuicao................................... 429,889 8,895,771
Cia Energetica de Minas Gerais................................... 1,249,530 4,252,857
Gerdau SA........................................................ 1,407,421 4,713,044
Itau Unibanco Holding SA......................................... 4,269,308 38,568,016
Lojas Americanas SA.............................................. 681,959 3,399,167
Petroleo Brasileiro SA........................................... 3,525,848 26,717,497
Telefonica Brasil SA............................................. 314,262 4,159,338
--------------
TOTAL BRAZIL.......................................................... 114,356,122
--------------
CHILE -- (0.0%)
Embotelladora Andina SA, Class B................................. 412,391 1,187,481
--------------
COLOMBIA -- (0.1%)
Banco Davivienda SA.............................................. 155,022 1,981,346
Bancolombia SA................................................... 30,330 395,905
Grupo Argos SA................................................... 55,405 228,833
Grupo Aval Acciones y Valores SA................................. 3,971,981 1,627,572
Grupo de Inversiones Suramericana SA............................. 135,078 1,238,082
--------------
TOTAL COLOMBIA........................................................ 5,471,738
--------------
SOUTH KOREA -- (0.0%)
* CJ Corp.......................................................... 6,654 348,299
--------------
TOTAL PREFERRED STOCKS................................................ 121,363,640
--------------
RIGHTS/WARRANTS -- (0.0%)
CHINA -- (0.0%)
* Legend Holdings Corp. Rights 05/23/19............................ 25,976 0
--------------
TAIWAN -- (0.0%)
* Cathay Financial Holding Co. Rights 11/25/19..................... 228,891 39,852
--------------
THE EMERGING MARKETS SERIES
CONTINUED
SHARES VALUE(DOUBLE RIGHT ANGLE QUOTE)
---------- -------------------------------
THAILAND -- (0.0%)
* TMB Bank PCL Rights 11/26/19..................................... 18,596,667 $ 24,636
--------------
TOTAL RIGHTS/WARRANTS................................................... 64,488
--------------
TOTAL INVESTMENT SECURITIES
(Cost $4,151,605,364)................................................. 5,978,410,844
--------------
VALUE+
-------------------------------
SECURITIES LENDING COLLATERAL -- (2.2%)
@ (S) The DFA Short Term Investment Fund............................... 11,523,978 133,343,951
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,284,929,744)................................................. $6,111,754,795
==============
ADR American Depositary Receipt
CP Certificate Participation
GDR Global Depositary Receipt
P.L.C. Public Limited Company
SA Special Assessment
(double right angle quote) Securities that have generally been fair value factored. See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
+ See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
As of October 31, 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
THE EMERGING MARKETS SERIES
CONTINUED
INVESTMENTS IN SECURITIES (MARKET VALUE)
----------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
-------------- -------------- ------- --------------
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
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.
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
SCHEDULE OF INVESTMENTS
OCTOBER 31, 2019
SHARES VALUE+
--------- ------------
COMMON STOCKS -- (98.6%)
COMMUNICATION SERVICES -- (12.9%)
Activision Blizzard, Inc......................................... 496,359 $ 27,810,995
AT&T, Inc........................................................ 7,170,552 275,994,547
ATN International, Inc........................................... 684 40,513
Beasley Broadcast Group, Inc., Class A........................... 9,471 27,087
# * Cars.com, Inc.................................................... 43,079 487,224
# CBS Corp., Class A............................................... 14,300 571,285
* Charter Communications, Inc., Class A............................ 339,394 158,788,877
# Cinemark Holdings, Inc........................................... 44,247 1,619,440
Comcast Corp., Class A........................................... 6,410,970 287,339,675
# * Consolidated Communications Holdings, Inc........................ 10,700 42,800
* Discovery, Inc., Class B......................................... 3,609 121,262
* Discovery, Inc., Class C......................................... 3,762 94,953
* DISH Network Corp., Class A...................................... 7,045 242,207
Entravision Communications Corp., Class A........................ 56,828 161,392
EW Scripps Co. (The), Class A.................................... 81,265 1,091,795
Fox Corp., Class A............................................... 211,170 6,765,887
* Fox Corp., Class B............................................... 104,154 3,253,771
# Gannett Co., Inc................................................. 71,219 772,726
# * GCI Liberty, Inc., Class A....................................... 123,145 8,617,687
* GCI Liberty, Inc., Class B....................................... 1,686 121,729
* Gray Television, Inc............................................. 54,374 892,277
* Hemisphere Media Group, Inc...................................... 18,877 243,702
* IAC/InterActiveCorp.............................................. 81,587 18,540,646
Interpublic Group of Cos., Inc. (The)............................ 13,820 300,585
# * Iridium Communications, Inc...................................... 41,700 1,020,399
John Wiley & Sons, Inc., Class A................................. 28,891 1,331,008
* Liberty Broadband Corp........................................... 1,905 225,171
* Liberty Broadband Corp., Class A................................. 24,095 2,842,969
* Liberty Broadband Corp., Class C................................. 67,601 7,981,650
* Liberty Latin America, Ltd., Class A............................. 4,700 87,843
* Liberty Latin America, Ltd., Class C............................. 2,660 48,971
* Liberty Media Corp.-Liberty Braves, Class A...................... 7,613 224,736
* Liberty Media Corp.-Liberty Braves, Class B...................... 762 26,099
* Liberty Media Corp.-Liberty Braves, Class C...................... 16,901 497,058
# * Liberty Media Corp.-Liberty Formula One, Class A................. 17,043 689,049
* Liberty Media Corp.-Liberty Formula One, Class C................. 82,356 3,500,130
* Liberty Media Corp.-Liberty SiriusXM, Class A.................... 96,383 4,328,561
* Liberty Media Corp.-Liberty SiriusXM, Class B.................... 6,414 292,639
* Liberty Media Corp.-Liberty SiriusXM, Class C.................... 208,010 9,399,972
* Liberty TripAdvisor Holdings, Inc., Class A...................... 76,802 741,139
* Liberty TripAdvisor Holdings, Inc., Class B...................... 3,422 33,536
# Lions Gate Entertainment Corp., Class B.......................... 1 8
* Madison Square Garden Co. (The), Class A......................... 12,352 3,296,996
Marcus Corp. (The)............................................... 20,599 743,624
# * Meet Group, Inc. (The)........................................... 83,800 356,988
# Meredith Corp.................................................... 44,176 1,665,435
# * MSG Networks, Inc., Class A...................................... 29,558 479,135
# New Media Investment Group, Inc.................................. 44,459 391,684
News Corp., Class A.............................................. 402,247 5,514,806
News Corp., Class B.............................................. 99,903 1,410,630
# Nexstar Media Group, Inc., Class A............................... 51,781 5,037,774
# * ORBCOMM, Inc..................................................... 82,899 332,425
Saga Communications, Inc., Class A............................... 8,693 262,268
# Salem Media Group, Inc........................................... 10,922 16,492
Scholastic Corp.................................................. 31,200 1,201,200
Sinclair Broadcast Group, Inc., Class A.......................... 82,369 3,281,581
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
COMMUNICATION SERVICES -- (Continued)
Spok Holdings, Inc............................................... 12,522 $ 149,012
# * Sprint Corp...................................................... 422,600 2,624,346
TEGNA, Inc....................................................... 184,139 2,767,609
Telephone & Data Systems, Inc.................................... 90,571 2,362,997
* T-Mobile US, Inc................................................. 172,043 14,221,074
Tribune Publishing Co............................................ 900 8,064
* United States Cellular Corp...................................... 12,191 453,749
* Vonage Holdings Corp............................................. 85,934 839,575
Walt Disney Co. (The)............................................ 559,809 72,730,385
* Yelp, Inc........................................................ 2,647 91,348
# * Zillow Group, Inc., Class A...................................... 30,310 981,741
# * Zillow Group, Inc., Class C...................................... 70,220 2,287,065
* Zynga, Inc., Class A............................................. 640,800 3,953,736
------------
TOTAL COMMUNICATION SERVICES.......................................... 954,675,739
------------
CONSUMER DISCRETIONARY -- (6.4%)
* 1-800-Flowers.com, Inc., Class A................................. 44,330 632,146
Aaron's, Inc..................................................... 75,999 5,694,605
Acushnet Holdings Corp........................................... 2,067 58,806
* Adtalem Global Education, Inc.................................... 59,964 1,785,728
* American Axle & Manufacturing Holdings, Inc...................... 123,769 1,034,709
American Eagle Outfitters, Inc................................... 173,750 2,672,275
* American Outdoor Brands Corp..................................... 64,307 455,294
Aramark.......................................................... 220,783 9,661,464
* Asbury Automotive Group, Inc..................................... 6,182 637,550
# * Ascena Retail Group, Inc......................................... 135,576 47,750
Autoliv, Inc..................................................... 53,413 4,157,668
* AutoNation, Inc.................................................. 58,352 2,967,199
# * Barnes & Noble Education, Inc.................................... 20,210 83,063
Bassett Furniture Industries, Inc................................ 2,900 44,225
* Beazer Homes USA, Inc............................................ 4,326 64,933
Best Buy Co., Inc................................................ 15,363 1,103,524
# Big 5 Sporting Goods Corp........................................ 10,801 34,563
# Big Lots, Inc.................................................... 44,829 971,444
* Biglari Holdings, Inc., Class B.................................. 8 668
# BJ's Restaurants, Inc............................................ 20,458 809,932
* Boot Barn Holdings, Inc.......................................... 32,500 1,139,125
BorgWarner, Inc.................................................. 194,884 8,122,765
Brunswick Corp................................................... 63,040 3,671,450
# * Build-A-Bear Workshop, Inc....................................... 25,874 90,042
# * Caesars Entertainment Corp....................................... 362,380 4,450,026
Caleres, Inc..................................................... 74,697 1,607,479
# Callaway Golf Co................................................. 108,543 2,194,739
* Canterbury Park Holding Corp..................................... 2,755 34,658
* Capri Holdings, Ltd.............................................. 129,088 4,010,764
* Career Education Corp............................................ 78,974 1,118,272
Carnival Corp.................................................... 489,649 21,001,046
Carriage Services, Inc........................................... 20,916 538,796
# * Carrols Restaurant Group, Inc.................................... 35,900 255,967
* Cavco Industries, Inc............................................ 7,600 1,456,540
# * Century Communities, Inc......................................... 14,709 443,771
* Chuy's Holdings, Inc............................................. 16,443 400,716
Citi Trends, Inc................................................. 5,815 103,798
# * Conn's, Inc...................................................... 25,450 615,636
Cooper Tire & Rubber Co.......................................... 55,558 1,568,958
* Cooper-Standard Holdings, Inc.................................... 18,702 595,846
Core-Mark Holding Co., Inc....................................... 96,236 2,937,123
Culp, Inc........................................................ 10,036 155,257
Dana, Inc........................................................ 112,665 1,828,553
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
CONSUMER DISCRETIONARY -- (Continued)
* Deckers Outdoor Corp............................................. 22,626 $ 3,459,515
* Delta Apparel, Inc............................................... 7,532 187,923
# Designer Brands, Inc., Class A................................... 75,552 1,246,608
# Dick's Sporting Goods, Inc....................................... 83,076 3,234,149
# Dillard's, Inc., Class A......................................... 120,300 8,298,294
# * Dorman Products, Inc............................................. 9,311 669,926
DR Horton, Inc................................................... 208,125 10,899,506
Educational Development Corp..................................... 3,358 22,499
# * El Pollo Loco Holdings, Inc...................................... 4,415 51,302
Escalade, Inc.................................................... 277 3,174
Ethan Allen Interiors, Inc....................................... 16,717 329,492
Expedia Group, Inc............................................... 30,369 4,150,228
Extended Stay America, Inc....................................... 90,395 1,284,513
# * Fiesta Restaurant Group, Inc..................................... 20,300 174,479
Flanigan's Enterprises, Inc...................................... 865 19,553
Flexsteel Industries, Inc........................................ 2,068 34,267
Foot Locker, Inc................................................. 102,986 4,480,921
Ford Motor Co.................................................... 2,868,969 24,644,444
* Fossil Group, Inc................................................ 600 6,528
# * GameStop Corp., Class A.......................................... 104,752 569,851
# Gap, Inc. (The).................................................. 149,047 2,423,504
General Motors Co................................................ 1,095,598 40,712,422
* Genesco, Inc..................................................... 6,456 250,816
Gentex Corp...................................................... 221,133 6,202,781
* Gentherm, Inc.................................................... 37,081 1,548,873
* G-III Apparel Group, Ltd......................................... 31,225 784,060
Goodyear Tire & Rubber Co. (The)................................. 267,257 4,241,369
Graham Holdings Co., Class B..................................... 5,780 3,639,435
* Green Brick Partners, Inc........................................ 2,594 26,122
Group 1 Automotive, Inc.......................................... 57,936 5,761,156
# Guess?, Inc...................................................... 70,100 1,174,175
# * Habit Restaurants, Inc. (The), Class A........................... 23,800 250,138
Hamilton Beach Brands Holding Co., Class A....................... 10,413 194,202
# Harley-Davidson, Inc............................................. 9,108 354,392
# Haverty Furniture Cos., Inc...................................... 33,479 607,309
* Helen of Troy, Ltd............................................... 61,653 9,233,153
# * Hibbett Sports, Inc.............................................. 20,800 496,288
# Hooker Furniture Corp............................................ 14,814 350,647
* Houghton Mifflin Harcourt Co..................................... 30,400 196,384
Hyatt Hotels Corp., Class A...................................... 16,930 1,265,348
International Game Technology P.L.C.............................. 7,100 94,004
* J Alexander's Holdings, Inc...................................... 2,666 25,727
Johnson Outdoors, Inc., Class A.................................. 15,588 912,677
* K12, Inc......................................................... 1,200 23,748
KB Home.......................................................... 30,800 1,099,252
Kohl's Corp...................................................... 144,069 7,384,977
* Lakeland Industries, Inc......................................... 9,887 109,251
* Laureate Education, Inc., Class A................................ 17,544 271,143
La-Z-Boy, Inc.................................................... 56,332 2,000,349
LCI Industries................................................... 10,111 981,980
Lear Corp........................................................ 51,273 6,038,421
Lennar Corp., Class A............................................ 224,100 13,356,360
Lennar Corp., Class B............................................ 12,506 588,032
* Libbey, Inc...................................................... 25,700 46,260
Lifetime Brands, Inc............................................. 16,431 131,284
# Lithia Motors, Inc., Class A..................................... 34,933 5,501,249
* LKQ Corp......................................................... 208,413 7,083,958
* M/I Homes, Inc................................................... 37,930 1,675,747
# Macy's, Inc...................................................... 337,455 5,115,818
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
CONSUMER DISCRETIONARY -- (Continued)
* MarineMax, Inc................................................... 29,164 $ 450,584
# Marriott Vacations Worldwide Corp................................ 26,609 2,925,127
(double right angle quote) Media General, Inc............................................... 25,196 2,381
* Meritage Homes Corp.............................................. 28,156 2,029,766
MGM Resorts International........................................ 227,871 6,494,323
* Modine Manufacturing Co.......................................... 14,650 167,450
* Mohawk Industries, Inc........................................... 98,740 14,157,341
* Monarch Casino & Resort, Inc..................................... 1,103 47,639
# * Monitronics International, Inc................................... 855 6,584
# Monro, Inc....................................................... 3,100 217,341
# * Motorcar Parts of America, Inc................................... 17,638 336,180
# Movado Group, Inc................................................ 21,998 573,048
* Murphy USA, Inc.................................................. 34,678 4,089,577
Newell Brands, Inc............................................... 169,803 3,221,163
Office Depot, Inc................................................ 549,015 1,130,971
# Oxford Industries, Inc........................................... 11,400 785,004
# Penske Automotive Group, Inc..................................... 43,845 2,136,128
# * Potbelly Corp.................................................... 25,202 107,109
PulteGroup, Inc.................................................. 275,833 10,823,687
PVH Corp......................................................... 56,771 4,948,160
* Qurate Retail Group, Inc., Class B............................... 21,189 209,771
* Qurate Retail, Inc., Class A..................................... 620,725 5,921,716
Ralph Lauren Corp................................................ 36,864 3,541,156
RCI Hospitality Holdings, Inc.................................... 12,026 225,488
# * Red Robin Gourmet Burgers, Inc................................... 31,175 950,838
* Regis Corp....................................................... 38,593 795,016
Rocky Brands, Inc................................................ 8,729 242,753
Royal Caribbean Cruises, Ltd..................................... 322,500 35,097,675
* RTW RetailWinds, Inc............................................. 8,600 12,728
* ServiceMaster Global Holdings, Inc............................... 53,587 2,163,843
* Shiloh Industries, Inc........................................... 15,461 55,969
# Shoe Carnival, Inc............................................... 32,650 1,083,653
* Skechers U.S.A., Inc., Class A................................... 146,140 5,461,252
# Sonic Automotive, Inc., Class A.................................. 17,700 570,471
# * Sportsman's Warehouse Holdings, Inc.............................. 21,200 144,372
Standard Motor Products, Inc..................................... 37,342 1,955,227
# Steven Madden, Ltd............................................... 35,225 1,450,565
* Stoneridge, Inc.................................................. 29,561 912,844
Strategic Education, Inc......................................... 15,678 1,928,864
Strattec Security Corp........................................... 5,224 118,219
Superior Group of Cos, Inc....................................... 17,956 259,823
Superior Industries International, Inc........................... 23,275 60,515
* Tandy Leather Factory, Inc....................................... 9,974 50,768
Tapestry, Inc.................................................... 236,819 6,124,139
Target Corp...................................................... 277,933 29,713,817
* Taylor Morrison Home Corp........................................ 16,370 410,069
# Tenneco, Inc., Class A........................................... 5,044 63,504
Thor Industries, Inc............................................. 38,190 2,415,899
Tilly's, Inc., Class A........................................... 18,598 190,815
Toll Brothers, Inc............................................... 179,799 7,150,606
* TopBuild Corp.................................................... 35,100 3,647,943
* Unifi, Inc....................................................... 41,401 1,130,247
* Universal Electronics, Inc....................................... 15,506 808,173
* Urban Outfitters, Inc............................................ 51,870 1,488,669
# * Veoneer, Inc..................................................... 9,404 149,712
* Vista Outdoor, Inc............................................... 17,394 116,540
# Whirlpool Corp................................................... 50,924 7,746,559
* William Lyon Homes, Class A...................................... 23,600 456,660
Winnebago Industries, Inc........................................ 9,435 453,540
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
CONSUMER DISCRETIONARY -- (Continued)
Wolverine World Wide, Inc........................................ 33,677 $ 999,533
Wyndham Hotels & Resorts, Inc.................................... 47,600 2,568,972
# * ZAGG, Inc........................................................ 30,497 224,763
# * Zovio, Inc....................................................... 10,994 21,548
------------
TOTAL CONSUMER DISCRETIONARY.......................................... 470,923,653
------------
CONSUMER STAPLES -- (6.0%)
Alico, Inc....................................................... 960 31,536
Andersons, Inc. (The)............................................ 30,460 561,073
Archer-Daniels-Midland Co........................................ 813,476 34,198,531
Bunge, Ltd....................................................... 114,694 6,193,476
# * Cal-Maine Foods, Inc............................................. 4,230 168,735
Casey's General Stores, Inc...................................... 26,905 4,595,643
# * Central Garden & Pet Co.......................................... 25,184 756,024
* Central Garden & Pet Co., Class A................................ 48,121 1,360,862
Constellation Brands, Inc., Class B.............................. 7,839 1,490,782
# Coty, Inc., Class A.............................................. 229,558 2,683,533
* Craft Brew Alliance, Inc......................................... 9,754 71,107
* Darling Ingredients, Inc......................................... 173,938 3,357,003
Flowers Foods, Inc............................................... 84,458 1,834,428
# Fresh Del Monte Produce, Inc..................................... 39,437 1,258,040
# * Hain Celestial Group, Inc. (The)................................. 87,292 2,063,583
# * Hostess Brands, Inc.............................................. 4,500 57,510
Ingles Markets, Inc., Class A.................................... 11,437 450,961
Ingredion, Inc................................................... 62,117 4,907,243
JM Smucker Co. (The)............................................. 108,204 11,434,999
John B. Sanfilippo & Son, Inc.................................... 10,428 1,106,619
* Landec Corp...................................................... 37,056 365,002
# Limoneira Co..................................................... 6,194 117,190
Molson Coors Brewing Co., Class A................................ 1,908 113,049
Molson Coors Brewing Co., Class B................................ 186,550 9,834,916
Mondelez International, Inc., Class A............................ 2,081,099 109,153,642
* Natural Grocers by Vitamin Cottage, Inc.......................... 1,000 8,770
* Nature's Sunshine Products, Inc.................................. 1,029 9,714
Nu Skin Enterprises, Inc., Class A............................... 10,179 453,780
Oil-Dri Corp. of America......................................... 5,047 176,695
* Performance Food Group Co........................................ 50,855 2,166,932
* Pilgrim's Pride Corp............................................. 7,900 239,844
* Post Holdings, Inc............................................... 72,415 7,451,503
PriceSmart, Inc.................................................. 4,262 315,814
# * Pyxus International, Inc......................................... 3,508 40,061
Sanderson Farms, Inc............................................. 22,700 3,514,187
Seaboard Corp.................................................... 1,812 7,644,991
* Seneca Foods Corp., Class A...................................... 6,301 222,929
* Seneca Foods Corp., Class B...................................... 300 10,470
* Simply Good Foods Co. (The)...................................... 8,033 197,130
SpartanNash Co................................................... 33,983 445,007
# Spectrum Brands Holdings, Inc.................................... 6,675 335,152
* TreeHouse Foods, Inc............................................. 35,887 1,938,616
Tyson Foods, Inc., Class A....................................... 405,030 33,532,434
Universal Corp................................................... 22,290 1,221,492
* US Foods Holding Corp............................................ 208,373 8,266,157
# Village Super Market, Inc., Class A.............................. 1,900 50,350
Walgreens Boots Alliance, Inc.................................... 659,669 36,136,668
Walmart, Inc..................................................... 1,173,687 137,626,538
# Weis Markets, Inc................................................ 11,602 446,561
------------
TOTAL CONSUMER STAPLES................................................ 440,617,282
------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
ENERGY -- (9.5%)
Adams Resources & Energy, Inc...................................... 6,004 $ 180,120
# * Antero Resources Corp.............................................. 26,000 65,000
Apache Corp........................................................ 15,708 340,235
* Apergy Corp........................................................ 13,433 338,109
# Arch Coal, Inc., Class A........................................... 17,190 1,356,119
Archrock, Inc...................................................... 69,200 667,088
# * Bonanza Creek Energy, Inc.......................................... 6,200 110,484
Cabot Oil & Gas Corp............................................... 115,578 2,154,374
# * Callon Petroleum Co................................................ 250,011 950,042
# * Carrizo Oil & Gas, Inc............................................. 1,000 7,360
* Centennial Resource Development, Inc., Class A..................... 56,834 193,236
Chevron Corp....................................................... 1,304,634 151,520,193
Cimarex Energy Co.................................................. 79,704 3,365,103
# * CNX Resources Corp................................................. 175,641 1,480,654
ConocoPhillips..................................................... 1,439,649 79,468,625
# * CONSOL Energy, Inc................................................. 3,800 50,274
# * Dawson Geophysical Co.............................................. 21,211 50,906
Delek US Holdings, Inc............................................. 82,793 3,307,580
# * Denbury Resources, Inc............................................. 193,800 193,432
Devon Energy Corp.................................................. 4,500 91,260
# DMC Global, Inc.................................................... 372 16,643
* Dorian LPG, Ltd.................................................... 13,595 169,258
# * Earthstone Energy, Inc., Class A................................... 8,400 32,592
# * EnLink Midstream LLC............................................... 195,680 1,223,000
* Era Group, Inc..................................................... 24,458 236,509
Evolution Petroleum Corp........................................... 17,727 99,626
* Exterran Corp...................................................... 35,500 449,785
Exxon Mobil Corp................................................... 2,133,521 144,162,014
GasLog, Ltd........................................................ 7,643 104,785
# * Green Plains, Inc.................................................. 21,234 261,815
* Gulf Island Fabrication, Inc....................................... 13,009 68,167
# * Gulfport Energy Corp............................................... 68,661 191,221
Hallador Energy Co................................................. 14,700 49,465
* Helix Energy Solutions Group, Inc.................................. 137,210 1,178,634
# Helmerich & Payne, Inc............................................. 95,808 3,592,800
Hess Corp.......................................................... 146,488 9,631,586
HollyFrontier Corp................................................. 145,960 8,019,042
* International Seaways, Inc......................................... 12 302
Kinder Morgan, Inc................................................. 574,540 11,479,309
# Kosmos Energy, Ltd................................................. 26,900 166,780
* Laredo Petroleum, Inc.............................................. 36,900 87,084
Marathon Oil Corp.................................................. 467,019 5,384,729
Marathon Petroleum Corp............................................ 1,004,662 64,248,135
# * Matador Resources Co............................................... 63,704 886,123
* Matrix Service Co.................................................. 29,245 548,636
# Murphy Oil Corp.................................................... 148,447 3,062,462
# Nabors Industries, Ltd............................................. 270,147 499,772
NACCO Industries, Inc., Class A.................................... 6,832 345,016
National Oilwell Varco, Inc........................................ 92,895 2,101,285
* Natural Gas Services Group, Inc.................................... 15,026 178,659
* Newpark Resources, Inc............................................. 93,715 562,290
NexTier Oilfield Solutions, Inc.................................... 1,400 6,048
Noble Energy, Inc.................................................. 133,794 2,576,872
* Oasis Petroleum, Inc............................................... 176,912 461,740
Occidental Petroleum Corp.......................................... 177,200 7,176,600
* Oceaneering International, Inc..................................... 111,126 1,573,544
Panhandle Oil and Gas, Inc., Class A............................... 10,414 147,775
Parsley Energy, Inc., Class A...................................... 153,065 2,419,958
Patterson-UTI Energy, Inc.......................................... 192,640 1,602,765
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
ENERGY -- (Continued)
PBF Energy, Inc., Class A.......................................... 128,074 $ 4,134,229
* PDC Energy, Inc.................................................... 48,958 976,712
Peabody Energy Corp................................................ 79,122 833,155
Phillips 66........................................................ 775,455 90,588,653
Pioneer Natural Resources Co....................................... 88,400 10,874,968
* ProPetro Holding Corp.............................................. 5,764 44,671
QEP Resources, Inc................................................. 108,730 362,071
# Range Resources Corp............................................... 41,800 168,454
* REX American Resources Corp........................................ 4,050 327,726
* SandRidge Energy, Inc.............................................. 1,400 6,132
Schlumberger, Ltd.................................................. 6,554 214,250
* SEACOR Holdings, Inc............................................... 18,204 781,134
* SEACOR Marine Holdings, Inc........................................ 12,678 164,941
Ship Finance International, Ltd.................................... 12,481 180,600
* SilverBow Resources, Inc........................................... 3,019 23,850
SM Energy Co....................................................... 69,938 548,314
# * Southwestern Energy Co............................................. 364,155 746,518
* SRC Energy, Inc.................................................... 246,067 767,729
# Targa Resources Corp............................................... 68,796 2,674,788
* TETRA Technologies, Inc............................................ 31,400 53,380
# * Transocean, Ltd.................................................... 216,054 1,026,256
# * Unit Corp.......................................................... 39,800 81,192
# Valaris P.L.C...................................................... 1 4
Valero Energy Corp................................................. 605,899 58,760,085
# * Whiting Petroleum Corp............................................. 39,585 250,969
World Fuel Services Corp........................................... 14,312 597,812
* WPX Energy, Inc.................................................... 405,172 4,043,616
------------
TOTAL ENERGY............................................................ 700,125,229
------------
FINANCIALS -- (23.8%)
# 1st Constitution Bancorp........................................... 692 13,141
1st Source Corp.................................................... 45,305 2,318,710
Affiliated Managers Group, Inc..................................... 31,797 2,539,944
Aflac, Inc......................................................... 428,750 22,792,350
* Alleghany Corp..................................................... 3,115 2,424,373
Allstate Corp. (The)............................................... 169,260 18,012,649
American Equity Investment Life Holding Co......................... 99,914 2,465,878
American Financial Group, Inc...................................... 156,083 16,238,875
American International Group, Inc.................................. 421,331 22,313,690
American National Insurance Co..................................... 23,302 2,795,774
Ameris Bancorp..................................................... 5,770 247,244
AmeriServ Financial, Inc........................................... 30,968 128,827
* Arch Capital Group, Ltd............................................ 9,282 387,616
Argo Group International Holdings, Ltd............................. 59,381 3,673,902
Associated Banc-Corp............................................... 62,243 1,251,707
Assurant, Inc...................................................... 65,820 8,297,927
Assured Guaranty, Ltd.............................................. 122,989 5,770,644
* Asta Funding, Inc.................................................. 885 6,107
* Athene Holding, Ltd., Class A...................................... 90,662 3,930,198
Atlantic Union Bankshares Corp..................................... 68,246 2,515,548
# * Atlanticus Holdings Corp........................................... 12,567 99,405
Axis Capital Holdings, Ltd......................................... 62,010 3,685,254
Banc of California, Inc............................................ 4,100 56,457
* Bancorp, Inc. (The)................................................ 14,759 160,873
BancorpSouth Bank.................................................. 49,627 1,522,060
Bank of America Corp............................................... 5,929,137 185,404,114
Bank of New York Mellon Corp. (The)................................ 552,910 25,848,542
Bank OZK........................................................... 52,132 1,462,824
BankFinancial Corp................................................. 16,687 214,929
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
BankUnited, Inc.................................................... 42,709 $ 1,464,919
Banner Corp........................................................ 40,520 2,187,270
Bar Harbor Bankshares.............................................. 2,733 68,462
BB&T Corp.......................................................... 195,478 10,370,108
BCB Bancorp, Inc................................................... 1,059 13,661
* Berkshire Hathaway, Inc., Class B.................................. 561,141 119,287,354
Berkshire Hills Bancorp, Inc....................................... 33,464 1,038,388
* Blucora, Inc....................................................... 57,127 1,235,657
BOK Financial Corp................................................. 23,100 1,782,165
Boston Private Financial Holdings, Inc............................. 12,500 140,625
* Brighthouse Financial, Inc......................................... 55,158 2,082,766
Brookline Bancorp, Inc............................................. 90,600 1,422,420
Cadence BanCorp.................................................... 52,543 808,111
* Cannae Holdings, Inc............................................... 15,438 450,790
# Capital City Bank Group, Inc....................................... 14,283 406,351
Capital One Financial Corp......................................... 372,872 34,770,314
Capitol Federal Financial, Inc..................................... 139,153 1,985,713
Carolina Financial Corp............................................ 1,153 43,756
# Cathay General Bancorp............................................. 85,940 3,056,886
CenterState Bank Corp.............................................. 22,895 580,617
Century Bancorp, Inc., Class A..................................... 295 25,668
Chemung Financial Corp............................................. 300 12,771
Chubb, Ltd......................................................... 147,355 22,459,849
Cincinnati Financial Corp.......................................... 12,284 1,390,672
CIT Group, Inc..................................................... 74,203 3,182,567
Citigroup, Inc..................................................... 1,870,326 134,401,626
Citizens Community Bancorp, Inc.................................... 10,355 115,148
CME Group, Inc..................................................... 77,028 15,848,511
CNA Financial Corp................................................. 51,474 2,308,094
CNO Financial Group, Inc........................................... 301,264 4,714,782
Codorus Valley Bancorp, Inc........................................ 166 3,592
Columbia Banking System, Inc....................................... 69,936 2,748,485
Community Bankers Trust Corp....................................... 5,917 51,241
Community Financial Corp. (The).................................... 408 13,595
Community Trust Bancorp, Inc....................................... 18,195 797,123
Community West Bancshares.......................................... 400 3,968
ConnectOne Bancorp, Inc............................................ 38,800 942,064
* Consumer Portfolio Services, Inc................................... 26,500 89,438
# * Cowen, Inc., Class A............................................... 3,989 59,715
* Customers Bancorp, Inc............................................. 2,290 53,998
CVB Financial Corp................................................. 5,300 110,134
Donegal Group, Inc., Class A....................................... 12,386 182,322
E*TRADE Financial Corp............................................. 86,881 3,630,757
Eagle Bancorp Montana, Inc......................................... 1,000 19,020
East West Bancorp, Inc............................................. 76,046 3,263,894
Employers Holdings, Inc............................................ 36,900 1,562,346
* Equity Bancshares, Inc., Class A................................... 2,393 66,430
ESSA Bancorp, Inc.................................................. 8,217 134,348
Evans Bancorp, Inc................................................. 1,681 63,861
Everest Re Group, Ltd.............................................. 34,913 8,975,783
FBL Financial Group, Inc., Class A................................. 24,660 1,414,991
Federal Agricultural Mortgage Corp., Class A....................... 177 13,257
Federal Agricultural Mortgage Corp., Class C....................... 9,500 804,555
FedNat Holding Co.................................................. 13,665 196,093
Fifth Third Bancorp................................................ 202,049 5,875,585
Financial Institutions, Inc........................................ 296 9,303
First American Financial Corp...................................... 81,153 5,013,632
First Bancorp...................................................... 16,138 609,209
First BanCorp...................................................... 229,025 2,409,343
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
FINANCIALS -- (Continued)
First Busey Corp................................................... 3,120 $ 82,274
First Business Financial Services, Inc............................. 964 23,444
First Citizens BancShares, Inc., Class A........................... 8,627 4,243,794
First Commonwealth Financial Corp.................................. 31,647 445,906
First Defiance Financial Corp...................................... 21,760 672,819
First Financial Bancorp............................................ 112,065 2,626,804
First Financial Corp............................................... 1,147 50,319
First Financial Northwest, Inc..................................... 25,371 359,000
First Hawaiian, Inc................................................ 67,592 1,847,289
First Horizon National Corp........................................ 239,535 3,825,374
First Internet Bancorp............................................. 5,329 121,181
First Interstate BancSystem, Inc., Class A......................... 20,548 862,194
First Merchants Corp............................................... 40,115 1,586,548
First Midwest Bancorp, Inc......................................... 103,318 2,122,152
First United Corp.................................................. 1,266 29,624
Flagstar Bancorp, Inc.............................................. 8,432 306,419
FNB Corp........................................................... 122,668 1,479,376
Franklin Financial Network, Inc.................................... 5,337 177,562
Fulton Financial Corp.............................................. 167,580 2,858,915
* Genworth Financial, Inc., Class A.................................. 34,964 149,646
Global Indemnity, Ltd.............................................. 8,282 205,062
Goldman Sachs Group, Inc. (The).................................... 205,139 43,772,560
Great Southern Bancorp, Inc........................................ 1,616 97,639
Great Western Bancorp, Inc......................................... 25,293 881,967
Guaranty Federal Bancshares, Inc................................... 1,684 40,871
* Hallmark Financial Services, Inc................................... 16,734 298,200
Hancock Whitney Corp............................................... 26,413 1,030,107
Hanmi Financial Corp............................................... 3,221 62,004
Hanover Insurance Group, Inc. (The)................................ 88,829 11,699,668
Hartford Financial Services Group, Inc. (The)...................... 245,844 14,032,776
Heartland Financial USA, Inc....................................... 465 21,753
Hilltop Holdings, Inc.............................................. 26,171 611,355
* HMN Financial, Inc................................................. 3,456 72,749
Home Bancorp, Inc.................................................. 719 27,437
Home BancShares, Inc............................................... 49,545 915,592
* HomeStreet, Inc.................................................... 2,200 66,022
Hope Bancorp, Inc.................................................. 103,224 1,473,006
Horace Mann Educators Corp......................................... 58,206 2,535,453
Huntington Bancshares, Inc......................................... 86,935 1,228,392
IBERIABANK Corp.................................................... 30,509 2,239,056
Independent Bank Corp.............................................. 339 27,825
Independent Bank Group, Inc........................................ 40,199 2,149,441
International Bancshares Corp...................................... 22,918 938,721
Invesco, Ltd....................................................... 126,947 2,135,249
Investors Bancorp, Inc............................................. 123,411 1,487,103
Investors Title Co................................................. 1,069 162,167
# Janus Henderson Group P.L.C........................................ 36,538 845,124
Jefferies Financial Group, Inc..................................... 114,638 2,140,291
JPMorgan Chase & Co................................................ 2,307,658 288,272,637
Kemper Corp........................................................ 59,119 4,249,474
KeyCorp............................................................ 526,210 9,455,994
Lakeland Bancorp, Inc.............................................. 55,240 914,222
Landmark Bancorp, Inc.............................................. 2,509 58,184
Legg Mason, Inc.................................................... 43,800 1,631,988
Lincoln National Corp.............................................. 134,595 7,601,926
Loews Corp......................................................... 243,798 11,946,102
Mackinac Financial Corp............................................ 6,893 107,807
Marlin Business Services Corp...................................... 13,787 327,303
# * MBIA, Inc.......................................................... 82,267 764,260
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
FINANCIALS -- (Continued)
Mercantile Bank Corp........................ 4,422 $ 155,699
Meridian Bancorp, Inc....................... 1,000 19,560
* Meridian Corp............................... 511 9,070
MetLife, Inc................................ 949,912 44,446,382
MGIC Investment Corp........................ 340,167 4,663,690
Middlefield Banc Corp....................... 226 10,396
MidWestOne Financial Group, Inc............. 346 11,278
Morgan Stanley.............................. 1,036,923 47,750,304
MutualFirst Financial, Inc.................. 2,300 91,747
MVB Financial Corp.......................... 716 14,427
National Western Life Group, Inc., Class A.. 900 245,340
Navient Corp................................ 61,729 850,008
Nelnet, Inc., Class A....................... 16,900 1,035,463
# New York Community Bancorp, Inc............. 202,923 2,364,053
(double right angle quote) NewStar Financial, Inc...................... 41,166 28,911
Northfield Bancorp, Inc..................... 2,300 39,123
Northrim BanCorp, Inc....................... 5,734 223,339
Northwest Bancshares, Inc................... 89,407 1,508,296
OceanFirst Financial Corp................... 5,000 119,650
OFG Bancorp................................. 34,148 693,546
Old National Bancorp........................ 84,257 1,516,205
Old Republic International Corp............. 232,667 5,197,781
OneMain Holdings, Inc....................... 43,655 1,746,200
Oppenheimer Holdings, Inc., Class A......... 3,097 84,238
Oritani Financial Corp...................... 46,800 873,288
* Pacific Mercantile Bancorp.................. 4,866 34,841
# Pacific Premier Bancorp, Inc................ 3,466 116,995
PacWest Bancorp............................. 92,581 3,424,571
Peoples Bancorp of North Carolina, Inc...... 275 8,179
Peoples Bancorp, Inc........................ 15,923 520,841
People's United Financial, Inc.............. 218,574 3,534,342
Pinnacle Financial Partners, Inc............ 27,914 1,641,901
PNC Financial Services Group, Inc. (The).... 217,040 31,839,768
Popular, Inc................................ 87,336 4,756,319
# * PRA Group, Inc.............................. 44,671 1,515,687
Premier Financial Bancorp, Inc.............. 9,004 159,821
Principal Financial Group, Inc.............. 218,754 11,677,089
ProAssurance Corp........................... 3,184 124,876
# Prosperity Bancshares, Inc.................. 43,994 3,036,466
Protective Insurance Corp., Class A......... 300 4,455
Protective Insurance Corp., Class B......... 5,098 81,109
Provident Financial Holdings, Inc........... 544 10,913
Provident Financial Services, Inc........... 71,759 1,790,387
Prudential Bancorp, Inc..................... 1,222 21,324
Prudential Financial, Inc................... 497,625 45,353,542
Radian Group, Inc........................... 167,314 4,199,581
Regions Financial Corp...................... 1,302,555 20,971,135
Reinsurance Group of America, Inc........... 153,566 24,949,868
RenaissanceRe Holdings, Ltd................. 28,067 5,253,581
Renasant Corp............................... 44,538 1,545,469
Riverview Bancorp, Inc...................... 1,682 12,094
Safety Insurance Group, Inc................. 26,197 2,546,348
Salisbury Bancorp, Inc...................... 300 11,418
Sandy Spring Bancorp, Inc................... 10,325 356,212
Santander Consumer USA Holdings, Inc........ 48,660 1,220,393
SB Financial Group, Inc..................... 1,128 19,086
* Select Bancorp, Inc......................... 2,728 30,826
Selective Insurance Group, Inc.............. 45,200 3,124,224
# Severn Bancorp, Inc......................... 1,399 11,612
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
FINANCIALS -- (Continued)
Signature Bank..................................................... 26,089 $ 3,086,850
# Simmons First National Corp., Class A.............................. 52,445 1,254,484
SLM Corp........................................................... 63,919 539,476
South State Corp................................................... 14,479 1,141,814
Southern National Bancorp of Virginia, Inc......................... 193 3,057
State Auto Financial Corp.......................................... 15,100 499,659
State Street Corp.................................................. 6,188 408,841
Sterling Bancorp................................................... 110,271 2,166,825
Stewart Information Services Corp.................................. 12,271 502,129
Stifel Financial Corp.............................................. 71,100 3,980,178
SunTrust Banks, Inc................................................ 255,532 17,463,057
Synchrony Financial................................................ 544,549 19,260,698
Synovus Financial Corp............................................. 106,709 3,614,234
TCF Financial Corp................................................. 80,613 3,191,469
Territorial Bancorp, Inc........................................... 823 24,328
* Texas Capital Bancshares, Inc...................................... 22,592 1,221,324
Timberland Bancorp, Inc............................................ 3,971 105,232
Tiptree, Inc....................................................... 37,071 272,472
Towne Bank......................................................... 10,057 282,501
Travelers Cos., Inc. (The)......................................... 168,250 22,050,845
TriCo Bancshares................................................... 854 32,136
# Trustmark Corp..................................................... 66,717 2,289,727
Two River Bancorp.................................................. 700 14,679
UMB Financial Corp................................................. 6,961 454,275
Umpqua Holdings Corp............................................... 70,732 1,118,980
# United Bankshares, Inc............................................. 31,427 1,242,624
United Community Banks, Inc........................................ 7,372 222,708
United Financial Bancorp, Inc...................................... 9,993 141,101
United Fire Group, Inc............................................. 24,429 1,112,008
Unity Bancorp, Inc................................................. 3,592 78,449
Univest Financial Corp............................................. 2,256 58,092
Unum Group......................................................... 517,445 14,250,435
# Valley National Bancorp............................................ 158,654 1,837,213
Voya Financial, Inc................................................ 72,944 3,936,058
Washington Federal, Inc............................................ 97,887 3,568,960
Waterstone Financial, Inc.......................................... 1,426 26,566
Webster Financial Corp............................................. 22,479 991,324
Wells Fargo & Co................................................... 3,018,887 155,865,136
WesBanco, Inc...................................................... 34,796 1,307,982
Western New England Bancorp, Inc................................... 13,698 130,953
White Mountains Insurance Group, Ltd............................... 1,572 1,683,612
Wintrust Financial Corp............................................ 47,328 3,020,473
WSFS Financial Corp................................................ 40,724 1,717,331
# Zions Bancorp NA................................................... 114,384 5,544,192
--------------
TOTAL FINANCIALS........................................................ 1,753,069,546
--------------
HEALTH CARE -- (13.3%)
Abbott Laboratories................................................ 915,297 76,527,982
# * Acadia Healthcare Co., Inc......................................... 68,394 2,051,136
# * Acorda Therapeutics, Inc........................................... 6,700 11,055
* Addus HomeCare Corp................................................ 2,044 172,125
Allergan P.L.C..................................................... 26,101 4,596,647
* Allscripts Healthcare Solutions, Inc............................... 33,823 370,024
* AMN Healthcare Services, Inc....................................... 3,400 199,784
* AngioDynamics, Inc................................................. 14,354 219,616
* Anika Therapeutics, Inc............................................ 14,671 1,032,692
Anthem, Inc........................................................ 504,640 135,788,531
* Arena Pharmaceuticals, Inc......................................... 2,796 136,207
# * Avanos Medical, Inc................................................ 23,671 1,042,471
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
HEALTH CARE -- (Continued)
Becton Dickinson and Co................... 31,580 $ 8,084,480
* Bio-Rad Laboratories, Inc., Class A....... 6,342 2,103,134
# * Bluebird Bio, Inc......................... 7,100 575,100
* Brookdale Senior Living, Inc.............. 160,354 1,178,602
* Cambrex Corp.............................. 3,325 198,602
* Catalent, Inc............................. 59,241 2,882,075
* Centene Corp.............................. 40,272 2,137,638
* Cigna Corp................................ 299,456 53,440,918
* Concert Pharmaceuticals, Inc.............. 5,383 33,536
CONMED Corp............................... 43,239 4,757,155
Cooper Cos., Inc. (The)................... 13,956 4,061,196
# * Covetrus, Inc............................. 7,558 74,938
* Cross Country Healthcare, Inc............. 33,795 365,324
* CryoLife, Inc............................. 17,502 392,920
# * Cumberland Pharmaceuticals, Inc........... 23,319 122,658
CVS Health Corp........................... 1,510,745 100,298,361
Danaher Corp.............................. 405,225 55,848,109
* DaVita, Inc............................... 73,290 4,294,794
DENTSPLY SIRONA, Inc...................... 73,992 4,053,282
* Digirad Corp.............................. 2,671 10,924
* Diplomat Pharmacy, Inc.................... 34,200 186,048
* Emergent BioSolutions, Inc................ 30,996 1,771,731
# * Enzo Biochem, Inc......................... 6,287 19,867
* FONAR Corp................................ 1,460 29,682
* Globus Medical, Inc., Class A............. 13,207 691,651
# * Harvard Bioscience, Inc................... 16,180 45,304
* HMS Holdings Corp......................... 6,400 209,216
* Horizon Therapeutics P.L.C................ 45,000 1,300,950
Humana, Inc............................... 198,071 58,272,488
* Integer Holdings Corp..................... 41,672 3,227,080
* Integra LifeSciences Holdings Corp........ 15,398 894,008
# * IntriCon Corp............................. 9,335 193,048
* Jazz Pharmaceuticals P.L.C................ 44,811 5,629,606
Kewaunee Scientific Corp.................. 1,631 25,949
* Laboratory Corp. of America Holdings...... 9,871 1,626,445
# * LHC Group, Inc............................ 30,318 3,364,388
# * Ligand Pharmaceuticals, Inc............... 5,369 584,201
* LivaNova P.L.C............................ 6,183 437,324
Luminex Corp.............................. 19,129 392,049
* Magellan Health, Inc...................... 18,899 1,226,545
# * Mallinckrodt P.L.C........................ 33,959 107,310
* (double right angle quote) MedCath Corp.............................. 29,240 0
* MEDNAX, Inc............................... 75,502 1,658,024
* Medpace Holdings, Inc..................... 800 58,904
Medtronic P.L.C........................... 814,175 88,663,657
Meridian Bioscience, Inc.................. 19,800 193,842
* Merit Medical Systems, Inc................ 37,630 777,248
* Molina Healthcare, Inc.................... 18,941 2,228,219
* Mylan NV.................................. 28,680 549,222
# * Myriad Genetics, Inc...................... 80,916 2,724,442
National HealthCare Corp.................. 6,880 565,398
* Natus Medical, Inc........................ 16,198 545,549
* NuVasive, Inc............................. 4,355 307,202
# * Nuvectra Corp............................. 10,668 14,082
* Omnicell, Inc............................. 35,405 2,492,158
* OraSure Technologies, Inc................. 69,400 592,676
# Patterson Cos., Inc....................... 12,992 222,553
PerkinElmer, Inc.......................... 76,500 6,575,940
Perrigo Co. P.L.C......................... 60,070 3,184,911
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
HEALTH CARE -- (Continued)
Pfizer, Inc........................................................ 3,696,959 $141,852,317
# * Premier, Inc., Class A............................................. 24,342 793,062
# * Prestige Consumer Healthcare, Inc.................................. 111,489 3,953,400
* Providence Service Corp. (The)..................................... 3,200 204,384
Quest Diagnostics, Inc............................................. 3,282 332,302
* RTI Surgical Holdings, Inc......................................... 65,316 143,695
* Select Medical Holdings Corp....................................... 124,004 2,259,353
STERIS P.L.C....................................................... 200 28,314
* Supernus Pharmaceuticals, Inc...................................... 523 14,534
* Surmodics, Inc..................................................... 5,593 265,723
# * Syneos Health, Inc................................................. 36,967 1,853,895
Taro Pharmaceutical Industries, Ltd................................ 3,478 281,162
Teleflex, Inc...................................................... 23,829 8,278,433
Thermo Fisher Scientific, Inc...................................... 435,609 131,545,206
# * Triple-S Management Corp., Class B................................. 21,741 328,941
* United Therapeutics Corp........................................... 3,922 352,352
UnitedHealth Group, Inc............................................ 89,716 22,671,233
* Varex Imaging Corp................................................. 5,400 162,054
* WellCare Health Plans, Inc......................................... 18,375 5,450,025
------------
TOTAL HEALTH CARE....................................................... 979,421,318
------------
INDUSTRIALS -- (12.0%)
AAR Corp........................................................... 35,596 1,486,133
ABM Industries, Inc................................................ 76,400 2,785,544
Acme United Corp................................................... 1,030 21,281
Actuant Corp., Class A............................................. 21,000 520,170
Acuity Brands, Inc................................................. 32,822 4,095,857
* Advanced Disposal Services, Inc.................................... 9,007 295,249
* AECOM.............................................................. 114,631 4,586,386
* Aegion Corp........................................................ 38,330 830,611
* Aerovironment, Inc................................................. 35,065 2,033,069
AGCO Corp.......................................................... 73,273 5,619,306
Air Lease Corp..................................................... 74,037 3,256,147
* Air Transport Services Group, Inc.................................. 20,108 420,458
Alamo Group, Inc................................................... 22,751 2,435,722
Alaska Air Group, Inc.............................................. 114,992 7,983,895
Albany International Corp., Class A................................ 20,551 1,725,873
# Allegiant Travel Co................................................ 10,873 1,819,379
Allied Motion Technologies, Inc.................................... 1,458 55,200
Altra Industrial Motion Corp....................................... 15,484 476,907
AMERCO............................................................. 29,431 11,920,732
# * Ameresco, Inc., Class A............................................ 981 14,460
* American Woodmark Corp............................................. 16,604 1,646,453
Apogee Enterprises, Inc............................................ 36,374 1,365,480
Applied Industrial Technologies, Inc............................... 11,718 701,205
* ARC Document Solutions, Inc........................................ 20,800 28,288
ArcBest Corp....................................................... 12,135 350,580
Arconic, Inc....................................................... 257,834 7,082,700
Arcosa, Inc........................................................ 61,271 2,353,419
# Argan, Inc......................................................... 16,121 610,180
* Armstrong Flooring, Inc............................................ 22,983 141,116
* ASGN, Inc.......................................................... 55,051 3,500,693
Astec Industries, Inc.............................................. 22,925 804,438
# * Atlas Air Worldwide Holdings, Inc.................................. 29,094 638,031
AZZ, Inc........................................................... 19,600 760,284
Barnes Group, Inc.................................................. 52,200 3,051,090
# * Beacon Roofing Supply, Inc......................................... 32,799 1,018,081
* BMC Stock Holdings, Inc............................................ 3,700 99,863
Brady Corp., Class A............................................... 55,500 3,126,870
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- -----------
INDUSTRIALS -- (Continued)
# Briggs & Stratton Corp............................................. 48,233 $ 355,477
* Builders FirstSource, Inc.......................................... 28,442 643,074
* CAI International, Inc............................................. 17,082 406,039
Carlisle Cos., Inc................................................. 46,423 7,068,830
* Casella Waste Systems, Inc., Class A............................... 5,201 226,712
* CBIZ, Inc.......................................................... 39,049 1,068,771
* CECO Environmental Corp............................................ 3,773 25,883
* Chart Industries, Inc.............................................. 23,320 1,367,252
Chicago Rivet & Machine Co......................................... 700 18,207
* CIRCOR International, Inc.......................................... 9,719 372,141
* Clean Harbors, Inc................................................. 40,519 3,341,197
# * Colfax Corp........................................................ 16,746 562,666
Columbus McKinnon Corp............................................. 17,542 658,176
Comfort Systems USA, Inc........................................... 44,560 2,246,270
* Commercial Vehicle Group, Inc...................................... 31,533 229,876
CompX International, Inc........................................... 500 7,330
* Continental Building Products, Inc................................. 1,300 38,883
Copa Holdings SA, Class A.......................................... 33,488 3,407,069
* Covenant Transportation Group, Inc., Class A....................... 7,080 108,820
CRA International, Inc............................................. 7,613 374,940
Crane Co........................................................... 13,650 1,044,498
CSW Industrials, Inc............................................... 300 20,766
CSX Corp........................................................... 1,055,544 74,173,077
# Cubic Corp......................................................... 31,381 2,314,035
Curtiss-Wright Corp................................................ 46,353 6,269,243
Delta Air Lines, Inc............................................... 433,135 23,857,076
Deluxe Corp........................................................ 27,627 1,431,907
Douglas Dynamics, Inc.............................................. 30,234 1,415,858
* Ducommun, Inc...................................................... 12,645 626,939
* DXP Enterprises, Inc............................................... 15,502 535,129
# * Dycom Industries, Inc.............................................. 8,097 369,142
Eastern Co. (The).................................................. 10,193 281,225
Eaton Corp. P.L.C.................................................. 265,270 23,107,670
* Echo Global Logistics, Inc......................................... 31,380 624,776
EMCOR Group, Inc................................................... 63,171 5,540,728
Encore Wire Corp................................................... 24,066 1,352,509
EnerSys............................................................ 44,939 3,004,622
# Ennis, Inc......................................................... 30,835 604,058
EnPro Industries, Inc.............................................. 8,338 579,908
ESCO Technologies, Inc............................................. 29,848 2,521,858
Espey Manufacturing & Electronics Corp............................. 1,671 37,982
Federal Signal Corp................................................ 71,923 2,333,182
FedEx Corp......................................................... 127,314 19,435,755
Flowserve Corp..................................................... 52,147 2,546,859
Fluor Corp......................................................... 59,992 966,471
Fortune Brands Home & Security, Inc................................ 126,352 7,587,438
Forward Air Corp................................................... 5,747 397,520
* Franklin Covey Co.................................................. 3,046 116,357
Franklin Electric Co., Inc......................................... 20,558 1,107,048
* FTI Consulting, Inc................................................ 43,936 4,783,312
# * Gardner Denver Holdings, Inc....................................... 65,747 2,092,727
# GATX Corp.......................................................... 65,445 5,206,150
* Gencor Industries, Inc............................................. 13,149 164,363
* Genesee & Wyoming, Inc., Class A................................... 33,263 3,693,191
* Gibraltar Industries, Inc.......................................... 34,903 1,857,887
* Goldfield Corp. (The).............................................. 4,304 9,770
Gorman-Rupp Co. (The).............................................. 22,062 814,970
* GP Strategies Corp................................................. 18,583 206,271
# Granite Construction, Inc.......................................... 27,179 639,794
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
-------- -----------
INDUSTRIALS -- (Continued)
* Great Lakes Dredge & Dock Corp..................................... 69,820 $ 750,565
# Greenbrier Cos., Inc. (The)........................................ 22,451 657,590
Griffon Corp....................................................... 40,152 855,639
# Hawaiian Holdings, Inc............................................. 35,522 1,016,284
Heartland Express, Inc............................................. 10,005 209,104
Heidrick & Struggles International, Inc............................ 18,634 530,324
* Herc Holdings, Inc................................................. 1,679 74,313
* Heritage-Crystal Clean, Inc........................................ 7,665 203,429
Herman Miller, Inc................................................. 22,986 1,068,849
* Hertz Global Holdings, Inc......................................... 49,525 669,083
Hillenbrand, Inc................................................... 14,055 432,753
* Houston Wire & Cable Co............................................ 9,200 39,100
* Hub Group, Inc., Class A........................................... 1,944 89,035
Hubbell, Inc....................................................... 17,724 2,511,491
Hurco Cos., Inc.................................................... 7,910 275,189
* Huron Consulting Group, Inc........................................ 25,901 1,713,092
Hyster-Yale Materials Handling, Inc................................ 12,246 621,117
* IAA Inc............................................................ 18,100 690,515
ICF International, Inc............................................. 31,660 2,712,945
Ingersoll-Rand P.L.C............................................... 213,109 27,041,401
* InnerWorkings, Inc................................................. 31,800 154,230
Insteel Industries, Inc............................................ 17,578 335,212
Interface, Inc..................................................... 9,774 162,542
ITT, Inc........................................................... 92,819 5,518,090
* JELD-WEN Holding, Inc.............................................. 4,547 77,708
* JetBlue Airways Corp............................................... 324,893 6,270,435
# Kadant, Inc........................................................ 10,800 980,640
Kaman Corp......................................................... 27,087 1,589,194
# KAR Auction Services, Inc.......................................... 18,100 449,966
Kennametal, Inc.................................................... 49,746 1,539,639
Kimball International, Inc., Class B............................... 38,632 786,548
* Kirby Corp......................................................... 31,220 2,471,375
# Knight-Swift Transportation Holdings, Inc.......................... 84,110 3,066,651
Knoll, Inc......................................................... 8,100 216,594
Korn Ferry......................................................... 63,010 2,311,837
* Kratos Defense & Security Solutions, Inc........................... 2,711 51,184
L3Harris Technologies, Inc......................................... 130,611 26,946,355
* Lawson Products, Inc............................................... 8,847 406,520
* LB Foster Co., Class A............................................. 6,682 121,612
LSC Communications, Inc............................................ 5,700 5,558
LSI Industries, Inc................................................ 15,841 82,215
* Lydall, Inc........................................................ 15,605 305,390
# Macquarie Infrastructure Corp...................................... 15,762 679,973
ManpowerGroup, Inc................................................. 57,319 5,211,443
Marten Transport, Ltd.............................................. 79,636 1,724,916
* Masonite International Corp........................................ 25,806 1,584,746
# * MasTec, Inc........................................................ 63,539 3,999,145
Matson, Inc........................................................ 62,316 2,379,225
Matthews International Corp., Class A.............................. 31,887 1,179,181
McGrath RentCorp................................................... 18,152 1,385,179
* Mercury Systems, Inc............................................... 23,055 1,698,231
* Milacron Holdings Corp............................................. 37,800 632,016
Miller Industries, Inc............................................. 20,099 722,559
* Mistras Group, Inc................................................. 14,828 229,834
Mobile Mini, Inc................................................... 54,461 2,048,823
Moog, Inc., Class A................................................ 35,839 3,000,083
* MRC Global, Inc.................................................... 97,164 1,103,783
Mueller Industries, Inc............................................ 45,117 1,388,250
Mueller Water Products, Inc., Class A.............................. 72,387 846,928
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
-------- -----------
INDUSTRIALS -- (Continued)
* MYR Group, Inc..................................................... 19,582 $ 673,817
# National Presto Industries, Inc.................................... 5,471 470,998
* NL Industries, Inc................................................. 100 413
# NN, Inc............................................................ 18,396 132,819
Norfolk Southern Corp.............................................. 545,229 99,231,678
* Northwest Pipe Co.................................................. 5,286 161,223
* NOW, Inc........................................................... 6,649 70,080
nVent Electric P.L.C............................................... 136,734 3,153,086
Oshkosh Corp....................................................... 76,335 6,517,482
Owens Corning...................................................... 149,300 9,149,104
PACCAR, Inc........................................................ 84,661 6,439,316
* PAM Transportation Services, Inc................................... 6,449 369,528
Park Aerospace Corp................................................ 9,330 158,517
Park-Ohio Holdings Corp............................................ 2,542 78,192
* Patrick Industries, Inc............................................ 2,700 133,407
Pentair P.L.C...................................................... 112,916 4,682,627
* Perma-Pipe International Holdings, Inc............................. 8,900 79,032
* PGT Innovations, Inc............................................... 42,780 755,495
Powell Industries, Inc............................................. 5,719 223,956
Preformed Line Products Co......................................... 400 21,840
Primoris Services Corp............................................. 34,000 694,960
# Quad/Graphics, Inc................................................. 6,491 29,404
Quanex Building Products Corp...................................... 30,731 592,801
Quanta Services, Inc............................................... 168,307 7,077,309
* Radiant Logistics, Inc............................................. 42,044 226,617
Raytheon Co........................................................ 6,649 1,410,984
* RBC Bearings, Inc.................................................. 1,191 191,084
* RCM Technologies, Inc.............................................. 15,245 45,887
Regal Beloit Corp.................................................. 22,480 1,664,644
Republic Services, Inc............................................. 429,755 37,607,860
* Resideo Technologies, Inc.......................................... 27,514 262,208
Resources Connection, Inc.......................................... 31,255 457,886
* Rexnord Corp....................................................... 66,378 1,877,834
Rush Enterprises, Inc., Class A.................................... 33,503 1,463,746
Rush Enterprises, Inc., Class B.................................... 18,522 794,964
Ryder System, Inc.................................................. 89,844 4,369,114
* Saia, Inc.......................................................... 29,325 2,615,790
Schneider National, Inc., Class B.................................. 9,398 214,932
# * Sensata Technologies Holding P.L.C................................. 104,496 5,349,150
* SIFCO Industries, Inc.............................................. 4,527 11,544
Simpson Manufacturing Co., Inc..................................... 37,725 3,117,594
SkyWest, Inc....................................................... 57,460 3,421,743
Snap-on, Inc....................................................... 30,615 4,980,142
Southwest Airlines Co.............................................. 531,263 29,819,792
Spartan Motors, Inc................................................ 33,020 576,859
* Spirit Airlines, Inc............................................... 63,489 2,384,647
* SPX FLOW, Inc...................................................... 20,967 949,386
Standex International Corp......................................... 22,341 1,693,001
Stanley Black & Decker, Inc........................................ 129,900 19,657,767
Steelcase, Inc., Class A........................................... 100,669 1,758,687
# * Stericycle, Inc.................................................... 34,100 1,964,160
* Sterling Construction Co., Inc..................................... 29,900 485,725
* Team, Inc.......................................................... 12,074 219,264
Terex Corp......................................................... 37,136 1,023,097
Tetra Tech, Inc.................................................... 57,122 4,996,461
# * Textainer Group Holdings, Ltd...................................... 10,800 111,780
Textron, Inc....................................................... 1,844 84,990
* Thermon Group Holdings, Inc........................................ 5,700 135,831
Timken Co. (The)................................................... 40,125 1,966,125
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- ------------
INDUSTRIALS -- (Continued)
Titan International, Inc......................................... 27,586 $ 73,655
* Titan Machinery, Inc............................................. 17,783 295,198
* Transcat, Inc.................................................... 7,700 241,318
* TriMas Corp...................................................... 7,200 232,704
# Trinity Industries, Inc.......................................... 120,734 2,388,119
Triton International, Ltd........................................ 28,353 1,040,555
# Triumph Group, Inc............................................... 3,794 78,801
* Tutor Perini Corp................................................ 19,285 298,339
* Twin Disc, Inc................................................... 6,900 74,244
* Ultralife Corp................................................... 3,309 28,590
UniFirst Corp.................................................... 18,705 3,756,712
Union Pacific Corp............................................... 561,768 92,950,133
* United Airlines Holdings, Inc.................................... 114,796 10,428,069
* United Rentals, Inc.............................................. 800 106,856
United Technologies Corp......................................... 245,098 35,191,171
# * Univar Solutions, Inc............................................ 77,916 1,672,077
Universal Forest Products, Inc................................... 95,400 4,804,344
# * USA Truck, Inc................................................... 7,482 59,332
Valmont Industries, Inc.......................................... 10,420 1,429,520
* Vectrus, Inc..................................................... 10,469 478,538
# * Veritiv Corp..................................................... 9,937 135,541
Viad Corp........................................................ 23,193 1,415,237
Virco Manufacturing Corp......................................... 12,601 49,396
VSE Corp......................................................... 6,244 239,894
Wabash National Corp............................................. 23,800 339,388
Watts Water Technologies, Inc., Class A.......................... 27,709 2,583,864
Werner Enterprises, Inc.......................................... 51,539 1,881,173
* Wesco Aircraft Holdings, Inc..................................... 16,656 183,549
* WESCO International, Inc......................................... 50,840 2,549,626
# * Willdan Group, Inc............................................... 7,100 215,130
* Willis Lease Finance Corp........................................ 6,713 365,926
Woodward, Inc.................................................... 14,712 1,569,182
# * XPO Logistics, Inc............................................... 103,005 7,869,582
------------
TOTAL INDUSTRIALS..................................................... 885,520,604
------------
INFORMATION TECHNOLOGY -- (11.9%)
* ACI Worldwide, Inc............................................... 49,250 1,545,957
* Advanced Energy Industries, Inc.................................. 15,342 906,712
* Agilysys, Inc.................................................... 14,791 372,585
* Alithya Group, Inc., Class A..................................... 11,334 30,828
Alliance Data Systems Corp....................................... 15,826 1,582,600
* Alpha & Omega Semiconductor, Ltd................................. 20,661 269,833
Amdocs, Ltd...................................................... 99,072 6,459,494
* Amkor Technology, Inc............................................ 1,400 17,402
Analog Devices, Inc.............................................. 111,958 11,938,082
* Anixter International, Inc....................................... 17,801 1,473,033
* Arrow Electronics, Inc........................................... 175,521 13,915,305
AstroNova, Inc................................................... 6,285 99,680
* Avaya Holdings Corp.............................................. 4,570 55,251
Avnet, Inc....................................................... 139,400 5,514,664
AVX Corp......................................................... 72,760 1,114,683
* Aware, Inc....................................................... 14,326 38,107
* Axcelis Technologies, Inc........................................ 31,733 608,322
* AXT, Inc......................................................... 24,921 77,754
Bel Fuse, Inc., Class A.......................................... 3,574 47,892
Bel Fuse, Inc., Class B.......................................... 11,381 167,414
Belden, Inc...................................................... 12,684 650,436
Benchmark Electronics, Inc....................................... 62,063 2,103,936
Brooks Automation, Inc........................................... 50,847 2,159,472
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- ------------
INFORMATION TECHNOLOGY -- (Continued)
Cabot Microelectronics Corp...................................... 13,809 $ 2,086,816
* CACI International, Inc., Class A................................ 27,304 6,109,270
* CalAmp Corp...................................................... 34,000 381,480
* Calix, Inc....................................................... 8,963 68,567
# * Carbonite, Inc................................................... 18,200 312,494
# * Cardtronics P.L.C., Class A...................................... 13,293 455,418
* CCUR Holdings, Inc............................................... 11,740 41,677
* Cerence Inc...................................................... 24,487 379,548
* Ciena Corp....................................................... 133,800 4,966,656
* Cirrus Logic, Inc................................................ 66,501 4,519,408
Cisco Systems, Inc............................................... 4,221,011 200,540,233
Cognizant Technology Solutions Corp., Class A.................... 5,149 313,780
* Coherent, Inc.................................................... 16,244 2,419,056
Cohu, Inc........................................................ 35,808 595,129
# * CommScope Holding Co., Inc....................................... 149,929 1,679,205
Comtech Telecommunications Corp.................................. 15,569 544,137
* Conduent, Inc.................................................... 14,381 88,875
* CoreLogic, Inc................................................... 96,545 3,909,107
Corning, Inc..................................................... 785,955 23,287,847
* Cree, Inc........................................................ 77,800 3,713,394
CSP, Inc......................................................... 2,414 29,982
CTS Corp......................................................... 66,936 1,785,852
* CyberOptics Corp................................................. 3,281 60,305
Cypress Semiconductor Corp....................................... 271,878 6,326,601
Daktronics, Inc.................................................. 44,000 301,840
* Dell Technologies, Inc., Class C................................. 24,705 1,306,647
* Digi International, Inc.......................................... 25,438 366,816
* Diodes, Inc...................................................... 46,870 2,186,485
Dolby Laboratories, Inc., Class A................................ 5,854 376,588
* DSP Group, Inc................................................... 46,713 696,491
DXC Technology Co................................................ 228,936 6,334,659
* EchoStar Corp., Class A.......................................... 29,950 1,168,050
* EMCORE Corp...................................................... 744 2,210
* ePlus, Inc....................................................... 17,490 1,366,494
* Fabrinet......................................................... 41,355 2,325,392
* FARO Technologies, Inc........................................... 17,200 820,096
Fidelity National Information Services, Inc...................... 198,899 26,206,932
# * First Solar, Inc................................................. 33,283 1,723,727
* Fiserv, Inc...................................................... 410 43,517
* Flex, Ltd........................................................ 467,295 5,490,716
FLIR Systems, Inc................................................ 78,882 4,067,156
* FormFactor, Inc.................................................. 83,395 1,820,513
* Frequency Electronics, Inc....................................... 7,390 87,202
* GSI Technology, Inc.............................................. 2,491 19,480
* Harmonic, Inc.................................................... 102,517 797,582
Hewlett Packard Enterprise Co.................................... 894,616 14,680,649
* Ichor Holdings, Ltd.............................................. 14,000 407,540
# * II-VI, Inc....................................................... 82,499 2,734,842
* Insight Enterprises, Inc......................................... 42,100 2,584,098
Intel Corp....................................................... 4,943,498 279,455,942
InterDigital, Inc................................................ 31,683 1,699,159
# * IPG Photonics Corp............................................... 16,158 2,169,696
* Itron, Inc....................................................... 25,301 1,929,454
Jabil, Inc....................................................... 156,633 5,767,227
Juniper Networks, Inc............................................ 226,000 5,609,320
KBR, Inc......................................................... 89,786 2,528,374
# KEMET Corp....................................................... 58,223 1,265,768
* Key Tronic Corp.................................................. 17,623 105,209
* Kimball Electronics, Inc......................................... 23,443 348,363
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
------- -----------
INFORMATION TECHNOLOGY -- (Continued)
* Knowles Corp..................................................... 97,815 $ 2,110,848
Kulicke & Soffa Industries, Inc.................................. 74,988 1,780,590
* KVH Industries, Inc.............................................. 13,696 139,973
* Lattice Semiconductor Corp....................................... 35,397 693,427
* Limelight Networks, Inc.......................................... 63,304 267,143
Littelfuse, Inc.................................................. 5,114 897,865
* LiveRamp Holdings, Inc........................................... 48,169 1,882,926
LogMeIn, Inc..................................................... 19,808 1,300,989
# * Lumentum Holdings, Inc........................................... 51,495 3,226,677
ManTech International Corp., Class A............................. 30,048 2,379,201
Marvell Technology Group, Ltd.................................... 166,418 4,058,935
Methode Electronics, Inc......................................... 72,016 2,477,350
* Micron Technology, Inc........................................... 878,203 41,758,553
* MicroStrategy, Inc., Class A..................................... 200 30,650
MKS Instruments, Inc............................................. 62,405 6,753,469
MTS Systems Corp................................................. 20,700 1,169,136
* NETGEAR, Inc..................................................... 34,428 935,409
* Netscout Systems, Inc............................................ 9,089 220,136
* Nuance Communications, Inc....................................... 195,900 3,197,088
* ON Semiconductor Corp............................................ 379,816 7,748,246
* Onto Innovation Inc.............................................. 46,998 1,513,326
* Optical Cable Corp............................................... 10,474 30,898
* OSI Systems, Inc................................................. 19,200 1,905,408
# * PAR Technology Corp.............................................. 10,048 251,803
PC Connection, Inc............................................... 35,467 1,732,208
* Perceptron, Inc.................................................. 1,300 5,895
* Perficient, Inc.................................................. 28,300 1,109,360
Perspecta, Inc................................................... 114,468 3,037,981
* Photronics, Inc.................................................. 79,712 940,602
Plantronics, Inc................................................. 2,093 82,506
* Plexus Corp...................................................... 35,152 2,599,139
* Qorvo, Inc....................................................... 95,832 7,748,976
* Rambus, Inc...................................................... 9,315 128,966
Richardson Electronics, Ltd...................................... 15,464 89,227
* Rogers Corp...................................................... 10,243 1,387,722
* Sanmina Corp..................................................... 39,846 1,224,468
* ScanSource, Inc.................................................. 21,541 695,774
Science Applications International Corp.......................... 47,819 3,950,806
* Silicon Laboratories, Inc........................................ 4,106 436,221
SS&C Technologies Holdings, Inc.................................. 51,586 2,682,988
* Sykes Enterprises, Inc........................................... 21,292 657,816
# * Synaptics, Inc................................................... 38,700 1,629,657
SYNNEX Corp...................................................... 55,899 6,581,548
TE Connectivity, Ltd............................................. 197,255 17,654,322
* Tech Data Corp................................................... 81,325 9,880,987
TESSCO Technologies, Inc......................................... 8,689 115,477
TiVo Corp........................................................ 19,000 154,660
# * TTM Technologies, Inc............................................ 72,684 851,130
# * Ultra Clean Holdings, Inc........................................ 24,282 518,906
* Veeco Instruments, Inc........................................... 15,978 217,940
* Verint Systems, Inc.............................................. 44,826 2,034,652
* ViaSat, Inc...................................................... 22,243 1,531,208
* Viavi Solutions, Inc............................................. 16,203 258,600
* Virtusa Corp..................................................... 30,064 1,120,786
Vishay Intertechnology, Inc...................................... 151,731 3,057,380
* Vishay Precision Group, Inc...................................... 16,480 561,144
Western Digital Corp............................................. 215,907 11,151,597
* Xerox Holdings Corp.............................................. 219,074 7,433,181
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
-------- ------------
INFORMATION TECHNOLOGY -- (Continued)
Xperi Corp......................................................... 54,435 $ 1,105,303
------------
TOTAL INFORMATION TECHNOLOGY............................................ 875,657,692
------------
MATERIALS -- (2.5%)
* AdvanSix, Inc...................................................... 19,500 443,820
# Albemarle Corp..................................................... 92,334 5,608,367
# * Alcoa Corp......................................................... 210,309 4,372,324
# * Allegheny Technologies, Inc........................................ 66,897 1,405,506
* Amcor P.L.C........................................................ 213,649 2,033,938
Ashland Global Holdings, Inc....................................... 112,560 8,708,767
* Berry Global Group, Inc............................................ 8,100 336,231
Boise Cascade Co................................................... 43,464 1,554,707
Cabot Corp......................................................... 52,535 2,290,001
Carpenter Technology Corp.......................................... 52,999 2,598,011
* Century Aluminum Co................................................ 15,822 92,242
* Clearwater Paper Corp.............................................. 895 16,593
Commercial Metals Co............................................... 87,797 1,697,116
# Compass Minerals International, Inc................................ 3,757 212,195
* Core Molding Technologies, Inc..................................... 11,847 67,646
* Corteva, Inc....................................................... 3,686 97,237
Domtar Corp........................................................ 46,407 1,688,751
* Dow, Inc........................................................... 163,118 8,235,828
DuPont de Nemours, Inc............................................. 100,265 6,608,466
Eagle Materials, Inc............................................... 27,740 2,533,772
# * Element Solutions, Inc............................................. 90,367 981,386
Freeport-McMoRan, Inc.............................................. 302,737 2,972,877
Friedman Industries, Inc........................................... 3,048 21,122
FutureFuel Corp.................................................... 6,104 75,262
# Gold Resource Corp................................................. 53,300 233,454
Graphic Packaging Holding Co....................................... 204,980 3,209,987
Greif, Inc., Class A............................................... 21,053 824,646
Greif, Inc., Class B............................................... 400 18,812
Hawkins, Inc....................................................... 10,809 462,085
Haynes International, Inc.......................................... 10,047 346,220
# HB Fuller Co....................................................... 57,208 2,791,750
Hecla Mining Co.................................................... 73,348 168,700
Huntsman Corp...................................................... 219,652 4,860,899
Innophos Holdings, Inc............................................. 22,786 743,279
Innospec, Inc...................................................... 19,133 1,747,991
Kaiser Aluminum Corp............................................... 27,181 2,910,542
* Kraton Corp........................................................ 18,082 405,398
Kronos Worldwide, Inc.............................................. 2,217 28,112
Linde P.L.C........................................................ 38,940 7,723,749
Louisiana-Pacific Corp............................................. 173,457 5,070,148
* LSB Industries, Inc................................................ 1,758 7,436
LyondellBasell Industries NV, Class A.............................. 66,107 5,929,798
Martin Marietta Materials, Inc..................................... 23,633 6,189,719
Materion Corp...................................................... 19,190 1,090,760
Mercer International, Inc.......................................... 21,725 265,045
Minerals Technologies, Inc......................................... 34,280 1,695,146
Neenah, Inc........................................................ 7,684 495,618
Newmont Goldcorp Corp.............................................. 48,146 1,912,841
# Northern Technologies International Corp........................... 6,070 75,754
Nucor Corp......................................................... 105,332 5,672,128
Olin Corp.......................................................... 186,712 3,424,298
Olympic Steel, Inc................................................. 9,986 149,590
Owens-Illinois, Inc................................................ 52,313 444,661
Packaging Corp. of America......................................... 27,871 3,050,760
PH Glatfelter Co................................................... 43,300 779,400
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
-------- ------------
MATERIALS -- (Continued)
PolyOne Corp....................................................... 1,985 $ 63,619
* PQ Group Holdings, Inc............................................. 2,829 46,594
Rayonier Advanced Materials, Inc................................... 4,094 17,072
Reliance Steel & Aluminum Co....................................... 93,801 10,884,668
Resolute Forest Products, Inc...................................... 46,500 168,330
# Royal Gold, Inc.................................................... 44,609 5,149,663
* Ryerson Holding Corp............................................... 10,600 92,114
Schnitzer Steel Industries, Inc., Class A.......................... 400 8,536
Schweitzer-Mauduit International, Inc.............................. 31,500 1,275,435
Sensient Technologies Corp......................................... 38,101 2,383,599
Silgan Holdings, Inc............................................... 5,100 156,927
Sonoco Products Co................................................. 80,873 4,666,372
Steel Dynamics, Inc................................................ 215,469 6,541,639
Stepan Co.......................................................... 22,152 2,164,693
# * Summit Materials, Inc., Class A.................................... 26,298 603,013
* SunCoke Energy, Inc................................................ 45,766 242,102
Synalloy Corp...................................................... 949 14,861
# * TimkenSteel Corp................................................... 36,857 207,136
* Trecora Resources.................................................. 10,776 94,506
Tredegar Corp...................................................... 26,545 527,715
# Trinseo SA......................................................... 33,919 1,441,558
* Tronox Holdings P.L.C., Class A.................................... 57,713 489,983
* UFP Technologies, Inc.............................................. 339 14,106
United States Lime & Minerals, Inc................................. 2,500 221,250
# United States Steel Corp........................................... 168,857 1,943,544
# * Universal Stainless & Alloy Products, Inc.......................... 6,269 84,130
# * US Concrete, Inc................................................... 10,500 548,730
Valvoline, Inc..................................................... 204,538 4,364,841
* Verso Corp., Class A............................................... 2,361 34,565
Vulcan Materials Co................................................ 58,246 8,321,606
# Westlake Chemical Corp............................................. 158,152 9,993,625
WestRock Co........................................................ 162,029 6,055,024
Worthington Industries, Inc........................................ 47,320 1,741,849
------------
TOTAL MATERIALS......................................................... 187,944,296
------------
REAL ESTATE -- (0.2%)
* Alexander & Baldwin, Inc........................................... 55,273 1,299,468
Griffin Industrial Realty, Inc..................................... 1,500 59,070
* Howard Hughes Corp. (The).......................................... 29,339 3,280,687
Jones Lang LaSalle, Inc............................................ 40,139 5,881,166
Kennedy-Wilson Holdings, Inc....................................... 96,704 2,225,159
Newmark Group, Inc., Class A....................................... 28,647 304,231
* Rafael Holdings, Inc., Class B..................................... 550 9,554
RE/MAX Holdings, Inc., Class A..................................... 3,800 127,110
# * St Joe Co. (The)................................................... 40,700 754,985
* Stratus Properties, Inc............................................ 3,069 84,643
------------
TOTAL REAL ESTATE....................................................... 14,026,073
------------
UTILITIES -- (0.1%)
MDU Resources Group, Inc........................................... 134,867 3,896,308
New Jersey Resources Corp.......................................... 53,254 2,321,874
NRG Energy, Inc.................................................... 55,469 2,225,416
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES
CONTINUED
SHARES VALUE+
--------- --------------
UTILITIES -- (Continued)
Ormat Technologies, Inc................. 21,734 $ 1,663,955
--------------
TOTAL UTILITIES......................................................... 10,107,553
--------------
TOTAL COMMON STOCKS..................................................... 7,272,088,985
--------------
RIGHTS/WARRANTS -- (0.0%)
ENERGY -- (0.0%)
# * (double right angle quote) Parker Drilling Co...................... 710 0
--------------
TOTAL INVESTMENT SECURITIES
(Cost $3,953,673,965)................................................. 7,272,088,985
--------------
TEMPORARY CASH INVESTMENTS -- (0.0%)
State Street Institutional U.S.
Government Money Market Fund 1.752%... 2,947,951 2,947,951
--------------
SECURITIES LENDING COLLATERAL -- (1.4%)
@ (S) The DFA Short Term Investment Fund...... 8,794,388 101,759,864
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $4,058,366,096)................................................. $7,376,796,800
==============
P.L.C. Public Limited Company
SA Special Assessment
+ See Note B to Financial Statements.
# Total or Partial Securities on Loan.
* Non-Income Producing Securities.
(double right angle quote) Securities that have generally been fair value
factored. See Note B to Financial Statements.
@ Security purchased with cash proceeds from Securities on Loan.
(S) Affiliated Fund.
Summary of the Series' investments as of 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............... $ 954,675,739 -- -- $ 954,675,739
Consumer Discretionary............... 470,921,272 $ 2,381 -- 470,923,653
Consumer Staples..................... 440,617,282 -- -- 440,617,282
Energy............................... 700,125,229 -- -- 700,125,229
Financials........................... 1,753,040,635 28,911 -- 1,753,069,546
Health Care.......................... 979,421,318 -- -- 979,421,318
Industrials.......................... 885,520,604 -- -- 885,520,604
Information Technology............... 875,657,692 -- -- 875,657,692
Materials............................ 187,944,296 -- -- 187,944,296
Real Estate.......................... 14,026,073 -- -- 14,026,073
Utilities............................ 10,107,553 -- -- 10,107,553
Temporary Cash Investments.............. 2,947,951 -- -- 2,947,951
Securities Lending Collateral........... -- 101,759,864 -- 101,759,864
-------------- ------------ -- --------------
TOTAL................................... $7,275,005,644 $101,791,156 -- $7,376,796,800
============== ============ == ==============
See accompanying Notes to Financial Statements.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of Dimensional Investment Group Inc. and Shareholders
of U.S. Large Company Portfolio
OPINION ON THE FINANCIAL STATEMENTS
We have audited the accompanying statement of assets and liabilities, including
the summary schedule of portfolio holdings, of U.S. Large Company Portfolio
(one of the portfolios constituting Dimensional Investment Group Inc., referred
to hereafter as the "Portfolio") as of October 31, 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 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 securities owned as of October 31, 2019 by
correspondence with the custodian, broker and 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.
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of The DFA Investment Trust Company and Shareholders
of The U.S. Large Cap Value Series, The DFA International Value Series, The
Emerging Markets Series and The Tax-Managed U.S. Marketwide Value Series
OPINIONS ON THE FINANCIAL STATEMENTS
We have audited the accompanying statements of assets and liabilities,
including the summary schedules of portfolio holdings, of The U.S. Large Cap
Value Series, The DFA International Value Series, The 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 and
The Tax-Managed U.S. Marketwide Value Series (four of the series constituting
The DFA Investment Trust Company, hereafter collectively referred to as the
"Series") as of October 31, 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 (included in Item 1 of this Form N-CSR) and the
schedules of investments (included in Item 6 of this Form N-CSR) as of
October 31, 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 custodians, brokers and the transfer agent of the
investee fund; when replies were not received from brokers, we performed other
auditing procedures. We believe that our audits provide a reasonable basis for
our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 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 Investment Group Inc.
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 Investment Group Inc.
Date: January 6, 2020
By: /s/ Gerard K. O'Reilly
---------------------------------------
Gerard K. O'Reilly
Co-Principal Executive Officer
Dimensional Investment Group Inc.
Date: January 6, 2020
By: /s/ Gregory K. Hinkle
---------------------------------------
Gregory K. Hinkle
Principal Financial Officer
Dimensional Investment Group Inc.
Date: January 6, 2020