0001193125-13-005429.txt : 20130107 0001193125-13-005429.hdr.sgml : 20130107 20130107164936 ACCESSION NUMBER: 0001193125-13-005429 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20121031 FILED AS OF DATE: 20130107 DATE AS OF CHANGE: 20130107 EFFECTIVENESS DATE: 20130107 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DFA INVESTMENT TRUST CO CENTRAL INDEX KEY: 0000896162 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07436 FILM NUMBER: 13515728 BUSINESS ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 BUSINESS PHONE: (512) 306-7400 MAIL ADDRESS: STREET 1: 6300 BEE CAVE ROAD STREET 2: BUILDING ONE CITY: AUSTIN STATE: TX ZIP: 78746 0000896162 S000000992 THE EMERGING MARKETS SERIES C000002743 THE EMERGING MARKETS SERIES 0000896162 S000000993 THE U.S. LARGE CAP VALUE SERIES C000002744 THE U.S. LARGE CAP VALUE SERIES 0000896162 S000000994 THE DFA INTERNATIONAL VALUE SERIES C000002745 THE DFA INTERNATIONAL VALUE SERIES 0000896162 S000000998 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES C000002749 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES 0000896162 S000001000 THE EMERGING MARKETS SMALL CAP SERIES C000002751 THE EMERGING MARKETS SMALL CAP SERIES 0000896162 S000001004 THE JAPANESE SMALL COMPANY SERIES C000002755 THE JAPANESE SMALL COMPANY SERIES 0000896162 S000001005 THE UNITED KINGDOM SMALL COMPANY SERIES C000002756 THE UNITED KINGDOM SMALL COMPANY SERIES 0000896162 S000001006 THE CONTINENTAL SMALL COMPANY SERIES C000002757 THE CONTINENTAL SMALL COMPANY SERIES 0000896162 S000001007 THE ASIA PACIFIC SMALL COMPANY SERIES C000002758 THE ASIA PACIFIC SMALL COMPANY SERIES 0000896162 S000017804 The Canadian Small Company Series C000049318 The Canadian Small Company Series 0000896162 S000028293 The DFA Short Term Investment Fund C000086468 The DFA Short Term Investment Fund 0000896162 S000033058 Dimensional Retirement Equity Fund I C000101912 Dimensional Retirement Equity Fund I N-CSR 1 d413366dncsr.txt DFA INVESTMENT TRUST, CO. ================================================================================ UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ----------------- FORM N-CSR ----------------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-7436 ----------------- THE DFA INVESTMENT TRUST COMPANY (Exact name of registrant as specified in charter) ----------------- 6300 Bee Cave Road, Building One, Austin, TX 78746 (Address of principal executive offices) (Zip code) ----------------- Catherine L. Newell, Esquire, Vice President and Secretary The DFA Investment Trust Company, 6300 Bee Cave Road, Building One, Austin, TX 78746 (Name and address of agent for service) ----------------- Registrant's telephone number, including area code: 512-306-7400 Date of fiscal year end: October 31 Date of reporting period: October 31, 2012 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] Dimensional ANNUAL REPORT year ended: October 31, 2012 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND [LOGO] Dimensional Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 November 2012 Dear Fellow Shareholder, Working to understand the needs of clients has always been among our most important objectives at Dimensional. We believe that our ability to provide investment solutions has helped Dimensional become a trusted partner and resource for our clients. We've worked hard to build trust and have earned many long-standing client relationships. This demonstrates our commitment to client service, the stability of our organization, the breadth of our strategies, and the consistency of our investment approach. We believe that focusing on helping clients pursue their investment goals will benefit our clients as well as Dimensional. Sincerely, /s/ David G. Booth David G. Booth Chairman and Co-Chief Executive 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............................. 13 Disclosure of Fund Expenses...................................... 26 Disclosure of Portfolio Holdings................................. 31 Schedules of Investments/Summary Schedules of Portfolio Holdings. Enhanced U.S. Large Company Portfolio........................ 34 U.S. Large Cap Value Portfolio............................... 38 U.S. Targeted Value Portfolio................................ 39 U.S. Small Cap Value Portfolio............................... 42 U.S. Core Equity 1 Portfolio................................. 45 U.S. Core Equity 2 Portfolio................................. 48 U.S. Vector Equity Portfolio................................. 51 U.S. Small Cap Portfolio..................................... 54 U.S. Micro Cap Portfolio..................................... 57 DFA Real Estate Securities Portfolio......................... 60 Large Cap International Portfolio............................ 62 International Core Equity Portfolio.......................... 66 International Small Company Portfolio........................ 70 Japanese Small Company Portfolio............................. 71 Asia Pacific Small Company Portfolio......................... 71 United Kingdom Small Company Portfolio....................... 72 Continental Small Company Portfolio.......................... 72 DFA International Real Estate Securities Portfolio........... 73 DFA Global Real Estate Securities Portfolio.................. 77 DFA International Small Cap Value Portfolio.................. 78 International Vector Equity Portfolio........................ 82 World ex U.S. Value Portfolio................................ 87 Selectively Hedged Global Equity Portfolio................... 88 Emerging Markets Portfolio................................... 89 Emerging Markets Small Cap Portfolio......................... 89 Emerging Markets Value Portfolio............................. 90 Emerging Markets Core Equity Portfolio....................... 91 Statements of Assets and Liabilities............................. 96 Statements of Operations......................................... 103 Statements of Changes in Net Assets.............................. 110 Financial Highlights............................................. 119 Notes to Financial Statements.................................... 136 Report of Independent Registered Public Accounting Firm.......... 164 i Table of Contents Continued Page ---- DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Performance Chart.................................................... 165 Management's Discussion and Analysis................................. 166 Consolidated Disclosure of Fund Expenses............................. 167 Consolidated Disclosure of Portfolio Holdings........................ 168 Consolidated Schedule of Investments................................. 169 Consolidated Statement of Assets and Liabilities..................... 175 Consolidated Statement of Operations................................. 176 Consolidated Statements of Changes in Net Assets..................... 177 Consolidated Financial Highlights.................................... 178 Consolidated Notes to Financial Statements........................... 179 Report of Independent Registered Public Accounting Firm.............. 191 Dimensional Investment Group Inc. Performance Charts................................................... 192 Management's Discussion and Analysis................................. 193 Disclosure of Fund Expenses.......................................... 197 Disclosure of Portfolio Holdings..................................... 199 Schedule of Investments/Summary Schedule of Portfolio Holdings....... DFA International Value Portfolio................................ 200 U.S. Large Company Portfolio..................................... 201 Statements of Assets and Liabilities................................. 204 Statements of Operations............................................. 205 Statements of Changes in Net Assets.................................. 206 Financial Highlights................................................. 207 Notes to Financial Statements........................................ 209 Report of Independent Registered Public Accounting Firm.............. 220 The DFA Investment Trust Company Performance Charts................................................... 221 Management's Discussion and Analysis................................. 224 Disclosure of Fund Expenses.......................................... 230 Disclosure of Portfolio Holdings..................................... 232 Summary Schedules of Portfolio Holdings.............................. The U.S. Large Cap Value Series.................................. 234 The DFA International Value Series............................... 237 The Japanese Small Company Series................................ 241 The Asia Pacific Small Company Series............................ 244 The United Kingdom Small Company Series.......................... 247 The Continental Small Company Series............................. 250 The Canadian Small Company Series................................ 254 The Emerging Markets Series...................................... 257 The Emerging Markets Small Cap Series............................ 261 Statements of Assets and Liabilities................................. 265 Statements of Operations............................................. 267 Statements of Changes in Net Assets.................................. 269 Financial Highlights................................................. 272 Notes to Financial Statements........................................ 277 Report of Independent Registered Public Accounting Firm.............. 287 ii Table of Contents Continued Page ---- Dimensional Emerging Markets Value Fund Performance Chart...................................................... 288 Management's Discussion and Analysis................................... 289 Disclosure of Fund Expenses............................................ 291 Disclosure of Portfolio Holdings....................................... 292 Summary Schedule of Portfolio Holdings................................. 293 Statement of Assets and Liabilities.................................... 297 Statement of Operations................................................ 298 Statements of Changes in Net Assets.................................... 299 Financial Highlights................................................... 300 Notes to Financial Statements.......................................... 301 Report of Independent Registered Public Accounting Firm................ 309 Fund Management 310 Voting Proxies on Fund Portfolio Securities 320 Notice to Shareholders 321 This report is submitted for the information of the Funds' shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii [THIS PAGE INTENTIONALLY LEFT BLANK] DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings ----------------------------------------------------------------- Investment Abbreviations ADR American Depositary Receipt FNMA Federal National Mortgage Association GDR Global Depositary Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust SPDR Standard & Poor's Depository Receipts Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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. ^ Denominated in local currency or the Euro, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. (r) The adjustable rate shown is effective as of October 31, 2012. (g) Face Amount denominated in British Pounds. (c) Face Amount denominated in Canadian Dollars. (e) Face Amount denominated in Euro. (u) Face Amount denominated in United States Dollars. ^^ Security segregated as collateral for the Open Futures Contracts. @@ Security segregated as collateral for Swap Agreements. (S) Affiliated Fund. 1 DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES CONTINUED Financial Highlights -------------------- (A) Computed using average shares outstanding. (B) Annualized (C) Non-Annualized (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (E) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations. 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Enhanced U.S. Large Company Portfolio vs. S&P 500(R) Index October 31, 2002 - October 31, 2012
Enhanced U.S. Large Company BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio S&P 500(R) Index --------- ---------- ----------- ----------------- ---------- --------------------------- ---------------- 2002-10-31 2002-11-30 5.56% 5.89% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.54% -5.88% 11/2002 10555.55556 10588.59043 2002-12-31 2003-01-31 -2.59% -2.62% 12/2002 9971.066175 9966.404855 2003-01-31 2003-02-28 -1.33% -1.50% 01/2003 9713.193776 9705.285048 2003-02-28 2003-03-31 0.90% 0.97% 02/2003 9584.257576 9559.705772 2003-03-31 2003-04-30 8.33% 8.24% 03/2003 9670.791669 9652.530516 2003-04-30 2003-05-31 5.49% 5.27% 04/2003 10476.69097 10447.60945 2003-05-31 2003-06-30 1.18% 1.28% 05/2003 11052.33334 10998.094 2003-06-30 2003-07-31 1.29% 1.76% 06/2003 11182.90699 11138.8696 2003-07-31 2003-08-31 1.91% 1.95% 07/2003 11327.20256 11335.24787 2003-08-31 2003-09-30 -0.63% -1.06% 08/2003 11543.64592 11556.2852 2003-09-30 2003-10-31 5.30% 5.66% 09/2003 11470.78819 11433.55746 2003-10-31 2003-11-30 0.84% 0.88% 10/2003 12078.32048 12080.3538 2003-11-30 2003-12-31 5.49% 5.24% 11/2003 12179.57586 12186.66091 2003-12-31 2004-01-31 1.81% 1.84% 12/2003 12848.40942 12825.72941 2004-01-31 2004-02-29 1.55% 1.39% 01/2004 13080.43487 13061.14532 2004-02-29 2004-03-31 -1.41% -1.51% 02/2004 13283.45714 13242.68797 2004-03-31 2004-04-30 -2.22% -1.57% 03/2004 13096.05234 13042.85581 2004-04-30 2004-05-31 1.25% 1.37% 04/2004 12805.35195 12838.08298 2004-05-31 2004-06-30 1.77% 1.94% 05/2004 12965.23716 13014.22147 2004-06-30 2004-07-31 -3.20% -3.31% 06/2004 13194.84555 13267.21794 2004-07-31 2004-08-31 0.68% 0.40% 07/2004 12772.02729 12828.07303 2004-08-31 2004-09-30 1.00% 1.08% 08/2004 12859.50693 12879.77016 2004-09-30 2004-10-31 1.58% 1.53% 09/2004 12987.71866 13019.25807 2004-10-31 2004-11-30 3.66% 4.05% 10/2004 13192.47999 13218.19233 2004-11-30 2004-12-31 3.39% 3.40% 11/2004 13675.1317 13753.0004 2004-12-31 2005-01-31 -2.62% -2.44% 12/2004 14138.25834 14221.015 2005-01-31 2005-02-28 1.93% 2.10% 01/2005 13768.53401 13874.37776 2005-02-28 2005-03-31 -2.00% -1.77% 02/2005 14034.73553 14166.29467 2005-03-31 2005-04-30 -1.72% -1.90% 03/2005 13753.74503 13915.40959 2005-04-30 2005-05-31 3.17% 3.18% 04/2005 13517.12146 13651.43427 2005-05-31 2005-06-30 0.11% 0.14% 05/2005 13946.00168 14085.82291 2005-06-30 2005-07-31 3.29% 3.72% 06/2005 13960.69676 14105.82477 2005-07-31 2005-08-31 -0.72% -0.91% 07/2005 14420.12521 14630.56146 2005-08-31 2005-09-30 0.62% 0.81% 08/2005 14316.3833 14497.13074 2005-09-30 2005-10-31 -2.07% -1.67% 09/2005 14405.02963 14614.55749 2005-10-31 2005-11-30 3.81% 3.78% 10/2005 14106.78885 14370.93282 2005-11-30 2005-12-31 0.01% 0.04% 11/2005 14643.62226 14914.4415 2005-12-31 2006-01-31 2.69% 2.65% 12/2005 14644.65404 14919.66156 2006-01-31 2006-02-28 0.00% 0.27% 01/2006 15038.00219 15314.73419 2006-02-28 2006-03-31 1.25% 1.25% 02/2006 15038.00218 15356.23712 2006-03-31 2006-04-30 1.20% 1.34% 03/2006 15226.27444 15547.42228 2006-04-30 2006-05-31 -2.96% -2.88% 04/2006 15408.44323 15756.22416 2006-05-31 2006-06-30 0.10% 0.14% 05/2006 14953.02126 15302.76003 2006-06-30 2006-07-31 0.61% 0.62% 06/2006 14968.20199 15323.57178 2006-07-31 2006-08-31 2.32% 2.38% 07/2006 15059.28639 15418.11822 2006-08-31 2006-09-30 2.56% 2.58% 08/2006 15408.44323 15784.96351 2006-09-30 2006-10-31 3.17% 3.26% 09/2006 15803.14226 16191.74202 2006-10-31 2006-11-30 1.96% 1.90% 10/2006 16304.10643 16719.43089 2006-11-30 2006-12-31 1.34% 1.40% 11/2006 16622.90181 17037.43447 2006-12-31 2007-01-31 1.42% 1.51% 12/2006 16845.30813 17276.43134 2007-01-31 2007-02-28 -1.96% -1.96% 01/2007 17084.36169 17537.70592 2007-02-28 2007-03-31 1.14% 1.12% 02/2007 16749.6867 17194.68908 2007-03-31 2007-04-30 4.33% 4.43% 03/2007 16940.92955 17387.01168 2007-04-30 2007-05-31 3.43% 3.49% 04/2007 17674.02716 18157.17406 2007-05-31 2007-06-30 -1.74% -1.66% 05/2007 18279.62954 18790.77083 2007-06-30 2007-07-31 -3.02% -3.10% 06/2007 17960.89145 18478.59355 2007-07-31 2007-08-31 1.37% 1.50% 07/2007 17419.03669 17905.66827 2007-08-31 2007-09-30 3.72% 3.74% 08/2007 17658.09026 18174.07549 2007-09-30 2007-10-31 1.60% 1.59% 09/2007 18314.84294 18853.78591 2007-10-31 2007-11-30 -4.21% -4.18% 10/2007 18608.66395 19153.74965 2007-11-30 2007-12-31 -0.71% -0.69% 11/2007 17825.14126 18352.93137 2007-12-31 2008-01-31 -6.27% -6.00% 12/2007 17698.79021 18225.56203 2008-01-31 2008-02-29 -3.24% -3.25% 01/2008 16589.26039 17132.02831 2008-02-29 2008-03-31 -0.45% -0.43% 02/2008 16052.39112 16575.40871 2008-03-31 2008-04-30 4.70% 4.87% 03/2008 15980.80855 16503.80294 2008-04-30 2008-05-31 1.39% 1.30% 04/2008 16732.42553 17307.53814 2008-05-31 2008-06-30 -8.49% -8.43% 05/2008 16965.06888 17532.53614 2008-06-30 2008-07-31 -0.82% -0.84% 06/2008 15523.93636 16054.54334 2008-07-31 2008-08-31 1.53% 1.45% 07/2008 15397.2842 15919.52463 2008-08-31 2008-09-30 -9.21% -8.91% 08/2008 15632.49536 16149.72096 2008-09-30 2008-10-31 -17.05% -16.80% 09/2008 14193.16644 14710.61933 2008-10-31 2008-11-30 -6.80% -7.18% 10/2008 11773.0496 12239.97081 2008-11-30 2008-12-31 1.17% 1.06% 11/2008 10972.40944 11361.7529 2008-12-31 2009-01-31 -8.38% -8.43% 12/2008 11101.21756 11482.64196 2009-01-31 2009-02-28 -10.93% -10.65% 01/2009 10171.0609 10514.81106 2009-02-28 2009-03-31 9.11% 8.76% 02/2009 9058.917062 9395.193977 2009-03-31 2009-04-30 9.86% 9.57% 03/2009 9883.748938 10218.16778 2009-04-30 2009-05-31 5.98% 5.59% 04/2009 10857.91721 11196.14862 2009-05-31 2009-06-30 0.35% 0.20% 05/2009 11507.36273 11822.34921 2009-06-30 2009-07-31 7.91% 7.56% 06/2009 11547.95307 11845.75746 2009-07-31 2009-08-31 3.91% 3.61% 07/2009 12461.23583 12741.73881 2009-08-31 2009-09-30 3.93% 3.73% 08/2009 12948.31996 13201.71558 2009-09-30 2009-10-31 -1.82% -1.86% 09/2009 13457.21195 13694.4036 2009-10-31 2009-11-30 6.33% 6.00% 10/2009 13212.53537 13440.00171 2009-11-30 2009-12-31 1.72% 1.93% 11/2009 14048.51369 14246.13301 2009-12-31 2010-01-31 -3.44% -3.60% 12/2009 14290.11101 14521.3683 2010-01-31 2010-02-28 3.26% 3.10% 01/2010 13798.76049 13999.03468 2010-02-28 2010-03-31 5.89% 6.03% 02/2010 14249.16513 14432.68278 2010-03-31 2010-04-30 1.63% 1.58% 03/2010 15088.5556 15303.60859 2010-04-30 2010-05-31 -7.88% -7.99% 04/2010 15334.23086 15545.20666 2010-05-31 2010-06-30 -5.14% -5.23% 05/2010 14126.3275 14303.92191 2010-06-30 2010-07-31 7.06% 7.01% 06/2010 13400.23286 13555.1402 2010-07-31 2010-08-31 -4.44% -4.51% 07/2010 14345.64806 14504.85399 2010-08-31 2010-09-30 8.94% 8.92% 08/2010 13708.52042 13850.04686 2010-09-30 2010-10-31 3.86% 3.80% 09/2010 14934.7217 15086.08045 2010-10-31 2010-11-30 -0.13% 0.01% 10/2010 15511.51095 15660.09072 2010-11-30 2010-12-31 6.69% 6.68% 11/2010 15490.91134 15662.09521 2010-12-31 2011-01-31 2.50% 2.37% 12/2010 16527.6527 16708.8087 2011-01-31 2011-02-28 3.29% 3.43% 01/2011 16940.32817 17104.82417 2011-02-28 2011-03-31 0.00% 0.04% 02/2011 17497.44006 17690.81834 2011-03-31 2011-04-30 3.18% 2.96% 03/2011 17497.44006 17697.8416 2011-04-30 2011-05-31 -0.91% -1.13% 04/2011 18054.55195 18221.96318 2011-05-31 2011-06-30 -1.73% -1.67% 05/2011 17889.48176 18015.70878 2011-06-30 2011-07-31 -1.88% -2.03% 06/2011 17579.97515 17715.40493 2011-07-31 2011-08-31 -5.50% -5.43% 07/2011 17249.83478 17355.17988 2011-08-31 2011-09-30 -7.09% -7.03% 08/2011 16300.68119 16412.42916 2011-09-30 2011-10-31 11.04% 10.93% 09/2011 15145.18987 15258.66821 2011-10-31 2011-11-30 -0.61% -0.22% 10/2011 16816.52553 16926.33384 2011-11-30 2011-12-31 1.12% 1.02% 11/2011 16713.35666 16888.94356 2011-12-31 2012-01-31 4.69% 4.48% 12/2011 16899.76673 17061.70057 2012-01-31 2012-02-29 4.36% 4.32% 01/2012 17692.59529 17826.32068 2012-02-29 2012-03-31 3.39% 3.29% 02/2012 18464.55994 18597.14861 2012-03-31 2012-04-30 -0.55% -0.63% 03/2012 19090.47723 19209.16218 2012-04-30 2012-05-31 -6.04% -6.01% 04/2012 18986.15768 19088.60547 2012-05-31 2012-06-30 4.20% 4.12% 05/2012 17838.64266 17941.38029 2012-06-30 2012-07-31 1.69% 1.39% 06/2012 18587.12395 18680.60498 2012-07-31 2012-08-31 2.33% 2.25% 07/2012 18901.09564 18940.05976 2012-08-31 2012-09-30 2.57% 2.58% 08/2012 19340.656 19366.64291 2012-09-30 2012-10-31 -1.80% -1.85% 09/2012 19837.11143 19867.11129 10/31/2012 19480.63057 19500.27841
One Year Five Years Ten Years -------- ---------- --------- 15.84% 0.92% 6.90% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. U.S. Large Cap Value Portfolio vs. Russell 1000(R) Value Index October 31, 2002 - October 31, 2012
U.S. Large Cap Value Russell 1000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2002-10-31 2002-11-30 7.07% 6.30% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.55% -4.34% 11/2002 10706.99136 10630 2002-12-31 2003-01-31 -2.32% -2.42% 12/2002 10219.55713 10168.658 2003-01-31 2003-02-28 -2.93% -2.67% 01/2003 9982.62767 9922.576476 2003-02-28 2003-03-31 -0.47% 0.17% 02/2003 9690.414676 9657.643684 2003-03-31 2003-04-30 9.20% 8.80% 03/2003 9644.954344 9674.061679 2003-04-30 2003-05-31 6.69% 6.46% 04/2003 10531.8467 10525.37911 2003-05-31 2003-06-30 1.08% 1.25% 05/2003 11236.60937 11205.3186 2003-06-30 2003-07-31 2.52% 1.49% 06/2003 11357.48184 11345.38508 2003-07-31 2003-08-31 3.55% 1.56% 07/2003 11643.40446 11514.43132 2003-08-31 2003-09-30 -2.20% -0.98% 08/2003 12056.4038 11694.05645 2003-09-30 2003-10-31 6.69% 6.12% 09/2003 11791.54621 11579.45469 2003-10-31 2003-11-30 2.22% 1.36% 10/2003 12580.30504 12288.11732 2003-11-30 2003-12-31 6.83% 6.16% 11/2003 12859.15917 12455.23571 2003-12-31 2004-01-31 1.69% 1.76% 12/2003 13737.50291 13222.47824 2004-01-31 2004-02-29 2.58% 2.14% 01/2004 13969.66351 13455.19385 2004-02-29 2004-03-31 -0.40% -0.88% 02/2004 14329.91271 13743.135 2004-03-31 2004-04-30 -1.69% -2.44% 03/2004 14272.21005 13622.19541 2004-04-30 2004-05-31 0.57% 1.02% 04/2004 14031.66718 13289.81384 2004-05-31 2004-06-30 2.99% 2.36% 05/2004 14111.84814 13425.36995 2004-06-30 2004-07-31 -3.27% -1.41% 06/2004 14533.14249 13742.20868 2004-07-31 2004-08-31 0.00% 1.42% 07/2004 14058.62373 13548.44353 2004-08-31 2004-09-30 3.08% 1.55% 08/2004 14058.62373 13740.83143 2004-09-30 2004-10-31 1.17% 1.66% 09/2004 14492.0427 13953.81432 2004-10-31 2004-11-30 6.55% 5.06% 10/2004 14661.3988 14185.44764 2004-11-30 2004-12-31 3.99% 3.35% 11/2004 15621.08332 14903.23129 2004-12-31 2005-01-31 -2.49% -1.78% 12/2004 16243.91321 15402.48954 2005-01-31 2005-02-28 3.02% 3.31% 01/2005 15838.82809 15128.32522 2005-02-28 2005-03-31 -0.26% -1.37% 02/2005 16316.82853 15629.07279 2005-03-31 2005-04-30 -3.44% -1.79% 03/2005 16274.12272 15414.95449 2005-04-30 2005-05-31 4.28% 2.41% 04/2005 15714.34482 15139.0268 2005-05-31 2005-06-30 2.03% 1.09% 05/2005 16387.70085 15503.59603 2005-06-30 2005-07-31 4.96% 2.89% 06/2005 16720.98419 15673.12716 2005-07-31 2005-08-31 -0.83% -0.43% 07/2005 17550.52718 16126.58428 2005-08-31 2005-09-30 1.54% 1.40% 08/2005 17404.13724 16056.50454 2005-09-30 2005-10-31 -2.68% -2.54% 09/2005 17672.85892 16281.94488 2005-10-31 2005-11-30 3.98% 3.27% 10/2005 17199.84285 15868.4229 2005-11-30 2005-12-31 0.13% 0.60% 11/2005 17884.9006 16387.32032 2005-12-31 2006-01-31 4.74% 3.88% 12/2005 17907.42447 16485.2089 2006-01-31 2006-02-28 -0.35% 0.61% 01/2006 18755.45422 17125.34866 2006-02-28 2006-03-31 1.76% 1.35% 02/2006 18689.58784 17229.93488 2006-03-31 2006-04-30 2.82% 2.54% 03/2006 19018.12323 17463.32185 2006-04-30 2006-05-31 -1.86% -2.53% 04/2006 19554.19348 17907.16926 2006-05-31 2006-06-30 0.87% 0.64% 05/2006 19191.31515 17454.821 2006-06-30 2006-07-31 -1.45% 2.43% 06/2006 19357.84876 17566.36245 2006-07-31 2006-08-31 1.61% 1.67% 07/2006 19076.34026 17993.46576 2006-08-31 2006-09-30 2.76% 1.99% 08/2006 19382.68774 18294.60194 2006-09-30 2006-10-31 3.96% 3.27% 09/2006 19918.56564 18659.10808 2006-10-31 2006-11-30 1.89% 2.28% 10/2006 20707.66645 19269.99021 2006-11-30 2006-12-31 2.01% 2.24% 11/2006 21098.06369 19709.86384 2006-12-31 2007-01-31 2.89% 1.28% 12/2006 21521.94168 20152.33357 2007-01-31 2007-02-28 -1.50% -1.56% 01/2007 22144.1602 20410.05615 2007-02-28 2007-03-31 0.66% 1.55% 02/2007 21811.74208 20091.86703 2007-03-31 2007-04-30 4.24% 3.70% 03/2007 21954.65413 20402.49503 2007-04-30 2007-05-31 4.10% 3.61% 04/2007 22885.44265 21156.42585 2007-05-31 2007-06-30 -1.62% -2.34% 05/2007 23824.77052 21919.52162 2007-06-30 2007-07-31 -6.21% -4.62% 06/2007 23437.69887 21407.34852 2007-07-31 2007-08-31 -1.91% 1.12% 07/2007 21981.94117 20417.39084 2007-08-31 2007-09-30 2.58% 3.43% 08/2007 21562.34043 20646.17729 2007-09-30 2007-10-31 0.54% 0.01% 09/2007 22119.60769 21355.32822 2007-10-31 2007-11-30 -5.60% -4.89% 10/2007 22239.86963 21357.68501 2007-11-30 2007-12-31 -0.32% -0.97% 11/2007 20994.29949 20313.84869 2007-12-31 2008-01-31 -3.84% -4.01% 12/2007 20926.88549 20117.41337 2008-01-31 2008-02-29 -3.09% -4.19% 01/2008 20124.08686 19311.65235 2008-02-29 2008-03-31 -0.93% -0.75% 02/2008 19501.69242 18502.53608 2008-03-31 2008-04-30 6.27% 4.87% 03/2008 19319.49295 18363.76706 2008-04-30 2008-05-31 2.38% -0.16% 04/2008 20531.48361 19258.92111 2008-05-31 2008-06-30 -10.96% -9.57% 05/2008 21019.89776 19228.35404 2008-06-30 2008-07-31 -1.12% -0.36% 06/2008 18716.30586 17387.78848 2008-07-31 2008-08-31 1.96% 1.70% 07/2008 18507.43878 17325.02215 2008-08-31 2008-09-30 -9.00% -7.35% 08/2008 18870.68586 17619.54753 2008-09-30 2008-10-31 -22.53% -17.31% 09/2008 17173.23447 16325.01114 2008-10-31 2008-11-30 -9.81% -7.17% 10/2008 13304.23797 13498.95282 2008-11-30 2008-12-31 3.25% 1.39% 11/2008 11999.36415 12530.95655 2008-12-31 2009-01-31 -11.86% -11.50% 12/2008 12388.7549 12704.88624 2009-01-31 2009-02-28 -14.04% -13.36% 01/2009 10919.84213 11243.95781 2009-02-28 2009-03-31 9.83% 8.55% 02/2009 9386.260241 9741.64674 2009-03-31 2009-04-30 16.18% 10.72% 03/2009 10309.13738 10574.58917 2009-04-30 2009-05-31 7.67% 6.18% 04/2009 11977.34324 11708.0967 2009-05-31 2009-06-30 -1.21% -0.74% 05/2009 12895.79366 12432.07598 2009-06-30 2009-07-31 9.43% 8.19% 06/2009 12739.6731 12340.27168 2009-07-31 2009-08-31 6.80% 5.23% 07/2009 13940.46703 13350.3397 2009-08-31 2009-09-30 4.35% 3.86% 08/2009 14887.96849 14048.63557 2009-09-30 2009-10-31 -4.30% -3.06% 09/2009 15536.2026 14591.41079 2009-10-31 2009-11-30 5.63% 5.64% 10/2009 14868.48445 14144.84834 2009-11-30 2009-12-31 2.70% 1.77% 11/2009 15705.48326 14942.09201 2009-12-31 2010-01-31 -2.34% -2.81% 12/2009 16128.84193 15206.51837 2010-01-31 2010-02-28 4.32% 3.16% 01/2010 15750.67447 14778.85081 2010-02-28 2010-03-31 7.80% 6.51% 02/2010 16431.37589 15245.34914 2010-03-31 2010-04-30 3.16% 2.59% 03/2010 17712.94768 16237.82243 2010-04-30 2010-05-31 -8.56% -8.22% 04/2010 18272.10441 16657.98918 2010-05-31 2010-06-30 -7.56% -5.63% 05/2010 16708.36103 15288.76974 2010-06-30 2010-07-31 7.82% 6.77% 06/2010 15444.85324 14428.09848 2010-07-31 2010-08-31 -6.11% -4.28% 07/2010 16652.6712 15404.85527 2010-08-31 2010-09-30 9.80% 7.76% 08/2010 15635.06079 14745.68693 2010-09-30 2010-10-31 3.68% 3.00% 09/2010 17167.15394 15889.70571 2010-10-31 2010-11-30 -0.75% -0.53% 10/2010 17799.42635 16366.49323 2010-11-30 2010-12-31 9.72% 7.89% 11/2010 17665.30796 16279.88285 2010-12-31 2011-01-31 3.23% 2.26% 12/2010 19382.58005 17564.43559 2011-01-31 2011-02-28 5.39% 3.69% 01/2011 20008.75684 17961.76269 2011-02-28 2011-03-31 0.45% 0.40% 02/2011 21087.70762 18624.27943 2011-03-31 2011-04-30 2.51% 2.66% 03/2011 21183.60229 18698.25097 2011-04-30 2011-05-31 -1.42% -1.06% 04/2011 21714.88279 19196.15319 2011-05-31 2011-06-30 -1.82% -2.05% 05/2011 21405.77413 18993.3429 2011-06-30 2011-07-31 -4.57% -3.32% 06/2011 21016.50944 18603.9051 2011-07-31 2011-08-31 -8.46% -6.24% 07/2011 20056.80721 17986.83479 2011-08-31 2011-09-30 -10.10% -7.56% 08/2011 18360.36387 16864.3465 2011-09-30 2011-10-31 13.81% 11.45% 09/2011 16505.29642 15589.84878 2011-10-31 2011-11-30 -0.83% -0.52% 10/2011 18783.90372 17374.76545 2011-11-30 2011-12-31 0.79% 2.02% 11/2011 18628.10151 17284.71058 2011-12-31 2012-01-31 4.96% 3.78% 12/2011 18774.55685 17633.02386 2012-01-31 2012-02-29 5.77% 3.99% 01/2012 19706.41835 18300.0833 2012-02-29 2012-03-31 1.83% 2.96% 02/2012 20844.27028 19029.58134 2012-03-31 2012-04-30 -2.09% -1.02% 03/2012 21226.09035 19593.70131 2012-04-30 2012-05-31 -7.10% -5.86% 04/2012 20783.26509 19393.89913 2012-05-31 2012-06-30 5.37% 4.96% 05/2012 19307.18093 18256.62174 2012-06-30 2012-07-31 0.97% 1.03% 06/2012 20343.19332 19163.05372 2012-07-31 2012-08-31 3.95% 2.17% 07/2012 20540.9881 19361.37516 2012-08-31 2012-09-30 3.65% 3.17% 08/2012 21351.9467 19781.74826 2012-09-30 2012-10-31 0.27% -0.49% 09/2012 22131.2698 20409.66857 10/31/2012 22190.86927 20309.47599
One Year Five Years Ten Years -------- ---------- --------- 18.14% -0.04% 8.30% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Targeted Value Portfolio - Class R1 vs. Russell 2000(R) Value Index January 31, 2008 - October 31, 2012
U.S. Targeted Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R1 Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2008-01-31 2008-02-29 -2.50% -3.97% 01/2008 10000 10000 2008-02-29 2008-03-31 0.73% 1.51% 02/2008 9750 9602.571031 2008-03-31 2008-04-30 3.37% 3.16% 03/2008 9820.726192 9747.569854 2008-04-30 2008-05-31 4.55% 3.42% 04/2008 10151.7619 10055.9908 2008-05-31 2008-06-30 -10.13% -9.60% 05/2008 10613.20563 10399.79789 2008-06-30 2008-07-31 2.64% 5.13% 06/2008 9538.430516 9401.934888 2008-07-31 2008-08-31 4.52% 4.75% 07/2008 9789.971405 9883.909387 2008-08-31 2008-09-30 -6.43% -4.69% 08/2008 10232.68337 10353.39508 2008-09-30 2008-10-31 -21.62% -19.98% 09/2008 9575.00573 9868.077303 2008-10-31 2008-11-30 -13.06% -11.58% 10/2008 7504.461241 7896.66496 2008-11-30 2008-12-31 6.45% 6.15% 11/2008 6524.740191 6982.159135 2008-12-31 2009-01-31 -13.64% -14.28% 12/2008 6945.839625 7411.67591 2009-01-31 2009-02-28 -13.24% -13.89% 01/2009 5998.679676 6352.926629 2009-02-28 2009-03-31 11.01% 8.88% 02/2009 5204.287461 5470.501141 2009-03-31 2009-04-30 19.47% 15.87% 03/2009 5777.123849 5956.201668 2009-04-30 2009-05-31 3.41% 2.16% 04/2009 6901.873626 6901.297903 2009-05-31 2009-06-30 -0.42% -0.32% 05/2009 7137.04858 7050.523798 2009-06-30 2009-07-31 11.98% 11.56% 06/2009 7107.366548 7028.295918 2009-07-31 2009-08-31 5.28% 4.73% 07/2009 7958.609583 7841.058619 2009-08-31 2009-09-30 5.55% 5.02% 08/2009 8379.10313 8212.179117 2009-09-30 2009-10-31 -7.21% -6.64% 09/2009 8844.374408 8624.054843 2009-10-31 2009-11-30 3.38% 3.18% 10/2009 8206.756719 8051.355715 2009-11-30 2009-12-31 7.84% 7.57% 11/2009 8484.42894 8307.570836 2009-12-31 2010-01-31 -2.26% -2.93% 12/2009 9149.548219 8936.791269 2010-01-31 2010-02-28 5.66% 4.64% 01/2010 8943.012141 8674.853247 2010-02-28 2010-03-31 8.25% 8.32% 02/2010 9449.025533 9077.096128 2010-03-31 2010-04-30 7.27% 7.00% 03/2010 10228.79484 9832.097741 2010-04-30 2010-05-31 -9.04% -8.45% 04/2010 10972.70719 10520.04073 2010-05-31 2010-06-30 -9.52% -8.73% 05/2010 9980.824059 9631.116786 2010-06-30 2010-07-31 7.79% 7.14% 06/2010 9031.072995 8790.367634 2010-07-31 2010-08-31 -8.08% -7.52% 07/2010 9734.524268 9417.841262 2010-08-31 2010-09-30 12.24% 10.74% 08/2010 8948.314022 8709.679853 2010-09-30 2010-10-31 3.72% 3.87% 09/2010 10043.54719 9644.828043 2010-10-31 2010-11-30 4.06% 2.54% 10/2010 10417.06754 10018.50095 2010-11-30 2010-12-31 8.91% 8.31% 11/2010 10839.56946 10273.12347 2010-12-31 2011-01-31 0.66% 0.05% 12/2010 11804.95838 11126.65959 2011-01-31 2011-02-28 5.62% 5.08% 01/2011 11883.0429 11132.73049 2011-02-28 2011-03-31 1.92% 1.39% 02/2011 12550.31054 11698.01033 2011-03-31 2011-04-30 1.61% 1.62% 03/2011 12791.66266 11860.56861 2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 12997.52183 12053.28086 2011-05-31 2011-06-30 -2.21% -2.46% 05/2011 12678.08519 11837.36467 2011-06-30 2011-07-31 -3.50% -3.31% 06/2011 12397.48354 11546.29335 2011-07-31 2011-08-31 -10.04% -8.83% 07/2011 11964.10446 11164.4843 2011-08-31 2011-09-30 -12.44% -10.92% 08/2011 10763.43127 10178.34832 2011-09-30 2011-10-31 15.71% 14.41% 09/2011 9424.709734 9066.772018 2011-10-31 2011-11-30 0.33% -0.20% 10/2011 10905.32879 10373.32073 2011-11-30 2011-12-31 0.99% 1.57% 11/2011 10940.92059 10352.59093 2011-12-31 2012-01-31 6.06% 6.65% 12/2011 11048.94425 10514.61803 2012-01-31 2012-02-29 3.63% 1.49% 01/2012 11718.79549 11213.54097 2012-02-29 2012-03-31 1.86% 3.10% 02/2012 12143.75489 11380.36042 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 12369.25099 11733.31802 2012-04-30 2012-05-31 -7.46% -6.11% 04/2012 12167.53926 11563.54379 2012-05-31 2012-06-30 4.04% 4.82% 05/2012 11259.83651 10856.92501 2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 11714.92916 11380.37242 2012-07-31 2012-08-31 4.59% 3.08% 07/2012 11657.11335 11264.07637 2012-08-31 2012-09-30 3.16% 3.56% 08/2012 12191.90962 11611.57034 2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 12577.07883 12025.24213 10/31/2012 12504.71359 11874.43621
One Year From 01/31/2008 -------- --------------- 14.67% 4.82% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. Targeted Value Portfolio - Class R2 vs. Russell 2000(R) Value Index June 30, 2008 - October 31, 2012
U.S. Targeted Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R2 Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2008-06-30 2008-07-31 2.60% 5.13% 06/2008 10000 10000 2008-07-31 2008-08-31 4.48% 4.75% 07/2008 10260 10512.63331 2008-08-31 2008-09-30 -6.36% -4.69% 08/2008 10719.99999 11011.98339 2008-09-30 2008-10-31 -21.70% -19.98% 09/2008 10038.27751 10495.79413 2008-10-31 2008-11-30 -13.03% -11.58% 10/2008 7859.971286 8398.978566 2008-11-30 2008-12-31 6.40% 6.15% 11/2008 6836.066981 7426.300244 2008-12-31 2009-01-31 -13.77% -14.28% 12/2008 7273.610771 7883.138948 2009-01-31 2009-02-28 -13.23% -13.89% 01/2009 6272.0983 6757.04172 2009-02-28 2009-03-31 10.95% 8.88% 02/2009 5442.562718 5818.484393 2009-03-31 2009-04-30 19.50% 15.87% 03/2009 6038.299653 6335.080746 2009-04-30 2009-05-31 3.38% 2.16% 04/2009 7215.514375 7340.295359 2009-05-31 2009-06-30 -0.31% -0.32% 05/2009 7459.076042 7499.013641 2009-06-30 2009-07-31 11.90% 11.56% 06/2009 7435.892168 7475.371827 2009-07-31 2009-08-31 5.38% 4.73% 07/2009 8320.875234 8339.835058 2009-08-31 2009-09-30 5.47% 5.02% 08/2009 8768.452873 8734.562848 2009-09-30 2009-10-31 -7.17% -6.64% 09/2009 9248.194818 9172.638341 2009-10-31 2009-11-30 3.33% 3.18% 10/2009 8585.424517 8563.509331 2009-11-30 2009-12-31 7.86% 7.57% 11/2009 8870.92557 8836.022516 2009-12-31 2010-01-31 -2.35% -2.93% 12/2009 9567.974328 9505.268198 2010-01-31 2010-02-28 5.59% 4.64% 01/2010 9342.845518 9226.668075 2010-02-28 2010-03-31 8.32% 8.32% 02/2010 9864.735025 9654.497969 2010-03-31 2010-04-30 7.18% 7.00% 03/2010 10685.4698 10457.52588 2010-04-30 2010-05-31 -9.03% -8.45% 04/2010 11453.10412 11189.22951 2010-05-31 2010-06-30 -9.46% -8.73% 05/2010 10419.35657 10243.76035 2010-06-30 2010-07-31 7.71% 7.14% 06/2010 9433.569278 9349.53043 2010-07-31 2010-08-31 -8.06% -7.52% 07/2010 10160.80426 10016.91819 2010-08-31 2010-09-30 12.23% 10.74% 08/2010 9341.384561 9263.710031 2010-09-30 2010-10-31 3.72% 3.87% 09/2010 10483.98851 10258.3438 2010-10-31 2010-11-30 3.97% 2.54% 10/2010 10874.18592 10655.78635 2010-11-30 2010-12-31 8.86% 8.31% 11/2010 11306.02525 10926.60564 2010-12-31 2011-01-31 0.72% 0.05% 12/2010 12307.63829 11834.43591 2011-01-31 2011-02-28 5.55% 5.08% 01/2011 12396.44867 11840.89298 2011-02-28 2011-03-31 1.92% 1.39% 02/2011 13084.72911 12442.13076 2011-03-31 2011-04-30 1.55% 1.62% 03/2011 13336.35851 12615.02952 2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 13543.58273 12820.00035 2011-05-31 2011-06-30 -2.16% -2.46% 05/2011 13210.54381 12590.34956 2011-06-30 2011-07-31 -3.56% -3.31% 06/2011 12925.76923 12280.76294 2011-07-31 2011-08-31 -10.05% -8.83% 07/2011 12466.2522 11874.66668 2011-08-31 2011-09-30 -12.43% -10.92% 08/2011 11213.69773 10825.80176 2011-09-30 2011-10-31 15.72% 14.41% 09/2011 9819.780248 9643.517134 2011-10-31 2011-11-30 0.33% -0.20% 10/2011 11363.63081 11033.17652 2011-11-30 2011-12-31 0.96% 1.57% 11/2011 11400.74261 11011.12808 2011-12-31 2012-01-31 6.07% 6.65% 12/2011 11510.29933 11183.46186 2012-01-31 2012-02-29 3.57% 1.49% 01/2012 12208.57581 11926.84389 2012-02-29 2012-03-31 1.84% 3.10% 02/2012 12644.06006 12104.27487 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 12876.81889 12479.6844 2012-04-30 2012-05-31 -7.47% -6.11% 04/2012 12666.58511 12299.11069 2012-05-31 2012-06-30 4.00% 4.82% 05/2012 11720.53311 11547.54329 2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 12189.39596 12104.28764 2012-07-31 2012-08-31 4.59% 3.08% 07/2012 12129.16423 11980.59389 2012-08-31 2012-09-30 3.12% 3.56% 08/2012 12686.30771 12350.19225 2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 13082.30363 12790.17806 10/31/2012 13006.94474 12629.77924
One Year From 06/30/2008 -------- --------------- 14.46% 6.25% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Targeted Value Portfolio - Institutional Class vs. Russell 2000(R) Value Index October 31, 2002 - October 31, 2012
U.S. Targeted Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Institutional Class Value Index --------- ---------- ----------- ----------------- ---------- ------------------------------- --------------- 2002-10-31 2002-11-30 11.00% 7.98% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.37% -4.27% 11/2002 11100.17889 10798 2002-12-31 2003-01-31 -4.64% -2.82% 12/2002 10504.42099 10336.9254 2003-01-31 2003-02-28 -4.26% -3.36% 01/2003 10017.25944 10045.4241 2003-02-28 2003-03-31 -0.32% 1.07% 02/2003 9590.993082 9707.897854 2003-03-31 2003-04-30 11.89% 9.50% 03/2003 9560.545485 9811.772361 2003-04-30 2003-05-31 11.39% 10.21% 04/2003 10697.25578 10743.89074 2003-05-31 2003-06-30 1.62% 1.69% 05/2003 11915.15966 11840.84198 2003-06-30 2003-07-31 5.78% 4.99% 06/2003 12107.99444 12040.95221 2003-07-31 2003-08-31 6.50% 3.80% 07/2003 12808.28918 12641.79572 2003-08-31 2003-09-30 -1.34% -1.15% 08/2003 13640.5235 13122.18396 2003-09-30 2003-10-31 9.65% 8.15% 09/2003 13457.83792 12971.27885 2003-10-31 2003-11-30 4.13% 3.84% 10/2003 14756.9354 14028.43807 2003-11-30 2003-12-31 5.32% 3.62% 11/2003 15365.88734 14567.13009 2003-12-31 2004-01-31 4.59% 3.46% 12/2003 16183.87646 15094.4602 2004-01-31 2004-02-29 1.55% 1.94% 01/2004 16926.78039 15616.72853 2004-02-29 2004-03-31 0.86% 1.38% 02/2004 17189.65409 15919.69306 2004-03-31 2004-04-30 -3.36% -5.17% 03/2004 17338.23488 16139.38482 2004-04-30 2004-05-31 1.50% 1.21% 04/2004 16755.34102 15304.97863 2004-05-31 2004-06-30 5.68% 5.08% 05/2004 17006.78543 15490.16887 2004-06-30 2004-07-31 -4.84% -4.60% 06/2004 17973.14744 16277.06945 2004-07-31 2004-08-31 -0.67% 0.98% 07/2004 17103.66354 15528.32425 2004-08-31 2004-09-30 4.54% 3.96% 08/2004 16989.25777 15680.50183 2004-09-30 2004-10-31 0.90% 1.55% 09/2004 17760.82034 16301.4497 2004-10-31 2004-11-30 9.20% 8.87% 10/2004 17921.13722 16554.12217 2004-11-30 2004-12-31 3.11% 2.39% 11/2004 19570.11087 18022.47281 2004-12-31 2005-01-31 -3.18% -3.87% 12/2004 20178.14283 18453.20991 2005-01-31 2005-02-28 2.77% 1.99% 01/2005 19535.7675 17739.07069 2005-02-28 2005-03-31 -0.94% -2.06% 02/2005 20077.37808 18092.07819 2005-03-31 2005-04-30 -6.78% -5.16% 03/2005 19888.44416 17719.38138 2005-04-30 2005-05-31 6.66% 6.10% 04/2005 18540.71552 16805.0613 2005-05-31 2005-06-30 3.93% 4.42% 05/2005 19775.08381 17830.02508 2005-06-30 2005-07-31 6.13% 5.69% 06/2005 20551.84516 18618.48383 2005-07-31 2005-08-31 -1.56% -2.30% 07/2005 21811.9215 19677.88612 2005-08-31 2005-09-30 0.35% -0.17% 08/2005 21471.70089 19226.10977 2005-09-30 2005-10-31 -2.65% -2.51% 09/2005 21546.90685 19194.32037 2005-10-31 2005-11-30 4.65% 4.06% 10/2005 20976.88287 18712.22181 2005-11-30 2005-12-31 0.42% -0.77% 11/2005 21952.25726 19471.29574 2005-12-31 2006-01-31 8.03% 8.27% 12/2005 22044.73668 19321.80403 2006-01-31 2006-02-28 -1.05% -0.01% 01/2006 23814.44689 20919.58842 2006-02-28 2006-03-31 4.14% 4.84% 02/2006 23563.62183 20918.16198 2006-03-31 2006-04-30 1.31% 0.27% 03/2006 24539.76853 21931.34736 2006-04-30 2006-05-31 -3.48% -4.14% 04/2006 24860.45869 21989.99474 2006-05-31 2006-06-30 0.56% 1.23% 05/2006 23995.98957 21079.39132 2006-06-30 2006-07-31 -3.07% -1.39% 06/2006 24131.55435 21338.3527 2006-07-31 2006-08-31 2.27% 2.99% 07/2006 23390.12109 21042.42594 2006-08-31 2006-09-30 1.02% 0.98% 08/2006 23921.71475 21671.36709 2006-09-30 2006-10-31 4.94% 5.09% 09/2006 24165.17839 21882.92966 2006-10-31 2006-11-30 3.43% 2.85% 10/2006 25358.00079 22996.68723 2006-11-30 2006-12-31 0.61% 0.87% 11/2006 26228.05948 23652.41933 2006-12-31 2007-01-31 2.09% 1.50% 12/2006 26387.62981 23858.48812 2007-01-31 2007-02-28 -0.51% -1.23% 01/2007 26938.32816 24215.87612 2007-02-28 2007-03-31 0.77% 1.21% 02/2007 26800.65357 23918.47933 2007-03-31 2007-04-30 2.04% 1.04% 03/2007 27006.00626 24207.13595 2007-04-30 2007-05-31 4.33% 3.67% 04/2007 27557.14924 24458.33044 2007-05-31 2007-06-30 -1.32% -2.33% 05/2007 28751.29237 25355.10988 2007-06-30 2007-07-31 -7.25% -8.51% 06/2007 28371.44268 24764.12514 2007-07-31 2007-08-31 -0.29% 2.00% 07/2007 26315.31866 22656.3737 2007-08-31 2007-09-30 0.30% 0.45% 08/2007 26238.59761 23110.31558 2007-09-30 2007-10-31 0.23% 1.09% 09/2007 26317.66852 23214.66438 2007-10-31 2007-11-30 -7.13% -7.49% 10/2007 26379.33851 23467.49264 2007-11-30 2007-12-31 -1.11% -0.85% 11/2007 24498.40379 21709.31839 2007-12-31 2008-01-31 -4.78% -4.10% 12/2007 24226.11234 21525.78068 2008-01-31 2008-02-29 -2.54% -3.97% 01/2008 23067.95504 20642.44184 2008-02-29 2008-03-31 0.85% 1.51% 02/2008 22480.9438 19822.0514 2008-03-31 2008-04-30 3.30% 3.16% 03/2008 22672.51011 20121.36438 2008-04-30 2008-05-31 4.62% 3.42% 04/2008 23419.78078 20758.02052 2008-05-31 2008-06-30 -10.11% -9.60% 05/2008 24500.93834 21467.72232 2008-06-30 2008-07-31 2.60% 5.13% 06/2008 22022.80939 19407.88941 2008-07-31 2008-08-31 4.51% 4.75% 07/2008 22596.48605 20402.80247 2008-08-31 2008-09-30 -6.33% -4.69% 08/2008 23616.35566 21371.93559 2008-09-30 2008-10-31 -21.68% -19.98% 09/2008 22121.79 20370.12118 2008-10-31 2008-11-30 -13.01% -11.58% 10/2008 17326.6043 16300.64472 2008-11-30 2008-12-31 6.43% 6.15% 11/2008 15072.86703 14412.88139 2008-12-31 2009-01-31 -13.74% -14.28% 12/2008 16042.12815 15299.50889 2009-01-31 2009-02-28 -13.14% -13.89% 01/2009 13837.74344 13113.99185 2009-02-28 2009-03-31 10.91% 8.88% 02/2009 12019.52831 11292.45016 2009-03-31 2009-04-30 19.49% 15.87% 03/2009 13330.59891 12295.05465 2009-04-30 2009-05-31 3.44% 2.16% 04/2009 15928.93599 14245.96406 2009-05-31 2009-06-30 -0.34% -0.32% 05/2009 16477.65313 14554.00274 2009-06-30 2009-07-31 11.92% 11.56% 06/2009 16420.84902 14508.11897 2009-07-31 2009-08-31 5.37% 4.73% 07/2009 18378.40836 16185.85965 2009-08-31 2009-09-30 5.56% 5.02% 08/2009 19365.27712 16951.94298 2009-09-30 2009-10-31 -7.22% -6.64% 09/2009 20442.31444 17802.15505 2009-10-31 2009-11-30 3.33% 3.18% 10/2009 18967.09587 16619.96421 2009-11-30 2009-12-31 7.94% 7.57% 11/2009 19599.3324 17148.85478 2009-12-31 2010-01-31 -2.31% -2.93% 12/2009 21155.49955 18447.7194 2010-01-31 2010-02-28 5.59% 4.64% 01/2010 20667.67097 17907.01536 2010-02-28 2010-03-31 8.32% 8.32% 02/2010 21822.19862 18737.34289 2010-03-31 2010-04-30 7.23% 7.00% 03/2010 23638.76256 20295.85058 2010-04-30 2010-05-31 -8.99% -8.45% 04/2010 25347.00073 21715.93289 2010-05-31 2010-06-30 -9.50% -8.73% 05/2010 23069.34984 19880.97681 2010-06-30 2010-07-31 7.80% 7.14% 06/2010 20877.50389 18145.46526 2010-07-31 2010-08-31 -8.10% -7.52% 07/2010 22506.01433 19440.72405 2010-08-31 2010-09-30 12.30% 10.74% 08/2010 20682.08263 17978.90598 2010-09-30 2010-10-31 3.72% 3.87% 09/2010 23225.70145 19909.28019 2010-10-31 2010-11-30 4.00% 2.54% 10/2010 24090.74866 20680.63231 2010-11-30 2010-12-31 8.94% 8.31% 11/2010 25053.72574 21206.23538 2010-12-31 2011-01-31 0.66% 0.05% 12/2010 27293.41149 22968.14234 2011-01-31 2011-02-28 5.68% 5.08% 01/2011 27473.94518 22980.67416 2011-02-28 2011-03-31 1.92% 1.39% 02/2011 29033.09977 24147.54979 2011-03-31 2011-04-30 1.55% 1.62% 03/2011 29591.113 24483.10978 2011-04-30 2011-05-31 -2.46% -1.79% 04/2011 30050.6533 24880.91491 2011-05-31 2011-06-30 -2.15% -2.46% 05/2011 29312.10639 24435.21118 2011-06-30 2011-07-31 -3.50% -3.31% 06/2011 28682.31347 23834.3689 2011-07-31 2011-08-31 -10.04% -8.83% 07/2011 27679.66526 23046.22178 2011-08-31 2011-09-30 -12.41% -10.92% 08/2011 24901.83662 21010.59633 2011-09-30 2011-10-31 15.71% 14.41% 09/2011 21810.65748 18716.03141 2011-10-31 2011-11-30 0.33% -0.20% 10/2011 25237.10519 21413.06698 2011-11-30 2011-12-31 1.01% 1.57% 11/2011 25319.47172 21370.27561 2011-12-31 2012-01-31 6.06% 6.65% 12/2011 25576.30361 21704.73911 2012-01-31 2012-02-29 3.63% 1.49% 01/2012 27126.88785 23147.48672 2012-02-29 2012-03-31 1.88% 3.10% 02/2012 28110.59184 23491.84281 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 28639.40983 24220.43348 2012-04-30 2012-05-31 -7.46% -6.11% 04/2012 28172.37228 23869.97801 2012-05-31 2012-06-30 4.07% 4.82% 05/2012 26070.7033 22411.34432 2012-06-30 2012-07-31 -0.49% -1.02% 06/2012 27131.31369 23491.86759 2012-07-31 2012-08-31 4.59% 3.08% 07/2012 26997.41454 23251.80414 2012-08-31 2012-09-30 3.18% 3.56% 08/2012 28235.98161 23969.11654 2012-09-30 2012-10-31 -0.58% -1.25% 09/2012 29134.70172 24823.03614 10/31/2012 28967.06823 24511.73588
One Year Five Years Ten Years -------- ---------- --------- 14.78% 1.89% 11.22% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Small Cap Value Portfolio vs. Russell 2000(R) Value Index October 31, 2002 - October 31, 2012
U.S. Small Cap Value Russell 2000(R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Value Index --------- ---------- ----------- ----------------- ---------- -------------------- --------------- 2002-10-31 2002-11-30 8.52% 7.98% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.58% -4.27% 11/2002 10852.23789 10798 2002-12-31 2003-01-31 -3.45% -2.82% 12/2002 10463.93353 10336.9254 2003-01-31 2003-02-28 -4.11% -3.36% 01/2003 10103.10824 10045.4241 2003-02-28 2003-03-31 -0.21% 1.07% 02/2003 9687.818748 9707.897854 2003-03-31 2003-04-30 10.56% 9.50% 03/2003 9667.394677 9811.772361 2003-04-30 2003-05-31 11.72% 10.21% 04/2003 10688.59834 10743.89074 2003-05-31 2003-06-30 3.65% 1.69% 05/2003 11941.27483 11840.84198 2003-06-30 2003-07-31 7.04% 4.99% 06/2003 12376.98839 12040.95221 2003-07-31 2003-08-31 5.14% 3.80% 07/2003 13248.41552 12641.79572 2003-08-31 2003-09-30 -0.78% -1.15% 08/2003 13929.21796 13122.18396 2003-09-30 2003-10-31 10.00% 8.15% 09/2003 13820.28957 12971.27885 2003-10-31 2003-11-30 4.16% 3.84% 10/2003 15202.31852 14028.43807 2003-11-30 2003-12-31 5.33% 3.62% 11/2003 15835.46479 14567.13009 2003-12-31 2004-01-31 4.89% 3.46% 12/2003 16679.86888 15094.4602 2004-01-31 2004-02-29 1.41% 1.94% 01/2004 17495.29678 15616.72853 2004-02-29 2004-03-31 0.94% 1.38% 02/2004 17742.83739 15919.69306 2004-03-31 2004-04-30 -3.17% -5.17% 03/2004 17910.29134 16139.38482 2004-04-30 2004-05-31 0.38% 1.21% 04/2004 17342.40406 15304.97863 2004-05-31 2004-06-30 6.69% 5.08% 05/2004 17407.92951 15490.16887 2004-06-30 2004-07-31 -5.33% -4.60% 06/2004 18573.13606 16277.06945 2004-07-31 2004-08-31 -1.49% 0.98% 07/2004 17582.56881 15528.32425 2004-08-31 2004-09-30 4.93% 3.96% 08/2004 17320.35983 15680.50183 2004-09-30 2004-10-31 0.96% 1.55% 09/2004 18174.04026 16301.4497 2004-10-31 2004-11-30 10.00% 8.87% 10/2004 18348.86069 16554.12217 2004-11-30 2004-12-31 3.62% 2.39% 11/2004 20184.47517 18022.47281 2004-12-31 2005-01-31 -3.57% -3.87% 12/2004 20914.95501 18453.20991 2005-01-31 2005-02-28 2.70% 1.99% 01/2005 20167.99233 17739.07069 2005-02-28 2005-03-31 -1.95% -2.06% 02/2005 20712.65262 18092.07819 2005-03-31 2005-04-30 -7.28% -5.16% 03/2005 20308.5008 17719.38138 2005-04-30 2005-05-31 6.65% 6.10% 04/2005 18830.10419 16805.0613 2005-05-31 2005-06-30 4.17% 4.42% 05/2005 20082.85079 17830.02508 2005-06-30 2005-07-31 7.11% 5.69% 06/2005 20920.89506 18618.48383 2005-07-31 2005-08-31 -1.67% -2.30% 07/2005 22409.12261 19677.88612 2005-08-31 2005-09-30 0.80% -0.17% 08/2005 22035.11778 19226.10977 2005-09-30 2005-10-31 -2.92% -2.51% 09/2005 22210.51079 19194.32037 2005-10-31 2005-11-30 4.21% 4.06% 10/2005 21561.62927 18712.22181 2005-11-30 2005-12-31 0.34% -0.77% 11/2005 22468.49983 19471.29574 2005-12-31 2006-01-31 8.82% 8.27% 12/2005 22543.91832 19321.80403 2006-01-31 2006-02-28 -0.35% -0.01% 01/2006 24533.08758 20919.58842 2006-02-28 2006-03-31 6.09% 4.84% 02/2006 24448.08035 20918.16198 2006-03-31 2006-04-30 0.98% 0.27% 03/2006 25938.03182 21931.34736 2006-04-30 2006-05-31 -4.39% -4.14% 04/2006 26193.41119 21989.99474 2006-05-31 2006-06-30 0.05% 1.23% 05/2006 25044.204 21079.39132 2006-06-30 2006-07-31 -3.75% -1.39% 06/2006 25056.35087 21338.3527 2006-07-31 2006-08-31 1.95% 2.99% 07/2006 24117.91076 21042.42594 2006-08-31 2006-09-30 1.19% 0.98% 08/2006 24587.13081 21671.36709 2006-09-30 2006-10-31 5.43% 5.09% 09/2006 24880.34911 21882.92966 2006-10-31 2006-11-30 3.03% 2.85% 10/2006 26232.17 22996.68723 2006-11-30 2006-12-31 1.38% 0.87% 11/2006 27027.86204 23652.41933 2006-12-31 2007-01-31 2.20% 1.50% 12/2006 27402.11065 23858.48812 2007-01-31 2007-02-28 -0.23% -1.23% 01/2007 28005.0684 24215.87612 2007-02-28 2007-03-31 1.09% 1.21% 02/2007 27940.13449 23918.47933 2007-03-31 2007-04-30 1.81% 1.04% 03/2007 28243.8074 24207.13595 2007-04-30 2007-05-31 3.65% 3.67% 04/2007 28754.29357 24458.33044 2007-05-31 2007-06-30 -1.55% -2.33% 05/2007 29803.11061 25355.10988 2007-06-30 2007-07-31 -7.64% -8.51% 06/2007 29342.2779 24764.12514 2007-07-31 2007-08-31 -0.76% 2.00% 07/2007 27099.49675 22656.3737 2007-08-31 2007-09-30 -0.28% 0.45% 08/2007 26894.76155 23110.31558 2007-09-30 2007-10-31 1.11% 1.09% 09/2007 26820.6426 23214.66438 2007-10-31 2007-11-30 -8.72% -7.49% 10/2007 27119.6881 23467.49264 2007-11-30 2007-12-31 -1.20% -0.85% 11/2007 24755.35967 21709.31839 2007-12-31 2008-01-31 -3.94% -4.10% 12/2007 24457.58481 21525.78068 2008-01-31 2008-02-29 -2.84% -3.97% 01/2008 23493.23373 20642.44184 2008-02-29 2008-03-31 0.84% 1.51% 02/2008 22826.39522 19822.0514 2008-03-31 2008-04-30 1.66% 3.16% 03/2008 23019.26592 20121.36438 2008-04-30 2008-05-31 4.14% 3.42% 04/2008 23400.34549 20758.02052 2008-05-31 2008-06-30 -10.10% -9.60% 05/2008 24368.49359 21467.72232 2008-06-30 2008-07-31 2.07% 5.13% 06/2008 21906.35792 19407.88941 2008-07-31 2008-08-31 4.15% 4.75% 07/2008 22360.16195 20402.80247 2008-08-31 2008-09-30 -6.89% -4.69% 08/2008 23288.39745 21371.93559 2008-09-30 2008-10-31 -22.14% -19.98% 09/2008 21683.2596 20370.12118 2008-10-31 2008-11-30 -12.99% -11.58% 10/2008 16883.1487 16300.64472 2008-11-30 2008-12-31 5.25% 6.15% 11/2008 14689.99458 14412.88139 2008-12-31 2009-01-31 -14.28% -14.28% 12/2008 15460.74325 15299.50889 2009-01-31 2009-02-28 -12.71% -13.89% 01/2009 13253.56001 13113.99185 2009-02-28 2009-03-31 10.40% 8.88% 02/2009 11569.40598 11292.45016 2009-03-31 2009-04-30 19.66% 15.87% 03/2009 12772.37314 12295.05465 2009-04-30 2009-05-31 3.22% 2.16% 04/2009 15282.91332 14245.96406 2009-05-31 2009-06-30 0.35% -0.32% 05/2009 15774.56077 14554.00274 2009-06-30 2009-07-31 13.44% 11.56% 06/2009 15830.36155 14508.11897 2009-07-31 2009-08-31 5.14% 4.73% 07/2009 17958.54923 16185.85965 2009-08-31 2009-09-30 6.33% 5.02% 08/2009 18881.11335 16951.94298 2009-09-30 2009-10-31 -7.53% -6.64% 09/2009 20077.00247 17802.15505 2009-10-31 2009-11-30 3.11% 3.18% 10/2009 18565.71739 16619.96421 2009-11-30 2009-12-31 7.92% 7.57% 11/2009 19142.94433 17148.85478 2009-12-31 2010-01-31 -3.16% -2.93% 12/2009 20658.88977 18447.7194 2010-01-31 2010-02-28 6.15% 4.64% 01/2010 20006.39299 17907.01536 2010-02-28 2010-03-31 8.86% 8.32% 02/2010 21237.71755 18737.34289 2010-03-31 2010-04-30 8.11% 7.00% 03/2010 23119.5823 20295.85058 2010-04-30 2010-05-31 -9.90% -8.45% 04/2010 24993.57395 21715.93289 2010-05-31 2010-06-30 -10.14% -8.73% 05/2010 22519.48386 19880.97681 2010-06-30 2010-07-31 8.69% 7.14% 06/2010 20234.89853 18145.46526 2010-07-31 2010-08-31 -8.38% -7.52% 07/2010 21993.0817 19440.72405 2010-08-31 2010-09-30 12.93% 10.74% 08/2010 20150.67419 17978.90598 2010-09-30 2010-10-31 4.17% 3.87% 09/2010 22757.07747 19909.28019 2010-10-31 2010-11-30 4.49% 2.54% 10/2010 23705.72822 20680.63231 2010-11-30 2010-12-31 9.18% 8.31% 11/2010 24770.32517 21206.23538 2010-12-31 2011-01-31 0.31% 0.05% 12/2010 27043.03564 22968.14234 2011-01-31 2011-02-28 6.28% 5.08% 01/2011 27127.64428 22980.67416 2011-02-28 2011-03-31 2.05% 1.39% 02/2011 28830.39311 24147.54979 2011-03-31 2011-04-30 1.26% 1.62% 03/2011 29422.65357 24483.10978 2011-04-30 2011-05-31 -3.12% -1.79% 04/2011 29792.81635 24880.91491 2011-05-31 2011-06-30 -1.81% -2.46% 05/2011 28862.12135 24435.21118 2011-06-30 2011-07-31 -2.88% -3.31% 06/2011 28340.10852 23834.3689 2011-07-31 2011-08-31 -10.58% -8.83% 07/2011 27524.94664 23046.22178 2011-08-31 2011-09-30 -12.58% -10.92% 08/2011 24613.65421 21010.59633 2011-09-30 2011-10-31 15.82% 14.41% 09/2011 21518.01959 18716.03141 2011-10-31 2011-11-30 -0.68% -0.20% 10/2011 24922.29967 21413.06698 2011-11-30 2011-12-31 1.01% 1.57% 11/2011 24752.61593 21370.27561 2011-12-31 2012-01-31 7.43% 6.65% 12/2011 25002.48837 21704.73911 2012-01-31 2012-02-29 3.18% 1.49% 01/2012 26859.32257 23147.48672 2012-02-29 2012-03-31 2.30% 3.10% 02/2012 27712.17084 23491.84281 2012-03-31 2012-04-30 -1.60% -1.45% 03/2012 28349.10816 24220.43348 2012-04-30 2012-05-31 -7.12% -6.11% 04/2012 27895.69516 23869.97801 2012-05-31 2012-06-30 4.38% 4.82% 05/2012 25909.31439 22411.34432 2012-06-30 2012-07-31 -0.24% -1.02% 06/2012 27044.58351 23491.86759 2012-07-31 2012-08-31 4.21% 3.08% 07/2012 26979.62455 23251.80414 2012-08-31 2012-09-30 3.31% 3.56% 08/2012 28116.40648 23969.11654 2012-09-30 2012-10-31 -0.82% -1.25% 09/2012 29048.45198 24823.03614 10/31/2012 28809.90552 24511.73588
One Year Five Years Ten Years -------- ---------- --------- 15.60% 1.22% 11.16% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. Core Equity 1 Portfolio vs. Russell 3000(R) Index September 15, 2005 - October 31, 2012
U.S. Core Equity 1 BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Russell 3000(R) Index --------- ---------- ----------- ----------------- ---------- ------------------ --------------------- 2005-09-15 2005-09-30 0.40% 0.26% 09/2005 10000 10000 2005-09-30 2005-10-31 -2.19% -1.87% 09/2005 10040 10026.07049 2005-10-31 2005-11-30 4.07% 3.89% 10/2005 9820 9838.286379 2005-11-30 2005-12-31 0.04% 0.08% 11/2005 10220 10220.99572 2005-12-31 2006-01-31 4.03% 3.34% 12/2005 10223.78844 10229.4184 2006-01-31 2006-02-28 0.19% 0.18% 01/2006 10635.9569 10571.16355 2006-02-28 2006-03-31 2.22% 1.73% 02/2006 10656.06268 10589.95797 2006-03-31 2006-04-30 1.20% 1.08% 03/2006 10892.7356 10773.02951 2006-04-30 2006-05-31 -3.47% -3.20% 04/2006 11023.6095 10889.90295 2006-05-31 2006-06-30 0.02% 0.18% 05/2006 10641.05502 10541.26651 2006-06-30 2006-07-31 -1.04% -0.09% 06/2006 10643.53355 10559.8869 2006-07-31 2006-08-31 2.40% 2.45% 07/2006 10532.45303 10550.00243 2006-08-31 2006-09-30 2.08% 2.24% 08/2006 10784.90876 10808.11243 2006-09-30 2006-10-31 3.68% 3.60% 09/2006 11008.93769 11050.03834 2006-10-31 2006-11-30 2.38% 2.18% 10/2006 11414.05039 11447.81119 2006-11-30 2006-12-31 1.22% 1.20% 11/2006 11686.05336 11696.8799 2006-12-31 2007-01-31 1.90% 1.90% 12/2006 11828.31835 11836.97558 2007-01-31 2007-02-28 -1.10% -1.64% 01/2007 12052.84208 12062.28188 2007-02-28 2007-03-31 1.00% 1.04% 02/2007 11920.16897 11864.40958 2007-03-31 2007-04-30 3.74% 3.99% 03/2007 12038.98958 11987.89834 2007-04-30 2007-05-31 3.85% 3.64% 04/2007 12489.04527 12466.77687 2007-05-31 2007-06-30 -1.62% -1.87% 05/2007 12969.78657 12921.09509 2007-06-30 2007-07-31 -4.18% -3.41% 06/2007 12760.02759 12679.15964 2007-07-31 2007-08-31 1.01% 1.44% 07/2007 12226.22113 12246.76321 2007-08-31 2007-09-30 2.87% 3.65% 08/2007 12349.40724 12422.55798 2007-09-30 2007-10-31 1.54% 1.83% 09/2007 12703.61439 12875.44803 2007-10-31 2007-11-30 -5.17% -4.50% 10/2007 12899.37163 13111.63682 2007-11-30 2007-12-31 -0.61% -0.61% 11/2007 12232.76581 12521.36708 2007-12-31 2008-01-31 -5.71% -6.06% 12/2007 12158.55538 12445.59651 2008-01-31 2008-02-29 -2.98% -3.11% 01/2008 11464.66848 11691.24967 2008-02-29 2008-03-31 -0.71% -0.59% 02/2008 11122.9033 11328.12341 2008-03-31 2008-04-30 4.99% 5.00% 03/2008 11043.48573 11261.28749 2008-04-30 2008-05-31 2.60% 2.05% 04/2008 11594.10167 11824.45152 2008-05-31 2008-06-30 -8.56% -8.25% 05/2008 11895.38209 12066.69465 2008-06-30 2008-07-31 0.00% -0.80% 06/2008 10876.7061 11070.94073 2008-07-31 2008-08-31 2.21% 1.55% 07/2008 10876.7061 10982.64391 2008-08-31 2008-09-30 -9.27% -9.40% 08/2008 11116.55677 11152.87489 2008-09-30 2008-10-31 -18.56% -17.74% 09/2008 10086.10573 10104.23524 2008-10-31 2008-11-30 -8.45% -7.89% 10/2008 8213.686378 8312.150636 2008-11-30 2008-12-31 2.63% 1.91% 11/2008 7519.572035 7655.996316 2008-12-31 2009-01-31 -9.04% -8.39% 12/2008 7717.617641 7802.460402 2009-01-31 2009-02-28 -10.69% -10.48% 01/2009 7019.860428 7147.674106 2009-02-28 2009-03-31 9.19% 8.76% 02/2009 6269.242823 6398.917567 2009-03-31 2009-04-30 12.11% 10.52% 03/2009 6845.382245 6959.42348 2009-04-30 2009-05-31 4.71% 5.34% 04/2009 7674.481336 7691.788944 2009-05-31 2009-06-30 0.45% 0.34% 05/2009 8035.883505 8102.256351 2009-06-30 2009-07-31 8.47% 7.78% 06/2009 8072.081178 8129.804088 2009-07-31 2009-08-31 3.66% 3.57% 07/2009 8755.431967 8762.595024 2009-08-31 2009-09-30 4.74% 4.19% 08/2009 9075.752648 9075.698133 2009-09-30 2009-10-31 -3.54% -2.57% 09/2009 9505.932557 9455.934523 2009-10-31 2009-11-30 5.04% 5.68% 10/2009 9169.774822 9212.730565 2009-11-30 2009-12-31 4.04% 2.85% 11/2009 9631.484794 9736.232822 2009-12-31 2010-01-31 -3.23% -3.60% 12/2009 10020.21596 10013.68879 2010-01-31 2010-02-28 3.89% 3.39% 01/2010 9696.983185 9652.71891 2010-02-28 2010-03-31 6.65% 6.30% 02/2010 10074.08808 9979.96323 2010-03-31 2010-04-30 3.12% 2.16% 03/2010 10743.73917 10608.96643 2010-04-30 2010-05-31 -7.89% -7.90% 04/2010 11078.46873 10837.91578 2010-05-31 2010-06-30 -6.44% -5.75% 05/2010 10203.85278 9981.751444 2010-06-30 2010-07-31 7.15% 6.94% 06/2010 9546.471821 9407.921189 2010-07-31 2010-08-31 -5.40% -4.71% 07/2010 10229.13666 10061.04111 2010-08-31 2010-09-30 10.20% 9.44% 08/2010 9676.503217 9587.438128 2010-09-30 2010-10-31 3.88% 3.91% 09/2010 10663.52497 10492.65506 2010-10-31 2010-11-30 1.28% 0.58% 10/2010 11077.00859 10902.67624 2010-11-30 2010-12-31 7.28% 6.78% 11/2010 11218.46352 10965.61711 2010-12-31 2011-01-31 2.00% 2.18% 12/2010 12035.13833 11708.96736 2011-01-31 2011-02-28 4.01% 3.64% 01/2011 12275.8411 11964.71007 2011-02-28 2011-03-31 1.06% 0.45% 02/2011 12768.18767 12400.3236 2011-03-31 2011-04-30 2.72% 2.98% 03/2011 12903.06532 12456.25605 2011-04-30 2011-05-31 -1.41% -1.14% 04/2011 13253.87084 12827.01189 2011-05-31 2011-06-30 -1.85% -1.80% 05/2011 13067.50541 12680.65539 2011-06-30 2011-07-31 -2.83% -2.29% 06/2011 12825.76773 12452.9236 2011-07-31 2011-08-31 -6.97% -6.00% 07/2011 12462.7743 12167.75288 2011-08-31 2011-09-30 -8.75% -7.76% 08/2011 11593.79004 11437.74633 2011-09-30 2011-10-31 12.53% 11.51% 09/2011 10579.2966 10550.2277 2011-10-31 2011-11-30 -0.19% -0.27% 10/2011 11904.46946 11764.4808 2011-11-30 2011-12-31 0.64% 0.82% 11/2011 11882.38324 11732.68431 2011-12-31 2012-01-31 5.39% 5.05% 12/2011 11958.68183 11829.12097 2012-01-31 2012-02-29 4.32% 4.23% 01/2012 12603.29479 12426.05088 2012-02-29 2012-03-31 2.65% 3.08% 02/2012 13147.8816 12951.71029 2012-03-31 2012-04-30 -0.99% -0.66% 03/2012 13496.46581 13351.22878 2012-04-30 2012-05-31 -6.58% -6.18% 04/2012 13362.83743 13263.6621 2012-05-31 2012-06-30 3.70% 3.92% 05/2012 12483.1173 12443.71622 2012-06-30 2012-07-31 0.69% 0.99% 06/2012 12944.70039 12931.07791 2012-07-31 2012-08-31 2.92% 2.50% 07/2012 13034.20567 13059.15945 2012-08-31 2012-09-30 2.85% 2.63% 08/2012 13414.60308 13385.09154 2012-09-30 2012-10-31 -1.38% -1.72% 09/2012 13796.44644 13736.58407 10/31/2012 13605.45329 13499.64779
One Year Five Years From 09/15/2005 -------- ---------- --------------- 14.29% 1.07% 4.42% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Core Equity 2 Portfolio vs. Russell 3000(R) Index September 15, 2005 - October 31, 2012
U.S. Core Equity 2 BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Russell 3000(R) Index --------- ---------- ----------- ----------------- ---------- ------------------ --------------------- 2005-09-15 2005-09-30 0.50% 0.26% 09/2005 10000 10000 2005-09-30 2005-10-31 -2.19% -1.87% 09/2005 10050 10026.07049 2005-10-31 2005-11-30 4.17% 3.89% 10/2005 9829.999999 9838.286379 2005-11-30 2005-12-31 0.07% 0.08% 11/2005 10240 10220.99572 2005-12-31 2006-01-31 4.80% 3.34% 12/2005 10246.90802 10229.4184 2006-01-31 2006-02-28 0.19% 0.18% 01/2006 10739.16145 10571.16355 2006-02-28 2006-03-31 2.39% 1.73% 02/2006 10759.25342 10589.95797 2006-03-31 2006-04-30 1.46% 1.08% 03/2006 11015.87975 10773.02951 2006-04-30 2006-05-31 -3.60% -3.20% 04/2006 11176.84238 10889.90295 2006-05-31 2006-06-30 -0.08% 0.18% 05/2006 10774.43581 10541.26651 2006-06-30 2006-07-31 -1.12% -0.09% 06/2006 10765.82634 10559.8869 2006-07-31 2006-08-31 2.27% 2.45% 07/2006 10644.74863 10550.00243 2006-08-31 2006-09-30 2.05% 2.24% 08/2006 10886.90406 10808.11243 2006-09-30 2006-10-31 3.83% 3.60% 09/2006 11109.73012 11050.03834 2006-10-31 2006-11-30 2.53% 2.18% 10/2006 11534.69247 11447.81119 2006-11-30 2006-12-31 1.37% 1.20% 11/2006 11826.7327 11696.8799 2006-12-31 2007-01-31 1.87% 1.90% 12/2006 11988.2295 11836.97558 2007-01-31 2007-02-28 -1.00% -1.64% 01/2007 12212.49909 12062.28188 2007-02-28 2007-03-31 1.06% 1.04% 02/2007 12090.17022 11864.40958 2007-03-31 2007-04-30 3.43% 3.99% 03/2007 12218.05161 11987.89834 2007-04-30 2007-05-31 4.04% 3.64% 04/2007 12636.89786 12466.77687 2007-05-31 2007-06-30 -1.61% -1.87% 05/2007 13147.68597 12921.09509 2007-06-30 2007-07-31 -4.68% -3.41% 06/2007 12936.11551 12679.15964 2007-07-31 2007-08-31 0.91% 1.44% 07/2007 12331.33674 12246.76321 2007-08-31 2007-09-30 2.51% 3.65% 08/2007 12444.09211 12422.55798 2007-09-30 2007-10-31 1.05% 1.83% 09/2007 12756.68877 12875.44803 2007-10-31 2007-11-30 -5.71% -4.50% 10/2007 12890.42825 13111.63682 2007-11-30 2007-12-31 -0.87% -0.61% 11/2007 12155.01345 12521.36708 2007-12-31 2008-01-31 -5.15% -6.06% 12/2007 12048.85772 12445.59651 2008-01-31 2008-02-29 -3.17% -3.11% 01/2008 11428.31569 11691.24967 2008-02-29 2008-03-31 -1.01% -0.59% 02/2008 11066.33284 11328.12341 2008-03-31 2008-04-30 5.02% 5.00% 03/2008 10954.96199 11261.28749 2008-04-30 2008-05-31 2.80% 2.05% 04/2008 11504.78489 11824.45152 2008-05-31 2008-06-30 -9.04% -8.25% 05/2008 11826.37942 12066.69465 2008-06-30 2008-07-31 0.29% -0.80% 06/2008 10757.16532 11070.94073 2008-07-31 2008-08-31 2.22% 1.55% 07/2008 10788.40588 10982.64391 2008-08-31 2008-09-30 -9.03% -9.40% 08/2008 11027.91682 11152.87489 2008-09-30 2008-10-31 -19.02% -17.74% 09/2008 10032.13851 10104.23524 2008-10-31 2008-11-30 -9.06% -7.89% 10/2008 8123.967743 8312.150636 2008-11-30 2008-12-31 2.97% 1.91% 11/2008 7388.291492 7655.996316 2008-12-31 2009-01-31 -10.42% -8.39% 12/2008 7607.356497 7802.460402 2009-01-31 2009-02-28 -11.63% -10.48% 01/2009 6814.923529 7147.674106 2009-02-28 2009-03-31 9.84% 8.76% 02/2009 6022.490561 6398.917567 2009-03-31 2009-04-30 13.96% 10.52% 03/2009 6614.967726 6959.42348 2009-04-30 2009-05-31 4.79% 5.34% 04/2009 7538.727264 7691.788944 2009-05-31 2009-06-30 -0.13% 0.34% 05/2009 7899.736738 8102.256351 2009-06-30 2009-07-31 9.05% 7.78% 06/2009 7889.104933 8129.804088 2009-07-31 2009-08-31 4.09% 3.57% 07/2009 8603.38876 8762.595024 2009-08-31 2009-09-30 4.99% 4.19% 08/2009 8955.200198 9075.698133 2009-09-30 2009-10-31 -4.38% -2.57% 09/2009 9401.701866 9455.934523 2009-10-31 2009-11-30 4.53% 5.68% 10/2009 8990.274958 9212.730565 2009-11-30 2009-12-31 4.55% 2.85% 11/2009 9397.46262 9736.232822 2009-12-31 2010-01-31 -3.06% -3.60% 12/2009 9825.026675 10013.68879 2010-01-31 2010-02-28 4.18% 3.39% 01/2010 9524.041175 9652.71891 2010-02-28 2010-03-31 7.14% 6.30% 02/2010 9921.772015 9979.96323 2010-03-31 2010-04-30 3.65% 2.16% 03/2010 10630.6719 10608.96643 2010-04-30 2010-05-31 -7.92% -7.90% 04/2010 11018.41677 10837.91578 2010-05-31 2010-06-30 -7.04% -5.75% 05/2010 10145.99081 9981.751444 2010-06-30 2010-07-31 7.33% 6.94% 06/2010 9432.164173 9407.921189 2010-07-31 2010-08-31 -5.98% -4.71% 07/2010 10123.64013 10061.04111 2010-08-31 2010-09-30 10.57% 9.44% 08/2010 9518.598667 9587.438128 2010-09-30 2010-10-31 3.71% 3.91% 09/2010 10524.41695 10492.65506 2010-10-31 2010-11-30 1.59% 0.58% 10/2010 10915.01387 10902.67624 2010-11-30 2010-12-31 7.93% 6.78% 11/2010 11088.6125 10965.61711 2010-12-31 2011-01-31 1.91% 2.18% 12/2010 11968.23215 11708.96736 2011-01-31 2011-02-28 4.47% 3.64% 01/2011 12197.34143 11964.71007 2011-02-28 2011-03-31 1.21% 0.45% 02/2011 12742.83971 12400.3236 2011-03-31 2011-04-30 2.29% 2.98% 03/2011 12896.98515 12456.25605 2011-04-30 2011-05-31 -1.57% -1.14% 04/2011 13192.08565 12827.01189 2011-05-31 2011-06-30 -1.97% -1.80% 05/2011 12984.42234 12680.65539 2011-06-30 2011-07-31 -3.36% -2.29% 06/2011 12729.15378 12452.9236 2011-07-31 2011-08-31 -7.58% -6.00% 07/2011 12301.55947 12167.75288 2011-08-31 2011-09-30 -9.49% -7.76% 08/2011 11369.62315 11437.74633 2011-09-30 2011-10-31 13.48% 11.51% 09/2011 10290.37171 10550.2277 2011-10-31 2011-11-30 -0.38% -0.27% 10/2011 11677.0956 11764.4808 2011-11-30 2011-12-31 0.73% 0.82% 11/2011 11633.07262 11732.68431 2011-12-31 2012-01-31 5.57% 5.05% 12/2011 11717.78196 11829.12097 2012-01-31 2012-02-29 4.29% 4.23% 01/2012 12370.61401 12426.05088 2012-02-29 2012-03-31 2.41% 3.08% 02/2012 12901.73161 12951.71029 2012-03-31 2012-04-30 -1.01% -0.66% 03/2012 13213.27714 13351.22878 2012-04-30 2012-05-31 -6.86% -6.18% 04/2012 13080.25757 13263.6621 2012-05-31 2012-06-30 3.95% 3.92% 05/2012 12182.37548 12443.71622 2012-06-30 2012-07-31 0.53% 0.99% 06/2012 12663.02274 12931.07791 2012-07-31 2012-08-31 3.15% 2.50% 07/2012 12729.84608 13059.15945 2012-08-31 2012-09-30 3.04% 2.63% 08/2012 13130.78612 13385.09154 2012-09-30 2012-10-31 -0.91% -1.72% 09/2012 13529.76511 13736.58407 10/31/2012 13406.76724 13499.64779
One Year Five Years From 09/15/2005 -------- ---------- --------------- 14.81% 0.79% 4.20% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Vector Equity Portfolio vs. Russell 2500(R) Index December 30, 2005 - October 31, 2012
U.S. Vector Equity Russell Russell BeginDate EndDate FundReturns Benchmark0Returns Benchmark1Returns EndDate Portfolio 2500(R) Index 3000(R) Index --------- ---------- ----------- ----------------- ----------------- ---------- ----------- ------------- ------------- 2005-12-30. 2005-12-31 0.00% 0.00% 0.00% 12/2005 10000 10000 10000 2005-12-31. 2006-01-31 8.10% 7.07% 3.34% 12/2005 10000 10000 10000 2006-01-31. 2006-02-28 -0.09% -0.08% 0.18% 01/2006 10810 10707.36924 10334.08073 2006-02-28. 2006-03-31 3.66% 3.89% 1.73% 02/2006 10800 10698.42504 10352.45363 2006-03-31. 2006-04-30 1.07% 0.35% 1.08% 03/2006 11195.70224 11114.26534 10531.41937 2006-04-30. 2006-05-31 -3.98% -4.72% -3.20% 04/2006 11315.87078 11153.28278 10645.67165 2006-05-31. 2006-06-30 -0.19% 0.05% 0.18% 05/2006 10865.23876 10626.4826 10304.85419 2006-06-30. 2006-07-31 -2.04% -3.15% -0.09% 06/2006 10844.61829 10631.79726 10323.05698 2006-07-31. 2006-08-31 2.27% 2.53% 2.45% 07/2006 10623.7094 10297.36211 10313.39419 2006-08-31. 2006-09-30 1.71% 1.22% 2.24% 08/2006 10864.70092 10558.29931 10565.71547 2006-09-30. 2006-10-31 4.37% 4.80% 3.60% 09/2006 11050.09171 10686.88833 10802.21564 2006-10-31. 2006-11-30 2.88% 3.26% 2.18% 10/2006 11533.15583 11200.38745 11191.06751 2006-11-30. 2006-12-31 1.14% 0.44% 1.20% 11/2006 11865.26241 11565.75267 11434.55028 2006-12-31. 2007-01-31 1.97% 2.70% 1.90% 12/2006 12000.89116 11616.4765 11571.50398 2007-01-31. 2007-02-28 -0.67% -0.14% -1.64% 01/2007 12236.80611 11929.91056 11791.75727 2007-02-28. 2007-03-31 0.93% 0.97% 1.04% 02/2007 12154.74873 11913.14706 11598.32272 2007-03-31. 2007-04-30 2.93% 2.58% 3.99% 03/2007 12267.96271 12029.07706 11719.04195 2007-04-30. 2007-05-31 4.15% 4.18% 3.64% 04/2007 12627.57636 12339.03312 12187.18052 2007-05-31. 2007-06-30 -1.52% -1.79% -1.87% 05/2007 13151.58482 12854.61469 12631.30961 2007-06-30. 2007-07-31 -5.65% -5.75% -3.41% 06/2007 12951.14302 12623.93608 12394.80012 2007-07-31. 2007-08-31 0.51% 1.06% 1.44% 07/2007 12219.61465 11898.6634 11972.10118 2007-08-31. 2007-09-30 1.75% 2.35% 3.65% 08/2007 12281.43395 12024.84163 12143.95334 2007-09-30. 2007-10-31 0.66% 2.57% 1.83% 09/2007 12496.25247 12307.98885 12586.68629 2007-10-31. 2007-11-30 -6.49% -6.13% -4.50% 10/2007 12578.94066 12624.15904 12817.578 2007-11-30. 2007-12-31 -1.11% -0.62% -0.61% 11/2007 11762.3948 11850.46476 12240.54642 2007-12-31. 2008-01-31 -4.73% -6.11% -6.06% 12/2007 11631.77062 11776.64626 12166.47518 2008-01-31. 2008-02-29 -3.37% -2.75% -3.11% 01/2008 11081.33861 11057.29114 11429.04632 2008-02-29. 2008-03-31 -0.41% -0.74% -0.59% 02/2008 10707.46027 10753.5381 11074.06401 2008-03-31. 2008-04-30 4.49% 5.38% 5.00% 03/2008 10663.12107 10673.96192 11008.72703 2008-04-30. 2008-05-31 3.36% 4.75% 2.05% 04/2008 11142.12846 11248.63068 11559.26081 2008-05-31. 2008-06-30 -9.55% -8.15% -8.25% 05/2008 11517.00381 11782.78761 11796.07107 2008-06-30. 2008-07-31 0.80% 0.69% -0.80% 06/2008 10416.82936 10821.90896 10822.64924 2008-07-31. 2008-08-31 2.89% 2.86% 1.55% 07/2008 10500.41476 10896.98502 10736.33268 2008-08-31. 2008-09-30 -8.43% -9.94% -9.40% 08/2008 10803.4118 11208.63879 10902.74583 2008-09-30. 2008-10-31 -20.68% -21.54% -17.74% 09/2008 9892.436576 10094.83988 9877.624365 2008-10-31. 2008-11-30 -10.96% -10.84% -7.89% 10/2008 7846.810771 7920.144418 8125.731405 2008-11-30. 2008-12-31 4.58% 5.43% 1.91% 11/2008 6986.598894 7061.280989 7484.292866 2008-12-31. 2009-01-31 -12.17% -9.00% -8.39% 12/2008 7306.839275 7444.662323 7627.472155 2009-01-31. 2009-02-28 -12.54% -10.81% -10.48% 01/2009 6417.311015 6774.568834 6987.370958 2009-02-28. 2009-03-31 10.08% 9.13% 8.76% 02/2009 5612.499733 6042.101693 6255.407019 2009-03-31. 2009-04-30 16.18% 15.41% 10.52% 03/2009 6178.308306 6593.63287 6803.342288 2009-04-30. 2009-05-31 4.30% 3.05% 5.34% 04/2009 7177.896914 7609.72032 7519.282761 2009-05-31. 2009-06-30 0.04% 1.13% 0.34% 05/2009 7486.280631 7841.521026 7920.544486 2009-06-30. 2009-07-31 10.26% 9.02% 7.78% 06/2009 7489.588964 7930.383589 7947.4744 2009-07-31. 2009-08-31 4.65% 4.09% 3.57% 07/2009 8257.751935 8645.898145 8566.073534 2009-08-31. 2009-09-30 5.22% 5.80% 4.19% 08/2009 8641.833419 8999.115137 8872.154581 2009-09-30. 2009-10-31 -5.53% -5.79% -2.57% 09/2009 9092.773536 9521.240112 9243.863288 2009-10-31. 2009-11-30 3.74% 4.03% 5.68% 10/2009 8589.996646 8970.170257 9006.113742 2009-11-30. 2009-12-31 5.96% 7.21% 2.85% 11/2009 8910.918066 9331.898712 9517.875249 2009-12-31. 2010-01-31 -2.84% -3.35% -3.60% 12/2009 9441.991047 10004.75497 9789.108621 2010-01-31. 2010-02-28 4.92% 4.97% 3.39% 01/2010 9173.447502 9669.835496 9436.23433 2010-02-28. 2010-03-31 7.50% 7.64% 6.30% 02/2010 9624.600658 10150.60386 9756.139438 2010-03-31. 2010-04-30 5.09% 4.74% 2.16% 03/2010 10346.73337 10926.39959 10371.03579 2010-04-30. 2010-05-31 -8.01% -7.45% -7.90% 04/2010 10873.74994 11443.95706 10594.85042 2010-05-31. 2010-06-30 -7.76% -7.14% -5.75% 05/2010 10002.55929 10591.65383 9757.887548 2010-06-30. 2010-07-31 7.36% 7.04% 6.94% 06/2010 9226.60273 9835.732521 9196.926765 2010-07-31. 2010-08-31 -6.86% -5.92% -4.71% 07/2010 9905.663442 10527.7909 9835.398958 2010-08-31. 2010-09-30 11.01% 11.44% 9.44% 08/2010 9226.602729 9904.491459 9372.41762 2010-09-30. 2010-10-31 3.70% 3.83% 3.91% 09/2010 10242.66637 11037.13948 10257.33296 2010-10-31. 2010-11-30 2.44% 2.81% 0.58% 10/2010 10621.22321 11460.40038 10658.15847 2010-11-30. 2010-12-31 8.57% 7.59% 6.78% 11/2010 10880.80504 11782.82606 10719.68775 2010-12-31. 2011-01-31 1.38% 1.34% 2.18% 12/2010 11813.40659 12676.91163 11446.36665 2011-01-31. 2011-02-28 5.08% 4.88% 3.64% 01/2011 11976.42508 12846.87019 11696.37373 2011-02-28. 2011-03-31 1.66% 2.27% 0.45% 02/2011 12585.02744 13473.74101 12122.21762 2011-03-31. 2011-04-30 2.04% 2.89% 2.98% 03/2011 12793.91674 13779.87363 12176.89566 2011-04-30. 2011-05-31 -1.92% -1.20% -1.14% 04/2011 13055.01708 14177.73147 12539.33644 2011-05-31. 2011-06-30 -2.15% -2.20% -1.80% 05/2011 12804.79592 14007.77822 12396.26232 2011-06-30. 2011-07-31 -3.66% -3.81% -2.29% 06/2011 12529.69789 13699.1729 12173.63794 2011-07-31. 2011-08-31 -8.76% -8.19% -6.00% 07/2011 12071.69327 13177.70985 11894.86284 2011-08-31. 2011-09-30 -10.82% -10.80% -7.76% 08/2011 11013.92069 12098.97731 11181.22838 2011-09-30. 2011-10-31 14.48% 14.66% 11.51% 09/2011 9821.942629 10792.05018 10313.6144 2011-10-31. 2011-11-30 -0.49% -0.35% -0.27% 10/2011 11243.82742 12373.93866 11500.63507 2011-11-30. 2011-12-31 0.76% 0.23% 0.82% 11/2011 11189.13954 12330.94292 11469.55169 2011-12-31. 2012-01-31 6.15% 6.65% 5.05% 12/2011 11274.36654 12358.85589 11563.82553 2012-01-31. 2012-02-29 4.14% 3.71% 4.23% 01/2012 11967.32761 13180.32386 12147.36791 2012-02-29. 2012-03-31 2.40% 2.15% 3.08% 02/2012 12462.2998 13669.36943 12661.23818 2012-03-31. 2012-04-30 -1.47% -0.73% -0.66% 03/2012 12761.84573 13963.72374 13051.79655 2012-04-30. 2012-05-31 -7.27% -6.83% -6.18% 04/2012 12574.65732 13862.18174 12966.19375 2012-05-31. 2012-06-30 3.95% 3.64% 3.92% 05/2012 11660.73739 12914.77197 12164.63706 2012-06-30. 2012-07-31 -0.18% -0.68% 0.99% 06/2012 12121.55642 13385.2662 12641.06854 2012-07-31. 2012-08-31 3.66% 3.59% 2.50% 07/2012 12099.43679 13293.98253 12766.27755 2012-08-31. 2012-09-30 3.23% 2.60% 2.63% 08/2012 12541.82936 13771.47288 13084.89986 2012-09-30. 2012-10-31 -0.51% -1.05% -1.72% 09/2012 12946.68691 14130.21579 13428.50935 10/31/2012 12880.12296 13982.27365 13196.88692
One Year Five Years From 12/30/2005 -------- ---------- --------------- 14.55% 0.47% 3.77% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS U.S. Small Cap Portfolio vs. Russell 2000(R) Index October 31, 2002 - October 31, 2012
U.S. Small Cap Russell BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio 2000(R) Index --------- ---------- ----------- ----------------- ---------- -------------- ------------- 2002-10-31 2002-11-30 8.92% 8.92% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.50% -5.57% 11/2002 10891.71975 10892 2002-12-31 2003-01-31 -2.69% -2.77% 12/2002 10292.91741 10285.3156 2003-01-31 2003-02-28 -3.22% -3.02% 01/2003 10016.22608 10000.41236 2003-02-28 2003-03-31 0.95% 1.29% 02/2003 9693.419529 9698.399905 2003-03-31 2003-04-30 10.08% 9.48% 03/2003 9785.649973 9823.509263 2003-04-30 2003-05-31 11.22% 10.73% 04/2003 10772.51571 10754.77794 2003-05-31 2003-06-30 2.69% 1.81% 05/2003 11980.73451 11908.76561 2003-06-30 2003-07-31 6.30% 6.26% 06/2003 12303.54106 12124.31427 2003-07-31 2003-08-31 5.01% 4.58% 07/2003 13078.27678 12883.29635 2003-08-31 2003-09-30 -1.54% -1.85% 08/2003 13733.11292 13473.35132 2003-09-30 2003-10-31 8.73% 8.40% 09/2003 13520.9829 13224.09432 2003-10-31 2003-11-30 3.64% 3.55% 10/2003 14701.53256 14334.91824 2003-11-30 2003-12-31 2.34% 2.03% 11/2003 15236.46913 14843.80784 2003-12-31 2004-01-31 4.46% 4.34% 12/2003 15592.72663 15145.13714 2004-01-31 2004-02-29 0.85% 0.90% 01/2004 16287.58968 15802.43609 2004-02-29 2004-03-31 0.51% 0.93% 02/2004 16426.56229 15944.65802 2004-03-31 2004-04-30 -4.10% -5.10% 03/2004 16509.94585 16092.94333 2004-04-30 2004-05-31 1.05% 1.59% 04/2004 15833.61249 15272.20322 2004-05-31 2004-06-30 4.37% 4.21% 05/2004 16000.37962 15515.03126 2004-06-30 2004-07-31 -7.17% -6.73% 06/2004 16699.54476 16168.21407 2004-07-31 2004-08-31 -1.44% -0.51% 07/2004 15502.74405 15080.09326 2004-08-31 2004-09-30 4.89% 4.69% 08/2004 15280.08346 15003.18479 2004-09-30 2004-10-31 1.91% 1.97% 09/2004 16027.35649 15706.83416 2004-10-31 2004-11-30 8.75% 8.67% 10/2004 16333.78915 16016.25879 2004-11-30 2004-12-31 3.47% 2.96% 11/2004 17763.80821 17404.86843 2004-12-31 2005-01-31 -3.93% -4.17% 12/2004 18379.47152 17920.05253 2005-01-31 2005-02-28 1.75% 1.69% 01/2005 17656.68331 17172.78634 2005-02-28 2005-03-31 -2.89% -2.86% 02/2005 17966.44969 17463.00643 2005-03-31 2005-04-30 -6.24% -5.73% 03/2005 17448.05253 16963.56445 2005-04-30 2005-05-31 6.89% 6.55% 04/2005 16358.7231 15991.5522 2005-05-31 2005-06-30 3.77% 3.86% 05/2005 17485.61562 17038.21166 2005-06-30 2005-07-31 6.84% 6.34% 06/2005 18145.49922 17695.41334 2005-07-31 2005-08-31 -1.41% -1.85% 07/2005 19386.53855 18816.48682 2005-08-31 2005-09-30 0.64% 0.31% 08/2005 19113.88597 18467.60033 2005-09-30 2005-10-31 -3.09% -3.10% 09/2005 19235.96278 18525.55932 2005-10-31 2005-11-30 4.85% 4.85% 10/2005 18642.49282 17950.36629 2005-11-30 2005-12-31 -0.25% -0.46% 11/2005 19546.828 18821.74976 2005-12-31 2006-01-31 9.09% 8.97% 12/2005 19497.6084 18735.74394 2006-01-31 2006-02-28 -0.19% -0.28% 01/2006 21269.20834 20415.82191 2006-02-28 2006-03-31 4.59% 4.85% 02/2006 21229.17218 20359.59502 2006-03-31 2006-04-30 0.23% -0.02% 03/2006 22202.76237 21347.36282 2006-04-30 2006-05-31 -5.45% -5.62% 04/2006 22252.83626 21343.8986 2006-05-31 2006-06-30 -0.59% 0.64% 05/2006 21041.04815 20145.21337 2006-06-30 2006-07-31 -3.84% -3.25% 06/2006 20917.32016 20274.78836 2006-07-31 2006-08-31 2.79% 2.96% 07/2006 20114.73714 19615.05514 2006-08-31 2006-09-30 0.82% 0.83% 08/2006 20676.54526 20195.7776 2006-09-30 2006-10-31 5.64% 5.76% 09/2006 20846.99814 20363.92529 2006-10-31 2006-11-30 2.51% 2.63% 10/2006 22023.03419 21536.43877 2006-11-30 2006-12-31 0.71% 0.33% 11/2006 22575.87165 22102.96181 2006-12-31 2007-01-31 1.50% 1.67% 12/2006 22736.62171 22176.96705 2007-01-31 2007-02-28 -0.51% -0.79% 01/2007 23076.76752 22548.08794 2007-02-28 2007-03-31 1.05% 1.07% 02/2007 22959.8424 22369.16506 2007-03-31 2007-04-30 1.83% 1.80% 03/2007 23200.51036 22608.63756 2007-04-30 2007-05-31 3.78% 4.10% 04/2007 23626.01261 23014.74343 2007-05-31 2007-06-30 -1.09% -1.46% 05/2007 24519.56735 23958.4963 2007-06-30 2007-07-31 -6.02% -6.84% 06/2007 24251.58244 23608.0126 2007-07-31 2007-08-31 1.40% 2.27% 07/2007 22790.51525 21993.34851 2007-08-31 2007-09-30 1.26% 1.72% 08/2007 23110.45697 22491.84506 2007-09-30 2007-10-31 1.97% 2.87% 09/2007 23402.45803 22877.91405 2007-10-31 2007-11-30 -7.44% -7.18% 10/2007 23862.58866 23534.29322 2007-11-30 2007-12-31 -0.20% -0.06% 11/2007 22086.2704 21844.39548 2007-12-31 2008-01-31 -6.92% -6.82% 12/2007 22041.16399 21830.76512 2008-01-31 2008-02-29 -3.22% -3.71% 01/2008 20516.37515 20342.02883 2008-02-29 2008-03-31 0.36% 0.42% 02/2008 19856.39192 19588.01376 2008-03-31 2008-04-30 3.15% 4.19% 03/2008 19927.63569 19670.28342 2008-04-30 2008-05-31 4.77% 4.59% 04/2008 20555.00831 20493.88577 2008-05-31 2008-06-30 -8.95% -7.70% 05/2008 21535.99095 21435.31061 2008-06-30 2008-07-31 3.15% 3.70% 06/2008 19608.33588 19785.05283 2008-07-31 2008-08-31 3.62% 3.61% 07/2008 20225.74121 20517.22512 2008-08-31 2008-09-30 -7.99% -7.97% 08/2008 20957.48086 21257.89694 2008-09-30 2008-10-31 -20.58% -20.80% 09/2008 19282.02183 19564.06071 2008-10-31 2008-11-30 -12.21% -11.83% 10/2008 15313.20591 15494.16034 2008-11-30 2008-12-31 4.91% 5.80% 11/2008 13443.50362 13661.40461 2008-12-31 2009-01-31 -11.07% -11.12% 12/2008 14104.22393 14454.32762 2009-01-31 2009-02-28 -12.07% -12.15% 01/2009 12543.51063 12846.69817 2009-02-28 2009-03-31 10.30% 8.93% 02/2009 11029.04068 11285.52348 2009-03-31 2009-04-30 18.57% 15.46% 03/2009 12164.59349 12292.94776 2009-04-30 2009-05-31 3.53% 3.01% 04/2009 14423.73228 14193.2203 2009-05-31 2009-06-30 2.59% 1.47% 05/2009 14933.48668 14621.13219 2009-06-30 2009-07-31 10.39% 9.63% 06/2009 15320.43063 14835.88748 2009-07-31 2009-08-31 3.57% 2.87% 07/2009 16911.71115 16264.73903 2009-08-31 2009-09-30 6.23% 5.77% 08/2009 17515.70083 16731.12244 2009-09-30 2009-10-31 -6.94% -6.79% 09/2009 18607.1229 17696.12409 2009-10-31 2009-11-30 2.55% 3.14% 10/2009 17316.25374 16494.64373 2009-11-30 2009-12-31 8.29% 8.05% 11/2009 17758.17291 17012.41775 2009-12-31 2010-01-31 -3.03% -3.68% 12/2009 19229.91145 18381.81652 2010-01-31 2010-02-28 4.88% 4.50% 01/2010 18646.47967 17705.15506 2010-02-28 2010-03-31 8.19% 8.14% 02/2010 19556.63324 18502.69792 2010-03-31 2010-04-30 6.79% 5.66% 03/2010 21158.96636 20008.60791 2010-04-30 2010-05-31 -7.80% -7.59% 04/2010 22595.25381 21140.97975 2010-05-31 2010-06-30 -7.99% -7.75% 05/2010 20832.00662 19537.36598 2010-06-30 2010-07-31 7.20% 6.87% 06/2010 19166.54291 18023.33753 2010-07-31 2010-08-31 -7.63% -7.40% 07/2010 20546.44045 19261.88844 2010-08-31 2010-09-30 13.05% 12.46% 08/2010 18979.43816 17835.77807 2010-09-30 2010-10-31 4.10% 4.09% 09/2010 21456.93018 20058.05111 2010-10-31 2010-11-30 4.20% 3.47% 10/2010 22335.83229 20878.85552 2010-11-30 2010-12-31 7.99% 7.94% 11/2010 23273.32788 21602.80043 2010-12-31 2011-01-31 0.09% -0.26% 12/2010 25133.8852 23318.23325 2011-01-31 2011-02-28 5.61% 5.48% 01/2011 25157.41881 23258.1475 2011-02-28 2011-03-31 2.86% 2.59% 02/2011 26569.43483 24533.65872 2011-03-31 2011-04-30 2.37% 2.64% 03/2011 27330.04413 25169.47203 2011-04-30 2011-05-31 -2.02% -1.87% 04/2011 27977.67551 25834.09819 2011-05-31 2011-06-30 -1.60% -2.31% 05/2011 27412.46995 25349.74104 2011-06-30 2011-07-31 -3.50% -3.61% 06/2011 26974.5315 24765.28256 2011-07-31 2011-08-31 -8.97% -8.70% 07/2011 26030.95366 23870.13558 2011-08-31 2011-09-30 -11.10% -11.21% 08/2011 23695.59851 21793.37793 2011-09-30 2011-10-31 15.32% 15.14% 09/2011 21064.22164 19350.29789 2011-10-31 2011-11-30 -0.34% -0.36% 10/2011 24291.23202 22279.12145 2011-11-30 2011-12-31 0.55% 0.66% 11/2011 24208.48816 22197.90975 2011-12-31 2012-01-31 6.73% 7.07% 12/2011 24342.35457 22344.54025 2012-01-31 2012-02-29 2.88% 2.39% 01/2012 25979.4135 23923.20436 2012-02-29 2012-03-31 2.61% 2.56% 02/2012 26726.7665 24495.74347 2012-03-31 2012-04-30 -1.38% -1.54% 03/2012 27424.60552 25123.38149 2012-04-30 2012-05-31 -6.49% -6.62% 04/2012 27044.86195 24735.30378 2012-05-31 2012-06-30 4.22% 4.99% 05/2012 25288.54797 23098.08293 2012-06-30 2012-07-31 -0.81% -1.38% 06/2012 26356.59007 24250.67455 2012-07-31 2012-08-31 3.51% 3.33% 07/2012 26142.11511 23915.55258 2012-08-31 2012-09-30 3.26% 3.28% 08/2012 27059.59134 24713.06845 2012-09-30 2012-10-31 -1.24% -2.17% 09/2012 27942.43548 25524.5992 10/31/2012 27596.14033 24970.85273
One Year Five Years Ten Years -------- ---------- --------- 13.61% 2.95% 10.68% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. U.S. Micro Cap Portfolio vs. Russell 2000(R) Index October 31, 2002 - October 31, 2012
U.S. Micro Cap Russell BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio 2000(R) Index --------- ---------- ----------- ----------------- ---------- -------------- ------------- 2002-10-31 2002-11-30 8.36% 8.92% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.29% -5.57% 11/2002 10836.32019 10892 2002-12-31 2003-01-31 -2.23% -2.77% 12/2002 10371.96979 10285.3156 2003-01-31 2003-02-28 -2.88% -3.02% 01/2003 10140.94115 10000.41236 2003-02-28 2003-03-31 1.11% 1.29% 02/2003 9849.115507 9698.399905 2003-03-31 2003-04-30 9.28% 9.48% 03/2003 9958.550124 9823.509263 2003-04-30 2003-05-31 11.62% 10.73% 04/2003 10882.66466 10754.77794 2003-05-31 2003-06-30 4.40% 1.81% 05/2003 12147.24246 11908.76561 2003-06-30 2003-07-31 7.38% 6.26% 06/2003 12682.25614 12124.31427 2003-07-31 2003-08-31 4.73% 4.58% 07/2003 13618.53008 12883.29635 2003-08-31 2003-09-30 0.09% -1.85% 08/2003 14262.97838 13473.35132 2003-09-30 2003-10-31 8.94% 8.40% 09/2003 14275.13778 13224.09432 2003-10-31 2003-11-30 4.30% 3.55% 10/2003 15551.87497 14334.91824 2003-11-30 2003-12-31 2.77% 2.03% 11/2003 16220.64208 14843.80784 2003-12-31 2004-01-31 5.78% 4.34% 12/2003 16669.54407 15145.13714 2004-01-31 2004-02-29 0.50% 0.90% 01/2004 17633.17387 15802.43609 2004-02-29 2004-03-31 0.14% 0.93% 02/2004 17720.77658 15944.65802 2004-03-31 2004-04-30 -4.09% -5.10% 03/2004 17745.80593 16092.94333 2004-04-30 2004-05-31 0.00% 1.59% 04/2004 17019.9549 15272.20322 2004-05-31 2004-06-30 4.41% 4.21% 05/2004 17019.95491 15515.03126 2004-06-30 2004-07-31 -7.47% -6.73% 06/2004 17771.17033 16168.21407 2004-07-31 2004-08-31 -1.52% -0.51% 07/2004 16443.65514 15080.09326 2004-08-31 2004-09-30 5.01% 4.69% 08/2004 16193.18057 15003.18479 2004-09-30 2004-10-31 1.84% 1.97% 09/2004 17003.75956 15706.83416 2004-10-31 2004-11-30 8.97% 8.67% 10/2004 17317.01969 16016.25879 2004-11-30 2004-12-31 4.58% 2.96% 11/2004 18870.7899 17404.86843 2004-12-31 2005-01-31 -4.10% -4.17% 12/2004 19734.74342 17920.05253 2005-01-31 2005-02-28 0.83% 1.69% 01/2005 18925.51453 17172.78634 2005-02-28 2005-03-31 -3.23% -2.86% 02/2005 19082.13948 17463.00643 2005-03-31 2005-04-30 -6.22% -5.73% 03/2005 18466.11724 16963.56445 2005-04-30 2005-05-31 6.03% 6.55% 04/2005 17316.88222 15991.5522 2005-05-31 2005-06-30 4.52% 3.86% 05/2005 18361.64132 17038.21166 2005-06-30 2005-07-31 7.63% 6.34% 06/2005 19191.65259 17695.41334 2005-07-31 2005-08-31 -1.39% -1.85% 07/2005 20655.86587 18816.48682 2005-08-31 2005-09-30 0.61% 0.31% 08/2005 20368.25255 18467.60033 2005-09-30 2005-10-31 -2.81% -3.10% 09/2005 20492.34954 18525.55932 2005-10-31 2005-11-30 4.53% 4.85% 10/2005 19916.57471 17950.36629 2005-11-30 2005-12-31 0.18% -0.46% 11/2005 20819.49433 18821.74976 2005-12-31 2006-01-31 9.14% 8.97% 12/2005 20856.83868 18735.74394 2006-01-31 2006-02-28 0.25% -0.28% 01/2006 22763.18481 20415.82191 2006-02-28 2006-03-31 4.55% 4.85% 02/2006 22819.66914 20359.59502 2006-03-31 2006-04-30 -0.41% -0.02% 03/2006 23857.98949 21347.36282 2006-04-30 2006-05-31 -5.89% -5.62% 04/2006 23759.1109 21343.8986 2006-05-31 2006-06-30 -0.89% 0.64% 05/2006 22360.68523 20145.21337 2006-06-30 2006-07-31 -3.45% -3.25% 06/2006 22161.75746 20274.78836 2006-07-31 2006-08-31 2.78% 2.96% 07/2006 21398.04661 19615.05514 2006-08-31 2006-09-30 0.56% 0.83% 08/2006 21992.04393 20195.7776 2006-09-30 2006-10-31 5.45% 5.76% 09/2006 22114.4661 20363.92529 2006-10-31 2006-11-30 2.25% 2.63% 10/2006 23318.64908 21536.43877 2006-11-30 2006-12-31 1.61% 0.33% 11/2006 23842.82284 22102.96181 2006-12-31 2007-01-31 1.15% 1.67% 12/2006 24227.49838 22176.96705 2007-01-31 2007-02-28 -0.50% -0.79% 01/2007 24505.26587 22548.08794 2007-02-28 2007-03-31 1.02% 1.07% 02/2007 24381.81365 22369.16506 2007-03-31 2007-04-30 1.50% 1.80% 03/2007 24630.73155 22608.63756 2007-04-30 2007-05-31 3.15% 4.10% 04/2007 25001.35071 23014.74343 2007-05-31 2007-06-30 -0.33% -1.46% 05/2007 25788.91643 23958.4963 2007-06-30 2007-07-31 -6.51% -6.84% 06/2007 25702.89187 23608.0126 2007-07-31 2007-08-31 1.16% 2.27% 07/2007 24030.65554 21993.34851 2007-08-31 2007-09-30 1.48% 1.72% 08/2007 24309.36159 22491.84506 2007-09-30 2007-10-31 1.70% 2.87% 09/2007 24667.95852 22877.91405 2007-10-31 2007-11-30 -8.42% -7.18% 10/2007 25087.11201 23534.29322 2007-11-30 2007-12-31 -0.06% -0.06% 11/2007 22975.8204 21844.39548 2007-12-31 2008-01-31 -7.65% -6.82% 12/2007 22962.87539 21830.76512 2008-01-31 2008-02-29 -3.14% -3.71% 01/2008 21206.99108 20342.02883 2008-02-29 2008-03-31 0.31% 0.42% 02/2008 20542.14169 19588.01376 2008-03-31 2008-04-30 2.07% 4.19% 03/2008 20605.37102 19670.28342 2008-04-30 2008-05-31 3.98% 4.59% 04/2008 21032.15998 20493.88577 2008-05-31 2008-06-30 -9.05% -7.70% 05/2008 21868.66634 21435.31061 2008-06-30 2008-07-31 4.48% 3.70% 06/2008 19889.47911 19785.05283 2008-07-31 2008-08-31 3.38% 3.61% 07/2008 20779.54185 20517.22512 2008-08-31 2008-09-30 -7.37% -7.97% 08/2008 21481.32209 21257.89694 2008-09-30 2008-10-31 -20.71% -20.80% 09/2008 19898.99257 19564.06071 2008-10-31 2008-11-30 -12.84% -11.83% 10/2008 15778.4074 15494.16034 2008-11-30 2008-12-31 5.66% 5.80% 11/2008 13752.45302 13661.40461 2008-12-31 2009-01-31 -11.91% -11.12% 12/2008 14530.53864 14454.32762 2009-01-31 2009-02-28 -13.11% -12.15% 01/2009 12799.46364 12846.69817 2009-02-28 2009-03-31 9.58% 8.93% 02/2009 11120.84546 11285.52348 2009-03-31 2009-04-30 17.39% 15.46% 03/2009 12186.37237 12292.94776 2009-04-30 2009-05-31 3.43% 3.01% 04/2009 14304.98022 14193.2203 2009-05-31 2009-06-30 2.76% 1.47% 05/2009 14795.23658 14621.13219 2009-06-30 2009-07-31 9.82% 9.63% 06/2009 15203.81764 14835.88748 2009-07-31 2009-08-31 2.73% 2.87% 07/2009 16696.10921 16264.73903 2009-08-31 2009-09-30 5.76% 5.77% 08/2009 17152.57487 16731.12244 2009-09-30 2009-10-31 -7.27% -6.79% 09/2009 18139.91711 17696.12409 2009-10-31 2009-11-30 1.78% 3.14% 10/2009 16821.60918 16494.64373 2009-11-30 2009-12-31 8.69% 8.05% 11/2009 17120.42564 17012.41775 2009-12-31 2010-01-31 -2.94% -3.68% 12/2009 18607.8118 18381.81652 2010-01-31 2010-02-28 4.39% 4.50% 01/2010 18061.55975 17705.15506 2010-02-28 2010-03-31 8.08% 8.14% 02/2010 18854.50627 18502.69792 2010-03-31 2010-04-30 7.27% 5.66% 03/2010 20378.81035 20008.60791 2010-04-30 2010-05-31 -7.42% -7.59% 04/2010 21859.62356 21140.97975 2010-05-31 2010-06-30 -7.24% -7.75% 05/2010 20237.78052 19537.36598 2010-06-30 2010-07-31 7.14% 6.87% 06/2010 18772.78855 18023.33753 2010-07-31 2010-08-31 -7.98% -7.40% 07/2010 20113.70202 19261.88844 2010-08-31 2010-09-30 12.16% 12.46% 08/2010 18508.13458 17835.77807 2010-09-30 2010-10-31 4.34% 4.09% 09/2010 20758.90123 20058.05111 2010-10-31 2010-11-30 4.24% 3.47% 10/2010 21660.69336 20878.85552 2010-11-30 2010-12-31 8.19% 7.94% 11/2010 22580.16769 21602.80043 2010-12-31 2011-01-31 -1.09% -0.26% 12/2010 24429.79005 23318.23325 2011-01-31 2011-02-28 5.87% 5.48% 01/2011 24163.67033 23258.1475 2011-02-28 2011-03-31 3.25% 2.59% 02/2011 25582.97549 24533.65872 2011-03-31 2011-04-30 1.68% 2.64% 03/2011 26413.67116 25169.47203 2011-04-30 2011-05-31 -1.92% -1.87% 04/2011 26857.44924 25834.09819 2011-05-31 2011-06-30 -2.16% -2.31% 05/2011 26342.66667 25349.74104 2011-06-30 2011-07-31 -2.69% -3.61% 06/2011 25774.64362 24765.28256 2011-07-31 2011-08-31 -8.93% -8.70% 07/2011 25081.39458 23870.13558 2011-08-31 2011-09-30 -10.58% -11.21% 08/2011 22841.66693 21793.37793 2011-09-30 2011-10-31 15.43% 15.14% 09/2011 20425.2482 19350.29789 2011-10-31 2011-11-30 -0.60% -0.36% 10/2011 23577.18276 22279.12145 2011-11-30 2011-12-31 0.86% 0.66% 11/2011 23434.72244 22197.90975 2011-12-31 2012-01-31 6.96% 7.07% 12/2011 23635.2929 22344.54025 2012-01-31 2012-02-29 1.91% 2.39% 01/2012 25280.10905 23923.20436 2012-02-29 2012-03-31 2.98% 2.56% 02/2012 25762.82683 24495.74347 2012-03-31 2012-04-30 -1.42% -1.54% 03/2012 26531.59959 25123.38149 2012-04-30 2012-05-31 -6.97% -6.62% 04/2012 26156.15242 24735.30378 2012-05-31 2012-06-30 5.12% 4.99% 05/2012 24332.55191 23098.08293 2012-06-30 2012-07-31 -0.91% -1.38% 06/2012 25578.82737 24250.67455 2012-07-31 2012-08-31 3.12% 3.33% 07/2012 25345.47667 23915.55258 2012-08-31 2012-09-30 4.19% 3.28% 08/2012 26135.27906 24713.06845 2012-09-30 2012-10-31 -2.05% -2.17% 09/2012 27230.56722 25524.5992 10/31/2012 26673.3741 24970.85273
One Year Five Years Ten Years -------- ---------- --------- 13.13% 1.23% 10.31% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. DFA Real Estate Securities Portfolio vs. S&P 500(R) IndexSM, Dow Jones U.S. Select REIT IndexSM October 31, 2002 - October 31, 2012
DFA Real Dow Jones Estate U.S. Select Securities S&P 500(R) REIT BeginDate EndDate FundReturns Benchmark0Returns Benchmark1Returns EndDate Portfolio IndexSM IndexSM --------- ---------- ----------- ----------------- ----------------- ---------- ----------- ----------- ----------- 2002-10-31 2002-11-30 4.48% 5.89% 4.78% 10/2002 10000 10000 10000 2002-11-30 2002-12-31 1.31% -5.88% 1.36% 11/2002 10448.49334 10588.59043 10478.07353 2002-12-31 2003-01-31 -2.52% -2.62% -2.91% 12/2002 10585.79466 9966.404855 10620.27231 2003-01-31 2003-02-28 1.80% -1.50% 1.82% 01/2003 10318.73887 9705.285048 10311.10978 2003-02-28 2003-03-31 2.40% 0.97% 2.43% 02/2003 10504.19428 9559.705772 10498.84414 2003-03-31 2003-04-30 3.79% 8.24% 3.85% 03/2003 10756.41363 9652.530516 10754.43248 2003-04-30 2003-05-31 5.51% 5.27% 5.66% 04/2003 11164.41553 10447.60945 11168.94594 2003-05-31 2003-06-30 2.08% 1.28% 2.16% 05/2003 11780.12748 10998.094 11801.40102 2003-06-30 2003-07-31 5.12% 1.76% 5.32% 06/2003 12024.92862 11138.8696 12056.14056 2003-07-31 2003-08-31 0.70% 1.95% 0.83% 07/2003 12640.64057 11335.24787 12697.23342 2003-08-31 2003-09-30 3.44% -1.06% 3.52% 08/2003 12729.65917 11556.2852 12802.98378 2003-09-30 2003-10-31 1.35% 5.66% 1.48% 09/2003 13167.33393 11433.55746 13253.19673 2003-10-31 2003-11-30 4.50% 0.88% 4.41% 10/2003 13345.37112 12080.3538 13449.06957 2003-11-30 2003-12-31 2.92% 5.24% 3.00% 11/2003 13946.24664 12186.66091 14041.68102 2003-12-31 2004-01-31 4.11% 1.84% 4.00% 12/2003 14353.75345 12825.72941 14462.6853 2004-01-31 2004-02-29 1.77% 1.39% 1.67% 01/2004 14944.37893 13061.14532 15041.46633 2004-02-29 2004-03-31 5.72% -1.51% 6.01% 02/2004 15208.60612 13242.68797 15291.91195 2004-03-31 2004-04-30 -14.35% -1.57% -14.64% 03/2004 16079.00156 13042.85581 16210.91156 2004-04-30 2004-05-31 7.22% 1.37% 7.59% 04/2004 13770.89936 12838.08298 13837.56984 2004-05-31 2004-06-30 2.89% 1.94% 2.99% 05/2004 14765.63701 13014.22147 14888.08336 2004-06-30 2004-07-31 0.41% -3.31% 0.50% 06/2004 15191.97543 13267.21794 15333.75274 2004-07-31 2004-08-31 7.96% 0.40% 8.26% 07/2004 15254.62276 12828.07303 15410.39429 2004-08-31 2004-09-30 -0.34% 1.08% -0.48% 08/2004 16468.41461 12879.77016 16682.94364 2004-09-30 2004-10-31 5.40% 1.53% 5.57% 09/2004 16413.14684 13019.25807 16603.35625 2004-10-31 2004-11-30 4.35% 4.05% 4.45% 10/2004 17299.28425 13218.19233 17528.49718 2004-11-30 2004-12-31 5.01% 3.40% 5.19% 11/2004 18052.10895 13753.0004 18309.1925 2004-12-31 2005-01-31 -8.37% -2.44% -8.82% 12/2004 18956.98995 14221.015 19258.99852 2005-01-31 2005-02-28 3.14% 2.10% 3.23% 01/2005 17369.6624 13874.37776 17560.35211 2005-02-28 2005-03-31 -1.52% -1.77% -1.51% 02/2005 17915.30624 14166.29467 18127.05023 2005-03-31 2005-04-30 5.67% -1.90% 6.00% 03/2005 17642.48431 13915.40959 17852.4388 2005-04-30 2005-05-31 3.28% 3.18% 3.31% 04/2005 18642.83136 13651.43427 18924.27216 2005-05-31 2005-06-30 5.11% 0.14% 5.21% 05/2005 19254.61386 14085.82291 19550.43614 2005-06-30 2005-07-31 7.27% 3.72% 7.63% 06/2005 20238.42625 14105.82477 20569.69389 2005-07-31 2005-08-31 -3.73% -0.91% -3.84% 07/2005 21710.01116 14630.56146 22138.92343 2005-08-31 2005-09-30 0.47% 0.81% 0.43% 08/2005 20899.81273 14497.13074 21289.07596 2005-09-30 2005-10-31 -2.26% -1.67% -2.12% 09/2005 20997.05183 14614.55749 21380.9959 2005-10-31 2005-11-30 4.50% 3.78% 4.64% 10/2005 20522.3069 14370.93282 20926.7886 2005-11-30 2005-12-31 0.02% 0.04% 0.10% 11/2005 21446.81017 14914.4415 21898.81318 2005-12-31 2006-01-31 7.68% 2.65% 7.84% 12/2005 21450.1551 14919.66156 21920.53245 2006-01-31 2006-02-28 1.89% 0.27% 2.14% 01/2006 23097.527 15314.73419 23638.75117 2006-02-28 2006-03-31 5.18% 1.25% 5.12% 02/2006 23535.11016 15356.23712 24144.7352 2006-03-31 2006-04-30 -3.78% 1.34% -3.78% 03/2006 24753.47897 15547.42228 25380.83612 2006-04-30 2006-05-31 -2.99% -2.88% -2.77% 04/2006 23818.25221 15756.22416 24420.495 2006-05-31 2006-06-30 5.53% 0.14% 5.69% 05/2006 23106.10706 15302.76003 23744.50153 2006-06-30 2006-07-31 3.43% 0.62% 3.55% 06/2006 24383.49767 15323.57178 25095.43995 2006-07-31 2006-08-31 3.52% 2.38% 3.36% 07/2006 25220.14404 15418.11822 25986.47914 2006-08-31 2006-09-30 2.00% 2.58% 1.95% 08/2006 26108.54172 15784.96351 26859.74347 2006-09-30 2006-10-31 6.27% 3.26% 6.30% 09/2006 26630.1451 16191.74202 27382.35397 2006-10-31 2006-11-30 4.75% 1.90% 4.77% 10/2006 28299.96478 16719.43089 29108.21188 2006-11-30 2006-12-31 -2.13% 1.40% -2.26% 11/2006 29645.5812 17037.43447 30496.49746 2006-12-31 2007-01-31 8.66% 1.51% 8.91% 12/2006 29014.47587 17276.43134 29806.32406 2007-01-31 2007-02-28 -2.33% -1.96% -2.24% 01/2007 31526.82655 17537.70592 32461.0676 2007-02-28 2007-03-31 -2.48% 1.12% -2.56% 02/2007 30792.16805 17194.68908 31733.89654 2007-03-31 2007-04-30 -0.09% 4.43% -0.04% 03/2007 30027.4398 17387.01168 30920.89694 2007-04-30 2007-05-31 0.00% 3.49% 0.07% 04/2007 30000.109 18157.17406 30908.16495 2007-05-31 2007-06-30 -9.38% -1.66% -9.39% 05/2007 30000.109 18790.77083 30928.93556 2007-06-30 2007-07-31 -7.87% -3.10% -7.85% 06/2007 27186.06541 18478.59355 28025.39407 2007-07-31 2007-08-31 6.05% 1.50% 5.91% 07/2007 25045.35799 17905.66827 25825.95627 2007-08-31 2007-09-30 3.91% 3.74% 3.91% 08/2007 26561.30959 18174.07549 27353.37772 2007-09-30 2007-10-31 1.13% 1.59% 1.14% 09/2007 27599.50675 18853.78591 28423.13624 2007-10-31 2007-11-30 -10.20% -4.18% -9.72% 10/2007 27911.88466 19153.74965 28748.58023 2007-11-30 2007-12-31 -5.86% -0.69% -5.32% 11/2007 25064.34349 18352.93137 25954.2448 2007-12-31 2008-01-31 0.04% -6.00% -0.48% 12/2007 23596.60345 18225.56203 24573.83552 2008-01-31 2008-02-29 -3.80% -3.25% -3.77% 01/2008 23606.67886 17132.02831 24456.16147 2008-02-29 2008-03-31 6.29% -0.43% 6.65% 02/2008 22709.96763 16575.40871 23534.41245 2008-03-31 2008-04-30 5.90% 4.87% 6.16% 03/2008 24138.10102 16503.80294 25098.8384 2008-04-30 2008-05-31 0.20% 1.30% 0.22% 04/2008 25561.5524 17307.53814 26645.99374 2008-05-31 2008-06-30 -10.98% -8.43% -11.08% 05/2008 25612.0294 17532.53614 26705.91029 2008-06-30 2008-07-31 2.90% -0.84% 2.89% 06/2008 22800.50275 16054.54334 23747.19731 2008-07-31 2008-08-31 2.47% 1.45% 2.27% 07/2008 23461.23957 15919.52463 24432.73885 2008-08-31 2008-09-30 -0.21% -8.91% -0.42% 08/2008 24040.65492 16149.72096 24986.53629 2008-09-30 2008-10-31 -31.53% -16.80% -32.38% 09/2008 23989.82901 14710.61933 24881.95536 2008-10-31 2008-11-30 -23.14% -7.18% -24.55% 10/2008 16426.93377 12239.97081 16824.2482 2008-11-30 2008-12-31 17.07% 1.06% 17.70% 11/2008 12625.15578 11361.7529 12693.71697 2008-12-31 2009-01-31 -17.75% -8.43% -18.08% 12/2008 14779.83928 11482.64196 14940.84023 2009-01-31 2009-02-28 -20.97% -10.65% -21.85% 01/2009 12156.76018 10514.81106 12239.3431 2009-02-28 2009-03-31 3.54% 8.76% 3.22% 02/2009 9607.422257 9395.193977 9564.923583 2009-03-31 2009-04-30 31.30% 9.57% 32.81% 03/2009 9947.685128 10218.16778 9872.954195 2009-04-30 2009-05-31 2.60% 5.59% 2.57% 04/2009 13061.65067 11196.14862 13112.10416 2009-05-31 2009-06-30 -3.10% 0.20% -3.49% 05/2009 13401.74247 11822.34921 13448.50935 2009-06-30 2009-07-31 10.49% 7.56% 10.42% 06/2009 12986.53968 11845.75746 12978.54612 2009-07-31 2009-08-31 13.53% 3.61% 14.64% 07/2009 14348.46416 12741.73881 14330.36399 2009-08-31 2009-09-30 6.69% 3.73% 7.00% 08/2009 16289.47464 13201.71558 16428.47469 2009-09-30 2009-10-31 -4.56% -1.86% -4.54% 09/2009 17379.73432 13694.4036 17578.4399 2009-10-31 2009-11-30 6.87% 6.00% 6.88% 10/2009 16587.77389 13440.00171 16781.21736 2009-11-30 2009-12-31 6.87% 1.93% 7.00% 11/2009 17726.89505 14246.13301 17936.23389 2009-12-31 2010-01-31 -5.22% -3.60% -5.72% 12/2009 18943.86788 14521.3683 19192.34652 2010-01-31 2010-02-28 5.51% 3.10% 5.68% 01/2010 17954.34489 13999.03468 18094.53057 2010-02-28 2010-03-31 10.17% 6.03% 10.22% 02/2010 18943.86788 14432.68278 19122.21312 2010-03-31 2010-04-30 7.03% 1.58% 7.07% 03/2010 20870.06111 15303.60859 21075.85088 2010-04-30 2010-05-31 -5.34% -7.99% -5.39% 04/2010 22337.9184 15545.20666 22565.59453 2010-05-31 2010-06-30 -5.18% -5.23% -5.36% 05/2010 21145.97414 14303.92191 21350.31281 2010-06-30 2010-07-31 9.87% 7.01% 9.89% 06/2010 20050.52756 13555.1402 20205.28177 2010-07-31 2010-08-31 -1.26% -4.51% -1.34% 07/2010 22028.90555 14504.85399 22203.05712 2010-08-31 2010-09-30 4.33% 8.92% 4.43% 08/2010 21751.04347 13850.04686 21906.07702 2010-09-30 2010-10-31 4.68% 3.80% 4.63% 09/2010 22693.27172 15086.08045 22876.30521 2010-10-31 2010-11-30 -1.98% 0.01% -1.95% 10/2010 23755.79554 15660.09072 23934.60888 2010-11-30 2010-12-31 4.68% 6.68% 4.74% 11/2010 23286.04817 15662.09521 23468.56781 2010-12-31 2011-01-31 3.53% 2.37% 3.55% 12/2010 24375.0746 16708.8087 24580.44573 2011-01-31 2011-02-28 4.53% 3.43% 4.57% 01/2011 25234.30729 17104.82417 25453.46137 2011-02-28 2011-03-31 -1.50% 0.04% -1.46% 02/2011 26376.1823 17690.81834 26616.01764 2011-03-31 2011-04-30 5.79% 2.96% 5.93% 03/2011 25980.48304 17697.8416 26226.2687 2011-04-30 2011-05-31 1.36% -1.13% 1.55% 04/2011 27484.14024 18221.96318 27781.27009 2011-05-31 2011-06-30 -3.29% -1.67% -3.35% 05/2011 27857.22812 18015.70878 28212.71008 2011-06-30 2011-07-31 1.64% -2.03% 1.82% 06/2011 26940.68806 17715.40493 27266.89736 2011-07-31 2011-08-31 -5.38% -5.43% -5.48% 07/2011 27382.52441 17355.17988 27763.14572 2011-08-31 2011-09-30 -10.98% -7.03% -11.20% 08/2011 25909.73658 16412.42916 26241.84668 2011-09-30 2011-10-31 14.42% 10.93% 14.69% 09/2011 23063.77879 15258.66821 23303.1517 2011-10-31 2011-11-30 -3.78% -0.22% -3.93% 10/2011 26389.41225 16926.33384 26727.21042 2011-11-30 2011-12-31 4.59% 1.02% 4.70% 11/2011 25390.58718 16888.94356 25675.9468 2011-12-31 2012-01-31 6.32% 4.48% 6.43% 12/2011 26556.7638 17061.70057 26883.04009 2012-01-31 2012-02-29 -1.06% 4.32% -1.11% 01/2012 28235.97017 17826.32068 28611.84573 2012-02-29 2012-03-31 5.15% 3.29% 5.24% 02/2012 27936.93342 18597.14861 28292.8967 2012-03-31 2012-04-30 2.86% -0.63% 3.01% 03/2012 29374.6101 19209.16218 29774.402 2012-04-30 2012-05-31 -4.57% -6.01% -4.56% 04/2012 30214.21329 19088.60547 30669.88587 2012-05-31 2012-06-30 5.64% 4.12% 5.53% 05/2012 28834.04367 17941.38029 29270.76409 2012-06-30 2012-07-31 1.97% 1.39% 1.90% 06/2012 30460.20266 18680.60498 30890.22434 2012-07-31 2012-08-31 -0.15% 2.25% -0.27% 07/2012 31061.31481 18940.05976 31477.59386 2012-08-31 2012-09-30 -1.87% 2.58% -1.97% 08/2012 31015.07541 19366.64291 31393.1133 2012-09-30 2012-10-31 -0.77% -1.85% -0.91% 09/2012 30436.39907 19867.11129 30774.13847 10/31/2012 30202.54275 19500.27841 30492.83621
One Year Five Years Ten Years -------- ---------- --------- 14.45% 1.59% 11.69% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. Dow Jones data provided by Dow Jones Indexes. 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Large Cap International Portfolio vs. MSCI World ex USA Index (net div.) October 31, 2002 - October 31, 2012
Large Cap International MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------- -------------------- 2002-10-31 2002-11-30 4.40% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.11% -3.23% 11/2002 10440.03451 10460.38388 2002-12-31 2003-01-31 -4.00% -3.81% 12/2002 10114.91391 10122.31597 2003-01-31 2003-02-28 -2.44% -1.97% 01/2003 9710.668868 9736.633173 2003-02-28 2003-03-31 -1.95% -1.93% 02/2003 9473.394604 9544.699524 2003-03-31 2003-04-30 9.46% 9.60% 03/2003 9288.847955 9360.754077 2003-04-30 2003-05-31 5.96% 6.20% 04/2003 10167.64152 10259.0855 2003-05-31 2003-06-30 2.37% 2.43% 05/2003 10774.00908 10895.37242 2003-06-30 2003-07-31 2.31% 2.29% 06/2003 11028.85921 11160.05075 2003-07-31 2003-08-31 2.26% 2.58% 07/2003 11283.70935 11416.08512 2003-08-31 2003-09-30 3.05% 3.00% 08/2003 11538.55948 11710.45636 2003-09-30 2003-10-31 5.99% 6.26% 09/2003 11890.07691 12061.78555 2003-10-31 2003-11-30 2.16% 2.27% 10/2003 12601.89969 12817.10429 2003-11-30 2003-12-31 7.40% 7.67% 11/2003 12874.3257 13107.63318 2003-12-31 2004-01-31 1.29% 1.39% 12/2003 13827.55284 14112.72688 2004-01-31 2004-02-29 2.23% 2.30% 01/2004 14006.31888 14309.22909 2004-02-29 2004-03-31 0.75% 0.50% 02/2004 14319.15944 14638.3333 2004-03-31 2004-04-30 -3.10% -2.62% 03/2004 14426.41906 14711.61449 2004-04-30 2004-05-31 0.77% 0.47% 04/2004 13979.50397 14326.52241 2004-05-31 2004-06-30 2.78% 2.31% 05/2004 14086.7636 14393.48999 2004-06-30 2004-07-31 -3.75% -3.05% 06/2004 14478.06171 14725.88378 2004-07-31 2004-08-31 0.65% 0.42% 07/2004 13935.81221 14276.8102 2004-08-31 2004-09-30 1.96% 2.91% 08/2004 14026.18713 14336.16895 2004-09-30 2004-10-31 3.37% 3.59% 09/2004 14301.48347 14754.05385 2004-10-31 2004-11-30 6.33% 6.65% 10/2004 14782.73974 15284.2776 2004-11-30 2004-12-31 4.52% 4.22% 11/2004 15718.01137 16300.75747 2004-12-31 2005-01-31 -1.78% -1.97% 12/2004 16428.92772 16989.40669 2005-01-31 2005-02-28 3.86% 4.45% 01/2005 16135.88107 16654.94269 2005-02-28 2005-03-31 -2.36% -2.27% 02/2005 16758.6052 17395.84581 2005-03-31 2005-04-30 -2.02% -2.55% 03/2005 16363.82933 17000.98254 2005-04-30 2005-05-31 -0.63% 0.18% 04/2005 16033.61753 16567.48433 2005-05-31 2005-06-30 1.44% 1.63% 05/2005 15932.71948 16597.69751 2005-06-30 2005-07-31 3.04% 3.23% 06/2005 16162.25476 16869.00377 2005-07-31 2005-08-31 3.68% 2.76% 07/2005 16654.27056 17413.79488 2005-08-31 2005-09-30 3.31% 4.56% 08/2005 17266.96947 17894.53946 2005-09-30 2005-10-31 -2.20% -3.23% 09/2005 17839.10808 18711.18961 2005-10-31 2005-11-30 1.55% 2.65% 10/2005 17447.44967 18106.58452 2005-11-30 2005-12-31 5.22% 4.64% 11/2005 17717.88047 18586.07722 2005-12-31 2006-01-31 5.84% 6.32% 12/2005 18642.62603 19447.8385 2006-01-31 2006-02-28 -0.67% -0.34% 01/2006 19731.5206 20677.90796 2006-02-28 2006-03-31 3.69% 3.17% 02/2006 19600.10229 20608.4637 2006-03-31 2006-04-30 4.85% 4.78% 03/2006 20322.88337 21262.03853 2006-04-30 2006-05-31 -3.62% -3.80% 04/2006 21309.43111 22278.72975 2006-05-31 2006-06-30 -0.39% -0.13% 05/2006 20538.98431 21432.31082 2006-06-30 2006-07-31 1.07% 0.94% 06/2006 20458.14278 21404.7152 2006-07-31 2006-08-31 2.63% 2.84% 07/2006 20677.20111 21605.26571 2006-08-31 2006-09-30 -0.04% -0.08% 08/2006 21220.08478 22219.30598 2006-09-30 2006-10-31 3.84% 3.95% 09/2006 21211.58156 22201.41652 2006-10-31 2006-11-30 2.96% 2.98% 10/2006 22025.93767 23078.81278 2006-11-30 2006-12-31 2.64% 2.87% 11/2006 22678.90385 23766.23179 2006-12-31 2007-01-31 1.28% 0.61% 12/2006 23277.04445 24447.67862 2007-01-31 2007-02-28 0.29% 0.80% 01/2007 23575.59156 24596.81523 2007-02-28 2007-03-31 2.77% 2.56% 02/2007 23643.00543 24793.58307 2007-03-31 2007-04-30 3.53% 4.55% 03/2007 24296.80678 25428.87548 2007-04-30 2007-05-31 3.10% 2.22% 04/2007 25154.9083 26585.83302 2007-05-31 2007-06-30 -0.19% 0.10% 05/2007 25935.87709 27176.22708 2007-06-30 2007-07-31 -1.89% -1.38% 06/2007 25887.55844 27203.4992 2007-07-31 2007-08-31 -0.69% -1.45% 07/2007 25399.11395 26827.45133 2007-08-31 2007-09-30 5.49% 5.68% 08/2007 25223.27393 26439.13227 2007-09-30 2007-10-31 4.46% 4.35% 09/2007 26607.05793 27941.23223 2007-10-31 2007-11-30 -3.57% -3.91% 10/2007 27795.04833 29155.8544 2007-11-30 2007-12-31 -2.33% -1.88% 11/2007 26802.95817 28015.69869 2007-12-31 2008-01-31 -7.57% -9.02% 12/2007 26177.5541 27489.05893 2008-01-31 2008-02-29 -0.08% 1.81% 01/2008 24194.70953 25010.60702 2008-02-29 2008-03-31 -0.35% -1.43% 02/2008 24174.6808 25463.85563 2008-03-31 2008-04-30 5.29% 5.56% 03/2008 24090.135 25100.36419 2008-04-30 2008-05-31 2.10% 1.52% 04/2008 25364.37371 26495.58367 2008-05-31 2008-06-30 -7.96% -7.78% 05/2008 25896.14262 26897.647 2008-06-30 2008-07-31 -3.64% -3.56% 06/2008 23833.69433 24806.01124 2008-07-31 2008-08-31 -4.27% -3.87% 07/2008 22966.08661 23923.25865 2008-08-31 2008-09-30 -12.16% -14.44% 08/2008 21986.20025 22998.07514 2008-09-30 2008-10-31 -21.08% -20.80% 09/2008 19312.46685 19677.65227 2008-10-31 2008-11-30 -6.01% -5.42% 10/2008 15240.53244 15584.31425 2008-11-30 2008-12-31 7.01% 5.27% 11/2008 14324.6598 14739.1788 2008-12-31 2009-01-31 -11.23% -9.33% 12/2008 15328.53788 15516.16027 2009-01-31 2009-02-28 -10.06% -10.12% 01/2009 13606.92943 14068.39209 2009-02-28 2009-03-31 7.69% 6.59% 02/2009 12237.93958 12644.22388 2009-03-31 2009-04-30 11.37% 12.90% 03/2009 13179.3387 13477.42184 2009-04-30 2009-05-31 13.97% 12.65% 04/2009 14678.4104 15215.45069 2009-05-31 2009-06-30 -1.39% -1.04% 05/2009 16729.22377 17139.69107 2009-06-30 2009-07-31 9.60% 9.39% 06/2009 16497.15383 16962.2042 2009-07-31 2009-08-31 3.91% 4.79% 07/2009 18081.38755 18554.91583 2009-08-31 2009-09-30 4.26% 4.13% 08/2009 18789.01194 19444.16669 2009-09-30 2009-10-31 -2.59% -1.61% 09/2009 19589.36786 20246.4017 2009-10-31 2009-11-30 3.72% 2.47% 10/2009 19081.10318 19921.38374 2009-11-30 2009-12-31 1.19% 1.59% 11/2009 19790.55596 20414.28949 2009-12-31 2010-01-31 -5.17% -4.69% 12/2009 20025.42962 20739.71496 2010-01-31 2010-02-28 0.67% -0.10% 01/2010 18989.4474 19767.55316 2010-02-28 2010-03-31 6.30% 6.44% 02/2010 19117.61015 19747.74296 2010-03-31 2010-04-30 -1.95% -1.49% 03/2010 20322.10055 21018.97237 2010-04-30 2010-05-31 -10.90% -11.03% 04/2010 19926.14598 20705.5737 2010-05-31 2010-06-30 -1.63% -1.45% 05/2010 17753.7466 18420.71863 2010-06-30 2010-07-31 10.32% 9.24% 06/2010 17465.22624 18154.24072 2010-07-31 2010-08-31 -3.44% -2.99% 07/2010 19268.22845 19832.15152 2010-08-31 2010-09-30 9.84% 9.59% 08/2010 18605.67944 19239.37361 2010-09-30 2010-10-31 3.63% 3.56% 09/2010 20436.61425 21084.94731 2010-10-31 2010-11-30 -4.38% -4.23% 10/2010 21178.17762 21836.08012 2010-11-30 2010-12-31 8.03% 8.05% 11/2010 20251.2234 20911.33371 2010-12-31 2011-01-31 2.26% 2.15% 12/2010 21877.75571 22595.14698 2011-01-31 2011-02-28 3.93% 3.71% 01/2011 22372.23036 23081.88961 2011-02-28 2011-03-31 -2.29% -2.00% 02/2011 23251.29638 23937.75502 2011-03-31 2011-04-30 5.72% 5.45% 03/2011 22718.78263 23458.22183 2011-04-30 2011-05-31 -2.84% -2.96% 04/2011 24018.88755 24735.79508 2011-05-31 2011-06-30 -1.42% -1.42% 05/2011 23335.78157 24002.51829 2011-06-30 2011-07-31 -2.04% -1.65% 06/2011 23005.27812 23660.6711 2011-07-31 2011-08-31 -8.39% -8.45% 07/2011 22535.5544 23270.36799 2011-08-31 2011-09-30 -11.01% -10.04% 08/2011 20645.47564 21303.01857 2011-09-30 2011-10-31 9.68% 9.73% 09/2011 18372.40266 19163.70779 2011-10-31 2011-11-30 -2.51% -4.62% 10/2011 20150.01419 21027.44381 2011-11-30 2011-12-31 -2.30% -1.09% 11/2011 19643.73242 20055.70845 2011-12-31 2012-01-31 6.04% 5.40% 12/2011 19191.87442 19836.86573 2012-01-31 2012-02-29 4.85% 5.50% 01/2012 20350.20057 20907.86348 2012-02-29 2012-03-31 -0.17% -0.74% 02/2012 21338.18464 22057.34745 2012-03-31 2012-04-30 -1.93% -1.70% 03/2012 21300.88292 21894.09324 2012-04-30 2012-05-31 -11.07% -11.40% 04/2012 20890.81245 21522.48712 2012-05-31 2012-06-30 6.63% 6.55% 05/2012 18578.47062 19068.8287 2012-06-30 2012-07-31 0.29% 1.25% 06/2012 19809.36437 20318.28267 2012-07-31 2012-08-31 3.38% 2.85% 07/2012 19867.32038 20571.27444 2012-08-31 2012-09-30 2.98% 3.04% 08/2012 20539.61011 21158.19849 2012-09-30 2012-10-31 0.88% 0.70% 09/2012 21151.05982 21800.59481 10/31/2012 21337.31022 21953.36604
One Year Five Years Ten Years -------- ---------- --------- 5.89% -5.15% 7.87% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. International Core Equity Portfolio vs. MSCI World ex USA Index (net div.) September 15, 2005 - October 31, 2012
International Core Equity MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------------- -------------------- 2005-09-15 2005-09-30 1.00% 1.71% 09/2005 10000 10000 2005-09-30 2005-10-31 -2.38% -3.23% 09/2005 10100 10170.83717 2005-10-31 2005-11-30 2.13% 2.65% 10/2005 9859.999997 9842.192116 2005-11-30 2005-12-31 5.62% 4.64% 11/2005 10070 10102.82986 2005-12-31 2006-01-31 6.51% 6.32% 12/2005 10636.30827 10571.25724 2006-01-31 2006-02-28 0.09% -0.34% 01/2006 11328.67174 11239.88582 2006-02-28 2006-03-31 3.90% 3.17% 02/2006 11338.70599 11202.13802 2006-03-31 2006-04-30 4.77% 4.78% 03/2006 11781.27728 11557.40155 2006-04-30 2006-05-31 -4.07% -3.80% 04/2006 12343.24621 12110.04417 2006-05-31 2006-06-30 -1.17% -0.13% 05/2006 11841.48824 11649.95642 2006-06-30 2006-07-31 0.52% 0.94% 06/2006 11702.58559 11634.95628 2006-07-31 2006-08-31 2.93% 2.84% 07/2006 11763.43092 11743.96947 2006-08-31 2006-09-30 0.54% -0.08% 08/2006 12108.22114 12077.7432 2006-09-30 2006-10-31 3.93% 3.95% 09/2006 12173.07014 12068.01903 2006-10-31 2006-11-30 3.52% 2.98% 10/2006 12651.84361 12544.94512 2006-11-30 2006-12-31 3.09% 2.87% 11/2006 13096.89114 12918.60532 2006-12-31 2007-01-31 1.83% 0.61% 12/2006 13502.22208 13289.01922 2007-01-31 2007-02-28 0.52% 0.80% 01/2007 13748.65047 13370.08538 2007-02-28 2007-03-31 3.17% 2.56% 02/2007 13820.52541 13477.04243 2007-03-31 2007-04-30 3.75% 4.55% 03/2007 14258.15172 13822.36819 2007-04-30 2007-05-31 2.78% 2.22% 04/2007 14792.31879 14451.25534 2007-05-31 2007-06-30 -0.60% 0.10% 05/2007 15203.21654 14772.1757 2007-06-30 2007-07-31 -1.72% -1.38% 06/2007 15111.54693 14787.00001 2007-07-31 2007-08-31 -1.89% -1.45% 07/2007 14851.71979 14582.59174 2007-08-31 2007-09-30 4.27% 5.68% 08/2007 14571.10647 14371.51324 2007-09-30 2007-10-31 4.74% 4.35% 09/2007 15193.08335 15188.00938 2007-10-31 2007-11-30 -5.49% -3.91% 10/2007 15913.08524 15848.24128 2007-11-30 2007-12-31 -2.60% -1.88% 11/2007 15039.99798 15228.4871 2007-12-31 2008-01-31 -7.54% -9.02% 12/2007 14649.06518 14942.22164 2008-01-31 2008-02-29 0.16% 1.81% 01/2008 13545.07766 13595.01009 2008-02-29 2008-03-31 0.46% -1.43% 02/2008 13566.30819 13841.38234 2008-03-31 2008-04-30 4.13% 5.56% 03/2008 13628.76581 13643.79937 2008-04-30 2008-05-31 1.65% 1.52% 04/2008 14192.20152 14402.19851 2008-05-31 2008-06-30 -9.29% -7.78% 05/2008 14426.0805 14620.74799 2008-06-30 2008-07-31 -3.97% -3.56% 06/2008 13085.99796 13483.798 2008-07-31 2008-08-31 -3.79% -3.87% 07/2008 12566.88399 13003.96038 2008-08-31 2008-09-30 -12.76% -14.44% 08/2008 12091.02952 12501.05858 2008-09-30 2008-10-31 -22.66% -20.80% 09/2008 10548.31334 10696.17706 2008-10-31 2008-11-30 -6.03% -5.42% 10/2008 8157.763078 8471.162225 2008-11-30 2008-12-31 6.99% 5.27% 11/2008 7665.672812 8011.772138 2008-12-31 2009-01-31 -10.84% -9.33% 12/2008 8201.798787 8434.115781 2009-01-31 2009-02-28 -10.51% -10.12% 01/2009 7312.447111 7647.152754 2009-02-28 2009-03-31 8.43% 6.59% 02/2009 6543.871588 6873.017959 2009-03-31 2009-04-30 15.06% 12.90% 03/2009 7095.446521 7325.91919 2009-04-30 2009-05-31 15.11% 12.65% 04/2009 8164.170608 8270.659143 2009-05-31 2009-06-30 -0.84% -1.04% 05/2009 9398.161306 9316.618056 2009-06-30 2009-07-31 9.94% 9.39% 06/2009 9319.178937 9220.141559 2009-07-31 2009-08-31 5.56% 4.79% 07/2009 10245.51648 10085.89147 2009-08-31 2009-09-30 4.86% 4.13% 08/2009 10814.71184 10569.26136 2009-09-30 2009-10-31 -3.02% -1.61% 09/2009 11340.07285 11005.33206 2009-10-31 2009-11-30 2.66% 2.47% 10/2009 10997.28168 10828.66212 2009-11-30 2009-12-31 1.20% 1.59% 11/2009 11289.34432 11096.59079 2009-12-31 2010-01-31 -4.24% -4.69% 12/2009 11424.47812 11273.48224 2010-01-31 2010-02-28 0.10% -0.10% 01/2010 10940.00814 10745.04447 2010-02-28 2010-03-31 7.46% 6.44% 02/2010 10951.27488 10734.27624 2010-03-31 2010-04-30 -0.48% -1.49% 03/2010 11768.61429 11425.27813 2010-04-30 2010-05-31 -11.75% -11.03% 04/2010 11712.19716 11254.92409 2010-05-31 2010-06-30 -1.67% -1.45% 05/2010 10335.61907 10012.94593 2010-06-30 2010-07-31 10.57% 9.24% 06/2010 10163.34335 9868.096585 2010-07-31 2010-08-31 -4.07% -2.99% 07/2010 11237.98258 10780.15819 2010-08-31 2010-09-30 10.69% 9.59% 08/2010 10780.68929 10457.94203 2010-09-30 2010-10-31 3.65% 3.56% 09/2010 11933.21274 11461.14011 2010-10-31 2010-11-30 -3.99% -4.23% 10/2010 12369.23398 11869.43321 2010-11-30 2010-12-31 9.58% 8.05% 11/2010 11875.84152 11366.76901 2010-12-31 2011-01-31 2.58% 2.15% 12/2010 13013.38097 12282.03901 2011-01-31 2011-02-28 3.38% 3.71% 01/2011 13348.5391 12546.61759 2011-02-28 2011-03-31 -1.75% -2.00% 02/2011 13799.26898 13011.84017 2011-03-31 2011-04-30 5.38% 5.45% 03/2011 13557.4505 12751.18042 2011-04-30 2011-05-31 -3.08% -2.96% 04/2011 14287.46707 13445.63062 2011-05-31 2011-06-30 -1.77% -1.42% 05/2011 13847.13962 13047.04352 2011-06-30 2011-07-31 -2.25% -1.65% 06/2011 13602.18115 12861.22572 2011-07-31 2011-08-31 -8.83% -8.45% 07/2011 13296.77811 12649.06875 2011-08-31 2011-09-30 -11.66% -10.04% 08/2011 12122.15107 11579.67706 2011-09-30 2011-10-31 9.16% 9.73% 09/2011 10709.04568 10416.81238 2011-10-31 2011-11-30 -3.03% -4.62% 10/2011 11690.11719 11429.88295 2011-11-30 2011-12-31 -2.55% -1.09% 11/2011 11335.51303 10901.67697 2011-12-31 2012-01-31 7.34% 5.40% 12/2011 11046.57488 10782.72069 2012-01-31 2012-02-29 5.13% 5.50% 01/2012 11857.77045 11364.8827 2012-02-29 2012-03-31 -0.01% -0.74% 02/2012 12466.16712 11989.70744 2012-03-31 2012-04-30 -2.21% -1.70% 03/2012 12465.06145 11900.96739 2012-04-30 2012-05-31 -11.96% -11.40% 04/2012 12190.18473 11698.97353 2012-05-31 2012-06-30 6.13% 6.55% 05/2012 10732.14303 10365.23897 2012-06-30 2012-07-31 -0.11% 1.25% 06/2012 11389.6719 11044.40439 2012-07-31 2012-08-31 3.53% 2.85% 07/2012 11377.51643 11181.92306 2012-08-31 2012-09-30 3.55% 3.04% 08/2012 11778.64682 11500.95724 2012-09-30 2012-10-31 1.10% 0.70% 09/2012 12197.22662 11850.14447 10/31/2012 12331.53042 11933.18629
One Year Five Years From 09/15/2005 -------- ---------- --------------- 5.49% -4.97% 2.98% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. International Small Company Portfolio vs. MSCI World ex USA Small Cap Index (net div.) October 31, 2002 - October 31, 2012
International Small Company Portfolio- MSCI World ex USA BeginDate EndDate FundReturns Benchmark0Returns EndDate Institutional Class Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------- -------------------------- 2002-10-31 2002-11-30 2.63% 2.80% 10/2002 10000 10000 2002-11-30 2002-12-31 0.67% -1.63% 11/2002 10263.1579 10280.361 2002-12-31 2003-01-31 -0.27% -1.08% 12/2002 10331.88937 10112.682 2003-01-31 2003-02-28 0.55% -0.73% 01/2003 10303.66016 10003.911 2003-02-28 2003-03-31 -0.41% -0.97% 02/2003 10360.11858 9930.5819 2003-03-31 2003-04-30 8.21% 9.17% 03/2003 10317.77476 9834.5209 2003-04-30 2003-05-31 9.23% 8.84% 04/2003 11164.65095 10735.979 2003-05-31 2003-06-30 4.51% 5.21% 05/2003 12195.01696 11685.101 2003-06-30 2003-07-31 3.43% 3.02% 06/2003 12745.48648 12294.465 2003-07-31 2003-08-31 5.14% 6.58% 07/2003 13183.03917 12665.51 2003-08-31 2003-09-30 5.70% 5.72% 08/2003 13860.54011 13499.138 2003-09-30 2003-10-31 5.39% 7.97% 09/2003 14650.95788 14270.804 2003-10-31 2003-11-30 0.55% 0.09% 10/2003 15441.37564 15408.626 2003-11-30 2003-12-31 5.66% 6.10% 11/2003 15526.06326 15422.192 2003-12-31 2004-01-31 5.59% 4.30% 12/2003 16405.05144 16363.492 2004-01-31 2004-02-29 2.98% 3.03% 01/2004 17322.81656 17067.328 2004-02-29 2004-03-31 4.02% 3.85% 02/2004 17839.05943 17584.053 2004-03-31 2004-04-30 -3.01% -3.57% 03/2004 18556.06343 18261.736 2004-04-30 2004-05-31 -1.12% -1.08% 04/2004 17996.80031 17609.596 2004-05-31 2004-06-30 4.66% 5.05% 05/2004 17796.03919 17419.674 2004-06-30 2004-07-31 -3.65% -4.41% 06/2004 18625.06862 18299.378 2004-07-31 2004-08-31 0.89% 0.52% 07/2004 17944.89907 17492.392 2004-08-31 2004-09-30 2.38% 2.74% 08/2004 18104.08768 17583.076 2004-09-30 2004-10-31 3.21% 3.70% 09/2004 18534.81537 18064.114 2004-10-31 2004-11-30 7.21% 8.00% 10/2004 19130.36979 18732.508 2004-11-30 2004-12-31 4.71% 4.66% 11/2004 20510.31294 20230.498 2004-12-31 2005-01-31 2.37% 1.54% 12/2004 21477.25337 21173.631 2005-01-31 2005-02-28 4.43% 4.25% 01/2005 21986.47695 21499.823 2005-02-28 2005-03-31 -1.76% -1.63% 02/2005 22959.99262 22413.38 2005-03-31 2005-04-30 -2.39% -2.82% 03/2005 22555.60919 22048.446 2005-04-30 2005-05-31 -1.70% 0.24% 04/2005 22016.43128 21427.471 2005-05-31 2005-06-30 2.52% 2.65% 05/2005 21642.00218 21477.946 2005-06-30 2005-07-31 3.61% 4.34% 06/2005 22187.2913 22047.591 2005-07-31 2005-08-31 4.41% 3.07% 07/2005 22988.87715 23005.512 2005-08-31 2005-09-30 2.39% 4.05% 08/2005 24002.20265 23711.548 2005-09-30 2005-10-31 -1.98% -3.64% 09/2005 24574.66963 24672.769 2005-10-31 2005-11-30 1.95% 3.33% 10/2005 24089.24405 23773.878 2005-11-30 2005-12-31 6.65% 7.77% 11/2005 24559.50008 24566.442 2005-12-31 2006-01-31 6.91% 7.13% 12/2005 26192.91935 26476.052 2006-01-31 2006-02-28 -0.63% -1.26% 01/2006 28003.19451 28363.541 2006-02-28 2006-03-31 4.61% 4.70% 02/2006 27826.97304 28007.528 2006-03-31 2006-04-30 4.73% 4.65% 03/2006 29108.58376 29324.273 2006-04-30 2006-05-31 -5.04% -5.53% 04/2006 30486.3153 30689.171 2006-05-31 2006-06-30 -1.92% -2.44% 05/2006 28948.38242 28993.193 2006-06-30 2006-07-31 -1.08% -2.44% 06/2006 28392.62357 28287.156 2006-07-31 2006-08-31 2.65% 2.92% 07/2006 28085.23904 27596.275 2006-08-31 2006-09-30 0.74% -0.27% 08/2006 28829.43317 28403.138 2006-09-30 2006-10-31 3.97% 3.97% 09/2006 29042.73182 28326.754 2006-10-31 2006-11-30 4.52% 4.30% 10/2006 30195.99466 29451.377 2006-11-30 2006-12-31 3.64% 2.96% 11/2006 31560.41831 30718.135 2006-12-31 2007-01-31 2.80% 2.04% 12/2006 32709.04391 31627.537 2007-01-31 2007-02-28 1.41% 1.75% 01/2007 33624.21923 32272.711 2007-02-28 2007-03-31 3.74% 3.31% 02/2007 34098.75459 32838.967 2007-03-31 2007-04-30 3.31% 3.86% 03/2007 35374.02149 33927.454 2007-04-30 2007-05-31 2.04% 1.48% 04/2007 36544.11136 35235.682 2007-05-31 2007-06-30 -0.16% -0.22% 05/2007 37290.25563 35756.404 2007-06-30 2007-07-31 0.05% -0.62% 06/2007 37229.96027 35678.494 2007-07-31 2007-08-31 -3.86% -5.27% 07/2007 37247.0775 35458.883 2007-08-31 2007-09-30 2.20% 2.26% 08/2007 35809.23076 33588.853 2007-09-30 2007-10-31 5.40% 6.75% 09/2007 36596.47595 34347.375 2007-10-31 2007-11-30 -7.31% -8.22% 10/2007 38573.2701 36666.456 2007-11-30 2007-12-31 -3.34% -2.93% 11/2007 35754.18976 33651.894 2007-12-31 2008-01-31 -7.61% -9.69% 12/2007 34560.52272 32665.849 2008-01-31 2008-02-29 2.53% 4.75% 01/2008 31931.71701 29499.344 2008-02-29 2008-03-31 0.13% -1.10% 02/2008 32740.58032 30900.251 2008-03-31 2008-04-30 2.13% 2.43% 03/2008 32783.46742 30559.071 2008-04-30 2008-05-31 2.64% 2.02% 04/2008 33483.3392 31302.661 2008-05-31 2008-06-30 -7.40% -7.72% 05/2008 34367.38776 31934.986 2008-06-30 2008-07-31 -4.81% -5.04% 06/2008 31822.6109 29469.086 2008-07-31 2008-08-31 -3.94% -3.70% 07/2008 30292.13929 27983.115 2008-08-31 2008-09-30 -15.16% -17.59% 08/2008 29097.62486 26948.389 2008-09-30 2008-10-31 -23.42% -24.69% 09/2008 24686.0938 22208.126 2008-10-31 2008-11-30 -5.16% -4.85% 10/2008 18904.10377 16725.993 2008-11-30 2008-12-31 8.21% 6.67% 11/2008 17927.92364 15915.498 2008-12-31 2009-01-31 -7.90% -5.81% 12/2008 19399.00778 16976.822 2009-01-31 2009-02-28 -9.11% -9.13% 01/2009 17866.01302 15990.854 2009-02-28 2009-03-31 6.62% 6.42% 02/2009 16238.38895 14530.258 2009-03-31 2009-04-30 13.25% 15.42% 03/2009 17312.62084 15463.346 2009-04-30 2009-05-31 14.89% 14.80% 04/2009 19607.06456 17847.053 2009-05-31 2009-06-30 1.05% 1.20% 05/2009 22527.26566 20488.083 2009-06-30 2009-07-31 7.50% 8.04% 06/2009 22764.07949 20734.192 2009-07-31 2009-08-31 6.35% 7.71% 07/2009 24470.906 22400.383 2009-08-31 2009-09-30 5.32% 5.62% 08/2009 26024.30991 24126.942 2009-09-30 2009-10-31 -1.82% -1.54% 09/2009 27408.43525 25482.953 2009-10-31 2009-11-30 1.36% 0.78% 10/2009 26908.35152 25089.837 2009-11-30 2009-12-31 0.97% 1.26% 11/2009 27273.79732 25285.398 2009-12-31 2010-01-31 -1.55% -1.32% 12/2009 27538.60659 25605.138 2010-01-31 2010-02-28 -0.14% -0.57% 01/2010 27112.8516 25267.753 2010-02-28 2010-03-31 7.14% 7.43% 02/2010 27074.1466 25123.106 2010-03-31 2010-04-30 1.54% 1.98% 03/2010 29008.05027 26990.811 2010-04-30 2010-05-31 -11.83% -12.02% 04/2010 29453.43423 27524.185 2010-05-31 2010-06-30 -0.23% -0.94% 05/2010 25967.82071 24217.067 2010-06-30 2010-07-31 9.14% 8.58% 06/2010 25906.84332 23989.846 2010-07-31 2010-08-31 -2.98% -2.60% 07/2010 28274.46268 26047.283 2010-08-31 2010-09-30 11.00% 11.35% 08/2010 27433.07728 25370.528 2010-09-30 2010-10-31 3.93% 4.12% 09/2010 30450.27879 28249.163 2010-10-31 2010-11-30 -2.79% -2.62% 10/2010 31646.32965 29413.479 2010-11-30 2010-12-31 10.92% 11.31% 11/2010 30763.99704 28642.447 2010-12-31 2011-01-31 1.22% 0.52% 12/2010 34123.45077 31880.684 2011-01-31 2011-02-28 3.05% 2.84% 01/2011 34540.5593 32047.936 2011-02-28 2011-03-31 -0.16% -0.09% 02/2011 35593.2618 32959.15 2011-03-31 2011-04-30 4.75% 4.96% 03/2011 35537.66066 32928.708 2011-04-30 2011-05-31 -2.78% -2.77% 04/2011 37227.09084 34561.329 2011-05-31 2011-06-30 -2.03% -2.16% 05/2011 36193.55708 33604.255 2011-06-30 2011-07-31 -0.96% -0.55% 06/2011 35458.95786 32877.185 2011-07-31 2011-08-31 -7.84% -7.90% 07/2011 35117.42682 32697.801 2011-08-31 2011-09-30 -11.82% -11.48% 08/2011 32365.08845 30114.811 2011-09-30 2011-10-31 7.64% 8.12% 09/2011 28539.6961 26657.384 2011-10-31 2011-11-30 -3.16% -5.02% 10/2011 30721.07414 28821.611 2011-11-30 2011-12-31 -2.91% -1.95% 11/2011 29751.57279 27373.738 2011-12-31 2012-01-31 8.53% 8.26% 12/2011 28886.43886 26841.005 2012-01-31 2012-02-29 5.06% 5.66% 01/2012 31349.29998 29057.812 2012-02-29 2012-03-31 0.39% -0.66% 02/2012 32935.54951 30703.773 2012-03-31 2012-04-30 -1.20% -0.52% 03/2012 33063.02757 30500.407 2012-04-30 2012-05-31 -11.64% -11.75% 04/2012 32666.18769 30341.793 2012-05-31 2012-06-30 3.91% 3.45% 05/2012 28864.87941 26776.218 2012-06-30 2012-07-31 -0.28% 0.77% 06/2012 29992.89831 27700.112 2012-07-31 2012-08-31 3.47% 2.87% 07/2012 29908.17261 27914.059 2012-08-31 2012-09-30 4.17% 4.74% 08/2012 30946.06246 28715.677 2012-09-30 2012-10-31 0.66% 0.49% 09/2012 32237.33829 30076.125 10/31/2012 32449.70547 30222.68
One Year Five Years Ten Years -------- ---------- --------- 5.63% -3.40% 12.49% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Japanese Small Company Portfolio vs. MSCI Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
Japanese Small Company MSCI Japan BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ---------------------- -------------------------- 2002-10-31 2002-11-30 -0.66% 0.75% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.77% -2.23% 11/2002 9933.687003 10075.08187 2002-12-31 2003-01-31 0.00% -0.58% 12/2002 9857.65444 9849.969381 2003-01-31 2003-02-28 7.36% 5.07% 01/2003 9857.654442 9792.859234 2003-02-28 2003-03-31 0.76% -1.62% 02/2003 10582.87698 10289.41133 2003-03-31 2003-04-30 4.41% 3.12% 03/2003 10663.45726 10122.74022 2003-04-30 2003-05-31 6.15% 4.57% 04/2003 11133.5089 10438.51008 2003-05-31 2003-06-30 7.73% 11.22% 05/2003 11818.4413 10915.49296 2003-06-30 2003-07-31 1.27% 1.17% 06/2003 12731.68449 12140.63207 2003-07-31 2003-08-31 8.65% 12.61% 07/2003 12892.84505 12283.20775 2003-08-31 2003-09-30 6.33% 7.28% 08/2003 14007.53894 13831.70478 2003-09-30 2003-10-31 3.88% 7.41% 09/2003 14893.92204 14837.98823 2003-10-31 2003-11-30 -6.25% -6.87% 10/2003 15471.41406 15937.72465 2003-11-30 2003-12-31 5.88% 7.15% 11/2003 14504.45068 14842.64757 2003-12-31 2004-01-31 4.72% 3.64% 12/2003 15357.47439 15903.77806 2004-01-31 2004-02-29 0.59% -0.26% 01/2004 16081.62576 16482.86696 2004-02-29 2004-03-31 20.10% 18.33% 02/2004 16177.2684 16440.26731 2004-03-31 2004-04-30 -3.23% -3.18% 03/2004 19429.11797 19454.19207 2004-04-30 2004-05-31 -4.80% -4.97% 04/2004 18800.60923 18835.29913 2004-05-31 2004-06-30 9.47% 10.52% 05/2004 17898.83582 17899.83759 2004-06-30 2004-07-31 -6.28% -8.19% 06/2004 19593.07676 19782.60869 2004-07-31 2004-08-31 1.49% 1.04% 07/2004 18363.38575 18161.42602 2004-08-31 2004-09-30 -2.42% -3.02% 08/2004 18636.65042 18350.99444 2004-09-30 2004-10-31 1.95% 1.85% 09/2004 18185.76372 17797.06595 2004-10-31 2004-11-30 3.10% 4.35% 10/2004 18541.00779 18126.14819 2004-11-30 2004-12-31 4.78% 4.84% 11/2004 19114.86359 18914.90721 2004-12-31 2005-01-31 4.00% 3.40% 12/2004 20028.11817 19830.53329 2005-01-31 2005-02-28 3.65% 1.91% 01/2005 20829.79578 20505.07202 2005-02-28 2005-03-31 0.58% -0.23% 02/2005 21590.0073 20897.12186 2005-03-31 2005-04-30 -2.74% -0.81% 03/2005 21714.40556 20848.39852 2005-04-30 2005-05-31 -1.77% -1.84% 04/2005 21120.05836 20678.93181 2005-05-31 2005-06-30 1.88% 1.35% 05/2005 20746.86361 20298.06438 2005-06-30 2005-07-31 2.10% 2.83% 06/2005 21136.50604 20572.69895 2005-07-31 2005-08-31 5.45% 3.43% 07/2005 21579.44526 21155.3822 2005-08-31 2005-09-30 4.08% 6.25% 08/2005 22756.00257 21881.43987 2005-09-30 2005-10-31 3.04% 2.00% 09/2005 23683.40657 23249.02154 2005-10-31 2005-11-30 1.93% 4.27% 10/2005 24403.18281 23713.49078 2005-11-30 2005-12-31 11.35% 13.52% 11/2005 24873.80574 24726.96291 2005-12-31 2006-01-31 4.22% 3.19% 12/2005 27696.48745 28070.90178 2006-01-31 2006-02-28 -6.03% -6.51% 01/2006 28866.17319 28965.62742 2006-02-28 2006-03-31 4.41% 4.49% 02/2006 27125.56941 27079.52821 2006-03-31 2006-04-30 1.92% 0.50% 03/2006 28323.10482 28294.28366 2006-04-30 2006-05-31 -7.09% -8.02% 04/2006 28866.17321 28434.72936 2006-05-31 2006-06-30 -3.83% -3.13% 05/2006 26819.22316 26153.78472 2006-06-30 2006-07-31 -4.77% -6.61% 06/2006 25791.03783 25334.67345 2006-07-31 2006-08-31 1.60% 2.66% 07/2006 24559.56125 23659.84185 2006-08-31 2006-09-30 -1.78% -2.19% 08/2006 24951.39471 24289.11846 2006-09-30 2006-10-31 -0.80% -0.64% 09/2006 24508.26736 23757.55478 2006-10-31 2006-11-30 -0.69% -0.84% 10/2006 24312.08912 23605.12794 2006-11-30 2006-12-31 0.87% 0.58% 11/2006 24143.93634 23406.37397 2006-12-31 2007-01-31 2.03% 1.94% 12/2006 24353.59365 23542.69283 2007-01-31 2007-02-28 4.03% 3.95% 01/2007 24847.15229 24000.37275 2007-02-28 2007-03-31 -0.82% -0.92% 02/2007 25848.37125 24947.40195 2007-03-31 2007-04-30 -1.38% -1.71% 03/2007 25636.84612 24717.55696 2007-04-30 2007-05-31 -2.06% -2.38% 04/2007 25284.30423 24294.40116 2007-05-31 2007-06-30 1.61% 0.66% 05/2007 24762.54224 23715.33754 2007-06-30 2007-07-31 0.51% -0.03% 06/2007 25161.78359 23871.04781 2007-07-31 2007-08-31 -4.21% -6.09% 07/2007 25289.43639 23864.94367 2007-08-31 2007-09-30 -0.14% -0.61% 08/2007 24225.66313 22411.08335 2007-09-30 2007-10-31 0.65% 3.62% 09/2007 24190.62418 22275.03884 2007-10-31 2007-11-30 -2.33% -4.20% 10/2007 24346.78432 23080.52444 2007-11-30 2007-12-31 -6.32% -5.98% 11/2007 23778.92929 22110.18267 2007-12-31 2008-01-31 -2.76% -4.91% 12/2007 22276.1423 20787.37617 2008-01-31 2008-02-29 -0.86% 1.10% 01/2008 21661.33221 19766.37958 2008-02-29 2008-03-31 1.96% 0.03% 02/2008 21475.4594 19983.05381 2008-03-31 2008-04-30 0.72% 1.24% 03/2008 21897.06899 19989.52537 2008-04-30 2008-05-31 3.63% 3.08% 04/2008 22054.4989 20237.73298 2008-05-31 2008-06-30 -4.75% -6.14% 05/2008 22855.96025 20861.33463 2008-06-30 2008-07-31 -2.79% -3.27% 06/2008 21771.22763 19580.38503 2008-07-31 2008-08-31 -5.53% -4.42% 07/2008 21164.06192 18939.5221 2008-08-31 2008-09-30 -6.57% -9.76% 08/2008 19993.09948 18102.73475 2008-09-30 2008-10-31 -7.28% -10.56% 09/2008 18680.10966 16335.0643 2008-10-31 2008-11-30 2.59% 4.08% 10/2008 17319.97774 14610.87139 2008-11-30 2008-12-31 10.18% 7.79% 11/2008 17768.53188 15207.58848 2008-12-31 2009-01-31 -6.87% -5.24% 12/2008 19576.80123 16391.82817 2009-01-31 2009-02-28 -13.06% -13.15% 01/2009 18232.72234 15532.69167 2009-02-28 2009-03-31 4.63% 3.53% 02/2009 15851.36517 13490.5956 2009-03-31 2009-04-30 3.97% 5.12% 03/2009 16585.88307 13966.68196 2009-04-30 2009-05-31 12.30% 12.24% 04/2009 17244.05303 14681.2359 2009-05-31 2009-06-30 6.62% 6.36% 05/2009 19364.82292 16477.8381 2009-06-30 2009-07-31 2.07% 2.50% 06/2009 20646.25165 17526.07854 2009-07-31 2009-08-31 5.25% 5.61% 07/2009 21074.2297 17964.79588 2009-08-31 2009-09-30 -1.08% -0.39% 08/2009 22181.0695 18971.85596 2009-09-30 2009-10-31 -3.63% -3.66% 09/2009 21941.92888 18896.95379 2009-10-31 2009-11-30 -4.05% -3.57% 10/2009 21144.5775 18205.29095 2009-11-30 2009-12-31 -0.41% -1.87% 11/2009 20288.16305 17554.53077 2009-12-31 2010-01-31 1.33% 2.16% 12/2009 20204.16741 17226.74007 2010-01-31 2010-02-28 1.89% 1.90% 01/2010 20471.96934 17598.31424 2010-02-28 2010-03-31 5.08% 4.55% 02/2010 20858.79434 17932.44578 2010-03-31 2010-04-30 2.92% 2.71% 03/2010 21918.19995 18748.39441 2010-04-30 2010-05-31 -8.38% -6.94% 04/2010 22558.03879 19256.15939 2010-05-31 2010-06-30 1.54% 0.44% 05/2010 20668.28224 17920.38247 2010-06-30 2010-07-31 1.72% 1.21% 06/2010 20987.31276 17999.54236 2010-07-31 2010-08-31 -2.74% -2.12% 07/2010 21347.60998 18217.74964 2010-08-31 2010-09-30 4.42% 4.09% 08/2010 20762.127 17832.12461 2010-09-30 2010-10-31 -2.15% -0.82% 09/2010 21679.4166 18561.32287 2010-10-31 2010-11-30 2.48% 1.95% 10/2010 21213.99976 18408.83566 2010-11-30 2010-12-31 9.20% 10.09% 11/2010 21739.47038 18767.41745 2010-12-31 2011-01-31 2.23% 1.19% 12/2010 23739.91273 20661.01405 2011-01-31 2011-02-28 4.61% 4.02% 01/2011 24268.80957 20906.71999 2011-02-28 2011-03-31 -6.25% -6.17% 02/2011 25387.04862 21747.69396 2011-03-31 2011-04-30 -0.51% 0.09% 03/2011 23800.35808 20405.73235 2011-04-30 2011-05-31 -1.66% -1.49% 04/2011 23679.46736 20424.23355 2011-05-31 2011-06-30 4.98% 3.72% 05/2011 23286.57256 20120.65268 2011-06-30 2011-07-31 3.62% 4.15% 06/2011 24445.13868 20870.11031 2011-07-31 2011-08-31 -2.71% -4.09% 07/2011 25329.61657 21737.00781 2011-08-31 2011-09-30 -0.54% 0.09% 08/2011 24643.38373 20848.50785 2011-09-30 2011-10-31 -5.16% -3.69% 09/2011 24509.27495 20867.42386 2011-10-31 2011-11-30 1.64% -2.71% 10/2011 23243.39454 20097.71099 2011-11-30 2011-12-31 -0.53% 1.56% 11/2011 23624.68382 19553.25552 2011-12-31 2012-01-31 6.28% 4.10% 12/2011 23499.87679 19858.08869 2012-01-31 2012-02-29 0.12% 1.09% 01/2012 24976.30885 20673.25987 2012-02-29 2012-03-31 2.83% 2.67% 02/2012 25007.06785 20897.89665 2012-03-31 2012-04-30 -2.09% -1.45% 03/2012 25714.52487 21455.93331 2012-04-30 2012-05-31 -8.37% -8.30% 04/2012 25176.24235 21145.10649 2012-05-31 2012-06-30 5.29% 4.27% 05/2012 23069.25079 19389.29527 2012-06-30 2012-07-31 -3.39% -1.56% 06/2012 24290.64032 20216.46374 2012-07-31 2012-08-31 0.00% -0.57% 07/2012 23467.49202 19900.07911 2012-08-31 2012-09-30 1.43% 2.77% 08/2012 23467.49202 19786.64947 2012-09-30 2012-10-31 -2.15% -2.16% 09/2012 23803.19441 20333.93316 10/31/2012 23290.46241 19894.1037
One Year Five Years Ten Years -------- ---------- --------- 0.20% -0.88% 8.82% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Asia Pacific Small Company Portfolio vs. MSCI Pacific ex Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
Asia Pacific Small Company MSCI Pacific ex Japan BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------------- -------------------------- 2002-10-31 2002-11-30 1.02% 2.23% 10/2002 10000 10000 2002-11-30 2002-12-31 1.25% 1.63% 11/2002 10102.04082 10222.94441 2002-12-31 2003-01-31 3.28% 3.70% 12/2002 10228.44337 10389.69329 2003-01-31 2003-02-28 0.51% -1.56% 01/2003 10563.58241 10774.1636 2003-02-28 2003-03-31 -2.02% -0.24% 02/2003 10617.20465 10605.86716 2003-03-31 2003-04-30 2.84% 5.52% 03/2003 10402.71567 10580.71942 2003-04-30 2003-05-31 10.15% 7.11% 04/2003 10697.63802 11164.43722 2003-05-31 2003-06-30 4.66% 5.34% 05/2003 11783.4885 11958.2354 2003-06-30 2003-07-31 6.74% 2.28% 06/2003 12333.11651 12596.40774 2003-07-31 2003-08-31 7.03% 4.86% 07/2003 13164.26132 12883.57562 2003-08-31 2003-09-30 7.99% 7.96% 08/2003 14089.24506 13509.07737 2003-09-30 2003-10-31 5.81% 8.26% 09/2003 15215.31222 14584.14338 2003-10-31 2003-11-30 0.75% -0.44% 10/2003 16100.07928 15788.91371 2003-11-30 2003-12-31 4.42% 6.55% 11/2003 16220.72933 15719.08037 2003-12-31 2004-01-31 6.26% 4.09% 12/2003 16937.04762 16749.07389 2004-01-31 2004-02-29 2.94% 3.02% 01/2004 17996.48434 17434.54333 2004-02-29 2004-03-31 -3.16% 0.20% 02/2004 18526.2027 17961.48526 2004-03-31 2004-04-30 -7.30% -5.66% 03/2004 17940.72451 17996.98227 2004-04-30 2004-05-31 -0.75% -0.45% 04/2004 16630.36856 16979.07901 2004-05-31 2004-06-30 0.34% 0.12% 05/2004 16504.90895 16902.18495 2004-06-30 2004-07-31 1.78% 3.77% 06/2004 16561.62194 16922.1097 2004-07-31 2004-08-31 2.34% 3.29% 07/2004 16856.86307 17560.66893 2004-08-31 2004-09-30 6.14% 5.97% 08/2004 17250.51793 18139.16374 2004-09-30 2004-10-31 4.71% 6.40% 09/2004 18309.08796 19221.96752 2004-10-31 2004-11-30 7.23% 7.70% 10/2004 19171.52376 20452.36921 2004-11-30 2004-12-31 2.25% 4.23% 11/2004 20557.07636 22026.32775 2004-12-31 2005-01-31 2.27% 0.87% 12/2004 21019.6936 22957.37457 2005-01-31 2005-02-28 2.82% 3.19% 01/2005 21496.42893 23157.68602 2005-02-28 2005-03-31 -3.40% -2.84% 02/2005 22103.18297 23895.28867 2005-03-31 2005-04-30 -3.38% -1.63% 03/2005 21351.96368 23215.91272 2005-04-30 2005-05-31 -2.31% 1.28% 04/2005 20629.63744 22838.30968 2005-05-31 2005-06-30 4.50% 5.47% 05/2005 20152.90213 23131.7645 2005-06-30 2005-07-31 3.32% 4.16% 06/2005 21059.61874 24396.40581 2005-07-31 2005-08-31 2.61% -0.08% 07/2005 21758.2101 25412.08446 2005-08-31 2005-09-30 3.66% 5.04% 08/2005 22325.81559 25391.96627 2005-09-30 2005-10-31 -5.69% -5.88% 09/2005 23142.77252 26672.76016 2005-10-31 2005-11-30 2.48% 3.79% 10/2005 21825.34714 25105.66888 2005-11-30 2005-12-31 1.49% 1.96% 11/2005 22366.95535 26057.80112 2005-12-31 2006-01-31 6.73% 5.72% 12/2005 22700.77758 26569.26752 2006-01-31 2006-02-28 1.42% 1.00% 01/2006 24228.1386 28089.73876 2006-02-28 2006-03-31 5.06% 4.23% 02/2006 24572.54354 28371.87709 2006-03-31 2006-04-30 5.68% 6.45% 03/2006 25815.39615 29573.16543 2006-04-30 2006-05-31 -5.65% -5.11% 04/2006 27282.86066 31480.62173 2006-05-31 2006-06-30 -0.70% -1.22% 05/2006 25740.52551 29873.19735 2006-06-30 2006-07-31 1.89% 1.03% 06/2006 25561.04377 29509.32885 2006-07-31 2006-08-31 2.43% 3.26% 07/2006 26044.18223 29812.16571 2006-08-31 2006-09-30 1.01% 1.65% 08/2006 26678.30145 30784.60958 2006-09-30 2006-10-31 8.17% 6.97% 09/2006 26948.22351 31293.56121 2006-10-31 2006-11-30 5.52% 6.08% 10/2006 29149.62769 33475.41808 2006-11-30 2006-12-31 2.82% 3.73% 11/2006 30758.93006 35510.06393 2006-12-31 2007-01-31 2.59% 2.54% 12/2006 31625.56796 36835.73688 2007-01-31 2007-02-28 2.62% 1.91% 01/2007 32446.00609 37771.32964 2007-02-28 2007-03-31 5.21% 5.16% 02/2007 33297.40415 38491.52928 2007-03-31 2007-04-30 6.98% 6.93% 03/2007 35031.16019 40477.38445 2007-04-30 2007-05-31 8.51% 3.93% 04/2007 37476.99462 43284.20999 2007-05-31 2007-06-30 4.08% 2.60% 05/2007 40665.86735 44983.41006 2007-06-30 2007-07-31 1.55% -0.03% 06/2007 42324.45641 46153.21619 2007-07-31 2007-08-31 -7.51% -6.44% 07/2007 42979.68205 46140.90182 2007-08-31 2007-09-30 11.70% 8.87% 08/2007 39750.35566 43171.53026 2007-09-30 2007-10-31 8.73% 6.84% 09/2007 44402.98984 47002.60658 2007-10-31 2007-11-30 -6.63% -8.03% 10/2007 48278.44514 50215.50421 2007-11-30 2007-12-31 -1.74% -1.38% 11/2007 45077.66425 46181.72607 2007-12-31 2008-01-31 -10.08% -13.40% 12/2007 44292.30802 45546.18965 2008-01-31 2008-02-29 3.03% 5.94% 01/2008 39829.72697 39443.03773 2008-02-29 2008-03-31 -4.86% -6.31% 02/2008 41036.68839 41786.09735 2008-03-31 2008-04-30 6.95% 6.69% 03/2008 39042.69123 39150.03399 2008-04-30 2008-05-31 4.36% 1.08% 04/2008 41757.31597 41769.12844 2008-05-31 2008-06-30 -9.88% -11.19% 05/2008 43577.71138 42219.7361 2008-06-30 2008-07-31 -5.91% -4.60% 06/2008 39271.38057 37496.3338 2008-07-31 2008-08-31 -7.03% -8.12% 07/2008 36948.96628 35772.06782 2008-08-31 2008-09-30 -17.19% -19.52% 08/2008 34352.37808 32866.37089 2008-09-30 2008-10-31 -33.30% -35.32% 09/2008 28448.71866 26450.30161 2008-10-31 2008-11-30 -9.59% -10.91% 10/2008 18976.64386 17107.99184 2008-11-30 2008-12-31 10.90% 11.62% 11/2008 17156.96568 15240.90591 2008-12-31 2009-01-31 -12.37% -11.01% 12/2008 19026.86225 17011.6769 2009-01-31 2009-02-28 -5.51% -6.21% 01/2009 16673.53982 15138.38093 2009-02-28 2009-03-31 15.50% 14.33% 02/2009 15755.57717 14198.33404 2009-03-31 2009-04-30 14.89% 17.90% 03/2009 18198.31801 16233.2625 2009-04-30 2009-05-31 25.84% 23.98% 04/2009 20907.99403 19138.9839 2009-05-31 2009-06-30 0.72% 2.82% 05/2009 26310.61968 23727.9327 2009-06-30 2009-07-31 14.40% 14.44% 06/2009 26500.51813 24395.89769 2009-07-31 2009-08-31 4.57% 5.14% 07/2009 30317.6737 27918.80754 2009-08-31 2009-09-30 7.76% 8.38% 08/2009 31702.65934 29353.56318 2009-09-30 2009-10-31 2.18% 2.40% 09/2009 34162.2454 31812.29559 2009-10-31 2009-11-30 4.66% 2.88% 10/2009 34908.21999 32574.95601 2009-11-30 2009-12-31 2.61% 4.00% 11/2009 36535.80092 33511.53396 2009-12-31 2010-01-31 -5.44% -6.39% 12/2009 37490.87022 34850.68161 2010-01-31 2010-02-28 1.74% 1.25% 01/2010 35449.96741 32622.21372 2010-02-28 2010-03-31 8.22% 8.24% 02/2010 36067.38339 33031.08649 2010-03-31 2010-04-30 1.32% 2.80% 03/2010 39032.74785 35753.24456 2010-04-30 2010-05-31 -13.86% -15.10% 04/2010 39548.14504 36753.03781 2010-05-31 2010-06-30 -1.26% -0.57% 05/2010 34067.75484 31203.76406 2010-06-30 2010-07-31 11.07% 10.17% 06/2010 33639.59447 31025.8813 2010-07-31 2010-08-31 -0.14% -0.22% 07/2010 37363.7917 34182.58827 2010-08-31 2010-09-30 15.17% 15.01% 08/2010 37311.58333 34106.50072 2010-09-30 2010-10-31 4.27% 4.44% 09/2010 42971.5342 39227.22466 2010-10-31 2010-11-30 -1.37% -1.34% 10/2010 44806.43095 40968.50656 2010-11-30 2010-12-31 9.78% 10.09% 11/2010 44194.79869 40421.36451 2010-12-31 2011-01-31 -2.16% -2.91% 12/2010 48518.23493 44501.01994 2011-01-31 2011-02-28 0.61% 0.55% 01/2011 47468.60509 43206.90568 2011-02-28 2011-03-31 2.10% 3.07% 02/2011 47758.15816 43443.45509 2011-03-31 2011-04-30 4.20% 4.05% 03/2011 48760.12577 44776.95098 2011-04-30 2011-05-31 -2.96% -2.29% 04/2011 50807.65243 46588.20093 2011-05-31 2011-06-30 -3.40% -3.56% 05/2011 49303.71692 45521.78147 2011-06-30 2011-07-31 1.61% 1.48% 06/2011 47627.74843 43902.98932 2011-07-31 2011-08-31 -7.00% -6.96% 07/2011 48396.82395 44550.56657 2011-08-31 2011-09-30 -18.67% -18.18% 08/2011 45009.22937 41451.93249 2011-09-30 2011-10-31 15.55% 16.38% 09/2011 36607.20677 33915.26065 2011-10-31 2011-11-30 -2.69% -6.82% 10/2011 42301.25299 39471.81922 2011-11-30 2011-12-31 -5.85% -3.21% 11/2011 41162.44374 36780.00112 2011-12-31 2012-01-31 10.31% 10.38% 12/2011 38752.60065 35600.90329 2012-01-31 2012-02-29 7.56% 7.78% 01/2012 42748.30541 39297.23236 2012-02-29 2012-03-31 -1.50% -3.13% 02/2012 45979.28198 42352.65578 2012-03-31 2012-04-30 -0.42% 0.54% 03/2012 45291.35121 41026.60855 2012-04-30 2012-05-31 -12.49% -12.98% 04/2012 45099.76342 41248.3563 2012-05-31 2012-06-30 2.07% 1.40% 05/2012 39467.08269 35894.03867 2012-06-30 2012-07-31 1.44% 3.29% 06/2012 40285.54758 36396.50327 2012-07-31 2012-08-31 3.32% 1.60% 07/2012 40867.42838 37593.17588 2012-08-31 2012-09-30 4.92% 5.32% 08/2012 42225.15026 38194.19868 2012-09-30 2012-10-31 2.25% 2.06% 09/2012 44303.72967 40226.10709 10/31/2012 45298.66151 41055.3557
One Year Five Years Ten Years -------- ---------- --------- 7.09% -1.27% 16.31% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. United Kingdom Small Company Portfolio vs. MSCI UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
United Kingdom Small Company MSCI UK BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ---------------------------- -------------------------- 2002-10-31 2002-11-30 3.26% 1.85% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.25% -2.90% 11/2002 10326.32342 10184.73327 2002-12-31 2003-01-31 -2.47% -7.52% 12/2002 10300.26699 9889.741677 2003-01-31 2003-02-28 -3.31% -2.90% 01/2003 10045.46278 9146.50954 2003-02-28 2003-03-31 -0.95% -0.12% 02/2003 9713.445179 8880.979174 2003-03-31 2003-04-30 9.39% 13.39% 03/2003 9620.789103 8870.105074 2003-04-30 2003-05-31 11.96% 14.56% 04/2003 10524.18583 10057.78446 2003-05-31 2003-06-30 5.64% 3.29% 05/2003 11782.76418 11522.12121 2003-06-30 2003-07-31 4.03% 6.33% 06/2003 12446.79938 11901.70319 2003-07-31 2003-08-31 4.17% 4.76% 07/2003 12948.68646 12654.92432 2003-08-31 2003-09-30 3.84% 2.62% 08/2003 13489.18022 13257.17248 2003-09-30 2003-10-31 5.68% 8.11% 09/2003 14006.50998 13605.01726 2003-10-31 2003-11-30 0.47% 0.83% 10/2003 14801.80795 14708.35915 2003-11-30 2003-12-31 5.53% 5.61% 11/2003 14871.3 14830.88245 2003-12-31 2004-01-31 7.44% 8.47% 12/2003 15693.25537 15662.49826 2004-01-31 2004-02-29 5.73% 6.77% 01/2004 16860.18974 16989.77076 2004-02-29 2004-03-31 -1.35% -0.38% 02/2004 17825.92854 18140.78167 2004-03-31 2004-04-30 -3.66% -3.48% 03/2004 17584.49384 18071.61733 2004-04-30 2004-05-31 0.14% -0.06% 04/2004 16940.66798 17442.81614 2004-05-31 2004-06-30 3.38% 3.47% 05/2004 16964.81145 17432.82714 2004-06-30 2004-07-31 -3.75% -4.53% 06/2004 17537.98014 18037.60416 2004-07-31 2004-08-31 -0.72% -1.37% 07/2004 16880.30589 17221.28795 2004-08-31 2004-09-30 2.81% 3.29% 08/2004 16758.51436 16985.59814 2004-09-30 2004-10-31 3.13% 3.81% 09/2004 17229.02192 17543.84412 2004-10-31 2004-11-30 8.01% 8.09% 10/2004 17768.70651 18211.46333 2004-11-30 2004-12-31 4.11% 5.77% 11/2004 19191.51136 19683.89242 2004-12-31 2005-01-31 2.80% 2.25% 12/2004 19980.49121 20819.35084 2005-01-31 2005-02-28 3.39% 2.37% 01/2005 20540.04827 21286.81073 2005-02-28 2005-03-31 -2.29% -1.25% 02/2005 21237.34245 21790.68621 2005-03-31 2005-04-30 -3.41% -4.52% 03/2005 20751.25102 21518.58081 2005-04-30 2005-05-31 -1.98% -0.89% 04/2005 20044.31185 20545.98101 2005-05-31 2005-06-30 1.80% 1.54% 05/2005 19647.73622 20363.7766 2005-06-30 2005-07-31 1.95% 2.97% 06/2005 20001.56596 20677.10243 2005-07-31 2005-08-31 5.62% 4.84% 07/2005 20392.22154 21291.23624 2005-08-31 2005-09-30 -1.19% 0.17% 08/2005 21538.14459 22321.6205 2005-09-30 2005-10-31 -2.84% -3.05% 09/2005 21281.07436 22360.43851 2005-10-31 2005-11-30 4.27% 4.99% 10/2005 20677.54204 21679.54278 2005-11-30 2005-12-31 4.37% 4.32% 11/2005 21560.97341 22761.64224 2005-12-31 2006-01-31 7.79% 8.14% 12/2005 22503.36549 23745.11614 2006-01-31 2006-02-28 1.35% 1.57% 01/2006 24256.63226 25678.80942 2006-02-28 2006-03-31 1.63% 2.02% 02/2006 24583.0383 26081.40403 2006-03-31 2006-04-30 5.00% 5.29% 03/2006 24984.05145 26609.0508 2006-04-30 2006-05-31 -2.06% -2.22% 04/2006 26233.72031 28017.24683 2006-05-31 2006-06-30 -0.12% -0.85% 05/2006 25692.81887 27395.40001 2006-06-30 2006-07-31 0.69% -0.78% 06/2006 25661.97335 27162.87127 2006-07-31 2006-08-31 4.17% 3.60% 07/2006 25840.11639 26951.71141 2006-08-31 2006-09-30 2.88% 2.93% 08/2006 26918.35056 27921.52946 2006-09-30 2006-10-31 5.62% 5.73% 09/2006 27694.82892 28740.12164 2006-10-31 2006-11-30 6.25% 6.48% 10/2006 29250.1886 30386.15702 2006-11-30 2006-12-31 5.43% 4.69% 11/2006 31078.91455 32355.38079 2006-12-31 2007-01-31 0.64% -0.23% 12/2006 32765.53058 33873.58226 2007-01-31 2007-02-28 -0.03% 0.31% 01/2007 32975.50193 33794.55537 2007-02-28 2007-03-31 4.64% 4.14% 02/2007 32965.5033 33900.02177 2007-03-31 2007-04-30 3.42% 4.96% 03/2007 34495.29462 35302.18758 2007-04-30 2007-05-31 1.32% 0.64% 04/2007 35675.13369 37054.44065 2007-05-31 2007-06-30 -3.69% -2.91% 05/2007 36145.06959 37292.47839 2007-06-30 2007-07-31 -0.58% -0.56% 06/2007 34810.99155 36207.10124 2007-07-31 2007-08-31 -0.61% -3.67% 07/2007 34609.53905 36003.55839 2007-08-31 2007-09-30 -3.48% -5.67% 08/2007 34398.01393 34683.7346 2007-09-30 2007-10-31 7.96% 10.99% 09/2007 33200.40601 32718.25112 2007-10-31 2007-11-30 -11.61% -11.57% 10/2007 35843.07328 36313.48132 2007-11-30 2007-12-31 -5.30% -5.02% 11/2007 31681.63172 32111.56657 2007-12-31 2008-01-31 -6.75% -8.05% 12/2007 30002.6359 30499.3662 2008-01-31 2008-02-29 1.41% 3.39% 01/2008 27976.87156 28045.22453 2008-02-29 2008-03-31 -0.41% -1.26% 02/2008 28371.36251 28995.40235 2008-03-31 2008-04-30 1.66% 1.86% 03/2008 28253.66968 28630.99404 2008-04-30 2008-05-31 0.26% 0.47% 04/2008 28723.49638 29163.51692 2008-05-31 2008-06-30 -7.99% -6.84% 05/2008 28798.24153 29301.51708 2008-06-30 2008-07-31 -3.55% -3.99% 06/2008 26497.28678 27298.28546 2008-07-31 2008-08-31 -1.69% -2.62% 07/2008 25557.51346 26209.1302 2008-08-31 2008-09-30 -15.47% -18.39% 08/2008 25125.43378 25523.09577 2008-09-30 2008-10-31 -26.86% -27.75% 09/2008 21239.653 20829.83263 2008-10-31 2008-11-30 -7.15% -9.27% 10/2008 15535.10243 15050.14501 2008-11-30 2008-12-31 -2.29% -2.54% 11/2008 14424.67464 13654.45043 2008-12-31 2009-01-31 -2.42% -0.55% 12/2008 14094.70451 13308.06844 2009-01-31 2009-02-28 -4.16% -3.32% 01/2009 13753.88092 13235.0837 2009-02-28 2009-03-31 4.29% 5.80% 02/2009 13182.17684 12796.33037 2009-03-31 2009-04-30 20.91% 22.97% 03/2009 13747.40017 13538.45221 2009-04-30 2009-05-31 10.21% 10.56% 04/2009 16622.45741 16648.44171 2009-05-31 2009-06-30 0.43% 0.71% 05/2009 18318.85134 18406.87658 2009-06-30 2009-07-31 8.66% 9.20% 06/2009 18398.42995 18536.80413 2009-07-31 2009-08-31 7.74% 9.64% 07/2009 19991.03012 20242.59082 2009-08-31 2009-09-30 2.90% 2.31% 08/2009 21539.08204 22194.30581 2009-09-30 2009-10-31 0.10% 0.14% 09/2009 22163.64848 22706.30182 2009-10-31 2009-11-30 -0.35% -1.04% 10/2009 22186.02471 22739.17824 2009-11-30 2009-12-31 2.06% 2.47% 11/2009 22107.70793 22502.57727 2009-12-31 2010-01-31 -1.00% -0.46% 12/2009 22562.62069 23058.42647 2010-01-31 2010-02-28 -3.44% -4.48% 01/2010 22336.76863 22951.40342 2010-02-28 2010-03-31 8.34% 8.81% 02/2010 21568.87163 21923.41454 2010-03-31 2010-04-30 3.63% 3.99% 03/2010 23367.418 23855.6759 2010-04-30 2010-05-31 -11.35% -12.02% 04/2010 24215.70278 24807.83622 2010-05-31 2010-06-30 1.89% 0.43% 05/2010 21467.2601 21825.88192 2010-06-30 2010-07-31 13.47% 12.03% 06/2010 21872.41063 21920.17077 2010-07-31 2010-08-31 -3.73% -2.72% 07/2010 24817.65174 24556.84503 2010-08-31 2010-09-30 10.65% 11.02% 08/2010 23892.98302 23889.83015 2010-09-30 2010-10-31 5.21% 4.26% 09/2010 26436.69202 26521.98383 2010-10-31 2010-11-30 -4.95% -4.16% 10/2010 27813.60307 27652.52891 2010-11-30 2010-12-31 10.16% 10.46% 11/2010 26436.69202 26500.89745 2010-12-31 2011-01-31 1.43% 0.97% 12/2010 29123.50956 29273.77513 2011-01-31 2011-02-28 2.98% 2.64% 01/2011 29540.38683 29556.91796 2011-02-28 2011-03-31 -1.90% -1.73% 02/2011 30420.46106 30336.40823 2011-03-31 2011-04-30 8.83% 9.17% 03/2011 29840.98573 29812.97875 2011-04-30 2011-05-31 -0.64% -1.27% 04/2011 32475.72077 32545.73053 2011-05-31 2011-06-30 -3.19% -3.37% 05/2011 32266.79904 32133.8104 2011-06-30 2011-07-31 -0.71% -0.28% 06/2011 31236.125 31051.37887 2011-07-31 2011-08-31 -10.01% -10.20% 07/2011 31013.59543 30965.45914 2011-08-31 2011-09-30 -10.12% -10.55% 08/2011 27909.89347 27806.69897 2011-09-30 2011-10-31 10.57% 10.93% 09/2011 25085.00601 24874.3008 2011-10-31 2011-11-30 -3.07% -3.88% 10/2011 27735.49722 27592.49812 2011-11-30 2011-12-31 -3.15% -3.34% 11/2011 26883.55361 26521.47755 2011-12-31 2012-01-31 8.79% 10.15% 12/2011 26038.03525 25636.24738 2012-01-31 2012-02-29 8.17% 9.29% 01/2012 28327.3581 28237.12768 2012-02-29 2012-03-31 2.11% 0.33% 02/2012 30640.7791 30859.75401 2012-03-31 2012-04-30 1.70% 1.70% 03/2012 31287.24996 30961.08612 2012-04-30 2012-05-31 -11.30% -12.39% 04/2012 31817.95119 31488.06169 2012-05-31 2012-06-30 4.86% 4.76% 05/2012 28223.65648 27586.66253 2012-06-30 2012-07-31 1.65% 1.82% 06/2012 29596.29533 28900.19337 2012-07-31 2012-08-31 5.44% 5.29% 07/2012 30084.88461 29426.59945 2012-08-31 2012-09-30 5.11% 5.34% 08/2012 31721.65868 30984.44922 2012-09-30 2012-10-31 2.17% 2.07% 09/2012 33343.21472 32637.78817 10/31/2012 34065.93686 33313.32062
One Year Five Years Ten Years -------- ---------- --------- 22.82% -1.01% 13.04% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Continental Small Company Portfolio vs. MSCI Europe ex UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
Continental Small Company MSCI Europe ex UK BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------------- -------------------------- 2002-10-31 2002-11-30 5.43% 5.48% 10/2002 10000 10000 2002-11-30 2002-12-31 1.88% -2.35% 11/2002 10543.09327 10548.1194 2002-12-31 2003-01-31 -0.83% -1.33% 12/2002 10741.33796 10300.47589 2003-01-31 2003-02-28 -2.87% -4.40% 01/2003 10652.25104 10163.741 2003-02-28 2003-03-31 -0.74% -0.23% 02/2003 10346.81015 9716.82901 2003-03-31 2003-04-30 12.52% 14.70% 03/2003 10270.44992 9694.149111 2003-04-30 2003-05-31 10.02% 9.83% 04/2003 11555.847 11119.0498 2003-05-31 2003-06-30 1.70% 1.49% 05/2003 12713.97704 12212.14227 2003-06-30 2003-07-31 3.44% 3.56% 06/2003 12930.33101 12393.71256 2003-07-31 2003-08-31 2.19% 2.88% 07/2003 13375.76564 12834.98735 2003-08-31 2003-09-30 5.12% 5.67% 08/2003 13668.47982 13204.94501 2003-09-30 2003-10-31 6.11% 8.35% 09/2003 14368.44853 13953.64386 2003-10-31 2003-11-30 5.18% 5.32% 10/2003 15246.59108 15119.23334 2003-11-30 2003-12-31 6.14% 5.23% 11/2003 16035.64672 15923.77981 2003-12-31 2004-01-31 4.86% 5.03% 12/2003 17019.56102 16756.77447 2004-01-31 2004-02-29 3.26% 3.37% 01/2004 17846.79441 17599.60146 2004-02-29 2004-03-31 -2.08% -3.45% 02/2004 18428.92161 18193.34286 2004-03-31 2004-04-30 -1.19% -1.57% 03/2004 18045.94318 17565.51607 2004-04-30 2004-05-31 1.03% 0.32% 04/2004 17831.47527 17288.89996 2004-05-31 2004-06-30 3.02% 3.57% 05/2004 18015.30491 17343.96099 2004-06-30 2004-07-31 -3.31% -4.02% 06/2004 18559.62698 17962.61095 2004-07-31 2004-08-31 0.60% 0.32% 07/2004 17945.0698 17240.78711 2004-08-31 2004-09-30 5.16% 5.58% 08/2004 18052.61731 17295.45485 2004-09-30 2004-10-31 3.74% 4.24% 09/2004 18984.26096 18259.67829 2004-10-31 2004-11-30 10.66% 11.10% 10/2004 19694.24145 19033.679 2004-11-30 2004-12-31 5.14% 5.00% 11/2004 21793.31421 21146.18703 2004-12-31 2005-01-31 1.42% 1.12% 12/2004 22912.62867 22203.35873 2005-01-31 2005-02-28 6.35% 7.01% 01/2005 23236.94047 22452.31322 2005-02-28 2005-03-31 -2.76% -2.55% 02/2005 24712.55916 24025.35429 2005-03-31 2005-04-30 -2.70% -2.94% 03/2005 24031.50438 23411.81715 2005-04-30 2005-05-31 0.21% 1.42% 04/2005 23382.88078 22723.02993 2005-05-31 2005-06-30 2.71% 3.20% 05/2005 23431.52754 23046.7101 2005-06-30 2005-07-31 6.17% 6.86% 06/2005 24066.17065 23784.26566 2005-07-31 2005-08-31 3.32% 2.84% 07/2005 25549.92507 25416.03849 2005-08-31 2005-09-30 2.53% 3.41% 08/2005 26397.78474 26137.73122 2005-09-30 2005-10-31 -4.95% -6.90% 09/2005 27066.33877 27030.24424 2005-10-31 2005-11-30 0.32% 1.28% 10/2005 25725.28754 25164.72424 2005-11-30 2005-12-31 5.12% 5.80% 11/2005 25807.05895 25485.65136 2005-12-31 2006-01-31 9.59% 11.16% 12/2005 27127.87536 26962.59783 2006-01-31 2006-02-28 2.82% 2.82% 01/2006 29729.67695 29971.15851 2006-02-28 2006-03-31 6.43% 6.46% 02/2006 30566.62012 30817.39404 2006-03-31 2006-04-30 6.88% 7.09% 03/2006 32531.61712 32808.37452 2006-04-30 2006-05-31 -4.87% -5.14% 04/2006 34769.53038 35133.1297 2006-05-31 2006-06-30 -1.85% -2.28% 05/2006 33077.44963 33327.25914 2006-06-30 2006-07-31 -0.28% -1.09% 06/2006 32464.39117 32567.81027 2006-07-31 2006-08-31 2.61% 2.35% 07/2006 32372.52815 32211.48678 2006-08-31 2006-09-30 1.30% 1.05% 08/2006 33217.66794 32969.36247 2006-09-30 2006-10-31 4.99% 5.34% 09/2006 33648.91069 33315.32925 2006-10-31 2006-11-30 6.89% 7.00% 10/2006 35327.66665 35095.89795 2006-11-30 2006-12-31 4.76% 4.72% 11/2006 37762.78519 37551.88191 2006-12-31 2007-01-31 4.61% 3.20% 12/2006 39559.39578 39323.27377 2007-01-31 2007-02-28 0.09% 0.43% 01/2007 41383.46014 40582.59809 2007-02-28 2007-03-31 5.83% 5.32% 02/2007 41421.46148 40756.26296 2007-03-31 2007-04-30 5.24% 6.05% 03/2007 43834.54661 42923.45286 2007-04-30 2007-05-31 1.89% 1.74% 04/2007 46133.62774 45521.16427 2007-05-31 2007-06-30 -1.12% -0.96% 05/2007 47007.65858 46314.80908 2007-06-30 2007-07-31 -0.58% -0.73% 06/2007 46481.20983 45872.16695 2007-07-31 2007-08-31 -3.61% -4.53% 07/2007 46212.97532 45536.38588 2007-08-31 2007-09-30 2.20% 1.99% 08/2007 44546.08939 43475.46067 2007-09-30 2007-10-31 4.82% 5.98% 09/2007 45525.12436 44340.52536 2007-10-31 2007-11-30 -7.42% -7.15% 10/2007 47719.5701 46993.8839 2007-11-30 2007-12-31 -1.99% -2.03% 11/2007 44177.65768 43631.74618 2007-12-31 2008-01-31 -9.54% -12.04% 12/2007 43296.76564 42747.93808 2008-01-31 2008-02-29 4.27% 6.05% 01/2008 39166.54835 37600.02267 2008-02-29 2008-03-31 3.15% 2.03% 02/2008 40838.78266 39875.47704 2008-03-31 2008-04-30 1.15% 1.71% 03/2008 42125.19475 40686.35254 2008-04-30 2008-05-31 1.89% 1.55% 04/2008 42608.92904 41381.35231 2008-05-31 2008-06-30 -8.46% -9.24% 05/2008 43415.15286 42024.81106 2008-06-30 2008-07-31 -5.31% -5.68% 06/2008 39740.17505 38141.055 2008-07-31 2008-08-31 -2.78% -2.73% 07/2008 37630.25854 35975.57986 2008-08-31 2008-09-30 -17.43% -20.70% 08/2008 36585.5426 34993.1562 2008-09-30 2008-10-31 -26.71% -28.14% 09/2008 30207.63165 27748.03106 2008-10-31 2008-11-30 -7.83% -8.29% 10/2008 22139.88303 19940.70552 2008-11-30 2008-12-31 10.42% 9.24% 11/2008 20406.65827 18287.65983 2008-12-31 2009-01-31 -11.37% -8.98% 12/2008 22533.64314 19977.57567 2009-01-31 2009-02-28 -8.69% -8.80% 01/2009 19972.53247 18183.55312 2009-02-28 2009-03-31 7.18% 7.73% 02/2009 18237.58652 16582.57441 2009-03-31 2009-04-30 16.28% 20.82% 03/2009 19547.89437 17864.77253 2009-04-30 2009-05-31 14.55% 14.93% 04/2009 22730.10974 21583.40132 2009-05-31 2009-06-30 -1.29% -1.28% 05/2009 26036.30752 24805.40199 2009-06-30 2009-07-31 7.93% 8.98% 06/2009 25700.3939 24487.43905 2009-07-31 2009-08-31 8.33% 10.26% 07/2009 27738.77347 26685.87974 2009-08-31 2009-09-30 8.53% 9.58% 08/2009 30050.33792 29424.58439 2009-09-30 2009-10-31 -2.85% -2.73% 09/2009 32614.96231 32244.66525 2009-10-31 2009-11-30 3.00% 2.06% 10/2009 31686.72276 31364.64914 2009-11-30 2009-12-31 -0.35% 0.45% 11/2009 32636.05867 32009.47746 2009-12-31 2010-01-31 -1.69% -1.33% 12/2009 32522.67922 32153.78839 2010-01-31 2010-02-28 -2.12% -2.85% 01/2010 31972.16512 31725.0131 2010-02-28 2010-03-31 7.37% 8.11% 02/2010 31294.60931 30821.97022 2010-03-31 2010-04-30 -0.95% -0.63% 03/2010 33602.5338 33321.86211 2010-04-30 2010-05-31 -14.25% -15.47% 04/2010 33284.92951 33111.4966 2010-05-31 2010-06-30 -0.70% -1.49% 05/2010 28542.03878 27989.11207 2010-06-30 2010-07-31 11.98% 11.98% 06/2010 28341.0236 27570.69336 2010-07-31 2010-08-31 -4.60% -4.75% 07/2010 31735.93015 30874.03721 2010-08-31 2010-09-30 13.82% 15.43% 08/2010 30274.83113 29406.79431 2010-09-30 2010-10-31 5.61% 6.42% 09/2010 34457.43487 33944.46414 2010-10-31 2010-11-30 -7.80% -7.58% 10/2010 36392.03819 36122.0978 2010-11-30 2010-12-31 12.99% 14.00% 11/2010 33554.61997 33385.52507 2010-12-31 2011-01-31 2.79% 2.26% 12/2010 37912.48199 38059.63329 2011-01-31 2011-02-28 1.66% 1.70% 01/2011 38971.61062 38920.23437 2011-02-28 2011-03-31 3.38% 3.37% 02/2011 39620.05672 39580.17969 2011-03-31 2011-04-30 6.70% 6.99% 03/2011 40960.17866 40915.82839 2011-04-30 2011-05-31 -3.41% -3.81% 04/2011 43705.26715 43773.90829 2011-05-31 2011-06-30 -3.25% -3.23% 05/2011 42213.84111 42104.23024 2011-06-30 2011-07-31 -5.69% -6.07% 06/2011 40842.0281 40744.73056 2011-07-31 2011-08-31 -10.25% -10.45% 07/2011 38516.97171 38271.79312 2011-08-31 2011-09-30 -15.15% -15.02% 08/2011 34568.76276 34273.42512 2011-09-30 2011-10-31 10.31% 10.96% 09/2011 29331.23693 29124.54759 2011-10-31 2011-11-30 -6.68% -7.81% 10/2011 32354.84826 32316.29841 2011-11-30 2011-12-31 -3.91% -3.40% 11/2011 30191.973 29790.89992 2011-12-31 2012-01-31 9.47% 9.92% 12/2011 29011.83514 28778.2188 2012-01-31 2012-02-29 6.35% 7.67% 01/2012 31757.99358 31632.41729 2012-02-29 2012-03-31 0.20% -0.81% 02/2012 33773.31953 34060.10035 2012-03-31 2012-04-30 -2.36% -1.67% 03/2012 33839.91954 33784.16926 2012-04-30 2012-05-31 -13.68% -13.71% 04/2012 33042.12183 33220.96598 2012-05-31 2012-06-30 4.30% 4.93% 05/2012 28521.26813 28665.408 2012-06-30 2012-07-31 -0.99% -0.36% 06/2012 29746.85042 30077.80583 2012-07-31 2012-08-31 4.46% 4.36% 07/2012 29452.32715 29970.97203 2012-08-31 2012-09-30 5.26% 5.38% 08/2012 30766.35404 31277.87995 2012-09-30 2012-10-31 1.75% 1.72% 09/2012 32384.95122 32961.53496 10/31/2012 32952.70984 33529.17158
One Year Five Years Ten Years -------- ---------- --------- 1.85% -7.14% 12.66% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. DFA International Real Estate Securities Portfolio vs. S&P Global ex US REIT Index (net div.) March 1, 2007 - October 31, 2012
DFA International Real Estate S&P Global ex US BeginDate EndDate FundReturns Benchmark0Returns EndDate Securities Portfolio REIT Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------------- --------------------- 2007-03-01 2007-03-31 4.80% 3.43% 03/2007 10000 10000 2007-03-31 2007-04-30 0.86% 1.44% 03/2007 10480 10343.27182 2007-04-30 2007-05-31 1.99% 1.48% 04/2007 10570 10491.71529 2007-05-31 2007-06-30 -6.67% -6.12% 05/2007 10780 10646.63491 2007-06-30 2007-07-31 -5.99% -4.83% 06/2007 10061.01755 9995.032835 2007-07-31 2007-08-31 2.34% 1.57% 07/2007 9458.561405 9512.547111 2007-08-31 2007-09-30 4.66% 5.04% 08/2007 9679.461991 9662.108035 2007-09-30 2007-10-31 0.80% 0.98% 09/2007 10130.21217 10149.19055 2007-10-31 2007-11-30 -7.33% -7.96% 10/2007 10211.17291 10249.07561 2007-11-30 2007-12-31 -4.94% -3.95% 11/2007 9462.286097 9432.928586 2007-12-31 2008-01-31 -4.08% -5.87% 12/2007 8994.757351 9060.715155 2008-01-31 2008-02-29 -0.49% 1.24% 01/2008 8627.410202 8529.163087 2008-02-29 2008-03-31 0.24% -0.96% 02/2008 8585.42767 8635.041758 2008-03-31 2008-04-30 0.61% 1.77% 03/2008 8606.073165 8552.223253 2008-04-30 2008-05-31 -3.77% -4.09% 04/2008 8658.741912 8703.485753 2008-05-31 2008-06-30 -10.59% -10.10% 05/2008 8332.195683 8347.70396 2008-06-30 2008-07-31 -3.15% -2.71% 06/2008 7449.797292 7504.992029 2008-07-31 2008-08-31 -3.40% -2.92% 07/2008 7214.989929 7301.260032 2008-08-31 2008-09-30 -7.35% -10.16% 08/2008 6969.509501 7087.953495 2008-09-30 2008-10-31 -30.91% -28.75% 09/2008 6457.202524 6367.958219 2008-10-31 2008-11-30 -6.94% -6.69% 10/2008 4461.339926 4537.392452 2008-11-30 2008-12-31 4.16% 3.05% 11/2008 4151.821128 4233.75 2008-12-31 2009-01-31 -10.43% -9.53% 12/2008 4324.566724 4362.993596 2009-01-31 2009-02-28 -13.35% -13.02% 01/2009 3873.403275 3947.402672 2009-02-28 2009-03-31 6.89% 5.90% 02/2009 3356.215906 3433.414816 2009-03-31 2009-04-30 10.12% 11.45% 03/2009 3587.299624 3636.039527 2009-04-30 2009-05-31 13.37% 11.12% 04/2009 3950.431182 4052.542435 2009-05-31 2009-06-30 2.21% 2.37% 05/2009 4478.622538 4503.143502 2009-06-30 2009-07-31 8.89% 8.94% 06/2009 4577.658417 4609.943595 2009-07-31 2009-08-31 11.04% 12.18% 07/2009 4984.805921 5022.019097 2009-08-31 2009-09-30 6.36% 6.79% 08/2009 5535.00525 5633.816682 2009-09-30 2009-10-31 -2.06% -1.58% 09/2009 5887.132821 6016.632 2009-10-31 2009-11-30 1.15% 0.07% 10/2009 5766.088969 5921.551199 2009-11-30 2009-12-31 1.60% 1.72% 11/2009 5832.112889 5925.690117 2009-12-31 2010-01-31 -3.73% -3.25% 12/2009 5925.173157 6027.380187 2010-01-31 2010-02-28 0.43% -0.38% 01/2010 5703.901131 5831.46623 2010-02-28 2010-03-31 3.43% 3.48% 02/2010 5728.486912 5809.069866 2010-03-31 2010-04-30 0.83% 1.17% 03/2010 5925.173158 6011.152528 2010-04-30 2010-05-31 -10.49% -10.98% 04/2010 5974.344721 6081.700689 2010-05-31 2010-06-30 0.23% 0.39% 05/2010 5347.407312 5413.772495 2010-06-30 2010-07-31 11.70% 10.89% 06/2010 5359.700203 5434.678068 2010-07-31 2010-08-31 0.21% 0.29% 07/2010 5986.637612 6026.398411 2010-08-31 2010-09-30 9.63% 9.59% 08/2010 5998.930502 6043.942257 2010-09-30 2010-10-31 4.30% 4.09% 09/2010 6576.69635 6623.547569 2010-10-31 2010-11-30 -6.27% -6.14% 10/2010 6859.432829 6894.463204 2010-11-30 2010-12-31 8.84% 8.89% 11/2010 6429.181666 6471.120421 2010-12-31 2011-01-31 0.40% -0.02% 12/2010 6997.235115 7046.482953 2011-01-31 2011-02-28 4.17% 4.03% 01/2011 7025.112546 7045.186568 2011-02-28 2011-03-31 0.19% 0.25% 02/2011 7317.825569 7329.355956 2011-03-31 2011-04-30 6.27% 6.21% 03/2011 7331.764284 7347.92639 2011-04-30 2011-05-31 -0.54% -0.55% 04/2011 7791.741893 7804.14478 2011-05-31 2011-06-30 -0.72% -0.98% 05/2011 7749.925748 7760.854089 2011-06-30 2011-07-31 -1.63% -1.44% 06/2011 7694.170885 7685.015219 2011-07-31 2011-08-31 -4.05% -4.14% 07/2011 7568.722446 7574.711428 2011-08-31 2011-09-30 -12.86% -12.32% 08/2011 7262.070709 7261.428915 2011-09-30 2011-10-31 7.93% 8.20% 09/2011 6328.176779 6367.000016 2011-10-31 2011-11-30 -2.04% -4.12% 10/2011 6829.970531 6889.281131 2011-11-30 2011-12-31 -3.52% -2.51% 11/2011 6690.583378 6605.679049 2011-12-31 2012-01-31 6.85% 6.48% 12/2011 6454.829161 6439.872824 2012-01-31 2012-02-29 3.42% 4.02% 01/2012 6896.940748 6857.089596 2012-02-29 2012-03-31 1.24% 0.38% 02/2012 7132.733593 7132.597052 2012-03-31 2012-04-30 2.04% 2.40% 03/2012 7221.15591 7159.344852 2012-04-30 2012-05-31 -5.80% -6.52% 04/2012 7368.526439 7331.359588 2012-05-31 2012-06-30 6.58% 6.84% 05/2012 6941.151906 6853.460017 2012-06-30 2012-07-31 4.58% 5.43% 06/2012 7398.000546 7322.026425 2012-07-31 2012-08-31 1.52% 0.94% 07/2012 7736.952761 7719.405494 2012-08-31 2012-09-30 2.25% 2.67% 08/2012 7854.849184 7791.951809 2012-09-30 2012-10-31 4.04% 3.68% 09/2012 8031.69382 7999.77718 10/31/2012 8355.908984 8294.554257
One Year Five Years From 03/01/2007 -------- ---------- --------------- 22.34% -3.93% -3.12% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. DFA Global Real Estate Securities Portfolio vs. S&P Global REIT Index (net div.) June 4, 2008 - October 31, 2012
DFA Global S&P Global REIT BeginDate EndDate FundReturns Benchmark0Returns EndDate Real Estate Securities Portfolio Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------------------- ---------------- 2008-06-04 2008-06-30 -10.00% -10.30% 06/2008 10000 10000 2008-06-30 2008-07-31 0.22% 0.27% 06/2008 9000 8970.16008 2008-07-31 2008-08-31 -0.22% -0.17% 07/2008 9020 8994.617996 2008-08-31 2008-09-30 -3.22% -4.76% 08/2008 9000.000001 8979.202338 2008-09-30 2008-10-31 -30.65% -30.56% 09/2008 8709.999998 8552.065137 2008-10-31 2008-11-30 -16.56% -16.57% 10/2008 6039.999999 5938.93191 2008-11-30 2008-12-31 11.74% 10.30% 11/2008 5039.999999 4954.839345 2008-12-31 2009-01-31 -14.47% -14.04% 12/2008 5631.592804 5465.268898 2009-01-31 2009-02-28 -17.34% -17.26% 01/2009 4816.895834 4697.672714 2009-02-28 2009-03-31 5.12% 4.72% 02/2009 3981.831441 3886.936588 2009-03-31 2009-04-30 20.68% 20.90% 03/2009 4185.505683 4070.43606 2009-04-30 2009-05-31 7.66% 6.37% 04/2009 5051.121214 4921.278726 2009-05-31 2009-06-30 -0.56% -0.51% 05/2009 5438.102273 5234.902563 2009-06-30 2009-07-31 9.79% 9.74% 06/2009 5407.551138 5208.161978 2009-07-31 2009-08-31 12.35% 13.03% 07/2009 5937.104168 5715.596453 2009-08-31 2009-09-30 6.56% 6.64% 08/2009 6670.33144 6460.227522 2009-09-30 2009-10-31 -3.30% -3.13% 09/2009 7108.231062 6888.887147 2009-10-31 2009-11-30 4.15% 3.35% 10/2009 6874.005684 6673.052512 2009-11-30 2009-12-31 4.36% 4.38% 11/2009 7159.149623 6896.880445 2009-12-31 2010-01-31 -4.53% -4.37% 12/2009 7471.244084 7198.878092 2010-01-31 2010-02-28 3.21% 2.63% 01/2010 7133.129388 6884.343501 2010-02-28 2010-03-31 6.96% 6.95% 02/2010 7362.174828 7065.680397 2010-03-31 2010-04-30 4.16% 4.36% 03/2010 7874.800332 7556.929558 2010-04-30 2010-05-31 -7.45% -7.82% 04/2010 8202.008102 7886.770518 2010-05-31 2010-06-30 -2.87% -2.96% 05/2010 7591.220265 7269.795161 2010-06-30 2010-07-31 10.65% 10.17% 06/2010 7373.081751 7054.408182 2010-07-31 2010-08-31 -0.53% -0.64% 07/2010 8158.380397 7771.860493 2010-08-31 2010-09-30 6.59% 6.58% 08/2010 8114.752693 7722.44567 2010-09-30 2010-10-31 4.41% 4.43% 09/2010 8649.19205 8230.819452 2010-10-31 2010-11-30 -3.86% -3.85% 10/2010 9030.934449 8595.326764 2010-11-30 2010-12-31 6.53% 6.35% 11/2010 8681.912829 8264.420094 2010-12-31 2011-01-31 2.15% 1.80% 12/2010 9248.981237 8788.835512 2011-01-31 2011-02-28 4.33% 4.32% 01/2011 9447.507351 8947.220621 2011-02-28 2011-03-31 -0.71% -0.82% 02/2011 9856.237583 9333.786833 2011-03-31 2011-04-30 5.97% 5.91% 03/2011 9786.169542 9257.528121 2011-04-30 2011-05-31 0.56% 0.49% 04/2011 10370.06987 9804.232076 2011-05-31 2011-06-30 -2.24% -2.39% 05/2011 10428.4599 9852.533063 2011-06-30 2011-07-31 0.23% 0.31% 06/2011 10194.89977 9617.216142 2011-07-31 2011-08-31 -4.80% -5.12% 07/2011 10218.25579 9646.76484 2011-08-31 2011-09-30 -11.76% -11.58% 08/2011 9727.77951 9152.79548 2011-09-30 2011-10-31 11.70% 11.84% 09/2011 8583.334861 8093.322045 2011-10-31 2011-11-30 -3.05% -3.97% 10/2011 9587.643429 9051.923334 2011-11-30 2011-12-31 1.30% 1.72% 11/2011 9295.693265 8692.952504 2011-12-31 2012-01-31 6.40% 6.44% 12/2011 9416.755791 8842.563223 2012-01-31 2012-02-29 0.72% 0.81% 01/2012 10019.62108 9412.152305 2012-02-29 2012-03-31 3.58% 3.19% 02/2012 10091.96491 9488.739703 2012-03-31 2012-04-30 2.54% 2.69% 03/2012 10453.68409 9791.430141 2012-04-30 2012-05-31 -5.06% -5.34% 04/2012 10718.94481 10054.95509 2012-05-31 2012-06-30 6.04% 6.00% 05/2012 10176.36606 9518.194729 2012-06-30 2012-07-31 2.91% 3.21% 06/2012 10791.28865 10089.60469 2012-07-31 2012-08-31 0.43% 0.33% 07/2012 11104.7786 10413.17889 2012-08-31 2012-09-30 -0.32% -0.23% 08/2012 11153.00782 10447.58394 2012-09-30 2012-10-31 1.19% 0.92% 09/2012 11116.8359 10423.83382 10/31/2012 11249.46627 10519.92204
One Year From 06/04/2008 -------- --------------- 17.33% 2.71% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS DFA International Small Cap Value Portfolio vs. MSCI World ex USA Small Cap Index (net div.) October 31, 2002 - October 31, 2012
DFA International MSCI World ex USA BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Value Portfolio Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------------- -------------------------- 2002-10-31 2002-11-30 2.20% 2.80% 10/2002 10000 10000 2002-11-30 2002-12-31 1.23% -1.63% 11/2002 10220.38567 10280.36127 2002-12-31 2003-01-31 0.27% -1.08% 12/2002 10345.87623 10112.68225 2003-01-31 2003-02-28 0.54% -0.73% 01/2003 10373.99002 10003.91088 2003-02-28 2003-03-31 -0.94% -0.97% 02/2003 10430.21761 9930.581866 2003-03-31 2003-04-30 9.52% 9.17% 03/2003 10331.81933 9834.520856 2003-04-30 2003-05-31 10.06% 8.84% 04/2003 11315.80213 10735.97888 2003-05-31 2003-06-30 5.64% 5.21% 05/2003 12454.41079 11685.10077 2003-06-30 2003-07-31 4.06% 3.02% 06/2003 13157.25564 12294.46488 2003-07-31 2003-08-31 5.54% 6.58% 07/2003 13691.41773 12665.5097 2003-08-31 2003-09-30 5.64% 5.72% 08/2003 14450.49017 13499.13838 2003-09-30 2003-10-31 5.71% 7.97% 09/2003 15265.7902 14270.80405 2003-10-31 2003-11-30 0.44% 0.09% 10/2003 16137.31782 15408.62594 2003-11-30 2003-12-31 6.27% 6.10% 11/2003 16207.60231 15422.1918 2003-12-31 2004-01-31 6.10% 4.30% 12/2003 17223.89293 16363.49193 2004-01-31 2004-02-29 3.07% 3.03% 01/2004 18274.30578 17067.32826 2004-02-29 2004-03-31 4.20% 3.85% 02/2004 18835.48525 17584.05338 2004-03-31 2004-04-30 -3.52% -3.57% 03/2004 19626.8922 18261.7357 2004-04-30 2004-05-31 -0.99% -1.08% 04/2004 18936.20977 17609.59632 2004-05-31 2004-06-30 4.55% 5.05% 05/2004 18749.14995 17419.67417 2004-06-30 2004-07-31 -3.48% -4.41% 06/2004 19602.0768 18299.37792 2004-07-31 2004-08-31 1.23% 0.52% 07/2004 18920.13926 17492.39211 2004-08-31 2004-09-30 2.66% 2.74% 08/2004 19152.28821 17583.07566 2004-09-30 2004-10-31 3.26% 3.70% 09/2004 19661.20496 18064.114 2004-10-31 2004-11-30 8.75% 8.00% 10/2004 20302.0146 18732.50797 2004-11-30 2004-12-31 5.16% 4.66% 11/2004 22078.80498 20230.49754 2004-12-31 2005-01-31 2.79% 1.54% 12/2004 23218.50509 21173.63089 2005-01-31 2005-02-28 4.74% 4.25% 01/2005 23866.814 21499.82279 2005-02-28 2005-03-31 -0.94% -1.63% 02/2005 24997.58535 22413.3801 2005-03-31 2005-04-30 -1.95% -2.82% 03/2005 24762.08069 22048.44603 2005-04-30 2005-05-31 -1.49% 0.24% 04/2005 24279.50664 21427.47149 2005-05-31 2005-06-30 2.35% 2.65% 05/2005 23917.57611 21477.9463 2005-06-30 2005-07-31 3.80% 4.34% 06/2005 24479.11656 22047.59053 2005-07-31 2005-08-31 3.90% 3.07% 07/2005 25409.4755 23005.5119 2005-08-31 2005-09-30 2.34% 4.05% 08/2005 26400.84159 23711.5481 2005-09-30 2005-10-31 -2.32% -3.64% 09/2005 27017.81428 24672.76927 2005-10-31 2005-11-30 1.86% 3.33% 10/2005 26390.56038 23773.87776 2005-11-30 2005-12-31 6.44% 7.77% 11/2005 26880.1244 24566.4422 2005-12-31 2006-01-31 7.33% 7.13% 12/2005 28611.84883 26476.05196 2006-01-31 2006-02-28 0.21% -1.26% 01/2006 30708.54575 28363.54081 2006-02-28 2006-03-31 4.77% 4.70% 02/2006 30773.0595 28007.52844 2006-03-31 2006-04-30 4.15% 4.65% 03/2006 32240.74735 29324.27312 2006-04-30 2006-05-31 -4.80% -5.53% 04/2006 33579.4077 30689.17052 2006-05-31 2006-06-30 -1.86% -2.44% 05/2006 31966.56392 28993.19262 2006-06-30 2006-07-31 -0.36% -2.44% 06/2006 31371.49468 28287.15642 2006-07-31 2006-08-31 2.55% 2.92% 07/2006 31257.71206 27596.27488 2006-08-31 2006-09-30 0.95% -0.27% 08/2006 32054.19042 28403.13848 2006-09-30 2006-10-31 4.39% 3.97% 09/2006 32358.39765 28326.75409 2006-10-31 2006-11-30 4.83% 4.30% 10/2006 33777.33948 29451.37675 2006-11-30 2006-12-31 3.75% 2.96% 11/2006 35408.3071 30718.13549 2006-12-31 2007-01-31 2.67% 2.04% 12/2006 36736.01328 31627.53749 2007-01-31 2007-02-28 1.81% 1.75% 01/2007 37715.17404 32272.7106 2007-02-28 2007-03-31 4.35% 3.31% 02/2007 38397.08958 32838.96678 2007-03-31 2007-04-30 2.97% 3.86% 03/2007 40065.44585 33927.45354 2007-04-30 2007-05-31 1.91% 1.48% 04/2007 41254.64284 35235.68238 2007-05-31 2007-06-30 -0.42% -0.22% 05/2007 42041.61144 35756.40447 2007-06-30 2007-07-31 -0.25% -0.62% 06/2007 41864.28685 35678.49384 2007-07-31 2007-08-31 -4.10% -5.27% 07/2007 41758.34601 35458.88265 2007-08-31 2007-09-30 2.08% 2.26% 08/2007 40045.63584 33588.85261 2007-09-30 2007-10-31 3.94% 6.75% 09/2007 40878.91553 34347.37477 2007-10-31 2007-11-30 -8.12% -8.22% 10/2007 42489.99449 36666.45619 2007-11-30 2007-12-31 -3.12% -2.93% 11/2007 39037.68244 33651.89447 2007-12-31 2008-01-31 -6.60% -9.69% 12/2007 37818.16915 32665.84943 2008-01-31 2008-02-29 2.19% 4.75% 01/2008 35324.0261 29499.34371 2008-02-29 2008-03-31 0.93% -1.10% 02/2008 36097.40379 30900.25113 2008-03-31 2008-04-30 1.70% 2.43% 03/2008 36432.92044 30559.07123 2008-04-30 2008-05-31 2.20% 2.02% 04/2008 37052.72557 31302.66056 2008-05-31 2008-06-30 -8.74% -7.72% 05/2008 37866.21982 31934.98609 2008-06-30 2008-07-31 -4.44% -5.04% 06/2008 34558.3639 29469.08612 2008-07-31 2008-08-31 -3.22% -3.70% 07/2008 33022.43662 27983.11507 2008-08-31 2008-09-30 -14.39% -17.59% 08/2008 31959.10235 26948.38903 2008-09-30 2008-10-31 -21.76% -24.69% 09/2008 27359.58617 22208.12594 2008-10-31 2008-11-30 -5.55% -4.85% 10/2008 21404.96908 16725.9932 2008-11-30 2008-12-31 9.09% 6.67% 11/2008 20218.00222 15915.4982 2008-12-31 2009-01-31 -8.43% -5.81% 12/2008 22056.30379 16976.82197 2009-01-31 2009-02-28 -10.99% -9.13% 01/2009 20196.61544 15990.85442 2009-02-28 2009-03-31 6.52% 6.42% 02/2009 17976.98741 14530.25847 2009-03-31 2009-04-30 16.21% 15.42% 03/2009 19149.83234 15463.34586 2009-04-30 2009-05-31 13.77% 14.80% 04/2009 22254.66917 17847.05291 2009-05-31 2009-06-30 -0.33% 1.20% 05/2009 25319.4436 20488.08275 2009-06-30 2009-07-31 9.31% 8.04% 06/2009 25235.54408 20734.19195 2009-07-31 2009-08-31 8.66% 7.71% 07/2009 27584.92058 22400.38324 2009-08-31 2009-09-30 4.71% 5.62% 08/2009 29974.80356 24126.94183 2009-09-30 2009-10-31 -3.56% -1.54% 09/2009 31387.09855 25482.95277 2009-10-31 2009-11-30 0.47% 0.78% 10/2009 30271.203 25089.83656 2009-11-30 2009-12-31 1.17% 1.26% 11/2009 30413.22607 25285.39782 2009-12-31 2010-01-31 -1.92% -1.32% 12/2009 30770.32764 25605.13818 2010-01-31 2010-02-28 -0.95% -0.57% 01/2010 30178.98271 25267.75281 2010-02-28 2010-03-31 8.12% 7.43% 02/2010 29893.50584 25123.10577 2010-03-31 2010-04-30 1.26% 1.98% 03/2010 32320.05917 26990.81055 2010-04-30 2010-05-31 -13.46% -12.02% 04/2010 32727.88326 27524.18506 2010-05-31 2010-06-30 -2.01% -0.94% 05/2010 28323.38308 24217.06723 2010-06-30 2010-07-31 9.73% 8.58% 06/2010 27754.01313 23989.84633 2010-07-31 2010-08-31 -4.67% -2.60% 07/2010 30453.17847 26047.28284 2010-08-31 2010-09-30 11.23% 11.35% 08/2010 29031.4807 25370.52793 2010-09-30 2010-10-31 3.13% 4.12% 09/2010 32291.35236 28249.16302 2010-10-31 2010-11-30 -2.85% -2.62% 10/2010 33301.10109 29413.47921 2010-11-30 2010-12-31 12.32% 11.31% 11/2010 32353.1737 28642.44678 2010-12-31 2011-01-31 2.09% 0.52% 12/2010 36340.06099 31880.68407 2011-01-31 2011-02-28 2.90% 2.84% 01/2011 37100.66693 32047.93572 2011-02-28 2011-03-31 0.50% -0.09% 02/2011 38178.19199 32959.15007 2011-03-31 2011-04-30 4.30% 4.96% 03/2011 38368.34347 32928.70757 2011-04-30 2011-05-31 -3.43% -2.77% 04/2011 40016.32298 34561.32949 2011-05-31 2011-06-30 -2.18% -2.16% 05/2011 38643.00672 33604.25511 2011-06-30 2011-07-31 -1.92% -0.55% 06/2011 37800.09835 32877.18471 2011-07-31 2011-08-31 -9.51% -7.90% 07/2011 37073.58431 32697.80079 2011-08-31 2011-09-30 -11.80% -11.48% 08/2011 33547.8544 30114.81104 2011-09-30 2011-10-31 7.61% 8.12% 09/2011 29589.60546 26657.38383 2011-10-31 2011-11-30 -3.23% -5.02% 10/2011 31840.98849 28821.61096 2011-11-30 2011-12-31 -2.66% -1.95% 11/2011 30811.78482 27373.73844 2011-12-31 2012-01-31 10.01% 8.26% 12/2011 29993.36925 26841.00507 2012-01-31 2012-02-29 5.96% 5.66% 01/2012 32997.12346 29057.81172 2012-02-29 2012-03-31 0.13% -0.66% 02/2012 34962.81555 30703.77339 2012-03-31 2012-04-30 -2.78% -0.52% 03/2012 35006.98841 30500.40725 2012-04-30 2012-05-31 -12.72% -11.75% 04/2012 34035.18558 30341.79301 2012-05-31 2012-06-30 4.93% 3.45% 05/2012 29706.2457 26776.21775 2012-06-30 2012-07-31 -0.29% 0.77% 06/2012 31171.05716 27700.1125 2012-07-31 2012-08-31 3.67% 2.87% 07/2012 31081.48516 27914.05878 2012-08-31 2012-09-30 4.67% 4.74% 08/2012 32223.52821 28715.67731 2012-09-30 2012-10-31 0.93% 0.49% 09/2012 33729.92979 30076.12527 10/31/2012 34044.32328 30222.67959
One Year Five Years Ten Years -------- ---------- --------- 6.92% -4.33% 13.03% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. International Vector Equity Portfolio vs. MSCI World ex USA Index (net div.) August 14, 2008 - October 31, 2012
International Vector MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Equity Portfolio USA Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- -------------------- 2008-08-14 2008-08-31 0.50% 0.52% 08/2008 10000 10000 2008-08-31 2008-09-30 -12.94% -14.44% 08/2008 10050 10052.06939 2008-09-30 2008-10-31 -22.97% -20.80% 09/2008 8750.000002 8600.768752 2008-10-31 2008-11-30 -5.93% -5.42% 10/2008 6740.000001 6811.639984 2008-11-30 2008-12-31 7.22% 5.27% 11/2008 6340.000002 6442.245585 2008-12-31 2009-01-31 -10.78% -9.33% 12/2008 6797.589343 6781.851034 2009-01-31 2009-02-28 -11.09% -10.12% 01/2009 6064.61442 6149.056066 2009-02-28 2009-03-31 9.48% 6.59% 02/2009 5391.884013 5526.576248 2009-03-31 2009-04-30 17.21% 12.90% 03/2009 5902.989202 5890.752975 2009-04-30 2009-05-31 15.41% 12.65% 04/2009 6918.665368 6650.415967 2009-05-31 2009-06-30 -0.66% -1.04% 05/2009 7984.622531 7491.468867 2009-06-30 2009-07-31 9.87% 9.39% 06/2009 7931.868696 7413.892361 2009-07-31 2009-08-31 6.42% 4.79% 07/2009 8714.886503 8110.039659 2009-08-31 2009-09-30 5.03% 4.13% 08/2009 9274.184936 8498.716158 2009-09-30 2009-10-31 -3.46% -1.61% 09/2009 9740.444039 8849.359501 2009-10-31 2009-11-30 2.17% 2.47% 10/2009 9403.863248 8707.299651 2009-11-30 2009-12-31 1.12% 1.59% 11/2009 9607.851608 8922.740415 2009-12-31 2010-01-31 -3.48% -4.69% 12/2009 9715.325668 9064.978379 2010-01-31 2010-02-28 -0.22% -0.10% 01/2010 9377.490319 8640.06291 2010-02-28 2010-03-31 7.93% 6.44% 02/2010 9357.015448 8631.404207 2010-03-31 2010-04-30 0.20% -1.49% 03/2010 10099.39563 9187.037066 2010-04-30 2010-05-31 -12.35% -11.03% 04/2010 10119.88122 9050.055812 2010-05-31 2010-06-30 -1.51% -1.45% 05/2010 8870.260261 8051.384335 2010-06-30 2010-07-31 10.56% 9.24% 06/2010 8736.260406 7934.911348 2010-07-31 2010-08-31 -4.18% -2.99% 07/2010 9658.593948 8668.297762 2010-08-31 2010-09-30 11.18% 9.59% 08/2010 9254.425317 8409.204567 2010-09-30 2010-10-31 3.84% 3.56% 09/2010 10289.41938 9215.873596 2010-10-31 2010-11-30 -3.60% -4.23% 10/2010 10684.36679 9544.181032 2010-11-30 2010-12-31 10.65% 8.05% 11/2010 10299.81273 9139.990028 2010-12-31 2011-01-31 2.31% 2.15% 12/2010 11396.5556 9875.956309 2011-01-31 2011-02-28 3.34% 3.71% 01/2011 11659.87712 10088.70327 2011-02-28 2011-03-31 -1.40% -2.00% 02/2011 12049.59298 10462.78756 2011-03-31 2011-04-30 5.06% 5.45% 03/2011 11880.95555 10253.19172 2011-04-30 2011-05-31 -3.30% -2.96% 04/2011 12482.38935 10811.59736 2011-05-31 2011-06-30 -2.06% -1.42% 05/2011 12070.88201 10491.09449 2011-06-30 2011-07-31 -2.35% -1.65% 06/2011 11822.7466 10341.67887 2011-07-31 2011-08-31 -8.89% -8.45% 07/2011 11544.81585 10171.08399 2011-08-31 2011-09-30 -11.97% -10.04% 08/2011 10518.61 9311.188853 2011-09-30 2011-10-31 8.48% 9.73% 09/2011 9259.564258 8376.132319 2011-10-31 2011-11-30 -3.10% -4.62% 10/2011 10044.63765 9190.739787 2011-11-30 2011-12-31 -2.76% -1.09% 11/2011 9732.759178 8766.010708 2011-12-31 2012-01-31 8.18% 5.40% 12/2011 9464.12349 8670.35826 2012-01-31 2012-02-29 5.29% 5.50% 01/2012 10238.05882 9138.473251 2012-02-29 2012-03-31 0.00% -0.74% 02/2012 10779.81355 9640.89324 2012-03-31 2012-04-30 -2.46% -1.70% 03/2012 10779.8706 9569.537587 2012-04-30 2012-05-31 -12.32% -11.40% 04/2012 10514.24751 9407.114841 2012-05-31 2012-06-30 5.70% 6.55% 05/2012 9219.334921 8334.662277 2012-06-30 2012-07-31 -0.46% 1.25% 06/2012 9745.079301 8880.777458 2012-07-31 2012-08-31 3.48% 2.85% 07/2012 9700.067389 8991.355876 2012-08-31 2012-09-30 3.96% 3.04% 08/2012 10037.65674 9247.890447 2012-09-30 2012-10-31 0.97% 0.70% 09/2012 10435.29317 9528.671005 10/31/2012 10536.93564 9595.444724
One Year From 08/14/2008 -------- --------------- 4.90% 1.25% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. World Ex U.S. Value Portfolio vs. MSCI All Country World ex USA Index (net div.) August 23, 2010 - October 31, 2012
World Ex U.S. MSCI All Country BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Portfolio World ex USA Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------- ----------------------------- 2010-08-23 2010-08-31 -1.10% -0.80% 08/2010 10000 10000 2010-08-31 2010-09-30 11.02% 9.95% 08/2010 9890 9919.63902 2010-09-30 2010-10-31 3.37% 3.41% 09/2010 10980 10906.45191 2010-10-31 2010-11-30 -4.41% -3.86% 10/2010 11350 11277.9668 2010-11-30 2010-12-31 9.30% 7.83% 11/2010 10850 10842.76388 2010-12-31 2011-01-31 2.22% 0.98% 12/2010 11859.03339 11691.82335 2011-01-31 2011-02-28 2.17% 2.63% 01/2011 12122.11775 11806.89963 2011-02-28 2011-03-31 -0.60% -0.23% 02/2011 12385.2021 12117.90216 2011-03-31 2011-04-30 4.77% 4.89% 03/2011 12311.32196 12090.03991 2011-04-30 2011-05-31 -3.61% -2.88% 04/2011 12899.02293 12680.68759 2011-05-31 2011-06-30 -1.57% -1.45% 05/2011 12432.91527 12315.00308 2011-06-30 2011-07-31 -2.60% -1.36% 06/2011 12237.65652 12136.31095 2011-07-31 2011-08-31 -10.49% -8.57% 07/2011 11919.92842 11970.71607 2011-08-31 2011-09-30 -12.71% -11.13% 08/2011 10669.5146 10944.85409 2011-09-30 2011-10-31 10.18% 10.53% 09/2011 9313.529931 9727.230334 2011-10-31 2011-11-30 -3.71% -5.10% 10/2011 10261.36705 10751.94292 2011-11-30 2011-12-31 -2.94% -1.12% 11/2011 9880.171687 10203.25329 2011-12-31 2012-01-31 8.68% 6.78% 12/2011 9589.990747 10089.17208 2012-01-31 2012-02-29 5.39% 5.62% 01/2012 10422.09407 10773.674 2012-02-29 2012-03-31 -1.57% -1.38% 02/2012 10983.76381 11378.90666 2012-03-31 2012-04-30 -3.46% -1.58% 03/2012 10811.07453 11222.40248 2012-04-30 2012-05-31 -12.06% -11.36% 04/2012 10436.48484 11045.46269 2012-05-31 2012-06-30 6.30% 5.90% 05/2012 9177.447286 9791.158967 2012-06-30 2012-07-31 -0.54% 1.41% 06/2012 9755.419868 10368.62815 2012-07-31 2012-08-31 3.49% 2.09% 07/2012 9702.573605 10515.15608 2012-08-31 2012-09-30 4.32% 3.74% 08/2012 10040.78968 10735.02446 2012-09-30 2012-10-31 0.61% 0.39% 09/2012 10474.51887 11136.0532 10/31/2012 10538.12931 11179.33451
One Year From 08/23/2010 -------- --------------- 2.70% 2.42% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Selectively Hedged Global Equity Portfolio vs. MSCI All Country World Index (Net Div) November 14, 2011 - October 31, 2012
Selectively Hedged MSCI All Country BeginDate EndDate FundReturns Benchmark0Returns EndDate Global Equity Portfolio World Index (Net Div) --------- ---------- ----------- ----------------- ---------- ----------------------- --------------------- 2011-11-14 2011-11-30 -0.80% -1.27% 11/2011 10000 10000 2011-11-30 2011-12-31 -0.92% -0.20% 11/2011 9920 9873.3175 2011-12-31 2012-01-31 7.17% 5.81% 12/2011 9828.401674 9853.398339 2012-01-31 2012-02-29 5.16% 5.03% 01/2012 10533.30753 10426.3073 2012-02-29 2012-03-31 0.57% 0.66% 02/2012 11077.09205 10950.89422 2012-03-31 2012-04-30 -1.81% -1.14% 03/2012 11140.56114 11023.62419 2012-04-30 2012-05-31 -8.93% -8.97% 04/2012 10939.10434 10897.59352 2012-05-31 2012-06-30 4.82% 4.94% 05/2012 9962.038852 9920.511187 2012-06-30 2012-07-31 0.19% 1.37% 06/2012 10442.36564 10410.49989 2012-07-31 2012-08-31 2.72% 2.17% 07/2012 10462.72113 10552.99319 2012-08-31 2012-09-30 3.48% 3.15% 08/2012 10747.69797 10782.4894 2012-09-30 2012-10-31 -0.09% -0.67% 09/2012 11121.75467 11122.1116 10/31/2012 11111.53246 11047.92843
From 11/14/2011 --------------- 11.11% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Portfolio vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
MSCI Emerging Emerging Markets Markets Index BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio (net div.) --------- ---------- ----------- ----------------- ---------- ----------- ------------- 2002-10-31 2002-11-30 7.45% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.00% -3.33% 11/2002 10745.34162 10688.20463 2002-12-31 2003-01-31 -0.12% -0.44% 12/2002 10315.11682 10332.68124 2003-01-31 2003-02-28 -1.59% -2.81% 01/2003 10302.52205 10287.11002 2003-02-28 2003-03-31 -1.61% -2.86% 02/2003 10138.79004 9998.077641 2003-03-31 2003-04-30 13.38% 8.89% 03/2003 9975.058025 9712.550745 2003-04-30 2003-05-31 7.35% 7.15% 04/2003 11310.10367 10576.25547 2003-05-31 2003-06-30 3.84% 5.67% 05/2003 12141.35851 11332.42116 2003-06-30 2003-07-31 2.00% 6.22% 06/2003 12607.36501 11974.8284 2003-07-31 2003-08-31 4.51% 6.69% 07/2003 12859.26042 12719.45993 2003-08-31 2003-09-30 4.40% 0.73% 08/2003 13438.61985 13570.61278 2003-09-30 2003-10-31 7.63% 8.51% 09/2003 14030.57405 13669.44466 2003-10-31 2003-11-30 -1.00% 1.22% 10/2003 15101.12952 14832.47204 2003-11-30 2003-12-31 10.51% 7.24% 11/2003 14949.99228 15012.94766 2003-12-31 2004-01-31 1.85% 3.49% 12/2003 16521.50097 16099.9853 2004-01-31 2004-02-29 4.39% 4.59% 01/2004 16827.4547 16662.21886 2004-02-29 2004-03-31 0.65% 1.25% 02/2004 17566.84286 17426.29823 2004-03-31 2004-04-30 -6.34% -8.19% 03/2004 17681.5755 17644.0921 2004-04-30 2004-05-31 -1.23% -2.00% 04/2004 16559.74519 16199.38255 2004-05-31 2004-06-30 1.80% 0.43% 05/2004 16355.77604 15876.20003 2004-06-30 2004-07-31 -0.08% -1.83% 06/2004 16650.95828 15943.82184 2004-07-31 2004-08-31 2.78% 4.15% 07/2004 16638.10041 15651.96247 2004-08-31 2004-09-30 5.58% 5.77% 08/2004 17100.98419 16301.04143 2004-09-30 2004-10-31 2.79% 2.39% 09/2004 18055.80847 17241.52745 2004-10-31 2004-11-30 8.70% 9.26% 10/2004 18559.87184 17653.47774 2004-11-30 2004-12-31 6.40% 4.80% 11/2004 20175.45957 19287.7093 2004-12-31 2005-01-31 0.79% 0.25% 12/2004 21467.04118 20214.06032 2005-01-31 2005-02-28 7.46% 8.72% 01/2005 21636.17545 20265.39862 2005-02-28 2005-03-31 -6.88% -6.61% 02/2005 23249.45612 22033.51685 2005-03-31 2005-04-30 -2.41% -2.68% 03/2005 21650.40595 20577.38623 2005-04-30 2005-05-31 2.96% 3.48% 04/2005 21129.33722 20024.99063 2005-05-31 2005-06-30 2.97% 3.40% 05/2005 21754.6197 20722.01549 2005-06-30 2005-07-31 6.41% 6.99% 06/2005 22400.82669 21426.05132 2005-07-31 2005-08-31 0.61% 0.86% 07/2005 23836.27061 22923.68229 2005-08-31 2005-09-30 7.92% 9.31% 08/2005 23981.13192 23119.9891 2005-09-30 2005-10-31 -5.02% -6.54% 09/2005 25881.50169 25272.80535 2005-10-31 2005-11-30 7.22% 8.27% 10/2005 24582.78834 23620.93331 2005-11-30 2005-12-31 5.76% 5.91% 11/2005 26358.58006 25574.955 2005-12-31 2006-01-31 9.52% 11.17% 12/2005 27876.37477 27086.60788 2006-01-31 2006-02-28 -0.31% -0.12% 01/2006 30529.99122 30111.9491 2006-02-28 2006-03-31 1.36% 0.88% 02/2006 30436.17649 30076.21583 2006-03-31 2006-04-30 5.96% 7.12% 03/2006 30850.06928 30341.27525 2006-04-30 2006-05-31 -11.57% -10.48% 04/2006 32687.66036 32501.78094 2006-05-31 2006-06-30 -0.15% -0.24% 05/2006 28905.17361 29096.49107 2006-06-30 2006-07-31 1.83% 1.43% 06/2006 28860.37114 29025.36378 2006-07-31 2006-08-31 3.13% 2.55% 07/2006 29387.56293 29440.93262 2006-08-31 2006-09-30 1.35% 0.83% 08/2006 30306.76913 30191.10507 2006-09-30 2006-10-31 5.94% 4.75% 09/2006 30714.43419 30442.48182 2006-10-31 2006-11-30 6.37% 7.43% 10/2006 32540.40321 31887.98293 2006-11-30 2006-12-31 4.03% 4.50% 11/2006 34611.65166 34258.36502 2006-12-31 2007-01-31 1.45% -1.08% 12/2006 36006.71469 35800.88873 2007-01-31 2007-02-28 -1.58% -0.59% 01/2007 36530.1482 35415.39915 2007-02-28 2007-03-31 4.56% 3.98% 02/2007 35951.61644 35205.20002 2007-03-31 2007-04-30 6.34% 4.63% 03/2007 37590.03764 36607.13479 2007-04-30 2007-05-31 6.69% 4.95% 04/2007 39973.86335 38301.93602 2007-05-31 2007-06-30 1.63% 4.69% 05/2007 42647.05519 40199.01976 2007-06-30 2007-07-31 2.37% 5.28% 06/2007 43340.76112 42083.39264 2007-07-31 2007-08-31 -1.75% -2.13% 07/2007 44367.7276 44303.84785 2007-08-31 2007-09-30 8.81% 11.04% 08/2007 43590.56378 43362.3024 2007-09-30 2007-10-31 10.92% 11.15% 09/2007 47431.78844 48150.94986 2007-10-31 2007-11-30 -6.53% -7.09% 10/2007 52610.47988 53520.78318 2007-11-30 2007-12-31 -0.41% 0.35% 11/2007 49176.63056 49726.86787 2007-12-31 2008-01-31 -8.74% -12.48% 12/2007 48975.27654 49901.25085 2008-01-31 2008-02-29 3.17% 7.38% 01/2008 44695.59983 43673.8733 2008-02-29 2008-03-31 -3.12% -5.29% 02/2008 46112.42113 46897.54641 2008-03-31 2008-04-30 7.11% 8.12% 03/2008 44673.03969 44415.76252 2008-04-30 2008-05-31 0.58% 1.86% 04/2008 47848.2934 48020.26653 2008-05-31 2008-06-30 -10.29% -9.97% 05/2008 48126.31101 48911.10737 2008-06-30 2008-07-31 -1.33% -3.77% 06/2008 43173.37154 44032.83828 2008-07-31 2008-08-31 -5.96% -7.99% 07/2008 42598.11992 42371.91524 2008-08-31 2008-09-30 -13.95% -17.50% 08/2008 40061.11278 38987.53211 2008-09-30 2008-10-31 -26.35% -27.37% 09/2008 34471.94699 32164.58346 2008-10-31 2008-11-30 -9.09% -7.53% 10/2008 25388.62618 23361.83389 2008-11-30 2008-12-31 7.79% 7.80% 11/2008 23080.56925 21603.22571 2008-12-31 2009-01-31 -7.65% -6.46% 12/2008 24879.66464 23288.18785 2009-01-31 2009-02-28 -6.56% -5.64% 01/2009 22977.54961 21784.22273 2009-02-28 2009-03-31 14.45% 14.37% 02/2009 21471.0745 20555.33038 2009-03-31 2009-04-30 14.77% 16.64% 03/2009 24574.41705 23509.27602 2009-04-30 2009-05-31 17.04% 17.09% 04/2009 28204.902 27421.45939 2009-05-31 2009-06-30 -0.88% -1.35% 05/2009 33009.95561 32106.85072 2009-06-30 2009-07-31 11.40% 11.24% 06/2009 32719.45461 31674.35664 2009-07-31 2009-08-31 0.34% -0.36% 07/2009 36450.48581 35236.07119 2009-08-31 2009-09-30 8.76% 9.08% 08/2009 36573.3181 35109.92688 2009-09-30 2009-10-31 -2.10% 0.12% 09/2009 39777.95592 38296.8602 2009-10-31 2009-11-30 5.95% 4.30% 10/2009 38944.42484 38344.23233 2009-11-30 2009-12-31 3.58% 3.95% 11/2009 41259.78898 39991.33055 2009-12-31 2010-01-31 -5.48% -5.58% 12/2009 42735.73871 41570.63621 2010-01-31 2010-02-28 1.21% 0.35% 01/2010 40394.70009 39252.15628 2010-02-28 2010-03-31 8.34% 8.07% 02/2010 40881.76181 39390.3133 2010-03-31 2010-04-30 0.57% 1.21% 03/2010 44291.67311 42570.3986 2010-04-30 2010-05-31 -9.33% -8.80% 04/2010 44543.50921 43086.13887 2010-05-31 2010-06-30 0.15% -0.74% 05/2010 40388.21366 39296.4307 2010-06-30 2010-07-31 8.78% 8.33% 06/2010 40449.89618 39007.56331 2010-07-31 2010-08-31 -2.34% -1.94% 07/2010 44001.74908 42255.92483 2010-08-31 2010-09-30 11.34% 11.11% 08/2010 42971.07748 41435.27509 2010-09-30 2010-10-31 3.00% 2.90% 09/2010 47842.98284 46039.95583 2010-10-31 2010-11-30 -2.27% -2.64% 10/2010 49278.27233 47376.79589 2010-11-30 2010-12-31 8.09% 7.14% 11/2010 48161.93606 46126.15023 2010-12-31 2011-01-31 -2.61% -2.71% 12/2010 52059.25944 49417.68963 2011-01-31 2011-02-28 -0.74% -0.93% 01/2011 50700.89651 48076.93112 2011-02-28 2011-03-31 5.53% 5.88% 02/2011 50327.34671 47628.60177 2011-03-31 2011-04-30 3.48% 3.10% 03/2011 53111.99073 50428.86654 2011-04-30 2011-05-31 -2.78% -2.62% 04/2011 54962.76022 51993.18073 2011-05-31 2011-06-30 -1.22% -1.54% 05/2011 53434.60192 50629.43612 2011-06-30 2011-07-31 -0.81% -0.44% 06/2011 52783.60604 49850.56795 2011-07-31 2011-08-31 -8.12% -8.94% 07/2011 52356.69237 49629.16113 2011-08-31 2011-09-30 -15.14% -14.58% 08/2011 48104.63223 45194.09196 2011-09-30 2011-10-31 12.48% 13.25% 09/2011 40823.31789 38605.04085 2011-10-31 2011-11-30 -3.52% -6.66% 10/2011 45917.62736 43718.55662 2011-11-30 2011-12-31 -2.95% -1.21% 11/2011 44299.83988 40804.88147 2011-12-31 2012-01-31 10.73% 11.34% 12/2011 42993.82498 40313.07288 2012-01-31 2012-02-29 5.40% 5.99% 01/2012 47606.12004 44885.64739 2012-02-29 2012-03-31 -2.63% -3.34% 02/2012 50174.53534 47574.28607 2012-03-31 2012-04-30 -1.81% -1.20% 03/2012 48854.15283 45986.28864 2012-04-30 2012-05-31 -10.78% -11.21% 04/2012 47967.86869 45436.70648 2012-05-31 2012-06-30 4.89% 3.86% 05/2012 42794.86325 40341.21113 2012-06-30 2012-07-31 0.81% 1.95% 06/2012 44887.31089 41898.19616 2012-07-31 2012-08-31 0.60% -0.33% 07/2012 45251.36045 42715.46911 2012-08-31 2012-09-30 5.58% 6.03% 08/2012 45524.39763 42573.22844 2012-09-30 2012-10-31 -0.57% -0.61% 09/2012 48066.69862 45142.17877 10/31/2012 47791.61259 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 4.08% -1.90% 16.93% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Small Cap Portfolio vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
Emerging Markets MSCI Emerging BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Portfolio Markets Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------- ------------------------ 2002-10-31 2002-11-30 7.68% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.40% -3.33% 11/2002 10767.8245 10688.20463 2002-12-31 2003-01-31 1.80% -0.44% 12/2002 10401.29308 10332.68124 2003-01-31 2003-02-28 -1.06% -2.81% 01/2003 10588.3667 10287.11002 2003-02-28 2003-03-31 -0.89% -2.86% 02/2003 10476.12253 9998.077641 2003-03-31 2003-04-30 12.97% 8.89% 03/2003 10382.58572 9712.550745 2003-04-30 2003-05-31 7.50% 7.15% 04/2003 11729.51576 10576.25547 2003-05-31 2003-06-30 4.30% 5.67% 05/2003 12608.76176 11332.42116 2003-06-30 2003-07-31 1.99% 6.22% 06/2003 13151.27524 11974.8284 2003-07-31 2003-08-31 6.00% 6.69% 07/2003 13413.17831 12719.45993 2003-08-31 2003-09-30 3.82% 0.73% 08/2003 14217.59485 13570.61278 2003-09-30 2003-10-31 8.62% 8.51% 09/2003 14760.10834 13669.44466 2003-10-31 2003-11-30 1.98% 1.22% 10/2003 16032.20893 14832.47204 2003-11-30 2003-12-31 9.93% 7.24% 11/2003 16350.23408 15012.94766 2003-12-31 2004-01-31 2.97% 3.49% 12/2003 17973.65769 16099.9853 2004-01-31 2004-02-29 4.22% 4.59% 01/2004 18506.77466 16662.21886 2004-02-29 2004-03-31 1.68% 1.25% 02/2004 19287.41022 17426.29823 2004-03-31 2004-04-30 -5.63% -8.19% 03/2004 19611.08838 17644.0921 2004-04-30 2004-05-31 -4.22% -2.00% 04/2004 18506.77467 16199.38255 2004-05-31 2004-06-30 0.83% 0.43% 05/2004 17726.13911 15876.20003 2004-06-30 2004-07-31 0.64% -1.83% 06/2004 17873.22791 15943.82184 2004-07-31 2004-08-31 3.30% 4.15% 07/2004 17988.04522 15651.96247 2004-08-31 2004-09-30 5.56% 5.77% 08/2004 18581.26799 16301.04143 2004-09-30 2004-10-31 2.45% 2.39% 09/2004 19615.25972 17241.52745 2004-10-31 2004-11-30 9.47% 9.26% 10/2004 20096.02589 17653.47774 2004-11-30 2004-12-31 5.30% 4.80% 11/2004 21999.85993 19287.7093 2004-12-31 2005-01-31 2.78% 0.25% 12/2004 23165.02671 20214.06032 2005-01-31 2005-02-28 6.33% 8.72% 01/2005 23808.49966 20265.39862 2005-02-28 2005-03-31 -6.97% -6.61% 02/2005 25316.63943 22033.51685 2005-03-31 2005-04-30 -3.68% -2.68% 03/2005 23550.83068 20577.38623 2005-04-30 2005-05-31 1.95% 3.48% 04/2005 22684.54692 20024.99063 2005-05-31 2005-06-30 2.53% 3.40% 05/2005 23127.76186 20722.01549 2005-06-30 2005-07-31 5.48% 6.99% 06/2005 23713.88192 21426.05132 2005-07-31 2005-08-31 0.65% 0.86% 07/2005 25013.27271 22923.68229 2005-08-31 2005-09-30 6.56% 9.31% 08/2005 25175.69655 23119.9891 2005-09-30 2005-10-31 -4.88% -6.54% 09/2005 26827.17702 25272.80535 2005-10-31 2005-11-30 7.13% 8.27% 10/2005 25518.53424 23620.93331 2005-11-30 2005-12-31 6.55% 5.91% 11/2005 27338.36561 25574.955 2005-12-31 2006-01-31 9.65% 11.17% 12/2005 29129.72841 27086.60788 2006-01-31 2006-02-28 1.05% -0.12% 01/2006 31941.96443 30111.9491 2006-02-28 2006-03-31 1.83% 0.88% 02/2006 32277.75381 30076.21583 2006-03-31 2006-04-30 8.12% 7.12% 03/2006 32867.3813 30341.27525 2006-04-30 2006-05-31 -10.53% -10.48% 04/2006 35536.27991 32501.78094 2006-05-31 2006-06-30 -4.41% -0.24% 05/2006 31795.61887 29096.49107 2006-06-30 2006-07-31 2.30% 1.43% 06/2006 30392.25289 29025.36378 2006-07-31 2006-08-31 3.47% 2.55% 07/2006 31091.16881 29440.93262 2006-08-31 2006-09-30 2.77% 0.83% 08/2006 32171.31161 30191.10507 2006-09-30 2006-10-31 7.54% 4.75% 09/2006 33061.93462 30442.48182 2006-10-31 2006-11-30 7.61% 7.43% 10/2006 35554.3614 31887.98293 2006-11-30 2006-12-31 4.54% 4.50% 11/2006 38259.8161 34258.36502 2006-12-31 2007-01-31 1.88% -1.08% 12/2006 39997.46853 35800.88873 2007-01-31 2007-02-28 0.89% -0.59% 01/2007 40749.12938 35415.39915 2007-02-28 2007-03-31 4.43% 3.98% 02/2007 41113.57101 35205.20002 2007-03-31 2007-04-30 7.64% 4.63% 03/2007 42935.77914 36607.13479 2007-04-30 2007-05-31 7.93% 4.95% 04/2007 46215.75377 38301.93602 2007-05-31 2007-06-30 2.99% 4.69% 05/2007 49882.94765 40199.01976 2007-06-30 2007-07-31 4.86% 5.28% 06/2007 51373.07789 42083.39264 2007-07-31 2007-08-31 -4.17% -2.13% 07/2007 53869.58503 44303.84785 2007-08-31 2007-09-30 6.87% 11.04% 08/2007 51625.01898 43362.3024 2007-09-30 2007-10-31 7.50% 11.15% 09/2007 55172.5344 48150.94986 2007-10-31 2007-11-30 -8.02% -7.09% 10/2007 59308.75106 53520.78318 2007-11-30 2007-12-31 1.19% 0.35% 11/2007 54552.1019 49726.86787 2007-12-31 2008-01-31 -12.06% -12.48% 12/2007 55203.09732 49901.25085 2008-01-31 2008-02-29 2.89% 7.38% 01/2008 48546.18072 43673.8733 2008-02-29 2008-03-31 -4.74% -5.29% 02/2008 49951.52978 46897.54641 2008-03-31 2008-04-30 6.12% 8.12% 03/2008 47584.93673 44415.76252 2008-04-30 2008-05-31 -0.64% 1.86% 04/2008 50495.78304 48020.26653 2008-05-31 2008-06-30 -11.52% -9.97% 05/2008 50175.09659 48911.10737 2008-06-30 2008-07-31 -1.57% -3.77% 06/2008 44393.86212 44032.83828 2008-07-31 2008-08-31 -6.04% -7.99% 07/2008 43696.70668 42371.91524 2008-08-31 2008-09-30 -18.06% -17.50% 08/2008 41057.4754 38987.53211 2008-09-30 2008-10-31 -30.34% -27.37% 09/2008 33640.76609 32164.58346 2008-10-31 2008-11-30 -6.12% -7.53% 10/2008 23432.88041 23361.83389 2008-11-30 2008-12-31 14.08% 7.80% 11/2008 21999.75361 21603.22571 2008-12-31 2009-01-31 -7.69% -6.46% 12/2008 25098.21276 23288.18785 2009-01-31 2009-02-28 -6.14% -5.64% 01/2009 23167.581 21784.22273 2009-02-28 2009-03-31 13.76% 14.37% 02/2009 21745.01024 20555.33038 2009-03-31 2009-04-30 20.25% 16.64% 03/2009 24737.14625 23509.27602 2009-04-30 2009-05-31 22.91% 17.09% 04/2009 29745.59209 27421.45939 2009-05-31 2009-06-30 -0.50% -1.35% 05/2009 36559.11234 32106.85072 2009-06-30 2009-07-31 12.68% 11.24% 06/2009 36377.95602 31674.35664 2009-07-31 2009-08-31 1.19% -0.36% 07/2009 40992.49589 35236.07119 2009-08-31 2009-09-30 8.34% 9.08% 08/2009 41479.58621 35109.92688 2009-09-30 2009-10-31 -0.11% 0.12% 09/2009 44939.17255 38296.8602 2009-10-31 2009-11-30 5.85% 4.30% 10/2009 44887.72531 38344.23233 2009-11-30 2009-12-31 5.51% 3.95% 11/2009 47511.53504 39991.33055 2009-12-31 2010-01-31 -4.43% -5.58% 12/2009 50130.46794 41570.63621 2010-01-31 2010-02-28 1.72% 0.35% 01/2010 47910.47812 39252.15628 2010-02-28 2010-03-31 8.54% 8.07% 02/2010 48736.52084 39390.3133 2010-03-31 2010-04-30 1.61% 1.21% 03/2010 52898.58192 42570.3986 2010-04-30 2010-05-31 -10.09% -8.80% 04/2010 53750.95164 43086.13887 2010-05-31 2010-06-30 2.65% -0.74% 05/2010 48326.78065 39296.4307 2010-06-30 2010-07-31 9.18% 8.33% 06/2010 49605.02608 39007.56331 2010-07-31 2010-08-31 0.48% -1.94% 07/2010 54157.13911 42255.92483 2010-08-31 2010-09-30 12.11% 11.11% 08/2010 54417.25986 41435.27509 2010-09-30 2010-10-31 3.99% 2.90% 09/2010 61007.92681 46039.95583 2010-10-31 2010-11-30 -2.72% -2.64% 10/2010 63439.87587 47376.79589 2010-11-30 2010-12-31 5.75% 7.14% 11/2010 61713.97653 46126.15023 2010-12-31 2011-01-31 -4.24% -2.71% 12/2010 65262.00898 49417.68963 2011-01-31 2011-02-28 -2.95% -0.93% 01/2011 62495.29039 48076.93112 2011-02-28 2011-03-31 5.55% 5.88% 02/2011 60650.81133 47628.60177 2011-03-31 2011-04-30 5.25% 3.10% 03/2011 64014.27315 50428.86654 2011-04-30 2011-05-31 -2.29% -2.62% 04/2011 67377.73496 51993.18073 2011-05-31 2011-06-30 -0.81% -1.54% 05/2011 65831.62751 50629.43612 2011-06-30 2011-07-31 1.13% -0.44% 06/2011 65298.14039 49850.56795 2011-07-31 2011-08-31 -9.51% -8.94% 07/2011 66035.20134 49629.16113 2011-08-31 2011-09-30 -17.79% -14.58% 08/2011 59756.534 45194.09196 2011-09-30 2011-10-31 11.02% 13.25% 09/2011 49128.28936 38605.04085 2011-10-31 2011-11-30 -4.89% -6.66% 10/2011 54541.19372 43718.55662 2011-11-30 2011-12-31 -2.65% -1.21% 11/2011 51875.95656 40804.88147 2011-12-31 2012-01-31 11.27% 11.34% 12/2011 50498.74336 40313.07288 2012-01-31 2012-02-29 8.17% 5.99% 01/2012 56191.53497 44885.64739 2012-02-29 2012-03-31 -2.61% -3.34% 02/2012 60779.75506 47574.28607 2012-03-31 2012-04-30 -2.39% -1.20% 03/2012 59193.70367 45986.28864 2012-04-30 2012-05-31 -9.17% -11.21% 04/2012 57777.58636 45436.70648 2012-05-31 2012-06-30 3.83% 3.86% 05/2012 52481.30761 40341.21113 2012-06-30 2012-07-31 -1.26% 1.95% 06/2012 54491.14635 41898.19616 2012-07-31 2012-08-31 2.60% -0.33% 07/2012 53807.15707 42715.46911 2012-08-31 2012-09-30 5.85% 6.03% 08/2012 55203.6352 42573.22844 2012-09-30 2012-10-31 -0.39% -0.61% 09/2012 58430.911 45142.17877 10/31/2012 58201.88243 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 6.71% -0.38% 19.26% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS Emerging Markets Value Portfolio - Class R2 vs. MSCI Emerging Markets Index (net div.) January 29, 2008 - October 31,2012
MSCI Emerging Emerging Markets Markets Index BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Portfolio - Class R2 (net div.) --------- ---------- ----------- ----------------- ------- -------------------------- ------------- 01/29/2008 01/31/2008 0.50% -1.29% 01/2008 $10,000 $10,000 02/29/2008 3.98% 7.38% 01/2008 $10,050 $ 9,871 03/31/2008 -3.38% -5.29% 02/2008 $10,450 $10,599 04/30/2008 7.67% 8.12% 03/2008 $10,097 $10,038 05/31/2008 0.83% 1.86% 04/2008 $10,872 $10,853 06/30/2008 -11.72% -9.97% 05/2008 $10,962 $11,054 07/31/2008 -1.94% -3.77% 06/2008 $ 9,677 $ 9,952 08/31/2008 -8.59% -7.99% 07/2008 $ 9,489 $ 9,576 09/30/2008 -17.29% -17.50% 08/2008 $ 8,674 $ 8,811 10/31/2008 -31.01% -27.37% 09/2008 $ 7,174 $ 7,269 11/30/2008 -7.68% -7.53% 10/2008 $ 4,949 $ 5,280 12/31/2008 12.06% 7.80% 11/2008 $ 4,569 $ 4,882 01/31/2009 -8.70% -6.46% 12/2008 $ 5,120 $ 5,263 02/28/2009 -8.84% -5.64% 01/2009 $ 4,675 $ 4,923 03/31/2009 17.37% 14.37% 02/2009 $ 4,262 $ 4,646 04/30/2009 19.87% 16.64% 03/2009 $ 5,002 $ 5,313 05/31/2009 22.46% 17.09% 04/2009 $ 5,996 $ 6,197 06/30/2009 -1.38% -1.35% 05/2009 $ 7,342 $ 7,256 07/31/2009 13.21% 11.24% 06/2009 $ 7,241 $ 7,159 08/31/2009 0.83% -0.36% 07/2009 $ 8,197 $ 7,964 09/30/2009 9.31% 9.08% 08/2009 $ 8,265 $ 7,935 10/31/2009 -2.34% 0.12% 09/2009 $ 9,035 $ 8,655 11/30/2009 6.40% 4.30% 10/2009 $ 8,823 $ 8,666 12/31/2009 4.89% 3.95% 11/2009 $ 9,388 $ 9,038 01/31/2010 -5.58% -5.58% 12/2009 $ 9,847 $ 9,395 02/28/2010 0.54% 0.35% 01/2010 $ 9,297 $ 8,871 03/31/2010 8.56% 8.07% 02/2010 $ 9,347 $ 8,902 04/30/2010 0.99% 1.21% 03/2010 $10,147 $ 9,621 05/31/2010 -10.73% -8.80% 04/2010 $10,246 $ 9,738 06/30/2010 0.57% -0.74% 05/2010 $ 9,147 $ 8,881 07/31/2010 9.64% 8.33% 06/2010 $ 9,199 $ 8,816 08/31/2010 -2.20% -1.94% 07/2010 $10,085 $ 9,550 09/30/2010 11.84% 11.11% 08/2010 $ 9,864 $ 9,365 10/31/2010 3.74% 2.90% 09/2010 $11,031 $10,405 11/30/2010 -3.61% -2.64% 10/2010 $11,444 $10,707 12/31/2010 8.42% 7.14% 11/2010 $11,031 $10,425 01/31/2011 -3.15% -2.71% 12/2010 $11,960 $11,169 02/28/2011 -1.66% -0.93% 01/2011 $11,583 $10,866 03/31/2011 5.72% 5.88% 02/2011 $11,391 $10,764 04/30/2011 3.51% 3.10% 03/2011 $12,043 $11,397 05/31/2011 -3.82% -2.62% 04/2011 $12,466 $11,751 06/30/2011 -2.10% -1.54% 05/2011 $11,990 $11,443 07/31/2011 -0.85% -0.44% 06/2011 $11,738 $11,267 08/31/2011 -10.18% -8.94% 07/2011 $11,639 $11,217 09/30/2011 -17.95% -14.58% 08/2011 $10,454 $10,214 10/31/2011 13.09% 13.25% 09/2011 $ 8,577 $ 8,725 11/30/2011 -5.10% -6.66% 10/2011 $ 9,701 $ 9,881 12/31/2011 -3.59% -1.21% 11/2011 $ 9,206 $ 9,222 01/31/2012 13.83% 11.34% 12/2011 $ 8,875 $ 9,111 02/29/2012 6.06% 5.99% 01/2012 $10,102 $10,144 03/31/2012 -4.31% -3.34% 02/2012 $10,714 $10,752 04/30/2012 -3.27% -1.20% 03/2012 $10,253 $10,393 05/31/2012 -11.10% -11.21% 04/2012 $ 9,918 $10,269 06/30/2012 4.50% 3.86% 05/2012 $ 8,817 $ 9,117 07/31/2012 -0.63% 1.95% 06/2012 $ 9,214 $ 9,469 08/31/2012 1.35% -0.33% 07/2012 $ 9,155 $ 9,654 09/30/2012 6.40% 6.03% 08/2012 $ 9,279 $ 9,622 10/31/2012 -1.33% -0.61% 09/2012 $ 9,873 $10,202 10/2012 $ 9,742 $10,140
One Year Since 1/29/2008 -------- --------------- 0.43% -0.55% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Value Portfolio-Institutional Class vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
Emerging Markets Value Portfolio- MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Institutional Class Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------- --------------------- 2002-10-31 2002-11-30 7.81% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.98% -3.33% 11/2002 10781.04994 10688.20463 2002-12-31 2003-01-31 1.51% -0.44% 12/2002 10459.32273 10332.68124 2003-01-31 2003-02-28 -0.87% -2.81% 01/2003 10617.00096 10287.11002 2003-02-28 2003-03-31 -2.25% -2.86% 02/2003 10525.02199 9998.077641 2003-03-31 2003-04-30 13.15% 8.89% 03/2003 10288.50464 9712.550745 2003-04-30 2003-05-31 7.45% 7.15% 04/2003 11641.90947 10576.25547 2003-05-31 2003-06-30 4.41% 5.67% 05/2003 12509.13975 11332.42116 2003-06-30 2003-07-31 2.31% 6.22% 06/2003 13061.01356 11974.8284 2003-07-31 2003-08-31 6.59% 6.69% 07/2003 13363.23017 12719.45993 2003-08-31 2003-09-30 4.89% 0.73% 08/2003 14243.6003 13570.61278 2003-09-30 2003-10-31 8.88% 8.51% 09/2003 14940.01249 13669.44466 2003-10-31 2003-11-30 1.13% 1.22% 10/2003 16267.13761 14832.47204 2003-11-30 2003-12-31 12.03% 7.24% 11/2003 16451.09555 15012.94766 2003-12-31 2004-01-31 2.75% 3.49% 12/2003 18430.57107 16099.9853 2004-01-31 2004-02-29 6.47% 4.59% 01/2004 18936.61276 16662.21886 2004-02-29 2004-03-31 1.25% 1.25% 02/2004 20161.76633 17426.29823 2004-03-31 2004-04-30 -7.05% -8.19% 03/2004 20414.78718 17644.0921 2004-04-30 2004-05-31 -2.95% -2.00% 04/2004 18976.56342 16199.38255 2004-05-31 2004-06-30 1.82% 0.43% 05/2004 18417.25419 15876.20003 2004-06-30 2004-07-31 1.29% -1.83% 06/2004 18752.83395 15943.82184 2004-07-31 2004-08-31 4.44% 4.15% 07/2004 18993.94182 15651.96247 2004-08-31 2004-09-30 6.59% 5.77% 08/2004 19837.81934 16301.04143 2004-09-30 2004-10-31 3.12% 2.39% 09/2004 21144.61687 17241.52745 2004-10-31 2004-11-30 10.82% 9.26% 10/2004 21804.96501 17653.47774 2004-11-30 2004-12-31 6.43% 4.80% 11/2004 24163.35121 19287.7093 2004-12-31 2005-01-31 1.64% 0.25% 12/2004 25716.54763 20214.06032 2005-01-31 2005-02-28 9.11% 8.72% 01/2005 26138.57674 20265.39862 2005-02-28 2005-03-31 -7.31% -6.61% 02/2005 28520.9991 22033.51685 2005-03-31 2005-04-30 -3.56% -2.68% 03/2005 26435.86373 20577.38623 2005-04-30 2005-05-31 1.44% 3.48% 04/2005 25495.13417 20024.99063 2005-05-31 2005-06-30 3.29% 3.40% 05/2005 25863.24574 20722.01549 2005-06-30 2005-07-31 7.28% 6.99% 06/2005 26713.04067 21426.05132 2005-07-31 2005-08-31 1.59% 0.86% 07/2005 28656.55911 22923.68229 2005-08-31 2005-09-30 8.02% 9.31% 08/2005 29111.42512 23119.9891 2005-09-30 2005-10-31 -6.26% -6.54% 09/2005 31447.29509 25272.80535 2005-10-31 2005-11-30 7.38% 8.27% 10/2005 29480.10746 23620.93331 2005-11-30 2005-12-31 6.27% 5.91% 11/2005 31655.0966 25574.955 2005-12-31 2006-01-31 9.56% 11.17% 12/2005 33640.94678 27086.60788 2006-01-31 2006-02-28 0.38% -0.12% 01/2006 36855.5888 30111.9491 2006-02-28 2006-03-31 3.38% 0.88% 02/2006 36996.58187 30076.21583 2006-03-31 2006-04-30 8.72% 7.12% 03/2006 38246.39699 30341.27525 2006-04-30 2006-05-31 -10.84% -10.48% 04/2006 41582.00293 32501.78094 2006-05-31 2006-06-30 -0.91% -0.24% 05/2006 37073.28134 29096.49107 2006-06-30 2006-07-31 2.36% 1.43% 06/2006 36736.37926 29025.36378 2006-07-31 2006-08-31 1.82% 2.55% 07/2006 37604.27978 29440.93262 2006-08-31 2006-09-30 2.03% 0.83% 08/2006 38287.21788 30191.10507 2006-09-30 2006-10-31 6.94% 4.75% 09/2006 39063.54995 30442.48182 2006-10-31 2006-11-30 7.31% 7.43% 10/2006 41773.9064 31887.98293 2006-11-30 2006-12-31 3.51% 4.50% 11/2006 44828.43509 34258.36502 2006-12-31 2007-01-31 1.54% -1.08% 12/2006 46400.03293 35800.88873 2007-01-31 2007-02-28 0.56% -0.59% 01/2007 47113.65553 35415.39915 2007-02-28 2007-03-31 5.21% 3.98% 02/2007 47375.80261 35205.20002 2007-03-31 2007-04-30 7.97% 4.63% 03/2007 49842.20782 36607.13479 2007-04-30 2007-05-31 7.60% 4.95% 04/2007 53813.23316 38301.93602 2007-05-31 2007-06-30 2.84% 4.69% 05/2007 57901.05337 40199.01976 2007-06-30 2007-07-31 4.74% 5.28% 06/2007 59545.27699 42083.39264 2007-07-31 2007-08-31 -3.23% -2.13% 07/2007 62366.07472 44303.84785 2007-08-31 2007-09-30 9.01% 11.04% 08/2007 60353.31802 43362.3024 2007-09-30 2007-10-31 10.97% 11.15% 09/2007 65792.44111 48150.94986 2007-10-31 2007-11-30 -7.30% -7.09% 10/2007 73010.86241 53520.78318 2007-11-30 2007-12-31 -0.16% 0.35% 11/2007 67681.92563 49726.86787 2007-12-31 2008-01-31 -9.96% -12.48% 12/2007 67575.81224 49901.25085 2008-01-31 2008-02-29 3.99% 7.38% 01/2008 60847.09008 43673.8733 2008-02-29 2008-03-31 -3.36% -5.29% 02/2008 63277.32834 46897.54641 2008-03-31 2008-04-30 7.71% 8.12% 03/2008 61148.20583 44415.76252 2008-04-30 2008-05-31 0.85% 1.86% 04/2008 65863.61473 48020.26653 2008-05-31 2008-06-30 -11.63% -9.97% 05/2008 66426.4216 48911.10737 2008-06-30 2008-07-31 -1.96% -3.77% 06/2008 58698.85541 44032.83828 2008-07-31 2008-08-31 -8.57% -7.99% 07/2008 57546.99404 42371.91524 2008-08-31 2008-09-30 -17.25% -17.50% 08/2008 52617.02737 38987.53211 2008-09-30 2008-10-31 -31.05% -27.37% 09/2008 43539.68508 32164.58346 2008-10-31 2008-11-30 -7.59% -7.53% 10/2008 30018.81421 23361.83389 2008-11-30 2008-12-31 12.21% 7.80% 11/2008 27739.49309 21603.22571 2008-12-31 2009-01-31 -9.03% -6.46% 12/2008 31125.33622 23288.18785 2009-01-31 2009-02-28 -8.50% -5.64% 01/2009 28315.7926 21784.22273 2009-02-28 2009-03-31 17.30% 14.37% 02/2009 25910.23564 20555.33038 2009-03-31 2009-04-30 19.66% 16.64% 03/2009 30392.29689 23509.27602 2009-04-30 2009-05-31 22.50% 17.09% 04/2009 36367.79386 27421.45939 2009-05-31 2009-06-30 -1.23% -1.35% 05/2009 44549.62816 32106.85072 2009-06-30 2009-07-31 13.41% 11.24% 06/2009 44000.80518 31674.35664 2009-07-31 2009-08-31 0.74% -0.36% 07/2009 49900.8711 35236.07119 2009-08-31 2009-09-30 9.23% 9.08% 08/2009 50270.78119 35109.92688 2009-09-30 2009-10-31 -2.36% 0.12% 09/2009 54908.62011 38296.8602 2009-10-31 2009-11-30 6.37% 4.30% 10/2009 53610.10546 38344.23233 2009-11-30 2009-12-31 4.95% 3.95% 11/2009 57023.34402 39991.33055 2009-12-31 2010-01-31 -5.69% -5.58% 12/2009 59847.87712 41570.63621 2010-01-31 2010-02-28 0.78% 0.35% 01/2010 56440.50752 39252.15628 2010-02-28 2010-03-31 8.80% 8.07% 02/2010 56878.32595 39390.3133 2010-03-31 2010-04-30 0.65% 1.21% 03/2010 61884.68462 42570.3986 2010-04-30 2010-05-31 -10.48% -8.80% 04/2010 62284.43189 43086.13887 2010-05-31 2010-06-30 0.62% -0.74% 05/2010 55755.22646 39296.4307 2010-06-30 2010-07-31 9.25% 8.33% 06/2010 56103.20789 39007.56331 2010-07-31 2010-08-31 -1.81% -1.94% 07/2010 61294.04753 42255.92483 2010-08-31 2010-09-30 12.01% 11.11% 08/2010 60183.09292 41435.27509 2010-09-30 2010-10-31 3.42% 2.90% 09/2010 67408.34523 46039.95583 2010-10-31 2010-11-30 -3.25% -2.64% 10/2010 69714.87543 47376.79589 2010-11-30 2010-12-31 8.31% 7.14% 11/2010 67446.78741 46126.15023 2010-12-31 2011-01-31 -3.13% -2.71% 12/2010 73048.92262 49417.68963 2011-01-31 2011-02-28 -1.68% -0.93% 01/2011 70766.14378 48076.93112 2011-02-28 2011-03-31 5.75% 5.88% 02/2011 69574.25042 47628.60177 2011-03-31 2011-04-30 3.57% 3.10% 03/2011 73574.16377 50428.86654 2011-04-30 2011-05-31 -3.82% -2.62% 04/2011 76200.36951 51993.18073 2011-05-31 2011-06-30 -2.05% -1.54% 05/2011 73291.34161 50629.43612 2011-06-30 2011-07-31 -0.85% -0.44% 06/2011 71790.26867 49850.56795 2011-07-31 2011-08-31 -10.15% -8.94% 07/2011 71181.36054 49629.16113 2011-08-31 2011-09-30 -17.95% -14.58% 08/2011 63955.65069 45194.09196 2011-09-30 2011-10-31 13.14% 13.25% 09/2011 52473.60679 38605.04085 2011-10-31 2011-11-30 -5.07% -6.66% 10/2011 59367.79997 43718.55662 2011-11-30 2011-12-31 -3.59% -1.21% 11/2011 56360.54063 40804.88147 2011-12-31 2012-01-31 13.87% 11.34% 12/2011 54335.88274 40313.07288 2012-01-31 2012-02-29 6.09% 5.99% 01/2012 61870.905 44885.64739 2012-02-29 2012-03-31 -4.30% -3.34% 02/2012 65638.41615 47574.28607 2012-03-31 2012-04-30 -3.27% -1.20% 03/2012 62812.7828 45986.28864 2012-04-30 2012-05-31 -11.06% -11.21% 04/2012 60761.5823 45436.70648 2012-05-31 2012-06-30 4.52% 3.86% 05/2012 54042.8541 40341.21113 2012-06-30 2012-07-31 -0.63% 1.95% 06/2012 56485.77879 41898.19616 2012-07-31 2012-08-31 1.39% -0.33% 07/2012 56128.00748 42715.46911 2012-08-31 2012-09-30 6.43% 6.03% 08/2012 56906.68624 42573.22844 2012-09-30 2012-10-31 -1.29% -0.61% 09/2012 60566.63705 45142.17877 10/31/2012 59782.80859 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 0.70% -3.92% 19.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. Emerging Markets Core Equity Portfolio vs. MSCI Emerging Markets Index (net div.) April 5, 2005 - October 31, 2012
Emerging Markets Core MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Equity Portfolio Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------------- --------------------- 2005-04-05 2005-04-30 -4.20% -3.18% 04/2005 10000 10000 2005-04-30 2005-05-31 1.46% 3.48% 04/2005 9580.000002 9681.97524 2005-05-31 2005-06-30 2.68% 3.40% 05/2005 9720.000001 10018.98301 2005-06-30 2005-07-31 6.73% 6.99% 06/2005 9980.459186 10359.38055 2005-07-31 2005-08-31 1.04% 0.86% 07/2005 10652.51021 11083.47706 2005-08-31 2005-09-30 6.95% 9.31% 08/2005 10762.84694 11178.39035 2005-09-30 2005-10-31 -5.33% -6.54% 09/2005 11511.36663 12219.26543 2005-10-31 2005-11-30 6.56% 8.27% 10/2005 10897.56124 11420.59418 2005-11-30 2005-12-31 5.88% 5.91% 11/2005 11611.99047 12365.35316 2005-12-31 2006-01-31 8.95% 11.17% 12/2005 12295.11976 13096.22919 2006-01-31 2006-02-28 0.15% -0.12% 01/2006 13395.42194 14558.96539 2006-02-28 2006-03-31 2.00% 0.88% 02/2006 13415.61097 14541.68855 2006-03-31 2006-04-30 6.86% 7.12% 03/2006 13684.42534 14669.84336 2006-04-30 2006-05-31 -11.19% -10.48% 04/2006 14623.65158 15714.43624 2006-05-31 2006-06-30 -1.64% -0.24% 05/2006 12987.58006 14067.9969 2006-06-30 2006-07-31 1.91% 1.43% 06/2006 12774.97105 14033.60724 2006-07-31 2006-08-31 2.42% 2.55% 07/2006 13018.69069 14234.53254 2006-08-31 2006-09-30 1.98% 0.83% 08/2006 13333.49522 14597.23688 2006-09-30 2006-10-31 6.54% 4.75% 09/2006 13597.95927 14718.77619 2006-10-31 2006-11-30 6.92% 7.43% 10/2006 14487.44983 15417.6682 2006-11-30 2006-12-31 3.94% 4.50% 11/2006 15489.81837 16563.73519 2006-12-31 2007-01-31 1.41% -1.08% 12/2006 16100.27146 17309.5371 2007-01-31 2007-02-28 -0.76% -0.59% 01/2007 16327.47222 17123.15497 2007-02-28 2007-03-31 4.33% 3.98% 02/2007 16203.54454 17021.52482 2007-03-31 2007-04-30 6.72% 4.63% 03/2007 16905.8014 17699.35274 2007-04-30 2007-05-31 7.27% 4.95% 04/2007 18041.80516 18518.78001 2007-05-31 2007-06-30 2.36% 4.69% 05/2007 19353.37314 19436.00979 2007-06-30 2007-07-31 3.40% 5.28% 06/2007 19810.94669 20347.09394 2007-07-31 2007-08-31 -2.58% -2.13% 07/2007 20485.49437 21420.67209 2007-08-31 2007-09-30 8.59% 11.04% 08/2007 19956.23388 20965.43993 2007-09-30 2007-10-31 10.39% 11.15% 09/2007 21671.05173 23280.72522 2007-10-31 2007-11-30 -7.28% -7.09% 10/2007 23923.67309 25877.01074 2007-11-30 2007-12-31 -0.21% 0.35% 11/2007 22181.20446 24042.6731 2007-12-31 2008-01-31 -9.79% -12.48% 12/2007 22135.55448 24126.98633 2008-01-31 2008-02-29 3.27% 7.38% 01/2008 19968.29012 21116.08279 2008-02-29 2008-03-31 -3.63% -5.29% 02/2008 20620.57356 22674.7114 2008-03-31 2008-04-30 7.58% 8.12% 03/2008 19871.14193 21474.78223 2008-04-30 2008-05-31 0.44% 1.86% 04/2008 21377.80858 23217.54053 2008-05-31 2008-06-30 -11.15% -9.97% 05/2008 21472.63375 23648.25729 2008-06-30 2008-07-31 -1.06% -3.77% 06/2008 19078.7608 21289.64042 2008-07-31 2008-08-31 -6.64% -7.99% 07/2008 18876.92536 20486.59307 2008-08-31 2008-09-30 -15.67% -17.50% 08/2008 17623.42103 18850.26203 2008-09-30 2008-10-31 -28.26% -27.37% 09/2008 14860.95355 15551.40307 2008-10-31 2008-11-30 -6.68% -7.53% 10/2008 10661.49818 11295.321 2008-11-30 2008-12-31 9.78% 7.80% 11/2008 9949.292835 10445.04341 2008-12-31 2009-01-31 -8.92% -6.46% 12/2008 10921.91573 11259.71354 2009-01-31 2009-02-28 -6.75% -5.64% 01/2009 9947.711157 10532.5545 2009-02-28 2009-03-31 15.78% 14.37% 02/2009 9276.592451 9938.391657 2009-03-31 2009-04-30 18.26% 16.64% 03/2009 10740.54489 11366.60848 2009-04-30 2009-05-31 19.71% 17.09% 04/2009 12702.23876 13258.1281 2009-05-31 2009-06-30 -0.97% -1.35% 05/2009 15205.83701 15523.4896 2009-06-30 2009-07-31 12.10% 11.24% 06/2009 15058.12449 15314.38103 2009-07-31 2009-08-31 0.39% -0.36% 07/2009 16880.37579 17036.45086 2009-08-31 2009-09-30 8.63% 9.08% 08/2009 16945.84589 16975.46077 2009-09-30 2009-10-31 -1.85% 0.12% 09/2009 18407.63348 18516.32588 2009-10-31 2009-11-30 6.12% 4.30% 10/2009 18067.96881 18539.23005 2009-11-30 2009-12-31 4.57% 3.95% 11/2009 19174.6182 19335.59318 2009-12-31 2010-01-31 -5.49% -5.58% 12/2009 20050.0833 20099.17897 2010-01-31 2010-02-28 1.10% 0.35% 01/2010 18950.24329 18978.20639 2010-02-28 2010-03-31 8.62% 8.07% 02/2010 19159.21289 19045.00457 2010-03-31 2010-04-30 0.95% 1.21% 03/2010 20811.52367 20582.55871 2010-04-30 2010-05-31 -9.69% -8.80% 04/2010 21009.62384 20831.91635 2010-05-31 2010-06-30 0.85% -0.74% 05/2010 18973.59429 18999.61284 2010-06-30 2010-07-31 9.03% 8.33% 06/2010 19134.07371 18859.94701 2010-07-31 2010-08-31 -1.33% -1.94% 07/2010 20862.45559 20430.51233 2010-08-31 2010-09-30 11.95% 11.11% 08/2010 20585.47131 20033.7326 2010-09-30 2010-10-31 2.95% 2.90% 09/2010 23044.98243 22260.07096 2010-10-31 2010-11-30 -2.67% -2.64% 10/2010 23724.08577 22906.42594 2010-11-30 2010-12-31 7.35% 7.14% 11/2010 23089.51379 22301.74549 2010-12-31 2011-01-31 -3.16% -2.71% 12/2010 24785.44438 23893.18708 2011-01-31 2011-02-28 -1.72% -0.93% 01/2011 24002.51067 23244.93756 2011-02-28 2011-03-31 5.69% 5.88% 02/2011 23588.67427 23028.17273 2011-03-31 2011-04-30 3.95% 3.10% 03/2011 24930.84636 24382.08568 2011-04-30 2011-05-31 -2.76% -2.62% 04/2011 25915.10588 25138.42318 2011-05-31 2011-06-30 -1.39% -1.54% 05/2011 25199.28078 24479.05999 2011-06-30 2011-07-31 -0.23% -0.44% 06/2011 24848.78742 24102.48142 2011-07-31 2011-08-31 -9.02% -8.94% 07/2011 24792.56844 23995.43241 2011-08-31 2011-09-30 -16.55% -14.58% 08/2011 22555.05319 21851.10033 2011-09-30 2011-10-31 12.70% 13.25% 09/2011 18823.00689 18665.32957 2011-10-31 2011-11-30 -4.27% -6.66% 10/2011 21212.69067 21137.68693 2011-11-30 2011-12-31 -3.14% -1.21% 11/2011 20306.64943 19728.94067 2011-12-31 2012-01-31 11.77% 11.34% 12/2011 19668.44126 19491.15387 2012-01-31 2012-02-29 6.28% 5.99% 01/2012 21984.3888 21701.96904 2012-02-29 2012-03-31 -3.13% -3.34% 02/2012 23364.83044 23001.91138 2012-03-31 2012-04-30 -2.22% -1.20% 03/2012 22634.67949 22234.12317 2012-04-30 2012-05-31 -10.52% -11.21% 04/2012 22132.7007 21968.40315 2012-05-31 2012-06-30 4.48% 3.86% 05/2012 19805.34455 19504.75856 2012-06-30 2012-07-31 0.06% 1.95% 06/2012 20693.31546 20257.55244 2012-07-31 2012-08-31 1.05% -0.33% 07/2012 20704.79898 20652.69952 2012-08-31 2012-09-30 5.70% 6.03% 08/2012 20922.98599 20583.92692 2012-09-30 2012-10-31 -0.68% -0.61% 09/2012 22115.39118 21826.00058 10/31/2012 21965.10362 21693.49798
One Year Five Years From 04/05/2005 -------- ---------- --------------- 3.55% -1.69% 10.95% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 12 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. Equity Market Review 12 Months Ended October 31, 2012 The year ending October 31, 2012, saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 3000(R) Index.................................. 14.75% Russell Microcap(R) Index (micro cap stocks)........... 16.49% Russell 2000(R) Index (small cap stocks)............... 12.08% Russell 1000(R) Index (large cap stocks)............... 14.97% Dow Jones US Select REIT Index......................... 14.09% The value premium was positive across both large cap and small cap stocks. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 14.47% Russell 2000(R) Growth Index (small cap growth stocks). 9.70% Russell 1000(R) Value Index (large cap value stocks)... 16.89% Russell 1000(R) Growth Index (large cap growth stocks). 13.02% -------- Source: Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. 13 Master-Feeder Structure Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. 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 combines investment in investment grade, short-term fixed income instruments with an overlay of S&P 500(R) Index futures contracts, swaps, and/or ETFs. For the 12 months ended October 31, 2012, approximately 97% of the equity exposure consisted of S&P 500(R) Index futures contracts. ETFs accounted for the remaining exposure. The behavior of S&P 500(R) Index futures contracts and ETFs linked to the S&P 500(R) Index is determined principally by the performance of the S&P 500(R) Index. For the 12 months ended October 31, 2012, the total return was 15.84% for the Portfolio and 15.21% for the S&P 500(R) Index. Relative to the Index, the Portfolio's outperformance was primarily due to the fixed income component of the Portfolio exceeding the interest rate embedded in the Portfolio's S&P 500(R) futures contracts. The Portfolio's concentration in government agency and corporate fixed income securities with maturities between one and two years had the most significant contribution to the outperformance. As credit spreads narrowed during the period, these securities generated excess return, adding to the positive return of the S&P 500(R) Index. The Portfolio also benefited from increasing exposure to Euro-denominated securities during a year when Euro-denominated sovereign and corporate interest rates decreased. U.S. Large Cap Value Portfolio The U.S. Large Cap Value Portfolio seeks to capture the returns of U.S. large company value stocks by purchasing shares of The U.S. Large Cap Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Master Fund held approximately 250 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 18.14% for the Portfolio and 16.89% for the Russell 1000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. Value stocks, particularly in the largest size category, generally outperformed during the period. The Master Fund had significantly greater exposure than the Index to value stocks, which contributed to the relative outperformance. The Master Fund's exclusion of REITs and highly regulated utilities also helped performance as both of these sectors underperformed the overall Index during the period. U.S. Targeted Value Portfolio The U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small- and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small and mid-cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 1,500 securities, and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.67% for the Portfolio's Class R1 shares, 14.46% for the Portfolio's Class R2 shares, 14.78% for the Portfolio's Institutional Class shares, and 14.47% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure than the Index to deep value stocks in the mid-cap size range 14 was the primary contributor to relative outperformance. Mid-caps generally outperformed small cap stocks over the period. The Portfolio's exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. U.S. Small Cap Value Portfolio The U.S. Small Cap Value Portfolio seeks to capture the returns of U.S. small company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small capitalization and value stocks, and does not attempt to closely track a specific index. As of October 31, 2012, the Portfolio held approximately 1,300 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 15.60% for the Portfolio and 14.47% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure to deep value stocks at both the larger and smaller ends of the eligible market capitalization range helped relative outperformance. The Portfolio's exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. U.S. Core Equity 1 Portfolio The U.S. Core Equity 1 Portfolio seeks to capture the returns of the total U.S. market universe with increased exposure to smaller company stocks and value stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 3,000 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.29% for the Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had less exposure than the Index to large cap stocks and greater exposure to small cap stocks, both of which contributed to relative underperformance as large cap stocks outperformed small caps during the period. The Portfolio's exclusion of REITs detracted from relative performance as this sector outperformed the overall Index. U.S. Core Equity 2 Portfolio The U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe with increased exposure to smaller company stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the market. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 3,100 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.81% for the Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's emphasis on value stocks across all size categories was the primary contributor to relative outperformance. U.S. Vector Equity Portfolio The U.S. Vector Equity Portfolio seeks to capture the returns of a broadly diversified portfolio of U.S. stocks with increased exposure to smaller company stocks and value stocks relative to the market. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to closely track a specific equity 15 index. As of October 31, 2012, the Portfolio held approximately 2,900 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.55% for the Portfolio, 14.75% for the Russell 3000(R) Index, and 13.00% for the Russell 2500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. Relative to the Russell 3000(R) Index, the Portfolio had less exposure to large cap stocks which was the primary contributor to relative underperformance. Large cap stocks outperformed the other size categories as well as the overall Index during the period. The Portfolio's exclusion of REITs also detracted from relative performance as this sector outperformed the overall Index. Relative to the Russell 2500(R) Index, the Portfolio's emphasis on value stocks across all size categories was the primary contributor to relative outperformance. As of February 28, 2012, the Russell 3000(R) Index has been selected to replace the Russell 2500(R) Index as the appropriate benchmark for the Portfolio because this index better reflects the universe of securities in which the Portfolio invests. U.S. Small Cap Portfolio The U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small capitalization stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,300 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 13.61% for the Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure than the Index to the smallest micro cap stocks was a primary contributor to relative outperformance. The Portfolio also had less exposure than the Index to mid-cap stocks which was also beneficial as these stocks underperformed small cap and micro cap stocks. U.S. Micro Cap Portfolio The U.S. Micro Cap Portfolio seeks to capture the returns of very small U.S. company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to very small company stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,000 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 13.13% for the Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio focuses on micro cap stocks while the Index has exposure to small and mid-cap stocks. The outperformance of micro cap stocks relative to small and mid cap stocks was the primary driver of outperformance relative to the benchmark. DFA Real Estate Securities Portfolio The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities (i.e., REITs), but does not attempt to closely track a specific index. As of October 31, 2012, the Portfolio held approximately 115 REITs. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.45% for the Portfolio, 14.09% for the Dow Jones U.S. Select REIT IndexSM, and 15.21% for the S&P 500(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. real estate 16 securities market rather than the behavior of a limited number of securities. The Portfolio has a lower market cap floor than the Dow Jones U.S. Select REIT Index/SM/ and invests in small cap REITs that may not be included in the Index. The Dow Jones U.S. Select REIT Index/SM/ also excludes net lease REITS which are eligible for the Portfolio. Securities held by the Portfolio and excluded by the Index generally outperformed the Dow Jones U.S. Select REIT Index/SM/ over the period, benefiting relative performance. International Equity Market Review 12 Months Ended October 31, 2012 The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return - ----------- MSCI World ex USA Index...................... 4.40% MSCI World ex USA Small Cap Index............ 4.86% MSCI World ex USA Value Index................ 4.74% MSCI World ex USA Growth Index............... 3.99% -------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar. 12 Months Ended October 31, 2012 -------------------------------- Local U.S. Ten Largest Foreign Developed Markets by Market Currency Dollar Cap Return Return ----------------------------------------------- -------- ------ United Kingdom.................................... 8.61% 8.41% Japan............................................. -0.86% -3.28% Canada............................................ 3.34% 2.69% France............................................ 10.04% 2.23% Australia......................................... 10.20% 7.71% Switzerland....................................... 17.41% 9.79% Germany........................................... 18.18% 9.79% Spain............................................. -6.40% -13.04% Sweden............................................ 9.26% 6.47% Hong Kong......................................... 16.12% 16.34% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 17 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return - ----------- MSCI Emerging Markets Index............. 2.63% MSCI Emerging Markets Small Cap Index... 3.74% MSCI Emerging Markets Value Index....... 1.36% MSCI Emerging Markets Growth Index...... 3.89% The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 Months Ended October 31, 2012 -------------------------------- Local U.S. Currency Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ------ China............................................. 7.71% 7.92% South Korea....................................... 1.71% 3.35% Brazil............................................ 4.65% -12.68% Taiwan............................................ -1.78% 0.59% South Africa...................................... 17.70% 6.84% India............................................. 5.24% -4.73% Russia............................................ -1.42% -4.50% Mexico............................................ 16.32% 17.03% Malaysia.......................................... 11.39% 12.19% Indonesia......................................... 12.64% 3.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Global REIT Market Review 12 Months Ended October 31, 2012 The publicly traded global REIT market produced positive overall returns during the one-year period ending October 31, 2012. Country-level dispersion of returns was high as there were definite winners and losers. The largest REIT market, the United States, advanced significantly, but not to the extent of non-US REITs. Pacific Rim-based REITs produced some of the strongest returns. Still struggling with a debt crisis now entering its third year, Continental Europe underperformed, although REITs in this region did manage a positive return. Dispersion was prevalent across REIT sub-sectors as well. Residential REITs, which on a global basis are disproportionately US based, was the poorest performing REIT sub-sector. Industrial and retail REITs fared among the best. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- S&P Global ex U.S. REIT Index (net dividends). 20.40% S&P Global REIT Index (net dividends)......... 16.22% -------- Source: Standard and Poor's. Copyright S&P, 2012. All rights reserved. Master-Feeder Structure Certain portfolios described below, called "Feeder Funds," do not buy individual securities directly; instead, these portfolios invest in corresponding funds called a "Master Fund." The Master Funds, in turn, purchase stocks and/or other securities. 18 Large Cap International Portfolio The Large Cap International Portfolio seeks to capture the returns of a broadly diversified basket of international large company stocks. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 1,400 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 5.89% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Core Equity Portfolio The International Core Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with value characteristics. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 4,900 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 5.49% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Small Company Portfolio The International Small Company Portfolio seeks to capture the returns of international small company stocks by purchasing shares of five Master Funds that invest individually in Canada, the United Kingdom, Continental Europe (including Israel and excluding the U.K.), Japan, and the Asia Pacific region ex Japan. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Funds collectively held approximately 4,600 securities in 23 developed market countries. In general, the Portfolio was mostly invested in the Master Funds throughout the year. The combined average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 5.63% for the Portfolio and 4.86% for the MSCI World ex USA Small Cap Index (net dividends). As a result of each Master Fund's diversified investment approach, the Portfolio's performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Master Funds (other than the Master Fund for Canadian small cap securities) and the Index. The Master Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 19 Japanese Small Company Portfolio The Japanese Small Company Portfolio seeks to capture the returns of Japanese small company stocks by purchasing shares of The Japanese Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,400 securities. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 0.20% for the Portfolio and -1.01% for the MSCI Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market, rather than the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to the Master Fund's holdings of companies with a market capitalization below $500 million. These stocks are generally considered too small to be included in the Index and outperformed other stocks, contributing to the Portfolio's relative performance. The Master Fund's outperformance was also attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Asia Pacific Small Company Portfolio The Asia Pacific Small Company Portfolio seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore, by purchasing shares of The Asia Pacific Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,000 securities across the eligible countries. In general, the Master Fund was mostly invested in equities during the period. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 7.09% for the Portfolio and 4.01% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. In particular, the Index held a number of larger Australian companies at higher weights than the Series and these stocks underperformed, benefitting the Series' relative performance. The Master Fund's outperformance was also attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. United Kingdom Small Company Portfolio The United Kingdom Small Company Portfolio seeks to capture the returns of U.K. small company stocks by purchasing shares of The United Kingdom Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 360 securities. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 22.82% for the Portfolio and 20.73% for the MSCI UK Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Master Fund generally excluded stocks not listed on the London Stock Exchange whereas the Index held a number of stocks listed on other exchanges. The stocks that were excluded by the Master Fund significantly underperformed, contributing to the Master Fund's relative performance. In addition, the 20 Master Fund held a number of stocks that were considered to be too large for the Index. These larger names outperformed, which had a positive impact on relative performance. The Master Fund's outperformance was also attributable to differences in the valuation timing and methodology between the Master Fund and the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Continental Small Company Portfolio The Continental Small Company Portfolio seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares of The Continental Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,400 securities in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 1.85% for the Portfolio and 3.75% for the MSCI Europe ex UK Small Cap Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. The Master Fund defines the small cap universe differently than the Index. For the one-year period, this led to differences in country weights as well as holdings within certain countries. In particular, the Master Fund had a lower allocation to Norway, one of the best performing countries, which detracted from relative performance. Differences in the Master Fund's definition of the small cap universe also resulted in the exclusion or lower weighting of larger securities in Norway, Germany and Sweden which also outperformed, and detracted from the Series' relative performance. For the period, differences in the valuation timing and methodology between the Master Fund and the Index contributed positively to the Master Fund's performance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA International Real Estate Securities Portfolio The DFA International Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities in international markets but does not attempt to track a specific index. As of October 31, 2012, the Portfolio held approximately 200 securities in 20 developed and emerging market countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 22.34% for the Portfolio and 20.40% for the S&P Global ex US REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was determined principally by structural trends in international real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's relative outperformance. Differences in the valuation timing and methodology between the Portfolio and the Index also benefited relative performance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 21 DFA Global Real Estate Securities Portfolio The DFA Global Real Estate Securities Portfolio, a fund of funds, is designed to capture the returns of a broadly diversified portfolio of real estate securities in U.S. and international markets, but does not attempt to track a specific index. As of October 31, 2012, the Portfolio invested in the DFA International Real Estate Securities Portfolio and the DFA Real Estate Securities Portfolio (the "Underlying Funds"). As of October 31, 2012, the Underlying Funds held approximately 320 securities in 21 developed and emerging markets countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 17.33% for the Portfolio and 16.22% for the S&P Global REIT Index (net dividends). As a result of the Portfolio's diversified approach, performance was principally determined by structural trends in global real estate securities markets rather than the behavior of a limited number of stocks. Withholding tax rate differences between the Portfolio and the Index contributed to the Portfolio's relative outperformance. Differences in the valuation timing and methodology between one of the Underlying Funds-The DFA International Real Estate Securities Portfolio and the Index also benefited relative performance. The DFA International Real Estate Securities Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The DFA International Real Estate Securities Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. DFA International Small Cap Value Portfolio The DFA International Small Cap Value Portfolio seeks to capture the returns of international small company value stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,100 securities in 23 developed market countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 6.92% for the Portfolio and 4.86% for the MSCI World ex USA Small Cap Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in international equity markets rather than the behavior of a limited number of stocks. The primary reason for the Portfolio's relative outperformance against the Index was that the Portfolio held a number of larger U.K. value stocks that were not present in the Index's holdings of U.K. securities. These U.K. issuers significantly outperformed, contributing to the Portfolio's relative outperformance. To a lesser extent, the Portfolio's outperformance was also attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. International Vector Equity Portfolio The International Vector Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks, with increased exposure to smaller company stocks and those with value characteristics than the International Core Equity Portfolio. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 4,000 securities in 23 developed markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 4.90% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange 22 rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. World ex U.S. Value Portfolio The World ex U.S. Value Portfolio seeks to capture the returns of value stocks across all market capitalizations in international developed and emerging markets by purchasing shares of three funds managed by Dimensional: The DFA International Value Series, DFA International Small Cap Value Portfolio, and Dimensional Emerging Markets Value Fund (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Underlying Funds collectively held approximately 4,800 securities. In general, the Portfolio was mostly invested in equities. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 2.70% for the Portfolio and 3.98% for the MSCI All Country World ex USA Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in the international and emerging equity markets rather than the behavior of a limited number of stocks. The Portfolio focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Although small-cap value stocks in developed markets performed relatively well, value stocks in both developed and emerging markets, as measured by high book-to-market ratios, generally underperformed during the period. The Portfolio had significantly greater exposure than the Index to value stocks, which was the primary reason for the Portfolio's relative underperformance. For the period, differences in the valuation timing and methodology between the Underlying Funds and the Index contributed positively to the Portfolio's relative performance. The Underlying Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Underlying Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Selectively Hedged Global Equity Portfolio The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of mutual funds managed by Dimensional. As of the date of this report, the mutual funds invested in by the Portfolio include the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the "Underlying Funds"). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification and consistent exposure in each Underlying Fund to stocks with desired asset class characteristics. As of October 31, 2012, the Underlying Funds held more than 11,000 equity securities in 44 countries. From the Portfolio's inception on November 14, 2011, through October 31, 2012, total returns were 11.11% for the Portfolio and 10.48% for the MSCI All Country World Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. Differences in the valuation timing and methodology between the international Underlying Funds and the Index contributed significantly to relative outperformance. The international Underlying Funds price foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The international Underlying Funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Portfolio's relative outperformance, as compared to the Index, was also attributable to its currency hedging with respect to the euro, Swiss franc, and Japanese yen. Emerging Markets Portfolio The Emerging Markets Portfolio seeks to capture the returns of large cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large 23 cap emerging markets stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 970 securities across 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 4.08% for the Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. Differences in the valuation timing and methodology between the Master Fund and the Index were the primary reason for the Portfolio's outperformance relative to the Index. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Portfolio seeks to capture the returns of small company stocks in selected emerging markets by purchasing shares of the Emerging Markets Small Cap Series, a Master Fund that invests in such securities. The Master Fund's investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 2,900 securities across 16 emerging markets. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country upon purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 6.71% for the Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund focuses on small cap stocks while the Index primarily holds mid-cap and large cap stocks. Emerging markets small cap stocks outperformed larger companies over the period. The Master Fund's significantly greater exposure than the Index to small cap stocks contributed to the relative outperformance. In addition, differences in country weights between the Master Fund and the Index also contributed to the Master Fund's relative outperformance. To a lesser extent, differences in the valuation timing and methodology between the Master Fund and the Index also contributed to outperformance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Emerging Markets Value Portfolio The Emerging Markets Value Portfolio seeks to capture the returns of value stocks of any market capitalization size in selected emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund that invests in such securities. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to emerging markets value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 2,200 securities across 18 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. The Master Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 0.43% for the Portfolio's Class R2 shares, 0.70% for the Portfolio's Institutional Class shares, and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Master Fund's diversified investment approach, performance was generally determined 24 by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Master Fund focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks in emerging markets significantly underperformed during the period. The Master Fund had significantly greater exposure than the Index to value stocks, which was the primary contributor to relative underperformance. In particular, the Master Fund had lower exposure than the Index to large cap growth stocks in the Information Technology sector, which significantly outperformed and detracted from the Portfolio's relative performance. Differences in the valuation timing and methodology between the Master Fund and the Index contributed positively to performance of the Master Fund. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. Emerging Markets Core Equity Portfolio The Emerging Markets Core Equity Portfolio seeks to capture the returns of a broad universe of stocks in selected emerging markets with increased exposure to smaller company stocks and those stocks with value characteristics, as measured by book-to-market. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to selected emerging markets countries, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 3,600 securities across 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. The Portfolio's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 3.55% for the Portfolio and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Portfolio's diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Emerging markets small cap stocks outperformed large caps during the period. The Portfolio's greater exposure to small cap stocks contributed to the Portfolio's relative outperformance. This was partially offset by the Portfolio's greater exposure to value stocks, which underperformed. Differences in the valuation timing and methodology between the Portfolio and the Index also had a positive impact on relative performance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 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, 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" reflect 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, 2012 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Enhanced U.S. Large Company Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,026.04 0.24% $1.22 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.93 0.24% $1.22 26 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- U.S. Large Cap Value Portfolio** -------------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,067.74 0.27% $1.40 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.78 0.27% $1.37 U.S. Targeted Value Portfolio ----------------------------- Actual Fund Return Class R1 Shares.................... $1,000.00 $1,027.73 0.48% $2.45 Class R2 Shares.................... $1,000.00 $1,026.88 0.63% $3.21 Institutional Class Shares......... $1,000.00 $1,028.21 0.37% $1.89 Hypothetical 5% Annual Return Class R1 Shares.................... $1,000.00 $1,022.72 0.48% $2.44 Class R2 Shares.................... $1,000.00 $1,021.97 0.63% $3.20 Institutional Class Shares......... $1,000.00 $1,023.28 0.37% $1.88 U.S. Small Cap Value Portfolio ------------------------------ Actual Fund Return Institutional Class Shares......... $1,000.00 $1,032.78 0.52% $2.66 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,022.52 0.52% $2.64 U.S. Core Equity 1 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,018.16 0.19% $0.96 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,024.18 0.19% $0.97 U.S. Core Equity 2 Portfolio ---------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,024.98 0.22% $1.12 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,024.03 0.22% $1.12 U.S. Vector Equity Portfolio ---------------------------- Actual Fund Return Institutional Class Shares......... $1,000.00 $1,024.30 0.32% $1.63 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.53 0.32% $1.63 U.S. Small Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares......... $1,000.00 $1,020.40 0.37% $1.88 Hypothetical 5% Annual Return Institutional Class Shares......... $1,000.00 $1,023.28 0.37% $1.88 27 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- U.S. Micro Cap Portfolio ------------------------ Actual Fund Return Institutional Class Shares............ $1,000.00 $1,019.78 0.52% $2.64 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.52 0.52% $2.64 DFA Real Estate Securities Portfolio ------------------------------------ Actual Fund Return Institutional Class Shares............ $1,000.00 $ 999.60 0.18% $0.90 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,024.23 0.18% $0.92 Large Cap International Portfolio --------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,021.38 0.30% $1.52 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,023.63 0.30% $1.53 International Core Equity Portfolio ----------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,011.60 0.40% $2.02 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,023.13 0.40% $2.03 International Small Company Portfolio*** ---------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $ 993.37 0.56% $2.81 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.32 0.56% $2.85 Japanese Small Company Portfolio** ---------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $ 925.09 0.58% $2.81 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.22 0.58% $2.95 Asia Pacific Small Company Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares............ $1,000.00 $1,004.40 0.58% $2.92 Hypothetical 5% Annual Return Institutional Class Shares............ $1,000.00 $1,022.22 0.58% $2.95
28 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- United Kingdom Small Company Portfolio** ---------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,070.69 0.60% $3.12 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.12 0.60% $3.05 Continental Small Company Portfolio** ------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $ 997.27 0.57% $2.86 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.27 0.57% $2.90 DFA International Real Estate Securities Portfolio -------------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,134.00 0.41% $2.20 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,023.08 0.41% $2.08 DFA Global Real Estate Securities Portfolio*** ---------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,049.49 0.32% $1.65 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,023.53 0.32% $1.63 DFA International Small Cap Value Portfolio ------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,000.27 0.71% $3.57 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,021.57 0.71% $3.61 International Vector Equity Portfolio ------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,002.15 0.54% $2.72 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.42 0.54% $2.75 World ex U.S. Value Portfolio*** -------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,009.74 0.60% $3.03 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,022.12 0.60% $3.05 Selectively Hedged Global Equity Portfolio*** --------------------------------------------- Actual Fund Return Institutional Class Shares...................... $1,000.00 $1,015.76 0.40% $2.03 Hypothetical 5% Annual Return Institutional Class Shares...................... $1,000.00 $1,023.13 0.40% $2.03
29 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Emerging Markets Portfolio** ---------------------------- Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 996.33 0.62% $3.11 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,022.02 0.62% $3.15 Emerging Markets Small Cap Portfolio** -------------------------------------- Actual Fund Return Institutional Class Shares.......... $1,000.00 $1,007.35 0.85% $4.29 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,020.86 0.85% $4.32 Emerging Markets Value Portfolio** ---------------------------------- Actual Fund Return Class R2 Shares..................... $1,000.00 $ 982.24 0.87% $4.33 Institutional Class Shares.......... $1,000.00 $ 983.89 0.62% $3.09 Hypothetical 5% Annual Return Class R2 Shares..................... $1,000.00 $1,020.76 0.87% $4.42 Institutional Class Shares.......... $1,000.00 $1,022.02 0.62% $3.15 Emerging Markets Core Equity Portfolio -------------------------------------- Actual Fund Return Institutional Class Shares.......... $1,000.00 $ 992.43 0.69% $3.46 Hypothetical 5% Annual Return Institutional Class Shares.......... $1,000.00 $1,021.67 0.69% $3.51 -------- * 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 (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). *** The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affiliated Investment Companies). 30 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such 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 the Disclosure of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Master Funds' holdings which reflect the investments by category or country. FEEDER FUNDS
Affiliated Investment Companies ------------------------------- U.S. Large Cap Value Portfolio.............. 100.0% Japanese Small Company Portfolio............ 100.0% Asia Pacific Small Company Portfolio........ 100.0% United Kingdom Small Company Portfolio...... 100.0% Continental Small Company Portfolio......... 100.0% Emerging Markets Portfolio.................. 100.0% Emerging Markets Small Cap Portfolio........ 100.0% Emerging Markets Value Portfolio............ 100.0% FUND OF FUNDS International Small Company Portfolio....... 100.0% DFA Global Real Estate Securities Portfolio. 100.0% World ex U.S. Value Portfolio............... 100.0% Selectively Hedged Global Equity Portfolio.. 100.0%
31 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FIXED INCOME PORTFOLIO Enhanced U.S. Large Company Portfolio Corporate.......................... 25.3% Government......................... 7.6% Foreign Corporate.................. 28.0% Foreign Government................. 32.9% Supranational...................... 6.20% ----- 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Targeted Value Portfolio Consumer Discretionary............. 16.3% Consumer Staples................... 4.7% Energy............................. 8.2% Financials......................... 25.7% Health Care........................ 6.8% Industrials........................ 15.1% Information Technology............. 12.6% Materials.......................... 8.3% Other.............................. -- Telecommunication Services......... 1.3% Utilities.......................... 1.0% ----- 100.0% U.S. Small Cap Value Portfolio Consumer Discretionary............. 18.4% Consumer Staples................... 4.5% Energy............................. 8.8% Financials......................... 25.5% Health Care........................ 4.3% Industrials........................ 17.2% Information Technology............. 12.5% Materials.......................... 8.4% Other.............................. -- Telecommunication Services......... 0.3% Utilities.......................... 0.1% ----- 100.0% U.S. Core Equity 1 Portfolio Consumer Discretionary............. 13.9% Consumer Staples................... 8.1% Energy............................. 10.1% Financials......................... 16.5% Health Care........................ 11.1% Industrials........................ 12.9% Information Technology............. 16.2% Materials.......................... 5.0% Other.............................. -- Telecommunication Services......... 2.7% Utilities.......................... 3.5% ----- 100.0% U.S. Core Equity 2 Portfolio Consumer Discretionary............. 14.4% Consumer Staples................... 6.6% Energy............................. 11.1% Financials......................... 19.6% Health Care........................ 10.8% Industrials........................ 13.8% Information Technology............. 12.8% Materials.......................... 5.2% Other.............................. -- Telecommunication Services......... 3.3% Utilities.......................... 2.4% ----- 100.0% U.S. Vector Equity Portfolio Consumer Discretionary............. 15.9% Consumer Staples................... 5.5% Energy............................. 9.9% Financials......................... 24.1% Health Care........................ 8.7% Industrials........................ 14.3% Information Technology............. 11.6% Materials.......................... 6.2% Other.............................. -- Telecommunication Services......... 2.4% Utilities.......................... 1.4% ----- 100.0% U.S. Small Cap Portfolio Consumer Discretionary............. 18.6% Consumer Staples................... 4.5% Energy............................. 4.6% Financials......................... 16.3% Health Care........................ 10.2% Industrials........................ 18.4% Information Technology............. 17.7% Materials.......................... 5.7% Other.............................. -- Telecommunication Services......... 0.5% Utilities.......................... 3.5% ----- 100.0% U.S. Micro Cap Portfolio Consumer Discretionary............. 17.8% Consumer Staples................... 4.6% Energy............................. 4.5% Financials......................... 17.8% Health Care........................ 11.5% Industrials........................ 17.0% Information Technology............. 17.4% Materials.......................... 6.2% Other.............................. -- Telecommunication Services......... 1.2% Utilities.......................... 2.0% ----- 100.0% DFA Real Estate Securities Portfolio Real Estate Investment Trusts...... 100.0% ----- 100.0% Large Cap International Portfolio Consumer Discretionary............. 9.8% Consumer Staples................... 10.9% Energy............................. 10.8% Financials......................... 24.1% Health Care........................ 9.0% Industrials........................ 11.9% Information Technology............. 4.1% Materials.......................... 11.1% Real Estate Investment Trusts...... -- Telecommunication Services......... 4.9% Utilities.......................... 3.4% ----- 100.0% 32 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED International Core Equity Portfolio Consumer Discretionary..... 12.6% Consumer Staples........... 7.2% Energy..................... 10.0% Financials................. 25.3% Health Care................ 5.1% Industrials................ 16.4% Information Technology..... 5.0% Materials.................. 12.1% Other...................... -- Telecommunication Services. 3.3% Utilities.................. 3.0% ----- 100.0% DFA International Real Estate Securities Portfolio Consumer Discretionary........ 0.2% Financials.................... 0.2% Health Care................... 0.2% Real Estate Investment Trusts. 99.4% ----- 100.0% DFA International Small Cap Value Portfolio Consumer Discretionary..... 19.6% Consumer Staples........... 4.5% Energy..................... 5.7% Financials................. 20.6% Health Care................ 2.2% Industrials................ 25.1% Information Technology..... 4.9% Materials.................. 16.7% Other...................... -- Telecommunication Services. 0.3% Utilities.................. 0.4% ----- 100.0% International Vector Equity Portfolio Consumer Discretionary..... 14.5% Consumer Staples........... 6.3% Energy..................... 8.6% Financials................. 25.0% Health Care................ 4.3% Industrials................ 17.9% Information Technology..... 5.8% Materials.................. 13.1% Telecommunication Services. 2.6% Utilities.................. 1.9% ----- 100.0% Emerging Markets Core Equity Portfolio Consumer Discretionary........ 10.3% Consumer Staples.............. 8.3% Energy........................ 9.8% Financials.................... 24.6% Health Care................... 2.3% Industrials................... 10.9% Information Technology........ 11.5% Materials..................... 13.6% Real Estate Investment Trusts. -- Telecommunication Services.... 5.0% Utilities..................... 3.7% ----- 100.0% 33 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012
Face Amount^ Value+ ------- ----------- (000) BONDS -- (87.6%) AUSTRALIA -- (2.8%) BHP Billiton Finance USA, Ltd. (u) 4.800%, 04/15/13...................................... 600 $ 611,920 Westpac Banking Corp. (e) 6.500%, 06/24/13...................................... 3,500 4,712,942 ----------- TOTAL AUSTRALIA........................................... 5,324,862 ----------- AUSTRIA -- (5.0%) KA Finanz AG 2.250%, 03/24/14 4,300 5,714,421 Republic of Austria (u) 5.000%, 05/19/14...................................... 3,500 3,737,020 ----------- TOTAL AUSTRIA............................................. 9,451,441 ----------- CANADA -- (9.9%) British Columbia, Province of Canada 5.500%, 04/24/13 2,000 2,042,253 Canadian Imperial Bank of Commerce (u) 1.450%, 09/13/13...................................... 600 605,757 Canadian National Railway Co. (u) 4.400%, 03/15/13...................................... 600 608,845 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13...................................... 600 606,725 Enbridge, Inc. (u) 5.800%, 06/15/14...................................... 1,100 1,187,024 Encana Corp. (u) 4.750%, 10/15/13...................................... 800 829,381 Husky Energy, Inc. (u) 5.900%, 06/15/14...................................... 1,000 1,079,701 Ontario, Province of Canada 5.500%, 04/17/13...................................... 4,000 4,080,300 (u) 4.100%, 06/16/14...................................... 1,000 1,059,480 Thomson Reuters Corp. (u) 5.700%, 10/01/14...................................... 800 873,418 Toronto-Dominion Bank (The) (u) 1.375%, 07/14/14...................................... 5,000 5,074,870 TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13...................................... 685 700,760 ----------- TOTAL CANADA.............................................. 18,748,514 ----------- DENMARK -- (2.1%) Kommunekredit A.S. (u) 1.250%, 09/03/13...................................... 4,000 4,030,200 ----------- Face Amount^ Value+ ------- ----------- (000) FINLAND -- (0.3%) Nordea Bank Finland P.L.C. Floating Rate Note (r)(u)0.919%, 02/07/13.................................... 500 $ 500,490 ----------- FRANCE -- (9.5%) Caisse d'Amortissement de la Dette Sociale (u) 1.625%, 03/17/14...................................... 5,000 5,076,700 Reseau Ferre de France 4.625%, 03/17/14...................................... 3,000 4,106,417 Societe Financement del'Economie Francaise SA 3.250%, 01/16/14...................................... 3,500 4,699,469 Total Capital SA (g) 5.500%, 01/29/13...................................... 2,500 4,076,653 ----------- TOTAL FRANCE.............................................. 17,959,239 ----------- GERMANY -- (9.0%) Deutsche Bank AG (u) 2.375%, 01/11/13...................................... 600 602,063 Kreditanstalt fur Wiederaufbau (u) 4.000%, 10/15/13...................................... 3,000 3,104,040 Landeskreditbank Baden-Wuerttemberg Foerderbank 3.250%, 01/29/14...................................... 3,000 4,036,103 Landwirtschaftliche Rentenbank (u) 4.125%, 07/15/13...................................... 4,000 4,104,920 NRW.Bank (u) 1.375%, 08/26/13...................................... 5,000 5,028,500 ----------- TOTAL GERMANY............................................. 16,875,626 ----------- NETHERLANDS -- (9.7%) Bank Nederlandse Gemeenten NV 3.750%, 03/14/14...................................... 3,000 4,071,480 Diageo Finance BV (u) 5.500%, 04/01/13...................................... 600 612,566 Koninklijke Philips Electronics NV (u) 7.250%, 08/15/13...................................... 1,000 1,049,837 Nederlandse Waterschapsbank NV (u) 1.375%, 05/16/14...................................... 3,000 3,037,260 Rabobank Nederland NV (u) 2.500%, 12/12/13...................................... 2,000 2,039,200
34 Enhanced U.S. Large Company Portfolio CONTINUED
Face Amount^ Value+ ------- ----------- (000) NETHERLANDS -- (Continued) 4.375%, 01/22/14....................................... 2,000 $ 2,714,268 SNS Bank NV 3.500%, 03/10/14....................................... 3,500 4,730,194 ----------- TOTAL NETHERLANDS......................................... 18,254,805 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (6.2%) Eurofima (c) 4.875%, 12/04/12...................................... 2,500 2,510,180 (u) 4.250%, 02/04/14...................................... 2,500 2,615,400 European Financial Stability Facility (e) 1.000%, 03/12/14...................................... 1,000 1,309,475 European Investment Bank (u) 3.125%, 06/04/14...................................... 5,000 5,210,500 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS 11,645,555 ----------- SWEDEN -- (4.7%) Nordea Bank AB (e) 4.500%, 05/12/14...................................... 3,000 4,115,889 Svenska Handelsbanken AB (e) 4.875%, 03/25/14...................................... 3,500 4,807,111 ----------- TOTAL SWEDEN.............................................. 8,923,000 ----------- SWITZERLAND -- (0.3%) Credit Suisse New York AG (u) 5.000%, 05/15/13...................................... 600 614,423 ----------- UNITED KINGDOM -- (1.7%) Barclays Bank P.L.C. (u) 5.200%, 07/10/14...................................... 300 320,759 BP Capital Markets P.L.C. (u) 5.250%, 11/07/13...................................... 1,750 1,834,655 Vodafone Group P.L.C. (u) 5.000%, 12/16/13...................................... 1,000 1,050,091 ----------- TOTAL UNITED KINGDOM...................................... 3,205,505 ----------- UNITED STATES -- (26.4%) Allstate Corp. (The) 7.500%, 06/15/13....................................... $ 489 509,999 American Express Credit Corp. 7.300%, 08/20/13....................................... 500 526,881 Anheuser-Busch Cos., Inc. 4.375%, 01/15/13....................................... 700 704,560 Face Amount Value+ ------- ----------- (000) UNITED STATES -- (Continued) Apache Corp. 5.250%, 04/15/13....................................... $ 700 $ 714,979 Assurant, Inc. 5.625%, 02/15/14....................................... 1,000 1,039,081 Avery Dennison Corp. 4.875%, 01/15/13....................................... 600 605,079 Bank of America Corp. 7.375%, 05/15/14....................................... 1,000 1,092,637 BB&T Corp. 3.375%, 09/25/13....................................... 600 615,264 BlackRock, Inc. 2.250%, 12/10/12....................................... 600 601,075 Bristol-Myers Squibb Co. 5.250%, 08/15/13....................................... 345 358,344 Burlington Northern Santa Fe LLC 4.300%, 07/01/13....................................... 600 615,069 Campbell Soup Co. 4.875%, 10/01/13....................................... 251 260,966 Caterpillar Financial Services Corp. 2.000%, 04/05/13....................................... 650 654,612 CenterPoint Energy Resources Corp. 7.875%, 04/01/13....................................... 600 616,874 Cisco Systems, Inc. 1.625%, 03/14/14....................................... 1,000 1,016,508 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13....................................... 1,921 1,929,767 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13....................................... 600 617,165 Consolidated Edison Co. of New York, Inc. 3.850%, 06/15/13....................................... 250 255,277 Daimler Finance North America LLC 6.500%, 11/15/13....................................... 1,500 1,589,066 Dell, Inc. 1.400%, 09/10/13....................................... 600 604,380 Dominion Resources, Inc. 5.000%, 03/15/13....................................... 600 609,840 Duke Energy Corp. 3.950%, 09/15/14....................................... 1,600 1,693,368 Enterprise Products Operating LLC 9.750%, 01/31/14....................................... 1,000 1,108,983 Express Scripts Holding Co. 6.250%, 06/15/14....................................... 1,500 1,629,700
35 Enhanced U.S. Large Company Portfolio CONTINUED
Face Amount Value+ ---------- ------------ (000) UNITED STATES -- (Continued) Fifth Third Bancorp 6.250%, 05/01/13.................................... $ 600 $ 616,747 General Electric Capital Corp. 1.875%, 09/16/13.................................... 1,500 1,519,674 2.100%, 01/07/14.................................... 3,500 3,563,497 Georgia Power Co. 1.300%, 09/15/13.................................... 700 705,591 Goldman Sachs Group, Inc. (The) 5.450%, 11/01/12.................................... 1,360 1,360,000 Hartford Financial Services Group, Inc. 4.750%, 03/01/14.................................... 1,580 1,647,902 Hewlett-Packard Co. 4.500%, 03/01/13.................................... 600 606,523 1.250%, 09/13/13.................................... 500 500,189 Historic TW, Inc. 9.125%, 01/15/13.................................... 600 609,689 HSBC Finance Corp. 6.375%, 11/27/12.................................... 600 602,174 John Deere Capital Corp. 4.500%, 04/03/13.................................... 700 712,121 JPMorgan Chase & Co. 2.050%, 01/24/14.................................... 1,000 1,017,470 Kimberly-Clark Corp. 5.000%, 08/15/13.................................... 600 622,312 Kroger Co. (The) 5.500%, 02/01/13.................................... 600 606,935 MetLife, Inc. 5.375%, 12/15/12.................................... 1,000 1,005,474 5.000%, 11/24/13.................................... 350 366,694 Nisource Finance Corp. 6.150%, 03/01/13.................................... 273 277,575 PACCAR Financial Corp. 2.050%, 06/17/13.................................... 600 606,548 Philip Morris International, Inc. 4.875%, 05/16/13.................................... 600 613,841 Praxair, Inc. 2.125%, 06/14/13.................................... 815 822,937 Principal Financial Group, Inc. 7.875%, 05/15/14.................................... 1,500 1,658,754 Prudential Financial, Inc. 5.150%, 01/15/13.................................... 600 605,562 Reynolds American, Inc. 7.250%, 06/01/13.................................... 600 622,630 Spectra Energy Capital LLC 5.500%, 03/01/14.................................... 1,500 1,581,377 St. Jude Medical, Inc. 2.200%, 09/15/13.................................... 1,800 1,823,054 Face Amount Value+ ---------- ------------ (000) UNITED STATES -- (Continued) SunTrust Banks, Inc. 5.250%, 11/05/12.................................... $ 500 $ 500,000 TD Ameritrade Holding Corp. 2.950%, 12/01/12.................................... 700 701,342 Travelers Property Casualty Corp. 5.000%, 03/15/13.................................... 700 711,375 Union Bank NA 2.125%, 12/16/13.................................... 1,050 1,070,104 UnitedHealth Group, Inc. 4.875%, 04/01/13.................................... 600 610,383 Wachovia Corp. 5.500%, 05/01/13.................................... 1,000 1,024,648 Wells Fargo Bank & Co. 4.375%, 01/31/13.................................... 500 504,843 ------------ TOTAL UNITED STATES.................................... 49,767,439 ------------ TOTAL BONDS............................................ 165,301,099 ------------ AGENCY OBLIGATIONS -- (8.0%) Federal Home Loan Mortgage Corporation Discount Note ^^1.000%, 12/31/12..................................... 5,000 4,999,250 Federal National Mortgage Association 0.750%, 12/18/13.................................... 5,500 5,533,462 Federal National Mortgage Association Discount Note ^^1.000%, 12/26/12..................................... 4,600 4,599,437 ------------ TOTAL AGENCY OBLIGATIONS............................... 15,132,149 ------------ Shares ---------- EXCHANGE-TRADED FUND -- (3.3%) UNITED STATES -- (3.3%) SPDR Trust Series I................................. 44,100 6,226,038 ------------ TEMPORARY CASH INVESTMENTS -- (1.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.............................. 1,964,613 1,964,613 ------------ TOTAL INVESTMENTS --(100.0%) (Cost $186,485,930).................................. $188,623,899 ============
36 Enhanced U.S. Large Company Portfolio CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------------ ------- ------------ Bonds......................... -- $165,301,099 -- $165,301,099 Agency Obligations............ -- 15,132,149 -- 15,132,149 Exchange-Traded Fund.......... $ 6,226,038 -- -- 6,226,038 Temporary Cash Investments.... 1,964,613 -- -- 1,964,613 Forward Currency Contracts**.. -- (1,181,307) -- (1,181,307) Futures Contracts**........... 2,825,538 -- -- 2,825,538 ----------- ------------ -- ------------ TOTAL......................... $11,016,189 $179,251,941 -- $190,268,130 =========== ============ == ============ ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 37 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%)...................... Investment in The U.S. Large Cap Value Series of............... The DFA Investment Trust Company............................ $8,335,906,814 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $6,139,973,441) $8,335,906,814 ============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 38 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (88.1%) Consumer Discretionary -- (14.4%) *Cabela's, Inc....................... 326,469 $ 14,629,076 0.5% Dillard's, Inc. Class A............. 230,083 17,716,391 0.6% #GameStop Corp. Class A.............. 635,798 14,515,268 0.5% #Lennar Corp. Class A................ 638,026 23,906,834 0.8% *Mohawk Industries, Inc.............. 298,339 24,902,356 0.8% *Toll Brothers, Inc.................. 358,683 11,840,126 0.4% Other Securities.................... 389,593,136 12.7% ------------ ---- Total Consumer Discretionary............ 497,103,187 16.3% ------------ ---- Consumer Staples -- (4.1%) *Constellation Brands, Inc. Class A.. 373,609 13,203,342 0.4% *Hain Celestial Group, Inc. (The).... 217,855 12,592,019 0.4% *Ralcorp Holdings, Inc............... 153,458 11,078,133 0.4% #*Smithfield Foods, Inc............... 767,800 15,716,866 0.5% Other Securities.................... 89,905,302 3.0% ------------ ---- Total Consumer Staples.................. 142,495,662 4.7% ------------ ---- Energy -- (7.2%) *Rowan Cos. P.L.C. Class A........... 630,839 20,003,905 0.7% Tesoro Corp......................... 728,585 27,474,940 0.9% Tidewater, Inc...................... 256,438 12,183,369 0.4% #Western Refining, Inc............... 423,850 10,541,150 0.3% Other Securities.................... 178,509,585 5.8% ------------ ---- Total Energy............................ 248,712,949 8.1% ------------ ---- Financials -- (22.7%) Allied World Assurance Co. Holdings AG....................... 192,146 15,429,324 0.5% Alterra Capital Holdings, Ltd....... 443,922 10,845,014 0.3% *American Capital, Ltd............... 1,347,022 15,881,389 0.5% #American Financial Group, Inc....... 465,600 18,065,280 0.6% Aspen Insurance Holdings, Ltd....... 342,379 11,075,961 0.4% #Assurant, Inc....................... 429,284 16,231,228 0.5% Axis Capital Holdings, Ltd.......... 593,046 21,480,126 0.7% CNO Financial Group, Inc............ 1,174,038 11,247,284 0.4% Everest Re Group, Ltd............... 155,023 17,215,304 0.6% #Legg Mason, Inc..................... 686,279 17,486,389 0.6% NASDAQ OMX Group, Inc. (The)........ 858,799 20,448,004 0.7% Old Republic International Corp..... 1,125,422 11,119,169 0.4% PartnerRe, Ltd...................... 301,355 24,409,755 0.8% People's United Financial, Inc...... 1,422,378 17,111,207 0.5% #Protective Life Corp................ 383,246 10,462,616 0.3% Reinsurance Group of America, Inc... 356,518 18,866,933 0.6% Validus Holdings, Ltd............... 380,327 13,615,707 0.4% #Zions Bancorporation................ 669,978 14,384,428 0.5% Other Securities.................... 496,802,727 16.3% ------------ ---- Total Financials........................ 782,177,845 25.6% ------------ ---- Health Care -- (6.0%) Coventry Health Care, Inc........... 662,402 28,907,223 1.0% #Omnicare, Inc....................... 551,404 19,039,980 0.6% Teleflex, Inc....................... 166,382 11,305,657 0.4% Other Securities.................... 146,830,421 4.8% ------------ ---- Total Health Care....................... 206,083,281 6.8% ------------ ---- Industrials -- (13.3%) *Owens Corning, Inc.................. 567,793 19,072,167 0.6% 39 U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) *Quanta Services, Inc........................................................ 507,693 $ 13,164,479 0.4% Ryder System, Inc........................................................... 245,750 11,088,240 0.4% Trinity Industries, Inc..................................................... 409,075 12,795,866 0.4% Other Securities............................................................ 404,389,894 13.3% -------------- ---- Total Industrials............................................................... 460,510,646 15.1% -------------- ---- Information Technology -- (11.1%) *AOL, Inc.................................................................... 465,034 15,964,617 0.5% *Arrow Electronics, Inc...................................................... 463,696 16,336,010 0.6% #*Avnet, Inc.................................................................. 540,580 15,487,617 0.5% *Tech Data Corp.............................................................. 261,278 11,577,228 0.4% Other Securities............................................................ 324,457,825 10.6% -------------- ---- Total Information Technology.................................................... 383,823,297 12.6% -------------- ---- Materials -- (7.3%) Ashland, Inc................................................................ 237,924 16,928,293 0.6% *Coeur d'Alene Mines Corp.................................................... 421,417 13,025,999 0.4% #Domtar Corp................................................................. 168,731 13,456,297 0.4% #*Louisiana-Pacific Corp...................................................... 736,661 11,631,877 0.4% Reliance Steel & Aluminum Co................................................ 352,172 19,137,026 0.6% Rock-Tenn Co. Class A....................................................... 245,760 17,987,174 0.6% Other Securities............................................................ 160,968,085 5.3% -------------- ---- Total Materials................................................................. 253,134,751 8.3% -------------- ---- Other -- (0.0%) Other Securities............................................................ -- 0.0% -------------- ---- Telecommunication Services -- (1.1%) Other Securities............................................................ 39,185,854 1.3% -------------- ---- Utilities -- (0.9%) #NRG Energy, Inc............................................................. 657,780 14,181,737 0.4% Other Securities............................................................ 17,332,727 0.6% -------------- ---- Total Utilities................................................................. 31,514,464 1.0% -------------- ---- TOTAL COMMON STOCKS............................................................. 3,044,741,936 99.8% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities............................................................ 62,038 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 3,983,433 3,983,433 0.1% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (11.8%) (S)@DFA Short Term Investment Fund.............................................. 34,988,807 404,820,495 13.3% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,100,507 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,103,818) to be repurchased at $1,068,435.................................................. $ 1,068 1,068,426 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL............................................. 405,888,921 13.3% -------------- ----
40 U.S. TARGETED VALUE PORTFOLIO CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,024,832,050)..................... $3,454,676,328 113.2% ============== ===== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary... $ 497,098,796 $ 4,391 -- $ 497,103,187 Consumer Staples......... 142,495,662 -- -- 142,495,662 Energy................... 248,610,889 102,060 -- 248,712,949 Financials............... 782,177,845 -- -- 782,177,845 Health Care.............. 205,941,961 141,320 -- 206,083,281 Industrials.............. 460,399,468 111,178 -- 460,510,646 Information Technology... 383,823,297 -- -- 383,823,297 Materials................ 253,134,751 -- -- 253,134,751 Other.................... -- -- -- -- Telecommunication Services............... 39,185,854 -- -- 39,185,854 Utilities................ 31,514,464 -- -- 31,514,464 Rights/Warrants............. 61,997 41 -- 62,038 Temporary Cash Investments.. 3,983,433 -- -- 3,983,433 Securities Lending Collateral................ -- 405,888,921 -- 405,888,921 -------------- ------------ -- -------------- TOTAL....................... $3,048,428,417 $406,247,911 -- $3,454,676,328 ============== ============ == ============== See accompanying Notes to Financial Statements. 41 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- -------------- --------------- COMMON STOCKS -- (88.8%) Consumer Discretionary -- (16.4%) #*Cabela's, Inc................... 1,287,489 $ 57,692,382 0.8% #Dillard's, Inc. Class A......... 1,136,061 87,476,697 1.2% #Group 1 Automotive, Inc......... 524,432 32,520,028 0.5% #*Iconix Brand Group, Inc......... 2,044,664 37,846,731 0.5% #Penske Automotive Group, Inc.... 1,277,301 39,085,411 0.6% #Rent-A-Center, Inc.............. 1,626,484 54,210,712 0.8% #*Ryman Hospitality Properties.... 1,272,691 49,647,676 0.7% #Scholastic Corp................. 1,436,861 47,402,044 0.7% Other Securities................ 895,541,723 12.6% -------------- ---- Total Consumer Discretionary........ 1,301,423,404 18.4% -------------- ---- Consumer Staples -- (4.0%) #Fresh Del Monte Produce, Inc.... 1,551,187 39,043,377 0.6% *Hain Celestial Group, Inc. (The).......................... 1,084,318 62,673,580 0.9% #Universal Corp.................. 851,741 42,212,284 0.6% Other Securities................ 172,594,212 2.4% -------------- ---- Total Consumer Staples.............. 316,523,453 4.5% -------------- ---- Energy -- (7.8%) Bristow Group, Inc.............. 1,272,598 63,528,092 0.9% #*Exterran Holdings, Inc.......... 1,914,243 38,246,575 0.6% *Helix Energy Solutions Group, Inc............................ 3,726,588 64,432,707 0.9% #*Hornbeck Offshore Services, Inc. 1,304,913 45,202,186 0.6% #*SEACOR Holdings, Inc............ 457,937 40,165,654 0.6% #Western Refining, Inc........... 1,985,639 49,382,842 0.7% Other Securities................ 319,626,231 4.5% -------------- ---- Total Energy........................ 620,584,287 8.8% -------------- ---- Financials -- (22.6%) *Alexander & Baldwin, Inc........ 1,217,868 35,232,921 0.5% #CNO Financial Group, Inc........ 8,673,411 83,091,277 1.2% Endurance Specialty Holdings, Ltd........................... 1,001,612 40,615,367 0.6% Kemper Corp..................... 1,575,685 48,846,235 0.7% #*MBIA, Inc....................... 3,627,943 35,916,636 0.5% Montpelier Re Holdings, Ltd..... 2,238,256 51,188,915 0.7% #*PHH Corp........................ 1,987,912 41,368,449 0.6% Provident Financial Services, Inc........................... 2,329,292 34,939,380 0.5% #Selective Insurance Group, Inc.. 1,837,838 33,981,625 0.5% #Susquehanna Bancshares, Inc..... 4,754,073 49,299,737 0.7% #Umpqua Holdings Corp............ 3,734,973 45,155,824 0.6% #Webster Financial Corp.......... 1,831,262 40,287,764 0.6% #Wintrust Financial Corp......... 1,249,333 46,162,854 0.6% Other Securities................ 1,214,320,698 17.1% -------------- ---- Total Financials.................... 1,800,407,682 25.4% -------------- ---- Health Care -- (3.8%) *LifePoint Hospitals, Inc........ 1,931,002 68,241,611 1.0% Other Securities................ 236,870,745 3.3% -------------- ---- Total Health Care................... 305,112,356 4.3% -------------- ---- Industrials -- (15.2%) #Amerco, Inc..................... 346,723 40,060,375 0.6% #*Atlas Air Worldwide Holdings, Inc............................. 660,670 36,330,243 0.5% #*Avis Budget Group, Inc.......... 4,147,655 68,560,737 1.0% *Esterline Technologies Corp..... 1,171,847 67,721,038 0.9% #GATX Corp....................... 1,710,701 70,925,663 1.0% 42 U.S. Small Cap Value Portfolio CONTINUED Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) #*General Cable Corp............ 1,261,950 $ 36,003,433 0.5% #*JetBlue Airways Corp.......... 10,210,930 54,015,820 0.7% *Seaboard Corp................. 18,588 42,405,362 0.6% #Trinity Industries, Inc....... 1,061,083 33,190,676 0.5% Other Securities.............. 763,015,204 10.8% -------------- ---- Total Industrials................. 1,212,228,551 17.1% -------------- ---- Information Technology -- (11.1%) *Benchmark Electronics, Inc.... 2,338,129 34,651,072 0.5% #*CACI International, Inc. Class A....................... 780,164 39,343,671 0.5% #Convergys Corp................ 4,073,697 68,478,847 1.0% #*Fairchild Semiconductor International, Inc............ 2,958,679 34,794,065 0.5% #*SYNNEX Corp................... 1,143,432 37,035,762 0.5% Other Securities.............. 667,384,640 9.4% -------------- ---- Total Information Technology...... 881,688,057 12.4% -------------- ---- Materials -- (7.5%) #*Coeur d'Alene Mines Corp...... 1,657,693 51,239,291 0.7% *Graphic Packaging Holding Co.. 5,936,036 35,141,333 0.5% #Kaiser Aluminum Corp.......... 632,304 38,304,976 0.5% #*Louisiana-Pacific Corp........ 5,305,120 83,767,845 1.2% #Westlake Chemical Corp........ 1,074,932 81,759,328 1.2% Other Securities.............. 306,988,842 4.3% -------------- ---- Total Materials................... 597,201,615 8.4% -------------- ---- Other -- (0.0%) Other Securities.............. 6,156 0.0% -------------- ---- Telecommunication Services -- (0.3%) Other Securities.............. 24,522,710 0.3% -------------- ---- Utilities -- (0.1%) Other Securities.............. 7,667,599 0.1% -------------- ---- TOTAL COMMON STOCKS............... 7,067,365,870 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities.............. 84,611 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.............. 154,410 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares........ 33,889,756 33,889,756 0.5% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (10.8%) (S)@DFA Short Term Investment Fund............................ 73,743,297 853,209,950 12.1% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $2,319,458 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $2,326,438) to be repurchased at $2,251,863...................... $ 2,252 2,251,844 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL...................... 855,461,794 12.1% -------------- ---- 43 U.S. Small Cap Value Portfolio CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%)................... (Cost $7,171,018,202) $7,956,956,441 112.3% ============== ===== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary... $1,301,423,404 -- -- $1,301,423,404 Consumer Staples......... 316,523,453 -- -- 316,523,453 Energy................... 620,413,455 $ 170,832 -- 620,584,287 Financials............... 1,800,407,682 -- -- 1,800,407,682 Health Care.............. 304,260,154 852,202 -- 305,112,356 Industrials.............. 1,211,592,934 635,617 -- 1,212,228,551 Information Technology... 881,688,057 -- -- 881,688,057 Materials................ 597,201,615 -- -- 597,201,615 Other.................... -- 6,156 -- 6,156 Telecommunication Services............... 24,522,710 -- -- 24,522,710 Utilities................ 7,667,599 -- -- 7,667,599 Preferred Stocks Energy................... -- 84,611 -- 84,611 Rights/Warrants............. 145,936 8,474 -- 154,410 Temporary Cash Investments.. 33,889,756 -- -- 33,889,756 Securities Lending Collateral................ -- 855,461,794 -- 855,461,794 -------------- ------------ -- -------------- TOTAL....................... $7,099,736,755 $857,219,686 -- $7,956,956,441 ============== ============ == ============== See accompanying Notes to Financial Statements. 44 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (86.8%) Consumer Discretionary -- (12.1%) *Amazon.com, Inc.................... 73,170 $ 17,035,439 0.3% Comcast Corp. Class A.............. 598,894 22,464,514 0.5% Home Depot, Inc. (The)............. 297,267 18,246,248 0.4% McDonald's Corp.................... 201,938 17,528,218 0.4% #News Corp. Class A................. 450,943 10,786,557 0.2% Time Warner, Inc................... 272,477 11,839,126 0.2% Walt Disney Co. (The).............. 447,208 21,944,497 0.5% Other Securities................... 556,857,657 11.4% ------------ ---- Total Consumer Discretionary........... 676,702,256 13.9% ------------ ---- Consumer Staples -- (7.1%) Altria Group, Inc.................. 386,613 12,294,293 0.3% #Coca-Cola Co. (The)................ 820,326 30,499,721 0.6% CVS Caremark Corp.................. 355,692 16,504,109 0.3% Mondelez International, Inc. Class A.......................... 481,707 12,784,504 0.3% PepsiCo, Inc....................... 310,570 21,503,867 0.4% Philip Morris International, Inc... 341,453 30,239,078 0.6% Procter & Gamble Co. (The)......... 444,296 30,763,055 0.6% Wal-Mart Stores, Inc............... 499,081 37,441,057 0.8% Other Securities................... 203,000,171 4.2% ------------ ---- Total Consumer Staples................. 395,029,855 8.1% ------------ ---- Energy -- (8.8%) Chevron Corp....................... 555,913 61,267,172 1.2% ConocoPhillips..................... 343,340 19,862,219 0.4% Exxon Mobil Corp................... 906,263 82,623,998 1.7% Occidental Petroleum Corp.......... 210,492 16,620,448 0.3% Schlumberger, Ltd.................. 255,671 17,776,805 0.4% Other Securities................... 291,110,605 6.0% ------------ ---- Total Energy........................... 489,261,247 10.0% ------------ ---- Financials -- (14.3%) American Express Co................ 195,451 10,939,392 0.2% Bank of America Corp............... 3,021,536 28,160,716 0.6% *Berkshire Hathaway, Inc. Class B... 354,267 30,590,955 0.6% Citigroup, Inc..................... 811,834 30,354,473 0.6% Goldman Sachs Group, Inc. (The).... 131,829 16,134,551 0.3% JPMorgan Chase & Co................ 1,045,479 43,575,565 0.9% U.S. Bancorp....................... 508,644 16,892,067 0.4% Wells Fargo & Co................... 1,421,763 47,899,195 1.0% Other Securities................... 577,479,985 11.8% ------------ ---- Total Financials....................... 802,026,899 16.4% ------------ ---- Health Care -- (9.6%) Abbott Laboratories................ 313,084 20,513,264 0.4% Amgen, Inc......................... 198,736 17,199,607 0.4% Johnson & Johnson.................. 586,544 41,539,046 0.9% Merck & Co., Inc................... 801,185 36,558,072 0.7% #Pfizer, Inc........................ 2,124,032 52,824,676 1.1% UnitedHealth Group, Inc............ 245,508 13,748,448 0.3% Other Securities................... 356,532,581 7.3% ------------ ---- Total Health Care...................... 538,915,694 11.1% ------------ ---- Industrials -- (11.2%) 3M Co.............................. 128,759 11,279,288 0.2% General Electric Co................ 2,949,640 62,119,418 1.3% 45 U.S. Core Equity 1 Portfolio CONTINUED Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) Union Pacific Corp............. 133,124 $ 16,378,246 0.3% United Technologies Corp....... 170,046 13,290,795 0.3% Other Securities............... 522,468,562 10.7% -------------- ---- Total Industrials.................. 625,536,309 12.8% -------------- ---- Information Technology -- (14.0%) Apple, Inc..................... 192,709 114,681,126 2.4% *Cisco Systems, Inc............. 1,163,085 19,935,277 0.4% *eBay, Inc...................... 225,590 10,893,741 0.2% *Google, Inc. Class A........... 51,548 35,040,784 0.7% Intel Corp..................... 977,362 21,135,453 0.4% International Business Machines Corp................ 219,826 42,762,752 0.9% Microsoft Corp................. 1,530,121 43,662,003 0.9% Oracle Corp.................... 776,113 24,098,309 0.5% QUALCOMM, Inc.................. 339,292 19,874,029 0.4% Visa, Inc...................... 114,676 15,912,442 0.3% Other Securities............... 436,758,642 9.0% -------------- ---- Total Information Technology....... 784,754,558 16.1% -------------- ---- Materials -- (4.4%) Other Securities............... 243,570,457 5.0% -------------- ---- Other -- (0.0%) Other Securities............... -- 0.0% -------------- ---- Telecommunication Services -- (2.3%) AT&T, Inc...................... 1,637,332 56,635,314 1.1% Verizon Communications, Inc.... 729,538 32,566,576 0.7% Other Securities............... 39,819,239 0.8% -------------- ---- Total Telecommunication Services... 129,021,129 2.6% -------------- ---- Utilities -- (3.0%) Other Securities............... 169,532,898 3.5% -------------- ---- TOTAL COMMON STOCKS................ 4,854,351,302 99.5% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities............... 6,330 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities............... 16,931 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 18,707,243 18,707,243 0.4% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.9%) (S)@DFA Short Term Investment Fund. 62,379,366 721,729,267 14.8% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,962,028 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,967,932) to be repurchased at $1,904,849..... $ 1,905 1,904,833 0.1% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL....................... 723,634,100 14.9% -------------- ---- 46 U.S. Core Equity 1 Portfolio CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,846,823,008)...................... $5,596,715,906 114.8% ============== ===== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary.. $ 676,674,520 $ 27,736 -- $ 676,702,256 Consumer Staples........ 395,029,855 -- -- 395,029,855 Energy.................. 489,242,390 18,857 -- 489,261,247 Financials.............. 802,026,899 -- -- 802,026,899 Health Care............. 538,900,236 15,458 -- 538,915,694 Industrials............. 625,519,189 17,120 -- 625,536,309 Information Technology.. 784,754,558 -- -- 784,754,558 Materials............... 243,570,457 -- -- 243,570,457 Other................... -- -- -- -- Telecommunication Services.............. 129,021,129 -- -- 129,021,129 Utilities............... 169,532,898 -- -- 169,532,898 Preferred Stocks Energy.................. -- 6,330 -- 6,330 Rights/Warrants............. 16,711 220 -- 16,931 Temporary Cash Investments.. 18,707,243 -- -- 18,707,243 Securities Lending Collateral................ -- 723,634,100 -- 723,634,100 -------------- ------------ -- -------------- TOTAL....................... $4,872,996,085 $723,719,821 -- $5,596,715,906 ============== ============ == ============== See accompanying Notes to Financial Statements. 47 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** --------- -------------- --------------- COMMON STOCKS -- (87.6%) Consumer Discretionary -- (12.6%) Comcast Corp. Class A............ 1,069,364 $ 40,111,844 0.6% Home Depot, Inc. (The)........... 301,629 18,513,988 0.3% *Liberty Media Corp. - Liberty Capital Class A................. 135,703 15,153,954 0.2% #News Corp. Class A............... 846,333 20,244,285 0.3% #Time Warner Cable, Inc........... 159,874 15,845,112 0.2% #Time Warner, Inc................. 505,637 21,969,928 0.3% Walt Disney Co. (The)............ 830,524 40,753,813 0.6% Other Securities................. 817,352,451 11.8% -------------- ---- Total Consumer Discretionary......... 989,945,375 14.3% -------------- ---- Consumer Staples -- (5.8%) Coca-Cola Co. (The).............. 439,242 16,331,018 0.2% #CVS Caremark Corp................ 661,528 30,694,899 0.5% Mondelez International, Inc. Class A........................ 875,793 23,243,546 0.3% Procter & Gamble Co. (The)....... 610,480 42,269,635 0.6% #Wal-Mart Stores, Inc............. 387,774 29,090,805 0.4% Other Securities................. 314,210,762 4.6% -------------- ---- Total Consumer Staples............... 455,840,665 6.6% -------------- ---- Energy -- (9.7%) Anadarko Petroleum Corp.......... 243,678 16,767,483 0.3% #Apache Corp...................... 188,754 15,619,394 0.2% Chevron Corp..................... 1,020,634 112,484,073 1.6% ConocoPhillips................... 632,838 36,609,678 0.5% EOG Resources, Inc............... 129,393 15,072,991 0.2% Exxon Mobil Corp................. 1,268,253 115,626,626 1.7% National Oilwell Varco, Inc...... 213,355 15,724,264 0.2% Occidental Petroleum Corp........ 382,913 30,234,810 0.5% Phillips 66...................... 316,419 14,922,320 0.2% Other Securities................. 394,972,370 5.7% -------------- ---- Total Energy......................... 768,034,009 11.1% -------------- ---- Financials -- (17.2%) Bank of America Corp............. 5,244,183 48,875,786 0.7% Bank of New York Mellon Corp. (The).......................... 588,370 14,538,623 0.2% *Berkshire Hathaway, Inc. Class B............................... 231,623 20,000,646 0.3% Capital One Financial Corp....... 279,908 16,842,064 0.3% Citigroup, Inc................... 1,250,596 46,759,784 0.7% Goldman Sachs Group, Inc. (The).. 225,842 27,640,802 0.4% JPMorgan Chase & Co.............. 1,897,065 79,069,669 1.1% MetLife, Inc..................... 512,756 18,197,710 0.3% PNC Financial Services Group, Inc............................ 268,801 15,641,530 0.2% Travelers Cos., Inc. (The)....... 235,445 16,702,468 0.2% U.S. Bancorp..................... 907,771 30,147,075 0.4% Wells Fargo & Co................. 2,607,433 87,844,418 1.3% Other Securities................. 930,203,391 13.4% -------------- ---- Total Financials..................... 1,352,463,966 19.5% -------------- ---- Health Care -- (9.4%) Amgen, Inc....................... 259,507 22,459,033 0.3% Johnson & Johnson................ 360,790 25,551,148 0.4% Merck & Co., Inc................. 1,401,705 63,959,799 0.9% Pfizer, Inc...................... 3,820,885 95,025,410 1.4% UnitedHealth Group, Inc.......... 453,978 25,422,768 0.4% Other Securities................. 509,664,669 7.3% -------------- ---- Total Health Care.................... 742,082,827 10.7% -------------- ----
48 U.S. Core Equity 2 Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (12.1%) General Electric Co............. 5,244,073 $ 110,440,177 1.6% Union Pacific Corp.............. 245,011 30,143,703 0.4% Other Securities................ 814,093,083 11.8% -------------- ---- Total Industrials................... 954,676,963 13.8% -------------- ---- Information Technology -- (11.2%) Apple, Inc...................... 102,298 60,877,540 0.9% *Cisco Systems, Inc.............. 1,115,185 19,114,271 0.3% *Google, Inc. Class A............ 29,049 19,746,639 0.3% #Intel Corp...................... 1,282,072 27,724,807 0.4% International Business Machines Corp................. 104,155 20,261,272 0.3% Microsoft Corp.................. 928,949 26,507,560 0.4% Oracle Corp..................... 517,147 16,057,414 0.2% #Visa, Inc....................... 232,750 32,296,390 0.5% Other Securities................ 662,078,081 9.5% -------------- ---- Total Information Technology........ 884,663,974 12.8% -------------- ---- Materials -- (4.6%) Other Securities................ 361,593,575 5.2% -------------- ---- Other -- (0.0%) Other Securities................ -- 0.0% -------------- ---- Telecommunication Services -- (2.9%) #AT&T, Inc....................... 2,989,398 103,403,277 1.5% Verizon Communications, Inc..... 1,386,217 61,880,727 0.9% Other Securities................ 60,471,763 0.9% -------------- ---- Total Telecommunication Services.... 225,755,767 3.3% -------------- ---- Utilities -- (2.1%) Other Securities................ 164,427,703 2.4% -------------- ---- TOTAL COMMON STOCKS................. 6,899,484,824 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities................ 14,911 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities................ 41,489 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.. 25,908,240 25,908,240 0.4% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.1%) (S)@DFA Short Term Investment Fund.. 81,993,994 948,670,516 13.7% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $2,920,082 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $2,928,869) to be repurchased at $2,834,983........................ $ 2,835 2,834,959 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL. 951,505,475 13.7% -------------- ----
49 U.S. Core Equity 2 Portfolio CONTINUED
Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS --(100.0%) (Cost $6,883,487,825).................... $7,876,954,939 113.8% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary.. $ 989,880,654 $ 64,721 -- $ 989,945,375 Consumer Staples........ 455,840,665 -- -- 455,840,665 Energy.................. 768,012,042 21,967 -- 768,034,009 Financials.............. 1,352,463,966 -- -- 1,352,463,966 Health Care............. 742,046,854 35,973 -- 742,082,827 Industrials............. 954,633,938 43,025 -- 954,676,963 Information Technology.. 884,663,974 -- -- 884,663,974 Materials............... 361,593,575 -- -- 361,593,575 Other................... -- -- -- -- Telecommunication Services.............. 225,755,767 -- -- 225,755,767 Utilities............... 164,427,703 -- -- 164,427,703 Preferred Stocks Energy.................. -- 14,911 -- 14,911 Rights/Warrants............. 40,617 872 -- 41,489 Temporary Cash Investments.. 25,908,240 -- -- 25,908,240 Securities Lending Collateral................ -- 951,505,475 -- 951,505,475 -------------- ------------ -- -------------- TOTAL....................... $6,925,267,995 $951,686,944 -- $7,876,954,939 ============== ============ == ==============
See accompanying Notes to Financial Statements. 50 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (87.3%) Consumer Discretionary -- (13.9%) Comcast Corp. Class A.............. 303,818 $ 11,396,213 0.6% Dillard's, Inc. Class A............ 62,205 4,789,785 0.2% #Lennar Corp. Class A............... 134,243 5,030,085 0.3% *Liberty Interactive Corp. Class A.. 267,922 5,358,440 0.3% *Mohawk Industries, Inc............. 54,426 4,542,938 0.2% #Time Warner, Inc................... 135,201 5,874,483 0.3% *Toll Brothers, Inc................. 151,825 5,011,743 0.2% Walt Disney Co. (The).............. 118,253 5,802,675 0.3% Other Securities................... 271,340,250 13.5% ------------ ---- Total Consumer Discretionary........... 319,146,612 15.9% ------------ ---- Consumer Staples -- (4.8%) Beam, Inc.......................... 76,533 4,252,173 0.2% Bunge, Ltd......................... 76,701 5,448,072 0.3% CVS Caremark Corp.................. 121,704 5,647,066 0.3% Procter & Gamble Co. (The)......... 91,517 6,336,637 0.3% Wal-Mart Stores, Inc............... 58,500 4,388,670 0.2% Other Securities................... 84,469,435 4.2% ------------ ---- Total Consumer Staples................. 110,542,053 5.5% ------------ ---- Energy -- (8.7%) Anadarko Petroleum Corp............ 72,636 4,998,083 0.3% #Apache Corp........................ 55,888 4,624,732 0.2% Chevron Corp....................... 153,038 16,866,318 0.8% ConocoPhillips..................... 175,685 10,163,377 0.5% Exxon Mobil Corp................... 154,985 14,129,982 0.7% HollyFrontier Corp................. 109,681 4,236,977 0.2% Murphy Oil Corp.................... 106,439 6,386,340 0.3% Noble Corp......................... 132,385 4,996,210 0.3% Phillips 66........................ 91,273 4,304,435 0.2% Tesoro Corp........................ 131,157 4,945,930 0.3% Other Securities................... 123,451,407 6.1% ------------ ---- Total Energy........................... 199,103,791 9.9% ------------ ---- Financials -- (21.0%) American Financial Group, Inc...... 127,737 4,956,196 0.2% Bank of America Corp............... 1,263,850 11,779,082 0.6% #Bank of New York Mellon Corp. (The)............................. 163,628 4,043,248 0.2% Capital One Financial Corp......... 70,527 4,243,610 0.2% Citigroup, Inc..................... 207,090 7,743,095 0.4% Fidelity National Financial, Inc. Class A.......................... 187,838 4,021,612 0.2% Goldman Sachs Group, Inc. (The).... 47,945 5,867,989 0.3% Hartford Financial Services Group, Inc....................... 190,397 4,133,519 0.2% Invesco, Ltd....................... 186,136 4,526,828 0.2% JPMorgan Chase & Co................ 570,669 23,785,484 1.2% KeyCorp............................ 499,016 4,201,715 0.2% MetLife, Inc....................... 141,103 5,007,745 0.3% PNC Financial Services Group, Inc.. 76,226 4,435,591 0.2% #Principal Financial Group, Inc..... 157,281 4,331,519 0.2% Regions Financial Corp............. 634,241 4,135,251 0.2% Wells Fargo & Co................... 351,390 11,838,329 0.6% XL Group P.L.C..................... 162,997 4,032,546 0.2% Other Securities................... 368,806,067 18.4% ------------ ---- Total Financials....................... 481,889,426 24.0% ------------ ----
51 U.S. Vector Equity Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Health Care -- (7.6%) Merck & Co., Inc............... 149,737 $ 6,832,499 0.3% Pfizer, Inc.................... 563,682 14,018,771 0.7% Other Securities............... 152,553,891 7.6% -------------- ---- Total Health Care.................. 173,405,161 8.6% -------------- ---- Industrials -- (12.5%) General Electric Co............ 826,374 17,403,436 0.8% Union Pacific Corp............. 33,180 4,082,135 0.2% Other Securities............... 264,760,266 13.2% -------------- ---- Total Industrials.................. 286,245,837 14.2% -------------- ---- Information Technology -- (10.1%) Fidelity National Information Services, Inc................ 150,228 4,937,994 0.3% #IAC/InterActiveCorp............ 115,491 5,583,990 0.3% Visa, Inc...................... 37,703 5,231,668 0.3% Xerox Corp..................... 731,469 4,710,660 0.2% Other Securities............... 211,816,925 10.5% -------------- ---- Total Information Technology....... 232,281,237 11.6% -------------- ---- Materials -- (5.4%) Other Securities............... 123,573,134 6.2% -------------- ---- Other -- (0.0%) Other Securities............... -- 0.0% -------------- ---- Telecommunication Services -- (2.1%) AT&T, Inc...................... 570,322 19,727,438 1.0% #Verizon Communications, Inc.... 200,794 8,963,444 0.4% Other Securities............... 20,446,270 1.0% -------------- ---- Total Telecommunication Services... 49,137,152 2.4% -------------- ---- Utilities -- (1.2%) Other Securities............... 27,481,514 1.4% -------------- ---- TOTAL COMMON STOCKS................ 2,002,805,917 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities............... 16,458 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities................... 29,967 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............. 5,428,356 5,428,356 0.2% Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.4%) (S)@DFA Short Term Investment Fund. 24,567,468 284,245,602 14.2% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $775,049) to be repurchased at $750,204....... $ 750 750,198 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL....................... 284,995,800 14.2% -------------- ----
52 U.S. Vector Equity Portfolio CONTINUED
Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,050,058,109)......................... $2,293,276,498 114.1% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary.. $ 319,120,585 $ 26,027 -- $ 319,146,612 Consumer Staples........ 110,542,053 -- -- 110,542,053 Energy.................. 199,079,511 24,280 -- 199,103,791 Financials.............. 481,889,426 -- -- 481,889,426 Health Care............. 173,379,098 26,063 -- 173,405,161 Industrials............. 286,213,395 32,442 -- 286,245,837 Information Technology.. 232,281,237 -- -- 232,281,237 Materials............... 123,573,134 -- -- 123,573,134 Other................... -- -- -- -- Telecommunication Services.............. 49,137,152 -- -- 49,137,152 Utilities............... 27,481,514 -- -- 27,481,514 Preferred Stocks Energy.................. -- 16,458 -- 16,458 Rights/Warrants............. 29,415 552 -- 29,967 Temporary Cash Investments.. 5,428,356 -- -- 5,428,356 Securities Lending Collateral................ -- 284,995,800 -- 284,995,800 -------------- ------------ -- -------------- TOTAL....................... $2,008,154,876 $285,121,622 -- $2,293,276,498 ============== ============ == ============== See accompanying Notes to Financial Statements. 53 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** ------- ------------ --------------- COMMON STOCKS -- (82.6%) Consumer Discretionary -- (15.4%) #Aaron's, Inc.......................... 301,837 $ 9,305,635 0.2% #*Bally Technologies, Inc............... 194,000 9,684,480 0.2% #Brinker International, Inc............ 322,412 9,930,290 0.2% #Brunswick Corp........................ 401,911 9,481,080 0.2% #Buckle, Inc. (The).................... 218,663 9,877,008 0.2% *Cabela's, Inc......................... 277,885 12,452,027 0.3% Dillard's, Inc. Class A............... 173,931 13,392,687 0.3% Domino's Pizza, Inc................... 270,452 10,985,760 0.2% #HSN, Inc.............................. 228,644 11,894,061 0.3% #Penske Automotive Group, Inc.......... 337,541 10,328,755 0.2% #Pier 1 Imports, Inc................... 641,193 13,080,337 0.3% #*Ryman Hospitality Properties.......... 228,431 8,911,093 0.2% Six Flags Entertainment Corp.......... 182,712 10,434,682 0.2% #Thor Industries, Inc.................. 243,435 9,257,833 0.2% #Vail Resorts, Inc..................... 163,736 9,296,930 0.2% *Warnaco Group, Inc. (The)............. 125,848 8,882,352 0.2% Other Securities...................... 679,005,396 14.9% ------------ ---- Total Consumer Discretionary.............. 846,200,406 18.5% ------------ ---- Consumer Staples -- (3.7%) #*Darling International, Inc............ 540,748 8,938,564 0.2% *Hain Celestial Group, Inc. (The)...... 180,533 10,434,807 0.2% #PriceSmart, Inc....................... 117,776 9,774,230 0.2% Other Securities...................... 173,131,585 3.8% ------------ ---- Total Consumer Staples.................... 202,279,186 4.4% ------------ ---- Energy -- (3.8%) #Western Refining, Inc................. 371,375 9,236,096 0.2% Other Securities...................... 202,043,645 4.4% ------------ ---- Total Energy.............................. 211,279,741 4.6% ------------ ---- Financials -- (13.5%) *Altisource Portfolio Solutions SA..... 106,753 12,116,466 0.3% #CNO Financial Group, Inc.............. 978,475 9,373,791 0.2% #*Investors Bancorp, Inc................ 504,558 9,076,998 0.2% *Ocwen Financial Corp.................. 457,639 17,651,136 0.4% #*Texas Capital Bancshares, Inc......... 184,544 8,760,304 0.2% Other Securities...................... 684,793,789 15.0% ------------ ---- Total Financials.......................... 741,772,484 16.3% ------------ ---- Health Care -- (8.4%) *Haemonetics Corp...................... 117,025 9,560,942 0.2% Medicis Pharmaceutical Corp. Class A.. 237,227 10,298,024 0.2% #*Myriad Genetics, Inc.................. 360,979 9,446,820 0.2% #STERIS Corp........................... 254,960 9,079,126 0.2% *Thoratec Corp......................... 319,166 11,394,226 0.3% Other Securities...................... 414,459,350 9.1% ------------ ---- Total Health Care......................... 464,238,488 10.2% ------------ ---- Industrials -- (15.2%) A.O. Smith Corp....................... 152,330 9,257,094 0.2% #Actuant Corp. Class A................. 318,532 8,995,344 0.2% #*Chart Industries, Inc................. 137,261 9,716,706 0.2% EMCOR Group, Inc...................... 306,181 9,846,781 0.2% #*Middleby Corp......................... 78,446 9,801,828 0.2% #Robbins & Myers, Inc.................. 176,805 10,481,000 0.2% 54 U.S. Small Cap Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- Industrials -- (Continued) Toro Co. (The).................. 239,432 $ 10,108,819 0.2% #*US Airways Group, Inc........... 746,580 9,093,344 0.2% Other Securities................ 759,233,963 16.7% -------------- ---- Total Industrials................... 836,534,879 18.3% -------------- ---- Information Technology -- (14.6%) #*3D Systems Corp................. 260,733 11,341,886 0.2% #*Cirrus Logic, Inc............... 297,264 12,116,481 0.3% #*CommVault Systems, Inc.......... 164,218 10,258,698 0.2% Convergys Corp.................. 526,242 8,846,128 0.2% *Cymer, Inc...................... 144,305 11,499,665 0.3% FEI Co.......................... 176,390 9,710,270 0.2% Loral Space & Communications, Inc........................... 120,478 9,476,799 0.2% #*NeuStar, Inc. Class A........... 247,646 9,061,367 0.2% *SolarWinds, Inc................. 262,245 13,266,975 0.3% Other Securities................ 707,242,217 15.5% -------------- ---- Total Information Technology........ 802,820,486 17.6% -------------- ---- Materials -- (4.7%) #Eagle Materials, Inc............ 212,595 11,261,157 0.3% *Louisiana-Pacific Corp.......... 633,346 10,000,533 0.2% Other Securities................ 238,341,168 5.2% -------------- ---- Total Materials..................... 259,602,858 5.7% Other -- (0.0%) Other Securities................ 414 0.0% -------------- ---- Telecommunication Services -- (0.4%) Other Securities................ 24,541,005 0.5% -------------- ---- Utilities -- (2.9%) Portland General Electric Co.... 338,710 9,280,654 0.2% Other Securities................ 149,160,307 3.3% -------------- ---- Total Utilities..................... 158,440,961 3.5% -------------- ---- TOTAL COMMON STOCKS................. 4,547,710,908 99.6% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities................ $ 54,227 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities................ 135,531 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.......... 12,912,865 12,912,865 0.3% -------------- ----
55 U.S. Small Cap Portfolio CONTINUED
Shares/ Face Amount Percentage (000) Value+ of Net Assets** ----------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (17.2%) (S)@DFA Short Term Investment Fund.............................................. 81,663,903 944,851,354 20.7% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $2,568,587 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $2,576,317) to be repurchased at $2,493,732.................................................. $ 2,494 2,493,711 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................................. 947,345,065 20.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $4,856,877,158).......................................................... $5,508,158,596 120.7% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary.. $ 846,159,239 $ 41,167 -- $ 846,200,406 Consumer Staples........ 202,279,186 -- -- 202,279,186 Energy.................. 211,093,773 185,968 -- 211,279,741 Financials.............. 741,772,484 -- -- 741,772,484 Health Care............. 464,148,120 90,368 -- 464,238,488 Industrials............. 836,218,833 316,046 -- 836,534,879 Information Technology.. 802,820,486 -- -- 802,820,486 Materials............... 259,602,858 -- -- 259,602,858 Other................... -- 414 -- 414 Telecommunication Services.............. 24,541,005 -- -- 24,541,005 Utilities............... 158,440,961 -- -- 158,440,961 Preferred Stocks Energy.................. -- 54,227 -- 54,227 Rights/Warrants............. 131,992 3,539 -- 135,531 Temporary Cash Investments.. 12,912,865 -- -- 12,912,865 Securities Lending Collateral................ -- 947,345,065 -- 947,345,065 -------------- ------------ -- -------------- TOTAL....................... $4,560,121,802 $948,036,794 -- $5,508,158,596 ============== ============ == ==============
See accompanying Notes to Financial Statements. 56 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** ------- ------------- --------------- COMMON STOCKS -- (87.9%) Consumer Discretionary -- (15.7%) *Asbury Automotive Group, Inc........ 279,819 $ 8,875,859 0.3% Churchill Downs, Inc................ 117,187 7,655,827 0.2% #*Conn's, Inc......................... 303,338 7,683,552 0.2% #*Dorman Products, Inc................ 312,058 9,533,372 0.3% #Finish Line, Inc. Class A (The)..... 376,378 7,830,544 0.2% #KB Home............................. 521,279 8,330,038 0.2% #*La-Z-Boy, Inc....................... 515,798 8,366,244 0.3% #*Lumber Liquidators Holdings, Inc.... 155,431 8,676,158 0.3% *Meritage Homes Corp................. 217,518 8,043,816 0.2% Oxford Industries, Inc.............. 145,087 8,049,427 0.2% *Papa John's International, Inc...... 214,930 11,460,068 0.3% #Ryland Group, Inc. (The)............ 306,580 10,383,865 0.3% #Stage Stores, Inc................... 305,185 7,477,032 0.2% #Sturm Ruger & Co., Inc.............. 181,201 8,558,123 0.3% Other Securities.................... 491,209,781 14.3% ------------- ---- Total Consumer Discretionary............ 612,133,706 17.8% ------------- ---- Consumer Staples -- (4.1%) #Cal-Maine Foods, Inc................ 202,886 8,750,473 0.2% #*Elizabeth Arden, Inc................ 261,981 12,360,264 0.4% J & J Snack Foods Corp.............. 179,640 10,287,983 0.3% WD-40 Co............................ 162,424 7,773,613 0.2% Other Securities.................... 119,761,926 3.5% ------------- ---- Total Consumer Staples.................. 158,934,259 4.6% ------------- ---- Energy -- (3.9%) Other Securities.................... 153,313,419 4.5% ------------- ---- Financials -- (15.6%) *Altisource Portfolio Solutions SA... 94,413 10,715,876 0.3% #Bank of the Ozarks, Inc............. 301,134 9,859,127 0.3% FBL Financial Group, Inc. Class A... 271,726 9,274,008 0.3% Horace Mann Educators Corp.......... 423,287 8,131,343 0.2% Infinity Property & Casualty Corp... 134,624 7,688,377 0.2% #*Texas Capital Bancshares, Inc....... 164,032 7,786,599 0.2% #*World Acceptance Corp............... 153,471 10,245,724 0.3% Other Securities.................... 545,031,588 15.9% ------------- ---- Total Financials........................ 608,732,642 17.7% ------------- ---- Health Care -- (10.1%) #*Air Methods Corp.................... 115,182 12,627,403 0.4% *Amsurg Corp......................... 286,077 8,158,916 0.2% Analogic Corp....................... 123,731 9,114,025 0.3% *Ariad Pharmaceuticals, Inc.......... 727,009 15,667,044 0.4% *Cyberonics, Inc..................... 211,757 9,793,761 0.3% *Hanger, Inc......................... 292,678 7,419,387 0.2% #*ICU Medical, Inc.................... 132,784 7,878,075 0.2% Other Securities.................... 322,452,236 9.4% ------------- ---- Total Health Care....................... 393,110,847 11.4% ------------- ---- Industrials -- (14.9%) AZZ, Inc............................ 224,847 8,867,966 0.3% *Exponent, Inc....................... 135,915 7,472,607 0.2% Kaman Corp.......................... 234,532 8,724,590 0.3% Other Securities.................... 557,738,161 16.2% ------------- ---- Total Industrials....................... 5 82,803,324 17.0% ------------- ----
57 U.S. Micro Cap Portfolio CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Information Technology -- (15.3%) #*3D Systems Corp..................... 227,661 $ 9,903,254 0.3% Forrester Research, Inc............. 256,189 7,414,110 0.2% *iGATE Corp.......................... 518,273 8,318,282 0.2% Loral Space & Communications, Inc............................... 103,555 8,145,636 0.2% #*Manhattan Associates, Inc........... 216,969 13,018,140 0.4% MTS Systems Corp.................... 165,039 8,319,616 0.2% #*NetScout Systems, Inc............... 312,994 7,740,342 0.2% *OSI Systems, Inc.................... 150,502 11,927,284 0.3% #*Stratasys, Inc...................... 138,151 9,210,527 0.3% #*Tyler Technologies, Inc............. 251,629 12,030,382 0.4% Other Securities.................... 500,280,360 14.6% -------------- ---- Total Information Technology............ 596,307,933 17.3% -------------- ---- Materials -- (5.5%) #AMCOL International Corp............ 265,253 8,376,690 0.3% Balchem Corp........................ 220,033 7,663,749 0.2% Stepan Co........................... 82,995 7,950,921 0.2% Other Securities.................... 189,087,399 5.5% -------------- ---- Total Materials..................... 213,078,759 6.2% -------------- ---- Other -- (0.0%) Other Securities.................... 2,226 0.0% -------------- ---- Telecommunication Services -- (1.0%) Other Securities.................... 39,869,468 1.2% -------------- ---- Utilities -- (1.8%) CH Energy Group, Inc................ 129,612 8,428,668 0.2% #MGE Energy, Inc..................... 194,367 10,231,479 0.3% Other Securities.................... 50,903,632 1.5% -------------- ---- Total Utilities......................... 69,563,779 2.0% -------------- ---- TOTAL COMMON STOCKS..................... 3,427,850,362 99.7% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities.................... 55,563 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities.................... 134,261 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares.............. 9,728,759 9,728,759 0.3% -------------- ---- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (11.8%) (S)@DFA Short Term Investment Fund...... 39,804,452 460,537,511 13.4% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,251,975 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,255,743) to be repurchased at $1,215,489.......... $ 1,215 1,215,479 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL..... 461,752,990 13.4% -------------- ----
58 U.S. MICRO CAP PORTFOLIO CONTINUED Percentage Value+ of Net Assets** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $3,396,339,836)......................... $3,899,521,935 113.4% ============== ===== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary... $ 612,071,742 $ 61,964 -- $ 612,133,706 Consumer Staples......... 158,934,259 -- -- 158,934,259 Energy................... 153,224,174 89,245 -- 153,313,419 Financials............... 608,732,642 -- -- 608,732,642 Health Care.............. 392,983,982 126,865 -- 393,110,847 Industrials.............. 582,525,445 277,879 -- 582,803,324 Information Technology... 596,307,933 -- -- 596,307,933 Materials................ 213,078,759 -- -- 213,078,759 Other.................... -- 2,226 -- 2,226 Telecommunication Services............... 39,869,468 -- -- 39,869,468 Utilities................ 69,563,779 -- -- 69,563,779 Preferred Stocks Energy................... -- 55,563 -- 55,563 Rights/Warrants............. 131,645 2,616 -- 134,261 Temporary Cash Investments.. 9,728,759 -- -- 9,728,759 Securities Lending Collateral................ -- 461,752,990 -- 461,752,990 -------------- ------------ -- -------------- TOTAL....................... $3,437,152,587 $462,369,348 -- $3,899,521,935 ============== ============ == ============== See accompanying Notes to Financial Statements. 59 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- COMMON STOCKS -- (86.8%) Real Estate Investment Trusts -- (86.8%) Alexander's, Inc.................... 48,481 $ 21,523,625 0.6% #Alexandria Real Estate Equities, Inc...................... 539,876 38,023,467 1.0% #American Campus Communities, Inc................................ 673,380 30,510,848 0.8% American Tower Corp................. 520,737 39,206,289 1.1% #Apartment Investment & Management Co. Class A............. 1,273,483 33,989,261 0.9% #AvalonBay Communities, Inc.......... 849,330 115,135,175 3.1% #BioMed Realty Trust, Inc............ 1,336,668 25,557,092 0.7% Boston Properties, Inc.............. 1,340,610 142,506,843 3.8% #BRE Properties, Inc................. 679,953 32,875,728 0.9% #Camden Property Trust............... 719,928 47,248,875 1.3% #CBL & Associates Properties, Inc................................ 1,239,184 27,720,546 0.7% #DDR Corp............................ 2,189,719 33,634,084 0.9% #Digital Realty Trust, Inc........... 1,044,384 64,156,509 1.7% #Douglas Emmett, Inc................. 1,175,786 27,572,182 0.7% #Duke Realty Corp.................... 2,348,436 34,005,353 0.9% Equity Lifestyle Properties, Inc............................... 350,533 23,601,387 0.6% #Equity Residential.................. 2,633,782 151,205,425 4.1% #Essex Property Trust, Inc........... 312,386 46,857,900 1.3% #Extra Space Storage, Inc............ 865,728 29,858,959 0.8% #Federal Realty Investment Trust.............................. 577,049 62,223,194 1.7% #General Growth Properties, Inc...... 3,768,676 74,092,170 2.0% #HCP, Inc............................ 3,758,294 166,492,424 4.5% Health Care REIT, Inc............... 2,030,477 120,671,248 3.2% #Highwoods Properties, Inc........... 672,870 21,700,057 0.6% Home Properties, Inc................ 436,266 26,520,610 0.7% #Hospitality Properties Trust........ 1,129,465 26,113,231 0.7% #Host Hotels & Resorts, Inc.......... 6,322,617 91,425,042 2.5% #Kilroy Realty Corp.................. 632,753 28,100,561 0.8% Kimco Realty Corp................... 3,688,342 71,996,436 1.9% Liberty Property Trust.............. 1,048,979 36,840,142 1.0% #Macerich Co. (The).................. 1,164,780 66,392,460 1.8% #Mack-Cali Realty Corp............... 789,496 20,519,001 0.6% #Mid-America Apartment Communities, Inc................... 346,446 22,418,521 0.6% #National Retail Properties, Inc................................ 946,624 29,989,048 0.8% #Omega Healthcare Investors, Inc................................ 950,897 21,813,577 0.6% #Piedmont Office Realty Trust, Inc. Class A....................... 1,476,624 26,283,907 0.7% #Post Properties, Inc................ 471,637 23,020,602 0.6% Prologis, Inc....................... 4,030,920 138,220,247 3.7% Public Storage...................... 1,324,670 183,639,002 4.9% #Realty Income Corp.................. 1,167,664 45,854,165 1.2% #Regency Centers Corp................ 783,534 37,625,303 1.0% #Senior Housing Properties Trust.............................. 1,479,083 32,510,244 0.9% Simon Property Group, Inc........... 2,702,036 411,276,900 11.1% #SL Green Realty Corp................ 788,844 59,399,953 1.6% #Tanger Factory Outlet Centers, Inc....................... 813,719 25,607,737 0.7% #Taubman Centers, Inc................ 533,326 41,892,757 1.1% #UDR, Inc............................ 2,188,706 53,119,895 1.4% #Ventas, Inc......................... 2,520,962 159,501,266 4.3% Vornado Realty Trust................ 1,508,390 120,987,962 3.3% #Weingarten Realty Investors......... 1,049,531 28,337,337 0.8% Other Securities.................... 464,012,068 12.5% -------------- ---- TOTAL COMMON STOCKS..................... 3,703,786,615 99.7% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.6%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares............... 26,648,404 26,648,404 0.7% -------------- ----
60 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Shares/ Face Amount Percentage (000) Value+ of Net Assets** ----------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (12.6%) (S)@DFA Short Term Investment Fund.................................. 46,255,311 $ 535,173,950 14.4% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,454,876 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,459,254) to be repurchased at $1,412,477.......... $ 1,412 1,412,465 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................ 536,586,415 14.4% -------------- ----- TOTAL INVESTMENTS -- (100.0%)........... (Cost $3,188,947,605) $4,267,021,434 114.8% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Real Estate Investment Trusts. $3,703,786,615 -- -- $3,703,786,615 Temporary Cash Investments....... 26,648,404 -- -- 26,648,404 Securities Lending Collateral.... -- $536,586,415 -- 536,586,415 -------------- ------------ -- -------------- TOTAL............................ $3,730,435,019 $536,586,415 -- $4,267,021,434 ============== ============ == ==============
See accompanying Notes to Financial Statements. 61 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ------- ------------ --------------- COMMON STOCKS -- (88.2%) AUSTRALIA -- (7.0%) Australia & New Zealand Banking Group, Ltd.......................... 489,886 $ 12,923,873 0.6% BHP Billiton, Ltd..................... 358,448 12,691,074 0.6% #Commonwealth Bank of Australia NL..... 268,839 16,099,654 0.8% #National Australia Bank, Ltd.......... 413,524 11,051,380 0.5% Westpac Banking Corp.................. 459,483 12,147,841 0.6% Other Securities...................... 97,828,712 4.8% ------------ ---- TOTAL AUSTRALIA........................... 162,742,534 7.9% ------------ ---- AUSTRIA -- (0.2%) Other Securities...................... 5,523,447 0.3% ------------ ---- BELGIUM -- (0.8%) Anheuser-Busch InBev NV............... 107,124 8,958,854 0.4% Other Securities...................... 10,625,851 0.5% ------------ ---- TOTAL BELGIUM............................. 19,584,705 0.9% ------------ ---- CANADA -- (9.8%) Bank of Montreal...................... 121,090 7,155,676 0.3% Bank of Nova Scotia................... 196,237 10,659,181 0.5% Barrick Gold Corp..................... 182,000 7,360,180 0.4% #Royal Bank of Canada.................. 243,989 13,910,121 0.7% Suncor Energy, Inc.................... 279,079 9,366,436 0.5% #Toronto Dominion Bank................. 160,784 13,076,830 0.6% Other Securities...................... 165,490,762 8.0% ------------ ---- TOTAL CANADA.............................. 227,019,186 11.0% ------------ ---- DENMARK -- (1.0%) Other Securities...................... 23,363,099 1.1% ------------ ---- FINLAND -- (0.6%) Other Securities...................... 14,738,094 0.7% ------------ ---- FRANCE -- (7.2%) BNP Paribas SA........................ 179,515 9,111,582 0.4% LVMH Moet Hennessy Louis Vuitton SA... 43,329 7,044,432 0.3% Sanofi SA............................. 147,776 12,978,720 0.6% Total SA.............................. 229,954 11,582,771 0.6% Total SA Sponsored ADR................ 144,707 7,293,233 0.4% Other Securities...................... 119,144,573 5.8% ------------ ---- TOTAL FRANCE.............................. 167,155,311 8.1% ------------ ---- GERMANY -- (6.4%) Allianz SE............................ 59,747 7,422,057 0.4% BASF SE............................... 137,393 11,396,744 0.5% Bayer AG.............................. 104,450 9,107,269 0.4% Daimler AG............................ 168,780 7,906,432 0.4% SAP AG................................ 103,483 7,546,254 0.4% #Siemens AG Sponsored ADR.............. 67,650 6,826,562 0.3% Other Securities...................... 98,406,795 4.8% ------------ ---- TOTAL GERMANY............................. 148,612,113 7.2% ------------ ---- GREECE -- (0.1%) Other Securities...................... 1,180,568 0.1% ------------ ---- HONG KONG -- (2.4%) Other Securities...................... 54,810,518 2.7% ------------ ---- 62 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Percentage Shares Value++ of Net Assets** --------- ------------ --------------- IRELAND -- (0.3%) Other Securities.................... $ 5,766,422 0.3% ------------ ---- ISRAEL -- (0.4%) Other Securities.................... 9,597,458 0.5% ------------ ---- ITALY -- (1.7%) Other Securities.................... 38,182,893 1.9% ------------ ---- JAPAN -- (15.7%) Sumitomo Mitsui Financial Group, Inc............................... 251,740 7,692,420 0.4% Toyota Motor Corp................... 317,100 12,226,476 0.6% Other Securities.................... 343,552,324 16.7% ------------ ---- TOTAL JAPAN............................. 363,471,220 17.7% ------------ ---- NETHERLANDS -- (2.0%) Unilever NV......................... 271,974 9,996,249 0.5% Other Securities.................... 36,987,162 1.8% ------------ ---- TOTAL NETHERLANDS....................... 46,983,411 2.3% ------------ ---- NEW ZEALAND -- (0.1%) Other Securities.................... 2,282,663 0.1% ------------ ---- NORWAY -- (0.9%) Other Securities.................... 21,438,761 1.0% ------------ ---- PORTUGAL -- (0.2%) Other Securities.................... 3,409,590 0.2% ------------ ---- SINGAPORE -- (1.4%) Other Securities.................... 32,746,308 1.6% ------------ ---- SPAIN -- (2.2%) Other Securities.................... 51,685,586 2.5% ------------ ---- SWEDEN -- (2.5%) Other Securities.................... 58,081,987 2.8% ------------ ---- SWITZERLAND -- (6.8%) Nestle SA........................... 548,594 34,829,262 1.7% Novartis AG......................... 262,271 15,815,092 0.8% #Novartis AG ADR..................... 147,100 8,893,666 0.4% Roche Holding AG Genusschein........ 116,708 22,480,903 1.1% UBS AG.............................. 640,816 9,614,543 0.4% Zurich Insurance Group AG........... 31,032 7,650,000 0.4% Other Securities.................... 57,263,238 2.8% ------------ ---- TOTAL SWITZERLAND....................... 156,546,704 7.6% ------------ ---- UNITED KINGDOM -- (18.5%) Anglo American P.L.C................ 247,137 7,615,400 0.4% BG Group P.L.C...................... 510,495 9,478,376 0.5% #BHP Billiton P.L.C. ADR............. 113,263 7,246,567 0.3% BP P.L.C. Sponsored ADR............. 517,641 22,201,622 1.1% British American Tobacco P.L.C...... 293,586 14,561,859 0.7% Diageo P.L.C. Sponsored ADR......... 63,791 7,287,484 0.3% GlaxoSmithKline P.L.C............... 538,836 12,074,039 0.6% GlaxoSmithKline P.L.C. Sponsored ADR............................... 154,591 6,941,136 0.3% HSBC Holdings P.L.C................. 1,623,467 16,006,352 0.8% #HSBC Holdings P.L.C. Sponsored ADR.. 343,138 16,937,292 0.8% Rio Tinto P.L.C..................... 150,148 7,500,915 0.4% Royal Dutch Shell P.L.C. ADR........ 425,120 30,026,226 1.5% Royal Dutch Shell P.L.C. Series B... 306,534 10,842,936 0.5% 63 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) SABmiller P.L.C.......................................................... 162,396 $ 6,969,775 0.3% Standard Chartered P.L.C................................................. 452,395 10,711,236 0.5% Tesco P.L.C.............................................................. 1,441,004 7,456,436 0.4% Vodafone Group P.L.C..................................................... 2,870,219 7,794,527 0.4% Vodafone Group P.L.C. Sponsored ADR...................................... 680,782 18,530,886 0.9% Other Securities......................................................... 206,843,125 10.1% -------------- ----- TOTAL UNITED KINGDOM......................................................... 427,026,189 20.8% -------------- ----- TOTAL COMMON STOCKS.......................................................... 2,041,948,767 99.3% -------------- ----- PREFERRED STOCKS -- (0.1%) GERMANY -- (0.0%) Other Securities......................................................... 1,284,218 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities......................................................... 14,929 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities......................................................... 15 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities......................................................... 30,902 0.0% -------------- ----- SPAIN -- (0.0%) Other Securities......................................................... 7 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS........................................................ 45,853 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (11.7%) (S)@DFA Short Term Investment Fund........................................... 23,336,214 270,000,000 13.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,348,839) to be repurchased at $1,322,404............................. $ 1,322 1,322,391 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 271,322,391 13.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,152,738,602) $2,314,601,229 112.6% ============== =====
64 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................. $ 9,177,915 $ 153,564,619 -- $ 162,742,534 Austria................... 31,272 5,492,175 -- 5,523,447 Belgium................... 2,868,310 16,716,395 -- 19,584,705 Canada.................... 227,019,186 -- -- 227,019,186 Denmark................... 4,252,654 19,110,445 -- 23,363,099 Finland................... 792,236 13,945,858 -- 14,738,094 France.................... 15,010,442 152,144,869 -- 167,155,311 Germany................... 26,003,248 122,608,865 -- 148,612,113 Greece.................... -- 1,180,568 -- 1,180,568 Hong Kong................. -- 54,810,518 -- 54,810,518 Ireland................... 1,928,356 3,838,066 -- 5,766,422 Israel.................... 5,521,012 4,076,446 -- 9,597,458 Italy..................... 5,535,992 32,646,901 -- 38,182,893 Japan..................... 29,715,898 333,755,322 -- 363,471,220 Netherlands............... 3,974,503 43,008,908 -- 46,983,411 New Zealand............... -- 2,282,663 -- 2,282,663 Norway.................... 1,169,239 20,269,522 -- 21,438,761 Portugal.................. 101,703 3,307,887 -- 3,409,590 Singapore................. -- 32,746,308 -- 32,746,308 Spain..................... 17,713,982 33,971,604 -- 51,685,586 Sweden.................... 604,690 57,477,297 -- 58,081,987 Switzerland............... 17,129,641 139,417,063 -- 156,546,704 United Kingdom............ 145,465,749 281,560,440 -- 427,026,189 Preferred Stocks Germany................... -- 1,284,218 -- 1,284,218 Rights/Warrants Australia................. -- 14,929 -- 14,929 France.................... -- 15 -- 15 Hong Kong................. -- 30,902 -- 30,902 Spain..................... -- 7 -- 7 Securities Lending Collateral. -- 271,322,391 -- 271,322,391 ------------ -------------- -- -------------- TOTAL......................... $514,016,028 $1,800,585,201 -- $2,314,601,229 ============ ============== == ==============
See accompanying Notes to Financial Statements. 65 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
Percentage Shares Value++ of Net Assets** ------- ------------ --------------- COMMON STOCKS -- (89.3%) AUSTRALIA -- (6.2%) #Australia & New Zealand Banking Group, Ltd. 811,349 $ 21,404,514 0.3% #Commonwealth Bank of Australia NL.......... 291,226 17,440,319 0.3% #National Australia Bank, Ltd............... 935,297 24,995,703 0.4% #Wesfarmers, Ltd............................ 461,899 16,651,241 0.3% Westpac Banking Corp....................... 659,750 17,442,513 0.3% Other Securities........................... 351,644,182 5.4% ------------ ---- TOTAL AUSTRALIA................................ 449,578,472 7.0% ------------ ---- AUSTRIA -- (0.5%) Other Securities........................... 32,391,602 0.5% ------------ ---- BELGIUM -- (0.9%) Other Securities........................... 65,997,964 1.0% ------------ ---- CANADA -- (9.9%) #Bank of Montreal........................... 273,400 16,156,263 0.3% Bank of Nova Scotia........................ 264,875 14,387,453 0.2% Canadian Natural Resources, Ltd............ 474,950 14,313,887 0.2% #Royal Bank of Canada....................... 326,040 18,587,953 0.3% Suncor Energy, Inc......................... 654,429 21,963,915 0.3% #Toronto Dominion Bank...................... 350,772 28,528,871 0.4% Other Securities........................... 600,337,278 9.3% ------------ ---- TOTAL CANADA................................... 714,275,620 11.0% ------------ ---- CHINA -- (0.0%) Other Securities........................... 147,959 0.0% ------------ ---- DENMARK -- (0.9%) Other Securities........................... 63,928,182 1.0% ------------ ---- FINLAND -- (1.3%) Other Securities........................... 92,159,069 1.4% ------------ ---- FRANCE -- (6.7%) BNP Paribas SA............................. 500,741 25,415,940 0.4% #GDF Suez SA................................ 659,288 15,132,134 0.2% Sanofi SA ADR.............................. 562,231 24,653,829 0.4% *Societe Generale SA........................ 601,863 19,194,589 0.3% #Total SA Sponsored ADR..................... 594,342 29,954,837 0.5% Other Securities........................... 366,981,725 5.6% ------------ ---- TOTAL FRANCE................................... 481,333,054 7.4% ------------ ---- GERMANY -- (5.3%) Daimler AG................................. 415,333 19,456,109 0.3% Deutsche Bank AG........................... 338,130 15,402,110 0.3% E.ON AG.................................... 609,873 13,883,743 0.2% #Siemens AG Sponsored ADR................... 200,444 20,226,804 0.3% Other Securities........................... 316,171,125 4.9% ------------ ---- TOTAL GERMANY.................................. 385,139,891 6.0% ------------ ---- GREECE -- (0.3%) Other Securities........................... 21,713,011 0.3% ------------ ---- HONG KONG -- (2.4%) Other Securities........................... 170,749,434 2.6% ------------ ---- IRELAND -- (0.5%) Other Securities........................... 36,568,747 0.6% ------------ ----
66 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- ISRAEL -- (0.5%) Other Securities...................... $ 38,192,757 0.6% -------------- ---- ITALY -- (2.0%) Other Securities...................... 144,759,479 2.2% -------------- ---- JAPAN -- (16.9%) Mitsubishi UFJ Financial Group, Inc... 4,203,900 19,018,309 0.3% Mizuho Financial Group, Inc........... 10,641,060 16,649,856 0.3% Sumitomo Mitsui Financial Group, Inc.. 634,770 19,396,670 0.3% #Toyota Motor Corp. Sponsored ADR...... 360,892 27,958,303 0.4% Other Securities...................... 1,141,756,436 17.6% -------------- ---- TOTAL JAPAN............................... 1,224,779,574 18.9% -------------- ---- NETHERLANDS -- (2.3%) *ING Groep NV Sponsored ADR............ 1,565,969 13,874,485 0.2% Koninklijke Philips Electronics NV.... 589,853 14,773,412 0.2% Other Securities...................... 140,860,671 2.2% -------------- ---- TOTAL NETHERLANDS......................... 169,508,568 2.6% -------------- ---- NEW ZEALAND -- (0.3%) Other Securities...................... 18,364,661 0.3% -------------- ---- NORWAY -- (1.1%) Other Securities...................... 79,436,045 1.2% -------------- ---- PORTUGAL -- (0.3%) Other Securities...................... 20,759,987 0.3% -------------- ---- SINGAPORE -- (1.6%) Other Securities...................... 117,743,734 1.8% -------------- ---- SPAIN -- (2.0%) Banco Santander SA.................... 2,240,231 16,867,084 0.3% #Banco Santander SA Sponsored ADR...... 2,229,277 16,630,406 0.2% Other Securities...................... 109,877,111 1.7% -------------- ---- TOTAL SPAIN............................... 143,374,601 2.2% -------------- ---- SWEDEN -- (2.8%) Other Securities...................... 204,867,857 3.2% -------------- ---- SWITZERLAND -- (5.9%) Holcim, Ltd........................... 208,137 14,204,567 0.2% Nestle SA............................. 587,284 37,285,622 0.6% #Novartis AG ADR....................... 737,597 44,595,115 0.7% Roche Holding AG Genusschein.......... 82,873 15,963,429 0.3% Swiss Re, Ltd......................... 321,123 22,220,864 0.3% UBS AG................................ 1,749,489 26,248,623 0.4% Zurich Insurance Group AG............. 133,176 32,830,510 0.5% Other Securities...................... 233,502,910 3.6% -------------- ---- TOTAL SWITZERLAND......................... 426,851,640 6.6% -------------- ---- UNITED KINGDOM -- (18.7%) Anglo American P.L.C.................. 582,539 17,950,640 0.3% #AstraZeneca P.L.C. Sponsored ADR...... 424,722 19,707,101 0.3% Barclays P.L.C. Sponsored ADR......... 1,811,137 26,804,828 0.4% BG Group P.L.C........................ 933,234 17,327,384 0.3% #BHP Billiton P.L.C. ADR............... 247,566 15,839,273 0.3% BP P.L.C. Sponsored ADR............... 1,479,807 63,468,922 1.0% #HSBC Holdings P.L.C. Sponsored ADR.... 1,761,750 86,959,980 1.3% *Lloyds Banking Group P.L.C............ 23,313,762 15,352,299 0.2%
67 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) #Prudential P.L.C. ADR.................................................... 651,676 $ 17,908,056 0.3% #Rio Tinto P.L.C. Sponsored ADR........................................... 307,543 15,370,999 0.2% #Royal Dutch Shell P.L.C. ADR............................................. 1,426,690 100,767,115 1.6% SABmiller P.L.C.......................................................... 323,061 13,865,258 0.2% Standard Chartered P.L.C................................................. 1,125,564 26,649,679 0.4% Tesco P.L.C.............................................................. 3,732,880 19,315,686 0.3% Vodafone Group P.L.C. Sponsored ADR...................................... 2,412,945 65,680,363 1.0% Other Securities......................................................... 829,016,053 12.8% -------------- ----- TOTAL UNITED KINGDOM......................................................... 1,351,983,636 20.9% -------------- ----- UNITED STATES -- (0.0%) Other Securities......................................................... 506,366 0.0% -------------- ----- TOTAL COMMON STOCKS.......................................................... 6,455,111,910 99.6% -------------- ----- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities......................................................... 3,716,814 0.1% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities......................................................... 1,214 0.0% -------------- ----- TOTAL PREFERRED STOCKS....................................................... 3,718,028 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities......................................................... 323,953 0.0% -------------- ----- BELGIUM -- (0.0%) Other Securities......................................................... 704 0.0% -------------- ----- CANADA -- (0.0%) Other Securities......................................................... 603 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities......................................................... 283,649 0.0% -------------- ----- ITALY -- (0.0%) Other Securities......................................................... 3,518 0.0% -------------- ----- SINGAPORE -- (0.0%) Other Securities......................................................... 26,839 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS........................................................ 639,266 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (10.7%) (S)@DFA Short Term Investment Fund........................................... 66,119,274 765,000,000 11.8% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $7,529,026) to be repurchased at $7,381,470............................. $ 7,381 7,381,398 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 772,381,398 11.9% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,513,353,611)...................................................... $7,231,850,602 111.6% ============== =====
68 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Australia................. $ 24,824,894 $ 424,753,578 -- $ 449,578,472 Austria................... 54,726 32,336,876 -- 32,391,602 Belgium................... 9,754,099 56,243,865 -- 65,997,964 Canada.................... 714,070,628 204,992 -- 714,275,620 China..................... 70,633 77,326 -- 147,959 Denmark................... 4,096,211 59,831,971 -- 63,928,182 Finland................... 2,272,148 89,886,921 -- 92,159,069 France.................... 79,612,438 401,720,616 -- 481,333,054 Germany................... 62,450,948 322,688,943 -- 385,139,891 Greece.................... 1,824,911 19,888,100 -- 21,713,011 Hong Kong................. 120,183 170,629,251 -- 170,749,434 Ireland................... 10,484,484 26,084,263 -- 36,568,747 Israel.................... 10,688,742 27,504,015 -- 38,192,757 Italy..................... 15,876,853 128,882,626 -- 144,759,479 Japan..................... 78,891,497 1,145,888,077 -- 1,224,779,574 Netherlands............... 30,237,911 139,270,657 -- 169,508,568 New Zealand............... 144,091 18,220,570 -- 18,364,661 Norway.................... 9,264,269 70,171,776 -- 79,436,045 Portugal.................. 196,831 20,563,156 -- 20,759,987 Singapore................. -- 117,743,734 -- 117,743,734 Spain..................... 32,530,839 110,843,762 -- 143,374,601 Sweden.................... 6,728,083 198,139,774 -- 204,867,857 Switzerland............... 72,598,940 354,252,700 -- 426,851,640 United Kingdom............ 494,390,977 857,592,659 -- 1,351,983,636 United States............. 506,366 -- -- 506,366 Preferred Stocks Germany................... -- 3,716,814 -- 3,716,814 United Kingdom............ -- 1,214 -- 1,214 Rights/Warrants Australia................. -- 323,953 -- 323,953 Belgium................... -- 704 -- 704 Canada.................... 24 579 -- 603 Hong Kong................. -- 283,649 -- 283,649 Italy..................... -- 3,518 -- 3,518 Singapore................. -- 26,839 -- 26,839 Securities Lending Collateral. -- 772,381,398 -- 772,381,398 -------------- -------------- -- -------------- TOTAL......................... $1,661,691,726 $5,570,158,876 -- $7,231,850,602 ============== ============== == ==============
See accompanying Notes to Financial Statements. 69 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
Value+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company............................. $2,138,832,833 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company......................... 1,433,515,437 Investment in The Japanese Small Company Series of The DFA Investment Trust Company............................. 1,392,642,047 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company......................... 765,581,971 Investment in The Canadian Small Company Series of The DFA Investment Trust Company............................. 689,084,996 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,321,775,249)................................ 6,419,657,284 -------------- TOTAL INVESTMENTS--(100.0%) (Cost $6,321,775,249)...... $6,419,657,284 ==============
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------- ------- -------------- Affiliated Investment Companies.. $6,419,657,284 -- -- $6,419,657,284 -------------- -- -- -------------- TOTAL............................ $6,419,657,284 -- -- $6,419,657,284 ============== == == ==============
See accompanying Notes to Financial Statements. 70 SCHEDULES OF INVESTMENTS OCTOBER 31, 2012 JAPANESE SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company............................ $294,087,384 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $363,670,987)................................. $294,087,384 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). ASIA PACIFIC SMALL COMPANY PORTFOLIO
Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company........................ $238,281,823 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $225,784,642)................................. $238,281,823 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 71 SCHEDULES OF INVESTMENTS October 31, 2012 UNITED KINDGOM SMALL COMPANY PORTFOLIO Value+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company......................................... $31,322,321 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $24,146,735)............................................ $31,322,321 =========== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). CONTINENTAL SMALL COMPANY PORTFOLIO Value+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company........................................ $106,352,698 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $108,971,167).......................................... $106,352,698 ============ Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 72 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (91.3%) AUSTRALIA -- (24.5%) CFS Retail Property Trust Group... 10,743,924 $ 21,769,204 1.4% #Commonwealth Property Office Fund. 12,593,964 14,099,725 0.9% Dexus Property Group.............. 25,577,769 26,105,656 1.7% Goodman Group..................... 8,720,577 40,033,772 2.6% GPT Group......................... 9,010,486 33,274,608 2.2% Investa Office Fund............... 3,287,999 10,135,818 0.7% Stockland Trust Group............. 11,954,193 42,891,997 2.8% Westfield Group................... 12,039,316 133,084,688 8.7% Westfield Retail Trust............ 15,744,367 50,556,567 3.3% Other Securities.................. 37,139,928 2.4% ------------ ---- TOTAL AUSTRALIA....................... 409,091,963 26.7% ------------ ---- BELGIUM -- (1.2%) Cofinimmo SA...................... 78,243 8,895,299 0.6% Other Securities.................. 11,918,425 0.8% ------------ ---- TOTAL BELGIUM......................... 20,813,724 1.4% ------------ ---- CANADA -- (7.2%) #Boardwalk REIT.................... 129,784 8,351,657 0.5% #Calloway REIT..................... 296,195 8,585,577 0.6% #Canadian REIT..................... 191,445 7,981,747 0.5% #Cominar REIT...................... 332,264 7,934,414 0.5% #Dundee REIT....................... 260,863 9,572,595 0.6% #H&R REIT.......................... 633,619 15,308,362 1.0% #RioCan REIT....................... 826,910 22,553,220 1.5% Other Securities.................. 39,624,002 2.6% ------------ ---- TOTAL CANADA.......................... 119,911,574 7.8% ------------ ---- CHINA -- (0.1%) Other Securities.................. 1,652,960 0.1% ------------ ---- FRANCE -- (10.9%) Fonciere des Regions SA........... 163,879 13,190,201 0.9% Gecina SA......................... 119,620 13,269,206 0.9% #ICADE SA.......................... 121,792 10,961,372 0.7% Klepierre SA...................... 601,899 22,326,321 1.4% Unibail-Rodamco SE................ 472,896 106,512,511 6.9% Other Securities.................. 15,122,081 1.0% ------------ ---- TOTAL FRANCE.......................... 181,381,692 11.8% ------------ ---- GERMANY -- (0.3%) Other Securities.................. 5,567,788 0.4% ------------ ---- GREECE -- (0.0%) Other Securities.................. 361,217 0.0% ------------ ---- HONG KONG -- (4.6%) #Link REIT (The)................... 12,861,583 63,830,861 4.2% Other Securities.................. 12,141,084 0.8% ------------ ---- TOTAL HONG KONG....................... 75,971,945 5.0% ------------ ---- ISRAEL -- (0.0%) Other Securities.................. 757,218 0.1% ------------ ---- ITALY -- (0.2%) Other Securities.................. 3,398,844 0.2% ------------ ---- 73 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- JAPAN -- (15.2%) Advance Residence Investment Corp.. 6,285 $ 13,627,451 0.9% #Frontier Real Estate Investment Corp.............................. 1,211 10,702,727 0.7% Japan Logistics Fund, Inc.......... 813 7,428,117 0.5% Japan Prime Realty Investment Corp............................. 4,465 13,456,668 0.9% Japan Real Estate Investment Corp.. 3,170 31,742,207 2.1% Japan Retail Fund Investment Corp.. 10,863 19,804,181 1.3% MORI TRUST Sogo REIT, Inc.......... 967 8,852,471 0.6% Nippon Accommodations Fund, Inc.... 1,021 7,254,453 0.5% #Nippon Building Fund, Inc.......... 3,534 37,966,559 2.5% #Nomura Real Estate Office Fund, Inc............................... 1,574 9,902,152 0.6% #ORIX JREIT, Inc.................... 1,594 7,761,405 0.5% #United Urban Investment Corp....... 12,105 14,554,764 0.9% Other Securities................... 70,803,716 4.6% ------------ ---- TOTAL JAPAN............................ 253,856,871 16.6% ------------ ---- MALAYSIA -- (0.3%) Other Securities................... 4,702,302 0.3% ------------ ---- MEXICO -- (0.1%) Other Securities................... 1,768,355 0.1% ------------ ---- NETHERLANDS -- (2.4%) Corio NV........................... 369,283 16,450,697 1.1% #Eurocommercial Properties NV....... 214,239 8,401,590 0.6% Other Securities................... 14,403,814 0.9% ------------ ---- TOTAL NETHERLANDS...................... 39,256,101 2.6% ------------ ---- NEW ZEALAND -- (0.6%) Other Securities................... 10,717,769 0.7% ------------ ---- SINGAPORE -- (8.1%) Ascendas REIT...................... 10,362,000 19,992,929 1.3% #CapitaCommercial Trust............. 10,793,000 13,847,973 0.9% CapitaMall Trust................... 12,717,300 21,881,382 1.4% CDL Hospitality Trusts............. 4,451,000 7,058,939 0.5% Suntec REIT........................ 10,956,000 14,390,048 0.9% Other Securities................... 57,469,214 3.8% ------------ ---- TOTAL SINGAPORE........................ 134,640,485 8.8% ------------ ---- SOUTH AFRICA -- (1.3%) Other Securities................... 21,317,137 1.4% ------------ ---- TAIWAN -- (0.6%) Other Securities................... 9,314,322 0.6% ------------ ---- TURKEY -- (0.7%) Other Securities................... 10,969,854 0.7% ------------ ---- UNITED KINGDOM -- (13.0%) British Land Co. P.L.C............. 4,755,450 40,619,859 2.6% Capital Shopping Centres Group P.L.C............................ 3,132,277 16,860,712 1.1% Derwent London P.L.C............... 491,732 16,363,554 1.1% Great Portland Estates P.L.C....... 1,676,684 12,661,329 0.8% Hammerson P.L.C.................... 3,924,681 29,928,470 1.9% Land Securities Group P.L.C........ 4,331,787 56,292,926 3.7% Segro P.L.C........................ 3,971,466 15,227,757 1.0% Shaftesbury P.L.C.................. 1,317,725 11,669,264 0.8% 74 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) Other Securities......................................................... $ 16,948,860 1.1% -------------- ----- TOTAL UNITED KINGDOM......................................................... 216,572,731 14.1% -------------- ----- TOTAL COMMON STOCKS.......................................................... 1,522,024,852 99.4% -------------- ----- RIGHTS/WARRANTS -- (0.0%) NETHERLANDS -- (0.0%) Other Securities......................................................... -- 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (8.7%) (S)@DFA Short Term Investment Fund........................................... 12,445,981 144,000,000 9.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $226,983) to be repurchased at $222,534................................. $ 223 222,532 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 144,222,532 9.4% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,504,164,154) $1,666,247,384 108.8% ============== =====
75 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................ -- $ 409,091,963 -- $ 409,091,963 Belgium.................. -- 20,813,724 -- 20,813,724 Canada................... $119,911,574 -- -- 119,911,574 China.................... -- 1,652,960 -- 1,652,960 France................... -- 181,381,692 -- 181,381,692 Germany.................. -- 5,567,788 -- 5,567,788 Greece................... -- 361,217 -- 361,217 Hong Kong................ -- 75,971,945 -- 75,971,945 Israel................... -- 757,218 -- 757,218 Italy.................... -- 3,398,844 -- 3,398,844 Japan.................... -- 253,856,871 -- 253,856,871 Malaysia................. -- 4,702,302 -- 4,702,302 Mexico................... 1,768,355 -- -- 1,768,355 Netherlands.............. -- 39,256,101 -- 39,256,101 New Zealand.............. -- 10,717,769 -- 10,717,769 Singapore................ -- 134,640,485 -- 134,640,485 South Africa............. -- 21,317,137 -- 21,317,137 Taiwan................... -- 9,314,322 -- 9,314,322 Turkey................... -- 10,969,854 -- 10,969,854 United Kingdom........... -- 216,572,731 -- 216,572,731 Rights/Warrants Netherlands.............. -- -- -- -- Securities Lending Collateral................ -- 144,222,532 -- 144,222,532 ------------ -------------- -- -------------- TOTAL....................... $121,679,929 $1,544,567,455 -- $1,666,247,384 ============ ============== == ============== See accompanying Notes to Financial Statements. 76 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Shares Value+ ---------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.8%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............ 30,118,595 $ 777,963,309 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc......................................... 93,734,436 531,474,252 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,003,592,208).......................... 1,309,437,561 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio-Institutional Shares (Cost $2,168,186).............................. 2,168,186 2,168,186 -------------- TOTAL INVESTMENTS - (100.0%) (Cost $1,005,760,394).......................... $1,311,605,747 ============== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------- ------- -------------- Affiliated Investment Companies.. $1,309,437,561 -- -- $1,309,437,561 Temporary Cash Investments....... 2,168,186 -- -- 2,168,186 -------------- -- -- -------------- TOTAL............................ $1,311,605,747 -- -- $1,311,605,747 ============== == == ============== See accompanying Notes to Financial Statements. 77 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (90.8%) AUSTRALIA -- (6.0%) Beach Energy, Ltd................. 23,727,789 $ 33,888,804 0.4% #Primary Health Care, Ltd.......... 10,254,873 41,363,668 0.5% Other Securities.................. 466,530,438 5.6% ------------ ---- TOTAL AUSTRALIA....................... 541,782,910 6.5% ------------ ---- AUSTRIA -- (0.6%) Other Securities.................. 56,347,784 0.7% ------------ ---- BELGIUM -- (0.8%) Other Securities.................. 72,506,984 0.9% ------------ ---- CANADA -- (10.1%) Aimia, Inc........................ 2,476,260 37,091,214 0.4% *Canfor Corp....................... 2,464,506 35,138,489 0.4% *Celestica, Inc.................... 4,577,603 33,229,158 0.4% Dorel Industries, Inc. Class B.... 842,000 30,105,452 0.4% HudBay Minerals, Inc.............. 4,193,216 38,919,762 0.5% Laurentian Bank of Canada......... 707,853 31,503,445 0.4% *Petrobank Energy & Resources, Ltd. 2,532,239 34,785,801 0.4% #RONA, Inc......................... 3,166,544 32,529,403 0.4% Sherritt International Corp....... 7,300,339 31,576,936 0.4% West Fraser Timber Co., Ltd....... 659,979 39,972,095 0.5% Other Securities.................. 571,595,590 6.9% ------------ ---- TOTAL CANADA.......................... 916,447,345 11.1% ------------ ---- CHINA -- (0.0%) Other Securities.................. 1,206,022 0.0% ------------ ---- DENMARK -- (0.7%) Other Securities.................. 63,681,901 0.8% ------------ ---- FINLAND -- (2.3%) Huhtamaki Oyj..................... 1,928,287 32,602,927 0.4% Pohjola Bank P.L.C. Series A...... 2,683,574 36,607,681 0.4% Other Securities.................. 138,899,487 1.7% ------------ ---- TOTAL FINLAND......................... 208,110,095 2.5% ------------ ---- FRANCE -- (3.2%) #*Air France-KLM.................... 3,419,028 28,582,611 0.3% Other Securities.................. 261,020,712 3.2% ------------ ---- TOTAL FRANCE.......................... 289,603,323 3.5% ------------ ---- GERMANY -- (4.7%) Aurubis AG........................ 1,045,010 66,156,167 0.8% Bilfinger SE...................... 632,428 61,972,830 0.7% *TUI AG............................ 3,349,736 31,432,430 0.4% Other Securities.................. 261,661,479 3.2% ------------ ---- TOTAL GERMANY......................... 421,222,906 5.1% ------------ ---- GREECE -- (0.3%) Other Securities.................. 25,879,481 0.3% ------------ ---- HONG KONG -- (2.2%) Other Securities.................. 197,647,279 2.4% ------------ ---- IRELAND -- (0.3%) Other Securities.................. 31,232,143 0.4% ------------ ---- 78 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- ISRAEL -- (0.7%) Other Securities............... $ 60,934,821 0.7% -------------- ---- ITALY -- (2.4%) #*Banca Popolare di Milano Scarl. 77,876,899 42,915,156 0.5% *Banco Popolare Scarl........... 21,502,306 34,312,780 0.4% Other Securities............... 141,814,742 1.7% -------------- ---- TOTAL ITALY........................ 219,042,678 2.6% -------------- ---- JAPAN -- (21.9%) #*Kawasaki Kisen Kaisha, Ltd..... 23,941,194 30,346,936 0.4% Other Securities............... 1,952,345,297 23.6% -------------- ---- TOTAL JAPAN........................ 1,982,692,233 24.0% -------------- ---- NETHERLANDS -- (1.6%) Other Securities............... 142,141,244 1.7% -------------- ---- NEW ZEALAND -- (0.5%) Other Securities............... 48,105,315 0.6% -------------- ---- NORWAY -- (0.9%) Other Securities............... 85,774,467 1.0% -------------- ---- PORTUGAL -- (0.3%) Other Securities............... 25,197,899 0.3% -------------- ---- SINGAPORE -- (1.6%) Other Securities............... 145,005,915 1.8% -------------- ---- SPAIN -- (1.4%) Other Securities............... 123,849,404 1.5% -------------- ---- SWEDEN -- (3.2%) #Holmen AB Series B............. 1,366,890 40,281,534 0.5% #SSAB AB Series A............... 4,143,538 29,683,346 0.4% Trelleborg AB Series B......... 6,786,568 73,951,693 0.9% Other Securities............... 143,316,503 1.7% -------------- ---- TOTAL SWEDEN....................... 287,233,076 3.5% -------------- ---- SWITZERLAND -- (4.5%) Clariant AG.................... 3,169,797 33,967,506 0.4% Helvetia Holding AG............ 120,995 42,486,842 0.5% Swiss Life Holding AG.......... 359,888 45,449,220 0.6% Other Securities............... 281,835,343 3.4% -------------- ---- TOTAL SWITZERLAND.................. 403,738,911 4.9% -------------- ---- UNITED KINGDOM -- (20.6%) Amlin P.L.C.................... 11,024,189 66,456,858 0.8% Ashtead Group P.L.C............ 11,493,515 69,436,081 0.8% *Barratt Developments P.L.C..... 23,445,340 71,872,107 0.9% Beazley P.L.C.................. 12,444,027 35,581,616 0.4% Bellway P.L.C.................. 3,448,205 56,365,789 0.7% Bodycote P.L.C................. 5,217,256 31,855,295 0.4% Bovis Homes Group P.L.C........ 3,849,825 31,868,846 0.4% Catlin Group, Ltd.............. 9,072,341 69,139,681 0.8% Cookson Group P.L.C............ 5,906,182 55,795,091 0.7% DS Smith P.L.C................. 15,587,156 53,814,171 0.6% easyJet P.L.C.................. 4,026,670 40,693,610 0.5% Greene King P.L.C.............. 4,908,532 47,094,844 0.6% Hiscox, Ltd.................... 10,790,586 83,204,571 1.0% #Home Retail Group P.L.C........ 17,301,308 31,941,500 0.4% 79 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) Inchcape P.L.C........................................................ 8,776,728 $ 57,079,395 0.7% Meggitt P.L.C......................................................... 5,167,155 32,228,095 0.4% Millennium & Copthorne Hotels P.L.C................................... 4,813,561 39,060,619 0.5% *Mitchells & Butlers P.L.C............................................. 5,754,583 30,449,225 0.4% Mondi P.L.C........................................................... 7,958,099 87,726,124 1.1% Persimmon P.L.C....................................................... 7,739,467 99,583,151 1.2% Taylor Wimpey P.L.C................................................... 75,991,308 75,107,713 0.9% *Travis Perkins P.L.C.................................................. 5,306,411 92,729,589 1.1% TUI Travel P.L.C...................................................... 7,207,549 29,243,367 0.3% Other Securities...................................................... 571,968,649 6.9% -------------- ----- TOTAL UNITED KINGDOM...................................................... 1,860,295,987 22.5% -------------- ----- UNITED STATES -- (0.0%) Other Securities...................................................... 54,586 0.0% -------------- ----- TOTAL COMMON STOCKS....................................................... 8,209,734,709 99.3% -------------- ----- PREFERRED STOCKS -- (0.0%) UNITED KINGDOM -- (0.0%) Other Securities...................................................... 144 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities...................................................... 4,064 0.0% -------------- ----- CANADA -- (0.0%) Other Securities...................................................... 11,269 0.0% -------------- ----- SWITZERLAND -- (0.0%) Other Securities...................................................... 1,358 0.0% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities...................................................... -- 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS..................................................... 16,691 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (9.2%) (S)@DFA Short Term Investment Fund........................................ 71,305,099 825,000,000 10.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $4,362,140) to be repurchased at $4,276,650....................... $ 4,277 4,276,608 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................................... 829,276,608 10.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $9,743,525,659).................................................. $9,039,028,152 109.3% ============== =====
80 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................. -- $ 541,782,910 -- $ 541,782,910 Austria................... -- 56,347,784 -- 56,347,784 Belgium................... -- 72,506,984 -- 72,506,984 Canada.................... $913,493,326 2,954,019 -- 916,447,345 China..................... 1,179,614 26,408 -- 1,206,022 Denmark................... -- 63,681,901 -- 63,681,901 Finland................... -- 208,110,095 -- 208,110,095 France.................... -- 289,603,323 -- 289,603,323 Germany................... -- 421,222,906 -- 421,222,906 Greece.................... -- 25,879,481 -- 25,879,481 Hong Kong................. -- 197,647,279 -- 197,647,279 Ireland................... -- 31,232,143 -- 31,232,143 Israel.................... -- 60,934,821 -- 60,934,821 Italy..................... -- 219,042,678 -- 219,042,678 Japan..................... -- 1,982,692,233 -- 1,982,692,233 Netherlands............... -- 142,141,244 -- 142,141,244 New Zealand............... -- 48,105,315 -- 48,105,315 Norway.................... -- 85,774,467 -- 85,774,467 Portugal.................. -- 25,197,899 -- 25,197,899 Singapore................. -- 145,005,915 -- 145,005,915 Spain..................... -- 123,849,404 -- 123,849,404 Sweden.................... -- 287,233,076 -- 287,233,076 Switzerland............... -- 403,738,911 -- 403,738,911 United Kingdom............ -- 1,860,295,987 -- 1,860,295,987 United States............. 54,586 -- -- 54,586 Preferred Stocks United Kingdom............ -- 144 -- 144 Rights/Warrants Belgium................... -- 4,064 -- 4,064 Canada.................... 11,269 -- -- 11,269 Switzerland............... -- 1,358 -- 1,358 United Kingdom............ -- -- -- -- Securities Lending Collateral. -- 829,276,608 -- 829,276,608 ------------ -------------- -- -------------- TOTAL......................... $914,738,795 $8,124,289,357 -- $9,039,028,152 ============ ============== == ==============
See accompanying Notes to Financial Statements. 81 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ------- ----------- --------------- COMMON STOCKS -- (90.0%) AUSTRALIA -- (6.0%) #National Australia Bank, Ltd........... 74,261 $ 1,984,617 0.4% Origin Energy, Ltd..................... 95,401 1,122,983 0.2% Santos, Ltd............................ 83,616 996,972 0.2% Suncorp Group, Ltd..................... 115,486 1,124,902 0.2% Other Securities....................... 32,237,270 5.7% ----------- ---- TOTAL AUSTRALIA............................ 37,466,744 6.7% ----------- ---- AUSTRIA -- (0.5%) Other Securities....................... 3,337,563 0.6% ----------- ---- BELGIUM -- (1.0%) Ageas.................................. 44,668 1,138,805 0.2% Other Securities....................... 4,967,517 0.9% ----------- ---- TOTAL BELGIUM.............................. 6,106,322 1.1% ----------- ---- CANADA -- (9.7%) Suncor Energy, Inc..................... 36,072 1,210,647 0.2% #Toronto Dominion Bank.................. 21,129 1,718,457 0.3% #Yamana Gold, Inc....................... 58,105 1,173,445 0.2% Other Securities....................... 56,113,132 10.0% ----------- ---- TOTAL CANADA............................... 60,215,681 10.7% ----------- ---- CHINA -- (0.0%) Other Securities....................... 9,445 0.0% ----------- ---- DENMARK -- (1.0%) Other Securities....................... 6,326,334 1.1% ----------- ---- FINLAND -- (1.6%) Other Securities....................... 9,612,354 1.7% ----------- ---- FRANCE -- (5.8%) BNP Paribas SA......................... 27,532 1,397,432 0.3% Cie de Saint-Gobain SA................. 29,285 1,031,567 0.2% Cie Generale des Etablissements Michelin SA Series B................. 15,059 1,298,153 0.2% Lafarge SA............................. 19,443 1,139,926 0.2% Sanofi SA.............................. 19,474 1,710,343 0.3% *Societe Generale SA.................... 59,410 1,894,701 0.3% Vivendi SA............................. 53,400 1,094,244 0.2% Other Securities....................... 26,420,563 4.7% ----------- ---- TOTAL FRANCE............................... 35,986,929 6.4% ----------- ---- GERMANY -- (5.0%) Allianz SE............................. 10,175 1,263,987 0.2% Daimler AG............................. 25,279 1,184,185 0.2% Deutsche Bank AG....................... 29,192 1,334,366 0.3% E.ON AG................................ 43,404 988,091 0.2% Other Securities....................... 25,926,059 4.6% ----------- ---- TOTAL GERMANY.............................. 30,696,688 5.5% ----------- ---- GREECE -- (0.4%) Other Securities....................... 2,732,129 0.5% ----------- ---- HONG KONG -- (2.3%) Other Securities....................... 14,445,977 2.6% ----------- ---- 82 International Vector Equity Portfolio continued Percentage Shares Value++ of Net Assets** ------- ------------ --------------- IRELAND -- (0.7%) CRH P.L.C. Sponsored ADR.............. 59,771 $ 1,114,729 0.2% Other Securities...................... 3,376,092 0.6% ------------ ---- TOTAL IRELAND............................. 4,490,821 0.8% ------------ ---- ISRAEL -- (0.5%) Other Securities...................... 3,233,372 0.6% ------------ ---- ITALY -- (2.3%) Other Securities...................... 14,048,924 2.5% ------------ ---- JAPAN -- (18.2%) Mitsubishi UFJ Financial Group, Inc... 282,300 1,277,116 0.2% Sumitomo Mitsui Financial Group, Inc.. 33,941 1,037,135 0.2% Other Securities...................... 110,841,534 19.8% ------------ ---- TOTAL JAPAN............................... 113,155,785 20.2% ------------ ---- NETHERLANDS -- (2.3%) Akzo Nobel NV......................... 23,201 1,262,780 0.2% Philips Electronics NV ADR............ 42,109 1,056,094 0.2% Other Securities...................... 11,792,538 2.1% ------------ ---- TOTAL NETHERLANDS......................... 14,111,412 2.5% ------------ ---- NEW ZEALAND -- (0.3%) Other Securities...................... 1,976,473 0.3% ------------ ---- NORWAY -- (1.2%) Other Securities...................... 7,415,222 1.3% ------------ ---- PORTUGAL -- (0.4%) Other Securities...................... 2,368,245 0.4% ------------ ---- SINGAPORE -- (1.6%) Other Securities...................... 10,014,737 1.8% ------------ ---- SPAIN -- (1.8%) Banco Santander SA.................... 219,822 1,655,078 0.3% Other Securities...................... 9,313,492 1.6% ------------ ---- TOTAL SPAIN............................... 10,968,570 1.9% ------------ ---- SWEDEN -- (3.0%) Skandinaviska Enskilda Banken AB Series A............................ 137,821 1,143,610 0.2% Svenska Cellulosa AB Series B......... 56,655 1,104,558 0.2% Other Securities...................... 16,083,002 2.9% ------------ ---- TOTAL SWEDEN.............................. 18,331,170 3.3% ------------ ---- SWITZERLAND -- (5.9%) Credit Suisse Group AG................ 76,065 1,768,919 0.3% Holcim, Ltd........................... 24,022 1,639,411 0.3% Nestle SA............................. 29,483 1,871,824 0.3% Novartis AG ADR....................... 25,578 1,546,446 0.3% Swiss Re, Ltd......................... 35,621 2,464,879 0.4% Zurich Insurance Group AG............. 14,816 3,652,436 0.7% Other Securities...................... 23,312,139 4.2% ------------ ---- TOTAL SWITZERLAND......................... 36,256,054 6.5% ------------ ---- UNITED KINGDOM -- (18.5%) Anglo American P.L.C.................. 60,914 1,877,034 0.4% Aviva P.L.C........................... 209,754 1,123,324 0.2% BP P.L.C. Sponsored ADR............... 80,492 3,452,302 0.6% #HSBC Holdings P.L.C. Sponsored ADR.... 102,908 5,079,539 0.9% 83 International Vector Equity Portfolio continued Percentage Shares Value++ of Net Assets** --------- ------------ --------------- UNITED KINGDOM -- (Continued) Kingfisher P.L.C................... 232,192 $ 1,087,134 0.2% Legal & General Group P.L.C........ 594,171 1,288,008 0.2% *Lloyds Banking Group P.L.C......... 1,911,509 1,258,744 0.2% Old Mutual P.L.C................... 465,474 1,295,638 0.2% Persimmon P.L.C.................... 79,548 1,023,538 0.2% Rexam P.L.C........................ 142,831 1,031,333 0.2% Royal Dutch Shell P.L.C. ADR....... 88,550 6,254,286 1.1% RSA Insurance Group P.L.C.......... 685,426 1,244,158 0.2% Standard Chartered P.L.C........... 70,024 1,657,940 0.3% Standard Life P.L.C................ 253,612 1,197,519 0.2% *Travis Perkins P.L.C............... 58,572 1,023,546 0.2% Vodafone Group P.L.C. Sponsored ADR.............................. 165,738 4,511,388 0.8% Xstrata P.L.C...................... 77,287 1,224,342 0.2% Other Securities................... 79,334,974 14.2% ------------ ---- TOTAL UNITED KINGDOM................... 114,964,747 20.5% ------------ ---- UNITED STATES -- (0.0%) Other Securities................... 106,770 0.0% ------------ ---- TOTAL COMMON STOCKS.................... 558,378,468 99.5% ------------ ---- PREFERRED STOCKS -- (0.0%) GERMANY -- (0.0%) Other Securities................... 134,707 0.0% ------------ ---- UNITED KINGDOM -- (0.0%) Other Securities................... 194 0.0% ------------ ---- TOTAL PREFERRED STOCKS................. 134,901 0.0% ------------ ---- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities................... 9,318 0.0% ------------ ---- BELGIUM -- (0.0%) Other Securities................... 55 0.0% ------------ ---- CANADA -- (0.0%) Other Securities................... 429 0.0% ------------ ---- HONG KONG -- (0.0%) Other Securities................... 35,355 0.0% ------------ ---- SINGAPORE -- (0.0%) Other Securities................... 79 0.0% ------------ ---- SPAIN -- (0.0%) Other Securities................... 2 0.0% ------------ ---- TOTAL RIGHTS/WARRANTS.................. 45,238 0.0% ------------ ---- 84 International Vector Equity Portfolio continued Shares/ Face Amount Percentage (000) Value+ of Net Assets** ---------- ------------ --------------- SECURITIES LENDING COLLATERAL -- (10.0%) (S)@DFA Short Term Investment Fund.... 5,272,256 $ 61,000,000 10.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $641,192) to be repurchased at $628,626....... $ 629 628,620 0.1% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL... 61,628,620 11.0% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $570,633,453)............... $620,187,227 110.5% ============ ===== 85 International Vector Equity Portfolio continued Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Australia.................. $ 977,867 $ 36,488,877 -- $ 37,466,744 Austria.................... -- 3,337,563 -- 3,337,563 Belgium.................... 607,575 5,498,747 -- 6,106,322 Canada..................... 60,168,932 46,749 -- 60,215,681 China...................... 9,445 -- -- 9,445 Denmark.................... -- 6,326,334 -- 6,326,334 Finland.................... -- 9,612,354 -- 9,612,354 France..................... 1,756,577 34,230,352 -- 35,986,929 Germany.................... 2,705,981 27,990,707 -- 30,696,688 Greece..................... 70,609 2,661,520 -- 2,732,129 Hong Kong.................. 13,609 14,432,368 -- 14,445,977 Ireland.................... 1,229,633 3,261,188 -- 4,490,821 Israel..................... 650,715 2,582,657 -- 3,233,372 Italy...................... 888,414 13,160,510 -- 14,048,924 Japan...................... 2,560,476 110,595,309 -- 113,155,785 Netherlands................ 2,657,512 11,453,900 -- 14,111,412 New Zealand................ 6,348 1,970,125 -- 1,976,473 Norway..................... 429,266 6,985,956 -- 7,415,222 Portugal................... -- 2,368,245 -- 2,368,245 Singapore.................. -- 10,014,737 -- 10,014,737 Spain...................... 938,456 10,030,114 -- 10,968,570 Sweden..................... 8,001 18,323,169 -- 18,331,170 Switzerland................ 2,574,386 33,681,668 -- 36,256,054 United Kingdom............. 23,297,193 91,667,554 -- 114,964,747 United States.............. 106,770 -- -- 106,770 Preferred Stocks Germany.................... -- 134,707 -- 134,707 United Kingdom............. -- 194 -- 194 Rights/Warrants Australia.................. -- 9,318 -- 9,318 Belgium.................... -- 55 -- 55 Canada..................... -- 429 -- 429 Hong Kong.................. -- 35,355 -- 35,355 Singapore.................. -- 79 -- 79 Spain...................... -- 2 -- 2 Securities Lending Collateral.. -- 61,628,620 -- 61,628,620 ------------ ------------ -- ------------ TOTAL.......................... $101,657,765 $518,529,462 -- $620,187,227 ============ ============ == ============ See accompanying Notes to Financial Statements. 86 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Shares Value+ ------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company............................ $38,734,717 Investment in Dimensional Emerging Markets Value Fund..... 13,726,335 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.................. 310,246 4,703,329 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES... (Cost $55,252,245).................................. 57,164,381 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $55,252,245)........ $57,164,381 =========== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) --------------------------------------- Level 1 Level 2 Level 3 Total ----------- ------- ------- ----------- Affiliated Investment Companies........ $57,164,381 -- -- $57,164,381 ----------- -- -- ----------- TOTAL.................................. $57,164,381 -- -- $57,164,381 =========== == == =========== See accompanying Notes to Financial Statements. 87 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Shares Value+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc....................... 1,192,388 $14,296,732 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc................... 1,281,391 12,942,049 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc................ 344,969 6,554,411 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES. (Cost $31,236,380)................................ 33,793,192 ----------- TOTAL INVESTMENTS - (100.0%) (Cost $31,236,380)...... $33,793,192 =========== Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) ------------------------------------------ Level 1 Level 2 Level 3 Total ----------- -------- ------- ----------- Affiliated Investment Companies.... $33,793,192 -- -- $33,793,192 Futures Contracts**................ (16,806) -- -- (16,806) Forward Currency Contracts**....... -- $(93,551) -- (93,551) ----------- -------- -- ----------- TOTAL.............................. $33,776,386 $(93,551) -- $33,682,835 =========== ======== == =========== ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 88 SCHEDULES OF INVESTMENTS October 31, 2012 EMERGING MARKETS PORTFOLIO Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company $2,798,256,019 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,809,909,754).................................... $2,798,256,019 ============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS SMALL CAP PORTFOLIO Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company $2,908,908,848 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,600,422,931).................................... $2,908,908,848 ============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 89 EMERGING MARKETS VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012 Value+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund.......... $16,695,104,614 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $16,996,486,055)................................... $16,695,104,614 =============== Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 90 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- COMMON STOCKS -- (86.6%) BRAZIL -- (7.0%) BM&F Bovespa SA................. 5,809,489 $ 37,184,391 0.4% #BRF - Brasil Foods SA ADR....... 1,233,685 22,601,109 0.3% Petroleo Brasileiro SA ADR...... 2,638,489 55,962,352 0.7% #Vale SA Sponsored ADR........... 2,488,228 45,584,337 0.5% Other Securities................ 490,376,075 5.7% -------------- ---- TOTAL BRAZIL........................ 651,708,264 7.6% -------------- ---- CHILE -- (1.6%) Other Securities................ 151,612,738 1.8% -------------- ---- CHINA -- (14.5%) #Bank of China, Ltd. Series H.... 121,384,702 49,729,165 0.6% China Construction Bank Corp. Series H...................... 118,060,302 88,657,365 1.0% China Mobile, Ltd. Sponsored ADR........................... 1,358,381 75,240,724 0.9% #China Overseas Land & Investment, Ltd................ 7,618,033 19,933,917 0.2% #CNOOC, Ltd. ADR................. 148,376 30,498,687 0.4% Industrial & Commercial Bank of China, Ltd. Series H....... 106,553,725 70,165,553 0.8% PetroChina Co., Ltd. ADR........ 229,733 31,188,552 0.4% Tencent Holdings, Ltd........... 891,100 31,412,605 0.4% Other Securities................ 949,222,141 11.0% -------------- ---- TOTAL CHINA......................... 1,346,048,709 15.7% -------------- ---- COLOMBIA -- (0.4%) Other Securities................ 36,008,094 0.4% -------------- ---- CZECH REPUBLIC -- (0.3%) Other Securities................ 30,187,968 0.4% -------------- ---- EGYPT -- (0.1%) Other Securities................ 8,998,903 0.1% -------------- ---- HONG KONG -- (0.0%) Other Securities................ 192,006 0.0% -------------- ---- HUNGARY -- (0.3%) Other Securities................ 29,660,270 0.3% -------------- ---- INDIA -- (7.2%) HDFC Bank, Ltd.................. 2,006,196 23,457,072 0.3% ICICI Bank, Ltd. Sponsored ADR.. 621,658 24,400,076 0.3% Reliance Industries, Ltd........ 2,392,101 35,670,774 0.4% Other Securities................ 583,933,535 6.8% -------------- ---- TOTAL INDIA......................... 667,461,457 7.8% -------------- ---- INDONESIA -- (3.2%) PT Astra International Tbk...... 24,525,000 20,471,402 0.2% Other Securities................ 280,675,429 3.3% -------------- ---- TOTAL INDONESIA..................... 301,146,831 3.5% -------------- ---- ISRAEL -- (0.0%) Other Securities................ 173,082 0.0% -------------- ---- MALAYSIA -- (3.7%) CIMB Group Holdings Berhad...... 9,582,014 23,947,028 0.3% Malayan Banking Berhad.......... 7,173,412 21,220,701 0.2% Other Securities................ 302,491,132 3.5% -------------- ---- TOTAL MALAYSIA...................... 347,658,861 4.0% -------------- ---- 91 emerging Markets Core Equity Portfolio CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- MEXICO -- (4.8%) America Movil S.A.B. de C.V. Series L ADR.................. 2,014,399 $ 50,944,151 0.6% *Cemex S.A.B. de C.V. Sponsored ADR............................ 4,063,800 36,736,750 0.4% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR.. 389,063 35,252,998 0.4% Grupo Financiero Banorte S.A.B. de C.V. Series O....... 5,703,705 31,711,450 0.4% Grupo Mexico S.A.B. de C.V. Series B...................... 8,798,279 28,207,710 0.3% Grupo Televisa S.A.B. Sponsored ADR................. 1,088,606 24,602,496 0.3% Other Securities................ 240,076,862 2.8% -------------- ---- TOTAL MEXICO........................ 447,532,417 5.2% -------------- ---- PERU -- (0.2%) Other Securities................ 19,890,435 0.2% -------------- ---- PHILIPPINES -- (1.4%) Other Securities................ 130,096,026 1.5% -------------- ---- POLAND -- (1.4%) Other Securities................ 129,480,253 1.5% -------------- ---- RUSSIA -- (3.0%) Gazprom OAO Sponsored ADR....... 9,932,249 91,227,647 1.1% Lukoil OAO Sponsored ADR........ 897,216 54,450,535 0.6% *Sberbank of Russia Sponsored ADR............................ 2,442,782 28,887,006 0.3% Other Securities................ 102,212,726 1.2% -------------- ---- TOTAL RUSSIA........................ 276,777,914 3.2% -------------- ---- SOUTH AFRICA -- (7.3%) AngloGold Ashanti, Ltd. Sponsored ADR................. 761,501 25,875,804 0.3% #Gold Fields, Ltd. Sponsored ADR. 2,326,039 29,098,748 0.3% Impala Platinum Holdings, Ltd... 1,417,592 25,549,952 0.3% MTN Group, Ltd.................. 2,946,159 53,189,830 0.6% Naspers, Ltd. Series N.......... 491,418 31,900,653 0.4% Sanlam, Ltd..................... 4,846,104 21,623,945 0.3% #Sasol, Ltd. Sponsored ADR....... 741,346 31,440,484 0.4% Standard Bank Group, Ltd........ 2,134,913 26,362,364 0.3% Other Securities................ 432,042,024 5.0% -------------- ---- TOTAL SOUTH AFRICA.................. 677,083,804 7.9% -------------- ---- SOUTH KOREA -- (13.9%) Hana Financial Group, Inc....... 693,772 20,182,592 0.2% Hyundai Mobis................... 86,229 21,914,678 0.2% Hyundai Motor Co., Ltd.......... 264,017 54,260,435 0.6% #LG Electronics, Inc............. 319,969 22,260,837 0.3% #POSCO ADR....................... 393,275 30,824,894 0.4% Samsung Electronics Co., Ltd.... 143,153 171,788,982 2.0% Other Securities................ 968,798,669 11.3% -------------- ---- TOTAL SOUTH KOREA................... 1,290,031,087 15.0% -------------- ---- TAIWAN -- (11.4%) #Hon Hai Precision Industry Co., Ltd....................... 15,725,476 47,680,234 0.6% #Taiwan Semiconductor Manufacturing Co., Ltd......... 27,191,652 82,854,588 1.0% Other Securities................ 930,982,338 10.8% -------------- ---- TOTAL TAIWAN........................ 1,061,517,160 12.4% -------------- ---- THAILAND -- (2.8%) Other Securities................ 260,928,990 3.0% -------------- ---- TURKEY -- (2.1%) Turkiye Garanti Bankasi A.S..... 4,218,550 20,156,073 0.2%
92 emerging Markets Core Equity Portfolio CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- TURKEY -- (Continued) Other Securities................... $ 170,155,837 2.0% -------------- ---- TOTAL TURKEY........................... 190,311,910 2.2% -------------- ---- TOTAL COMMON STOCKS.................... 8,054,507,179 93.7% -------------- ---- PREFERRED STOCKS -- (5.0%) BRAZIL -- (4.9%) Banco Bradesco SA Sponsored ADR.... 4,634,517 72,576,536 0.8% #Cia de Bebidas das Americas SA ADR. 698,422 28,488,633 0.3% #Gerdau SA Sponsored ADR............ 2,629,491 23,113,226 0.3% Itau Unibanco Holding SA ADR....... 4,273,839 62,312,573 0.7% #Petroleo Brasileiro SA ADR......... 3,574,085 73,375,965 0.9% #Vale SA Sponsored ADR.............. 3,021,868 53,759,032 0.6% Other Securities................... 141,370,189 1.7% -------------- ---- TOTAL BRAZIL........................... 454,996,154 5.3% -------------- ---- CHILE -- (0.1%) Other Securities................... 7,796,135 0.1% -------------- ---- COLOMBIA -- (0.0%) Other Securities................... 150,000 0.0% -------------- ---- INDIA -- (0.0%) Other Securities................... 6,792 0.0% -------------- ---- MALAYSIA -- (0.0%) Other Securities................... 81,155 0.0% -------------- ---- TOTAL PREFERRED STOCKS................. 463,030,236 5.4% -------------- ---- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities................... 9,695 0.0% -------------- ---- MALAYSIA -- (0.0%) Other Securities................... 12,644 0.0% -------------- ---- POLAND -- (0.0%) Other Securities................... 11,636 0.0% -------------- ---- SOUTH AFRICA -- (0.0%) Other Securities................... 228,473 0.0% -------------- ---- SOUTH KOREA -- (0.0%) Other Securities................... 17,083 0.0% -------------- ---- TAIWAN -- (0.0%) Other Securities................... 1,938 0.0% -------------- ---- THAILAND -- (0.0%) Other Securities................... -- 0.0% -------------- ---- TOTAL RIGHTS/WARRANTS.................. 281,469 0.0% -------------- ----
93 emerging Markets Core Equity Portfolio CONTINUED
Shares/ Face Amount Percentage (000) Value+ of Net Assets** ----------- -------------- --------------- SECURITIES LENDING COLLATERAL -- (8.4%) (S)@DFA Short Term Investment Fund........................................... 66,983,578 775,000,000 9.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $3,978,850) to be repurchased at $3,900,871............................. $ 3,901 3,900,834 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 778,900,834 9.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,654,503,966)....................................................... $9,296,719,718 108.2% ============== =====
94 emerging Markets Core Equity Portfolio CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Brazil..................... $ 651,708,264 -- -- $ 651,708,264 Chile...................... 151,612,738 -- -- 151,612,738 China...................... 206,214,906 $1,139,833,803 -- 1,346,048,709 Colombia................... 36,008,094 -- -- 36,008,094 Czech Republic............. -- 30,187,968 -- 30,187,968 Egypt...................... -- 8,998,903 -- 8,998,903 Hong Kong.................. -- 192,006 -- 192,006 Hungary.................... 318,975 29,341,295 -- 29,660,270 India...................... 51,966,834 615,494,623 -- 667,461,457 Indonesia.................. 10,328,439 290,818,392 -- 301,146,831 Israel..................... -- 173,082 -- 173,082 Malaysia................... -- 347,658,861 -- 347,658,861 Mexico..................... 447,532,417 -- -- 447,532,417 Peru....................... 19,890,435 -- -- 19,890,435 Philippines................ 2,433,199 127,662,827 -- 130,096,026 Poland..................... -- 129,480,253 -- 129,480,253 Russia..................... 10,736,011 266,041,903 -- 276,777,914 South Africa............... 98,211,850 578,871,954 -- 677,083,804 South Korea................ 79,137,486 1,210,893,601 -- 1,290,031,087 Taiwan..................... 22,196,294 1,039,320,866 -- 1,061,517,160 Thailand................... 254,905,263 6,023,727 -- 260,928,990 Turkey..................... 4,166,040 186,145,870 -- 190,311,910 Preferred Stocks Brazil..................... 454,877,865 118,289 -- 454,996,154 Chile...................... 7,796,135 -- -- 7,796,135 Colombia................... 150,000 -- -- 150,000 India...................... -- 6,792 -- 6,792 Malaysia................... -- 81,155 -- 81,155 Rights/Warrants Brazil..................... -- 9,695 -- 9,695 Malaysia................... -- 12,644 -- 12,644 Poland..................... -- 11,636 -- 11,636 South Africa............... -- 228,473 -- 228,473 South Korea................ -- 17,083 -- 17,083 Taiwan..................... -- 1,938 -- 1,938 Thailand................... -- -- -- -- Securities Lending Collateral. -- 778,900,834 -- 778,900,834 -------------- -------------- -- -------------- TOTAL......................... $2,510,191,245 $6,786,528,473 -- $9,296,719,718 ============== ============== == ==============
See accompanying Notes to Financial Statements. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
Enhanced U.S. U.S. U.S. U.S. Large Large Cap Targeted Small Cap Company Value Value Value Portfolio Portfolio Portfolio Portfolio ------------ -------------- ------------ -------------- ASSETS: Investments in Affiliated Investment Company at Value............ -- $ 8,335,907 -- -- Investments at Value (including $0, $0, $394,703 and $828,201 of securities on loan, respectively)........................... $ 186,659 -- $ 3,044,804 $ 7,067,605 Temporary Cash Investments at Value & Cost....................... 1,965 -- 3,983 33,890 Collateral Received from Securities on Loan at Value & Cost...... -- -- 1,068 2,252 Affiliated Collateral Received from Securities on Loan at Value & Cost................................................... -- -- 404,821 853,210 Receivables: Investment Securities/Affiliated Investment Company Sold........................................................ -- 5,202 2,342 12,227 Dividends and Interest........................................ 2,747 -- 1,052 2,448 Securities Lending Income..................................... -- -- 236 547 Fund Shares Sold.............................................. 254 7,384 4,759 5,626 Unrealized Gain on Forward Currency Contracts.................... 96 -- -- -- Prepaid Expenses and Other Assets................................ 19 48 26 34 ------------ -------------- ------------ -------------- Total Assets.............................................. 191,740 8,348,541 3,463,091 7,977,839 ------------ -------------- ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. -- -- 405,889 855,462 Investment Securities/Affiliated Investment Company Purchased................................................... -- -- 9 -- Fund Shares Redeemed.......................................... 302 12,586 4,295 30,485 Due to Advisor................................................ 32 1,050 906 3,030 Futures Margin Variation...................................... 104 -- -- -- Unrealized Loss on Forward Currency Contracts.................... 1,277 -- -- -- Accrued Expenses and Other Liabilities........................... 14 320 183 392 ------------ -------------- ------------ -------------- Total Liabilities......................................... 1,729 13,956 411,282 889,369 ------------ -------------- ------------ -------------- NET ASSETS $ 190,011 $ 8,334,585 $ 3,051,809 $ 7,088,470 ============ ============== ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $49,423 and $0 and shares outstanding of 0; 0; 2,860,503 and 0, respectively................................................... N/A N/A $ 17.28 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Class R2 Shares -- based on net assets of $0; $0; $12,754 and $0 and shares outstanding of 0; 0; 738,985 and 0, respectively.... N/A N/A $ 17.26 N/A ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... N/A N/A 100,000,000 N/A ============ ============== ============ ============== Institutional Class Shares -- based on net assets of $190,011; $8,334,585; $2,989,632 and $7,088,470 and shares outstanding of 20,460,029; 373,062,097; 173,043,943 and 266,765,952, respectively . $ 9.29 $ 22.34 $ 17.28 $ 26.57 ============ ============== ============ ============== NUMBER OF SHARES AUTHORIZED...................................... 300,000,000 2,000,000,000 700,000,000 1,700,000,000 ============ ============== ============ ============== Investments in Affiliated Investment Company at Cost............. $ -- $ 6,139,974 $ -- $ -- ------------ -------------- ------------ -------------- Investments at Cost.............................................. $ 184,521 $ -- $ 2,614,960 $ 6,281,667 ============ ============== ============ ============== NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 233,972 $ 7,445,930 $ 2,446,420 $ 5,915,078 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 2,005 25,366 3,945 94 Accumulated Net Realized Gain (Loss)............................. (49,767) (1,332,644) 171,600 387,360 Net Unrealized Foreign Exchange Gain (Loss)...................... (1,163) -- -- -- Net Unrealized Appreciation (Depreciation)....................... 4,964 2,195,933 429,844 785,938 ------------ -------------- ------------ -------------- NET ASSETS....................................................... $ 190,011 $ 8,334,585 $ 3,051,809 $ 7,088,470 ============ ============== ============ ==============
See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
U.S. Core U.S. Core U.S. Vector U.S. Small Equity 1 Equity 2 Equity Cap Portfolio Portfolio Portfolio Portfolio -------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $705,101, $926,665, $277,107 and $921,441 of securities on loan, respectively)........................................... $ 4,854,375 $ 6,899,541 $ 2,002,852 $ 4,547,901 Temporary Cash Investments at Value & Cost................ 18,707 25,908 5,428 12,913 Collateral Received from Securities on Loan at Value & Cost.................................................... 1,905 2,835 750 2,494 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................ 721,729 948,671 284,246 944,851 Receivables: Investment Securities Sold............................. 73 755 356 3,538 Dividends and Interest................................. 4,620 6,488 1,384 1,332 Securities Lending Income.............................. 258 435 171 844 Fund Shares Sold....................................... 5,705 12,852 2,191 4,153 Prepaid Expenses and Other Assets......................... 43 47 20 28 -------------- -------------- -------------- -------------- Total Assets........................................... 5,607,415 7,897,532 2,297,398 5,518,054 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned....................... 723,634 951,506 284,996 947,345 Investment Securities Purchased........................ 2,684 8,718 -- 7 Fund Shares Redeemed................................... 3,153 11,806 2,617 5,764 Due to Advisor......................................... 698 1,165 507 1,341 Accrued Expenses and Other Liabilities.................... 273 353 101 252 -------------- -------------- -------------- -------------- Total Liabilities.................................. 730,442 973,548 288,221 954,709 -------------- -------------- -------------- -------------- NET ASSETS................................................ $ 4,876,973 $ 6,923,984 $ 2,009,177 $ 4,563,345 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $4,876,973; $6,923,984; $2,009,177 and $4,563,345 and shares outstanding of 402,557,165; 577,609,536; 173,035,452 and 197,501,054, respectively............... $ 12.11 $ 11.99 $ 11.61 $ 23.11 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED............................... 1,500,000,000 2,300,000,000 1,000,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost....................................... $ 4,104,482 $ 5,906,074 $ 1,759,633 $ 3,896,619 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital........................................... $ 4,130,950 $ 5,861,057 $ 1,760,585 $ 3,689,965 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) 10,461 15,899 2,490 5,302 Accumulated Net Realized Gain (Loss)...................... (14,331) 53,561 2,883 216,796 Net Unrealized Appreciation (Depreciation)................ 749,893 993,467 243,219 651,282 -------------- -------------- -------------- -------------- NET ASSETS................................................ $ 4,876,973 $ 6,923,984 $ 2,009,177 $ 4,563,345 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
U.S. DFA Large International Micro Real Estate Cap Core Cap Securities International Equity Portfolio Portfolio Portfolio Portfolio -------------- ------------ ------------- -------------- ASSETS: Investments at Value (including $447,110, $522,236, $247,662 and $719,802 of securities on loan, respectively)............................. $ 3,428,040 $ 3,703,787 $ 2,043,279 $ 6,459,469 Temporary Cash Investments at Value & Cost........... 9,729 26,648 -- -- Collateral Received from Securities on Loan at Value & Cost....................................... 1,215 1,412 1,322 7,381 Affiliated Collateral Received from Securities on Loan at Value & Cost 460,538 535,174 270,000 765,000 Foreign Currencies at Value.......................... -- -- 2,840 5,292 Cash................................................. 720 -- 4,565 6,152 Receivables: Investment Securities Sold........................ 1,618 -- -- 2,007 Dividends, Interest and Tax Reclaims.............. 1,021 2,908 6,061 18,861 Securities Lending Income......................... 574 73 199 865 Fund Shares Sold.................................. 1,741 6,156 2,210 8,527 Prepaid Expenses and Other Assets.................... 16 27 17 68 -------------- ------------ ------------ -------------- Total Assets.................................. 3,905,212 4,276,185 2,330,493 7,273,622 -------------- ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................. 461,753 536,586 271,322 772,381 Investment Securities Purchased................... 10 19,237 1,145 7,678 Fund Shares Redeemed.............................. 3,837 3,298 1,655 8,434 Due to Advisor.................................... 1,453 464 428 1,887 Unrealized Loss on Foreign Currency Contracts........ -- -- -- 2 Accrued Expenses and Other Liabilities............... 201 211 184 502 -------------- ------------ ------------ -------------- Total Liabilities............................. 467,254 559,796 274,734 790,884 -------------- ------------ ------------ -------------- NET ASSETS........................................... $ 3,437,958 $ 3,716,389 $ 2,055,759 $ 6,482,738 ============== ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $3,437,958; $3,716,389; $2,055,759 and $6,482,738 and shares outstanding of 231,634,790; 143,852,929; 112,169,274 and 642,067,983, respectively.......................... $ 14.84 $ 25.83 $ 18.33 $ 10.10 ============== ============ ============ ============== NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 700,000,000 500,000,000 2,000,000,000 ============== ============ ============ ============== Investments at Cost.................................. $ 2,924,858 $ 2,625,713 $ 1,881,416 $ 6,740,972 ============== ============ ============ ============== Foreign Currencies at Cost........................... $ -- $ -- $ 2,829 $ 5,274 ============== ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 2,763,945 $ 2,897,280 $ 2,104,641 $ 6,843,391 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................ 3,910 23,599 8,708 25,255 Accumulated Net Realized Gain (Loss)................. 166,921 (282,564) (219,352) (104,202) Net Unrealized Foreign Exchange Gain (Loss).......... -- -- (112) (221) Net Unrealized Appreciation (Depreciation)........... 503,182 1,078,074 161,874 (281,485) -------------- ------------ ------------ -------------- NET ASSETS........................................... $ 3,437,958 $ 3,716,389 $ 2,055,759 $ 6,482,738 ============== ============ ============ ==============
See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
Asia United International Japanese Pacific Kingdom Small Small Small Small Company Company Company Company Portfolio Portfolio Portfolio Portfolio -------------- ------------ ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value.............................................. $ 6,419,657 $ 294,088 $ 238,282 $ 31,322 Temporary Cash Investments at Value & Cost........... 7,220 -- -- -- Receivables: Affiliated Investment Companies Sold.............. -- 62 90 3 Fund Shares Sold.................................. 4,639 14 19 7 Prepaid Expenses and Other Assets.................... 39 5 7 6 -------------- ------------ ------------ ------------ Total Assets.................................. 6,431,555 294,169 238,398 31,338 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Affiliated Investment Companies Purchased......... 500 -- -- -- Fund Shares Redeemed.............................. 5,449 76 109 10 Due to Advisor.................................... 2,141 98 79 10 Accrued Expenses and Other Liabilities............... 305 27 19 2 -------------- ------------ ------------ ------------ Total Liabilities............................. 8,395 201 207 22 -------------- ------------ ------------ ------------ NET ASSETS........................................... $ 6,423,160 $ 293,968 $ 238,191 $ 31,316 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $6,423,160; $293,968; $238,191 and $31,316 and shares outstanding of 420,465,298; 19,614,366; 10,259,886 and 1,126,005, respectively............. $ 15.28 $ 14.99 $ 23.22 $ 27.81 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED.......................... 1,500,000,000 100,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost............................................... $ 6,321,775 $ 363,671 $ 225,784 $ 24,146 ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 6,292,303 $ 438,204 $ 249,992 $ 26,303 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................ 3,290 1,728 779 149 Accumulated Net Realized Gain (Loss)................. 30,107 (76,344) (25,082) (2,316) Net Unrealized Foreign Exchange Gain (Loss).......... (421) (37) 4 4 Net Unrealized Appreciation (Depreciation)........... 97,881 (69,583) 12,498 7,176 -------------- ------------ ------------ ------------ NET ASSETS........................................... $ 6,423,160 $ 293,968 $ 238,191 $ 31,316 ============== ============ ============ ============
See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
DFA DFA DFA Continental International Global International Small Real Estate Real Estate Small Cap Company Securities Securities Value Portfolio Portfolio Portfolio Portfolio ------------ ------------- ------------ -------------- ASSETS: Investments in Affiliated Investment Companies at Value.............................................. $ 106,353 -- $ 1,309,437 -- Investments at Value (including $0, $134,895, $0 and $751,359 of securities on loan, respectively)...................................... -- $ 1,522,025 -- $ 8,209,751 Temporary Cash Investments at Value & Cost........... -- -- 2,168 -- Collateral Received from Securities on Loan at Value & Cost....................................... -- 223 -- 4,277 Affiliated Collateral Received from Securities on Loan at Value & Cost............................... -- 144,000 -- 825,000 Foreign Currencies at Value.......................... -- 577 -- 7,883 Cash................................................. -- 7,653 -- 29,120 Receivables: Investment Securities/Affiliated Investment Companies Sold.................................. -- 57 -- 1,167 Dividends, Interest and Tax Reclaims.............. -- 5,512 -- 26,016 Securities Lending Income......................... -- 78 -- 1,740 Fund Shares Sold.................................. 39 2,963 6,411 10,178 Unrealized Gain on Foreign Currency Contracts........ -- 1 -- 1 Prepaid Expenses and Other Assets.................... 6 9 12 64 ------------ ------------ ------------ -------------- Total Assets.................................. 106,398 1,683,098 1,318,028 9,115,197 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................. -- 144,223 -- 829,277 Investment Securities/Affiliated Investment Companies Purchased............................. 20 5,274 1,075 3,282 Fund Shares Redeemed.............................. 19 1,325 1,329 10,835 Due to Advisor.................................... 37 436 10 4,465 Unrealized Loss on Foreign Currency Contracts........ -- 1 -- -- Accrued Expenses and Other Liabilities............... 6 131 67 728 ------------ ------------ ------------ -------------- Total Liabilities............................. 82 151,390 2,481 848,587 ------------ ------------ ------------ -------------- NET ASSETS........................................... $ 106,316 $ 1,531,708 $ 1,315,547 $ 8,266,610 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $106,316; $1,531,708; $1,315,547 and $8,266,610 and shares outstanding of 7,329,320; 270,326,048; 141,073,949 and 545,184,194, respectively....................................... $ 14.51 $ 5.67 $ 9.33 $ 15.16 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED.......................... 100,000,000 700,000,000 500,000,000 2,300,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost............................................... $ 108,971 $ -- $ 1,003,592 $ -- ------------ ------------ ------------ -------------- Investments at Cost.................................. $ -- $ 1,359,942 $ -- $ 8,914,249 ============ ============ ============ ============== Foreign Currencies at Cost........................... $ -- $ 573 $ -- $ 7,884 ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 137,501 $ 1,630,220 $ 1,028,972 $ 8,844,254 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................ 280 (46,274) 11,623 14,647 Accumulated Net Realized Gain (Loss)................. (28,969) (214,293) (30,893) 112,748 Net Unrealized Foreign Exchange Gain (Loss).......... 122 (32) -- (540) Net Unrealized Appreciation (Depreciation)........... (2,618) 162,087 305,845 (704,499) ------------ ------------ ------------ -------------- NET ASSETS........................................... $ 106,316 $ 1,531,708 $ 1,315,547 $ 8,266,610 ============ ============ ============ ==============
See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
International Selectively Vector World ex Hedged Global Emerging Equity U.S. Value Equity Markets Portfolio Portfolio Portfolio Portfolio ------------- ------------ ------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value.............................................. -- $ 57,164 $ 33,793 $ 2,798,256 Investments at Value (including $57,921, $0, $0 and $0 of securities on loan, respectively)............ $ 558,559 -- -- -- Temporary Cash Investments at Value & Cost........... -- 49 1,080 -- Segregated Cash for Futures Contracts................ -- -- 46 -- Collateral Received from Securities on Loan at Value & Cost....................................... 629 -- -- -- Affiliated Collateral Received from Securities on Loan at Value & Cost............................... 61,000 -- -- -- Foreign Currencies at Value.......................... 548 -- -- -- Cash................................................. 547 -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold.................................. 55 -- -- -- Dividends, and Tax Reclaims....................... 1,622 -- -- -- Securities Lending Income......................... 79 -- -- -- Fund Shares Sold.................................. 489 -- 108 6,919 From Advisor...................................... -- -- 9 -- Unrealized Gain on Forward Currency Contracts........ -- -- 47 -- Prepaid Expenses and Other Assets.................... 11 12 11 27 Deferred Offering Costs.............................. -- -- 3 -- ------------ ------------ ------------ ------------ Total Assets.................................. 623,539 57,225 35,097 2,805,202 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................. 61,629 -- -- -- Investment Securities/Affiliated Investment Companies Purchased ............................ -- -- -- 4,566 Fund Shares Redeemed.............................. 237 2 -- 2,353 Due to Advisor.................................... 210 11 -- 929 Futures Margin Variation.......................... -- -- 1 -- Unrealized Loss on Forward Currency Contracts........ -- -- 141 -- Accrued Expenses and Other Liabilities............... 64 15 5 177 ------------ ------------ ------------ ------------ Total Liabilities............................. 62,140 28 147 8,025 ------------ ------------ ------------ ------------ NET ASSETS........................................... $ 561,399 $ 57,197 $ 34,950 $ 2,797,177 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $561,399; $57,197; $34,950 and $2,797,177 and shares outstanding of 60,164,175; 5,756,500; 3,216,441 and 107,321,804, respectively............ $ 9.33 $ 9.94 $ 10.87 $ 26.06 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED.......................... 500,000,000 100,000,000 100,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost............................................... $ -- $ 55,252 $ 31,236 $ 1,809,910 ------------ ------------ ------------ ------------ Investments at Cost.................................. $ 509,005 $ -- $ -- $ -- ============ ============ ============ ============ Foreign Currencies at Cost........................... $ 546 $ -- $ -- $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 509,238 $ 60,950 $ 32,501 $ 1,771,604 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................ 1,456 330 166 8,306 Accumulated Net Realized Gain (Loss)................. 1,175 (5,978) (164) 28,954 Net Unrealized Foreign Exchange Gain (Loss).......... (26) (17) (93) (33) Net Unrealized Appreciation (Depreciation)........... 49,556 1,912 2,540 988,346 ------------ ------------ ------------ ------------ NET ASSETS........................................... $ 561,399 $ 57,197 $ 34,950 $ 2,797,177 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts)
Emerging Emerging Emerging Markets Markets Markets Small Cap Value Core Equity Portfolio Portfolio Portfolio* ------------ -------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value........... $ 2,908,909 $ 16,695,104 -- Investments at Value (including $0, $0 and $896,140 of securities on loan, respectively).......................................... -- -- $ 8,517,819 Collateral Received from Securities on Loan at Value & Cost....... -- -- 3,901 Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................ -- -- 775,000 Foreign Currencies at Value....................................... -- -- 5,814 Cash.............................................................. -- -- 65,096 Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... -- -- 194 Dividends, Interest and Tax Reclaims........................... -- -- 9,349 Securities Lending Income...................................... -- -- 2,116 Fund Shares Sold............................................... 3,006 27,291 14,592 Prepaid Expenses and Other Assets................................. 39 58 65 ------------ -------------- -------------- Total Assets............................................... 2,911,954 16,722,453 9,393,946 ------------ -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned............................... -- -- 778,901 Investment Securities/Affiliated Investment Companies Purchased.................................................... 115 21,560 8,909 Fund Shares Redeemed........................................... 2,892 5,730 6,074 Due to Advisor................................................. 1,088 5,619 3,944 Unrealized Loss on Foreign Currency Contracts..................... -- -- 1 Accrued Expenses and Other Liabilities............................ 186 814 1,410 ------------ -------------- -------------- Total Liabilities.......................................... 4,281 33,723 799,239 ------------ -------------- -------------- NET ASSETS........................................................ $ 2,907,673 $ 16,688,730 $ 8,594,707 ============ ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $99,111 and $0 and shares outstanding of 0; 3,513,125 and 0, respectively.......... N/A $ 28.21 N/A ============ ============== ============== Institutional Class Shares -- based on net assets of $2,907,673; $16,589,619 and $8,594,707 and shares outstanding of 143,022,429; 587,899,918 and 452,322,328, respectively.......... $ 20.33 $ 28.22 $ 19.00 ============ ============== ============== NUMBER OF SHARES AUTHORIZED....................................... 500,000,000 1,500,000,000 1,000,000,000 ============ ============== ============== Investments in Affiliated Investment Companies at Cost............ $ 2,600,423 $ 16,996,486 $ -- ------------ -------------- -------------- Investments at Cost............................................... $ -- $ -- $ 7,875,603 ============ ============== ============== Foreign Currencies at Cost........................................ $ -- $ -- $ 5,812 ============ ============== ============== NET ASSETS CONSIST OF: Paid-In Capital................................................... $ 2,510,281 $ 16,619,114 $ 7,968,370 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... 6,451 40,292 26,576 Accumulated Net Realized Gain (Loss).............................. 82,504 330,625 (42,488) Net Unrealized Foreign Exchange Gain (Loss)....................... (49) 81 31 Net Unrealized Appreciation (Depreciation)........................ 308,486 (301,382) 642,218 ------------ -------------- -------------- NET ASSETS........................................................ $ 2,907,673 $ 16,688,730 $ 8,594,707 ============ ============== ==============
-------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
Enhanced U.S. U.S. Large U.S. Large Targeted U.S. Small Company Cap Value Value Cap Value Portfolio Portfolio* Portfolio Portfolio --------- ---------- --------- ---------- Investment Income Dividends.................................................... $ 126 $ 169,995 $ 36,944 $ 82,338 Interest..................................................... 1,809 17 22 37 Income from Securities Lending............................... -- 6,190 2,926 7,642 Expenses Allocated from Affiliated Investment Company........ -- (9,069) -- -- ------- ---------- -------- ---------- Total Investment Income............................... 1,935 167,133 39,892 90,017 ------- ---------- -------- ---------- Expenses Investment Advisory Services Fees............................ 92 -- 2,835 13,809 Administrative Services Fees................................. 276 11,657 7,088 20,714 Accounting & Transfer Agent Fees............................. 40 98 314 734 S&P 500(R) Fees.............................................. 6 -- -- -- Shareholder Servicing Fees -- Class R1 Shares.......................................... -- -- 47 -- Class R2 Shares.......................................... -- -- 30 -- Custodian Fees............................................... 12 -- 70 122 Filing Fees.................................................. 27 103 111 95 Shareholders' Reports........................................ 6 240 115 189 Directors'/Trustees' Fees & Expenses......................... 1 66 24 58 Professional Fees............................................ 4 54 76 180 Other........................................................ 2 72 65 146 ------- ---------- -------- ---------- Total Expenses........................................ 466 12,290 10,775 36,047 ------- ---------- -------- ---------- Net Investment Income (Loss)................................. 1,469 154,843 29,117 53,970 ------- ---------- -------- ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................... 245 318,427 181,414 430,201 Futures.................................................. 30,568 -- 3,336 954 Foreign Currency Transactions............................ 1,331 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities.................................... 594 824,744 176,832 522,870 Futures.................................................. (6,586) -- -- (536) Translation of Foreign Currency Denominated Amounts...... (857) -- -- -- ------- ---------- -------- ---------- Net Realized and Unrealized Gain (Loss)...................... 25,295 1,143,171 361,582 953,489 ------- ---------- -------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations. $26,764 $1,298,014 $390,699 $1,007,459 ======= ========== ======== ==========
-------- * 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. 103 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) U.S. U.S. Core U.S. Core Vector U.S. Small Equity 1 Equity 2 Equity Cap Portfolio Portfolio Portfolio Portfolio --------- --------- --------- ---------- Investment Income Dividends.......................... $ 83,424 $120,052 $ 32,016 $ 54,202 Interest........................... 33 30 12 24 Income from Securities Lending..... 3,406 5,922 2,448 9,285 -------- -------- -------- -------- Total Investment Income........ 86,863 126,004 34,476 63,511 -------- -------- -------- -------- Expenses Investment Advisory Services Fees.. 7,460 12,830 5,835 1,256 Administrative Services Fees....... -- -- -- 13,400 Accounting & Transfer Agent Fees... 469 677 220 451 Custodian Fees..................... 91 101 41 86 Filing Fees........................ 196 156 59 98 Shareholders' Reports.............. 78 140 65 123 Directors'/Trustees' Fees & Expenses......................... 36 54 17 35 Professional Fees.................. 110 164 52 119 Other.............................. 45 78 22 61 -------- -------- -------- -------- Total Expenses................. 8,485 14,200 6,311 15,629 -------- -------- -------- -------- Net Investment Income (Loss)....... 78,378 111,804 28,165 47,882 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities....................... 36 105 18 -- Net Realized Gain (Loss) on:....... Investment Securities Sold......... 35,359 73,466 41,027 254,365 Futures............................ -- -- (850) -- Change in Unrealized Appreciation (Depreciation) of:............... Investment Securities.............. 455,880 694,545 196,524 230,453 -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).............................. 491,275 768,116 236,719 484,818 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........... $569,653 $879,920 $264,884 $532,700 ======== ======== ======== ======== See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
DFA Real U.S. Micro Estate Large Cap International Cap Securities International Core Equity Portfolio Portfolio Portfolio Portfolio ---------- ---------- ------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $6, $0, $5,504 and $14,973, respectively).......................................................... $ 45,300 $ 85,414 $ 66,010 $191,701 Interest................................................................. 15 34 1 2 Income from Securities Lending........................................... 6,267 1,034 3,291 12,660 -------- -------- -------- -------- Total Investment Income.............................................. 51,582 86,482 69,302 204,363 -------- -------- -------- -------- Expenses Investment Advisory Services Fees........................................ 3,416 7,183 4,700 19,970 Administrative Services Fees............................................. 13,662 -- -- -- Accounting & Transfer Agent Fees......................................... 374 374 219 610 Custodian Fees........................................................... 77 39 478 1,482 Filing Fees.............................................................. 58 102 85 245 Shareholders' Reports.................................................... 102 146 95 161 Directors'/Trustees' Fees & Expenses..................................... 29 29 16 47 Professional Fees........................................................ 89 102 54 178 Other.................................................................... 55 40 40 122 -------- -------- -------- -------- Total Expenses.................................................... 17,862 8,015 5,687 22,815 -------- -------- -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).......................................... -- (321) -- -- Fees Paid Indirectly..................................................... -- -- (8) (25) -------- -------- -------- -------- Net Expenses............................................................. 17,862 7,694 5,679 22,790 -------- -------- -------- -------- Net Investment Income (Loss)............................................. 33,720 78,788 63,623 181,573 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities........... -- 16,390 -- -- Net Realized Gain (Loss) on: Investment Securities Sold........................................... 220,675 (1,763) (18,104) (40,937) Futures.............................................................. 385 (46) -- -- Foreign Currency Transactions*....................................... -- -- (353) 114 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 166,031 355,961 69,627 185,568 Translation of Foreign Currency Denominated Amounts.................. -- -- (82) (120) -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).................................. 387,091 370,542 51,088 144,625 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............. $420,811 $449,330 $114,711 $326,198 ======== ======== ======== ========
-------- * Net of foreign capital taxes withheld of $0, $0, $1, and $0, respectively. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
Asia United International Japanese Pacific Kingdom Small Small Small Small Company Company Company Company Portfolio* Portfolio* Portfolio* Portfolio* ------------- ---------- ---------- ---------- Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $13,197, $462, $183, and $1, respectively)................................................................ $167,967 $ 6,158 $ 7,841 $1,028 Interest....................................................................... 19 -- -- -- Income from Securities Lending................................................. 17,286 449 737 8 Expenses Allocated from Affiliated Investment Companies........................ (8,714) (393) (311) (38) -------- -------- ------- ------ Total Net Investment Income Received from Affiliated Investment Companies............................................................. 176,558 6,214 8,267 998 -------- -------- ------- ------ Fund Investment Income Interest....................................................................... 23 -- -- -- -------- -------- ------- ------ Total Fund Investment Income............................................ 23 -- -- -- -------- -------- ------- ------ Fund Expenses Administrative Services Fees................................................... 23,665 1,078 762 121 Accounting & Transfer Agent Fees............................................... 78 16 15 14 Filing Fees.................................................................... 168 42 31 16 Shareholders' Reports.......................................................... 203 1 3 1 Directors'/Trustees' Fees & Expenses........................................... 50 2 2 -- Professional Fees.............................................................. 33 2 1 1 Other.......................................................................... 60 1 1 1 -------- -------- ------- ------ Total Expenses.......................................................... 24,257 1,142 815 154 -------- -------- ------- ------ Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C).......................................................... -- -- -- (12) -------- -------- ------- ------ Net Expenses................................................................... 24,257 1,142 815 142 -------- -------- ------- ------ Net Investment Income (Loss)................................................... 152,324 5,072 7,452 856 -------- -------- ------- ------ Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on:................................................... Investment Securities Sold................................................. 53,955 (5,341) 4,091 (281) Futures.................................................................... 9 (75) (33) 6 Foreign Currency Transactions**............................................ 401 120 (56) 6 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................. 133,610 (6,790) 6,664 5,744 Futures.................................................................... (1) 1 1 -- Translation of Foreign Currency Denominated Amounts........................ (530) (23) (12) (2) -------- -------- ------- ------ Net Realized and Unrealized Gain (Loss)........................................ 187,444 (12,108) 10,655 5,473 -------- -------- ------- ------ Net Increase (Decrease) in Net Assets Resulting from Operations................... $339,768 $ (7,036) $18,107 $6,329 ======== ======== ======= ======
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from each Portfolio's Master Fund (Affiliated Investment Companies). ** Net of foreign capital gain taxes withheld of $4, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
DFA DFA Continental International DFA Global International Small Real Estate Real Estate Small Cap Company Securities Securities Value Portfolio* Portfolio Portfolio Portfolio ----------- ------------- ----------- ------------- Investment Income Net Investment Income Received from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $458, $0, $0 and $0, respectively).......... $ 3,166 -- -- -- Income Distributions Received from Affiliated Investment Companies................ -- -- $ 37,037 -- Interest......................................... 1 -- -- -- Income from Securities Lending................... 552 -- -- -- Expenses Allocated from Affiliated Investment Company ............................ (174) -- -- -- ------- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company...................... 3,545 -- 37,037 -- ------- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $5,661, $0 and $15,143, respectively).................................. -- $ 69,461 -- $208,341 Interest......................................... -- -- 4 7 Income from Securities Lending................... -- 1,530 -- 22,475 ------- -------- -------- -------- Total Fund Investment Income.............. -- 70,991 4 230,823 ------- -------- -------- -------- Fund Expenses Investment Advisory Services Fees................ -- 4,241 3,152 49,872 Administrative Services Fees..................... 442 -- -- -- Accounting & Transfer Agent Fees................. 14 149 24 817 Custodian Fees................................... -- 352 -- 2,555 Filing Fees...................................... 17 67 65 188 Shareholders' Reports............................ 1 69 43 245 Directors'/Trustees' Fees & Expenses............. 1 10 9 64 Professional Fees................................ 1 50 14 304 Other............................................ 1 21 10 161 ------- -------- -------- -------- Total Expenses............................ 477 4,959 3,317 54,206 ------- -------- -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................... -- -- (2,771) -- Fees Paid Indirectly............................. -- (9) -- (38) ------- -------- -------- -------- Net Expenses..................................... 477 4,950 546 54,168 ------- -------- -------- -------- Net Investment Income (Loss)..................... 3,068 66,041 36,495 176,655 ------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................... (2,677) (33,417) (2,760) 130,909 Futures...................................... (25) -- -- -- Foreign Currency Transactions**.............. (25) 34 -- 1,183 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................... 585 228,123 138,125 203,828 Translation of Foreign Currency Denominated Amounts........................ 72 (24) -- (393) ------- -------- -------- -------- Net Realized and Unrealized Gain (Loss).......... (2,070) 194,716 135,365 335,527 ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... $ 998 $260,757 $171,860 $512,182 ======= ======== ======== ========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $0, and $13, respectively. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
International Selectively Vector World ex Hedged Global Emerging Equity U.S. Value Equity Markets Portfolio Portfolio*** Portfolio(a) Portfolio* ------------- ------------ ------------- ---------- Investment Income Net Investment Income Received from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $149, $0 and $8,484, respectively)................................. -- $1,686 -- $ 65,004 Income Distributions Received from Affiliated Investment Companies................................................. -- 106 $ 543 -- Income from Securities Lending.............................. -- 95 -- 4,784 Expenses Allocated from Affiliated Investment Companies................................................. -- (112) -- (4,963) ------- ------ ------ -------- Total Investment Income.............................. -- 1,775 543 64,825 ------- ------ ------ -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $1,226, $0, $0 and $0, respectively) .................................... $16,170 -- -- -- Interest.................................................... -- -- 2 -- Income from Securities Lending.............................. 1,129 -- -- -- ------- ------ ------ -------- Total Fund Investment Income......................... 17,299 -- 2 -- ------- ------ ------ -------- Fund Expenses Investment Advisory Services Fees........................... 2,241 253 75 -- Administrative Services Fees................................ -- -- -- 10,176 Accounting & Transfer Agent Fees............................ 76 13 12 42 Custodian Fees.............................................. 278 -- -- -- Filing Fees................................................. 42 35 6 118 Shareholders' Reports....................................... 15 1 1 118 Directors'/Trustees' Fees & Expenses........................ 4 -- -- 21 Professional Fees........................................... 13 5 5 19 Organizational & Offering Costs............................. -- -- 59 -- Other....................................................... 16 1 1 25 ------- ------ ------ -------- Total Expenses....................................... 2,685 308 159 10,519 ------- ------ ------ -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................. -- (129) (150) -- Fees Paid Indirectly........................................ (3) -- -- -- ------- ------ ------ -------- Net Expenses................................................ 2,682 179 9 10,519 ------- ------ ------ -------- Net Investment Income (Loss)................................ 14,617 1,596 536 54,306 ------- ------ ------ -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies...................................... -- 79 -- -- Net Realized Gain (Loss) on: Investment Securities Sold.............................. 2,944 61 (275) 31,303 Futures................................................. -- (1) 110 -- Foreign Currency Transactions**......................... (98) (10) 163 (543) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............. 13,867 430 2,557 25,377 Futures................................................. -- -- (17) -- Translation of Foreign Currency Denominated Amounts............................................... (30) (1) (93) 18 ------- ------ ------ -------- Net Realized and Unrealized Gain (Loss)..................... 16,683 558 2,445 56,155 ------- ------ ------ -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... $31,300 $2,154 $2,981 $110,461 ======= ====== ====== ========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $1, $0, $0, and $13, respectively. *** Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Funds (Affiliated Investment Companies). (a) The Portfolio commenced operations on November 14, 2011. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
Emerging Emerging Emerging Markets Markets Markets Small Cap Value Core Equity Portfolio* Portfolio* Portfolio ---------- ---------- ----------- Investment Income Dividends (Net of Foreign Taxes Withheld of $6,931, $48,518 and $24,434, respectively)........................................................... $ 57,827 $ 373,018 $185,183 Interest.................................................................. -- 7 2 Income from Securities Lending............................................ 8,037 28,572 19,071 Expenses Allocated from Affiliated Investment Company..................... (8,367) (30,860) -- -------- --------- -------- Total Investment Income............................................ 57,497 370,737 204,256 -------- --------- -------- Expenses Investment Advisory Services Fees......................................... -- -- 39,333 Administrative Services Fees.............................................. 10,440 60,899 -- Accounting & Transfer Agent Fees.......................................... 38 182 755 Shareholder Servicing Fees -- Class R2 Shares....................................................... -- 239 -- Custodian Fees............................................................ -- -- 7,215 Filing Fees............................................................... 176 526 500 Shareholders' Reports..................................................... 61 289 219 Directors'/Trustees' Fees & Expenses...................................... 18 126 56 Professional Fees......................................................... 17 113 222 Other..................................................................... 21 136 125 -------- --------- -------- Total Expenses..................................................... 10,771 62,510 48,425 -------- --------- -------- Fees Paid Indirectly...................................................... -- -- (97) -------- --------- -------- Net Expenses.............................................................. 10,771 62,510 48,328 -------- --------- -------- Net Investment Income (Loss).............................................. 46,726 308,227 155,928 -------- --------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................ 101,576 362,676 (8,860) Futures............................................................... (812) (1,255) 1,190 Foreign Currency Transactions**....................................... (1,523) (4,701) (1,300) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 9,556 (535,878) 122,105 Translation of Foreign Currency Denominated Amounts................... (21) (113) (51) -------- --------- -------- Net Realized and Unrealized Gain (Loss)................................... 108,776 (179,271) 113,084 -------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.............. $155,502 $ 128,956 $269,012 ======== ========= ========
-------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $86, $310 and $541, respectively. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Enhanced U.S. Large U.S. Large Company Cap Value U.S. Targeted Portfolio Portfolio Value 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, 2012 2011 2012 2011 2012 2011 -------- -------- ----------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................... $ 1,469 $ 1,430 $ 154,843 $ 120,343 $ 29,117 $ 18,734 Net Realized Gain (Loss) on: Investment Securities Sold........................ 245 380 318,427 301,933 181,414 20,083 Futures........................................... 30,568 12,791 -- (9,927) 3,336 1,751 Foreign Currency Transactions..................... 1,331 412 -- -- -- -- Change in Unrealized Appreciation (Depreciation) of:.................................. Investment Securities............................. 594 (472) 824,744 (67,687) 176,832 53,386 Futures........................................... (6,586) (995) -- -- -- -- Translation of Foreign Currency Denominated Amounts............................. (857) (174) -- -- -- -- -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.................... 26,764 13,372 1,298,014 344,662 390,699 93,954 -------- -------- ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R1 Shares................................... -- -- -- -- (374) (275) Class R2 Shares................................... -- -- -- -- (76) (43) Institutional Class Shares........................ (2,785) (270) (150,153) (117,051) (24,124) (17,989) Net Long-Term Gains: Class R1 Shares................................... -- -- -- -- (356) (87) Class R2 Shares................................... -- -- -- -- (86) (14) Institutional Class Shares........................ -- -- -- -- (19,426) (4,668) -------- -------- ----------- ----------- ---------- ---------- Total Distributions............................ (2,785) (270) (150,153) (117,051) (44,442) (23,076) -------- -------- ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued......................................... 26,869 42,165 1,501,347 2,027,913 782,957 924,360 Shares Issued in Lieu of Cash Distributions........... 2,573 259 139,904 109,293 40,767 21,388 Shares Redeemed....................................... (34,538) (42,128) (1,794,871) (1,945,509) (662,151) (743,912) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions........................... (5,096) 296 (153,620) 191,697 161,573 201,836 -------- -------- ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets........ 18,883 13,398 994,241 419,308 507,830 272,714 Net Assets Beginning of Period................................... 171,128 157,730 7,340,344 6,921,036 2,543,979 2,271,265 -------- -------- ----------- ----------- ---------- ---------- End of Period......................................... $190,011 $171,128 $ 8,334,585 $ 7,340,344 $3,051,809 $2,543,979 ======== ======== =========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued......................................... 3,051 5,163 72,600 100,905 48,542 56,950 Shares Issued in Lieu of Cash Distributions........... 314 33 6,979 5,526 2,677 1,349 Shares Redeemed....................................... (3,906) (5,148) (86,993) (98,393) (40,606) (46,106) Shares Reduced by Reverse Stock Split (Note G)........ -- -- -- -- -- (9) -------- -------- ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.......................... (541) 48 (7,414) 8,038 10,613 12,184 ======== ======== =========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................ $ 2,005 $ 1,903 $ 25,366 $ 20,676 $ 3,945 $ 1,385
See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Small U.S. Core U.S. Core Cap Value Portfolio Equity 1 Portfolio Equity 2 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, 2012 2011 2012 2011 2012 2011 ----------- ----------- ---------- ---------- ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 53,970 $ 44,197 $ 78,378 $ 51,991 $ 111,804 $ 80,421 Capital Gain Distributions Received from Investment Securities......................... -- -- 36 -- 105 -- Net Realized Gain (Loss) on:.................... Investment Securities Sold.................. 430,201 215,171 35,359 31,974 73,466 69,078 Futures..................................... 954 (825) -- -- -- -- Change in Unrealized Appreciation (Depreciation) of:............................ Investment Securities....................... 522,870 112,710 455,880 116,761 694,545 192,966 Futures..................................... (536) 536 -- -- -- -- ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 1,007,459 371,789 569,653 200,726 879,920 342,465 ----------- ----------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares.................. (50,536) (41,924) (73,066) (49,822) (99,623) (78,869) Net Long-Term Gains: Institutional Class Shares.................. (89,379) -- -- -- -- -- ----------- ----------- ---------- ---------- ----------- ----------- Total Distributions...................... (139,915) (41,924) (73,066) (49,822) (99,623) (78,869) ----------- ----------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................... 1,130,039 1,194,011 1,316,460 1,193,672 1,284,909 1,575,775 Shares Issued in Lieu of Cash Distributions................................. 131,338 39,640 66,157 45,486 96,744 76,923 Shares Redeemed................................. (1,581,314) (1,577,930) (733,642) (556,060) (1,057,872) (1,086,755) ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions............. (319,937) (344,279) 648,975 683,098 323,781 565,943 ----------- ----------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets................................. 547,607 (14,414) 1,145,562 834,002 1,104,078 829,539 Net Assets Beginning of Period............................. 6,540,863 6,555,277 3,731,411 2,897,409 5,819,906 4,990,367 ----------- ----------- ---------- ---------- ----------- ----------- End of Period................................... $ 7,088,470 $ 6,540,863 $4,876,973 $3,731,411 $ 6,923,984 $ 5,819,906 =========== =========== ========== ========== =========== =========== (1) Shares Issued and Redeemed: Shares Issued................................... 45,152 48,190 114,530 108,434 113,356 144,791 Shares Issued in Lieu of Cash Distributions................................. 5,754 1,639 5,842 4,215 8,679 7,192 Shares Redeemed................................. (62,499) (62,955) (63,857) (51,146) (93,203) (99,493) ----------- ----------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................... (11,593) (13,126) 56,515 61,503 28,832 52,490 =========== =========== ========== ========== =========== =========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 94 $ 858 $ 10,461 $ 8,359 $ 15,899 $ 7,601
See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
U.S. Vector U.S. Small U.S. Micro Equity Portfolio Cap Portfolio Cap Portfolio ---------------------- ----------------------- ---------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 2012 2011 ---------- ---------- ---------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 28,165 $ 20,309 $ 47,882 $ 33,067 $ 33,720 $ 23,621 Capital Gain Distributions Received from Investment Securities......................... 18 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.................. 41,027 46,999 254,365 211,228 220,675 234,404 Futures..................................... (850) -- -- 929 385 -- In-Kind Redemptions......................... -- -- -- 126,527* -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................... 196,524 18,243 230,453 (60,488) 166,031 32,818 ---------- ---------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 264,884 85,551 532,700 311,263 420,811 290,843 ---------- ---------- ---------- ----------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (26,665) (19,719) (41,256) (32,796) (30,423) (23,667) ---------- ---------- ---------- ----------- ---------- ---------- Total Distributions...................... (26,665) (19,719) (41,256) (32,796) (30,423) (23,667) ---------- ---------- ---------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................... 363,121 551,321 1,000,664 1,118,116 389,014 509,041 Shares Issued in Lieu of Cash Distributions..... 26,213 19,400 38,143 30,271 28,484 22,542 Shares Redeemed................................. (470,271) (343,081) (737,229) (1,047,988)* (627,647) (719,326) ---------- ---------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions............. (80,937) 227,640 301,578 100,399 (210,149) (187,743) ---------- ---------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................. 157,282 293,472 793,022 378,866 180,239 79,433 Net Assets Beginning of Period............................. 1,851,895 1,558,423 3,770,323 3,391,457 3,257,719 3,178,286 ---------- ---------- ---------- ----------- ---------- ---------- End of Period................................... $2,009,177 $1,851,895 $4,563,345 $ 3,770,323 $3,437,958 $3,257,719 ========== ========== ========== =========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 33,038 51,309 45,541 52,474 27,509 37,458 Shares Issued in Lieu of Cash Distributions..... 2,473 1,845 1,786 1,457 2,109 1,695 Shares Redeemed................................. (42,602) (31,749) (33,325) (48,404) (44,113) (52,370) ---------- ---------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. (7,091) 21,405 14,002 5,527 (14,495) (13,217) ========== ========== ========== =========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 2,490 $ 3,557 $ 5,302 $ 1,483 $ 3,910 $ 3,199
-------- * See Note M in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Real Estate Large Cap International Securities International Core Equity 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, 2012 2011 2012 2011 2012 2011 ---------- ---------- ---------- ---------- ----------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 78,788 $ 51,146 $ 63,623 $ 55,392 $ 181,573 $ 161,011 Capital Gain Distributions Received from Investment Securities......................... 16,390 13,117 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold.................. (1,763) (39,946) (18,104) (12,846) (40,937) 28,431 Futures..................................... (46) -- -- -- -- -- Foreign Currency Transactions*.............. -- -- (353) 187 114 (191) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 355,961 277,359 69,627 (133,116) 185,568 (525,986) Translation of Foreign Currency Denominated Amounts....................... -- -- (82) (205) (120) (476) ---------- ---------- ---------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 449,330 301,676 114,711 (90,588) 326,198 (337,211) ---------- ---------- ---------- ---------- ----------- ---------- Distributions From: Net Investment Income: Institutional Class Shares.................. (99,783) (40,246) (60,808) (54,107) (176,198) (161,285) ---------- ---------- ---------- ---------- ----------- ---------- Total Distributions...................... (99,783) (40,246) (60,808) (54,107) (176,198) (161,285) ---------- ---------- ---------- ---------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................... 826,214 685,272 634,549 463,836 1,839,473 1,663,723 Shares Issued in Lieu of Cash Distributions..... 96,714 38,998 57,573 51,857 169,856 154,934 Shares Redeemed................................. (654,733) (576,605) (394,415) (283,535) (1,072,475) (791,266) ---------- ---------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions............. 268,195 147,665 297,707 232,158 936,854 1,027,391 ---------- ---------- ---------- ---------- ----------- ---------- Total Increase (Decrease) in Net Assets................................. 617,742 409,095 351,610 87,463 1,086,854 528,895 Net Assets Beginning of Period............................. 3,098,647 2,689,552 1,704,149 1,616,686 5,395,884 4,866,989 ---------- ---------- ---------- ---------- ----------- ---------- End of Period................................... $3,716,389 $3,098,647 $2,055,759 $1,704,149 $ 6,482,738 $5,395,884 ========== ========== ========== ========== =========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 32,929 30,656 36,185 23,919 190,598 153,758 Shares Issued in Lieu of Cash Distributions..... 3,972 1,817 3,432 2,658 18,393 14,162 Shares Redeemed................................. (26,322) (25,853) (22,604) (14,657) (112,419) (73,947) ---------- ---------- ---------- ---------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. 10,579 6,620 17,013 11,920 96,572 93,973 ========== ========== ========== ========== =========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 23,599 $ 14,529 $ 8,708 $ 5,725 $ 25,255 $ 13,366
-------- * Net of foreign capital gain taxes withheld of $0, $0, $1, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
International Japanese Asia Pacific Small Company Small Company Small 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, 2012 2011 2012 2011 2012 2011 ----------- ---------- -------- -------- -------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 152,324 $ 146,577 $ 5,072 $ 2,693 $ 7,452 $ 4,845 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................ 53,955 205,897 (5,341) (5,587) 4,091 8,959 Futures............................................... 9 (271) (75) -- (33) -- Foreign Currency Transactions*........................ 401 (103) 120 14 (56) 85 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 133,610 (571,803) (6,790) 13,164 6,664 (21,184) Futures............................................... (1) -- 1 -- 1 -- Translation of Foreign Currency Denominated Amounts............................................. (530) (340) (23) (61) (12) 18 ----------- ---------- -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................ 339,768 (220,043) (7,036) 10,223 18,107 (7,277) ----------- ---------- -------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares............................ (163,885) (179,486) (4,541) (2,305) (9,333) (6,964) Net Long-Term Gains: Institutional Class Shares............................ (108,621) -- -- -- -- -- ----------- ---------- -------- -------- -------- -------- Total Distributions................................ (272,506) (179,486) (4,541) (2,305) (9,333) (6,964) ----------- ---------- -------- -------- -------- -------- Capital Share Transactions (1): Shares Issued............................................. 1,391,405 1,380,524 198,642 74,211 110,755 54,555 Shares Issued in Lieu of Cash Distributions............... 262,078 171,227 4,202 2,020 8,531 6,350 Shares Redeemed........................................... (1,131,600) (829,801) (60,419) (35,962) (29,131) (38,913) ----------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions..................................... 521,883 721,950 142,425 40,269 90,155 21,992 ----------- ---------- -------- -------- -------- -------- Total Increase (Decrease) in Net Assets............ 589,145 322,421 130,848 48,187 98,929 7,751 Net Assets Beginning of Period....................................... 5,834,015 5,511,594 163,120 114,933 139,262 131,511 ----------- ---------- -------- -------- -------- -------- End of Period............................................. $ 6,423,160 $5,834,015 $293,968 $163,120 $238,191 $139,262 =========== ========== ======== ======== ======== ======== (1) Shares Issued and Redeemed: Shares Issued............................................. 95,525 81,929 12,557 4,725 5,147 2,200 Shares Issued in Lieu of Cash Distributions............... 19,065 10,276 282 133 410 249 Shares Redeemed........................................... (77,790) (50,113) (3,928) (2,288) (1,342) (1,533) ----------- ---------- -------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed..................................... 36,800 42,092 8,911 2,570 4,215 916 =========== ========== ======== ======== ======== ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 3,290 $ 6,376 $ 1,728 $ 1,041 $ 779 $ 1,047
-------- * Net of foreign capital gain taxes withheld of $4, $0, $0, $0, $0, and $0, respectively. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
United Kingdom Continental DFA International Small Company Small Company Real Estate Securities 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, 2012 2011 2012 2011 2012 2011 -------- -------- -------- -------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $ 856 $ 1,146 $ 3,068 $ 3,026 $ 66,041 $ 58,347 Net Realized Gain (Loss) on:.............................. Investment Securities Sold............................ (281) 1,011 (2,677) 3,433 (33,417) (74,845) Futures............................................... 6 -- (25) (16) -- -- Foreign Currency Transactions......................... 6 1 (25) (34) 34 223 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 5,744 (2,107) 585 (21,048) 228,123 3,153 Translation of Foreign Currency Denominated Amounts............................................. (2) 2 72 3 (24) (99) -------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................ 6,329 53 998 (14,636) 260,757 (13,221) -------- ------- -------- -------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares............................ (992) (1,071) (2,958) (3,562) (54,030) (107,338) -------- ------- -------- -------- ---------- ---------- Total Distributions................................ (992) (1,071) (2,958) (3,562) (54,030) (107,338) -------- ------- -------- -------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................................. 1,858 3,802 11,823 18,358 416,378 322,549 Shares Issued in Lieu of Cash Distributions............... 752 818 2,148 2,856 53,300 106,188 Shares Redeemed........................................... (10,500) (3,484) (23,147) (13,670) (204,853) (206,576) -------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions..................................... (7,890) 1,136 (9,176) 7,544 264,825 222,161 -------- ------- -------- -------- ---------- ---------- Total Increase (Decrease) in Net Assets............ (2,553) 118 (11,136) (10,654) 471,552 101,602 Net Assets Beginning of Period....................................... 33,869 33,751 117,452 128,106 1,060,156 958,554 -------- ------- -------- -------- ---------- ---------- End of Period............................................. $ 31,316 $33,869 $106,316 $117,452 $1,531,708 $1,060,156 ======== ======= ======== ======== ========== ========== (1) Shares Issued and Redeemed: Shares Issued............................................. 76 158 842 1,086 84,674 62,870 Shares Issued in Lieu of Cash Distributions............... 34 33 166 164 12,309 21,940 Shares Redeemed........................................... (429) (138) (1,693) (801) (42,864) (40,236) -------- ------- -------- -------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................................... (319) 53 (685) 449 54,119 44,574 ======== ======= ======== ======== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... $ 149 $ 279 $ 280 $ 27 $ (46,274) $ (53,267)
See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA Global DFA International International Real Estate Securities Small Cap Value Vector Equity 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, 2012 2011 2012 2011 2012 2011 ---------- --------- ----------- ----------- --------- -------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......................... $ 36,495 $ 37,948 $ 176,655 $ 168,945 $ 14,617 $ 11,568 Net Realized Gain (Loss) on: Investment Securities Sold....................... (2,760) (4,706) 130,909 146,129 2,944 6,572 Foreign Currency Transactions*................... -- -- 1,183 115 (98) 126 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................................... 138,125 1,312 203,828 (659,162) 13,867 (47,642) Translation of Foreign Currency Denominated Amounts............................ -- -- (393) (833) (30) (27) ---------- --------- ----------- ----------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... 171,860 34,554 512,182 (344,806) 31,300 (29,403) ---------- --------- ----------- ----------- --------- -------- Distributions From: Net Investment Income: Institutional Class Shares....................... (25,716) (41,423) (187,200) (182,741) (14,204) (11,774) Net Short-Term Gains: Institutional Class Shares....................... -- -- (11,429) -- -- -- Net Long-Term Gains: Institutional Class Shares....................... -- -- (126,221) (138,537) (6,473) (2,419) ---------- --------- ----------- ----------- --------- -------- Total Distributions........................... (25,716) (41,423) (324,850) (321,278) (20,677) (14,193) ---------- --------- ----------- ----------- --------- -------- Capital Share Transactions (1): Shares Issued........................................ 445,794 372,793 1,698,080 1,422,232 241,502 139,795 Shares Issued in Lieu of Cash Distributions.......... 25,115 40,672 304,574 303,336 19,813 13,500 Shares Redeemed...................................... (170,854) (232,709) (1,382,520) (1,255,658) (121,119) (62,242) ---------- --------- ----------- ----------- --------- -------- Net Increase (Decrease) from Capital Share Transactions.......................... 300,055 180,756 620,134 469,910 140,196 91,053 ---------- --------- ----------- ----------- --------- -------- Total Increase (Decrease) in Net Assets...................................... 446,199 173,887 807,466 (196,174) 150,819 47,457 Net Assets Beginning of Period.................................. 869,348 695,461 7,459,144 7,655,318 410,580 363,123 ---------- --------- ----------- ----------- --------- -------- End of Period........................................ $1,315,547 $ 869,348 $ 8,266,610 $ 7,459,144 $ 561,399 $410,580 ========== ========= =========== =========== ========= ======== (1) Shares Issued and Redeemed: Shares Issued........................................ 51,866 45,423 117,598 86,184 27,490 13,326 Shares Issued in Lieu of Cash Distributions.......... 3,385 5,345 22,510 18,285 2,341 1,293 Shares Redeemed...................................... (20,069) (28,834) (97,364) (75,870) (13,627) (5,988) ---------- --------- ----------- ----------- --------- -------- Net Increase (Decrease) from Shares Issued and Redeemed......................... 35,182 21,934 42,744 28,599 16,204 8,631 ========== ========= =========== =========== ========= ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................... $ 11,623 $ 1,177 $ 14,647 $ 21,874 $ 1,456 $ 782
-------- * Net of foreign capital gain taxes withheld of $0, $0, $13, $0, $1, and $0, respectively. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Selectively World ex U.S. Hedged Global Equity Emerging Markets Value Portfolio Portfolio Portfolio ---------------- -------------------- ---------------------- Period Year Year Nov. 14, Year Year Ended Ended 2011(a) to Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2012 2011 -------- -------- -------------------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................................... $ 1,596 $ 1,131 $ 536 $ 54,306 $ 49,480 Capital Gain Distributions Received from Affiliated Investment Companies............................ 79 48 -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold................................. 61 (6,148) (275) 31,303 94,878 Futures.................................................... (1) -- 110 -- -- Foreign Currency Transactions*............................. (10) (4) 163 (543) (1,059) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................. 430 (1,774) 2,557 25,377 (309,714) Futures.................................................... -- -- (17) -- -- Translation of Foreign Currency Denominated Amounts.................................................. (1) (13) (93) 18 (109) Change in Deferred Thailand Capital Gains Tax ................. -- 3 -- -- 4,215 ------- ------- ------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations....................................... 2,154 (6,757) 2,981 110,461 (162,309) ------- ------- ------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................................. (1,432) (1,006) (534) (49,445) (42,779) Net Short-Term Gains: Institutional Class Shares................................. (6) (19) -- -- (77) Net Long-Term Gains: Institutional Class Shares................................. -- (195) -- (90,351) (136,141) ------- ------- ------- ---------- ---------- Total Distributions..................................... (1,438) (1,220) (534) (139,796) (178,997) ------- ------- ------- ---------- ---------- Capital Share Transactions (1): Shares Issued.................................................. 15,365 32,244 32,522 860,651 668,299 Shares Issued in Lieu of Cash Distributions.................... 1,370 1,211 533 130,084 164,271 Shares Redeemed................................................ (7,419) (7,929) (552) (477,258) (550,727) ------- ------- ------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.......................................... 9,316 25,526 32,503 513,477 281,843 ------- ------- ------- ---------- ---------- Total Increase (Decrease) in Net Assets................. 10,032 17,549 34,950 484,142 (59,463) Net Assets Beginning of Period............................................ 47,165 29,616 -- 2,313,035 2,372,498 ------- ------- ------- ---------- ---------- End of Period.................................................. $57,197 $47,165 $34,950 $2,797,177 $2,313,035 ======= ======= ======= ========== ========== (1) Shares Issued and Redeemed: Shares Issued.................................................. 1,625 2,801 3,216 34,114 22,995 Shares Issued in Lieu of Cash Distributions.................... 152 108 53 5,452 5,590 Shares Redeemed................................................ (756) (782) (53) (18,952) (18,667) ------- ------- ------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.............................................. 1,021 2,127 3,216 20,614 9,918 ======= ======= ======= ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................ $ 330 $ 168 $ 166 $ 8,306 $ 6,113
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $1, $0, $13 and $851, respectively. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Emerging Markets Emerging Markets Small Cap Emerging Markets Core Equity Portfolio Value 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, 2012 2011 2012 2011 2012 2011 ---------- ---------- ----------- ----------- ----------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 46,726 $ 36,127 $ 308,227 $ 259,300 $ 155,928 $ 100,756 Net Realized Gain (Loss) on: Investment Securities Sold.................. 101,576 27,050 362,676 193,129 (8,860) 20,186 Futures..................................... (812) -- (1,255) -- 1,190 -- Foreign Currency Transactions*.............. (1,523) (1,258) (4,701) (3,612) (1,300) (4,049) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 9,556 (354,184) (535,878) (2,865,375) 122,105 (717,993) Translation of Foreign Currency Denominated Amounts....................... (21) (31) (113) (5) (51) 25 Change in Deferred Thailand Capital Gains Tax........................................... -- 3,533 -- 16,079 -- 5,965 ---------- ---------- ----------- ----------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 155,502 (288,763) 128,956 (2,400,484) 269,012 (595,110) ---------- ---------- ----------- ----------- ----------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................. -- -- (1,576) (532) -- -- Institutional Class Shares.................. (40,500) (33,950) (285,978) (223,890) (139,837) (86,292) Net Short-Term Gains: Class R2 Shares............................. -- -- -- (224) -- -- Institutional Class Shares.................. -- -- -- (67,767) -- -- Net Long-Term Gains: Class R2 Shares............................. -- -- (1,207) (1,580) -- -- Institutional Class Shares.................. (37,112) (58,359) (187,999) (477,706) -- -- ---------- ---------- ----------- ----------- ----------- ---------- Total Distributions...................... (77,612) (92,309) (476,760) (771,699) (139,837) (86,292) ---------- ---------- ----------- ----------- ----------- ---------- Capital Share Transactions (1): Shares Issued................................... 1,164,899 694,159 5,108,640 6,491,870 4,068,293 2,524,065 Shares Issued in Lieu of Cash Distributions................................. 68,580 74,466 439,131 711,366 126,291 77,358 Shares Redeemed................................. (236,441) (387,846) (2,319,607) (1,805,221) (1,096,525) (732,430) ---------- ---------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Capital Share Transactions............. 997,038 380,779 3,228,164 5,398,015 3,098,059 1,868,993 ---------- ---------- ----------- ----------- ----------- ---------- Total Increase (Decrease) in Net Assets................................. 1,074,928 (293) 2,880,360 2,225,832 3,227,234 1,187,591 Net Assets Beginning of Period............................. 1,832,745 1,833,038 13,808,370 11,582,538 5,367,473 4,179,882 ---------- ---------- ----------- ----------- ----------- ---------- End of Period................................... $2,907,673 $1,832,745 $16,688,730 $13,808,370 $ 8,594,707 $5,367,473 ========== ========== =========== =========== =========== ========== (1) Shares Issued and Redeemed: Shares Issued................................... 59,256 31,956 181,833 190,904 218,730 122,538 Shares Issued in Lieu of Cash Distributions................................. 3,782 3,241 16,750 20,921 7,108 3,743 Shares Redeemed................................. (12,340) (18,437) (82,979) (55,156) (60,020) (35,958) Shares Reduced by Conversion of Shares (Note G)...................................... -- -- -- (19,608) -- -- ---------- ---------- ----------- ----------- ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............................... 50,698 16,760 115,604 137,061 165,818 90,323 ========== ========== =========== =========== =========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......................................... $ 6,451 $ 1,396 $ 40,292 $ 33,870 $ 26,576 $ 15,280
-------- * Net of foreign capital gain taxes withheld of $86, $637, $310, $1,682, $541 and $2,994, respectively. See accompanying Notes to Financial Statements. 118 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Enhanced U.S. Large Company Portfolio ------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ................ $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 $ 10.95 -------- -------- -------- -------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................... 0.07 0.07 0.07 0.05 0.39 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)..................................... 1.20 0.56 1.05 0.61 (3.74) 0.45 -------- -------- -------- -------- -------- -------- Total From Investment Operations.............. 1.27 0.63 1.12 0.66 (3.35) 0.75 -------- -------- -------- -------- -------- -------- Less Distributions ------------------ Net Investment Income............................. (0.13) (0.01) (0.07) (0.59) (0.36) (0.36) Net Realized Gains................................ -- -- -- (0.06) (0.73) (0.43) -------- -------- -------- -------- -------- -------- Total Distributions........................... (0.13) (0.01) (0.07) (0.65) (1.09) (0.79) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period....................... $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.91 ======== ======== ======== ======== ======== ======== Total Return......................................... 15.84% 8.41% 17.40% 12.23% (33.89)%(C) 7.13% -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)................ $190,011 $171,128 $157,730 $165,231 $200,331 $337,050 Ratio of Expenses to Average Net Assets.............. 0.25% 0.26% 0.26% 0.29%** 0.25%(B)(D) 0.25%(D) Ratio of Net Investment Income to Average Net Assets 0.80% 0.86% 0.98% 0.86% 4.74%(B) 2.67% Portfolio Turnover Rate.............................. 76% 140% 78% 46%* N/A N/A
U.S. Large Cap Value Portfolio ----------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Ended Ended Ended Ended 2007 to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2010 2009 2008 ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period .............................. $ 19.29 $ 18.58 $ 15.81 $ 14.58 $ 24.44 ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.41 0.33 0.33 0.31 0.36 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 3.04 0.70 2.76 1.28 (8.83) ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................... 3.45 1.03 3.09 1.59 (8.47) ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............... (0.40) (0.32) (0.32) (0.34) (0.35) Net Realized Gains.................. -- -- -- (0.02) (1.04) ---------- ---------- ---------- ---------- ---------- Total Distributions............. (0.40) (0.32) (0.32) (0.36) (1.39) ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period......... $ 22.34 $ 19.29 $ 18.58 $ 15.81 $ 14.58 ========== ========== ========== ========== ========== Total Return........................... 18.14% 5.53% 19.72% 11.76% (36.63)%(C) ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).......................... $8,334,585 $7,340,344 $6,921,036 $5,863,652 $5,330,448 Ratio of Expenses to Average Net Assets............................... 0.27%(D) 0.28%(D) 0.28%(D) 0.30%(D) 0.28%(B)(D) Ratio of Net Investment Income to Average Net Assets................... 1.99% 1.63% 1.86% 2.26% 1.86%(B) Portfolio Turnover Rate................ N/A N/A N/A N/A N/A
----------- Year Ended Nov. 30, 2007 ---------- Net Asset Value, Beginning of Period .............................. $ 25.40 ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.33 Net Gains (Losses) on Securities (Realized and Unrealized)....................... (0.43) ---------- Total From Investment Operations.................... (0.10) ---------- Less Distributions ------------------ Net Investment Income............... (0.32) Net Realized Gains.................. (0.54) ---------- Total Distributions............. (0.86) ---------- Net Asset Value, End of Period......... $ 24.44 ========== Total Return........................... (0.49)% ---------- Net Assets, End of Period (thousands).......................... $7,535,552 Ratio of Expenses to Average Net Assets............................... 0.27%(D) Ratio of Net Investment Income to Average Net Assets................... 1.28% Portfolio Turnover Rate................ N/A
-------- * For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio invests directly in securities rather than through the Series. ** Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. 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)
U.S. Targeted Value Portfolio-Class R1 Shares+ ------------------------------------------- Period Year Year Year Year Jan. 31, Ended Ended Ended Ended 2008(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Oct. 2012 2011 2010 2009 31, 2008 -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period...................... $ 15.32 $ 14.75 $ 11.73 $ 10.92 $ 14.69 ------- ------- ------- ------- ------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)................ 0.15 0.10 0.07 0.12 0.13 Net Gains (Losses) on Securities (Realized and Unrealized).......... 2.06 0.60 3.07 0.87 (3.76) ------- ------- ------- ------- ------- Total From Investment Operations........... 2.21 0.70 3.14 0.99 (3.63) ------- ------- ------- ------- ------- Less Distributions ------------------ Net Investment Income...... (0.13) (0.10) (0.12) (0.18) (0.14) Net Realized Gains......... (0.12) (0.03) -- -- -- ------- ------- ------- ------- ------- Total Distributions........ (0.25) (0.13) (0.12) (0.18) (0.14) ------- ------- ------- ------- ------- Net Asset Value, End of Period...................... $ 17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 ======= ======= ======= ======= ======= Total Return.................. 14.67% 4.69% 26.93% 9.36% (24.96)%(C) ------- ------- ------- ------- ------- Net Assets, End of Period (thousands)................. $49,423 $45,132 $41,316 $31,393 $25,599 Ratio of Expenses to Average Net Assets.................. 0.48% 0.48% 0.49% 0.52% 0.50%(B)(E) Ratio of Net Investment Income to Average Net Assets 0.93% 0.61% 0.59% 1.12% 1.24%(B)(E) Portfolio Turnover Rate....... 20% 23% 20% 17% 20%(C)
U.S. Targeted Value Portfolio-Class R2 Shares+ ------------------------------------------- Period Year Year Year Year June 30, Ended Ended Ended Ended 2008(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Oct. 2012 2011 2010 2009 31, 2008 -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period...................... $ 15.31 $ 14.76 $11.74 $10.91 $ 13.94 ------- ------- ------ ------ ------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A)................ 0.13 0.07 0.05 0.10 0.05 Net Gains (Losses) on Securities (Realized and Unrealized).......... 2.05 0.60 3.07 0.88 (3.02) ------- ------- ------ ------ ------- Total From Investment Operations........... 2.18 0.67 3.12 0.98 (2.97) ------- ------- ------ ------ ------- Less Distributions ------------------ Net Investment Income...... (0.11) (0.09) (0.10) (0.15) (0.06) Net Realized Gains......... (0.12) (0.03) -- -- -- ------- ------- ------ ------ ------- Total Distributions........ (0.23) (0.12) (0.10) (0.15) (0.06) ------- ------- ------ ------ ------- Net Asset Value, End of Period...................... $ 17.26 $ 15.31 $14.76 $11.74 $ 10.91 ======= ======= ====== ====== ======= Total Return.................. 14.46% 4.50% 26.66% 9.23% (21.40)%(C) ------- ------- ------ ------ ------- Net Assets, End of Period (thousands)................. $12,754 $10,918 $5,967 $2,930 $ 1,715 Ratio of Expenses to Average Net Assets.................. 0.63% 0.63% 0.64% 0.67% 0.66%(B)(E) Ratio of Net Investment Income to Average Net Assets 0.78% 0.42% 0.44% 0.91% 1.35%(B)(E) Portfolio Turnover Rate....... 20% 23% 20% 17% 20%(C)
-------- + All per share amounts and net assets values prior to November 19, 2010, have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) 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)
U.S. Targeted Value Portfolio-Institutional Class Shares ---------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, Beginning of Period .............................. $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 $ 18.69 ---------- ---------- ---------- ---------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.17 0.12 0.09 0.12 0.18 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 2.06 0.59 3.06 0.88 (4.68) (1.32) ---------- ---------- ---------- ---------- -------- -------- Total From Investment Operations.................... 2.23 0.71 3.15 1.00 (4.50) (1.12) ---------- ---------- ---------- ---------- -------- -------- Less Distributions ------------------ Net Investment Income............... (0.15) (0.12) (0.09) (0.14) (0.15) (0.20) Net Realized Gains.................. (0.12) (0.03) -- -- (0.40) (1.48) ---------- ---------- ---------- ---------- -------- -------- Total Distributions............. (0.27) (0.15) (0.09) (0.14) (0.55) (1.68) ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, End of Period......... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 15.89 ========== ========== ========== ========== ======== ======== Total Return........................... 14.78% 4.76% 27.02% 9.47% (29.27)%(C) (6.59)% ---------- ---------- ---------- ---------- -------- -------- Net Assets, End of Period (thousands) $2,989,632 $2,487,929 $2,223,982 $1,449,437 $855,448 $554,805 Ratio of Expenses to Average Net Assets. 0.38% 0.38% 0.38% 0.41% 0.40%(B) 0.41%(D)** Ratio of Net Investment Income to Average Net Assets 1.03% 0.71% 0.69% 1.19% 1.39%(B) 1.12% Portfolio Turnover Rate................ 20% 23% 20% 17% 20%(C) 9%(C)*
U.S. Small Cap Value Portfolio ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period .............................. $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 $ 31.59 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.20 0.16 0.09 0.04 0.18 0.30 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 3.38 1.00 4.79 1.54 (7.86) (2.72) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................... 3.58 1.16 4.88 1.58 (7.68) (2.42) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............... (0.18) (0.15) (0.08) (0.21) (0.22) (0.28) Net Realized Gains.................. (0.33) -- -- -- (2.27) (2.40) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............. (0.51) (0.15) (0.08) (0.21) (2.49) (2.68) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period......... $ 26.57 $ 23.50 $ 22.49 $ 17.69 $ 16.32 $ 26.49 ========== ========== ========== ========== ========== ========== Total Return........................... 15.60% 5.13% 27.69% 9.97% (31.80)%(C) (8.41)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).......................... $7,088,470 $6,540,863 $6,555,277 $5,669,659 $5,503,945 $8,802,846 Ratio of Expenses to Average Net Assets............................... 0.52% 0.52% 0.52% 0.54%++ 0.52%(B)(D) 0.52%(D) Ratio of Net Investment Income to Average Net Assets................... 0.78% 0.62% 0.43% 0.27% 0.86%(B) 0.98% Portfolio Turnover Rate................ 15% 14% 19% 21%+ N/A N/A
-------- * For the period March 30, 2007 through November 30, 2007. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series. ** Represents the combined ratios for the respective portfolio and for the period December 1, 2006 through March 29, 2007, its respective pro-rata share of its Master Fund Series. + For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, U.S. Small Cap Value Portfolio invests directly in securities rather than through the Series. ++ Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. 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)
U.S. Core Equity 1 Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ......................... $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 $ 11.50 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A).................... 0.21 0.17 0.15 0.15 0.17 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.32 0.59 1.61 0.73 (4.03) 0.35 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.53 0.76 1.76 0.88 (3.86) 0.54 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.......... (0.20) (0.16) (0.12) (0.15) (0.16) (0.18) Net Realized Gains............. -- -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........ (0.20) (0.16) (0.12) (0.15) (0.16) (0.21) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.......................... $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 $ 11.83 ========== ========== ========== ========== ========== ========== Total Return...................... 14.29% 7.47% 20.80% 11.64% (32.85)%(C) 4.68% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $4,876,973 $3,731,411 $2,897,409 $1,989,583 $1,320,562 $1,210,031 Ratio of Expenses to Average Net Assets. 0.19% 0.20% 0.20% 0.22% 0.20%(B) 0.20% Ratio of Net Investment Income to Average Net Assets 1.79% 1.49% 1.53% 2.02% 1.78%(B) 1.53% Portfolio Turnover Rate........... 3% 5% 4% 7% 5%(C) 10%
U.S. Core Equity 2 Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ......................... $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 $ 11.65 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations ---------------------- Net Investment Income (Loss)(A).................... 0.20 0.16 0.14 0.14 0.17 0.19 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.36 0.54 1.64 0.66 (4.04) 0.13 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.56 0.70 1.78 0.80 (3.87) 0.32 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.......... (0.18) (0.15) (0.11) (0.14) (0.17) (0.17) Net Realized Gains............. -- -- -- -- -- (0.03) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........ (0.18) (0.15) (0.11) (0.14) (0.17) (0.20) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.......................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 $ 11.77 ========== ========== ========== ========== ========== ========== Total Return...................... 14.81% 6.98% 21.41% 10.66% (33.16)%(C) 2.78% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $6,923,984 $5,819,906 $4,990,367 $3,804,325 $2,501,028 $2,939,420 Ratio of Expenses to Average Net Assets. 0.22% 0.22% 0.23% 0.24% 0.23%(B) 0.23% Ratio of Net Investment Income to Average Net Assets 1.74% 1.42% 1.47% 1.89% 1.77%(B) 1.55% Portfolio Turnover Rate........... 5% 9% 7% 4% 8%(C) 7%
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)
U.S. Vector Equity Portfolio ---------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, Beginning of Period............................... $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 $ 11.79 ---------- ---------- ---------- ---------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)..... 0.16 0.12 0.10 0.11 0.15 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)....................... 1.32 0.46 1.79 0.57 (3.89) (0.25) ---------- ---------- ---------- ---------- -------- -------- Total From Investment Operations.................... 1.48 0.58 1.89 0.68 (3.74) (0.09) ---------- ---------- ---------- ---------- -------- -------- Less Distributions ------------------ Net Investment Income............... (0.15) (0.12) (0.10) (0.13) (0.16) (0.14) Net Realized Gains.................. -- -- -- -- -- (0.18) ---------- ---------- ---------- ---------- -------- -------- Total Distributions............. (0.15) (0.12) (0.10) (0.13) (0.16) (0.32) ---------- ---------- ---------- ---------- -------- -------- Net Asset Value, End of Period......... $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 $ 11.38 ========== ========== ========== ========== ======== ======== Total Return........................... 14.55% 5.86% 23.65% 9.47% (33.29)%(C) (0.87)% ---------- ---------- ---------- ---------- -------- -------- Net Assets, End of Period (thousands).......................... $2,009,177 $1,851,895 $1,558,423 $1,178,114 $850,623 $959,742 Ratio of Expenses to Average Net Assets............................... 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.34% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) 0.32% 0.33% 0.33% 0.35% 0.34%(B) 0.33% Ratio of Net Investment Income to Average Net Assets................... 1.45% 1.11% 1.13% 1.60% 1.66%(B) 1.29% Portfolio Turnover Rate................ 9% 10% 11% 11% 11%(C) 14%
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)
U.S. Small Cap Portfolio ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period........................... $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 $ 22.46 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A). 0.25 0.18 0.13 0.06 0.14 0.21 Net Gains (Losses) on Securities (Realized and Unrealized)..... 2.53 1.49 4.17 1.65 (6.08) (0.66) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 2.78 1.67 4.30 1.71 (5.94) (0.45) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income........... (0.22) (0.18) (0.13) (0.17) (0.17) (0.21) Net Realized Gains.............. -- -- -- -- (1.18) (1.16) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.22) (0.18) (0.13) (0.17) (1.35) (1.37) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........................ $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 20.64 ========== ========== ========== ========== ========== ========== Total Return.................... 13.61% 8.76% 28.99% 13.08% (30.67)%(C) (2.17)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $4,563,345 $3,770,323 $3,391,457 $2,522,001 $2,066,849 $3,285,093 Ratio of Expenses to Average Net Assets............ 0.37% 0.37% 0.37% 0.40%** 0.38%(B)(D) 0.38%(D) Ratio of Net Investment Income to Average Net Assets........................ 1.14% 0.84% 0.76% 0.50% 0.86%(B) 0.95% Portfolio Turnover Rate......... 16% 23% 19% 17%* N/A N/A ---------- ---------- ---------- ---------- ---------- ----------
U.S. Micro Cap Portfolio ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period........................... $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 $ 16.83 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A). 0.14 0.09 0.06 0.03 0.10 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)..... 1.59 0.99 2.68 0.54 (4.32) (0.69) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............... 1.73 1.08 2.74 0.57 (4.22) (0.55) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income........... (0.13) (0.09) (0.06) (0.19) (0.13) (0.13) Net Realized Gains.............. -- -- -- -- (1.26) (1.35) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......... (0.13) (0.09) (0.06) (0.19) (1.39) (1.48) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........................ $ 14.84 $ 13.24 $ 12.25 $ 9.57 $ 9.19 $ 14.80 ========== ========== ========== ========== ========== ========== Total Return.................... 13.13% 8.85% 28.77% 6.61% (31.33)%(C) (3.63)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $3,437,958 $3,257,719 $3,178,286 $2,818,365 $2,924,225 $4,700,371 Ratio of Expenses to Average Net Assets............ 0.52% 0.52% 0.52% 0.54%** 0.53%(B)(D) 0.52%(D) Ratio of Net Investment Income to Average Net Assets........................ 0.99% 0.69% 0.58% 0.38% 0.91%(B) 0.89% Portfolio Turnover Rate......... 15% 14% 9% 12%* N/A N/A ---------- ---------- ---------- ---------- ---------- ----------
* For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, the Portfolios invest directly in securities rather than through the Series. **Represents the combined ratios for the respective portfolio and for the period November 1, 2008 through February 27, 2009, its respective pro-rata share of its Master Fund Series. See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Real Estate Securities Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.. $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 $ 33.80 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.57 0.40 0.58 0.58 0.64 0.62 Net Gains (Losses) on Securities (Realized and Unrealized)........ 2.74 1.93 5.92 (0.62) (9.28) (5.64) ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 3.31 2.33 6.50 (0.04) (8.64) (5.02) ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.73) (0.32) (0.55) (0.83) (0.30) (0.70) Net Realized Gains................. -- -- -- -- (2.10) (0.88) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.73) (0.32) (0.55) (0.83) (2.40) (1.58) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 $ 27.20 ========== ========== ========== ========== ========== ========== Total Return.......................... 14.45% 11.09% 43.21% 0.98% (34.46)%(C) (15.45)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......................... $3,716,389 $3,098,647 $2,689,552 $2,018,559 $1,746,961 $2,671,457 Ratio of Expenses to Average Net Assets.............................. 0.22% 0.32% 0.33% 0.36% 0.33%(B) 0.33% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...... 0.23% 0.32% 0.33% 0.36% 0.33%(B) 0.33% Ratio of Net Investment Income to Average Net Assets.................. 2.29% 1.76% 3.13% 4.54% 3.01%(B) 1.99% Portfolio Turnover Rate............... 0% 3% 2% 2% 13%(C) 17% ---------- ---------- ---------- ---------- ---------- ----------
Large Cap International Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.. $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 $ 23.60 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.60 0.63 0.48 0.48 0.68 0.68 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.40 (1.53) 1.43 3.16 (12.06) 3.57 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 1.00 (0.90) 1.91 3.64 (11.38) 4.25 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.58) (0.61) (0.51) (0.43) (0.64) (0.67) Net Realized Gains................. -- -- -- -- (0.35) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (0.58) (0.61) (0.51) (0.43) (0.99) (0.67) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 $ 27.18 ========== ========== ========== ========== ========== ========== Total Return.......................... 5.89% (4.86)% 10.99% 25.20% (43.14)%(C) 18.18% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......................... $2,055,759 $1,704,149 $1,616,686 $1,364,351 $1,206,860 $2,224,180 Ratio of Expenses to Average Net Assets.............................. 0.30% 0.30% 0.30% 0.32% 0.29%(B) 0.29% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...... 0.30% 0.30% 0.30% 0.32% 0.29%(B) 0.29% Ratio of Net Investment Income to Average Net Assets.................. 3.38% 3.19% 2.65% 3.14% 3.18%(B) 2.62% Portfolio Turnover Rate............... 4% 3% 7% 12% 12%(C) 5% ---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Core Equity Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period............... $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 $ 12.82 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)................. 0.31 0.33 0.23 0.23 0.37 0.35 Net Gains (Losses) on Securities (Realized and Unrealized)................................... 0.20 (0.89) 0.96 2.32 (6.76) 1.54 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............ 0.51 (0.56) 1.19 2.55 (6.39) 1.89 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income........................... (0.30) (0.33) (0.20) (0.22) (0.35) (0.32) Net Realized Gains.............................. -- -- -- -- (0.15) (0.04) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......................... (0.30) (0.33) (0.20) (0.22) (0.50) (0.36) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period..................... $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 $ 14.35 ========== ========== ========== ========== ========== ========== Total Return....................................... 5.49% (5.49)% 12.48% 34.81% (45.76)%(C) 14.83% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).............. $6,482,738 $5,395,884 $4,866,989 $3,699,842 $1,981,049 $2,342,187 Ratio of Expenses to Average Net Assets............ 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41% Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) 0.40% 0.40% 0.40% 0.41% 0.41%(B) 0.41% Ratio of Net Investment Income to Average Net Assets........................................... 3.18% 2.96% 2.31% 2.84% 3.39%(B) 2.49% Portfolio Turnover Rate............................ 5% 3% 2% 5% 4%(C) 4%
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Small Company Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period. $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 $ 19.43 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.38 0.40 0.28 0.28 0.44 0.43 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.39 (0.83) 2.13 3.91 (9.55) 2.07 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations.................. 0.77 (0.43) 2.41 4.19 (9.11) 2.50 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income............. (0.42) (0.50) (0.26) (0.27) (0.45) (0.46) Net Realized Gains................ (0.28) -- -- -- (1.17) (0.67) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........... (0.70) (0.50) (0.26) (0.27) (1.62) (1.13) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period....... $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 $ 20.80 ========== ========== ========== ========== ========== ========== Total Return......................... 5.63% (2.92)% 17.61% 42.34% (47.13)%(C) 13.29% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)........................ $6,423,160 $5,834,015 $5,511,594 $4,269,864 $3,084,373 $5,597,209 Ratio of Expenses to Average Net Assets (D)......................... 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D).......................... 0.56% 0.55% 0.56% 0.57% 0.55%(B) 0.55% Ratio of Net Investment Income to Average Net Assets................. 2.58% 2.37% 1.94% 2.48% 2.90%(B) 2.03% ---------- ---------- ---------- ---------- ---------- ----------
Japanese Small Company Portfolio -------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period. $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 $ 17.23 -------- -------- -------- -------- -------- -------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.29 0.27 0.22 0.22 0.29 0.27 Net Gains (Losses) on Securities (Realized and Unrealized)....... (0.26) 1.08 (0.18) 2.39 (4.78) (0.52) -------- -------- -------- -------- -------- -------- Total From Investment Operations.................. 0.03 1.35 0.04 2.61 (4.49) (0.25) -------- -------- -------- -------- -------- -------- Less Distributions Net Investment Income............. (0.28) (0.24) (0.23) (0.26) (0.29) (0.23) Net Realized Gains................ -- -- -- -- -- -- -------- -------- -------- -------- -------- -------- Total Distributions........... (0.28) (0.24) (0.23) (0.26) (0.29) (0.23) -------- -------- -------- -------- -------- -------- Net Asset Value, End of Period....... $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 $ 16.75 ======== ======== ======== ======== ======== ======== Total Return......................... 0.20% 9.57% 0.33% 22.08% (27.16)%(C) (1.51)% -------- -------- -------- -------- -------- -------- Net Assets, End of Period (thousands)........................ $293,968 $163,120 $114,933 $114,058 $133,373 $199,080 Ratio of Expenses to Average Net Assets (D)......................... 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (D).......................... 0.57% 0.56% 0.57% 0.59% 0.58%(B) 0.56% Ratio of Net Investment Income to Average Net Assets................. 1.88% 1.74% 1.52% 1.68% 2.18%(B) 1.51% -------- -------- -------- -------- -------- --------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Asia Pacific Small Company Portfolio -------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ................................... $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 $ 20.26 -------- -------- -------- -------- ------- -------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.87 0.85 0.69 0.50 0.83 0.79 Net Gains (Losses) on Securities (Realized and Unrealized)....... 0.58 (2.16) 4.99 8.95 (17.04) 8.43 -------- -------- -------- -------- ------- -------- Total From Investment Operations.................. 1.45 (1.31) 5.68 9.45 (16.21) 9.22 -------- -------- -------- -------- ------- -------- Less Distributions Net Investment Income............. (1.27) (1.29) (0.63) (0.53) (0.85) (0.75) Net Realized Gains................ -- -- -- -- -- -- Return of Capital................. -- -- -- -- -- -- -------- -------- -------- -------- ------- -------- Total Distributions........... (1.27) (1.29) (0.63) (0.53) (0.85) (0.75) -------- -------- -------- -------- ------- -------- Net Asset Value, End of Period....... $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 $ 28.73 ======== ======== ======== ======== ======= ======== Total Return......................... 7.09% (5.59)% 28.36% 84.11% (57.94)%(C) 46.55% -------- -------- -------- -------- ------- -------- Net Assets, End of Period (thousands)........................ $238,191 $139,262 $131,511 $101,853 $64,044 $146,307 Ratio of Expenses to Average Net Assets(D).......................... 0.59% 0.60% 0.63% 0.65% 0.62%(B) 0.62% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D)....................... 0.59% 0.60% 0.61% 0.65% 0.61%(B) 0.59% Ratio of Net Investment Income to Average Net Assets................. 3.91% 3.34% 3.14% 3.53% 3.85%(B) 3.13% -------- -------- -------- -------- ------- --------
United Kingdom Small Company Portfolio --------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period ................................... $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 $ 32.97 ------- ------- ------- ------- ------- ------- Income From Investment Operations Net Investment Income (Loss)(A)....................... 0.69 0.82 0.50 0.55 0.77 0.78 Net Gains (Losses) on Securities (Realized and Unrealized)....... 4.47 (0.85) 4.41 5.44 (15.84) (0.08) ------- ------- ------- ------- ------- ------- Total From Investment Operations.................. 5.16 (0.03) 4.91 5.99 (15.07) 0.70 ------- ------- ------- ------- ------- ------- Less Distributions Net Investment Income............. (0.79) (0.77) (0.50) (0.43) (0.72) (1.03) Net Realized Gains................ -- -- -- -- (1.22) (1.35) Return of Capital................. -- -- -- -- (0.01) -- ------- ------- ------- ------- ------- ------- Total Distributions........... (0.79) (0.77) (0.50) (0.43) (1.95) (2.38) ------- ------- ------- ------- ------- ------- Net Asset Value, End of Period....... $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 $ 31.29 ======= ======= ======= ======= ======= ======= Total Return......................... 22.82% (0.28)% 25.37% 42.81% (50.97)%(C) 1.94% ------- ------- ------- ------- ------- ------- Net Assets, End of Period (thousands)........................ $31,316 $33,869 $33,751 $27,863 $25,883 $37,139 Ratio of Expenses to Average Net Assets(D).......................... 0.60% 0.60% 0.60% 0.61% 0.59%(B) 0.59% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Expenses)(D)....................... 0.63% 0.62% 0.64% 0.70% 0.65%(B) 0.62% Ratio of Net Investment Income to Average Net Assets................. 2.83% 3.26% 2.39% 3.62% 3.41%(B) 2.28% ------- ------- ------- ------- ------- -------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Continental Small Company Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 -------- -------- -------- -------- -------- -------- Net Asset Value, Beginning of Period............ $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 $ 20.47 -------- -------- -------- -------- ------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A).............. 0.39 0.39 0.27 0.28 0.52 0.40 Net Gains (Losses) on Securities (Realized and Unrealized)................ (0.17) (2.20) 1.89 4.29 (11.32) 3.00 -------- -------- -------- -------- ------- -------- Total From Investment Operations............................ 0.22 (1.81) 2.16 4.57 (10.80) 3.40 -------- -------- -------- -------- ------- -------- Less Distributions ------------------ Net Investment Income........................ (0.37) (0.46) (0.25) (0.28) (0.45) (0.38) Net Realized Gains........................... -- -- -- -- (0.96) (0.54) Return of Capital............................ -- -- -- -- (0.01) -- -------- -------- -------- -------- ------- -------- Total Distributions...................... (0.37) (0.46) (0.25) (0.28) (1.42) (0.92) -------- -------- -------- -------- ------- -------- Net Asset Value, End of Period. $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 $ 22.95 ======== ======== ======== ======== ======= ======== Total Return.................................... 1.85% (11.09)% 14.85% 43.12% (49.89)%(C) 16.99% -------- -------- -------- -------- ------- -------- Net Assets, End of Period (thousands)........... $106,316 $117,452 $128,106 $110,926 $93,988 $170,909 Ratio of Expenses to Average Net Assets......... 0.59%(D) 0.58%(D) 0.59%(D) 0.62%(D) 0.59%(B)(D) 0.61%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......................... 0.59%(D) 0.58%(D) 0.59%(D) 0.61%(D) 0.59%(B)(D) 0.57%(D) Ratio of Net Investment Income (Loss) to Average Net Assets................. 2.78% 2.25% 1.78% 2.39% 3.04%(B) 1.70% Portfolio Turnover Rate......................... N/A N/A N/A N/A N/A N/A -------- -------- -------- -------- ------- --------
DFA International Real Estate Securities Portfolio ----------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Period Ended Ended Oct. Ended Ended 2007 to March 1, 2007(a) Oct. 31, 31, Oct. 31, Oct. 31, Oct. 31, to 2012 2011 2010 2009 2008 Nov. 30, 2007 ---------- ---------- -------- -------- -------- ---------------- Net Asset Value, Beginning of Period............ $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 $ 10.00 ---------- ---------- -------- -------- -------- -------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A).............. 0.27 0.30 0.31 0.26 0.34 0.23 Net Gains (Losses) on Securities (Realized and Unrealized)................ 0.75 (0.33) 0.58 0.91 (5.08) (0.76) ---------- ---------- -------- -------- -------- -------- Total From Investment Operations............................ 1.02 (0.03) 0.89 1.17 (4.74) (0.53) ---------- ---------- -------- -------- -------- -------- Less Distributions ------------------ Net Investment Income........................ (0.25) (0.65) (0.55) (0.11) (0.43) (0.12) Net Realized Gains........................... -- -- -- -- -- -- Return of Capital............................ -- -- -- -- -- -- ---------- ---------- -------- -------- -------- -------- Total Distributions...................... (0.25) (0.65) (0.55) (0.11) (0.43) (0.12) ---------- ---------- -------- -------- -------- -------- Net Asset Value, End of Period. $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 $ 9.35 ========== ========== ======== ======== ======== ======== Total Return.................................... 22.34% (0.43)% 18.96% 29.25% (52.85)%(C) (5.38)%(C) ---------- ---------- -------- -------- -------- -------- Net Assets, End of Period (thousands)........... $1,531,708 $1,060,156 $958,554 $742,329 $394,480 $336,840 Ratio of Expenses to Average Net Assets......... 0.41% 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)......................... 0.41% 0.42% 0.41% 0.43% 0.44%(B) 0.48%(B)(E) Ratio of Net Investment Income (Loss) to Average Net Assets................. 5.45% 5.73% 6.42% 6.40% 5.20%(B) 3.50%(B)(E) Portfolio Turnover Rate......................... 3% 7% 6% 5% 1%(C) 2%(C) ---------- ---------- -------- -------- -------- --------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA Global Real Estate Securities Portfolio -------------------------------------------------------------- Period Year Year Year Year June 4, Ended Ended Ended Ended 2008(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2010 2009 2008 ---------- -------- -------- -------- ---------- Net Asset Value, Beginning of Period.............. $ 8.21 $ 8.28 $ 6.75 $ 6.04 $ 10.00 ---------- -------- -------- -------- ------- Income From Investment Operations Net Investment Income (Loss)(A)................ 0.29 0.41 0.40 0.19 -- Net Gains (Losses) on Securities (Realizedand Unrealized).................................. 1.07 0.06 1.60 0.62 (3.96) ---------- -------- -------- -------- ------- Total From Investment Operations........... 1.36 0.47 2.00 0.81 (3.96) ---------- -------- -------- -------- ------- Less Distributions Net Investment Income.......................... (0.24) (0.54) (0.47) (0.10) -- Net Realized Gains............................. -- -- -- -- -- ---------- -------- -------- -------- ------- Total Distributions........................ (0.24) (0.54) (0.47) (0.10) -- ---------- -------- -------- -------- ------- Net Asset Value, End of Period.................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 ========== ======== ======== ======== ======= Total Return...................................... 17.33% 6.17% 31.38% 13.81% (39.60)%(C) ---------- -------- -------- -------- ------- Net Assets, End of Period (thousands)............. $1,315,547 $869,348 $695,461 $432,502 $90,672 Ratio of Expenses to Average Net Assets........... 0.34%(D) 0.41%(D) 0.41%(D) 0.47%(D) 0.54%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................... 0.60%(D) 0.73%(D) 0.73%(D) 0.79%(D) 0.86%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 3.38% 5.01% 5.59% 3.40% (0.04)%(B)(E) Portfolio Turnover Rate........................... N/A N/A N/A N/A N/A ---------- -------- -------- -------- -------
DFA International Small Cap Value Portfolio -------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.............. $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 $ 21.71 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)................ 0.34 0.34 0.24 0.26 0.52 0.46 Net Gains (Losses) on Securities (Realizedand Unrealized).................................. 0.61 (0.98) 1.22 4.14 (9.60) 1.66 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations........... 0.95 (0.64) 1.46 4.40 (9.08) 2.12 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.......................... (0.36) (0.38) (0.22) (0.24) (0.58) (0.53) Net Realized Gains............................. (0.28) (0.29) -- (0.06) (1.57) (1.25) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.64) (0.67) (0.22) (0.30) (2.15) (1.78) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 $ 22.05 ========== ========== ========== ========== ========== ========== Total Return...................................... 6.92% (4.39)% 10.01% 41.42% (45.17)%(C) 10.25% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $8,266,610 $7,459,144 $7,655,318 $6,859,957 $4,799,748 $8,180,859 Ratio of Expenses to Average Net Assets........... 0.71% 0.70% 0.70% 0.71% 0.69%(B) 0.69% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................... 0.71% 0.70% 0.70% 0.71% 0.69%(B) 0.69% Ratio of Net Investment Income to Average Net Assets.......................................... 2.30% 2.05% 1.57% 2.19% 3.22%(B) 2.03% Portfolio Turnover Rate........................... 18% 16% 18% 22% 16%(C) 18% ---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
International Vector Equity Portfolio ------------------------------------------------- Period Year Year Year Year August 14, Ended Ended Ended Ended 2008(a) to Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2010 2009 2008 -------- -------- -------- -------- ---------- Net Asset Value, Beginning of Period...... $ 9.34 $ 10.28 $ 9.22 $ 6.74 $ 10.00 -------- -------- -------- -------- ------- Income From Investment Operations Net Investment Income (Loss) (A)....... 0.27 0.29 0.18 0.17 0.06 Net Gains (Losses) on Securities (Realized and Unrealized)............ 0.14 (0.87) 1.05 2.46 (3.32) -------- -------- -------- -------- ------- Total From Investment Operations....................... 0.41 (0.58) 1.23 2.63 (3.26) -------- -------- -------- -------- ------- Less Distributions Net Investment Income.................. (0.27) (0.29) (0.17) (0.15) -- Net Realized Gains..................... (0.15) (0.07) -- -- -- -------- -------- -------- -------- ------- Total Distributions................ (0.42) (0.36) (0.17) (0.15) -- -------- -------- -------- -------- ------- Net Asset Value, End of Period............ $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74 ======== ======== ======== ======== ======= Total Return.............................. 4.90% (5.99)% 13.62% 39.52% (32.60)%(C) -------- -------- -------- -------- ------- Net Assets, End of Period (thousands)..... $561,399 $410,580 $363,123 $262,544 $66,774 Ratio of Expenses to Average Net Assets... 0.54% 0.54% 0.54% 0.60% 0.60%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......................... 0.54% 0.54% 0.53% 0.59% 1.15%(B)(E) Ratio of Net Investment Income to Average Net Assets.............................. 2.94% 2.73% 1.91% 2.31% 3.01%(B)(E) Portfolio Turnover Rate................... 5% 10% 5% 8% 0%(C) -------- -------- -------- -------- -------
World ex U.S. Value Portfolio ---------------------------------- Year Year Period Aug. Ended Ended 23, 2010(a) Oct. 31, Oct. 31, to 2012 2011 Oct. 31, 2010 -------- -------- ------------- Net Asset Value, Beginning of Period...... $ 9.96 $ 11.35 $ 10.00 ------- ------- ------- Income From Investment Operations Net Investment Income (Loss) (A)....... 0.29 0.30 0.02 Net Gains (Losses) on Securities (Realized and Unrealized)............ (0.05) (1.35) 1.33 ------- ------- ------- Total From Investment Operations....................... 0.24 (1.05) 1.35 ------- ------- ------- Less Distributions Net Investment Income.................. (0.26) (0.26) -- Net Realized Gains..................... -- (0.08) -- ------- ------- ------- Total Distributions................ (0.26) (0.34) -- ------- ------- ------- Net Asset Value, End of Period............ $ 9.94 $ 9.96 $ 11.35 ======= ======= ======= Total Return.............................. 2.70% (9.59)% 13.50%(C) ------- ------- ------- Net Assets, End of Period (thousands)..... $57,197 $47,165 $29,616 Ratio of Expenses to Average Net Assets... 0.60%(D) 0.60%D) 0.90%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).......................... 0.84%(D) 0.91%(D) 1.37%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets.............................. 2.97% 2.64% 0.76%(B)(E) Portfolio Turnover Rate................... N/A N/A N/A ------- ------- -------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 131 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Selectively Hedged Global Equity Portfolio ----------------------- Period Nov. 14, 2011(a) to Oct. 31, 2012 ----------------------- Net Asset Value, Beginning of Period........................... $ 10.00 ------- Income From Investment Operations --------------------------------- Net Investment Income (Loss)(A)............................. 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).. 0.87 ------- Total From Investment Operations........................ 1.09 ------- Less Distributions ------------------ Net Investment Income....................................... (0.22) Net Realized Gains.......................................... -- ------- Total Distributions..................................... (0.22) ------- Net Asset Value, End of Period................................. $ 10.87 ======= Total Return................................................... 11.11%(C) ------- Net Assets, End of Period (thousands).......................... $34,950 Ratio of Expenses to Average Net Assets(D)..................... 0.40%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees)(D)..................................................... 1.00%(B)(E) Ratio of Net Investment Income to Average Net Assets........... 2.13%(B)(E) Portfolio Turnover Rate........................................ N/A
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.. $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 $ 25.40 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.55 0.61 0.48 0.42 0.70 0.64 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.37 (2.53) 6.07 8.42 (16.85) 9.88 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations................... 0.92 (1.92) 6.55 8.84 (16.15) 10.52 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income.............. (0.50) (0.53) (0.46) (0.41) (0.69) (0.53) Net Realized Gains................. (1.04) (1.77) (0.42) (0.25) (1.34) (0.16) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............ (1.54) (2.30) (0.88) (0.66) (2.03) (0.69) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period........ $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 $ 35.23 ========== ========== ========== ========== ========== ========== Total Return.......................... 4.08% (6.82)% 26.53% 53.39% (48.37)%(C) 42.08% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) $2,797,177 $2,313,035 $2,372,498 $1,966,288 $1,508,260 $3,388,442 Ratio of Expenses to Average Net Assets(D)........................... 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60% Ratio of Net Investment Income to Average Net Assets.................. 2.14% 2.07% 1.76% 2.15% 2.59%(B) 2.12% ---------- ---------- ---------- ---------- ---------- ----------
Emerging Markets Small Cap Portfolio ------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- ---------- Net Asset Value, Beginning of Period.. $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 $ 17.96 ---------- ---------- ---------- ---------- -------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)........................ 0.40 0.42 0.34 0.26 0.44 0.31 Net Gains (Losses) on Securities (Realized and Unrealized)........ 0.83 (3.67) 6.79 8.14 (12.95) 6.86 ---------- ---------- ---------- ---------- -------- ---------- Total From Investment Operations................... 1.23 (3.25) 7.13 8.40 (12.51) 7.17 ---------- ---------- ---------- ---------- -------- ---------- Less Distributions Net Investment Income.............. (0.35) (0.40) (0.32) (0.28) (0.41) (0.26) Net Realized Gains................. (0.40) (0.76) -- -- (1.49) (1.13) ---------- ---------- ---------- ---------- -------- ---------- Total Distributions............ (0.75) (1.16) (0.32) (0.28) (1.90) (1.39) ---------- ---------- ---------- ---------- -------- ---------- Net Asset Value, End of Period........ $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 $ 23.74 ========== ========== ========== ========== ======== ========== Total Return.......................... 6.71% (14.03)% 41.33% 91.35% (57.00)%(C) 42.58% ---------- ---------- ---------- ---------- -------- ---------- Net Assets, End of Period (thousands) $2,907,673 $1,832,745 $1,833,038 $1,133,958 $547,329 $1,458,152 Ratio of Expenses to Average Net Assets(D)........................... 0.82% 0.79% 0.78% 0.80% 0.77%(B) 0.78% Ratio of Net Investment Income to Average Net Assets.................. 2.01% 1.86% 1.70% 2.05% 2.61%(B) 1.48% ---------- ---------- ---------- ---------- -------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Value Portfolio-Class R2 Shares + ------------------------------------------------ Year Year Year Year Period Ended Ended Ended Ended Jan. 29, 2008(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, to 2012 2011 2010 2009 Oct. 31, 2008 -------- -------- -------- -------- ---------------- Net Asset Value, Beginning of Period. $ 29.02 $ 36.35 $ 46.84 $ 85.43 $187.35 ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)....................... 0.50 0.20 0.56 0.56 3.93 Net Gains (Losses) on Securities (Realizedand Unrealized)........ (0.45) (5.45) 9.18 21.36 (92.36) ------- ------- ------- ------- ------- Total from Investment Operations...................... 0.05 (5.25) 9.74 21.92 (88.43) ------- ------- ------- ------- ------- Less Distributions ------------------ Net Investment Income............. (0.47) (0.45) (7.12) (6.00) (13.49) Net Realized Gains................ (0.39) (1.63) (13.11) (54.52) -- ------- ------- ------- ------- ------- Total Distributions........... (0.86) (2.08) (20.23) (60.52) (13.49) ------- ------- ------- ------- ------- Net Asset Value, End of Period....... $ 28.21 $ 29.02 $ 36.35 $ 46.83 $ 85.43 ======= ======= ======= ======= ======= Total Return......................... 0.43% (15.24)% 29.71% 78.29% (50.51)%(C) ------- ------- ------- ------- ------- Net Assets, End of Period (thousands)........................ $99,111 $78,157 $39,668 $ 5,082 $ 1,799 Ratio of Expenses to Average Net Assets (D)......................... 0.86% 0.86% 0.86% 0.90% 0.92%(B)(E) Ratio of Net Investment Income to Average Net Assets................. 1.78% 1.56% 1.39% 1.39% 3.35%(B)(E)
Emerging Markets Value Portfolio-Institutional Class Shares ------------------------------------------------------------------------------ Period Year Year Year Year Dec. 1, Ended Ended Ended Ended 2007 to Year Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ----------- ----------- ----------- ---------- ---------- ---------- Net Asset Value, Beginning of Period. $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 $ 31.26 ----------- ----------- ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)....................... 0.57 0.64 0.45 0.38 0.98 0.78 Net Gains (Losses) on Securities (Realizedand Unrealized)........ (0.44) (5.72) 8.01 12.41 (25.48) 14.82 ----------- ----------- ----------- ---------- ---------- ---------- Total from Investment Operations...................... 0.13 (5.08) 8.46 12.79 (24.50) 15.60 ----------- ----------- ----------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income............. (0.54) (0.54) (0.39) (0.34) (1.00) (0.63) Net Realized Gains................ (0.39) (1.63) (0.70) (2.91) (0.99) (0.38) ----------- ----------- ----------- ---------- ---------- ---------- Total Distributions........... (0.93) (2.17) (1.09) (3.25) (1.99) (1.01) ----------- ----------- ----------- ---------- ---------- ---------- Net Asset Value, End of Period....... $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36 $ 45.85 =========== =========== =========== ========== ========== ========== Total Return......................... 0.70% (14.84)% 30.04% 78.59% (55.65)%(C) 50.98% ----------- ----------- ----------- ---------- ---------- ---------- Net Assets, End of Period (thousands)........................ $16,589,619 $13,730,213 $11,542,870 $7,401,266 $3,735,580 $7,485,802 Ratio of Expenses to Average Net Assets (D)......................... 0.61% 0.61% 0.60% 0.62% 0.60%(B) 0.60% Ratio of Net Investment Income to Average Net Assets................. 2.03% 1.88% 1.40% 1.76% 2.82%(B) 2.00%
-------- + At the close of business on December 3, 2010, Class R2 Shares were converted to Class R2A Shares. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. All per share amounts and net assets values have been adjusted as a result of the conversion. (Note G) See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 134 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Emerging Markets Core Equity Portfolio --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period............... $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 $ 15.13 ---------- ---------- ---------- ---------- ---------- ---------- Income From Investment Operations Net Investment Income (Loss)(A)................. 0.41 0.43 0.30 0.25 0.43 0.35 Net Gains (Losses) on Securities (Realized and Unrealized)................................... 0.23 (2.65) 4.81 6.56 (11.27) 6.10 ---------- ---------- ---------- ---------- ---------- ---------- Total From Investment Operations............ 0.64 (2.22) 5.11 6.81 (10.84) 6.45 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income........................... (0.37) (0.36) (0.29) (0.20) (0.40) (0.32) Net Realized Gains.............................. -- -- -- -- (0.08) (0.06) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions......................... (0.37) (0.36) (0.29) (0.20) (0.48) (0.38) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period..................... $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 $ 21.20 ========== ========== ========== ========== ========== ========== Total Return....................................... 3.55% (10.59)% 31.30% 69.47% (51.93)%(C) 43.20% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands).............. $8,594,707 $5,367,473 $4,179,882 $2,455,035 $1,155,526 $1,829,466 Ratio of Expenses to Average Net Assets............ 0.68% 0.67% 0.65% 0.67% 0.65%(B) 0.65% Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................ 0.68% 0.68% 0.65% 0.67% 0.65%(B) 0.65% Ratio of Net Investment Income to Average Net Assets........................................... 2.18% 2.04% 1.63% 2.03% 2.62%(B) 1.87% Portfolio Turnover Rate............................ 1% 1% 4% 6% 3%(C) 2% ---------- ---------- ---------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 135 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 sixty-seven operational portfolios, of which twenty-seven (the "Portfolios") are included in this section of the report. The remaining operational portfolios are presented in separate reports. Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company and one invests in the Dimensional Emerging Markets Value Fund. International Small Company Portfolio invests in five portfolios within The DFA Investment Trust Company. DFA Global Real Estate Securities Portfolio invests in two portfolios of the DFA Investment Dimensions Group Inc. and World ex U.S. Value Portfolio invests in portfolios within The DFA Investment Trust Company, DFA Investment Dimensions Group Inc. and Dimensional Emerging Markets Value Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios of the DFA Investment Dimensions Group Inc.
Percentage Ownership Feeder Funds Master Funds at 10/31/12 ------------ --------------------------------------------------- ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 78% Japanese Small Company Portfolio The Japanese Small Company Series 17% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 24% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 5% Emerging Markets Portfolio The Emerging Markets Series 96% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 98% Fund of Funds ------------- International Small Company Portfolio The Japanese Small Company Series 83% The Asia Pacific Small Company Series 76% The United Kingdom Small Company Series 98% The Continental Small Company Series 95% The Canadian Small Company Series 100% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 21% DFA International Real Estate Securities Portfolio 35% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series 1% Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio -- International Core Equity Portfolio -- Emerging Markets Core Equity Portfolio --
Amounts designated as -- are less than 1%. Each feeder fund and fund of funds (collectively, "Feeder Funds") invests primarily in a corresponding master fund(s) ("Master Fund") as indicated. International Small Company Portfolio, DFA Global Real Estate Securities 136 Portfolio, World ex U.S. Value Portfolio and Selectively Hedged Global Equity Portfolio also invest in short-term temporary cash investments. In addition, Selectively Hedged Global Equity Portfolio engages in futures and forward currency contracts. The financial statements of the Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. Prior to March 30, 2007, U.S.Targeted Value Portfolio invested substantially all of its assets in shares of The U.S. Targeted Value Series. At the close of business on March 29, 2007, U.S. Targeted Value Portfolio received its pro-rata share of cash and securities from The U.S. Targeted Value Series in a complete liquidation of its interest in the Series. Effective March 30, 2007, U.S. Targeted Value Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the fund is a result of the treatment of a partnership for book purposes. The Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. Effective February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio invest directly in securities rather than through a Master Fund. See Federal Income Taxes note for more information regarding these transactions. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and the Portfolio will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize 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, 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) 137 Securities held by Enhanced U.S. Large Company 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 and DFA Real Estate Securities Portfolio (the "Domestic Equity Portfolios") and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio and Emerging Markets Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and 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, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Fund have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Debt Securities held by Enhanced U.S. Large Company Portfolio, (the "Fixed Income 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 which 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/Trustees. These valuations are generally classified as Level 2 in the hierarchy. 138 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 actively quoted markets and are categorized as Level 2 in the hierarchy. Master Fund shares held by DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, and Selectively Hedged Global Equity Portfolio are valued at their respective daily net asset value. The Feeder Funds, International Small Company Portfolio, and World ex U.S. Value Portfolio's investments reflect proportionate interest in the net assets of their corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. A summary of inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. Valuation hierarchy tables have been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolios had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Foreign Currency Translation: Securities and other assets and liabilities of Enhanced U.S. Large Company Portfolio and the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio 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 fluctuation in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, Enhanced U.S. Large Company Portfolio does isolate the effect of fluctuations in foreign currency rates 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 both financial reporting and 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 on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and Enhanced U.S. Large Company Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible "Director/Trustee" of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first 139 deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/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/affiliated investment companies are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received 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 utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, generally based on average net assets. 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. U.S. Large Cap Value Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, and World ex U.S. Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis, from their respective Master Funds, 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. In addition, 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. Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio and Emerging Markets Core Equity Portfolio are subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. Investment Advisor and Administrator: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to all Portfolios. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Funds. The Advisor provides administrative services to the Feeder Funds, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. For the year ended October 31, 2012, the Portfolios' investment advisory services 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*. 0.05% U.S. Targeted Value Portfolio*......... 0.10% U.S. Small Cap Value Portfolio*........ 0.20% 140 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*.......................... 0.03% U.S. Micro Cap Portfolio*.......................... 0.10% DFA Real Estate Securities Portfolio**............. 0.21% Large Cap International Portfolio.................. 0.25% International Core Equity Portfolio................ 0.35% DFA International Real Estate Securities Portfolio. 0.35% DFA Global Real Estate Securities Portfolio**...... 0.29% DFA International Small Cap Value Portfolio........ 0.65% International Vector Equity Portfolio.............. 0.45% World ex U.S. Value Portfolio...................... 0.47% Selectively Hedged Global Equity Portfolio......... 0.30% Emerging Markets Core Equity Portfolio............. 0.55% ** The investment advisory fee has been adjusted to reflect the actual fee paid by the Portfolios for the year ended October 31, 2012 as a result of a decrease in the investment advisory fees for DFA Real Estate Securities Portfolio and DFA Global Real Estate Securities Portfolio from 0.30% to 0.17%, and 0.35% to 0.27%, respectively effective February 28, 2012. For the year ended October 31, 2012, the Feeder Funds' and the Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio's administrative services 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*. 0.15% U.S. Large Cap Value Portfolio......... 0.15% U.S. Targeted Value Portfolio*......... 0.25% U.S. Small Cap Value Portfolio*........ 0.30% U.S. Small Cap Portfolio*.............. 0.32% U.S. Micro Cap Portfolio*.............. 0.40% International Small Company Portfolio.. 0.40% Japanese Small Company Portfolio....... 0.40% Asia Pacific Small Company Portfolio... 0.40% United Kingdom Small Company Portfolio. 0.40% Continental Small Company Portfolio.... 0.40% Emerging Markets Portfolio............. 0.40% Emerging Markets Small Cap Portfolio... 0.45% Emerging Markets Value Portfolio....... 0.40% * Effective March 30, 2007, U.S. Targeted Value Portfolio, and on February 28, 2009, Enhanced U.S. Large Company Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio no longer invest substantially all of their assets in their respective Series. Instead, the Portfolios' assets are managed directly in accordance with the Portfolios' investment objectives and strategies, pursuant to an investment management agreement between the Fund, on behalf of the Portfolios, and Dimensional, which previously was the manager of the Series' assets. The investment advisory fee paid by the Portfolios are identical to the advisory fee that was charged to the Series. 141 Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2013, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2012, 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 expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor 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.
Previously Recovery Waived of Fees/ Previously Expenses Waived Assumed Expense Fees/ Subject to Limitation Expenses Future Institutional Class Shares Amount Assumed Recovery -------------------------- ---------- ---------- ---------- U.S. Targeted Value Portfolio (1)...................... 0.50% -- -- U.S. Core Equity 1 Portfolio (2)....................... 0.23% -- -- U.S. Core Equity 2 Portfolio (2)....................... 0.26% -- -- U.S. Vector Equity Portfolio (2)....................... 0.36% -- -- DFA Real Estate Securities Portfolio (2)............... 0.18% -- $ 321 International Core Equity Portfolio (2)................ 0.49% -- -- International Small Company Portfolio (3).............. 0.45% -- -- Japanese Small Company Portfolio (4)................... 0.47% -- -- Asia Pacific Small Company Portfolio (4)............... 0.47% -- -- United Kingdom Small Company Portfolio (4)............. 0.47% -- 34 Continental Small Company Portfolio (4)................ 0.47% -- -- DFA International Real Estate Securities Portfolio (2). 0.65% -- -- DFA Global Real Estate Securities Portfolio (5)........ 0.32% -- 6,990 International Vector Equity Portfolio (2).............. 0.60% -- -- World ex U.S. Value Portfolio (9)...................... 0.60% -- 289 Selectively Hedged Global Equity Portfolio (10)........ 0.40% -- 150 Emerging Markets Core Equity Portfolio (2)............. 0.85% -- -- Class R1 Shares --------------- U.S. Targeted Value Portfolio (6)...................... 0.62% -- -- Class R2 Shares --------------- U.S. Targeted Value Portfolio (7)...................... 0.77% -- -- Emerging Markets Value Portfolio (8)................... 0.96% -- --
(1)The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Institutional Class Shares 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's Institutional Class Shares 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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2)The Advisor has contractually agreed to waive all or a portion of its advisory fee and assume each Portfolio's ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment 142 companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of each Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a Portfolio are less than the Expense Limitation Amount listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (3)The Advisor has contractually agreed to waive its administration fee and to assume the other direct expenses of the Portfolio (excluding expenses incurred through its investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the rate listed above as a percentage of average net assets (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 will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. (4)The Advisor has 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 rates listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver and Expense Assumption Agreement does not include the indirect expenses each Portfolio bears as a shareholder of its Master Fund(s). At any time that the direct expenses of a 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 will not cause the Portfolio's direct expenses to exceed the Expense Limitation Amount, as listed above. (5)Effective February 28, 2012, the Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through its investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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, 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 Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Prior to February 28, 2012, the Advisor contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other investment companies managed by the Advisor 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 the Portfolio to 0.55% of average net assets on an annualized basis. At any time that the annualized Portfolio Expenses of the Portfolio were less than 0.55% of average net assets on an annualized basis, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery did not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount then in effect. The Advisor voluntarily agreed to waive all or a portion of its advisory fee to the extent necessary to limit the total advisory fees paid by the Portfolio to the Advisor directly and indirectly (the proportionate share of the advisory fees paid by the Portfolio through its investment in other funds managed by the Advisor) to 0.35% of the Portfolio's average net assets on an annualized basis. (6)The Advisor has contractually agreed to waive all or a portion of its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R1 Shares 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 Class R1 Shares' 143 Portfolio Expenses 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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (7)The Advisor has contractually agreed to waive all or a portion of its administration fee and advisory fee and to assume the Portfolio's direct and indirect expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses of the Class R2 Shares 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 Class R2 Shares' Portfolio Expenses 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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (8)The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding management fees and custodian fees, and excluding any applicable 12b-1 fees) to the extent necessary to limit the expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") of the Class R2 shares 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, 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 Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (9)The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.47% to the extent necessary to offset the proportionate share of the advisory fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the advisory fee that remains payable by the Portfolio (i.e. the advisory fee remaining after the proportionate share of the Master Funds' advisory services 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 any applicable 12b-1 fees) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed 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 pursuant to this paragraph 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, the Advisor retains the right to seek reimbursement for the amount of any Remaining Management Fees previously waived to the extent that such reimbursement will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount. (10)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 Funds. In addition, under the Fee Waiver and Expense Assumption 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 any applicable 12b-1 fees) ("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 a 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 will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. Earned Income Credit: In addition, 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 144 the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2012, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Large Cap International Portfolio.................. $ 8 International Core Equity Portfolio................ 25 DFA International Real Estate Securities Portfolio. 9 DFA International Small Cap Value Portfolio........ 38 International Vector Equity Portfolio.............. 3 Emerging Markets Core Equity Portfolio............. 97
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $234 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 2012, 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 (amounts in thousands): Enhanced U.S. Large Company Portfolio............. $ 6 U.S. Large Cap Value Portfolio.................... 205 U.S. Targeted Value Portfolio..................... 53 U.S. Small Cap Value Portfolio.................... 200 U.S. Core Equity 1 Portfolio...................... 73 U.S. Core Equity 2 Portfolio...................... 130 U.S. Vector Equity Portfolio...................... 41 U.S. Small Cap Portfolio.......................... 90 U.S. Micro Cap Portfolio.......................... 102 DFA Real Estate Securities Portfolio.............. 69 Large Cap International Portfolio................. 47 International Core Equity Portfolio............... 120 International Small Company Portfolio............. 142 Japanese Small Company Portfolio.................. 5 Asia Pacific Small Company Portfolio.............. 3 United Kingdom Small Company Portfolio............ 1 Continental Small Company Portfolio............... 4 DFA International Real Estate Securities Portfolio 23 DFA Global Real Estate Securities Portfolio....... 13 DFA International Small Cap Value Portfolio....... 220 International Vector Equity Portfolio............. 8 World ex U.S. Value Portfolio..................... -- Selectively Hedged Global Equity Portfolio........ -- Emerging Markets Portfolio........................ 65 Emerging Markets Small Cap Portfolio.............. 37 Emerging Markets Value Portfolio.................. 246 Emerging Markets Core Equity Portfolio............ 91
145 E. Purchases and Sales of Securities: For the year ended October 31, 2012, the Portfolios made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. Government Other Investment Securities Securities ----------------- --------------------- Purchases Sales Purchases Sales --------- ------- ---------- ---------- Enhanced U.S. Large Company Portfolio $ 30,470 $31,289 $ 129,078 $ 93,432 U.S. Targeted Value Portfolio........ -- -- 700,680 568,136 U.S. Small Cap Value Portfolio....... -- -- 1,009,884 1,408,766 U.S. Core Equity 1 Portfolio......... -- -- 777,696 149,154 U.S. Core Equity 2 Portfolio......... -- -- 614,037 323,458 U.S. Vector Equity Portfolio......... -- -- 169,789 259,744 U.S. Small Cap Portfolio............. -- -- 934,088 650,227 U.S. Micro Cap Portfolio............. -- -- 503,779 722,201 DFA Real Estate Securities Portfolio. -- -- 291,548 1,945 Large Cap International Portfolio.... -- -- 362,935 67,624 International Core Equity Portfolio.. -- -- 1,220,075 272,785 DFA International Real Estate Securities Portfolio............... -- -- 311,637 41,432 DFA International Small Cap Value Portfolio.......................... -- -- 2,041,806 1,382,840 International Vector Equity Portfolio -- -- 159,914 26,835 Emerging Markets Core Equity Portfolio.......................... -- -- 3,141,187 101,178
For the year ended October 31, 2012, the Fund of Funds made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DFA Global Real Estate Securities Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio............... $ 520,990 $ 777,963 $ 203,609 $ 9,377 $ 19,056 -- DFA International Real Estate Securities Portfolio. 346,939 531,474 117,734 5,823 17,980 -- World ex U.S. Value Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of Affiliated Investment Company 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains DFA International Small Cap Value Portfolio........ $ 3,724 $ 4,703 $ 1,070 $ 266 $ 50 $80 Selectively Hedged Global Equity Portfolio ----------------------------------------------------------------- Balance at Balance at Dividend Distributions of 10/31/2011 10/31/2012 Purchases Sales Income Realized Gains Affiliated Investment Companies ---------- ---------- --------- ------- -------- ---------------- U.S. Core Equity 2 Portfolio....................... -- 14,297 $ 14,431 $ 1,451 $ 157 -- International Core Equity Portfolio................ -- 12,942 13,834 1,616 291 -- Emerging Markets Core Equity Portfolio............. -- 6,554 6,915 601 96 --
146 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 these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, net foreign currency gains/losses, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes, distributions received from real estate investment trusts, expiration of capital loss carryovers and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) --------------- -------------- -------------- Enhanced U.S. Large Company Portfolio..................... -- $ 1,418 $ (1,418) U.S. Large Cap Value Portfolio.. -- -- -- U.S. Targeted Value Portfolio... $14,816 (1,983) (12,833) U.S. Small Cap Value Portfolio.. 38,929 (4,198) (34,731) U.S. Core Equity 1 Portfolio.... 3,210 (3,210) -- U.S. Core Equity 2 Portfolio.... 5,891 (3,883) (2,008) U.S. Vector Equity Portfolio.... 2,907 (2,567) (340) U.S. Small Cap Portfolio........ 16,124 (2,807) (13,317) U.S. Micro Cap Portfolio........ 17,306 (2,586) (14,720) DFA Real Estate Securities Portfolio..................... (4,553) 30,065 (25,512) Large Cap International Portfolio..................... -- 168 (168) International Core Equity Portfolio..................... 3,294 6,514 (9,808) International Small Company Portfolio..................... 7,038 8,475 (15,513) Japanese Small Company Portfolio (3,801) 156 3,645 Asia Pacific Small Company Portfolio..................... -- 1,613 (1,613) United Kingdom Small Company Portfolio..................... -- 6 (6) Continental Small Company Portfolio..................... -- 143 (143) DFA International Real Estate Securities Portfolio.......... 6,163 (5,018) (1,145) DFA Global Real Estate Securities Portfolio.......... 333 (333) -- DFA International Small Cap Value Portfolio............... 12,583 3,318 (15,901) International Vector Equity Portfolio..................... 603 261 (864) World ex U.S. Value Portfolio... -- (2) 2 Selectively Hedged Global Equity Portfolio.............. (2) 164 (162) Emerging Markets Portfolio...... 3,533 (2,668) (865) Emerging Markets Small Cap Portfolio..................... 4,566 (1,171) (3,395) Emerging Markets Value Portfolio 26,372 (14,251) (12,121) Emerging Markets Core Equity Portfolio..................... 3,513 (4,796) 1,283
147 The tax character of dividends and distributions declared and paid during the year ended October 31, 2011 and the year ended October 31, 2012 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- Enhanced U.S. Large Company Portfolio 2011.................................. $ 270 -- $ 270 2012.................................. 2,785 -- 2,785 U.S. Large Cap Value Portfolio 2011.................................. 117,051 -- 117,051 2012.................................. 150,153 -- 150,153 U.S. Targeted Value Portfolio 2011.................................. 19,648 $ 6,119 25,767 2012.................................. 27,304 31,976 59,280 U.S. Small Cap Value Portfolio 2011.................................. 47,016 11,920 58,936 2012.................................. 56,139 122,752 178,891 U.S. Core Equity 1 Portfolio 2011.................................. 49,822 -- 49,822 2012.................................. 76,278 -- 76,278 U.S. Core Equity 2 Portfolio 2011.................................. 84,798 -- 84,798 2012.................................. 103,512 2,008 105,520 U.S. Vector Equity Portfolio 2011.................................. 19,719 -- 19,719 2012.................................. 29,237 337 29,574 U.S. Small Cap Portfolio 2011.................................. 36,302 2,974 39,276 2012.................................. 44,580 14,276 58,856 U.S. Micro Cap Portfolio 2011.................................. 23,667 -- 23,667 2012.................................. 33,018 14,720 47,738 DFA Real Estate Securities Portfolio 2011.................................. 40,246 -- 40,246 2012.................................. 103,653 -- 103,653 Large Cap International Portfolio 2011.................................. 54,107 -- 54,107 2012.................................. 60,808 -- 60,808 International Core Equity Portfolio 2011.................................. 165,946 -- 165,946 2012.................................. 179,492 -- 179,492
148
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- International Small Company Portfolio 2011................................... $188,546 $ 5,851 $194,397 2012................................... 169,495 110,049 279,544 Japanese Small Company Portfolio 2011................................... 2,305 -- 2,305 2012................................... 4,541 -- 4,541 Asia Pacific Small Company Portfolio 2011................................... 6,964 -- 6,964 2012................................... 9,333 -- 9,333 United Kingdom Small Company Portfolio 2011................................... 1,071 -- 1,071 2012................................... 992 -- 992 Continental Small Company Portfolio 2011................................... 3,562 -- 3,562 2012................................... 2,958 -- 2,958 DFA International Real Estate Securities Portfolio 2011................................... 107,338 -- 107,338 2012................................... 60,194 -- 60,194 DFA Global Real Estate Securities Portfolio 2011................................... 41,782 -- 41,782 2012................................... 26,050 -- 26,050 DFA International Small Cap Value Portfolio 2011................................... 190,869 143,816 334,685 2012................................... 206,370 131,063 337,433 International Vector Equity Portfolio 2011................................... 12,224 2,659 14,883 2012................................... 14,733 6,546 21,279 World ex U.S. Value Portfolio 2011................................... 1,025 195 1,220 2012................................... 1,438 -- 1,438 Selectively Hedged Global Equity Portfolio 2012................................... 534 -- 534 Emerging Markets Portfolio 2011................................... 45,589 141,595 187,184 2012................................... 51,664 91,664 143,328 Emerging Markets Small Cap Portfolio 2011................................... 36,754 61,095 97,849 2012................................... 42,163 40,014 82,177
149
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total --------------------- ------------- ---------- Emerging Markets Value Portfolio 2011................................... $ 302,552 $ 486,583 $ 789,135 2012................................... 300,146 202,987 503,133 Emerging Markets Core Equity Portfolio 2011................................... 89,989 -- 89,989 2012................................... 143,349 -- 143,349
Selectively Hedged Global Equity Portfolio commenced operations on November 14, 2011 and did not pay any distributions for the year ended October 31, 2011. At October 31, 2012, 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 utilization 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. Targeted Value Portfolio...................... $ 2,730 $12,108 $ 14,838 U.S. Small Cap Value Portfolio..................... 5,603 33,373 38,976 U.S. Core Equity 1 Portfolio....................... 3,212 -- 3,212 U.S. Core Equity 2 Portfolio....................... 3,889 2,008 5,897 U.S. Vector Equity Portfolio....................... 2,572 337 2,909 U.S. Small Cap Portfolio........................... 3,324 14,276 17,600 U.S. Micro Cap Portfolio........................... 2,595 14,720 17,315 DFA Real Estate Securities Portfolio............... 3,870 -- 3,870 International Core Equity Portfolio................ 3,294 -- 3,294 International Small Company Portfolio.............. 5,610 1,428 7,038 DFA International Real Estate Securities Portfolio. 6,164 -- 6,164 DFA Global Real Estate Securities Portfolio........ 334 -- 334 DFA International Small Cap Value Portfolio........ 7,741 4,842 12,583 International Vector Equity Portfolio.............. 529 73 602 Emerging Markets Portfolio......................... 2,219 1,313 3,532 Emerging Markets Small Cap Portfolio............... 1,663 2,902 4,565 Emerging Markets Value Portfolio................... 12,592 13,781 26,373 Emerging Markets Core Equity Portfolio............. 3,512 -- 3,512
At October 31, 2012, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Earnings Short-Term Long-Term Loss (Accumulated Capital Gains Capital Gains Carry forward Losses) -------------- ------------- ------------- ------------- Enhanced U.S. Large Company Portfolio. $ 829 -- $ (46,941) $ (46,112) U.S. Large Cap Value Portfolio........ 25,672 -- (1,332,489) (1,306,817) U.S. Targeted Value Portfolio......... 15,300 $162,041 -- 177,341
150
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Earnings Short-Term Long-Term Loss (Accumulated Capital Gains Capital Gains Carry forward Losses) -------------- ------------- ------------- ------------- U.S. Small Cap Value Portfolio..................... $ 19,961 $ 380,033 -- $ 399,994 U.S. Core Equity 1 Portfolio....................... 10,765 -- $ (13,834) (3,069) U.S. Core Equity 2 Portfolio....................... 16,557 55,731 -- 72,288 U.S. Vector Equity Portfolio....................... 2,760 3,354 -- 6,114 U.S. Small Cap Portfolio........................... 14,498 228,599 -- 243,097 U.S. Micro Cap Portfolio........................... 5,022 176,210 -- 181,232 DFA Real Estate Securities Portfolio............... 23,668 -- (206,280) (182,612) Large Cap International Portfolio.................. 11,172 -- (200,200) (189,028) International Core Equity Portfolio................ 30,479 -- (102,483) (72,004) International Small Company Portfolio.............. 41,410 38,970 -- 80,380 Japanese Small Company Portfolio................... 2,654 -- (73,701) (71,047) Asia Pacific Small Company Portfolio............... 6,418 -- (24,578) (18,160) United Kingdom Small Company Portfolio............. 285 -- (2,141) (1,856) Continental Small Company Portfolio................ 398 -- (28,845) (28,447) DFA International Real Estate Securities Portfolio. 169,177 -- (180,698) (11,521) DFA Global Real Estate Securities Portfolio........ 11,635 -- (1,115) 10,520 DFA International Small Cap Value Portfolio........ 49,165 116,761 -- 165,926 International Vector Equity Portfolio.............. 2,688 2,006 -- 4,694 World ex U.S. Value Portfolio...................... 391 -- (5,842) (5,451) Selectively Hedged Global Equity Portfolio......... 113 56 -- 169 Emerging Markets Portfolio......................... 8,397 30,480 -- 38,877 Emerging Markets Small Cap Portfolio............... 20,186 92,087 -- 112,273 Emerging Markets Value Portfolio................... 80,287 344,510 -- 424,797 Emerging Markets Core Equity Portfolio............. 33,354 -- (41,205) (7,851)
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. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
2013 2014 2015 2016 2017 2018 2019 Unlimited Total ------ ------ ------ ------- ---------- ------- ------- --------- ---------- Enhanced U.S. Large Company Portfolio....................... -- -- -- $46,941 -- -- -- -- $ 46,941 U.S. Large Cap Value Portfolio.... -- -- -- -- $1,332,489 -- -- -- 1,332,489 U.S. Core Equity 1 Portfolio...... -- -- -- -- 13,834 -- -- -- 13,834 DFA Real Estate Securities Portfolio....................... -- -- -- 72,400 62,969 $44,388 $26,523 -- 206,280 Large Cap International Portfolio....................... -- -- -- 19,004 135,393 14,311 12,549 $18,943 200,200 International Core Equity Portfolio....................... -- -- -- -- 53,177 -- -- 49,306 102,483 Japanese Small Company Portfolio....................... $3,055 $2,451 $8,004 23,057 13,952 12,208 5,543 5,431 73,701 Asia Pacific Small Company Portfolio....................... -- -- -- 16,317 8,261 -- -- -- 24,578 United Kingdom Small Company Portfolio....................... -- -- -- -- 1,867 -- -- 274 2,141 Continental Small Company Portfolio....................... -- -- -- 13,544 7,224 5,252 -- 2,825 28,845 DFA International Real Estate Securities Portfolio......................... -- -- 46 13,446 34,576 38,689 69,466 24,475 180,698 DFA Global Real Estate Securities Portfolio....................... -- -- -- -- -- 1,091 -- 24 1,115 World ex U.S. Value Portfolio..... -- -- -- -- -- -- 5,842 -- 5,842 Emerging Markets Core Equity Portfolio....................... -- -- -- 7,080 26,445 -- -- 7,680 41,205
151 During the year ended October 31, 2012, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Enhanced U.S. Large Company Portfolio. $ 24,140 U.S. Large Cap Value Portfolio........ 318,345 U.S. Core Equity 1 Portfolio.......... 35,374 U.S. Core Equity 2 Portfolio.......... 15,761 U.S. Vector Equity Portfolio.......... 36,502 U.S. Micro Cap Portfolio.............. 34,914 DFA Real Estate Securities Portfolio.. 9,644 Asia Pacific Small Company Portfolio.. 2,201 World ex U.S. Value Portfolio......... 146
At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- Enhanced U.S. Large Company Portfolio.............. $ 186,486 $ 2,903 $ (765) $ 2,138 U.S. Large Cap Value Portfolio..................... 6,140,128 2,467,500 (271,721) 2,195,779 U.S. Targeted Value Portfolio...................... 3,026,575 667,745 (239,644) 428,101 U.S. Small Cap Value Portfolio..................... 7,183,358 1,842,772 (1,069,174) 773,598 U.S. Core Equity 1 Portfolio....................... 4,847,550 1,068,416 (319,250) 749,166 U.S. Core Equity 2 Portfolio....................... 6,886,186 1,646,567 (655,798) 990,769 U.S. Vector Equity Portfolio....................... 2,050,758 486,177 (243,659) 242,518 U.S. Small Cap Portfolio........................... 4,877,786 1,157,715 (527,342) 630,373 U.S. Micro Cap Portfolio........................... 3,406,639 1,090,293 (597,410) 492,883 DFA Real Estate Securities Portfolio............... 3,265,231 1,218,798 (217,008) 1,001,790 Large Cap International Portfolio.................. 2,174,307 444,225 (303,931) 140,294 International Core Equity Portfolio................ 7,518,294 944,964 (1,231,408) (286,444) International Small Company Portfolio.............. 6,375,771 1,299,558 (1,248,452) 51,106 Japanese Small Company Portfolio................... 367,232 76,200 (149,345) (73,145) Asia Pacific Small Company Portfolio............... 231,922 77,591 (71,231) 6,360 United Kingdom Small Company Portfolio............. 24,456 29,706 (22,840) 6,866 Continental Small Company Portfolio................ 109,207 80,760 (83,614) (2,854) DFA International Real Estate Securities Portfolio 1,753,188 31,604 (118,544) (86,940) DFA Global Real Estate Securities Portfolio........ 1,035,537 305,845 (29,777) 276,068 DFA International Small Cap Value Portfolio........ 9,781,836 1,487,653 (2,230,461) (742,808) International Vector Equity Portfolio.............. 572,687 108,890 (61,389) 47,501 World ex U.S. Value Portfolio...................... 55,484 2,720 (991) 1,729 Selectively Hedged Global Equity Portfolio......... 32,594 2,557 (278) 2,279 Emerging Markets Portfolio......................... 1,811,436 1,146,786 (159,966) 986,820 Emerging Markets Small Cap Portfolio............... 2,623,683 604,775 (319,549) 285,226 Emerging Markets Value Portfolio................... 17,049,862 2,580,395 (2,935,153) (354,758) Emerging Markets Core Equity Portfolio............. 8,662,464 1,523,526 (889,270) 634,256
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. 152 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 Portfolio's tax postions and has concluded that no additional provision for income tax is required in any Portfolio's financial statements. No Portfolio 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 of the Portfolio's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On October 22, 2008, The U.S. Micro Cap Series and The U.S. Small Cap Value Series and on October 25, 2008 The U.S. Small Cap Series, each a master fund in a RIC/RIC master-feeder structure, each with a RIC feeder (the U.S. Micro Cap Portfolio, U.S. Small Cap Value Portfolio and U.S. Small Cap Portfolio, respectively) (the "Portfolios"), having 100% investment in their respective master fund, made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S) 301.7701-3, to change their federal entity classifications from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, each master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owners, the respective Portfolios (the RIC feeders), with the respective Portfolios deemed the surviving entities. The final tax year end of the master funds was October 21, 2008 for The U.S. Micro Cap Series and The U.S. Small Cap Value Series and October 24, 2008 for The U.S. Small Cap Series. For Federal income tax purposes, pursuant to Internal Revenue Code (the "IRC") (S)337(a), each of the master funds recognized no gain or loss and, pursuant to IRC (S)332(a), each of the Portfolios recognized no gain or loss on the deemed liquidation. However, pursuant to IRC (S)332 (c), each of the aforementioned Portfolios recognized the master fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC (S)334(b)(1) and (S)1223, each of the Portfolios maintained each respective master fund's holding period and tax basis in the assets deemed transferred to the respective Portfolio. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC (S)336(a), the master fund recognized a loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master fund. For tax purposes, pursuant to IRC (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008. On November 1, 2008, The Enhanced U.S. Large Company Series, a master fund in a RIC/RIC master-feeder structure with the Enhanced U.S. Large Company Portfolio having 100% investment in the respective master fund, made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change the Series' federal entity classification from a corporation taxable as a regulated investment company to a disregarded entity. As a result of this election for tax purposes, the master fund is deemed to have liquidated and distributed all of its assets and liabilities to its owner, the Portfolio, with the Portfolio deemed the surviving entity. The final tax year end of the master fund was October 31, 2008. For Federal income tax purposes, pursuant to IRC (S)337(a), the master fund did not recognize any gain or loss and, pursuant to IRC (S)332(a), the Portfolio did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC (S)332(c), the Portfolio recognized the master fund's deemed dividend, which was distributed as part of the deemed liquidating distribution, as taxable income. Pursuant to IRC (S)334(b)(1) and (S)1223, the Portfolio maintained its respective master fund's holding period and tax basis in the assets deemed transferred to the Portfolio. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure with one RIC feeder (Emerging Markets Value Portfolio) and other direct client investors, made a "Check-the-Box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity 153 classification from a corporation taxable as a regulated investment company to a partnership. DEM II will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund had a shareholder owning 80% or more of the fund's shares, and also had shareholders owning less than 80%, the transaction created a non-taxable transaction, pursuant to IRC (S)332, for those owning more than 80%, and a taxable transaction, pursuant to IRC (S)331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of the master fund was October 31, 2009. For federal income tax purposes, pursuant to IRC (S)336(a), the master fund recognized gain or loss relative to the investment of the less than 80% shareholders as if the master fund's investment securities were sold to those shareholders and, pursuant to IRC (S)331, each of those shareholders recognized gain or loss as if it liquidated its investment in the master. Pursuant to IRC (S)334(a), each of these shareholders took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. In regards to the shareholder owning 80% or more of the master fund, pursuant to IRC (S)332(a), the shareholder did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC (S)332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it was utilized by the master fund to satisfy its dividends paid deduction for the tax year, had to be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to IRC (S)334(b)(1) and (S)1223, the 80% or greater shareholder's basis and holding period in the securities received in liquidation is the same as it was in the possession of the master fund. As a result of the transaction, Dimensional Emerging Markets Value Fund recognized a $104,402,506 and ($16,523) capital gain and currency loss respectively, for the tax year ended October 31, 2009. 154 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Year Year Ended Ended Oct. 31, 2012 Oct. 31, 2011 -------------------- -------------------- Amount Shares Amount Shares ----------- ------- ----------- ------- U.S. Targeted Value Portfolio Class R1 Shares Shares Issued..................................... $ 5,787 353 $ 9,612 586 Shares Issued in Lieu of Cash Distributions....... 730 48 362 23 Shares Redeemed................................... (7,953) (486) (7,533) (462) Shares Reduced by Reverse Stock Split............. -- -- -- (2) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ (1,436) (85) $ 2,441 145 =========== ======= =========== ======= Class R2 Shares Shares Issued..................................... $ 4,727 288 $ 9,524 636 Shares Issued in Lieu of Cash Distributions....... 162 11 56 4 Shares Redeemed................................... (4,413) (273) (5,191) (324) Shares Reduced by Reverse Stock Split............. -- -- -- (7) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 476 26 $ 4,389 309 =========== ======= =========== ======= Institutional Class Shares Shares Issued..................................... $ 772,443 47,901 $ 905,224 55,728 Shares Issued in Lieu of Cash Distributions....... 39,875 2,618 20,970 1,322 Shares Redeemed................................... (649,785) (39,847) (731,188) (45,320) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 162,533 10,672 $ 195,006 11,730 =========== ======= =========== ======= Emerging Markets Value Portfolio Class R2 Shares Shares Issued..................................... $ 61,477 2,199 $ 95,176 3,360 Shares Issued in Lieu of Cash Distributions....... 2,784 106 2,336 68 Shares Redeemed................................... (40,795) (1,486) (50,507) (1,599) Shares Reduced by Conversion of Shares............ -- -- -- (19,608) ----------- ------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 23,466 819 $ 47,005 (17,779) =========== ======= =========== ======= Institutional Class Shares Shares Issued..................................... $ 5,047,163 179,634 $ 6,396,694 187,544 Shares Issued in Lieu of Cash Distributions....... 436,347 16,644 709,030 20,853 Shares Redeemed................................... (2,278,812) (81,493) (1,754,714) (53,557) ----------- ------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 3,204,698 114,785 $ 5,351,010 154,840 =========== ======= =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of U.S. Targeted Value Portfolio's Class R1 and Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R1 Shares received one share for every 1.469 shares held and each shareholder of Class R2 Shares received one share for every 1.394 shares held. The purpose of the reverse split was to reduce the number of Class R1 Shares and Class R2 Shares, thereby increasing the net asset value of each Class R1 Share and Class R2 Share outstanding in order to more closely align the net asset values with the net asset value 155 of U.S. Targeted Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R1 Shares and Class R2 Shares. The Board of Directors of the Fund authorized the conversion of the Class R2 Shares of Emerging Markets Value Portfolio to the Class R2A Shares. The Class R2 Shares of Emerging Markets Value Portfolio ceased to be offered and available for purchase upon the close of business on December 3, 2010. Following the conversion, shareholders and investors purchased and redeemed Class R2A Shares of the Portfolio. The value of a shareholder's investment in the Portfolio was not impacted by the conversion, however, a shareholder received fewer Class R2A Shares than the number of Class R2 Shares held at the time of the conversion because the Class R2A Shares had a higher net asset value per share. Effective February 28, 2011, Class R2A Shares were renamed to Class R2 Shares. The per share data in the financial highlights prior to the year ended October 31, 2011 have been retroactively restated to reflect the conversion. Additionally, the capital share activity in the Statement of Changes in Net Assets and capital share activity earlier in this note shows the reduction of shares as a result of the conversion. H. Financial Instruments: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest, either directly or indirectly through their investment 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: 1. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 3. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio may enter into 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 Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2012, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/(loss) is reflected in the accompanying financial statements (amounts in thousands): 156 Enhanced U.S. Large Company Portfolio*
Unrealized Foreign Value at Exchange Settlement Currency Contract October 31, Gain Date Amount** Currency Amount 2012 (Loss) ---------- -------- ------------------ -------- ----------- ---------- 11/29/12 (8,956) Canadian Dollars $ (9,032) $ (8,962) $ 70 12/04/12 (32,449) Euro (40,826) (42,071) (1,245) 12/04/12 (3,232) Euro (4,216) (4,190) 26 11/30/12 (2,638) UK Pound Sterling (4,225) (4,257) (32) -------- -------- ------- $(58,299) $(59,480) $(1,181) ======== ======== =======
Selectively Hedged Global Equity Portfolio*
Unrealized Foreign Value at Exchange Settlement Currency Contract October 31, Gain Date Amount** Currency Amount 2012 (Loss) ---------- -------- ------------------ -------- ----------- ---------- 01/03/13 (704) Danish Kroner $ (123) $ (123) -- 11/05/12 (2,060) Euro (2,557) (2,670) $(113) 11/05/12 2,060 Euro 2,672 2,672 -- 12/21/12 (2,205) Euro (2,861) (2,861) -- 12/06/12 (7,135) Hong Kong Dollars (920) (921) (1) 12/06/12 7,135 Hong Kong Dollars 921 921 -- 11/05/12 (169,889) Japanese Yen (2,175) (2,128) 47 11/05/12 169,889 Japanese Yen 2,127 2,127 -- 12/21/12 (174,983) Japanese Yen (2,192) (2,192) -- 11/05/12 (696) Swiss Francs (720) (747) (27) 11/05/12 696 Swiss Francs 748 748 -- 12/21/12 (719) Swiss Francs (773) (773) -- ------- ------- ----- $(5,853) $(5,947) $ (94) ======= ======= =====
* During the year ended October 31, 2012, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average cost basis contract amount of forward currency contracts was $(45,176) and $(4,956) (in thousands), respectively. ** Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sales contract. 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. Futures Contracts: Certain Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Additionally, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio uses stock index futures to hedge against changes in equity securities' prices and to gain exposure to the S&P 500 Index(R) and S&P 500 Index(R) Emini, respectively, in the normal course of pursuing their investment objectives. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government securities to a broker, 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 157 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 entering 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 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. At October 31, 2012, the following Portfolios had outstanding futures contracts (dollar amounts in thousands):
Approximate Expiration Number of Contract Unrealized Cash Description Date Contracts* Value Gain (Loss) Collateral ----------------------- ---------- ---------- -------- ----------- ----------- Enhanced U.S. Large Company Portfolio....... S&P 500 Index(R) 12/21/2012 519 $182,532 $2,826 -- Selectively Hedged Global Equity Portfolio. S&P 500 Index(R) Emini 12/21/2012 13 914 (17) $46
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2012, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount of outstanding futures contracts were $173,800 and $798 (in thousands), respectively. The following is a summary of the location of derivatives on the Portfolios' Statements of Assets and Liabilities as of October 31, 2012:
Location on the Statements of Assets and Liabilities ------------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- --------------------------- --------------------------- Foreign exchange contracts Unrealized Gain on Unrealized Loss on Forward Forward Currency Contracts Currency Contracts Equity contracts Payables: Futures Margin Variation
The following is a summary of the Portfolios' derivative instrument holdings categorized by primary risk exposure as of October 31, 2012 (amounts in thousands):
Asset Derivatives Value ----------------------------- Total Value at Foreign Exchange Equity October 31, 2012 Contracts Contracts ---------------- ---------------- --------- Enhanced U.S. Large Company Portfolio........................ $ 2,922 $96 $2,826* Selectively Hedged Global Equity Portfolio........................ 30 47 (17)* Liability Derivatives Value ----------------------------- Total Value at Foreign Exchange Equity October 31, 2012 Contracts Contracts ---------------- ---------------- --------- Enhanced U.S. Large Company Portfolio........................ $(1,277) $(1,277) -- Selectively Hedged Global Equity Portfolio........................ (141) (141) --
* Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. 158 The following is a summary of the location on the Portfolios' Statements of Operations of realized and change in unrealized gains and losses from the Portfolios' derivative instrument holdings through the year ended October 31, 2012 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- --------------------------------------------------------------------------------------------- Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
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, 2012 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio...... $32,394 $1,826 $30,568 U.S. Targeted Value Portfolio*............. 3,336 -- 3,336 U.S. Small Cap Value Portfolio*............ 954 -- 954 U.S. Vector Equity Portfolio*.............. (850) -- (850) U.S. Micro Cap Portfolio*.................. 385 -- 385 DFA Real Estate Securities Portfolio*...... (46) -- (46) Selectively Hedged Global Equity Portfolio. 271 161 110 Emerging Markets Core Equity Portfolio*.... 1,190 -- 1,190 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ------------------------------- Foreign Exchange Equity Total Contracts Contracts ------- --------- --------- Enhanced U.S. Large Company Portfolio...... $(7,466) $ (880) $(6,586) U.S. Small Cap Value Portfolio............. (536) -- (536) Selectively Hedged Global Equity Portfolio. (111) (94) (17)
* As of October 31, 2012, there were no futures contracts outstanding. During the year ended October 31, 2012, the Portfolios had limited activity in futures contracts. I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 2012. 159 The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 2012, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Targeted Value Portfolio...................... 0.85% $ 6,627 43 $ 7 $24,575 U.S. Small Cap Value Portfolio..................... 0.87% 6,351 51 8 30,792 U.S. Core Equity 2 Portfolio....................... 0.87% 2,328 8 -- 6,239 U.S. Vector Equity Portfolio....................... 0.85% 2,358 15 1 4,214 U.S. Small Cap Portfolio........................... 0.90% 6,755 13 2 12,219 U.S. Micro Cap Portfolio........................... 0.87% 4,146 47 5 9,570 DFA Real Estate Securities Portfolio............... 0.82% 722 7 -- 2,460 Large Cap International Portfolio.................. 0.87% 1,931 32 2 4,848 International Core Equity Portfolio................ 0.82% 15,473 22 8 33,740 International Small Company Portfolio.............. 0.88% 2,384 24 1 11,057 DFA International Real Estate Securities Portfolio. 0.83% 4,454 22 2 16,074 DFA Global Real Estate Securities Portfolio........ 0.83% 4,185 2 -- 7,895 DFA International Small Cap Value Portfolio........ 0.83% 8,844 21 4 44,344 International Vector Equity Portfolio.............. 0.85% 947 56 1 4,219 World ex U.S. Value Portfolio...................... 0.87% 124 30 -- 1,777 Emerging Markets Core Equity Portfolio............. 0.84% 3,380 2 -- 3,993
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2012. J. Securities Lending: As of October 31, 2012, some of the Portfolios had securities on loan to brokers/dealers, for which each Portfolio received cash collateral. In addition, Emerging Markets Core Equity Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $189,066 (in thousands). 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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, and cash collateral being maintained by the borrower 160 is insufficient to cover the value of loaned securities and provided 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. Subject to their stated investment policies, each 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. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repuchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, 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 to be taxed at qualified dividend income rates. K. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in the amount of 0.10% and Class R2 Shares pay a shareholder servicing fee in the amount of 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. L. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. In-Kind Redemptions: In accordance with guidelines described in the Portfolios' prospectus, the Portfolios may distribute portfolio securities rather than cash as payment for a redemption of fund shares (in-kind redemption). For financial reporting purposes, a Portfolio recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. During the year ended October 31, 2011, U.S. Small Cap Portfolio realized net gains of in-kind redemptions in the amount of $126,527 (amount in thousands). N. Recently Issued Accounting Standards: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 161 O. Other: At October 31, 2012, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. 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 Shares................ 3 76% U.S. Large Cap Value Portfolio -- Institutional Class Shares....................... 3 76% U.S. Targeted Value Portfolio -- Class R1 Shares................................... 1 93% U.S. Targeted Value Portfolio -- Class R2 Shares................................... 2 57% U.S. Targeted Value Portfolio -- Institutional Class Shares........................ 2 54% U.S. Small Cap Value Portfolio -- Institutional Class Shares....................... 2 51% U.S. Core Equity 1 Portfolio -- Institutional Class Shares......................... 3 67% U.S. Core Equity 2 Portfolio -- Institutional Class Shares......................... 3 64% U.S. Vector Equity Portfolio -- Institutional Class Shares......................... 4 91% U.S. Small Cap Portfolio -- Institutional Class Shares............................. 3 51% U.S. Micro Cap Portfolio -- Institutional Class Shares............................. 3 65% DFA Real Estate Securities Portfolio -- Institutional Class Shares................. 3 75% Large Cap International Portfolio -- Institutional Class Shares.................... 2 65% International Core Equity Portfolio -- Institutional Class Shares.................. 2 58% International Small Company Portfolio -- Institutional Class Shares................ 2 44% Japanese Small Company Portfolio -- Institutional Class Shares..................... 1 68% Asia Pacific Small Company Portfolio -- Institutional Class Shares................. 2 79% United Kingdom Small Company Portfolio -- Institutional Class Shares............... 2 85% Continental Small Company Portfolio -- Institutional Class Shares.................. 4 92% DFA International Real Estate Securities Portfolio -- Institutional Class Shares .. 3 82% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares.......... 3 90% DFA International Small Cap Value Portfolio -- Institutional Class Shares.......... 2 50% International Vector Equity Portfolio -- Institutional Class Shares................ 3 87% World ex U.S. Value Portfolio -- Institutional Class Shares........................ 3 76% Selectively Hedged Global Equity Portfolio......................................... 1 87% Emerging Markets Portfolio -- Institutional Class Shares........................... 3 67% Emerging Markets Small Cap Portfolio -- Institutional Class Shares................. 2 37% Emerging Markets Value Portfolio -- Class R2 Shares................................ 3 78% Emerging Markets Value Portfolio -- Institutional Class Shares..................... 1 17% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............... 2 54%
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. On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold 162 their shares for $34 per share in cash, such as The U.S. Large Cap Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits 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 they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those 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 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 taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. P. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 163 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of the Portfolios, as defined, and Board of Directors of DFA Investment Dimensions Group Inc.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Enhanced U.S. Large Company 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, Large Cap International Portfolio, International Core Equity Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, and Emerging Markets Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at October 31, 2012, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 164 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHART DFA Commodity Strategy Portfolio vs. Dow Jones-UBS Commodity Index Total Return November 9, 2010-October 31, 2012
Dow Jones-UBS Commodity DFA Commodity Index Total BeginDate EndDate FundReturns Benchmark0Returns EndDate Strategy Portfolio Return --------- ---------- ----------- ----------------- ---------- ------------------ ------------- 2010-11-09 2010-11-30 -5.20% -5.86% 11/2010 10000 10000 2010-11-30 2010-12-31 10.38% 10.69% 11/2010 9480 9414.11452 2010-12-31 2011-01-31 1.15% 1.00% 12/2010 10464.222 10420.38828 2011-01-31 2011-02-28 2.08% 1.32% 01/2011 10584.27043 10524.90582 2011-02-28 2011-03-31 1.90% 2.06% 02/2011 10804.35923 10663.6125 2011-03-31 2011-04-30 3.91% 3.46% 03/2011 11009.5018 10883.77 2011-04-30 2011-05-31 -4.81% -5.06% 04/2011 11439.87323 11260.68062 2011-05-31 2011-06-30 -5.07% -5.04% 05/2011 10889.39814 10691.09062 2011-06-30 2011-07-31 3.29% 2.96% 06/2011 10337.46641 10151.80742 2011-07-31 2011-08-31 1.03% 1.00% 07/2011 10678.04186 10452.47858 2011-08-31 2011-09-30 -14.85% -14.73% 08/2011 10788.22803 10556.85703 2011-09-30 2011-10-31 6.66% 6.62% 09/2011 9186.713807 9001.305199 2011-10-31 2011-11-30 -2.66% -2.22% 10/2011 9798.492786 9597.042182 2011-11-30 2011-12-31 -3.56% -3.75% 11/2011 9537.734535 9384.080937 2011-12-31 2012-01-31 3.06% 2.47% 12/2011 9198.539504 9032.374967 2012-01-31 2012-02-29 2.87% 2.70% 01/2012 9480.332835 9255.733858 2012-02-29 2012-03-31 -4.02% -4.14% 02/2012 9752.062121 9505.517422 2012-03-31 2012-04-30 -0.65% -0.42% 03/2012 9359.564267 9112.317892 2012-04-30 2012-05-31 -8.66% -9.13% 04/2012 9299.17998 9073.750917 2012-05-31 2012-06-30 4.65% 5.49% 05/2012 8494.056172 8245.136891 2012-06-30 2012-07-31 6.81% 6.47% 06/2012 8888.618418 8698.040611 2012-07-31 2012-08-31 1.91% 1.30% 07/2012 9493.97268 9260.683168 2012-08-31 2012-09-30 1.70% 1.71% 08/2012 9675.578961 9380.919803 2012-09-30 2012-10-31 -3.49% -3.87% 09/2012 9840.087623 9540.916081 10/31/2012 9496.593805 9171.406896
One Year From 11/09/2010 -------- --------------- -3.08% -2.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Dow Jones data provided by Dow Jones Indexes. 165 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS Commodity Market Review 12 Months Ended October 31, 2012 During the fiscal year ending, October 31, 2012, commodities produced mixed results. The commodity market was initially driven lower through the first seven months of the period by declining natural gas prices. A combination of a mild winter and increased supply from improved shale drilling technology led to natural gas spot prices in the summer of 2012 that were less than half of the prior summer and at levels not seen in over a decade. The last four months of the period would provide for a recovery in the commodity market driven by a significant drought in the U.S. which reduced supply and increased prices for soybeans, corn, and wheat. DFA Commodity Strategy Portfolio The DFA Commodity Strategy Portfolio seeks total return consisting of capital appreciation and current income. The Portfolio generally invests in a universe of allowable commodity-linked derivative instruments and fixed income investments. The Portfolio gains exposure to commodities markets by investing in derivative instruments, swap agreements, and other commodity-linked instruments. The Portfolio pursues commodity exposure based on sector weights of the Dow Jones-UBS Commodity Index Total Return (DJ-UBSCI). In pursuing the fixed income portion of the Portfolio's investment strategy, Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") identifies a broadly-diversified universe of eligible U.S. and foreign fixed income securities with precisely defined maturity ranges and credit quality characteristics then seeks to purchase a broad and diverse portfolio of securities meeting these credit quality standards. In making these purchase decisions, if the anticipated maturity risk premium is greater for longer-term securities in the eligible maturity range, Dimensional will focus investment in that longer-term area; otherwise, the Portfolio will focus investment in the short-term range of the eligible maturity range. For the 12 months ended October 31, 2012, the total return was -3.08% for the Portfolio and -4.44% for the Dow Jones-UBS Commodity Index Total Return. The Portfolio's outperformance was due to the excess return generated by the fixed income assets. The Portfolio 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. The Portfolio's commodity swaps provided exposure to the twenty commodities found in the Dow Jones-UBS Commodity Index Total Return whose returns for the period ranged from -41.7% (natural gas) to +33.7% (soybean). In the fiscal year, no excess return was provided by the strategy's approach of "rolling" its underlying futures contracts prior to the index roll. While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component duration increased slightly from 1.67 to 1.85 years during the period. The Portfolio benefited from the exposure to longer duration relative to its short-term obligations on its derivatives. It also benefited from its credit exposure during a period where credit spreads narrowed. The time of valuation of currency can create differences between the performance of the Portfolio and the Index. 166 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, 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" reflect 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 period indicated. Six Months Ended October 31, 2012 EXPENSE TABLES
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $1,021.23 0.36% $1.83 Hypothetical 5% Annual Return. $1,000.00 $1,023.33 0.36% $1.83
-------- * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 167 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Corporate.......... 45.4% Government......... 3.0% Foreign Corporate.. 23.8% Foreign Government. 16.7% Supranational...... 11.1% ----- 100.0%
168 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS October 31, 2012
Face Amount^ Value+ ------- ----------- (000) BONDS -- (89.1%) AUSTRALIA -- (5.3%) BHP Billiton Finance USA, Ltd. (u) 5.500%, 04/01/14....................................... 960 $ 1,026,508 Commonwealth Bank of Australia (u) 1.250%, 09/18/15....................................... 2,780 2,805,123 National Australia Bank, Ltd. (e) 5.500%, 05/20/15....................................... 6,500 9,365,773 Westpac Banking Corp. (u) 4.200%, 02/27/15....................................... 9,500 10,204,016 ----------- TOTAL AUSTRALIA............................................ 23,401,420 ----------- AUSTRIA -- (1.3%) KA Finanz AG 2.250%, 03/24/14........................................ 700 930,255 Oesterreichische Kontrollbank AG 3.625%, 12/10/13........................................ 2,000 2,687,604 (u) 4.500%, 03/09/15....................................... 2,000 2,178,200 ----------- TOTAL AUSTRIA.............................................. 5,796,059 ----------- CANADA -- (7.4%) Bank of Nova Scotia (u) 1.850%, 01/12/15....................................... 6,400 6,568,531 (u) 3.400%, 01/22/15....................................... 1,800 1,911,281 Barrick Gold Finance Co. (u) 4.875%, 11/15/14....................................... 2,200 2,361,711 Canadian National Railway Co. (u) 4.400%, 03/15/13....................................... 900 913,267 Canadian Natural Resources, Ltd. (u) 5.150%, 02/01/13....................................... 625 632,006 Enbridge, Inc. (u) 5.800%, 06/15/14....................................... 1,900 2,050,315 Encana Corp. (u) 4.750%, 10/15/13....................................... 1,415 1,466,967 Husky Energy, Inc. (u) 5.900%, 06/15/14....................................... 2,500 2,699,253 Ontario, Province of Canada (u) 0.950%, 05/26/15....................................... 2,000 2,019,804 Petro-Canada (u) 4.000%, 07/15/13....................................... 200 204,683 Thomson Reuters Corp. (u) 5.700%, 10/01/14....................................... 800 873,418 Toronto-Dominion Bank (The) (e) 5.375%, 05/14/15....................................... 4,000 5,775,995 TransAlta Corp. (u) 4.750%, 01/15/15....................................... 2,508 2,653,344
Face Amount^ Value+ ------- ----------- (000) CANADA -- (Continued) TransCanada PipeLines, Ltd. (u) 4.000%, 06/15/13....................................... 1,525 $ 1,560,086 (u) 3.400%, 06/01/15....................................... 1,000 1,065,267 ----------- TOTAL CANADA............................................... 32,755,928 ----------- FRANCE -- (5.6%) Agence Francaise de Developpement (u) 1.250%, 06/09/14....................................... 5,500 5,554,505 (u) 2.500%, 07/15/15....................................... 3,000 3,121,740 BNP Paribas SA (u) 2.125%, 12/21/12....................................... 1,500 1,502,063 (u) 3.250%, 03/11/15....................................... 2,000 2,083,800 Caisse d'Amortissement de la Dette Sociale 3.625%, 04/25/15........................................ 5,000 6,975,516 France Telecom SA (u) 4.375%, 07/08/14....................................... 2,400 2,541,000 Societe Financement de I'Economie Francaise 3.125%, 06/30/14........................................ 2,000 2,712,796 Veolia Environnement SA (u) 5.250%, 06/03/13....................................... 425 434,137 ----------- TOTAL FRANCE............................................... 24,925,557 ----------- GERMANY -- (1.7%) Deutsche Bank AG (u) 4.875%, 05/20/13....................................... 1,475 1,510,478 (u) 3.875%, 08/18/14....................................... 250 263,856 Kreditanstalt fur Wiederaufbau (u) 1.375%, 07/15/13....................................... 1,700 1,712,920 (u) 4.125%, 10/15/14....................................... 4,000 4,283,384 ----------- TOTAL GERMANY.............................................. 7,770,638 ----------- JAPAN -- (0.2%) Nomura Holdings, Inc. (u) 5.000%, 03/04/15....................................... 1,000 1,057,623 ----------- NETHERLANDS -- (5.0%) Bank Nederlandse Gemeenten NV (u) 2.750%, 07/01/15....................................... 9,500 9,992,100 Deutsche Telekom International Finance BV (u) 5.250%, 07/22/13....................................... 525 542,320
169 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^ Value+ ------- ----------- (000) NETHERLANDS -- (Continued) (u) 4.875%, 07/08/14....................................... 1,900 $ 2,025,745 Diageo Finance BV (u) 5.500%, 04/01/13....................................... 300 306,283 Nederlandse Waterschapsbank NV...................................... (u) 2.000%, 09/09/15....................................... 9,000 9,312,300 ----------- TOTAL NETHERLANDS.......................................... 22,178,748 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (8.7%)........ Asian Development Bank (u) 1.625%, 07/15/13....................................... 1,200 1,211,448 (u) 4.250%, 10/20/14....................................... 3,000 3,225,750 Council of Europe Development Bank (u) 4.000%, 04/15/15....................................... 8,000 8,636,960 Eurofima (u) 4.500%, 03/06/15....................................... 9,000 9,761,670 European Financial Stability Facility (e) 1.625%, 02/04/15....................................... 5,000 6,665,012 European Investment Bank (e) 2.500%, 07/15/15....................................... 6,000 8,235,380 Inter-American Development Bank (u) 1.000%, 01/07/15....................................... 1,000 1,005,116 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS............... 38,741,336 ----------- SWEDEN -- (3.4%) Svensk Exportkredit AB (e) 3.625%, 05/27/14....................................... 1,212 1,647,523 (u) 3.250%, 09/16/14....................................... 4,200 4,404,540 Svenska Handelsbanken AB (e) 1.500%, 07/06/15....................................... 7,000 9,222,231 ----------- TOTAL SWEDEN............................................... 15,274,294 ----------- SWITZERLAND -- (0.7%) Credit Suisse AG (u) 5.000%, 05/15/13....................................... 1,275 1,305,650 (u) 5.500%, 05/01/14....................................... 250 266,565 UBS AG (u) 2.250%, 08/12/13....................................... 1,485 1,504,287 ----------- TOTAL SWITZERLAND.......................................... 3,076,502 ----------- Face Amount^ Value+ ------- ----------- (000) UNITED KINGDOM -- (4.7%) Barclays Bank P.L.C. (u) 5.200%, 07/10/14....................................... 1,500 $ 1,603,796 BP Capital Markets P.L.C. (u) 5.250%, 11/07/13....................................... 3,500 3,669,309 British Telecommunications P.L.C. (u) 2.000%, 06/22/15....................................... 2,300 2,359,110 Diageo Capital P.L.C. (u) 5.200%, 01/30/13....................................... 1,175 1,189,243 Network Rail Infrastructure Finance P.L.C. (u) 1.500%, 01/13/14....................................... 3,000 3,039,840 Rio Tinto Finance USA P.L.C. (u) 1.125%, 03/20/15....................................... 3,850 3,885,281 Royal Bank of Scotland Group P.L.C. (u) 2.550%, 09/18/15....................................... 3,000 3,075,336 Vodafone Group P.L.C. (u) 4.150%, 06/10/14....................................... 1,825 1,927,973 ----------- TOTAL UNITED KINGDOM....................................... 20,749,888 ----------- UNITED STATES -- (45.1%) ACE INA Holdings, Inc. 5.875%, 06/15/14........................................ $1,250 1,352,914 Aflac, Inc. 3.450%, 08/15/15........................................ 3,800 4,061,957 Agilent Technologies, Inc. 2.500%, 07/15/13........................................ 1,000 1,011,596 Air Products & Chemicals, Inc. 4.150%, 02/01/13........................................ 500 504,577 Allstate Corp. (The) 5.000%, 08/15/14........................................ 2,130 2,290,924 American Express Credit Corp. 5.875%, 05/02/13........................................ 650 667,347 5.125%, 08/25/14........................................ 1,700 1,835,196 1.750%, 06/12/15........................................ 1,200 1,230,557 Amgen, Inc. 4.850%, 11/18/14........................................ 1,000 1,083,220 Anheuser-Busch InBev Worldwide, Inc. 2.500%, 03/26/13........................................ 350 352,783 Archer-Daniels-Midland Co. 7.125%, 03/01/13........................................ 325 332,003 Arrow Electronics, Inc. 6.875%, 07/01/13........................................ 350 363,787 Assurant, Inc. 5.625%, 02/15/14........................................ 2,000 2,078,162 170 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) AT&T, Inc. 2.500%, 08/15/15........................................ $2,500 $2,633,483 AutoZone, Inc. 4.375%, 06/01/13........................................ 100 102,162 Avery Dennison Corp. 4.875%, 01/15/13........................................ 200 201,693 Baltimore Gas & Electric Co. 6.125%, 07/01/13........................................ 500 518,482 Bank of America Corp. 7.375%, 05/15/14........................................ 2,000 2,185,274 Baxter International, Inc. 1.800%, 03/15/13........................................ 1,490 1,497,869 BB&T Corp. 3.375%, 09/25/13........................................ 550 563,992 5.700%, 04/30/14........................................ 1,587 1,705,212 Berkshire Hathaway Finance Corp. 4.850%, 01/15/15........................................ 5,000 5,462,530 BlackRock, Inc. 2.250%, 12/10/12........................................ 1,400 1,402,507 3.500%, 12/10/14........................................ 2,000 2,122,634 Boeing Capital Corp. 5.800%, 01/15/13........................................ 950 960,509 Boeing Co. (The) 1.875%, 11/20/12........................................ 350 350,231 Boston Scientific Corp. 4.500%, 01/15/15........................................ 3,005 3,220,446 Bristol-Myers Squibb Co. 5.250%, 08/15/13........................................ 1,175 1,220,447 Burlington Northern Santa Fe LLC 4.300%, 07/01/13........................................ 1,200 1,230,138 4.875%, 01/15/15........................................ 200 216,869 Campbell Soup Co. 5.000%, 12/03/12........................................ 350 351,240 Capital One Financial Corp. 6.250%, 11/15/13........................................ 150 158,239 7.375%, 05/23/14........................................ 1,189 1,305,576 Cardinal Health, Inc. 4.000%, 06/15/15........................................ 3,000 3,218,478 Caterpillar Financial Services Corp. 2.000%, 04/05/13........................................ 400 402,838 6.200%, 09/30/13........................................ 1,000 1,052,477 CenterPoint Energy Resources Corp. 7.875%, 04/01/13........................................ 425 436,952 Charles Schwab Corp. (The) 4.950%, 06/01/14........................................ 2,200 2,346,828 Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) Chubb Corp. (The) 5.200%, 04/01/13........................................ $ 350 $ 356,855 Cisco Systems, Inc. 1.625%, 03/14/14........................................ 1,550 1,575,587 Citigroup, Inc. 6.500%, 08/19/13........................................ 625 653,573 6.375%, 08/12/14........................................ 1,250 1,362,082 CNA Financial Corp. 5.850%, 12/15/14........................................ 277 301,737 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13........................................ 1,607 1,614,335 Comcast Cable Communications Holdings, Inc. 8.375%, 03/15/13........................................ 675 694,311 Computer Sciences Corp. 2.500%, 09/15/15........................................ 2,000 2,042,790 Consolidated Edison Co. of New York, Inc. 4.700%, 02/01/14........................................ 400 420,030 CSX Corp. 5.500%, 08/01/13........................................ 425 440,407 Daimler Finance North America LLC 6.500%, 11/15/13........................................ 2,100 2,224,692 Dell, Inc. 2.100%, 04/01/14........................................ 1,500 1,530,698 2.300%, 09/10/15........................................ 1,000 1,040,700 DIRECTV Holdings LLC 4.750%, 10/01/14........................................ 1,500 1,610,778 Dominion Resources, Inc. 5.000%, 03/15/13........................................ 325 330,330 Dr. Pepper Snapple Group, Inc. 2.350%, 12/21/12........................................ 375 375,941 E.I. Du Pont de Nemours & Co. 4.750%, 11/15/12........................................ 350 350,429 eBay, Inc. 0.875%, 10/15/13........................................ 1,435 1,439,116 Ecolab, Inc. 1.000%, 08/09/15........................................ 2,000 2,009,256 Emerson Electric Co. 5.625%, 11/15/13........................................ 1,200 1,263,394 Enbridge Energy Partners LP 5.350%, 12/15/14........................................ 1,475 1,604,308 Energy Transfer Partners LP 6.000%, 07/01/13........................................ 425 438,650 5.950%, 02/01/15........................................ 1,200 1,324,957 171 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) Enterprise Products Operating LLC 5.600%, 10/15/14........................................ $2,666 $2,906,156 Exelon Generation Co. LLC 5.350%, 01/15/14........................................ 1,100 1,156,182 Express Scripts Holding Co. 6.250%, 06/15/14........................................ 3,465 3,764,608 Fifth Third Bancorp 6.250%, 05/01/13........................................ 875 899,422 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15........................................ 2,475 2,500,245 General Electric Capital Corp. 2.100%, 01/07/14........................................ 600 610,885 2.150%, 01/09/15........................................ 6,000 6,165,288 1.625%, 07/02/15........................................ 2,000 2,034,288 Goldman Sachs Group, Inc. (The) 5.250%, 10/15/13........................................ 250 260,622 3.300%, 05/03/15........................................ 3,500 3,655,431 Hartford Financial Services Group, Inc. 4.000%, 03/30/15........................................ 1,400 1,471,077 Hess Corp. 7.000%, 02/15/14........................................ 175 188,892 Hewlett-Packard Co. 1.250%, 09/13/13........................................ 1,500 1,500,567 2.625%, 12/09/14........................................ 1,300 1,324,224 HSBC Finance Corp. 4.750%, 07/15/13........................................ 1,575 1,617,018 John Deere Capital Corp. 1.875%, 06/17/13........................................ 1,250 1,261,320 JPMorgan Chase & Co. 3.700%, 01/20/15........................................ 2,800 2,964,683 3.400%, 06/24/15........................................ 1,000 1,058,784 KeyCorp 6.500%, 05/14/13........................................ 1,000 1,030,985 Kimberly-Clark Corp. 5.000%, 08/15/13........................................ 1,000 1,037,186 Kroger Co. (The) 5.500%, 02/01/13........................................ 640 647,397 Lowe's Cos, Inc. 5.000%, 10/15/15........................................ 1,050 1,183,977 McKesson Corp. 6.500%, 02/15/14........................................ 2,445 2,619,008 MetLife, Inc. 2.375%, 02/06/14........................................ 420 429,368 5.500%, 06/15/14........................................ 1,250 1,348,788 5.000%, 06/15/15........................................ 500 553,742 Face Amount Value+ ------ ---------- (000) UNITED STATES -- (Continued) Microsoft Corp. 0.875%, 09/27/13........................................ $1,300 $1,306,496 2.950%, 06/01/14........................................ 2,300 2,390,533 Morgan Stanley 4.100%, 01/26/15........................................ 2,000 2,082,906 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15........................................ 2,800 2,937,469 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13........................................ 750 762,863 Northern Trust Corp. 5.500%, 08/15/13........................................ 1,068 1,110,864 Occidental Petroleum Corp. 1.450%, 12/13/13........................................ 1,000 1,011,737 PACCAR Financial Corp. 2.050%, 06/17/13........................................ 100 101,091 0.750%, 08/14/15........................................ 2,000 2,001,094 Pacific Gas & Electric Co. 4.800%, 03/01/14........................................ 3,000 3,160,140 Philip Morris International, Inc. 4.875%, 05/16/13........................................ 1,265 1,294,182 Pitney Bowes, Inc. 4.875%, 08/15/14........................................ 2,000 2,094,320 Plains All American Pipeline LP 3.950%, 09/15/15........................................ 1,330 1,444,313 PNC Funding Corp. 5.400%, 06/10/14........................................ 2,075 2,233,594 Praxair, Inc. 2.125%, 06/14/13........................................ 1,000 1,009,739 Principal Financial Group, Inc. 7.875%, 05/15/14........................................ 2,958 3,271,063 Procter & Gamble Co. (The) (e) 4.500%, 05/12/14....................................... 4,000 5,509,436 Prudential Financial, Inc. 6.200%, 01/15/15........................................ 2,448 2,696,653 Qwest Corp. 7.500%, 10/01/14........................................ 2,300 2,558,934 Reynolds American, Inc. 7.250%, 06/01/13........................................ 900 933,945 Safeway, Inc. 5.625%, 08/15/14........................................ 2,000 2,139,208 Sempra Energy 2.000%, 03/15/14........................................ 416 421,976 Spectra Energy Capital LLC 5.500%, 03/01/14........................................ 1,500 1,581,377 5.668%, 08/15/14........................................ 955 1,031,309 St. Jude Medical, Inc. 2.200%, 09/15/13........................................ 3,325 3,367,587 172 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
Face Amount Value+ ------- ------------ (000) UNITED STATES -- (Continued) 3.750%, 07/15/14...................................... $ 100 $ 105,206 State Street Corp. 4.300%, 05/30/14...................................... 1,400 1,482,265 SunTrust Banks, Inc. 5.250%, 11/05/12...................................... 425 425,000 Target Corp. 4.000%, 06/15/13...................................... 1,000 1,020,486 TD Ameritrade Holding Corp. 4.150%, 12/01/14...................................... 2,350 2,512,716 Texas Instruments, Inc. 0.875%, 05/15/13...................................... 500 501,772 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15...................................... 2,250 2,367,963 Toyota Motor Credit Corp. 1.000%, 02/17/15...................................... 3,000 3,025,461 0.875%, 07/17/15...................................... 2,000 2,009,342 Travelers Property Casualty Corp. 5.000%, 03/15/13...................................... 1,175 1,194,094 Union Bank NA 2.125%, 12/16/13...................................... 1,400 1,426,806 UnitedHealth Group, Inc. 5.000%, 08/15/14...................................... 1,170 1,253,642 Valero Energy Corp. 4.750%, 04/01/14...................................... 1,125 1,175,890 4.500%, 02/01/15...................................... 900 970,599 Viacom, Inc. 4.375%, 09/15/14...................................... 1,229 1,312,004 Walt Disney Co. (The) 0.875%, 12/01/14...................................... 1,500 1,515,777 Waste Management, Inc. 6.375%, 11/15/12...................................... 325 325,526 WellPoint, Inc. 5.000%, 12/15/14...................................... 2,500 2,714,670 Wells Fargo & Co. 3.750%, 10/01/14...................................... 2,300 2,440,900 1.250%, 02/13/15...................................... 1,000 1,011,581 Williams Partners LP 3.800%, 02/15/15...................................... 1,500 1,598,544 ------------ TOTAL UNITED STATES...................................... 200,070,301 ------------ TOTAL BONDS.............................................. 395,798,294 ------------ AGENCY OBLIGATIONS -- (5.0%) Federal Home Loan Mortgage Corporation 2.875%, 02/09/15...................................... 11,000 11,623,513
Face Amount Value+ ------- ------------ (000) Federal National Mortgage Association 0.500%, 07/02/15...................................... $10,500 $ 10,525,053 ------------ TOTAL AGENCY OBLIGATIONS................................. 22,148,566 ------------ U.S. TREASURY OBLIGATIONS -- (5.9%) U.S Treasury Note ^^@@ 0.375%, 07/31/13.................................... 26,000 26,034,528 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $441,274,363) $443,981,388 ============
173 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) - ------------------------------------------- Level 1 Level 2 Level 3 Total - -------- ------------ ------- ------------ Bonds............................. -- $395,798,294 -- $395,798,294 Agency Obligations................ -- 22,148,566 -- 22,148,566 U.S. Treasury Obligations......... -- 26,034,528 -- 26,034,528 Swap Agreements**................. -- 1,271,996 -- 1,271,996 Futures Contracts**............... $147,488 -- -- 147,488 Forwards Currency Contracts**..... -- (1,497,516) -- (1,497,516) -------- ------------ -- ------------ TOTAL............................. $147,488 $443,755,868 -- $443,903,356 ======== ============ == ============
** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Schedules of Investments. 174 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value............................................. $ 443,981 Temporary Cash Investments at Value & Cost....................... 857 Cash............................................................. 6,441 Receivables: Interest...................................................... 4,597 Fund Shares Sold.............................................. 3,013 Unrealized Gain on Swap Contracts................................ 2,549 Unrealized Gain on Forward Currency Contracts.................... 42 Prepaid Expenses and Other Assets................................ 17 ------------ Total Assets.................................................. 461,497 ------------ LIABILITIES: Payables: Fund Shares Redeemed.......................................... 404 Due to Advisor................................................ 114 Futures Margin Variation...................................... 45 Unrealized Loss on Swap Contracts................................ 1,274 Unrealized Loss on Forward Currency Contracts.................... 1,540 Accrued Expenses and Other Liabilities........................... 41 ------------ Total Liabilities......................................... 3,418 ------------ NET ASSETS....................................................... $ 458,079 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).......................... 48,728,681 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 9.40 ============ Investments at Cost.............................................. $ 441,274 ------------ NET ASSETS CONSIST OF: Paid-In Capital.................................................. $ 452,773 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 1,816 Accumulated Net Realized Gain (Loss)............................. 848 Net Unrealized Foreign Exchange Gain (Loss)...................... (1,489) Net Unrealized Appreciation (Depreciation)....................... 4,131 ------------ NET ASSETS....................................................... $ 458,079 ============ (1) NUMBER OF SHARES AUTHORIZED.................................. 100,000,000 ============ See accompanying Notes to Financial Statements. 175 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) Investment Income Interest...................................................................................... $ 3,778 -------- Total Investment Income................................................................... 3,778 -------- Expenses Investment Advisory Services Fees............................................................. 1,160 Accounting & Transfer Agent Fees.............................................................. 64 Custodian Fees................................................................................ 16 Filing Fees................................................................................... 46 Shareholders' Reports......................................................................... 13 Directors'/Trustees' Fees & Expenses.......................................................... 3 Professional Fees............................................................................. 34 Organizational & Offering Costs............................................................... 1 Other......................................................................................... 6 -------- Total Expenses............................................................................ 1,343 -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (172) Fees Paid Indirectly.......................................................................... (9) -------- Net Expenses.................................................................................. 1,162 -------- Net Investment Income (Loss).................................................................. 2,616 -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold................................................................ 1,207 Futures................................................................................... (2,170) Foreign Currency Transactions............................................................. 1,374 Swap Contracts............................................................................ (17,151) Change in Unrealized Appreciation (Depreciation) of: Investment Securities..................................................................... 1,848 Futures................................................................................... 112 Swap Contracts............................................................................ 3,344 Translation of Foreign Currency Denominated Amounts....................................... (1,489) -------- Net Realized and Unrealized Gain (Loss)....................................................... (12,925) -------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................. $(10,309) ========
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 176 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Year Ended Period Oct. 31, November 9, 2010(a) 2012 to October 31, 2011 --------- ------------------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............................................................. $ 2,616 $ 1,106 Net Realized Gain (Loss) on: Investment Securities Sold........................................................... 1,207 227 Futures.............................................................................. (2,170) (1,328) Foreign Currency Transactions........................................................ 1,374 -- Swap Contracts....................................................................... (17,151) (10,020) Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................................................ 1,848 859 Futures.............................................................................. 112 37 Swap Contracts....................................................................... 3,344 (2,069) Translation of Foreign Currency Denominated Amounts.................................. (1,489) -- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (10,309) (11,188) --------- -------- Distributions From: Net Investment Income: Institutional Shares................................................................. (2,038) (574) Net Short-Term Gains: Institutional Shares................................................................. (151) -- --------- -------- Total Distributions............................................................... (2,189) (574) --------- -------- Capital Share Transactions (1): Shares Issued............................................................................ 371,713 278,288 Shares Issued in Lieu of Cash Distributions.............................................. 2,084 559 Shares Redeemed.......................................................................... (134,001) (36,304) --------- -------- Net Increase (Decrease) from Capital Share Transactions........................... 239,796 242,543 --------- -------- Total Increase (Decrease) in Net Assets........................................... 227,298 230,781 Net Assets Beginning of Period...................................................................... 230,781 -- --------- -------- End of Period............................................................................ $ 458,079 $230,781 ========= ======== (1) Shares Issued and Redeemed: Shares Issued............................................................................ 39,879 27,085 Shares Issued in Lieu of Cash Distributions.............................................. 232 52 Shares Redeemed.......................................................................... (14,994) (3,525) --------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 25,117 23,612 ========= ======== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) $ 1,816 $ 231
-------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 177 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout the period)
Year Period Ended November 9, 2010(a) Oct. 31, to 2012 Oct. 31, 2011 -------- ------------------- Net Asset Value, Beginning of Period......................................................... $ 9.77 $ 10.00 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss)(A)........................................................... 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)................................ (0.37) (0.27) -------- -------- Total from Investment Operations...................................................... (0.30) (0.20) -------- -------- Less Distributions ------------------ Net Investment Income..................................................................... (0.06) (0.03) Net Realized Gains........................................................................ (0.01) -- -------- -------- Total Distributions................................................................... (0.07) (0.03) -------- -------- Net Asset Value, End of Period............................................................... $ 9.40 $ 9.77 ======== ======== Total Return................................................................................. (3.08)% (2.02)%(C) -------- -------- Net Assets, End of Period (thousands)........................................................ $458,079 $230,781 Ratio of Expenses to Average Net Assets...................................................... 0.35% 0.47%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)............................... 0.41% 0.53%(B)(E) Ratio of Net Investment Income to Average Net Assets......................................... 0.79% 0.64%(B)(E) Portfolio Turnover Rate...................................................................... 69% 50%(C)
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 178 DFA INVESTMENT DIMENSIONS GROUP INC. CONSOLIDATED 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, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of sixty-seven 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 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 Investment Company Act of 1940, as amended. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolio utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, 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 which 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/Trustees. These valuations are classified 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 contracts generally are valued at a price at which the counterparties to such contracts would repurchase the instrument or terminate the contracts. These valuations are categorized as Level 2 in the hierarchy. A summary of inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. A valuation hierarchy table has been included at the 179 end of the Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolio had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolio estimates the character of distributions received 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 utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund are allocated using methods approved by the Board, generally based on average net assets. C. Basis for Consolidation: The Subsidiary commenced operations on November 9, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting principles relating to reporting of a wholly-owned subsidiary. The Portfolio will seek to gain exposure to commodities, commodities-related instruments, derivatives and other investments by directly investing in those instruments or through investments in the Subsidiary. The Subsidiary participates in the same investment goal as the Portfolio. The Subsidiary pursues its investment goal by investing in commodities, commodities-related instruments, derivatives and other investments. The Subsidiary (unlike the Portfolio) may invest without limitation in these instruments. However, the Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Portfolio. The portion of the Portfolio's or Subsidiary's assets exposed to any particular commodity, derivative or other investment will vary based on market conditions, but from time to time some exposure could be substantial. 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 Porfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and 180 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. As of October 31, 2012, the Portfolio held $75,170,235 in the Subsidiary, representing 16.33% of the Portfolio's total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses of the Portfolio and its wholly-owned Subsidiary. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Portfolio. For the year ended October 31, 2012, the investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Portfolio's average daily net assets. Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of the Portfolio to the extent necessary to limit the ordinary operating expenses of the Portfolio (not including expenses incurred through an investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") so that such Portfolio Expenses do not exceed 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 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, 2013, and may not be terminated by the Advisor prior to that date. At October 31, 2012, there were no previously waived fees subjected 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, 2012, approximately $172 (in thousands) of the Subsidiary management fees was waived pursuant to the Subsidiary fee waiver agreement. Earned Income Credit: In addition, the Portfolio has entered into arrangements 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. During the year ended October 31, 2012, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- DFA Commodity Strategy Portfolio. $9
Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $234 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. 181 E. Deferred Compensation: At October 31, 2012, 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 (amounts in thousands): DFA Commodity Strategy Portfolio. $1
F. Purchases and Sales of Securities: For the year ended October 31, 2012, the Portfolio made the following purchases and sales of investments securities, other than short-term securities (amounts in thousands):
U.S. Government Other Investment Securities Securities ----------------- ------------------ Purchases Sales Purchases Sales --------- ------- --------- -------- $80,319 $63,085 $372,169 $154,366
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 these 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 these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, primarily attributable to adjustments between financial and tax reporting related to the Subsidiary, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for tax purposes and net foreign currency gains/losses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In Capital Income Gains (Losses) - --------------- -------------- -------------- DFA Commodity Strategy Portfolio. $(18,602) $1,007 $17,595
The tax character of dividends and distributions declared and paid during the period ended October 31, 2012 was as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------ DFA Commodity Strategy Portfolio 2011............................. $ 636 -- $ 636 2012............................. 2,410 $37 2,447
182 At October 31, 2012, 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 utilization 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. $221 $37 $258
At October 31, 2012 the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Capital Earnings Short-Term Long-Term Loss (Accumulated Capital Gains Capital Gains Carryforward Losses) -------------- ------------- ------------ ------------- DFA Commodity Strategy Portfolio. $864 $422 -- $1,286
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 its character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the Portfolio did not have any capital loss carryforwards. At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------- ------------ -------------- -------------- DFA Commodity Strategy Portfolio. $442,131 $2,762 $(55) $2,707
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 on a tax return. Management has analyzed the Portfolio's tax position 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. H. 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: 1. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in U.S. companies, 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. 183 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 Dimensional Cayman Commodity Fund I, LTD., 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 DFA Commodity Strategy Portfolio and its wholly-owned Subsidiary. 2. Forward Currency Contracts: DFA Commodity Strategy Portfolio may enter into 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 Statements of Operations as the change in unrealized appreciation or depreciation of translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2012, DFA Commodity Strategy Portfolio had entered into the following contracts and the net unrealized foreign exchange gain/(loss) is reflected in the accompanying financial statements (amounts in thousands): DFA Commodity Strategy Portfolio*
Unrealized Foreign Settlement Currency Contract Value at Exchange Date Amount** Currency Amount October 31, 2012 Gain (Loss) ---------- -------- -------- -------- ---------------- ----------- 12/06/12 (41,897) Euro $(52,788) $(54,325) $(1,537) 12/06/12 (278) Euro (357) (360) (3) 12/06/12 (4,726) Euro (6,170) (6,128) 42 -------- -------- ------- $(59,315) $(60,813) $(1,498) ======== ======== =======
* During the year ended October 31, 2012, the Portfolio's average cost basis contract amount of forward currency contracts was $(44,772) (in thousands). ** Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. 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. Commodity-Linked Derivatives: The DFA Commodity Strategy Portfolio and the Subsidiary invests 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, 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 184 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. 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. An investment in a commodity swap agreement, for example, may involve the exchange of floating-rate interest payments for the total return on a commodity index. In a total return commodity swap, the Portfolio will receive the price appreciation of a commodity index, a portion of the index, or a single commodity in exchange for paying an agreed-upon fee. The Portfolio may also enter into credit default swap agreements. The "buyer" in a credit default contract is obligated to pay the "seller" a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or "par value," of the reference obligation in exchange for the reference obligation. The Portfolio may be either the buyer or seller in a credit default swap transaction. Credit default swap transactions involve greater risks than if the Portfolio had invested in the reference obligation directly. Most swap agreements entered into by the Portfolio will calculate the obligations of the parties to the agreement on a "net" basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. The Portfolio's current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Portfolio) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the segregation of assets determined to be liquid to avoid any potential leveraging of the Portfolio's portfolio. Because they are two party contracts and because they may have terms of greater than seven days, swap agreements may be considered to be illiquid. The Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty beyond any collateral received. The types of swap agreements in which the Portfolio invests do not involve the delivery of securities, other underlying assets, or principal. Accordingly, the risk of loss is limited to the net amount of interest payments that the Portfolio is contractually obligated to make. 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 Commodity Futures Trading Commission ("CFTC") or, consistent with CFTC regulations, on foreign exchanges. 5. Futures Contracts: A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization or production weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract. The Portfolio is required to segregate with its futures commission merchant an amount of cash or securities acceptable to the broker equal to approximately 1% to 10% of the contract amount. This amount is known as "initial margin" and is in the nature of a performance bond or good faith deposit on the contract which is returned to the Portfolio upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, known as "variation margin," to and from the broker, will be made daily as the currency, financial instrument 185 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 and 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 would be 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. 186 At October 31, 2012, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding commodity-linked futures contracts (dollar amounts in thousands):
Expiration Number of Contract Unrealized Description Date Contracts* Amount Gain (Loss) ----------- ---------- ---------- -------- ----------- Brent Crude Futures 01/31/13 9 $ 968 $(13) CBT Wheat Futures 05/16/13 32 1,418 10 Coffee 'C' Futures 12/31/12 6 348 (16) Copper Futures 12/31/12 16 1,407 -- Corn Futures 05/16/13 42 1,580 14 Cotton No. 2 Futures 12/20/12 8 280 (4) Gasoline RBOB Futures 01/30/13 6 656 (20) Gold 100oz Futures 12/20/12 12 2,063 68 Heating Oil Futures 04/29/13 6 749 (4) Lean Hogs Futures 12/18/12 13 407 25 Live Cattle Futures 12/18/12 15 756 1 LME Nickel Futures 12/19/12 5 485 (17) LME Prime Aluminum Futures 12/19/12 23 1,093 (13) LME Zinc Futures 12/19/12 14 648 (2) Natural Gas Futures 04/30/13 70 2,640 130 Silver Futures 12/31/12 4 646 53 Soybean Futures 03/18/13 40 3,048 (6) Soybean Oil Futures 05/23/13 22 678 (12) Sugar #11 Futures 05/15/13 29 632 (17) WTI Crude Futures 07/31/13 12 1,071 (28) ------- ---- $21,573 $149 ======= ====
Dimensional Cayman Commodity Fund I, LTD.'s securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2012 the Dimensional Cayman Commodity Fund I, LTD.'s average notional contract amount of outstanding futures contracts was $13,350 (in thousands). At October 31, 2012, Dimensional Cayman Commodity Fund I, LTD. had the following outstanding commodity index total return swaps (dollar amounts in thousands):
Unrealized Expiration Notional Appreciation Counterparty Date Amount* (Depreciation) ------------ ---------- -------- -------------- Citibank, N.A. 12/31/12 USD $256,404 $ 485 Deutsche Bank AG, London Branch 11/28/12 USD 92,985 174 Deutsche Bank AG, London Branch 12/18/12 USD (25,000) 1,430 Deutsche Bank AG, London Branch 06/19/13 USD 25,000 (1,068) Deutsche Bank AG, London Branch 11/26/12 USD (23,025) (206) Deutsche Bank AG, London Branch 11/26/12 USD 21,870 304 UBS AG 01/29/13 USD 82,958 156 -------- ------- $431,192 $ 1,275 ======== =======
187 * During the year ended October 31, 2012 the Portfolio's average notional value of outstanding swap contracts was $316,129 (in thousands). The following is a summary of the location of derivatives on the Portfolio's Statement of Assets and Liabilities as of October 31, 2012:
Location on the Statements of Assets and Liabilities ----------------------------------------------------------------------------- Derivative Type Asset Derivatives Liability Derivatives --------------- ------------------------------------- ------------------------------------- Commodity Contracts Payables: Futures Margin Variation Foreign Exchange Contracts Unrealized Gain on Forward Currency Unrealized Loss on Forward Currency Contracts Contracts Other Contracts Unrealized Gain on Swap Contracts Unrealized Loss on Swap Contracts
The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2012 (amounts in thousands):
Asset Derivatives Value ---------------------------- Total Value Foreign at Commodity Exchange Other Oct. 31, 2012 Contracts Contracts Contracts - ------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $ 2,740 $149* $42 $ 2,549 Liability Derivatives Value ---------------------------- Total Value Foreign at Exchange Other Oct. 31, 2012 Contracts Contracts ------------- ------------------- --------- Dimensional Cayman Commodity Fund I, LTD. $(2,814) $(1,540) $(1,274)
* 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 location on the Portfolio's Statement of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings through the year ended October 31, 2012 (amounts in thousands): Location of Gain (Loss) on Derivative Type Derivatives Recognized in Income --------------- ------------------------------------- Commodity Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Foreign Exchange Contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Other Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts 188 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, 2012 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------------- Foreign Commodity Exchange Other Total Contracts Contracts Contracts -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(17,357) $(2,170) $ 1,964 $(17,151) Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------------- Foreign Commodity Exchange Other Total Contracts Contracts Contracts -------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $ 1,958 $ 112 $(1,498) $ 3,344
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed to 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Portfolio under this line of credit during the year ended October 31, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. There were no borrowings by the Portfolio under this line of credit during the year ended October 31, 2012. 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 which 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information 189 related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. Other: At October 31, 2012, three shareholders held 87% 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. DFA Commodity Strategy 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 and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 190 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of DFA Commodity Strategy Portfolio and Board of Directors of DFA Investment Dimensions Group Inc.: In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of DFA Commodity Strategy Portfolio and its subsidiary (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolio") at October 31, 2012, the results of its operations for the year then ended, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 191 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS DFA International Value Portfolio Class R2 vs. MSCI World ex USA Index (net dividends) April 30, 2008-October 31, 2012
DFA International Value MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio - Class R2 USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------- -------------------- 2008-04-30 2008-05-31 0.00% 1.52% 04/2008 10000 10000 2008-05-31 2008-06-30 -9.94% -7.78% 05/2008 10000 10151.7473 2008-06-30 2008-07-31 -2.82% -3.56% 06/2008 9005.626951 9362.319226 2008-07-31 2008-08-31 -4.23% -3.87% 07/2008 8751.649225 9029.149518 2008-08-31 2008-09-30 -11.66% -14.44% 08/2008 8381.265038 8679.965473 2008-09-30 2008-10-31 -25.22% -20.80% 09/2008 7404.32448 7426.766859 2008-10-31 2008-11-30 -6.20% -5.42% 10/2008 5537.147002 5881.853535 2008-11-30 2008-12-31 7.70% 5.27% 11/2008 5193.758041 5562.881341 2008-12-31 2009-01-31 -13.84% -9.33% 12/2008 5593.526873 5856.130766 2009-01-31 2009-02-28 -12.44% -10.12% 01/2009 4819.37403 5309.712088 2009-02-28 2009-03-31 11.04% 6.59% 02/2009 4219.678167 4772.200545 2009-03-31 2009-04-30 18.22% 12.90% 03/2009 4685.541611 5086.667278 2009-04-30 2009-05-31 14.82% 12.65% 04/2009 5539.448726 5742.636539 2009-05-31 2009-06-30 -1.45% -1.04% 05/2009 6360.513261 6468.886016 2009-06-30 2009-07-31 11.78% 9.39% 06/2009 6268.441251 6401.898676 2009-07-31 2009-08-31 5.67% 4.79% 07/2009 7006.57292 7003.022114 2009-08-31 2009-09-30 5.19% 4.13% 08/2009 7404.028433 7338.644408 2009-09-30 2009-10-31 -4.12% -1.61% 09/2009 7788.557437 7641.425059 2009-10-31 2009-11-30 2.92% 2.47% 10/2009 7467.379811 7518.756328 2009-11-30 2009-12-31 1.09% 1.59% 11/2009 7685.321771 7704.789504 2009-12-31 2010-01-31 -5.83% -4.69% 12/2009 7769.192928 7827.612036 2010-01-31 2010-02-28 0.32% -0.10% 01/2010 7316.280335 7460.697378 2010-02-28 2010-03-31 7.92% 6.44% 02/2010 7339.506622 7453.220585 2010-03-31 2010-04-30 -1.76% -1.49% 03/2010 7920.4971 7933.009755 2010-04-30 2010-05-31 -11.66% -11.03% 04/2010 7780.928869 7814.726394 2010-05-31 2010-06-30 -1.79% -1.45% 05/2010 6873.735368 6952.373221 2010-06-30 2010-07-31 12.34% 9.24% 06/2010 6750.523978 6851.798755 2010-07-31 2010-08-31 -4.94% -2.99% 07/2010 7583.772914 7485.078183 2010-08-31 2010-09-30 10.83% 9.59% 08/2010 7209.414697 7261.351117 2010-09-30 2010-10-31 3.36% 3.56% 09/2010 7990.200894 7957.910109 2010-10-31 2010-11-30 -5.12% -4.23% 10/2010 8258.574053 8241.403697 2010-11-30 2010-12-31 9.33% 8.05% 11/2010 7836.116939 7892.384622 2010-12-31 2011-01-31 4.24% 2.15% 12/2010 8567.304672 8527.891765 2011-01-31 2011-02-28 3.29% 3.71% 01/2011 8930.681379 8711.598845 2011-02-28 2011-03-31 -2.80% -2.00% 02/2011 9224.17795 9034.62076 2011-03-31 2011-04-30 5.31% 5.45% 03/2011 8966.260639 8853.634675 2011-04-30 2011-05-31 -3.66% -2.96% 04/2011 9442.593235 9335.818148 2011-05-31 2011-06-30 -1.41% -1.42% 05/2011 9097.018606 9059.063804 2011-06-30 2011-07-31 -3.23% -1.65% 06/2011 8968.489466 8930.043361 2011-07-31 2011-08-31 -10.77% -8.45% 07/2011 8679.030283 8782.734618 2011-08-31 2011-09-30 -10.95% -10.04% 08/2011 7744.219476 8040.214867 2011-09-30 2011-10-31 9.55% 9.73% 09/2011 6896.004492 7232.79322 2011-10-31 2011-11-30 -3.28% -4.62% 10/2011 7554.584853 7936.207057 2011-11-30 2011-12-31 -2.74% -1.09% 11/2011 7306.424139 7569.453347 2011-12-31 2012-01-31 6.64% 5.40% 12/2011 7106.352978 7486.857424 2012-01-31 2012-02-29 5.21% 5.50% 01/2012 7578.503886 7891.074884 2012-02-29 2012-03-31 -0.84% -0.74% 02/2012 7973.568933 8324.914722 2012-03-31 2012-04-30 -3.60% -1.70% 03/2012 7906.619144 8263.299091 2012-04-30 2012-05-31 -12.41% -11.40% 04/2012 7622.000151 8123.046992 2012-05-31 2012-06-30 7.04% 6.55% 05/2012 6676.486208 7196.983824 2012-06-30 2012-07-31 -0.48% 1.25% 06/2012 7146.350142 7668.554475 2012-07-31 2012-08-31 4.15% 2.85% 07/2012 7111.94543 7764.038979 2012-08-31 2012-09-30 3.48% 3.04% 08/2012 7406.84296 7985.556671 2012-09-30 2012-10-31 1.22% 0.70% 09/2012 7664.940132 8228.010783 10/31/2012 7758.715959 8285.669913
One Year From 04/30/2008 -------- --------------- 2.70% -5.48% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. DFA International Value Portfolio Institutional Class vs. MSCI World ex USA Index (net dividends) October 31, 2002-October 31, 2012
DFA International Value MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Portfolio-Institutional Class USA Index (net div.) --------- ---------- ----------- ----------------- ---------- ----------------------------- -------------------- 2002-10-31 2002-11-30 6.00% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.57% -3.23% 11/2002 10599.76932 10460.38388 2002-12-31 2003-01-31 -3.37% -3.81% 12/2002 10327.68049 10122.31597 2003-01-31 2003-02-28 -1.97% -1.97% 01/2003 9979.947141 9736.633173 2003-02-28 2003-03-31 -2.46% -1.93% 02/2003 9782.898242 9544.699524 2003-03-31 2003-04-30 10.95% 9.60% 03/2003 9542.079235 9360.754077 2003-04-30 2003-05-31 7.57% 6.20% 04/2003 10586.83244 10259.0855 2003-05-31 2003-06-30 3.22% 2.43% 05/2003 11387.80989 10895.37242 2003-06-30 2003-07-31 4.50% 2.29% 06/2003 11754.16167 11160.05075 2003-07-31 2003-08-31 2.59% 2.58% 07/2003 12283.62841 11416.08512 2003-08-31 2003-09-30 3.84% 3.00% 08/2003 12601.30845 11710.45636 2003-09-30 2003-10-31 7.85% 6.26% 09/2003 13084.80116 12061.78555 2003-10-31 2003-11-30 2.09% 2.27% 10/2003 14112.21786 12817.10429 2003-11-30 2003-12-31 7.47% 7.67% 11/2003 14407.45254 13107.63318 2003-12-31 2004-01-31 2.53% 1.39% 12/2003 15483.80439 14112.72688 2004-01-31 2004-02-29 2.99% 2.30% 01/2004 15875.94985 14309.22909 2004-02-29 2004-03-31 1.56% 0.50% 02/2004 16351.2777 14638.3333 2004-03-31 2004-04-30 -3.01% -2.62% 03/2004 16605.58832 14711.61449 2004-04-30 2004-05-31 0.96% 0.47% 04/2004 16106.35087 14326.52241 2004-05-31 2004-06-30 4.14% 2.31% 05/2004 16260.87675 14393.48999 2004-06-30 2004-07-31 -3.69% -3.05% 06/2004 16933.74416 14725.88378 2004-07-31 2004-08-31 1.25% 0.42% 07/2004 16309.23728 14276.8102 2004-08-31 2004-09-30 3.19% 2.91% 08/2004 16513.403 14336.16895 2004-09-30 2004-10-31 3.83% 3.59% 09/2004 17040.98221 14754.05385 2004-10-31 2004-11-30 7.37% 6.65% 10/2004 17693.15303 15284.2776 2004-11-30 2004-12-31 4.98% 4.22% 11/2004 18997.49469 16300.75747 2004-12-31 2005-01-31 -1.04% -1.97% 12/2004 19942.94831 16989.40669 2005-01-31 2005-02-28 3.95% 4.45% 01/2005 19735.84378 16654.94269 2005-02-28 2005-03-31 -2.50% -2.27% 02/2005 20515.53144 17395.84581 2005-03-31 2005-04-30 -3.05% -2.55% 03/2005 20002.57057 17000.98254 2005-04-30 2005-05-31 0.13% 0.18% 04/2005 19393.10773 16567.48433 2005-05-31 2005-06-30 1.58% 1.63% 05/2005 19417.48624 16597.69751 2005-06-30 2005-07-31 4.45% 3.23% 06/2005 19723.3446 16869.00377 2005-07-31 2005-08-31 3.30% 2.76% 07/2005 20600.21215 17413.79488 2005-08-31 2005-09-30 2.79% 4.56% 08/2005 21279.47574 17894.53946 2005-09-30 2005-10-31 -1.53% -3.23% 09/2005 21873.30675 18711.18961 2005-10-31 2005-11-30 1.79% 2.65% 10/2005 21538.32134 18106.58452 2005-11-30 2005-12-31 4.86% 4.64% 11/2005 21922.93422 18586.07722 2005-12-31 2006-01-31 6.81% 6.32% 12/2005 22988.25211 19447.8385 2006-01-31 2006-02-28 0.93% -0.34% 01/2006 24554.76458 20677.90796 2006-02-28 2006-03-31 4.21% 3.17% 02/2006 24784.01031 20608.4637 2006-03-31 2006-04-30 5.03% 4.78% 03/2006 25828.35195 21262.03853 2006-04-30 2006-05-31 -4.04% -3.80% 04/2006 27127.41107 22278.72975 2006-05-31 2006-06-30 -0.69% -0.13% 05/2006 26032.12593 21432.31082 2006-06-30 2006-07-31 1.55% 0.94% 06/2006 25853.70737 21404.7152 2006-07-31 2006-08-31 3.40% 2.84% 07/2006 26254.23957 21605.26571 2006-08-31 2006-09-30 1.40% -0.08% 08/2006 27145.74672 22219.30598 2006-09-30 2006-10-31 4.42% 3.95% 09/2006 27525.69601 22201.41652 2006-10-31 2006-11-30 3.27% 2.98% 10/2006 28741.21819 23078.81278 2006-11-30 2006-12-31 3.89% 2.87% 11/2006 29682.26762 23766.23179 2006-12-31 2007-01-31 1.86% 0.61% 12/2006 30837.95238 24447.67862 2007-01-31 2007-02-28 -0.08% 0.80% 01/2007 31411.24765 24596.81523 2007-02-28 2007-03-31 3.21% 2.56% 02/2007 31384.58275 24793.58307 2007-03-31 2007-04-30 5.02% 4.55% 03/2007 32390.52649 25428.87548 2007-04-30 2007-05-31 3.41% 2.22% 04/2007 34018.05706 26585.83302 2007-05-31 2007-06-30 -0.73% 0.10% 05/2007 35178.67313 27176.22708 2007-06-30 2007-07-31 -2.79% -1.38% 06/2007 34921.77255 27203.4992 2007-07-31 2007-08-31 -1.16% -1.45% 07/2007 33946.07692 26827.45133 2007-08-31 2007-09-30 5.20% 5.68% 08/2007 33553.0884 26439.13227 2007-09-30 2007-10-31 4.82% 4.35% 09/2007 35299.35435 27941.23223 2007-10-31 2007-11-30 -6.08% -3.91% 10/2007 37002.33363 29155.8544 2007-11-30 2007-12-31 -2.18% -1.88% 11/2007 34754.40098 28015.69869 2007-12-31 2008-01-31 -8.10% -9.02% 12/2007 33996.95854 27489.05893 2008-01-31 2008-02-29 -1.30% 1.81% 01/2008 31243.09308 25010.60702 2008-02-29 2008-03-31 1.20% -1.43% 02/2008 30837.70172 25463.85563 2008-03-31 2008-04-30 4.44% 5.56% 03/2008 31208.57186 25100.36419 2008-04-30 2008-05-31 0.04% 1.52% 04/2008 32594.06452 26495.58367 2008-05-31 2008-06-30 -9.93% -7.78% 05/2008 32608.05939 26897.647 2008-06-30 2008-07-31 -2.83% -3.56% 06/2008 29370.82391 24806.01124 2008-07-31 2008-08-31 -4.22% -3.87% 07/2008 28539.43896 23923.25865 2008-08-31 2008-09-30 -11.67% -14.44% 08/2008 27335.36418 22998.07514 2008-09-30 2008-10-31 -25.09% -20.80% 09/2008 24144.95697 19677.65227 2008-10-31 2008-11-30 -6.14% -5.42% 10/2008 18087.08247 15584.31425 2008-11-30 2008-12-31 7.48% 5.27% 11/2008 16976.47214 14739.1788 2008-12-31 2009-01-31 -13.77% -9.33% 12/2008 18245.54429 15516.16027 2009-01-31 2009-02-28 -12.28% -10.12% 01/2009 15732.42393 14068.39209 2009-02-28 2009-03-31 10.86% 6.59% 02/2009 13800.37187 12644.22388 2009-03-31 2009-04-30 18.36% 12.90% 03/2009 15299.27245 13477.42184 2009-04-30 2009-05-31 14.87% 12.65% 04/2009 18108.74874 15215.45069 2009-05-31 2009-06-30 -1.50% -1.04% 05/2009 20801.77005 17139.69107 2009-06-30 2009-07-31 11.83% 9.39% 06/2009 20489.9563 16962.2042 2009-07-31 2009-08-31 5.68% 4.79% 07/2009 22914.45329 18554.91583 2009-08-31 2009-09-30 5.14% 4.13% 08/2009 24215.40289 19444.16669 2009-09-30 2009-10-31 -4.02% -1.61% 09/2009 25461.20336 20246.4017 2009-10-31 2009-11-30 2.92% 2.47% 10/2009 24436.81675 19921.38374 2009-11-30 2009-12-31 1.17% 1.59% 11/2009 25149.43352 20414.28949 2009-12-31 2010-01-31 -5.81% -4.69% 12/2009 25443.82537 20739.71496 2010-01-31 2010-02-28 0.31% -0.10% 01/2010 23966.44196 19767.55316 2010-02-28 2010-03-31 7.97% 6.44% 02/2010 24041.05729 19747.74296 2010-03-31 2010-04-30 -1.73% -1.49% 03/2010 25957.78491 21018.97237 2010-04-30 2010-05-31 -11.77% -11.03% 04/2010 25509.72188 20705.5737 2010-05-31 2010-06-30 -1.74% -1.45% 05/2010 22507.69958 18420.71863 2010-06-30 2010-07-31 12.47% 9.24% 06/2010 22116.59996 18154.24072 2010-07-31 2010-08-31 -4.94% -2.99% 07/2010 24875.49043 19832.15152 2010-08-31 2010-09-30 10.71% 9.59% 08/2010 23647.63258 19239.37361 2010-09-30 2010-10-31 3.55% 3.56% 09/2010 26180.33381 21084.94731 2010-10-31 2010-11-30 -5.11% -4.23% 10/2010 27108.82239 21836.08012 2010-11-30 2010-12-31 9.37% 8.05% 11/2010 25723.70008 20911.33371 2010-12-31 2011-01-31 4.24% 2.15% 12/2010 28133.66739 22595.14698 2011-01-31 2011-02-28 3.29% 3.71% 01/2011 29327.58798 23081.88961 2011-02-28 2011-03-31 -2.76% -2.00% 02/2011 30291.90846 23937.75502 2011-03-31 2011-04-30 5.32% 5.45% 03/2011 29456.56933 23458.22183 2011-04-30 2011-05-31 -3.61% -2.96% 04/2011 31022.26504 24735.79508 2011-05-31 2011-06-30 -1.40% -1.42% 05/2011 29901.71811 24002.51829 2011-06-30 2011-07-31 -3.23% -1.65% 06/2011 29484.57427 23660.6711 2011-07-31 2011-08-31 -10.72% -8.45% 07/2011 28532.45196 23270.36799 2011-08-31 2011-09-30 -10.94% -10.04% 08/2011 25473.17375 21303.01857 2011-09-30 2011-10-31 9.49% 9.73% 09/2011 22685.27339 19163.70779 2011-10-31 2011-11-30 -3.23% -4.62% 10/2011 24837.55649 21027.44381 2011-11-30 2011-12-31 -2.67% -1.09% 11/2011 24036.33538 20055.70845 2011-12-31 2012-01-31 6.72% 5.40% 12/2011 23393.74868 19836.86573 2012-01-31 2012-02-29 5.15% 5.50% 01/2012 24964.9706 20907.86348 2012-02-29 2012-03-31 -0.78% -0.74% 02/2012 26250.51581 22057.34745 2012-03-31 2012-04-30 -3.60% -1.70% 03/2012 26045.87111 21894.09324 2012-04-30 2012-05-31 -12.35% -11.40% 04/2012 25107.71092 21522.48712 2012-05-31 2012-06-30 7.04% 6.55% 05/2012 22007.01197 19068.8287 2012-06-30 2012-07-31 -0.41% 1.25% 06/2012 23556.58362 20318.28267 2012-07-31 2012-08-31 4.08% 2.85% 07/2012 23459.30936 20571.27444 2012-08-31 2012-09-30 3.55% 3.04% 08/2012 24415.8396 21158.19849 2012-09-30 2012-10-31 1.29% 0.70% 09/2012 25283.43726 21800.59481 10/31/2012 25609.25475 21953.36604
Five One Year Years Ten Years -------- ----- --------- 2.98% -7.10% 9.86% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. U.S. Large Company Portfolio vs. S&P 500(R) Index October 31, 2002-October 31, 2012
U.S. Large BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Portfolio S&P 500 Index --------- ---------- ----------- ----------------- ---------- ----------------- ------------- 2002-10-31 2002-11-30 5.90% 5.89% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.97% -5.88% 11/2002 10589.92806 10588.59043 2002-12-31 2003-01-31 -2.62% -2.62% 12/2002 9957.757337 9966.404855 2003-01-31 2003-02-28 -1.49% -1.50% 01/2003 9697.234617 9705.285048 2003-02-28 2003-03-31 0.92% 0.97% 02/2003 9552.49977 9559.705772 2003-03-31 2003-04-30 8.28% 8.24% 03/2003 9640.806344 9652.530516 2003-04-30 2003-05-31 5.29% 5.27% 04/2003 10439.36711 10447.60945 2003-05-31 2003-06-30 1.30% 1.28% 05/2003 10991.1 10998.094 2003-06-30 2003-07-31 1.70% 1.76% 06/2003 11134.45866 11138.8696 2003-07-31 2003-08-31 1.93% 1.95% 07/2003 11323.91934 11335.24787 2003-08-31 2003-09-30 -1.13% -1.06% 08/2003 11542.52782 11556.2852 2003-09-30 2003-10-31 5.77% 5.66% 09/2003 11411.63565 11433.55746 2003-10-31 2003-11-30 0.85% 0.88% 10/2003 12069.99925 12080.3538 2003-11-30 2003-12-31 5.14% 5.24% 11/2003 12172.41137 12186.66091 2003-12-31 2004-01-31 1.84% 1.84% 12/2003 12798.33163 12825.72941 2004-01-31 2004-02-29 1.35% 1.39% 01/2004 13033.70324 13061.14532 2004-02-29 2004-03-31 -1.45% -1.51% 02/2004 13210.23195 13242.68797 2004-03-31 2004-04-30 -1.59% -1.57% 03/2004 13018.66304 13042.85581 2004-04-30 2004-05-31 1.38% 1.37% 04/2004 12812.25163 12838.08298 2004-05-31 2004-06-30 1.96% 1.94% 05/2004 12989.1757 13014.22147 2004-06-30 2004-07-31 -3.35% -3.31% 06/2004 13244.24124 13267.21794 2004-07-31 2004-08-31 0.35% 0.40% 07/2004 12800.30019 12828.07303 2004-08-31 2004-09-30 1.09% 1.08% 08/2004 12844.6943 12879.77016 2004-09-30 2004-10-31 1.49% 1.53% 09/2004 12985.21644 13019.25807 2004-10-31 2004-11-30 4.06% 4.05% 10/2004 13178.36039 13218.19233 2004-11-30 2004-12-31 3.38% 3.40% 11/2004 13713.22056 13753.0004 2004-12-31 2005-01-31 -2.43% -2.44% 12/2004 14177.08805 14221.015 2005-01-31 2005-02-28 2.17% 2.10% 01/2005 13832.40198 13874.37776 2005-02-28 2005-03-31 -1.81% -1.77% 02/2005 14132.129 14166.29467 2005-03-31 2005-04-30 -1.84% -1.90% 03/2005 13877.03017 13915.40959 2005-04-30 2005-05-31 3.09% 3.18% 04/2005 13621.71684 13651.43427 2005-05-31 2005-06-30 0.18% 0.14% 05/2005 14042.23291 14085.82291 2005-06-30 2005-07-31 3.75% 3.72% 06/2005 14067.64538 14105.82477 2005-07-31 2005-08-31 -0.93% -0.91% 07/2005 14595.37055 14630.56146 2005-08-31 2005-09-30 0.80% 0.81% 08/2005 14459.66979 14497.13074 2005-09-30 2005-10-31 -1.66% -1.67% 09/2005 14575.69574 14614.55749 2005-10-31 2005-11-30 3.81% 3.78% 10/2005 14333.27253 14370.93282 2005-11-30 2005-12-31 0.03% 0.04% 11/2005 14878.72476 14914.4415 2005-12-31 2006-01-31 2.66% 2.65% 12/2005 14882.49415 14919.66156 2006-01-31 2006-02-28 0.20% 0.27% 01/2006 15278.95404 15314.73419 2006-02-28 2006-03-31 1.26% 1.25% 02/2006 15309.45095 15356.23712 2006-03-31 2006-04-30 1.38% 1.34% 03/2006 15502.09639 15547.42228 2006-04-30 2006-05-31 -2.92% -2.88% 04/2006 15716.12928 15756.22416 2006-05-31 2006-06-30 0.20% 0.14% 05/2006 15257.48738 15302.76003 2006-06-30 2006-07-31 0.60% 0.62% 06/2006 15287.37212 15323.57178 2006-07-31 2006-08-31 2.40% 2.38% 07/2006 15379.55728 15418.11822 2006-08-31 2006-09-30 2.52% 2.58% 08/2006 15748.29792 15784.96351 2006-09-30 2006-10-31 3.25% 3.26% 09/2006 16145.28992 16191.74202 2006-10-31 2006-11-30 1.85% 1.90% 10/2006 16670.08901 16719.43089 2006-11-30 2006-12-31 1.44% 1.40% 11/2006 16978.79437 17037.43447 2006-12-31 2007-01-31 1.53% 1.51% 12/2006 17222.48265 17276.43134 2007-01-31 2007-02-28 -1.95% -1.96% 01/2007 17486.48825 17537.70592 2007-02-28 2007-03-31 1.06% 1.12% 02/2007 17144.83395 17194.68908 2007-03-31 2007-04-30 4.50% 4.43% 03/2007 17325.7434 17387.01168 2007-04-30 2007-05-31 3.44% 3.49% 04/2007 18104.77863 18157.17406 2007-05-31 2007-06-30 -1.61% -1.66% 05/2007 18728.00682 18790.77083 2007-06-30 2007-07-31 -3.14% -3.10% 06/2007 18425.59314 18478.59355 2007-07-31 2007-08-31 1.49% 1.50% 07/2007 17846.36888 17905.66827 2007-08-31 2007-09-30 3.75% 3.74% 08/2007 18112.49895 18174.07549 2007-09-30 2007-10-31 1.59% 1.59% 09/2007 18791.3635 18853.78591 2007-10-31 2007-11-30 -4.20% -4.18% 10/2007 19090.13831 19153.74965 2007-11-30 2007-12-31 -0.63% -0.69% 11/2007 18288.16381 18352.93137 2007-12-31 2008-01-31 -6.01% -6.00% 12/2007 18173.16771 18225.56203 2008-01-31 2008-02-29 -3.24% -3.25% 01/2008 17080.87801 17132.02831 2008-02-29 2008-03-31 -0.38% -0.43% 02/2008 16526.81802 16575.40871 2008-03-31 2008-04-30 4.83% 4.87% 03/2008 16464.39329 16503.80294 2008-04-30 2008-05-31 1.29% 1.30% 04/2008 17259.00687 17307.53814 2008-05-31 2008-06-30 -8.39% -8.43% 05/2008 17481.49867 17532.53614 2008-06-30 2008-07-31 -0.80% -0.84% 06/2008 16014.92457 16054.54334 2008-07-31 2008-08-31 1.41% 1.45% 07/2008 15887.18838 15919.52463 2008-08-31 2008-09-30 -8.81% -8.91% 08/2008 16110.72671 16149.72096 2008-09-30 2008-10-31 -16.72% -16.80% 09/2008 14692.09247 14710.61933 2008-10-31 2008-11-30 -7.09% -7.18% 10/2008 12235.38193 12239.97081 2008-11-30 2008-12-31 1.09% 1.06% 11/2008 11368.30762 11361.7529 2008-12-31 2009-01-31 -8.33% -8.43% 12/2008 11492.64848 11482.64196 2009-01-31 2009-02-28 -10.63% -10.65% 01/2009 10534.92778 10514.81106 2009-02-28 2009-03-31 8.77% 8.76% 02/2009 9414.881527 9395.193977 2009-03-31 2009-04-30 9.57% 9.57% 03/2009 10240.85997 10218.16778 2009-04-30 2009-05-31 5.68% 5.59% 04/2009 11220.84657 11196.14862 2009-05-31 2009-06-30 0.13% 0.20% 05/2009 11857.83786 11822.34921 2009-06-30 2009-07-31 7.61% 7.56% 06/2009 11872.67009 11845.75746 2009-07-31 2009-08-31 3.60% 3.61% 07/2009 12775.84693 12741.73881 2009-08-31 2009-09-30 3.75% 3.73% 08/2009 13235.64605 13201.71558 2009-09-30 2009-10-31 -1.92% -1.86% 09/2009 13731.58842 13694.4036 2009-10-31 2009-11-30 6.00% 6.00% 10/2009 13467.51941 13440.00171 2009-11-30 2009-12-31 1.93% 1.93% 11/2009 14276.23074 14246.13301 2009-12-31 2010-01-31 -3.54% -3.60% 12/2009 14551.92186 14521.3683 2010-01-31 2010-02-28 3.08% 3.10% 01/2010 14036.95659 13999.03468 2010-02-28 2010-03-31 6.06% 6.03% 02/2010 14468.86295 14432.68278 2010-03-31 2010-04-30 1.52% 1.58% 03/2010 15345.50396 15303.60859 2010-04-30 2010-05-31 -8.02% -7.99% 04/2010 15578.76895 15545.20666 2010-05-31 2010-06-30 -5.23% -5.23% 05/2010 14329.13507 14303.92191 2010-06-30 2010-07-31 7.01% 7.01% 06/2010 13580.01764 13555.1402 2010-07-31 2010-08-31 -4.48% -4.51% 07/2010 14532.1222 14504.85399 2010-08-31 2010-09-30 8.89% 8.92% 08/2010 13880.68224 13850.04686 2010-09-30 2010-10-31 3.78% 3.80% 09/2010 15114.81898 15086.08045 2010-10-31 2010-11-30 0.00% 0.01% 10/2010 15685.82325 15660.09072 2010-11-30 2010-12-31 6.68% 6.68% 11/2010 15685.82326 15662.09521 2010-12-31 2011-01-31 2.42% 2.37% 12/2010 16734.28613 16708.8087 2011-01-31 2011-02-28 3.35% 3.43% 01/2011 17139.9658 17104.82417 2011-02-28 2011-03-31 0.12% 0.04% 02/2011 17714.67865 17690.81834 2011-03-31 2011-04-30 2.87% 2.96% 03/2011 17735.22244 17697.8416 2011-04-30 2011-05-31 -1.12% -1.13% 04/2011 18243.88083 18221.96318 2011-05-31 2011-06-30 -1.70% -1.67% 05/2011 18040.41748 18015.70878 2011-06-30 2011-07-31 -2.02% -2.03% 06/2011 17734.49579 17715.40493 2011-07-31 2011-08-31 -5.39% -5.43% 07/2011 17376.73939 17355.17988 2011-08-31 2011-09-30 -7.08% -7.03% 08/2011 16439.75835 16412.42916 2011-09-30 2011-10-31 10.99% 10.93% 09/2011 15275.85169 15258.66821 2011-10-31 2011-11-30 -0.30% -0.22% 10/2011 16954.14033 16926.33384 2011-11-30 2011-12-31 1.08% 1.02% 11/2011 16902.76415 16888.94356 2011-12-31 2012-01-31 4.44% 4.48% 12/2011 17086.04496 17061.70057 2012-01-31 2012-02-29 4.26% 4.32% 01/2012 17845.42473 17826.32068 2012-02-29 2012-03-31 3.35% 3.29% 02/2012 18604.80451 18597.14861 2012-03-31 2012-04-30 -0.63% -0.63% 03/2012 19227.7994 19209.16218 2012-04-30 2012-05-31 -6.07% -6.01% 04/2012 19106.65215 19088.60547 2012-05-31 2012-06-30 4.13% 4.12% 05/2012 17947.09989 17941.38029 2012-06-30 2012-07-31 1.40% 1.39% 06/2012 18688.93285 18680.60498 2012-07-31 2012-08-31 2.20% 2.25% 07/2012 18949.95146 18940.05976 2012-08-31 2012-09-30 2.58% 2.58% 08/2012 19367.58125 19366.64291 2012-09-30 2012-10-31 -1.85% -1.85% 09/2012 19867.87774 19867.11129 10/31/2012 19500.60184 19500.27841
One Year Five Years Ten Years -------- ---------- --------- 15.02% 0.43% 6.91% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor's Index Services Group. 192 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS International Equity Market Review 12 Months Ended October 31, 2012
The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps.
12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI World ex USA Index........... 4.40% MSCI World ex USA Small Cap Index. 4.86% MSCI World ex USA Value Index..... 4.74% MSCI World ex USA Growth Index.... 3.99%
-------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar.
12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Foreign Developed Markets by Market Cap Return Return --------------------------------------------------- -------- ----------- United Kingdom.................... 8.61% 8.41% Japan............................. -0.86% -3.28% Canada............................ 3.34% 2.69% France............................ 10.04% 2.23% Australia......................... 10.20% 7.71% Switzerland....................... 17.41% 9.79% Germany........................... 18.18% 9.79% Spain............................. -6.40% -13.04% Sweden............................ 9.26% 6.47% Hong Kong......................... 16.12% 16.34%
-------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 193
12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI Emerging Markets Index........... 2.63% MSCI Emerging Markets Small Cap Index. 3.74% MSCI Emerging Markets Value Index..... 1.36% MSCI Emerging Markets Growth Index.... 3.89%
-------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar.
12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ----------- China........................ 7.71% 7.92% South Korea.................. 1.71% 3.35% Brazil....................... 4.65% -12.68% Taiwan....................... -1.78% 0.59% South Africa................. 17.70% 6.84% India........................ 5.24% -4.73% Russia....................... -1.42% -4.50% Mexico....................... 16.32% 17.03% Malaysia..................... 11.39% 12.19% Indonesia.................... 12.64% 3.82%
-------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Master-Feeder Structure The Portfolio described below, called a "Feeder Fund," does not buy individual securities directly; instead, the Portfolio invests in a corresponding fund called a "Master Fund." The Master Fund, in turn, purchases stocks and/or other securities. INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE OVERVIEW DFA International Value Portfolio The DFA International Value Portfolio seeks to capture the returns of international large company value stocks by purchasing shares of The DFA International Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Master Fund held approximately 530 securities in 23 developed countries. In general, the Master Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ending October 31, 2012, total returns were 2.70% for the Portfolio's Class R2 shares, 2.98% for the Portfolio's Institutional Class shares, and 4.40% for the MSCI World ex USA Index (net dividends). The Master Fund focuses on international large-cap value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. International large-cap value stocks, as measured by high book-to-market ratios, generally underperformed during the period. The Master Fund had significantly greater exposure than the Index to value stocks, which contributed to relative underperformance. In particular, large-cap value stocks in 194 Japan significantly underperformed. As the Master Fund has significantly more weight in these securities than the Index, these holdings detracted from relative performance. Differences in the valuation timing and methodology between the Master Fund and the Index contributed to relative performance. The Master Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Master Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. U.S. Equity Market Review 12 Months Ended October 31, 2012
The year ending October 31, 2012 saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below.
Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 3000(R) Index........................ 14.75% Russell Microcap(R) Index (micro cap stocks). 16.49% Russell 2000(R) Index (small cap stocks)..... 12.08% Russell 1000(R) Index (large cap stocks)..... 14.97% Dow Jones US Select REIT Index............... 14.09%
The value premium was positive across both large cap and small cap stocks.
Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 14.47% Russell 2000(R) Growth Index (small cap growth stocks). 9.70% Russell 1000(R) Value Index (large cap value stocks)... 16.89% Russell 1000(R) Growth Index (large cap growth stocks). 13.02%
-------- Source: Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. 195 Domestic Equity Portfolio Performance Overview 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. In addition to individual stocks, the Portfolio uses futures to gain market exposure for uninvested cash. The Portfolio was mostly invested in equities or equivalents throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, the total return was 15.02% for the Portfolio and 15.21% for the S&P 500(R) Index. The Portfolio's return is net of fees and expenses. The impact of fees and expenses was primarily responsible for the performance difference. 196 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, 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" reflect 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, 2012 EXPENSE TABLES
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* - --------- --------- ---------- -------- DFA International Value Portfolio** Actual Fund Return Class R2 Shares.. $1,000.00 $1,017.93 0.71% $3.60 Institutional Class Shares....... $1,000.00 $1,019.96 0.45% $2.28 Hypothetical 5% Annual Return Class R2 Shares.................. $1,000.00 $1,021.57 0.71% $3.61 Institutional Class Shares....... $1,000.00 $1,022.87 0.45% $2.29
197 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* - --------- --------- ---------- -------- U.S. Large Company Portfolio Actual Fund Return $1,000.00 $1,020.62 0.10% $0.51 Hypothetical 5% Annual Return $1,000.00 $1,024.63 0.10% $0.51
-------- * 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 (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 198 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company is represented in the Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Master Fund's holdings which reflects the investments by country. FEEDER FUND
Affiliated Investment Companies - ------------------------------- DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO
U.S. Large Company Portfolio Consumer Discretionary........ 11.1% Consumer Staples.............. 10.9% Energy........................ 11.3% Financials.................... 13.1% Health Care................... 12.2% Industrials................... 9.9% Information Technology........ 19.1% Materials..................... 3.5% Real Estate Investment Trusts. 2.1% Telecommunication Services.... 3.2% Utilities..................... 3.6% ----- 100.0%
199 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2012
Value+ - -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company....................................... $5,488,430,964 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,225,492,365)..................................... $5,488,430,964 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 200 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (87.9%) Consumer Discretionary -- (9.8%) *Amazon.com, Inc..................... 115,612 $ 26,916,786 0.7% #Comcast Corp. Class A............... 855,404 32,086,204 0.8% Home Depot, Inc. (The).............. 481,897 29,578,838 0.7% #McDonald's Corp..................... 322,373 27,981,976 0.7% #Walt Disney Co. (The)............... 573,590 28,146,061 0.7% Other Securities.................... 304,177,178 7.5% ------------ ---- Total Consumer Discretionary............ 448,887,043 11.1% ------------ ---- Consumer Staples -- (9.6%) Altria Group, Inc................... 649,853 20,665,325 0.5% #Coca-Cola Co. (The)................. 1,237,685 46,017,128 1.1% #CVS Caremark Corp................... 406,706 18,871,158 0.5% #PepsiCo, Inc........................ 497,507 34,447,385 0.8% #Philip Morris International, Inc.... 538,889 47,724,010 1.2% Procter & Gamble Co. (The).......... 880,482 60,964,574 1.5% #Wal-Mart Stores, Inc................ 537,291 40,307,571 1.0% Other Securities.................... 172,123,444 4.3% ------------ ---- Total Consumer Staples.................. 441,120,595 10.9% ------------ ---- Energy -- (9.9%) Chevron Corp........................ 627,254 69,129,663 1.7% ConocoPhillips...................... 388,264 22,461,072 0.6% #Exxon Mobil Corp.................... 1,475,617 134,532,002 3.3% Occidental Petroleum Corp........... 258,922 20,444,481 0.5% Schlumberger, Ltd................... 424,221 29,496,086 0.7% Other Securities.................... 179,270,354 4.5% ------------ ---- Total Energy............................ 455,333,658 11.3% ------------ ---- Financials -- (11.5%) #American Express Co................. 315,290 17,646,781 0.4% Bank of America Corp................ 3,445,163 32,108,919 0.8% *Berkshire Hathaway, Inc. Class B.... 586,237 50,621,565 1.3% #Citigroup, Inc...................... 937,452 35,051,330 0.9% #Goldman Sachs Group, Inc. (The)..... 144,063 17,631,871 0.4% JPMorgan Chase & Co................. 1,214,380 50,615,358 1.3% #U.S. Bancorp........................ 605,886 20,121,474 0.5% Wells Fargo & Co.................... 1,570,400 52,906,776 1.3% Other Securities.................... 251,683,942 6.2% ------------ ---- Total Financials........................ 528,388,016 13.1% ------------ ---- Health Care -- (10.7%) #Abbott Laboratories................. 501,682 32,870,205 0.8% #Amgen, Inc.......................... 246,397 21,324,428 0.5% #Bristol-Myers Squibb Co............. 536,746 17,846,805 0.4% #Johnson & Johnson................... 881,366 62,418,340 1.6% Merck & Co., Inc.................... 973,623 44,426,418 1.1% #Pfizer, Inc......................... 2,387,836 59,385,481 1.5% UnitedHealth Group, Inc............. 330,134 18,487,504 0.5% Other Securities.................... 235,341,303 5.8% ------------ ---- Total Health Care....................... 492,100,484 12.2% ------------ ---- Industrials -- (8.7%) 3M Co............................... 203,319 17,810,744 0.4% Caterpillar, Inc.................... 208,835 17,711,296 0.4% General Electric Co................. 3,375,438 71,086,724 1.8% #Union Pacific Corp.................. 151,401 18,626,865 0.5% 201 U.S. LARGE COMPANY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) United Parcel Service, Inc. Class B......................................... 229,794 $ 16,832,410 0.4% #United Technologies Corp.................................................... 268,160 20,959,386 0.5% Other Securities............................................................ 238,307,526 5.9% -------------- ----- Total Industrials............................................................... 401,334,951 9.9% -------------- ----- Information Technology -- (16.8%) Apple, Inc.................................................................. 299,668 178,332,427 4.4% #*Cisco Systems, Inc.......................................................... 1,691,120 28,985,797 0.7% *eBay, Inc................................................................... 370,763 17,904,145 0.4% *Google, Inc. Class A........................................................ 84,681 57,563,603 1.4% #Intel Corp.................................................................. 1,599,353 34,586,009 0.9% International Business Machines Corp........................................ 343,401 66,801,797 1.7% #Microsoft Corp.............................................................. 2,411,994 68,826,249 1.7% Oracle Corp................................................................. 1,217,449 37,801,791 0.9% QUALCOMM, Inc............................................................... 544,524 31,895,493 0.8% Visa, Inc................................................................... 167,087 23,184,992 0.6% Other Securities............................................................ 225,960,051 5.6% -------------- ----- Total Information Technology.................................................... 771,842,354 19.1% -------------- ----- Materials -- (3.1%) Other Securities............................................................ 141,009,003 3.5% -------------- ----- Real Estate Investment Trusts -- (1.8%) Other Securities............................................................ 83,664,162 2.1% -------------- ----- Telecommunication Services -- (2.8%) AT&T, Inc................................................................... 1,844,227 63,791,812 1.6% Verizon Communications, Inc................................................. 910,725 40,654,764 1.0% Other Securities............................................................ 23,537,946 0.6% -------------- ----- Total Telecommunication Services................................................ 127,984,522 3.2% -------------- ----- Utilities -- (3.2%) Other Securities............................................................ 146,566,901 3.6% -------------- ----- TOTAL COMMON STOCKS............................................................. 4,038,231,689 100.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.0%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 1,129,582 1,129,582 0.0% -------------- ----- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (12.1%) (S)@DFA Short Term Investment Fund.............................................. 47,921,323 554,449,706 13.7% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,507,276 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,511,812) to be repurchased at $1,463,350.................................................. $ 1,463 1,463,338 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL............................................. 555,913,044 13.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $3,051,408,570)......................................................... $4,595,274,315 113.8% ============== =====
202 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Porfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) --------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary. $ 448,887,043 -- -- $ 448,887,043 Consumer Staples....... 441,120,595 -- -- 441,120,595 Energy................. 455,333,658 -- -- 455,333,658 Financials............. 528,388,016 -- -- 528,388,016 Health Care............ 492,100,484 -- -- 492,100,484 Industrials............ 401,334,951 -- -- 401,334,951 Information Technology. 771,842,354 -- -- 771,842,354 Materials.............. 141,009,003 -- -- 141,009,003 Real Estate Investment Trusts.... 83,664,162 -- -- 83,664,162 Telecommunication Services............. 127,984,522 -- -- 127,984,522 Utilities.............. 146,566,901 -- -- 146,566,901 Temporary Cash Investments............. 1,129,582 -- -- 1,129,582 Securities Lending Collateral.............. -- $555,913,044 -- 555,913,044 Futures Contracts**....... (55,002) -- -- (55,002) -------------- ------------ -- -------------- TOTAL..................... $4,039,306,269 $555,913,044 -- $4,595,219,313 ============== ============ == ============== ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. See accompanying Notes to Financial Statements. 203 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES October 31, 2012 (Amounts in thousands, except share and per share amounts) DFA International U.S. Large Value Company Portfolio Portfolio -------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value......................................... $ 5,488,431 -- Investments at Value (including $0 and $542,644 of securities on loan, respectively).......... -- $ 4,038,232 Temporary Cash Investments at Value & Cost...... -- 1,130 Collateral Received from Securities on Loan at Value & Cost.................................. -- 1,463 Affiliated Collateral Received from Securities on Loan at Value & Cost....................... -- 554,450 Cash............................................ -- 151 Receivables: Dividends and Interest....................... -- 4,811 Securities Lending Income.................... -- 42 Fund Shares Sold............................. 11,620 2,146 Prepaid Expenses and Other Assets............... 47 49 -------------- ------------ Total Assets............................. 5,500,098 4,602,474 -------------- ------------ LIABILITIES: Payables: Upon Return of Securities Loaned............. -- 555,913 Affiliated Investment Company Purchased...... 5,618 -- Fund Shares Redeemed......................... 6,002 8,506 Due to Advisor............................... 916 281 Futures Margin Variation..................... -- 12 Accrued Expenses and Other Liabilities.......... 267 426 -------------- ------------ Total Liabilities........................ 12,803 565,138 -------------- ------------ NET ASSETS...................................... $ 5,487,295 $ 4,037,336 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $6,407 and $0 and sharesoutstanding of 407,575 and 0, respectively................... $ 15.72 N/A ============== ============ NUMBER OF SHARES AUTHORIZED..................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $5,480,888 and $4,037,336 and shares outstanding of 348,729,357 and 362,014,028,respectively...................... $ 15.72 $ 11.15 ============== ============ NUMBER OF SHARES AUTHORIZED..................... 1,500,000,000 900,000,000 ============== ============ Investment in Affiliated Investment Company at Cost.......................................... $ 5,225,492 $ -- -------------- ------------ Investments at Cost............................. $ -- $ 2,494,366 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital................................. $ 6,104,959 $ 3,069,449 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... 27,224 12,249 Accumulated Net Realized Gain (Loss)............ (907,779) (588,173) Net Unrealized Foreign Exchange Gain (Loss)..... (48) -- Net Unrealized Appreciation (Depreciation)...... 262,939 1,543,811 -------------- ------------ NET ASSETS...................................... $ 5,487,295 $ 4,037,336 ============== ============ See accompanying Notes to Financial Statements. 204 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) DFA International U.S. Large Value Company Portfolio* Portfolio ------------- ---------- Investment Income Dividends (Net of Foreign Taxes Withheld of $15,813 and $0, respectively)................... $199,285 $ 86,573 Interest.......................................... 2 92 Income from Securities Lending.................... 10,265 832 Expenses Allocated from Affiliated Investment Company......................................... (12,433) -- -------- -------- Total Investment Income....................... 197,119 87,497 -------- -------- Expenses Investment Advisory Services Fees................. -- 994 Administrative Services Fees...................... 10,513 1,987 Accounting & Transfer Agent Fees.................. 74 429 Shareholder Servicing Fees -- Class R2 Shares..... 16 -- S&P 500(R) Fees................................... -- 101 Custodian Fees.................................... -- 49 Filing Fees....................................... 122 79 Shareholders' Reports............................. 176 110 Directors'/Trustees' Fees & Expenses.............. 45 34 Professional Fees................................. 99 155 Other............................................. 53 57 -------- -------- Total Expenses................................ 11,098 3,995 -------- -------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)........................................ -- (21) -------- -------- Net Expenses...................................... 11,098 3,974 -------- -------- Net Investment Income (Loss)...................... 186,021 83,523 -------- -------- Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Investment Securities........................... -- 543 Net Realized Gain (Loss) on: Investment Securities Sold................................. 74,190 68,937 Futures....................................... -- 12,993 Foreign Currency Transactions................. (951) -- Change in Unrealized Appreciation (Depreciation) of:.............................. Investment Securities and Foreign Currency.................................... (96,127) 393,550 Futures....................................... -- (3,799) Translation of Foreign Currency Denominated Amounts......................... (209) -- -------- -------- Net Realized and Unrealized Gain (Loss)........... (23,097) 472,224 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations $162,924 $555,747 ======== ======== -------- * 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. 205 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
DFA International U.S. Large Value Portfolio Company Portfolio ----------------------- ---------------------- Year Year Year Year Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2012 2011 2012 2011 ----------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 186,021 $ 179,582 $ 83,523 $ 75,394 Capital Gain Distributions Received from Investment Securities.................... -- -- 543 -- Net Realized Gain (Loss) on: Investment Securities Sold.................. 74,190 112,233 68,937 (44,142) Futures..................................... -- -- 12,993 2,851 Foreign Currency Transactions............... (951) 364 -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......................... (96,127) (767,465) 393,550 251,680 Futures..................................... -- -- (3,799) 2,298 Translation of Foreign Currency Denominated Amounts....................... (209) (353) -- -- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 162,924 (475,639) 555,747 288,081 ----------- ---------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares.......................... (205) (172) -- -- Institutional Class Shares............... (180,761) (172,488) (81,785) (74,515) ----------- ---------- ---------- ---------- Total Distributions.................. (180,966) (172,660) (81,785) (74,515) ----------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued............................... 1,339,320 1,450,393 610,737 651,122 Shares Issued in Lieu of Cash Distributions............................. 168,269 162,689 70,255 62,748 Shares Redeemed............................. (1,295,677) (834,167) (879,631) (878,396) ----------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 211,912 778,915 (198,639) (164,526) ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets...................... 193,870 130,616 275,323 49,040 Net Assets...................................... Beginning of Period......................... 5,293,425 5,162,809 3,762,013 3,712,973 ----------- ---------- ---------- ---------- End of Period............................... $ 5,487,295 $5,293,425 $4,037,336 $3,762,013 =========== ========== ========== ========== (1) Shares Issued and Redeemed:................. Shares Issued............................... 89,258 82,666 57,663 65,475 Shares Issued in Lieu of Cash Distributions............................. 11,721 9,157 6,768 6,398 Shares Redeemed............................. (86,334) (47,291) (82,571) (89,099) Shares Reduced by Reverse Stock Split (Note G)............................ -- (2) -- -- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed............. 14,645 44,530 (18,140) (17,226) =========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................... $ 27,224 $ 22,345 $ 12,249 $ 10,511
See accompanying Notes to Financial Statements. 206 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
DFA International Value Portfolio- Class R2 Shares+ --------------------------------------------------- Year Year Year Year Period Ended Ended Ended Ended April 30, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2008(a) to 2012 2011 2010 2009 Oct. 31, 2008 -------- -------- -------- -------- ------------- Net Asset Value, Beginning of Period.............. $15.83 $17.82 $17.13 $13.58 $ 26.31 ------ ------ ------ ------ ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............... 0.51 0.53 0.37 0.42 0.66 Net Gains (Losses) on Securities (Realizedand Unrealized).................................. (0.13) (2.00) 1.29 4.10 (11.73) ------ ------ ------ ------ ------- Total from Investment Operations........... 0.38 (1.47) 1.66 4.52 (11.07) ------ ------ ------ ------ ------- Less Distributions ------------------ Net Investment Income.......................... (0.49) (0.52) (0.97) (0.97) (1.66) Net Realized Gains............................. -- -- -- -- -- ------ ------ ------ ------ ------- Total Distributions........................ (0.49) (0.52) (0.97) (0.97) (1.66) ------ ------ ------ ------ ------- Net Asset Value, End of Period.................... $15.72 $15.83 $17.82 $17.13 $ 13.58 ====== ====== ====== ====== ======= Total Return...................................... 2.70% (8.53)% 10.60% 34.86% (44.63)%(C) ------ ------ ------ ------ ------- Net Assets, End of Period (thousands)............. $6,407 $6,102 $4,952 $3,443 $ 3,372 Ratio of Expenses to Average Net Assets (D)....... 0.71% 0.71% 0.72% 0.74% 0.73%(B)(E) Ratio of Net Investment Income to Average Net Assets.......................................... 3.33% 2.97% 2.11% 2.96% 7.47%(B)(E)
DFA International Value Portfolio- Institutional Class Shares --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period.............. $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 $ 22.71 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............... 0.54 0.58 0.39 0.40 0.74 0.72 Net Gains (Losses) on Securities (Realizedand Unrealized).................................. (0.12) (1.99) 1.34 3.92 (12.44) 3.09 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations........... 0.42 (1.41) 1.73 4.32 (11.70) 3.81 ---------- ---------- ---------- ---------- ---------- ---------- Less Distributions ------------------ Net Investment Income.......................... (0.53) (0.57) (0.38) (0.40) (0.78) (0.63) Net Realized Gains............................. -- -- -- -- (0.49) (0.38) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions........................ (0.53) (0.57) (0.38) (0.40) (1.27) (1.01) ---------- ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.................... $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54 $ 25.51 ========== ========== ========== ========== ========== ========== Total Return...................................... 2.98% (8.26)% 10.94% 35.11% (47.96)%(C) 17.09% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)............. $5,480,888 $5,287,323 $5,157,857 $4,437,846 $3,350,073 $6,262,069 Ratio of Expenses to Average Net Assets (D)....... 0.45% 0.45% 0.45% 0.46% 0.44%(B) 0.44% Ratio of Net Investment Income to Average Net Assets.......................................... 3.54% 3.26% 2.34% 3.00% 3.86%(B) 2.89%
+ All per share amounts and net assets values prior to November 19, 2010 have been adjusted as a result of the reverse stock split on November 19, 2010. (Note G) See page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 207 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
U.S. Large Company Portfolio ------------------------------------------------------------------------------- Year Year Year Year Period Year Ended Ended Ended Ended Dec. 1, 2007 Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30, 2012 2011 2010 2009 Oct. 31, 2008 2007 ---------- ---------- ---------- -------- ------------- ---------- Net Asset Value, Beginning of Period........ $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 $ 11.00 ---------- ---------- ---------- -------- -------- ---------- Income from Investment Operations Net Investment Income (Loss) (A)......... 0.22 0.19 0.18 0.18 0.20 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).............. 1.25 0.56 1.15 0.55 (3.99) 0.62 ---------- ---------- ---------- -------- -------- ---------- Total from Investment Operations..... 1.47 0.75 1.33 0.73 (3.79) 0.84 ---------- ---------- ---------- -------- -------- ---------- Less Distributions Net Investment Income.................... (0.22) (0.19) (0.15) (0.19) (0.22) (0.21) ---------- ---------- ---------- -------- -------- ---------- Total Distributions.................. (0.22) (0.19) (0.15) (0.19) (0.22) (0.21) ---------- ---------- ---------- -------- -------- ---------- Net Asset Value, End of Period.............. $ 11.15 $ 9.90 $ 9.34 $ 8.16 $ 7.62 $ 11.63 ========== ========== ========== ======== ======== ========== Total Return................................ 15.02% 8.09% 16.47% 10.07% (33.10)%(C) 7.71% ---------- ---------- ---------- -------- -------- ---------- Net Assets, End of Period (thousands)....... $4,037,336 $3,762,013 $3,712,973 $785,689 $729,218 $1,002,142 Ratio of Expenses to Average Net Assets..... 0.10% 0.10% 0.10%** 0.10%(D) 0.10%(B)(D) 0.10%(D) Ratio of Expenses to Average Net Assets (Excluding Waiversand Assumption of Expenses and/or Recovery of Previously Waived Fees).............................. 0.10% 0.10% 0.11%** 0.13%(D) 0.11%(B)(D) 0.11%(D) Ratio of Net Investment Income to Average Net Assets................................ 2.10% 1.95% 1.99% 2.53% 2.10%(B) 1.90% Portfolio Turnover Rate..................... 4% 4% 1%* N/A N/A N/A ---------- ---------- ---------- -------- -------- ----------
* For the period September 10, 2010 through October 31, 2010. Effective September 10, 2010, the Portfolio directly invests in securities rather than through The U.S. Large Company Series. ** Represents the combined ratios for the portfolio and for the period November 1, 2009 through September 9, 2010, its respective pro-rata share of The U.S. Large Company Series. See Page 1 & 2 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 208 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 fifteen portfolios, two of which, DFA International Value Portfolio and U.S. Large Company Portfolio (the "Portfolios"), are presented in this section of the report. The remaining operational portfolios are presented in separate reports. DFA International Value Portfolio (the "Feeder Fund") primarily invests its assets in The DFA International Value Series (the "Series"), a corresponding Series of The DFA Investment Trust Company. At October 31, 2012, DFA International Value Portfolio owned 76% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Portfolio. Class R2 shares of DFA International Value Portfolio commenced operations on April 30, 2008. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure, elected with the consent of its respective Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the fund is a result of the treatment of a partnership for book purposes. The Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group Inc. and of Dimensional Investment Group Inc. approved an Agreement and Plan of Reorganization (the "Plan") which provided that (i) U.S. Large Company Institutional Index Portfolio (the "Acquiring Fund"), a portfolio of Dimensional Investment Group Inc. would acquire substantially all of the assets of U.S. Large Company Portfolio (the "Target Fund"), a portfolio of DFA Investment Dimensions Group Inc. in exchange solely for shares of capital stock of the Acquiring Fund; (ii) the shares of the Acquiring Fund would be distributed to the shareholders of the Target Fund according to their respective interests in the Target Fund; and (iii) the Target Fund would be liquidated and dissolved (the "Reorganization"). In conjunction with completing the Reorganization, the Acquiring Fund would change its name to "U.S. Large Company Portfolio." The Reorganization took place on May 7, 2010 and the Acquiring Fund changed its name to U.S. Large Company Portfolio effective May 8, 2010. The purpose of the transaction was to lower fees for the shareholders of the Target Fund and create operating efficiencies from economies of scale. The Reorganization was accomplished by a tax-free exchange of the following shares on May 7, 2010:
Target Value (in Fund Shares Acquiring Fund Shares thousands) ------ ---------- ----------------------------- ----------- ---------- U.S.Large U.S. Large Company Company Portfolio 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
209 The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
Unrealized Target Appreciation Fund Net Assets (Depreciation) Acquiring Fund Net Assets ------ ---------- -------------- ----------------------------- ---------- U.S. Large U.S. Large Company Company Portfolio $2,731,987 $315,984 Institutional Index Portfolio $870,696
Assuming the acquisition had been completed on November 1, 2009, U.S. Large Company Portfolio's result of operations for the year ended October 31, 2010 would have been as follows (in thousands): Net Investement Income................................. $ 71,681(a) Net Realized and Unrealized Gain (Loss) on Investments. 501,073(b) -------- Net Increase in Net Assets Resulting from Operations... $572,754 ========
(a)$43,125 as reported in the Statement of Operations, plus $27,799 Net Investment Income from U.S. Large Company Portfolio pre-merger, plus $757 of pro-forma eliminated expenses. (b)$596,596 as reported in the Statement of Operations, less $95,523 Net Realized and Unrealized Gain (Loss) on Investments from U.S. Large Company Portfolio pre-merger. Because both U.S. Large Company Portfolio and U.S. Large Company Institutional Index Portfolio sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis. Prior to September 10, 2010, U.S. Large Company Portfolio invested substantially all of its assets in shares of The U.S. Large Company Series. At the close of business on September 9, 2010, U.S. Large Company Portfolio received its pro-rata share of cash and securities from The U.S. Large Company Series in a complete liquidation of its interest in the Series. Effective September 10, 2010, U.S. Large Company Portfolio invests directly in securities rather than through the Series and maintains the same investment objective. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize a fair value heirarchy 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, 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) DFA International Value Portfolio's investment reflects its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy. 210 Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). Securities held by U.S. Large Company 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, U.S. Large Company Portfolio values the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by U.S. Large Company Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolios had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board of the Fund (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction 211 of cost of investments or as a realized gain, respectively. The Feeder Fund estimates the character of distributions received that may be considered return of capital distributions. Expenses directly attributable to the Feeder Fund are directly charged. Common expenses of the Fund are allocated using methods approved by the Board of Directors/Trustees, generally based on average net assets. Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides administrative services to the Portfolios, including supervision of services provided by others, providing information to the shareholders and to the Board of Directors/Trustees, and other administrative services. The Advisor provides investment advisory services to the Portfolios and the Series. The Advisor receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the year ended October 31, 2012, the Portfolios' administrative services 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. 0.20% U.S. Large Company Portfolio...... 0.05%
For the year ended October 31, 2012, the U.S. Large Company Portfolio's investment advisory 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. 0.025%
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2013, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2012, 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 expenses assumed as listed below (amounts in thousands). The Portfolios are 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.
Previously Recovery Waived Fees/ Expense of Previously Expenses Assumed Limitation Waived Fees/ Subject to Future Amount Expenses Assumed Recovery ---------- ---------------- ----------------- DFA International Value Portfolio -- Class R2 Shares (1) .. 0.79% -- -- U.S. Large Company Portfolio (2)........................... 0.10% -- $423
(1)The Advisor has contractually agreed to assume the Portfolio's direct expenses (excluding management fees and custodian fees and excluding any applicable 12b-1 fees) to the extent necessary to limit the annualized expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") of the Class R2 shares of the Portfolio to the rate listed above as a percentage of average net assets (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 will not cause the Portfolio's Class R2 shares' annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2)The Advisor has contractually agreed to waive all or a portion of its administration fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses"), so that such Portfolio Expenses do not exceed 212 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 will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $31 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 2012, 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 follow (amounts in thousands): DFA International Value Portfolio............ $145 U.S. Large Company Portfolio................. 214
E. Purchases and Sales of Securities: For the year ended October 31, 2012, U.S. Large Company Portfolio made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases.................................... $154,633 Sales........................................ 297,580
There were no purchases or sales of long-term U.S. government securities. 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 from 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 these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income, accumulated net realized gains or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, primarily attributable to net foreign currency gains/losses and realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
Increase Increase (Decrease) (Decrease) Increase Undistributed Accumulated (Decrease) Net Investment Net Realized Paid-In-Capital Income Gains (Losses) --------------- -------------- -------------- DFA International Value Portfolio. -- $(176) $176 U.S. Large Company Portfolio...... -- -- --
213 The tax character of dividends and distributions declared and paid during the years ended October 31, 2011 and October 31, 2012 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- -------- DFA International Value Portfolio. 2011.............................. $172,660 -- $172,660 2012.............................. 180,966 -- 180,966 U.S. Large Company Portfolio...... 2011.............................. 74,515 -- 74,515 2012.............................. 81,785 -- 81,785
At October 31, 2012, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Earnings Short-Term Long-Term Capital Loss (Accumulated Capital Gains Capital Gains Caryforward Losses) -------------- ------------- ------------ ------------- DFA International Value Portfolio. $30,233 -- $(906,903) $(876,670) U.S. Large Company Portfolio...... 12,462 -- (347,015) (334,553)
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. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
Expires on October 31, ---------------------------------------- 2015 2016 2017 2018 2019 Unlimited Total ------- -------- ------- ------- ------- --------- -------- DFA International Value Portfolio. -- $906,903 -- -- -- -- $906,903 U.S. Large Company Portfolio...... $34,996 100,024 $87,500 $80,822 $43,673 -- 347,015
During the year ended October 31, 2012, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Value Portfolio. $74,144 U.S. Large Company Portfolio...... 69,018
At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------- ------------ -------------- -------------- DFA International Value Portfolio. $5,229,166 $ 826,481 $(567,216) $ 259,265 U.S. Large Company Portfolio...... 3,292,622 1,732,778 (430,125) 1,302,653
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. 214 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 on a tax return. Management has analyzed the Portfolios' tax postions 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 remains subject to examination by the Internal Revenue Service. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (the "IRC") (S)336(a), the master fund recognized gain or loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized gain or loss as if it liquidated its investment in the master fund. As a result of the transaction, The DFA International Value Series recognized a ($2,309,440,866) and ($718,733) capital and currency loss respectively for tax year ended October 31, 2008. For tax purposes, pursuant to IRC (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands):
Year Year Ended Ended Oct. 31, 2012 Oct. 31, 2011 -------------------- ------------------- Amount Shares Amount Shares ----------- ------- ---------- ------- DFA International Value Portfolio --------------------------------- Class R2 Shares Shares Issued...................................... $ 2,362 154 $ 4,366 246 Shares Issued in Lieu of Cash Distributions........ 204 14 172 9 Shares Redeemed.................................... (2,235) (146) (2,617) (146) Shares Reduced by Reverse Stock Split.............. -- -- -- (2) ----------- ------- ---------- ------- Net Increase (Decrease) -- Class R2 Shares $ 331 22 $ 1,921 107 =========== ======= ========== ======= Institutional Class Shares Shares Issued...................................... $ 1,336,958 89,104 $1,446,027 82,420 Shares Issued in Lieu of Cash Distributions........ 168,065 11,707 162,517 9,148 Shares Redeemed.................................... (1,293,442) (86,188) (831,550) (47,145) ----------- ------- ---------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 211,581 14,623 $ 776,994 44,423 =========== ======= ========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of DFA International Value Portfolio's Class R2 Shares. On November 19, 2010, a reverse stock split was executed whereby each shareholder of Class R2 Shares received one share for every 2.631 shares held. The purpose of the reverse split was to reduce the number of Class R2 Shares, thereby increasing the net asset value of each Class R2 Share outstanding in order to more closely align the net asset value with the net asset value of DFA International Value Portfolio's Institutional Class Shares. The per share data in the financial highlights, capital share activity in the 215 statements of changes in net assets and the outstanding shares and net asset value as of October 31, 2010 in the statement of assets and liabilities have been adjusted retroactively to reflect the reverse stock splits for the respective Class R2 Shares. H. Financial Instruments: In accordance with U.S. Large Company Portfolio's investment objective and policies, U.S. Large Company 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. Repurchase Agreements: U.S. Large Company Portfolio may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with U.S. Large Company Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Futures Contracts: U.S. Large Company Portfolio may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, U.S. Large Company 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. 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 U.S. Large Company Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, U.S. Large Company 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 entering 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 U.S. Large Company Portfolio could lose more than the initial margin requirements. 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. At October 31, 2012, U.S. Large Company Portfolio had outstanding futues contracts (dollar amounts in thousands):
Approximate Number of Contract Unrealized Cash Description Expiration Date Contracts* Value Gain (Loss) Collateral ------------------ ---------------- ---------- -------- ----------- ----------- U.S. Large Company Portfolio. S&P 500 (R) Emini Index 12/21/2012 48 $3,376 $(55) $151
* During the year ended October 31, 2012, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $60,104 (in thousands). The following is a summary of U.S. Large Company Portfolio's location and value of derivative instrument holdings on U.S. Large Compnay Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure as of October 31, 2012 (amounts in thousands): 216
Asset Derivatives Value ----------------------- Location on the Statements of Assets and Equity Liabilities Contracts -------------------------- ----------------------- Payables: Futures Margin U.S. Large Company Portfolio. Variation $(55)*
* 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 location of realized and change in unrealized gains and losses on U.S. Large Company Portfolio's Statement of Operations for the Portfolio's derivative instrument holdings through the year ended October 31, 2012:
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts. Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures
The following is a summary of the realized and change in unrealized gains and losses from U.S. Large Company Portfolio's direct investment in derivative instrument holdings categorized by primary risk exposure for the year ended October 31, 2012 (amounts in thousands):
Realized Gain (Loss) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio................. $12,993 Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income -------------------------------- Equity Contracts -------------------------------- U.S. Large Company Portfolio................. $(3,799)
I. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowings. 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 217 of credit. The agreement of the line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to expiration. For the year ended October 31, 2012, borrowings by the Portfolios under this line of credit were as follows (amounts in thousands, except percentage and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- U.S. Large Company Portfolio. 0.86% $24,056 7 $4 $31,556
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that the Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2012. J. Securities Lending: As of October 31, 2012, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio receives cash collateral. The Portfolio invests its 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided 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. Subject to its stated investment policies, the Portfolio will generally invest its 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. 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 and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, 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 to be taxed at qualified dividend income rates. K. Shareholder Servicing Fees: The Class R2 Shares pay a shareholder servicing fee in the amount of 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 Class R2 Shares. L. Indemnitees; Contractual Obligations: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. 218 In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnification. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. Recently Issued Accounting Standards: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. N. Other: At October 31, 2012, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders is an omnibus account, which typically holds shares for the benefit of several other underlying investors. Approximate Percentage Number of of Oustanding Shareholders Shares ------------ ------------- DFA International Value Portfolio -- Class R2 Shares............................................ 2 63% DFA International Value Portfolio -- Institutional Class Shares...................................... 3 56% U.S. Large Company Portfolio........................ 3 76% The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business (for example, in The Tribune Company Bankruptcy, certain creditors have filed actions against all shareholders of The Tribune Company who tendered shares when the Tribune Company went private in 2007 in a leveraged buy-out transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. O. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 219 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders of the Portfolios, as defined, and Board of Directors of Dimensional Investment Group Inc.: In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments/ summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio and U.S. Large Company Portfolio (constituting portfolios within Dimensional Investment Group Inc., hereafter referred to as the "Portfolios") at October 31, 2012, 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 then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian, brokers, and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 220 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS The U.S. Large Cap Value Series vs. Russell 1000(R) Value Index October 31, 2002 - October 31, 2012
The U.S. Large Cap Russell 1000 (R) BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Series Value Index --------- ---------- ----------- ----------------- ---------- ------------------ ---------------- 2002-10-31 2002-11-30 7.05% 6.30% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.49% -4.34% 11/2002 10705.09955 10630 2002-12-31 2003-01-31 -2.34% -2.42% 12/2002 10223.93143 10168.658 2003-01-31 2003-02-28 -2.89% -2.67% 01/2003 9984.630377 9922.576476 2003-02-28 2003-03-31 -0.47% 0.17% 02/2003 9695.818754 9657.643684 2003-03-31 2003-04-30 9.26% 8.80% 03/2003 9650.054818 9674.061679 2003-04-30 2003-05-31 6.67% 6.46% 04/2003 10543.88494 10525.37911 2003-05-31 2003-06-30 1.07% 1.25% 05/2003 11247.36235 11205.3186 2003-06-30 2003-07-31 2.56% 1.49% 06/2003 11367.86413 11345.38508 2003-07-31 2003-08-31 3.56% 1.56% 07/2003 11658.49615 11514.43132 2003-08-31 2003-09-30 -2.20% -0.98% 08/2003 12073.68476 11694.05645 2003-09-30 2003-10-31 6.70% 6.12% 09/2003 11808.29575 11579.45469 2003-10-31 2003-11-30 2.24% 1.36% 10/2003 12599.9599 12288.11732 2003-11-30 2003-12-31 6.87% 6.16% 11/2003 12882.15164 12455.23571 2003-12-31 2004-01-31 1.70% 1.76% 12/2003 13767.16864 13222.47824 2004-01-31 2004-02-29 2.57% 2.14% 01/2004 14001.78868 13455.19385 2004-02-29 2004-03-31 -0.40% -0.88% 02/2004 14362.09803 13743.135 2004-03-31 2004-04-30 -1.64% -2.44% 03/2004 14304.20495 13622.19541 2004-04-30 2004-05-31 0.54% 1.02% 04/2004 14069.15932 13289.81384 2004-05-31 2004-06-30 3.02% 2.36% 05/2004 14144.7097 13425.36995 2004-06-30 2004-07-31 -3.24% -1.41% 06/2004 14572.39314 13742.20868 2004-07-31 2004-08-31 0.00% 1.42% 07/2004 14100.68562 13548.44353 2004-08-31 2004-09-30 3.07% 1.55% 08/2004 14100.68561 13740.83143 2004-09-30 2004-10-31 1.22% 1.66% 09/2004 14533.62279 13953.81432 2004-10-31 2004-11-30 6.55% 5.06% 10/2004 14711.06819 14185.44764 2004-11-30 2004-12-31 4.01% 3.35% 11/2004 15674.34319 14903.23129 2004-12-31 2005-01-31 -2.50% -1.78% 12/2004 16302.78274 15402.48954 2005-01-31 2005-02-28 3.05% 3.31% 01/2005 15894.78818 15128.32522 2005-02-28 2005-03-31 -0.27% -1.37% 02/2005 16379.28172 15629.07279 2005-03-31 2005-04-30 -3.39% -1.79% 03/2005 16334.64384 15414.95449 2005-04-30 2005-05-31 4.26% 2.41% 04/2005 15781.35992 15139.0268 2005-05-31 2005-06-30 2.06% 1.09% 05/2005 16453.81269 15503.59603 2005-06-30 2005-07-31 4.98% 2.89% 06/2005 16793.40915 15673.12716 2005-07-31 2005-08-31 -0.82% -0.43% 07/2005 17630.09145 16126.58428 2005-08-31 2005-09-30 1.54% 1.40% 08/2005 17484.95268 16056.50454 2005-09-30 2005-10-31 -2.65% -2.54% 09/2005 17754.26361 16281.94488 2005-10-31 2005-11-30 3.99% 3.27% 10/2005 17283.21464 15868.4229 2005-11-30 2005-12-31 0.14% 0.60% 11/2005 17973.32925 16387.32032 2005-12-31 2006-01-31 4.76% 3.88% 12/2005 17997.77062 16485.2089 2006-01-31 2006-02-28 -0.33% 0.61% 01/2006 18855.23265 17125.34866 2006-02-28 2006-03-31 1.78% 1.35% 02/2006 18792.70937 17229.93488 2006-03-31 2006-04-30 2.81% 2.54% 03/2006 19126.9216 17463.32185 2006-04-30 2006-05-31 -1.82% -2.53% 04/2006 19663.94327 17907.16926 2006-05-31 2006-06-30 0.85% 0.64% 05/2006 19305.92883 17454.821 2006-06-30 2006-07-31 -1.43% 2.43% 06/2006 19470.57243 17566.36245 2006-07-31 2006-08-31 1.64% 1.67% 07/2006 19191.90773 17993.46576 2006-08-31 2006-09-30 2.77% 1.99% 08/2006 19506.52917 18294.60194 2006-09-30 2006-10-31 3.96% 3.27% 09/2006 20047.08737 18659.10808 2006-10-31 2006-11-30 1.90% 2.28% 10/2006 20841.03142 19269.99021 2006-11-30 2006-12-31 2.01% 2.24% 11/2006 21237.42278 19709.86384 2006-12-31 2007-01-31 2.92% 1.28% 12/2006 21663.51368 20152.33357 2007-01-31 2007-02-28 -1.50% -1.56% 01/2007 22295.6056 20410.05615 2007-02-28 2007-03-31 0.70% 1.55% 02/2007 21960.40534 20091.86703 2007-03-31 2007-04-30 4.25% 3.70% 03/2007 22113.36395 20402.49503 2007-04-30 2007-05-31 4.12% 3.61% 04/2007 23053.94974 21156.42585 2007-05-31 2007-06-30 -1.61% -2.34% 05/2007 24004.13334 21919.52162 2007-06-30 2007-07-31 -6.20% -4.62% 06/2007 23618.05786 21407.34852 2007-07-31 2007-08-31 -1.91% 1.12% 07/2007 22154.5663 20417.39084 2007-08-31 2007-09-30 2.61% 3.43% 08/2007 21730.924 20646.17729 2007-09-30 2007-10-31 0.56% 0.01% 09/2007 22297.72063 21355.32822 2007-10-31 2007-11-30 -5.59% -4.89% 10/2007 22423.31438 21357.68501 2007-11-30 2007-12-31 -0.33% -0.97% 11/2007 21170.47349 20313.84869 2007-12-31 2008-01-31 -3.82% -4.01% 12/2007 21099.9937 20117.41337 2008-01-31 2008-02-29 -3.07% -4.19% 01/2008 20293.31499 19311.65235 2008-02-29 2008-03-31 -0.93% -0.75% 02/2008 19671.29767 18502.53608 2008-03-31 2008-04-30 6.30% 4.87% 03/2008 19487.71443 18363.76706 2008-04-30 2008-05-31 2.40% -0.16% 04/2008 20716.05461 19258.92111 2008-05-31 2008-06-30 -10.96% -9.57% 05/2008 21213.23992 19228.35404 2008-06-30 2008-07-31 -1.09% -0.36% 06/2008 18888.12217 17387.78848 2008-07-31 2008-08-31 1.94% 1.70% 07/2008 18682.4972 17325.02215 2008-08-31 2008-09-30 -8.98% -7.35% 08/2008 19044.78881 17619.54753 2008-09-30 2008-10-31 -22.48% -17.31% 09/2008 17333.87569 16325.01114 2008-10-31 2008-11-30 -9.81% -7.17% 10/2008 13436.89087 13498.95282 2008-11-30 2008-12-31 3.25% 1.39% 11/2008 12118.96573 12530.95655 2008-12-31 2009-01-31 -11.87% -11.50% 12/2008 12513.27114 12704.88624 2009-01-31 2009-02-28 -14.01% -13.36% 01/2009 11027.63177 11243.95781 2009-02-28 2009-03-31 9.88% 8.55% 02/2009 9482.168005 9741.64674 2009-03-31 2009-04-30 16.17% 10.72% 03/2009 10419.417 10574.58917 2009-04-30 2009-05-31 7.66% 6.18% 04/2009 12104.47104 11708.0967 2009-05-31 2009-06-30 -1.22% -0.74% 05/2009 13031.74929 12432.07598 2009-06-30 2009-07-31 9.53% 8.19% 06/2009 12872.21755 12340.27168 2009-07-31 2009-08-31 6.79% 5.23% 07/2009 14098.61783 13350.3397 2009-08-31 2009-09-30 4.37% 3.86% 08/2009 15055.80829 14048.63557 2009-09-30 2009-10-31 -4.31% -3.06% 09/2009 15713.87673 14591.41079 2009-10-31 2009-11-30 5.64% 5.64% 10/2009 15035.86682 14144.84834 2009-11-30 2009-12-31 2.76% 1.77% 11/2009 15883.37921 14942.09201 2009-12-31 2010-01-31 -2.32% -2.81% 12/2009 16322.0915 15206.51837 2010-01-31 2010-02-28 4.32% 3.16% 01/2010 15943.20362 14778.85081 2010-02-28 2010-03-31 7.79% 6.51% 02/2010 16631.18426 15245.34914 2010-03-31 2010-04-30 3.17% 2.59% 03/2010 17927.37968 16237.82243 2010-04-30 2010-05-31 -8.57% -8.22% 04/2010 18495.71152 16657.98918 2010-05-31 2010-06-30 -7.55% -5.63% 05/2010 16910.36481 15288.76974 2010-06-30 2010-07-31 7.84% 6.77% 06/2010 15634.11087 14428.09848 2010-07-31 2010-08-31 -6.03% -4.28% 07/2010 16860.51115 15404.85527 2010-08-31 2010-09-30 9.75% 7.76% 08/2010 15843.49628 14745.68693 2010-09-30 2010-10-31 3.73% 3.00% 09/2010 17388.96004 15889.70571 2010-10-31 2010-11-30 -0.77% -0.53% 10/2010 18037.05775 16366.49323 2010-11-30 2010-12-31 9.75% 7.89% 11/2010 17897.46747 16279.88285 2010-12-31 2011-01-31 3.20% 2.26% 12/2010 19642.34592 17564.43559 2011-01-31 2011-02-28 5.41% 3.69% 01/2011 20270.50216 17961.76269 2011-02-28 2011-03-31 0.47% 0.40% 02/2011 21367.28289 18624.27943 2011-03-31 2011-04-30 2.55% 2.66% 03/2011 21466.99023 18698.25097 2011-04-30 2011-05-31 -1.45% -1.06% 04/2011 22015.3806 19196.15319 2011-05-31 2011-06-30 -1.75% -2.05% 05/2011 21696.31712 18993.3429 2011-06-30 2011-07-31 -4.58% -3.32% 06/2011 21317.42923 18603.9051 2011-07-31 2011-08-31 -8.43% -6.24% 07/2011 20340.29729 17986.83479 2011-08-31 2011-09-30 -10.12% -7.56% 08/2011 18625.33105 16864.3465 2011-09-30 2011-10-31 13.88% 11.45% 09/2011 16740.86233 15589.84878 2011-10-31 2011-11-30 -0.84% -0.52% 10/2011 19064.04334 17374.76545 2011-11-30 2011-12-31 0.79% 2.02% 11/2011 18904.5116 17284.71058 2011-12-31 2012-01-31 4.97% 3.78% 12/2011 19054.07261 17633.02386 2012-01-31 2012-02-29 5.78% 3.99% 01/2012 20001.29233 18300.0833 2012-02-29 2012-03-31 1.84% 2.96% 02/2012 21157.89747 19029.58134 2012-03-31 2012-04-30 -2.04% -1.02% 03/2012 21546.7561 19593.70131 2012-04-30 2012-05-31 -7.09% -5.86% 04/2012 21108.0438 19393.89913 2012-05-31 2012-06-30 5.39% 4.96% 05/2012 19612.43371 18256.62174 2012-06-30 2012-07-31 0.96% 1.03% 06/2012 20669.33152 19163.05372 2012-07-31 2012-08-31 3.97% 2.17% 07/2012 20868.74619 19361.37516 2012-08-31 2012-09-30 3.68% 3.17% 08/2012 21696.31711 19781.74826 2012-09-30 2012-10-31 0.27% -0.49% 09/2012 22493.97582 20409.66857 10/31/2012 22553.80023 20309.47599
One Year Five Years Ten Years -------- ---------- --------- 18.31% 0.12% 8.47% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. The DFA International Value Series vs. MSCI World ex USA Index (net div.) October 31, 2002 - October 31, 2012
The DFA International MSCI World ex BeginDate EndDate FundReturns Benchmark0Returns EndDate Value Series USA Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------------- -------------------- 2002-10-31 2002-11-30 5.98% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.54% -3.23% 11/2002 10597.61676 10460.38388 2002-12-31 2003-01-31 -3.30% -3.81% 12/2002 10328.44944 10122.31597 2003-01-31 2003-02-28 -2.05% -1.97% 01/2003 9987.201112 9736.633173 2003-02-28 2003-03-31 -2.37% -1.93% 02/2003 9782.452114 9544.699524 2003-03-31 2003-04-30 10.98% 9.60% 03/2003 9550.780104 9360.754077 2003-04-30 2003-05-31 7.53% 6.20% 04/2003 10599.31443 10259.0855 2003-05-31 2003-06-30 3.23% 2.43% 05/2003 11397.11229 10895.37242 2003-06-30 2003-07-31 4.52% 2.29% 06/2003 11764.76014 11160.05075 2003-07-31 2003-08-31 2.63% 2.58% 07/2003 12296.37013 11416.08512 2003-08-31 2003-09-30 3.83% 3.00% 08/2003 12619.95882 11710.45636 2003-09-30 2003-10-31 7.88% 6.26% 09/2003 13102.93241 12061.78555 2003-10-31 2003-11-30 2.14% 2.27% 10/2003 14135.84737 12817.10429 2003-11-30 2003-12-31 7.50% 7.67% 11/2003 14438.43632 13107.63318 2003-12-31 2004-01-31 2.56% 1.39% 12/2003 15521.92655 14112.72688 2004-01-31 2004-02-29 3.01% 2.30% 01/2004 15919.32527 14309.22909 2004-02-29 2004-03-31 1.56% 0.50% 02/2004 16398.54138 14638.3333 2004-03-31 2004-04-30 -3.02% -2.62% 03/2004 16654.53512 14711.61449 2004-04-30 2004-05-31 1.01% 0.47% 04/2004 16151.6243 14326.52241 2004-05-31 2004-06-30 4.13% 2.31% 05/2004 16315.3627 14393.48999 2004-06-30 2004-07-31 -3.69% -3.05% 06/2004 16989.36133 14725.88378 2004-07-31 2004-08-31 1.30% 0.42% 07/2004 16362.75301 14276.8102 2004-08-31 2004-09-30 3.20% 2.91% 08/2004 16575.56338 14336.16895 2004-09-30 2004-10-31 3.82% 3.59% 09/2004 17105.7883 14754.05385 2004-10-31 2004-11-30 7.43% 6.65% 10/2004 17760.04307 15284.2776 2004-11-30 2004-12-31 4.98% 4.22% 11/2004 19080.44815 16300.75747 2004-12-31 2005-01-31 -1.00% -1.97% 12/2004 20030.65334 16989.40669 2005-01-31 2005-02-28 3.96% 4.45% 01/2005 19831.34336 16654.94269 2005-02-28 2005-03-31 -2.47% -2.27% 02/2005 20616.12642 17395.84581 2005-03-31 2005-04-30 -3.04% -2.55% 03/2005 20107.18718 17000.98254 2005-04-30 2005-05-31 0.13% 0.18% 04/2005 19496.36748 16567.48433 2005-05-31 2005-06-30 1.60% 1.63% 05/2005 19521.2989 16597.69751 2005-06-30 2005-07-31 4.46% 3.23% 06/2005 19834.17061 16869.00377 2005-07-31 2005-08-31 3.29% 2.76% 07/2005 20719.06031 17413.79488 2005-08-31 2005-09-30 2.81% 4.56% 08/2005 21401.68951 17894.53946 2005-09-30 2005-10-31 -1.50% -3.23% 09/2005 22003.41229 18711.18961 2005-10-31 2005-11-30 1.78% 2.65% 10/2005 21672.91621 18106.58452 2005-11-30 2005-12-31 4.90% 4.64% 11/2005 22058.75235 18586.07722 2005-12-31 2006-01-31 6.83% 6.32% 12/2005 23139.10286 19447.8385 2006-01-31 2006-02-28 0.96% -0.34% 01/2006 24719.46276 20677.90796 2006-02-28 2006-03-31 4.22% 3.17% 02/2006 24956.51674 20608.4637 2006-03-31 2006-04-30 5.06% 4.78% 03/2006 26010.09001 21262.03853 2006-04-30 2006-05-31 -4.05% -3.80% 04/2006 27327.0566 22278.72975 2006-05-31 2006-06-30 -0.63% -0.13% 05/2006 26220.80467 21432.31082 2006-06-30 2006-07-31 1.54% 0.94% 06/2006 26055.79316 21404.7152 2006-07-31 2006-08-31 3.44% 2.84% 07/2006 26457.06307 21605.26571 2006-08-31 2006-09-30 1.38% -0.08% 08/2006 27366.60821 22219.30598 2006-09-30 2006-10-31 4.44% 3.95% 09/2006 27745.53203 22201.41652 2006-10-31 2006-11-30 3.32% 2.98% 10/2006 28977.76406 23078.81278 2006-11-30 2006-12-31 3.90% 2.87% 11/2006 29940.61772 23766.23179 2006-12-31 2007-01-31 1.89% 0.61% 12/2006 31108.24776 24447.67862 2007-01-31 2007-02-28 -0.09% 0.80% 01/2007 31694.93227 24596.81523 2007-02-28 2007-03-31 3.23% 2.56% 02/2007 31666.99492 24793.58307 2007-03-31 2007-04-30 5.05% 4.55% 03/2007 32690.61921 25428.87548 2007-04-30 2007-05-31 3.42% 2.22% 04/2007 34340.53071 26585.83302 2007-05-31 2007-06-30 -0.73% 0.10% 05/2007 35515.04397 27176.22708 2007-06-30 2007-07-31 -2.78% -1.38% 06/2007 35255.53384 27203.4992 2007-07-31 2007-08-31 -1.12% -1.45% 07/2007 34275.02927 26827.45133 2007-08-31 2007-09-30 5.22% 5.68% 08/2007 33891.35358 26439.13227 2007-09-30 2007-10-31 4.85% 4.35% 09/2007 35660.69629 27941.23223 2007-10-31 2007-11-30 -6.06% -3.91% 10/2007 37390.13287 29155.8544 2007-11-30 2007-12-31 -2.15% -1.88% 11/2007 35125.11057 28015.69869 2007-12-31 2008-01-31 -8.10% -9.02% 12/2007 34368.5365 27489.05893 2008-01-31 2008-02-29 -1.27% 1.81% 01/2008 31584.40663 25010.60702 2008-02-29 2008-03-31 1.20% -1.43% 02/2008 31182.25454 25463.85563 2008-03-31 2008-04-30 4.47% 5.56% 03/2008 31555.9937 25100.36419 2008-04-30 2008-05-31 0.05% 1.52% 04/2008 32965.71164 26495.58367 2008-05-31 2008-06-30 -9.89% -7.78% 05/2008 32981.20304 26897.647 2008-06-30 2008-07-31 -2.83% -3.56% 06/2008 29719.76771 24806.01124 2008-07-31 2008-08-31 -4.18% -3.87% 07/2008 28878.34266 23923.25865 2008-08-31 2008-09-30 -11.68% -14.44% 08/2008 27671.77089 22998.07514 2008-09-30 2008-10-31 -25.08% -20.80% 09/2008 24439.82553 19677.65227 2008-10-31 2008-11-30 -6.13% -5.42% 10/2008 18311.13706 15584.31425 2008-11-30 2008-12-31 7.56% 5.27% 11/2008 17187.75442 14739.1788 2008-12-31 2009-01-31 -13.80% -9.33% 12/2008 18487.66861 15516.16027 2009-01-31 2009-02-28 -12.29% -10.12% 01/2009 15935.98519 14068.39209 2009-02-28 2009-03-31 10.91% 6.59% 02/2009 13978.08972 12644.22388 2009-03-31 2009-04-30 18.43% 12.90% 03/2009 15502.68045 13477.42184 2009-04-30 2009-05-31 14.86% 12.65% 04/2009 18359.28203 15215.45069 2009-05-31 2009-06-30 -1.52% -1.04% 05/2009 21087.49702 17139.69107 2009-06-30 2009-07-31 11.90% 9.39% 06/2009 20766.53055 16962.2042 2009-07-31 2009-08-31 5.73% 4.79% 07/2009 23237.97237 18554.91583 2009-08-31 2009-09-30 5.09% 4.13% 08/2009 24569.98322 19444.16669 2009-09-30 2009-10-31 -3.98% -1.61% 09/2009 25821.75245 20246.4017 2009-10-31 2009-11-30 2.98% 2.47% 10/2009 24794.65975 19921.38374 2009-11-30 2009-12-31 1.13% 1.59% 11/2009 25532.88262 20414.28949 2009-12-31 2010-01-31 -5.78% -4.69% 12/2009 25821.75244 20739.71496 2010-01-31 2010-02-28 0.40% -0.10% 01/2010 24329.25836 19767.55316 2010-02-28 2010-03-31 7.88% 6.44% 02/2010 24425.54831 19747.74296 2010-03-31 2010-04-30 -1.71% -1.49% 03/2010 26351.34713 21018.97237 2010-04-30 2010-05-31 -11.71% -11.03% 04/2010 25901.99407 20705.5737 2010-05-31 2010-06-30 -1.75% -1.45% 05/2010 22868.86094 18420.71863 2010-06-30 2010-07-31 12.50% 9.24% 06/2010 22467.65284 18154.24072 2010-07-31 2010-08-31 -4.89% -2.99% 07/2010 25276.10945 19832.15152 2010-08-31 2010-09-30 10.75% 9.59% 08/2010 24040.38854 19239.37361 2010-09-30 2010-10-31 3.50% 3.56% 09/2010 26624.16861 21084.94731 2010-10-31 2010-11-30 -5.01% -4.23% 10/2010 27554.97137 21836.08012 2010-11-30 2010-12-31 9.32% 8.05% 11/2010 26174.81554 20911.33371 2010-12-31 2011-01-31 4.26% 2.15% 12/2010 28614.16071 22595.14698 2011-01-31 2011-02-28 3.34% 3.71% 01/2011 29833.8333 23081.88961 2011-02-28 2011-03-31 -2.76% -2.00% 02/2011 30828.82935 23937.75502 2011-03-31 2011-04-30 5.35% 5.45% 03/2011 29978.26821 23458.22183 2011-04-30 2011-05-31 -3.61% -2.96% 04/2011 31583.10056 24735.79508 2011-05-31 2011-06-30 -1.37% -1.42% 05/2011 30443.66959 24002.51829 2011-06-30 2011-07-31 -3.21% -1.65% 06/2011 30026.41318 23660.6711 2011-07-31 2011-08-31 -10.71% -8.45% 07/2011 29063.51377 23270.36799 2011-08-31 2011-09-30 -10.95% -10.04% 08/2011 25950.13903 21303.01857 2011-09-30 2011-10-31 9.65% 9.73% 09/2011 23109.58578 19163.70779 2011-10-31 2011-11-30 -3.29% -4.62% 10/2011 25340.30274 21027.44381 2011-11-30 2011-12-31 -2.69% -1.09% 11/2011 24505.78992 20055.70845 2011-12-31 2012-01-31 6.73% 5.40% 12/2011 23847.80865 19836.86573 2012-01-31 2012-02-29 5.23% 5.50% 01/2012 25452.641 20907.86348 2012-02-29 2012-03-31 -0.84% -0.74% 02/2012 26784.65185 22057.34745 2012-03-31 2012-04-30 -3.56% -1.70% 03/2012 26559.97531 21894.09324 2012-04-30 2012-05-31 -12.34% -11.40% 04/2012 25613.12423 21522.48712 2012-05-31 2012-06-30 7.08% 6.55% 05/2012 22451.60451 19068.8287 2012-06-30 2012-07-31 -0.40% 1.25% 06/2012 24040.38854 20318.28267 2012-07-31 2012-08-31 4.16% 2.85% 07/2012 23944.09859 20571.27444 2012-08-31 2012-09-30 3.54% 3.04% 08/2012 24939.09466 21158.19849 2012-09-30 2012-10-31 1.24% 0.70% 09/2012 25821.75245 21800.59481 10/31/2012 26142.71891 21953.36604
One Year Five Years Ten Years -------- ---------- --------- 3.17% -6.91% 10.09% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Japanese Small Company Series vs. MSCI Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
The Japanese Small MSCI Japan Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------ -------------------- 2002-10-31 2002-11-30 -0.79% 0.75% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.80% -2.23% 11/2002 9920.844328 10075.08187 2002-12-31 2003-01-31 0.27% -0.58% 12/2002 9841.688656 9849.969381 2003-01-31 2003-02-28 7.22% 5.07% 01/2003 9868.073882 9792.859234 2003-02-28 2003-03-31 1.00% -1.62% 02/2003 10580.47494 10289.41133 2003-03-31 2003-04-30 4.44% 3.12% 03/2003 10686.01583 10122.74022 2003-04-30 2003-05-31 6.38% 4.57% 04/2003 11160.94987 10438.51008 2003-05-31 2003-06-30 8.00% 11.22% 05/2003 11873.35093 10915.49296 2003-06-30 2003-07-31 1.23% 1.17% 06/2003 12823.219 12140.63207 2003-07-31 2003-08-31 8.74% 12.61% 07/2003 12981.53034 12283.20775 2003-08-31 2003-09-30 6.54% 7.28% 08/2003 14116.09499 13831.70478 2003-09-30 2003-10-31 4.04% 7.41% 09/2003 15039.57785 14837.98823 2003-10-31 2003-11-30 -6.24% -6.87% 10/2003 15646.43801 15937.72465 2003-11-30 2003-12-31 5.94% 7.15% 11/2003 14670.18471 14842.64757 2003-12-31 2004-01-31 4.92% 3.64% 12/2003 15540.89711 15903.77806 2004-01-31 2004-02-29 0.65% -0.26% 01/2004 16306.06861 16482.86696 2004-02-29 2004-03-31 20.42% 18.33% 02/2004 16411.60951 16440.26731 2004-03-31 2004-04-30 -3.34% -3.18% 03/2004 19762.53299 19454.19207 2004-04-30 2004-05-31 -4.83% -4.97% 04/2004 19102.90239 18835.29913 2004-05-31 2004-06-30 9.72% 10.52% 05/2004 18179.41954 17899.83759 2004-06-30 2004-07-31 -6.35% -8.19% 06/2004 19947.22957 19782.60869 2004-07-31 2004-08-31 1.55% 1.04% 07/2004 18680.7388 18161.42602 2004-08-31 2004-09-30 -2.36% -3.02% 08/2004 18970.97626 18350.99444 2004-09-30 2004-10-31 1.99% 1.85% 09/2004 18522.42745 17797.06595 2004-10-31 2004-11-30 3.07% 4.35% 10/2004 18891.82059 18126.14819 2004-11-30 2004-12-31 4.88% 4.84% 11/2004 19472.29552 18914.90721 2004-12-31 2005-01-31 4.13% 3.40% 12/2004 20422.16359 19830.53329 2005-01-31 2005-02-28 3.72% 1.91% 01/2005 21266.49077 20505.07202 2005-02-28 2005-03-31 0.60% -0.23% 02/2005 22058.0475 20897.12186 2005-03-31 2005-04-30 -2.73% -0.81% 03/2005 22189.97362 20848.39852 2005-04-30 2005-05-31 -1.71% -1.84% 04/2005 21583.11347 20678.93181 2005-05-31 2005-06-30 1.87% 1.35% 05/2005 21213.72033 20298.06438 2005-06-30 2005-07-31 2.08% 2.83% 06/2005 21609.49869 20572.69895 2005-07-31 2005-08-31 5.62% 3.43% 07/2005 22058.0475 21155.3822 2005-08-31 2005-09-30 4.08% 6.25% 08/2005 23298.15305 21881.43987 2005-09-30 2005-10-31 3.16% 2.00% 09/2005 24248.02112 23249.02154 2005-10-31 2005-11-30 2.00% 4.27% 10/2005 25013.19263 23713.49078 2005-11-30 2005-12-31 11.27% 13.52% 11/2005 25514.51189 24726.96291 2005-12-31 2006-01-31 4.28% 3.19% 12/2005 28390.50134 28070.90178 2006-01-31 2006-02-28 -5.97% -6.51% 01/2006 29604.22165 28965.62742 2006-02-28 2006-03-31 4.45% 4.49% 02/2006 27836.41163 27079.52821 2006-03-31 2006-04-30 2.00% 0.50% 03/2006 29076.51717 28294.28366 2006-04-30 2006-05-31 -7.03% -8.02% 04/2006 29656.9921 28434.72936 2006-05-31 2006-06-30 -3.83% -3.13% 05/2006 27572.55938 26153.78472 2006-06-30 2006-07-31 -4.78% -6.61% 06/2006 26517.15041 25334.67345 2006-07-31 2006-08-31 1.67% 2.66% 07/2006 25250.65964 23659.84185 2006-08-31 2006-09-30 -1.54% -2.19% 08/2006 25672.82323 24289.11846 2006-09-30 2006-10-31 -0.73% -0.64% 09/2006 25277.04486 23757.55478 2006-10-31 2006-11-30 -0.63% -0.84% 10/2006 25092.34829 23605.12794 2006-11-30 2006-12-31 0.85% 0.58% 11/2006 24934.03695 23406.37397 2006-12-31 2007-01-31 2.10% 1.94% 12/2006 25145.11875 23542.69283 2007-01-31 2007-02-28 4.01% 3.95% 01/2007 25672.82323 24000.37275 2007-02-28 2007-03-31 -0.69% -0.92% 02/2007 26701.84698 24947.40195 2007-03-31 2007-04-30 -1.39% -1.71% 03/2007 26517.15041 24717.55696 2007-04-30 2007-05-31 -2.02% -2.38% 04/2007 26147.75727 24294.40116 2007-05-31 2007-06-30 1.65% 0.66% 05/2007 25620.05278 23715.33754 2007-06-30 2007-07-31 0.61% -0.03% 06/2007 26042.21638 23871.04781 2007-07-31 2007-08-31 -4.23% -6.09% 07/2007 26200.52772 23864.94367 2007-08-31 2007-09-30 -0.11% -0.61% 08/2007 25092.3483 22411.08335 2007-09-30 2007-10-31 0.63% 3.62% 09/2007 25065.96307 22275.03884 2007-10-31 2007-11-30 -2.30% -4.20% 10/2007 25224.27442 23080.52444 2007-11-30 2007-12-31 -6.21% -5.98% 11/2007 24643.79948 22110.18267 2007-12-31 2008-01-31 -2.85% -4.91% 12/2007 23113.45647 20787.37617 2008-01-31 2008-02-29 -0.71% 1.10% 01/2008 22453.82586 19766.37958 2008-02-29 2008-03-31 2.01% 0.03% 02/2008 22295.51452 19983.05381 2008-03-31 2008-04-30 0.70% 1.24% 03/2008 22744.06333 19989.52537 2008-04-30 2008-05-31 3.69% 3.08% 04/2008 22902.37468 20237.73298 2008-05-31 2008-06-30 -4.67% -6.14% 05/2008 23746.70186 20861.33463 2008-06-30 2008-07-31 -2.80% -3.27% 06/2008 22638.52244 19580.38503 2008-07-31 2008-08-31 -5.52% -4.42% 07/2008 22005.27706 18939.5221 2008-08-31 2008-09-30 -6.47% -9.76% 08/2008 20791.55674 18102.73475 2008-09-30 2008-10-31 -7.33% -10.56% 09/2008 19445.9103 16335.0643 2008-10-31 2008-11-30 2.64% 4.08% 10/2008 18021.10819 14610.87139 2008-11-30 2008-12-31 10.27% 7.79% 11/2008 18496.04223 15207.58848 2008-12-31 2009-01-31 -6.86% -5.24% 12/2008 20395.77837 16391.82817 2009-01-31 2009-02-28 -12.92% -13.15% 01/2009 18997.36148 15532.69167 2009-02-28 2009-03-31 4.47% 3.53% 02/2009 16543.53562 13490.5956 2009-03-31 2009-04-30 4.12% 5.12% 03/2009 17282.32191 13966.68196 2009-04-30 2009-05-31 12.32% 12.24% 04/2009 17994.72296 14681.2359 2009-05-31 2009-06-30 6.66% 6.36% 05/2009 20211.0818 16477.8381 2009-06-30 2009-07-31 2.08% 2.50% 06/2009 21556.72824 17526.07854 2009-07-31 2009-08-31 5.28% 5.61% 07/2009 22005.27705 17964.79588 2009-08-31 2009-09-30 -1.03% -0.39% 08/2009 23166.22692 18971.85596 2009-09-30 2009-10-31 -3.57% -3.66% 09/2009 22928.75989 18896.95379 2009-10-31 2009-11-30 -4.06% -3.57% 10/2009 22110.81795 18205.29095 2009-11-30 2009-12-31 -0.37% -1.87% 11/2009 21213.72032 17554.53077 2009-12-31 2010-01-31 1.37% 2.16% 12/2009 21134.56465 17226.74007 2010-01-31 2010-02-28 1.97% 1.90% 01/2010 21424.80211 17598.31424 2010-02-28 2010-03-31 5.07% 4.55% 02/2010 21846.9657 17932.44578 2010-03-31 2010-04-30 2.99% 2.71% 03/2010 22955.14512 18748.39441 2010-04-30 2010-05-31 -8.37% -6.94% 04/2010 23641.16094 19256.15939 2010-05-31 2010-06-30 1.58% 0.44% 05/2010 21662.26912 17920.38247 2010-06-30 2010-07-31 1.80% 1.21% 06/2010 22005.27704 17999.54236 2010-07-31 2010-08-31 -2.71% -2.12% 07/2010 22401.0554 18217.74964 2010-08-31 2010-09-30 4.36% 4.09% 08/2010 21794.19525 17832.12461 2010-09-30 2010-10-31 -2.09% -0.82% 09/2010 22744.06332 18561.32287 2010-10-31 2010-11-30 2.49% 1.95% 10/2010 22269.12928 18408.83566 2010-11-30 2010-12-31 9.25% 10.09% 11/2010 22823.21899 18767.41745 2010-12-31 2011-01-31 2.33% 1.19% 12/2010 24934.03693 20661.01405 2011-01-31 2011-02-28 4.65% 4.02% 01/2011 25514.51186 20906.71999 2011-02-28 2011-03-31 -6.23% -6.17% 02/2011 26701.84695 21747.69396 2011-03-31 2011-04-30 -0.53% 0.09% 03/2011 25039.57783 20405.73235 2011-04-30 2011-05-31 -1.69% -1.49% 04/2011 24907.65171 20424.23355 2011-05-31 2011-06-30 5.06% 3.72% 05/2011 24485.48812 20120.65268 2011-06-30 2011-07-31 3.69% 4.15% 06/2011 25725.59366 20870.11031 2011-07-31 2011-08-31 -2.67% -4.09% 07/2011 26675.46174 21737.00781 2011-08-31 2011-09-30 -0.51% 0.09% 08/2011 25963.06068 20848.50785 2011-09-30 2011-10-31 -5.11% -3.69% 09/2011 25831.13456 20867.42386 2011-10-31 2011-11-30 1.61% -2.71% 10/2011 24511.87334 20097.71099 2011-11-30 2011-12-31 -0.53% 1.56% 11/2011 24907.65171 19553.25552 2011-12-31 2012-01-31 6.39% 4.10% 12/2011 24775.72559 19858.08869 2012-01-31 2012-02-29 0.10% 1.09% 01/2012 26358.83905 20673.25987 2012-02-29 2012-03-31 2.90% 2.67% 02/2012 26385.22427 20897.89665 2012-03-31 2012-04-30 -2.04% -1.45% 03/2012 27150.39578 21455.93331 2012-04-30 2012-05-31 -8.33% -8.30% 04/2012 26596.30607 21145.10649 2012-05-31 2012-06-30 5.30% 4.27% 05/2012 24379.94724 19389.29527 2012-06-30 2012-07-31 -3.39% -1.56% 06/2012 25672.82322 20216.46374 2012-07-31 2012-08-31 0.11% -0.57% 07/2012 24802.11082 19900.07911 2012-08-31 2012-09-30 1.38% 2.77% 08/2012 24828.49605 19786.64947 2012-09-30 2012-10-31 -2.10% -2.16% 09/2012 25171.50396 20333.93316 10/31/2012 24643.79948 19894.1037
One Year Five Years Ten Years -------- ---------- --------- 0.54% -0.46% 9.44% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 221 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS The Asia Pacific Small Company Series vs. MSCI Pacific ex Japan Small Cap Index (net div.) October 31, 2002 - October 31, 2012
MSCI0 Pacific ex The Asia Pacific Japan Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- -------------------- 2002-10-31 2002-11-30 0.96% 2.23% 10/2002 10000 10000 2002-11-30 2002-12-31 1.36% 1.63% 11/2002 10095.89041 10222.94441 2002-12-31 2003-01-31 3.21% 3.70% 12/2002 10232.87671 10389.69329 2003-01-31 2003-02-28 0.65% -1.56% 01/2003 10561.64383 10774.1636 2003-02-28 2003-03-31 -2.06% -0.24% 02/2003 10630.13699 10605.86716 2003-03-31 2003-04-30 2.89% 5.52% 03/2003 10410.9589 10580.71942 2003-04-30 2003-05-31 10.23% 7.11% 04/2003 10712.32877 11164.43722 2003-05-31 2003-06-30 4.64% 5.34% 05/2003 11808.21918 11958.2354 2003-06-30 2003-07-31 6.87% 2.28% 06/2003 12356.16438 12596.40774 2003-07-31 2003-08-31 7.16% 4.86% 07/2003 13205.47945 12883.57562 2003-08-31 2003-09-30 8.03% 7.96% 08/2003 14150.68493 13509.07737 2003-09-30 2003-10-31 5.82% 8.26% 09/2003 15287.67123 14584.14338 2003-10-31 2003-11-30 0.76% -0.44% 10/2003 16178.08219 15788.91371 2003-11-30 2003-12-31 4.45% 6.55% 11/2003 16301.36986 15719.08037 2003-12-31 2004-01-31 6.28% 4.09% 12/2003 17027.39726 16749.07389 2004-01-31 2004-02-29 3.10% 3.02% 01/2004 18095.89041 17434.54333 2004-02-29 2004-03-31 -3.16% 0.20% 02/2004 18657.53424 17961.48526 2004-03-31 2004-04-30 -7.28% -5.66% 03/2004 18068.49314 17996.98227 2004-04-30 2004-05-31 -0.74% -0.45% 04/2004 16753.42465 16979.07901 2004-05-31 2004-06-30 0.41% 0.12% 05/2004 16630.13698 16902.18495 2004-06-30 2004-07-31 1.80% 3.77% 06/2004 16698.63013 16922.1097 2004-07-31 2004-08-31 2.42% 3.29% 07/2004 16999.99999 17560.66893 2004-08-31 2004-09-30 6.14% 5.97% 08/2004 17410.9589 18139.16374 2004-09-30 2004-10-31 4.74% 6.40% 09/2004 18479.45205 19221.96752 2004-10-31 2004-11-30 7.29% 7.70% 10/2004 19356.16437 20452.36921 2004-11-30 2004-12-31 2.31% 4.23% 11/2004 20767.12328 22026.32775 2004-12-31 2005-01-31 2.26% 0.87% 12/2004 21246.57533 22957.37457 2005-01-31 2005-02-28 2.90% 3.19% 01/2005 21726.02738 23157.68602 2005-02-28 2005-03-31 -3.37% -2.84% 02/2005 22356.16437 23895.28867 2005-03-31 2005-04-30 -3.36% -1.63% 03/2005 21602.73971 23215.91272 2005-04-30 2005-05-31 -2.23% 1.28% 04/2005 20876.71232 22838.30968 2005-05-31 2005-06-30 4.50% 5.47% 05/2005 20410.95889 23131.7645 2005-06-30 2005-07-31 3.40% 4.16% 06/2005 21328.76711 24396.40581 2005-07-31 2005-08-31 2.61% -0.08% 07/2005 22054.79451 25412.08446 2005-08-31 2005-09-30 3.69% 5.04% 08/2005 22630.13697 25391.96627 2005-09-30 2005-10-31 -5.60% -5.88% 09/2005 23465.75341 26672.76016 2005-10-31 2005-11-30 2.47% 3.79% 10/2005 22150.68492 25105.66888 2005-11-30 2005-12-31 1.57% 1.96% 11/2005 22698.63012 26057.80112 2005-12-31 2006-01-31 6.77% 5.72% 12/2005 23054.7945 26569.26752 2006-01-31 2006-02-28 1.45% 1.00% 01/2006 24616.43833 28089.73876 2006-02-28 2006-03-31 5.10% 4.23% 02/2006 24972.60272 28371.87709 2006-03-31 2006-04-30 5.74% 6.45% 03/2006 26246.57533 29573.16543 2006-04-30 2006-05-31 -5.68% -5.11% 04/2006 27753.42464 31480.62173 2006-05-31 2006-06-30 -0.63% -1.22% 05/2006 26178.08218 29873.19735 2006-06-30 2006-07-31 1.95% 1.03% 06/2006 26013.69863 29509.32885 2006-07-31 2006-08-31 2.48% 3.26% 07/2006 26520.54794 29812.16571 2006-08-31 2006-09-30 1.06% 1.65% 08/2006 27178.08219 30784.60958 2006-09-30 2006-10-31 8.23% 6.97% 09/2006 27465.75342 31293.56121 2006-10-31 2006-11-30 5.58% 6.08% 10/2006 29726.02739 33475.41808 2006-11-30 2006-12-31 2.88% 3.73% 11/2006 31383.56164 35510.06393 2006-12-31 2007-01-31 2.59% 2.54% 12/2006 32287.67123 36835.73688 2007-01-31 2007-02-28 2.69% 1.91% 01/2007 33123.28767 37771.32964 2007-02-28 2007-03-31 5.24% 5.16% 02/2007 34013.69862 38491.52928 2007-03-31 2007-04-30 7.00% 6.93% 03/2007 35794.52054 40477.38445 2007-04-30 2007-05-31 8.58% 3.93% 04/2007 38301.36985 43284.20999 2007-05-31 2007-06-30 4.12% 2.60% 05/2007 41589.04108 44983.41006 2007-06-30 2007-07-31 1.58% -0.03% 06/2007 43301.36985 46153.21619 2007-07-31 2007-08-31 -7.44% -6.44% 07/2007 43986.30135 46140.90182 2007-08-31 2007-09-30 11.71% 8.87% 08/2007 40712.32875 43171.53026 2007-09-30 2007-10-31 8.77% 6.84% 09/2007 45479.45203 47002.60658 2007-10-31 2007-11-30 -6.59% -8.03% 10/2007 49465.75341 50215.50421 2007-11-30 2007-12-31 -1.69% -1.38% 11/2007 46205.47942 46181.72607 2007-12-31 2008-01-31 -10.04% -13.40% 12/2007 45424.6575 45546.18965 2008-01-31 2008-02-29 3.08% 5.94% 01/2008 40863.01367 39443.03773 2008-02-29 2008-03-31 -4.85% -6.31% 02/2008 42123.28764 41786.09735 2008-03-31 2008-04-30 7.01% 6.69% 03/2008 40082.19175 39150.03399 2008-04-30 2008-05-31 4.38% 1.08% 04/2008 42890.41093 41769.12844 2008-05-31 2008-06-30 -9.82% -11.19% 05/2008 44767.12325 42219.7361 2008-06-30 2008-07-31 -5.87% -4.60% 06/2008 40369.86297 37496.3338 2008-07-31 2008-08-31 -6.99% -8.12% 07/2008 37999.99995 35772.06782 2008-08-31 2008-09-30 -17.17% -19.52% 08/2008 35342.46571 32866.37089 2008-09-30 2008-10-31 -33.22% -35.32% 09/2008 29273.97257 26450.30161 2008-10-31 2008-11-30 -9.60% -10.91% 10/2008 19547.94518 17107.99184 2008-11-30 2008-12-31 10.93% 11.62% 11/2008 17671.23285 15240.90591 2008-12-31 2009-01-31 -12.30% -11.01% 12/2008 19602.7397 17011.6769 2009-01-31 2009-02-28 -5.50% -6.21% 01/2009 17191.7808 15138.38093 2009-02-28 2009-03-31 15.51% 14.33% 02/2009 16246.57532 14198.33404 2009-03-31 2009-04-30 14.96% 17.90% 03/2009 18767.12326 16233.2625 2009-04-30 2009-05-31 25.84% 23.98% 04/2009 21575.34243 19138.9839 2009-05-31 2009-06-30 0.81% 2.82% 05/2009 27150.68488 23727.9327 2009-06-30 2009-07-31 14.46% 14.44% 06/2009 27369.86296 24395.89769 2009-07-31 2009-08-31 4.55% 5.14% 07/2009 31328.76705 27918.80754 2009-08-31 2009-09-30 7.82% 8.38% 08/2009 32753.42459 29353.56318 2009-09-30 2009-10-31 2.25% 2.40% 09/2009 35315.06842 31812.29559 2009-10-31 2009-11-30 4.67% 2.88% 10/2009 36109.58897 32574.95601 2009-11-30 2009-12-31 2.65% 4.00% 11/2009 37794.52047 33511.53396 2009-12-31 2010-01-31 -5.40% -6.39% 12/2009 38794.52047 34850.68161 2010-01-31 2010-02-28 1.79% 1.25% 01/2010 36698.63008 32622.21372 2010-02-28 2010-03-31 8.25% 8.24% 02/2010 37356.16432 33031.08649 2010-03-31 2010-04-30 1.39% 2.80% 03/2010 40438.3561 35753.24456 2010-04-30 2010-05-31 -13.83% -15.10% 04/2010 40999.99993 36753.03781 2010-05-31 2010-06-30 -1.20% -0.57% 05/2010 35328.76706 31203.76406 2010-06-30 2010-07-31 11.11% 10.17% 06/2010 34904.10953 31025.8813 2010-07-31 2010-08-31 -0.11% -0.22% 07/2010 38780.82186 34182.58827 2010-08-31 2010-09-30 15.17% 15.01% 08/2010 38739.72596 34106.50072 2010-09-30 2010-10-31 4.33% 4.44% 09/2010 44616.43827 39227.22466 2010-10-31 2010-11-30 -1.32% -1.34% 10/2010 46547.94513 40968.50656 2010-11-30 2010-12-31 9.81% 10.09% 11/2010 45931.50678 40421.36451 2010-12-31 2011-01-31 -2.12% -2.91% 12/2010 50438.35609 44501.01994 2011-01-31 2011-02-28 0.64% 0.55% 01/2011 49369.86294 43206.90568 2011-02-28 2011-03-31 2.12% 3.07% 02/2011 49684.93144 43443.45509 2011-03-31 2011-04-30 4.27% 4.05% 03/2011 50739.72597 44776.95098 2011-04-30 2011-05-31 -2.95% -2.29% 04/2011 52904.10953 46588.20093 2011-05-31 2011-06-30 -3.36% -3.56% 05/2011 51342.4657 45521.78147 2011-06-30 2011-07-31 1.66% 1.48% 06/2011 49616.43831 43902.98932 2011-07-31 2011-08-31 -6.95% -6.96% 07/2011 50438.35613 44550.56657 2011-08-31 2011-09-30 -18.65% -18.18% 08/2011 46931.50683 41451.93249 2011-09-30 2011-10-31 15.64% 16.38% 09/2011 38178.08217 33915.26065 2011-10-31 2011-11-30 -2.67% -6.82% 10/2011 44150.68491 39471.81922 2011-11-30 2011-12-31 -5.83% -3.21% 11/2011 42972.60272 36780.00112 2011-12-31 2012-01-31 10.36% 10.38% 12/2011 40465.75341 35600.90329 2012-01-31 2012-02-29 7.55% 7.78% 01/2012 44657.53422 39297.23236 2012-02-29 2012-03-31 -1.43% -3.13% 02/2012 48027.39723 42352.65578 2012-03-31 2012-04-30 -0.41% 0.54% 03/2012 47342.46573 41026.60855 2012-04-30 2012-05-31 -12.46% -12.98% 04/2012 47150.68491 41248.3563 2012-05-31 2012-06-30 2.12% 1.40% 05/2012 41273.97258 35894.03867 2012-06-30 2012-07-31 1.49% 3.29% 06/2012 42150.68492 36396.50327 2012-07-31 2012-08-31 3.36% 1.60% 07/2012 42780.8219 37593.17588 2012-08-31 2012-09-30 4.96% 5.32% 08/2012 44219.17807 38194.19868 2012-09-30 2012-10-31 2.24% 2.06% 09/2012 46410.95889 40226.10709 10/31/2012 47452.05477 41055.3557
One Year Five Years Ten Years -------- ---------- --------- 7.48% -0.83% 16.85% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The United Kingdom Small Company Series vs. MSCI UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
The United Kingdom MSCI UK Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- -------------------- 2002-10-31 2002-11-30 3.38% 1.85% 10/2002 10000 10000 2002-11-30 2002-12-31 -0.24% -2.90% 11/2002 10337.55274 10184.73327 2002-12-31 2003-01-31 -2.37% -7.52% 12/2002 10312.23629 9889.741677 2003-01-31 2003-02-28 -3.35% -2.90% 01/2003 10067.51055 9146.50954 2003-02-28 2003-03-31 -0.87% -0.12% 02/2003 9729.957808 8880.979174 2003-03-31 2003-04-30 9.45% 13.39% 03/2003 9645.569623 8870.105074 2003-04-30 2003-05-31 11.99% 14.56% 04/2003 10556.96203 10057.78446 2003-05-31 2003-06-30 5.71% 3.29% 05/2003 11822.78481 11522.12121 2003-06-30 2003-07-31 3.98% 6.33% 06/2003 12497.8903 11901.70319 2003-07-31 2003-08-31 4.22% 4.76% 07/2003 12995.78059 12654.92432 2003-08-31 2003-09-30 3.93% 2.62% 08/2003 13544.3038 13257.17248 2003-09-30 2003-10-31 5.70% 8.11% 09/2003 14075.94937 13605.01726 2003-10-31 2003-11-30 0.51% 0.83% 10/2003 14877.63713 14708.35915 2003-11-30 2003-12-31 5.59% 5.61% 11/2003 14953.5865 14830.88245 2003-12-31 2004-01-31 7.43% 8.47% 12/2003 15789.02954 15662.49826 2004-01-31 2004-02-29 5.82% 6.77% 01/2004 16962.02532 16989.77076 2004-02-29 2004-03-31 -1.36% -0.38% 02/2004 17949.36709 18140.78167 2004-03-31 2004-04-30 -3.57% -3.48% 03/2004 17704.64135 18071.61733 2004-04-30 2004-05-31 0.15% -0.06% 04/2004 17071.72996 17442.81614 2004-05-31 2004-06-30 3.41% 3.47% 05/2004 17097.04641 17432.82714 2004-06-30 2004-07-31 -3.68% -4.53% 06/2004 17679.32489 18037.60416 2004-07-31 2004-08-31 -0.69% -1.37% 07/2004 17029.53587 17221.28795 2004-08-31 2004-09-30 2.84% 3.29% 08/2004 16911.3924 16985.59814 2004-09-30 2004-10-31 3.15% 3.81% 09/2004 17392.40506 17543.84412 2004-10-31 2004-11-30 8.09% 8.09% 10/2004 17940.92826 18211.46333 2004-11-30 2004-12-31 4.13% 5.77% 11/2004 19392.40506 19683.89242 2004-12-31 2005-01-31 2.84% 2.25% 12/2004 20194.09282 20819.35084 2005-01-31 2005-02-28 3.41% 2.37% 01/2005 20767.93248 21286.81073 2005-02-28 2005-03-31 -2.24% -1.25% 02/2005 21476.79324 21790.68621 2005-03-31 2005-04-30 -3.38% -4.52% 03/2005 20995.78058 21518.58081 2005-04-30 2005-05-31 -1.96% -0.89% 04/2005 20286.91983 20545.98101 2005-05-31 2005-06-30 1.91% 1.54% 05/2005 19890.29536 20363.7766 2005-06-30 2005-07-31 1.96% 2.97% 06/2005 20270.04219 20677.10243 2005-07-31 2005-08-31 5.63% 4.84% 07/2005 20666.66666 21291.23624 2005-08-31 2005-09-30 -1.12% 0.17% 08/2005 21831.22362 22321.6205 2005-09-30 2005-10-31 -2.81% -3.05% 09/2005 21586.49788 22360.43851 2005-10-31 2005-11-30 4.34% 4.99% 10/2005 20978.90295 21679.54278 2005-11-30 2005-12-31 4.39% 4.32% 11/2005 21890.29534 22761.64224 2005-12-31 2006-01-31 7.83% 8.14% 12/2005 22852.32066 23745.11614 2006-01-31 2006-02-28 1.37% 1.57% 01/2006 24641.3502 25678.80942 2006-02-28 2006-03-31 1.66% 2.02% 02/2006 24978.90294 26081.40403 2006-03-31 2006-04-30 5.05% 5.29% 03/2006 25392.40506 26609.0508 2006-04-30 2006-05-31 -2.02% -2.22% 04/2006 26675.10548 28017.24683 2006-05-31 2006-06-30 -0.03% -0.85% 05/2006 26135.02109 27395.40001 2006-06-30 2006-07-31 0.71% -0.78% 06/2006 26126.58227 27162.87127 2006-07-31 2006-08-31 4.20% 3.60% 07/2006 26312.23628 26951.71141 2006-08-31 2006-09-30 2.92% 2.93% 08/2006 27417.72151 27921.52946 2006-09-30 2006-10-31 5.68% 5.73% 09/2006 28219.40928 28740.12164 2006-10-31 2006-11-30 6.28% 6.48% 10/2006 29822.7848 30386.15702 2006-11-30 2006-12-31 5.46% 4.69% 11/2006 31696.20252 32355.38079 2006-12-31 2007-01-31 0.71% -0.23% 12/2006 33426.16032 33873.58226 2007-01-31 2007-02-28 -0.03% 0.31% 01/2007 33662.44723 33794.55537 2007-02-28 2007-03-31 4.71% 4.14% 02/2007 33654.00842 33900.02177 2007-03-31 2007-04-30 3.45% 4.96% 03/2007 35240.5063 35302.18758 2007-04-30 2007-05-31 1.34% 0.64% 04/2007 36455.69619 37054.44065 2007-05-31 2007-06-30 -3.65% -2.91% 05/2007 36945.14767 37292.47839 2007-06-30 2007-07-31 -0.52% -0.56% 06/2007 35594.9367 36207.10124 2007-07-31 2007-08-31 -0.57% -3.67% 07/2007 35409.28269 36003.55839 2007-08-31 2007-09-30 -3.45% -5.67% 08/2007 35206.75106 34683.7346 2007-09-30 2007-10-31 7.99% 10.99% 09/2007 33991.56119 32718.25112 2007-10-31 2007-11-30 -11.56% -11.57% 10/2007 36708.86077 36313.48132 2007-11-30 2007-12-31 -5.28% -5.02% 11/2007 32464.13503 32111.56657 2007-12-31 2008-01-31 -6.72% -8.05% 12/2007 30751.05486 30499.3662 2008-01-31 2008-02-29 1.47% 3.39% 01/2008 28683.54431 28045.22453 2008-02-29 2008-03-31 -0.38% -1.26% 02/2008 29105.48524 28995.40235 2008-03-31 2008-04-30 1.69% 1.86% 03/2008 28995.7806 28630.99404 2008-04-30 2008-05-31 0.29% 0.47% 04/2008 29485.23207 29163.51692 2008-05-31 2008-06-30 -7.96% -6.84% 05/2008 29569.62026 29301.51708 2008-06-30 2008-07-31 -3.50% -3.99% 06/2008 27215.18989 27298.28546 2008-07-31 2008-08-31 -1.61% -2.62% 07/2008 26261.60339 26209.1302 2008-08-31 2008-09-30 -15.45% -18.39% 08/2008 25839.66246 25523.09577 2008-09-30 2008-10-31 -26.84% -27.75% 09/2008 21848.10127 20829.83263 2008-10-31 2008-11-30 -7.07% -9.27% 10/2008 15983.12237 15050.14501 2008-11-30 2008-12-31 -2.22% -2.54% 11/2008 14852.32068 13654.45043 2008-12-31 2009-01-31 -2.44% -0.55% 12/2008 14523.20676 13308.06844 2009-01-31 2009-02-28 -4.11% -3.32% 01/2009 14168.77638 13235.0837 2009-02-28 2009-03-31 4.35% 5.80% 02/2009 13586.49789 12796.33037 2009-03-31 2009-04-30 20.95% 22.97% 03/2009 14177.21519 13538.45221 2009-04-30 2009-05-31 10.24% 10.56% 04/2009 17147.67933 16648.44171 2009-05-31 2009-06-30 0.49% 0.71% 05/2009 18902.95359 18406.87658 2009-06-30 2009-07-31 8.66% 9.20% 06/2009 18995.78059 18536.80413 2009-07-31 2009-08-31 7.81% 9.64% 07/2009 20641.35021 20242.59082 2009-08-31 2009-09-30 2.92% 2.31% 08/2009 22253.16456 22194.30581 2009-09-30 2009-10-31 0.15% 0.14% 09/2009 22902.95359 22706.30182 2009-10-31 2009-11-30 -0.29% -1.04% 10/2009 22936.70886 22739.17824 2009-11-30 2009-12-31 2.10% 2.47% 11/2009 22869.19831 22502.57727 2009-12-31 2010-01-31 -0.98% -0.46% 12/2009 23350.21097 23058.42647 2010-01-31 2010-02-28 -3.43% -4.48% 01/2010 23122.36287 22951.40342 2010-02-28 2010-03-31 8.39% 8.81% 02/2010 22329.11393 21923.41454 2010-03-31 2010-04-30 3.70% 3.99% 03/2010 24202.53165 23855.6759 2010-04-30 2010-05-31 -11.30% -12.02% 04/2010 25097.04642 24807.83622 2010-05-31 2010-06-30 1.90% 0.43% 05/2010 22261.60339 21825.88192 2010-06-30 2010-07-31 13.50% 12.03% 06/2010 22683.54431 21920.17077 2010-07-31 2010-08-31 -3.67% -2.72% 07/2010 25746.83545 24556.84503 2010-08-31 2010-09-30 10.68% 11.02% 08/2010 24801.68777 23889.83015 2010-09-30 2010-10-31 5.23% 4.26% 09/2010 27451.4768 26521.98383 2010-10-31 2010-11-30 -4.91% -4.16% 10/2010 28886.07596 27652.52891 2010-11-30 2010-12-31 10.23% 10.46% 11/2010 27468.35445 26500.89745 2010-12-31 2011-01-31 1.45% 0.97% 12/2010 30278.48103 29273.77513 2011-01-31 2011-02-28 3.02% 2.64% 01/2011 30717.2996 29556.91796 2011-02-28 2011-03-31 -1.84% -1.73% 02/2011 31645.56964 30336.40823 2011-03-31 2011-04-30 8.86% 9.17% 03/2011 31063.29116 29812.97875 2011-04-30 2011-05-31 -0.60% -1.27% 04/2011 33814.34601 32545.73053 2011-05-31 2011-06-30 -3.19% -3.37% 05/2011 33611.81436 32133.8104 2011-06-30 2011-07-31 -0.65% -0.28% 06/2011 32540.08441 31051.37887 2011-07-31 2011-08-31 -9.97% -10.20% 07/2011 32329.11394 30965.45914 2011-08-31 2011-09-30 -10.09% -10.55% 08/2011 29105.48524 27806.69897 2011-09-30 2011-10-31 10.61% 10.93% 09/2011 26168.77639 24874.3008 2011-10-31 2011-11-30 -3.03% -3.88% 10/2011 28945.1477 27592.49812 2011-11-30 2011-12-31 -3.10% -3.34% 11/2011 28067.51056 26521.47755 2011-12-31 2012-01-31 8.84% 10.15% 12/2011 27198.31226 25636.24738 2012-01-31 2012-02-29 8.15% 9.29% 01/2012 29603.37555 28237.12768 2012-02-29 2012-03-31 2.19% 0.33% 02/2012 32016.87766 30859.75401 2012-03-31 2012-04-30 1.73% 1.70% 03/2012 32717.2996 30961.08612 2012-04-30 2012-05-31 -11.26% -12.39% 04/2012 33282.70044 31488.06169 2012-05-31 2012-06-30 4.91% 4.76% 05/2012 29535.865 27586.66253 2012-06-30 2012-07-31 1.69% 1.82% 06/2012 30987.34179 28900.19337 2012-07-31 2012-08-31 5.49% 5.29% 07/2012 31510.54854 29426.59945 2012-08-31 2012-09-30 5.15% 5.34% 08/2012 33240.50634 30984.44922 2012-09-30 2012-10-31 2.20% 2.07% 09/2012 34953.58652 32637.78817 10/31/2012 35721.51901 33313.32062
One Year Five Years Ten Years -------- ---------- --------- 23.41% -0.54% 13.58% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Continental Small Company Series vs. MSCI Europe ex UK Small Cap Index (net div.) October 31, 2002 - October 31, 2012
The Continental Small MSCI Europe ex UK BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Small Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- --------------------- -------------------------- 2002-10-31 2002-11-30 5.55% 5.48% 10/2002 10000 10000 2002-11-30 2002-12-31 1.83% -2.35% 11/2002 10554.66238 10548.1194 2002-12-31 2003-01-31 -0.67% -1.33% 12/2002 10747.58843 10300.47589 2003-01-31 2003-02-28 -2.94% -4.40% 01/2003 10675.24116 10163.741 2003-02-28 2003-03-31 -0.62% -0.23% 02/2003 10361.73634 9716.82901 2003-03-31 2003-04-30 12.49% 14.70% 03/2003 10297.42765 9694.149111 2003-04-30 2003-05-31 10.20% 9.83% 04/2003 11583.60129 11119.0498 2003-05-31 2003-06-30 1.64% 1.49% 05/2003 12765.27332 12212.14227 2003-06-30 2003-07-31 3.53% 3.56% 06/2003 12974.27653 12393.71256 2003-07-31 2003-08-31 2.21% 2.88% 07/2003 13432.47589 12834.98735 2003-08-31 2003-09-30 5.15% 5.67% 08/2003 13729.90354 13204.94501 2003-09-30 2003-10-31 6.18% 8.35% 09/2003 14437.29904 13953.64386 2003-10-31 2003-11-30 5.24% 5.32% 10/2003 15329.582 15119.23334 2003-11-30 2003-12-31 6.23% 5.23% 11/2003 16133.44052 15923.77981 2003-12-31 2004-01-31 4.83% 5.03% 12/2003 17138.26367 16756.77447 2004-01-31 2004-02-29 3.36% 3.37% 01/2004 17966.23796 17599.60146 2004-02-29 2004-03-31 -2.03% -3.45% 02/2004 18569.13185 18193.34286 2004-03-31 2004-04-30 -1.19% -1.57% 03/2004 18191.31834 17565.51607 2004-04-30 2004-05-31 1.12% 0.32% 04/2004 17974.27654 17288.89996 2004-05-31 2004-06-30 3.01% 3.57% 05/2004 18175.24117 17343.96099 2004-06-30 2004-07-31 -3.22% -4.02% 06/2004 18721.86496 17962.61095 2004-07-31 2004-08-31 0.62% 0.32% 07/2004 18118.97107 17240.78711 2004-08-31 2004-09-30 5.20% 5.58% 08/2004 18231.51126 17295.45485 2004-09-30 2004-10-31 3.77% 4.24% 09/2004 19180.06431 18259.67829 2004-10-31 2004-11-30 10.70% 11.10% 10/2004 19903.53698 19033.679 2004-11-30 2004-12-31 5.18% 5.00% 11/2004 22033.76207 21146.18703 2004-12-31 2005-01-31 1.42% 1.12% 12/2004 23175.24117 22203.35873 2005-01-31 2005-02-28 6.43% 7.01% 01/2005 23504.82316 22452.31322 2005-02-28 2005-03-31 -2.73% -2.55% 02/2005 25016.07718 24025.35429 2005-03-31 2005-04-30 -2.64% -2.94% 03/2005 24332.79744 23411.81715 2005-04-30 2005-05-31 0.27% 1.42% 04/2005 23689.71063 22723.02993 2005-05-31 2005-06-30 2.71% 3.20% 05/2005 23754.01931 23046.7101 2005-06-30 2005-07-31 6.23% 6.86% 06/2005 24397.10613 23784.26566 2005-07-31 2005-08-31 3.38% 2.84% 07/2005 25916.39874 25416.03849 2005-08-31 2005-09-30 2.55% 3.41% 08/2005 26792.60453 26137.73122 2005-09-30 2005-10-31 -4.94% -6.90% 09/2005 27475.88427 27030.24424 2005-10-31 2005-11-30 0.37% 1.28% 10/2005 26117.36336 25164.72424 2005-11-30 2005-12-31 5.18% 5.80% 11/2005 26213.82639 25485.65136 2005-12-31 2006-01-31 9.59% 11.16% 12/2005 27572.34728 26962.59783 2006-01-31 2006-02-28 2.90% 2.82% 01/2006 30217.04182 29971.15851 2006-02-28 2006-03-31 6.46% 6.46% 02/2006 31093.24762 30817.39404 2006-03-31 2006-04-30 6.90% 7.09% 03/2006 33102.89392 32808.37452 2006-04-30 2006-05-31 -4.79% -5.14% 04/2006 35385.85213 35133.1297 2006-05-31 2006-06-30 -1.86% -2.28% 05/2006 33689.71065 33327.25914 2006-06-30 2006-07-31 -0.22% -1.09% 06/2006 33062.701 32567.81027 2006-07-31 2006-08-31 2.66% 2.35% 07/2006 32990.35373 32211.48678 2006-08-31 2006-09-30 1.35% 1.05% 08/2006 33866.55951 32969.36247 2006-09-30 2006-10-31 5.04% 5.34% 09/2006 34324.75886 33315.32925 2006-10-31 2006-11-30 6.96% 7.00% 10/2006 36053.05469 35095.89795 2006-11-30 2006-12-31 4.77% 4.72% 11/2006 38561.09328 37551.88191 2006-12-31 2007-01-31 4.64% 3.20% 12/2006 40401.92929 39323.27377 2007-01-31 2007-02-28 0.17% 0.43% 01/2007 42274.91964 40582.59809 2007-02-28 2007-03-31 5.85% 5.32% 02/2007 42347.26691 40756.26296 2007-03-31 2007-04-30 5.27% 6.05% 03/2007 44823.15116 42923.45286 2007-04-30 2007-05-31 1.94% 1.74% 04/2007 47186.49521 45521.16427 2007-05-31 2007-06-30 -1.09% -0.96% 05/2007 48102.89393 46314.80908 2007-06-30 2007-07-31 -0.54% -0.73% 06/2007 47580.3859 45872.16695 2007-07-31 2007-08-31 -3.55% -4.53% 07/2007 47323.15118 45536.38588 2007-08-31 2007-09-30 2.24% 1.99% 08/2007 45643.08687 43475.46067 2007-09-30 2007-10-31 4.82% 5.98% 09/2007 46663.98719 44340.52536 2007-10-31 2007-11-30 -7.38% -7.15% 10/2007 48914.79105 46993.8839 2007-11-30 2007-12-31 -1.92% -2.03% 11/2007 45305.46629 43631.74618 2007-12-31 2008-01-31 -9.52% -12.04% 12/2007 44437.29909 42747.93808 2008-01-31 2008-02-29 4.30% 6.05% 01/2008 40209.00326 37600.02267 2008-02-29 2008-03-31 3.18% 2.03% 02/2008 41937.29908 39875.47704 2008-03-31 2008-04-30 1.21% 1.71% 03/2008 43271.70422 40686.35254 2008-04-30 2008-05-31 1.93% 1.55% 04/2008 43794.21227 41381.35231 2008-05-31 2008-06-30 -8.43% -9.24% 05/2008 44638.26373 42024.81106 2008-06-30 2008-07-31 -5.29% -5.68% 06/2008 40876.20585 38141.055 2008-07-31 2008-08-31 -2.72% -2.73% 07/2008 38713.82641 35975.57986 2008-08-31 2008-09-30 -17.40% -20.70% 08/2008 37660.77175 34993.1562 2008-09-30 2008-10-31 -26.69% -28.14% 09/2008 31109.3248 27748.03106 2008-10-31 2008-11-30 -7.79% -8.29% 10/2008 22805.46627 19940.70552 2008-11-30 2008-12-31 10.44% 9.24% 11/2008 21028.93893 18287.65983 2008-12-31 2009-01-31 -11.35% -8.98% 12/2008 23223.4727 19977.57567 2009-01-31 2009-02-28 -8.63% -8.80% 01/2009 20586.81675 18183.55312 2009-02-28 2009-03-31 7.26% 7.73% 02/2009 18810.28942 16582.57441 2009-03-31 2009-04-30 16.37% 20.82% 03/2009 20176.84891 17864.77253 2009-04-30 2009-05-31 14.48% 14.93% 04/2009 23480.70744 21583.40132 2009-05-31 2009-06-30 -1.23% -1.28% 05/2009 26881.02899 24805.40199 2009-06-30 2009-07-31 7.96% 8.98% 06/2009 26551.447 24487.43905 2009-07-31 2009-08-31 8.38% 10.26% 07/2009 28665.59491 26685.87974 2009-08-31 2009-09-30 8.56% 9.58% 08/2009 31069.13189 29424.58439 2009-09-30 2009-10-31 -2.79% -2.73% 09/2009 33729.9036 32244.66525 2009-10-31 2009-11-30 3.04% 2.06% 10/2009 32789.38913 31364.64914 2009-11-30 2009-12-31 -0.31% 0.45% 11/2009 33786.1737 32009.47746 2009-12-31 2010-01-31 -1.65% -1.33% 12/2009 33681.67209 32153.78839 2010-01-31 2010-02-28 -2.11% -2.85% 01/2010 33127.00971 31725.0131 2010-02-28 2010-03-31 7.44% 8.11% 02/2010 32427.65281 30821.97022 2010-03-31 2010-04-30 -0.95% -0.63% 03/2010 34839.22837 33321.86211 2010-04-30 2010-05-31 -14.21% -15.47% 04/2010 34509.64637 33111.4966 2010-05-31 2010-06-30 -0.62% -1.49% 05/2010 29606.10938 27989.11207 2010-06-30 2010-07-31 11.97% 11.98% 06/2010 29421.22193 27570.69336 2010-07-31 2010-08-31 -4.56% -4.75% 07/2010 32942.12225 30874.03721 2010-08-31 2010-09-30 13.76% 15.43% 08/2010 31438.90682 29406.79431 2010-09-30 2010-10-31 5.78% 6.42% 09/2010 35763.66567 33944.46414 2010-10-31 2010-11-30 -7.76% -7.58% 10/2010 37829.58208 36122.0978 2010-11-30 2010-12-31 12.97% 14.00% 11/2010 34895.49848 33385.52507 2010-12-31 2011-01-31 2.85% 2.26% 12/2010 39421.22197 38059.63329 2011-01-31 2011-02-28 1.72% 1.70% 01/2011 40546.62391 38920.23437 2011-02-28 2011-03-31 3.37% 3.37% 02/2011 41245.98082 39580.17969 2011-03-31 2011-04-30 6.77% 6.99% 03/2011 42636.65605 40915.82839 2011-04-30 2011-05-31 -3.37% -3.81% 04/2011 45522.50815 43773.90829 2011-05-31 2011-06-30 -3.22% -3.23% 05/2011 43987.13836 42104.23024 2011-06-30 2011-07-31 -5.65% -6.07% 06/2011 42572.34736 40744.73056 2011-07-31 2011-08-31 -10.27% -10.45% 07/2011 40168.81038 38271.79312 2011-08-31 2011-09-30 -15.05% -15.02% 08/2011 36045.01615 34273.42512 2011-09-30 2011-10-31 10.27% 10.96% 09/2011 30618.97113 29124.54759 2011-10-31 2011-11-30 -6.60% -7.81% 10/2011 33762.05795 32316.29841 2011-11-30 2011-12-31 -3.93% -3.40% 11/2011 31535.36984 29790.89992 2011-12-31 2012-01-31 9.53% 9.92% 12/2011 30297.42772 28778.2188 2012-01-31 2012-02-29 6.42% 7.67% 01/2012 33183.27982 31632.41729 2012-02-29 2012-03-31 0.18% -0.81% 02/2012 35313.5049 34060.10035 2012-03-31 2012-04-30 -2.32% -1.67% 03/2012 35377.81357 33784.16926 2012-04-30 2012-05-31 -13.65% -13.71% 04/2012 34557.87788 33220.96598 2012-05-31 2012-06-30 4.39% 4.93% 05/2012 29839.22836 28665.408 2012-06-30 2012-07-31 -1.01% -0.36% 06/2012 31149.51774 30077.80583 2012-07-31 2012-08-31 4.56% 4.36% 07/2012 30836.01292 29970.97203 2012-08-31 2012-09-30 5.29% 5.38% 08/2012 32242.76534 31277.87995 2012-09-30 2012-10-31 1.73% 1.72% 09/2012 33946.9454 32961.53496 10/31/2012 34533.76213 33529.17158
One Year Five Years Ten Years -------- ---------- --------- 2.29% -6.73% 13.19% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 222 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS The Canadian Small Company Series vs. MSCI Canada Small Cap Index (net div.) April 2, 2007 - October 31, 2012
The Canadian Small MSCI Canada Small BeginDate EndDate FundReturns Benchmark0Returns EndDate Company Series Cap Index (net div.) --------- ---------- ----------- ----------------- ---------- ------------------ -------------------- 2007-04-02 2007-04-30 7.10% 4.87% 04/2007 10000 10000 2007-04-30 2007-05-31 6.63% 8.05% 04/2007 10710 10486.77368 2007-05-31 2007-06-30 -0.44% -0.23% 05/2007 11420 11331.42466 2007-06-30 2007-07-31 -0.62% -2.49% 06/2007 11370 11305.55009 2007-07-31 2007-08-31 -6.55% -6.21% 07/2007 11300 11024.39939 2007-08-31 2007-09-30 11.08% 12.19% 08/2007 10560 10339.56745 2007-09-30 2007-10-31 10.83% 10.79% 09/2007 11730 11599.6882 2007-10-31 2007-11-30 -15.23% -15.90% 10/2007 13000 12851.68118 2007-11-30 2007-12-31 3.72% 2.78% 11/2007 11020 10808.72481 2007-12-31 2008-01-31 -9.45% -9.02% 12/2007 11430 11109.2109 2008-01-31 2008-02-29 7.83% 9.54% 01/2008 10350 10107.38383 2008-02-29 2008-03-31 -7.80% -7.88% 02/2008 11160 11071.34919 2008-03-31 2008-04-30 2.43% 3.48% 03/2008 10290 10199.20416 2008-04-30 2008-05-31 5.69% 5.21% 04/2008 10540 10554.52665 2008-05-31 2008-06-30 -4.67% -3.42% 05/2008 11140 11104.0776 2008-06-30 2008-07-31 -8.57% -8.85% 06/2008 10620 10724.57524 2008-07-31 2008-08-31 -4.12% -2.51% 07/2008 9710 9775.009579 2008-08-31 2008-09-30 -22.77% -21.23% 08/2008 9309.999999 9529.518204 2008-09-30 2008-10-31 -33.24% -33.24% 09/2008 7189.999999 7506.377885 2008-10-31 2008-11-30 -12.92% -9.02% 10/2008 4799.999999 5011.499724 2008-11-30 2008-12-31 7.66% 4.95% 11/2008 4180 4559.689916 2008-12-31 2009-01-31 0.67% 1.01% 12/2008 4500 4785.305837 2009-01-31 2009-02-28 -9.05% -7.85% 01/2009 4530 4833.486093 2009-02-28 2009-03-31 6.31% 5.72% 02/2009 4120 4453.869096 2009-03-31 2009-04-30 21.00% 16.08% 03/2009 4379.999999 4708.454728 2009-04-30 2009-05-31 19.62% 21.15% 04/2009 5299.999999 5465.620997 2009-05-31 2009-06-30 -6.15% -6.06% 05/2009 6339.999999 6621.522975 2009-06-30 2009-07-31 12.61% 12.46% 06/2009 5949.999997 6220.34334 2009-07-31 2009-08-31 3.28% 3.78% 07/2009 6699.999997 6995.572294 2009-08-31 2009-09-30 14.31% 12.36% 08/2009 6919.999997 7259.669592 2009-09-30 2009-10-31 -1.90% 0.66% 09/2009 7909.999998 8156.867881 2009-10-31 2009-11-30 8.51% 8.39% 10/2009 7759.999998 8210.753872 2009-11-30 2009-12-31 6.41% 5.88% 11/2009 8419.999999 8899.59917 2009-12-31 2010-01-31 -4.69% -4.16% 12/2009 8959.999999 9422.869902 2010-01-31 2010-02-28 5.97% 6.65% 01/2010 8539.999998 9031.077115 2010-02-28 2010-03-31 7.96% 8.53% 02/2010 9049.999999 9631.720335 2010-03-31 2010-04-30 3.58% 4.17% 03/2010 9769.999998 10453.69655 2010-04-30 2010-05-31 -9.58% -8.82% 04/2010 10120 10889.8098 2010-05-31 2010-06-30 -4.59% -4.69% 05/2010 9149.999995 9929.203615 2010-06-30 2010-07-31 8.13% 8.14% 06/2010 8729.999995 9463.812385 2010-07-31 2010-08-31 -1.17% -0.31% 07/2010 9439.999995 10233.78741 2010-08-31 2010-09-30 11.79% 10.95% 08/2010 9329.999997 10202.0054 2010-09-30 2010-10-31 6.52% 6.06% 09/2010 10430 11318.75956 2010-10-31 2010-11-30 4.86% 4.21% 10/2010 11110 12004.30943 2010-11-30 2010-12-31 10.21% 9.20% 11/2010 11650 12509.34187 2010-12-31 2011-01-31 -0.47% -1.17% 12/2010 12840 13659.8773 2011-01-31 2011-02-28 6.89% 6.61% 01/2011 12780 13499.73406 2011-02-28 2011-03-31 0.15% 0.03% 02/2011 13660 14392.30001 2011-03-31 2011-04-30 1.90% 3.03% 03/2011 13680 14395.94428 2011-04-30 2011-05-31 -4.16% -4.02% 04/2011 13940 14832.50041 2011-05-31 2011-06-30 -5.54% -5.10% 05/2011 13360 14235.57776 2011-06-30 2011-07-31 1.51% 2.65% 06/2011 12620 13509.81758 2011-07-31 2011-08-31 -7.57% -5.95% 07/2011 12810 13867.52148 2011-08-31 2011-09-30 -18.92% -18.31% 08/2011 11840 13042.66675 2011-09-30 2011-10-31 16.04% 14.26% 09/2011 9600 10655.15835 2011-10-31 2011-11-30 -3.50% -2.61% 10/2011 11140 12174.40656 2011-11-30 2011-12-31 -1.58% -2.06% 11/2011 10750 11856.58095 2011-12-31 2012-01-31 8.60% 8.20% 12/2011 10580 11612.51227 2012-01-31 2012-02-29 3.83% 3.58% 01/2012 11490 12564.44286 2012-02-29 2012-03-31 -4.44% -5.28% 02/2012 11930 13014.05863 2012-03-31 2012-04-30 -2.28% -0.81% 03/2012 11400 12326.39136 2012-04-30 2012-05-31 -11.67% -11.66% 04/2012 11140 12227.04078 2012-05-31 2012-06-30 0.20% -0.31% 05/2012 9840.000001 10801.36524 2012-06-30 2012-07-31 2.74% 3.46% 06/2012 9860 10767.51608 2012-07-31 2012-08-31 4.24% 4.15% 07/2012 10130 11140.2598 2012-08-31 2012-09-30 4.26% 5.05% 08/2012 10560 11603.05306 2012-09-30 2012-10-31 -1.36% -1.79% 09/2012 11010 12189.20224 10/31/2012 10860 11970.6149
One Year Five Years From 04/02/2007 -------- ---------- --------------- -2.51% -3.53% 1.49% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Emerging Markets Series vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
The Emerging MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Markets Series Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------- --------------------- 2002-10-31 2002-11-30 7.63% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.01% -3.33% 11/2002 10763.27434 10688.20463 2002-12-31 2003-01-31 -0.11% -0.44% 12/2002 10331.85841 10332.68124 2003-01-31 2003-02-28 -1.50% -2.81% 01/2003 10320.79646 10287.11002 2003-02-28 2003-03-31 -1.63% -2.86% 02/2003 10165.9292 9998.077641 2003-03-31 2003-04-30 13.50% 8.89% 03/2003 10000 9712.550745 2003-04-30 2003-05-31 7.31% 7.15% 04/2003 11349.55752 10576.25547 2003-05-31 2003-06-30 3.91% 5.67% 05/2003 12179.20354 11332.42116 2003-06-30 2003-07-31 2.01% 6.22% 06/2003 12654.86726 11974.8284 2003-07-31 2003-08-31 4.54% 6.69% 07/2003 12909.29204 12719.45993 2003-08-31 2003-09-30 4.51% 0.73% 08/2003 13495.57522 13570.61278 2003-09-30 2003-10-31 7.61% 8.51% 09/2003 14103.9823 13669.44466 2003-10-31 2003-11-30 -0.95% 1.22% 10/2003 15176.99115 14832.47204 2003-11-30 2003-12-31 10.52% 7.24% 11/2003 15033.18584 15012.94766 2003-12-31 2004-01-31 1.93% 3.49% 12/2003 16615.04425 16099.9853 2004-01-31 2004-02-29 4.44% 4.59% 01/2004 16935.84071 16662.21886 2004-02-29 2004-03-31 0.69% 1.25% 02/2004 17688.0531 17426.29823 2004-03-31 2004-04-30 -6.34% -8.19% 03/2004 17809.73452 17644.0921 2004-04-30 2004-05-31 -1.13% -2.00% 04/2004 16681.41593 16199.38255 2004-05-31 2004-06-30 1.81% 0.43% 05/2004 16493.36283 15876.20003 2004-06-30 2004-07-31 -0.07% -1.83% 06/2004 16792.0354 15943.82184 2004-07-31 2004-08-31 2.77% 4.15% 07/2004 16780.97346 15651.96247 2004-08-31 2004-09-30 5.64% 5.77% 08/2004 17245.57522 16301.04143 2004-09-30 2004-10-31 2.79% 2.39% 09/2004 18219.02655 17241.52745 2004-10-31 2004-11-30 8.74% 9.26% 10/2004 18727.87611 17653.47774 2004-11-30 2004-12-31 6.52% 4.80% 11/2004 20365.04425 19287.7093 2004-12-31 2005-01-31 0.82% 0.25% 12/2004 21692.47788 20214.06032 2005-01-31 2005-02-28 7.44% 8.72% 01/2005 21869.46903 20265.39862 2005-02-28 2005-03-31 -6.83% -6.61% 02/2005 23495.57523 22033.51685 2005-03-31 2005-04-30 -2.37% -2.68% 03/2005 21891.59293 20577.38623 2005-04-30 2005-05-31 3.00% 3.48% 04/2005 21371.68143 20024.99063 2005-05-31 2005-06-30 3.02% 3.40% 05/2005 22013.27435 20722.01549 2005-06-30 2005-07-31 6.44% 6.99% 06/2005 22676.99117 21426.05132 2005-07-31 2005-08-31 0.64% 0.86% 07/2005 24137.16815 22923.68229 2005-08-31 2005-09-30 7.97% 9.31% 08/2005 24292.0354 23119.9891 2005-09-30 2005-10-31 -4.98% -6.54% 09/2005 26227.87611 25272.80535 2005-10-31 2005-11-30 7.23% 8.27% 10/2005 24922.56638 23620.93331 2005-11-30 2005-12-31 5.79% 5.91% 11/2005 26725.66372 25574.955 2005-12-31 2006-01-31 9.59% 11.17% 12/2005 28274.33629 27086.60788 2006-01-31 2006-02-28 -0.29% -0.12% 01/2006 30984.51328 30111.9491 2006-02-28 2006-03-31 1.36% 0.88% 02/2006 30896.0177 30076.21583 2006-03-31 2006-04-30 6.00% 7.12% 03/2006 31316.37168 30341.27525 2006-04-30 2006-05-31 -11.53% -10.48% 04/2006 33196.90266 32501.78094 2006-05-31 2006-06-30 -0.11% -0.24% 05/2006 29369.46903 29096.49107 2006-06-30 2006-07-31 1.85% 1.43% 06/2006 29336.28319 29025.36378 2006-07-31 2006-08-31 3.15% 2.55% 07/2006 29878.31858 29440.93262 2006-08-31 2006-09-30 1.40% 0.83% 08/2006 30818.58407 30191.10507 2006-09-30 2006-10-31 5.98% 4.75% 09/2006 31250.00001 30442.48182 2006-10-31 2006-11-30 6.41% 7.43% 10/2006 33119.46903 31887.98293 2006-11-30 2006-12-31 4.05% 4.50% 11/2006 35243.36284 34258.36502 2006-12-31 2007-01-31 1.48% -1.08% 12/2006 36670.354 35800.88873 2007-01-31 2007-02-28 -1.52% -0.59% 01/2007 37212.38939 35415.39915 2007-02-28 2007-03-31 4.56% 3.98% 02/2007 36648.2301 35205.20002 2007-03-31 2007-04-30 6.41% 4.63% 03/2007 38318.58409 36607.13479 2007-04-30 2007-05-31 6.70% 4.95% 04/2007 40774.33629 38301.93602 2007-05-31 2007-06-30 1.65% 4.69% 05/2007 43506.63717 40199.01976 2007-06-30 2007-07-31 2.43% 5.28% 06/2007 44225.66372 42083.39264 2007-07-31 2007-08-31 -1.71% -2.13% 07/2007 45298.67256 44303.84785 2007-08-31 2007-09-30 8.82% 11.04% 08/2007 44524.33629 43362.3024 2007-09-30 2007-10-31 10.98% 11.15% 09/2007 48451.32743 48150.94986 2007-10-31 2007-11-30 -6.52% -7.09% 10/2007 53772.12388 53520.78318 2007-11-30 2007-12-31 -0.35% 0.35% 11/2007 50265.48672 49726.86787 2007-12-31 2008-01-31 -8.70% -12.48% 12/2007 50088.49557 49901.25085 2008-01-31 2008-02-29 3.19% 7.38% 01/2008 45730.08849 43673.8733 2008-02-29 2008-03-31 -3.09% -5.29% 02/2008 47190.26549 46897.54641 2008-03-31 2008-04-30 7.16% 8.12% 03/2008 45730.08849 44415.76252 2008-04-30 2008-05-31 0.59% 1.86% 04/2008 49004.42478 48020.26653 2008-05-31 2008-06-30 -10.26% -9.97% 05/2008 49292.03539 48911.10737 2008-06-30 2008-07-31 -1.30% -3.77% 06/2008 44236.72566 44032.83828 2008-07-31 2008-08-31 -5.93% -7.99% 07/2008 43661.50443 42371.91524 2008-08-31 2008-09-30 -13.90% -17.50% 08/2008 41073.00886 38987.53211 2008-09-30 2008-10-31 -26.34% -27.37% 09/2008 35365.04425 32164.58346 2008-10-31 2008-11-30 -9.04% -7.53% 10/2008 26050.88496 23361.83389 2008-11-30 2008-12-31 7.84% 7.80% 11/2008 23694.69027 21603.22571 2008-12-31 2009-01-31 -7.66% -6.46% 12/2008 25553.09734 23288.18785 2009-01-31 2009-02-28 -6.47% -5.64% 01/2009 23595.13275 21784.22273 2009-02-28 2009-03-31 14.44% 14.37% 02/2009 22068.58407 20555.33038 2009-03-31 2009-04-30 14.85% 16.64% 03/2009 25254.42478 23509.27602 2009-04-30 2009-05-31 17.05% 17.09% 04/2009 29004.42479 27421.45939 2009-05-31 2009-06-30 -0.85% -1.35% 05/2009 33949.11506 32106.85072 2009-06-30 2009-07-31 11.47% 11.24% 06/2009 33661.50443 31674.35664 2009-07-31 2009-08-31 0.35% -0.36% 07/2009 37522.1239 35236.07119 2009-08-31 2009-09-30 8.84% 9.08% 08/2009 37654.86726 35109.92688 2009-09-30 2009-10-31 -2.08% 0.12% 09/2009 40984.51328 38296.8602 2009-10-31 2009-11-30 5.98% 4.30% 10/2009 40132.74337 38344.23233 2009-11-30 2009-12-31 3.62% 3.95% 11/2009 42533.18585 39991.33055 2009-12-31 2010-01-31 -5.45% -5.58% 12/2009 44070.79647 41570.63621 2010-01-31 2010-02-28 1.22% 0.35% 01/2010 41670.35399 39252.15628 2010-02-28 2010-03-31 8.39% 8.07% 02/2010 42179.20354 39390.3133 2010-03-31 2010-04-30 0.60% 1.21% 03/2010 45719.02654 42570.3986 2010-04-30 2010-05-31 -9.28% -8.80% 04/2010 45995.57521 43086.13887 2010-05-31 2010-06-30 0.16% -0.74% 05/2010 41725.66372 39296.4307 2010-06-30 2010-07-31 8.81% 8.33% 06/2010 41792.0354 39007.56331 2010-07-31 2010-08-31 -2.31% -1.94% 07/2010 45475.66371 42255.92483 2010-08-31 2010-09-30 11.38% 11.11% 08/2010 44424.77876 41435.27509 2010-09-30 2010-10-31 3.04% 2.90% 09/2010 49480.08849 46039.95583 2010-10-31 2010-11-30 -2.23% -2.64% 10/2010 50984.51326 47376.79589 2010-11-30 2010-12-31 8.14% 7.14% 11/2010 49845.13274 46126.15023 2010-12-31 2011-01-31 -2.59% -2.71% 12/2010 53904.86725 49417.68963 2011-01-31 2011-02-28 -0.70% -0.93% 01/2011 52511.06194 48076.93112 2011-02-28 2011-03-31 5.58% 5.88% 02/2011 52146.01769 47628.60177 2011-03-31 2011-04-30 3.50% 3.10% 03/2011 55055.30973 50428.86654 2011-04-30 2011-05-31 -2.76% -2.62% 04/2011 56980.08848 51993.18073 2011-05-31 2011-06-30 -1.18% -1.54% 05/2011 55409.29201 50629.43612 2011-06-30 2011-07-31 -0.77% -0.44% 06/2011 54756.63715 49850.56795 2011-07-31 2011-08-31 -8.08% -8.94% 07/2011 54336.28317 49629.16113 2011-08-31 2011-09-30 -15.13% -14.58% 08/2011 49944.69025 45194.09196 2011-09-30 2011-10-31 12.53% 13.25% 09/2011 42389.38052 38605.04085 2011-10-31 2011-11-30 -3.46% -6.66% 10/2011 47699.11503 43718.55662 2011-11-30 2011-12-31 -2.91% -1.21% 11/2011 46050.88494 40804.88147 2011-12-31 2012-01-31 10.71% 11.34% 12/2011 44712.38936 40313.07288 2012-01-31 2012-02-29 5.43% 5.99% 01/2012 49502.21238 44885.64739 2012-02-29 2012-03-31 -2.59% -3.34% 02/2012 52190.26548 47574.28607 2012-03-31 2012-04-30 -1.78% -1.20% 03/2012 50840.70796 45986.28864 2012-04-30 2012-05-31 -10.77% -11.21% 04/2012 49933.62832 45436.70648 2012-05-31 2012-06-30 4.97% 3.86% 05/2012 44557.52212 40341.21113 2012-06-30 2012-07-31 0.80% 1.95% 06/2012 46769.91149 41898.19616 2012-07-31 2012-08-31 0.68% -0.33% 07/2012 47146.01769 42715.46911 2012-08-31 2012-09-30 5.59% 6.03% 08/2012 47466.81415 42573.22844 2012-09-30 2012-10-31 -0.51% -0.61% 09/2012 50121.6814 45142.17877 10/31/2012 49867.25663 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 4.55% -1.50% 17.43% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. The Emerging Markets Small Cap Series vs. MSCI Emerging Markets Index (net div.) October 31, 2002 - October 31, 2012
The Emerging Markets MSCI Emerging Markets BeginDate EndDate FundReturns Benchmark0Returns EndDate Small Cap Series Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- --------------------- 2002-10-31 2002-11-30 7.75% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.26% -3.33% 11/2002 10774.8184 10688.20463 2002-12-31 2003-01-31 1.86% -0.44% 12/2002 10423.72881 10332.68124 2003-01-31 2003-02-28 -1.14% -2.81% 01/2003 10617.43341 10287.11002 2003-02-28 2003-03-31 -0.69% -2.86% 02/2003 10496.36804 9998.077641 2003-03-31 2003-04-30 12.89% 8.89% 03/2003 10423.72881 9712.550745 2003-04-30 2003-05-31 7.61% 7.15% 04/2003 11767.55448 10576.25547 2003-05-31 2003-06-30 4.30% 5.67% 05/2003 12663.43826 11332.42116 2003-06-30 2003-07-31 2.11% 6.22% 06/2003 13208.23245 11974.8284 2003-07-31 2003-08-31 6.01% 6.69% 07/2003 13486.68281 12719.45993 2003-08-31 2003-09-30 3.81% 0.73% 08/2003 14297.82083 13570.61278 2003-09-30 2003-10-31 8.73% 8.51% 09/2003 14842.61502 13669.44466 2003-10-31 2003-11-30 2.03% 1.22% 10/2003 16138.01454 14832.47204 2003-11-30 2003-12-31 10.00% 7.24% 11/2003 16464.89105 15012.94766 2003-12-31 2004-01-31 3.01% 3.49% 12/2003 18111.38016 16099.9853 2004-01-31 2004-02-29 4.22% 4.59% 01/2004 18656.17435 16662.21886 2004-02-29 2004-03-31 1.68% 1.25% 02/2004 19443.09929 17426.29823 2004-03-31 2004-04-30 -5.51% -8.19% 03/2004 19769.9758 17644.0921 2004-04-30 2004-05-31 -4.15% -2.00% 04/2004 18680.38743 16199.38255 2004-05-31 2004-06-30 0.81% 0.43% 05/2004 17905.56902 15876.20003 2004-06-30 2004-07-31 0.74% -1.83% 06/2004 18050.84747 15943.82184 2004-07-31 2004-08-31 3.33% 4.15% 07/2004 18184.01938 15651.96247 2004-08-31 2004-09-30 5.54% 5.77% 08/2004 18789.34626 16301.04143 2004-09-30 2004-10-31 2.56% 2.39% 09/2004 19830.50848 17241.52745 2004-10-31 2004-11-30 9.46% 9.26% 10/2004 20338.98306 17653.47774 2004-11-30 2004-12-31 5.33% 4.80% 11/2004 22263.92252 19287.7093 2004-12-31 2005-01-31 2.84% 0.25% 12/2004 23450.3632 20214.06032 2005-01-31 2005-02-28 6.33% 8.72% 01/2005 24116.22277 20265.39862 2005-02-28 2005-03-31 -6.85% -6.61% 02/2005 25641.6465 22033.51685 2005-03-31 2005-04-30 -3.65% -2.68% 03/2005 23886.19856 20577.38623 2005-04-30 2005-05-31 1.95% 3.48% 04/2005 23014.52786 20024.99063 2005-05-31 2005-06-30 2.53% 3.40% 05/2005 23462.46975 20722.01549 2005-06-30 2005-07-31 5.59% 6.99% 06/2005 24055.69009 21426.05132 2005-07-31 2005-08-31 0.67% 0.86% 07/2005 25399.51576 22923.68229 2005-08-31 2005-09-30 6.63% 9.31% 08/2005 25569.00729 23119.9891 2005-09-30 2005-10-31 -4.84% -6.54% 09/2005 27263.92255 25272.80535 2005-10-31 2005-11-30 7.14% 8.27% 10/2005 25944.30996 23620.93331 2005-11-30 2005-12-31 6.58% 5.91% 11/2005 27796.61021 25574.955 2005-12-31 2006-01-31 9.73% 11.17% 12/2005 29624.69739 27086.60788 2006-01-31 2006-02-28 1.12% -0.12% 01/2006 32506.05332 30111.9491 2006-02-28 2006-03-31 1.80% 0.88% 02/2006 32869.24945 30076.21583 2006-03-31 2006-04-30 8.21% 7.12% 03/2006 33462.46979 30341.27525 2006-04-30 2006-05-31 -10.50% -10.48% 04/2006 36210.65382 32501.78094 2006-05-31 2006-06-30 -4.37% -0.24% 05/2006 32409.20103 29096.49107 2006-06-30 2006-07-31 2.30% 1.43% 06/2006 30992.73612 29025.36378 2006-07-31 2006-08-31 3.51% 2.55% 07/2006 31707.02184 29440.93262 2006-08-31 2006-09-30 2.84% 0.83% 08/2006 32820.82328 30191.10507 2006-09-30 2006-10-31 7.57% 4.75% 09/2006 33753.02667 30442.48182 2006-10-31 2006-11-30 7.60% 7.43% 10/2006 36307.5061 31887.98293 2006-11-30 2006-12-31 4.62% 4.50% 11/2006 39067.79666 34258.36502 2006-12-31 2007-01-31 1.98% -1.08% 12/2006 40871.67076 35800.88873 2007-01-31 2007-02-28 0.84% -0.59% 01/2007 41682.80877 35415.39915 2007-02-28 2007-03-31 4.52% 3.98% 02/2007 42033.89836 35205.20002 2007-03-31 2007-04-30 7.66% 4.63% 03/2007 43934.62474 36607.13479 2007-04-30 2007-05-31 7.99% 4.95% 04/2007 47300.24218 38301.93602 2007-05-31 2007-06-30 3.01% 4.69% 05/2007 51077.48189 40199.01976 2007-06-30 2007-07-31 4.90% 5.28% 06/2007 52615.01216 42083.39264 2007-07-31 2007-08-31 -4.12% -2.13% 07/2007 55193.70464 44303.84785 2007-08-31 2007-09-30 6.89% 11.04% 08/2007 52917.67557 43362.3024 2007-09-30 2007-10-31 7.58% 11.15% 09/2007 56561.74337 48150.94986 2007-10-31 2007-11-30 -7.98% -7.09% 10/2007 60847.45766 53520.78318 2007-11-30 2007-12-31 1.17% 0.35% 11/2007 55992.73611 49726.86787 2007-12-31 2008-01-31 -11.99% -12.48% 12/2007 56646.48913 49901.25085 2008-01-31 2008-02-29 2.89% 7.38% 01/2008 49854.72158 43673.8733 2008-02-29 2008-03-31 -4.65% -5.29% 02/2008 51295.39954 46897.54641 2008-03-31 2008-04-30 6.09% 8.12% 03/2008 48910.41166 44415.76252 2008-04-30 2008-05-31 -0.56% 1.86% 04/2008 51888.61989 48020.26653 2008-05-31 2008-06-30 -11.52% -9.97% 05/2008 51598.06299 48911.10737 2008-06-30 2008-07-31 -1.51% -3.77% 06/2008 45653.75305 44032.83828 2008-07-31 2008-08-31 -6.03% -7.99% 07/2008 44963.68042 42371.91524 2008-08-31 2008-09-30 -17.99% -17.50% 08/2008 42251.81602 38987.53211 2008-09-30 2008-10-31 -30.29% -27.37% 09/2008 34648.91044 32164.58346 2008-10-31 2008-11-30 -6.07% -7.53% 10/2008 24152.54239 23361.83389 2008-11-30 2008-12-31 14.19% 7.80% 11/2008 22687.65135 21603.22571 2008-12-31 2009-01-31 -7.62% -6.46% 12/2008 25907.99034 23288.18785 2009-01-31 2009-02-28 -6.12% -5.64% 01/2009 23934.62471 21784.22273 2009-02-28 2009-03-31 13.79% 14.37% 02/2009 22469.73367 20555.33038 2009-03-31 2009-04-30 20.27% 16.64% 03/2009 25569.00729 23509.27602 2009-04-30 2009-05-31 22.72% 17.09% 04/2009 30750.60535 27421.45939 2009-05-31 2009-06-30 -0.48% -1.35% 05/2009 37736.07752 32106.85072 2009-06-30 2009-07-31 12.80% 11.24% 06/2009 37554.47945 31674.35664 2009-07-31 2009-08-31 1.20% -0.36% 07/2009 42360.77484 35236.07119 2009-08-31 2009-09-30 8.36% 9.08% 08/2009 42869.24942 35109.92688 2009-09-30 2009-10-31 -0.08% 0.12% 09/2009 46452.78453 38296.8602 2009-10-31 2009-11-30 5.95% 4.30% 10/2009 46416.46491 38344.23233 2009-11-30 2009-12-31 5.51% 3.95% 11/2009 49176.75547 39991.33055 2009-12-31 2010-01-31 -4.39% -5.58% 12/2009 51888.61987 41570.63621 2010-01-31 2010-02-28 1.73% 0.35% 01/2010 49612.59082 39252.15628 2010-02-28 2010-03-31 8.56% 8.07% 02/2010 50472.15499 39390.3133 2010-03-31 2010-04-30 1.66% 1.21% 03/2010 54794.1889 42570.3986 2010-04-30 2010-05-31 -10.02% -8.80% 04/2010 55702.17921 43086.13887 2010-05-31 2010-06-30 2.68% -0.74% 05/2010 50121.06542 39296.4307 2010-06-30 2010-07-31 9.22% 8.33% 06/2010 51464.89108 39007.56331 2010-07-31 2010-08-31 0.50% -1.94% 07/2010 56210.65379 42255.92483 2010-08-31 2010-09-30 12.17% 11.11% 08/2010 56489.10416 41435.27509 2010-09-30 2010-10-31 3.99% 2.90% 09/2010 63365.61748 46039.95583 2010-10-31 2010-11-30 -2.66% -2.64% 10/2010 65895.88383 47376.79589 2010-11-30 2010-12-31 5.76% 7.14% 11/2010 64140.43588 46126.15023 2010-12-31 2011-01-31 -4.19% -2.71% 12/2010 67832.92984 49417.68963 2011-01-31 2011-02-28 -2.91% -0.93% 01/2011 64987.89351 48076.93112 2011-02-28 2011-03-31 5.58% 5.88% 02/2011 63099.27365 47628.60177 2011-03-31 2011-04-30 5.29% 3.10% 03/2011 66622.27608 50428.86654 2011-04-30 2011-05-31 -2.23% -2.62% 04/2011 70145.2785 51993.18073 2011-05-31 2011-06-30 -0.02% -1.54% 05/2011 68583.53516 50629.43612 2011-06-30 2011-07-31 1.15% -0.44% 06/2011 68571.42864 49850.56795 2011-07-31 2011-08-31 -9.46% -8.94% 07/2011 69358.35356 49629.16113 2011-08-31 2011-09-30 -17.76% -14.58% 08/2011 62796.61021 45194.09196 2011-09-30 2011-10-31 11.09% 13.25% 09/2011 51646.48915 38605.04085 2011-10-31 2011-11-30 -4.83% -6.66% 10/2011 57372.88142 43718.55662 2011-11-30 2011-12-31 -2.66% -1.21% 11/2011 54600.4843 40804.88147 2011-12-31 2012-01-31 11.32% 11.34% 12/2011 53147.69979 40313.07288 2012-01-31 2012-02-29 8.21% 5.99% 01/2012 59164.64895 44885.64739 2012-02-29 2012-03-31 -2.53% -3.34% 02/2012 64019.3705 47574.28607 2012-03-31 2012-04-30 -2.39% -1.20% 03/2012 62397.09445 45986.28864 2012-04-30 2012-05-31 -9.10% -11.21% 04/2012 60907.99034 45436.70648 2012-05-31 2012-06-30 3.83% 3.86% 05/2012 55363.19615 40341.21113 2012-06-30 2012-07-31 -1.18% 1.95% 06/2012 57481.8402 41898.19616 2012-07-31 2012-08-31 2.62% -0.33% 07/2012 56803.8741 42715.46911 2012-08-31 2012-09-30 5.86% 6.03% 08/2012 58292.97822 42573.22844 2012-09-30 2012-10-31 -0.33% -0.61% 09/2012 61707.0218 45142.17877 10/31/2012 61501.21066 44868.1269
One Year1 Five Years Ten Years --------- ---------- --------- 7.19% 0.21% 19.92%
Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 223 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. Equity Market Review 12 Months Ended October 31, 2012 The year ending October 31, 2012 saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 3000(R) Index....................................... 14.75% Russell Microcap(R) Index (micro cap stocks)................ 16.49% Russell 2000(R) Index (small cap stocks).................... 12.08% Russell 1000(R) Index (large cap stocks).................... 14.97% Dow Jones US Select REIT Index.............................. 14.09% The value premium was positive across both large cap and small cap stocks. Total Return for 12 Months Ended October 31, 2012 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)........ 14.47% Russell 2000(R) Growth Index (small cap growth stocks)...... 9.70% Russell 1000(R) Value Index (large cap value stocks)........ 16.89% Russell 1000(R) Growth Index (large cap growth stocks)...... 13.02% -------- Sources: Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. 224 Domestic Equity Series' Performance Overview The U.S. Large Cap Value Series The U.S. Large Cap Value Series seeks to capture the returns of U.S. large company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Series held approximately 250 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 18.31% for the Series and 16.89% for the Russell 1000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. Value stocks, particularly in the largest size category, generally outperformed during the period. The Series had significantly greater exposure than the Index to value stocks, which contributed to the relative outperformance. The Series' exclusion of REITs and highly regulated utilities also helped performance as both of these sectors underperformed the overall Index during the period. International Equity Market Review 12 Months Ended October 31, 2012 The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI World ex USA Index............................................ 4.40% MSCI World ex USA Small Cap Index.................................. 4.86% MSCI World ex USA Value Index...................................... 4.74% MSCI World ex USA Growth Index..................................... 3.99% -------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar. 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Foreign Developed Markets by Market Cap Return Return --------------------------------------------------- -------- ----------- United Kingdom............................................ 8.61% 8.41% Japan..................................................... -0.86% -3.28% Canada.................................................... 3.34% 2.69% France.................................................... 10.04% 2.23% Australia................................................. 10.20% 7.71% Switzerland............................................... 17.41% 9.79% Germany................................................... 18.18% 9.79% 225 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Foreign Developed Markets by Market Cap Return Return --------------------------------------------------- -------- ----------- Spain.................................................. -6.40% -13.04% Sweden................................................. 9.26% 6.47% Hong Kong.............................................. 16.12% 16.34% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI Emerging Markets Index........... 2.63% MSCI Emerging Markets Small Cap Index. 3.74% MSCI Emerging Markets Value Index..... 1.36% MSCI Emerging Markets Growth Index.... 3.89% -------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ----------- China.................................................. 7.71% 7.92% South Korea............................................ 1.71% 3.35% Brazil................................................. 4.65% -12.68% Taiwan................................................. -1.78% 0.59% South Africa........................................... 17.70% 6.84% India.................................................. 5.24% -4.73% Russia................................................. -1.42% -4.50% Mexico................................................. 16.32% 17.03% Malaysia............................................... 11.39% 12.19% Indonesia.............................................. 12.64% 3.82% -------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. 226 International Equity Series' Performance Overview The DFA International Value Series The DFA International Value Series seeks to capture the returns of international large company value stocks. Value stocks are typically characterized by low relative price, as measured by their book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track any specific equity index. As of October 31, 2012, the Series held approximately 530 securities in 23 developed countries. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ending October 31, 2012, total returns were 3.17% for the Series and 4.40% for the MSCI World ex USA Index (net dividends). The Series focuses on international large-cap value stocks,as measured by book-to-market, while the Index is neutral with regard to value or growth. International large-cap value stocks, as measured by high book-to-market ratios, generally underperformed during the period. The Series had significantly greater exposure than the Index to value stocks, which contributed to relative underperformance. In particular, large-cap value stocks in Japan significantly underperformed. As the Series has significantly more weight in these securities than the Index, these holdings detracted from relative performance. Differences in the valuation timing and methodology between the Series and the Index contributed to relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Japanese Small Company Series The Japanese Small Company Series seeks to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 1,400 securities. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 0.54% for the Series and -1.01% for the MSCI Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Japanese equity market rather than the behavior of a limited number of stocks. The Series' outperformance was primarily attributable to its holdings of companies with a market capitalization below $500 million. These stocks are generally considered too small to be included in the Index and outperformed other stocks, contributing to the Series' relative performance. The Series' outperformance was also attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Asia Pacific Small Company Series The Asia Pacific Small Company Series seeks to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 1,000 securities across the eligible countries. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 7.48% for the Series and 4.01% for the MSCI Pacific ex Japan Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in Asia Pacific equity markets rather than the behavior of a limited number of stocks. In particular, the Index held a number of larger Australian companies at higher weights than the Series and these stocks underperformed, benefitting the Series' relative performance. The 227 Series' outperformance was also attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The United Kingdom Small Company Series The United Kingdom Small Company Series seeks to capture the returns of U.K. small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 360 securities. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 23.41% for the Series and 20.73% for the MSCI UK Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.K. equity market, rather than the behavior of a limited number of stocks. The Series generally excluded stocks not listed on the London Stock Exchange whereas the Index held a number of stocks listed on other exchanges. The stocks that were excluded by the Series significantly underperformed, contributed to the Series' relative performance. In addition, the Series held a number of stocks that were considered to be too large for the Index. These larger names outperformed, which had a positive impact on relative performance. The Series' outperformance was also attributable to differences in the valuation timing and methodology between the Series and the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Continental Small Company Series The Continental Small Company Series seeks to capture the returns of small company stocks in developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares in such securities. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 1,400 securities in 15 developed continental European countries and Israel. Country allocations generally reflect the approximate weights of individual securities within a universe of continental European and Israeli small company stocks constructed by the Advisor. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were 2.29% for the Series and 3.75% for the MSCI Europe ex UK Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the continental European (excluding the U.K.) and Israeli equity markets, rather than the behavior of a limited number of stocks. The Series defines the small cap universe differently than the Index. For the one-year period, this led to differences in country weights as well as holdings within certain countries. In particular, the Series had a lower allocation to Norway, one of the best performing countries, which detracted from relative performance. Differences in the Series' definition of the small cap universe also resulted in the exclusion or lower weighting of larger securities in Norway, Germany and Sweden, which also outperformed, and detracted from the Series' relative performance. For the period, differences in the valuation timing and methodology between the Series and the Index contributed to relative performance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 228 The Canadian Small Company Series The Canadian Small Company Series seeks to capture the returns of Canadian small company stocks. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 420 securities. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. For the 12 months ended October 31, 2012, total returns were -2.51% for the Series and -1.67% for the MSCI Canada Small Cap Index (net dividends). As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the Canadian equity market. The Series held smaller securities than the Index, which had a negative impact on relative performance as larger companies in Canada outperformed. The Series' exclusion of REITs also detracted significantly from relative performance as Canadian REITs outperformed. The Emerging Markets Series The Emerging Markets Series seeks to capture the returns of large cap stocks in selected emerging markets countries. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap emerging markets stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 970 securities across 20 emerging markets. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. The Series' country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 4.55% for the Series and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was generally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. Differences in the valuation timing and methodology between the Series and the Index were the primary reason for the Series' outperformance relative to the Index. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. The Emerging Markets Small Cap Series The Emerging Markets Small Cap Series seeks to capture the returns of small company stocks in selected emerging markets. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks in selected emerging markets, and does not attempt to track a specific equity index. As of October 31, 2012, the Series held approximately 2,900 securities across 16 emerging markets. In general, the Series was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Series' assets. The Series' country weights were capped at 15% of assets associated with any one country upon purchase by the manager to limit single-country risk exposure. For the 12 months ended October 31, 2012, total returns were 7.19% for the Series and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Series' diversified approach, performance was principally determined by structural trends in emerging markets rather than the behavior of a limited number of stocks. The Series focuses on small cap stocks while the Index primarily holds mid-cap and large cap stocks. Emerging markets small cap stocks outperformed larger companies over the period. The Series' significantly greater exposure than the Index to small cap stocks contributed to the relative outperformance. In addition, differences in country weights between the Series and the Index also contributed to the Series' relative outperformance. To a lesser extent, differences in the valuation timing and methodology between the Series and the Index also contributed to outperformance. The Series prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Series also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 229 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, 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" reflect 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, 2012 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES.... Actual Fund Return................. $1,000.00 $1,068.50 0.12% $0.62 Hypothetical 5% Annual Return...... $1,000.00 $1,024.53 0.12% $0.61 THE DFA INTERNATIONAL VALUE SERIES. Actual Fund Return................. $1,000.00 $1,020.68 0.24% $1.22 Hypothetical 5% Annual Return...... $1,000.00 $1,023.93 0.24% $1.22
230 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- The Japanese Small Company Series --------------------------------- Actual Fund Return..................... $1,000.00 $ 926.58 0.15% $0.73 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.38 0.15% $0.76 The Asia Pacific Small Company Series ------------------------------------- Actual Fund Return..................... $1,000.00 $1,006.40 0.16% $0.81 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.33 0.16% $0.81 The United Kingdom Small Company Series --------------------------------------- Actual Fund Return..................... $1,000.00 $1,073.28 0.13% $0.68 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.48 0.13% $0.66 The Continental Small Company Series ------------------------------------ Actual Fund Return..................... $1,000.00 $ 999.29 0.16% $0.80 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.33 0.16% $0.81 The Canadian Small Company Series --------------------------------- Actual Fund Return..................... $1,000.00 $ 974.87 0.15% $0.74 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.38 0.15% $0.76 The Emerging Markets Series --------------------------- Actual Fund Return..................... $1,000.00 $ 998.66 0.20% $1.00 Hypothetical 5% Annual Return.......... $1,000.00 $1,024.13 0.20% $1.02 The Emerging Markets Small Cap Series ------------------------------------- Actual Fund Return..................... $1,000.00 $1,009.75 0.39% $1.97 Hypothetical 5% Annual Return.......... $1,000.00 $1,023.18 0.39% $1.98
-------- * 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 (366) to reflect the six-month period. 231 DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS
The U.S. Large Cap Value Series Consumer Discretionary..... 17.4% Consumer Staples........... 8.3% Energy..................... 19.2% Financials................. 19.6% Health Care................ 9.3% Industrials................ 13.7% Information Technology..... 3.2% Materials.................. 2.8% Telecommunication Services. 6.3% Utilities.................. 0.2% ----- 100.0%
The DFA International Value Series Consumer Discretionary..... 10.8% Consumer Staples........... 5.5% Energy..................... 14.5% Financials................. 30.7% Health Care................ 1.5% Industrials................ 10.0% Information Technology..... 2.9% Materials.................. 13.0% Telecommunication Services. 7.9% Utilities.................. 3.2% ----- 100.0%
The Japanese Small Company Series Consumer Discretionary..... 22.5% Consumer Staples........... 10.1% Energy..................... 0.9% Financials................. 12.2% Health Care................ 5.3% Industrials................ 26.3% Information Technology..... 10.9% Materials.................. 11.0% Telecommunication Services. 0.3% Utilities.................. 0.5% ----- 100.0%
232 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED
The Asia Pacific Small Company Series Consumer Discretionary....... 24.0% Consumer Staples............. 4.6% Energy....................... 7.1% Financials................... 11.7% Health Care.................. 5.6% Industrials.................. 21.3% Information Technology....... 4.5% Materials.................... 15.2% Other........................ -- Telecommunication Services... 2.5% Utilities.................... 3.5% ----- 100.0%
The United Kingdom Small Company Series Consumer Discretionary........ 25.0% Consumer Staples.............. 4.0% Energy........................ 5.0% Financials.................... 14.4% Health Care................... 2.1% Industrials................... 28.4% Information Technology........ 9.1% Materials..................... 7.4% Telecommunication Services.... 2.2% Utilities..................... 2.4% ----- 100.0%
The Continental Small Company Series Consumer Discretionary........ 13.3% Consumer Staples.............. 7.4% Energy........................ 4.5% Financials.................... 18.7% Health Care................... 9.5% Industrials................... 23.9% Information Technology........ 10.1% Materials..................... 8.9% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 1.6% Utilities..................... 2.1% ----- 100.0%
The Canadian Small Company Series Consumer Discretionary..... 11.2% Consumer Staples........... 3.4% Energy..................... 25.3% Financials................. 7.8% Health Care................ 2.0% Industrials................ 11.9% Information Technology..... 5.2% Materials.................. 28.4% Telecommunication Services. 0.5% Utilities.................. 4.3% ----- 100.0%
The Emerging Markets Series Consumer Discretionary..... 8.3% Consumer Staples........... 9.7% Energy..................... 12.4% Financials................. 23.9% Health Care................ 1.3% Industrials................ 7.4% Information Technology..... 13.5% Materials.................. 12.4% Other...................... -- Telecommunication Services. 7.8% Utilities.................. 3.3% ----- 100.0%
The Emerging Markets Small Cap Series Consumer Discretionary........ 18.4% Consumer Staples.............. 10.1% Energy........................ 2.1% Financials.................... 16.9% Health Care................... 6.1% Industrials................... 17.2% Information Technology........ 11.3% Materials..................... 14.0% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 0.9% Utilities..................... 3.0% ----- 100.0%
233 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value+ of Net Assets** ---------- -------------- --------------- COMMON STOCKS -- (94.6%) Consumer Discretionary -- (16.4%) #Carnival Corp.................... 2,385,423 $ 90,359,823 0.9% CBS Corp. Class B................ 2,414,307 78,223,547 0.7% Comcast Corp. Class A............ 10,008,890 375,433,464 3.5% Comcast Corp. Special Class A.... 3,843,964 140,074,048 1.3% #News Corp. Class A............... 8,332,375 199,310,410 1.9% News Corp. Class B............... 3,247,295 79,104,106 0.8% Time Warner Cable, Inc........... 1,921,256 190,415,682 1.8% Time Warner, Inc................. 4,810,759 209,027,479 2.0% Other Securities................. 477,830,442 4.5% -------------- ---- Total Consumer Discretionary......... 1,839,779,001 17.4% -------------- ---- Consumer Staples -- (7.9%) Archer-Daniels-Midland Co........ 3,155,848 84,702,960 0.8% CVS Caremark Corp................ 5,746,668 266,645,395 2.5% *Kraft Foods Group, Inc........... 2,376,283 108,073,351 1.0% Mondelez International, Inc. Class A........................ 7,128,852 189,199,732 1.8% Other Securities................. 231,906,652 2.2% -------------- ---- Total Consumer Staples............... 880,528,090 8.3% -------------- ---- Energy -- (18.1%) Anadarko Petroleum Corp.......... 2,441,476 167,997,964 1.6% #Apache Corp...................... 1,208,836 100,031,179 0.9% #Chesapeake Energy Corp........... 3,251,150 65,868,299 0.6% Chevron Corp..................... 2,876,061 316,970,683 3.0% ConocoPhillips................... 5,374,243 310,899,958 2.9% Devon Energy Corp................ 1,094,855 63,731,510 0.6% Hess Corp........................ 1,567,373 81,910,913 0.8% Marathon Oil Corp................ 3,446,808 103,611,048 1.0% Marathon Petroleum Corp.......... 1,791,952 98,431,923 0.9% National Oilwell Varco, Inc...... 1,661,481 122,451,150 1.1% Phillips 66...................... 2,855,170 134,649,817 1.3% #Pioneer Natural Resources Co..... 517,832 54,708,951 0.5% Valero Energy Corp............... 2,806,975 81,682,972 0.8% Other Securities.................. 324,968,319 3.1% -------------- ---- Total Energy......................... 2,027,914,686 19.1% -------------- ---- Financials -- (18.5%) Allstate Corp. (The)............. 1,330,135 53,178,797 0.5% Bank of America Corp............. 29,573,320 275,623,342 2.6% Citigroup, Inc................... 9,338,881 349,180,761 3.3% CME Group, Inc................... 1,599,345 89,451,366 0.8% #Goldman Sachs Group, Inc. (The).. 786,395 96,246,884 0.9% JPMorgan Chase & Co.............. 2,316,928 96,569,559 0.9% Loews Corp....................... 2,050,343 86,688,502 0.8% MetLife, Inc..................... 4,759,859 168,927,396 1.6% Morgan Stanley................... 3,953,534 68,712,421 0.7% Prudential Financial, Inc........ 2,267,142 129,340,451 1.2% SunTrust Banks, Inc.............. 2,564,707 69,760,030 0.7% Other Securities................. 590,403,703 5.6% -------------- ---- Total Financials..................... 2,074,083,212 19.6% -------------- ---- Health Care -- (8.8%) Aetna, Inc....................... 1,693,713 74,015,258 0.7% Humana, Inc...................... 698,778 51,898,242 0.5% Pfizer, Inc...................... 17,815,204 443,064,123 4.2% Thermo Fisher Scientific, Inc.... 1,932,026 117,969,508 1.1% 234 THE U.S. LARGE CAP VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ----------- --------------- --------------- Health Care -- (Continued) #WellPoint, Inc................. 1,824,634 $ 111,813,572 1.1% Other Securities............... 185,837,706 1.7% --------------- ----- Total Health Care.................. 984,598,409 9.3% --------------- ----- Industrials -- (12.9%) CSX Corp....................... 5,517,066 112,934,341 1.1% General Electric Co............ 21,445,555 451,643,388 4.2% Norfolk Southern Corp.......... 1,681,939 103,186,958 1.0% Northrop Grumman Corp.......... 1,364,645 93,737,465 0.9% Union Pacific Corp............. 2,314,080 284,701,262 2.7% Other Securities............... 401,626,053 3.8% --------------- ----- Total Industrials.................. 1,447,829,467 13.7% --------------- ----- Information Technology -- (3.1%) Other Securities............... 342,245,409 3.2% --------------- ----- Materials -- (2.7%) International Paper Co......... 2,299,481 82,390,404 0.8% Other Securities............... 214,315,526 2.0% --------------- ----- Total Materials.................... 296,705,930 2.8% --------------- ----- Telecommunication Services -- (6.0%) AT&T, Inc...................... 13,051,618 451,455,467 4.3% CenturyLink, Inc............... 2,353,137 90,313,398 0.9% *Sprint Nextel Corp............. 13,961,200 77,345,048 0.7% Other Securities............... 46,089,533 0.4% --------------- ----- Total Telecommunication Services... 665,203,446 6.3% --------------- ----- Utilities -- (0.2%) Other Securities............... 21,403,569 0.2% --------------- ----- TOTAL COMMON STOCKS................ 10,580,291,219 99.9% --------------- ----- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares......... 8,414,357 8,414,357 0.1% --------------- ----- Shares/ Face Amount (000) ----------- SECURITIES LENDING COLLATERAL -- (5.3%) (S)@DFA Short Term Investment Fund. 51,528,378 596,183,329 5.6% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,620,729 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,625,607) to be repurchased at $1,573,497................... $ 1,573 1,573,484 0.0% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................... 597,756,813 5.6% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $8,371,764,356)........... $11,186,462,389 105.6% =============== =====
235 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total --------------- ------------ ------- --------------- Common Stocks Consumer Discretionary..... $ 1,839,779,001 -- -- $ 1,839,779,001 Consumer Staples........... 880,528,090 -- -- 880,528,090 Energy..................... 2,027,914,686 -- -- 2,027,914,686 Financials................. 2,074,083,212 -- -- 2,074,083,212 Health Care................ 984,598,409 -- -- 984,598,409 Industrials................ 1,447,829,467 -- -- 1,447,829,467 Information Technology..... 342,245,409 -- -- 342,245,409 Materials.................. 296,705,930 -- -- 296,705,930 Telecommunication Services. 665,203,446 -- -- 665,203,446 Utilities.................. 21,403,569 -- -- 21,403,569 Temporary Cash Investments.... 8,414,357 -- -- 8,414,357 Securities Lending Collateral. -- $597,756,813 -- 597,756,813 --------------- ------------ -- --------------- TOTAL......................... $10,588,705,576 $597,756,813 -- $11,186,462,389 =============== ============ == ===============
See accompanying Notes to Financial Statements. 236 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (91.9%) AUSTRALIA -- (4.6%) #National Australia Bank, Ltd....... 1,435,379 $ 38,360,336 0.5% #Wesfarmers, Ltd.................... 2,578,622 92,958,107 1.3% Other Securities................... 227,956,736 3.2% ------------ ---- TOTAL AUSTRALIA........................ 359,275,179 5.0% ------------ ---- AUSTRIA -- (0.3%) Other Securities................... 20,298,622 0.3% ------------ ---- BELGIUM -- (0.9%) Other Securities................... 68,961,678 0.9% ------------ ---- CANADA -- (11.6%) Canadian Natural Resources, Ltd.... 1,668,484 50,284,224 0.7% Goldcorp, Inc...................... 1,677,120 75,816,739 1.0% #Manulife Financial Corp............ 4,587,163 56,676,437 0.8% Nexen, Inc......................... 1,739,936 41,549,410 0.6% #Sun Life Financial, Inc............ 1,565,269 38,820,238 0.5% Suncor Energy, Inc................. 3,696,270 124,054,038 1.7% #Teck Resources, Ltd. Class B....... 1,483,730 47,093,107 0.7% #Thomson Reuters Corp............... 1,832,184 51,585,496 0.7% Other Securities................... 422,824,032 5.8% ------------ ---- TOTAL CANADA........................... 908,703,721 12.5% ------------ ---- DENMARK -- (1.3%) Other Securities................... 98,590,467 1.4% ------------ ---- FINLAND -- (0.6%) Other Securities................... 46,534,314 0.6% ------------ ---- FRANCE -- (8.6%) AXA SA............................. 3,557,776 56,706,072 0.8% BNP Paribas SA..................... 1,230,991 62,480,990 0.9% Cie de Saint-Gobain SA............. 1,039,077 36,601,589 0.5% France Telecom SA.................. 3,875,091 43,313,653 0.6% #GDF Suez SA........................ 3,247,974 74,548,265 1.0% *Societe Generale SA................ 1,558,512 49,703,998 0.7% Vivendi SA......................... 3,686,124 75,533,481 1.0% Other Securities................... 269,050,897 3.7% ------------ ---- TOTAL FRANCE........................... 667,938,945 9.2% ------------ ---- GERMANY -- (7.6%) Bayerische Motoren Werke AG........ 656,221 52,461,937 0.7% Daimler AG......................... 2,088,586 97,838,982 1.4% #Deutsche Bank AG................... 1,325,896 60,395,696 0.8% E.ON AG............................ 3,592,972 81,793,916 1.1% Munchener Rueckversicherungs-Gesellschaft AG............................... 395,244 63,595,851 0.9% Other Securities................... 239,505,610 3.3% ------------ ---- TOTAL GERMANY.......................... 595,591,992 8.2% ------------ ---- GREECE -- (0.0%) Other Securities................... 3,296,253 0.0% ------------ ---- HONG KONG -- (1.9%) #Hutchison Whampoa, Ltd............. 5,618,000 55,108,769 0.8% Other Securities................... 93,863,530 1.3% ------------ ---- TOTAL HONG KONG........................ 148,972,299 2.1% ------------ ---- 237 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- IRELAND -- (0.2%) Other Securities............................. $ 15,849,047 0.2% -------------- ---- ISRAEL -- (0.6%) Other Securities............................. 45,815,345 0.6% -------------- ---- ITALY -- (1.3%) Other Securities............................. 99,757,627 1.4% -------------- ---- JAPAN -- (16.2%) Mitsubishi Corp.............................. 2,732,000 48,774,242 0.7% Mitsubishi UFJ Financial Group, Inc.......... 18,834,406 85,206,251 1.2% Mitsui & Co., Ltd............................ 2,990,300 42,148,944 0.6% Sumitomo Corp................................ 3,241,900 44,196,159 0.6% #Toyota Motor Corp. Sponsored ADR............. 614,188 47,581,144 0.6% Other Securities............................. 997,496,602 13.8% -------------- ---- TOTAL JAPAN...................................... 1,265,403,342 17.5% -------------- ---- NETHERLANDS -- (2.7%) ArcelorMittal NV............................. 2,446,831 36,174,996 0.5% *ING Groep NV................................. 4,933,987 43,903,032 0.6% Koninklijke Philips Electronics NV........... 2,042,653 51,160,127 0.7% Other Securities............................. 83,798,551 1.2% -------------- ---- TOTAL NETHERLANDS................................ 215,036,706 3.0% -------------- ---- NEW ZEALAND -- (0.1%) Other Securities............................. 6,231,896 0.1% -------------- ---- NORWAY -- (1.2%) Other Securities............................. 92,125,902 1.3% -------------- ---- PORTUGAL -- (0.1%) Other Securities............................. 8,279,896 0.1% -------------- ---- SINGAPORE -- (1.0%) Other Securities............................. 81,099,619 1.1% -------------- ---- SPAIN -- (1.9%) Banco Santander SA........................... 7,903,716 59,508,435 0.8% Other Securities............................. 85,860,300 1.2% -------------- ---- TOTAL SPAIN...................................... 145,368,735 2.0% -------------- ---- SWEDEN -- (2.9%) Nordea Bank AB............................... 5,366,449 48,779,174 0.7% Telefonaktiebolaget LM Ericsson AB Series B.. 4,713,081 41,753,549 0.6% Other Securities............................. 132,823,836 1.8% -------------- ---- TOTAL SWEDEN..................................... 223,356,559 3.1% -------------- ---- SWITZERLAND -- (5.7%) Holcim, Ltd.................................. 887,877 60,594,265 0.8% Swiss Re, Ltd................................ 1,108,107 76,678,078 1.1% UBS AG....................................... 3,833,535 57,516,804 0.8% Zurich Insurance Group AG.................... 221,361 54,569,851 0.8% Other Securities............................. 196,610,103 2.7% -------------- ---- TOTAL SWITZERLAND................................ 445,969,101 6.2% -------------- ---- UNITED KINGDOM -- (20.6%) Aviva P.L.C.................................. 8,175,916 43,785,601 0.6% Barclays P.L.C............................... 11,591,752 42,863,545 0.6% #Barclays P.L.C. Sponsored ADR................ 4,327,157 64,041,924 0.9% BP P.L.C. Sponsored ADR...................... 5,338,016 228,947,506 3.2%
238 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) #HSBC Holdings P.L.C. Sponsored ADR.................................... 1,453,812 $ 71,760,160 1.0% Kingfisher P.L.C....................................................... 10,285,817 48,158,694 0.7% *Lloyds Banking Group P.L.C............................................ 76,981,994 50,693,260 0.7% Old Mutual P.L.C....................................................... 13,164,620 36,643,450 0.5% Royal Dutch Shell P.L.C. ADR........................................... 3,323,210 234,718,322 3.2% Vodafone Group P.L.C................................................... 34,976,333 94,983,682 1.3% Vodafone Group P.L.C. Sponsored ADR.................................... 8,116,661 220,935,512 3.1% Xstrata P.L.C.......................................................... 5,211,952 82,565,149 1.1% Other Securities....................................................... 385,708,778 5.3% -------------- ----- TOTAL UNITED KINGDOM...................................................... 1,605,805,583 22.2% -------------- ----- TOTAL COMMON STOCKS....................................................... 7,168,262,828 99.0% -------------- ----- PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Other Securities....................................................... 22,268,022 0.3% -------------- ----- RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities....................................................... 3 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (7.8%) (S)@DFA Short Term Investment Fund........................................ 52,722,558 610,000,000 8.5% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,715,506) to be repurchased at $1,681,885....................... $ 1,682 1,681,868 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL....................................... 611,681,868 8.5% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $7,402,475,403).................................................. $7,802,212,721 107.8% ============== =====
239 The DFA International Value Series CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) ---------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- -------------- ------- -------------- Common Stocks Australia.................. $ 3,692,761 $ 355,582,418 -- $ 359,275,179 Austria.................... -- 20,298,622 -- 20,298,622 Belgium.................... 2,022,896 66,938,782 -- 68,961,678 Canada..................... 908,703,721 -- -- 908,703,721 Denmark.................... -- 98,590,467 -- 98,590,467 Finland.................... 1,292,010 45,242,304 -- 46,534,314 France..................... 16,823,856 651,115,089 -- 667,938,945 Germany.................... 90,012,205 505,579,787 -- 595,591,992 Greece..................... -- 3,296,253 -- 3,296,253 Hong Kong.................. -- 148,972,299 -- 148,972,299 Ireland.................... 4,846,911 11,002,136 -- 15,849,047 Israel..................... 5,360,734 40,454,611 -- 45,815,345 Italy...................... 17,226,655 82,530,972 -- 99,757,627 Japan...................... 97,266,465 1,168,136,877 -- 1,265,403,342 Netherlands................ 14,913,357 200,123,349 -- 215,036,706 New Zealand................ -- 6,231,896 -- 6,231,896 Norway..................... 258,768 91,867,134 -- 92,125,902 Portugal................... -- 8,279,896 -- 8,279,896 Singapore.................. -- 81,099,619 -- 81,099,619 Spain...................... 10,329,758 135,038,977 -- 145,368,735 Sweden..................... 8,464,720 214,891,839 -- 223,356,559 Switzerland................ 50,178,730 395,790,371 -- 445,969,101 United Kingdom............. 875,824,552 729,981,031 -- 1,605,805,583 Preferred Stocks Germany...... -- 22,268,022 -- 22,268,022 Rights/Warrants Spain......... -- 3 -- 3 Securities Lending Collateral. -- 611,681,868 -- 611,681,868 -------------- -------------- -- -------------- TOTAL......................... $2,107,218,099 $5,694,994,622 -- $7,802,212,721 ============== ============== == ==============
See accompanying Notes to Financial Statements. 240 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (88.0%) Consumer Discretionary -- (19.8%) Aoyama Trading Co., Ltd.......... 295,800 $ 5,845,699 0.3% *Haseko Corp...................... 6,870,500 4,385,674 0.3% #Nifco, Inc....................... 228,400 5,190,359 0.3% Onward Holdings Co., Ltd......... 626,000 4,635,222 0.3% Ryohin Keikaku Co., Ltd.......... 104,000 6,887,238 0.4% Shimachu Co., Ltd................ 227,000 5,015,422 0.3% Toyobo Co., Ltd.................. 4,184,000 4,611,041 0.3% Other Securities................. 339,597,220 20.1% ------------ ---- Total Consumer Discretionary......... 376,167,875 22.3% ------------ ---- Consumer Staples -- (8.9%) #Nichirei Corp.................... 1,248,000 6,884,055 0.4% Sapporo Holdings, Ltd............ 1,621,000 4,526,839 0.3% Takara Holdings, Inc............. 834,500 6,250,961 0.4% *Tsuruha Holdings, Inc............ 73,200 5,548,589 0.3% Other Securities................. 145,425,057 8.6% ------------ ---- Total Consumer Staples............... 168,635,501 10.0% ------------ ---- Energy -- (0.8%) Other Securities................. 15,478,147 0.9% ------------ ---- Financials -- (10.7%) Daishi Bank, Ltd. (The).......... 1,494,000 4,936,839 0.3% Higo Bank, Ltd. (The)............ 818,000 4,827,321 0.3% Hokkoku Bank, Ltd. (The)......... 1,190,000 4,296,076 0.2% Hyakugo Bank, Ltd. (The)......... 1,116,609 4,886,171 0.3% Hyakujishi Bank, Ltd. (The)...... 1,097,000 4,300,766 0.2% Juroku Bank, Ltd................. 1,473,000 4,779,955 0.3% Kiyo Holdings, Inc............... 3,313,900 4,529,074 0.3% Musashino Bank, Ltd.............. 152,300 4,362,228 0.2% Ogaki Kyoritsu Bank, Ltd. (The).. 1,410,000 4,963,527 0.3% San-in Godo Bank, Ltd. (The)..... 791,000 5,471,237 0.3% *Tokyo Tatemono Co., Ltd.......... 1,893,000 7,791,021 0.5% Other Securities................. 147,759,131 8.8% ------------ ---- Total Financials..................... 202,903,346 12.0% ------------ ---- Health Care -- (4.7%) Kaken Pharmaceutical Co., Ltd.... 364,000 5,637,927 0.3% KYORIN Holdings, Inc............. 214,000 4,524,370 0.3% Nihon Kohden Corp................ 173,900 6,468,886 0.4% Rohto Pharmaceutical Co., Ltd.... 424,000 5,843,559 0.3% #Sawai Pharmaceutical Co., Ltd.... 40,300 4,451,796 0.3% Ship Healthcare Holdings, Inc.... 155,600 5,188,557 0.3% Toho Holdings Co., Ltd........... 217,800 4,452,305 0.3% Other Securities................. 51,968,098 3.1% ------------ ---- Total Health Care.................... 88,535,498 5.3% ------------ ---- Industrials -- (23.2%) #Fujikura, Ltd.................... 1,656,000 4,607,975 0.3% Glory, Ltd....................... 246,600 5,985,033 0.3% Hitachi Zosen Corp............... 3,596,000 4,505,574 0.3% #*Kawasaki Kisen Kaisha, Ltd....... 4,568,000 5,790,221 0.3% #Minebea Co., Ltd................. 1,334,000 4,384,759 0.3% Nisshinbo Holdings, Inc.......... 653,000 4,271,975 0.2% OSG Corp......................... 329,000 4,312,629 0.3% Sankyu, Inc...................... 1,251,000 4,358,022 0.3% 241 THE JAPANESE SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- Industrials -- (Continued) Other Securities......................................................... $ 401,944,861 23.8% -------------- ----- Total Industrials............................................................ 440,161,049 26.1% -------------- ----- Information Technology -- (9.6%) #Alps Electric Co., Ltd................................................... 808,000 4,776,946 0.3% #Anritsu Corp............................................................. 392,000 4,931,192 0.3% Horiba, Ltd.............................................................. 179,850 4,907,305 0.3% IT Holdings Corp......................................................... 376,801 4,696,096 0.3% Net One Systems Co., Ltd................................................. 434,500 4,836,269 0.3% Wacom Co., Ltd........................................................... 1,731 5,027,984 0.3% Other Securities......................................................... 153,046,255 9.0% -------------- ----- Total Information Technology................................................. 182,222,047 10.8% -------------- ----- Materials -- (9.6%) FP Corp.................................................................. 61,200 4,600,656 0.3% #Hokuetsu Kishu Paper Co., Ltd............................................ 862,199 4,417,725 0.3% *Mitsui Mining & Smelting Co., Ltd........................................ 2,683,000 5,679,528 0.3% Sumitomo Osaka Cement Co., Ltd........................................... 1,848,000 6,016,617 0.3% Toagosei Co., Ltd........................................................ 1,096,000 4,468,291 0.3% #Tosoh Corp............................................................... 2,242,000 4,388,986 0.3% Other Securities......................................................... 153,829,756 9.1% -------------- ----- Total Materials.............................................................. 183,401,559 10.9% -------------- ----- Telecommunication Services -- (0.3%) #eAccess, Ltd............................................................. 10,102 5,098,126 0.3% Other Securities......................................................... 117,808 0.0% -------------- ----- Total Telecommunication Services............................................. 5,215,934 0.3% -------------- ----- Utilities -- (0.4%) Other Securities......................................................... 8,485,467 0.5% -------------- ----- TOTAL COMMON STOCKS.......................................................... 1,671,206,423 99.1% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (12.0%) (S)@DFA Short Term Investment Fund........................................... 19,446,845 225,000,000 13.4% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $4,044,497) to be repurchased at $3,965,232............................. $ 3,965 3,965,193 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 228,965,193 13.6% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,096,684,195) $1,900,171,616 112.7% ============== =====
242 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ------- -------------- ------- -------------- Common Stocks Consumer Discretionary..... $3,783 $ 376,164,092 -- $ 376,167,875 Consumer Staples........... -- 168,635,501 -- 168,635,501 Energy..................... -- 15,478,147 -- 15,478,147 Financials................. -- 202,903,346 -- 202,903,346 Health Care................ -- 88,535,498 -- 88,535,498 Industrials................ -- 440,161,049 -- 440,161,049 Information Technology..... -- 182,222,047 -- 182,222,047 Materials.................. -- 183,401,559 -- 183,401,559 Telecommunication Services. -- 5,215,934 -- 5,215,934 Utilities.................. -- 8,485,467 -- 8,485,467 Securities Lending Collateral. -- 228,965,193 -- 228,965,193 ------ -------------- -- -------------- TOTAL......................... $3,783 $1,900,167,833 -- $1,900,171,616 ====== ============== == ==============
See accompanying Notes to Financial Statements. 243 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012 Percentage Shares Value++ of Net Assets** - ---------- ------------ --------------- COMMON STOCKS -- (83.0%) AUSTRALIA -- (47.4%) #Adelaide Brighton, Ltd............. 1,885,757 $ 6,199,102 0.6% Ansell, Ltd........................ 503,479 8,157,816 0.8% #Aristocrat Leisure, Ltd............ 2,580,305 7,542,048 0.8% Arrium, Ltd........................ 6,037,433 4,903,780 0.5% #*Aurora Oil & Gas, Ltd.............. 1,114,903 4,512,172 0.4% Australian Infrastructure Fund NL.. 3,606,473 11,122,393 1.1% #Beach Energy, Ltd.................. 5,525,248 7,891,340 0.8% *BlueScope Steel, Ltd............... 13,572,369 6,673,452 0.7% #Bradken, Ltd....................... 1,022,589 5,234,406 0.5% #carsales.com, Ltd.................. 1,220,399 9,444,501 0.9% Consolidated Media Holdings, Ltd... 1,276,820 4,543,366 0.5% #CSR, Ltd........................... 2,491,176 4,522,744 0.5% #David Jones, Ltd................... 3,152,271 8,724,565 0.9% *Downer EDI, Ltd.................... 1,857,964 6,916,092 0.7% DUET Group......................... 3,067,818 6,648,416 0.7% #DuluxGroup, Ltd.................... 2,167,142 7,954,583 0.8% #Envestra, Ltd...................... 5,566,443 5,224,266 0.5% #*Goodman Fielder, Ltd............... 8,296,037 5,025,633 0.5% GrainCorp, Ltd. Class A............ 828,668 10,523,403 1.0% #Invocare, Ltd...................... 633,106 5,785,092 0.6% IOOF Holdings, Ltd................. 1,074,600 7,031,533 0.7% #Iress, Ltd......................... 603,773 4,795,961 0.5% #JB Hi-Fi, Ltd...................... 582,072 6,187,633 0.6% #Kingsgate Consolidated, Ltd........ 786,887 4,513,292 0.4% #Medusa Mining, Ltd................. 844,923 5,382,014 0.5% #Monadelphous Group, Ltd............ 319,624 6,988,498 0.7% #Myer Holdings, Ltd................. 3,564,925 7,225,726 0.7% #Navitas, Ltd....................... 1,189,617 5,081,804 0.5% Nufarm, Ltd........................ 817,424 4,873,105 0.5% #*Paladin Energy, Ltd................ 4,096,983 4,805,465 0.5% #Perpetual Trustees Australia, Ltd.. 226,579 6,555,708 0.7% Primary Health Care, Ltd........... 1,960,174 7,906,484 0.8% Reece Australia, Ltd............... 238,457 5,014,858 0.5% #*Resolute Mining, Ltd............... 3,133,646 6,254,867 0.6% #SAI Global, Ltd.................... 1,203,570 5,065,529 0.5% Spark Infrastructure Group, Ltd.... 5,307,759 9,307,506 0.9% #Super Retail Group, Ltd............ 1,291,875 12,068,742 1.2% Other Securities................... 319,950,832 31.9% ------------ ---- TOTAL AUSTRALIA........................ 566,558,727 56.5% ------------ ---- CHINA -- (0.0%) Other Securities................... 287,710 0.0% ------------ ---- HONG KONG -- (17.0%) #*Esprit Holdings, Ltd............... 5,164,900 6,678,378 0.7% Giordano International, Ltd........ 7,246,000 6,015,664 0.6% Luk Fook Holdings International, Ltd.............................. 1,746,000 4,361,261 0.4% Melco International Development, Ltd.............................. 5,117,000 4,932,333 0.5% #Pacific Basin Shipping, Ltd........ 9,730,000 5,180,604 0.5% #Xinyi Glass Holdings, Ltd.......... 8,164,000 4,558,138 0.4% Other Securities................... 172,204,874 17.2% ------------ ---- TOTAL HONG KONG........................ 203,931,252 20.3% ------------ ---- NEW ZEALAND -- (6.4%) Fisher & Paykel Healthcare Corp., Ltd.............................. 3,117,358 6,022,656 0.6% Port of Tauranga, Ltd.............. 528,322 5,622,732 0.6% #Ryman Healthcare, Ltd.............. 1,685,604 5,610,636 0.6% 244 The Asia Pacific Small Company Series CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- NEW ZEALAND -- (Continued) Sky Network Television, Ltd............................................... 1,006,593 $ 4,445,634 0.4% SKYCITY Entertainment Group, Ltd.......................................... 3,227,185 10,293,066 1.0% Other Securities.......................................................... 44,037,042 4.4% -------------- ----- TOTAL NEW ZEALAND............................................................ 76,031,766 7.6% -------------- ----- SINGAPORE -- (12.2%) Singapore Post, Ltd....................................................... 6,199,120 5,789,946 0.6% Venture Corp., Ltd........................................................ 819,000 5,126,251 0.5% Other Securities.......................................................... 134,956,595 13.4% -------------- ----- TOTAL SINGAPORE.............................................................. 145,872,792 14.5% -------------- ----- TOTAL COMMON STOCKS.......................................................... 992,682,247 98.9% -------------- ----- RIGHTS/WARRANTS -- (0.1%) AUSTRALIA -- (0.0%) Other Securities.......................................................... 579,555 0.0% -------------- ----- HONG KONG -- (0.1%) Other Securities.......................................................... 693,092 0.1% -------------- ----- SINGAPORE -- (0.0%) Other Securities.......................................................... 15,070 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS........................................................ 1,287,717 0.1% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (16.9%) (S)@DFA Short Term Investment Fund........................................... 17,286,085 200,000,000 19.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,673,484) to be repurchased at $1,640,687............................. $ 1,641 1,640,671 0.2% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 201,640,671 20.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,153,289,637) $1,195,610,635 119.1% ============== =====
245 The Asia Pacific Small Company Series CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ------- -------------- ------- -------------- Common Stocks Australia.................. -- $ 566,558,727 -- $ 566,558,727 China...................... -- 287,710 -- 287,710 Hong Kong.................. -- 203,931,252 -- 203,931,252 New Zealand................ -- 76,031,766 -- 76,031,766 Singapore.................. -- 145,872,792 -- 145,872,792 Rights/Warrants Australia.................. -- 579,555 -- 579,555 Hong Kong.................. -- 693,092 -- 693,092 Singapore.................. -- 15,070 -- 15,070 Securities Lending Collateral. -- 201,640,671 -- 201,640,671 -- -------------- -- -------------- TOTAL......................... -- $1,195,610,635 -- $1,195,610,635 == ============== == ==============
See accompanying Notes to Financial Statements. 246 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (98.1%) Consumer Discretionary -- (24.5%) Aegis Group P.L.C.......................... 3,314,004 $ 12,583,830 0.9% *Barratt Developments P.L.C................. 4,366,245 13,384,802 0.9% *Berkeley Group Holdings P.L.C. (The)....... 548,179 13,489,734 0.9% Daily Mail & General Trust P.L.C. Series A. 1,312,593 10,125,279 0.7% Debenhams P.L.C............................ 5,756,729 11,145,139 0.8% GKN P.L.C.................................. 3,193,432 10,740,884 0.7% Greene King P.L.C.......................... 1,421,372 13,637,335 0.9% Inchcape P.L.C............................. 2,005,227 13,040,981 0.9% Informa P.L.C.............................. 2,578,346 16,689,745 1.1% ITV P.L.C.................................. 8,151,944 11,412,918 0.8% Ladbrokes P.L.C............................ 3,736,209 10,821,643 0.7% Persimmon P.L.C............................ 1,429,557 18,394,004 1.3% Rightmove P.L.C............................ 404,934 10,542,022 0.7% Taylor Wimpey P.L.C........................ 14,517,978 14,349,169 1.0% UBM P.L.C.................................. 1,008,603 11,402,231 0.8% William Hill P.L.C......................... 3,062,912 16,735,721 1.2% Other Securities........................... 155,871,714 10.6% ------------ ---- Total Consumer Discretionary.................. 364,367,151 24.9% ------------ ---- Consumer Staples -- (3.9%) Tate & Lyle P.L.C.......................... 1,034,844 12,129,459 0.9% Other Securities........................... 45,737,482 3.1% ------------ ---- Total Consumer Staples........................ 57,866,941 4.0% ------------ ---- Energy -- (4.9%) *Afren P.L.C................................ 4,970,604 11,086,658 0.8% John Wood Group P.L.C...................... 1,017,921 13,991,092 0.9% *Premier Oil P.L.C.......................... 1,957,535 11,099,271 0.8% Other Securities........................... 37,081,172 2.5% ------------ ---- Total Energy.................................. 73,258,193 5.0% ------------ ---- Financials -- (14.1%) Aberdeen Asset Management P.L.C............ 2,601,039 13,663,246 0.9% Amlin P.L.C................................ 2,265,989 13,660,008 0.9% Catlin Group, Ltd.......................... 1,602,895 12,215,551 0.8% Hiscox, Ltd................................ 1,714,088 13,217,072 0.9% IG Group Holdings P.L.C.................... 1,498,282 10,550,404 0.7% Provident Financial P.L.C.................. 496,498 11,004,838 0.8% Other Securities........................... 135,535,536 9.3% ------------ ---- Total Financials.............................. 209,846,655 14.3% ------------ ---- Health Care -- (2.1%) Other Securities........................... 31,080,323 2.1% ------------ ---- Industrials -- (27.8%) Ashtead Group P.L.C........................ 2,502,187 15,116,530 1.0% Babcock International Group P.L.C.......... 1,401,502 22,154,294 1.5% Balfour Beatty P.L.C....................... 3,154,154 16,078,068 1.1% Cobham P.L.C............................... 4,694,331 16,320,407 1.1% Cookson Group P.L.C........................ 1,218,370 11,509,815 0.8% IMI P.L.C.................................. 1,002,882 15,484,442 1.1% Intertek Group P.L.C....................... 378,948 17,273,414 1.2% Invensys P.L.C............................. 3,349,956 12,352,173 0.8% Meggitt P.L.C.............................. 2,407,994 15,018,915 1.0% Melrose P.L.C.............................. 4,749,372 18,500,491 1.3% Qinetiq Group P.L.C........................ 3,030,205 9,651,175 0.7% Rentokil Initial P.L.C..................... 7,256,414 10,329,224 0.7%
247 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- Industrials -- (Continued) Rotork P.L.C.............................................................. 366,679 $ 13,509,077 0.9% Spirax-Sarco Engineering P.L.C............................................ 320,648 10,039,086 0.7% *Travis Perkins P.L.C...................................................... 930,166 16,254,661 1.1% Other Securities.......................................................... 194,040,413 13.2% -------------- ----- Total Industrials............................................................ 413,632,185 28.2% -------------- ----- Information Technology -- (8.9%) Halma P.L.C............................................................... 1,549,740 10,329,189 0.7% Spectris P.L.C............................................................ 515,234 14,431,374 1.0% Telecity Group P.L.C...................................................... 826,400 12,038,001 0.8% Other Securities.......................................................... 95,317,734 6.5% -------------- ----- Total Information Technology................................................. 132,116,298 9.0% -------------- ----- Materials -- (7.3%) Croda International P.L.C................................................. 499,699 17,791,547 1.2% DS Smith P.L.C............................................................ 4,475,611 15,451,908 1.1% Mondi P.L.C............................................................... 1,222,056 13,471,337 0.9% Other Securities.......................................................... 61,388,834 4.2% -------------- ----- Total Materials.............................................................. 108,103,626 7.4% -------------- ----- Telecommunication Services -- (2.2%)......................................... Inmarsat P.L.C............................................................ 1,658,096 15,190,469 1.0% Other Securities.......................................................... 17,064,461 1.2% -------------- ----- Total Telecommunication Services............................................. 32,254,930 2.2% -------------- ----- Utilities -- (2.4%) Drax Group P.L.C.......................................................... 1,615,898 14,665,707 1.0% Pennon Group P.L.C........................................................ 1,434,955 16,622,307 1.1% Other Securities.......................................................... 3,904,650 0.3% -------------- ----- Total Utilities.............................................................. 35,192,664 2.4% -------------- ----- TOTAL COMMON STOCKS.......................................................... 1,457,718,966 99.5% -------------- ----- PREFERRED STOCKS -- (0.0%) Consumer Staples -- (0.0%) Other Securities.......................................................... 15,064 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities.......................................................... -- 0.0% -------------- ----- Shares/ Face Amount (000) Value+ --------- -------------- SECURITIES LENDING COLLATERAL -- (1.9%) (S)@DFA Short Term Investment Fund........................................... 2,420,052 28,000,000 1.9% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $224) to be repurchased at $220......................................... -- 220 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL.......................................... 28,000,220 1.9% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,210,154,050)..................................................... $1,485,734,250 101.4% ============== =====
248 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ------- -------------- ------- -------------- Common Stocks Consumer Discretionary..... -- $ 364,367,151 -- $ 364,367,151 Consumer Staples........... -- 57,866,941 -- 57,866,941 Energy..................... -- 73,258,193 -- 73,258,193 Financials................. -- 209,846,655 -- 209,846,655 Health Care................ -- 31,080,323 -- 31,080,323 Industrials................ -- 413,632,185 -- 413,632,185 Information Technology..... -- 132,116,298 -- 132,116,298 Materials.................. -- 108,103,626 -- 108,103,626 Telecommunication Services. -- 32,254,930 -- 32,254,930 Utilities.................. -- 35,192,664 -- 35,192,664 Preferred Stocks Consumer Staples........... -- 15,064 -- 15,064 Rights/Warrants............... -- -- -- -- Securities Lending Collateral. -- 28,000,220 -- 28,000,220 -- -------------- -- -------------- TOTAL......................... -- $1,485,734,250 -- $1,485,734,250 == ============== == ==============
See accompanying Notes to Financial Statements. 249 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (88.4%) AUSTRIA -- (2.2%) Other Securities........... $ 56,677,767 2.5% ------------ ---- BELGIUM -- (3.2%) Ackermans & van Haaren NV.. 118,073 9,613,309 0.4% Other Securities........... 72,036,340 3.2% ------------ ---- TOTAL BELGIUM.................. 81,649,649 3.6% ------------ ---- DENMARK -- (3.4%) GN Store Nord A.S.......... 803,034 12,585,533 0.5% *Topdanmark A.S............. 53,386 10,826,718 0.5% Other Securities........... 62,778,523 2.8% ------------ ---- TOTAL DENMARK.................. 86,190,774 3.8% ------------ ---- FINLAND -- (6.1%) Elisa Oyj.................. 432,751 9,286,323 0.4% #KCI Konecranes Oyj......... 245,559 7,808,333 0.3% Kesko Oyj Series B......... 250,135 7,821,799 0.4% Orion Oyj Series B......... 384,369 9,510,594 0.4% #Outotec Oyj................ 163,942 8,010,462 0.4% Yit Oyj.................... 479,016 9,445,723 0.4% Other Securities........... 102,256,708 4.6% ------------ ---- TOTAL FINLAND.................. 154,139,942 6.9% ------------ ---- FRANCE -- (9.8%) #*Alcatel-Lucent SA.......... 7,392,628 7,558,803 0.3% Gemalto NV................. 97,900 8,842,316 0.4% #Neopost SA................. 135,048 7,403,969 0.3% Societe BIC SA............. 62,449 7,620,209 0.4% Other Securities........... 216,651,765 9.7% ------------ ---- TOTAL FRANCE................... 248,077,062 11.1% ------------ ---- GERMANY -- (12.9%) *Aareal Bank AG............. 423,110 9,098,181 0.4% Aurubis AG................. 153,470 9,715,684 0.4% #Deutsche Wohnen AG......... 646,717 11,844,087 0.5% Fuchs Petrolub AG.......... 136,940 8,534,620 0.4% Rhoen-Klinikum AG.......... 406,308 7,913,041 0.4% #SGL Carbon SE.............. 229,387 9,149,090 0.4% Stada Arzneimittel AG...... 247,784 7,504,291 0.3% Symrise AG................. 307,713 11,068,532 0.5% Wirecard AG................ 381,688 8,741,631 0.4% Other Securities........... 242,716,782 10.8% ------------ ---- TOTAL GERMANY.................. 326,285,939 14.5% ------------ ---- GREECE -- (2.0%) Other Securities........... 50,142,446 2.2% ------------ ---- IRELAND -- (2.7%) DCC P.L.C.................. 308,989 8,838,285 0.4% Dragon Oil P.L.C........... 990,437 8,866,393 0.4% Paddy Power P.L.C.......... 180,573 13,336,467 0.6% Other Securities........... 36,164,730 1.6% ------------ ---- TOTAL IRELAND.................. 67,205,875 3.0% ------------ ---- ISRAEL -- (2.6%) Other Securities........... 64,711,886 2.9% ------------ ----
250 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- ITALY -- (7.5%) *Banco Popolare Scarl.... 6,311,267 $ 10,071,344 0.5% #*Finmeccanica SpA........ 1,593,106 7,900,845 0.4% Prysmian SpA............ 494,781 9,539,788 0.4% Other Securities........ 162,659,558 7.2% -------------- ---- TOTAL ITALY................. 190,171,535 8.5% -------------- ---- NETHERLANDS -- (5.2%) Aalberts Industries NV.. 469,415 8,532,614 0.4% CSM NV.................. 363,574 7,426,298 0.3% Delta Lloyd NV.......... 472,377 7,855,836 0.4% Nutreco NV.............. 173,920 13,027,581 0.6% *PostNL NV............... 1,920,653 7,579,442 0.3% Royal Imtech NV......... 349,305 8,780,615 0.4% *SBM Offshore NV......... 804,422 10,530,512 0.5% Other Securities........ 68,339,691 3.0% -------------- ---- TOTAL NETHERLANDS........... 132,072,589 5.9% -------------- ---- NORWAY -- (3.3%) Other Securities........ 84,171,601 3.8% -------------- ---- PORTUGAL -- (1.2%) Other Securities........ 29,375,131 1.3% -------------- ---- SPAIN -- (4.5%) Viscofan SA............. 202,123 9,793,173 0.5% Other Securities........ 103,986,927 4.6% -------------- ---- TOTAL SPAIN................. 113,780,100 5.1% -------------- ---- SWEDEN -- (9.4%) Castellum AB............ 726,291 9,735,330 0.4% Holmen AB Series B...... 273,916 8,072,161 0.3% #Husqvarna AB Series B... 1,434,072 8,330,008 0.4% Meda AB Series A........ 857,997 8,790,208 0.4% *Securitas AB Series B... 1,133,353 8,253,893 0.4% Trelleborg AB Series B.. 999,202 10,888,078 0.5% Other Securities........ 183,427,230 8.2% -------------- ---- TOTAL SWEDEN................ 237,496,908 10.6% -------------- ---- SWITZERLAND -- (12.3%) #Clariant AG............. 903,053 9,677,105 0.4% #*Dufry AG................ 77,241 9,824,040 0.4% Galenica Holding AG..... 18,828 11,057,552 0.5% *GAM Holding AG.......... 780,910 10,921,334 0.5% Helvetia Holding AG..... 22,754 7,989,963 0.4% Lonza Group AG.......... 206,376 10,467,022 0.5% PSP Swiss Property AG... 148,327 13,621,861 0.6% Swiss Life Holding AG... 102,976 13,004,543 0.6% Other Securities........ 225,523,358 10.0% -------------- ---- TOTAL SWITZERLAND........... 312,086,778 13.9% -------------- ---- UNITED KINGDOM -- (0.1%) Other Securities........ 3,239,110 0.1% -------------- ---- TOTAL COMMON STOCKS......... 2,237,475,092 99.7% -------------- ---- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) Other Securities........ 1,250 0.0% -------------- ----
251 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- ITALY -- (0.0%) Other Securities..................................................... $ 8,763 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS................................................... 10,013 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (11.6%) (S)@DFA Short Term Investment Fund...................................... 25,324,114 293,000,000 13.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,011,182) to be repurchased at $991,365......................................................... $ 991 991,355 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..................................... 293,991,355 13.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,583,421,711)................................................ $2,531,476,460 112.8% ============== =====
252 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total -------- -------------- ------- -------------- Common Stocks Austria.................... -- $ 56,677,767 -- $ 56,677,767 Belgium.................... -- 81,649,649 -- 81,649,649 Denmark.................... -- 86,190,774 -- 86,190,774 Finland.................... -- 154,139,942 -- 154,139,942 France..................... -- 248,077,062 -- 248,077,062 Germany.................... -- 326,285,939 -- 326,285,939 Greece..................... -- 50,142,446 -- 50,142,446 Ireland.................... -- 67,205,875 -- 67,205,875 Israel..................... $849,217 63,862,669 -- 64,711,886 Italy...................... -- 190,171,535 -- 190,171,535 Netherlands................ -- 132,072,589 -- 132,072,589 Norway..................... -- 84,171,601 -- 84,171,601 Portugal................... -- 29,375,131 -- 29,375,131 Spain...................... -- 113,780,100 -- 113,780,100 Sweden..................... -- 237,496,908 -- 237,496,908 Switzerland................ -- 312,086,778 -- 312,086,778 United Kingdom............. -- 3,239,110 -- 3,239,110 Rights/Warrants............... Belgium.................... -- 1,250 -- 1,250 Italy...................... -- 8,763 -- 8,763 Securities Lending Collateral. -- 293,991,355 -- 293,991,355 -------- -------------- -- -------------- TOTAL......................... $849,217 $2,530,627,243 -- $2,531,476,460 ======== ============== == ==============
See accompanying Notes to Financial Statements. 253 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** --------- ------------ --------------- COMMON STOCKS -- (75.6%) Consumer Discretionary -- (8.5%) Aimia, Inc............................. 310,251 $ 4,647,164 0.7% Astral Media, Inc. Class A............. 197,447 8,081,736 1.2% #Cineplex, Inc.......................... 241,959 7,510,117 1.1% #Corus Entertainment, Inc. Class B...... 304,900 6,902,417 1.0% #*Imax Corp.............................. 260,537 5,874,637 0.8% Linamar Corp........................... 200,980 4,427,094 0.6% #RONA, Inc.............................. 677,175 6,956,511 1.0% Other Securities....................... 32,434,102 4.7% ------------ ---- Total Consumer Discretionary.............. 76,833,778 11.1% ------------ ---- Consumer Staples -- (2.5%) Maple Leaf Foods, Inc.................. 387,979 4,311,957 0.6% #North West Co., Inc. (The)............. 188,473 4,415,788 0.7% Other Securities....................... 14,435,488 2.1% ------------ ---- Total Consumer Staples................. 23,163,233 3.4% ------------ ---- Energy -- (19.2%) #*BlackPearl Resources, Inc.............. 1,165,485 3,979,278 0.6% *Celtic Exploration, Ltd................ 323,700 8,452,662 1.2% *Gran Tierra Energy, Inc................ 1,065,607 5,366,712 0.8% Mullen Group, Ltd...................... 312,028 6,470,188 0.9% #Parkland Fuel Corp..................... 265,671 4,532,700 0.7% Pason Systems, Inc..................... 259,107 4,220,947 0.6% #*Petrobank Energy & Resources, Ltd...... 425,702 5,847,941 0.8% ShawCor, Ltd. Class A.................. 212,900 9,485,907 1.4% #Trican Well Service, Ltd............... 564,307 6,734,958 1.0% Other Securities....................... 118,885,028 17.2% ------------ ---- Total Energy.............................. 173,976,321 25.2% ------------ ---- Financials -- (5.9%) #Canadian Western Bank.................. 271,572 8,037,715 1.2% #Davis & Henderson Corp................. 239,699 5,030,379 0.7% Granite Real Estate, Inc............... 143,257 5,252,637 0.8% #Home Capital Group, Inc................ 120,600 6,140,185 0.9% Laurentian Bank of Canada.............. 109,624 4,878,885 0.7% Other Securities....................... 24,307,922 3.5% ------------ ---- Total Financials.......................... 53,647,723 7.8% ------------ ---- Health Care -- (1.6%) Other Securities....................... 14,136,911 2.0% ------------ ---- Industrials -- (9.0%)..................... #Ritchie Brothers Auctioneers, Inc...... 244,637 5,425,491 0.8% #Russel Metals, Inc..................... 246,300 6,880,370 1.0% Stantec, Inc........................... 182,098 6,272,011 0.9% #Superior Plus Corp..................... 559,647 5,468,991 0.8% Toromont Industries, Ltd............... 274,167 5,380,399 0.8% TransForce, Inc........................ 314,697 5,744,106 0.8% #*Westport Innovations, Inc.............. 158,805 4,436,205 0.7% Other Securities....................... 42,117,801 6.1% ------------ ---- Total Industrials......................... 81,725,374 11.9% ------------ ---- Information Technology -- (3.9%) *Celestica, Inc......................... 874,907 6,351,015 0.9% Constellation Software, Inc............ 36,819 4,223,264 0.6% MacDonald Dettweiler & Associates, Ltd. 128,853 7,224,799 1.0%
254 THE CANADIAN SMALL COMPANY SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ------------ ------------ --------------- Information Technology -- (Continued) Other Securities................... $ 17,654,949 2.6% ------------ ----- Total Information Technology.......... 35,454,027 5.1% ------------ ----- Materials -- (21.4%) #Alamos Gold, Inc.................. 382,920 7,495,455 1.1% #*AuRico Gold, Inc.................. 892,052 7,449,025 1.1% #*B2Gold Corp....................... 1,401,050 5,793,578 0.8% *Canfor Corp....................... 411,155 5,862,175 0.9% #CCL Industries, Inc. Class B...... 107,585 3,983,473 0.6% *First Majestic Silver Corp........ 431,070 9,965,869 1.4% *Harry Winston Diamond Corp........ 284,763 4,085,761 0.6% #HudBay Minerals, Inc.............. 734,374 6,816,167 1.0% #*NovaGold Resources, Inc........... 845,155 4,104,132 0.6% #*OceanaGold Corp................... 1,151,416 4,035,000 0.6% Sherritt International Corp....... 1,571,926 6,799,219 1.0% #*Silver Standard Resources, Inc.... 340,397 5,170,285 0.7% #West Fraser Timber Co., Ltd....... 126,174 7,641,818 1.1% Other Securities.................. 115,503,398 16.8% ------------ ----- Total Materials....................... 194,705,355 28.3% ------------ ----- Telecommunication Services -- (0.4%) Other Securities................... 3,228,819 0.5% ------------ ----- Utilities -- (3.2%) #Algonquin Power & Utilities Corp.. 574,574 3,975,275 0.6% Capital Power Corp................ 287,449 6,161,986 0.9% #Just Energy Group, Inc............ 583,478 5,970,608 0.9% #Northland Power, Inc.............. 297,306 5,763,048 0.8% Other Securities.................. 7,611,960 1.1% ------------ ----- Total Utilities.................... 29,482,877 4.3% ------------ ----- TOTAL COMMON STOCKS................... 686,354,418 99.6% ------------ ----- RIGHTS/WARRANTS -- (0.0%) Other Securities................... 12,722 0.0% ------------ ----- Shares/ Face Amount (000) Value+ - ------------ ------------ SECURITIES LENDING COLLATERAL -- (24.4%) (S)@DFA Short Term Investment Fund.... 19,101,124 221,000,000 32.1% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $448,986) to be repurchased at $440,186....... $ 440 440,182 0.0% ------------ ----- TOTAL SECURITIES LENDING COLLATERAL... 221,440,182 32.1% ------------ ----- TOTAL INVESTMENTS -- (100.0%) (Cost $996,859,895) $907,807,322 131.7% ============ =====
255 The Canadian Small Company Series CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuaton inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) ---------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ------------ ------- ------------ Common Stocks Consumer Discretionary..... $ 76,833,778 -- -- $ 76,833,778 Consumer Staples........... 23,163,233 -- -- 23,163,233 Energy..................... 173,976,321 -- -- 173,976,321 Financials................. 53,647,723 -- -- 53,647,723 Health Care................ 14,136,911 -- -- 14,136,911 Industrials................ 81,725,374 -- -- 81,725,374 Information Technology..... 35,454,027 -- -- 35,454,027 Materials.................. 194,582,087 $ 123,268 -- 194,705,355 Telecommunication Services. 3,228,819 -- -- 3,228,819 Utilities.................. 29,482,877 -- -- 29,482,877 Rights/Warrants............... 1,807 10,915 -- 12,722 Securities Lending Collateral. -- 221,440,182 -- 221,440,182 ------------ ------------ -- ------------ TOTAL......................... $686,232,957 $221,574,365 -- $907,807,322 ============ ============ == ============
See accompanying Notes to Financial Statements. 256 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- COMMON STOCKS -- (87.9%) ARGENTINA -- (0.0%) Other Securities...................................... $ -- 0.0% ------------ ---- BRAZIL -- (5.9%) BM&F Bovespa SA....................................... 1,665,208 10,658,381 0.3% #BRF - Brasil Foods SA ADR............................. 594,060 10,883,179 0.4% Petroleo Brasilerio SA ADR............................ 1,206,339 25,586,450 0.9% #Vale SA Sponsored ADR................................. 1,090,933 19,985,893 0.7% Other Securities...................................... 113,098,162 3.9% ------------ ---- TOTAL BRAZIL.............................................. 180,212,065 6.2% ------------ ---- CHILE -- (1.7%) Other Securities...................................... 52,376,766 1.8% ------------ ---- CHINA -- (14.4%) Bank of China, Ltd. Series H.......................... 54,772,100 22,439,161 0.8% China Construction Bank Corp. Series H................ 50,081,590 37,608,762 1.3% #China Life Insurance Co., Ltd. ADR.................... 323,770 14,304,159 0.5% #China Mobile, Ltd. Sponsored ADR...................... 797,772 44,188,591 1.5% China Petroleum & Chemical Corp. ADR.................. 106,449 11,199,499 0.4% China Shenhua Energy Co., Ltd. Series H............... 2,230,500 9,451,071 0.3% #CNOOC, Ltd. ADR....................................... 105,160 21,615,638 0.7% Industrial & Commercial Bank of China, Ltd. Series H.. 45,200,185 29,764,290 1.0% PetroChina Co., Ltd. ADR.............................. 145,110 19,700,134 0.7% #Ping An Insurance Group Co. of China, Ltd. Series H... 1,230,500 9,683,465 0.3% Tencent Holdings, Ltd................................. 700,600 24,697,196 0.9% Other Securities...................................... 197,502,523 6.8% ------------ ---- TOTAL CHINA............................................... 442,154,489 15.2% ------------ ---- COLOMBIA -- (0.5%) Other Securities...................................... 16,878,201 0.6% ------------ ---- CZECH REPUBLIC -- (0.5%) Other Securities...................................... 14,157,172 0.5% ------------ ---- EGYPT -- (0.2%) Other Securities...................................... 4,867,413 0.2% ------------ ---- HUNGARY -- (0.4%) Other Securities...................................... 11,585,628 0.4% ------------ ---- INDIA -- (7.5%) HDFC Bank, Ltd........................................ 1,422,205 16,628,866 0.6% ITC, Ltd.............................................. 2,036,173 10,663,754 0.4% Reliance Industries, Ltd.............................. 1,432,266 21,357,809 0.7% Tata Consultancy Services, Ltd........................ 436,140 10,644,140 0.3% Other Securities...................................... 171,927,254 5.9% ------------ ---- TOTAL INDIA............................................... 231,221,823 7.9% ------------ ---- INDONESIA -- (3.0%) PT Astra International Tbk............................ 18,834,110 15,721,127 0.5% Other Securities...................................... 75,273,062 2.6% ------------ ---- TOTAL INDONESIA........................................... 90,994,189 3.1% ------------ ---- ISRAEL -- (0.0%) Other Securities...................................... 17 0.0% ------------ ---- MALAYSIA -- (3.9%) CIMB Group Holdings Berhad............................ 3,992,654 9,978,299 0.3%
257 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- ------------ --------------- MALAYSIA -- (Continued) Other Securities............................ $109,647,195 3.8% ------------ ---- TOTAL MALAYSIA................................. 119,625,494 4.1% ------------ ---- MEXICO -- (5.7%) America Movil S.A.B. de C.V. Series L....... 33,690,314 42,736,835 1.5% *Cemex S.A.B. de C.V. Sponsored ADR.......... 1,144,044 10,342,158 0.3% Fomento Economico Mexicano S.A.B. de C.V.... 1,901,129 17,135,424 0.6% Grupo Mexico S.A.B. de C.V. Series B........ 3,579,616 11,476,423 0.4% #Wal-Mart de Mexico S.A.B. de C.V. Series V.. 4,944,929 14,554,572 0.5% Other Securities............................ 80,544,258 2.8% ------------ ---- TOTAL MEXICO................................... 176,789,670 6.1% ------------ ---- PERU -- (0.4%) Other Securities............................ 13,254,591 0.5% ------------ ---- PHILIPPINES -- (1.1%) Other Securities............................ 34,867,739 1.2% ------------ ---- POLAND -- (1.5%) Other Securities............................ 45,242,356 1.6% ------------ ---- RUSSIA -- (4.5%) Gazprom OAO Sponsored ADR................... 4,557,577 41,861,317 1.4% Lukoil OAO Sponsored ADR.................... 376,321 22,838,291 0.8% *Sberbank of Russia Sponsored ADR............ 1,585,492 18,749,162 0.6% Other Securities............................ 54,443,702 1.9% ------------ ---- TOTAL RUSSIA................................... 137,892,472 4.7% ------------ ---- SOUTH AFRICA -- (7.4%) #AngloGold Ashanti, Ltd. Sponsored ADR....... 331,815 11,275,074 0.4% MTN Group, Ltd.............................. 1,575,988 28,452,821 1.0% Naspers, Ltd. Series N...................... 307,957 19,991,188 0.7% Sasol, Ltd. Sponsored ADR................... 536,546 22,754,916 0.8% Standard Bank Group, Ltd.................... 1,007,241 12,437,628 0.4% Other Securities............................ 133,172,495 4.5% ------------ ---- TOTAL SOUTH AFRICA............................. 228,084,122 7.8% ------------ ---- SOUTH KOREA -- (14.3%) Hyundai Mobis............................... 55,218 14,033,384 0.5% Hyundai Motor Co., Ltd...................... 130,240 26,766,758 0.9% #Kia Motors Corp............................. 224,568 12,449,986 0.4% LG Chemical, Ltd............................ 37,273 10,455,811 0.4% POSCO....................................... 50,240 15,793,173 0.6% Samsung Electronics Co., Ltd................ 71,022 85,229,070 2.9% Samsung Electronics Co., Ltd. GDR........... 49,372 29,919,407 1.0% Shinhan Financial Group Co., Ltd............ 273,716 9,394,602 0.3% Other Securities............................ 236,085,690 8.1% ------------ ---- TOTAL SOUTH KOREA.............................. 440,127,881 15.1% ------------ ---- TAIWAN -- (10.6%) Formosa Plastics Corp....................... 3,709,648 10,098,181 0.3% #Hon Hai Precision Industry Co., Ltd......... 8,047,506 24,400,340 0.8% Taiwan Semiconductor Manufacturing Co., Ltd. 20,007,808 60,964,986 2.1% Other Securities............................ 229,028,962 7.9% ------------ ---- TOTAL TAIWAN................................... 324,492,469 11.1% ------------ THAILAND -- (2.6%) Other Securities............................ 78,635,189 2.7% ------------ ----
258 THE EMERGING MARKETS SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- TURKEY -- (1.8%) Other Securities..................................................... $ 56,233,417 1.9% -------------- ----- TOTAL COMMON STOCKS..................................................... 2,699,693,163 92.7% -------------- ----- PREFERRED STOCKS -- (6.4%) BRAZIL -- (6.2%) Banco Bradesco SA.................................................... 1,656,632 26,100,896 0.9% Cia de Bebidas das Americas SA ADR................................... 622,039 25,372,971 0.9% Itau Unibanco Holding SA............................................. 1,765,700 25,819,793 0.9% Petroleo Brasilerio SA ADR........................................... 1,711,000 35,126,830 1.2% Vale SA.............................................................. 1,412,691 25,283,138 0.9% Other Securities..................................................... 53,718,271 1.8% -------------- ----- TOTAL BRAZIL............................................................ 191,421,899 6.6% -------------- ----- CHILE -- (0.2%) Other Securities..................................................... 5,338,531 0.2% -------------- ----- COLOMBIA -- (0.0%) Other Securities..................................................... 350,944 0.0% -------------- ----- TOTAL PREFERRED STOCKS 197,111,374 6.8% -------------- ----- RIGHTS/WARRANTS -- (0.0%)............................................... SOUTH AFRICA -- (0.0%) Other Securities..................................................... 13,007 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (5.7%) (S)@DFA Short Term Investment Fund...................................... 15,125,324 175,000,000 6.0% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $450,637) to be repurchased at $441,806...... $ 442 441,801 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL..................................... 175,441,801 6.0% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,006,449,577)................................................ $3,072,259,345 105.5% ============== =====
259 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Argentina.................. -- -- -- -- Brazil..................... $180,212,065 -- -- $ 180,212,065 Chile...................... 52,376,766 -- -- 52,376,766 China...................... 126,342,004 $ 315,812,485 -- 442,154,489 Colombia................... 16,878,201 -- -- 16,878,201 Czech Republic............. -- 14,157,172 -- 14,157,172 Egypt...................... -- 4,867,413 -- 4,867,413 Hungary.................... -- 11,585,628 -- 11,585,628 India...................... 18,446,964 212,774,859 -- 231,221,823 Indonesia.................. 55,259 90,938,930 -- 90,994,189 Israel..................... -- 17 -- 17 Malaysia................... -- 119,625,494 -- 119,625,494 Mexico..................... 176,782,316 7,354 -- 176,789,670 Peru....................... 13,254,591 -- -- 13,254,591 Philippines................ -- 34,867,739 -- 34,867,739 Poland..................... -- 45,242,356 -- 45,242,356 Russia..................... 5,524,026 132,368,446 -- 137,892,472 South Africa............... 44,801,267 183,282,855 -- 228,084,122 South Korea................ 13,060,688 427,067,193 -- 440,127,881 Taiwan..................... 8,756,012 315,736,457 -- 324,492,469 Thailand................... 78,635,189 -- -- 78,635,189 Turkey..................... 1,121,599 55,111,818 -- 56,233,417 Preferred Stocks Brazil..................... 191,421,899 -- -- 191,421,899 Chile...................... 5,338,531 -- -- 5,338,531 Colombia................... 350,944 -- -- 350,944 Rights/Warrants South Africa............... -- 13,007 -- 13,007 Securities Lending Collateral. -- 175,441,801 -- 175,441,801 ------------ -------------- -- -------------- TOTAL......................... $933,358,321 $2,138,901,024 -- $3,072,259,345 ============ ============== == ==============
See accompanying Notes to Financial Statements. 260 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ----------- ------------ --------------- COMMON STOCKS -- (89.1%) ARGENTINA -- (0.0%) Other Securities.............................. $ -- 0.0% ------------ ---- BRAZIL -- (8.9%) All America Latina Logistica SA............... 1,296,400 5,897,805 0.2% Anhanguera Educacional Participacoes SA....... 613,145 10,747,132 0.4% Cia de Saneamento de Minas Gerais-Copasa SA... 298,421 7,043,796 0.2% Cia Hering SA................................. 340,090 7,813,003 0.3% Diagnosticos da America SA.................... 1,189,841 7,908,645 0.3% Duratex SA.................................... 1,087,562 7,566,161 0.3% Energias do Brazil SA......................... 1,190,706 7,445,393 0.2% Estacio Participacoes SA...................... 396,371 7,552,526 0.3% *Kroton Educacional SA Unit Shares............. 367,679 7,349,778 0.2% Localiza Rent a Car SA........................ 397,002 6,958,603 0.2% MRV Engenharia e Participacoes SA............. 1,595,833 8,092,898 0.3% OdontoPrev SA................................. 1,315,743 6,802,049 0.2% PDG Realty SA Empreendimentos e Participacoes. 4,452,753 7,497,804 0.3% Raia Drogasil SA.............................. 652,675 7,182,140 0.2% Sul America SA................................ 872,609 6,874,147 0.2% Totvs SA...................................... 453,100 9,213,476 0.3% Other Securities.............................. 165,898,127 5.6% ------------ ---- TOTAL BRAZIL..................................... 287,843,483 9.7% ------------ ---- CHILE -- (1.4%) Other Securities.............................. 45,262,428 1.5% ------------ ---- CHINA -- (14.1%) #Geely Automobile Holdings, Ltd................ 17,610,000 7,552,943 0.3% Kingboard Chemical Holdings, Ltd.............. 2,516,851 7,467,568 0.2% #Sino-Ocean Land Holdings, Ltd................. 12,181,591 7,613,061 0.3% Yuexiu Property Co., Ltd...................... 21,435,432 5,860,904 0.2% Other Securities.............................. 431,216,407 14.6% ------------ ---- TOTAL CHINA...................................... 459,710,883 15.6% ------------ ---- COLOMBIA -- (0.0%) Other Securities.............................. 753,689 0.0% ------------ ---- HONG KONG -- (0.0%) Other Securities.............................. 12,892 0.0% ------------ ---- HUNGARY -- (0.1%) Other Securities.............................. 2,091,125 0.1% ------------ ---- INDIA -- (8.4%) Other Securities.............................. 272,539,401 9.2% ------------ ---- INDONESIA -- (4.3%) PT Bhakti Investama Tbk....................... 103,922,400 5,917,040 0.2% PT Lippo Karawaci Tbk......................... 78,560,312 7,581,188 0.3% PT Mayorah Indah Tbk.......................... 2,535,500 6,225,811 0.2% Other Securities.............................. 121,590,703 4.1% ------------ ---- TOTAL INDONESIA.................................. 141,314,742 4.8% ------------ ---- ISRAEL -- (0.0%) Other Securities.............................. 294,542 0.0% ------------ ---- MALAYSIA -- (5.0%) Other Securities.............................. 162,803,488 5.5% ------------ ----
261 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** --------- -------------- --------------- MEXICO -- (3.1%) #Arca Continental S.A.B. de C.V.................... 1,556,394 $ 11,291,999 0.4% #*Genomma Lab Internacional S.A.B. de C.V. Series B. 4,371,954 8,714,526 0.3% *Industrias CH S.A.B. de C.V. Series B............. 1,217,718 7,066,931 0.2% Other Securities.................................. 73,004,310 2.5% -------------- ---- TOTAL MEXICO......................................... 100,077,766 3.4% -------------- ---- PHILIPPINES -- (1.8%) Other Securities.................................. 57,524,419 2.0% -------------- ---- POLAND -- (1.5%) Other Securities.................................. 48,812,366 1.7% -------------- ---- SOUTH AFRICA -- (7.9%) Aveng, Ltd........................................ 2,057,732 7,365,511 0.3% AVI, Ltd.......................................... 1,505,301 9,947,350 0.3% Barloworld, Ltd................................... 854,276 6,922,746 0.2% Clicks Group, Ltd................................. 1,482,749 10,352,580 0.4% DataTec, Ltd...................................... 975,763 6,065,177 0.2% Mr. Price Group, Ltd.............................. 506,742 7,804,688 0.3% *Murray & Roberts Holdings, Ltd.................... 2,783,531 6,981,927 0.2% Nampak, Ltd....................................... 3,859,288 12,860,050 0.4% PPC, Ltd.......................................... 3,061,791 10,222,236 0.4% Reunert, Ltd...................................... 945,660 8,334,441 0.3% *Sappi, Ltd........................................ 2,855,413 8,098,615 0.3% Spar Group, Ltd. (The)............................ 622,477 8,691,302 0.3% Tongaat-Hulett, Ltd............................... 629,016 9,888,343 0.3% Other Securities.................................. 142,665,475 4.8% -------------- ---- TOTAL SOUTH AFRICA................................... 256,200,441 8.7% -------------- ---- SOUTH KOREA -- (13.8%) BS Financial Group, Inc........................... 572,470 6,479,633 0.2% #*Cheil Worldwide, Inc.............................. 380,705 7,332,746 0.3% CJ Corp........................................... 63,673 6,210,345 0.2% DGB Financial Group, Inc.......................... 528,843 6,682,580 0.2% Hyosung Corp...................................... 106,255 5,851,998 0.2% Hyundai Marine & Fire Insurance Co., Ltd.......... 203,720 6,574,751 0.2% Korea Investment Holdings Co., Ltd................ 175,310 5,992,811 0.2% Macquarie Korea Infrastructure Fund............... 1,309,661 8,046,199 0.3% #Woongjin Coway Co., Ltd........................... 187,030 6,814,273 0.2% Yuhan Corp........................................ 34,258 5,913,574 0.2% Other Securities.................................. 382,362,019 13.0% -------------- ---- TOTAL SOUTH KOREA.................................... 448,260,929 15.2% -------------- ---- TAIWAN -- (12.5%) Other Securities.................................. 406,004,257 13.7% -------------- ---- THAILAND -- (3.5%) Other Securities.................................. 112,281,873 3.8% -------------- ---- TURKEY -- (2.8%) Other Securities.................................. 92,008,419 3.1% -------------- ---- TOTAL COMMON STOCKS.................................. 2,893,797,143 98.0% -------------- ---- PREFERRED STOCKS -- (1.6%) BRAZIL -- (1.6%) Marcopolo SA...................................... 1,047,700 6,143,673 0.2% Other Securities.................................. 45,670,415 1.6% -------------- ---- TOTAL BRAZIL......................................... 51,814,088 1.8% -------------- ----
262 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Percentage Shares Value++ of Net Assets** ---------- -------------- --------------- INDIA -- (0.0%) Other Securities..................... $ 15,097 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 83,726 0.0% -------------- ----- TOTAL PREFERRED STOCKS.................. 51,912,911 1.8% -------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities..................... 11,762 0.0% -------------- ----- INDONESIA -- (0.0%) Other Securities..................... 540 0.0% -------------- ----- MALAYSIA -- (0.0%) Other Securities..................... 5,855 0.0% -------------- ----- POLAND -- (0.0%) Other Securities..................... 12,515 0.0% -------------- ----- SOUTH AFRICA -- (0.0%) Other Securities..................... 84,368 0.0% -------------- ----- SOUTH KOREA -- (0.0%) Other Securities..................... 21,309 0.0% -------------- ----- TAIWAN -- (0.0%) Other Securities..................... 1,792 0.0% -------------- ----- THAILAND -- (0.0%) Other Securities..................... -- 0.0% -------------- ----- TOTAL RIGHTS/WARRANTS................... 138,141 0.0% -------------- ----- Shares/ Face Amount (000) Value+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (9.3%) (S)@DFA Short Term Investment Fund...... 26,101,988 302,000,000 10.2% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,930,243,382)................ $3,247,848,195 110.0% ============== =====
263 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
Investment in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Argentina.................. -- -- -- -- Brazil..................... $287,843,483 -- -- $ 287,843,483 Chile...................... 45,262,428 -- -- 45,262,428 China...................... 39,450 $ 459,671,433 -- 459,710,883 Colombia................... 753,689 -- -- 753,689 Hong Kong.................. -- 12,892 -- 12,892 Hungary.................... -- 2,091,125 -- 2,091,125 India...................... 822,501 271,716,900 -- 272,539,401 Indonesia.................. -- 141,314,742 -- 141,314,742 Israel..................... -- 294,542 -- 294,542 Malaysia................... -- 162,803,488 -- 162,803,488 Mexico..................... 99,784,365 293,401 -- 100,077,766 Philippines................ -- 57,524,419 -- 57,524,419 Poland..................... -- 48,812,366 -- 48,812,366 South Africa............... -- 256,200,441 -- 256,200,441 South Korea................ -- 448,260,929 -- 448,260,929 Taiwan..................... -- 406,004,257 -- 406,004,257 Thailand................... 112,183,894 97,979 -- 112,281,873 Turkey..................... -- 92,008,419 -- 92,008,419 Preferred Stocks Brazil..................... 51,776,669 37,419 -- 51,814,088 India...................... -- 15,097 -- 15,097 Malaysia................... -- 83,726 -- 83,726 Rights/Warrants Brazil..................... -- 11,762 -- 11,762 Indonesia.................. -- 540 -- 540 Malaysia................... -- 5,855 -- 5,855 Poland..................... -- 12,515 -- 12,515 South Africa............... -- 84,368 -- 84,368 South Korea................ -- 21,309 -- 21,309 Taiwan..................... -- 1,792 -- 1,792 Thailand................... -- -- -- -- Securities Lending Collateral. -- 302,000,000 -- 302,000,000 ------------ -------------- -- -------------- TOTAL......................... $598,466,479 $2,649,381,716 -- $3,247,848,195 ============ ============== == ==============
See accompanying Notes to Financial Statements. 264 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands)
The Japanese The Asia The U.S. The DFA Small Pacific Small Large Cap International Company Company Value Series Value Series Series Series ------------ ------------- ------------ ------------- ASSETS: Investments at Value (including $581,088, $580,675, $211,713 and $179,249 of securities on loan, respectively). $10,580,291 $7,190,531 $1,671,206 $ 993,970 Temporary Cash Investments at Value & Cost.............................. 8,414 -- -- -- Collateral Received from Securities on Loan at Value & Cost......................................................... 1,574 1,682 3,965 1,641 Affiliated Collateral Received from Securities on Loan at Value & Cost................................................. 596,183 610,000 225,000 200,000 Foreign Currencies at Value............................................. -- 11,804 1,629 7,889 Cash.................................................................... -- 10,538 987 421 Receivables: Investment Securities Sold........................................... 154 39 4,651 2,087 Dividends, Interest and Tax Reclaims................................. 13,428 25,600 12,702 2,144 Securities Lending Income............................................ 179 608 263 339 Fund Shares Sold..................................................... 202 5,782 -- 500 Prepaid Expenses and Other Assets....................................... -- 177 -- -- ----------- ---------- ---------- ---------- Total Assets..................................................... 11,200,425 7,856,761 1,920,403 1,208,991 =========== ========== ========== ========== LIABILITIES: Payables: Upon Return of Securities Loaned..................................... 597,757 611,682 228,965 201,641 Investment Securities Purchased...................................... 4,455 2,826 4,385 2,837 Fund Shares Redeemed................................................. 7,689 2,358 62 90 Due to Advisor....................................................... 890 1,209 141 83 Loan Payable......................................................... -- -- -- 401 Unrealized Loss on Foreign Currency Contracts........................... -- -- -- 1 Accrued Expenses and Other Liabilities.................................. 482 437 119 78 ----------- ---------- ---------- ---------- Total Liabilities................................................ 611,273 618,512 233,672 205,131 ----------- ---------- ---------- ---------- NET ASSETS.............................................................. $10,589,152 $7,238,249 $1,686,731 $1,003,860 =========== ========== ========== ========== Investments at Cost..................................................... $ 7,765,593 $6,790,794 $1,867,719 $ 951,649 =========== ========== ========== ========== Foreign Currencies at Cost.............................................. $ -- $ 11,815 $ 1,628 $ 7,863 =========== ========== ========== ==========
See accompanying Notes to Financial Statements. 265 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands)
The United The The Kingdom Continental Canadian The The Emerging Small Small Small Emerging Markets Company Company Company Markets Small Cap Series Series Series Series* Series* ---------- ----------- -------- ---------- ------------ ASSETS: Investments at Value (including $26,517, $274,460, $209,339, $211,020 and $330,402 of securities on loan,respectively)....... $1,457,734 $2,237,485 $686,367 $2,896,818 $2,945,848 Collateral Received from Securities on Loan at Value & Cost....... -- 991 440 442 -- Affiliated Collateral Received from Securities on Loan at Value & Cost............................................................ 28,000 293,000 221,000 175,000 302,000 Foreign Currencies at Value....................................... 2,526 2,359 1,190 9,517 2,718 Cash.............................................................. 187 335 466 3,867 7,127 Receivables: Investment Securities Sold..................................... 310 1,981 772 175 138 Dividends and Tax Reclaims..................................... 4,225 2,774 421 3,133 1,986 Securities Lending Income...................................... 43 586 284 395 1,222 Fund Shares Sold............................................... -- 20 -- 4,566 115 ---------- ---------- -------- ---------- ---------- Total Assets............................................... 1,493,025 2,539,531 910,940 3,093,913 3,261,154 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned............................... 28,000 293,991 221,440 175,442 302,000 Investment Securities Purchased................................ -- 10 296 4,269 4,777 Fund Shares Redeemed........................................... 3 -- -- 228 -- Due to Advisor................................................. 121 188 58 242 491 Unrealized Loss on Foreign Currency Contracts..................... -- -- -- -- 1 Accrued Expenses and Other Liabilities............................ 63 163 60 425 535 ---------- ---------- -------- ---------- ---------- Total Liabilities.......................................... 28,187 294,352 221,854 180,606 307,804 ---------- ---------- -------- ---------- ---------- NET ASSETS........................................................ $1,464,838 $2,245,179 $689,086 $2,913,307 $2,953,350 ========== ========== ======== ========== ========== Investments at Cost............................................... $1,182,154 $2,289,430 $775,420 $1,831,008 $2,628,243 ========== ========== ======== ========== ========== Foreign Currencies at Cost........................................ $ 2,508 $ 2,355 $ 1,192 $ 9,562 $ 2,699 ========== ========== ======== ========== ==========
-------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 266 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
The Asia The U.S. The DFA The Japanese Pacific Large International Small Small Cap Value Value Company Company Series Series Series Series ---------- ------------- ------------ -------- Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $20,887, $2,646 and $869, respectively)............................................................ $ 216,492 $ 263,184 $ 35,255 $37,078 Interest................................................................... 21 2 -- -- Income from Securities Lending............................................. 7,882 13,556 2,692 3,507 ---------- --------- -------- ------- Total Investment Income............................................. 224,395 276,742 37,947 40,585 ---------- --------- -------- ------- Expenses Investment Advisory Services Fees.......................................... 9,897 13,887 1,638 918 Accounting & Transfer Agent Fees........................................... 932 666 176 110 Custodian Fees............................................................. 107 1,453 481 424 Shareholders' Reports...................................................... 52 37 9 5 Directors'/Trustees' Fees & Expenses....................................... 84 59 14 8 Professional Fees.......................................................... 362 237 45 26 Other...................................................................... 114 100 24 15 ---------- --------- -------- ------- Total Expenses...................................................... 11,548 16,439 2,387 1,506 ---------- --------- -------- ------- Fees Paid Indirectly....................................................... -- (18) (7) (3) ---------- --------- -------- ------- Net Expenses............................................................... 11,548 16,421 2,380 1,503 ---------- --------- -------- ------- Net Investment Income (Loss)............................................... 212,847 260,321 35,567 39,082 ---------- --------- -------- ------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................................. 408,690 133,256 15,297 27,956 Futures................................................................ -- -- (283) (140) Foreign Currency Transactions.......................................... -- (1,249) 593 (236) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 1,049,282 (157,327) (47,991) 3,183 Translation of Foreign Currency Denominated Amounts.................... -- (266) (76) (94) ---------- --------- -------- ------- Net Realized and Unrealized Gain (Loss).................................... 1,457,972 (25,586) (32,460) 30,669 ---------- --------- -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations............... $1,670,819 $ 234,735 $ 3,107 $69,751 ========== ========= ======== =======
See accompanying Notes to Financial Statements. 267 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands)
The United The Kingdom Continental The Canadian The The Emerging Small Small Small Emerging Markets Company Company Company Markets Small Cap Series Series Series Series Series ---------- ----------- ------------ -------- ------------ Investment Income Dividends (Net of Foreign Taxes Withheld of $23, $8,095, $2,668, $8,881 and $7,052, respectively)................ $ 43,186 $56,091 $ 14,549 $ 68,066 $ 58,851 Interest.................................................. -- 20 -- -- -- Income from Securities Lending............................ 337 9,906 2,591 5,012 8,179 -------- ------- -------- -------- -------- Total Investment Income............................ 43,523 66,017 17,140 73,078 67,030 -------- ------- -------- -------- -------- Expenses Investment Advisory Services Fees......................... 1,246 1,999 705 2,666 4,726 Accounting & Transfer Agent Fees.......................... 140 209 90 270 242 Custodian Fees............................................ 115 818 197 2,092 3,244 Shareholders' Reports..................................... 6 11 4 14 12 Directors'/Trustees' Fees & Expenses...................... 10 17 6 22 18 Professional Fees......................................... 33 77 20 111 261 Other..................................................... 18 31 8 43 36 -------- ------- -------- -------- -------- Total Expenses..................................... 1,568 3,162 1,030 5,218 8,539 -------- ------- -------- -------- -------- Fees Paid Indirectly...................................... (3) (8) (1) (19) (21) -------- ------- -------- -------- -------- Net Expenses.............................................. 1,565 3,154 1,029 5,199 8,518 -------- ------- -------- -------- -------- Net Investment Income (Loss).............................. 41,958 62,863 16,111 67,879 58,512 -------- ------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................ (16,423) (4,064) 26,982 34,169 106,663 Futures............................................... 236 69 -- -- (389) Foreign Currency Transactions......................... 339 (359) 111 (571)** (1,553)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............ 247,250 694 (63,323) 24,259 6,038 Translation of Foreign Currency Denominated Amounts............................................. (35) (285) (7) 20 (15) -------- ------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)................... 231,367 (3,945) (36,237) 57,877 110,744 -------- ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................. $273,325 $58,918 $(20,126) $125,756 $169,256 ======== ======= ======== ======== ========
-------- ** Net of foreign capital gain taxes withheld of $13 and $87, respectively. See accompanying Notes to Financial Statements. 268 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The U.S. The DFA The Japanese Large Cap Value International Value Small Company Series Series 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, 2012 2011 2012 2011 2012 2011 ----------- ----------- ---------- ----------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $ 212,847 $ 168,852 $ 260,321 $ 254,173 $ 35,567 $ 29,896 Net Realized Gain (Loss) on: Investment Securities Sold.................. 408,690 387,017 133,256 161,341 15,297 17,637 Futures..................................... -- (12,646) -- -- (283) -- Foreign Currency Transactions............... -- -- (1,249) 506 593 93 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 1,049,282 (74,679) (157,327) (1,021,735) (47,991) 66,983 Translation of Foreign Currency Denominated Amounts....................... -- -- (266) (517) (76) (598) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations............................. 1,670,819 468,544 234,735 (606,232) 3,107 114,011 ----------- ----------- ---------- ----------- ---------- ---------- Transactions in Interest: Contributions................................... 505,769 1,230,772 699,069 900,473 385,924 212,545 Withdrawals..................................... (922,543) (1,180,609) (651,462) (257,967) (205,115) (35,341) ----------- ----------- ---------- ----------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............... (416,774) 50,163 47,607 642,506 180,809 177,204 ----------- ----------- ---------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets................................. 1,254,045 518,707 282,342 36,274 183,916 291,215 Net Assets Beginning of Period............................. 9,335,107 8,816,400 6,955,907 6,919,633 1,502,815 1,211,600 ----------- ----------- ---------- ----------- ---------- ---------- End of Period................................... $10,589,152 $ 9,335,107 $7,238,249 $ 6,955,907 $1,686,731 $1,502,815 =========== =========== ========== =========== ========== ==========
See accompanying Notes to Financial Statements. 269 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Asia Pacific The United Kingdom The Continental Small Company Small Company Small Company Series Series 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, 2012 2011 2012 2011 2012 2011 ---------- --------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....................... $ 39,082 $ 36,987 $ 41,958 $ 42,984 $ 62,863 $ 61,832 Net Realized Gain (Loss) on: Investment Securities Sold..................... 27,956 71,818 (16,423) 18,980 (4,064) 66,872 Futures........................................ (140) -- 236 -- 69 (287) Foreign Currency Transactions.................. (236) 521 339 33 (359) (576) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................................... 3,183 (158,023) 247,250 (66,130) 694 (377,057) Translation of Foreign Currency Denominated Amounts.......................... (94) 109 (35) 53 (285) 52 ---------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... 69,751 (48,588) 273,325 (4,080) 58,918 (249,164) ---------- --------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions...................................... 161,440 80,765 92,609 125,970 260,944 225,654 Withdrawals........................................ (134,065) (60,581) (34,941) (24,739) (76,446) (47,211) ---------- --------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest.................. 27,375 20,184 57,668 101,231 184,498 178,443 ---------- --------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.................................... 97,126 (28,404) 330,993 97,151 243,416 (70,721) Net Assets Beginning of Period................................ 906,734 935,138 1,133,845 1,036,694 2,001,763 2,072,484 ---------- --------- ---------- ---------- ---------- ---------- End of Period...................................... $1,003,860 $ 906,734 $1,464,838 $1,133,845 $2,245,179 $2,001,763 ========== ========= ========== ========== ========== ==========
See accompanying Notes to Financial Statements. 270 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
The Canadian The Emerging Small Company The Emerging Markets Small Cap Series Markets Series 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, 2012 2011 2012 2011 2012 2011 -------- -------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....................... $ 16,111 $ 13,890 $ 67,879 $ 62,989 $ 58,512 $ 46,175 Net Realized Gain (Loss) on: Investment Securities Sold..................... 26,982 38,405 34,169 103,456 106,663 29,751 Futures.................... -- -- -- -- (389) -- Foreign Currency Transactions............. 111 (110) (571)** (1,120)** (1,553)** (1,286)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..... (63,323) (68,747) 24,259 (330,512) 6,038 (364,541) Translation of Foreign Currency Denominated Amounts.................. (7) 4 20 (115) (15) (32) Change in Deferred Thailand Capital Gains Tax.......................... -- -- -- 4,428 -- 3,997 -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... (20,126) (16,558) 125,756 (160,874) 169,256 (285,936) -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions.................. 11,500 130,949 523,537 341,207 1,002,685 472,662 Withdrawals.................... (38,550) (41,851) (175,967) (269,845) (93,517) (193,156) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. (27,050) 89,098 347,570 71,362 909,168 279,506 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................... (47,176) 72,540 473,326 (89,512) 1,078,424 (6,430) Net Assets Beginning of Period............ 736,262 663,722 2,439,981 2,529,493 1,874,926 1,881,356 -------- -------- ---------- ---------- ---------- ---------- End of Period.................. $689,086 $736,262 $2,913,307 $2,439,981 $2,953,350 $1,874,926 ======== ======== ========== ========== ========== ==========
-------- **Net of foreign capital gain taxes withheld of $13, $903, $ 87 and $652, respectively. See accompanying Notes to Financial Statements. 271 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The U.S. Large Cap Value Series+ ----------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ----------- ---------- ---------- ---------- ---------- ----------- Total Return.................................. 18.31% 5.69% 19.96% 11.90% (36.53)%(C) (0.32)% ----------- ---------- ---------- ---------- ---------- ----------- Net Assets, End of Period (thousands)......... $10,589,152 $9,335,107 $8,816,400 $7,508,400 $6,739,363 $10,159,322 Ratio of Expenses to Average Net Assets....... 0.12% 0.12% 0.12% 0.13% 0.11%(B) 0.11% Ratio of Net Investment Income to Average Net Assets...................................... 2.15% 1.79% 2.02% 2.42% 1.97%(B) 1.44% Portfolio Turnover Rate....................... 10% 14% 28% 29% 19%(C) 9% ----------- ---------- ---------- ---------- ---------- ----------- The DFA International Value Series+ ----------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ----------- ---------- ---------- ---------- ---------- ----------- Total Return.................................. 3.17% (8.04)% 11.13% 35.41% (47.87)%(C) 17.32% ----------- ---------- ---------- ---------- ---------- ----------- Net Assets, End of Period (thousands)......... $ 7,238,249 $6,955,907 $6,919,633 $6,191,964 $4,700,337 $ 9,638,721 Ratio of Expenses to Average Net Assets....... 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.24% 0.23% 0.24% 0.24% 0.23%(B) 0.23% Ratio of Net Investment Income to Average Net Assets...................................... 3.75% 3.47% 2.55% 3.22% 4.15%(B) 3.04% Portfolio Turnover Rate....................... 14% 9% 20% 18% 16%(C) 16% ----------- ---------- ---------- ---------- ---------- -----------
Seepage 1 & 2 for the Definitions of Abbreviations and Footnotes. + See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 272 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Japanese Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 0.54% 10.07% 0.72% 22.69% (26.87)%(C) (1.16)% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $1,686,731 $1,502,815 $1,211,600 $1,183,036 $1,062,964 $1,504,821 Ratio of Expenses to Average Net Assets....... 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.15% 0.14% 0.14% 0.15% 0.13%(B) 0.13% Ratio of Net Investment Income to Average Net Assets...................................... 2.17% 2.07% 1.95% 2.15% 2.64%(B) 1.94% Portfolio Turnover Rate....................... 7% 5% 10% 7% 10%(C) 9% ---------- ---------- ---------- ---------- ---------- ---------- The Asia Pacific Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 7.48% (5.15)% 28.91% 84.98% (57.75)%(C) 47.23% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $1,003,860 $ 906,734 $ 935,138 $ 680,997 $ 441,237 $1,205,154 Ratio of Expenses to Average Net Assets....... 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.16% 0.16% 0.17% 0.18% 0.15%(B) 0.15% Ratio of Net Investment Income to Average Net Assets...................................... 4.26% 3.78% 3.64% 4.00% 4.33%(B) 3.58% Portfolio Turnover Rate....................... 18% 17% 18% 23% 20%(C) 25% ---------- ---------- ---------- ---------- ---------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 273 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The United Kingdom Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 23.41% 0.20% 25.94% 43.51% (50.77)%(C) 2.42% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $1,464,838 $1,133,845 $1,036,694 $ 770,472 $ 555,390 $1,158,580 Ratio of Expenses to Average Net Assets....... 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.13% 0.13% 0.13% 0.14% 0.12%(B) 0.12% Ratio of Net Investment Income to Average Net Assets...................................... 3.37% 3.76% 2.86% 4.02% 3.79%(B) 2.72% Portfolio Turnover Rate....................... 6% 7% 15% 10% 25%(C) 12% ---------- ---------- ---------- ---------- ---------- ---------- The Continental Small Company Series --------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------- Total Return.................................. 2.29% (10.75)% 15.37% 43.78% (49.66)%(C) 17.49% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $2,245,179 $2,001,763 $2,072,484 $1,630,892 $1,111,585 $2,256,122 Ratio of Expenses to Average Net Assets....... 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.16% 0.15% 0.15% 0.16% 0.14%(B) 0.14% Ratio of Net Investment Income to Average Net Assets...................................... 3.15% 2.72% 2.24% 2.93% 3.49%(B) 2.16% Portfolio Turnover Rate....................... 9% 10% 12% 7% 18%(C) 12% ---------- ---------- ---------- ---------- ---------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 274 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Canadian Small Company Series ------------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Period Ended Ended Ended Ended 2007 to April 2, 2007(a) Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, to 2012 2011 2010 2009 2008 Nov. 30, 2007 ---------- ---------- ---------- ---------- ---------- ---------------- Total Return.................... (2.51)% 0.27% 43.17% 61.67% (56.44)%(C) 10.20%(C) ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $ 689,086 $ 736,262 $ 663,722 $ 365,181 $ 232,873 $ 213,529 Ratio of Expenses to Average Net Assets.................... 0.15% 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).............. 0.15% 0.14% 0.15% 0.17% 0.18%(B) 0.26%(B)(E) Ratio of Net Investment Income to Average Net Assets......... 2.29% 1.72% 1.05% 1.37% 0.97%(B) 0.47%(B)(E) Portfolio Turnover Rate......... 22% 24% 10% 23% 21%(C) 6%(C) ---------- ---------- ---------- ---------- ---------- ---------- The Emerging Markets Series ------------------------------------------------------------------------------- Period Year Year Year Dec. 1, Year Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ---------- ---------------- Total Return.................... 4.55% (6.44)% 27.04% 53.99% (48.15)%(C) 42.62% ---------- ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands)................... $2,913,307 $2,439,981 $2,529,493 $2,109,316 $1,624,524 $3,707,790 Ratio of Expenses to Average Net Assets.................... 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).............. 0.20% 0.20% 0.19% 0.20% 0.18%(B) 0.19% Ratio of Net Investment Income to Average Net Assets......... 2.55% 2.48% 2.18% 2.57% 3.00%(B) 2.52% Portfolio Turnover Rate......... 5% 16% 12% 14% 19%(C) 7% ---------- ---------- ---------- ---------- ---------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 275 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
The Emerging Markets Small Cap Series ------------------------------------------------------------------------- Period Year Year Year Year Dec. 1, Year Ended Ended Ended Ended 2007 to Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Nov. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- -------- ---------- Total Return....................................... 7.19% (12.94)% 41.96% 92.08% (56.84)%(C) 43.32% ---------- ---------- ---------- ---------- -------- ---------- Net Assets, End of Period (thousands).............. $2,953,350 $1,874,926 $1,881,356 $1,167,973 $566,379 $1,525,571 Ratio of Expenses to Average Net Assets............ 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............................ 0.36% 0.33% 0.32% 0.33% 0.30%(B) 0.31% Ratio of Net Investment Income to Average Net Assets........................................... 2.48% 2.32% 2.16% 2.52% 3.07%(B) 1.94% Portfolio Turnover Rate............................ 13% 18% 15% 13% 19%(C) 16% ---------- ---------- ---------- ---------- -------- ---------- See page 1 & 2 for the Definitions of Abbreviations and Footnotes.
See accompanying Notes to Financial Statements. 276 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 twelve portfolios, nine of which are included in this section of the report (collectively, the "Series"). The remaining operational portfolios are presented in separate reports.
Domestic Equity Portfolio International Equity Portfolios ------------------------- ----------------------------------------- The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series
Effective December 31, 2008 and November 1, 2008, The U.S. Large Cap Value Series and The DFA International Value Series, respectively, each a master fund in a RIC/RIC master-feeder structure, elected with the consent of their respective Holder(s) to change their U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S) 301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for the respective funds is a result of the treatment of a partnership for book purposes. Each Series/Portfolio will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Series from November 30 to October 31. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, 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) 277 Securities held by the Domestic Equity Portfolio and the International Equity Portfolios, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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/Trustees. 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolio and 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 hierachy. 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, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/Trustees of the Trust have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio's foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. Valuation hierarchy tables have been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Series had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their 278 respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held 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 on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board of the Fund (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/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 are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received 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, utilizing 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 Directors/Trustees, generally based on average net assets. The International Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, 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. 279 The Emerging Markets Series and The Emerging Markets Small Cap Series are subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Trust. For the year ended October 31, 2012, the Series' investment advisory services 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% The DFA International Value Series...... 0.20% The Japanese Small Company Series....... 0.10% The Asia Pacific Small Company Series... 0.10% The United Kingdom Small Company Series. 0.10% The Continental Small Company Series.... 0.10% The Canadian Small Company Series....... 0.10% The Emerging Markets Series............. 0.10% The Emerging Markets Small Cap Series... 0.20% Earned Income Credit: In addition, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Series custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2012, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly ---------- The DFA International Value Series...... $18 The Japanese Small Company Series....... 7 The Asia Pacific Small Company Series... 3 The United Kingdom Small Company Series. 3 The Continental Small Company Series.... 8 The Canadian Small Company Series....... 1 The Emerging Markets Series............. 19 The Emerging Markets Small Cap Series... 21 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the year ended October 31, 2012, the total related amounts paid by the Trust to the CCO were $82 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 2012, 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 (amounts in thousands): The U.S. Large Cap Value Series.... $262 The DFA International Value Series. 202 280 The Japanese Small Company Series....... $43 The Asia Pacific Small Company Series... 21 The United Kingdom Small Company Series. 25 The Continental Small Company Series.... 51 The Canadian Small Company Series....... 12 The Emerging Markets Series............. 70 The Emerging Markets Small Cap Series... 38 E. Purchases and Sales of Securities: For the year ended October 31, 2012, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases Sales ---------- ---------- The U.S. Large Cap Value Series......... $1,030,715 $1,245,566 The DFA International Value Series...... 1,297,711 982,391 The Japanese Small Company Series....... 326,323 108,934 The Asia Pacific Small Company Series... 226,329 161,647 The United Kingdom Small Company Series. 174,201 73,000 The Continental Small Company Series.... 454,150 189,112 The Canadian Small Company Series....... 152,466 175,235 The Emerging Markets Series............. 535,514 128,836 The Emerging Markets Small Cap Series... 1,275,998 309,522 There were no purchases or sales of long-term U.S. government securities. 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. At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Tax Unrealized Unrealized Appreciation Cost Appreciation (Depreciation) (Depreciation) ----------- ------------ -------------- -------------- The U.S. Large Cap Value Series......... $8,371,961 $3,160,109 $(345,608) $2,814,501 The DFA International Value Series...... 7,407,330 1,170,704 (775,821) 394,883 The Japanese Small Company Series....... 2,103,510 190,394 (393,733) (203,339) The Asia Pacific Small Company Series... 1,180,363 242,749 (227,501) 15,248 The United Kingdom Small Company Series. 1,220,692 426,464 (161,422) 265,042 The Continental Small Company Series.... 2,588,006 453,225 (509,755) (56,530) The Canadian Small Company Series....... 1,004,183 105,385 (201,761) (96,376) The Emerging Markets Series............. 2,009,168 1,170,608 (107,516) 1,063,092 The Emerging Markets Small Cap Series... 2,953,965 649,864 (355,981) 293,883
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 281 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 on a tax return. Management has analyzed each Series' tax positions and has concluded that no additional provision for income tax is required in any Series' financial statements. No Series 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 of the Series' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On November 1, 2008, The DFA International Value Series, a master fund in a RIC/RIC master-feeder structure with five RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The DFA International Value Series was October 31, 2008. For Federal income tax purposes, pursuant to Internal Revenue Code (the "IRC") (S)336(a), the master fund recognized gain or loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized gain or loss as if it liquidated its investment in the master fund. As a result of the transaction, The DFA International Value Series recognized a ($2,309,440,866) and ($718,733) capital and currency loss respectively for tax year ended October 31, 2008. For tax purposes, pursuant to IRC (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. Effective December 31, 2008, The U.S. Large Cap Value Series, a master fund in a RIC/RIC master-feeder structure with four RIC feeders and other direct client investor(s), made a "Check-the-box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classification from a corporation taxable as a regulated investment company to a partnership. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities, in a taxable transaction, to its shareholders in liquidation of the master fund. Immediately thereafter, the shareholders contributed all of the distributed assets and liabilities to a newly formed partnership. The final tax year end of The U.S. Large Cap Value Series was December 30, 2008. For Federal income tax purposes, pursuant to IRC (S)336(a), the master fund recognized a loss as if the master fund's investment securities were sold to its shareholders and, pursuant to IRC (S)331, each of the Portfolios recognized a gain as if it liquidated its investment in the master fund. For tax purposes, pursuant to IRC (S)334(a), each of the Portfolios took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. As a result of the transaction, The U.S. Large Cap Value Series recognized a ($2,303,664,484) capital loss for tax year ended December 30, 2008. 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. Repurchase Agreements: The Series may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Series' custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Markets 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. 282 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 by the Series may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Series. 3. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series 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. 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 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 entering 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 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 following is a summary of the Series' location and value of derivative instrument holdings on the Series' Statements of Operations categorized by primary risk exposure for the year ended October 31, 2012 (amounts in thousands):
Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income --------------- ----------------------------------------------------------- Equity contracts Net Realized Gain (Loss) on: Futures
Realized Gain (Loss) on Derivatives Recognized in Income -------------------- Equity Contracts -------------------- The Japanese Small Company Series*....... $(283) The Asia Pacific Small Company Series*... (140) The United Kingdom Small Company Series*. 236 The Continental Small Company Series*.... 69 The Emerging Markets Small Cap Series*... (389)
* As of October 31, 2012, there were no futures contracts outstanding. During the year ended October 31, 2012, the Series had limited activity in futures contracts. H. Line of Credit: The Trust, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 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 line of credit is 283 scheduled to expire on July 6, 2013. There were no borrowings by the Series under this line of credit during the year ended October 31, 2012. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Trust expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 2012, borrowings by the Series under this line 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 U.S. Large Cap Value Series......... 0.89% $18,911 99 $46 $58,537 The DFA International Value Series...... 0.87% 10,399 20 5 53,091 The Japanese Small Company Series....... 0.87% 483 9 -- 1,800 The Asia Pacific Small Company Series... 0.86% 508 32 -- 2,385 The United Kingdom Small Company Series. 0.86% 304 10 -- 2,542 The Continental Small Company Series.... 0.91% 1,700 10 -- 3,042 The Canadian Small Company Series....... 0.79% 24 5 -- 121 The Emerging Markets Series............. 0.88% 4,459 28 3 10,372 The Emerging Markets Small Cap Series... 0.87% 2,241 35 2 9,738
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that each Series' available line of credit was utilized. At October 31, 2012, only The Asia Pacific Small Company Series had a loan outstanding in the amount of $401 (in thousands). I. Securities Lending: As of October 31, 2012, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. In addition, The Emerging Market Series and The Emerging Markets Small Cap Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $47,301 and $61,083, respectively (in thousands). 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided 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. 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 284 average daily net assets of the Money Market Series. 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 and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, 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 to be taxed at qualified dividend income rates. J. Indemnitees; Contractual Obligations: Under the Trust's organizational documents, its officers and directors 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 which provide general indemnification. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. K. Recently Issued Accounting Standards: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. Other: The Series 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. On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as The U.S. Large Cap Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits 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 285 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 they seek, the amount would be less than 1% of The U.S. Large Cap Value Series' net asset value at this time. The U.S. Large Cap Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those 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 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 taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series 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 Shareholders of the Series, as defined, and Board of Trustees of The DFA Investment Trust Company: In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The U.S. Large Cap Value Series, The DFA International Value Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, The Emerging Markets Series, and The Emerging Markets Small Cap Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the "Series") at October 31, 2012, 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 then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians, brokers, and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 287 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHART Dimensional Emerging Markets Value Fund vs. MSCI Emerging Markets Index (net div.) October 31, 2002-October 31, 2012
Dimensional Emerging MSCI Emerging BeginDate EndDate FundReturns Benchmark0Returns EndDate Markets Value Fund Markets Index (net div.) --------- ---------- ----------- ----------------- ---------- -------------------- ------------------------ 2002-10-31 2002-11-30 7.90% 6.88% 10/2002 10000 10000 2002-11-30 2002-12-31 -2.96% -3.33% 11/2002 10790.45027 10688.20463 2002-12-31 2003-01-31 1.54% -0.44% 12/2002 10471.01268 10332.68124 2003-01-31 2003-02-28 -0.88% -2.81% 01/2003 10632.10519 10287.11002 2003-02-28 2003-03-31 -2.17% -2.86% 02/2003 10538.84111 9998.077641 2003-03-31 2003-04-30 13.16% 8.89% 03/2003 10309.92018 9712.550745 2003-04-30 2003-05-31 7.56% 7.15% 04/2003 11666.48863 10576.25547 2003-05-31 2003-06-30 4.46% 5.67% 05/2003 12548.25812 11332.42116 2003-06-30 2003-07-31 2.26% 6.22% 06/2003 13107.84261 11974.8284 2003-07-31 2003-08-31 6.64% 6.69% 07/2003 13404.59196 12719.45993 2003-08-31 2003-09-30 4.92% 0.73% 08/2003 14294.84 13570.61278 2003-09-30 2003-10-31 8.99% 8.51% 09/2003 14998.55988 13669.44466 2003-10-31 2003-11-30 1.14% 1.22% 10/2003 16346.64978 14832.47204 2003-11-30 2003-12-31 12.10% 7.24% 11/2003 16532.94454 15012.94766 2003-12-31 2004-01-31 2.73% 3.49% 12/2003 18533.72377 16099.9853 2004-01-31 2004-02-29 6.54% 4.59% 01/2004 19039.10975 16662.21886 2004-02-29 2004-03-31 1.25% 1.25% 02/2004 20285.14759 17426.29823 2004-03-31 2004-04-30 -6.96% -8.19% 03/2004 20537.84059 17644.0921 2004-04-30 2004-05-31 -2.96% -2.00% 04/2004 19108.81816 16199.38255 2004-05-31 2004-06-30 1.91% 0.43% 05/2004 18542.43732 15876.20003 2004-06-30 2004-07-31 1.25% -1.83% 06/2004 18896.34863 15943.82184 2004-07-31 2004-08-31 4.54% 4.15% 07/2004 19133.43107 15651.96247 2004-08-31 2004-09-30 6.58% 5.77% 08/2004 20002.73335 16301.04143 2004-09-30 2004-10-31 3.19% 2.39% 09/2004 21319.3255 17241.52745 2004-10-31 2004-11-30 10.81% 9.26% 10/2004 22000.19985 17653.47774 2004-11-30 2004-12-31 6.49% 4.80% 11/2004 24378.83883 19287.7093 2004-12-31 2005-01-31 1.68% 0.25% 12/2004 25959.97635 20214.06032 2005-01-31 2005-02-28 9.13% 8.72% 01/2005 26396.27847 20265.39862 2005-02-28 2005-03-31 -7.27% -6.61% 02/2005 28805.02978 22033.51685 2005-03-31 2005-04-30 -3.54% -2.68% 03/2005 26711.67114 20577.38623 2005-04-30 2005-05-31 1.52% 3.48% 04/2005 25764.83617 20024.99063 2005-05-31 2005-06-30 3.33% 3.40% 05/2005 26156.31601 20722.01549 2005-06-30 2005-07-31 7.26% 6.99% 06/2005 27026.40266 21426.05132 2005-07-31 2005-08-31 1.65% 0.86% 07/2005 28989.11107 22923.68229 2005-08-31 2005-09-30 8.05% 9.31% 08/2005 29468.26993 23119.9891 2005-09-30 2005-10-31 -6.23% -6.54% 09/2005 31839.84165 25272.80535 2005-10-31 2005-11-30 7.42% 8.27% 10/2005 29855.64651 23620.93331 2005-11-30 2005-12-31 6.31% 5.91% 11/2005 32071.93681 25574.955 2005-12-31 2006-01-31 9.60% 11.17% 12/2005 34096.21693 27086.60788 2006-01-31 2006-02-28 0.41% -0.12% 01/2006 37368.99442 30111.9491 2006-02-28 2006-03-31 3.42% 0.88% 02/2006 37522.10682 30076.21583 2006-03-31 2006-04-30 8.73% 7.12% 03/2006 38806.22665 30341.27525 2006-04-30 2006-05-31 -10.78% -10.48% 04/2006 42195.29097 32501.78094 2006-05-31 2006-06-30 -0.89% -0.24% 05/2006 37644.53605 29096.49107 2006-06-30 2006-07-31 2.41% 1.43% 06/2006 37309.19804 29025.36378 2006-07-31 2006-08-31 1.82% 2.55% 07/2006 38209.03088 29440.93262 2006-08-31 2006-09-30 2.07% 0.83% 08/2006 38905.67565 30191.10507 2006-09-30 2006-10-31 6.98% 4.75% 09/2006 39710.00953 30442.48182 2006-10-31 2006-11-30 7.34% 7.43% 10/2006 42482.97306 31887.98293 2006-11-30 2006-12-31 3.54% 4.50% 11/2006 45599.59794 34258.36502 2006-12-31 2007-01-31 1.58% -1.08% 12/2006 47213.71624 35800.88873 2007-01-31 2007-02-28 0.60% -0.59% 01/2007 47958.60523 35415.39915 2007-02-28 2007-03-31 5.24% 3.98% 02/2007 48244.31606 35205.20002 2007-03-31 2007-04-30 8.00% 4.63% 03/2007 50771.34708 36607.13479 2007-04-30 2007-05-31 7.63% 4.95% 04/2007 54835.10208 38301.93602 2007-05-31 2007-06-30 2.87% 4.69% 05/2007 59021.69097 40199.01976 2007-06-30 2007-07-31 4.77% 5.28% 06/2007 60716.24691 42083.39264 2007-07-31 2007-08-31 -3.19% -2.13% 07/2007 63613.38825 44303.84785 2007-08-31 2007-09-30 9.03% 11.04% 08/2007 61582.29628 43362.3024 2007-09-30 2007-10-31 11.01% 11.15% 09/2007 67142.01867 48150.94986 2007-10-31 2007-11-30 -7.26% -7.09% 10/2007 74535.41778 53520.78318 2007-11-30 2007-12-31 -0.13% 0.35% 11/2007 69125.935 49726.86787 2007-12-31 2008-01-31 -9.91% -12.48% 12/2007 69038.26331 49901.25085 2008-01-31 2008-02-29 4.02% 7.38% 01/2008 62193.56065 43673.8733 2008-02-29 2008-03-31 -3.34% -5.29% 02/2008 64694.94701 46897.54641 2008-03-31 2008-04-30 7.74% 8.12% 03/2008 62533.94378 44415.76252 2008-04-30 2008-05-31 0.90% 1.86% 04/2008 67375.79586 48020.26653 2008-05-31 2008-06-30 -11.60% -9.97% 05/2008 67979.60329 48911.10737 2008-06-30 2008-07-31 -1.94% -3.77% 06/2008 60093.69775 44032.83828 2008-07-31 2008-08-31 -8.52% -7.99% 07/2008 58930.74248 42371.91524 2008-08-31 2008-09-30 -17.24% -17.50% 08/2008 53910.46039 38987.53211 2008-09-30 2008-10-31 -31.02% -27.37% 09/2008 44615.6425 32164.58346 2008-10-31 2008-11-30 -7.55% -7.53% 10/2008 30773.70777 23361.83389 2008-11-30 2008-12-31 12.34% 7.80% 11/2008 28451.60634 21603.22571 2008-12-31 2009-01-31 -8.99% -6.46% 12/2008 31962.56422 23288.18785 2009-01-31 2009-02-28 -8.50% -5.64% 01/2009 29090.05385 21784.22273 2009-02-28 2009-03-31 17.36% 14.37% 02/2009 26617.81131 20555.33038 2009-03-31 2009-04-30 19.68% 16.64% 03/2009 31239.11507 23509.27602 2009-04-30 2009-05-31 22.56% 17.09% 04/2009 37385.48175 27421.45939 2009-05-31 2009-06-30 -1.22% -1.35% 05/2009 45820.51471 32106.85072 2009-06-30 2009-07-31 13.46% 11.24% 06/2009 45263.06338 31674.35664 2009-07-31 2009-08-31 0.79% -0.36% 07/2009 51355.93966 35236.07119 2009-08-31 2009-09-30 9.26% 9.08% 08/2009 51759.75602 35109.92688 2009-09-30 2009-10-31 -2.35% 0.12% 09/2009 56553.09626 38296.8602 2009-10-31 2009-11-30 6.41% 4.30% 10/2009 55225.17228 38344.23233 2009-11-30 2009-12-31 5.00% 3.95% 11/2009 58766.64207 39991.33055 2009-12-31 2010-01-31 -5.66% -5.58% 12/2009 61703.76548 41570.63621 2010-01-31 2010-02-28 0.81% 0.35% 01/2010 58210.64339 39252.15628 2010-02-28 2010-03-31 8.82% 8.07% 02/2010 58682.03356 39390.3133 2010-03-31 2010-04-30 0.68% 1.21% 03/2010 63855.23859 42570.3986 2010-04-30 2010-05-31 -10.43% -8.80% 04/2010 64290.36798 43086.13887 2010-05-31 2010-06-30 0.63% -0.74% 05/2010 57582.12315 39296.4307 2010-06-30 2010-07-31 9.30% 8.33% 06/2010 57944.73098 39007.56331 2010-07-31 2010-08-31 -1.79% -1.94% 07/2010 63335.5007 42255.92483 2010-08-31 2010-09-30 12.05% 11.11% 08/2010 62199.32951 41435.27509 2010-09-30 2010-10-31 3.45% 2.90% 09/2010 69693.22463 46039.95583 2010-10-31 2010-11-30 -3.20% -2.64% 10/2010 72098.52321 47376.79589 2010-11-30 2010-12-31 8.35% 7.14% 11/2010 69789.92004 46126.15023 2010-12-31 2011-01-31 -3.12% -2.71% 12/2010 75615.81914 49417.68963 2011-01-31 2011-02-28 -1.62% -0.93% 01/2011 73258.86826 48076.93112 2011-02-28 2011-03-31 5.77% 5.88% 02/2011 72074.34936 47628.60177 2011-03-31 2011-04-30 3.60% 3.10% 03/2011 76232.25243 50428.86654 2011-04-30 2011-05-31 -3.78% -2.62% 04/2011 78975.98501 51993.18073 2011-05-31 2011-06-30 -2.04% -1.54% 05/2011 75990.51389 50629.43612 2011-06-30 2011-07-31 -0.80% -0.44% 06/2011 74443.38715 49850.56795 2011-07-31 2011-08-31 -10.11% -8.94% 07/2011 73851.12768 49629.16113 2011-08-31 2011-09-30 -17.92% -14.58% 08/2011 66381.40643 45194.09196 2011-09-30 2011-10-31 13.18% 13.25% 09/2011 54487.86967 38605.04085 2011-10-31 2011-11-30 -5.04% -6.66% 10/2011 61667.50467 43718.55662 2011-11-30 2011-12-31 -3.55% -1.21% 11/2011 58561.16426 40804.88147 2011-12-31 2012-01-31 13.91% 11.34% 12/2011 56482.21271 40313.07288 2012-01-31 2012-02-29 6.11% 5.99% 01/2012 64338.71567 44885.64739 2012-02-29 2012-03-31 -4.27% -3.34% 02/2012 68266.96715 47574.28607 2012-03-31 2012-04-30 -3.22% -1.20% 03/2012 65354.0176 45986.28864 2012-04-30 2012-05-31 -11.05% -11.21% 04/2012 63250.89219 45436.70648 2012-05-31 2012-06-30 4.55% 3.86% 05/2012 56264.64802 40341.21113 2012-06-30 2012-07-31 -0.60% 1.95% 06/2012 58827.07669 41898.19616 2012-07-31 2012-08-31 1.43% -0.33% 07/2012 58476.55579 42715.46911 2012-08-31 2012-09-30 6.46% 6.03% 08/2012 59310.55379 42573.22844 2012-09-30 2012-10-31 -1.26% -0.61% 09/2012 63142.10985 45142.17877 10/31/2012 62344.37264 44868.1269
One Year Five Years Ten Years -------- ---------- --------- 1.10% -3.51% 20.08% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 288 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT'S DISCUSSION AND ANALYSIS International Equity Market Review 12 Months Ended October 31, 2012 Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 12 Months Ended October 31, 2012 -------------------------------- U.S. Dollar Return ----------- MSCI Emerging Markets Index........... 2.63% MSCI Emerging Markets Small Cap Index. 3.74% MSCI Emerging Markets Value Index..... 1.36% MSCI Emerging Markets Growth Index.... 3.89%
-------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 Months Ended October 31, 2012 -------------------------------- Local Currency U.S. Dollar Ten Largest Emerging Markets by Market Cap Return Return ------------------------------------------ -------- ----------- China.................................. 7.71% 7.92% South Korea............................ 1.71% 3.35% Brazil................................. 4.65% -12.68% Taiwan................................. -1.78% 0.59% South Africa........................... 17.70% 6.84% India.................................. 5.24% -4.73% Russia................................. -1.42% -4.50% Mexico................................. 16.32% 17.03% Malaysia............................... 11.39% 12.19% Indonesia.............................. 12.64% 3.82%
-------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. International Equity Fund Performance Overview Dimensional Emerging Markets Value Fund The Dimensional Emerging Markets Value Fund seeks to capture the returns of value stocks of any market capitalization size in selected emerging markets. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to emerging markets value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Fund held approximately 2,200 securities across 18 emerging markets. In general, the Fund was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Fund's assets. The Fund's country weights were capped at 15% of assets associated with any one country at the time of purchase by the manager, Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"), to limit single-country risk exposure. 289 For the 12 months ended October 31, 2012, total returns were 1.10% for the Fund and 2.63% for the MSCI Emerging Markets Index (net dividends). As a result of the Fund's diversified investment approach, performance was generally determined by broad structural trends in emerging markets rather than the behavior of a limited number of stocks. The Fund focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks in emerging markets significantly underperformed during the period. The Fund had significantly greater exposure than the Index to value stocks, which was the primary contributor to relative underperformance. In particular, the Fund had lower exposure than the Index to large cap growth stocks in the Information Technology sector, which significantly outperformed and detracted from the Fund's relative performance. Differences in the valuation timing and methodology between the Fund and the Index contributed positively to performance of the Fund. The Fund prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Fund also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 290 DIMENSIONAL EMERGING MARKETS VALUE FUND 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, 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" reflect 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, 2012 EXPENSE TABLE
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/12 10/31/12 Ratio* Period* --------- --------- ---------- -------- Actual Fund Return............ $1,000.00 $ 985.64 0.21% $1.05 Hypothetical 5% Annual Return. $1,000.00 $1,024.08 0.21% $1.07
-------- * 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 (366) to reflect the six-month period. 291 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such 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 Consumer Discretionary........ 6.4% Consumer Staples.............. 6.1% Energy........................ 16.5% Financials.................... 33.7% Health Care................... 0.7% Industrials................... 11.1% Information Technology........ 6.4% Materials..................... 15.9% Other......................... -- Real Estate Investment Trusts. -- Telecommunication Services.... 1.6% Utilities..................... 1.6% ----- 100.0% 292 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2012
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- COMMON STOCKS -- (89.7%) BRAZIL -- (6.4%) Banco Santander Brasil SA ADR..... 18,012,780 $ 122,486,904 0.7% BM&F Bovespa SA................... 28,221,345 180,634,394 1.1% Petroleo Brasileiro SA ADR........ 15,613,857 331,169,907 1.9% Other Securities.................. 518,166,763 3.1% -------------- ---- TOTAL BRAZIL......................... 1,152,457,968 6.8% -------------- ---- CHILE -- (1.4%) Empresas CMPC SA.................. 17,517,205 66,712,099 0.4% Other Securities.................. 188,039,527 1.1% -------------- ---- TOTAL CHILE.......................... 254,751,626 1.5% -------------- ---- CHINA -- (15.1%) #Agricultural Bank of China, Ltd. Series H................... 255,464,000 109,741,972 0.6% #Bank of China, Ltd. Series H..... 989,630,331 405,434,042 2.4% Bank of Communications Co., Ltd. Series H.................. 110,893,574 79,063,779 0.5% #China Communications Construction Co., Ltd. Series H. 65,910,327 61,689,391 0.4% China Construction Bank Corp. Series H....................... 214,422,940 161,020,872 0.9% #China Petroleum & Chemical Corp. ADR....................... 993,796 104,557,277 0.6% China Petroleum & Chemical Corp. Series H................. 163,824,289 172,860,447 1.0% #China Unicom Hong Kong, Ltd. ADR............................. 7,316,862 117,728,310 0.7% Other Securities................. 1,480,337,248 8.8% -------------- ---- TOTAL CHINA.......................... 2,692,433,338 15.9% -------------- ---- COLOMBIA -- (0.0%) Other Securities.................. 6,305,780 0.0% -------------- ---- CZECH REPUBLIC -- (0.3%) Other Securities.................. 45,582,734 0.3% -------------- ---- HONG KONG -- (0.0%) Other Securities.................. 39,287 0.0% -------------- ---- HUNGARY -- (0.5%) #OTP Bank P.L.C................... 3,793,491 72,294,221 0.4% Other Securities................. 24,821,623 0.2% -------------- ---- TOTAL HUNGARY........................ 97,115,844 0.6% -------------- ---- INDIA -- (7.7%) #ICICI Bank, Ltd. Sponsored ADR... 3,805,302 149,358,103 0.9% Reliance Industries, Ltd......... 19,097,966 284,786,980 1.7% State Bank of India.............. 2,228,831 86,802,979 0.5% Other Securities................. 848,004,441 5.0% -------------- ---- TOTAL INDIA.......................... 1,368,952,503 8.1% -------------- ---- INDONESIA -- (2.9%) Other Securities.................. 524,481,734 3.1% -------------- ---- ISRAEL -- (0.0%) Other Securities.................. 864,856 0.0% -------------- ---- MALAYSIA -- (3.2%) Other Securities.................. 571,995,908 3.4% -------------- ---- MEXICO -- (6.6%) #Alfa S.A.B. de C.V. Series A..... 51,397,020 94,755,160 0.6% *Cemex S.A.B. de C.V. Sponsored ADR............................. 16,022,635 144,844,622 0.9% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR... 2,494,369 226,014,775 1.3%
293 Dimensional Emerging Markets Value Fund CONTINUED
Percentage Shares Value++ of Net Assets** ----------- -------------- --------------- MEXICO -- (Continued) Grupo Financiero Banorte S.A.B. de C.V. Series O......................... 23,160,991 $ 128,770,440 0.8% Grupo Mexico S.A.B. de C.V. Series B.... 26,180,390 83,935,602 0.5% Other Securities........................ 495,698,970 2.9% -------------- ---- TOTAL MEXICO................................ 1,174,019,569 7.0% -------------- ---- PHILIPPINES -- (1.1%) Other Securities........................ 188,668,045 1.1% -------------- ---- POLAND -- (1.4%) *Polski Koncern Naftowy Orlen SA......... 5,693,986 78,039,888 0.5% Other Securities........................ 173,374,865 1.0% -------------- ---- TOTAL POLAND................................ 251,414,753 1.5% -------------- ---- RUSSIA -- (4.3%) Gazprom OAO Sponsored ADR............... 72,700,131 667,750,267 3.9% Other Securities........................ 97,505,229 0.6% -------------- ---- TOTAL RUSSIA................................ 765,255,496 4.5% -------------- ---- SOUTH AFRICA -- (7.2%) ABSA Group, Ltd......................... 5,160,055 82,730,749 0.5% #Gold Fields, Ltd. Sponsored ADR......... 11,629,304 145,482,593 0.8% Nedbank Group, Ltd...................... 3,179,691 65,565,003 0.4% Sanlam, Ltd............................. 28,863,728 128,793,703 0.8% Standard Bank Group, Ltd................ 14,939,038 184,470,451 1.1% #*Steinhoff International Holdings, Ltd... 19,509,004 65,620,688 0.4% Other Securities........................ 616,495,777 3.6% -------------- ---- TOTAL SOUTH AFRICA.......................... 1,289,158,964 7.6% -------------- ---- SOUTH KOREA -- (14.4%) Hana Financial Group, Inc............... 3,300,484 96,014,717 0.6% #Hyundai Steel Co........................ 1,031,183 74,092,555 0.4% KB Financial Group, Inc................. 2,902,753 98,710,063 0.6% KB Financial Group, Inc. ADR............ 3,182,416 108,361,265 0.6% #LG Electronics, Inc..................... 1,750,233 121,766,959 0.7% POSCO................................... 673,915 211,848,256 1.3% #POSCO ADR............................... 1,618,522 126,859,754 0.7% #Samsung SDI Co., Ltd.................... 500,681 62,766,213 0.4% Shinhan Financial Group Co., Ltd........ 5,415,719 185,880,713 1.1% SK Holdings Co., Ltd.................... 454,913 63,318,025 0.4% #SK Innovation Co., Ltd.................. 595,603 87,545,630 0.5% Other Securities........................ 1,326,862,243 7.9% -------------- ---- TOTAL SOUTH KOREA........................... 2,564,026,393 15.2% -------------- ---- TAIWAN -- (11.7%) First Financial Holding Co., Ltd........ 110,152,437 62,493,660 0.4% Fubon Financial Holding Co., Ltd........ 74,753,471 76,587,420 0.5% #Mega Financial Holding Co., Ltd......... 123,517,381 89,722,186 0.5% #United Microelectronics Corp............ 206,208,681 76,461,049 0.4% Other Securities........................ 1,787,063,949 10.6% -------------- ---- TOTAL TAIWAN................................ 2,092,328,264 12.4% -------------- ---- THAILAND -- (3.0%) PTT Global Chemical PCL (Foreign)....... 31,932,741 63,552,927 0.4% PTT PCL (Foreign)....................... 5,915,600 61,375,556 0.4% Other Securities........................ 411,283,606 2.4% -------------- ---- TOTAL THAILAND.............................. 536,212,089 3.2% -------------- ---- TURKEY -- (2.5%) Turkiye Is Bankasi A.S.................. 26,987,224 91,891,467 0.6%
294 Dimensional Emerging Markets Value Fund CONTINUED
Percentage Shares Value++ of Net Assets** ----------- --------------- --------------- TURKEY -- (Continued) Other Securities............................ $ 359,019,734 2.1% --------------- ----- TOTAL TURKEY.................................... 450,911,201 2.7% --------------- ----- TOTAL COMMON STOCKS............................. 16,026,976,352 94.9% --------------- ----- PREFERRED STOCKS -- (4.4%) BRAZIL -- (4.4%) #Gerdau SA Sponsored ADR..................... 10,428,393 91,665,574 0.5% Petroleo Brasileiro SA...................... 12,506,758 128,081,813 0.8% Petroleo Brasileiro SA ADR.................. 16,172,808 332,027,748 2.0% Other Securities............................ 222,129,866 1.3% --------------- ----- TOTAL BRAZIL.................................... 773,905,001 4.6% --------------- ----- COLOMBIA -- (0.0%) Other Securities............................ 3,489,767 0.0% --------------- ----- INDIA -- (0.0%) Other Securities............................ 41,292 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities............................ 281,138 0.0% --------------- ----- TOTAL PREFERRED STOCKS.......................... 777,717,198 4.6% --------------- ----- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................ 50,099 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities............................ 10,728 0.0% --------------- ----- POLAND -- (0.0%) Other Securities............................ 48,734 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities............................ -- 0.0% --------------- ----- TURKEY -- (0.0%) Other Securities............................ -- 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS........................... 109,561 0.0% --------------- ----- Shares/ Face Amount (000) Value+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (5.9%) (S)@DFA Short Term Investment Fund.............. 90,406,223 1,046,000,000 6.2% @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $10,294,594) to be repurchased at $10,092,837........... $ 10,093 10,092,739 0.1% --------------- ----- TOTAL SECURITIES LENDING COLLATERAL............. 1,056,092,739 6.3% --------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $18,106,640,494)........................ $17,860,895,850 105.8% =============== =====
295 Dimensional Emerging Markets Value Fund CONTINUED Summary of the Fund's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note): Investment in Securities (Market Value) ------------------------------------------------------ Level 1 Level 2 Level 3 Total -------------- --------------- ------- --------------- Common Stocks Brazil.............. $1,152,457,968 -- -- $ 1,152,457,968 Chile............... 254,751,626 -- -- 254,751,626 China............... 235,243,847 $ 2,457,189,491 -- 2,692,433,338 Colombia............ 6,305,780 -- -- 6,305,780 Czech Republic...... -- 45,582,734 -- 45,582,734 Hong Kong........... -- 39,287 -- 39,287 Hungary............. -- 97,115,844 -- 97,115,844 India............... 168,733,905 1,200,218,598 -- 1,368,952,503 Indonesia........... -- 524,481,734 -- 524,481,734 Israel.............. -- 864,856 -- 864,856 Malaysia............ -- 571,995,908 -- 571,995,908 Mexico.............. 1,173,372,993 646,576 -- 1,174,019,569 Philippines......... -- 188,668,045 -- 188,668,045 Poland.............. -- 251,414,753 -- 251,414,753 Russia.............. 1,477,962 763,777,534 -- 765,255,496 South Africa........ 204,518,729 1,084,640,235 -- 1,289,158,964 South Korea......... 350,558,671 2,213,467,722 -- 2,564,026,393 Taiwan.............. 35,124,278 2,057,203,986 -- 2,092,328,264 Thailand............ 530,357,027 5,855,062 -- 536,212,089 Turkey.............. -- 450,911,201 -- 450,911,201 Preferred Stocks Brazil.............. 773,905,001 -- -- 773,905,001 Colombia............ 3,489,767 -- -- 3,489,767 India............... -- 41,292 -- 41,292 Malaysia............ -- 281,138 -- 281,138 Rights/Warrants Brazil.............. -- 50,099 -- 50,099 Malaysia............ -- 10,728 -- 10,728 Poland.............. -- 48,734 -- 48,734 Thailand............ -- -- -- -- Turkey.............. -- -- -- -- Securities Lending Collateral........... -- 1,056,092,739 -- 1,056,092,739 -------------- --------------- -- --------------- TOTAL.................. $4,890,297,554 $12,970,598,296 -- $17,860,895,850 ============== =============== == =============== 296 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (Amounts in thousands) ASSETS: Investments at Value (including $1,186,068 of securities on loan)*...... $16,804,803 Collateral Received from Securities on Loan at Value & Cost............. 10,093 Affiliated Collateral Received from Securities on Loan at Value & Cost.. 1,046,000 Foreign Currencies at Value............................................. 45,598 Cash.................................................................... 4,151 Receivables: Investment Securities Sold........................................... 24,446 Dividends, Interest and Tax Reclaims................................. 8,000 Fund Shares Sold..................................................... 21,560 Securities Lending Income............................................ 2,963 ----------- Total Assets..................................................... 17,967,614 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned..................................... 1,056,093 Investment Securities Purchased...................................... 23,801 Due to Advisor....................................................... 1,421 Accrued Expenses and Other Liabilities.................................. 1,977 ----------- Total Liabilities................................................ 1,083,292 ----------- NET ASSETS $16,884,322 =========== Investments at Cost..................................................... $17,050,548 =========== Foreign Currencies at Cost.............................................. $ 44,606 ===========
-------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 297 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $49,100)......... $ 377,538 Interest..................................................... 7 Income from Securities Lending............................... 28,924 --------- Total Investment Income............................... 406,469 --------- Expenses Investment Advisory Services Fees............................ 15,417 Accounting & Transfer Agent Fees............................. 1,444 Custodian Fees............................................... 13,411 Shareholders' Reports........................................ 78 Directors'/Trustees' Fees & Expenses......................... 128 Professional Fees............................................ 555 Other........................................................ 313 --------- Total Expenses........................................ 31,346 --------- Fees Paid Indirectly......................................... (105) --------- Net Expenses................................................. 31,241 --------- Net Investment Income (Loss)................................. 375,228 --------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold............................... 398,744 Futures.................................................. (1,269) Foreign Currency Transactions............................ (4,761)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... (574,018) Translation of Foreign Currency Denominated Amounts...... (185) --------- Net Realized and Unrealized Gain (Loss)...................... (181,489) --------- Net Increase (Decrease) in Net Assets Resulting from Operations. $ 193,739 =========
-------- ** Net of foreign capital gain taxes withheld of $314. See accompanying Notes to Financial Statements. 298 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Year Year Ended Ended Oct. 31, Oct. 31, 2012 2011 ----------- ----------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................................. $ 375,228 $ 320,817 Net Realized Gain (Loss) on: Investment Securities Sold................................................ 398,744 201,891 Futures................................................................... (1,269) -- Foreign Currency Transactions............................................. (4,761)** (3,672)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................................ (574,018) (2,901,288) Translation of Foreign Currency Denominated Amounts....................... (185) (7) Change in Deferred Thailand Capital Gains Tax................................. -- 16,303 ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations........ 193,739 (2,365,956) ----------- ----------- Transactions in Interest: Contributions................................................................. 3,560,477 5,059,674 Withdrawals................................................................... (873,473) (608,094) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 2,687,004 4,451,580 ----------- ----------- Total Increase (Decrease) in Net Assets................................ 2,880,743 2,085,624 Net Assets Beginning of Period........................................................... 14,003,579 11,917,955 ----------- ----------- End of Period................................................................. $16,884,322 $14,003,579 =========== ===========
-------- ** Net of foreign capital gain taxes withheld of $314 and $1,707, respectively. See accompanying Notes to Financial Statements. 299 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
Year Year Year Year Period Year Ended Ended Ended Ended Dec. 1, 2007 Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, to Nov. 30, 2012 2011 2010 2009 Oct. 31, 2008 2007 ----------- ----------- ----------- ---------- ------------- ---------- Total Return.................................. 1.10% (14.47%) 30.55% 79.39% (55.47)%(C) 51.59% ----------- ----------- ----------- ---------- ---------- ---------- Net Assets, End of Period (thousands)......... $16,884,322 $14,003,579 $11,917,955 $7,965,125 $4,048,404 $8,188,710 Ratio of Expenses to Average Net Assets....... 0.20% 0.20% 0.19% 0.21% 0.19%(B) 0.19% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)............ 0.20% 0.20% 0.19% 0.21% 0.19%(B) 0.19% Ratio of Net Investment Income to Average Net Assets...................................... 2.43% 2.29% 1.81% 2.17% 3.19%(B) 2.50% Portfolio Turnover Rate....................... 8% 5% 15% 20% 14%(C) 14% ----------- ----------- ----------- ---------- ---------- ----------
See page 1 & 2 for the Definitions of Abbreviations and Footnotes. + See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 300 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS A. Organization: Dimensional Emerging Markets Value Fund Inc. ("DEM I") was organized as a closed-end management investment company registered under the Investment Company Act of 1940, as amended. Effective November 21, 1997, DEM I was reorganized as an open-end management investment company. On October 27, 2009, the Board of Directors and shareholders of DEM I approved an Agreement and Plan of Reorganization that provided for the reorganization of DEM I from a Maryland corporation to a Delaware statutory trust. Effective October 30, 2009, DEM I transferred all of its assets and liabilities to Dimensional Emerging Markets Value Fund ("DEM II" or the "Fund"), a Delaware statutory trust, in a tax-free exchange under Internal Revenue Code (the "IRC") (S)368(a)(1)(F). Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure, elected with the consent of its Holder(s) to change its U.S. federal income tax classification from that of an association taxable as a corporation to a partnership pursuant to Treasury Regulation (S)301.7701-3. The change in capital structure and retroactive reclassification of the statement of changes in net assets and financial highlights for DEM II is a result of the treatment of a partnership for book purposes. DEM II and Emerging Markets Value Portfolio ("Portfolio") will maintain their books and records and present their financial statements in accordance with generally accepted accounting principles for investment partnerships. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Fund from November 30 to October 31. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, 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 at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies are valued using their respective 301 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/Trustees. 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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 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, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that 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 time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the Fund's foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors/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 utilizes 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 the Security Valuation note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Fund had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 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 recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked to market 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 fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities held 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 on securities transactions, and the difference between amounts of interest, dividends and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, 302 such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At October 31, 2012, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $261 (in thousands). Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board of the Fund; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board of the Fund (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/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 are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the 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 investment 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. In addition, 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 a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Fund. For the year ended October 31, 2012, the Fund's advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets. Earned Income Credit: In addition, 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 303 financial statements is presented before reduction for credits. During the year ended October 31, 2012, expenses reduced were $105 (amount in thousands). Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $26 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. D. Purchases and Sales of Securities: For the year ended October 31, 2012, the Fund made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases. $4,238,656 Sales..... 1,158,122
There were no purchases or sales of long-term U.S. government securities. 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. At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) -------- ------------ -------------- -------------- $18,160,399 $2,642,341 $(2,941,844) $(299,503)
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 on a tax return. Management has analyzed the Fund's tax position 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 position 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. Effective November 1, 2009, Dimensional Emerging Markets Value Fund ("DEM II"), a master fund in a master-feeder structure with one RIC feeder and other direct client investors, made a "Check-the-Box" election for federal income tax purposes pursuant to Treasury Regulation (S)301.7701-3, to change its federal entity classifications from a corporation taxable as a regulated investment company to a partnership. DEM II will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. As a result of this election, the master fund is deemed to have distributed all of its assets and liabilities on October 31, 2009 to its shareholders in liquidation of the master fund. Since the master fund had a shareholder owning 80% or more of its shares, and also had shareholders owning less than 80%, the transaction created a non-taxable transaction, pursuant to IRC (S)332, for those owning more than 80%, and a taxable transaction, pursuant to IRC (S)331, for those shareholders owning less than 80%. Immediately after the deemed liquidation, the shareholders contributed all of 304 the distributed assets and liabilities to a newly formed partnership. The final tax year end of the Master Fund was October 31, 2009. For federal income tax purposes, pursuant to IRC (S)336(a), the master fund recognized gain or loss relative to the investment of the less than 80% shareholders as if the master fund's investment securities were sold to those shareholders and, pursuant to IRC (S)331, each of those shareholders recognized gain or loss as if it liquidated its investment in the master fund. Pursuant to IRC (S)334(a), each of these shareholders took a fair market value basis in the securities deemed received by them and a new holding period for those securities commenced on the deemed liquidation date. In regards to the shareholder owning 80% or more of the master fund, pursuant to IRC (S)332(a), the shareholder did not recognize any gain or loss on the deemed liquidation. However, pursuant to IRC (S)332(c), a portion of the deemed distribution, which otherwise would have been tax-free as discussed above, since it was utilized by the master fund to satisfy its dividends paid deduction for the tax year, had to be recognized and treated as a dividend by the 80% or greater shareholder. Pursuant to IRC (S)334(b)(1) and (S)1223, the 80% or greater shareholder's basis and holding period in the securities received in liquidation was the same as it was in the possession of the master fund. As a result of the transaction, Dimensional Emerging Markets Value Fund recognized a $104,402,506 and ($16,523) capital gain and currency loss respectively, for tax year ended October 31, 2009. 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. Repurchase Agreements: The Fund may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Fund's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States, 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 by the Fund may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Fund. 3. Futures Contracts: The Fund may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Fund 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. 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 entering 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 305 credit risk related to exchange-traded futures is minimal because the exchange's clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The following is a summary of the location of realized gains and losses on the Fund's Statement of Operations for the Fund's derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2012:
Realized Gain (Loss) on Derivatives Recognized in Income -------------------- Location on the Statement Equity of Operations Contracts ------------------------- -------------------- Net Realized Gain Dimensional Emerging Markets Value Fund. (Loss) on: Futures $(1,269)*
/*/ As of October 31, 2012, the Fund had no outstanding futures contracts. During the year ended October 31, 2012, the Fund had limited activity in futures contracts. G. Line of Credit: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 2012, borrowings by the Fund under this line of credit were as follows (amounts in thousands, except percentage and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- 0.86% $23,251 25 $14 $71,121
/*/ Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that the Fund's available line of credit was utilized. There were no outstanding borrowings by the Fund under this line of credit as of October 31, 2012. H. Securities Lending: As of October 31, 2012, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. In addition, the Fund received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $247,081 (in thousands). The Fund invests the cash collateral, as described below, 306 and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are required at all times to be secured by collateral equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided 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. Subject to its stated investment policy, 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. 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 and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, 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 to be taxed at qualified dividend income rates. 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 which 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. K. 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 307 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 Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 308 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Directors of Dimensional Emerging Markets Value Fund: In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the "Fund") at October 31, 2012, 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 then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 309 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 four standing committees, an Audit Committee, a Nominating Committee, a Portfolio Performance and Service Review Committee (the "Performance Committee") and an Independent Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also 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, 2012. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2012. Each Board's Performance Committee is comprised of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S. Scholes. Each member of the Performance Committee is a disinterested Trustee/Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2012. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review 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 Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2012. Certain biographical information for each disinterested Trustee/Director and each 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, Texas 78746. Prospectuses are also available at www.dimensional.com. 310
Name, Position Portfolios within the with the Fund, Term of Office/1/ and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and Address and Age Length of Service Overseen Other Directorships of Public Companies Held --------------- ------------------- --------------------- -------------------------------------------------------- Disinterested Trustees/Directors George M. Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The University of Constantinides Director investment companies Chicago Booth School of Business. of DFAIDG and DIG. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 64 John P. Gould Director Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service Professor of of DFAIDG and DIG. investment companies Economics, The University of Chicago Booth School of Trustee of DFAITC and Business (since 1965). Member and Chair, Competitive DEM. Markets Advisory Committee, Chicago Mercantile The University of Exchange (futures trading exchange) (since 2004). Chicago Booth School Formerly, Director of UNext, Inc. (1999-2006). Trustee, of Business 5807 Harbor Fund (registered investment company) (30 S. Woodlawn Avenue Portfolios) (since 1994). Formerly, Member of the Board Chicago, IL 60637 of Milwaukee Mutal Insurance Company (1997-2010). Age: 73 Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG investment companies Management (since 1984). Chairman, CIO and Partner, and DIG. Trustee of Zebra Capital Management, LLC (hedge fund manager) DFAITC and DEM. (since 2001). Consultant to Morningstar, Inc. (since Yale School of 2006). Formerly, Chairman, Ibbotson Associates, Inc., Management P.O. Box Chicago, IL (software data publishing and consulting) 208200 New Haven, CT (1977-2006). Formerly, Director, BIRR Portfolio 06520-8200 Analysis, Inc. (software products) (1990-2010). Age: 68
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Name, Position Portfolios within the with the Fund, Term of Office/1 /and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and Address and Age Length of Service Overseen Other Directorships of Public Companies Held --------------- ------------------- --------------------- -------------------------------------------------------- Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution Director of DFAIDG investment companies (since 2002). Jack Steele Parker Professor of Human and DIG. Resources Management and Economics, Graduate Trustee of DFAITC and School of Business, Stanford University (since 1995). DEM. Stanford Cornerstone Research (expert testimony and economic University Graduate and financial analysis) (since 2009). Formerly, School of Business 518 Chairman of the President George W. Bush's Council Memorial Way of Economic Advisers (2006-2009). Formerly, Stanford, CA 94305- Council of Economic Advisors, State of California 5015 Age: 64 (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG investment companies Stanford University (since 1981). Formerly, and DIG. Trustee of Chairman, Platinum Grove Asset Management, L.P. DFAITC and DEM. (hedge fund) (formerly, Oak Hill Platinum Partners) c/o Dimensional Fund (1999-2009). Formerly, Managing Partner, Oak Hill Advisors, LP 6300 Bee Capital Management (private equity firm) (until Cave Road Building 1 2004). Director, American Century Fund Complex Austin, TX 78746 (registered investment companies) (40 Portfolios) Age: 70 (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Abbie J. Smith Director Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service Professor of DFAIDG and DIG. investment companies of Accounting, The University of Chicago Booth Trustee of DFAITC and School of Business (since 1980). Co-Director DEM. Investment Research, Fundamental Investment The University of Advisors (hedge fund) (since 2008). Director, HNI Chicago Booth School Corporation (formerly known as HON Industries Inc.) of Business 5807 (office furniture) (since 2000). Director, Ryder System S. Woodlawn Avenue Inc. (transportation, logistics and supply-chain Chicago, IL 60637 management) (since 2003). Trustee, UBS Funds (4 Age: 58 investment companies within the fund complex) (52 portfolios) (since 2009).
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Name, Position Portfolios within the with the Fund, Term of Office/1 /and DFA Fund Complex/2/ Principal Occupation(s) During Past 5 Years and Address and Age Length of Service Overseen Other Directorships of Public Companies Held --------------- ------------------- --------------------- ----------------------------------------------- Interested Trustees/Directors* David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President, Chairman, Director, investment companies and Co-Chief Executive Officer (since Co-Chief Executive Officer January 2010) of Dimensional Holdings and President of DFAIDG Inc., Dimensional Fund Advisors LP, and DIG. Chairman, DFA Securities LLC, Dimensional Trustee, Co-Chief Emerging Markets Value Fund, DFAIDG, Executive Officer and Dimensional Investment Group Inc. and President of DFAITC and The DFA Investment Trust Company. DEM. 6300 Bee Cave Road, Director of Dimensional Fund Advisors Building One Ltd., Dimensional Funds PLC, Austin, Texas 78746 Dimensional Funds II PLC, DFA Age: 65 Australia Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. President, Dimensional SmartNest (US) LLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since Director, Co-Chief investment companies January 2010), Chief Investment Officer Executive Officer and (since March 2007) and Director/Trustee Chief Investment Officer of of Dimensional Holdings Inc., DFAIDG and DIG. Dimensional Fund Advisors LP, DFA Trustee, Co-Chief Securities LLC, Dimensional Emerging Executive Officer and Markets Value Fund, DFAIDG, Chief Investment Officer of Dimensional Investment Group Inc., The DFAITC and DEM. DFA Investment Trust Company and 6300 Bee Cave Road, Dimensional Cayman Commodity Fund I Building One Ltd. Co-Chief Executive Officer, Austin, TX 78746 President and Chief Investment Officer of Age: 45 Dimensional Fund Advisors Canada ULC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC, Dimensional Funds II PLC, Dimensional Japan Ltd. and Dimensional Advisors Ltd. Co-Chief Executive Officer of Dimensional Retirement Plan Services LLC. Formerly, Vice President of Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Fund Advisors Canada ULC.
-------- /1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. /*/ Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 313 Officers The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Officers April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President Vice President, Global Business Development of all the DFA Entities. Global Business Formerly, Chief Learning Officer of Dimensional Development (2008-2011); Regional Director of Dimensional (2004-2008). Age: 49 Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice Vice President President Business Development at Capson Physicians Age: 37 Insurance Company (2010-2012); Vice President at Charles Schwab (2007-2010). Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President Age: 46 Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Age: 56 John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2010-January 2011); Chief Market Age: 43 Strategist at Commonwealth Financial (2007-2010); Director of Research at Commonwealth Financial (2000-2007). Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President Age: 43 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Vice President and Assistant Entities, DFA Australia Limited, Dimensional Fund Advisors Secretary Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Age: 45 Retirement Plan Services LLC, Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Vice President Financial Services of Dimensional (since 2008). Formerly, Age: 48 Regional Director of Dimensional (January 1995 to January 2005). Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (December Age: 41 2010-January 2012); Regional Director at Russell Investments (April 2006-December 2010). James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2008-2010); Vice President, Age: 56 Client Portfolio Manager at American Century Investments (2001-2008). Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Vice President Portfolio Management of Dimensional (since March 2012). Sr. Age: 46 Portfolio Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (October 2005-January 2012). Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Vice President Limited and Dimensional Fund Advisors Canada ULC. Head of Age: 40 Institutional, North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (August Age: 36 2002-January 2012).
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Financial Services Group of Dimensional (since August Age: 63 1993). George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice President Vice President and Managing Director at State Street Bank & Age: 57 Trust Company (2007-2008); Managing Director, Head of Investment Administration and Operations at State Street Research & Management Company (2002-2005). Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all Vice President and Global the DFA Entities, DFA Australia Limited, Dimensional Fund Chief Compliance Officer Advisors Ltd., Dimensional SmartNest LLC, Dimensional Age: 46 SmartNest (US) LLC and Dimensional Retirement Plan Services LLC. Chief Compliance Officer of Dimensional Fund Advisors Canada ULC. James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President Age: 55 Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Vice President Limited and Dimensional Fund Advisors Canada ULC. Age: 55 Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate Vice President for Dimensional (since August 2008). Formerly, Research Age: 40 Assistant for Dimensional (April 2006-August 2008). Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief Vice President and Chief Communications Officer of Dimensional (since 2010). Communications Officer Age: 42 Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Vice President and Assistant Entities and DFA Australia Limited. Chief Operating Officer Secretary of Dimensional Fund Advisors Ltd. (since July 2008). Age: 47 Formerly, Vice President of Dimensional Fund Advisors Ltd. Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President Age: 41 Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Vice President Portfolio Management of Dimensional (since March 2012). Sr. Age: 38 Portfolio Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (since September 2004). Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Vice President Manager for Dimensional (since June 2006). Formerly, Age: 41 Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998-June 2006). Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional. Age: 45 Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Vice President Director at BlackRock (2004-January 2012). Age: 44 Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President Age: 45 John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional Vice President Director of Dimensional (January 2005 to February 2007). Age: 38
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ------------------------------------------------------------ Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior Age: 37 Trader for Dimensional Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Advisors Ltd. (2008-2009); Trader for Dimensional Fund Advisors LP (2004-2008). Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional (since June 1998). Age: 44 Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities Vice President and Fund and Dimensional Cayman Commodity Fund I Ltd. and Controller Dimensional Japan Ltd. Age: 38 Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President Age: 44 Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President Age: 44 Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Vice President Director, Co-Head Global Consultant Relations at BlackRock Age: 52 (2004-2011). Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Vice President Cayman Commodity Fund I Ltd. Age: 38 Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Facilities Manager for Dimensional Fund Advisors LP Age: 44 (October 2008-January 2012); General Manager at Intereity Investments (March 2007-October 2008). Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Vice President and Chief Entities, Dimensional Cayman Commodity Fund I Ltd., Operating Officer Dimensional Japan Ltd., Dimensional Advisors Ltd., Age: 57 Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Retirement Plan Services LLC. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. Director and Vice President of Dimensional Hong Kong Limited. Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (April Age: 64 2006-January 2012). David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since June 2004). Age: 41 Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Accounting Manager for Dimensional Fund Advisors LP Age: 32 (January 2006-January 2012). Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Vice President Contribution Sales for Dimensional (since August 2010). Age: 41 Formerly, Chief DC Strategist, Barclays Global Investors (2005-2009). Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Vice President Manager of Dimensional (since January 2012). Formerly, Age: 40 Portfolio Manager for Dimensional (April 2007-January 2012). Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (2007-2010). Age: 43 Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Vice President Officer of Dimensional SmartNest (US) LLC (since 2012). Age: 45
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice Vice President President - Global Operations at Janus Capital Group Age: 43 (2005-2011). Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Vice President Manager of Dimensional (since January 2004). Age: 41 Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (July 2008-2010). Age: 31 Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since February 2004). Age: 43 Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Vice President Cayman Commodity Fund I Ltd. Counsel for Dimensional (since Age: 39 September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Vice President & Head of Human Resources of Dimensional. Formerly, Global Head of Global Human Resources Recruiting and Vice President of Goldman Sachs & Co. (June Age: 42 2006 to January 2008). David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of Vice President, Chief all the DFA Entities. Director, Vice President, Chief Financial Officer and Financial Officer and Treasurer of Dimensional Fund Treasurer Advisors Ltd., DFA Australia Limited, Dimensional Advisors Age: 55 Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice President of Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Retirement Plan Services LLC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. Catherine L. Newell Vice Vice President and Secretary of all the DFA Entities and Vice President and Secretary President Dimensional Retirement Plan Services LLC (since June 2012). Age: 48 since 1997 Director, Vice President and Secretary of DFA Australia and Limited and Dimensional Fund Advisors Ltd. (since February Secretary 2002, April 1997 and May 2002, respectively). Vice since 2000 President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and Dimensional Hong Kong Limited (since August 2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager Vice President for Dimensional (since January 2008). Formerly, Design Age: 37 Manager of Dimensional (2005-2008). Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (2008-2010). Formerly, Vice President and Age: 48 Portfolio Manager at USAA Investment Management Company (2001-2006). Carolyn L. O Vice Since 2010 Vice President of all the DFA Entities and Dimensional President Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds Age: 38 (since 2011). Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates LLP (January 2004-September 2007).
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2004 to 2006). Age: 35 Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since July 2005). Age: 38 Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Vice President Officer for Dimensional (since January 2008). Formerly, Age: 34 Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd. and Dimensional Age: 51 Fund Advisors Canada ULC. Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (July 2006-2010). Age: 41 Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). Systems Developer of Age: 39 Dimensional (2001-2006). Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional Fund Advisors LP (June Age: 31 2011-January 2012); Research Assistant for Dimensional Fund Advisors LP (July 2004-August 2007). L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President Age: 41 Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Vice President Manager for Dimensional (since July 2008). Formerly, Senior Age: 53 Manager at Vanguard (November 1997-July 2008). David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. Age: 66 Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (March 2006-January 2010). Age: 50 Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Vice President Operations Manager for Dimensional (since May 2007). Age: 47 Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007). Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional (since December 2002). Age: 44 Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional Vice President Director of Dimensional (December 1999 to January 2007). Age: 37 Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). Formerly, Business Analyst Age: 44 Manager, National Instruments (2003-2007). Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. Age: 56 Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President Age: 49 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President Age: 64
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Term of Office/1/ Name, Position with the Fund and and Length of Age Service Principal Occupation(s) During Past 5 Years -------------------------------- ---------------- ----------------------------------------------------------- Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice President Vice President of Dimensional Fund Advisors Canada ULC. Age: 39 John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (January Age: 34 2008-January 2012). Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Vice President Technology for Dimensional (since March 2007). Formerly, Age: 54 Director of Technology at AMVESCAP (2002-2007). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd., and Dimensional Age: 46 Fund Advisors Canada ULC. Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since 2004). Age: 42 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President Age: 61 Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of Vice President Dimensional (since 2007). Age: 36 Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology Vice President Officer for Dimensional (since 2004). Age: 57 Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior Vice President Vice President, Global Public Relations at Natixis Global Age: 50 Asset Management (2008-2011); Senior Vice President, Media Relations at Bank of America (2007-2008). Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2005-2010). Age: 33
/1 /Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. 319 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 320 NOTICE TO SHAREHOLDERS (Unaudited) For shareholders that do not have an October 31, 2012 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2012 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2011 to October 31, 2012, each Portfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information available as of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolio to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
Net Investment Short-Term Long-Term Return Income Capital Gain Capital Gain of Tax-Exempt Total DFA Investment Dimensions Group Inc. Distributions Distributions Distributions Capital Interest Distributions ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- Enhanced U.S. Large Company Portfolio....... 100% -- -- -- -- 100% U.S. Large Cap Value Portfolio.............. 100% -- -- -- -- 100% U.S. Targeted Value Portfolio............... 45% 1% 54% -- -- 100% U.S. Small Cap Value Portfolio.............. 30% 1% 69% -- -- 100% U.S. Core Equity 1 Portfolio................ 100% -- -- -- -- 100% U.S. Core Equity 2 Portfolio................ 98% -- 2% -- -- 100% U.S. Vector Equity Portfolio................ 99% -- 1% -- -- 100% U.S. Small Cap Portfolio.................... 75% 1% 24% -- -- 100% U.S. Micro Cap Portfolio.................... 69% -- 31% -- -- 100% DFA Real Estate Securities Portfolio........ 100% -- -- -- -- 100% Large Cap International Portfolio........... 100% -- -- -- -- 100% International Core Equity Portfolio......... 100% -- -- -- -- 100% International Small Company Portfolio....... 61% -- 39% -- -- 100% Japanese Small Company Portfolio............ 100% -- -- -- -- 100% Asia Pacific Small Company Portfolio........ 100% -- -- -- -- 100% United Kingdom Small Company Portfolio...... 100% -- -- -- -- 100% Continental Small Company Portfolio......... 100% -- -- -- -- 100% DFA International Real Estate Securities Portfolio................................. 100% -- -- -- -- 100% DFA Global Real Estate Securities Portfolio. 100% -- -- -- -- 100% DFA International Small Cap Value Portfolio. 58% 3% 39% -- -- 100% International Vector Equity Portfolio....... 69% -- 31% -- -- 100% World ex U.S. Value Portfolio............... 100% -- -- -- -- 100% Selectively Hedged Global Equity Portfolio.. 100% -- -- -- -- 100% Emerging Markets Portfolio.................. 36% -- 64% -- -- 100% Emerging Markets Small Cap Portfolio........ 51% -- 49% -- -- 100% Emerging Markets Value Portfolio............ 60% -- 40% -- -- 100% Emerging Markets Core Equity Portfolio...... 100% -- -- -- -- 100% DFA Commodity Strategy Portfolio............ 91% 8% 1% -- -- 100% Dimensional Investment Group Inc. DFA International Value Portfolio........... 100% -- -- -- -- 100% U.S. Large Company Portfolio................ 100% -- -- -- -- 100%
Qualifying For Corporate Dividends Qualifying U.S. Foreign Foreign Qualifying Qualifying Received Dividend Government Tax Source Interest Short-Term DFA Investment Dimensions Group Inc. Deduction(1) Income(2) Interest(3) Credit(4) Income(5) Income(6) Capital Gain(7) ------------------------------------ ------------- ---------- ----------- --------- --------- ---------- --------------- Enhanced U.S. Large Company Portfolio.... -- -- -- -- -- 100% 100% U.S. Large Cap Value Portfolio........... 100% 100% -- -- -- 100% 100% U.S. Targeted Value Portfolio............ 100% 100% -- -- -- 100% 100% U.S. Small Cap Value Portfolio........... 100% 100% -- -- -- 100% 100% U.S. Core Equity 1 Portfolio............. 100% 100% -- -- -- 100% 100% U.S. Core Equity 2 Portfolio............. 100% 100% -- -- -- 100% 100% U.S. Vector Equity Portfolio............. 100% 100% -- -- -- 100% 100% U.S. Small Cap Portfolio................. 100% 100% -- -- -- 100% 100% U.S. Micro Cap Portfolio................. 100% 100% -- -- -- 100% 100% DFA Real Estate Securities Portfolio..... 100% 100% -- -- -- 100% 100% Large Cap International Portfolio........ 100% 100% -- 3% 96% 100% 100% International Core Equity Portfolio...... 100% 100% -- 3% 94% 100% 100% International Small Company Portfolio.... 100% 100% -- 4% 91% 100% 100% Japanese Small Company Portfolio......... 100% 100% -- 7% 92% 100% 100% Asia Pacific Small Company Portfolio..... 100% 100% -- 1% 92% 100% 100% United Kingdom Small Company Portfolio.............................. 100% 100% -- -- 100% 100% 100% Continental Small Company Portfolio...... 100% 100% -- 5% 87% 100% 100% DFA International Real Estate Securities Portfolio.............................. 100% 100% -- 1% 98% 100% 100% DFA Global Real Estate Securities Portfolio.............................. 100% 100% -- 1% 43% 100% 100% DFA International Small Cap Value Portfolio.............................. 100% 100% -- 4% 90% 100% 100% International Vector Equity Portfolio.... 100% 100% -- 3% 94% 100% 100% World ex U.S. Value Portfolio............ 100% 100% -- 3% 95% 100% 100% Selectively Hedged Global Equity Portfolio.............................. 100% 100% -- 3% 58% 100% 100% Emerging Markets Portfolio............... 100% 100% -- 6% 95% 100% 100% Emerging Markets Small Cap Portfolio..... 100% 100% -- 5% 86% 100% 100% Emerging Markets Value Portfolio......... 100% 100% -- 6% 95% 100% 100% Emerging Markets Core Equity Portfolio... 100% 100% -- 6% 91% 100% 100% DFA Commodity Strategy Portfolio......... 100% 100% 1% -- -- 100% 100% Dimensional Investment Group Inc. DFA International Value Portfolio........ 100% 100% -- 2% 96% 100% 100% U.S. Large Company Portfolio............. 100% 100% -- -- -- 100% 100%
-------- (1) Qualifying dividends represent dividends which 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). 321 [LOGO] Recycled Recyclable DFA103112-001A [LOGO] ANNUAL REPORT year ended: October 31, 2012 DFA INVESTMENT DIMENSIONS GROUP INC. Tax-Managed U.S. Marketwide Value Portfolio Tax-Managed U.S. Equity Portfolio Tax-Managed U.S. Targeted Value Portfolio Tax-Managed U.S. Small Cap Portfolio T.A. U.S. Core Equity 2 Portfolio Tax-Managed DFA International Value Portfolio T.A. World ex U.S. Core Equity Portfolio THE DFA INVESTMENT TRUST COMPANY Tax-Managed U.S. Marketwide Value Series [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 November 2012 Dear Fellow Shareholder, Working to understand the needs of clients has always been among our most important objectives at Dimensional. We believe that our ability to provide investment solutions has helped Dimensional become a trusted partner and resource for our clients. We've worked hard to build trust and have earned many long-standing client relationships. This demonstrates our commitment to client service, the stability of our organization, the breadth of our strategies, and the consistency of our investment approach. We believe that focusing on helping clients pursue their investment goals will benefit our clients as well as Dimensional. Sincerely, /s/ David G. Booth --------------------------------------- David G. Booth Chairman and Co-Chief Executive 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 .......................................................... 2 Management's Discussion and Analysis ........................................ 5 Disclosure of Fund Expenses ................................................. 10 Disclosure of Portfolio Holdings ............................................ 12 Schedule of Investments/Summary Schedules of Portfolio Holdings Tax-Managed U.S. Marketwide Value Portfolio .............................. 14 Tax-Managed U.S. Equity Portfolio ........................................ 15 Tax-Managed U.S. Targeted Value Portfolio ................................ 18 Tax-Managed U.S. Small Cap Portfolio ..................................... 21 T.A. U.S. Core Equity 2 Portfolio ........................................ 24 Tax-Managed DFA International Value Portfolio ............................ 27 T.A. World ex U.S. Core Equity Portfolio ................................. 31 Statements of Assets and Liabilities ........................................ 37 Statements of Operations .................................................... 39 Statements of Changes in Net Assets ......................................... 41 Financial Highlights ........................................................ 43 Notes to Financial Statements ............................................... 47 Report of Independent Registered Public Accounting Firm ..................... 59 THE DFA INVESTMENT TRUST COMPANY - THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Performance Chart ........................................................... 60 Management's Discussion and Analysis ........................................ 61 Disclosure of Fund Expenses ................................................. 63 Disclosure of Portfolio Holdings ............................................ 64 Summary Schedule of Portfolio Holdings ...................................... 65 Statement of Assets and Liabilities ......................................... 68 Statement of Operations ..................................................... 69 Statements of Changes in Net Assets ......................................... 70 Financial Highlights ........................................................ 71 Notes to Financial Statements ............................................... 72 Report of Independent Registered Public Accounting Firm ..................... 78 FUND MANAGEMENT ................................................................ 79 VOTING PROXIES ON FUND PORTFOLIO SECURITIES .................................... 89 NOTICE TO SHAREHOLDERS ......................................................... 90
This report is submitted for the information of the Fund'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] DFA INVESTMENT DIMENSIONS GROUP INC. THE DFA INVESTMENT TRUST COMPANY DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULES OF INVESTMENTS/SUMMARY SCHEDULES OF PORTFOLIO HOLDINGS Investment Abbreviations ADR American Depositary Receipt FNMA Federal National Mortgage Association P.L.C. Public Limited Company Investment Footnotes + See Note B to Financial Statements. ++ Securities have generally been fair valued. 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 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) Annualized (C) Non-Annualized (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. (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. REIT Real Estate Investment Trust SEC Securities and Exchange Commission (a) Commencement of Operations. 1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS. RUSSELL 3000(R) VALUE INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S. BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE MARKETWIDE VALUE PORTFOLIO RUSSELL 3000 (R) VALUE INDEX ---------- ---------- ----------- ----------------- ---------- -------------------------- ---------------------------- 2002-10-31 2002-11-30 6.94% 6.41% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.76% -4.34% 11/2002 10694.1176 10641 2002-12-31 2003-01-31 -2.11% -2.45% 12/2002 10078.4616 10179.1806 2003-01-31 2003-02-28 -2.75% -2.71% 01/2003 9866.2835 9929.79068 2003-02-28 2003-03-31 0.04% 0.23% 02/2003 9595.16699 9660.69335 2003-03-31 2003-04-30 9.34% 8.85% 03/2003 9598.87646 9682.91294 2003-04-30 2003-05-31 8.43% 6.72% 04/2003 10495.0861 10539.8507 2003-05-31 2003-06-30 0.79% 1.28% 05/2003 11379.5034 11248.1287 2003-06-30 2003-07-31 3.19% 1.74% 06/2003 11469.0738 11392.1048 2003-07-31 2003-08-31 4.09% 1.72% 07/2003 11834.857 11590.3274 2003-08-31 2003-09-30 -3.18% -0.99% 08/2003 12318.6348 11789.681 2003-09-30 2003-10-31 7.13% 6.27% 09/2003 11926.4816 11672.9632 2003-10-31 2003-11-30 2.77% 1.55% 10/2003 12776.6862 12404.858 2003-11-30 2003-12-31 5.08% 5.96% 11/2003 13130.9381 12597.1333 2003-12-31 2004-01-31 2.14% 1.89% 12/2003 13797.4012 13347.9224 2004-01-31 2004-02-29 2.18% 2.13% 01/2004 14093.2289 13600.1981 2004-02-29 2004-03-31 -0.07% -0.70% 02/2004 14400.8896 13889.8824 2004-03-31 2004-04-30 -1.81% -2.66% 03/2004 14391.3998 13792.6532 2004-04-30 2004-05-31 0.75% 1.03% 04/2004 14130.8148 13425.7686 2004-05-31 2004-06-30 3.11% 2.57% 05/2004 14237.4177 13564.054 2004-06-30 2004-07-31 -3.48% -1.68% 06/2004 14679.5396 13912.6502 2004-07-31 2004-08-31 -0.59% 1.39% 07/2004 14169.2565 13678.9177 2004-08-31 2004-09-30 3.64% 1.75% 08/2004 14086.1872 13869.0546 2004-09-30 2004-10-31 1.30% 1.65% 09/2004 14598.4221 14111.7631 2004-10-31 2004-11-30 6.76% 5.38% 10/2004 14788.7846 14344.6072 2004-11-30 2004-12-31 3.27% 3.26% 11/2004 15788.1876 15116.3471 2004-12-31 2005-01-31 -2.20% -1.96% 12/2004 16303.7107 15609.14 2005-01-31 2005-02-28 3.82% 3.20% 01/2005 15945.3874 15303.2008 2005-02-28 2005-03-31 -1.03% -1.43% 02/2005 16554.537 15792.9032 2005-03-31 2005-04-30 -3.65% -2.07% 03/2005 16384.6582 15567.0647 2005-04-30 2005-05-31 4.32% 2.71% 04/2005 15786.678 15244.8265 2005-05-31 2005-06-30 2.50% 1.38% 05/2005 16468.3754 15657.5902 2005-06-30 2005-07-31 5.40% 3.14% 06/2005 16879.596 15873.0992 2005-07-31 2005-08-31 -0.13% -0.60% 07/2005 17791.3581 16371.2485 2005-08-31 2005-09-30 1.83% 1.26% 08/2005 17767.3644 16272.6461 2005-09-30 2005-10-31 -2.46% -2.54% 09/2005 18091.7308 16478.4294 2005-10-31 2005-11-30 4.02% 3.34% 10/2005 17646.655 16060.3291 2005-11-30 2005-12-31 0.43% 0.48% 11/2005 18356.3705 16596.7441 2005-12-31 2006-01-31 5.58% 4.27% 12/2005 18434.5595 16675.9835 2006-01-31 2006-02-28 -0.31% 0.55% 01/2006 19462.7337 17387.4927 2006-02-28 2006-03-31 2.39% 1.67% 02/2006 19402.2529 17483.9364 2006-03-31 2006-04-30 2.44% 2.33% 03/2006 19866.844 17775.5614 2006-04-30 2006-05-31 -2.80% -2.67% 04/2006 20351.6968 18189.6609 2006-05-31 2006-06-30 0.64% 0.69% 05/2006 19781.9948 17703.5029 2006-06-30 2006-07-31 -0.61% 2.07% 06/2006 19908.1904 17826.0771 2006-07-31 2006-08-31 0.49% 1.79% 07/2006 19786.3533 18195.7447 2006-08-31 2006-09-30 1.93% 1.90% 08/2006 19883.823 18521.878 2006-09-30 2006-10-31 3.85% 3.44% 09/2006 20267.1688 18873.9923 2006-10-31 2006-11-30 2.43% 2.33% 10/2006 21048.0831 19522.8234 2006-11-30 2006-12-31 1.93% 2.12% 11/2006 21560.5582 19978.6567 2006-12-31 2007-01-31 2.57% 1.30% 12/2006 21976.8254 20401.8935 2007-01-31 2007-02-28 -1.25% -1.53% 01/2007 22540.9626 20666.8571 2007-02-28 2007-03-31 1.12% 1.52% 02/2007 22258.894 20350.8962 2007-03-31 2007-04-30 3.55% 3.45% 03/2007 22507.4237 20659.2455 2007-04-30 2007-05-31 4.69% 3.61% 04/2007 23306.4311 21372.8228 2007-05-31 2007-06-30 -2.14% -2.34% 05/2007 24400.4566 22144.9067 2007-06-30 2007-07-31 -5.48% -4.95% 06/2007 23878.6342 21627.7995 2007-07-31 2007-08-31 -0.55% 1.19% 07/2007 22571.2297 20556.1917 2007-08-31 2007-09-30 2.52% 3.19% 08/2007 22447.8896 20801.3167 2007-09-30 2007-10-31 0.05% 0.10% 09/2007 23014.2207 21465.3455 2007-10-31 2007-11-30 -5.86% -5.10% 10/2007 23026.6006 21486.0497 2007-11-30 2007-12-31 -0.45% -0.96% 11/2007 21677.1923 20391.1786 2007-12-31 2008-01-31 -3.98% -4.01% 12/2007 21580.1305 20195.7373 2008-01-31 2008-02-29 -3.66% -4.17% 01/2008 20721.4711 19385.2837 2008-02-29 2008-03-31 -1.77% -0.58% 02/2008 19963.8305 18576.3629 2008-03-31 2008-04-30 5.62% 4.74% 03/2008 19609.8043 18468.6199 2008-04-30 2008-05-31 2.20% 0.12% 04/2008 20711.9057 19343.8748 2008-05-31 2008-06-30 -11.04% -9.57% 05/2008 21167.9477 19366.8622 2008-06-30 2008-07-31 -0.81% 0.06% 06/2008 18830.2114 17513.9124 2008-07-31 2008-08-31 2.04% 1.95% 07/2008 18677.534 17524.3396 2008-08-31 2008-09-30 -8.49% -7.13% 08/2008 19059.2275 17866.0642 2008-09-30 2008-10-31 -22.36% -17.54% 09/2008 17440.8579 16592.837 2008-10-31 2008-11-30 -9.92% -7.53% 10/2008 13540.9593 13682.2128 2008-11-30 2008-12-31 3.34% 1.76% 11/2008 12198.3713 12651.8145 2008-12-31 2009-01-31 -13.04% -11.73% 12/2008 12606.3337 12874.5332 2009-01-31 2009-02-28 -13.46% -13.40% 01/2009 10962.5921 11364.9674 2009-02-28 2009-03-31 10.51% 8.58% 02/2009 9487.10741 9841.69646 2009-03-31 2009-04-30 17.25% 11.13% 03/2009 10484.3947 10685.7798 2009-04-30 2009-05-31 7.51% 5.85% 04/2009 12292.4976 11875.2023 2009-05-31 2009-06-30 -1.31% -0.70% 05/2009 13216.0609 12569.7295 2009-06-30 2009-07-31 10.13% 8.44% 06/2009 13042.4131 12481.8663 2009-07-31 2009-08-31 6.65% 5.19% 07/2009 14363.6605 13535.8989 2009-08-31 2009-09-30 4.53% 3.95% 08/2009 15318.6216 14238.6048 2009-09-30 2009-10-31 -4.84% -3.35% 09/2009 16013.3137 14801.6901 2009-10-31 2009-11-30 4.65% 5.44% 10/2009 15238.8994 14305.911 2009-11-30 2009-12-31 3.61% 2.21% 11/2009 15947.6854 15084.7915 2009-12-31 2010-01-31 -2.79% -2.82% 12/2009 16523.3008 15418.7317 2010-01-31 2010-02-28 4.60% 3.28% 01/2010 16061.756 14983.6177 2010-02-28 2010-03-31 7.88% 6.66% 02/2010 16800.2276 15474.5742 2010-03-31 2010-04-30 3.86% 2.96% 03/2010 18123.8407 16505.0463 2010-04-30 2010-05-31 -8.56% -8.24% 04/2010 18823.9599 16993.3648 2010-05-31 2010-06-30 -7.65% -5.89% 05/2010 17212.3647 15593.1645 2010-06-30 2010-07-31 8.00% 6.80% 06/2010 15895.1851 14674.605 2010-07-31 2010-08-31 -6.56% -4.53% 07/2010 17166.8 15672.3224 2010-08-31 2010-09-30 9.93% 7.99% 08/2010 16040.891 14961.7412 2010-09-30 2010-10-31 3.84% 3.07% 09/2010 17634.0379 16156.5291 2010-10-31 2010-11-30 0.22% -0.29% 10/2010 18311.759 16652.4262 2010-11-30 2010-12-31 9.46% 7.92% 11/2010 18351.6249 16604.8873 2010-12-31 2011-01-31 2.46% 2.08% 12/2010 20087.5673 17920.7301 2011-01-31 2011-02-28 5.65% 3.80% 01/2011 20581.7429 18293.6812 2011-02-28 2011-03-31 0.62% 0.48% 02/2011 21743.7232 18988.9583 2011-03-31 2011-04-30 2.32% 2.58% 03/2011 21879.0289 19079.7873 2011-04-30 2011-05-31 -1.55% -1.12% 04/2011 22387.5323 19571.3266 2011-05-31 2011-06-30 -1.75% -2.08% 05/2011 22039.6089 19352.6553 2011-06-30 2011-07-31 -4.28% -3.32% 06/2011 21653.044 18949.1957 2011-07-31 2011-08-31 -8.35% -6.45% 07/2011 20726.7824 18320.8629 2011-08-31 2011-09-30 -10.16% -7.83% 08/2011 18995.0758 17138.6225 2011-09-30 2011-10-31 13.90% 11.68% 09/2011 17064.9181 15797.4558 2011-10-31 2011-11-30 -0.76% -0.49% 10/2011 19437.2921 17642.1459 2011-11-30 2011-12-31 0.94% 1.98% 11/2011 19289.0188 17555.1451 2011-12-31 2012-01-31 5.23% 4.01% 12/2011 19470.9615 17902.6464 2012-01-31 2012-02-29 5.30% 3.79% 01/2012 20488.6076 18620.1568 2012-02-29 2012-03-31 2.10% 2.98% 02/2012 21574.0968 19325.044 2012-03-31 2012-04-30 -1.85% -1.05% 03/2012 22027.1456 19900.0055 2012-04-30 2012-05-31 -7.05% -5.88% 04/2012 21618.9835 19690.3481 2012-05-31 2012-06-30 5.25% 4.95% 05/2012 20095.1785 18531.8864 2012-06-30 2012-07-31 0.84% 0.88% 06/2012 21150.6064 19449.5979 2012-07-31 2012-08-31 3.78% 2.24% 07/2012 21328.3426 19620.5641 2012-08-31 2012-09-30 3.60% 3.20% 08/2012 22134.9914 20059.9911 2012-09-30 2012-10-31 0.30% -0.55% 09/2012 22932.9552 20702.6588 10/31/2012 23001.5756 20589.0273
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS ------ ------ ----- 18.34% -0.02% 8.69% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. TAX-MANAGED U.S. EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE U.S. EQUITY PORTFOLIO RUSSELL 3000 (R) INDEX ---------- ----------- ----------- ----------------- ---------- --------------------- ---------------------- 2002-10-31 2002-11-30 5.15% 6.05% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.86% -5.65% 11/2002 10514.5414 10605 2002-12-31 2003-01-31 -2.50% -2.45% 12/2002 9898.56676 10005.8175 2003-01-31 2003-02-28 -1.75% -1.65% 01/2003 9651.10259 9760.67497 2003-02-28 2003-03-31 1.07% 1.05% 02/2003 9482.37702 9599.62383 2003-03-31 2003-04-30 7.98% 8.17% 03/2003 9583.61236 9700.41988 2003-04-30 2003-05-31 5.98% 6.04% 04/2003 10348.5016 10492.9442 2003-05-31 2003-06-30 1.13% 1.35% 05/2003 10967.162 11126.718 2003-06-30 2003-07-31 3.14% 2.29% 06/2003 11090.8941 11276.9287 2003-07-31 2003-08-31 2.85% 2.22% 07/2003 11439.5936 11535.1704 2003-08-31 2003-09-30 -2.10% -1.09% 08/2003 11765.7964 11791.2512 2003-09-30 2003-10-31 6.54% 6.05% 09/2003 11518.3322 11662.7265 2003-10-31 2003-11-30 1.28% 1.38% 10/2003 12271.9731 12368.3215 2003-11-30 2003-12-31 4.03% 4.57% 11/2003 12429.4503 12539.0043 2003-12-31 2004-01-31 2.01% 2.09% 12/2003 12930.3617 13112.0368 2004-01-31 2004-02-29 1.46% 1.35% 01/2004 13190.7806 13386.0784 2004-02-29 2004-03-31 -1.27% -1.19% 02/2004 13383.2641 13566.7904 2004-03-31 2004-04-30 -1.63% -2.07% 03/2004 13213.4257 13405.3456 2004-04-30 2004-05-31 1.48% 1.45% 04/2004 12998.2971 13127.855 2004-05-31 2004-06-30 1.84% 1.99% 05/2004 13190.7806 13318.2089 2004-06-30 2004-07-31 -3.97% -3.78% 06/2004 13433.0833 13583.2412 2004-07-31 2004-08-31 0.00% 0.41% 07/2004 12899.3936 13069.7947 2004-08-31 2004-09-30 1.77% 1.54% 08/2004 12899.3936 13123.3809 2004-09-30 2004-10-31 1.39% 1.64% 09/2004 13127.8461 13325.4809 2004-10-31 2004-11-30 4.62% 4.65% 10/2004 13310.0192 13544.0188 2004-11-30 2004-12-31 3.45% 3.56% 11/2004 13924.8533 14173.8157 2004-12-31 2005-01-31 -2.39% -2.66% 12/2004 14405.7631 14678.4035 2005-01-31 2005-02-28 2.12% 2.20% 01/2005 14061.9501 14287.958 2005-02-28 2005-03-31 -1.68% -1.69% 02/2005 14359.9214 14602.2931 2005-03-31 2005-04-30 -2.36% -2.17% 03/2005 14118.3604 14355.5143 2005-04-30 2005-05-31 3.83% 3.79% 04/2005 13785.4885 14043.9997 2005-05-31 2005-06-30 0.63% 0.70% 05/2005 14313.4922 14576.134 2005-06-30 2005-07-31 4.24% 4.10% 06/2005 14403.1281 14677.9497 2005-07-31 2005-08-31 -0.77% -0.95% 07/2005 15013.3326 15280.1519 2005-08-31 2005-09-30 0.85% 0.88% 08/2005 14898.1997 15134.451 2005-09-30 2005-10-31 -1.92% -1.87% 09/2005 15024.7752 15266.9016 2005-10-31 2005-11-30 3.92% 3.89% 10/2005 14736.0593 14980.9589 2005-11-30 2005-12-31 -0.04% 0.08% 11/2005 15313.4911 15563.7182 2005-12-31 2006-01-31 3.11% 3.34% 12/2005 15307.2642 15576.5436 2006-01-31 2006-02-28 0.22% 0.18% 01/2006 15783.0776 16096.9259 2006-02-28 2006-03-31 1.60% 1.73% 02/2006 15817.8932 16125.5445 2006-03-31 2006-04-30 1.09% 1.08% 03/2006 16071.5097 16404.3113 2006-04-30 2006-05-31 -3.22% -3.20% 04/2006 16245.9472 16582.2768 2006-05-31 2006-06-30 0.00% 0.18% 05/2006 15722.6347 16051.401 2006-06-30 2006-07-31 -0.15% -0.09% 06/2006 15722.2001 16079.7547 2006-07-31 2006-08-31 2.30% 2.45% 07/2006 15698.8561 16064.7034 2006-08-31 2006-09-30 2.26% 2.24% 08/2006 16060.6885 16457.7327 2006-09-30 2006-10-31 3.21% 3.60% 09/2006 16424.1467 16826.1182 2006-10-31 2006-11-30 1.94% 2.18% 10/2006 16951.3126 17431.8151 2006-11-30 2006-12-31 1.33% 1.20% 11/2006 17279.327 17811.077 2006-12-31 2007-01-31 1.75% 1.90% 12/2006 17509.9873 18024.4036 2007-01-31 2007-02-28 -1.59% -1.64% 01/2007 17816.1471 18367.4821 2007-02-28 2007-03-31 1.16% 1.04% 02/2007 17533.5381 18066.1779 2007-03-31 2007-04-30 3.99% 3.99% 03/2007 17736.8777 18254.2167 2007-04-30 2007-05-31 3.65% 3.64% 04/2007 18445.4081 18983.4148 2007-05-31 2007-06-30 -1.66% -1.87% 05/2007 19118.5119 19675.2144 2007-06-30 2007-07-31 -3.40% -3.41% 06/2007 18801.8968 19306.8144 2007-07-31 2007-08-31 1.37% 1.44% 07/2007 18161.7313 18648.3955 2007-08-31 2007-09-30 3.55% 3.65% 08/2007 18410.6846 18916.0818 2007-09-30 2007-10-31 1.69% 1.83% 09/2007 19063.8531 19605.7067 2007-10-31 2007-11-30 -4.42% -4.50% 10/2007 19385.154 19965.3562 2007-11-30 2007-12-31 -0.53% -0.61% 11/2007 18528.3516 19066.5404 2007-12-31 2008-01-31 -6.04% -6.06% 12/2007 18429.6017 18951.1631 2008-01-31 2008-02-29 -2.90% -3.11% 01/2008 17316.6452 17802.5038 2008-02-29 2008-03-31 -0.54% -0.59% 02/2008 16814.0197 17249.564 2008-03-31 2008-04-30 4.95% 5.00% 03/2008 16723.907 17147.7916 2008-04-30 2008-05-31 2.05% 2.05% 04/2008 17552.2987 18005.3329 2008-05-31 2008-06-30 -7.90% -8.25% 05/2008 17912.469 18374.2015 2008-06-30 2008-07-31 -0.58% -0.80% 06/2008 16498.1564 16857.9467 2008-07-31 2008-08-31 1.54% 1.55% 07/2008 16401.7464 16723.4954 2008-08-31 2008-09-30 -9.12% -9.40% 08/2008 16654.8226 16982.7095 2008-09-30 2008-10-31 -17.12% -17.74% 09/2008 15135.4081 15385.9246 2008-10-31 2008-11-30 -6.95% -7.89% 10/2008 12544.2262 12657.0809 2008-11-30 2008-12-31 1.79% 1.91% 11/2008 11672.4267 11657.9414 2008-12-31 2009-01-31 -8.34% -8.39% 12/2008 11881.528 11880.9652 2009-01-31 2009-02-28 -10.11% -10.48% 01/2009 10890.381 10883.9088 2009-02-28 2009-03-31 8.21% 8.76% 02/2009 9789.10649 9743.76199 2009-03-31 2009-04-30 8.25% 10.52% 03/2009 10592.4014 10597.2557 2009-04-30 2009-05-31 4.83% 5.34% 04/2009 11465.8747 11712.4435 2009-05-31 2009-06-30 0.52% 0.34% 05/2009 12019.4846 12337.4706 2009-06-30 2009-07-31 7.47% 7.78% 06/2009 12081.9859 12379.4181 2009-07-31 2009-08-31 2.95% 3.57% 07/2009 12984.7341 13342.9817 2009-08-31 2009-09-30 4.04% 4.19% 08/2009 13368.0929 13819.7502 2009-09-30 2009-10-31 -2.32% -2.57% 09/2009 13908.6205 14398.7439 2009-10-31 2009-11-30 5.58% 5.68% 10/2009 13585.7418 14028.4123 2009-11-30 2009-12-31 2.84% 2.85% 11/2009 14343.2648 14825.5598 2009-12-31 2010-01-31 -3.64% -3.60% 12/2009 14751.2936 15248.0477 2010-01-31 2010-02-28 3.34% 3.39% 01/2010 14214.2016 14698.3915 2010-02-28 2010-03-31 6.24% 6.30% 02/2010 14688.841 15196.6931 2010-03-31 2010-04-30 2.01% 2.16% 03/2010 15605.4472 16154.4891 2010-04-30 2010-05-31 -7.87% -7.90% 04/2010 15918.5581 16503.1149 2010-05-31 2010-06-30 -5.67% -5.75% 05/2010 14666.1145 15199.416 2010-06-30 2010-07-31 7.00% 6.94% 06/2010 13834.1309 14325.633 2010-07-31 2010-08-31 -4.84% -4.71% 07/2010 14802.5201 15320.152 2010-08-31 2010-09-30 9.51% 9.44% 08/2010 14085.6606 14598.9871 2010-09-30 2010-10-31 4.01% 3.91% 09/2010 15425.5057 15977.3794 2010-10-31 2010-11-30 0.63% 0.58% 10/2010 16044.5473 16601.727 2010-11-30 2010-12-31 6.71% 6.78% 11/2010 16145.6153 16697.5683 2010-12-31 2011-01-31 2.14% 2.18% 12/2010 17228.9937 17829.4829 2011-01-31 2011-02-28 3.61% 3.64% 01/2011 17597.4603 18218.9075 2011-02-28 2011-03-31 0.45% 0.45% 02/2011 18232.7477 18882.2251 2011-03-31 2011-04-30 2.99% 2.98% 03/2011 18315.6779 18967.3946 2011-04-30 2011-05-31 -1.22% -1.14% 04/2011 18863.365 19531.952 2011-05-31 2011-06-30 -1.66% -1.80% 05/2011 18634.1006 19309.092 2011-06-30 2011-07-31 -2.30% -2.29% 06/2011 18324.579 18962.3202 2011-07-31 2011-08-31 -6.00% -6.00% 07/2011 17902.5894 18528.0849 2011-08-31 2011-09-30 -7.41% -7.76% 08/2011 16828.434 17416.4891 2011-09-30 2011-10-31 11.13% 11.51% 09/2011 15580.7141 16065.0464 2011-10-31 2011-11-30 -0.07% -0.27% 10/2011 17314.7589 17914.0143 2011-11-30 2011-12-31 0.75% 0.82% 11/2011 17301.9141 17865.5971 2011-12-31 2012-01-31 4.82% 5.05% 12/2011 17432.1248 18012.4432 2012-01-31 2012-02-29 4.39% 4.23% 01/2012 18272.6946 18921.4005 2012-02-29 2012-03-31 2.98% 3.08% 02/2012 19074.4689 19721.8328 2012-03-31 2012-04-30 -0.73% -0.66% 03/2012 19643.6853 20330.1877 2012-04-30 2012-05-31 -6.25% -6.18% 04/2012 19501.0579 20196.8482 2012-05-31 2012-06-30 3.83% 3.92% 05/2012 18282.2418 18948.2999 2012-06-30 2012-07-31 1.10% 0.99% 06/2012 18982.2445 19690.4155 2012-07-31 2012-08-31 2.51% 2.50% 07/2012 19190.6974 19885.4478 2012-08-31 2012-09-30 2.70% 2.63% 08/2012 19672.7448 20381.7513 2012-09-30 2012-10-31 -1.81% -1.72% 09/2012 20203.6807 20916.9761 10/31/2012 19837.2927 20556.1884
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS ----- ------ ----- 14.57% 0.46% 7.09% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S. BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE TARGETED VALUE PORTFOLIO RUSSELL 2000 (R) VALUE INDEX ---------- ----------- ----------- ----------------- ---------- ------------------------ ----------------------------- 2002-10-31 2002-11-30 8.90% 7.98% 10/2002 10000 10000 2002-11-30 2002-12-31 -4.36% -4.27% 11/2002 10889.7959 10798 2002-12-31 2003-01-31 -2.83% -2.82% 12/2002 10415.1302 10336.9254 2003-01-31 2003-02-28 -4.04% -3.36% 01/2003 10120.8251 10045.4241 2003-02-28 2003-03-31 0.00% 1.07% 02/2003 9712.068 9707.89785 2003-03-31 2003-04-30 10.61% 9.50% 03/2003 9712.068 9811.77236 2003-04-30 2003-05-31 11.49% 10.21% 04/2003 10742.1358 10743.8907 2003-05-31 2003-06-30 3.55% 1.69% 05/2003 11976.5822 11840.842 2003-06-30 2003-07-31 6.20% 4.99% 06/2003 12401.6895 12040.9522 2003-07-31 2003-08-31 5.09% 3.80% 07/2003 13170.1528 12641.7957 2003-08-31 2003-09-30 -1.00% -1.15% 08/2003 13840.5144 13122.184 2003-09-30 2003-10-31 9.90% 8.15% 09/2003 13701.537 12971.2788 2003-10-31 2003-11-30 4.34% 3.84% 10/2003 15058.6105 14028.4381 2003-11-30 2003-12-31 3.91% 3.62% 11/2003 15712.6218 14567.1301 2003-12-31 2004-01-31 4.12% 3.46% 12/2003 16326.446 15094.4602 2004-01-31 2004-02-29 1.54% 1.94% 01/2004 16998.5186 15616.7285 2004-02-29 2004-03-31 0.90% 1.38% 02/2004 17260.7908 15919.6931 2004-03-31 2004-04-30 -4.00% -5.17% 03/2004 17416.5149 16139.3848 2004-04-30 2004-05-31 0.49% 1.21% 04/2004 16719.8543 15304.9786 2004-05-31 2004-06-30 5.23% 5.08% 05/2004 16801.8144 15490.1689 2004-06-30 2004-07-31 -5.80% -4.60% 06/2004 17680.1505 16277.0694 2004-07-31 2004-08-31 -1.23% 0.98% 07/2004 16654.6198 15528.3243 2004-08-31 2004-09-30 5.15% 3.96% 08/2004 16449.5136 15680.5018 2004-09-30 2004-10-31 0.90% 1.55% 09/2004 17296.5102 16301.4497 2004-10-31 2004-11-30 9.69% 8.87% 10/2004 17452.4825 16554.1222 2004-11-30 2004-12-31 3.82% 2.39% 11/2004 19143.5509 18022.4728 2004-12-31 2005-01-31 -3.07% -3.87% 12/2004 19875.1913 18453.2099 2005-01-31 2005-02-28 2.48% 1.99% 01/2005 19264.2907 17739.0707 2005-02-28 2005-03-31 -2.29% -2.06% 02/2005 19741.2953 18092.0782 2005-03-31 2005-04-30 -6.85% -5.16% 03/2005 19289.3962 17719.3814 2005-04-30 2005-05-31 6.01% 6.10% 04/2005 17967.1729 16805.0613 2005-05-31 2005-06-30 4.00% 4.42% 05/2005 19046.7097 17830.0251 2005-06-30 2005-07-31 7.10% 5.69% 06/2005 19808.7163 18618.4838 2005-07-31 2005-08-31 -1.18% -2.30% 07/2005 21215.8471 19677.8861 2005-08-31 2005-09-30 0.63% -0.17% 08/2005 20964.5737 19226.1098 2005-09-30 2005-10-31 -2.74% -2.51% 09/2005 21096.911 19194.3204 2005-10-31 2005-11-30 4.58% 4.06% 10/2005 20518.569 18712.2218 2005-11-30 2005-12-31 0.20% -0.77% 11/2005 21457.3271 19471.2957 2005-12-31 2006-01-31 8.66% 8.27% 12/2005 21499.2971 19321.804 2006-01-31 2006-02-28 -0.67% -0.01% 01/2006 23360.4303 20919.5884 2006-02-28 2006-03-31 5.42% 4.84% 02/2006 23204.5718 20918.162 2006-03-31 2006-04-30 1.13% 0.27% 03/2006 24463.4001 21931.3474 2006-04-30 2006-05-31 -4.56% -4.14% 04/2006 24738.7855 21989.9947 2006-05-31 2006-06-30 0.03% 1.23% 05/2006 23609.7055 21079.3913 2006-06-30 2006-07-31 -3.70% -1.39% 06/2006 23617.9598 21338.3527 2006-07-31 2006-08-31 1.94% 2.99% 07/2006 22744.2424 21042.4259 2006-08-31 2006-09-30 1.01% 0.98% 08/2006 23185.6996 21671.3671 2006-09-30 2006-10-31 5.12% 5.09% 09/2006 23420.5826 21882.9297 2006-10-31 2006-11-30 2.58% 2.85% 10/2006 24619.2738 22996.6872 2006-11-30 2006-12-31 1.18% 0.87% 11/2006 25255.5022 23652.4193 2006-12-31 2007-01-31 2.06% 1.50% 12/2006 25552.4343 23858.4881 2007-01-31 2007-02-28 -0.51% -1.23% 01/2007 26079.9161 24215.8761 2007-02-28 2007-03-31 1.21% 1.21% 02/2007 25948.0457 23918.4793 2007-03-31 2007-04-30 1.93% 1.04% 03/2007 26262.1903 24207.136 2007-04-30 2007-05-31 3.83% 3.67% 04/2007 26769.9666 24458.3304 2007-05-31 2007-06-30 -1.51% -2.33% 05/2007 27795.6747 25355.1099 2007-06-30 2007-07-31 -7.29% -8.51% 06/2007 27375.9994 24764.1251 2007-07-31 2007-08-31 -0.12% 2.00% 07/2007 25380.5751 22656.3737 2007-08-31 2007-09-30 0.04% 0.45% 08/2007 25350.0329 23110.3156 2007-09-30 2007-10-31 0.89% 1.09% 09/2007 25360.1475 23214.6644 2007-10-31 2007-11-30 -7.79% -7.49% 10/2007 25584.9353 23467.4926 2007-11-30 2007-12-31 -0.95% -0.85% 11/2007 23592.4982 21709.3184 2007-12-31 2008-01-31 -4.77% -4.10% 12/2007 23368.3366 21525.7807 2008-01-31 2008-02-29 -2.70% -3.97% 01/2008 22253.9979 20642.4418 2008-02-29 2008-03-31 0.91% 1.51% 02/2008 21653.1291 19822.0514 2008-03-31 2008-04-30 3.00% 3.16% 03/2008 21849.444 20121.3644 2008-04-30 2008-05-31 4.13% 3.42% 04/2008 22505.9121 20758.0205 2008-05-31 2008-06-30 -9.42% -9.60% 05/2008 23435.9084 21467.7223 2008-06-30 2008-07-31 0.67% 5.13% 06/2008 21227.7515 19407.8894 2008-07-31 2008-08-31 3.44% 4.75% 07/2008 21370.2932 20402.8025 2008-08-31 2008-09-30 -8.54% -4.69% 08/2008 22104.9313 21371.9356 2008-09-30 2008-10-31 -21.64% -19.98% 09/2008 20217.2072 20370.1212 2008-10-31 2008-11-30 -12.98% -11.58% 10/2008 15841.7594 16300.6447 2008-11-30 2008-12-31 5.50% 6.15% 11/2008 13785.9586 14412.8814 2008-12-31 2009-01-31 -13.58% -14.28% 12/2008 14544.4579 15299.5089 2009-01-31 2009-02-28 -13.86% -13.89% 01/2009 12569.6955 13113.9918 2009-02-28 2009-03-31 9.09% 8.88% 02/2009 10827.9107 11292.4502 2009-03-31 2009-04-30 18.74% 15.87% 03/2009 11811.8866 12295.0547 2009-04-30 2009-05-31 4.04% 2.16% 04/2009 14025.225 14245.9641 2009-05-31 2009-06-30 -0.44% -0.32% 05/2009 14592.4625 14554.0027 2009-06-30 2009-07-31 11.73% 11.56% 06/2009 14528.9102 14508.119 2009-07-31 2009-08-31 4.80% 4.73% 07/2009 16233.6059 16185.8597 2009-08-31 2009-09-30 5.30% 5.02% 08/2009 17013.5321 16951.943 2009-09-30 2009-10-31 -6.79% -6.64% 09/2009 17914.6486 17802.1551 2009-10-31 2009-11-30 3.34% 3.18% 10/2009 16698.0151 16619.9642 2009-11-30 2009-12-31 7.58% 7.57% 11/2009 17256.1038 17148.8548 2009-12-31 2010-01-31 -2.47% -2.93% 12/2009 18564.7496 18447.7194 2010-01-31 2010-02-28 5.75% 4.64% 01/2010 18105.6695 17907.0154 2010-02-28 2010-03-31 8.11% 8.32% 02/2010 19146.9974 18737.3429 2010-03-31 2010-04-30 7.41% 7.00% 03/2010 20699.0266 20295.8506 2010-04-30 2010-05-31 -8.51% -8.45% 04/2010 22233.5324 21715.9329 2010-05-31 2010-06-30 -9.05% -8.73% 05/2010 20340.6019 19880.9768 2010-06-30 2010-07-31 7.82% 7.14% 06/2010 18499.9639 18145.4653 2010-07-31 2010-08-31 -7.87% -7.52% 07/2010 19946.3247 19440.7241 2010-08-31 2010-09-30 11.81% 10.74% 08/2010 18376.6308 17978.906 2010-09-30 2010-10-31 4.37% 3.87% 09/2010 20546.2059 19909.2802 2010-10-31 2010-11-30 3.88% 2.54% 10/2010 21444.8918 20680.6323 2010-11-30 2010-12-31 8.70% 8.31% 11/2010 22276.1762 21206.2354 2010-12-31 2011-01-31 0.42% 0.05% 12/2010 24214.0352 22968.1423 2011-01-31 2011-02-28 5.66% 5.08% 01/2011 24315.5379 22980.6742 2011-02-28 2011-03-31 1.84% 1.39% 02/2011 25691.4635 24147.5498 2011-03-31 2011-04-30 1.77% 1.62% 03/2011 26165.1428 24483.1098 2011-04-30 2011-05-31 -2.37% -1.79% 04/2011 26627.544 24880.9149 2011-05-31 2011-06-30 -1.99% -2.46% 05/2011 25995.9716 24435.2112 2011-06-30 2011-07-31 -3.15% -3.31% 06/2011 25479.5444 23834.3689 2011-07-31 2011-08-31 -10.06% -8.83% 07/2011 24678.0169 23046.2218 2011-08-31 2011-09-30 -11.90% -10.92% 08/2011 22194.4105 21010.5963 2011-09-30 2011-10-31 15.79% 14.41% 09/2011 19554.3021 18716.0314 2011-10-31 2011-11-30 -0.20% -0.20% 10/2011 22641.8235 21413.067 2011-11-30 2011-12-31 0.98% 1.57% 11/2011 22596.5851 21370.2756 2011-12-31 2012-01-31 6.42% 6.65% 12/2011 22817.2263 21704.7391 2012-01-31 2012-02-29 3.74% 1.49% 01/2012 24282.3443 23147.4867 2012-02-29 2012-03-31 2.04% 3.10% 02/2012 25190.9447 23491.8428 2012-03-31 2012-04-30 -1.63% -1.45% 03/2012 25705.5293 24220.4335 2012-04-30 2012-05-31 -7.32% -6.11% 04/2012 25285.2444 23869.978 2012-05-31 2012-06-30 3.95% 4.82% 05/2012 23433.7193 22411.3443 2012-06-30 2012-07-31 -0.37% -1.02% 06/2012 24359.9768 23491.8676 2012-07-31 2012-08-31 4.51% 3.08% 07/2012 24268.7836 23251.8041 2012-08-31 2012-09-30 3.24% 3.56% 08/2012 25363.1017 23969.1165 2012-09-30 2012-10-31 -0.22% -1.25% 09/2012 26183.8254 24823.0361 10/31/2012 26126.7551 24511.7359
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS ----- ------ ----- 15.39% 0.42% 10.08% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S. BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE SMALL CAP PORTFOLIO RUSSELL 2000 (R) INDEX ---------- ----------- ----------- ----------------- ---------- ------------------- ----------------------- 2002-10-31 2002-11-30 8.28% 8.92% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.26% -5.57% 11/2002 10828.3003 10892 2002-12-31 2003-01-31 -2.86% -2.77% 12/2002 10258.5969 10285.3156 2003-01-31 2003-02-28 -3.29% -3.02% 01/2003 9965.0007 10000.4124 2003-02-28 2003-03-31 0.81% 1.29% 02/2003 9636.86376 9698.3999 2003-03-31 2003-04-30 10.04% 9.48% 03/2003 9714.58041 9823.50926 2003-04-30 2003-05-31 11.23% 10.73% 04/2003 10690.356 10754.7779 2003-05-31 2003-06-30 2.98% 1.81% 05/2003 11890.6464 11908.7656 2003-06-30 2003-07-31 6.21% 6.26% 06/2003 12244.6889 12124.3143 2003-07-31 2003-08-31 5.58% 4.58% 07/2003 13004.585 12883.2963 2003-08-31 2003-09-30 -1.19% -1.85% 08/2003 13729.9403 13473.3513 2003-09-30 2003-10-31 9.42% 8.40% 09/2003 13565.8718 13224.0943 2003-10-31 2003-11-30 3.78% 3.55% 10/2003 14843.8789 14334.9182 2003-11-30 2003-12-31 1.93% 2.03% 11/2003 15405.1657 14843.8078 2003-12-31 2004-01-31 4.57% 4.34% 12/2003 15702.4259 15145.1371 2004-01-31 2004-02-29 0.84% 0.90% 01/2004 16419.7078 15802.4361 2004-02-29 2004-03-31 0.68% 0.93% 02/2004 16557.9791 15944.658 2004-03-31 2004-04-30 -4.35% -5.10% 03/2004 16670.3244 16092.9433 2004-04-30 2004-05-31 1.03% 1.59% 04/2004 15944.4005 15272.2032 2004-05-31 2004-06-30 3.81% 4.21% 05/2004 16108.5976 15515.0313 2004-06-30 2004-07-31 -7.29% -6.73% 06/2004 16722.1761 16168.2141 2004-07-31 2004-08-31 -1.45% -0.51% 07/2004 15503.661 15080.0933 2004-08-31 2004-09-30 5.03% 4.69% 08/2004 15278.9702 15003.1848 2004-09-30 2004-10-31 1.88% 1.97% 09/2004 16048.1039 15706.8342 2004-10-31 2004-11-30 8.51% 8.67% 10/2004 16350.5722 16016.2588 2004-11-30 2004-12-31 4.09% 2.96% 11/2004 17741.9264 17404.8684 2004-12-31 2005-01-31 -3.51% -4.17% 12/2004 18467.4122 17920.0525 2005-01-31 2005-02-28 1.94% 1.69% 01/2005 17818.6741 17172.7863 2005-02-28 2005-03-31 -2.86% -2.86% 02/2005 18164.6677 17463.0064 2005-03-31 2005-04-30 -6.18% -5.73% 03/2005 17645.6772 16963.5644 2005-04-30 2005-05-31 6.79% 6.55% 04/2005 16555.7972 15991.5522 2005-05-31 2005-06-30 3.56% 3.86% 05/2005 17680.2766 17038.2117 2005-06-30 2005-07-31 7.04% 6.34% 06/2005 18309.2968 17695.4133 2005-07-31 2005-08-31 -1.15% -1.85% 07/2005 19598.562 18816.4868 2005-08-31 2005-09-30 0.94% 0.31% 08/2005 19373.5896 18467.6003 2005-09-30 2005-10-31 -3.05% -3.10% 09/2005 19555.2905 18525.5593 2005-10-31 2005-11-30 4.79% 4.85% 10/2005 18957.9841 17950.3663 2005-11-30 2005-12-31 0.06% -0.46% 11/2005 19866.9285 18821.7498 2005-12-31 2006-01-31 8.98% 8.97% 12/2005 19878.3198 18735.7439 2006-01-31 2006-02-28 -0.56% -0.28% 01/2006 21664.1611 20415.8219 2006-02-28 2006-03-31 4.60% 4.85% 02/2006 21542.7932 20359.595 2006-03-31 2006-04-30 0.50% -0.02% 03/2006 22533.8309 21347.3628 2006-04-30 2006-05-31 -5.67% -5.62% 04/2006 22646.5434 21343.8986 2006-05-31 2006-06-30 -0.44% 0.64% 05/2006 21363.3549 20145.2134 2006-06-30 2006-07-31 -4.00% -3.25% 06/2006 21270.0494 20274.7884 2006-07-31 2006-08-31 2.25% 2.96% 07/2006 20419.5945 19615.0551 2006-08-31 2006-09-30 0.69% 0.83% 08/2006 20879.5344 20195.7776 2006-09-30 2006-10-31 5.41% 5.76% 09/2006 21024.0962 20363.9253 2006-10-31 2006-11-30 2.98% 2.63% 10/2006 22162.1775 21536.4388 2006-11-30 2006-12-31 0.59% 0.33% 11/2006 22822.4384 22102.9618 2006-12-31 2007-01-31 1.82% 1.67% 12/2006 22956.5201 22176.967 2007-01-31 2007-02-28 -0.22% -0.79% 01/2007 23374.2278 22548.0879 2007-02-28 2007-03-31 1.37% 1.07% 02/2007 23322.0144 22369.1651 2007-03-31 2007-04-30 2.28% 1.80% 03/2007 23640.8958 22608.6376 2007-04-30 2007-05-31 4.18% 4.10% 04/2007 24180.7615 23014.7434 2007-05-31 2007-06-30 -1.03% -1.46% 05/2007 25190.833 23958.4963 2007-06-30 2007-07-31 -5.98% -6.84% 06/2007 24932.3381 23608.0126 2007-07-31 2007-08-31 0.71% 2.27% 07/2007 23441.107 21993.3485 2007-08-31 2007-09-30 1.65% 1.72% 08/2007 23606.7993 22491.8451 2007-09-30 2007-10-31 2.15% 2.87% 09/2007 23997.3468 22877.9141 2007-10-31 2007-11-30 -7.77% -7.18% 10/2007 24513.1368 23534.2932 2007-11-30 2007-12-31 -0.11% -0.06% 11/2007 22607.3366 21844.3955 2007-12-31 2008-01-31 -7.29% -6.82% 12/2007 22582.3496 21830.7651 2008-01-31 2008-02-29 -2.61% -3.71% 01/2008 20935.1214 20342.0288 2008-02-29 2008-03-31 0.01% 0.42% 02/2008 20389.2376 19588.0138 2008-03-31 2008-04-30 3.15% 4.19% 03/2008 20391.0782 19670.2834 2008-04-30 2008-05-31 4.61% 4.59% 04/2008 21033.6945 20493.8858 2008-05-31 2008-06-30 -7.89% -7.70% 05/2008 22002.4146 21435.3106 2008-06-30 2008-07-31 2.47% 3.70% 06/2008 20266.7704 19785.0528 2008-07-31 2008-08-31 2.45% 3.61% 07/2008 20766.4727 20517.2251 2008-08-31 2008-09-30 -9.20% -7.97% 08/2008 21275.7846 21257.8969 2008-09-30 2008-10-31 -21.05% -20.80% 09/2008 19318.8928 19564.0607 2008-10-31 2008-11-30 -12.63% -11.83% 10/2008 15252.7717 15494.1603 2008-11-30 2008-12-31 4.34% 5.80% 11/2008 13325.7001 13661.4046 2008-12-31 2009-01-31 -11.73% -11.12% 12/2008 13903.4283 14454.3276 2009-01-31 2009-02-28 -12.26% -12.15% 01/2009 12272.2999 12846.6982 2009-02-28 2009-03-31 9.72% 8.93% 02/2009 10767.3897 11285.5235 2009-03-31 2009-04-30 16.38% 15.46% 03/2009 11813.4869 12292.9478 2009-04-30 2009-05-31 3.04% 3.01% 04/2009 13748.3708 14193.2203 2009-05-31 2009-06-30 2.46% 1.47% 05/2009 14166.4612 14621.1322 2009-06-30 2009-07-31 9.46% 9.63% 06/2009 14514.7452 14835.8875 2009-07-31 2009-08-31 1.84% 2.87% 07/2009 15888.2882 16264.739 2009-08-31 2009-09-30 5.37% 5.77% 08/2009 16180.5314 16731.1224 2009-09-30 2009-10-31 -6.98% -6.79% 09/2009 17050.0729 17696.1241 2009-10-31 2009-11-30 2.34% 3.14% 10/2009 15860.0792 16494.6437 2009-11-30 2009-12-31 8.16% 8.05% 11/2009 16230.733 17012.4178 2009-12-31 2010-01-31 -3.29% -3.68% 12/2009 17554.427 18381.8165 2010-01-31 2010-02-28 4.44% 4.50% 01/2010 16977.4291 17705.1551 2010-02-28 2010-03-31 8.00% 8.14% 02/2010 17730.4603 18502.6979 2010-03-31 2010-04-30 6.54% 5.66% 03/2010 19149.6118 20008.6079 2010-04-30 2010-05-31 -7.77% -7.59% 04/2010 20402.1158 21140.9797 2010-05-31 2010-06-30 -7.68% -7.75% 05/2010 18816.9154 19537.366 2010-06-30 2010-07-31 7.10% 6.87% 06/2010 17371.5578 18023.3375 2010-07-31 2010-08-31 -7.89% -7.40% 07/2010 18605.3888 19261.8884 2010-08-31 2010-09-30 12.42% 12.46% 08/2010 17136.5423 17835.7781 2010-09-30 2010-10-31 4.23% 4.09% 09/2010 19265.5984 20058.0511 2010-10-31 2010-11-30 4.30% 3.47% 10/2010 20079.7759 20878.8555 2010-11-30 2010-12-31 7.79% 7.94% 11/2010 20943.0003 21602.8004 2010-12-31 2011-01-31 -0.09% -0.26% 12/2010 22574.6984 23318.2332 2011-01-31 2011-02-28 5.72% 5.48% 01/2011 22555.0169 23258.1475 2011-02-28 2011-03-31 3.10% 2.59% 02/2011 23844.1561 24533.6587 2011-03-31 2011-04-30 2.08% 2.64% 03/2011 24584.5067 25169.472 2011-04-30 2011-05-31 -2.08% -1.87% 04/2011 25096.4788 25834.0982 2011-05-31 2011-06-30 -1.61% -2.31% 05/2011 24574.6611 25349.741 2011-06-30 2011-07-31 -3.14% -3.61% 06/2011 24179.4431 24765.2826 2011-07-31 2011-08-31 -9.13% -8.70% 07/2011 23420.4471 23870.1356 2011-08-31 2011-09-30 -11.12% -11.21% 08/2011 21281.4584 21793.3779 2011-09-30 2011-10-31 15.19% 15.14% 09/2011 18914.6202 19350.2979 2011-10-31 2011-11-30 -0.36% -0.36% 10/2011 21787.3522 22279.1215 2011-11-30 2011-12-31 0.83% 0.66% 11/2011 21708.3767 22197.9098 2011-12-31 2012-01-31 6.75% 7.07% 12/2011 21889.0234 22344.5402 2012-01-31 2012-02-29 2.46% 2.39% 01/2012 23366.1359 23923.2044 2012-02-29 2012-03-31 2.86% 2.56% 02/2012 23941.1193 24495.7435 2012-03-31 2012-04-30 -1.37% -1.54% 03/2012 24625.1513 25123.3815 2012-04-30 2012-05-31 -6.45% -6.62% 04/2012 24288.0921 24735.3038 2012-05-31 2012-06-30 4.37% 4.99% 05/2012 22721.758 23098.0829 2012-06-30 2012-07-31 -0.71% -1.38% 06/2012 23714.5221 24250.6746 2012-07-31 2012-08-31 3.42% 3.33% 07/2012 23545.4878 23915.5526 2012-08-31 2012-09-30 3.46% 3.28% 08/2012 24350.8866 24713.0685 2012-09-30 2012-10-31 -1.46% -2.17% 09/2012 25194.1445 25524.5992 10/31/2012 24825.6926 24970.8527
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS ----- ------ ----- 13.95% 0.25% 9.52% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. T.A. U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX OCTOBER 4, 2007-OCTOBER 31, 2012
T.A. U.S. CORE EQUITY 2 BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE PORTFOLIO RUSSELL 3000 (R) INDEX --------- ---------- ----------- ----------------- ---------- ----------------------------- ------------------------- 2007-10-04 2007-10-31 -0.50% 0.57% 10/2007 10000 10000 2007-10-31 2007-11-30 -5.53% -4.50% 10/2007 9950 10056.9778 2007-11-30 2007-12-31 -1.01% -0.61% 11/2007 9400 9604.22508 2007-12-31 2008-01-31 -4.63% -6.06% 12/2007 9305.27233 9546.10702 2008-01-31 2008-02-29 -2.94% -3.11% 01/2008 8874.10131 8967.50272 2008-02-29 2008-03-31 -1.03% -0.59% 02/2008 8613.39325 8688.97512 2008-03-31 2008-04-30 4.83% 5.00% 03/2008 8525.0035 8637.71017 2008-04-30 2008-05-31 2.81% 2.05% 04/2008 8937.17937 9069.67212 2008-05-31 2008-06-30 -9.24% -8.25% 05/2008 9188.50613 9255.47911 2008-06-30 2008-07-31 0.97% -0.80% 06/2008 8339.28213 8491.70909 2008-07-31 2008-08-31 2.63% 1.55% 07/2008 8419.95233 8423.98305 2008-08-31 2008-09-30 -8.52% -9.40% 08/2008 8641.79538 8554.55479 2008-09-30 2008-10-31 -19.33% -17.74% 09/2008 7905.31075 7750.22 2008-10-31 2008-11-30 -8.89% -7.89% 10/2008 6376.88319 6375.64294 2008-11-30 2008-12-31 3.12% 1.91% 11/2008 5810.04913 5872.35494 2008-12-31 2009-01-31 -10.37% -8.39% 12/2008 5991.15953 5984.69683 2009-01-31 2009-02-28 -11.57% -10.48% 01/2009 5369.62767 5482.45815 2009-02-28 2009-03-31 9.96% 8.76% 02/2009 4748.09582 4908.14176 2009-03-31 2009-04-30 13.53% 10.52% 03/2009 5220.82656 5338.06486 2009-04-30 2009-05-31 4.32% 5.34% 04/2009 5927.17368 5899.80885 2009-05-31 2009-06-30 0.09% 0.34% 05/2009 6183.09655 6214.64838 2009-06-30 2009-07-31 8.97% 7.78% 06/2009 6188.38288 6235.77824 2009-07-31 2009-08-31 4.12% 3.57% 07/2009 6743.48699 6721.14589 2009-08-31 2009-09-30 4.87% 4.19% 08/2009 7021.03905 6961.30439 2009-09-30 2009-10-31 -4.34% -2.57% 09/2009 7362.97702 7252.95592 2009-10-31 2009-11-30 4.54% 5.68% 10/2009 7043.29595 7066.41195 2009-11-30 2009-12-31 4.71% 2.85% 11/2009 7362.97702 7467.95225 2009-12-31 2010-01-31 -3.23% -3.60% 12/2009 7709.6938 7680.76843 2010-01-31 2010-02-28 4.17% 3.39% 01/2010 7460.994 7403.89484 2010-02-28 2010-03-31 7.14% 6.30% 02/2010 7771.86875 7654.90003 2010-03-31 2010-04-30 3.74% 2.16% 03/2010 8326.63924 8137.36239 2010-04-30 2010-05-31 -8.05% -7.90% 04/2010 8638.10953 8312.97269 2010-05-31 2010-06-30 -7.03% -5.75% 05/2010 7942.49254 7656.27163 2010-06-30 2010-07-31 7.48% 6.94% 06/2010 7384.30558 7216.12841 2010-07-31 2010-08-31 -6.04% -4.71% 07/2010 7936.30586 7717.08894 2010-08-31 2010-09-30 10.54% 9.44% 08/2010 7457.21128 7353.82272 2010-09-30 2010-10-31 3.81% 3.91% 09/2010 8243.16159 8048.14844 2010-10-31 2010-11-30 1.71% 0.58% 10/2010 8556.98754 8362.6457 2010-11-30 2010-12-31 7.78% 6.78% 11/2010 8703.43965 8410.92304 2010-12-31 2011-01-31 2.02% 2.18% 12/2010 9380.3152 8981.09267 2011-01-31 2011-02-28 4.51% 3.64% 01/2011 9569.60407 9177.25419 2011-02-28 2011-03-31 1.22% 0.45% 02/2011 10000.7621 9511.38148 2011-03-31 2011-04-30 2.39% 2.98% 03/2011 10122.9789 9554.28317 2011-04-30 2011-05-31 -1.63% -1.14% 04/2011 10365.2563 9838.66287 2011-05-31 2011-06-30 -1.97% -1.80% 05/2011 10196.7155 9726.4035 2011-06-30 2011-07-31 -3.38% -2.29% 06/2011 9995.70098 9551.72709 2011-07-31 2011-08-31 -7.55% -6.00% 07/2011 9657.58001 9332.99349 2011-08-31 2011-09-30 -9.48% -7.76% 08/2011 8928.50669 8773.05885 2011-09-30 2011-10-31 13.25% 11.51% 09/2011 8082.24395 8092.3082 2011-10-31 2011-11-30 -0.35% -0.27% 10/2011 9153.5125 9023.67297 2011-11-30 2011-12-31 0.82% 0.82% 11/2011 9121.69264 8999.2842 2011-12-31 2012-01-31 5.45% 5.05% 12/2011 9196.55886 9073.25371 2012-01-31 2012-02-29 4.40% 4.23% 01/2012 9697.99537 9531.115 2012-02-29 2012-03-31 2.40% 3.08% 02/2012 10124.7498 9934.30989 2012-03-31 2012-04-30 -1.03% -0.66% 03/2012 10367.4128 10240.7513 2012-04-30 2012-05-31 -6.88% -6.18% 04/2012 10260.5323 10173.5853 2012-05-31 2012-06-30 3.95% 3.92% 05/2012 9555.12068 9544.66479 2012-06-30 2012-07-31 0.43% 0.99% 06/2012 9932.74144 9918.4843 2012-07-31 2012-08-31 3.23% 2.50% 07/2012 9975.69384 10016.7263 2012-08-31 2012-09-30 3.01% 2.63% 08/2012 10297.8368 10266.725 2012-09-30 2012-10-31 -0.91% -1.72% 09/2012 10607.3025 10536.3292 10/31/2012 10510.2844 10354.5927
AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 10/04/2007 ------ ------ ---------- 14.82% 1.10% 0.99% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIV.) OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED DFA MSCI WORLD BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE INTERNATIONAL VALUE PORTFOLIO EX USA INDEX (NET DIV.) ---------- ---------- ----------- ----------------- ---------- ----------------------------- ----------------------- 2002-10-31 2002-11-30 5.10% 4.60% 10/2002 10000 10000 2002-11-30 2002-12-31 -3.07% -3.23% 11/2002 10510.2041 10460.3839 2002-12-31 2003-01-31 -2.30% -3.81% 12/2002 10188.0128 10122.316 2003-01-31 2003-02-28 -2.22% -1.97% 01/2003 9953.80563 9736.63317 2003-02-28 2003-03-31 -1.74% -1.93% 02/2003 9732.60995 9544.69952 2003-03-31 2003-04-30 10.07% 9.60% 03/2003 9563.46031 9360.75408 2003-04-30 2003-05-31 6.92% 6.20% 04/2003 10526.3121 10259.0855 2003-05-31 2003-06-30 3.24% 2.43% 05/2003 11254.9567 10895.3724 2003-06-30 2003-07-31 4.03% 2.29% 06/2003 11619.279 11160.0507 2003-07-31 2003-08-31 3.55% 2.58% 07/2003 12087.6934 11416.0851 2003-08-31 2003-09-30 3.33% 3.00% 08/2003 12517.0732 11710.4564 2003-09-30 2003-10-31 7.14% 6.26% 09/2003 12933.4416 12061.7856 2003-10-31 2003-11-30 1.78% 2.27% 10/2003 13857.2588 12817.1043 2003-11-30 2003-12-31 7.37% 7.67% 11/2003 14104.4775 13107.6332 2003-12-31 2004-01-31 2.79% 1.39% 12/2003 15143.3565 14112.7269 2004-01-31 2004-02-29 2.72% 2.30% 01/2004 15566.577 14309.2291 2004-02-29 2004-03-31 1.49% 0.50% 02/2004 15989.7974 14638.3333 2004-03-31 2004-04-30 -3.02% -2.62% 03/2004 16227.8589 14711.6145 2004-04-30 2004-05-31 0.84% 0.47% 04/2004 15738.5103 14326.5224 2004-05-31 2004-06-30 4.11% 2.31% 05/2004 15870.7667 14393.49 2004-06-30 2004-07-31 -3.88% -3.05% 06/2004 16523.6536 14725.8838 2004-07-31 2004-08-31 0.76% 0.42% 07/2004 15882.995 14276.8102 2004-08-31 2004-09-30 2.73% 2.91% 08/2004 16003.1185 14336.1689 2004-09-30 2004-10-31 3.59% 3.59% 09/2004 16439.3982 14754.0539 2004-10-31 2004-11-30 7.41% 6.65% 10/2004 17029.8746 15284.2776 2004-11-30 2004-12-31 5.18% 4.22% 11/2004 18291.3468 16300.7575 2004-12-31 2005-01-31 -0.56% -1.97% 12/2004 19238.5594 16989.4067 2005-01-31 2005-02-28 4.03% 4.45% 01/2005 19130.4016 16654.9427 2005-02-28 2005-03-31 -2.45% -2.27% 02/2005 19901.0256 17395.8458 2005-03-31 2005-04-30 -2.99% -2.55% 03/2005 19414.3157 17000.9825 2005-04-30 2005-05-31 0.14% 0.18% 04/2005 18832.9678 16567.4843 2005-05-31 2005-06-30 1.68% 1.63% 05/2005 18860.0073 16597.6975 2005-06-30 2005-07-31 4.35% 3.23% 06/2005 19176.5289 16869.0038 2005-07-31 2005-08-31 3.56% 2.76% 07/2005 20011.4813 17413.7949 2005-08-31 2005-09-30 3.08% 4.56% 08/2005 20723.244 17894.5395 2005-09-30 2005-10-31 -1.74% -3.23% 09/2005 21360.9956 18711.1896 2005-10-31 2005-11-30 1.64% 2.65% 10/2005 20989.6196 18106.5845 2005-11-30 2005-12-31 5.11% 4.64% 11/2005 21333.4863 18586.0772 2005-12-31 2006-01-31 6.89% 6.32% 12/2005 22424.0606 19447.8385 2006-01-31 2006-02-28 1.00% -0.34% 01/2006 23968.6108 20677.908 2006-02-28 2006-03-31 3.83% 3.17% 02/2006 24207.314 20608.4637 2006-03-31 2006-04-30 5.14% 4.78% 03/2006 25134.0441 21262.0385 2006-04-30 2006-05-31 -4.09% -3.80% 04/2006 26425.8497 22278.7298 2006-05-31 2006-06-30 -0.84% -0.13% 05/2006 25344.6646 21432.3108 2006-06-30 2006-07-31 1.59% 0.94% 06/2006 25130.7234 21404.7152 2006-07-31 2006-08-31 3.30% 2.84% 07/2006 25530.9852 21605.2657 2006-08-31 2006-09-30 1.16% -0.08% 08/2006 26374.394 22219.306 2006-09-30 2006-10-31 4.43% 3.95% 09/2006 26681.2058 22201.4165 2006-10-31 2006-11-30 3.37% 2.98% 10/2006 27864.4719 23078.8128 2006-11-30 2006-12-31 3.85% 2.87% 11/2006 28802.4266 23766.2318 2006-12-31 2007-01-31 1.92% 0.61% 12/2006 29911.2382 24447.6786 2007-01-31 2007-02-28 -0.15% 0.80% 01/2007 30486.7456 24596.8152 2007-02-28 2007-03-31 3.34% 2.56% 02/2007 30441.3108 24793.5831 2007-03-31 2007-04-30 4.91% 4.55% 03/2007 31457.5908 25428.8755 2007-04-30 2007-05-31 3.35% 2.22% 04/2007 33002.4508 26585.833 2007-05-31 2007-06-30 -0.80% 0.10% 05/2007 34108.0859 27176.2271 2007-06-30 2007-07-31 -2.68% -1.38% 06/2007 33834.1951 27203.4992 2007-07-31 2007-08-31 -1.17% -1.45% 07/2007 32926.8235 26827.4513 2007-08-31 2007-09-30 5.34% 5.68% 08/2007 32542.344 26439.1323 2007-09-30 2007-10-31 4.87% 4.35% 09/2007 34278.7347 27941.2322 2007-10-31 2007-11-30 -5.84% -3.91% 10/2007 35947.1003 29155.8544 2007-11-30 2007-12-31 -2.09% -1.88% 11/2007 33846.1954 28015.6987 2007-12-31 2008-01-31 -8.34% -9.02% 12/2007 33139.8169 27489.0589 2008-01-31 2008-02-29 -1.45% 1.81% 01/2008 30375.3388 25010.607 2008-02-29 2008-03-31 1.43% -1.43% 02/2008 29934.3791 25463.8556 2008-03-31 2008-04-30 4.36% 5.56% 03/2008 30362.9249 25100.3642 2008-04-30 2008-05-31 0.05% 1.52% 04/2008 31686.7416 26495.5837 2008-05-31 2008-06-30 -9.69% -7.78% 05/2008 31703.7136 26897.647 2008-06-30 2008-07-31 -2.61% -3.56% 06/2008 28630.4603 24806.0112 2008-07-31 2008-08-31 -4.23% -3.87% 07/2008 27883.8807 23923.2586 2008-08-31 2008-09-30 -10.76% -14.44% 08/2008 26703.2431 22998.0751 2008-09-30 2008-10-31 -22.71% -20.80% 09/2008 23831.1352 19677.6523 2008-10-31 2008-11-30 -6.54% -5.42% 10/2008 18418.936 15584.3142 2008-11-30 2008-12-31 7.07% 5.27% 11/2008 17214.2852 14739.1788 2008-12-31 2009-01-31 -13.34% -9.33% 12/2008 18431.3886 15516.1603 2009-01-31 2009-02-28 -12.62% -10.12% 01/2009 15972.6909 14068.3921 2009-02-28 2009-03-31 9.96% 6.59% 02/2009 13956.205 12644.2239 2009-03-31 2009-04-30 18.01% 12.90% 03/2009 15346.3981 13477.4218 2009-04-30 2009-05-31 14.87% 12.65% 04/2009 18110.8763 15215.4507 2009-05-31 2009-06-30 -1.34% -1.04% 05/2009 20804.4704 17139.6911 2009-06-30 2009-07-31 11.66% 9.39% 06/2009 20524.7152 16962.2042 2009-07-31 2009-08-31 5.42% 4.79% 07/2009 22917.1666 18554.9158 2009-08-31 2009-09-30 4.88% 4.13% 08/2009 24158.3633 19444.1667 2009-09-30 2009-10-31 -3.85% -1.61% 09/2009 25337.1416 20246.4017 2009-10-31 2009-11-30 2.97% 2.47% 10/2009 24361.9416 19921.3837 2009-11-30 2009-12-31 1.24% 1.59% 11/2009 25084.312 20414.2895 2009-12-31 2010-01-31 -5.93% -4.69% 12/2009 25396.5539 20739.715 2010-01-31 2010-02-28 0.30% -0.10% 01/2010 23890.9011 19767.5532 2010-02-28 2010-03-31 7.56% 6.44% 02/2010 23963.4627 19747.743 2010-03-31 2010-04-30 -1.69% -1.49% 03/2010 25774.7241 21018.9724 2010-04-30 2010-05-31 -11.68% -11.03% 04/2010 25338.788 20705.5737 2010-05-31 2010-06-30 -1.70% -1.45% 05/2010 22378.0551 18420.7186 2010-06-30 2010-07-31 11.90% 9.24% 06/2010 21997.9311 18154.2407 2010-07-31 2010-08-31 -4.79% -2.99% 07/2010 24616.2934 19832.1515 2010-08-31 2010-09-30 10.67% 9.59% 08/2010 23436.1865 19239.3736 2010-09-30 2010-10-31 3.64% 3.56% 09/2010 25937.5003 21084.9473 2010-10-31 2010-11-30 -4.75% -4.23% 10/2010 26881.0185 21836.0801 2010-11-30 2010-12-31 9.31% 8.05% 11/2010 25604.4939 20911.3337 2010-12-31 2011-01-31 4.25% 2.15% 12/2010 27988.9809 22595.147 2011-01-31 2011-02-28 3.31% 3.71% 01/2011 29179.2099 23081.8896 2011-02-28 2011-03-31 -2.65% -2.00% 02/2011 30146.2711 23937.755 2011-03-31 2011-04-30 5.21% 5.45% 03/2011 29347.4889 23458.2218 2011-04-30 2011-05-31 -3.80% -2.96% 04/2011 30876.3924 24735.7951 2011-05-31 2011-06-30 -1.65% -1.42% 05/2011 29701.7471 24002.5183 2011-06-30 2011-07-31 -3.18% -1.65% 06/2011 29211.3854 23660.6711 2011-07-31 2011-08-31 -10.59% -8.45% 07/2011 28282.5354 23270.368 2011-08-31 2011-09-30 -10.83% -10.04% 08/2011 25287.468 21303.0186 2011-09-30 2011-10-31 9.90% 9.73% 09/2011 22548.4271 19163.7078 2011-10-31 2011-11-30 -3.16% -4.62% 10/2011 24780.378 21027.4438 2011-11-30 2011-12-31 -2.86% -1.09% 11/2011 23998.2413 20055.7084 2011-12-31 2012-01-31 6.69% 5.40% 12/2011 23311.6606 19836.8657 2012-01-31 2012-02-29 5.50% 5.50% 01/2012 24870.9046 20907.8635 2012-02-29 2012-03-31 -0.85% -0.74% 02/2012 26237.6494 22057.3475 2012-03-31 2012-04-30 -3.71% -1.70% 03/2012 26014.4532 21894.0932 2012-04-30 2012-05-31 -12.47% -11.40% 04/2012 25050.2407 21522.4871 2012-05-31 2012-06-30 7.11% 6.55% 05/2012 21926.1922 19068.8287 2012-06-30 2012-07-31 -0.50% 1.25% 06/2012 23485.1486 20318.2827 2012-07-31 2012-08-31 4.12% 2.85% 07/2012 23367.3301 20571.2744 2012-08-31 2012-09-30 3.46% 3.04% 08/2012 24329.5143 21158.1985 2012-09-30 2012-10-31 1.18% 0.70% 09/2012 25172.0073 21800.5948 10/31/2012 25467.9164 21953.366
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS ------ ------ ----- 2.77% -6.66% 9.80% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) MARCH 6, 2008-OCTOBER 31, 2012
MSCI ALL T.A. WORLD EX COUNTRY WORLD U.S. CORE EX USA INDEX BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE EQUITY PORTFOLIO (NET DIV.) ---------- ----------- ----------- ----------------- ---------- ---------------- ------------------- 2008-03-06 2008-03-31 1.60% -0.60% 03/2008 10000 10000 2008-03-31 2008-04-30 4.63% 6.05% 03/2008 10160 9939.64024 2008-04-30 2008-05-31 1.13% 1.58% 04/2008 10630 10541.2923 2008-05-31 2008-06-30 -9.94% -8.22% 05/2008 10750 10708.281 2008-06-30 2008-07-31 -3.35% -3.60% 06/2008 9681.27651 9828.1567 2008-07-31 2008-08-31 -4.44% -4.68% 07/2008 9357.21705 9474.26388 2008-08-31 2008-09-30 -13.25% -15.02% 08/2008 8942.01586 9030.86731 2008-09-30 2008-10-31 -23.56% -22.02% 09/2008 7756.83092 7674.33197 2008-10-31 2008-11-30 -5.82% -5.78% 10/2008 5929.30531 5984.54311 2008-11-30 2008-12-31 7.72% 5.70% 11/2008 5584.10602 5638.35663 2008-12-31 2009-01-31 -10.53% -8.84% 12/2008 6015.37264 5959.62115 2009-01-31 2009-02-28 -10.06% -9.33% 01/2009 5382.17552 5432.95784 2009-02-28 2009-03-31 10.39% 8.03% 02/2009 4840.89411 4925.89253 2009-03-31 2009-04-30 15.90% 13.63% 03/2009 5343.74965 5321.2682 2009-04-30 2009-05-31 16.03% 13.54% 04/2009 6193.42632 6046.43765 2009-05-31 2009-06-30 -0.94% -1.10% 05/2009 7186.42194 6865.02392 2009-06-30 2009-07-31 10.76% 9.78% 06/2009 7118.78102 6789.40857 2009-07-31 2009-08-31 4.07% 3.70% 07/2009 7884.46386 7453.2957 2009-08-31 2009-09-30 5.80% 5.14% 08/2009 8205.22289 7729.10426 2009-09-30 2009-10-31 -2.75% -1.24% 09/2009 8680.81349 8126.08715 2009-10-31 2009-11-30 3.57% 2.87% 10/2009 8441.98728 8025.42546 2009-11-30 2009-12-31 2.07% 2.11% 11/2009 8743.11598 8255.43213 2009-12-31 2010-01-31 -4.91% -4.89% 12/2009 8924.33763 8429.78164 2010-01-31 2010-02-28 0.49% 0.00% 01/2010 8486.46125 8017.83666 2010-02-28 2010-03-31 7.68% 6.80% 02/2010 8528.16377 8017.84251 2010-03-31 2010-04-30 -0.34% -0.88% 03/2010 9183.12706 8563.28577 2010-04-30 2010-05-31 -11.17% -10.52% 04/2010 9151.82094 8487.94174 2010-05-31 2010-06-30 -0.96% -1.28% 05/2010 8129.15452 7594.67027 2010-06-30 2010-07-31 10.22% 9.03% 06/2010 8051.24634 7497.25785 2010-07-31 2010-08-31 -3.33% -2.75% 07/2010 8874.30953 8174.25804 2010-08-31 2010-09-30 11.09% 9.95% 08/2010 8578.85095 7949.66863 2010-09-30 2010-10-31 3.44% 3.41% 09/2010 9530.55986 8740.50743 2010-10-31 2010-11-30 -3.76% -3.86% 10/2010 9858.8347 9038.24209 2010-11-30 2010-12-31 8.70% 7.83% 11/2010 9488.20182 8689.4674 2010-12-31 2011-01-31 1.14% 0.98% 12/2010 10313.9626 9369.90964 2011-01-31 2011-02-28 2.04% 2.63% 01/2011 10431.1668 9462.13259 2011-02-28 2011-03-31 0.04% -0.23% 02/2011 10644.2652 9711.3722 2011-03-31 2011-04-30 5.01% 4.89% 03/2011 10648.5571 9689.0432 2011-04-30 2011-05-31 -2.96% -2.88% 04/2011 11182.0519 10162.3924 2011-05-31 2011-06-30 -1.74% -1.45% 05/2011 10851.2851 9869.33027 2011-06-30 2011-07-31 -1.62% -1.36% 06/2011 10662.9543 9726.12514 2011-07-31 2011-08-31 -9.16% -8.57% 07/2011 10490.2749 9593.41623 2011-08-31 2011-09-30 -13.13% -11.13% 08/2011 9529.74562 8771.28321 2011-09-30 2011-10-31 10.10% 10.53% 09/2011 8278.02661 7795.47095 2011-10-31 2011-11-30 -3.46% -5.10% 10/2011 9114.52011 8616.68284 2011-11-30 2011-12-31 -2.73% -1.12% 11/2011 8799.4771 8176.9591 2011-12-31 2012-01-31 8.58% 6.78% 12/2011 8559.55668 8085.53362 2012-01-31 2012-02-29 5.54% 5.62% 01/2012 9293.85924 8634.09828 2012-02-29 2012-03-31 -0.89% -1.38% 02/2012 9808.96701 9119.136 2012-03-31 2012-04-30 -2.26% -1.58% 03/2012 9721.2521 8993.71245 2012-04-30 2012-05-31 -11.55% -11.36% 04/2012 9501.81075 8851.91165 2012-05-31 2012-06-30 5.64% 5.90% 05/2012 8404.60396 7846.70381 2012-06-30 2012-07-31 -0.13% 1.41% 06/2012 8878.33592 8309.49168 2012-07-31 2012-08-31 2.89% 2.09% 07/2012 8867.21018 8426.9202 2012-08-31 2012-09-30 4.07% 3.74% 08/2012 9123.10207 8603.12427 2012-09-30 2012-10-31 0.71% 0.39% 09/2012 9494.11477 8924.51152 10/31/2012 9561.13205 8959.19747
AVERAGE ANNUAL ONE YEAR FROM 03/06/2008 TOTAL RETURN -------- --------------- 4.90% -0.96% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 4 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012 The year ending October 31, 2012 saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012 Russell 3000(R)Index .......................... 14.75% Russell Microcap(R)Index (micro cap stocks) ... 16.49% Russell 2000(R)Index (small cap stocks) ....... 12.08% Russell 1000(R)Index (large cap stocks) ....... 14.97% Dow Jones US Select REIT Index ................ 14.09% The value premium was positive across both large cap and small cap stocks. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012 Russell 2000(R)Value Index (small cap value stocks) ...... 14.47% Russell 2000(R)Growth Index (small cap growth stocks) .... 9.70% Russell 1000(R)Value Index (large cap value stocks) ...... 16.89% Russell 1000(R)Growth Index (large cap growth stocks) .... 13.02% ---------- Source: Russell data copyright(C)Russell Investment Group 1995-2012, all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. MASTER-FEEDER STRUCTURE The portfolio described below, called a "Feeder Fund," does not buy individual securities directly; instead, the portfolio invests in a corresponding fund called a "Master Fund." The Master Fund, in turn, purchases stocks and/or other securities. 5 DOMESTIC EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO The Tax-Managed U.S. Marketwide Value Portfolio seeks to capture the returns of U.S. value stocks by purchasing shares of The Tax-Managed U.S. Marketwide Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The Portfolio also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to U.S. value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Master Fund held approximately 1,300 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2012, total returns were 18.34% for the Portfolio and 16.70% for the Russell 3000(R) Value Index. As a result of the Master Fund's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. Value stocks generally outperformed during the period. The Master Fund's more prominent value characteristics as compared to the Index was the primary contributor to relative outperformance. The Master Fund's exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. TAX-MANAGED U.S. EQUITY PORTFOLIO The Tax-Managed U.S. Equity Portfolio seeks to capture the returns associated with the broad universe of U.S. stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to the U.S. equity universe, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,500 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.57% for the Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's return is net of fees and expenses which contributed to the underperformance. The Portfolio's exclusion of REITs detracted from relative performance as this sector outperformed the overall Index. TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO The Tax-Managed U.S. Targeted Value Portfolio seeks to capture the returns of U.S. small- and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The Portfolio also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small- and mid-capitalization value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 1,500 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 15.39% for the Portfolio and 14.47% for the Russell 2000(R) Value Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure than the Index to deep value stocks in the mid-cap size range was the primary contributor to the Portfolio's relative outperformance. Mid-caps generally outperformed small cap stocks over the period. The Portfolio's exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. 6 TAX-MANAGED U.S. SMALL CAP PORTFOLIO The Tax-Managed U.S. Small Cap Portfolio seeks to capture the returns of U.S. small company stocks. The Portfolio also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to small company stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,000 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 13.95% for the Portfolio and 12.08% for the Russell 2000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's greater exposure than the Index to the smallest micro cap stocks was a primary contributor to relative outperformance. The Portfolio also had less exposure than the Index to mid-cap stocks which contributed to outperformance as these stocks underperformed small cap and micro cap stocks. T.A. U.S. CORE EQUITY 2 PORTFOLIO The T.A. U.S. Core Equity 2 Portfolio seeks to capture the returns of the total U.S. market universe, with increased exposure to smaller company stocks and value stocks relative to the market while considering federal income tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification and comprehensive exposure to U.S. stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, the Portfolio held approximately 2,800 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 14.82% for the Portfolio and 14.75% for the Russell 3000(R) Index. As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio's emphasis on value stocks across all size categories was the primary contributor to relative outperformance. The portfolio's exclusion of REITs detracted from relative performance as this sector outperformed the overall Index. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012 The one-year period ending October 31, 2012, was characterized by generally positive monthly returns with a sharp decline in the month of May. The MSCI World ex USA Index (net dividends) dropped by -11.4% in the month of May due to the deepening European debt crisis and concern over a potential Greece exit from the euro. In response to the crisis, European leaders met and planned out additional measures to stabilize the markets which positively impacted market returns in the following months. As measured by the MSCI indices below for developed markets outside the U.S., value stocks generally outperformed their growth counterparts, while small cap stocks outperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2012 U.S. DOLLAR RETURN ----------- MSCI World ex USA Index ............. 4.40% MSCI World ex USA Small Cap Index ... 4.86% MSCI World ex USA Value Index ....... 4.74% MSCI World ex USA Growth Index ...... 3.99% ---------- The US dollar (USD) generally appreciated against other major developed markets currencies during the period. While the USD's value remained relatively constant against the British pound and Canadian dollar, it gained significantly against the euro and Swiss franc, and to a lesser extent, against the Japanese yen and Australian dollar. 7 12 MONTHS ENDED OCTOBER 31, 2012 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP RETURN RETURN --------------------------------------------------- -------- ----------- United Kingdom ..................................... 8.61% 8.41% Japan .............................................. -0.86% -3.28% Canada ............................................. 3.34% 2.69% France ............................................. 10.04% 2.23% Australia .......................................... 10.20% 7.71% Switzerland ........................................ 17.41% 9.79% Germany ............................................ 18.18% 9.79% Spain .............................................. -6.40% -13.04% Sweden ............................................. 9.26% 6.47% Hong Kong .......................................... 16.12% 16.34% ---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. Gains in emerging markets were lower on average than in developed markets, although results varied widely among the individual emerging markets countries. For the one-year period ended October 31, 2012, returns in USD were 2.63% for the MSCI Emerging Markets Index (net dividends) versus 4.40% for the MSCI World ex USA Index (net dividends). As measured by the MSCI indices, emerging markets growth stocks outperformed their value counterparts, while emerging markets small cap stocks outperformed large caps. 12 MONTHS ENDED OCTOBER 31, 2012 U.S. DOLLAR RETURN ----------- MSCI Emerging Markets Index .............. 2.63% MSCI Emerging Markets Small Cap Index .... 3.74% MSCI Emerging Markets Value Index ........ 1.36% MSCI Emerging Markets Growth Index ....... 3.89% ---------- The US dollar (USD) appreciated significantly against the Brazilian real, Indian rupee, South African rand and depreciated to a lesser extent against the South Korean won, Mexican peso, and Taiwanese dollar. 12 MONTHS ENDED OCTOBER 31, 2012 LOCAL CURRENCY U.S. DOLLAR TEN LARGEST EMERGING MARKETS BY MARKET CAP RETURN RETURN --------------------------------------------------- -------- ----------- China .............................................. 7.71% 7.92% South Korea ........................................ 1.71% 3.35% Brazil ............................................. 4.65% -12.68% Taiwan ............................................. -1.78% 0.59% South Africa ....................................... 17.70% 6.84% India .............................................. 5.24% -4.73% Russia ............................................. -1.42% -4.50% Mexico ............................................. 16.32% 17.03% Malaysia ........................................... 11.39% 12.19% Indonesia .......................................... 12.64% 3.82% ---------- 8 Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2012, all rights reserved. INTERNATIONAL EQUITY PORTFOLIOS' PERFORMANCE OVERVIEW TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO The Tax-Managed DFA International Value Portfolio seeks to capture the returns of international large company value stocks. Value is measured primarily by book-to-market ratio. The Portfolio also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to large cap value stocks, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 490 securities in 23 developed countries. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ending October 31, 2012, total returns were 2.77% for the Portfolio and 4.40% for the MSCI World ex USA Index (net dividends). The Portfolio focuses on international large-cap value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. International large-cap value stocks, as measured by book-to-market, generally underperformed during the period. The Portfolio had significantly greater exposure than the Index to value stocks, which contributed to relative underperformance. In particular, large-cap value stocks in Japan significantly underperformed. As the Portfolio has significantly more weight in these securities than the Index, these holdings detracted from relative performance. Differences in the valuation timing and methodology between the Portfolio and the Index contributed to relative performance. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO The T.A. World ex U.S. Core Equity Portfolio seeks to capture the returns of a broadly diversified basket of international stocks in developed and emerging markets, with increased exposure to smaller company stocks and those with value characteristics, while considering federal income tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification, and does not attempt to track a specific equity index. As of October 31, 2012, the Portfolio held approximately 6,300 securities in 23 developed markets and 20 emerging markets. In general, the Portfolio was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 4.90% for the Portfolio and 3.98% for the MSCI All Country World ex USA Index (net dividends). As a result of the Portfolio's diversified investment approach, performance was determined principally by broad structural trends in the international and emerging equity markets rather than by the behavior of a limited number of stocks. The Portfolio's outperformance was primarily attributable to differences in the valuation timing and methodology between the Portfolio and the Index. The Portfolio prices foreign exchange rates at the closing of the U.S. markets while the Index uses rates at 4 pm London time. The Portfolio also may use fair value pricing to price certain portfolio securities at the closing of the U.S. markets while the Index uses local market closing prices. 9 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, 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" reflect 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, 2012 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/12 10/31/12 RATIO* PERIOD* --------- --------- ---------- -------- TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO** Actual Fund Return ............................. $1,000.00 $1,063.96 0.37% $1.92 Hypothetical 5% Annual Return .................. $1,000.00 $1,023.28 0.37% $1.88
10 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/12 10/31/12 RATIO* PERIOD* --------- --------- ---------- -------- TAX-MANAGED U.S. EQUITY PORTFOLIO Actual Fund Return ............................. $1,000.00 $1,017.24 0.22% $1.12 Hypothetical 5% Annual Return .................. $1,000.00 $1,024.03 0.22% $1.12 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO Actual Fund Return ............................. $1,000.00 $1,033.30 0.44% $2.25 Hypothetical 5% Annual Return .................. $1,000.00 $1,022.92 0.44% $2.24 TAX-MANAGED U.S. SMALL CAP PORTFOLIO Actual Fund Return ............................. $1,000.00 $1,022.13 0.52% $2.64 Hypothetical 5% Annual Return .................. $1,000.00 $1,022.52 0.52% $2.64 T.A. U.S. CORE EQUITY 2 PORTFOLIO Actual Fund Return ............................. $1,000.00 $1,024.35 0.24% $1.22 Hypothetical 5% Annual Return .................. $1,000.00 $1,023.93 0.24% $1.22 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO Actual Fund Return ............................. $1,000.00 $1,016.66 0.55% $2.79 Hypothetical 5% Annual Return .................. $1,000.00 $1,022.37 0.55% $2.80 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO Actual Fund Return ............................. $1,000.00 $1,006.25 0.49% $2.47 Hypothetical 5% Annual Return .................. $1,000.00 $1,022.67 0.49% $2.49
---------- * 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 (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the indirect payment of the Feeder Fund's portion of the expenses of its Master Fund (Affiliated Investment Company). 11 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following tables, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, are provided in compliance with such 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 the Disclosure of Portfolio Holdings, which are included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for each of the underlying Master Funds' holdings which reflect the investments by category. FEEDER FUNDS AFFILIATED INVESTMENT COMPANY ----------------------------- Tax-Managed U.S. Marketwide Value Portfolio .... 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS TAX-MANAGED U.S. EQUITY PORTFOLIO Consumer Discretionary ....... 12.7% Consumer Staples ............. 10.2% Energy ....................... 10.8% Financials ................... 13.3% Health Care .................. 12.2% Industrials .................. 11.0% Information Technology ....... 19.1% Materials .................... 4.0% Other ........................ -- Telecommunication Services ... 2.9% Utilities .................... 3.8% ----- 100.0% TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary ....... 18.1% Consumer Staples ............. 4.6% Energy ....................... 8.0% Financials ................... 25.5% Health Care .................. 6.3% Industrials .................. 15.8% Information Technology ....... 11.4% Materials .................... 9.2% Other ........................ -- Telecommunication Services ... 0.6% Utilities .................... 0.5% ----- 100.0% TAX-MANAGED U.S. SMALL CAP PORTFOLIO Consumer Discretionary ....... 16.7% Consumer Staples ............. 4.8% Energy ....................... 5.1% Financials ................... 19.7% Health Care .................. 9.7% Industrials .................. 18.0% Information Technology ....... 16.8% Materials .................... 5.9% Other ........................ -- Telecommunication Services ... 0.7% Utilities .................... 2.6% ----- 100.0% 12 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED T.A. U.S. CORE EQUITY 2 PORTFOLIO Consumer Discretionary ....... 14.9% Consumer Staples ............. 6.5% Energy ....................... 11.3% Financials ................... 19.2% Health Care .................. 10.8% Industrials .................. 13.9% Information Technology ....... 12.6% Materials .................... 5.1% Other ........................ -- Telecommunication Services ... 3.3% Utilities .................... 2.4% ----- 100.0% TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO Consumer Discretionary ....... 9.3% Consumer Staples ............. 5.3% Energy ....................... 15.2% Financials ................... 30.6% Health Care .................. 1.7% Industrials .................. 10.3% Information Technology ....... 3.1% Materials .................... 13.4% Telecommunication Services ... 7.8% Utilities .................... 3.3% ----- 100.0% T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO Consumer Discretionary ....... 12.3% Consumer Staples ............. 7.4% Energy ....................... 9.5% Financials ................... 25.5% Health Care .................. 4.6% Industrials .................. 15.5% Information Technology ....... 6.1% Materials .................... 12.6% Telecommunication Services ... 3.4% Utilities .................... 3.1% ----- 100.0% 13 TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company ... $2,345,657,128 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,823,671,987) ...................................................................... $2,345,657,128 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2012, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 14 TAX-MANAGED U.S. EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- COMMON STOCKS -- (91.1%) Consumer Discretionary -- (11.5%) *Amazon.com, Inc ...................................................... 37,203 $ 8,661,602 0.6% Comcast Corp. Class A ................................................. 220,503 8,271,068 0.5% #Home Depot, Inc. (The) ............................................... 169,942 10,431,040 0.7% McDonald's Corp ....................................................... 100,226 8,699,617 0.6% Walt Disney Co. (The) ................................................. 177,091 8,689,855 0.6% Other Securities ...................................................... 147,174,509 9.6% -------------- ---- Total Consumer Discretionary ............................................. 191,927,691 12.6% -------------- ---- Consumer Staples -- (9.3%) Altria Group, Inc ..................................................... 212,300 6,751,140 0.4% Coca-Cola Co. (The) ................................................... 422,950 15,725,281 1.0% CVS Caremark Corp ..................................................... 132,842 6,163,869 0.4% PepsiCo, Inc .......................................................... 162,442 11,247,484 0.7% Philip Morris International, Inc ...................................... 172,030 15,234,977 1.0% Procter & Gamble Co. (The) ............................................ 286,041 19,805,479 1.3% #Wal-Mart Stores, Inc ................................................. 194,807 14,614,421 1.0% Other Securities ...................................................... 64,764,456 4.3% -------------- ---- Total Consumer Staples ................................................... 154,307,107 10.1% -------------- ---- Energy -- (9.8%) #Chevron Corp ......................................................... 204,675 22,557,232 1.5% #ConocoPhillips ....................................................... 121,505 7,029,064 0.5% #Exxon Mobil Corp ..................................................... 477,512 43,534,769 2.9% Occidental Petroleum Corp ............................................. 84,203 6,648,669 0.4% Schlumberger, Ltd ..................................................... 138,333 9,618,293 0.6% Other Securities ...................................................... 74,270,015 4.9% -------------- ---- Total Energy ............................................................. 163,658,042 10.8% -------------- ---- Financials -- (12.1%) American Express Co ................................................... 104,890 5,870,693 0.4% Bank of America Corp .................................................. 1,120,295 10,441,149 0.7% *Berkshire Hathaway, Inc. Class B ..................................... 180,751 15,607,849 1.0% Citigroup, Inc ........................................................ 303,550 11,349,735 0.7% Goldman Sachs Group, Inc. (The) ....................................... 47,842 5,855,382 0.4% JPMorgan Chase & Co ................................................... 395,455 16,482,564 1.1% U.S. Bancorp .......................................................... 197,250 6,550,672 0.4% Wells Fargo & Co ...................................................... 524,337 17,664,914 1.2% Other Securities ...................................................... 111,667,744 7.3% -------------- ---- Total Financials ......................................................... 201,490,702 13.2% -------------- ---- Health Care -- (11.1%) Abbott Laboratories ................................................... 163,800 10,732,176 0.7% Amgen, Inc ............................................................ 80,471 6,964,363 0.5% #Bristol-Myers Squibb Co .............................................. 175,055 5,820,579 0.4% Johnson & Johnson ..................................................... 280,554 19,868,834 1.3% Merck & Co., Inc ...................................................... 316,262 14,431,035 0.9% Pfizer, Inc ........................................................... 778,022 19,349,407 1.3% UnitedHealth Group, Inc ............................................... 107,055 5,995,080 0.4% Other Securities ...................................................... 101,233,017 6.6% -------------- ---- Total Health Care ........................................................ 184,394,491 12.1% -------------- ---- Industrials -- (10.0%) 3M Co ................................................................. 66,528 5,827,853 0.4% Caterpillar, Inc ...................................................... 64,009 5,428,603 0.4% General Electric Co ................................................... 1,104,281 23,256,158 1.5% Union Pacific Corp .................................................... 48,816 6,005,832 0.4%
15 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) United Parcel Service, Inc. Class B ................................... 73,850 $ 5,409,512 0.3% United Technologies Corp .............................................. 89,090 6,963,274 0.5% Other Securities ...................................................... 113,162,546 7.4% -------------- ---- Total Industrials ........................................................ 166,053,778 10.9% -------------- ---- Information Technology -- (17.4%) Apple, Inc ............................................................ 99,202 59,035,110 3.9% *Cisco Systems, Inc ................................................... 555,895 9,528,040 0.6% *eBay, Inc ............................................................ 121,540 5,869,167 0.4% *Google, Inc. Class A ................................................. 27,259 18,529,850 1.2% Intel Corp ............................................................ 512,408 11,080,823 0.7% International Business Machines Corp .................................. 113,332 22,046,474 1.5% Microsoft Corp ........................................................ 786,236 22,435,244 1.5% Oracle Corp ........................................................... 401,875 12,478,219 0.8% QUALCOMM, Inc ......................................................... 174,876 10,243,362 0.7% Visa, Inc ............................................................. 54,998 7,631,522 0.5% Other Securities ...................................................... 110,004,680 7.2% -------------- ---- Total Information Technology ............................................. 288,882,491 19.0% -------------- ---- Materials -- (3.7%) Other Securities ...................................................... 61,138,569 4.0% -------------- ---- Other -- (0.0%) Other Securities ...................................................... 6 0.0% -------------- ---- Telecommunication Services -- (2.7%) AT&T, Inc ............................................................. 608,382 21,043,933 1.4% Verizon Communications, Inc ........................................... 294,471 13,145,185 0.8% Other Securities ...................................................... 10,129,550 0.7% -------------- ---- Total Telecommunication Services ......................................... 44,318,668 2.9% -------------- ---- Utilities -- (3.5%) Other Securities ...................................................... 57,616,276 3.8% -------------- ---- TOTAL COMMON STOCKS ...................................................... 1,513,787,821 99.4% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities ...................................................... 422 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities ...................................................... 2,280 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ... 6,980,643 6,980,643 0.5% -------------- ---- SHARES/ FACE AMOUNT (000) ------------ SECURITIES LENDING COLLATERAL -- (8.5%) (S)@ DFA Short Term Investment Fund ...................................... 12,190,220 141,040,849 9.3% @ Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $383,421 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $384,575) to be repurchased at $372,247 ........ $ 372 372,244 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL ...................................... 141,413,093 9.3% -------------- ----
16 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,091,977,167) ................................................. $1,662,184,259 109.2% ============== -----
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary ....... $ 191,927,691 -- -- $ 191,927,691 Consumer Staples ............. 154,307,107 -- -- 154,307,107 Energy ....................... 163,655,061 $ 2,981 -- 163,658,042 Financials ................... 201,490,702 -- -- 201,490,702 Health Care .................. 184,392,347 2,144 -- 184,394,491 Industrials .................. 166,053,778 -- -- 166,053,778 Information Technology ....... 288,882,491 -- -- 288,882,491 Materials .................... 61,138,569 -- -- 61,138,569 Other ........................ -- 6 -- 6 Telecommunication Services ... 44,318,668 -- -- 44,318,668 Utilities .................... 57,616,276 -- -- 57,616,276 Preferred Stocks Energy ....................... -- 422 -- 422 Rights/Warrants ................. 2,280 -- -- 2,280 Temporary Cash Investments ...... 6,980,643 -- -- 6,980,643 Securities Lending Collateral ... -- 141,413,093 -- 141,413,093 -------------- ------------ ------- -------------- TOTAL ........................... $1,520,765,613 $141,418,646 -- $1,662,184,259 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 17 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- COMMON STOCKS -- (89.9%) Consumer Discretionary -- (16.2%) *Cabela's, Inc ........................................................ 228,775 $ 10,251,408 0.4% #Dillard's, Inc. Class A .............................................. 355,688 27,387,976 1.1% Foot Locker, Inc ...................................................... 315,096 10,555,716 0.4% #GameStop Corp. Class A ............................................... 431,501 9,851,168 0.4% #Lennar Corp. Class A ................................................. 325,800 12,207,726 0.5% #*Mohawk Industries, Inc .............................................. 190,548 15,905,042 0.7% Whirlpool Corp ........................................................ 89,628 8,754,863 0.4% Wyndham Worldwide Corp ................................................ 174,630 8,801,352 0.4% Other Securities ...................................................... 324,898,634 13.7% -------------- ----- Total Consumer Discretionary ............................................. 428,613,885 18.0% -------------- ----- Consumer Staples -- (4.1%) *Constellation Brands, Inc. Class A ................................... 317,371 11,215,891 0.5% *Hain Celestial Group, Inc. (The) ..................................... 178,430 10,313,254 0.4% *Ralcorp Holdings, Inc ................................................ 140,259 10,125,297 0.4% Other Securities ...................................................... 77,368,902 3.3% -------------- ----- Total Consumer Staples ................................................... 109,023,344 4.6% -------------- ----- Energy -- (7.2%) Bristow Group, Inc .................................................... 174,043 8,688,227 0.4% #*Helix Energy Solutions Group, Inc ................................... 562,740 9,729,775 0.4% *Plains Exploration & Production Co ................................... 372,716 13,291,053 0.6% *Rowan Cos. P.L.C. Class A ............................................ 328,885 10,428,943 0.4% Tesoro Corp ........................................................... 419,582 15,822,437 0.7% Western Refining, Inc ................................................. 378,467 9,412,474 0.4% Other Securities ...................................................... 122,103,568 5.1% -------------- ----- Total Energy ............................................................. 189,476,477 8.0% -------------- ----- Financials -- (22.9%) Allied World Assurance Co. Holdings AG ................................ 155,508 12,487,292 0.5% *American Capital, Ltd ................................................ 1,164,025 13,723,855 0.6% #American Financial Group, Inc ........................................ 370,385 14,370,938 0.6% #Assurant, Inc ........................................................ 331,133 12,520,139 0.5% Axis Capital Holdings, Ltd ............................................ 288,525 10,450,375 0.5% CNO Financial Group, Inc .............................................. 1,264,042 12,109,522 0.5% Everest Re Group, Ltd ................................................. 113,679 12,624,053 0.5% #Legg Mason, Inc ...................................................... 349,011 8,892,800 0.4% #NASDAQ OMX Group, Inc. (The) ......................................... 406,131 9,669,979 0.4% PartnerRe, Ltd ........................................................ 163,753 13,263,993 0.6% Reinsurance Group of America, Inc ..................................... 235,808 12,478,959 0.5% Other Securities ...................................................... 470,561,099 19.8% -------------- ----- Total Financials ......................................................... 603,153,004 25.4% -------------- ----- Health Care -- (5.7%) Cooper Cos., Inc. (The) ............................................... 88,522 8,496,342 0.4% Coventry Health Care, Inc ............................................. 383,447 16,733,627 0.7% *Hologic, Inc ......................................................... 449,308 9,264,731 0.4% #Omnicare, Inc ........................................................ 312,425 10,788,035 0.4% *ViroPharma, Inc ...................................................... 339,632 8,575,708 0.4% Other Securities ...................................................... 95,696,093 4.0% -------------- ----- Total Health Care ........................................................ 149,554,536 6.3% -------------- ----- Industrials -- (14.2%) Amerco, Inc ........................................................... 88,302 10,202,413 0.4% #*Avis Budget Group, Inc .............................................. 549,560 9,084,227 0.4% GATX Corp ............................................................. 210,036 8,708,093 0.4%
18 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) #*Owens Corning, Inc .................................................. 367,806 $ 12,354,604 0.5% *Quanta Services, Inc ................................................. 347,012 8,998,021 0.4% Ryder System, Inc ..................................................... 233,530 10,536,874 0.4% Trinity Industries, Inc ............................................... 277,414 8,677,510 0.4% Other Securities ...................................................... 305,314,935 12.8% -------------- ----- Total Industrials ........................................................ 373,876,677 15.7% -------------- ----- Information Technology -- (10.3%) #*Arrow Electronics, Inc .............................................. 351,633 12,388,031 0.5% Convergys Corp ........................................................ 551,669 9,273,556 0.4% IAC/InterActiveCorp ................................................... 254,127 12,287,040 0.5% Other Securities ...................................................... 237,011,914 10.0% -------------- ----- Total Information Technology ............................................. 270,960,541 11.4% -------------- ----- Materials -- (8.3%) Ashland, Inc .......................................................... 210,546 14,980,348 0.6% #Domtar Corp .......................................................... 123,167 9,822,568 0.4% #*Louisiana-Pacific Corp .............................................. 670,853 10,592,769 0.4% MeadWestvaco Corp ..................................................... 391,872 11,634,680 0.5% Reliance Steel & Aluminum Co .......................................... 200,657 10,903,701 0.5% Rock-Tenn Co. Class A ................................................. 149,967 10,976,085 0.5% Westlake Chemical Corp ................................................ 142,636 10,848,894 0.5% Other Securities ...................................................... 138,927,915 5.8% -------------- ----- Total Materials .......................................................... 218,686,960 9.2% -------------- ----- Other -- (0.0%) Other Securities ...................................................... 294 0.0% -------------- ----- Telecommunication Services -- (0.6%) Other Securities ...................................................... 15,102,777 0.6% -------------- ----- Utilities -- (0.4%) Other Securities ...................................................... 10,749,666 0.4% -------------- ----- TOTAL COMMON STOCKS ...................................................... 2,369,198,161 99.6% -------------- ----- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities ...................................................... 13,082 0.0% -------------- ----- RIGHTS/WARRANTS -- (0.0%) Other Securities ...................................................... 39,856 0.0% -------------- ----- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ... 8,857,353 8,857,353 0.4% -------------- ----- SHARES/ FACE AMOUNT (000) ------------ SECURITIES LENDING COLLATERAL -- (9.8%) (S)@ DFA Short Term Investment Fund ...................................... 22,132,499 256,073,011 10.8% @ Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $696,137 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $698,232) to be repurchased at $675,850 ........ $ 676 675,844 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL ...................................... 256,748,855 10.8% -------------- -----
19 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,130,713,058) ................................................. $2,634,857,307 110.8% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary ....... $ 428,613,885 -- -- $ 428,613,885 Consumer Staples ............. 109,023,344 -- -- 109,023,344 Energy ....................... 189,351,831 $ 124,646 -- 189,476,477 Financials ................... 603,153,004 -- -- 603,153,004 Health Care .................. 149,395,452 159,084 -- 149,554,536 Industrials .................. 373,747,154 129,523 -- 373,876,677 Information Technology 270,960,541 -- -- 270,960,541 Materials .................... 218,686,960 -- -- 218,686,960 Other ........................ -- 294 -- 294 Telecommunication Services ... 15,102,777 -- -- 15,102,777 Utilities .................... 10,749,666 -- -- 10,749,666 Preferred Stocks Energy ....................... -- 13,082 -- 13,082 Rights/Warrants ................. 38,173 1,683 -- 39,856 Temporary Cash Investments ...... 8,857,353 -- -- 8,857,353 Securities Lending Collateral ... -- 256,748,855 -- 256,748,855 -------------- ------------ ------- -------------- TOTAL ........................... $2,377,680,140 $257,177,167 -- $2,634,857,307 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 20 TAX-MANAGED U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- COMMON STOCKS -- (84.9%) Consumer Discretionary -- (14.1%) #*Cabela's, Inc ....................................................... 79,425 $ 3,559,034 0.3% #Dillard's, Inc. Class A .............................................. 51,751 3,984,827 0.3% Domino's Pizza, Inc ................................................... 54,821 2,226,829 0.1% #DSW, Inc. Class A .................................................... 38,341 2,399,763 0.2% #Group 1 Automotive, Inc .............................................. 35,286 2,188,085 0.1% Men's Wearhouse, Inc. (The) ........................................... 68,501 2,246,148 0.2% #*Saks, Inc ........................................................... 221,647 2,278,531 0.2% #*Select Comfort Corp ................................................. 89,608 2,493,791 0.2% *Steven Madden, Ltd ................................................... 55,010 2,361,029 0.2% Other Securities ...................................................... 196,856,976 14.8% -------------- ---- Total Consumer Discretionary ............................................. 220,595,013 16.6% -------------- ---- Consumer Staples -- (4.1%) *Dean Foods Co ........................................................ 215,173 3,623,513 0.3% *Hain Celestial Group, Inc. (The) ..................................... 53,402 3,086,636 0.2% #PriceSmart, Inc ...................................................... 28,537 2,368,286 0.2% Other Securities ...................................................... 54,616,524 4.1% -------------- ---- Total Consumer Staples ................................................... 63,694,959 4.8% -------------- ---- Energy -- (4.3%) Bristow Group, Inc .................................................... 45,458 2,269,263 0.2% Western Refining, Inc ................................................. 194,387 4,834,405 0.3% Other Securities ...................................................... 59,803,732 4.5% -------------- ---- Total Energy ............................................................. 66,907,400 5.0% -------------- ---- Financials -- (16.7%) *Altisource Portfolio Solutions SA .................................... 21,934 2,489,509 0.2% CapitalSource, Inc .................................................... 302,900 2,395,939 0.2% Cathay General Bancorp ................................................ 154,992 2,741,808 0.2% CNO Financial Group, Inc .............................................. 336,171 3,220,518 0.2% First American Financial Corp ......................................... 131,159 2,983,867 0.2% *Investors Bancorp, Inc ............................................... 123,487 2,221,531 0.2% *Ocwen Financial Corp ................................................. 87,991 3,393,813 0.2% Primerica, Inc ........................................................ 80,041 2,261,959 0.2% Susquehanna Bancshares, Inc ........................................... 234,498 2,431,744 0.2% Other Securities ...................................................... 237,170,844 17.8% -------------- ---- Total Financials ......................................................... 261,311,532 19.6% -------------- ---- Health Care -- (8.3%) #*Air Methods Corp .................................................... 22,944 2,515,351 0.2% *Ariad Pharmaceuticals, Inc ........................................... 193,800 4,176,390 0.3% *Jazz Pharmaceuticals P.L.C ........................................... 43,942 2,361,004 0.2% #*Medicines Co. (The) ................................................. 105,773 2,318,544 0.2% *ViroPharma, Inc ...................................................... 115,735 2,922,309 0.2% Other Securities ...................................................... 114,659,115 8.6% -------------- ---- Total Health Care ........................................................ 128,952,713 9.7% -------------- ---- Industrials -- (15.3%) Amerco, Inc ........................................................... 25,259 2,918,425 0.2% #*Chart Industries, Inc ............................................... 32,460 2,297,843 0.2% #*EnerSys, Inc ........................................................ 63,999 2,206,686 0.2% #Geo Group, Inc. (The) ................................................ 93,170 2,582,672 0.2% #Robbins & Myers, Inc ................................................. 38,214 2,265,326 0.2% #Triumph Group, Inc ................................................... 46,890 3,067,544 0.2% #*United Rentals, Inc ................................................. 53,799 2,187,467 0.1%
21 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (Continued) Other Securities ...................................................... $ 220,968,362 16.6% -------------- ---- Total Industrials ........................................................ 238,494,325 17.9% -------------- ---- Information Technology -- (14.3%) #*3D Systems Corp ..................................................... 78,815 3,428,452 0.2% *AOL, Inc ............................................................. 69,740 2,394,174 0.2% #*Arris Group, Inc .................................................... 170,706 2,345,500 0.2% #*Cirrus Logic, Inc ................................................... 109,053 4,445,000 0.3% Convergys Corp ........................................................ 170,395 2,864,340 0.2% #*CoStar Group, Inc ................................................... 32,679 2,709,089 0.2% #*Cymer, Inc .......................................................... 34,206 2,725,876 0.2% #Fair Isaac Corp ...................................................... 47,990 2,236,334 0.2% #FEI Co ............................................................... 43,300 2,383,665 0.2% #*OSI Systems, Inc .................................................... 29,110 2,306,968 0.2% Other Securities ...................................................... 195,184,430 14.7% -------------- ---- Total Information Technology ............................................. 223,023,828 16.8% -------------- ---- Materials -- (5.0%) American Vanguard Corp ................................................ 64,951 2,320,699 0.2% #Eagle Materials, Inc ................................................. 49,700 2,632,609 0.2% *Louisiana-Pacific Corp ............................................... 183,497 2,897,418 0.2% Westlake Chemical Corp ................................................ 34,525 2,625,972 0.2% Other Securities ...................................................... 68,066,368 5.1% -------------- ---- Total Materials .......................................................... 78,543,066 5.9% -------------- ---- Other -- (0.0%) Other Securities ...................................................... 312 0.0% -------------- ---- Telecommunication Services -- (0.6%) Other Securities ...................................................... 9,404,001 0.7% -------------- ---- Utilities -- (2.2%) #PNM Resources, Inc ................................................... 99,252 2,199,424 0.2% Other Securities ...................................................... 32,415,078 2.4% -------------- ---- Total Utilities .......................................................... 34,614,502 2.6% -------------- ---- TOTAL COMMON STOCKS ...................................................... 1,325,541,651 99.6% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities ...................................................... 11,675 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities ...................................................... 32,981 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.4%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares 5,806,401 5,806,401 0.4% -------------- ----
22 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED
SHARES/ FACE AMOUNT PERCENTAGE (000) VALUE+ OF NET ASSETS** ------------ -------------- --------------- SECURITIES LENDING COLLATERAL -- (14.7%) (S)@DFA Short Term Investment Fund ....................................... 19,745,019 $ 228,449,866 17.2% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $621,042 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $622,911) to be repurchased at $602,943 ........ $ 603 602,938 0.0% -------------- --------------- TOTAL SECURITIES LENDING COLLATERAL 229,052,804 17.2% -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,156,520,287) ................................................. $1,560,445,512 117.2% ============== ===============
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary ....... $ 220,595,013 -- -- $ 220,595,013 Consumer Staples ............. 63,694,959 -- -- 63,694,959 Energy ....................... 66,840,115 $ 67,285 -- 66,907,400 Financials ................... 261,311,532 -- -- 261,311,532 Health Care .................. 128,895,310 57,403 -- 128,952,713 Industrials .................. 238,478,409 15,916 -- 238,494,325 Information Technology ....... 223,023,828 -- -- 223,023,828 Materials .................... 78,543,066 -- -- 78,543,066 Other ........................ -- 312 -- 312 Telecommunication Services ... 9,404,001 -- -- 9,404,001 Utilities .................... 34,614,502 -- -- 34,614,502 Preferred Stocks Energy ....................... -- 11,675 -- 11,675 Rights/Warrants ................. 32,906 75 -- 32,981 Temporary Cash Investments ...... 5,806,401 -- -- 5,806,401 Securities Lending Collateral ... -- 229,052,804 -- 229,052,804 -------------- ------------ ------- -------------- TOTAL ........................... $1,331,240,042 $229,205,470 -- $1,560,445,512 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 23 T.A. U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- COMMON STOCKS -- (89.1%) Consumer Discretionary -- (13.3%) CBS Corp. Class B ..................................................... 197,985 $ 6,414,714 0.2% Comcast Corp. Class A ................................................ 456,217 17,112,700 0.6% Home Depot, Inc. (The) ................................................ 144,802 8,887,947 0.3% *Liberty Media Corp. - Liberty Capital Class A ........................ 59,392 6,632,305 0.3% Lowe's Cos., Inc ...................................................... 255,861 8,284,779 0.3% News Corp. Class A .................................................... 376,280 9,000,618 0.3% Time Warner Cable, Inc ................................................ 88,298 8,751,215 0.3% Time Warner, Inc ...................................................... 214,866 9,335,928 0.3% Walt Disney Co. (The) ................................................. 365,590 17,939,501 0.6% Other Securities ...................................................... 330,521,528 11.6% -------------- ---- Total Consumer Discretionary ............................................. 422,881,235 14.8% -------------- ---- Consumer Staples -- (5.8%) Coca-Cola Co. (The) ................................................... 172,706 6,421,209 0.2% CVS Caremark Corp ..................................................... 277,652 12,883,053 0.5% Mondelez International, Inc. Class A .................................. 366,422 9,724,840 0.3% Procter & Gamble Co. (The) ............................................ 250,219 17,325,164 0.6% Wal-Mart Stores, Inc .................................................. 140,778 10,561,166 0.4% Other Securities ...................................................... 127,992,438 4.5% -------------- ---- Total Consumer Staples ................................................... 184,907,870 6.5% -------------- ---- Energy -- (10.1%) Anadarko Petroleum Corp ............................................... 99,014 6,813,153 0.2% Apache Corp ........................................................... 77,195 6,387,886 0.2% Chevron Corp .......................................................... 424,406 46,773,785 1.6% ConocoPhillips ........................................................ 271,234 15,690,887 0.6% EOG Resources, Inc .................................................... 53,410 6,221,731 0.2% Exxon Mobil Corp ...................................................... 549,998 50,143,318 1.8% National Oilwell Varco, Inc ........................................... 87,982 6,484,273 0.2% Occidental Petroleum Corp ............................................. 145,217 11,466,334 0.4% Phillips 66 ........................................................... 135,617 6,395,698 0.2% Other Securities ...................................................... 163,878,633 5.8% -------------- ---- Total Energy ............................................................. 320,255,698 11.2% -------------- ---- Financials -- (17.2%) Bank of America Corp .................................................. 1,917,154 17,867,875 0.6% #*Berkshire Hathaway, Inc. Class B .................................... 99,579 8,598,647 0.3% Capital One Financial Corp ............................................ 117,064 7,043,741 0.3% Citigroup, Inc ........................................................ 411,827 15,398,212 0.5% Goldman Sachs Group, Inc. (The) ....................................... 85,641 10,481,602 0.4% JPMorgan Chase & Co ................................................... 811,150 33,808,732 1.2% MetLife, Inc .......................................................... 216,234 7,674,145 0.3% PNC Financial Services Group, Inc ..................................... 115,488 6,720,247 0.2% Travelers Cos., Inc. (The) ............................................ 100,570 7,134,436 0.3% U.S. Bancorp .......................................................... 351,609 11,676,935 0.4% Wells Fargo & Co ...................................................... 1,084,633 36,541,286 1.3% Other Securities ...................................................... 383,562,279 13.4% -------------- ---- Total Financials ......................................................... 546,508,137 19.2% -------------- ---- Health Care -- (9.6%) Amgen, Inc ............................................................ 85,813 7,426,686 0.3% Johnson & Johnson ..................................................... 141,608 10,028,679 0.3% Merck & Co., Inc ...................................................... 589,040 26,877,895 0.9% Pfizer, Inc ........................................................... 1,598,574 39,756,535 1.4% UnitedHealth Group, Inc ............................................... 192,286 10,768,016 0.4%
24 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Health Care -- (Continued) Other Securities ...................................................... $ 211,598,514 7.4% -------------- ---- Total Health Care ........................................................ 306,456,325 10.7% -------------- ---- Industrials -- (12.4%) General Electric Co ................................................... 2,219,055 46,733,298 1.6% Union Pacific Corp .................................................... 102,621 12,625,462 0.5% Other Securities ...................................................... 336,567,784 11.8% -------------- ---- Total Industrials ........................................................ 395,926,544 13.9% -------------- ---- Information Technology -- (11.2%) Apple, Inc ............................................................ 42,017 25,004,317 0.9% *Google, Inc. Class A ................................................. 11,628 7,904,366 0.3% Intel Corp ............................................................ 517,438 11,189,597 0.4% International Business Machines Corp .................................. 45,323 8,816,683 0.3% Microsoft Corp ........................................................ 327,024 9,331,630 0.3% Oracle Corp ........................................................... 213,729 6,636,285 0.2% Visa, Inc ............................................................. 97,604 13,543,531 0.5% Other Securities ...................................................... 275,556,881 9.6% -------------- ---- Total Information Technology ............................................. 357,983,290 12.5% -------------- ---- Materials -- (4.5%) Other Securities ...................................................... 143,579,779 5.0% -------------- ---- Other -- (0.0%) Other Securities ...................................................... -- 0.0% -------------- ---- Telecommunication Services -- (2.9%) AT&T, Inc ............................................................. 1,265,775 43,783,157 1.5% #Verizon Communications, Inc .......................................... 581,853 25,973,918 0.9% Other Securities ...................................................... 23,845,031 0.9% -------------- ---- Total Telecommunication Services ......................................... 93,602,106 3.3% -------------- ---- Utilities -- (2.1%) Other Securities ...................................................... 67,960,515 2.4% -------------- ---- TOTAL COMMON STOCKS ...................................................... 2,840,061,499 99.5% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities ...................................................... 4,878 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.3%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ... 1 0,736,944 10,736,944 0.4% -------------- ---- SHARES/ FACE AMOUNT (000) --------- SECURITIES LENDING COLLATERAL -- (10.6%) (S)@DFA Short Term Investment Fund ....................................... 29,068,909 336,327,274 11.8% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $914,307 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $917,058) to be repurchased at $887,661 ......... $ 888 887,654 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL ...................................... 337,214,928 11.8% -------------- ----
25 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS** -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,481,374,822) .......................................................... $3,188,018,249 111.7% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary ......... $ 422,861,910 $ 19,325 -- $ 422,881,235 Consumer Staples ............... 184,907,870 -- -- 184,907,870 Energy ......................... 320,245,273 10,425 -- 320,255,698 Financials ..................... 546,508,137 -- -- 546,508,137 Health Care .................... 306,442,629 13,696 -- 306,456,325 Industrials. ................... 395,911,452 15,092 -- 395,926,544 Information Technology ......... 357,983,290 -- -- 357,983,290 Materials ...................... 143,579,779 -- -- 143,579,779 Other .......................... -- -- -- -- Telecommunication Services ..... 93,602,106 -- -- 93,602,106 Utilities ...................... 67,960,515 -- -- 67,960,515 Rights/Warrants ................... 4,878 -- -- 4,878 Temporary Cash Investments ........ 10,736,944 -- -- 10,736,944 Securities Lending Collateral ..... -- 337,214,928 -- 337,214,928 -------------- ------------ ------- -------------- TOTAL ............................. $2,850,744,783 $337,273,466 -- $3,188,018,249 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 26 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- COMMON STOCKS -- (97.1%) AUSTRALIA -- (5.4%) Wesfarmers, Ltd ................................................ 926,233 $ 33,390,263 1.7% Other Securities ............................................... 75,529,183 3.8% -------------- ----- TOTAL AUSTRALIA ................................................... 108,919,446 5.5% -------------- ----- AUSTRIA -- (0.1%) Other Securities ............................................... 2,202,939 0.1% -------------- ----- BELGIUM -- (1.1%) Other Securities ............................................... 21,963,139 1.1% -------------- ----- CANADA -- (12.3%) Canadian Natural Resources, Ltd ................................ 413,439 12,460,089 0.6% Goldcorp, Inc .................................................. 390,268 17,642,654 0.9% Manulife Financial Corp ........................................ 1,391,180 17,188,647 0.9% #Sun Life Financial, Inc ....................................... 494,520 12,264,591 0.6% Suncor Energy, Inc ............................................. 1,078,999 36,213,313 1.8% Teck Resources, Ltd. Class B ................................... 407,968 12,948,772 0.7% Other Securities ............................................... 139,312,477 7.1% -------------- ----- TOTAL CANADA ...................................................... 248,030,543 12.6% -------------- ----- DENMARK -- (1.4%) Other Securities ............................................... 27,920,680 1.4% -------------- ----- FINLAND -- (0.6%) Other Securities ............................................... 11,709,008 0.6% -------------- ----- FRANCE -- (9.4%) AXA SA ......................................................... 948,963 15,125,169 0.8% BNP Paribas SA ................................................. 242,688 12,318,032 0.6% France Telecom SA .............................................. 1,431,646 16,002,158 0.8% GDF Suez SA. ................................................... 1,001,804 22,993,642 1.2% *Societe Generale SA ........................................... 485,354 15,478,889 0.8% Vivendi SA ..................................................... 1,014,279 20,783,897 1.0% Other Securities ............................................... 86,775,055 4.4% -------------- ----- TOTAL FRANCE ...................................................... 189,476,842 9.6% -------------- ----- GERMANY -- (7.4%) Daimler AG ..................................................... 505,362 23,673,482 1.2% Deutsche Bank AG (5750355) ..................................... 241,169 10,985,454 0.6% #Deutsche Bank AG (D18190898) .................................. 239,182 10,933,009 0.6% Deutsche Telekom AG ............................................ 920,799 10,504,881 0.5% E.ON AG ........................................................ 993,327 22,613,064 1.1% Munchener Rueckversicherungs-Gesellschaft AG ................... 86,591 13,932,731 0.7% Other Securities ............................................... 55,818,989 2.8% -------------- ----- TOTAL GERMANY ..................................................... 148,461,610 7.5% -------------- ----- GREECE -- (0.0%) Other Securities ............................................... 1,008,011 0.1% -------------- ----- HONG KONG -- (2.2%) Hutchison Whampoa, Ltd ......................................... 1,722,000 16,891,652 0.9% Other Securities ............................................... 28,316,519 1.4% -------------- ----- TOTAL HONG KONG ................................................... 45,208,171 2.3% -------------- ----- IRELAND -- (0.1%) Other Securities ............................................... 1,874,418 0.1% -------------- -----
27 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- ISRAEL -- (0.6%) Other Securities ............................................... $ 13,124,829 0.7% -------------- ----- ITALY -- (1.6%) Other Securities ............................................... 32,581,877 1.7% -------------- ----- JAPAN -- (17.0%) Mitsubishi Corp ................................................ 870,800 15,546,343 0.8% Mitsubishi UFJ Financial Group, Inc ............................ 6,163,934 27,885,441 1.4% Mitsui & Co., Ltd .............................................. 967,400 13,635,718 0.7% Sumitomo Corp .................................................. 754,200 10,281,854 0.5% Sumitomo Mitsui Financial Group, Inc ........................... 588,727 17,989,734 0.9% #Toyota Motor Corp. Sponsored ADR .............................. 180,003 13,944,832 0.7% Other Securities ............................................... 244,373,446 12.4% -------------- ----- TOTAL JAPAN ....................................................... 343,657,368 17.4% -------------- ----- NETHERLANDS -- (3.2%) ArcelorMittal NV ............................................... 764,181 11,297,979 0.6% Koninklijke Philips Electronics NV ............................. 631,760 15,823,012 0.8% Other Securities ............................................... 36,775,911 1.8% -------------- ----- TOTAL NETHERLANDS ................................................. 63,896,902 3.2% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities ............................................... 1,625,690 0.1% -------------- ----- NORWAY -- (1.2%) Other Securities ............................................... 23,831,916 1.2% -------------- ----- PORTUGAL -- (0.1%) Other Securities ............................................... 2,509,247 0.1% -------------- ----- SINGAPORE -- (1.0%) Other Securities ............................................... 20,618,980 1.1% -------------- ----- SPAIN -- (1.8%) Banco Santander SA ............................................. 2,095,077 15,774,195 0.8% Other Securities ............................................... 20,065,516 1.0% -------------- ----- TOTAL SPAIN ....................................................... 35,839,711 1.8% -------------- ----- SWEDEN -- (3.2%) Nordea Bank AB ................................................. 1,822,627 16,567,052 0.8% Svenska Cellulosa AB Series B. ................................. 566,500 11,044,601 0.6% Telefonaktiebolaget LM Ericsson AB Series B .................... 1,563,029 13,846,995 0.7% Other Securities ............................................... 22,092,558 1.1% -------------- ----- TOTAL SWEDEN ...................................................... 63,551,206 3.2% -------------- ----- SWITZERLAND -- (6.3%) Credit Suisse Group AG ......................................... 593,214 13,795,405 0.7% Holcim, Ltd .................................................... 241,079 16,452,735 0.8% #Novartis AG ADR ............................................... 189,650 11,466,239 0.6% Swiss Re, Ltd .................................................. 325,311 22,510,662 1.1% UBS AG ......................................................... 996,451 14,950,347 0.8% Other Securities ............................................... 47,459,982 2.4% -------------- ----- TOTAL SWITZERLAND ................................................. 126,635,370 6.4% -------------- ----- UNITED KINGDOM -- (21.0%) Anglo American P.L.C ........................................... 349,868 10,781,002 0.6% Aviva P.L.C .................................................... 2,287,715 12,251,713 0.6% Barclays P.L.C ................................................. 3,351,289 12,392,271 0.6% Barclays P.L.C. Sponsored ADR .................................. 1,025,997 15,184,756 0.8% BP P.L.C. Sponsored ADR ........................................ 1,840,577 78,942,348 4.0%
28 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) HSBC Holdings P.L.C ............................................ 1,039,205 $ 10,245,900 0.5% #HSBC Holdings P.L.C. Sponsored ADR. ........................... 288,640 14,247,270 0.7% Kingfisher P.L.C ............................................... 2,319,541 10,860,203 0.6% *Lloyds Banking Group P.L.C .................................... 23,717,729 15,618,314 0.8% Royal Dutch Shell P.L.C. ADR. .................................. 1,012,251 71,495,288 3.6% Vodafone Group P.L.C ........................................... 13,861,205 37,642,262 1.9% Vodafone Group P.L.C. Sponsored ADR ............................ 1,661,870 45,236,101 2.3% Xstrata P.L.C .................................................. 1,511,218 23,939,963 1.2% Other Securities ............................................... 63,925,025 3.3% -------------- ----- TOTAL UNITED KINGDOM .............................................. 422,762,416 21.5% -------------- ----- TOTAL COMMON STOCKS ............................................... 1,957,410,319 99.3% -------------- ----- PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities ............................................... 3,082,870 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) Other Securities ............................................... 3 0.0% -------------- ----- SHARES/ FACE AMOUNT (000) VALUE+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (2.7%) (S)@ DFA Short Term Investment Fund ............................... 4,667,243 54,000,000 2.7% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $911,017) to be repurchased at $893,162 . $ 893 893,154 0.1% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL ............................... 54,893,154 2.8% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $2,092,870,816) .......................................... $2,015,386,346 102.2% ============== =====
29 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia .................... $ 225,811 $ 108,693,635 -- $ 108,919,446 Austria ...................... -- 2,202,939 -- 2,202,939 Belgium ...................... 405,344 21,557,795 -- 21,963,139 Canada ....................... 248,030,543 -- -- 248,030,543 Denmark ...................... -- 27,920,680 -- 27,920,680 Finland ...................... -- 11,709,008 -- 11,709,008 France ....................... 11,105,102 178,371,740 -- 189,476,842 Germany ...................... 27,727,073 120,734,537 -- 148,461,610 Greece ....................... -- 1,008,011 -- 1,008,011 Hong Kong .................... -- 45,208,171 -- 45,208,171 Ireland ...................... 608,158 1,266,260 -- 1,874,418 Israel ....................... 1,280,585 11,844,244 -- 13,124,829 Italy ........................ 1,895,897 30,685,980 -- 32,581,877 Japan ........................ 31,991,271 311,666,097 -- 343,657,368 Netherlands .................. 1,841,197 62,055,705 -- 63,896,902 New Zealand .................. -- 1,625,690 -- 1,625,690 Norway. ...................... -- 23,831,916 -- 23,831,916 Portugal ..................... -- 2,509,247 -- 2,509,247 Singapore. ................... -- 20,618,980 -- 20,618,980 Spain ........................ 421,587 35,418,124 -- 35,839,711 Sweden ....................... 1,128,017 62,423,189 -- 63,551,206 Switzerland. ................. 13,002,478 113,632,892 -- 126,635,370 United Kingdom ............... 237,826,468 184,935,948 -- 422,762,416 Preferred Stocks Germany ...................... -- 3,082,870 -- 3,082,870 Rights/Warrants Spain ........................ -- 3 -- 3 Securities Lending Collateral ... -- 54,893,154 -- 54,893,154 ------------ -------------- ------- -------------- TOTAL ........................... $577,489,531 $1,437,896,815 -- $2,015,386,346 ============ ============== ======= ==============
See accompanying Notes to Financial Statements. 30 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- COMMON STOCKS-- (94.8%) AUSTRALIA-- (5.0%) Australia & New Zealand Banking Group, Ltd. .................... 117,748 $ 3,106,356 0.2% Commonwealth Bank of Australia NL .............................. 51,776 3,100,650 0.2% National Australia Bank, Ltd.................................... 137,265 3,668,391 0.3% Wesfarmers, Ltd. ............................................... 69,797 2,516,149 0.2% Westpac Banking Corp............................................ 129,797 3,431,581 0.3% Other Securities ............................................... 49,051,546 4.0% -------------- ---- TOTAL AUSTRALIA ................................................... 64,874,673 5.2% -------------- ---- AUSTRIA -- (0.4%) Other Securities ............................................... 4,475,465 0.4% -------------- ---- BELGIUM -- (0.8%) Other Securities ............................................... 9,670,903 0.8% -------------- ---- BRAZIL -- (2.0%) Other Securities ............................................... 25,130,326 2.0% -------------- ---- CANADA -- (8.1%) Bank of Montreal ............................................... 41,930 2,477,806 0.2% Bank of Nova Scotia ............................................ 42,381 2,302,047 0.2% Royal Bank of Canada ........................................... 55,774 3,179,746 0.2% Suncor Energy, Inc.............................................. 99,388 3,335,655 0.3% Toronto Dominion Bank. ......................................... 55,000 4,473,242 0.3% Other Securities ............................................... 89,062,927 7.2% -------------- ---- TOTAL CANADA 104,831,423 8.4% -------------- ---- CHILE -- (0.5%) Other Securities ............................................... 6,328,460 0.5% -------------- ---- CHINA -- (4.3%) China Construction Bank Corp. Series H ........................ 3,488,200 2,619,463 0.2% China Mobile, Ltd. Sponsored ADR ............................... 45,500 2,520,245 0.2% Other Securities 50,602,927 4.1% -------------- ---- TOTAL CHINA ....................................................... 55,742,635 4.5% -------------- ---- COLOMBIA -- (0.1%) Other Securities ............................................... 977,780 0.1% -------------- ---- CZECH REPUBLIC -- (0.1%) Other Securities ............................................... 1,337,990 0.1% -------------- ---- DENMARK -- (0.7%) Other Securities ............................................... 9,278,629 0.7% -------------- ---- EGYPT -- (0.0%) Other Securities ............................................... 165,068 0.0% -------------- ---- FINLAND -- (1.0%) Other Securities ............................................... 12,936,435 1.0% -------------- ---- FRANCE -- (5.2%) BNP Paribas SA ................................................. 65,535 3,326,338 0.3% Sanofi SA ...................................................... 41,470 3,642,185 0.3% *Societe Generale SA ........................................... 80,296 2,560,797 0.2% #Total SA Sponsored ADR ........................................ 85,482 4,308,293 0.3% Other Securities ............................................... 53,542,193 4.3% -------------- ---- TOTAL FRANCE ...................................................... 67,379,806 5.4% -------------- ----
31 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- GERMANY -- (4.4%) Allianz SE. .................................................... 25,596 $ 3,179,657 0.3% Daimler AG ..................................................... 64,563 3,024,428 0.2% Deutsche Bank AG ............................................... 57,350 2,621,469 0.2% E.ON AG ........................................................ 111,836 2,545,944 0.2% Munchener Rueckversicherungs-Gesellschaft AG ................... 13,177 2,120,216 0.2% #Siemens AG Sponsored ADR ...................................... 26,107 2,634,457 0.2% Other Securities ............................................... 40,653,364 3.3% -------------- ---- TOTAL GERMANY 56,779,535 4.6% -------------- ---- GREECE -- (0.2%) Other Securities ............................................... 3,127,663 0.2% -------------- ---- HONG KONG -- (1.8%) Other Securities ............................................... 23,239,815 1.9% -------------- ---- HUNGARY -- (0.1%) Other Securities ............................................... 1,092,942 0.1% -------------- ---- INDIA -- (1.8%) Other Securities ............................................... 23,451,160 1.9% -------------- ---- INDONESIA -- (0.8%) Other Securities ............................................... 10,768,537 0.9% -------------- ---- IRELAND -- (0.4%) Other Securities ............................................... 5,288,975 0.4% -------------- ---- ISRAEL -- (0.4%) Other Securities ............................................... 4,904,229 0.4% -------------- ---- ITALY -- (1.6%) Other Securities ............................................... 20,820,802 1.7% -------------- ---- JAPAN -- (13.5%) Mizuho Financial Group, Inc..................................... 1,487,255 2,327,079 0.2% Sumitomo Mitsui Financial Group, Inc............................ 90,383 2,761,834 0.2% Toyota Motor Corp. Sponsored ADR ............................... 50,053 3,877,606 0.3% Other Securities ............................................... 164,414,476 13.3% -------------- ---- TOTAL JAPAN ....................................................... 173,380,995 14.0% -------------- ---- MALAYSIA -- (0.9%) Other Securities ............................................... 12,144,452 1.0% -------------- ---- MEXICO -- (1.4%) Other Securities ............................................... 17,879,490 1.4% -------------- ---- NETHERLANDS -- (1.8%) #*ING Groep NV Sponsored ADR ................................... 263,004 2,330,215 0.2% Other Securities ............................................... 20,947,179 1.7% -------------- ---- TOTAL NETHERLANDS ................................................. 23,277,394 1.9% -------------- ---- NEW ZEALAND -- (0.2%) Other Securities ............................................... 2,771,066 0.2% -------------- ---- NORWAY -- (0.9%) Other Securities ............................................... 11,030,807 0.9% -------------- ---- PERU -- (0.1%) Other Securities ............................................... 738,229 0.1% -------------- ---- PHILIPPINES -- (0.5%) Other Securities ............................................... 5,757,697 0.5% -------------- ----
32 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- POLAND -- (0.4%) Other Securities ............................................... $ 4,998,739 0.4% -------------- ---- PORTUGAL -- (0.2%) Other Securities ............................................... 3,130,717 0.3% -------------- ---- RUSSIA -- (0.6%) Gazprom OAO Sponsored ADR ...................................... 353,575 3,247,584 0.3% Other Securities ............................................... 4,343,779 0.3% -------------- ---- TOTAL RUSSIA ...................................................... 7,591,363 0.6% -------------- ---- SINGAPORE -- (1.3%) Other Securities ............................................... 16,210,710 1.3% -------------- ---- SOUTH AFRICA -- (1.9%) Other Securities ............................................... 23,813,214 1.9% -------------- ---- SOUTH KOREA -- (3.8%) Samsung Electronics Co., Ltd.................................... 4,072 4,886,553 0.4% Other Securities ............................................... 44,507,667 3.6% -------------- ---- TOTAL SOUTH KOREA ................................................. 49,394,220 4.0% -------------- ---- SPAIN -- (1.6%) Banco Santander SA ............................................. 444,394 3,345,919 0.3% Other Securities ............................................... 17,256,688 1.4% -------------- ---- TOTAL SPAIN ....................................................... 20,602,607 1.7% -------------- ---- SWEDEN -- (2.3%) Other Securities ............................................... 29,570,627 2.4% -------------- ---- SWITZERLAND -- (4.6%) Holcim, Ltd..................................................... 29,548 2,016,540 0.2% Nestle SA ...................................................... 87,940 5,583,155 0.4% Novartis AG ADR ................................................ 95,673 5,784,390 0.5% Swiss Re, Ltd. ................................................. 43,188 2,988,496 0.2% Zurich Insurance Group AG ...................................... 16,736 4,125,754 0.3% Other Securities ............................................... 38,347,927 3.1% -------------- ---- TOTAL SWITZERLAND ................................................. 58,846,262 4.7% -------------- ---- TAIWAN -- (2.9%) Other Securities ............................................... 37,148,344 3.0% -------------- ---- THAILAND -- (0.8%) Other Securities ............................................... 10,164,524 0.8% -------------- ---- TURKEY -- (0.5%) Other Securities ............................................... 6,271,302 0.5% -------------- ---- UNITED KINGDOM -- (14.9%) ........................................ Anglo American P.L.C ........................................... 84,783 2,612,545 0.2% #AstraZeneca P.L.C. Sponsored ADR .............................. 53,810 2,496,784 0.2% BG Group P.L.C ................................................. 135,356 2,513,159 0.2% BP P.L.C. Sponsored ADR ........................................ 219,070 9,395,912 0.8% HSBC Holdings P.L.C ............................................ 341,216 3,364,173 0.3% HSBC Holdings P.L.C. Sponsored ADR. ............................ 187,245 9,242,413 0.7% Legal & General Group P.L.C .................................... 1,002,504 2,173,168 0.2% Royal Dutch Shell P.L.C. ADR. .................................. 185,909 13,130,753 1.1% Royal Dutch Shell P.L.C. Series B. ............................. 59,695 2,111,573 0.2% Standard Chartered P.L.C ....................................... 170,094 4,027,270 0.3% TESCO P.L.C .................................................... 522,999 2,706,244 0.2% Vodafone Group P.L.C. Sponsored ADR ............................ 343,133 9,340,080 0.7% Wolseley P.L.C ................................................. 50,810 2,227,393 0.2%
33 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ----------- -------------- --------------- UNITED KINGDOM -- (Continued) Xstrata P.L.C .................................................. 176,940 $ 2,802,995 0.2% Other Securities ............................................... 124,121,148 10.0% -------------- ---- TOTAL UNITED KINGDOM .............................................. 192,265,610 15.5% -------------- ---- UNITED STATES -- (0.0%) Other Securities ............................................... 87,049 0.0% -------------- ---- TOTAL COMMON STOCKS 1,219,678,669 98.3% -------------- ---- PREFERRED STOCKS-- (1.2%) BRAZIL -- (1.1%) Banco Bradesco SA Sponsored ADR ................................ 137,903 2,159,561 0.2% Petroleo Brasileiro SA ADR ..................................... 126,710 2,601,356 0.2% Other Securities ............................................... 9,857,525 0.8% -------------- ---- TOTAL BRAZIL ...................................................... 14,618,442 1.2% -------------- ---- CHILE -- (0.0%) Other Securities ............................................... 159,330 0.0% -------------- ---- COLOMBIA -- (0.0%) Other Securities ............................................... 10,645 0.0% -------------- ---- GERMANY -- (0.1%) Other Securities ............................................... 811,510 0.1% -------------- ---- MALAYSIA -- (0.0%) Other Securities ............................................... 12,235 0.0% -------------- ---- TOTAL PREFERRED STOCKS ............................................ 15,612,162 1.3% -------------- ---- RIGHTS/WARRANTS-- (0.0%) AUSTRALIA -- (0.0%) Other Securities ............................................... 27,769 0.0% -------------- ---- BELGIUM -- (0.0%) Other Securities ............................................... 98 0.0% -------------- ---- BRAZIL -- (0.0%) Other Securities ............................................... 674 0.0% -------------- ---- HONG KONG -- (0.0%) Other Securities ............................................... 40,820 0.0% -------------- ---- MALAYSIA -- (0.0%) Other Securities ............................................... 218 0.0% -------------- ---- POLAND -- (0.0%) Other Securities ............................................... 684 0.0% -------------- ---- SINGAPORE -- (0.0%) Other Securities ............................................... 10,242 0.0% -------------- ---- SOUTH AFRICA -- (0.0%) Other Securities ............................................... 3,914 0.0% -------------- ---- SOUTH KOREA -- (0.0%) Other Securities ............................................... 627 0.0% -------------- ---- SPAIN -- (0.0%) Other Securities ............................................... -- 0.0% -------------- ---- THAILAND -- (0.0%) Other Securities ............................................... -- 0.0% -------------- ---- TOTAL RIGHTS/WARRANTS ............................................. 85,046 0.0% -------------- ----
34 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE++ OF NET ASSETS** ----------- -------------- --------------- (000) SECURITIES LENDING COLLATERAL -- (4.0%) (S)@ DFA Short Term Investment Fund .............................. 4,407,952 $ 51,000,000 4.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $337,443) to be repurchased at $330,829 $ 331 330,826 0.0% -------------- ----- TOTAL SECURITIES LENDING COLLATERAL .............................. 51,330,826 4.1% -------------- ----- TOTAL INVESTMENTS -- (100.0%) (Cost $1,172,510,011) ......................................... $1,286,706,703 103.7% ============== =====
Summary of the Portfolio's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------------ ------- -------------- Common Stocks Australia ....................... $ 1,956,441 $ 62,918,232 -- $ 64,874,673 Austria ......................... -- 4,475,465 -- 4,475,465 Belgium ......................... 1,539,175 8,131,728 -- 9,670,903 Brazil .......................... 25,130,326 -- -- 25,130,326 Canada .......................... 104,782,487 48,936 -- 104,831,423 Chile ........................... 6,328,460 -- -- 6,328,460 China ........................... 8,314,155 47,428,480 -- 55,742,635 Colombia ........................ 977,780 -- -- 977,780 Czech Republic .................. -- 1,337,990 -- 1,337,990 Denmark ......................... 613,270 8,665,359 -- 9,278,629 Egypt ........................... -- 165,068 -- 165,068 Finland ......................... 100,739 12,835,696 -- 12,936,435 France .......................... 8,583,180 58,796,626 -- 67,379,806 Germany ......................... 8,677,132 48,102,403 -- 56,779,535 Greece .......................... 382,885 2,744,778 -- 3,127,663 Hong Kong ....................... 16,888 23,222,927 -- 23,239,815 Hungary ......................... 36,808 1,056,134 -- 1,092,942 India ........................... 1,192,633 22,258,527 -- 23,451,160 Indonesia ....................... 203,518 10,565,019 -- 10,768,537 Ireland ......................... 1,270,048 4,018,927 -- 5,288,975 Israel .......................... 1,078,668 3,825,561 -- 4,904,229 Italy ........................... 2,448,104 18,372,698 -- 20,820,802 Japan ........................... 11,750,950 161,630,045 -- 173,380,995 Malaysia ........................ -- 12,144,452 -- 12,144,452 Mexico .......................... 17,879,490 -- -- 17,879,490 Netherlands ..................... 6,442,419 16,834,975 -- 23,277,394 New Zealand ..................... 30,049 2,741,017 -- 2,771,066 Norway. ......................... 1,287,091 9,743,716 -- 11,030,807 Peru ............................ 738,229 -- -- 738,229
35 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
INVESTMENT IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------------ ------- -------------- Philippines ..................... $ 63,530 $ 5,694,167 -- $ 5,757,697 Poland .......................... -- 4,998,739 -- 4,998,739 Portugal ........................ -- 3,130,717 -- 3,130,717 Russia .......................... 305,373 7,285,990 -- 7,591,363 Singapore. ...................... -- 16,210,710 -- 16,210,710 South Africa .................... 3,191,248 20,621,966 -- 23,813,214 South Korea ..................... 4,224,747 45,169,473 -- 49,394,220 Spain ........................... 3,897,379 16,705,228 -- 20,602,607 Sweden .......................... 820,745 28,749,882 -- 29,570,627 Switzerland. .................... 10,505,062 48,341,200 -- 58,846,262 Taiwan .......................... 268,828 36,879,516 -- 37,148,344 Thailand ........................ 9,959,773 204,751 -- 10,164,524 Turkey .......................... 136,087 6,135,215 -- 6,271,302 United Kingdom .................. 58,860,179 133,405,431 -- 192,265,610 United States ................... 87,049 -- -- 87,049 Preferred Stocks Brazil .......................... 14,617,943 499 -- 14,618,442 Chile ........................... 159,330 -- -- 159,330 Colombia ........................ 10,645 -- -- 10,645 Germany ......................... -- 811,510 -- 811,510 Malaysia ........................ -- 12,235 -- 12,235 Rights/Warrants Australia ....................... -- 27,769 -- 27,769 Belgium ......................... -- 98 -- 98 Brazil .......................... -- 674 -- 674 Hong Kong ....................... -- 40,820 -- 40,820 Malaysia ........................ -- 218 -- 218 Poland .......................... -- 684 -- 684 Singapore. ...................... -- 10,242 -- 10,242 South Africa .................... -- 3,914 -- 3,914 South Korea ..................... -- 627 -- 627 Spain ........................... -- -- -- -- Thailand ........................ -- -- -- -- Securities Lending Collateral ...... -- 51,330,826 -- 51,330,826 ------------ ------------ --- -------------- TOTAL .............................. $318,868,843 $967,837,860 -- $1,286,706,703 ============ ============ === ==============
See accompanying Notes to Financial Statements. 36 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
TAX-MANAGED U.S. MARKETWIDE TAX-MANAGED TAX-MANAGED TAX-MANAGED VALUE U.S. EQUITY U.S. TARGETED VALUE U.S. SMALL CAP PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- ------------ ------------------- -------------- ASSETS: Investments in Affiliated Investment Company at Value ............................................... $ 2,345,657 -- -- -- Investments at Value (including $0, $137,973, $249,463 and $222,669 of securities on loan, respectively) ....................................... -- $ 1,513,790 $ 2,369,251 $ 1,325,586 Temporary Cash Investments at Value & Cost ............. -- 6,981 8,857 5,806 Collateral Received from Securities on Loan at Value & Cost . ...................................... -- 372 676 603 Affiliated Collateral Received from Securities on Loan at Value & Cost ................................ -- 141,041 256,073 228,450 Receivables: Investment Securities Sold/Affiliated Investment Company Sold ..................................... 692 134 -- 237 Dividends and Interest .............................. -- 1,708 664 428 Securities Lending Income ........................... -- 37 139 186 Fund Shares Sold .................................... 2,126 1,906 2,125 853 Prepaid Expenses and Other Assets ...................... 21 28 24 18 ------------ ------------ ------------ ------------ Total Assets ........................................ 2,348,496 1,665,997 2,637,809 1,562,167 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned .................... -- 141,413 256,749 229,053 Investment Securities Purchased/Affiliated Investment Company Purchased ..................... -- 635 -- 172 Fund Shares Redeemed ................................ 2,818 1,158 1,532 1,042 Due to Advisor ...................................... 297 261 839 560 Accrued Expenses and Other Liabilities ................. 85 119 122 74 ------------ ------------ ------------ ------------ Total Liabilities ................................ 3,200 143,586 259,242 230,901 ------------ ------------ ------------ ------------ NET ASSETS ............................................. $ 2,345,296 $ 1,522,411 $ 2,378,567 $ 1,331,266 ============ ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1) ................ 139,975,401 100,405,421 103,928,843 53,390,499 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .................................................. $ 16.76 $ 15.16 $ 22.89 $ 24.93 ============ ============ ============ ============ Investments in Affiliated Investment Company at Cost ................................................ $ 1,823,672 $ -- $ -- $ -- ------------ ------------ ------------ ------------ Investments at Cost. ................................... $ -- $ 943,583 $ 1,865,107 $ 921,661 ------------ ------------ ------------ ------------ NET ASSETS CONSIST OF: Paid-In Capital. ....................................... $ 1,957,431 $ 1,373,223 $ 1,820,098 $ 992,531 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) ................. 7,151 4,240 2,982 2,142 Accumulated Net Realized Gain (Loss) ................... (141,271) (425,259) 51,343 (67,332) Net Unrealized Appreciation (Depreciation) ............. 521,985 570,207 504,144 403,925 ------------ ------------ ------------ ------------ NET ASSETS ............................................. $ 2,345,296 $ 1,522,411 $ 2,378,567 $ 1,331,266 ============ ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED ........................ 700,000,000 500,000,000 700,000,000 500,000,000 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 37 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
T.A. U.S. TAX-MANAGED T.A. WORLD CORE DFA INTERNATIONAL EX U.S. CORE EQUITY 2 VALUE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO* -------------- ----------------- ------------ ASSETS: Investments at Value (including $328,457, $52,123 and $51,411 of securities on loan, respectively) ............................ $ 2,840,066 $ 1,960,493 $ 1,235,376 Temporary Cash Investments at Value & Cost ................................ 10,737 -- -- Collateral Received from Securities on Loan at Value & Cost ............... 888 893 331 Affiliated Collateral Received from Securities on Loan at Value & Cost .... 336,327 54,000 51,000 Foreign Currencies at Value ............................................... -- 8,398 2,439 Cash ...................................................................... -- 398 1,708 Receivables: Investment Securities Sold ............................................. 434 902 35 Dividends, Interest and Tax Reclaims ................................... 2,665 7,106 3,049 Securities Lending Income .............................................. 157 101 102 Fund Shares Sold ....................................................... 3,395 2,461 1,558 Unrealized Gain on Foreign Currency Contracts ............................. -- -- 2 Prepaid Expenses and Other Assets. ........................................ 25 33 10 -------------- ------------ ------------ Total Assets ........................................................ 3,194,694 2,034,785 1,295,610 -------------- ------------ ------------ LIABILITIES: Payables: ................................................................. Upon Return of Securities Loaned. ...................................... 337,215 54,893 51,331 Investment Securities Purchased ........................................ 4 4,492 1,845 Fund Shares Redeemed ................................................... 3,573 2,974 1,266 Due to Advisor ......................................................... 529 823 413 Unrealized Loss on Foreign Currency Contracts ............................. -- -- 2 Accrued Expenses and Other Liabilities .................................... 139 215 146 -------------- ------------ ------------ Total Liabilities ................................................... 341,460 63,397 55,003 -------------- ------------ ------------ NET ASSETS. ............................................................... $ 2,853,234 $ 1,971,388 $ 1,240,607 ============== ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1) ................................... 292,570,881 152,679,690 144,958,470 ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE. ................. $ 9.75 $ 12.91 $ 8.56 ============== ============ ============ Investments at Cost ....................................................... $ 2,133,423 $ 2,037,978 $ 1,121,179 -------------- ------------ ------------ Foreign Currencies at Cost ................................................ $ -- $ 8,378 $ 2,411 -------------- ------------ ------------ NET ASSETS CONSIST OF: Paid-In Capital ........................................................... $ 2,139,276 $ 2,075,152 $ 1,122,468 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) ..................................................... 6,522 7,757 5,850 Accumulated Net Realized Gain (Loss) ...................................... 793 (33,867) (1,893) Net Unrealized Foreign Exchange Gain (Loss) ............................... -- (189) (43) Net Unrealized Appreciation (Depreciation) ................................ 706,643 (77,465) 114,225 -------------- ------------ ------------ NET ASSETS. ............................................................... $ 2,853,234 $ 1,971,388 $ 1,240,607 ============== ============ ============ (1) NUMBER OF SHARES AUTHORIZED 1,000,000,000 700,000,000 500,000,000 ============== ============ ============
-------------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 38 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS)
TAX-MANAGED U.S. MARKETWIDE TAX-MANAGED TAX-MANAGED VALUE U.S. EQUITY U.S. TARGETED VALUE PORTFOLIO* PORTFOLIO PORTFOLIO --------------- ----------- ------------------- INVESTMENT INCOME Dividends .................................................. $ 47,153 $ 30,149 $ 30,580 Interest ................................................... 11 8 14 Income from Securities Lending ............................. 1,480 535 1,888 Expenses Allocated from Affiliated Investment Company ...... (4,774) -- -- --------------- ----------- ------------------- Total Investment Income .............................. 43,870 30,692 32,482 --------------- ----------- ------------------- EXPENSES Investment Advisory Services Fees .......................... -- 734 9,606 Administrative Services Fees ............................... 3,313 2,202 -- Accounting & Transfer Agent Fees ........................... 37 172 257 Custodian Fees ............................................. -- 32 43 Filing Fees ................................................ 55 46 47 Shareholders' Reports ...................................... 50 28 51 Directors'/Trustees' Fees & Expenses ....................... 19 12 19 Professional Fees .......................................... 19 39 58 Other ...................................................... 24 24 46 --------------- ----------- ------------------- Total Expenses ....................................... 3,517 3,289 10,127 --------------- ----------- ------------------- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C) ............... -- (59) -- --------------- ----------- ------------------- Net Expenses ............................................... 3,517 3,230 10,127 --------------- ----------- ------------------- NET INVESTMENT INCOME (LOSS) ............................... 40,353 27,462 22,355 --------------- ----------- ------------------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities .............................................. -- 9 -- Net Realized Gain (Loss) on: Investment Securities Sold .............................. 45,725 37,995 104,052 Change in Unrealized Appreciation (Depreciation) of: Investment Securities ................................... 285,396 132,559 200,822 --------------- ----------- ------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) .................... 331,121 170,563 304,874 --------------- ----------- ------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................................................. $ 371,474 $ 198,025 $ 327,229 =============== =========== ===================
---------- * 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. 39 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS)
T.A. U.S. TAX-MANAGED T.A. WORLD TAX-MANAGED CORE DFA INTERNATIONAL EX U.S. U.S. SMALL CAP EQUITY 2 VALUE CORE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO -------------- --------- ----------------- ----------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $5,696 and $3,130, respectively) .............. $ 16,193 $ 50,140 $ 70,021 $ 35,662 Interest ............................................. 10 13 1 -- Income from Securities Lending ....................... 2,036 2,278 1,566 1,197 -------------- --------- ----------------- ----------- Total Investment Income ........................ 18,239 52,431 71,588 36,859 -------------- --------- ----------------- ----------- EXPENSES Investment Advisory Services Fees .................... 6,401 5,894 9,248 4,528 Accounting & Transfer Agent Fees ..................... 152 294 216 141 Custodian Fees ....................................... 46 56 429 664 Filing Fees .......................................... 43 79 92 54 Shareholders' Reports ................................ 34 41 50 25 Directors'/Trustees' Fees & Expenses ................. 11 23 16 9 Professional Fees .................................... 33 69 69 80 Other ................................................ 19 32 43 34 -------------- --------- ----------------- ----------- Total Expenses ................................. 6,739 6,488 10,163 5,535 -------------- --------- ----------------- ----------- Fees Paid Indirectly ................................. -- -- (6) (5) -------------- --------- ----------------- ----------- Net Expenses ......................................... 6,739 6,488 10,157 5,530 -------------- --------- ----------------- ----------- NET INVESTMENT INCOME (LOSS) ......................... 11,500 45,943 61,431 31,329 -------------- --------- ----------------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities ........................ -- 37 -- -- Net Realized Gain (Loss) on: Investment Securities Sold ........................ 68,129 19,708 (1,850) 1,868 Foreign Currency Transactions ..................... -- -- (768) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................................... 86,134 300,040 (5,473) 26,612 Translation of Foreign Currency Denominated Amounts ............................... -- -- (58) (108) -------------- --------- ----------------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ............................................. 154,263 319,785 (8,149) 28,369 -------------- --------- ----------------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ............................ $ 165,763 $ 365,728 $ 53,282 $ 59,698 ============== ========= ================= ===========
See accompanying Notes to Financial Statements. 40 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
TAX-MANAGED TAX-MANAGED TAX-MANAGED TAX-MANAGED U.S. MARKETWIDE U.S. EQUITY U.S. TARGETED U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO VALUE PORTFOLIO 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, 2012 2011 2012 2011 2012 2011 2012 2011 ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) ..... $ 40,353 $ 30,707 $ 27,462 $ 23,293 $ 22,355 $ 15,488 $ 11,500 $ 8,057 Capital Gain Distributions Received from Investment Securites .......... -- -- 9 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold/Affiliated Investment Companies Sold ............. 45,725 55,401 37,995 16,560 104,052 163,018 68,129 86,099 Change in Unrealized Appreciation (Depreciation) of: Investment Securities/Affiliated Investment Companies .......... 285,396 29,854 132,559 57,130 200,822 (52,059) 86,134 5,490 ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations .............. 371,474 115,962 198,025 96,983 327,229 126,447 165,763 99,646 ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Distributions From: Net Investment Income ............ (38,619) (29,356) (26,579) (22,909) (20,027) (15,344) (10,665) (7,826) ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Total Distributions ........... (38,619) (29,356) (26,579) (22,909) (20,027) (15,344) (10,665) (7,826) ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Capital Share Transactions(1): Shares Issued .................... 273,305 424,803 208,380 267,973 228,284 369,513 151,087 189,668 Shares Issued in Lieu of Cash Distributions ................. 37,484 28,526 24,979 20,568 19,783 15,175 10,379 7,626 Shares Redeemed .................. (361,467) (373,757) (246,462) (284,783) (367,757) (450,282) (197,583) (218,323) ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Net Increase (Decrease) from Capital Share Transactions.. (50,678) 79,572 (13,103) 3,758 (119,690) (65,594) (36,117) (21,029) ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Total Increase (Decrease) in Net Assets .............. 282,177 166,178 158,343 77,832 187,512 45,509 118,981 70,791 NET ASSETS Beginning of Period .............. 2,063,119 1,896,941 1,364,068 1,286,236 2,191,055 2,145,546 1,212,285 1,141,494 ---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- End of Period .................... $2,345,296 $2,063,119 $1,522,411 $1,364,068 $2,378,567 $2,191,055 $1,331,266 $1,212,285 ========== ========== ========== ========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued .................... 17,802 28,609 14,501 19,801 10,738 17,877 6,365 8,418 Shares Issued in Lieu of Cash Distributions ................. 2,494 1,941 1,766 1,533 970 743 459 342 Shares Redeemed .................. (23,378) (25,136) (17,041) (21,432) (17,209) (21,598) (8,365) (9,600) ---------- ---------- ---------- ---------- ---------- ---------- ---------- --------- Net Increase (Decrease) from Shares Issued and Redeemed.. (3,082) 5,414 (774) (98) (5,501) (2,978) (1,541) (840) ========== ========== ========== ========== ========== ========== ========== ========= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) .......................... $ 7,151 $ 5,375 $ 4,240 $ 3,356 $ 2,982 $ 2,021 $ 2,142 $ 1,302
See accompanying Notes to Financial Statements. 41 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
T.A. WORLD T.A. U.S. TAX-MANAGED EX U.S. CORE EQUITY 2 DFA INTERNATIONAL CORE EQUITY PORTFOLIO VALUE 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, 2012 2011 2012 2011 2012 2011 ------------ ------------ ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) .......... $ 45,943 $ 32,960 $ 61,431 $ 61,460 $ 31,329 $ 28,745 Capital Gain Distributions Received from Investment Securities ......... 37 -- -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold ......... 19,708 20,516 (1,850) 68,397 1,868 3,859 Foreign Currency Transactions ...... -- -- (768) 460** (3) (131)** Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........................ 300,040 80,826 (5,473) (282,899) 26,612 (128,674) Translation of Foreign Currency Denominated Amounts ............. -- -- (58) (385) (108) (3) Change in Deferred Thailand Capital Gains Tax .......................... -- -- -- -- -- 316 ------------ ------------ ------------ ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting from Operations 365,728 134,302 53,282 (152,967) 59,698 (95,888) ------------ ------------ ------------ ------------ ------------ ------------ Distributions From: Net Investment Income ................. (42,125) (31,850) (58,706) (59,500) (29,565) (27,820) ------------ ------------ ------------ ------------ ------------ ------------ Total Distributions ............. (42,125) (31,850) (58,706) (59,500) (29,565) (27,820) ------------ ------------ ------------ ------------ ------------ ------------ Capital Share Transactions(1): Shares Issued ......................... 508,269 710,062 531,329 523,994 384,441 396,289 Shares Issued in Lieu of Cash Distributions ...................... 41,426 31,390 57,299 58,085 28,659 26,989 Shares Redeemed ....................... (452,936) (425,616) (455,312) (360,119) (245,607) (223,588) ------------ ------------ ------------ ------------ ------------ ------------ Net Increase (Decrease) from Capital Share Transactions .............. 96,759 315,836 133,316 221,960 167,493 199,690 ------------ ------------ ------------ ------------ ------------ ------------ Total Increase (Decrease) in Net Assets .......................... 420,362 418,288 127,892 9,493 197,626 75,982 NET ASSETS Beginning of Period ................... 2,432,872 2,014,584 1,843,496 1,834,003 1,042,981 966,999 ------------ ------------ ------------ ------------ ------------ ------------ End of Period ......................... $ 2,853,234 $ 2,432,872 $ 1,971,388 $ 1,843,496 $ 1,240,607 $ 1,042,981 ============ ============ ============ ============ ============ ============ (1) SHARES ISSUED AND REDEEMED: Shares Issued ......................... 55,305 80,649 43,190 37,445 47,312 42,686 Shares Issued in Lieu of Cash Distributions ...................... 4,601 3,600 4,849 3,994 3,668 2,902 Shares Redeemed ....................... (49,089) (48,716) (37,266) (25,779) (30,383) (25,134) ------------ ------------ ------------ ------------ ------------ ------------ Net Increase (Decrease) from Shares Issued and Redeemed ............. 10,817 35,533 10,773 15,660 20,597 20,454 ============ ============ ============ ============ ============ ============ UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) .................... $ 6,522 $ 4,481 $ 7,757 $ 7,201 $ 5,850 $ 3,526
---------- ** Net of foreign capital gain taxes withheld of $2 and $71, respectively. See accompanying Notes to Financial Statements. 42 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO ------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR PERIOD YEAR ENDED ENDED ENDED ENDED DEC. 1, ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, Beginning of Period ............... $ 14.42 $ 13.78 $ 11.61 $ 10.59 $ 17.51 $ 17.67 ---------- ---------- ---------- ---------- ------------- ---------- Income from Investment Operations Net Investment Income (Loss) (A) ........... 0.28 0.22 0.16 0.21 0.27 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 2.33 0.63 2.17 1.06 (6.66) (0.16) ---------- ---------- ---------- ---------- ------------- ---------- Total from Investment Operations ........ 2.61 0.85 2.33 1.27 (6.39) 0.11 ---------- ---------- ---------- ---------- ------------- ---------- Less Distributions Net Investment Income ... (0.27) (0.21) (0.16) (0.25) (0.29) (0.27) Net Realized Gains ...... -- -- -- -- (0.24) -- ---------- ---------- ---------- ---------- ------------- ---------- Total Distributions .. (0.27) (0.21) (0.16) (0.25) (0.53) (0.27) ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, End of Period ............... $ 16.76 $ 14.42 $ 13.78 $ 11.61 $ 10.59 $ 17.51 ========== ========== ========== ========== ============= ========== Total Return ............... 18.34% 6.15% 20.17% 12.54% (37.53)%(C) 0.54% ---------- ---------- ---------- ---------- ------------- ---------- Net Assets, End of Period (thousands) ............. $2,345,296 $2,063,119 $1,896,941 $1,618,256 $ 1,576,757 $2,747,843 Ratio of Expenses to Average Net Assets ...... 0.38%(D) 0.38%(D) 0.38%(D) 0.40%(D) 0.38%(B)(D) 0.37%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) ................ 0.38%(D) 0.38%(D) 0.38%(D) 0.40%(D) 0.38%(B)(D) 0.37%(D) Ratio of Net Investment Income to Average Net Assets .................. 1.83% 1.45% 1.24% 2.07% 1.93%(B) 1.45% Portfolio Turnover Rate .... N/A N/A N/A N/A N/A N/A
TAX-MANAGED U.S. EQUITY PORTFOLIO ------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR PERIOD YEAR ENDED ENDED ENDED ENDED DEC. 1, ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, Beginning of Period ............... $ 13.48 $ 12.70 $ 10.94 $ 10.36 $ 15.57 $ 14.75 ---------- ---------- ---------- ---------- ------------- ---------- Income from Investment Operations Net Investment Income (Loss)(A) ..... 0.27 0.23 0.20 0.22 0.23 0.25 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 1.67 0.77 1.76 0.60 (5.19) 0.81 ---------- ---------- ---------- ---------- ------------- ---------- Total from Investment Operations ........ 1.94 1.00 1.96 0.82 (4.96) 1.06 ---------- ---------- ---------- ---------- ------------- ---------- Less Distributions Net Investment Income ... (0.26) (0.22) (0.20) (0.24) (0.25) (0.24) Net Realized Gains ...... -- -- -- -- -- -- ---------- ---------- ---------- ---------- ------------- ---------- Total Distributions .. (0.26) (0.22) (0.20) (0.24) (0.25) (0.24) ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, End of Period ............... $ 15.16 $ 13.48 $ 12.70 $ 10.94 $ 10.36 $ 15.57 ========== ========== ========== ========== ============= ========== Total Return ............... 14.57% 7.92% 18.10% 8.30% (32.30)%(C) 7.23% ---------- ---------- ---------- ---------- ------------- ---------- Net Assets, End of Period (thousands) ............. $1,522,411 $1,364,068 $1,286,236 $1,141,449 $ 1,268,330 $1,823,812 Ratio of Expenses to Average Net Assets ...... 0.22% 0.22%** 0.22%(D) 0.22%(D) 0.22%(B)(D) 0.22%(D) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).. 0.22% 0.23%** 0.23%(D) 0.26%(D) 0.23%(B)(D) 0.23%(D) Ratio of Net Investment Income to Average Net Assets ...... 1.87% 1.65% 1.70% 2.24% 1.76%(B) 1.59% Portfolio Turnover Rate .................... 7% 11%* N/A N/A N/A N/A
---------- * For the period February 28, 2011 through October 31, 2011. Effective February 28, 2011, the Portfolio invests directly in securities rather than through The Tax-Managed U.S. Equity Series. ** Represents the combined ratios for the Portfolio and for the period November 1, 2010 through February 27, 2011, its respective pro-rata share of The Tax-Managed U.S. Equity Series. See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 43 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO ------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR PERIOD YEAR ENDED ENDED ENDED ENDED DEC. 1, ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, Beginning of Period ..... $ 20.02 $ 19.09 $ 14.96 $ 14.41 $ 23.09 $ 27.39 ---------- ---------- ---------- ---------- ------------- ---------- Income from Investment Operations Net Investment Income (Loss)(A) ............ 0.21 0.14 0.11 0.14 0.20 0.25 Net Gains (Losses) on Securities (Realized and Unrealized) .......... 2.85 0.93 4.13 0.60 (7.29) (1.87) ---------- ---------- ---------- ---------- ------------- ---------- Total from Investment Operations ........ 3.06 1.07 4.24 0.74 (7.09) (1.62) ---------- ---------- ---------- ---------- ------------- ---------- Less Distributions Net Investment Income ... (0.19) (0.14) (0.11) (0.19) (0.18) (0.24) Net Realized Gains ...... -- -- -- -- (1.41) (2.44) ---------- ---------- ---------- ---------- ------------- ---------- Total Distributions .. (0.19) (0.14) (0.11) (0.19) (1.59) (2.68) ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, End of Period ............... $ 22.89 $ 20.02 $ 19.09 $ 14.96 $ 14.41 $ 23.09 ========== ========== ========== ========== ============= ========== Total Return ............... 15.39% 5.58% 28.43% 5.41% (32.85)%(C) (6.58)% ---------- ---------- ---------- ---------- ------------- ---------- Net Assets, End of Period (thousands) ............. $2,378,567 $2,191,055 $2,145,546 $1,700,343 $ 1,662,774 $2,905,694 Ratio of Expenses to Average Net Assets ...... 0.44% 0.44% 0.45% 0.47% 0.45%(B) 0.47% Ratio of Net Investment Income to Average Net Assets ...... 0.98% 0.66% 0.63% 1.04% 1.07%(B) 0.98% Portfolio Turnover Rate .................... 12% 21% 26% 34% 40%(C) 28%
TAX-MANAGED U.S. SMALL CAP PORTFOLIO ------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR PERIOD YEAR ENDED ENDED ENDED ENDED DEC. 1, ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, ........... Beginning of Period $ 22.07 $ 20.47 $ 16.26 $ 15.83 $ 25.86 $ 26.27 ---------- ---------- ---------- ---------- ------------- ---------- Income from Investment Operations Net Investment Income (Loss)(A) ..... 0.21 0.15 0.11 0.13 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 2.85 1.59 4.20 0.47 (7.87) (0.42) ---------- ---------- ---------- ---------- ------------- ---------- Total from Investment Operations ........ 3.06 1.74 4.31 0.60 (7.68) (0.24) ---------- ---------- ---------- ---------- ------------- ---------- Less Distributions Net Investment Income ... (0.20) (0.14) (0.10) (0.17) (0.18) (0.17) Net Realized Gains ...... -- -- -- -- (2.17) -- ---------- ---------- ---------- ---------- ------------- ---------- Total Distributions .. (0.20) (0.14) (0.10) (0.17) (2.35) (0.17) ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, End of Period ............... $ 24.93 $ 22.07 $ 20.47 $ 16.26 $ 15.83 $ 25.86 ========== ========== ========== ========== ============= ========== Total Return ............... 13.95% 8.50% 26.61% 3.98% (32.53)%(C) (0.94)% ---------- ---------- ---------- ---------- ------------- ---------- Net Assets, End of Period (thousands) ...... $1,331,266 $1,212,285 $1,141,494 $ 957,145 $ 1,077,395 $1,779,245 Ratio of Expenses to Average Net Assets ...... 0.53% 0.53% 0.53% 0.55% 0.53%(B) 0.53% Ratio of Net Investment Income to Average Net Assets ...... 0.90% 0.64% 0.58% 0.88% 0.98%(B) 0.65% Portfolio Turnover Rate .... 17% 22% 27% 28% 39%(C) 31%
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 44 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A. U.S. CORE EQUITY 2 PORTFOLIO ----------------------------------------------------------------------------------------------- PERIOD PERIOD YEAR YEAR YEAR YEAR DEC. 1, OCT. 4, ENDED ENDED ENDED ENDED 2007 TO 2007(a) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, Beginning of Period ............... $ 8.63 $ 8.18 $ 6.83 $ 6.31 $ 9.40 $ 10.00 ---------- ---------- ---------- ---------- ------------- ---------- Income from Investment Operations Net Investment Income (Loss) (A) ........... 0.16 0.12 0.11 0.11 0.13 0.02 Net Gains (Losses) on Securities (Realized and Unrealized) ...... 1.11 0.45 1.35 0.52 (3.12) (0.62) ---------- ---------- ---------- ---------- ------------- ---------- Total from Investment Operations ........ 1.27 0.57 1.46 0.63 (2.99) (0.60) ---------- ---------- ---------- ---------- ------------- ---------- Less Distributions Net Investment Income ... (0.15) (0.12) (0.11) (0.11) (0.10) -- Net Realized Gains ...... -- -- -- -- -- -- ---------- ---------- ---------- ---------- ------------- ---------- Total Distributions .. (0.15) (0.12) (0.11) (0.11) (0.10) -- ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, End of Period ............... $ 9.75 $ 8.63 $ 8.18 $ 6.83 $ 6.31 $ 9.40 ========== ========== ========== ========== ============= ========== Total Return ............... 14.82% 6.97% 21.49% 10.28% (32.16)%(C) (6.00)%(C) ---------- ---------- ---------- ---------- ------------- ---------- Net Assets, End of Period (thousands) ...... $2,853,234 $2,432,872 $2,014,584 $1,444,886 $ 585,165 $ 106,507 Ratio of Expenses to Average Net Assets ...... 0.24% 0.24% 0.25% 0.28% 0.29%(B) 0.30%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) ............. 0.24% 0.24% 0.25% 0.28% 0.29%(B) 0.60%(B)(E) Ratio of Net Investment Income to Average Net Assets ...... 1.71% 1.39% 1.45% 1.82% 1.75%(B) 2.09%(B)(E) Portfolio Turnover Rate .................... 6% 6% 5% 5% 9%(C) 0%(C)
TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO ------------------------------------------------------------------------------------------------- PERIOD YEAR YEAR YEAR YEAR DEC. 1, YEAR ENDED ENDED ENDED ENDED 2007 TO ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, NOV. 30, 2012 2011 2010 2009 2008 2007 ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, Beginning of Period ............... $ 12.99 $ 14.53 $ 13.49 $ 10.55 $ 21.91 $ 19.96 ---------- ---------- ---------- ---------- ------------- ---------- Income from Investment Operations Net Investment Income (Loss) (A) ........... 0.42 0.46 0.31 0.32 0.59 0.59 Net Gains (Losses) on Securities (Realized and Unrealized) ...... (0.10) (1.55) 1.03 3.00 (9.60) 2.76 ---------- ---------- ---------- ---------- ------------- ---------- Total from Investment Operations ..... 0.32 (1.09) 1.34 3.32 (9.01) 3.35 ---------- ---------- ---------- ---------- ------------- ---------- Less Distributions Net Investment Income ... (0.40) (0.45) (0.30) (0.38) (0.64) (0.48) Net Realized Gains ...... -- -- -- -- (1.71) (0.92) ---------- ---------- ---------- ---------- ------------- ---------- Total Distributions .. (0.40) (0.45) (0.30) (0.38) (2.35) (1.40) ---------- ---------- ---------- ---------- ------------- ---------- Net Asset Value, End of Period ............... $ 12.91 $ 12.99 $ 14.53 $ 13.49 $ 10.55 $ 21.91 ========== ========== ========== ========== ============= ========== Total Return ............... 2.77% (7.81)% 10.34% 32.27% (45.58)%(C) 17.51% ---------- ---------- ---------- ---------- ------------- ---------- Net Assets, End of Period (thousands) ...... $1,971,388 $1,843,496 $1,834,003 $1,637,834 $ 1,393,229 $2,859,270 Ratio of Expenses to Average Net Assets ...... 0.55% 0.55% 0.55% 0.56% 0.54%(B) 0.54% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) ............. 0.55% 0.55% 0.55% 0.56% 0.54%(B) 0.54% Ratio of Net Investment Income to Average Net Assets ...... 3.32% 3.16% 2.29% 2.92% 3.76%(B) 2.77% Portfolio Turnover Rate .... 18% 16% 28% 24% 24%(C) 20%
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 45 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
T.A WORLD EX U.S. CORE EQUITY PORTFOLIO -------------------------------------------------------------- PERIOD MARCH 6, YEAR YEAR YEAR YEAR 2008(a) ENDED ENDED ENDED ENDED TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 2008 ---------- ---------- ---------- ---------- ---------- Net Asset Value, Beginning of Period ....................... $ 8.39 $ 9.31 $ 8.13 $ 5.85 $ 10.00 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations Net Investment Income (Loss) (A) ........................ 0.23 0.25 0.17 0.16 0.15 Net Gains (Losses) on Securities (Realized and Unrealized) .......................................... 0.16 (0.93) 1.17 2.27 (4.15) ---------- ---------- ---------- ---------- ---------- Total from Investment Operations ..................... 0.39 (0.68) 1.34 2.43 (4.00) ---------- ---------- ---------- ---------- ---------- Less Distributions Net Investment Income ................................... (0.22) (0.24) (0.16) (0.15) (0.15) ---------- ---------- ---------- ---------- ---------- Total Distributions .................................. (0.22) (0.24) (0.16) (0.15) (0.15) ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period ............................. $ 8.56 $ 8.39 $ 9.31 $ 8.13 $ 5.85 ========== ========== ========== ========== ========== Total Return ............................................... 4.90% (7.55)% 16.78% 42.13% (40.61)%(C) ---------- ---------- ---------- ---------- ---------- Net Assets, End of Period (thousands) ...................... $1,240,607 $1,042,981 $ 966,999 $ 668,728 $ 228,318 Ratio of Expenses to Average Net Assets .................... 0.49% 0.48% 0.48% 0.54% 0.60%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly) ........ 0.49% 0.48% 0.48% 0.51% 0.85%(B)(E) Ratio of Net Investment Income to Average Net Assets ....... 2.77% 2.63% 2.00% 2.38% 3.27%(B)(E) Portfolio Turnover Rate .................................... 3% 5% 2% 5% 2%(C)
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 46 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 sixty-seven operational portfolios, seven of which (the "Portfolios"), are included in this section of the report. The remaining sixty portfolios are presented in separate reports. Tax-Managed U.S. Marketwide Value Portfolio (the "Feeder Fund") primarily invests its assets in The Tax-Managed U.S. Marketwide Value Series (the "Series"), a corresponding Series of The DFA Investment Trust Company. At October 31, 2012, the Feeder Fund owned 71% of its Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Fund. Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio are organized as stand-alone registered investment companies. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Portfolios from November 30 to October 31. Prior to February 28, 2011, Tax-Managed U.S. Equity Portfolio invested substantially all of its assets in The Tax-Managed U.S. Equity Series (the "Equity Series"). At the close of business February 25, 2011, Tax-Managed U.S. Equity Portfolio received its prorata share of cash and securities from the Equity Series in a complete liquidation of its interest in the Equity Series. Effective February 28, 2011, Tax-Managed U.S. Equity Portfolio invests directly in securities rather than through the Equity Series and maintains the same investment objective. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Portfolios utilize 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, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments) Securities held by Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio and T.A. U.S. Core Equity 2 Portfolio (the "Domestic Equity Portfolios") and Tax-Managed 47 DFA International Value Portfolio and T.A. World ex U.S. Core Equity Portfolio (the "International Equity Portfolios"), including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and 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, 11:00 p.m. PT), which is fourteen hours prior to the close of the NYSE (normally, 1:00 p.m. PT) and the time that the net asset value of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets' perceptions and trading activities on the International Equity Portfolios' foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board 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 utilize data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the International Equity Portfolios use fair value pricing, the values assigned to the International Equity Portfolios' 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 hierachy. Futures contracts held by the Portfolios are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Tax-Managed U.S. Marketwide Value Portfolio's investment reflects its proportionate interest in the net assets of the Series. These valuations are classified as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. Valuation hierarchy tables have been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Portfolios had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios whose values are initially expressed in foreign currencies, are translated to U.S. dollars using the mean between the most 48 recently quoted bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates 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 on securities transactions, and the difference between the amount of interest, dividends and foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/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 are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios are allocated using methods approved by the Board, generally based on average net assets. The Feeder Fund recognizes its pro-rata share of net investment income and realized and unrealized gains/losses of investment securities, on a daily basis, from its Series, which is treated as a partnership for federal income tax purposes. The International Equity Portfolios may be subject to taxes imposed by countries in which 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 Equity Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales 49 earned by foreign investors. In addition, 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 abroad. T.A. World ex U.S. Core Equity Portfolio is subject to a 15% governmental capital gains tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The taxes for the capital gains are recognized when the capital gains are earned. C. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides administrative services to the Feeder Fund and Tax-Managed U.S. Equity Portfolio, including supervision of services provided by others, providing information to shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the Portfolios. The Advisor does not receive additional compensation for the investment advisory services it provides for the Feeder Fund. For the year ended October 31, 2012, the Portfolios' administrative services fees or investment advisory services fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets:
ADMINISTRATIVE ADVISORY SERVICES FEES SERVICES FEES -------------- ------------- Tax-Managed U.S. Marketwide Value Portfolio ...... 0.15% -- Tax-Managed U.S. Equity Portfolio ................ 0.15% 0.05% Tax-Managed U.S. Targeted Value Portfolio ........ -- 0.42% Tax-Managed U.S. Small Cap Portfolio ............. -- 0.50% T.A. U.S. Core Equity 2 Portfolio ................ -- 0.22% Tax-Managed DFA International Value Portfolio .... -- 0.50% T.A. World ex U.S. Core Equity Portfolio ......... -- 0.40%
Pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive certain fees and in certain instances, assume certain expenses of the Tax-Managed U.S. Equity Portfolio, T.A. U.S. Core Equity 2 Portfolio, and T.A. World ex U.S. Core Equity Portfolio, as described in the notes below. The Fee Waiver and Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2013, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2012, the Portfolios listed had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the 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.
PREVIOUSLY RECOVERY WAIVED FEES/ EXPENSE OF PREVIOUSLY EXPENSES ASSUMED LIMITATION WAIVED FEES/ SUBJECT TO FUTURE AMOUNT EXPENSES ASSUMED RECOVERY ---------- ---------------- ----------------- Tax-Managed U.S. Equity Portfolio (1) .............. 0.22% -- $315 T.A. U.S. Core Equity 2 Portfolio (2) .............. 0.30% -- -- T.A. World ex U.S. Core Equity Portfolio (3) ....... 0.60% -- --
(1) The Advisor has contractually agreed to waive its administration fee and advisory fee and assume the expenses of the Portfolio to the extent necessary to reduce the Portfolio's total operating expenses 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 annualized 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 will not cause the Portfolio's annualized expenses to exceed the Expense Limitation Amount, as listed above. 50 (2) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio's ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses 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 annualized 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 any expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (3) The Advisor has contractually agreed to waive all or a portion of its advisory 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 its invesment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("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 annualized 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 any expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. EARNED INCOME CREDIT: In addition, the Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2012, expenses reduced were as follows (amounts in thousands): FEES PAID INDIRECTLY ---------- Tax-Managed DFA International Value Portfolio ...... $6 T.A. World ex U.S. Core Equity Portfolio ........... 5 FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the year ended October 31, 2012, the total related amounts paid to the CCO by the Fund were $234 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 2012, 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 (amounts in thousands): Tax-Managed U.S. Marketwide Value Portfolio ........ $57 Tax-Managed U.S. Equity Portfolio .................. 79 Tax-Managed U.S. Targeted Value Portfolio .......... 60 Tax-Managed U.S. Small Cap Portfolio ............... 35 T.A. U.S. Core Equity 2 Portfolio .................. 50 Tax-Managed DFA International Value Portfolio ...... 54 T.A. World ex U.S. Core Equity Portfolio ........... 22 51 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2012, the Portfolios made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): PURCHASES SALES --------- -------- Tax-Managed U.S. Equity Portfolio .............. $102,118 $120,824 Tax-Managed U.S. Targeted Value Portfolio ...... 266,212 391,566 Tax-Managed U.S. Small Cap Portfolio ........... 219,280 259,837 T.A. U.S. Core Equity 2 Portfolio .............. 233,403 151,375 Tax-Managed DFA International Value Portfolio .. 475,088 334,492 T.A. World ex U.S. Core Equity Portfolio ....... 201,113 34,906 There were no purchases or sales of long-term U.S. government securities. F. FEDERAL INCOME TAXES: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, primarily attributable to net realized foreign currency gains/(losses), realized gains on securities considered to be "passive foreign investment companies", the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for income tax purposes and non-deductible expenses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS (LOSSES) --------------- -------------- -------------- Tax-Managed U.S. Marketwide Value Portfolio .... $ (3) $ 42 $ (39) Tax Managed U.S. Equity Portfolio .............. (1) 1 -- Tax-Managed U.S. Targeted Value Portfolio ...... 4,833 (1,367) (3,466) Tax Managed U.S. Small Cap Portfolio ........... (5) 5 -- T.A. U.S. Core Equity 2 Portfolio .............. 1,917 (1,777) (140) Tax-Managed DFA International Value Portfolio .. 1,401 (2,169) 768 T.A. World ex U.S. Core Equity Portfolio ....... 782 560 (1,342)
52 The tax character of dividends and distributions declared and paid during the years ended October 31, 2011 and October 31, 2012 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAIN TOTAL -------------- ------------ ------- Tax-Managed U.S. Marketwide Value Portfolio 2011 ........................................... $29,356 -- $29,356 2012 ........................................... 38,619 -- 38,619 Tax-Managed U.S. Equity Portfolio 2011 ........................................... 22,909 -- 22,909 2012 ........................................... 26,579 -- 26,579 Tax-Managed U.S. Targeted Value Portfolio 2011 ........................................... 15,344 -- 15,344 2012 ........................................... 21,411 $3,466 24,877 Tax-Managed U.S. Small Cap Portfolio 2011 ........................................... 7,826 -- 7,826 2012 ........................................... 10,665 -- 10,665 T.A. U.S. Core Equity 2 Portfolio 2011 ........................................... 32,785 -- 32,785 2012 ........................................... 43,904 140 44,044 Tax-Managed DFA International Value Portfolio 2011 ........................................... 61,130 -- 61,130 2012 ........................................... 60,106 -- 60,106 T.A. World ex U.S. Core Equity Portfolio 2011 ........................................... 28,920 -- 28,920 2012 ........................................... 30,337 10 30,347
At October 31, 2012, 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 utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ------ Tax-Managed U.S. Targeted Value Portfolio ......... $1,384 $3,466 $4,850 T.A. U.S. Core Equity 2 Portfolio ................. 1,779 140 1,919 Tax-Managed DFA International Value Portfolio ..... 1,400 -- 1,400 T.A. World ex U.S. Core Equity Portfolio .......... 772 10 782
At October 31, 2012, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED CAPITAL EARNINGS SHORT-TERM LONG-TERM LOSS (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- Tax-Managed U.S. Marketwide Value Portfolio ..... $7,429 -- $(140,771) $(133,342) Tax-Managed U.S. Equity Portfolio ............... 4,360 -- (424,041) (419,681) Tax-Managed U.S. Targeted Value Portfolio ....... 4,346 $51,903 -- 56,249
53
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED CAPITAL EARNINGS SHORT-TERM LONG-TERM LOSS (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES) -------------- ------------- ------------ ------------- Tax-Managed U.S. Small Cap Portfolio ............ $2,724 -- $(66,960) $(64,236) T.A. U.S. Core Equity 2 Portfolio ............... 6,745 $3,473 -- 10,218 Tax-Managed DFA International Value Portfolio ... 7,810 -- (30,216) (22,406) T.A. World ex U.S. Core Equity Portfolio ........ 6,458 415 -- 6,873
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. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2012, the following Portfolios had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31, ---------------------- 2016 2017 UNLIMITED TOTAL -------- -------- --------- -------- Tax-Managed U.S. Marketwide Value Portfolio ..... -- $140,771 -- $140,771 Tax-Managed U.S. Equity Portfolio ............... $137,475 286,566 -- 424,041 Tax-Managed U.S. Small Cap Portfolio ............ -- 66,960 -- 66,960 Tax-Managed DFA International Value Portfolio ... -- 28,430 $1,786 30,216
During the year ended October 31, 2012, the following Portfolios utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands): Tax-Managed U.S. Marketwide Value Portfolio ......................... $45,693 Tax-Managed U.S. Equity Portfolio ................................... 37,759 Tax Managed U.S. Targeted Value Portfolio ........................... 48,683 Tax Managed U.S. Small Cap Portfolio ................................ 68,086 T.A. U.S. Core Equity 2 Portfolio ................................... 16,156 T.A. World ex U.S. Core Equity Portfolio ............................ 120 At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---------- ------------ -------------- -------------- Tax-Managed U.S. Marketwide Value Portfolio ....... $1,824,371 $681,755 $(160,469) $521,286 Tax-Managed U.S. Equity Portfolio ................. 1,093,235 601,145 (32,196) 568,949 Tax-Managed U.S. Targeted Value Portfolio ......... 2,132,577 698,539 (196,259) 502,280 Tax-Managed U.S. Small Cap Portfolio .............. 1,157,439 474,111 (71,105) 403,006 T.A. U.S. Core Equity 2 Portfolio ................. 2,484,228 821,253 (117,463) 703,790 Tax-Managed DFA International Value Portfolio ..... 2,096,521 214,191 (295,326) (81,135) T.A. World ex U.S. Core Equity Portfolio .......... 1,175,405 267,617 (156,315) 111,302
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. 54 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 on a tax return. Management has analyzed each Portfolio's tax position 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. Each of the Portfolio's federal tax returns for the prior three 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. Repurchase Agreements: The Portfolios may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Portfolio's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 2. Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the U.S. companies, 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 by the Portfolios may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Portfolios. 3. Futures Contracts: The Portfolios may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. 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. 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 entering 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 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. At October 31, 2012, the Portfolios had no outstanding futures contracts. H. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 million in the aggregate. Borrowings under the line are charged interest at rates agreed upon by 55 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Portfolios under this line of credit during the year ended October 31, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 2012, borrowings by the Portfolios under this line 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 ------------- ------------ ------------ -------- --------------- Tax-Managed U.S. Equity Portfolio ................ 0.89% $1,992 11 $ 1 $ 5,858 Tax-Managed U.S. Targeted Value Portfolio ........ 0.85% 2,424 9 1 4,628 Tax-Managed U.S. Small Cap Portfolio ............. 0.92% 1,188 1 -- 1,188 T.A. U.S. Core Equity 2 Portfolio ................ 0.90% 4,108 18 2 7,484 Tax-Managed DFA International Value Portfolio .... 0.85% 2,220 49 3 13,457 T.A. World ex U.S. Core Equity Portfolio ......... 0.88% 1,871 31 1 8,826
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2012 that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under this line of credit as of October 31, 2012. I. SECURITIES LENDING: As of October 31, 2012, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, T.A. World ex U.S. Core Equity Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities with a market value of $3,985 (in thousands). 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided 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. Subject to their stated investment policies, the Portfolios with securities on loan will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the "Money Market Series"), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Such Portfolios also may invest the cash 56 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 and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio with securities on loan 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 to be taxed at qualified dividend income rates. 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 which 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 December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. OTHER: At October 31, 2012, the following number of shareholders held the following approximate percentages of outstanding shares of the Portfolios. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio ..... 3 91% Tax-Managed U.S. Equity Portfolio ............... 3 88% Tax-Managed U.S. Targeted Value Portfolio ....... 3 96% Tax-Managed U.S. Small Cap Portfolio ............ 3 95% T.A. U.S. Core Equity 2 Portfolio ............... 3 92% Tax-Managed DFA International Value Portfolio ... 3 94% T.A. World ex U.S. Core Equity Portfolio ........ 3 88%
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. 57 On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as The Tax-Managed U.S. Marketwide Value Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to The Tax-Managed U.S. Marketwide Value Series in the Lawsuits 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 Tax-Managed U.S. Marketwide Value Series arising from the Lawsuits. Until The Tax-Managed U.S. Marketwide Value Series can do so, no reduction of the net asset value of The Tax-Managed U.S. Marketwide Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of The Tax-Managed U.S. Marketwide Value Series' net asset value at this time. The Tax-Managed U.S. Marketwide Value Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of The Tax-Managed U.S. Marketwide Value Series will pay or receive, as the case may be, a price based on net asset value of The Tax-Managed U.S. Marketwide Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by The Tax-Managed U.S. Marketwide Value Series as incurred and in a manner similar to any other expense incurred by The Tax-Managed U.S. Marketwide Value Series. M. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 58 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Tax-Managed U.S. Marketwide Value Portfolio, Tax-Managed U.S. Equity Portfolio, Tax-Managed U.S. Targeted Value Portfolio, Tax-Managed U.S. Small Cap Portfolio, T.A. U.S. Core Equity 2 Portfolio, Tax-Managed DFA International Value Portfolio, and T.A. World ex U.S. Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at October 31, 2012, 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 then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodians, brokers, and transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 59 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHART THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS. RUSSELL 3000(R)VALUE INDEX OCTOBER 31, 2002-OCTOBER 31, 2012
TAX-MANAGED U.S. RUSSELL MARKETWIDE 3000 (R) VALUE BEGINDATE ENDDATE FUNDRETURNS BENCHMARK0RETURNS ENDDATE VALUE SERIES INDEX --------- ------- ----------- ----------------- ------- ------------ ---------------- 2002-10-31 2002-11-30 6.93% 6.41% 10/2002 10000 10000 2002-11-30 2002-12-31 -5.75% -4.34% 11/2002 10692.7374 10641 2002-12-31 2003-01-31 -2.11% -2.45% 12/2002 10078.2123 10179.1806 2003-01-31 2003-02-28 -2.72% -2.71% 01/2003 9865.92179 9929.79068 2003-02-28 2003-03-31 0.00% 0.23% 02/2003 9597.76536 9660.69335 2003-03-31 2003-04-30 9.43% 8.85% 03/2003 9597.76536 9682.91294 2003-04-30 2003-05-31 8.40% 6.72% 04/2003 10502.7933 10539.8507 2003-05-31 2003-06-30 0.88% 1.28% 05/2003 11385.4749 11248.1287 2003-06-30 2003-07-31 3.21% 1.74% 06/2003 11486.0335 11392.1048 2003-07-31 2003-08-31 3.96% 1.72% 07/2003 11854.7486 11590.3274 2003-08-31 2003-09-30 -3.08% -0.99% 08/2003 12324.0223 11789.681 2003-09-30 2003-10-31 7.11% 6.27% 09/2003 11944.1341 11672.9632 2003-10-31 2003-11-30 2.71% 1.55% 10/2003 12793.2961 12404.858 2003-11-30 2003-12-31 5.19% 5.96% 11/2003 13139.6648 12597.1333 2003-12-31 2004-01-31 2.18% 1.89% 12/2003 13821.2291 13347.9224 2004-01-31 2004-02-29 2.22% 2.13% 01/2004 14122.905 13600.1981 2004-02-29 2004-03-31 -0.15% -0.70% 02/2004 14435.7542 13889.8824 2004-03-31 2004-04-30 -1.78% -2.66% 03/2004 14413.4078 13792.6532 2004-04-30 2004-05-31 0.79% 1.03% 04/2004 14156.4246 13425.7686 2004-05-31 2004-06-30 3.13% 2.57% 05/2004 14268.1564 13564.054 2004-06-30 2004-07-31 -3.49% -1.68% 06/2004 14715.0838 13912.6502 2004-07-31 2004-08-31 -0.55% 1.39% 07/2004 14201.1173 13678.9177 2004-08-31 2004-09-30 3.64% 1.75% 08/2004 14122.905 13869.0546 2004-09-30 2004-10-31 1.37% 1.65% 09/2004 14636.8715 14111.7631 2004-10-31 2004-11-30 6.70% 5.38% 10/2004 14837.9888 14344.6072 2004-11-30 2004-12-31 3.25% 3.26% 11/2004 15832.4022 15116.3471 2004-12-31 2005-01-31 -2.12% -1.96% 12/2004 16346.3687 15609.14 2005-01-31 2005-02-28 3.84% 3.20% 01/2005 16000 15303.2008 2005-02-28 2005-03-31 -1.01% -1.43% 02/2005 16614.5251 15792.9032 2005-03-31 2005-04-30 -3.67% -2.07% 03/2005 16446.9274 15567.0647 2005-04-30 2005-05-31 4.37% 2.71% 04/2005 15843.5754 15244.8265 2005-05-31 2005-06-30 2.50% 1.38% 05/2005 16536.3128 15657.5902 2005-06-30 2005-07-31 5.41% 3.14% 06/2005 16949.7207 15873.0992 2005-07-31 2005-08-31 -0.13% -0.60% 07/2005 17865.9218 16371.2485 2005-08-31 2005-09-30 1.82% 1.26% 08/2005 17843.5754 16272.6461 2005-09-30 2005-10-31 -2.40% -2.54% 09/2005 18167.5978 16478.4294 2005-10-31 2005-11-30 3.97% 3.34% 10/2005 17731.8436 16060.3291 2005-11-30 2005-12-31 0.48% 0.48% 11/2005 18435.7542 16596.7441 2005-12-31 2006-01-31 5.55% 4.27% 12/2005 18525.1397 16675.9835 2006-01-31 2006-02-28 -0.23% 0.55% 01/2006 19553.0726 17387.4927 2006-02-28 2006-03-31 2.35% 1.67% 02/2006 19508.3799 17483.9364 2006-03-31 2006-04-30 2.52% 2.33% 03/2006 19966.4804 17775.5614 2006-04-30 2006-05-31 -2.84% -2.67% 04/2006 20469.2737 18189.6609 2006-05-31 2006-06-30 0.67% 0.69% 05/2006 19888.2681 17703.5029 2006-06-30 2006-07-31 -0.61% 2.07% 06/2006 20022.3464 17826.0771 2006-07-31 2006-08-31 0.51% 1.79% 07/2006 19899.4413 18195.7447 2006-08-31 2006-09-30 1.96% 1.90% 08/2006 20000 18521.878 2006-09-30 2006-10-31 3.84% 3.44% 09/2006 20391.0614 18873.9923 2006-10-31 2006-11-30 2.48% 2.33% 10/2006 21173.1843 19522.8234 2006-11-30 2006-12-31 1.91% 2.12% 11/2006 21698.324 19978.6567 2006-12-31 2007-01-31 2.63% 1.30% 12/2006 22111.7318 20401.8935 2007-01-31 2007-02-28 -1.28% -1.53% 01/2007 22692.7374 20666.8571 2007-02-28 2007-03-31 1.15% 1.52% 02/2007 22402.2346 20350.8962 2007-03-31 2007-04-30 3.55% 3.45% 03/2007 22659.2179 20659.2455 2007-04-30 2007-05-31 4.71% 3.61% 04/2007 23463.6871 21372.8228 2007-05-31 2007-06-30 -2.14% -2.34% 05/2007 24569.8324 22144.9067 2007-06-30 2007-07-31 -5.44% -4.95% 06/2007 24044.6927 21627.7995 2007-07-31 2007-08-31 -0.54% 1.19% 07/2007 22737.4302 20556.1917 2007-08-31 2007-09-30 2.52% 3.19% 08/2007 22614.5251 20801.3167 2007-09-30 2007-10-31 0.10% 0.10% 09/2007 23184.3575 21465.3455 2007-10-31 2007-11-30 -5.87% -5.10% 10/2007 23206.7039 21486.0497 2007-11-30 2007-12-31 -0.41% -0.96% 11/2007 21843.5754 20391.1786 2007-12-31 2008-01-31 -3.95% -4.01% 12/2007 21754.1899 20195.7373 2008-01-31 2008-02-29 -3.64% -4.17% 01/2008 20893.8547 19385.2837 2008-02-29 2008-03-31 -1.83% -0.58% 02/2008 20134.0782 18576.3629 2008-03-31 2008-04-30 5.65% 4.74% 03/2008 19765.3631 18468.6199 2008-04-30 2008-05-31 2.25% 0.12% 04/2008 20882.6815 19343.8748 2008-05-31 2008-06-30 -11.04% -9.57% 05/2008 21351.9553 19366.8622 2008-06-30 2008-07-31 -0.76% 0.06% 06/2008 18994.4134 17513.9124 2008-07-31 2008-08-31 2.02% 1.95% 07/2008 18849.162 17524.3396 2008-08-31 2008-09-30 -8.48% -7.13% 08/2008 19229.0503 17866.0642 2008-09-30 2008-10-31 -22.35% -17.54% 09/2008 17597.7653 16592.837 2008-10-31 2008-11-30 -9.89% -7.53% 10/2008 13664.8045 13682.2128 2008-11-30 2008-12-31 3.36% 1.76% 11/2008 12312.8492 12651.8145 2008-12-31 2009-01-31 -12.99% -11.73% 12/2008 12726.257 12874.5332 2009-01-31 2009-02-28 -13.42% -13.40% 01/2009 11072.6257 11364.9674 2009-02-28 2009-03-31 10.49% 8.58% 02/2009 9586.59217 9841.69646 2009-03-31 2009-04-30 17.30% 11.13% 03/2009 10592.1788 10685.7798 2009-04-30 2009-05-31 7.55% 5.85% 04/2009 12424.581 11875.2023 2009-05-31 2009-06-30 -1.42% -0.70% 05/2009 13363.1285 12569.7295 2009-06-30 2009-07-31 10.26% 8.44% 06/2009 13173.1843 12481.8663 2009-07-31 2009-08-31 6.62% 5.19% 07/2009 14525.1396 13535.8989 2009-08-31 2009-09-30 4.47% 3.95% 08/2009 15486.0335 14238.6048 2009-09-30 2009-10-31 -4.77% -3.35% 09/2009 16178.7709 14801.6901 2009-10-31 2009-11-30 4.64% 5.44% 10/2009 15407.8212 14305.911 2009-11-30 2009-12-31 3.67% 2.21% 11/2009 16122.905 15084.7915 2009-12-31 2010-01-31 -2.81% -2.82% 12/2009 16715.0838 15418.7317 2010-01-31 2010-02-28 4.61% 3.28% 01/2010 16245.81 14983.6177 2010-02-28 2010-03-31 7.89% 6.66% 02/2010 16994.4134 15474.5742 2010-03-31 2010-04-30 3.90% 2.96% 03/2010 18335.1955 16505.0463 2010-04-30 2010-05-31 -8.56% -8.24% 04/2010 19050.2793 16993.3648 2010-05-31 2010-06-30 -7.63% -5.89% 05/2010 17418.9944 15593.1645 2010-06-30 2010-07-31 7.99% 6.80% 06/2010 16089.3854 14674.605 2010-07-31 2010-08-31 -6.56% -4.53% 07/2010 17374.3016 15672.3224 2010-08-31 2010-09-30 9.98% 7.99% 08/2010 16234.6368 14961.7412 2010-09-30 2010-10-31 3.88% 3.07% 09/2010 17854.7486 16156.5291 2010-10-31 2010-11-30 0.24% -0.29% 10/2010 18547.486 16652.4262 2010-11-30 2010-12-31 9.44% 7.92% 11/2010 18592.1787 16604.8873 2010-12-31 2011-01-31 2.47% 2.08% 12/2010 20346.3687 17920.7301 2011-01-31 2011-02-28 5.63% 3.80% 01/2011 20849.162 18293.6812 2011-02-28 2011-03-31 0.66% 0.48% 02/2011 22022.3463 18988.9583 2011-03-31 2011-04-30 2.37% 2.58% 03/2011 22167.5977 19079.7873 2011-04-30 2011-05-31 -1.58% -1.12% 04/2011 22692.7374 19571.3266 2011-05-31 2011-06-30 -1.75% -2.08% 05/2011 22335.1955 19352.6553 2011-06-30 2011-07-31 -4.23% -3.32% 06/2011 21944.134 18949.1957 2011-07-31 2011-08-31 -8.35% -6.45% 07/2011 21016.7597 18320.8629 2011-08-31 2011-09-30 -10.15% -7.83% 08/2011 19262.5698 17138.6225 2011-09-30 2011-10-31 13.94% 11.68% 09/2011 17307.2625 15797.4558 2011-10-31 2011-11-30 -0.79% -0.49% 10/2011 19720.6703 17642.1459 2011-11-30 2011-12-31 1.03% 1.98% 11/2011 19564.2457 17555.1451 2011-12-31 2012-01-31 5.20% 4.01% 12/2011 19765.3631 17902.6464 2012-01-31 2012-02-29 5.27% 3.79% 01/2012 20793.296 18620.1568 2012-02-29 2012-03-31 2.14% 2.98% 02/2012 21888.2681 19325.044 2012-03-31 2012-04-30 -1.85% -1.05% 03/2012 22357.5418 19900.0055 2012-04-30 2012-05-31 -7.03% -5.88% 04/2012 21944.134 19690.3481 2012-05-31 2012-06-30 5.26% 4.95% 05/2012 20402.2346 18531.8864 2012-06-30 2012-07-31 0.88% 0.88% 06/2012 21474.8603 19449.5979 2012-07-31 2012-08-31 3.76% 2.24% 07/2012 21664.8044 19620.5641 2012-08-31 2012-09-30 3.58% 3.20% 08/2012 22480.4469 20059.9911 2012-09-30 2012-10-31 0.34% -0.55% 09/2012 23284.9161 20702.6588 10/31/2012 23363.1284 20589.0273
AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS ------ ----- ----- 18.47% 0.13% 8.86% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright (C) Russell Investment Group 1995-2012, all rights reserved. 60 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012 The year ending October 31, 2012 saw reduced volatility for U.S. equities with positive returns in three out of four quarters for the widely used benchmarks. The year began in the wake of MF Global's bankruptcy filing brought on by losses on European sovereign debt. Many headlines for the rest of the year also originated from Europe, from the Greek debt swap to the LIBOR scandal that reached a crescendo in July. Broad market returns were mostly positive for the first five months through March 2012, but negative returns following the Facebook IPO and JP Morgan's reported $2 billion trading loss made May the worst month of the year. The last trading day of the year followed two days of market closures in the aftermath of Hurricane Sandy. Through all this, U.S. markets rose in 8 out of the 12 months in the period. Dimensional Fund Advisors LP ("Dimensional" or the "Advisor") believes that among the most important factors explaining differences in the behavior of diversified equity portfolios are the market capitalization and value/ growth characteristics of the portfolios' holdings. Value characteristics are a function of stock price relative to one or more fundamental characteristics such as earnings, dividends, and book value. The size premium was negative during the year with small cap stocks underperforming large cap stocks. Micro cap stocks were the strongest performers as measured by the indices below. TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012 Russell 3000(R)Index .......................... 14.75% Russell Microcap(R)Index (micro cap stocks) ... 16.49% Russell 2000(R)Index (small cap stocks) ....... 12.08% Russell 1000(R)Index (large cap stocks) ....... 14.97% Dow Jones US Select REIT Index ................ 14.09% The value premium was positive across both large cap and small cap stocks TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2012 Russell 2000(R)Value Index (small cap value stocks) ...... 14.47% Russell 2000(R)Growth Index (small cap growth stocks) .... 9.70% Russell 1000(R)Value Index (large cap value stocks) ...... 16.89% Russell 1000(R)Growth Index (large cap growth stocks) .... 13.02% ---------- Source: Russell data copyright(C)Russell Investment Group 1995-2012 all rights reserved. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2012 were attributable primarily to differences in value/growth and size characteristics as well as the exclusion of REIT securities from most Dimensional portfolios and the exclusion of securities of highly regulated utilities from most value strategies. For many portfolios, the construction approach used by Dimensional generally resulted in portfolios with greater weight in value or small-cap and micro-cap companies relative to widely used benchmarks. DOMESTIC EQUITY SERIES' PERFORMANCE OVERVIEW THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES The Tax-Managed U.S. Marketwide Value Series seeks to capture the returns of U.S. value stocks. Value is measured primarily by book-to-market ratio. The Series also seeks to maximize the after-tax value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification and consistent exposure to U.S. value stocks, and does not attempt to closely track a specific equity index. As of October 31, 2012, 61 the Series held approximately 1,300 securities and was mostly invested in equities throughout the year. The average cash exposure for the period was less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2012, total returns were 18.47% for the Series and 16.70% for the Rus-sell 3000(R) Value Index. As a result of the Series' diversified investment approach, performance was determined principally by broad structural trends in the U.S. equity market rather than the behavior of a limited number of stocks. Value stocks generally outperformed during the period. The Series' more prominent value characteristics as compared to the Index was the primary contributor to relative outperformance. The Series' exclusion of highly regulated utilities also helped performance as this sector underperformed the overall Index. 62 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, 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" reflect 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, 2012 EXPENSE TABLE
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSES DURING 05/01/12 10/31/12 RATIO* PERIOD* --------- --------- ---------- -------- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Actual Fund Return. ............................ $1,000.00 $1,064.65 0.21% $1.09 Hypothetical 5% Annual Return .................. $1,000.00 $1,024.08 0.21% $1.07
-------- * 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 (366) to reflect the six-month period. 63 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC EQUITY PORTFOLIO THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES Consumer Discretionary ........ 19.8% Consumer Staples .............. 8.0% Energy ........................ 16.3% Financials .................... 16.7% Health Care ................... 9.5% Industrials ................... 14.2% Information Technology ........ 5.1% Materials ..................... 3.4% Other ......................... -- Telecommunication Services .... 6.7% Utilities ..................... 0.3% ------ 100.0% 64 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2012
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- COMMON STOCKS -- (95.0%) Consumer Discretionary -- (18.8%) #Carnival Corp ........................................................ 489,649 $ 18,547,904 0.6% Comcast Corp. Class A. ................................................ 3,570,978 133,947,385 4.0% Comcast Corp. Special Class A ......................................... 1,432,185 52,188,821 1.6% #*General Motors Co ................................................... 674,707 17,205,028 0.5% *Liberty Interactive Corp. Class A .................................... 882,463 17,649,260 0.5% #News Corp. Class A ................................................... 1,631,529 39,026,174 1.2% News Corp. Class B .................................................... 621,962 15,150,994 0.5% Time Warner Cable, Inc ................................................ 693,942 68,776,592 2.1% Time Warner, Inc ...................................................... 1,534,860 66,689,667 2.0% Other Securities ...................................................... 221,766,776 6.7% -------------- ---- Total Consumer Discretionary ............................................. 650,948,601 19.7% -------------- ---- Consumer Staples -- (7.6%) Archer-Daniels-Midland Co ............................................. 813,476 21,833,696 0.7% #CVS Caremark Corp .................................................... 1,510,745 70,098,568 2.1% *Kraft Foods Group, Inc ............................................... 693,699 31,549,431 0.9% Mondelez International, Inc. Class A .................................. 2,081,099 55,232,367 1.7% Other Securities ...................................................... 83,466,422 2.5% -------------- ---- Total Consumer Staples ................................................... 262,180,484 7.9% -------------- ---- Energy -- (15.4%) Anadarko Petroleum Corp ............................................... 845,068 58,149,129 1.8% Apache Corp ........................................................... 292,215 24,180,791 0.7% Chevron Corp .......................................................... 613,078 67,567,326 2.0% ConocoPhillips ........................................................ 1,766,829 102,211,058 3.1% Hess Corp ............................................................. 378,130 19,761,074 0.6% Marathon Oil Corp ..................................................... 903,937 27,172,346 0.8% Marathon Petroleum Corp ............................................... 451,968 24,826,602 0.7% National Oilwell Varco, Inc ........................................... 250,948 18,494,868 0.6% Phillips 66. .......................................................... 883,414 41,661,804 1.3% Valero Energy Corp .................................................... 658,099 19,150,681 0.6% Other Securities ...................................................... 132,169,565 4.0% -------------- ---- Total Energy ............................................................. 535,345,244 16.2% -------------- ---- Financials -- (15.9%) Bank of America Corp .................................................. 6,406,476 59,708,356 1.8% Capital One Financial Corp ............................................ 333,920 20,091,966 0.6% Citigroup, Inc ........................................................ 2,115,722 79,106,846 2.4% CME Group, Inc ........................................................ 414,385 23,176,553 0.7% Goldman Sachs Group, Inc. (The) ....................................... 143,685 17,585,607 0.5% JPMorgan Chase & Co ................................................... 777,031 32,386,652 1.0% MetLife, Inc .......................................................... 1,126,173 39,967,880 1.2% Morgan Stanley ........................................................ 1,476,248 25,657,190 0.8% Prudential Financial, Inc ............................................. 497,625 28,389,506 0.8% SunTrust Banks, Inc ................................................... 491,691 13,373,995 0.4% Other Securities ...................................................... 211,913,999 6.4% -------------- ---- Total Financials ......................................................... 551,358,550 16.6% -------------- ---- Health Care -- (9.1%) #Aetna, Inc ........................................................... 503,313 21,994,778 0.7% Humana, Inc ........................................................... 236,814 17,588,176 0.5% Pfizer, Inc ........................................................... 5,208,907 129,545,517 3.9% Thermo Fisher Scientific, Inc ......................................... 499,520 30,500,691 0.9% WellPoint, Inc ........................................................ 504,640 30,924,339 1.0% Other Securities ...................................................... 83,816,534 2.5% -------------- ---- Total Health Care ........................................................ 314,370,035 9.5% -------------- ----
65 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------------ -------------- --------------- Industrials -- (13.5%) CSX Corp .............................................................. 1,242,950 $ 25,443,186 0.8% General Electric Co ................................................... 5,174,289 108,970,526 3.3% Norfolk Southern Corp ................................................. 545,229 33,449,799 1.0% #Northrop Grumman Corp ................................................ 337,038 23,151,140 0.7% Union Pacific Corp .................................................... 444,064 54,633,194 1.6% Other Securities ...................................................... 223,808,125 6.8% -------------- ---- Total Industrials ........................................................ 469,455,970 14.2% -------------- ---- Information Technology -- (4.8%) Corning, Inc .......................................................... 1,298,385 15,256,024 0.5% *Yahoo!, Inc .......................................................... 1,048,770 17,629,824 0.5% Other Securities ...................................................... 135,592,556 4.1% -------------- ---- Total Information Technology ............................................. 168,478,404 5.1% -------------- ---- Materials -- (3.2%) International Paper Co ................................................ 493,615 17,686,225 0.5% Other Securities ...................................................... 94,103,607 2.9% -------------- ---- Total Materials .......................................................... 111,789,832 3.4% -------------- ---- Other -- (0.0%) Other Securities ...................................................... 54 0.0% -------------- ---- Telecommunication Services -- (6.4%) AT&T, Inc ............................................................. 4,065,906 140,639,689 4.3% CenturyLink, Inc ...................................................... 536,163 20,577,936 0.6% *Sprint Nextel Corp ................................................... 3,629,981 20,110,095 0.6% Verizon Communications, Inc ........................................... 623,041 27,812,550 0.8% Other Securities ...................................................... 11,925,135 0.4% -------------- ---- Total Telecommunication Services ......................................... 221,065,405 6.7% -------------- ---- Utilities -- (0.3%) Other Securities ...................................................... 9,656,614 0.3% -------------- ---- TOTAL COMMON STOCKS ...................................................... 3,294,649,193 99.6% -------------- ---- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) Other Securities ...................................................... 7,526 0.0% -------------- ---- RIGHTS/WARRANTS -- (0.0%) Other Securities ...................................................... 6,576 0.0% -------------- ---- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares ................................................ 8,034,380 8,034,380 0.3% -------------- ---- SHARES/ FACE AMOUNT (000) ------------ SECURITIES LENDING COLLATERAL -- (4.8%) (S)@DFA Short Term Investment Fund ....................................... 14,435,138 167,014,544 5.1% @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $454,029 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $455,396) to be repurchased at $440,798 .............................................................. $ 441 440,794 0.0% -------------- ---- TOTAL SECURITIES LENDING COLLATERAL ...................................... 167,455,338 5.1% -------------- ----
66 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
PERCENTAGE VALUE+ OF NET ASSETS -------------- --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,736,014,230) .................................................... $3,470,153,013 105.0% ============== ===============
Summary of the Series' investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) -------------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary ....... $ 650,948,601 -- -- $ 650,948,601 Consumer Staples ............. 262,180,484 -- -- 262,180,484 Energy ....................... 535,296,526 $ 48,718 -- 535,345,244 Financials ................... 551,358,550 -- -- 551,358,550 Health Care .................. 314,329,976 40,059 -- 314,370,035 Industrials. ................. 469,441,819 14,151 -- 469,455,970 Information Technology ....... 168,478,404 -- -- 168,478,404 Materials .................... 111,789,832 -- -- 111,789,832 Other ........................ -- 54 -- 54 Telecommunication Services ... 221,065,405 -- -- 221,065,405 Utilities .................... 9,656,614 -- -- 9,656,614 Preferred Stocks Energy ....................... -- 7,526 -- 7,526 Rights/Warrants ................. 6,576 -- -- 6,576 Temporary Cash Investments ...... 8,034,380 -- -- 8,034,380 Securities Lending Collateral ... -- 167,455,338 -- 167,455,338 -------------- ------------ ------- -------------- TOTAL ........................... $3,302,587,167 $167,565,846 -- $3,470,153,013 ============== ============ ======= ==============
See accompanying Notes to Financial Statements. 67 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS) ASSETS: Investments at Value (including $162,766 of securities on loan) ...................................................... $ 3,294,663 Temporary Cash Investments at Value & Cost .................... 8,035 Collateral Received from Securities on Loan at Value & Cost ... 441 Affiliated Collateral Received from Securities on Loan at Value & Cost ............................................ 167,014 Receivables: Investment Securities Sold ................................. 54 Dividends and Interest ..................................... 4,719 Securities Lending Income .................................. 71 Fund Shares Sold ........................................... 328 ------------ Total Assets ............................................ 3,475,325 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned. .......................... 167,455 Fund Shares Redeemed ....................................... 692 Due to Advisor ............................................. 557 Accrued Expenses and Other Liabilities ........................ 145 ------------ Total Liabilities ....................................... 168,849 ------------ NET ASSETS. ................................................... $ 3,306,476 ============ Investments at Cost ........................................... $ 2,560,524 ------------ See accompanying Notes to Financial Statements. 68 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends .................................................. $ 66,152 Interest ................................................... 15 Income from Securities Lending ............................. 2,076 ------------ Total Investment Income .............................. 68,243 ------------ EXPENSES Investment Advisory Services Fees .......................... 6,199 Accounting & Transfer Agent Fees ........................... 306 Custodian Fees ............................................. 41 Shareholders' Reports ...................................... 9 Directors'/Trustees' Fees & Expenses ....................... 26 Professional Fees .......................................... 96 Other ...................................................... 21 ------------ Total Expenses ....................................... 6,698 ------------ NET INVESTMENT INCOME (LOSS) ............................... 61,545 ------------ REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold .............................. 64,448 Change in Unrealized Appreciation (Depreciation) of: Investment Securities ................................... 400,114 ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) .................... 464,562 ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ................................................. $ 526,107 ============ See accompanying Notes to Financial Statements. 69 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED OCT 31, OCT. 31, 2012 2011 ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss) ............................................. $ 61,545 $ 47,870 Net Realized Gain (Loss) on: Investment Securities Sold ............................................ 64,448 84,152 Change in Unrealized Appreciation (Depreciation) of: Investment Securities ................................................. 400,114 37,055 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations .... 526,107 169,077 ---------- ---------- Transactions in Interest: Contributions ............................................................ 96,522 200,009 Withdrawals .............................................................. (217,478) (138,434) ---------- ---------- Net Increase (Decrease) from Transactions in Interest .............. (120,956) 61,575 ---------- ---------- Total Increase (Decrease) in Net Assets ............................ 405,151 230,652 NET ASSETS Beginning of Period ...................................................... 2,901,325 2,670,673 ---------- ---------- End of Period ............................................................ $3,306,476 $2,901,325 ========== ==========
See accompanying Notes to Financial Statements. 70 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES FINANCIAL HIGHLIGHTS
YEAR YEAR YEAR YEAR PERIOD YEAR ENDED ENDED ENDED ENDED DEC. 1, ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2007 TO NOV. 30, 2012 2011 2010 2009 OCT. 31, 2008 2007 ---------- ---------- ---------- ---------- ------------- ----------- Total Return ................................. 18.47% 6.33% 20.38% 12.76% (37.44)%(C) 0.67% ---------- ---------- ---------- ---------- ------------- ----------- Net Assets, End of Period (thousands) ........ $3,306,476 $2,901,325 $2,670,673 $2,289,927 $ 2,190,724 $ 3,858,580 Ratio of Expenses to Average Net Assets ...... 0.22% 0.22% 0.22% 0.23% 0.22%(B) 0.22% Ratio of Net Investment Income to Average Net Assets ..................................... 1.99% 1.61% 1.40% 2.23% 2.09%(B) 1.61% Portfolio Turnover Rate ...................... 10% 20% 25% 28% 40%(C) 21%
See page 1 for the Definitions of Abbreviations and Footnotes. 71 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES 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 twelve operational portfolios, one of which, The Tax-Managed U.S. Marketwide Value Series (the "Series"), is presented in this section of the report. The remaining eleven portfolios are presented in separate reports. At a regular meeting of the Board of Directors/Trustees (the "Board") on September 16, 2008, the Board voted to change the fiscal and tax year ends of the Series from November 30 to October 31. 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Series utilize 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, 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 at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end 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. 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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. 72 A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed previously in the Security Valuation note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Series had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At October 31, 2012, 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 $80 (in thousands). Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust 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 advisory services to the Series. For the year ended October 31, 2012, the Series' investment advisory services fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.20% of average daily net assets of the Series. FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the year ended October 31, 2012, the total related amounts paid to the CCO by the Trust were $82 (in thousands). The total related amount paid by the Series is included in Other Expenses on the Statement of Operations. 73 D. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2012, the Series made the following purchases and sales of investment securities, other than short-term securities and U.S. government securities (amounts in thousands): PURCHASES SALES --------- --------- $313,706 $376,268 There were no purchases or sales of long-term U.S. government securities. E. FEDERAL INCOME TAXES: The Series is treated as a partnership for federal income tax purposes and therefore, no provision for federal income taxes is required. Any net investment income and realized and unrealized gains and losses have been deemed to have been "passed down" to their respective partners. At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands): NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---------- ------------ -------------- -------------- $2,736,971 $941,447 $(208,265) $733,182 The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 on a tax return. Management has analyzed the Series' tax position 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 position 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. F. FINANCIAL INSTRUMENTS: In accordance with the Series' investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Repurchase Agreements: The Series may purchase certain U.S. Government securities subject to the counterparty's agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with the Trust's custodian or a third party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Series. 2. Futures Contracts: The Series may enter into futures contracts to gain market exposure on uninvested cash pending investment in securities or to maintain liquidity to pay redemptions. Upon entering into a futures contract, the Series deposits cash or pledges U.S. Government securities to a broker, equal to the minimum "initial 74 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 entering 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 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. At October 31, 2012, the Series had no outstanding futures contracts. G. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Series under this line of credit during the year ended October 31, 2012. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Trust expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the year ended October 31, 2012, borrowings by the Series under this line of credit were as follows (amounts in thousands, except percentage and days): WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- 0.84% $2,426 13 $1 $7,679 * Number of Days Outstanding represents the total of a single or consecutive days during the year ended October 31, 2012 that the Trust's available line of credit was utilized. There were no outstanding borrowings by the Series under this line of credit as of October 31, 2012. H. SECURITIES LENDING: As of October 31, 2012, the Series had securities on loan to brokers/dealers, for which the Series received cash collateral. 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 equal to at least (i) 100% of the current market value of the loaned securities with respect to securities 75 of the U.S. government or its agencies, (ii) 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) 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, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided 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. 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. 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 and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, 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 to be taxed at qualified dividend income rates. I. 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 which 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. J. RECENTLY ISSUED ACCOUNTING STANDARDS: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. K. OTHER The Series 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. On November 1, 2010 a class action complaint was filed in Bankruptcy Court in the bankruptcy case of The Tribune Company ("Tribune"). The defendants in this action include mutual funds, individuals, institutional investors 76 and others who owned shares in Tribune at the time of the 2007 leveraged buyout transaction (the "LBO") and sold their shares for $34 per share in cash, such as the Series. Thereafter, two additional and substantially similar class actions were filed and are pending in United States District Courts (with the Bankruptcy Court action, collectively referred to as the "Lawsuits"). The Lawsuits have been consolidated into a single Multidistrict Litigation action in federal court for pretrial proceedings. The Lawsuits seek to recover, for the benefit of Tribune's bankruptcy estate or various creditors, payments to shareholders in the LBO. The Lawsuits allege that Tribune's payment for those shares violated the rights of creditors, as set forth in the Bankruptcy Code's and various states' fraudulent transfer laws. However, the Lawsuits proceed on different legal theories: the Bankruptcy Court action pleads an intentionally fraudulent transfer; the District Court actions plead constructively fraudulent transfers. Litigation counsel to the Series in the Lawsuits 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 Series arising from the Lawsuits. Until the Series can do so, no reduction of the net asset value of the Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery they seek, the amount would be less than 1% of the Series' net asset value at this time. The Series also cannot predict what its size might be at the time the cost of the Lawsuits might be quantifiable and thus potentially deducted from its net asset value. Therefore, at this time, those buying or redeeming shares of the Series will pay or receive, as the case may be, a price based on net asset value of the Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be taken as expenses by the Series as incurred and in a manner similar to any other expense incurred by the Series. L. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Series and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 77 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY: In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Tax-Managed U.S. Marketwide Value Series (constituting a portfolio within The DFA Investment Trust Company, hereafter referred to as the "Series") at October 31, 2012, 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 then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Series' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian, broker, and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 78 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 four standing committees, an Audit Committee, a Nominating Committee, a Portfolio Performance and Service Review Committee (the "Performance Committee") and an Independent Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also 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, 2012. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2012. Each Board's Performance Committee is comprised of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S. Scholes. Each member of the Performance Committee is a disinterested Trustee/Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2012. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review 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 Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2012. Certain biographical information for each disinterested Trustee/Director and each 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, Texas 78746. Prospectuses are also available at www.dimensional.com. 79
TERM OF OFFICE/1/ PORTFOLIOS WITHIN NAME, POSITION WITH THE AND LENGTH OF THE DFA FUND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS FUND, ADDRESS AND AGE SERVICE COMPLEX/2/ OVERSEEN AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD --------------------------- ------------------- --------------------- ------------------------------------------------------ DISINTERESTED TRUSTEES/DIRECTORS George M. Constantinides Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The Director of DFAIDG and investment companies University of Chicago Booth School of Business. DIG. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 64 John P. Gould Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service Director of DFAIDG and DIG. investment companies Professor of Economics, The University of Chicago Trustee of DFAITC and DEM. Booth School of Business (since 1965). Member and The University of Chicago Chair, Competitive Markets Advisory Committee, Booth School of Business Chicago Mercantile Exchange (futures trading 5807 S. Woodlawn exchange) (since 2004). Formerly, Director of Avenue UNext, Inc. (1999-2006). Trustee, Harbor Fund Chicago, IL 60637 (registered investment company) (30 Portfolios) Age: 73 (since 1994). Formerly, Member of the Board of Milwaukee Mutal Insurance Company (1997-2010). Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge fund Yale School of Management manager) (since 2001). Consultant to Morningstar, P.O.Box 208200 Inc. (since 2006). Formerly, Chairman, Ibbotson New Haven, CT Associates, Inc., Chicago, IL (software data 06520-8200 publishing and consulting) (1977-2006). Formerly, Age: 68 Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010).
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TERM OF OFFICE/1/ PORTFOLIOS WITHIN NAME, POSITION WITH THE AND LENGTH OF THE DFA FUND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS FUND, ADDRESS AND AGE SERVICE COMPLEX/2/ OVERSEEN AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD --------------------------- ------------------- --------------------- ------------------------------------------------------ Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Trustee of DFAITC and DEM. investment companies Institution (since 2002). Jack Steele Parker Stanford University Professor of Human Resources Management and Graduate School of Economics, Graduate School of Business, Stanford Business University (since 1995). Cornerstone Research 518 Memorial Way (expert testimony and economic and financial Stanford, CA 94305-5015 analysis) (since 2009). Formerly, Chairman of the Age: 64 President George W. Bush's Council of Economic Advisers (2006-2009). Formerly, Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG and DIG. investment companies Stanford University (since 1981). Trustee of DFAITC and DEM. Formerly, Chairman, Platinum Grove Asset Management, c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum Advisors, LP Partners) (1999-2009). Formerly, Managing 6300 Bee Cave Road Partner, Oak Hill Capital Management (private Building 1 equity firm) (until 2004). Director, American Austin, TX 78746 Century Fund Complex (registered investment Age: 70 companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Abbie J. Smith Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service Director of DFAIDG and DIG. investment companies Professor of Accounting, The University of Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980). The University of Chicago Co-Director Investment Research, Fundamental Booth School of Business Investment Advisors (hedge fund) (since 2008). 5807 S. Woodlawn Avenue Director, HNI Corporation (formerly known as Chicago, IL 60637 HON Industries Inc.) (office furniture) (since Age: 58 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (52 portfolios) (since 2009).
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TERM OF OFFICE/1/ PORTFOLIOS WITHIN NAME, POSITION WITH THE AND LENGTH OF THE DFA FUND PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS FUND, ADDRESS AND AGE SERVICE COMPLEX/2/ OVERSEEN AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD --------------------------- ------------------- --------------------- ------------------------------------------------------ INTERESTED TRUSTEES/DIRECTORS* David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President, and Chairman, Director, investment companies Co-Chief Executive Officer (since January Co-Chief Executive Officer 2010) of Dimensional Holdings Inc., and President of DFAIDG and Dimensional Fund Advisors LP, DFA Securities DIG. Chairman, Trustee, LLC, Dimensional Emerging Markets Value Fund, Co-Chief Executive Officer DFAIDG, Dimensional Investment Group Inc. and and President of DFAITC The DFA Investment Trust Company. Director of and DEM. Dimensional Fund Advisors Ltd., Dimensional 6300 Bee Cave Road, Funds PLC, Dimensional Funds II PLC, DFA Building One Austin, Australia Limited, Dimensional Cayman Texas 78746 Commodity Fund I Ltd., Dimensional Japan Ltd. Age: 65 and Dimensional Advisors Ltd. Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. President, Dimensional SmartNest (US) LLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since January Director, Co-Chief investment companies 2010), Chief Investment Officer (since March Executive Officer and 2007) and Director/Trustee of Dimensional Chief Investment Officer Holdings Inc., Dimensional Fund Advisors LP, of DFAIDG and DIG. DFA Securities LLC, Dimensional Emerging Trustee, Co-Chief Markets Value Fund, DFAIDG, Dimensional Executive Officer and Investment Group Inc., The DFA Investment Chief Investment Officer Trust Company and Dimensional Cayman Commodity of DFAITC and DEM. Fund I Ltd. Co-Chief Executive Officer, 6300 Bee Cave Road, President and Chief Investment Officer of Building One Austin, Dimensional Fund Advisors Canada ULC. Chief TX 78746 Investment Officer, Vice President and Age: 45 Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC, Dimensional Funds II PLC, Dimensional Japan Ltd. and Dimensional Advisors Ltd. Co-Chief Executive Officer of Dimensional Retirement Plan Services LLC. Formerly, Vice President of Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 82 OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------- ----------------- ------------------------------------------------------------------------ OFFICERS April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President Global Business Vice President, Global Business Development of all the DFA Entities. Formerly, Chief Learning Officer Development of Dimensional (2008-2011); Regional Director of Dimensional Age: 49 (2004-2008). Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Vice President Business Development at Capson Physicians Insurance Company Age: 37 (2010-2012); Vice President at Charles Schwab (2007-2010). Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President Age: 46 Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Age: 56 John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2010-January 2011); Chief Market Strategist at Age: 43 Commonwealth Financial (2007-2010); Director of Research at Commonwealth Financial (2000-2007). Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President Age: 43 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Secretary Commodity Fund I Ltd., Dimensional Retirement Plan Services LLC, Age: 45 Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial Vice President Services of Dimensional (since 2008). Formerly, Regional Director of Age: 48 Dimensional (January 1995 to January 2005). Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (December 2010-January 2012); Age: 41 Regional Director at Russell Investments (April 2006-December 2010). James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2008-2010); Vice President, Client Portfolio Manager Age: 56 at American Century Investments (2001-2008). Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio Vice President Management of Dimensional (since March 2012). Sr. Portfolio Manager of Age: 46 Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (October 2005-January 2012). Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional, North Age: 40 America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (August 2002-January 2012). Age: 36
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------- ----------------- ------------------------------------------------------------------------ Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director of Financial Vice President Services Group of Dimensional (since August 1993). Age: 63 George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice Vice President President and Managing Director at State Street Bank & Trust Company Age: 57 (2007-2008); Managing Director, Head of Investment Administration and Operations at State Street Research & Management Company (2002-2005). Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA Vice President and Global Chief Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Compliance Officer Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and Age: 46 Dimensional Retirement Plan Services LLC. Chief Compliance Officer of Dimensional Fund Advisors Canada ULC. James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President Age: 55 Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. Age: 55 Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for Vice President Dimensional (since August 2008). Formerly, Research Assistant for Age: 40 Dimensional (April 2006-August 2008). Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief Communications Officer Vice President and Chief of Dimensional (since 2010). Communications Officer Age: 42 Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA Vice President and Assistant Australia Limited. Chief Operating Officer of Dimensional Fund Secretary Advisors Ltd. (since July 2008). Formerly, Vice President of Age: 47 Dimensional Fund Advisors Ltd. Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President Age: 41 Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio Vice President Management of Dimensional (since March 2012). Sr. Portfolio Manager of Age: 38 Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (since September 2004). Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager for Vice President Dimensional (since June 2006). Formerly, Principal at AIM Age: 41 Investments/Amvescap PLC (now Invesco) (June 1998-June 2006). Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director of Vice President Dimensional. Age: 45 Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director at Vice President BlackRock (2004-January 2012). Age: 44 Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President Age: 45 John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director of Vice President Dimensional (January 2005 to February 2007). Age: 38
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------- ----------------- ------------------------------------------------------------------------ Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Dimensional Vice President Fund Advisors LP (since 2012). Formerly, Senior Trader for Dimensional Age: 37 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Advisors Ltd. (2008-2009); Trader for Dimensional Fund Advisors LP (2004-2008). Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director of Vice President Dimensional (since June 1998). Age: 44 Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities and Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd. Age: 38 Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President Age: 44 Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President Age: 44 Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director, Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011). Age: 52 Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Age: 38 Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager Vice President for Dimensional Fund Advisors LP (October 2008-January 2012); General Age: 44 Manager at Intereity Investments (March 2007-October 2008). Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities, Vice President and Chief Operating Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd., Officer Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., Age: 57 Dimensional Hong Kong Limited and Dimensional Retirement Plan Services LLC. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. Director and Vice President of Dimensional Hong Kong Limited. Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (April 2006-January 2012). Age: 64 David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since June 2004). Age: 41 Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly, Accounting Manager Vice President for Dimensional Fund Advisors LP (January 2006-January 2012). Age: 32 Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC Age: 41 Strategist, Barclays Global Investors (2005-2009). Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for Age: 40 Dimensional (April 2007-January 2012). Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (2007-2010). Age: 43 Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of Vice President Dimensional SmartNest (US) LLC (since 2012). Age: 45
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------- ----------------- ------------------------------------------------------------------------ Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President - Vice President Global Operations at Janus Capital Group (2005-2011). Age: 43 Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of Vice President Dimensional (since January 2004). Age: 41 Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Associate Vice President for Dimensional (July 2008-2010). Age: 31 Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since February 2004). Age: 43 Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September 2006). Age: 39 Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human Vice President & Head of Global Resources of Dimensional. Formerly, Global Head of Recruiting and Vice Human Resources President of Goldman Sachs & Co. (June 2006 to January 2008). Age: 42 David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA Vice President, Chief Financial Entities. Director, Vice President, Chief Financial Officer and Officer and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited, Age: 55 Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice President of Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Retirement Plan Services LLC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. Catherine L. Newell Vice President Vice President and Secretary of all the DFA Entities and Dimensional Vice President and Secretary since 1997 and Retirement Plan Services LLC (since June 2012). Director, Vice Age: 48 Secretary President and Secretary of DFA Australia Limited and Dimensional Fund since 2000 Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and Dimensional Hong Kong Limited (since August 2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager for Vice President Dimensional (since January 2008). Formerly, Design Manager of Age: 37 Dimensional (2005-2008). Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (2008-2010). Formerly, Vice President and Portfolio Age: 48 Manager at USAA Investment Management Company (2001-2006). Carolyn L. O Vice Since 2010 Vice President of all the DFA Entities and Dimensional Cayman President Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011). Age: 38 Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates LLP (January 2004-September 2007).
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------- ----------------- ------------------------------------------------------------------------ Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2004 to 2006). Age: 35 Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since July 2005). Age: 38 Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Vice President Officer for Dimensional (since January 2008). Formerly, Age: 34 Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd. and Dimensional Age: 51 Fund Advisors Canada ULC. Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (July 2006-2010). Age: 41 Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). Systems Developer of Age: 39 Dimensional (2001-2006). Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional Fund Advisors LP (June Age: 31 2011-January 2012); Research Assistant for Dimensional Fund Advisors LP (July 2004-August 2007). L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President Age: 41 Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Vice President Manager for Dimensional (since July 2008). Formerly, Age: 53 Senior Manager at Vanguard (November 1997-July 2008). David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional Vice President Fund Advisors Canada ULC. Age: 66 Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (March 2006-January 2010). Age: 50 Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Vice President Operations Manager for Dimensional (since May 2007). Age: 47 Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007). Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director Vice President of Dimensional (since December 2002). Age: 44 Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional Vice President Director of Dimensional (December 1999 to January 2007). Age: 37 Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager Vice President for Dimensional (2007-2010). Formerly, Business Analyst Age: 44 Manager, National Instruments (2003-2007). Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Vice President Fund Advisors Canada ULC. Age: 56 Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President Age: 49 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President Age: 64
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------- ----------------- ------------------------------------------------------------------------ Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice President Vice President of Dimensional Fund Advisors Canada ULC. Age: 39 John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (January 2008-January 2012). Age: 34 Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Vice President Technology for Dimensional (since March 2007). Formerly, Age: 54 Director of Technology at AMVESCAP (2002-2007). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd., and Dimensional Age: 46 Fund Advisors Canada ULC. Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since 2004). Age: 42 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President Age: 61 Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of Vice President Dimensional (since 2007). Age: 36 Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology Vice President Officer for Dimensional (since 2004). Age: 57 Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior Vice President Vice President, Global Public Relations at Natixis Global Age: 50 Asset Management (2008-2011); Senior Vice President, Media Relations at Bank of America (2007-2008). Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2005-2010). Age: 33 /1/ Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified.
88 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. 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://www.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 89 NOTICE TO SHAREHOLDERS (UNAUDITED) For shareholders that do not have an October 31, 2012 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2012 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2011 to October 31, 2012, 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 Portfolios to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
QUALIFYING NET FOR CORPORATE INVESTMENT SHORT-TERM LONG-TERM DIVIDENDS INCOME CAPITAL GAIN CAPITAL GAIN TOTAL RECEIVED DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DEDUCTION(1) ------------------------------------ ------------- ------------- ------------- ------------- ------------- Tax-Managed U.S. Marketwide Value Portfolio .................. 100% -- -- 100% 100% Tax-Managed U.S. Equity Portfolio ... 100% -- -- 100% 100% Tax-Managed U.S. Targeted Value Portfolio ........................ 86% -- 14% 100% 100% Tax-Managed U.S. Small Cap Portfolio ........................ 100% -- -- 100% 100% T.A. U.S. Core Equity 2 Portfolio ........................ 100% -- -- 100% 100% Tax-Managed DFA International Value Portfolio .................. 100% -- -- 100% 100% T.A. World ex U.S. Core Equity Portfolio ........................ 100% -- -- 100% 100% QUALIFYING QUALIFYING FOREIGN FOREIGN QUALIFYING SHORT-TERM DIVIDEND TAX SOURCE INTEREST CAPITAL DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) CREDIT(3) INCOME(4) INCOME(5) GAIN(6) ------------------------------------ ---------- --------- --------- ---------- ---------- Tax-Managed U.S. Marketwide Value Portfolio .................. 100% -- -- 100% 100% Tax-Managed U.S. Equity Portfolio ... 100% -- -- 100% 100% Tax-Managed U.S. Targeted Value Portfolio ........................ 100% -- -- 100% 100% Tax-Managed U.S. Small Cap Portfolio ........................ 100% -- -- 100% 100% T.A. U.S. Core Equity 2 Portfolio ........................ 100% -- -- 100% 100% Tax-Managed DFA International Value Portfolio .................. 100% 7% 99% 100% 100% T.A. World ex U.S. Core Equity Portfolio ........................ 100% 7% 97% 100% 100%
---------- (1) Qualifying dividends represent dividends which 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) "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. (4) "Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income. (5) The percentage in this column represents the amount of "Qualifying Interest Income" as created by The Ameri-can 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). (6) 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). 90 [LOGO] Recycled Recyclable DFA103112-002A THE DFA SHORT TERM INVESTMENT FUND Annual Report For the Year ended October 31, 2012 Table of Contents Investment Summary 1 Schedule of Portfolio Holdings 2 Schedule of Investments 3 Statement of Assets and Liabilities 7 Statement of Operations 8 Statements of Changes in Net Assets 9 Financial Highlights 10 Notes to Financial Statements 11 Report of Independent Registered Public Accounting Firm 15 Supplemental Information 16 Fund Management 18
Investment Summary Cumulative Performance of $10,000 [CHART]
2/1/2010 4/30/2010 7/31/2010 10/31/2010 1/31/2011 4/30/2011 7/31/2011 10/31/2011 --------- --------- --------- ---------- --------- --------- --------- ---------- DSTIF Growth of 10k 2/10 4/10 7/10 10/10 1/11 4/11 7/11 10/11 The DFA Short Term Investment Fund 10,000.00 10,004.43 10,010.67 10,017.06 10,022.62 10,027.23 10,031.01 10,034.84 Citi Index Growth of 10k Citigroup One-Month U.S. Treasury Bill Index 10,000.00 10,001.95 10,005.74 10,009.49 10,011.99 10,014.53 10,015.04 10,016.76
1/31/2012 4/30/2012 7/31/2012 10/31/2012 --------- --------- --------- ---------- DSTIF Growth of 10k 1/12 4/12 7/12 10/12 The DFA Short Term Investment Fund 10,039.68 10,044.88 10,050.54 10,056.10 Citi Index Growth of 10k Citigroup One-Month U.S. Treasury Bill Index 10,017.06 10,017.98 10,019.14 10,020.88
The graph represents a hypothetical investment in the Fund versus a similar investment in the Fund's benchmark. Average Annual Total Returns and 7-Day Yield as of 10/31/12
1 Year Since Inception 7-Day Yield - ------ --------------- ----------- The DFA Short Term Investment Fund 0.21% 0.20% 0.22% Citigroup One-Month U.S. Treasury Bill Index 0.04% 0.08% --
The performance data quoted represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. An investment in a money market fund is not insured or guaranteed by the FDIC or any other government agency. Total return equals income return and assumes reinvestment of all net investment income and realized capital gain distributions. The total returns quoted do not reflect adjustments made to the enclosed financial statements in accordance with U.S. generally accepted accounting principles or the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Yields and returns fluctuate. The seven-day yield quotation more closely reflects current earnings of the Fund than the total return quotation. 1 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Schedule of Portfolio Holdings October 31, 2012 -------------------------------------------------------------------------------- The following table indicates the allocation of investments among the asset classes in the Fund as of October 31, 2012:
Percentage of Security Allocation Investments ------------------- ------------- Commercial Paper 46.5% Repurchase Agreements 24.1 U.S. Government Agency Securities 9.0 Yankee Certificates of Deposit 8.5 Yankee Dollars 7.7 Corporate Bonds 4.2 ----- Total Investments 100.0%
2 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Schedule of Investments October 31, 2012 --------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------- Corporate Bonds - 4.2% (r)General Electric Capital Corp. 0.57% 11/01/12 25,000,000 25,000,000 (r)General Electric Capital Corp. 0.92% 01/07/13 30,000,000 30,039,090 (r)General Electric Capital Corp. 1.19% 01/15/13 42,820,000 42,885,557 (r)General Electric Capital Corp. 0.59% 05/08/13 12,900,000 12,909,985 (r)JPMorgan Chase & Co. 0.59% 11/01/12 2,020,000 2,020,000 (r)JPMorgan Chase & Co. 1.08% 02/26/13 71,630,000 71,794,964 (r)Toyota Motor Credit Corp. 0.59% 12/17/12 150,000,000 150,093,450 (r)Toyota Motor Credit Corp. 0.51% 04/03/13 100,000,000 100,056,000 (r)Toyota Motor Credit Corp. 0.50% 06/13/13 144,000,000 144,066,528 ------------- ------------- Total Corporate Bonds (Cost $578,615,844) 578,370,000 578,865,574 ------------- ------------- Yankee Dollars - 7.7% (r)Bank of Nova Scotia 0.41% 11/01/12 125,000,000 125,000,000 (r)Bank of Nova Scotia 0.57% 07/19/13 30,000,000 30,070,500 (r)Commonwealth Bank of Australia 0.93% 03/19/13 15,000,000 15,030,900 (r)National Australia Bank NY 0.58% 02/15/13 100,000,000 100,083,200 (r)National Australia Bank NY 0.40% 04/24/13 50,000,000 50,045,450 (r)National Australia Bank NY 0.51% 05/06/13 25,000,000 25,017,575 (r)Nordea Bank Finland NY 0.79% 04/05/13 50,360,000 50,419,072 (r)NRW Bank AG 0.56% 02/01/13 12,000,000 11,999,892 (r)Rabobank Nederland NV NY 0.42% 01/18/13 64,000,000 64,047,744 (r)Rabobank Nederland NV NY 0.53% 03/19/13 100,000,000 100,090,400 (r)Rabobank Nederland NV NY 0.46% 05/02/13 50,000,000 50,031,900 (r)Royal Bank of Canada NY 0.56% 03/08/13 28,900,000 28,917,976 (r)Royal Bank of Canada NY 0.44% 04/10/13 100,000,000 100,001,000 (r)Royal Bank of Canada NY 0.40% 07/11/13 60,000,000 60,016,020 (r)Royal Bank of Canada NY 0.49% 08/12/13 100,000,000 99,986,300 (r)Svenska Handelsbanken NY 0.84% 03/18/13 25,000,000 25,041,450 (r)Toronto Dominion Bank NY 0.49% 07/26/13 6,120,000 6,130,214 (r)Westpac Banking Corp. 0.62% 02/06/13 100,000,000 100,087,000 (r)Westpac Banking Corp. 0.90% 04/08/13 15,000,000 15,038,910 ------------- ------------- Total Yankee Dollars (Cost $1,056,611,344) 1,056,380,000 1,057,055,503 ------------- ------------- Commercial Papers - 46.5% (y)++ANZ National International Ltd. 0.24% 11/13/12 100,000,000 99,995,000 (y)++ANZ National International Ltd. 0.21% 01/25/13 5,750,000 5,747,183 (y)++ANZ National International Ltd. 0.30% 03/18/13 75,000,000 74,932,500 (y)++Australia & New Zealand Banking Group Ltd. 0.19% 11/27/12 32,300,000 32,297,739 (y)Bank of Nova Scotia 0.29% 11/14/12 50,000,000 49,998,000 (y)Bank of Nova Scotia 0.18% 01/08/13 30,000,000 29,988,300 (y)Banque et Caisse d'Epargne de l'Etat 0.29% 11/07/12 50,000,000 49,999,000 (y)Banque et Caisse d'Epargne de l'Etat 0.29% 11/13/12 50,000,000 49,997,500 (y)Banque et Caisse d'Epargne de l'Etat 0.31% 11/21/12 10,000,000 9,999,100 (y)Banque et Caisse d'Epargne de l'Etat 0.30% 11/28/12 75,000,000 74,990,250 (y)Banque et Caisse d'Epargne de l'Etat 0.41% 11/30/12 75,000,000 74,989,500 (y)Banque et Caisse d'Epargne de l'Etat 0.28% 12/06/12 50,000,000 49,991,000 (y)Banque et Caisse d'Epargne de l'Etat 0.36% 12/17/12 20,000,000 19,994,600 (y)Banque et Caisse d'Epargne de l'Etat 0.25% 12/21/12 75,000,000 74,977,500 (y)BNP Paribas Finance, Inc. 0.46% 11/09/12 10,000,000 9,999,600 (y)BNP Paribas Finance, Inc. 0.46% 11/14/12 40,000,000 39,997,600 (y)BNP Paribas Finance, Inc. 0.25% 11/28/12 100,000,000 99,987,000 (y)BNP Paribas Finance, Inc. 0.36% 01/02/13 50,000,000 49,979,000 (y)++BNZ International Funding Ltd. 0.22% 01/18/13 50,000,000 49,976,000 (y)++Caisse Centrale Desjardins 0.22% 11/08/12 25,000,000 24,999,250 (y)++Caisse d'Amortissement de la Dette Sociale 0.09% 11/28/12 100,000,000 99,995,000 (y)++Caisse d'Amortissement de la Dette Sociale 0.27% 12/21/12 174,000,000 173,982,600 (y)++Caisse des Depots et Consignations 0.28% 11/20/12 60,000,000 59,994,600 (y)++Caisse des Depots et Consignations 0.29% 11/28/12 50,000,000 49,994,000 (y)++Caisse des Depots et Consignations 0.25% 12/12/12 53,000,000 52,988,870 (y)++Caisse des Depots et Consignations 0.26% 12/20/12 5,000,000 4,998,750 (y)++Caisse des Depots et Consignations 0.31% 02/04/13 90,000,000 89,944,200 (y)++Caisse des Depots et Consignations 0.34% 03/28/13 80,000,000 79,917,600
See notes to financial statements. 3 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Schedule of Investments (continued) October 31, 2012 --------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------ Commercial Papers - 46.5% (continued) (y)++Caisse des Depots et Consignations 0.30% 04/12/13 70,000,000 69,913,900 (y)++Coca-Cola Co. 0.19% 01/11/13 43,075,000 43,062,078 (y)++Coca-Cola Co. 0.21% 01/23/13 44,875,000 44,857,050 (y)++Coca-Cola Co. 0.24% 03/12/13 100,000,000 99,916,000 (y)++Commonwealth Bank of Australia 0.18% 11/29/12 80,000,000 79,990,400 (y)++Commonwealth Bank of Australia 0.18% 11/30/12 35,000,000 34,995,800 (y)++Commonwealth Bank of Australia 0.19% 12/10/12 40,000,000 39,992,800 (y)++Commonwealth Bank of Australia 0.19% 01/04/13 18,190,000 18,183,770 (y)++Commonwealth Bank of Australia 0.21% 01/16/13 57,200,000 57,173,688 (y)++Commonwealth Bank of Australia 0.22% 01/23/13 150,000,000 149,920,499 (y)++CPPIB Capital, Inc. 0.15% 11/20/12 75,000,000 74,993,250 (y)++CPPIB Capital, Inc. 0.17% 01/24/13 42,050,000 42,033,122 (y)++CPPIB Capital, Inc. 0.22% 04/18/13 50,000,000 49,883,500 (y)++CPPIB Capital, Inc. 0.22% 04/23/13 100,000,000 99,753,000 (y)++E.I. du Pont de Nemours & Co. 0.16% 11/07/12 32,089,000 32,088,037 (y)General Electric Capital Corp. 0.37% 12/27/12 100,000,000 99,975,000 (y)++Hydro-Quebec 0.14% 12/13/12 105,000,000 104,975,850 (y)JPMorgan Chase & Co. 0.28% 11/05/12 10,000,000 9,999,900 (y)JPMorgan Chase & Co. 0.28% 11/06/12 100,000,000 99,999,000 (y)JPMorgan Chase & Co. 0.25% 12/04/12 25,000,000 24,998,000 (y)++Kreditanstalt Fur Wiederaufbau 0.19% 11/13/12 79,000,000 78,998,420 (y)++Kreditanstalt Fur Wiederaufbau 0.22% 11/16/12 71,080,000 71,078,578 (y)++Kreditanstalt Fur Wiederaufbau 0.22% 11/19/12 40,000,000 39,998,800 (y)++Kreditanstalt Fur Wiederaufbau 0.22% 11/30/12 70,000,000 69,997,200 (y)++Kreditanstalt Fur Wiederaufbau 0.22% 12/05/12 80,000,000 79,994,400 (y)++Kreditanstalt Fur Wiederaufbau 0.20% 01/24/13 25,000,000 24,991,500 (y)++Kreditanstalt Fur Wiederaufbau 0.23% 03/18/13 48,550,000 48,512,617 (y)++Medtronic, Inc. 0.15% 11/29/12 12,400,000 12,398,512 (y)++National Australia Bank NY 0.25% 04/23/13 30,000,000 29,968,500 (y)Nordea North America, Inc. 0.22% 01/25/13 80,000,000 79,957,600 (y)Nordea North America, Inc. 0.31% 03/14/13 100,000,000 99,900,000 (y)Nordea North America, Inc. 0.32% 03/18/13 9,500,000 9,490,215 (y)Nordea North America, Inc. 0.32% 03/19/13 30,000,000 29,968,800 (y)++NRW Bank AG 0.27% 11/07/12 100,000,000 99,997,000 (y)++NRW Bank AG 0.37% 11/26/12 50,000,000 49,992,000 (y)++NRW Bank AG 0.24% 11/29/12 50,000,000 49,991,000 (y)++NRW Bank AG 0.22% 12/03/12 60,000,000 59,988,000 (y)++NRW Bank AG 0.20% 12/19/12 100,000,000 99,969,000 (y)Oesterreichische Kontrollbank AG 0.20% 12/03/12 35,180,000 35,174,371 (y)Oesterreichische Kontrollbank AG 0.21% 02/25/13 100,000,000 99,886,000 (y)++Old Line Funding LLC 0.21% 11/01/12 20,051,000 20,051,000 (y)++Old Line Funding LLC 0.18% 12/04/12 24,124,000 24,121,105 (y)++Old Line Funding LLC 0.20% 12/05/12 50,000,000 49,993,500 (y)++Old Line Funding LLC 0.18% 12/10/12 14,635,000 14,632,951 (y)++Old Line Funding LLC 0.20% 12/12/12 45,000,000 44,993,250 (y)++Old Line Funding LLC 0.18% 12/17/12 50,000,000 49,991,500 (y)++Procter & Gamble Co. 0.14% 11/13/12 25,000,000 24,999,500 (y)Province of British Columbia 0.10% 12/19/12 26,500,000 26,496,290 (y)Province of Ontario 0.14% 11/07/12 100,000,000 99,998,000 (y)Province of Ontario 0.15% 11/20/12 85,000,000 84,992,350 (y)Province of Ontario 0.11% 11/30/12 95,000,000 94,986,700 (y)Province of Ontario 0.16% 12/17/12 100,000,000 99,973,000 (y)++Province of Quebec 0.17% 11/01/12 98,000,000 97,999,020 (y)++Province of Quebec 0.14% 11/08/12 20,000,000 19,999,200 (y)++Province of Quebec 0.15% 11/13/12 75,000,000 74,994,750 (y)++Province of Quebec 0.16% 11/27/12 50,000,000 49,992,000 (y)++Province of Quebec 0.21% 11/28/12 50,000,000 49,992,000 (y)++Standard Chartered Bank PLC 0.30% 11/14/12 30,000,000 29,997,900 (y)++Standard Chartered Bank PLC 0.38% 11/19/12 98,900,000 98,890,110 (y)++Standard Chartered Bank PLC 0.29% 11/27/12 125,000,000 124,981,250 (y)++Standard Chartered Bank PLC 0.38% 12/10/12 25,000,000 24,994,000
See notes to financial statements. 4 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Schedule of Investments (continued) October 31, 2012 --------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- ------------- Commercial Papers - 46.5% (continued) (y)++Standard Chartered Bank PLC 0.37% 12/13/12 10,000,000 9,997,300 (y)++Standard Chartered Bank PLC 0.38% 12/18/12 15,000,000 14,995,350 (y)++Standard Chartered Bank PLC 0.38% 12/20/12 5,000,000 4,998,350 (y)++Standard Chartered Bank PLC 0.38% 12/24/12 65,000,000 64,975,950 (y)++Standard Chartered Bank PLC 0.36% 12/31/12 50,000,000 49,978,000 (y)++Svenska Handelsbanken NY 0.23% 11/13/12 50,000,000 49,997,500 (y)++Svenska Handelsbanken NY 0.23% 11/14/12 50,000,000 49,997,000 (y)++Svenska Handelsbanken NY 0.21% 11/26/12 11,759,000 11,757,471 (y)++Svenska Handelsbanken NY 0.22% 11/30/12 43,640,000 43,633,018 (y)++Svenska Handelsbanken NY 0.22% 12/07/12 40,000,000 39,992,000 (y)++Svenska Handelsbanken NY 0.22% 12/19/12 35,000,000 34,990,550 (y)++Svenska Handelsbanken NY 0.26% 02/14/13 100,000,000 99,922,000 (y)++Svenska Handelsbanken NY 0.26% 02/15/13 20,000,000 19,984,200 (y)++Svenska Handelsbanken NY 0.29% 04/18/13 40,000,000 39,941,200 (y)++Toronto Dominion Holdings (U.S.A), Inc. 0.28% 11/07/12 100,000,000 99,998,000 (y)++Total Capital Canada, Ltd. 0.16% 11/06/12 289,000,000 288,994,220 (y)++Total Capital Canada, Ltd. 0.14% 12/12/12 100,000,000 99,977,000 (y)Toyota Motor Credit Corp. 0.16% 01/22/13 50,000,000 49,977,500 (y)++United Technologies Corp. 0.15% 11/06/12 50,000,000 49,999,000 (y)++Westpac Banking Corp. 0.31% 11/09/12 15,000,000 14,999,700 (y)++Westpac Banking Corp. 0.32% 11/26/12 25,000,000 24,998,500 ------------- ------------- Total Commercial Papers (Cost $6,402,691,659) 6,404,848,000 6,402,781,584 ------------- ------------- Yankee Certificates of Deposit - 8.5% (r)Bank of Nova Scotia 0.75% 02/15/13 75,000,000 75,090,675 (r)National Australia Bank NY 0.57% 12/06/12 100,000,000 100,054,100 (r)National Australia Bank NY 0.49% 05/29/13 50,000,000 50,045,000 (r)Nordea Bank Finland NY 0.64% 11/13/12 35,000,000 35,002,800 (r)Nordea Bank Finland NY 0.92% 02/06/13 18,500,000 18,517,742 (r)Nordea Bank Finland NY 0.92% 02/07/13 92,800,000 92,890,851 (r)Nordea Bank Finland NY 0.86% 03/08/13 12,950,000 12,963,222 (r)Rabobank Nederland NV NY 0.54% 11/09/12 47,500,000 47,502,375 (r)Rabobank Nederland NV NY 0.54% 11/16/12 50,000,000 50,006,400 (r)Rabobank Nederland NV NY 0.56% 11/30/12 140,000,000 140,022,400 (r)Royal Bank of Canada NY 0.45% 05/16/13 40,500,000 40,504,860 (r)Royal Bank of Canada NY 0.47% 08/30/13 100,000,000 99,991,000 (r)Svenska Handelsbanken NY 0.77% 01/18/13 12,840,000 12,851,389 (r)Toronto Dominion Bank NY 0.31% 02/04/13 100,000,000 100,027,200 (r)Toronto Dominion Bank NY 0.30% 05/15/13 40,000,000 40,012,800 (r)Toronto Dominion Bank NY 0.40% 09/13/13 200,000,000 200,102,000 (r)Westpac Banking Corp. 0.53% 12/20/12 50,000,000 50,033,900 ------------- ------------- Total Yankee Certificates of Deposit (Cost $1,165,226,120) 1,165,090,000 1,165,618,714 ------------- ------------- U.S. Government Agency Securities - 9.0% (y)Federal Home Loan Bank 0.13% 11/14/12 100,000,000 99,997,100 (y)Federal Home Loan Bank 0.12% 11/21/12 50,000,000 49,997,800 (y)Federal Home Loan Bank 0.10% 11/28/12 100,000,000 99,994,000 (y)Federal Home Loan Bank 0.13% 12/05/12 197,600,000 197,583,204 (y)Federal Home Loan Bank 0.12% 12/19/12 52,700,000 52,693,676 (y)Federal Home Loan Bank 0.14% 12/21/12 100,000,000 99,987,500 (y)Federal Home Loan Bank 0.14% 12/26/12 50,000,000 49,993,150 (y)Federal Home Loan Bank 0.13% 01/23/13 100,000,000 99,972,300 (y)Federal Home Loan Mortgage Corp. 0.05% 11/14/12 90,000,000 89,997,390 (y)Federal Home Loan Mortgage Corp. 0.12% 11/19/12 75,000,000 74,997,000 (y)Federal Home Loan Mortgage Corp. 0.12% 12/04/12 100,000,000 99,991,800 (y)Federal National Mortgage Assoc. 0.13% 11/14/12 75,000,000 74,997,825 (y)Federal National Mortgage Assoc. 0.13% 12/19/12 100,000,000 99,988,000 (y)Federal National Mortgage Assoc. 0.13% 01/16/13 50,000,000 49,987,350 ------------- ------------- Total U.S. Government Agency Securities (Cost $1,240,140,182) 1,240,300,000 1,240,178,095 ------------- -------------
See notes to financial statements. 5 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Schedule of Investments (concluded) October 31, 2012 --------------------------------------------------------------------------------
Security Description Rate Maturity Face Amount $ Fair Value $ -------------------- ---- -------- ------------- --------------- Repurchase Agreements - 24.1% Bank of America (Purchased on 10/31/12, Proceeds at maturity $600,004,500 collateralized by U.S. Treasury Securities, 0.13% - 1.88%, 04/30/14 - 04/15/16, market value $612,000,019) 0.27% 11/01/12 600,000,000 600,000,000 Barclays Capital Group LLC (Purchased on 10/31/12, Proceeds at maturity $550,004,583 collateralized by U.S. Treasury Securities, 0.25% - 3.13%, 04/30/13 - 04/30/16, market value $561,000,090) 0.30% 11/01/12 550,000,000 550,000,000 Deutsche Bank (Purchased on 10/31/12, Proceeds at maturity $300,002,333 collateralized by U.S. Treasury Securities, 0.25% - 3.75%, 05/31/14 - 11/15/18, market value $306,000,059) 0.28% 11/01/12 300,000,000 300,000,000 Deutsche Bank (Purchased on 10/31/12, Proceeds at maturity $115,001,022 collateralized by U.S. Government Backed Security, 0.00%, 04/29/13, market value $117,300,832) 0.32% 11/01/12 115,000,000 115,000,000 Goldman Sachs & Co. (Purchased on 10/31/12, Proceeds at maturity $100,000,722 collateralized by U.S. Government Backed Securities, 3.00% - 7.00%, 05/15/23 - 10/20/42, market value $102,000,000) 0.26% 11/01/12 100,000,000 100,000,000 HSBC (Purchased on 10/31/12, Proceeds at maturity $400,002,889 collateralized by U.S. Treasury Securities, 0.00% - 3.13%, 11/15/12 - 02/15/22, market value $410,674,487) 0.26% 11/01/12 400,000,000 400,000,000 JPMorgan Chase Bank (Purchased on 10/31/12, Proceeds at maturity $600,004,500 collateralized by U.S. Government Backed Securities, 0.00% - 13.50%, 02/15/13 - 03/15/54, market value $612,003,128) 0.27% 11/01/12 600,000,000 600,000,000 The Toronto Dominion Bank NY (Purchased on 10/31/12, Proceeds at maturity $500,003,750 collateralized by U.S. Government Backed Securities, 0.00% - 6.00%, 11/23/12 - 08/15/22, marketvalue $510,000,068) 0.27% 11/01/12 500,000,000 500,000,000 The Toronto Dominion Bank NY (Purchased on 10/31/12, Proceeds at maturity $150,001,042 collateralized by U.S. Treasury Securities, 0.25% - 1.88%, 11/30/13 - 06/30/15, market value $153,000,065) 0.25% 11/01/12 150,000,000 150,000,000 ------------- --------------- Total Repurchase Agreements (Cost $3,315,000,000) 3,315,000,000 3,315,000,000 ------------- --------------- Total Investments (Cost $13,758,285,149) - 100.0% $13,759,499,470 ===============
(r)The adjustable/variable rate shown is effective as of 10/31/12 (y)The rate shown is the effective yield. ++ Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The Fund's Advisor has deemed this security to be liquid based upon procedures approved by the Board of Directors/Trustees. The aggregate value of these securities at October 31, 2012 was $4,672,120,908 which represented 33.9% of the total investments of the fund. LLC--Limited Liability Co. NY--New York Shares PLC--Public Limited Company AG--Aktiengesellschaft (German & Swiss stock corporation) See notes to financial statements. 6 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Statement of Assets and Liabilities October 31, 2012 -------------------------------------------------------------------------------- Assets: Investments, at value $10,444,499,470 Repurchase agreements, at value 3,315,000,000 --------------- Total Investments 13,759,499,470 --------------- Cash 685,270,725 Interest receivable 2,475,205 Prepaid expenses and other assets 125 --------------- Total Assets 14,447,245,525 --------------- Liabilities: Distributions payable 2,586,916 Accrued expenses and other payables: Investment advisory 606,147 Director/Trustee 154,122 Administration 58,066 Professional 44,315 CCO 2,302 Other 6,828 --------------- Total Liabilities 3,458,696 --------------- Net Assets $14,443,786,829 =============== Net Assets consist of: Capital $14,442,123,293 Accumulated Net Investment Income -- Accumulated Net Realized Gains from Investment Transactions 449,215 Net Unrealized Appreciation on Investments 1,214,321 --------------- Net Assets $14,443,786,829 =============== Shares of Beneficial Interest (Unlimited Number of Shares Authorized, No Par Value) 1,248,238,82 Net Asset Value (Offering and Redemption Price Per Share) $ 11.57 --------------- Investments at cost $13,758,285,149 ===============
See notes to financial statements. 7 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Statement of Operations October 31, 2012 -------------------------------------------------------------------------------- Investment Income: Interest $41,501,575 ----------- Total Investment Income 41,501,575 ----------- Expenses: Investment Advisory Fees 7,693,113 Administration Fees 1,077,270 Professional Fees 384,254 Director/Trustee Fees 157,044 CCO Fees 27,413 Other Expenses 100,454 ----------- Total Expenses Before Fee Reductions 9,439,548 ----------- Fees Paid Indirectly (441,745) ----------- Net Expenses 8,997,803 ----------- Net Investment Income 32,503,772 ----------- Realized/Unrealized Gains (Losses) From Investments Net Realized Gains from Investment Transactions 452,500 Net Change in Unrealized Appreciation on Investments 1,214,321 ----------- Net Realized/Unrealized Gains (Losses) from Investments 1,666,821 ----------- Change in Net Assets Resulting From Operations $34,170,593 ===========
See notes to financial statements. 8 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Statements of Changes in Net Assets --------------------------------------------------------------------------------
For the Year Ended For the Year Ended October 31, 2012 October 31, 2011 ------------------ ------------------ From Investment Activities: Operations: Net Investment Income $ 32,503,772 $ 26,013,019 Net Realized Gains from Investments Transactions 452,500 59,078 Net Change in Unrealized Appreciation/ Depreciation Investments 1,214,321 -- ---------------- ---------------- Change in Net Assets from Operations 34,170,593 26,072,097 ---------------- ---------------- Distributions to Shareholders: Net Investment Income (32,503,772) (26,013,019) Net Realized Gains (77,359) -- ---------------- ---------------- Change in Net Assets from Distributions to Shareholders (32,581,131) (26,013,019) ---------------- ---------------- Capital Transactions: Proceeds from Shares Issued 64,025,904,825 55,113,515,363 Dividends Reinvested 17,206 -- Cost of Shares Redeemed (64,803,346,489) (53,709,001,947) ---------------- ---------------- Change in Net Assets from Capital Transactions (777,424,458) 1,404,513,416 ---------------- ---------------- Change in Net Assets (775,834,996) 1,404,572,494 ---------------- ---------------- Net Assets: Beginning of Period 15,219,621,825 13,815,049,331 ---------------- ---------------- End of Period $ 14,443,786,829 $ 15,219,621,825 ================ ================ Accumulated Net Investment Income $ -- $ 74,074 ================ ================ Shares Transactions:(a) Shares Issued 5,533,786,070 4,763,484,474 Reinvested 1,487 -- Shares Redeemed (5,600,980,682) (4,642,091,785) ---------------- ---------------- Change in Shares (67,193,125) 121,392,689 ---------------- ----------------
(a)As described in Note J, amounts have been adjusted for a 1-for-11.57 reverse share split that occurred on May 7, 2012. See notes to financial statements. 9 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Financial Highlights --------------------------------------------------------------------------------
For The For The For The Period Year Ended Year Ended Ended 10/31/2012 (a) 10/31/2011 (a) 10/31/2010* (a) -------------- -------------- --------------- Net Asset Value, Beginning of Period $ 11.57 $ 11.57 $ 11.57 Investment activities: Net Investment Income 0.02 0.02 0.02 Net Realized and Unrealized Gain/(Losses) on Investments -- (b) -- (b) -- (b) ----------- ----------- ----------- Total from Investment Activities 0.02 0.02 0.02 ----------- ----------- ----------- Distributions to shareholders from: Net Investment Income (0.02) (0.02) (0.02) Net Realized Gains -- (b) -- (b) -- (b) ----------- ----------- ----------- Total Distributions (0.02) (0.02) (0.02) ----------- ----------- ----------- Net Asset Value, End of Period $ 11.57 $ 11.57 $ 11.57 ----------- ----------- ----------- Total Return 0.21% 0.18% 0.17%(c) Supplemental Data: Net Assets, End of Period (000's) $14,443,787 $15,219,622 $13,815,049 Ratios to Average Net Assets: Net Investment Income (d) 0.21% 0.18% 0.23% Gross Expenses (d) 0.06% 0.06% 0.06% Net Expenses (d)(e) 0.06% 0.06% 0.06%
* For the Period February 1, 2010 (commencement of operations) to October 31, 2010. (a)As described in Note J, amounts have been adjusted for a 1-for-11.57 reverse share split that occurred on May 7, 2012. (b)Amount less than $0.005. (c)Not annualized. (d)Annualized for period less than one year. (e)Ratio as disclosed reflects the impact of custody fee credits earned by the Fund on cash balances. See notes to financial statements. 10 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Notes to Financial Statements October 31, 2012 -------------------------------------------------------------------------------- A. Organization The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940 (the "1940 Act"). The Trust consists of twelve portfolios one of which, The DFA Short Term Investment Fund (the "Fund"), is included in this report. The remaining operational portfolios are presented in separate reports. The investment objective of the Fund is to seek to provide a high level of current income consistent with liquidity and the preservation of capital. As a money market fund, the Fund will pursue its investment objective by investing in U.S. dollar-denominated short-term debt securities that meet the strict standards established by the Board of Directors/Trustees of the Trust (the "Board"), which seek to be in accordance with Rule 2a-7 under the 1940 Act. The Board is responsible for establishing the Trust's policies and for overseeing the management of the Trust. Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties which 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. B. Significant Accounting Policies The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP"). Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation - From November 1, 2011 through May 6, 2012, the Fund sought to maintain a constant net asset value of $1.00 per share by use of the penny-rounding method of pricing, pursuant to procedures adopted by the Board. The penny-rounding method of pricing permits the current net asset value per share to be rounded to the nearest one percent, provided the fund follows certain guidelines, including guidelines relating to maturity, credit quality, liquidity and diversification. On May 7, 2012, upon approval of the Board and consent of the shareholders, the Fund no longer sought to maintain a stable net asset value of $1.00 per share and, instead, adopted a floating net asset value per share. The securities held by the Fund are valued at market value or fair value in accordance with procedures adopted by the Board. Debt securities are valued on the basis of evaluated bid-side prices provided by one or more independent pricing services or other reasonably reliable sources, including broker/dealers that typically handle the purchase and sale of such securities. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: . Level 1 - quoted prices in active markets for identical securities . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) . Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. During the year ended October 31, 2012, only securities classified as Level 2 in the fair value hierarchy were held by the Fund. When determining the fair value of the Fund's investments, additional consideration is given to those assets or liabilities that have experienced a decrease in the volume or level of activity or have identified circumstances that indicate that a transaction is not orderly. The following table provides the fair value measurements of the Fund's investments by level within the fair value hierarchy as of October 31, 2012:
LEVEL 1 LEVEL 2 LEVEL 3 Investments in Investments in Investments in Securities Securities Securities -------------- --------------- -------------- The DFA Short Term Investment Fund Corporate Bonds $-- $ 578,865,574 $-- Yankee Dollars 1,057,055,503 Commercial Paper -- 6,402,781,584 -- Yankee Certificates of Deposit -- 1,165,618,714 -- U.S. Government Agency Securities -- 1,240,178,095 -- Repurchase Agreements 3,315,000,000 --- --------------- --- Total $-- $13,759,499,470 $-- === =============== ===
11 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Notes to Financial Statements - Continued October 31, 2012 -------------------------------------------------------------------------------- 2. Deferred Compensation Plan - Each eligible trustee (each a "Trustee" and collectively, the "Trustees") of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income, are included in Director/Trustee Fees. Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Trustee shall have the right in a notice of election to defer compensation (the "Notice") to elect to defer the receipt of the Trustee's deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Trustee's first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee's deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. At October 31, 2012, the Fund's total liability of $128,600 for deferred compensation to Trustees is included in "Director/Trustee" fees payable on the Statement of Assets and Liabilities. 3. Security Transactions and Related Income - Security transactions are accounted for on trade date. The Fund generally declares distributions from net investment income on a daily basis and pays dividends monthly. Any capital gains are distributed at least annually. The Fund does not expect to realize any long-term capital gains and losses. Interest income is recognized on an accrual basis and includes amortization or accretion of a premium or discount using the effective interest method. Costs used in determining net realized gains and losses on the sales of investment securities are those of the specific securities sold, adjusted for the accretion or amortization of purchase discounts or premiums during the respective holding period. 4. Allocations - Expenses directly attributable to the Fund are charged to the Fund. Expenses not directly attributable to the Fund are allocated among the respective funds in the Trust based upon relative net assets or on another reasonable basis. C. Federal Income Taxes The Fund is classified as a regulated investment company for tax purposes. As a regulated investment company, the Fund generally pays no U.S. federal income tax on the income and gains that the Fund distributes to shareholders. Distributions from net investment income and net realized capital gains are determined in accordance with U.S federal income tax regulation, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary (e.g., wash losses and post-October loss deferrals) or permanent (e.g., reclassification of market discounts, certain gain/loss, paydowns, and distributions) in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, attributable to distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share:
Decrease in Increase in Undistributed Accumulated Net Net Investment Income Realized Gains --------------------- --------------- The DFA Short Term Investment Fund $74,074 $74,074
As of October 31, 2012, the total cost and aggregate gross unrealized appreciation and depreciation of securities for federal income tax purposes were equal to the amounts reported for financial reporting purposes. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the Fund's financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Open tax years are those that are open for examination by taxing authorities (i.e., generally, the prior three tax year ends and the interim tax period since then). The tax character of distributions paid to shareholders during the periods ended October 31, 2012 and October 31, 2011 were as follows:
Distributions Paid From ------------------------- Net Investment Tax-Exempt Total Distributions Income Income Paid -------------- ---------- ------------------- The DFA Short Term Investment Fund 2012 $32,581,131 $-- $32,581,131 2011 26,013,019 -- 26,013,019
12 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Notes to Financial Statements - Continued October 31, 2012 -------------------------------------------------------------------------------- As of October 31, 2012, the components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ------------------- Total Accumulated Unrealized Accumulated Ordinary Tax-Exempt Accumulated Distributions Capital and Appreciation/ Earnings Income Income Earnings Payable Other Losses (Depreciation) (Deficit) -------- ---------- ----------- ------------- ------------ -------------- ----------- The DFA Short Term Investment Fund $633,002 $6,700 $639,702 $-- $-- $1,214,231 $1,854,023
D. Financial Instruments Repurchase Agreements - The Fund may engage in repurchase agreement transactions with institutions that the Advisor (as defined below) has determined are creditworthy. The Fund, through its custodian, receives delivery of underlying securities collateralizing a repurchase agreement. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the Fund and the counterparty. The counterparty will be required at all times, to maintain collateral with a value at least equal, at all times, to the value of the repurchase obligation including interest. A repurchase agreement transaction involves certain risks in the event of default or insolvency of the counterparty. These risks include possible delay or restrictions upon the Fund's ability to dispose of the underlying securities and a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights. E. Related Party Transactions Investment Manager - Dimensional Fund Advisors LP (the "Advisor" or "DFA") serves as investment advisor to the Fund. Pursuant to an investment management agreement with the Trust with respect to the Fund (the "Investment Management Agreement"), the Advisor manages the investment and reinvestment of the Fund's assets. DFA has served as the Fund's investment advisor since the Fund's commencement of operations. Pursuant to the terms of the Investment Management Agreement, the Advisor receives a management fee calculated daily and payable monthly from the Fund at an annual rate of 0.05% of the average daily net assets. Fees Paid to Officers - Certain officers of the Advisor are also officers of the Fund; however, such officers (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. Amounts paid to the Fund's CCO are reflected on the Statement of Operations as "CCO fees". Administrator and Custodian - Citi Fund Services Ohio, Inc. serves as the Administrator and Citibank, N.A. serves as the Custodian of the Fund. Pursuant to the terms of the Master Services Agreement, the Administrator receives a fee payable monthly from the Fund at an annual rate of 0.007% of the average daily net assets. Expense offsets to custody fees that arise from credits on cash balances maintained on deposit are reflected on the Statement of Operations, as applicable, as "Fees paid indirectly." Custody fees are reported gross of such credits. F. Interest Rate and Credit Risks The Fund invests primarily in money market instruments maturing in 397 days or less whose ratings are within one of the two highest ratings categories assigned by a nationally recognized statistical rating organization, or, if not rated, are believed by the Adviser to be of comparable quality. The ability of the issuers of the securities held by the Fund to meet their obligations may be affected by economic developments in a specific industry, state or region. The Fund is subject to the risk that the Advisor's security selection and expectations regarding interest rate trends will cause the yields of the Fund to lag the performance of other mutual funds with similar investment objectives or the performance of short-term debt instruments. The emphasis of the Fund on quality and liquidity also could cause the Fund to underperform when compared to other money market funds, particularly those that take greater maturity and credit risks. G. Line of Credit The Fund, together with other Dimensional-advised portfolios have entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed to by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The agreement for the line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2012. 13 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Notes to Financial Statements - Continued October 31, 2012 -------------------------------------------------------------------------------- H. New Accounting Pronouncements In December 2011, FASB issued ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of IFRS. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the Fund's financial statements. I. 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 all 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 or operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. J. Reverse Share Split On May 7, 2012, upon approval of the Board and consent of the shareholders, the Fund no longer sought to maintain a stable net asset value of $1.00 per share and, instead, adopted a floating net asset value per share. To accomplish the change from a stable net asset value fund to a floating net asset value fund, on May 7, 2012, the Fund underwent a 1-for-11.57 reverse share split. The effect of the reverse share split transaction was to divide the number of outstanding shares of the Fund by the reverse split factor, with a corresponding increase in the net asset value per share. This transaction did not change the net assets of the Fund or the value of a shareholder's investment. The historical share transactions presented in the Statements of Changes in Net Assets and per share data presented in the Financial Highlights have been adjusted retroactively to show the effect of the reverse share split. Additionally, when the application of the reverse share split results in fractional shares for beneficial shareholders, a portion of the cost of shares redeemed, as presented in the Statements of Changes in Net Assets, will reflect payments of fractional share balances on beneficial shareholder accounts. K. Subsequent Events Management has evaluated the impact of all subsequent events on the Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 14 Report of Independent Registered Public Accounting Firm To the Shareholders of The DFA Short Term Investment Fund and Board of Trustees of The DFA Investment Trust Company: In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The DFA Short Term Investment Fund (one of the portfolios constituting The DFA Investment Trust Company, hereafter referred to as the "Fund") at October 31, 2012, and 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 then ended and the financial highlights each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 15 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) October 31, 2012 -------------------------------------------------------------------------------- Other Federal Income Tax Information For the period ended October 31, 2012, certain distributions paid by the Fund may be subject to a maximum tax rate of 15% as provided by the Jobs and Growth Relief Reconciliation Act of 2003. The Fund intends to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with the 2011 Form 1099-DIV. For the period ended October 31, 2012, the Fund paid qualified interest income for purposes of a reduced individual federal income tax rate of:
Percentage ---------- The DFA Short Term Investment Fund 97.56 %
For the period ended October 31, 2012, the Fund paid qualified short-term capital gains for purposes of a reduced individual federal income tax rate of:
Percentage ---------- The DFA Short Term Investment Fund 100%
For the period ended October 31, 2012, the Fund designated the following amount as a short term capital gain distribution in accordance with Sections 871(k)(2) and 881(e) of the Internal Revenue Code;
Amount ------ The DFA Short Term Investment Fund $3,285
Expense Example The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund's gross income, directly reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2012 to October 31, 2012. Actual Expenses _______________ The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Annualized Beginning Ending Expense Paid Expense Ratio Account Value Account Value During Period * During Period 5/1/12 10/31/12 5/1/12-10/31/12 5/1/12-10/31/12 ------------- ------------- --------------- --------------- The DFA Short Term Investment Fund $1,000.00 $1,001.10 $0.30 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from May 1, 2012 to October 31, 2012 divided by the number of days in the fiscal year. Hypothetical Example for Comparison Purposes ____________________________________________ The table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 16 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Annualized Beginning Ending Expense Paid Expense Ratio Account Value Account Value During Period * During Period 5/1/12 10/31/12 5/1/12-10/31/12 5/1/12-10/31/12 ------------- ------------- --------------- --------------- The DFA Short Term Investment Fund $ 1,000.00 $ 1,024.83 $ 0.31 0.06%
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from May 1, 2012 to October 31, 2012 divided by the number of days in the fiscal year. Voting Proxies on Fund Portfolio Securities A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available without charge, upon request, by calling collect: (512) 306-7400. 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 Advisor's website __________________ at http://www.dimensional.com and reflects the twelve-month period beginning __________________________ July 1st and ending June 30th. Portfolio Holding Information The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc. or the Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the quarter. The schedule of Portfolio Holdings for the Fund in this report is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.goc, or they may be reviewed and copied at the SEC's Public Reference Room in Washington, DC (call 1-800-732-0330 for the information on the operation of the Public Reference Room). 17 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 -------------------------------------------------------------------------------- FUND MANAGEMENT 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 four standing committees, an Audit Committee, a Nominating Committee, a Portfolio Performance and Service Review Committee (the "Performance Committee") and an Independent Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also 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, 2012. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2012. Each Board's Performance Committee is comprised of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S. Scholes. Each member of the Performance Committee is a disinterested Trustee/Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2012. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review 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 Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2012. Certain biographical information for each disinterested Trustee/Director and each 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, Texas 78746. Prospectuses are also available at www.dimensional.com. 18 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Principal Occupation(s) During Past 5 Years Name, Position with the Term of Office\\1\\ and Portfolios within the DFA and Other Directorships of Public Companies Fund, Address and Age Length of Service Fund Complex\\2\\ Overseen Held ----------------------- ------------------- ------------------------- -------------------------------------------- Disinterested Trustees/Directors George M. Constantinides Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The Director of DFAIDG and DIG. investment companies University of Chicago Booth School of Trustee of DFAITC and DEM. Business. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 64 John P. Gould Director of Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service DFAIDG and DIG. Trustee of investment companies Professor of Economics, The University of DFAITC and DEM. The Chicago Booth School of Business (since University of Chicago Booth 1965). Member and Chair, Competitive Markets School of Business 5807 S. Advisory Committee, Chicago Mercantile Woodlawn Avenue Chicago, IL Exchange (futures trading exchange) (since 60637 Age: 73 2004). Formerly, Director of UNext, Inc. (1999-2006). Trustee, Harbor Fund (registered investment company) (30 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Mutal Insurance Company (1997-2010). Roger G. Ibbotson Director of Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale DFAIDG and DIG. Trustee of investment companies School of Management (since 1984). Chairman, DFAITC and DEM. Yale CIO and Partner, Zebra Capital Management, School of Management P.O. LLC (hedge fund manager) (since 2001). Box 208200 New Haven, CT Consultant to Morningstar, Inc. (since 06520-8200 Age: 68 2006). Formerly, Chairman, Ibbotson Associates, Inc., Chicago, IL (software data publishing and consulting) (1977-2006). Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010).
19 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Principal Occupation(s) During Past 5 Years Term of Office\\1\\ and Portfolios within the DFA and Other Directorships of Public Companies Length of Service Fund Complex\\2\\ Overseen Held - ------------------- ------------------------- -------------------------------------------- Edward P. Lazear Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG investment companies Institution (since 2002). Jack Steele Parker and DIG. Trustee of Professor of Human Resources Management and DFAITC and DEM. Economics, Graduate School of Business, Stanford University Stanford University (since 1995). Graduate School of Cornerstone Research (expert testimony and Business 518 Memorial economic and financial analysis) (since Way Stanford, CA 2009). Formerly, Chairman of the President 94305- 5015 Age: 64 George W. Bush's Council of Economic Advisers (2006-2009). Formerly, Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). Myron S. Scholes Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG investment companies Stanford University (since 1981). Formerly, and DIG. Trustee of Chairman, Platinum Grove Asset Management, DFAITC and DEM. c/o L.P. (hedge fund) (formerly, Oak Hill Dimensional Fund Platinum Partners) (1999-2009). Formerly, Advisors, LP 6300 Bee Managing Partner, Oak Hill Capital Cave Road Building 1 Management (private equity firm) (until Austin, TX 78746 Age: 2004). Director, American Century Fund 70 Complex (registered investment companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Abbie J. Smith Director Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service of DFAIDG and DIG. investment companies Professor of Accounting, The University of Trustee of DFAITC and Chicago Booth School of Business (since DEM. The University of 1980). Co-Director Investment Research, Chicago Booth School Fundamental Investment Advisors (hedge fund) of Business 5807 S. (since 2008). Director, HNI Corporation Woodlawn Avenue (formerly known as HON Industries Inc.) Chicago, IL 60637 Age: (office furniture) (since 2000). Director, 58 Ryder System Inc. (transportation, logistics and supply- chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (52 portfolios) (since 2009).
20 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Principal Occupation(s) During Past 5 Years Term of Office\\1\\ and Portfolios within the DFA and Other Directorships of Length of Service Fund Complex\\2\\ Overseen Public Companies Held Interested Trustees/Directors* David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, Chairman, Director, investment companies President, and Co- Chief Co-Chief Executive Executive Officer (since Officer and President of January 2010) of Dimensional DFAIDG and DIG. Holdings Inc., Dimensional Chairman, Trustee, Fund Advisors LP, DFA Co-Chief Executive Securities LLC, Dimensional Officer and President of Emerging Markets Value Fund, DFAITC and DEM. DFAIDG, Dimensional 6300 Bee Cave Road, Investment Group Inc. and The Building One Austin, DFA Investment Trust Company. Texas 78746 Age: 65 Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC, Dimensional Funds II PLC, DFA Australia Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. and Dimensional Advisors Ltd. Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Limited Partner, President, Dimensional SmartNest (US) LLC., Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer Director, Co-Chief investment companies (since January 2010), Chief Executive Officer and Investment Officer (since Chief Investment March 2007) and Officer of DFAIDG and Director/Trustee of DIG. Trustee, Co-Chief Dimensional Holdings Inc., Executive Officer and Dimensional Fund Advisors LP, Chief Investment DFA Securities LLC, Officer of DFAITC and Dimensional Emerging Markets DEM. 6300 Bee Cave Value Fund, DFAIDG, Road, Building One Dimensional Investment Group Austin, TX 78746 Age: Inc., The DFA Investment 45 Trust Company and Dimensional Cayman Commodity Fund I Ltd. Co-Chief Executive Officer, President and Chief Investment Officer of Dimensional Fund Advisors Canada ULC. Chief Investment Officer, Vice President and Director of DFA Australia Limited. Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC, Dimensional Funds II PLC, Dimensional Japan Ltd. and Dimensional Advisors Ltd. Co-Chief Executive Officer of Dimensional Retirement Plan Services LLC. Formerly, Vice President of Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 21 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 -------------------------------------------------------------------------------- Officers The name, age, and information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
Term of Office\\1\\ and Length of Service Principal Occupation(s) During Past 5 Years ------------------- ------------------------------------------------------ Officers April A. Aandal Vice President, Since 2008 Vice President of all the DFA Entities. Vice President Global Business Development Age: Global Business Development of all the DFA Entities. 49 Formerly, Chief Learning Officer of Dimensional (2008-2011); Regional Director of Dimensional (2004-2008). Robyn G. Alcorta Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice Age: 37 President Business Development at Capson Physicians Insurance Company (2010-2012); Vice President at Charles Schwab (2007- 2010). Darryl D. Avery Vice President Age: Since 2005 Vice President of all the DFA Entities. 46 Arthur H. Barlow Vice President Since 1993 Vice President of all the DFA Entities. Age: 56 John T. Blood Vice President Age: Since 2011 Vice President of all the DFA Entities. Formerly, 43 Regional Director for Dimensional (2010-January 2011); Chief Market Strategist at Commonwealth Financial (2007-2010); Director of Research at Commonwealth Financial (2000-2007). Scott A. Bosworth Vice President Since 2007 Vice President of all the DFA Entities. Age: 43 Valerie A. Brown Vice President and Since 2001 Vice President and Assistant Secretary of all the DFA Assistant Secretary Age: 45 Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Retirement Plan Services LLC, Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler Vice President Age: Since 2007 Vice President of all the DFA Entities. Head of Global 48 Financial Services of Dimensional (since 2008). Formerly, Regional Director of Dimensional (January 1995 to January 2005). Douglas M. Byrkit Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Age: 41 Regional Director for Dimensional Fund Advisors LP (December 2010-January 2012); Regional Director at Russell Investments (April 2006- December 2010). James G. Charles Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Age: 56 Regional Director for Dimensional (2008-2010); Vice President, Client Portfolio Manager at American Century Investments (2001-2008). Joseph H. Chi Vice President Age: Since 2009 Vice President of all the DFA Entities. Co-Head of 46 Portfolio Management of Dimensional (since March 2012). Sr. Portfolio Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (October 2005-January 2012). Stephen A. Clark Vice President Since 2004 Vice President of all the DFA Entities, DFA Australia Age: 40 Limited and Dimensional Fund Advisors Canada ULC. Head of Institutional, North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). Jeffrey D. Cornell Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Age: 36 Regional Director for Dimensional Fund Advisors LP (August 2002-January 2012).
22 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Term of Office\\1\\ and Length of Service Principal Occupation(s) During Past 5 Years ------------------- ---------------------------------------------------------- Robert P. Cornell Vice President Age: 63 Since 2007 Vice President of all the DFA Entities. Regional Director of Financial Services Group of Dimensional (since August 1993). George H. Crane Vice President Age: 57 Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice President and Managing Director at State Street Bank & Trust Company (2007-2008); Managing Director, Head of Investment Administration and Operations at State Street Research & Management Company (2002-2005). Christopher S. Crossan Vice President and Since 2004 Vice President and Global Chief Compliance Officer of all Global Chief Compliance Officer Age: 46 the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and Dimensional Retirement Plan Services LLC. Chief Compliance Officer of Dimensional Fund Advisors Canada ULC. James L. Davis Vice President Age: 55 Since 1999 Vice President of all the DFA Entities. Robert T. Deere Vice President Age: 55 Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Canada ULC. Peter F. Dillard Vice President Age: 40 Since 2010 Vice President of all the DFA Entities. Research Associate for Dimensional (since August 2008). Formerly, Research Assistant for Dimensional (April 2006-August 2008). Robert W. Dintzner Vice President and Since 2001 Vice President of all the DFA Entities. Chief Chief Communications Officer Age: 42 Communications Officer of Dimensional (since 2010). Richard A. Eustice Vice President and Since 1998 Vice President and Assistant Secretary of all the DFA Assistant Secretary Age: 47 Entities and DFA Australia Limited. Chief Operating Officer of Dimensional Fund Advisors Ltd. (since July 2008). Formerly, Vice President of Dimensional Fund Advisors Ltd. Gretchen A. Flicker Vice President Age: 41 Since 2004 Vice President of all the DFA Entities. Jed S. Fogdall Vice President Age: 38 Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio Management of Dimensional (since March 2012). Sr. Portfolio Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (since September 2004). Jeremy P. Freeman Vice President Age: 41 Since 2009 Vice President of all the DFA Entities. Senior Technology Manager for Dimensional (since June 2006). Formerly, Principal at AIM Investments/Amvescap PLC (now Invesco) (June 1998- June 2006). Mark R. Gochnour Vice President Age: 45 Since 2007 Vice President of all the DFA Entities. Regional Director of Dimensional. Tom M. Goodrum Vice President Age: 44 Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director at BlackRock (2004-January 2012). Henry F. Gray Vice President Age: 45 Since 2000 Vice President of all the DFA Entities. John T. Gray Vice President Age: 38 Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (January 2005 to February 2007).
23 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Term of Office\\1\\ and Length of Service Principal Occupation(s) During Past 5 Years ------------------- ---------------------------------------------------------- Christian Gunther Vice President Age: 37 Since 2011 Vice President of all the DFA Entities. Senior Trader for Dimensional Fund Advisors LP (since 2012). Formerly, Senior Trader for Dimensional Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Advisors Ltd. (2008-2009); Trader for Dimensional Fund Advisors LP (2004-2008). Joel H. Hefner Vice President Age: 44 Since 2007 Vice President of all the DFA Entities. Regional Director of Dimensional (since June 1998). Julie C. Henderson Vice President and Since 2005 Vice President and Fund Controller of all the DFA Entities Fund Controller Age: 38 and Dimensional Cayman Commodity Fund I Ltd. and Dimensional Japan Ltd. Kevin B. Hight Vice President Age: 44 Since 2005 Vice President of all the DFA Entities. Christine W. Ho Vice President Age: 44 Since 2004 Vice President of all the DFA Entities. Michael C. Horvath Vice President Age: 52 Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director, Co-Head Global Consultant Relations at BlackRock (2004-2011). Jeff J. Jeon Vice President Age: 38 Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Stephen W. Jones Vice President Age: 44 Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager for Dimensional Fund Advisors LP (October 2008- January 2012); General Manager at Intereity Investments (March 2007-October 2008). Patrick M. Keating Vice President and Chief Since 2003 Vice President and Chief Operating Officer of all the DFA Operating Officer Age: 57 Entities, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Retirement Plan Services LLC. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. Director and Vice President of Dimensional Hong Kong Limited. Glenn E. Kemp Vice President Age: 64 Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (April 2006-January 2012). David M. Kershner Vice President Age: 41 Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since June 2004). Seyun Alice Kim Vice President Age: 32 Since 2012 Vice President of all the DFA Entities. Formerly, Accounting Manager for Dimensional Fund Advisors LP (January 2006- January 2012). Timothy R. Kohn Vice President Age: 41 Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution Sales for Dimensional (since August 2010). Formerly, Chief DC Strategist, Barclays Global Investors (2005-2009). Joseph F. Kolerich Vice President Age: 40 Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of Dimensional (since January 2012).Formerly, Portfolio Manager for Dimensional (April 2007-January 2012). Stephen W. Kurad Vice President Age: 43 Since 2011 Vice President of all the DFA Entities. Regional Director for Dimensional (2007-2010). Michael F. Lane Vice President Age: 45 Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of Dimensional SmartNest (US) LLC (since 2012).
24 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Term of Office\\1\\ and Length of Service Principal Occupation(s) During Past 5 Years --------------------- ---------------------------------------------------------- Francis R. Lao Vice President Age: 43 Since 2011 Vice President of all the DFA Entities. Formerly, Vice President - Global Operations at Janus Capital Group (2005-2011). Juliet Lee Vice President Age: 41 Since 2005 Vice President of all the DFA Entities. Human Resources Manager of Dimensional (since January 2004). Marlena I. Lee Vice President Age: 31 Since 2011 Vice President of all the DFA Entities. Formerly, Research Associate for Dimensional (July 2008-2010). Apollo D. Lupescu Vice President Age: 43 Since 2009 Vice President of all the DFA Entities. Regional Director for Dimensional (since February 2004). Kenneth M. Manell Vice President Age: 39 Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Counsel for Dimensional (since September 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). Aaron M. Marcus Vice President & Head of Since 2008 Vice President of all the DFA Entities and Head of Global Global Human Resources Age: 42 Human Resources of Dimensional. Formerly, Global Head of Recruiting and Vice President of Goldman Sachs & Co. (June 2006 to January 2008). David R. Martin Vice President, Chief Since 2007 Vice President, Chief Financial Officer and Treasurer of Financial Officer and Treasurer Age: 55 all the DFA Entities. Director, Vice President, Chief Financial Officer and Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice President of Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Retirement Plan Services LLC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. Catherine L. Newell Vice President and Vice President since Vice President and Secretary of all the DFA Entities and Secretary Age: 48 1997 and Secretary Dimensional Retirement Plan Services LLC (since June since 2000 2012). Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and Dimensional Hong Kong Limited (since August 2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Christian A. Newton Vice President Age: 37 Since 2009 Vice President of all DFA Entities. Web Services Manager for Dimensional (since January 2008). Formerly, Design Manager of Dimensional (2005-2008). Pamela B. Noble Vice President Age: 48 Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Dimensional (2008-2010). Formerly, Vice President and Portfolio Manager at USAA Investment Management Company (2001- 2006). Carolyn L. O Vice President Age: 38 Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds (since 2011). Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates LLP (January 2004-September 2007).
25 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Term of Office\\1\\ and Length of Service Principal Occupation(s) During Past 5 Years ------------------- ---------------------------------------------------------- Gerard K. O'Reilly Vice President Age: 35 Since 2007 Vice President of all the DFA Entities. Formerly, Research Associate of Dimensional (2004 to 2006). Daniel C. Ong Vice President Age: 38 Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since July 2005). Kyle K. Ozaki Vice President Age: 34 Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for Dimensional (since January 2008). Formerly, Compliance Officer (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. David A. Plecha Vice President Age: 51 Since 1993 Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. Allen Pu Vice President Age: 41 Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Dimensional (July 2006-2010). Theodore W. Randall Vice President Age: Since 2008 Vice President of all the DFA Entities. Formerly, Research 39 Associate of Dimensional (2006-2008). Systems Developer of Dimensional (2001-2006). Savina B. Rizova Vice President Age: 31 Since 2012 Vice President of all the DFA Entities. Formerly, Research Associate for Dimensional Fund Advisors LP (June 2011-January 2012); Research Assistant for Dimensional Fund Advisors LP (July 2004-August 2007). L. Jacobo Rodriguez Vice President Age: 41 Since 2005 Vice President of all the DFA Entities. Julie A. Saft Vice President Age: 53 Since 2010 Vice President of all the DFA Entities. Client Systems Manager for Dimensional (since July 2008). Formerly, Senior Manager at Vanguard (November 1997-July 2008). David E. Schneider Vice President Age: 66 Since 2001 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada ULC. Walid A. Shinnawi Vice President Age: 50 Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional (March 2006-January 2010). Bruce A. Simmons Vice President Age: 47 Since 2009 Vice President of all the DFA Entities. Investment Operations Manager for Dimensional (since May 2007). Formerly, Vice President Client and Fund Reporting at Mellon Financial (September 2005-May 2007). Edward R. Simpson Vice President Age: 44 Since 2007 Vice President of all the DFA Entities. Regional Director of Dimensional (since December 2002). Bryce D. Skaff Vice President Age: 37 Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional (December 1999 to January 2007). Andrew D. Smith Vice President Age: 44 Since 2011 Vice President of all the DFA Entities. Project Manager for Dimensional (2007-2010). Formerly, Business Analyst Manager, National Instruments (2003-2007). Grady M. Smith Vice President Age: 56 Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada ULC. Carl G. Snyder Vice President Age: 49 Since 2000 Vice President of all the DFA Entities. Lawrence R. Spieth Vice President Age: 64 Since 2004 Vice President of all the DFA Entities.
26 -------------------------------------------------------------------------------- The DFA Short Term Investment Fund Supplemental Information (Unaudited) - Continued October 31, 2012 --------------------------------------------------------------------------------
Term of Office\\1\\ and Length of Service Principal Occupation(s) During Past 5 Years ------------------- ---------------------------------------------------------- Bradley G. Steiman Vice President Age: 39 Since 2004 Vice President of all the DFA Entities and Director and Vice President of Dimensional Fund Advisors Canada ULC. John H. Totten Vice President Age: 34 Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (January 2008-January 2012). Robert C. Trotter Vice President Age: 54 Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology for Dimensional (since March 2007). Formerly, Director of Technology at AMVESCAP (2002-2007). Karen E. Umland Vice President Age: 46 Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. Brian J. Walsh Vice President Age: 42 Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Dimensional (since 2004). Weston J. Wellington Vice President Age: Since 1997 Vice President of all the DFA Entities. 61 Ryan J. Wiley Vice President Age: 36 Since 2007 Vice President of all the DFA Entities. Senior Trader of Dimensional (since 2007). Paul E. Wise Vice President Age: 57 Since 2005 Vice President of all the DFA Entities. Chief Technology Officer for Dimensional (since 2004). Faith A. Yando Vice President Age: 50 Since 2011 Vice President of all the DFA Entities. Formerly, Senior Vice President, Global Public Relations at Natixis Global Asset Management (2008-2011); Senior Vice President, Media Relations at Bank of America (2007-2008). Joseph L. Young Vice President Age: 33 Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional (2005-2010).
/1/ Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/Directors and until his or her successor is elected and qualified. 27 [LOGO] ANNUAL REPORT period ended: October 31, 2012 DFA INVESTMENT DIMENSIONS GROUP INC. Dimensional Retirement Equity Fund II Dimensional Retirement Fixed Income Fund II Dimensional Retirement Fixed Income Fund III THE DFA INVESTMENT TRUST COMPANY Dimensional Retirement Equity Fund I [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 November 2012 Dear Fellow Shareholder, Working to understand the needs of clients has always been among our most important objectives at Dimensional. We believe that our ability to provide investment solutions has helped Dimensional become a trusted partner and resource for our clients. We've worked hard to build trust and have earned many long-standing client relationships. This demonstrates our commitment to client service, the stability of our organization, the breadth of our strategies, and the consistency of our investment approach. We believe that focusing on helping clients pursue their investment goals will benefit our clients as well as Dimensional. Sincerely, -s - David G. Booth David G. Booth Chairman and Co-Chief Executive 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 Performance Charts................................................. 2 Management's Discussion and Analysis............................... 3 Disclosure of Fund Expenses........................................ 5 Disclosure of Portfolio Holdings................................... 7 Schedules of Investments Dimensional Retirement Equity Fund II.......................... 8 Dimensional Retirement Fixed Income Fund II.................... 9 Dimensional Retirement Fixed Income Fund III................... 10 Statements of Assets and Liabilities............................... 11 Statements of Operations........................................... 12 Statements of Changes in Net Assets................................ 13 Financial Highlights............................................... 14 Notes to Financial Statements...................................... 15 Report of Independent Registered Public Accounting Firm............ 22 THE DFA INVESTMENT TRUST COMPANY-DIMENSIONAL RETIREMENT EQUITY FUND I Performance Chart.................................................. 23 Management's Discussion and Analysis............................... 24 Disclosure of Fund Expenses........................................ 25 Disclosure of Portfolio Holdings................................... 27 Schedule of Investments............................................ 28 Statement of Assets and Liabilities................................ 29 Statement of Operations............................................ 30 Statement of Changes in Net Assets................................. 31 Financial Highlights............................................... 32 Notes to Financial Statements...................................... 33 Report of Independent Registered Public Accounting Firm............ 39 FUND MANAGEMENT....................................................... 40 VOTING PROXIES ON FUND PORTFOLIO SECURITIES........................... 50 NOTICE TO SHAREHOLDERS................................................ 51
This report is submitted for the information of the Fund'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] DFA INVESTMENT DIMENSIONS GROUP INC. THE DFA INVESTMENT TRUST COMPANY 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) Annualized. (C) Non-Annualized. (D) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. (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. (b) Commencement of Operations. 1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS DIMENSIONAL RETIREMENT EQUITY FUND II VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) MARCH 7, 2012-OCTOBER 31, 2012 [CHART]
MSCI ALL COUNTRY DIMENSIONAL RETIREMENT WORLD INDEX END DATE EQUITY FUND II (NET DIV) --------------------------------------- ---------------------- ---------------- 3/7/2012 10000.00 10000.00 3/31/2012 10170.00 10286.34 4/30/2012 10050.00 10168.74 5/31/2012 9400.00 9257.01 6/30/2012 9822.30 9714.22 7/31/2012 9912.97 9847.19 8/31/2012 10174.89 10061.33 9/30/2012 10465.33 10378.24 10/31/2012 10354.10 10309.02
FROM 03/07/2012 --------------- 3.54% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. DIMENSIONAL RETIREMENT FIXED INCOME FUND II VS. BARCLAYS U.S. TREASURY INFLATION PROTECTED SECURITIES (TIPS) INDEX (SERIES-L) MAY 16, 2012-OCTOBER 31, 2012 [CHART]
BARCLAYS U.S. TREASURY INFLATION PROTECTED DIMENSIONAL RETIREMENT SECURITIES (TIPS) END DATE FIXED INCOME FUND II INDEX (SERIES-L) --------------------------------- ---------------------- ---------------------- 5/16/2012 10000.00 10000.00 5/31/2012 10070.00 10117.20 6/30/2012 10014.58 10060.85 7/31/2012 10166.16 10251.52 8/31/2012 10145.95 10222.07 9/30/2012 10216.69 10274.19 10/31/2012 10287.43 10363.16
FROM 05/16/2012 --------------- 2.87% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Barclays data provided by Barclays Bank PLC. DIMENSIONAL RETIREMENT FIXED INCOME FUND III VS. CITIGROUP US INFLATION-LINKED SECURITIES INDEX, 20+ YEARS MARCH 7, 2012-OCTOBER 31, 2012 [CHART]
CITIGROUP US INFLATION- DIMENSIONAL RETIREMENT LINKED SECURITIES END DATE FIXED INCOME III INDEX, 20+ YEARS -------------------------------- ---------------------- ----------------------- 3/7/2012 10000.00 10000.00 3/31/2012 9770.00 9821.41 4/30/2012 10310.00 10266.09 5/31/2012 10890.00 10921.48 6/30/2012 10750.85 10847.15 7/31/2012 11403.33 11424.12 8/31/2012 11152.37 11175.22 9/30/2012 11092.14 11147.83 10/31/2012 11423.40 11431.81
FROM 03/07/2012 --------------- 14.23% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Citigroup bond indices copyright 2012 by Citigroup. 2 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS DIMENSIONAL RETIREMENT EQUITY FUND II PERIOD ENDED OCTOBER 31, 2012 The Dimensional Retirement Equity Fund II seeks long-term capital appreciation generally by investing in a combination of mutual funds managed by Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"). As of the date of this report, the Fund's investments include the U.S. Core Equity 1 Portfolio, U.S. Large Company Portfolio, International Core Equity Portfolio, Large Cap International Portfolio, Emerging Markets Core Equity Portfolio, and The Emerging Markets Series (collectively, the "Underlying Funds"). The investment strategy is process driven, emphasizing broad diversification and consistent exposure in each Underlying Fund to stocks with desired asset class characteristics. As of October 31, 2012, the Underlying Funds held more than 11,000 equity securities in 44 countries. From the Fund's inception on March 7, 2012, through October 31, 2012, total returns were 3.54% for the Fund and 3.09% for the MSCI All Country World Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. The Fund had greater exposure than the Index to U.S. stocks and less exposure to certain other countries, particularly Japan and Brazil which underperformed during the period. These country weight differences contributed to the Fund's relative outperformance. The Fund also had greater exposure than the Index to value stocks, which outperformed and benefited relative performance. DIMENSIONAL RETIREMENT FIXED INCOME FUND II The Dimensional Retirement Fixed Income Fund II seeks to provide total return comprised of income and capital appreciation consistent with inflation protected instruments. The Advisor will generally purchase shares of the DFA Inflation-Protected Securities Portfolio, DFA One-Year Fixed Income Portfolio, and the Dimensional Retirement Fixed Income Fund III (collectively, the "Underlying Funds"). The average maturity of the Fund, based on the market value-weighted average holdings of the Underlying Funds, was 9.03 years on October 31, 2012. From the Fund's inception on May 16, 2012, through October 31, 2012, total returns were 2.87% for the Fund and 3.62% for the Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). The Fund's average allocation during the period was approximately 89% in the DFA Inflation-Protected Securities Portfolio, 8% in the DFA One-Year Fixed Income Portfolio, and 3% in the Dimensional Retirement Fixed Income Fund III. FIXED INCOME MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2012 U.S. and International fixed income markets continued to grapple with uncertainty in Europe and a lackluster U.S. recovery. Over the course of the year, the U.S. Federal Reserve maintained the target federal funds rate between 0.00% and 0.25% and continued its accommodative stance toward liquidity. Major central banks around the world maintained their accommodative stance as well. Term and credit risk were rewarded during the period as interest rates declined and credit spreads narrowed. The one-month Treasury bill yield finished the fiscal year at 0.09%, while the yield on 10-year U.S. Treasury notes declined to 1.69%. The U.S. yield curve remained upwardly sloped throughout the year.
10/31/12 10/31/11 CHANGE -------- -------- ------ One-Month Treasury Bill (yield)........................ 0.09% 0.01% 0.08% Ten-Year U.S. Treasury Notes (yield)................... 1.69% 2.11% -0.42%
-------- Source: Bloomberg. There is generally an inverse relationship between interest rates and bond prices, such that bond prices fall when interest rates rise. For the fiscal year under review, changes in interest rates and bond prices were more 3 pronounced in some parts of the yield curve than others. For the 12 months ended October 31, 2012, total returns were 0.09% for three-month U.S. Treasury bills, 3.28% for five-year U.S. Treasury notes, and 10.90% for 30-year U.S. Treasury bonds (Source: Barclays Treasury Bellwethers). Some of Dimensional's fixed income strategies are based on a variable-maturity strategy that identifies the maturity range with favorable risk-adjusted expected returns. When the yield curve is flat or inverted, short-term securities are believed to offer the most attractive opportunity on a risk-adjusted basis. When the yield curve is upwardly sloped, maturities are lengthened to achieve higher expected returns associated with longer maturities. During the period under review, the Portfolios employing the variable-maturity strategy continued to take term risk, reflecting the upward sloping eligible yield curves. Some fixed income strategies are based on an approach that varies exposure to credit risk. When credit spreads are narrow, higher quality securities are believed to offer the more attractive opportunity on a risk-adjusted basis. When credit spreads are wide, additional credit risk is taken to achieve the higher expected returns associated with increased risk. During the period under review, the portfolios employing the variable-credit approach continued to take market-like credit risk, reflecting a wide credit-spread environment. DIMENSIONAL RETIREMENT FIXED INCOME PERIOD ENDED OCTOBER 31, 2012 FUND III The Dimensional Retirement Fixed Income Fund III seeks to provide total return comprised of income and capital appreciation consistent with long-term inflation protection from investing generally in inflation-protected securities issued by the U.S. government and its agencies and instrumentalities with maturities greater than ten years. The average maturity was 29.06 years on October 31, 2012. From the Fund's inception on March 7, 2012, through October 31, 2012, total returns were 14.23% for the Fund and 14.32% for the Citigroup U.S. Inflation-Linked Securities Index, 20+ Years. The Fund benefited from a steep decline in real yields, particularly in the long-term portion of the curve. 4 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, 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" reflect 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 period indicated. SIX MONTHS ENDED OCTOBER 31, 2012 EXPENSE TABLES
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/12 10/31/12 RATIO* PERIOD* --------- --------- ---------- -------- DIMENSIONAL RETIREMENT EQUITY FUND II** Actual Fund Return................................. $1,000.00 $1,030.26 0.40% $2.04 Hypothetical 5% Annual Return...................... $1,000.00 $1,023.13 0.40% $2.03 DIMENSIONAL RETIREMENT FIXED INCOME FUND II**, *** Actual Fund Return................................. $1,000.00 $1,028.74 0.40% $1.87 Hypothetical 5% Annual Return...................... $1,000.00 $1,023.13 0.40% $2.03
5 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/12 10/31/12 RATIO* PERIOD* --------- --------- ---------- -------- DIMENSIONAL RETIREMENT FIXED INCOME FUND III Actual Fund Return........................... $1,000.00 $1,107.99 0.40% $2.12 Hypothetical 5% Annual Return................ $1,000.00 $1,023.13 0.40% $2.03
-------- * 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 in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the period. ** The Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II are a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affliliated Investment Companies). *** The Dimensional Retirement Fixed Income Fund II commenced operations on May 16, 2012. 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 (169), then divided by the number of days in the year (366) 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 six months ended October 31, 2012 to allow for comparability. 6 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all Funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. FUND OF FUNDS
AFFILIATED INVESTMENT COMPANIES ------------------------------- Dimensional Retirement Equity Fund II........... 100.0% Dimensional Retirement Fixed Income Fund II..... 100.0%
FIXED INCOME PORTFOLIO DIMENSIONAL RETIREMENT FIXED INCOME FUND III Government.............................. 100.0% ----- Total................................... 100.0%
7 DIMENSIONAL RETIREMENT EQUITY FUND II SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
SHARES VALUE+ ------ -------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Large Company Portfolio of Dimensional Investment Group Inc....................... 6,184 $ 68,952 Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc.................... 5,725 69,330 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc.................... 1,567 28,723 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 1,055 10,656 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 196 3,724 Investment in The Emerging Markets Series of The DFA Investment Trust Company....................... 8,339 -------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $174,312)..................................... 189,724 -------- TEMPORARY CASH INVESTMENTS -- (0.0%) BlackRock Liquidity Funds TempCash Portfolio-Institutional Shares (Cost $265)............................................ 265 265 -------- TOTAL INVESTMENTS-(100.0%) (Cost $174,577)............ $189,989 ========
Summary of the Fund's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- ------- ------- -------- Affiliated Investment Companies............. $ 189,724 -- -- $189,724 Temporary Cash Investments.................. 265 -- -- 265 ---------- -- -- -------- TOTAL....................................... $ 189,989 -- -- $189,989 ========== == == ========
See accompanying Notes to Financial Statements. 8 DIMENSIONAL RETIREMENT FIXED INCOME FUND II SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
SHARES VALUE+ ------ ------ AFFILIATED INVESTMENT COMPANIES -- (90.9%) Investment in DFA Inflation-Protected Securities Portfolio of DFA Investment Dimensions Group Inc......................... 409 $5,317 Investment in DFA One-Year Fixed Income Portfolio of DFA Investment Dimensions Group Inc......................... 58 600 Investment in Dimensional Retirement Fixed Income Fund III of DFA Investment Dimensions Group Inc......................... 20 228 ------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,018)............................................ 6,145 ------ TEMPORARY CASH INVESTMENTS -- (9.1%) BlackRock Liquidity Funds TempCash Portfolio-Institutional Shares (Cost $613)................................................. 613 613 ------ TOTAL INVESTMENTS-(100.0%) (Cost $6,631)................... $6,758 ======
Summary of the Fund's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------- ------- ------- -------- Affiliated Investment Companies......... $6,145 -- -- $ 6,145 Temporary Cash Investments.............. 613 -- -- 613 ------ -- -- -------- TOTAL................................... $6,758 -- -- $ 6,758 ====== == == ========
See accompanying Notes to Financial Statements. 9 DIMENSIONAL RETIREMENT FIXED INCOME FUND III SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
FACE AMOUNT VALUE+ ------ -------- (000) U.S. TREASURY OBLIGATIONS -- (100.0%) U.S. Treasury Inflation Notes 2.125%, 02/15/41.............................................. $ 77 $121,509 0.750%, 02/15/42.............................................. 320 363,233 -------- TOTAL U.S. TREASURY OBLIGATIONS.................................. 484,742 -------- TOTAL INVESTMENTS -- (100.0%) (Cost $447,660)............................................... $484,742 ========
Summary of the Fund's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) --------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------- ---------- ------- -------- U.S. Treasury Obligations.................... -- $ 484,742 -- $484,742 -- ---------- -- -------- TOTAL........................................ -- $ 484,742 -- $484,742 == ========== == ========
See accompanying Notes to Financial Statements. 10 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DIMENSIONAL DIMENSIONAL DIMENSIONAL RETIREMENT EQUITY RETIREMENT FIXED INCOME RETIREMENT FIXED INCOME FUND II FUND II FUND III ----------------- ----------------------- ----------------------- ASSETS: Investments in Affiliated Investment Companies at Value.... $ 190 $ 6 -- Investments at Value............... -- -- $ 485 Temporary Cash Investments at Value & Cost..................... -- 1 -- Cash............................... -- -- 3 Receivables: Dividends and Interest.......... -- -- 1 Fund Shares Sold................ 1 -- 1 From Advisor.................... 2 1 1 ------------ ------------ ------------ Total Assets................ 193 8 491 ------------ ------------ ------------ LIABILITIES: Payables: Accrued Expenses and Other Liabilities...................... 2 2 2 ------------ ------------ ------------ Total Liabilities........... 2 2 2 ------------ ------------ ------------ NET ASSETS......................... $ 191 $ 6 $ 489 ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)........................ 18,599 607 42,968 ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE....... $ 10.24 $ 10.18 $ 11.38 ============ ============ ============ Investments in Affiliated Investment Companies at Cost..... $ 174 $ 6 $ -- ------------ ------------ ------------ Investments at Cost................ $ -- $ -- $ 448 ------------ ------------ ------------ NET ASSETS CONSIST OF: Paid-In Capital.................... $ 175 $ 6 $ 450 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........ -- -- 2 Net Unrealized Appreciation (Depreciation)................... 16 -- 37 ------------ ------------ ------------ NET ASSETS......................... $ 191 $ 6 $ 489 ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED.... 100,000,000 100,000,000 100,000,000 ============ ============ ============
See accompanying Notes to Financial Statements. 11 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS)
DIMENSIONAL DIMENSIONAL DIMENSIONAL RETIREMENT RETIREMENT RETIREMENT FIXED INCOME FIXED INCOME EQUITY FUND II*(a) FUND II*(b) FUND III(a) ------------------ ------------ ------------ INVESTMENT INCOME Net Investment Income Received from Affiliated Investment Companies: Income Distributions....................................................... $ 2 -- -- Interest................................................................... -- -- -- ---- ---- ---- Total Investment Income................................................ 2 -- -- ---- ---- ---- FUND INVESTMENT INCOME Interest................................................................... -- -- $ 5 ---- ---- ---- Total Fund Investment Income........................................... -- -- 5 ---- ---- ---- FUND EXPENSES Investment Advisory Services Fees.......................................... -- -- 1 Accounting & Transfer Agent Fees........................................... 8 $ 5 16 Shareholders' Reports...................................................... 4 3 8 Audit Fees................................................................. 5 3 -- Organizational & Offering Costs............................................ 30 20 38 ---- ---- ---- Total Expenses......................................................... 47 31 63 ---- ---- ---- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)...................................................... (47) (31) (62) ---- ---- ---- Net Expenses............................................................... -- -- 1 ---- ---- ---- Net Investment Income (Loss)............................................... 2 -- 4 ---- ---- ---- REALIZED AND UNREALIZED GAIN (LOSS) Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares................................. 16 -- 37 ---- ---- ---- NET REALIZED AND UNREALIZED GAIN (LOSS).................................... 16 -- 37 ---- ---- ---- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............... $ 18 $ -- $ 41 ==== ==== ====
-------- * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Fund's Master Fund (Affiliated Investment Company). (a) The Fund commenced operations on March 7, 2012. (b) The Fund commenced operations on May 16, 2012. See accompanying Notes to Financial Statements. 12 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DIMENSIONAL DIMENSIONAL DIMENSIONAL RETIREMENT RETIREMENT RETIREMENT FIXED INCOME FIXED INCOME EQUITY FUND II FUND II FUND III ---------------- ---------------- ---------------- FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD MARCH 7, 2012(a) MAY 16, 2012(a) MARCH 7, 2012(a) TO TO TO OCTOBER 31, 2012 OCTOBER 31, 2012 OCTOBER 31, 2012 ---------------- ---------------- ---------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............................................. $ 2 -- $ 4 Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares................................ 16 -- 37 ---- ---- ---- Net Increase (Decrease) in Net Assets Resulting from Operations....................................................... 18 -- 41 ---- ---- ---- Distributions From: Net Investment Income: Institutional Shares.................................................. (2) -- (2) ---- ---- ---- Total Distributions................................................ (2) -- (2) ---- ---- ---- Capital Share Transactions (1): Shares Issued............................................................. 226 $ 37 513 Shares Issued in Lieu of Cash Distributions............................... 2 -- 2 Shares Redeemed........................................................... (53) (31) (65) ---- ---- ---- Net Increase (Decrease) from Capital Share Transactions............ 175 6 450 ---- ---- ---- Total Increase (Decrease) in Net Assets............................ 191 6 489 NET ASSETS Beginning of Period....................................................... -- -- -- ---- ---- ---- End of Period............................................................. $191 $ 6 $489 ==== ==== ==== (1) SHARES ISSUED AND REDEEMED: Shares Issued............................................................. 24 4 49 Shares Redeemed........................................................... (5) (3) (6) ---- ---- ---- Net Increase (Decrease) from Shares Issued and Redeemed............ 19 1 43 ==== ==== ==== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)......................................................... -- -- $ 2
-------- See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 13 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
DIMENSIONAL DIMENSIONAL DIMENSIONAL RETIREMENT RETIREMENT RETIREMENT FIXED INCOME FIXED INCOME EQUITY FUND II FUND II FUND III ---------------- ---------------- ---------------- PERIOD PERIOD PERIOD MARCH 7, 2012(a) MAY 16, 2012(a) MARCH 7, 2012(a) TO TO TO OCTOBER 31, 2012 OCTOBER 31, 2012 OCTOBER 31, 2012 ---------------- ---------------- ---------------- Net Asset Value, Beginning of Period........................ $10.00 $ 10.00 $10.00 ------ ------- ------ Income from Investment Operations Net Investment Income (Loss)(A).......................... 0.16 0.23 0.12 Net Gains (Losses) on Securities (Realized and Unrealized)............................................ 0.19 0.06 1.30 ------ ------- ------ Total from Investment Operations..................... 0.35 0.29 1.42 Less Distributions Net Investment Income.................................... (0.11) (0.11) (0.04) ------ ------- ------ Total Distributions.................................. (0.11) (0.11) (0.04) ------ ------- ------ Net Asset Value, End of Period.............................. $10.24 $ 10.18 $11.38 ====== ======= ====== Total Return................................................ 3.54%(C) 2.87%(C) 14.23%(C) ------ ------- ------ Net Assets, End of Period (thousands)....................... $ 191 $ 6 $ 489 Ratio of Expenses to Average Net Assets..................... 0.40%(B)(D)(E) 0.40%(B)(D)(E) 0.40%(B)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).............................................. 52.27%(B)(D)(E) 447.64%(B)(D)(E) 29.65%(B)(E) Ratio of Net Investment Income to Average Net Assets........ 2.40%(B)(E) 5.07%(B)(E) 1.68%(B)(E) Portfolio Turnover Rate..................................... N/A N/A 11%(C)
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 14 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: DFA Investment Dimensions Group Inc. (the "Fund" or "IDG") 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 sixty-seven operational portfolios, three of which, Dimensional Retirement Equity Fund II, Dimensional Retirement Fixed Income Fund II and Dimensional Retirement Fixed Income Fund III (each a "Retirement Fund" and collectively, the "Retirement Funds"), are presented in this report. The remaining operational portfolios are presented in separate reports. Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II achieve their investment objectives by primarily investing in other portfolios within IDG, Dimensional Investment Group Inc. ("DIG") and The DFA Investment Trust Company ("ITC") (collectively, the "Master Funds"). The Portfolios also invest in short-term temporary cash investments.
PERCENTAGE OWNERSHIP FUND OF FUNDS MASTER FUNDS AT 10/31/12 ------------- --------------------------------------------------- ----------- Dimensional Retirement Equity Fund II U.S. Large Company Portfolio (DIG) -- U.S. Core Equity 1 Portfolio (IDG) -- Large Cap International Portfolio (IDG) -- International Core Equity Portfolio (IDG) -- Emerging Markets Core Equity Portfolio (IDG) -- The Emerging Markets Series (ITC) -- Dimensional Retirement Fixed Income Fund II DFA Inflation-Protected Securities Portfolio (IDG) -- DFA One-Year Fixed Income Portfolio (IDG) -- Dimensional Retirement Fixed Income Fund III (IDG) --
Amounts designated as -- are less than 1% 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Retirement Funds utilize 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, futures contracts) . Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) 15 . Level 3 - significant unobservable inputs (including the Retirement Funds' own assumptions in determining the fair value of investments) Debt securities held by the Retirement Funds 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 which 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/Trustees (the "Board"). Most Master Fund shares held by Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II are valued at their respective daily net asset values, as these Master Funds are treated as regulated investment companies. Dimensional Retirement Equity Fund II's investment in The Emerging Markets Series, which is taxed as a partnership, reflects its proportionate interest in the net assets of the Series. These securities are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Retirement Funds' investments by each major security type is disclosed previously in the Security Valuation note. Valuation hierarchy tables have been included at the end of the Schedule of Investments. The inputs or methodology 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/Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Retirement Funds estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Expenses directly attributable to a Retirement Fund are directly charged. Common expenses of the Fund are allocated using methods approved by the Board, generally based on average net assets. 16 C. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Retirement Funds and the Master Funds. For the period ended October 31, 2012, the advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Retirement Fund's average daily net assets. Pursuant to an Amended and Restated Fee Waiver and Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive management fees, and in certain instances, assume certain expenses of the Retirement Funds, as described below. The Fee Waiver Agreement for the Retirement Funds will remain in effect through February 28, 2013, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. With respect to Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II, the Advisor has contractually agreed to waive up to the full amount of each Portfolio's management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II through their investment in the Master Funds (including each Portfolio's proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). 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 each Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding any applicable 12b-1 fees) ("Portfolio Expenses") of such class of the Portfolio so that the Portfolio Expenses do not exceed 0.40% of the average net assets of the class of the Portfolio on an annualized basis. With respect to Dimensional Retirement Fixed Income Fund III, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of each class of Dimensional Retirement Fixed Income Fund III to the extent necessary to limit the ordinary operating expenses (not including expenses incurred through an investment in other investment companies and any applicable 12b-1 fees) ("Portfolio Expenses") of a class of Dimensional Retirement Fixed Income Fund III so that such Portfolio Expenses do not exceed 0.40% of the average net assets of a class of Dimensional Retirement Fixed Income Fund III on an annualized basis. FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Fund; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Fund. For the period ended October 31, 2012, the total related amounts paid by the Fund to the CCO were $234 (in thousands). The total related amounts paid by each of the Retirement Funds are included in Other Expenses on the Statement of Operations. D. DEFERRED COMPENSATION: At October 31, 2012, 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 (amounts in thousands): Dimensional Retirement Equity Fund II............................ -- Dimensional Retirement Fixed Income Fund II...................... -- Dimensional Retirement Fixed Income Fund III..................... --
17 E. PURCHASES AND SALES OF SECURITIES: For the period ended October 31, 2012, Dimensional Retirement Equity Fund II and Dimensional Retirement Fixed Income Fund II made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DIMENSIONAL RETIREMENT EQUITY FUND II ------------------------------------------------------------ DISTRIBUTIONS BALANCE AT BALANCE AT DIVIDEND OF REALIZED 10/31/2011 10/31/2012 PURCHASES SALES INCOME GAINS AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ----- -------- ------------- U.S. Large Company Portfolio................. -- $69 $74 $10 $ 1 -- U.S. Core Equity 1 Portfolio................. -- 69 74 10 1 -- Large Cap International Portfolio............ -- 29 31 5 1 -- International Core Equity Portfolio.......... -- 11 11 2 -- -- Emerging Markets Core Equity Portfolio....... -- 4 4 1 -- -- The Emerging Markets Series.................. -- 8 9 1 -- --
DIMENSIONAL RETIREMENT FIXED INCOME FUND II ------------------------------------------------------------ DISTRIBUTIONS BALANCE AT BALANCE AT DIVIDEND OF REALIZED 10/31/2011 10/31/2012 PURCHASES SALES INCOME GAINS AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ----- -------- ------------- DFA Inflation-Protected Securities Portfolio...... -- $ 5 $33 $28 -- -- DFA One-Year Fixed Income Portfolio............... -- 1 3 2 -- -- Dimensional Retirement Fixed Income Fund III...... -- -- 1 1 -- --
For the period ended October 31, 2012, Dimensional Retirement Fixed Income Fund III made the following purchases and sales of investment securities, other than short-term securities (amounts in thousands):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES --------------- --------------- PURCHASES SALES PURCHASES SALES --------- ----- --------- ----- Dimensional Retirement Fixed Income Fund III..................... $483 $38 -- --
F. FEDERAL INCOME TAXES: Each Retirement 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 my differ from these 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 these differences are permanent, they are charged or credited to paid-in-capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, primarily attributable to net foreign currency gains/losses, non-deductible expenses and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): 18
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS (LOSSES) --------------- -------------- -------------- Dimensional Retirement Equity Fund II.................. -- -- -- Dimensional Retirement Fixed Income Fund II............ -- -- -- Dimensional Retirement Fixed Income Fund III........... -- -- --
The tax character of dividends and distributions declared and paid during the year ended October 31, 2012 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ----- Dimensional Retirement Equity Fund II 2012......................................... $ 2 -- $ 2 Dimensional Retirement Fixed Income Fund II 2012......................................... -- -- -- Dimensional Retirement Fixed Income Fund III 2012......................................... 2 -- 2
At October 31, 2012, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED NET TOTAL NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED EARNINGS SHORT-TERM LONG-TERM CAPITAL LOSS (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFORWARD LOSSES) ------------- ------------- ------------ ------------- Dimensional Retirement Equity Fund II.................. -- -- -- -- Dimensional Retirement Fixed Income Fund II............ -- -- -- -- Dimensional Retirement Fixed Income Fund III........... $ 2 -- -- $ 2
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 Retirement 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, 2012, Dimensional Retirement Fixed Income Fund III had capital loss carryforwards available to offset future realized capital gains (amounts in thousands):
UNLIMITED TOTAL --------- ----- Dimensional Retirement Fixed Income Fund III..................... -- --
During the year ended October 31, 2012, the Retirement Funds did not utilize capital loss carryforwards. 19 At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) -------- ------------ -------------- -------------- Dimensional Retirement Equity Fund II.................. $175 $15 -- $15 Dimensional Retirement Fixed Income Fund II............ 6 -- -- -- Dimensional Retirement Fixed Income Fund III........... 448 40 $(3) 37
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 on a tax return. Management has analyzed the Retirement Funds' tax position and has concluded that no additional provisions for income tax are required in the Retirement Funds' financial statements. The Retirement Funds 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. G. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Retirement Funds under this line of credit during the period ended October 31, 2012. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Fund expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. There were no borrowings by the Retirement Funds under this line of credit during the period ended October 31, 2012. 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 which 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. 20 I. RECENTLY ISSUED ACCOUNTING STANDARDS: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. J. OTHER: At October 31, 2012, the following number of shareholders held the following approximate percentages of outstanding shares of the Retirement Funds. 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 ------------ -------------- Dimensional Retirement Equity Fund II............. 2 99% Dimensional Retirement Fixed Income Fund II....... 2 100% Dimensional Retirement Fixed Income Fund III...... 1 91%
The Retirement 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 an action 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 Retirement Funds and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 21 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF THE PORTFOLIOS, AS DEFINED, AND BOARD OF DIRECTORS OF DFA INVESTMENT DIMENSIONS GROUP INC.: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Retirement Equity Fund II, Dimensional Retirement Fixed Income Fund II, and Dimensional Retirement Fixed Income Fund III (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the "Portfolios") at October 31, 2012, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods March 7, 2012, May 16, 2012, and March 7, 2012 (commencement of operations), respectively, through October 31, 2012, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolios' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2012 by correspondence with the custodian and the transfer agent of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 22 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHART DIMENSIONAL RETIREMENT EQUITY FUND I VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) AUGUST 21, 2012-OCTOBER 31, 2012 [CHART]
MSCI ALL COUNTRY DIMENSIONAL RETIREMENT WORLD INDEX END DATE EQUITY FUND I (NET DIV) --------------------------------------- ---------------------- ---------------- 8/21/2012 10000.00 10000.00 8/31/2012 9890.00 9873.34 9/30/2012 10220.00 10184.32 10/31/2012 10170.00 10116.39
FROM 08/21/2012 --------------- 1.70% Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2012, all rights reserved. 23 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS DIMENSIONAL RETIREMENT EQUITY FUND I PERIOD ENDED OCTOBER 31, 2012 The Dimensional Retirement Equity Fund I seeks long-term capital appreciation generally by investing in a combination of mutual funds managed by Dimensional Fund Advisors LP ("Dimensional" or the "Advisor"). As of the date of this report, the funds invested in by the Fund include U.S. Core Equity 1 Portfolio, U.S. Large Company Portfolio, International Core Equity Portfolio, Large Cap International Portfolio, Emerging Markets Core Equity Portfolio and The Emerging Markets Series (collectively, the "Underlying Funds"). The investment strategy is process driven, emphasizing broad diversification and consistent exposure in each Underlying Fund to stocks with desired asset class characteristics. As of October 31, 2012, the Underlying Funds held more than 11,000 equity securities in 44 countries. From the Fund's inception on August 21, 2012, through October 31, 2012, total returns were 1.70% for the Fund and 1.16% for the MSCI All Country World Index (net dividends). As a result of the Underlying Funds' diversified investment approach, performance was determined principally by broad structural trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. The Fund had greater exposure than the Index to small cap stocks and value stocks, which outperformed over the period and contributed to the Fund's relative outperformance. 24 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, 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" reflect 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, 2012 EXPENSE TABLE
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/12 10/31/12 RATIO* PERIOD* --------- --------- ---------- -------- DIMENSTIONAL RETIREMENT EQUITY FUND I** Actual Fund Return...................... $1,000.00 $1,017.00 0.60% $1.19 Hypothetical 5% Annual Return........... $1,000.00 $1,022.12 0.60% $3.05
-------- * The Dimensional Retirement Equity Fund I commenced operations on August 21, 2012. 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 (72), then divided by the number of days in the year (366) 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 six months ended October 31, 2012 to allow for comparability. 25 DISCLOSURE OF FUND EXPENSES CONTINUED ** The Dimensional Retirement Equity Fund I is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the indirect payment of the Fund of Funds' portion of the expenses of its Master Funds (Affliliated Investment Companies). 26 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (UNAUDITED) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 28, 2012. It is available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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 amendments also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. The 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 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC's website at http://www.sec.gov, or they may be reviewed and copied at 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). 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 utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC EQUITY PORTFOLIO
AFFILIATED INVESTMENT COMPANIES ------------------------------- Dimensional Retirement Equity Fund I.............. 100.0%
27 DIMENSIONAL RETIREMENT EQUITY FUND I SCHEDULE OF INVESTMENTS OCTOBER 31, 2012
SHARES VALUE+ ------ ---------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Large Company Portfolio of Dimensional Investment Group Inc....................... 72,650 $ 810,048 Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc.................... 67,233 814,192 Investment in Large Cap International Portfolio of DFA Investment Dimensions Group Inc.................... 55,674 1,020,504 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 37,459 378,336 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 6,985 132,715 Investment in The Emerging Markets Series of The DFA Investment Trust Company....................... 295,974 ---------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $3,401,905)................................... 3,451,769 ---------- TEMPORARY CASH INVESTMENTS -- (0.0%) BlackRock Liquidity Funds TempCash Portfolio--Institutional Shares (Cost $1,514).......................................... 1,514 1,514 ---------- TOTAL INVESTMENTS--(100.0%) (Cost $3,403,419)......... $3,453,283 ==========
Summary of the Fund's investments as of October 31, 2012, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENT IN SECURITIES (MARKET VALUE) ----------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- --------- --------- ---------- Affiliated Investment Companies........ $3,451,769 -- -- $3,451,769 Temporary Cash Investments............. 1,514 -- -- 1,514 ---------- -- -- ---------- TOTAL.................................. $3,453,283 -- -- $3,453,283 ========== == == ==========
See accompanying Notes to Financial Statements. 28 THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL RETIREMENT EQUITY FUND I STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS) ASSETS: Investments in Affiliated Investment Companies at Value.................... $ 3,452 Temporary Cash Investments at Value & Cost................................. 2 Receivables: Fund Shares Sold........................................................ 23 From Advisor............................................................ 2 -------- Total Assets........................................................ 3,479 -------- LIABILITIES: Payables: Fund Shares Redeemed.................................................... 77 Accrued Expenses and Other Liabilities..................................... 2 -------- Total Liabilities................................................... 79 -------- NET ASSETS................................................................. $ 3,400 ======== SHARES OUTSTANDING, $0.01 PAR VALUE........................................ 334,352 ======== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................... $ 10.17 ======== Investments in Affiliated Investment Companies at Cost..................... $ 3,402 -------- NET ASSETS CONSIST OF: Paid-In Capital............................................................ $ 3,341 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................................... 14 Accumulated Net Realized Gain (Loss)....................................... (5) Net Unrealized Appreciation (Depreciation)................................. 50 -------- NET ASSETS................................................................. $ 3,400 ========
See accompanying Notes to Financial Statements. 29 THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL RETIREMENT EQUITY FUND I STATEMENT OF OPERATIONS FOR THE PERIOD AUGUST 21, 2012(a) TO OCTOBER 31, 2012 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Net Investment Income Received from Affiliated Investment Companies: Dividends............................................................... $ 1 Income Distributions.................................................... 15 --- Total Investment Income............................................. 16 --- EXPENSES Investment Advisory Services Fees....................................... 3 Accounting & Transfer Agent Fees........................................ 2 Shareholders' Reports................................................... 1 Audit Fees.............................................................. 3 --- Total Expenses...................................................... 9 --- Fees Waived, Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... (7) --- Net Expenses............................................................ 2 --- NET INVESTMENT INCOME (LOSS)............................................ 14 --- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Affiliated Investment Companies Shares.............................. (5) Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares.............................. 50 --- NET REALIZED AND UNREALIZED GAIN (LOSS)................................. 45 --- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $59 ===
-------- See page 1 for the Definitions of Abbreviations and Footnotes. (a) The Fund commenced operations on August 21, 2012. See accompanying Notes to Financial Statements. 30 THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL RETIREMENT EQUITY FUND I STATEMENT OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
FOR THE PERIOD AUGUST 21, 2012(a) TO OCTOBER 31, 2012 ------------------ INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................................... $ 14 Net Realized Gain (Loss) on: Affiliated Investment Companies Shares............................ (5) Change in Unrealized Appreciation (Depreciation) of: Affiliated Investment Companies Shares............................ 50 ------ Net Increase (Decrease) in Net Assets Resulting from Operations................................................... 59 ------ Capital Share Transactions: Shares Issued......................................................... 3,665 Shares Redeemed....................................................... (324) ------ Net Increase (Decrease) from Capital Share Transactions........ 3,341 ------ Total Increase (Decrease) in Net Assets........................ 3,400 NET ASSETS Beginning of Period................................................... -- ------ End of Period......................................................... $3,400 ====== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................................... 366 Shares Redeemed....................................................... (32) ------ Net Increase (Decrease) from Shares Issued and Redeemed........ 334 ====== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................. $ 14
-------- See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 31 THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL RETIREMENT EQUITY FUND I FINANCIAL HIGHLIGHTS
PERIOD AUGUST 21, 2012(a) TO OCTOBER 31, 2012 ------------------ Net Asset Value, Beginning of Period............................. $10.00 ------ Income from Investment Operations Net Investment Income (Loss)(A)............................... 0.04 Net Gains (Losses) on Securities (Realized and Unrealized).... 0.13 ------ Total from Investment Operations.......................... 0.17 ------ Net Asset Value, End of Period................................... $10.17 ====== Total Return..................................................... 1.70%(C) ------ Net Assets, End of Period (thousands)............................ $3,400 Ratio of Expenses to Average Net Assets.......................... 0.60%(B)(D)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).......................................................... 1.56%(B)(D)(E) Ratio of Net Investment Income to Average Net Assets............. 2.01%(B)(E) Portfolio Turnover Rate.......................................... N/A
See page 1 for the Definitions of Abbreviations and Footnotes. 32 THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL RETIREMENT EQUITY FUND I NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust" or "ITC") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of twelve operational portfolios, one of which, Dimensional Retirement Equity Fund I (the "Fund"), is presented in this section of the report. The remaining operational portfolios are presented in separate reports. The Fund achieves its investment objective by primarily investing in other portfolios within DFA Investment Dimensions Group Inc. ("IDG"), Dimensional Investment Group Inc. ("DIG") and ITC (collectively, the "Master Funds"). The Fund also invests in short-term temporary cash investments.
PERCENTAGE OF OWNERSHIP AT OCTOBER 31, 2012 ------------------------------------ MASTER FUNDS DIMENSIONAL RETIREMENT EQUITY FUND I ------------ ------------------------------------ U.S. Large Company Portfolio (DIG) -- U.S. Core Equity 1 Portfolio (IDG) -- Large Cap International Portfolio (IDG) -- International Core Equity Portfolio (IDG) -- Emerging Markets Core Equity Portfolio (IDG) -- The Emerging Markets Series (ITC) --
Amounts designated as -- are less than 1% 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 and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1. Security Valuation: The Fund utilize 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, 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 Fund, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). 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 at the mean of the most recent quoted bid and asked prices which approximate fair value. Price information on listed securities is taken from the exchange where the security 33 is primarily traded. Generally, securities issued by open-end 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/Trustees (the "Board"). 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 the Investment Committee of Dimensional Fund Advisors LP) occur before the net asset value 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. Most Master Fund shares held by the Fund are valued at their respective daily net asset values, as these Master Funds are treated as regulated investment companies. The Fund's investment in The Emerging Markets Series, which is taxed as a partnership, reflects its proportionate interest in the net assets of the Series. These securities 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 the Security Valuation note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The Fund had no material transfers between Level 1 and Level 2 during the year ended October 31, 2012. 2. Deferred Compensation Plan: Each eligible Director/Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the "Plan"). Under the Plan, effective January 1, 2002, such Directors/Trustees may defer payment of all or a portion of their total fees earned as a Director/Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors'/Trustees' Fees & Expenses. At October 31, 2012, there was no total liability for deferred compensation to Trustees. Each Director/Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed upon years; or quarterly installments over a period of agreed upon years. Each Director/Trustee shall have the right in a notice of election (the "Notice") to defer the receipt of the Director's/Trustee's deferred compensation until a date specified by such Director/Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director/Trustee ceases to be a member of the Board; and (ii) five years following the effective date of the Director's/Trustee's first deferral election. If a Director/Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director's/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 Director/Trustee ceases to be a member of the Board (unless the Director/Trustee files an amended Notice selecting a different distribution date). As of October 31, 2012, none of the Directors/Trustees have requested or received a distribution of proceeds of a deferred fee account. 3. Other: Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities are 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 gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on the accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities utilizing the effective interest method. Expenses directly attributable to the 34 Fund are directly charged. Common expenses of the Trust 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 advisory services to the Fund. For the period ended October 31, 2012, advisory fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.45% of average daily net assets of the Fund. With respect to the Fund, pursuant to a Fee Waiver and Expense Assumption Agreement, the Advisor has contractually agreed to waive up to the full amount of the management fee of 0.45% to the extent necessary to offset the proportionate share of the management fees paid by the Fund through its investment in other funds managed by the Advisor (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 expenses of the Fund to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies) ("Fund Expenses") so that such Fund Expenses do not exceed 0.60% of the average net assets of the Fund on an annualized basis. The Fee Waiver and Expense Assumption Agreement for the Fund will remain in effect through February 28, 2013, and may not be terminated by the Advisor prior to that date. FEES PAID TO OFFICERS AND DIRECTORS/TRUSTEES: Certain Officers and Directors/Trustees of the Advisor are also Officers and Directors/Trustees of the Trust; however, such Officers and Directors/Trustees (with the exception of the Chief Compliance Officer ("CCO")) receive no compensation from the Trust. For the period ended October 31, 2012, the total related amounts paid to the CCO by the Trust were $82 (in thousands). The total related amount paid by the Fund is included in Other Expenses on the Statement of Operations. D. PURCHASES AND SALES OF SECURITIES: For the period ended October 31, 2012, the Fund made the following purchases and sales of Affiliated Investment Companies (amounts in thousands):
DIMENSIONAL RETIREMENT EQUITY FUND I ---------------------------------------------------------------------- BALANCE AT BALANCE AT DISTRIBUTIONS OF 10/31/2011 10/31/2012 PURCHASES SALES DIVIDEND INCOME REALIZED GAINS AFFILIATED INVESTMENT COMPANIES ---------- ---------- --------- ----- --------------- ---------------- U.S. Large Company Portfolio............ -- $ 810 $ 868 $57 $ 4 -- U.S. Core Equity 1 Portfolio............ -- 814 867 58 4 -- Large Cap International Portfolio....... -- 1,021 1,072 73 4 -- International Core Equity Portfolio..... -- 378 396 28 2 -- Emerging Markets Core Equity Portfolio............................... -- 133 140 10 1 -- The Emerging Markets Series............. -- 296 309 22 -- --
There were no purchases or sales of long-term U.S. government securities. E. FEDERAL INCOME TAXES: The 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 my differ from these 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 these differences are permanent, they are charged or credited to paid-in-capital, undistributed net 35 investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2012, primarily attributable to net foreign currency gains/losses, non-deductible expenses and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN-CAPITAL INCOME GAINS (LOSSES) ------------------------ ------------------------ ------------------------ -- -- --
The Fund commenced operations on August 21, 2012 and did not pay any distributions for the year ended October 31, 2012. At October 31, 2012, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND EARNINGS SHORT-TERM CAPITAL LOSS (ACCUMULATED CAPITAL GAINS CARRYFORWARD LOSSES) ------------------------ ------------------------ ------------------------ $13 $(4) $9
For federal income tax purposes, the Trust 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 Fund 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, 2012, the Fund had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
UNLIMITED TOTAL --------- ----- Dimensional Retirement Equity Fund I.............. $4 $4
During the year ended October 31, 2012, the Fund did not utilize capital loss carryforwards. At October 31, 2012, the total cost and aggregate gross unrealized appreciation and (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ------------------------ ------------------------ ------------------------ ------------------------ $3,404 $35 $15 $50
The difference between book basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales. 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 on a tax return. Management has analyzed the Fund's tax position 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 position for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 36 F. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, has entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $250 million, as long as total borrowings under the line of credit do not exceed $250 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 line of credit is scheduled to expire on July 6, 2013. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2012. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 13, 2012 with its international custodian bank. 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. 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 line of credit expires on January 11, 2013. The Trust expects to enter into a new line of credit with substantially the same terms as its existing line of credit prior to its expiration. For the period ended October 31, 2012, borrowings by the Fund under this line 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 ------------------------ ------------------------ ------------------------ ------------------------ ------------------------ 0.90% $241 1 -- $241
*Number of Days Outstanding represents the total of a single or consecutive days during the year ended October 31, 2012 that the Fund's available line of credit was utilized. There were no outstanding borrowings by the Fund under this line of credit as of October 31, 2012. G. 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 which 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. H. RECENTLY ISSUED ACCOUNTING STANDARDS: In December 2011, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity's financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. Generally Accepted Accounting Principles and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU No. 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 37 I. OTHER At October 31, 2012, one shareholder held 100% of the outstanding shares of the Fund. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. 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. J. SUBSEQUENT EVENT EVALUATIONS: Management has evaluated the impact of all subsequent events on the Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 38 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE SHAREHOLDERS OF DIMENSIONAL RETIREMENT EQUITY FUND I AND BOARD OF TRUSTEES OF THE DFA INVESTMENT TRUST COMPANY: In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Retirement Equity Fund I (the "Portfolio") at October 31, 2012, and the results of its operations, the changes in its net assets and the financial highlights for the period August 21, 2012 (commencement of operations) through October 31, 2012, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Portfolio's management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at October 31, 2012 by correspondence with the custodian and the transfer agent of the investee funds, provides a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 39 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 four standing committees, an Audit Committee, a Nominating Committee, a Portfolio Performance and Service Review Committee (the "Performance Committee") and an Independent Review Committee (the "Review Committee"). The Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund's accounting and financial reporting policies and practices, the Fund's internal controls, the Fund's financial statements and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund's independent registered certified public accounting firm and also 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, 2012. Each Board's Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate's qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2012. Each Board's Performance Committee is comprised of George M. Constantinides, Roger G. Ibbotson, Abbie J. Smith, Edward P. Lazear, John P. Gould and Myron S. Scholes. Each member of the Performance Committee is a disinterested Trustee/Director. The Performance Committee regularly reviews and monitors the investment performance of the Fund's series and reviews the performance of the Fund's service providers. There were seven Performance Committee meetings held during the fiscal year ended October 31, 2012. Each Board's Review Committee consists of both interested and disinterested Trustees/Directors. The Review Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. The Review 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 Review Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios' investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Review Committee was formed on December 17, 2010, and there were two Review Committee meetings held during the fiscal year ended October 31, 2012. Certain biographical information for each disinterested Trustee/Director and each 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, Texas 78746. Prospectuses are also available at www.dimensional.com. 40
NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ---------------------------- ------------------- --------------------- --------------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS ------------------------------------------------------------------------------------------------------------------------------ George M. Constantinides Since Inception 100 portfolios in 4 Leo Melamed Professor of Finance, The University Director of DFAIDG and DIG. investment companies of Chicago Booth School of Business. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 Age: 64 John P. Gould Director of Since Inception 100 portfolios in 4 Steven G. Rothmeier Distinguished Service DFAIDG and DIG. investment companies Professor of Economics, The University of Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1965). The University of Chicago Member and Chair, Competitive Markets Advisory Booth School of Business Committee, Chicago Mercantile Exchange (futures 5807 S. Woodlawn trading exchange) (since 2004). Formerly, Director Avenue of UNext, Inc. (1999-2006). Trustee, Harbor Fund Chicago, IL 60637 (registered investment company) (30 Portfolios) Age: 73 (since 1994). Formerly, Member of the Board of Milwaukee Mutal Insurance Company (1997- 2010). Roger G. Ibbotson Since Inception 100 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG and DIG. investment companies Management (since 1984). Chairman, CIO and Trustee of DFAITC and DEM. Partner, Zebra Capital Management, LLC (hedge Yale School of fund manager) (since 2001). Consultant to Management P.O. Box Morningstar, Inc. (since 2006). Formerly, 208200 New Haven, CT Chairman, Ibbotson Associates, Inc., Chicago, IL 06520-8200 (software data publishing and consulting) (1977- Age: 68 2006). Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010).
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NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ---------------------------- ------------------- --------------------- ---------------------------------------------------- Edward P. Lazear Director Since 2010 100 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker Trustee of DFAITC and DEM. Professor of Human Resources Management and Stanford University Economics, Graduate School of Business, Stanford Graduate School of University (since 1995). Cornerstone Research Business 518 Memorial (expert testimony and economic and financial Way Stanford, CA 94305-5015 analysis) (since 2009). Formerly, Chairman of the Age: 64 President George W. Bush's Council of Economic Advisers (2006-2009). Formerly, Council of Economic Advisors, State of California (2005- 2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). Myron S. Scholes Director Since Inception 100 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, of DFAIDG and DIG. investment companies Stanford University (since 1981). Formerly, Trustee of DFAITC and DEM. Chairman, Platinum Grove Asset Management, c/o Dimensional Fund L.P. (hedge fund) (formerly, Oak Hill Platinum Advisors, LP 6300 Bee Partners) (1999-2009). Formerly, Managing Cave Road Building 1 Partner, Oak Hill Capital Management (private Austin, TX 78746 equity firm) (until 2004). Director, American Age: 70 Century Fund Complex (registered investment companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001- 2008). Abbie J. Smith Director of Since 2000 100 portfolios in 4 Boris and Irene Stern Distinguished Service DFAIDG and DIG. investment companies Professor of Accounting, The University of Trustee of DFAITC and DEM. Chicago Booth School of Business (since 1980). The University of Chicago Co-Director Investment Research, Fundamental Booth School of Business Investment Advisors (hedge fund) (since 2008). 5807 S. Woodlawn Director, HNI Corporation (formerly known as Avenue Chicago, IL 60637 HON Industries Inc.) (office furniture) (since Age: 58 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (52 portfolios) (since 2009).
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NAME, POSITION PORTFOLIOS WITHIN THE WITH THE FUND, TERM OF OFFICE/1 /AND DFA FUND COMPLEX/2/ PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS AND ADDRESS AND AGE LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ----------------------------- ------------------- --------------------- -------------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* ------------------------------------------------------------------------------------------------------------------------------ David G. Booth Since Inception 100 portfolios in 4 Chairman, Director/Trustee, President, and Co- Chairman, Director, investment companies Chief Executive Officer (since January 2010) of Co-Chief Executive Dimensional Holdings Inc., Dimensional Fund Officer and Advisors LP, DFA Securities LLC, Dimensional President of DFAIDG Emerging Markets Value Fund, DFAIDG, and DIG. Chairman, Dimensional Investment Group Inc. and The DFA Trustee, Co-Chief Investment Trust Company. Director of Executive Officer and Dimensional Fund Advisors Ltd., Dimensional President of DFAITC and DEM. Funds PLC, Dimensional Funds II PLC, DFA 6300 Bee Cave Road, Australia Limited, Dimensional Cayman Building One Commodity Fund I Ltd., Dimensional Japan Ltd. Austin, Texas 78746 and Dimensional Advisors Ltd. Chairman, Age: 65 Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. President, Dimensional SmartNest (US) LLC. Limited Partner, Oak Hill Partners (since 2001) and VSC Investors, LLC (since 2007). Trustee, The University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Chief Executive Officer (until 2010) and Chief Investment Officer (2003-2007) of Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Holdings Inc. Formerly, Chief Investment Officer of Dimensional Fund Advisors Ltd. Formerly, President and Chief Investment Officer of DFA Australia Limited. Formerly, Director, SA Funds (registered investment company). Eduardo A. Repetto Since 2009 100 portfolios in 4 Co-Chief Executive Officer (since January 2010), Director, Co-Chief investment companies Chief Investment Officer (since March 2007) and Executive Officer and Director/Trustee of Dimensional Holdings Inc., Chief Investment Officer of Dimensional Fund Advisors LP, DFA Securities DFAIDG and DIG. LLC, Dimensional Emerging Markets Value Fund, Trustee, Co-Chief DFAIDG, Dimensional Investment Group Inc., Executive Officer and The DFA Investment Trust Company and Chief Investment Officer of Dimensional Cayman Commodity Fund I Ltd. Co- DFAITC and DEM. Chief Executive Officer, President and Chief 6300 Bee Cave Road, Investment Officer of Dimensional Fund Advisors Building One Canada ULC. Chief Investment Officer, Vice Austin, TX 78746 President and Director of DFA Australia Limited. Age: 45 Director of Dimensional Fund Advisors Ltd., Dimensional Funds PLC, Dimensional Funds II PLC, Dimensional Japan Ltd. and Dimensional Advisors Ltd. Co-Chief Executive Officer of Dimensional Retirement Plan Services LLC. Formerly, Vice President of Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, Dimensional Emerging Markets Value Fund, DFAIDG, Dimensional Investment Group Inc., The DFA Investment Trust Company and Dimensional Fund Advisors Canada ULC.
/1/ Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. /2/ Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the Funds. * Interested Trustees/Directors are described as such because they are deemed to be "interested persons," as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with Dimensional Fund Advisors LP. 43 OFFICERS The name, age, information regarding positions with the Funds and the principal occupation for each officer of the Funds are set forth below. Each officer listed below holds the same office (except as otherwise noted) in the following entities: Dimensional Fund Advisors LP (prior to November 3, 2006, Dimensional Fund Advisors Inc.) ("Dimensional"), DFA Securities LLC (prior to April 6, 2009, DFA Securities Inc.), DFAIDG, DIG, DFAITC and DEM (collectively, the "DFA Entities"). The address of each officer is: Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, unless otherwise indicated.
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS -------------------------------- ---------------- -------------------------------------------------------------------- OFFICERS ------------------------------------------------------------------------------------------------------------------------ April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President Global Vice President, Global Business Business Development of all the DFA Entities. Formerly, Chief Development Learning Officer of Dimensional (2008-2011); Regional Director of Age: 49 Dimensional (2004-2008). Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Vice President Business Development at Capson Physicians Insurance Company Age: 37 (2010-2012); Vice President at Charles Schwab (2007-2010). Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President Age: 46 Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Vice President Age: 56 John T. Blood Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2010-January 2011); Chief Market Strategist at Age: 43 Commonwealth Financial (2007-2010); Director of Research at Commonwealth Financial (2000-2007). Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President Age: 43 Valerie A. Brown Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Vice President and Assistant Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Secretary Cayman Commodity Fund I Ltd., Dimensional Retirement Plan Age: 45 Services LLC, Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler Since 2007 Vice President of all the DFA Entities. Head of Global Financial Vice President Services of Dimensional (since 2008). Formerly, Regional Director Age: 48 of Dimensional (January 1995 to January 2005). Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (December 2010-January 2012); Age: 41 Regional Director at Russell Investments (April 2006-December 2010). James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2008-2010); Vice President, Client Portfolio Age: 56 Manager at American Century Investments (2001-2008). Joseph H. Chi Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio Vice President Management of Dimensional (since March 2012). Sr. Portfolio Age: 46 Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (October 2005-January 2012). Stephen A. Clark Since 2004 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. Head of Institutional, Age: 40 North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (August 2002-January 2012). Age: 36
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ----------------------------- ---------------- -------------------------------------------------------------------- Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Regional Director of Vice President Financial Services Group of Dimensional (since August 1993). Age: 63 George H. Crane Since 2010 Vice President of all the DFA Entities. Formerly, Senior Vice Vice President President and Managing Director at State Street Bank & Trust Age: 57 Company (2007-2008); Managing Director, Head of Investment Administration and Operations at State Street Research & Management Company (2002-2005). Christopher S. Crossan Since 2004 Vice President and Global Chief Compliance Officer of all the DFA Vice President and Global Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Chief Compliance Officer Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC and Age: 46 Dimensional Retirement Plan Services LLC. Chief Compliance Officer of Dimensional Fund Advisors Canada ULC. James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President Age: 55 Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. Age: 55 Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for Vice President Dimensional (since August 2008). Formerly, Research Assistant for Age: 40 Dimensional (April 2006-August 2008). Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Chief Communications Vice President and Chief Officer of Dimensional (since 2010). Communications Officer Age: 42 Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant DFA Australia Limited. Chief Operating Officer of Dimensional Secretary Fund Advisors Ltd. (since July 2008). Formerly, Vice President of Age: 47 Dimensional Fund Advisors Ltd. Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President Age: 41 Jed S. Fogdall Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio Vice President Management of Dimensional (since March 2012). Sr. Portfolio Age: 38 Manager of Dimensional (since January 2012). Formerly, Portfolio Manager for Dimensional (since September 2004). Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager Vice President for Dimensional (since June 2006). Formerly, Principal at AIM Age: 41 Investments/Amvescap PLC (now Invesco) (June 1998-June 2006). Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Regional Director of Vice President Dimensional. Age: 45 Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director Vice President at BlackRock (2004-January 2012). Age: 44 Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President Age: 45 John T. Gray Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director Vice President of Dimensional (January 2005 to February 2007). Age: 38
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- --------------------------------------------------------------------- Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior Age: 37 Trader for Dimensional Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Advisors Ltd. (2008-2009); Trader for Dimensional Fund Advisors LP (2004-2008). Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Regional Director of Vice President Dimensional (since June 1998). Age: 44 Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities and Vice President and Fund Dimensional Cayman Commodity Fund I Ltd. and Dimensional Controller Japan Ltd. Age: 38 Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President Age: 44 Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President Age: 44 Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director, Vice President Co-Head Global Consultant Relations at BlackRock (2004-2011). Age: 52 Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Age: 38 Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager Vice President for Dimensional Fund Advisors LP (October 2008-January 2012); Age: 44 General Manager at Intereity Investments (March 2007-October 2008). Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities, Vice President and Chief Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Operating Officer Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Age: 57 Ltd., Dimensional Hong Kong Limited and Dimensional Retirement Plan Services LLC. Director, Vice President and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC. Director of DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Japan Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. Director and Vice President of Dimensional Hong Kong Limited. Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (April 2006-January 2012). Age: 64 David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since June 2004). Age: 41 Seyun Alice Kim Since 2012 Vice President of all the DFA Entities. Formerly, Accounting Vice President Manager for Dimensional Fund Advisors LP (January 2006-January Age: 32 2012). Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution Vice President Sales for Dimensional (since August 2010). Formerly, Chief DC Age: 41 Strategist, Barclays Global Investors (2005-2009). Joseph F. Kolerich Since 2004 Vice President of all the DFA Entities. Sr. Portfolio Manager of Vice President Dimensional (since January 2012).Formerly, Portfolio Manager for Age: 40 Dimensional (April 2007-January 2012). Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (2007-2010). Age: 43 Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of Vice President Dimensional SmartNest (US) LLC (since 2012). Age: 45
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS -------------------------------- -------------------------- --------------------------------------------------------------------- Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice President - Vice President Global Operations at Janus Capital Group (2005-2011). Age: 43 Juliet Lee Since 2005 Vice President of all the DFA Entities. Human Resources Manager of Vice President Dimensional (since January 2004). Age: 41 Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Associate Vice President for Dimensional (July 2008-2010). Age: 31 Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since February 2004). Age: 43 Kenneth M. Manell Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Counsel for Dimensional (since September Age: 39 2006). Formerly, Assistant General Counsel at Castle & Cooke (January 2004-September 2006). Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Human Vice President & Head of Resources of Dimensional. Formerly, Global Head of Recruiting and Global Human Resources Vice President of Goldman Sachs & Co. (June 2006 to January Age: 42 2008). David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA Vice President, Chief Financial Entities. Director, Vice President, Chief Financial Officer and Officer and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia Age: 55 Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., Dimensional Hong Kong Limited and Dimensional Fund Advisors Canada ULC. Chief Financial Officer, Treasurer, and Vice President of Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Retirement Plan Services LLC. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. Catherine L. Newell Vice President since 1997 Vice President and Secretary of all the DFA Entities and Vice President and Secretary and Secretary since 2000 Dimensional Retirement Plan Services LLC (since June 2012). Age: 48 Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997 and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional SmartNest LLC, Dimensional SmartNest (US) LLC, Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd. (since February 2012), Dimensional Advisors Ltd. (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012) and Dimensional Hong Kong Limited (since August 2012). Director, Dimensional Funds PLC and Dimensional Funds II PLC (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Christian A. Newton Since 2009 Vice President of all DFA Entities. Web Services Manager for Vice President Dimensional (since January 2008). Formerly, Design Manager of Age: 37 Dimensional (2005-2008). Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (2008-2010). Formerly, Vice President and Portfolio Age: 48 Manager at USAA Investment Management Company (2001-2006). Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. Deputy General Counsel, Funds (since Age: 38 2011). Counsel for Dimensional (2007-2011). Formerly, Associate at K&L Gates LLP (January 2004-September 2007).
47
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- --------------------------------------------------------------------- Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Formerly, Research Associate Vice President of Dimensional (2004 to 2006). Age: 35 Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2005). Age: 38 Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer Vice President for Dimensional (since January 2008). Formerly, Compliance Officer Age: 34 (February 2006-December 2007) and Compliance Analyst (August 2004-January 2006) for Dimensional. David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Limited, Vice President Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Age: 51 Canada ULC. Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (July 2006-2010). Age: 41 Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Associate Vice President of Dimensional (2006-2008). Systems Developer of Dimensional Age: 39 (2001-2006). Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Associate Vice President for Dimensional Fund Advisors LP (June 2011-January 2012); Age: 31 Research Assistant for Dimensional Fund Advisors LP (July 2004- August 2007). L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President Age: 41 Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for Vice President Dimensional (since July 2008). Formerly, Senior Manager at Age: 53 Vanguard (November 1997-July 2008). David E. Schneider Since 2001 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. Age: 66 Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (March 2006-January 2010). Age: 50 Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations Vice President Manager for Dimensional (since May 2007). Formerly, Vice Age: 47 President Client and Fund Reporting at Mellon Financial (September 2005-May 2007). Edward R. Simpson Since 2007 Vice President of all the DFA Entities. Regional Director of Vice President Dimensional (since December 2002). Age: 44 Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Formerly, Regional Director Vice President of Dimensional (December 1999 to January 2007). Age: 37 Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). Formerly, Business Analyst Manager, Age: 44 National Instruments (2003-2007). Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. Age: 56 Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President Age: 49 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President Age: 64
48
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND AGE SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------- ---------------- --------------------------------------------------------------------- Bradley G. Steiman Since 2004 Vice President of all the DFA Entities and Director and Vice Vice President President of Dimensional Fund Advisors Canada ULC. Age: 39 John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional Fund Advisors LP (January 2008-January 2012). Age: 34 Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology Vice President for Dimensional (since March 2007). Formerly, Director of Age: 54 Technology at AMVESCAP (2002-2007). Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Vice President Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Age: 46 Canada ULC. Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since 2004). Age: 42 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President Age: 61 Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Senior Trader of Dimensional Vice President (since 2007). Age: 36 Paul E. Wise Since 2005 Vice President of all the DFA Entities. Chief Technology Officer for Vice President Dimensional (since 2004). Age: 57 Faith A. Yando Since 2011 Vice President of all the DFA Entities. Formerly, Senior Vice Vice President President, Global Public Relations at Natixis Global Asset Age: 50 Management (2008-2011); Senior Vice President, Media Relations at Bank of America (2007-2008). Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2005-2010). Age: 33
/1/ Each officer holds office for an indefinite term at the pleasure of the Boards of Trustees/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 without charge, upon request, by calling collect: (512) 306-7400. 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://www.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, 2012 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2012 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2011 to October 31, 2012, the Portfolio is designating the following items with regard to distributions paid during the period. 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.
QUALIFYING FOR NET CORPORATE INVESTMENT SHORT-TERM LONG-TERM U.S. DIVIDENDS QUALIFYING DFA INVESTMENT INCOME CAPITAL GAIN CAPITAL GAIN TOTAL GOVERNMENT RECEIVED DIVIDEND DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS INTEREST (1) DEDUCTION(2) INCOME(3) --------------------- ------------- ------------- ------------- ------------- ------------ -------------- ---------- Dimensional Retirement Equity Fund II.......... 100% -- -- 100% -- 100% 100% Dimensional Retirement Fixed Income Fund II.... 98% 2% -- 100% -- -- -- Dimensional Retirement Fixed Income Fund III... 100% -- -- 100% 100% -- -- THE DFA INVESTMENT TRUST COMPANY Dimensional Retirement Equity Fund I........... -- -- -- -- -- 100% 100%
FOREIGN FOREIGN QUALIFIED QUALIFIED DFA INVESTMENT TAX SOURCE INTEREST SHORT-TERM DIMENSIONS GROUP INC. CREDIT(4) INCOME(5) INCOME(6) CAPITAL GAIN(7) --------------------- --------- --------- --------- --------------- Dimensional Retirement Equity Fund II.......... 2% 38% 100% 100% Dimensional Retirement Fixed Income Fund II.... -- -- 100% 100% Dimensional Retirement Fixed Income Fund III... -- -- 100% 100% THE DFA INVESTMENT TRUST COMPANY Dimensional Retirement Equity Fund I........... 3% 52% 100% 100%
(1) "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. (2) Qualifying dividends represent dividends which 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). (3) 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. (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 (the total of short-term capital gain and net investment income distributions). (5) "Foreign Source Income" represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income distrbutions). (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 of 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 [THIS PAGE INTENTIONALLY LEFT BLANK] [LOGO] DFA103112-034A 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 principal executive officer and principal financial officer (the "Code of Business Ethics"). The Registrant has not made any substantive amendments to the Code of Business Ethics during the period covered by this Report. The Registrant also has not granted any waiver from any provisions of the Code of Business Ethics during the period covered by this Report. A copy of the Code of Business Ethics is filed as an exhibit to this Report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Abbie J. Smith possesses the technical attributes to qualify as an "audit committee financial expert" serving on the Registrant's Audit Committee and has designated Ms. Smith as the "audit committee financial expert." Ms. Smith earned a Ph.D. in Accounting, and has taught Accounting at the graduate level since 1980. Ms. Smith's education and career have provided her with an understanding of generally accepted accounting principles and financial statements; the ability to assess the general application of such principles in connection with the accounting for estimates, accruals and reserves; and experience preparing, analyzing and evaluating financial statements that present a breadth and level of complexity of issues that can reasonably be expected to be raised by the Registrant's financial statements. In addition, Ms. Smith has served on the boards of directors and audit committees of entities other than the Registrant. Ms. Smith is independent under the standards set forth in Item 3 of Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a)Audit Fees Fiscal Year Ended October 31, 2012: $209,708 Fiscal Year Ended October 31, 2011: $438,670 (b)Audit-Related Fees Fees for Registrant - Fiscal Year Ended October 31, 2012: $19,329 Fiscal Year Ended October 31, 2011: $26,396 For fiscal years ended October 31, 2012 and October 31, 2011, Audited-Related Fees included fees for services related to limited procedures performed in connection with the production of the Registrant's semi-annual financial statements. Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X Fiscal Year Ended October 31, 2012: $170,000 Fiscal Year Ended October 31, 2011: $160,000 For the fiscal years ended October 31, 2012 and October 31, 2011, Audit-Related Fees required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X included fees for services rendered in connection with the issuance of a Type II SSAE 16 over controls at the Registrant's investment adviser. (c)Tax Fees Fees for Registrant - Fiscal Year Ended October 31, 2012: $108,440 Fiscal Year Ended October 31, 2011: $110,635 Tax Fees included, for the fiscal years ended October 31, 2012 and October 31, 2011, fees for tax services in connection with the Registrant's excise tax calculations, review of the Registrant's applicable tax returns and capital gains tax services in India. 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, 2012: $0 Fiscal Year Ended October 31, 2011: $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, 2012 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, 2012: $1,854,127 Fiscal Year Ended October 31, 2011: $1,362,840 (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 that provided a summary schedule of portfolio holdings in a report to stockholders included under Item 1 in lieu of a complete schedule of investments. The schedules of investments for the following series are provided below: Name of Entity for which Schedule of Investments is Provided ------------------------------------------------------------ The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series The Tax-Managed U.S. Marketwide Value Series THE DFA INVESTMENT TRUST COMPANY DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES SCHEDULES OF INVESTMENTS ------------------------ Investment Abbreviations ADR American Depository Receipt FNMA Federal National Mortgage Association GDR Global Depository Receipt NVDR Non-Voting Depository Receipt P.L.C. Public Limited Company REIT Real Estate Investment Trust STRIP Separate Trading of Registered Interest and Principal of Securities Investment Footnotes + See Security Valuation Note within the Notes to Schedules of Investments. ++ Securities have generally been fair valued. See Security Valuation Note within the Notes to Schedules of Investments. * Non-Income Producing Securities. # Total or Partial Securities on Loan. @ Security purchased with cash proceeds from securities on loan. . Security is being fair valued as of October 31, 2012. -- Amounts designated as -- are either zero or rounded to zero. (S) Affiliated Fund. 1 THE U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE+ ---------- -------------- COMMON STOCKS -- (94.6%) Consumer Discretionary -- (16.4%) #Autoliv, Inc...................................... 14,452 $ 832,435 #Best Buy Co., Inc................................. 238,090 3,621,349 #Carnival Corp..................................... 2,385,423 90,359,823 CBS Corp. Class A................................. 7,236 235,170 CBS Corp. Class B................................. 2,414,307 78,223,547 Comcast Corp. Class A............................. 10,008,890 375,433,464 Comcast Corp. Special Class A..................... 3,843,964 140,074,048 #D.R. Horton, Inc.................................. 1,448,033 30,350,772 #Dillard's, Inc. Class A........................... 111,517 8,586,809 Foot Locker, Inc.................................. 485,935 16,278,822 #GameStop Corp. Class A............................ 598,147 13,655,696 #Gannett Co., Inc.................................. 334,290 5,649,501 #*General Motors Co................................. 1,090,977 27,819,913 *Hyatt Hotels Corp. Class A........................ 26,422 964,403 #J.C. Penney Co., Inc.............................. 1,068,585 25,656,726 *Johnson Controls, Inc............................. 37,387 962,715 #*Kohl's Corp....................................... 15,587 830,475 Lear Corp......................................... 3,560 151,656 #Lennar Corp. Class A.............................. 802,616 30,074,022 Lennar Corp. Class B Voting....................... 4,809 136,479 *Liberty Interactive Corp. Class A................. 2,586,058 51,721,160 *Liberty Ventures Series A......................... 122,067 6,946,833 *Madison Square Garden Co. Class A (The)........... 5,030 207,035 #*MGM Resorts International......................... 2,389,018 24,630,776 #*Mohawk Industries, Inc............................ 365,371 30,497,517 #News Corp. Class A................................ 8,332,375 199,310,410 News Corp. Class B................................ 3,247,295 79,104,106 #*Orchard Supply Hardware Stores Corp. Class A...... 21,284 264,347 #*Penn National Gaming, Inc......................... 286,620 11,588,047 *PulteGroup, Inc................................... 20,241 350,979 #Royal Caribbean Cruises, Ltd...................... 1,043,290 35,127,574 *Sears Canada, Inc................................. 227,173 2,468,916 #*Sears Holdings Corp............................... 530,407 33,240,607 #Service Corp. International....................... 219,283 3,078,733 Signet Jewelers, Ltd. ADR......................... 6,556 339,339 #Staples, Inc...................................... 696,416 8,019,230 Time Warner Cable, Inc............................ 1,921,256 190,415,682 Time Warner, Inc.................................. 4,810,759 209,027,479 #*Toll Brothers, Inc................................ 912,316 30,115,551 *TRW Automotive Holdings Corp...................... 18,051 839,552 #Washington Post Co. Class B (The)................. 32,261 10,759,366 Whirlpool Corp.................................... 219,825 21,472,506 Wyndham Worldwide Corp............................ 800,703 40,355,431 -------------- Total Consumer Discretionary......................... 1,839,779,001 -------------- Consumer Staples -- (7.9%) Archer-Daniels-Midland Co......................... 3,155,848 84,702,960 #Beam, Inc......................................... 155,582 8,644,136 Bunge, Ltd........................................ 535,848 38,061,283 *Constellation Brands, Inc. Class A................ 933,566 32,992,222 *Constellation Brands, Inc. Class B................ 153 5,427 CVS Caremark Corp................................. 5,746,668 266,645,395 #Energizer Holdings, Inc........................... 2,485 181,330 #Hillshire Brands Co............................... 12,364 321,588 #Ingredion, Inc.................................... 5,663 348,048 J.M. Smucker Co. (The)............................ 539,640 46,214,770 *Kraft Foods Group, Inc............................ 2,376,283 108,073,351 #Molson Coors Brewing Co. Class B.................. 763,563 32,940,108 2 THE U.S. LARGE CAP VALUE SERIES CONTINUED SHARES VALUE+ ---------- -------------- Consumer Staples -- (Continued) Mondelez International, Inc. Class A.............. 7,128,852 $ 189,199,732 *Post Holdings, Inc................................ 32,650 1,030,107 #*Ralcorp Holdings, Inc............................. 194,641 14,051,134 #Safeway, Inc...................................... 1,082,518 17,655,869 #*Smithfield Foods, Inc............................. 756,389 15,483,283 Tyson Foods, Inc. Class A......................... 1,426,374 23,977,347 -------------- Total Consumer Staples............................... 880,528,090 -------------- Energy -- (18.1%) Anadarko Petroleum Corp........................... 2,441,476 167,997,964 #Apache Corp....................................... 1,208,836 100,031,179 *Atwood Oceanics, Inc.............................. 4,143 198,035 #Baker Hughes, Inc................................. 134,664 5,651,848 #Chesapeake Energy Corp............................ 3,251,150 65,868,299 Chevron Corp...................................... 2,876,061 316,970,683 Cimarex Energy Co................................. 390 22,300 ConocoPhillips.................................... 5,374,243 310,899,958 *Denbury Resources, Inc............................ 1,415,410 21,698,235 Devon Energy Corp................................. 1,094,855 63,731,510 #Diamond Offshore Drilling, Inc.................... 5,125 354,855 EOG Resources, Inc................................ 179,332 20,890,385 #Helmerich & Payne, Inc............................ 513,387 24,539,899 Hess Corp......................................... 1,567,373 81,910,913 HollyFrontier Corp................................ 191,938 7,414,565 Marathon Oil Corp................................. 3,446,808 103,611,048 Marathon Petroleum Corp........................... 1,791,952 98,431,923 *McDermott International, Inc...................... 8,791 94,152 Murphy Oil Corp................................... 689,754 41,385,240 *Nabors Industries, Ltd............................ 1,355,841 18,290,295 National Oilwell Varco, Inc....................... 1,661,481 122,451,150 *Newfield Exploration Co........................... 13,842 375,395 Noble Corp........................................ 563,513 21,266,981 Noble Energy, Inc................................. 42,446 4,032,794 Occidental Petroleum Corp......................... 215,034 16,979,085 #Patterson-UTI Energy, Inc......................... 732,485 11,851,607 #Peabody Energy Corp............................... 95,576 2,666,570 Phillips 66....................................... 2,855,170 134,649,817 #Pioneer Natural Resources Co...................... 517,832 54,708,951 *Plains Exploration & Production Co................ 664,529 23,697,104 QEP Resources, Inc................................ 434,902 12,612,158 *Rowan Cos. P.L.C. Class A......................... 595,894 18,895,799 Tesoro Corp....................................... 605,336 22,827,221 Tidewater, Inc.................................... 273,815 13,008,951 Transocean, Ltd................................... 474,606 21,684,748 Valero Energy Corp................................ 2,806,975 81,682,972 *Weatherford International, Ltd.................... 1,009,406 11,406,288 *Whiting Petroleum Corp............................ 74,341 3,123,809 -------------- Total Energy......................................... 2,027,914,686 -------------- Financials -- (18.5%) Allied World Assurance Co. Holdings AG............ 188,355 15,124,906 Allstate Corp. (The).............................. 1,330,135 53,178,797 Alterra Capital Holdings, Ltd..................... 35,444 865,897 *American Capital, Ltd............................. 789,016 9,302,499 #American Financial Group, Inc..................... 491,543 19,071,868 *American International Group, Inc................. 893,402 31,206,532 American National Insurance Co.................... 80,626 5,890,536 #Assurant, Inc..................................... 396,269 14,982,931 Assured Guaranty, Ltd............................. 18,939 263,063 Axis Capital Holdings, Ltd........................ 613,817 22,232,452 Bank of America Corp.............................. 29,573,320 275,623,342 3 THE U.S. LARGE CAP VALUE SERIES CONTINUED SHARES VALUE+ ---------- -------------- Financials -- (Continued) #Bank of New York Mellon Corp. (The)............... 995,423 $ 24,596,902 Capital One Financial Corp........................ 560,973 33,753,745 *CIT Group, Inc.................................... 84,121 3,130,984 Citigroup, Inc.................................... 9,338,881 349,180,761 CME Group, Inc.................................... 1,599,345 89,451,366 #CNA Financial Corp................................ 880,977 25,883,104 *E*Trade Financial Corp............................ 57,660 482,038 Everest Re Group, Ltd............................. 231,133 25,667,320 First Niagara Financial Group, Inc................ 53,740 444,967 #*Genworth Financial, Inc. Class A.................. 2,390,330 14,246,367 #Goldman Sachs Group, Inc. (The)................... 786,395 96,246,884 Hartford Financial Services Group, Inc............ 2,129,402 46,229,317 #Hudson City Bancorp, Inc.......................... 74,986 636,256 JPMorgan Chase & Co............................... 2,316,928 96,569,559 #KeyCorp........................................... 3,863,464 32,530,367 #Legg Mason, Inc................................... 659,937 16,815,195 Lincoln National Corp............................. 1,442,787 35,766,690 Loews Corp........................................ 2,050,343 86,688,502 MetLife, Inc...................................... 4,759,859 168,927,396 Morgan Stanley.................................... 3,953,534 68,712,421 #NASDAQ OMX Group, Inc. (The)...................... 815,514 19,417,388 NYSE Euronext..................................... 89,026 2,204,284 Old Republic International Corp................... 1,267,693 12,524,807 PartnerRe, Ltd.................................... 190,433 15,425,073 People's United Financial, Inc.................... 71,810 863,874 #Principal Financial Group, Inc.................... 471,960 12,997,778 Prudential Financial, Inc......................... 2,267,142 129,340,451 Regions Financial Corp............................ 5,735,171 37,393,315 #Reinsurance Group of America, Inc................. 363,743 19,249,280 SunTrust Banks, Inc............................... 2,564,707 69,760,030 Unum Group........................................ 1,374,339 27,871,595 Validus Holdings, Ltd............................. 311,103 11,137,487 XL Group P.L.C.................................... 1,435,288 35,509,025 #Zions Bancorporation.............................. 777,171 16,685,861 -------------- Total Financials..................................... 2,074,083,212 -------------- Health Care -- (8.8%) Aetna, Inc........................................ 1,693,713 74,015,258 *Bio-Rad Laboratories, Inc. Class A................ 1,004 101,755 *Boston Scientific Corp............................ 6,689,559 34,384,333 *CareFusion Corp................................... 917,825 24,377,432 Cigna Corp........................................ 241,752 12,329,352 Coventry Health Care, Inc......................... 670,877 29,277,072 #*Endo Health Solutions, Inc........................ 173,568 4,974,459 *Forest Laboratories, Inc.......................... 292,168 9,848,983 #*HealthSouth Corp.................................. 4,158 92,017 *Hologic, Inc...................................... 1,229,548 25,353,280 *Hospira, Inc...................................... 8,010 245,827 Humana, Inc....................................... 698,778 51,898,242 *Life Technologies Corp............................ 97,451 4,766,328 #*MEDNAX, Inc....................................... 2,282 157,412 #Omnicare, Inc..................................... 574,710 19,844,736 #PerkinElmer, Inc.................................. 438,767 13,571,063 Pfizer, Inc....................................... 17,815,204 443,064,123 Teleflex, Inc..................................... 90,735 6,165,443 Thermo Fisher Scientific, Inc..................... 1,932,026 117,969,508 Universal Health Services, Inc. Class B........... 8,413 348,214 #WellPoint, Inc.................................... 1,824,634 111,813,572 -------------- Total Health Care.................................... 984,598,409 -------------- 4 THE U.S. LARGE CAP VALUE SERIES CONTINUED SHARES VALUE+ ---------- -------------- Industrials -- (12.9%) *ADT Corp. (The)................................... 719,909 $ 29,883,423 *AGCO Corp......................................... 252,065 11,471,478 *CNH Global NV..................................... 6,633 297,158 CSX Corp.......................................... 5,517,066 112,934,341 Dover Corp........................................ 28,815 1,677,609 #Eaton Corp........................................ 50,900 2,403,498 #*Engility Holdings, Inc............................ 67,955 1,291,145 FedEx Corp........................................ 347,925 32,005,621 *Fortune Brands Home & Security, Inc............... 742,497 21,116,615 *General Dynamics Corp............................. 81,086 5,520,335 General Electric Co............................... 21,445,555 451,643,388 #*Hertz Global Holdings, Inc........................ 884,299 11,734,648 Ingersoll-Rand P.L.C.............................. 933,314 43,893,757 *Jacobs Engineering Group, Inc..................... 15,956 615,742 #L-3 Communications Holdings, Inc.................. 407,736 30,090,917 #Manpower, Inc..................................... 6,983 264,935 Norfolk Southern Corp............................. 1,681,939 103,186,958 Northrop Grumman Corp............................. 1,364,645 93,737,465 #*Owens Corning, Inc................................ 579,048 19,450,222 *Pentair, Inc...................................... 345,474 14,592,822 *Quanta Services, Inc.............................. 504,054 13,070,120 #Regal-Beloit Corp................................. 6,450 420,411 Republic Services, Inc............................ 1,113,520 31,568,292 #Southwest Airlines Co............................. 3,905,821 34,449,341 *Spirit Aerosystems Holdings, Inc. Class A......... 21,667 338,655 SPX Corp.......................................... 12,057 826,990 Stanley Black & Decker, Inc....................... 528,407 36,618,605 Towers Watson & Co................................ 1,662 89,266 #Trinity Industries, Inc........................... 200 6,256 Triumph Group, Inc................................ 81,035 5,301,310 Tyco International, Ltd........................... 1,439,819 38,687,937 Union Pacific Corp................................ 2,314,080 284,701,262 URS Corp.......................................... 378,541 12,673,553 #*Waste Connections, Inc............................ 8,626 283,192 #Waste Management, Inc............................. 30,000 982,200 -------------- Total Industrials.................................... 1,447,829,467 -------------- Information Technology -- (3.1%) #Activision Blizzard, Inc.......................... 2,620,144 28,533,369 Amdocs, Ltd....................................... 15,840 523,829 *AOL, Inc.......................................... 60,911 2,091,075 #Applied Materials, Inc............................ 330,860 3,507,116 #*Arrow Electronics, Inc............................ 568,882 20,041,713 *Avnet, Inc........................................ 711,662 20,389,116 *Brocade Communications Systems, Inc............... 363,088 1,924,366 *Cisco Systems, Inc................................ 95,875 1,643,297 Computer Sciences Corp............................ 783,742 23,864,944 Corning, Inc...................................... 2,542,083 29,869,475 Fidelity National Information Services, Inc....... 1,328,465 43,666,645 #Hewlett-Packard Co................................ 1,097,035 15,193,935 #IAC/InterActiveCorp............................... 271,160 13,110,586 *Ingram Micro, Inc. Class A........................ 741,670 11,273,384 *Juniper Networks, Inc............................. 81,071 1,343,346 *Micron Technology, Inc............................ 3,322,059 18,022,170 #Molex, Inc........................................ 12,162 315,847 Molex, Inc. Class A............................... 1,663 35,655 *NVIDIA Corp....................................... 47,749 571,556 #*SAIC, Inc......................................... 129,331 1,421,348 *Sandisk Corp...................................... 130,053 5,431,013 *TE Connectivity, Ltd.............................. 36,987 1,190,242 Western Digital Corp.............................. 792,967 27,143,260 5 THE U.S. LARGE CAP VALUE SERIES CONTINUED SHARES VALUE+ ---------- --------------- Information Technology -- (Continued) Xerox Corp....................................... 5,490,094 $ 35,356,205 *Yahoo!, Inc...................................... 2,128,609 35,781,917 --------------- Total Information Technology........................ 342,245,409 --------------- Materials -- (2.7%) #Alcoa, Inc....................................... 5,212,834 44,673,987 #Ashland, Inc..................................... 376,837 26,811,953 #Cliffs Natural Resources, Inc.................... 147,736 5,358,385 Cytec Industries, Inc............................ 69,176 4,760,692 #Domtar Corp...................................... 171,393 13,668,592 Dow Chemical Co. (The)........................... 18,250 534,725 Freeport-McMoRan Copper & Gold, Inc.............. 53,170 2,067,250 Huntsman Corp.................................... 238,618 3,588,815 International Paper Co........................... 2,299,481 82,390,404 MeadWestvaco Corp................................ 848,260 25,184,839 *Mosaic Co. (The)................................. 29,366 1,537,016 *Newmont Mining Corp.............................. 6,191 337,719 #Nucor Corp....................................... 327,312 13,135,031 Reliance Steel & Aluminum Co..................... 363,907 19,774,706 Rock-Tenn Co. Class A............................ 77,608 5,680,130 #Sealed Air Corp.................................. 311,965 5,060,072 #Steel Dynamics, Inc.............................. 893,527 11,303,117 #United States Steel Corp......................... 204,541 4,170,591 Vulcan Materials Co.............................. 576,439 26,498,901 Westlake Chemical Corp........................... 2,222 169,005 --------------- Total Materials..................................... 296,705,930 --------------- Telecommunication Services -- (6.0%) AT&T, Inc........................................ 13,051,618 451,455,467 CenturyLink, Inc................................. 2,353,137 90,313,398 #Frontier Communications Corp..................... 1,836,528 8,668,412 *MetroPCS Communications, Inc..................... 1,453,136 14,836,519 *Sprint Nextel Corp............................... 13,961,200 77,345,048 #Telephone & Data Systems, Inc.................... 501,530 12,473,051 #*United States Cellular Corp...................... 261,250 9,663,638 #Windstream Corp.................................. 46,951 447,913 --------------- Total Telecommunication Services.................... 665,203,446 --------------- Utilities -- (0.2%) #NRG Energy, Inc.................................. 987,176 21,283,515 UGI Corp......................................... 3,718 120,054 --------------- Total Utilities..................................... 21,403,569 --------------- TOTAL COMMON STOCKS................................. 10,580,291,219 --------------- TEMPORARY CASH INVESTMENTS -- (0.1%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares........................... 8,414,357 8,414,357 --------------- 6 THE U.S. LARGE CAP VALUE SERIES CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ ----------- --------------- SECURITIES LENDING COLLATERAL -- (5.3%) (S)@ DFA Short Term Investment Fund................ 51,528,378 $ 596,183,329 @ Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $1,620,729 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $1,625,607) to be repurchased at $1,573,497.................................... $ 1,573 1,573,484 --------------- TOTAL SECURITIES LENDING COLLATERAL................ 597,756,813 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $8,371,764,356)............................ $11,186,462,389 =============== 7 THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ --------- ------------ COMMON STOCKS -- (91.9%) AUSTRALIA -- (4.6%) #Alumina, Ltd......................................... 2,919,489 $ 2,914,312 #Alumina, Ltd. Sponsored ADR.......................... 172,484 676,137 Amcor, Ltd. Sponsored ADR............................ 55,031 1,805,017 Asciano Group, Ltd................................... 1,437,095 6,801,797 #*Atlas Iron, Ltd...................................... 170,863 271,341 #Bank of Queensland, Ltd.............................. 508,163 3,990,555 Bendigo and Adelaide Bank, Ltd....................... 821,518 6,880,755 Boral, Ltd........................................... 1,592,505 5,931,404 Caltex Australia, Ltd................................ 341,805 6,039,639 Crown, Ltd........................................... 270,208 2,723,410 *Downer EDI, Ltd...................................... 132,490 493,181 Echo Entertainment Group, Ltd........................ 1,832,302 6,659,348 GrainCorp, Ltd. Class A.............................. 745,945 9,472,889 #Harvey Norman Holdings, Ltd.......................... 991,617 1,958,743 Incitec Pivot, Ltd................................... 4,149,937 13,592,313 Insurance Australia Group, Ltd....................... 1,103,362 5,246,797 Lend Lease Group NL.................................. 773,285 6,942,391 Macquarie Group, Ltd................................. 631,291 20,852,646 #National Australia Bank, Ltd......................... 1,435,379 38,360,336 New Hope Corp., Ltd.................................. 51,436 233,767 Newcrest Mining, Ltd................................. 276,510 7,626,169 Origin Energy, Ltd................................... 2,415,837 28,437,264 OZ Minerals, Ltd..................................... 497,884 4,224,576 #Primary Health Care, Ltd............................. 46,378 187,069 *Qantas Airways, Ltd.................................. 2,850,317 3,929,654 Santos, Ltd.......................................... 1,809,934 21,580,245 #Seven Group Holdings, Ltd............................ 361,999 2,592,255 #Sims Metal Management, Ltd........................... 124,128 1,213,783 Sims Metal Management, Ltd. Sponsored ADR............ 124,013 1,211,607 Sonic Healthcare, Ltd................................ 45,616 615,132 #Suncorp Group, Ltd................................... 3,327,424 32,411,070 TABCORP Holdings, Ltd................................ 1,716,068 5,053,674 Tatts Group, Ltd..................................... 2,784,856 8,088,155 Toll Holdings, Ltd................................... 943,858 4,348,205 Treasury Wine Estates, Ltd........................... 264,848 1,357,006 #Washington H. Soul Pattinson & Co., Ltd.............. 113,801 1,594,430 #Wesfarmers, Ltd...................................... 2,578,622 92,958,107 ------------ TOTAL AUSTRALIA......................................... 359,275,179 ------------ AUSTRIA -- (0.3%) *Erste Group Bank AG.................................. 342,508 8,633,792 OMV AG............................................... 257,719 9,431,253 #Raiffeisen Bank International AG..................... 55,762 2,233,577 ------------ TOTAL AUSTRIA........................................... 20,298,622 ------------ BELGIUM -- (0.9%) Ageas................................................ 360,540 9,191,959 Belgacom SA.......................................... 49,889 1,458,553 Delhaize Group SA.................................... 235,124 9,002,149 Delhaize Group SA Sponsored ADR...................... 52,900 2,022,896 D'ieteren SA NV...................................... 1,857 89,630 KBC Groep NV......................................... 356,956 8,396,831 Solvay SA............................................ 180,191 21,695,262 UCB SA............................................... 292,847 17,104,398 ------------ TOTAL BELGIUM........................................... 68,961,678 ------------ CANADA -- (11.6%) Agnico-Eagle Mines, Ltd.............................. 70 3,952 8 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ --------- ------------ CANADA -- (Continued) Aimia, Inc........................................... 211,202 $ 3,163,536 #Astral Media, Inc. Class A........................... 37,438 1,532,381 *AuRico Gold, Inc..................................... 404,755 3,379,704 #Barrick Gold Corp.................................... 666,135 26,978,468 #Bell Aliant, Inc..................................... 162,757 4,419,494 #Bonavista Energy Corp................................ 2,000 35,865 Cameco Corp. (13321L108)............................. 112,600 2,178,810 Cameco Corp. (2166160)............................... 506,586 9,824,852 Canadian Natural Resources, Ltd. (136385101)......... 297,269 8,977,524 Canadian Natural Resources, Ltd. (2171573)........... 1,668,484 50,284,224 #Canadian Tire Corp. Class A.......................... 214,347 15,336,408 Empire Co., Ltd. Class A............................. 65,500 3,816,215 #Encana Corp.......................................... 851,501 19,182,751 #Enerplus Corp........................................ 384,038 6,171,524 #Ensign Energy Services, Inc.......................... 452,198 6,759,766 Fairfax Financial Holdings, Ltd...................... 54,622 20,263,326 Genworth MI Canada, Inc.............................. 84,524 1,731,525 George Weston, Ltd................................... 132,852 8,624,905 Goldcorp, Inc........................................ 1,677,120 75,816,739 #Husky Energy, Inc.................................... 828,618 22,442,170 IAMGOLD Corp. (2446646).............................. 231,424 3,591,561 IAMGOLD Corp. (450913108)............................ 573,940 8,947,725 Industrial Alliance Insurance & Financial Services, Inc..................................... 168,485 4,613,832 Inmet Mining Corp.................................... 154,478 7,965,574 Kinross Gold Corp.................................... 2,678,826 26,607,213 #Loblaw Cos., Ltd..................................... 221,495 7,677,754 *Lundin Mining Corp................................... 1,008,210 5,249,254 #Magna International, Inc............................. 583,936 25,959,207 #Manulife Financial Corp.............................. 4,587,163 56,676,437 #Methanex Corp........................................ 68,615 2,056,904 Nexen, Inc........................................... 1,739,936 41,549,410 #Pan American Silver Corp. (2669272).................. 131,923 2,894,051 *Pan American Silver Corp. (697900108)................ 118,576 2,608,672 #Pengrowth Energy Corp................................ 669,191 4,013,471 #Penn West Petroleum, Ltd............................. 1,011,032 13,129,497 #PetroBakken Energy, Ltd. Class A..................... 62,100 784,061 *Precision Drilling Corp.............................. 706,616 5,058,628 Progress Energy Resources Corp....................... 394,565 7,948,584 #Progressive Waste Solutions, Ltd..................... 122,391 2,368,779 Quebecor, Inc. Class B............................... 72,190 2,518,247 #*Research In Motion, Ltd. (760975102)................. 354,800 2,813,564 #*Research In Motion, Ltd. (2117265)................... 435,600 3,436,824 *Sears Canada, Inc.................................... 2,159 25,054 #Sun Life Financial, Inc.............................. 1,565,269 38,820,238 Suncor Energy, Inc................................... 3,696,270 124,054,038 #Talisman Energy, Inc................................. 2,251,645 25,520,522 Teck Resources, Ltd. Class A......................... 4,115 138,025 #Teck Resources, Ltd. Class B......................... 1,483,730 47,093,107 #Thomson Reuters Corp................................. 1,832,184 51,585,496 #TransAlta Corp....................................... 602,148 9,598,194 #TransCanada Corp..................................... 776,817 34,977,182 #*Uranium One, Inc..................................... 632,800 1,374,895 Viterra, Inc......................................... 861,686 13,579,913 #West Fraser Timber Co., Ltd.......................... 61,827 3,744,596 Westjet Airlines, Ltd................................ 1,000 18,023 #Yamana Gold, Inc..................................... 1,425,140 28,781,050 ------------ TOTAL CANADA............................................ 908,703,721 ------------ DENMARK -- (1.3%) A.P. Moeller-Maersk A.S. Series A.................... 884 5,857,226 A.P. Moeller-Maersk A.S. Series B.................... 3,855 26,906,551 9 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ --------- ------------ DENMARK -- (Continued) Carlsberg A.S. Series B.............................. 334,440 $ 28,868,235 *Danske Bank A.S...................................... 1,677,313 26,239,359 *FLSmidth & Co. A.S................................... 23,118 1,364,307 H. Lundbeck A.S...................................... 135,698 2,360,716 Rockwool International A.S. Series A................. 62 5,825 Rockwool International A.S. Series B................. 1,631 153,525 TDC A.S.............................................. 991,299 6,834,723 ------------ TOTAL DENMARK........................................... 98,590,467 ------------ FINLAND -- (0.6%) *Kesko Oyj Series A................................... 662 21,190 Kesko Oyj Series B................................... 138,917 4,343,978 #Neste Oil Oyj........................................ 69,191 866,462 #Nokia Oyj............................................ 3,809,609 10,242,044 Sampo Oyj Series A................................... 179,583 5,630,538 Stora Enso Oyj Series R.............................. 1,437,068 9,090,292 Stora Enso Oyj Sponsored ADR......................... 91,500 560,895 UPM-Kymmene Oyj...................................... 1,401,530 15,047,800 #UPM-Kymmene Oyj Sponsored ADR........................ 69,300 731,115 ------------ TOTAL FINLAND........................................... 46,534,314 ------------ FRANCE -- (8.6%) Arkema SA............................................ 161,047 14,695,401 AXA SA............................................... 3,557,776 56,706,072 AXA SA Sponsored ADR................................. 140,900 2,244,537 BNP Paribas SA....................................... 1,230,991 62,480,990 Bollore SA........................................... 22,288 6,609,383 Bouygues SA.......................................... 305,569 7,344,188 Cap Gemini SA........................................ 324,351 13,644,869 Casino Guichard Perrachon SA......................... 142,758 12,461,427 Cie de Saint-Gobain SA............................... 1,039,077 36,601,589 *Cie Generale de Geophysique - Veritas SA............. 304,853 9,924,398 #*Cie Generale de Geophysique - Veritas SA Sponsored ADR................................................. 141,089 4,582,571 Cie Generale des Etablissements Michelin SA Series B. 349,857 30,159,232 Ciments Francais SA.................................. 26,702 1,623,862 CNP Assurances SA.................................... 345,228 4,878,379 *Credit Agricole SA................................... 2,838,495 21,425,480 Eiffage SA........................................... 31,691 1,090,529 Electricite de France SA............................. 498,285 10,544,254 Eramet SA............................................ 5,005 636,472 France Telecom SA.................................... 3,875,091 43,313,653 #GDF Suez SA.......................................... 3,247,974 74,548,265 Groupe Eurotunnel SA................................. 791,479 6,027,446 Lafarge SA........................................... 505,082 29,612,516 Lagardere SCA........................................ 243,906 6,677,753 Natixis SA........................................... 2,034,211 6,676,420 PPR SA............................................... 127,812 22,531,643 Renault SA........................................... 500,585 22,445,589 Rexel SA............................................. 254,866 4,616,121 Sanofi SA............................................ 16,328 1,434,039 #Sanofi SA ADR........................................ 227,976 9,996,748 SCOR SE.............................................. 198,036 5,287,774 *Societe Generale SA.................................. 1,558,512 49,703,998 STMicroelectronics NV................................ 1,542,301 9,083,744 Thales SA............................................ 27,549 969,751 Vallourec SA......................................... 44,398 1,826,371 Vivendi SA........................................... 3,686,124 75,533,481 ------------ TOTAL FRANCE............................................ 667,938,945 ------------ 10 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ --------- ------------ GERMANY -- (7.6%) Allianz SE........................................... 257,741 $ 32,017,814 #Allianz SE Sponsored ADR............................. 2,811,910 35,289,471 Bayerische Motoren Werke AG.......................... 656,221 52,461,937 *Celesio AG........................................... 108,168 2,096,974 *Commerzbank AG....................................... 6,626,325 12,729,635 Daimler AG........................................... 2,088,586 97,838,982 #Deutsche Bank AG (5750355)........................... 1,325,896 60,395,696 #Deutsche Bank AG (D18190898)......................... 420,711 19,230,700 Deutsche Lufthansa AG................................ 464,311 7,103,492 Deutsche Telekom AG.................................. 2,858,403 32,609,921 #Deutsche Telekom AG Sponsored ADR.................... 3,099,741 35,492,034 E.ON AG.............................................. 3,592,972 81,793,916 Fraport AG........................................... 37,336 2,190,998 Hannover Rueckversicherung AG........................ 23,549 1,659,095 #Heidelberger Zement AG............................... 243,824 12,957,197 Merck KGaA........................................... 50,209 6,421,894 Munchener Rueckversicherungs-Gesellschaft AG......... 395,244 63,595,851 #RWE AG............................................... 355,536 16,270,915 SCA Hygiene Products SE.............................. 3,195 1,415,915 Suedzucker AG........................................ 36,201 1,403,326 ThyssenKrupp AG...................................... 368,208 8,390,520 Volkswagen AG........................................ 62,518 12,225,709 ------------ TOTAL GERMANY........................................... 595,591,992 ------------ GREECE -- (0.0%) Coca-Cola Hellenic Bottling Co. S.A.................. 8,492 181,873 Hellenic Petroleum S.A............................... 334,517 2,621,836 *National Bank of Greece S.A.......................... 210,246 492,544 ------------ TOTAL GREECE............................................ 3,296,253 ------------ HONG KONG -- (1.9%) #*Cathay Pacific Airways, Ltd.......................... 2,051,000 3,714,747 Dah Sing Banking Group, Ltd.......................... 18,400 18,241 #*Foxconn International Holdings, Ltd.................. 3,787,000 1,309,012 Great Eagle Holdings, Ltd............................ 860,324 2,539,374 Hang Lung Group, Ltd................................. 116,000 683,394 Henderson Land Development Co., Ltd.................. 3,364,064 23,221,252 Hong Kong & Shanghai Hotels, Ltd..................... 1,903,131 2,509,825 Hopewell Holdings, Ltd............................... 1,244,169 4,488,617 #Hutchison Whampoa, Ltd............................... 5,618,000 55,108,769 Hysan Development Co., Ltd........................... 766,285 3,400,054 Kowloon Development Co., Ltd......................... 313,000 359,213 New World Development Co., Ltd....................... 8,542,100 13,142,723 Orient Overseas International, Ltd................... 488,000 3,085,036 Wharf Holdings, Ltd.................................. 2,944,990 20,136,610 Wheelock & Co., Ltd.................................. 3,482,000 15,255,432 ------------ TOTAL HONG KONG......................................... 148,972,299 ------------ IRELAND -- (0.2%) CRH P.L.C............................................ 590,083 10,983,571 CRH P.L.C. Sponsored ADR............................. 259,888 4,846,911 *Governor & Co. of the Bank of Ireland P.L.C. (The)... 157,165 18,565 ------------ TOTAL IRELAND........................................... 15,849,047 ------------ ISRAEL -- (0.6%) *Bank Hapoalim B.M.................................... 2,961,906 11,652,405 *Bank Leumi Le-Israel B.M............................. 2,937,459 9,468,190 Bezeq Israeli Telecommunication Corp., Ltd........... 2,928,603 3,567,884 Elbit Systems, Ltd................................... 34,203 1,204,194 Israel Chemicals, Ltd................................ 904,178 11,311,829 11 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ ---------- ----------- ISRAEL -- (Continued) *Israel Discount Bank, Ltd. Series A.................. 381,656 $ 538,384 *Mellanox Technologies, Ltd........................... 23,772 1,794,012 *NICE Systems, Ltd.................................... 11,443 382,227 *NICE Systems, Ltd. Sponsored ADR..................... 160,983 5,360,734 *Oil Refineries, Ltd.................................. 613,622 295,463 Paz Oil Co., Ltd..................................... 321 42,300 *Strauss Group, Ltd................................... 17,492 197,723 ----------- TOTAL ISRAEL............................................ 45,815,345 ----------- ITALY -- (1.3%) #*Banca Monte Dei Paschi di Siena SpA.................. 11,927,018 3,296,991 *Banco Popolare Scarl................................. 2,933,385 4,681,014 #*Fiat SpA............................................. 1,512,718 7,403,205 #*Finmeccanica SpA..................................... 995,867 4,938,900 Intesa Sanpaolo SpA.................................. 16,289,288 26,240,185 Parmalat SpA......................................... 602,705 1,365,934 Telecom Italia SpA................................... 5,476,933 5,053,075 #Telecom Italia SpA Sponsored ADR..................... 1,874,500 17,226,655 *UniCredit SpA........................................ 5,298,670 23,436,805 Unione di Banche Italiane ScpA....................... 1,552,315 6,114,863 ----------- TOTAL ITALY............................................. 99,757,627 ----------- JAPAN -- (16.2%) 77 Bank, Ltd. (The).................................. 737,372 2,808,022 #Aeon Co., Ltd........................................ 1,886,800 20,578,442 Aisin Seiki Co., Ltd................................. 66,100 1,930,406 Ajinomoto Co., Inc................................... 851,000 12,993,006 Alfresa Holdings Corp................................ 85,700 3,874,326 Amada Co., Ltd....................................... 821,000 4,168,786 Aoyama Trading Co., Ltd.............................. 1,000 19,762 Aozora Bank, Ltd..................................... 631,000 1,779,431 Asahi Glass Co., Ltd................................. 1,871,000 12,718,755 Asahi Kasei Corp..................................... 2,342,000 12,883,937 Asatsu-DK, Inc....................................... 32,500 746,728 #Autobacs Seven Co., Ltd.............................. 71,600 2,938,187 Awa Bank, Ltd. (The)................................. 65,600 392,087 #Bank of Kyoto, Ltd. (The)............................ 709,400 6,097,477 Bank of Yokohama, Ltd. (The)......................... 1,220,000 5,614,500 Canon Marketing Japan, Inc........................... 124,900 1,820,353 #Casio Computer Co., Ltd.............................. 157,200 1,202,970 Chiba Bank, Ltd. (The)............................... 980,000 5,724,342 Chugoku Bank, Ltd. (The)............................. 391,800 5,392,149 Citizen Holdings Co., Ltd............................ 511,000 2,593,456 Coca-Cola West Co., Ltd.............................. 109,007 1,671,087 COMSYS Holdings Corp................................. 151,700 2,016,626 Cosmo Oil Co., Ltd................................... 1,212,364 2,156,340 #Dai Nippon Printing Co., Ltd......................... 1,815,000 12,861,180 Daicel Corp.......................................... 515,000 3,092,002 Daido Steel Co., Ltd................................. 324,000 1,405,095 Dainippon Sumitomo Pharma Co., Ltd................... 309,400 3,558,654 #Daiwa Securities Group, Inc.......................... 2,988,000 11,919,617 #Denki Kagaku Kogyo K.K............................... 227,000 700,915 Ebara Corp........................................... 239,000 937,272 Fuji Heavy Industries, Ltd........................... 925,000 8,917,096 Fuji Media Holdings, Inc............................. 1,128 1,670,532 #FUJIFILM Holdings Corp............................... 1,327,000 22,400,263 Fujitsu, Ltd......................................... 1,291,000 4,966,932 Fukuoka Financial Group, Inc......................... 1,800,000 7,039,045 #Fukuyama Transporting Co., Ltd....................... 71,000 372,694 Glory, Ltd........................................... 119,600 2,902,717 Gunma Bank, Ltd. (The)............................... 921,397 4,445,198 12 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ ---------- ----------- JAPAN -- (Continued) H2O Retailing Corp................................... 198,000 $ 2,036,742 Hachijuni Bank, Ltd. (The)........................... 993,231 5,130,839 Hakuhodo DY Holdings, Inc............................ 39,920 2,392,349 Hankyu Hanshin Holdings, Inc......................... 582,000 3,221,885 Higo Bank, Ltd. (The)................................ 282,000 1,664,186 Hiroshima Bank, Ltd. (The)........................... 300,000 1,067,154 Hitachi Capital Corp................................. 105,100 2,018,399 Hitachi High-Technologies Corp....................... 139,900 3,066,025 Hitachi Transport System, Ltd........................ 94,400 1,417,030 Hokuhoku Financial Group, Inc........................ 2,620,000 4,165,631 House Foods Corp..................................... 148,300 2,393,476 Ibiden Co., Ltd...................................... 174,900 2,205,602 Idemitsu Kosan Co., Ltd.............................. 51,124 4,400,079 Inpex Corp........................................... 4,265 24,297,137 Isetan Mitsukoshi Holdings, Ltd...................... 884,200 8,655,060 ITOCHU Corp.......................................... 183,800 1,839,757 Iyo Bank, Ltd. (The)................................. 551,000 4,260,197 J. Front Retailing Co., Ltd.......................... 1,136,000 5,907,421 JFE Holdings, Inc.................................... 882,500 12,455,549 Joyo Bank, Ltd. (The)................................ 1,376,000 6,659,184 JTEKT Corp........................................... 463,200 3,478,435 JX Holdings, Inc..................................... 5,553,333 29,577,407 Kagoshima Bank, Ltd. (The)........................... 358,143 2,283,372 Kajima Corp.......................................... 1,544,000 4,276,080 Kamigumi Co., Ltd.................................... 519,000 4,185,743 Kaneka Corp.......................................... 653,542 3,188,164 Keiyo Bank, Ltd. (The)............................... 418,000 1,832,515 Kewpie Corp.......................................... 99,900 1,649,915 Kinden Corp.......................................... 285,000 1,784,370 Kirin Holdings Co., Ltd.............................. 134,000 1,682,119 *Kobe Steel, Ltd...................................... 3,785,000 3,322,688 Konica Minolta Holdings, Inc......................... 721,000 4,796,721 Kyocera Corp......................................... 308,700 27,152,832 Kyocera Corp. Sponsored ADR.......................... 13,600 1,207,680 Kyowa Hakko Kirin Co., Ltd........................... 571,000 6,077,858 LIXIL Group Corp..................................... 371,200 8,206,589 #Mabuchi Motor Co., Ltd............................... 36,100 1,529,804 Marui Group Co., Ltd................................. 542,642 3,903,452 Maruichi Steel Tube, Ltd............................. 104,400 2,171,065 *Mazda Motor Corp..................................... 3,005,000 3,584,132 Medipal Holdings Corp................................ 339,800 4,327,508 MEIJI Holdings Co., Ltd.............................. 135,895 6,217,754 Mitsubishi Chemical Holdings Corp.................... 3,885,000 15,386,810 Mitsubishi Corp...................................... 2,732,000 48,774,242 Mitsubishi Gas Chemical Co., Inc..................... 948,000 4,683,874 Mitsubishi Heavy Industries, Ltd..................... 7,830,000 32,980,614 #Mitsubishi Logistics Corp............................ 236,000 3,043,600 Mitsubishi Materials Corp............................ 2,533,000 7,364,688 Mitsubishi Tanabe Pharma Corp........................ 400,000 5,765,856 Mitsubishi UFJ Financial Group, Inc.................. 18,834,406 85,206,251 Mitsubishi UFJ Financial Group, Inc. ADR............. 4,781,372 21,468,360 Mitsui & Co., Ltd.................................... 2,990,300 42,148,944 Mitsui & Co., Ltd. Sponsored ADR..................... 11,723 3,298,501 #Mitsui Chemicals, Inc................................ 1,861,800 3,848,788 *Mitsui Mining & Smelting Co., Ltd.................... 69,030 146,127 Mitsui O.S.K. Lines, Ltd............................. 983,000 2,356,182 Mizuho Financial Group, Inc.......................... 293,760 459,640 #Mizuho Financial Group, Inc. ADR..................... 285,159 886,845 MS&AD Insurance Group Holdings, Inc.................. 715,053 12,126,438 Nagase & Co., Ltd.................................... 235,889 2,516,366 Nanto Bank, Ltd. (The)............................... 319,000 1,626,587 13 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ ---------- ----------- JAPAN -- (Continued) *NEC Corp............................................. 5,425,101 $10,405,622 Nippon Electric Glass Co., Ltd....................... 554,000 2,819,672 Nippon Express Co., Ltd.............................. 1,952,238 7,144,180 Nippon Meat Packers, Inc............................. 429,536 5,330,591 #Nippon Paper Group, Inc.............................. 231,700 2,649,826 Nippon Shokubai Co., Ltd............................. 234,000 2,295,066 #Nippon Steel & Sumitomo Metal Corp................... 13,103,940 28,924,615 Nippon Television Network Corp....................... 123,800 1,601,250 #Nippon Yusen K.K..................................... 3,032,000 5,779,407 Nishi-Nippon Bank, Ltd............................... 1,412,569 3,220,972 Nissan Shatai Co., Ltd............................... 216,000 2,363,606 Nisshin Seifun Group, Inc............................ 394,500 4,929,833 *Nisshin Steel Holdings Co., Ltd...................... 143,100 948,264 Nisshinbo Holdings, Inc.............................. 305,000 1,995,333 NKSJ Holdings, Inc................................... 60,350 1,100,153 NOK Corp............................................. 82,320 1,320,694 Nomura Holdings, Inc................................. 7,245,200 26,190,347 Nomura Real Estate Holdings, Inc..................... 45,600 818,510 Obayashi Corp........................................ 1,650,682 7,384,582 #Oji Holdings Corp.................................... 1,997,000 5,856,001 Onward Holdings Co., Ltd............................. 278,000 2,058,453 #Panasonic Corp....................................... 4,044,917 24,534,694 #Panasonic Corp. Sponsored ADR........................ 302,421 1,672,388 #*Renesas Electronics Corp............................. 121,800 451,101 Rengo Co., Ltd....................................... 421,000 1,840,088 #Ricoh Co., Ltd....................................... 1,666,000 13,942,569 Rohm Co., Ltd........................................ 230,500 7,444,291 Sankyo Co., Ltd...................................... 74,800 3,388,913 #SBI Holdings, Inc.................................... 458,200 3,208,757 Seino Holdings Co., Ltd.............................. 295,000 1,700,915 Sekisui Chemical Co., Ltd............................ 736,000 6,044,505 Sekisui House, Ltd................................... 1,354,000 13,844,609 Seven & I Holdings Co., Ltd.......................... 145,300 4,480,967 #Sharp Corp........................................... 2,998,000 6,467,524 Shiga Bank, Ltd...................................... 451,185 2,951,414 Shimizu Corp......................................... 1,371,000 4,586,714 Shinsei Bank, Ltd.................................... 2,164,000 3,172,640 Shizuoka Bank, Ltd................................... 785,000 8,028,966 #Showa Denko K.K...................................... 1,456,000 2,227,186 Showa Shell Sekiyu K.K............................... 224,000 1,247,052 SKY Perfect JSAT Holdings, Inc....................... 3,029 1,384,042 Sohgo Security Services Co., Ltd..................... 82,600 1,160,760 Sojitz Corp.......................................... 2,593,100 3,219,064 Sony Corp............................................ 768,200 9,095,791 #Sony Corp. Sponsored ADR............................. 1,801,665 21,151,547 Sumitomo Bakelite Co., Ltd........................... 347,000 1,238,527 #Sumitomo Chemical Co., Ltd........................... 2,006,000 5,637,414 Sumitomo Corp........................................ 3,241,900 44,196,159 Sumitomo Electric Industries, Ltd.................... 2,606,700 28,042,086 Sumitomo Forestry Co., Ltd........................... 161,400 1,444,387 Sumitomo Heavy Industries, Ltd....................... 297,000 1,064,798 Sumitomo Metal Mining Co., Ltd....................... 414,000 5,452,311 Sumitomo Mitsui Financial Group, Inc................. 872,600 26,664,042 #Sumitomo Mitsui Trust Holdings, Inc.................. 5,755,629 17,467,194 Suzuken Co., Ltd..................................... 149,300 4,712,907 Suzuki Motor Corp.................................... 519,200 11,774,850 Taisei Corp.......................................... 2,110,703 5,819,584 Taisho Pharmaceutical Holdings Co., Ltd.............. 59,299 4,789,034 Takashimaya Co., Ltd................................. 615,634 4,049,228 #TDK Corp............................................. 173,300 6,516,763 #Teijin, Ltd.......................................... 1,535,450 3,521,280 14 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ --------- -------------- JAPAN -- (Continued) Tokai Rika Co., Ltd................................ 61,200 $ 768,068 Tokyo Broadcasting System, Inc..................... 85,300 829,438 *Tokyo Tatemono Co., Ltd............................ 442,000 1,819,140 Toppan Printing Co., Ltd........................... 1,312,000 7,582,923 #Tosoh Corp......................................... 1,044,000 2,043,756 Toyo Seikan Kaisha, Ltd............................ 346,349 3,682,148 Toyobo Co., Ltd.................................... 664,000 731,771 Toyoda Gosei Co., Ltd.............................. 13,800 271,765 Toyota Motor Corp.................................. 175,379 6,762,117 #Toyota Motor Corp. Sponsored ADR................... 614,188 47,581,144 Toyota Tsusho Corp................................. 434,400 9,488,496 #UNY Co., Ltd....................................... 393,050 2,796,995 Wacoal Corp........................................ 179,000 2,013,900 #*Yamada Denki Co., Ltd.............................. 96,810 4,199,778 Yamaguchi Financial Group, Inc..................... 492,148 4,077,645 Yamaha Corp........................................ 327,300 2,941,243 #Yamato Kogyo Co., Ltd.............................. 82,600 2,320,178 Yamazaki Baking Co., Ltd........................... 128,000 1,538,417 Yokohama Rubber Co., Ltd........................... 13,000 91,377 -------------- TOTAL JAPAN........................................... 1,265,403,342 -------------- NETHERLANDS -- (2.7%) Aegon NV........................................... 3,831,576 21,428,566 Akzo Nobel NV...................................... 444,472 24,191,645 ArcelorMittal NV................................... 2,446,831 36,174,996 *ING Groep NV....................................... 4,933,987 43,903,032 #*ING Groep NV Sponsored ADR......................... 1,273,519 11,283,378 Koninklijke DSM NV................................. 452,418 23,264,983 Koninklijke Philips Electronics NV................. 2,042,653 51,160,127 Philips Electronics NV ADR......................... 144,736 3,629,979 -------------- TOTAL NETHERLANDS..................................... 215,036,706 -------------- NEW ZEALAND -- (0.1%) Auckland International Airport, Ltd................ 138,487 305,483 Contact Energy, Ltd................................ 1,292,916 5,887,475 Fletcher Building, Ltd............................. 6,732 38,938 -------------- TOTAL NEW ZEALAND..................................... 6,231,896 -------------- NORWAY -- (1.2%) Aker ASA Series A.................................. 72,828 2,571,509 Cermaq ASA......................................... 27,247 372,865 DNB ASA............................................ 1,512,837 18,912,900 *Marine Harvest ASA................................. 7,530,562 5,908,627 Norsk Hydro ASA.................................... 3,357,025 15,113,416 Norsk Hydro ASA Sponsored ADR...................... 59,900 258,768 Orkla ASA.......................................... 2,797,062 22,157,276 Petroleum Geo-Services ASA......................... 400,136 6,914,159 Stolt-Nielsen, Ltd................................. 8,425 154,462 *Storebrand ASA..................................... 1,082,306 5,446,559 Subsea 7 SA........................................ 590,207 12,938,550 *Veripos, Inc....................................... 54,011 156,071 Wilh Wilhelmsen Holding ASA........................ 212 4,767 Yara International ASA............................. 25,801 1,215,973 -------------- TOTAL NORWAY.......................................... 92,125,902 -------------- PORTUGAL -- (0.1%) *Banco Espirito Santo SA............................ 2,631,973 2,561,546 Cimpor Cimentos de Portugal SA..................... 139,544 623,407 *EDP Renovaveis SA.................................. 515,052 2,453,224 15 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ ---------- ------------ PORTUGAL -- (Continued) Portugal Telecom SA................................. 525,319 $ 2,641,719 ------------ TOTAL PORTUGAL......................................... 8,279,896 ------------ SINGAPORE -- (1.0%) CapitaLand, Ltd..................................... 5,036,000 13,411,619 CapitaMalls Asia, Ltd............................... 1,863,000 2,811,294 DBS Group Holdings, Ltd............................. 1,185,831 13,466,807 Fraser & Neave, Ltd................................. 724,450 5,427,666 Golden Agri-Resources, Ltd.......................... 13,990,000 7,145,200 *Indofood Agri Resources, Ltd........................ 198,000 203,732 Keppel Land, Ltd.................................... 781,000 2,163,370 #*Neptune Orient Lines, Ltd........................... 1,228,004 1,162,253 *Noble Group, Ltd.................................... 2,997,000 3,199,976 #Overseas Union Enterprise, Ltd...................... 405,000 878,109 Singapore Airlines, Ltd............................. 1,585,600 13,741,718 Singapore Land, Ltd................................. 532,000 2,988,245 #United Industrial Corp., Ltd........................ 2,152,000 4,917,753 UOL Group, Ltd...................................... 1,376,600 6,369,561 Venture Corp., Ltd.................................. 307,000 1,921,562 Wheelock Properties, Ltd............................ 870,000 1,290,754 ------------ TOTAL SINGAPORE........................................ 81,099,619 ------------ SPAIN -- (1.9%) #Acciona SA.......................................... 114,419 7,032,865 #Banco Bilbao Vizcaya Argentaria SA.................. 668,228 5,583,652 #*Banco de Sabadell SA................................ 5,239,933 12,777,234 Banco Espanol de Credito SA......................... 392,975 1,438,533 #Banco Popular Espanol SA............................ 4,288,643 6,706,472 Banco Santander SA.................................. 7,903,716 59,508,435 Banco Santander SA Sponsored ADR.................... 1,384,686 10,329,758 #CaixaBank SA........................................ 2,838,816 10,781,310 Gas Natural SDG SA.................................. 928,566 14,426,758 Iberdrola SA........................................ 1,285,750 6,658,812 Repsol SA........................................... 505,218 10,124,906 ------------ TOTAL SPAIN............................................ 145,368,735 ------------ SWEDEN -- (2.9%) Boliden AB.......................................... 612,180 10,727,659 Holmen AB Series A.................................. 6,300 184,927 Meda AB Series A.................................... 280,396 2,872,667 Nordea Bank AB...................................... 5,366,449 48,779,174 Skandinaviska Enskilda Banken AB Series A........... 3,481,813 28,891,356 Skandinaviska Enskilda Banken AB Series C........... 16,918 133,137 SSAB AB Series A.................................... 51,620 369,794 Svenska Cellulosa AB Series A....................... 66,476 1,307,031 Svenska Cellulosa AB Series B....................... 1,586,671 30,934,064 Swedbank AB Series A................................ 1,086,067 20,173,140 Tele2 AB Series B................................... 18,381 306,831 Telefonaktiebolaget LM Ericsson AB Series A......... 27,246 233,719 Telefonaktiebolaget LM Ericsson AB Series B......... 4,713,081 41,753,549 #Telefonaktiebolaget LM Ericsson AB Sponsored ADR.... 952,162 8,464,720 TeliaSonera AB...................................... 3,717,354 24,438,753 Volvo AB Series A................................... 281,193 3,786,038 ------------ TOTAL SWEDEN........................................... 223,356,559 ------------ SWITZERLAND -- (5.7%) *ABB, Ltd............................................ 1,234,095 22,287,665 Adecco SA........................................... 358,259 17,372,851 #Alpiq Holding AG.................................... 1,593 259,954 Aryzta AG........................................... 163,797 8,182,891 16 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ ---------- ------------ SWITZERLAND -- (Continued) Baloise Holding AG.................................. 200,163 $ 16,706,798 Banque Cantonale Vaudoise AG........................ 732 388,175 #Clariant AG......................................... 429,492 4,602,431 Credit Suisse Group AG.............................. 1,314,363 30,565,985 Credit Suisse Group AG Sponsored ADR................ 838,229 19,564,265 Givaudan SA......................................... 14,257 14,261,106 Holcim, Ltd......................................... 887,877 60,594,265 Lonza Group AG...................................... 7,458 378,256 Novartis AG......................................... 16,632 1,002,919 Novartis AG ADR..................................... 506,359 30,614,465 PSP Swiss Property AG............................... 77,670 7,132,956 St. Galler Kantonalbank AG.......................... 2,834 1,162,008 Sulzer AG........................................... 44,989 6,523,720 Swiss Life Holding AG............................... 123,557 15,603,658 Swiss Re, Ltd....................................... 1,108,107 76,678,078 UBS AG.............................................. 3,833,535 57,516,804 Zurich Insurance Group AG........................... 221,361 54,569,851 ------------ TOTAL SWITZERLAND...................................... 445,969,101 ------------ UNITED KINGDOM -- (20.6%) Anglo American P.L.C................................ 1,002,219 30,882,863 Associated British Foods P.L.C...................... 426,591 9,546,557 Aviva P.L.C......................................... 8,175,916 43,785,601 Barclays P.L.C...................................... 11,591,752 42,863,545 #Barclays P.L.C. Sponsored ADR....................... 4,327,157 64,041,924 BP P.L.C............................................ 1,395,752 9,967,984 BP P.L.C. Sponsored ADR............................. 5,338,016 228,947,506 Carnival P.L.C...................................... 658,867 26,244,512 #Carnival P.L.C. ADR................................. 241,674 9,553,373 Eurasian Natural Resources Corp. P.L.C.............. 404,841 2,146,111 Evraz P.L.C......................................... 525,138 2,003,719 HSBC Holdings P.L.C................................. 724,498 7,143,090 #HSBC Holdings P.L.C. Sponsored ADR.................. 1,453,812 71,760,160 *International Consolidated Airlines Group SA........ 3,847,175 10,029,325 Investec P.L.C...................................... 1,195,168 7,048,073 John Wood Group P.L.C............................... 97,712 1,343,029 Kazakhmys P.L.C..................................... 690,345 7,920,547 Kingfisher P.L.C.................................... 10,285,817 48,158,694 Legal & General Group P.L.C......................... 1,085,509 2,353,101 *Lloyds Banking Group P.L.C.......................... 76,981,994 50,693,260 *Lloyds Banking Group P.L.C. Sponsored ADR........... 2,857,128 7,485,675 Mondi P.L.C......................................... 1,450,865 15,993,614 Old Mutual P.L.C.................................... 13,164,620 36,643,450 Pearson P.L.C. Sponsored ADR........................ 1,619,661 32,555,186 Resolution, Ltd..................................... 3,422,696 12,067,276 Rexam P.L.C......................................... 4,056,789 29,292,674 *Royal Bank of Scotland Group P.L.C.................. 3,500,216 15,628,912 #*Royal Bank of Scotland Group P.L.C. Sponsored ADR... 377,000 3,370,380 Royal Dutch Shell P.L.C. ADR........................ 3,323,210 234,718,322 Royal Dutch Shell P.L.C. Series A................... 9,655 331,292 Royal Dutch Shell P.L.C. Series B................... 255,146 9,025,204 RSA Insurance Group P.L.C........................... 4,956,241 8,996,370 Sainsbury (J.) P.L.C................................ 5,529,939 31,706,793 *Travis Perkins P.L.C................................ 38,182 667,231 #Vedanta Resources P.L.C............................. 189,404 3,480,148 Vodafone Group P.L.C................................ 34,976,333 94,983,682 Vodafone Group P.L.C. Sponsored ADR................. 8,116,661 220,935,512 William Morrison Supermarkets P.L.C................. 8,127,143 35,188,788 Wolseley P.L.C...................................... 505,787 22,172,536 WPP P.L.C........................................... 2,251,996 29,107,901 WPP P.L.C. Sponsored ADR............................ 38,003 2,456,514 17 THE DFA INTERNATIONAL VALUE SERIES CONTINUED SHARES VALUE++ ----------- -------------- UNITED KINGDOM -- (Continued) Xstrata P.L.C.................................. 5,211,952 $ 82,565,149 -------------- TOTAL UNITED KINGDOM.............................. 1,605,805,583 -------------- TOTAL COMMON STOCKS............................... 7,168,262,828 -------------- PREFERRED STOCKS -- (0.3%) GERMANY -- (0.3%) Porsche Automobil Holding SE................... 334,085 22,268,022 -------------- RIGHTS/WARRANTS -- (0.0%) SPAIN -- (0.0%) *Banco Bilbao Vizcaya Argentaria SA Tradeable Coupons....................................... 28 3 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (7.8%) (S)@DFA Short Term Investment Fund................ 52,722,558 610,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,715,506) to be repurchased at $1,681,885................. $ 1,682 1,681,868 -------------- TOTAL SECURITIES LENDING COLLATERAL............... 611,681,868 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,402,475,403).......................... $7,802,212,721 ============== 18 THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ ------- ---------- COMMON STOCKS -- (88.0%) Consumer Discretionary -- (19.8%) Accordia Golf Co., Ltd................................. 5,176 $3,683,799 Aeon Fantasy Co., Ltd.................................. 57,832 774,747 Ahresty Corp........................................... 74,500 297,933 Aigan Co., Ltd......................................... 96,200 374,809 Aisan Industry Co., Ltd................................ 168,600 1,282,820 #Akebono Brake Industry Co., Ltd........................ 362,300 1,561,513 #Alpen Co., Ltd......................................... 83,400 1,530,047 Alpha Corp............................................. 30,400 335,696 Alpine Electronics, Inc................................ 217,400 1,889,487 Amiyaki Tei Co., Ltd................................... 235 581,471 Amuse, Inc............................................. 31,699 607,817 #*Anrakutei Co., Ltd..................................... 47,000 234,815 AOI Pro, Inc........................................... 39,000 264,548 AOKI Holdings, Inc..................................... 97,100 2,158,533 Aoyama Trading Co., Ltd................................ 295,800 5,845,699 *Arata Corp............................................. 48,000 196,562 Arcland Sakamoto Co., Ltd.............................. 58,400 846,493 Arnest One Corp........................................ 216,200 3,207,510 #Asahi Co., Ltd......................................... 65,600 986,852 Asatsu-DK, Inc......................................... 135,800 3,120,174 *Ashimori Industry Co., Ltd............................. 319,000 408,698 ASKUL Corp............................................. 96,100 1,443,780 Asti Corp.............................................. 46,000 114,063 #Atom Corp.............................................. 181,200 917,238 Atsugi Co., Ltd........................................ 784,000 894,066 #Autobacs Seven Co., Ltd................................ 89,900 3,689,148 Avex Group Holdings, Inc............................... 160,000 3,164,325 Belluna Co., Ltd....................................... 36,950 274,184 Best Bridal, Inc....................................... 104 115,131 *Best Denki Co., Ltd.................................... 304,500 424,012 #Bic Camera, Inc........................................ 3,323 1,623,533 Bookoff Corp........................................... 43,300 356,990 Calsonic Kansei Corp................................... 739,000 2,986,791 #Can Do Co., Ltd........................................ 551 750,686 *Carchs Holdings Co., Ltd............................... 707,200 309,981 #Central Sports Co., Ltd................................ 8,800 125,875 Chiyoda Co., Ltd....................................... 121,500 3,475,556 Chofu Seisakusho Co., Ltd.............................. 88,800 2,043,009 #Chori Co., Ltd......................................... 69,200 756,247 Chuo Spring Co., Ltd................................... 202,000 689,444 #*Clarion Co., Ltd....................................... 591,000 924,125 Cleanup Corp........................................... 131,900 864,999 Colowide Co., Ltd...................................... 148,950 1,319,029 Corona Corp............................................ 76,200 939,114 #Cross Plus, Inc........................................ 22,000 225,967 #Daido Metal Co., Ltd................................... 144,000 985,459 #Daidoh, Ltd............................................ 119,400 681,800 #*Daiei, Inc. (The)...................................... 521,250 986,421 *Daiichikosho Co., Ltd.................................. 61,400 1,519,128 #Daikoku Denki Co., Ltd................................. 38,700 979,785 Daimaruenawin Co., Ltd................................. 400 3,281 Dainichi Co., Ltd...................................... 54,900 540,030 #Daisyo Corp............................................ 54,300 682,030 #DCM Holdings Co., Ltd.................................. 435,600 2,968,047 Descente, Ltd.......................................... 232,000 1,357,791 #Doshisha Co., Ltd...................................... 55,400 1,541,893 Doutor Nichires Holdings Co., Ltd...................... 143,886 1,811,111 Dunlop Sports Co., Ltd................................. 46,700 595,304 19 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) Dynic Corp............................................. 128,000 $ 243,748 Eagle Industry Co., Ltd................................ 119,000 744,548 #Edion Corp............................................. 376,200 1,607,800 Exedy Corp............................................. 146,700 2,867,539 F&A Aqua Holdings, Inc................................. 70,220 830,362 #FCC Co., Ltd........................................... 152,200 2,733,458 #Fields Corp............................................ 31,100 447,904 Fine Sinter Co., Ltd................................... 49,000 150,735 *First Juken Co., Ltd................................... 8,300 87,210 Foster Electric Co., Ltd............................... 111,200 1,619,134 France Bed Holdings Co., Ltd........................... 687,000 1,456,733 Freesia Macross Corp................................... 252,000 37,898 #F-Tech, Inc............................................ 29,000 455,478 #Fuji Co., Ltd.......................................... 97,000 2,045,978 Fuji Corp, Ltd......................................... 111,800 601,557 #*Fuji Kiko Co., Ltd..................................... 148,000 458,338 Fuji Kyuko Co., Ltd.................................... 306,000 1,916,643 Fuji Oozx, Inc......................................... 6,000 22,754 #Fujibo Holdings, Inc................................... 429,000 1,772,678 Fujikura Rubber, Ltd................................... 72,900 241,312 #Fujita Kanko, Inc...................................... 383,100 1,237,050 Fujitsu General, Ltd................................... 285,000 2,474,641 FuKoKu Co., Ltd........................................ 13,200 115,275 Funai Electric Co., Ltd................................ 84,200 1,137,760 #Furukawa Battery Co., Ltd.............................. 71,000 305,245 #*Futaba Industrial Co., Ltd............................. 257,900 969,460 G-7 Holdings, Inc...................................... 29,200 149,271 *Gajoen Kanko Co........................................ 37,000 -- Gakken Holdings Co., Ltd............................... 322,000 883,159 Genki Sushi Co., Ltd................................... 19,600 255,182 #Geo Holdings Corp...................................... 1,509 1,696,041 GLOBERIDE, Inc......................................... 476,000 650,582 #Goldwin, Inc........................................... 180,000 1,102,888 #*Gourmet Kineya Co., Ltd................................ 87,000 568,808 GSI Creos Corp......................................... 239,000 323,172 #G-Tekt Corp............................................ 17,600 335,050 #Gulliver International Co., Ltd........................ 28,270 1,082,428 Gunze, Ltd............................................. 878,000 2,198,841 #H.I.S. Co., Ltd........................................ 101,800 3,076,945 #Hagihara Industries, Inc............................... 4,300 66,383 *HAJIME CONSTRUCTION Co., Ltd........................... 34,400 1,084,271 Hakuyosha Co., Ltd..................................... 86,000 225,369 #Happinet Corp.......................................... 73,400 618,892 Hard Off Corp Co., Ltd................................. 33,200 230,377 Haruyama Trading Co., Ltd.............................. 47,900 237,940 *Haseko Corp............................................ 6,870,500 4,385,674 Hiday Hidaka Corp...................................... 37,120 606,360 #*Higashi Nihon House Co., Ltd........................... 172,000 618,760 *HI-LEX Corp............................................ 9,700 144,283 #Himaraya Co., Ltd...................................... 35,900 298,931 Hiramatsu, Inc......................................... 178 159,854 H-One Co., Ltd......................................... 26,100 203,320 #Honeys Co., Ltd........................................ 81,930 1,305,432 #Hoosiers Corp.......................................... 1,227 948,127 I Metal Technology Co., Ltd............................ 142,000 218,482 #Ichibanya Co., Ltd..................................... 33,700 1,082,054 Ichikawa Co., Ltd...................................... 63,000 118,262 #*Ichikoh Industries, Ltd................................ 285,000 400,955 Ikyu Corp.............................................. 731 376,784 Imasen Electric Industrial Co., Ltd.................... 65,000 754,625 Imperial Hotel, Ltd.................................... 11,500 303,697 20 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) Impress Holdings, Inc.................................. 41,800 $ 66,067 Intage, Inc............................................ 22,900 472,948 *Izuhakone Railway Co., Ltd............................. 300 20,293 #*Izutsuya Co., Ltd...................................... 375,000 230,085 *Janome Sewing Machine Co., Ltd......................... 880,000 628,410 Japan Vilene Co., Ltd.................................. 145,000 615,834 Japan Wool Textile Co., Ltd. (The)..................... 310,000 2,128,302 Jidosha Buhin Kogyo Co., Ltd........................... 79,000 247,284 *Joban Kosan Co., Ltd................................... 189,000 258,089 #Joshin Denki Co., Ltd.................................. 205,000 2,244,853 #JVC Kenwood Holdings, Inc.............................. 809,630 2,873,783 #Kadokawa Group Holdings, Inc........................... 88,600 2,723,555 #Kappa Create Holdings Co., Ltd......................... 63,450 1,367,426 Kasai Kogyo Co., Ltd................................... 122,000 496,309 #Kawai Musical Instruments Manufacturing Co., Ltd....... 384,000 803,679 #Keihin Corp............................................ 204,700 2,471,293 #Keiyo Co., Ltd......................................... 175,100 934,315 Kentucky Fried Chicken Japan, Ltd...................... 78,000 1,996,874 Kimoto Co., Ltd........................................ 77,300 412,897 #*Kinki Nippon Tourist Co., Ltd.......................... 300,000 360,653 #Kinugawa Rubber Industrial Co., Ltd.................... 233,000 1,362,811 #Kisoji Co., Ltd........................................ 81,900 1,679,727 #Kohnan Shoji Co., Ltd.................................. 139,700 1,691,587 #Kojima Co., Ltd........................................ 145,700 509,219 Komatsu Seiren Co., Ltd................................ 146,000 676,890 Komeri Co., Ltd........................................ 146,000 3,523,839 #Konaka Co., Ltd........................................ 116,660 1,152,199 *Koshidaka Holdings Co., Ltd............................ 5,500 150,850 #Kourakuen Corp......................................... 31,600 459,897 *K's Holdings Corp...................................... 400 10,697 KU Holdings Co., Ltd................................... 68,200 383,774 #Kura Corp.............................................. 55,400 771,880 Kurabo Industries, Ltd................................. 1,090,000 1,679,797 Kuraudia Co., Ltd...................................... 5,700 71,276 Kuroganeya Co., Ltd.................................... 11,100 43,505 #KYB Co., Ltd........................................... 733,000 2,638,094 Kyoritsu Maintenance Co., Ltd.......................... 52,560 1,124,971 Kyoto Kimono Yuzen Co., Ltd............................ 57,300 692,785 #*Laox Co., Ltd.......................................... 322,000 96,759 LEC, Inc............................................... 24,200 302,420 #Look, Inc.............................................. 184,000 906,249 Mamiya-Op Co., Ltd..................................... 285,000 528,447 #Marche Corp............................................ 23,000 208,322 Mars Engineering Corp.................................. 45,700 1,088,816 #*Maruei Department Store Co., Ltd....................... 142,000 145,917 *Maruzen CHI Holdings Co., Ltd.......................... 11,800 32,691 Maruzen Co., Ltd....................................... 46,000 320,588 #*Matsuya Co., Ltd....................................... 139,800 1,466,299 Matsuya Foods Co., Ltd................................. 47,300 856,811 #Megane TOP Co., Ltd.................................... 141,300 1,625,929 #Meiko Network Japan Co., Ltd........................... 47,100 477,884 Meiwa Estate Co., Ltd.................................. 23,500 104,032 Meiwa Industry Co., Ltd................................ 7,000 14,064 Mikuni Corp............................................ 108,000 224,646 Misawa Homes Co., Ltd.................................. 109,100 1,604,945 Mitsuba Corp........................................... 161,690 1,026,026 Mitsui Home Co., Ltd................................... 155,000 755,816 Mizuno Corp............................................ 447,000 2,084,106 *Monogatari Corp. (The)................................. 1,900 42,724 MOS Food Services, Inc................................. 120,300 2,301,047 Mr Max Corp............................................ 119,000 463,642 21 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Consumer Discretionary -- (Continued) Murakami Corp.......................................... 7,000 $ 80,186 #Musashi Seimitsu Industry Co., Ltd..................... 102,700 2,144,781 Nafco Co., Ltd......................................... 1,300 21,975 *Nagawa Co., Ltd........................................ 4,400 82,748 *Naigai Co., Ltd........................................ 2,643,000 1,555,663 *Nakayamafuku Co., Ltd.................................. 4,200 32,764 NEC Mobiling, Ltd...................................... 46,800 1,946,954 #Nice Holdings, Inc..................................... 460,000 991,052 #Nidec Copal Corp....................................... 88,700 670,513 #Nidec Tosok Corp....................................... 109,300 718,442 #Nifco, Inc............................................. 228,400 5,190,359 Nihon Eslead Corp...................................... 29,500 253,854 #Nihon Plast Co., Ltd................................... 1,600 8,113 Nihon Tokushu Toryo Co., Ltd........................... 56,000 239,104 Nikkato Corp........................................... 700 3,780 *Nippon Columbia Co., Ltd............................... 707,000 203,600 Nippon Felt Co., Ltd................................... 67,200 334,895 #Nippon Piston Ring Co., Ltd............................ 350,000 564,761 Nippon Seiki Co., Ltd.................................. 186,400 1,791,370 #Nishimatsuya Chain Co., Ltd............................ 259,200 2,088,302 Nissan Shatai Co., Ltd................................. 298,023 3,261,153 #*Nissan Tokyo Sales Holdings Co., Ltd................... 236,000 957,834 #Nissen Holdings Co., Ltd............................... 181,591 709,106 Nissin Kogyo Co., Ltd.................................. 178,000 2,558,240 Nittan Valve Co., Ltd.................................. 82,800 268,639 Noritsu Koki Co., Ltd.................................. 101,700 407,873 Ohashi Technica, Inc................................... 600 4,065 *Ohsho Food Service Corp................................ 15,200 367,676 Omikenshi Co., Ltd..................................... 22,000 12,407 Onward Holdings Co., Ltd............................... 626,000 4,635,222 *OPT, Inc............................................... 18 21,096 *Otsuka Kagu, Ltd....................................... 3,400 33,242 Pacific Industrial Co., Ltd............................ 185,500 1,090,577 *Pal Co., Ltd........................................... 26,400 1,348,152 Paltac Corp............................................ 107,434 1,573,437 PanaHome Corp.......................................... 398,200 2,489,259 #Parco Co., Ltd......................................... 53,600 562,480 Paris Miki Holdings, Inc............................... 160,600 872,970 PIA Corp............................................... 25,200 363,093 Piolax, Inc............................................ 47,300 983,840 #*Pioneer Electronic Corp................................ 1,294,100 3,100,263 Plenus Co., Ltd........................................ 101,200 1,646,328 #Point, Inc............................................. 79,640 3,033,238 Press Kogyo Co., Ltd................................... 488,000 2,040,998 Pressance Corp......................................... 12,400 228,673 Proto Corp............................................. 15,900 261,981 Renaissance, Inc....................................... 9,000 58,396 #*Renown, Inc............................................ 242,600 315,689 #Resort Solution Co., Ltd............................... 180,000 360,698 Resorttrust, Inc....................................... 163,508 3,048,195 #Rhythm Watch Co., Ltd.................................. 650,000 1,206,632 Right On Co., Ltd...................................... 67,325 556,033 Riken Corp............................................. 458,000 1,533,330 #Ringer Hut Co., Ltd.................................... 79,500 1,015,519 #Riso Kyoiku Co., Ltd................................... 10,250 767,515 Roland Corp............................................ 92,800 622,163 Round One Corp......................................... 352,300 1,782,442 #Royal Holdings Co., Ltd................................ 140,200 1,748,891 Ryohin Keikaku Co., Ltd................................ 104,000 6,887,238 #*Sagami Chain Co., Ltd.................................. 84,000 682,000 #Saizeriya Co., Ltd..................................... 150,900 2,120,094 22 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ---------- Consumer Discretionary -- (Continued) #Sakai Ovex Co., Ltd...................................... 297,000 $ 416,732 SAN HOLDINGS, Inc........................................ 13,600 231,834 #Sanden Corp.............................................. 615,000 1,849,704 Sangetsu Co., Ltd........................................ 125,925 3,352,827 #Sanko Marketing Foods Co., Ltd........................... 120 146,637 #Sankyo Seiko Co., Ltd.................................... 102,400 344,975 Sanoh Industrial Co., Ltd................................ 126,700 747,744 *Sanyo Electric Railway Co., Ltd.......................... 1,000 3,783 Sanyo Housing Nagoya Co., Ltd............................ 415 441,422 Sanyo Shokai, Ltd........................................ 678,000 1,995,957 Scroll Corp.............................................. 99,500 308,383 *Seiko Holdings Corp...................................... 479,407 1,262,191 Seiren Co., Ltd.......................................... 239,700 1,493,924 #Senshukai Co., Ltd....................................... 165,200 1,040,690 Septeni Holdings Co., Ltd................................ 339 326,783 *Seria Co., Ltd........................................... 49,800 1,006,863 *Seven Seas Holdings Co., Ltd............................. 549,200 89,420 *Shidax Corp.............................................. 9,500 44,890 Shikibo, Ltd............................................. 590,000 701,810 Shimachu Co., Ltd........................................ 227,000 5,015,422 #Shimojima Co., Ltd....................................... 19,600 227,283 Shiroki Corp............................................. 285,000 622,812 Shobunsha Publications, Inc.............................. 320,700 2,122,247 Shochiku Co., Ltd........................................ 344,400 3,356,628 Shoei Co., Ltd........................................... 1,600 8,716 Showa Corp............................................... 320,400 2,964,674 SKY Perfect JSAT Holdings, Inc........................... 8,199 3,746,371 SNT Corp................................................. 103,800 420,291 Soft99 Corp.............................................. 70,600 421,760 Sotoh Co., Ltd........................................... 49,700 471,127 SPK Corp................................................. 16,800 283,510 St. Marc Holdings Co., Ltd............................... 39,600 1,477,173 *Starbucks Coffee Japan, Ltd.............................. 304 214,030 #*Start Today Co., Ltd..................................... 218,500 2,394,260 Starts Corp., Inc........................................ 1,000 6,241 Studio Alice Co., Ltd.................................... 45,400 698,205 Suminoe Textile Co., Ltd................................. 328,000 608,225 Sumitomo Forestry Co., Ltd............................... 436,666 3,907,773 #*SxL Corp................................................. 460,000 728,288 T. RAD Co., Ltd.......................................... 296,000 675,758 Tachikawa Corp........................................... 50,800 285,996 Tachi-S Co., Ltd......................................... 112,840 2,070,721 Tact Home Co., Ltd....................................... 516 543,786 Taiho Kogyo Co., Ltd..................................... 92,800 898,537 Takamatsu Construction Group Co., Ltd.................... 90,500 1,482,860 Taka-Q Co., Ltd.......................................... 10,000 32,908 Take & Give Needs Co., Ltd............................... 3,610 296,406 Takihyo Co., Ltd......................................... 41,000 211,272 Tamron Co., Ltd.......................................... 76,900 2,089,871 #TBK Co., Ltd............................................. 89,000 437,689 *Ten Allied Co., Ltd...................................... 50,000 169,620 #T-GAIA Corp.............................................. 125,800 1,209,734 Tigers Polymer Corp...................................... 59,000 194,565 Toa Corp................................................. 32,000 227,555 Toabo Corp............................................... 183,000 123,918 *Toei Animation Co., Ltd.................................. 6,400 152,674 Toei Co., Ltd............................................ 344,000 1,887,351 *Tohokushinsha Film Corp.................................. 2,800 19,635 Tokai Rika Co., Ltd...................................... 224,600 2,818,761 Tokai Rubber Industries, Ltd............................. 188,700 1,671,674 #Token Corp............................................... 35,150 1,543,438 23 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Consumer Discretionary -- (Continued) #Tokyo Derica Co., Ltd................................ 37,900 $ 593,354 #*Tokyo Dome Corp...................................... 806,200 2,718,214 Tokyo Kaikan Co., Ltd................................ 12,000 44,159 Tokyo Soir Co., Ltd.................................. 49,000 134,893 #Tokyotokeiba Co., Ltd................................ 828,000 1,234,800 Tokyu Recreation Co., Ltd............................ 77,000 443,335 #Tomy Co., Ltd........................................ 297,893 1,643,806 Topre Corp........................................... 189,000 1,631,967 Toridoll.Corp........................................ 79,600 1,199,557 Touei Housing Corp................................... 76,240 811,549 Tow Co., Ltd......................................... 3,200 20,809 Toyo Tire & Rubber Co., Ltd.......................... 916,000 2,225,460 Toyobo Co., Ltd...................................... 4,184,000 4,611,041 TPR Co., Ltd......................................... 104,400 1,168,809 TS Tech Co., Ltd..................................... 232,200 3,955,138 TSI Holdings Co., Ltd................................ 409,495 2,499,119 *Tsukamoto Co., Ltd.................................. 124,000 197,277 Tsutsumi Jewelry Co., Ltd............................ 49,300 1,132,106 TV Asahi Corp........................................ 32,600 420,318 TV Tokyo Holdings Corp............................... 17,200 193,304 Umenohana Co., Ltd................................... 44 95,081 Unipres Corp......................................... 166,700 3,842,968 #United Arrows, Ltd................................... 97,600 2,500,721 #*Unitika, Ltd......................................... 2,595,000 1,299,730 #*Usen Corp............................................ 355,450 369,802 U-Shin, Ltd.......................................... 112,900 484,160 *Village Vanguard Co., Ltd............................ 120 119,074 VT Holdings Co., Ltd................................. 104,800 743,976 Watabe Wedding Corp.................................. 29,500 240,320 #WATAMI Co., Ltd...................................... 105,600 2,362,040 #West Holdings Corp................................... 32,000 407,468 Wowow, Inc........................................... 89 208,402 Xebio Co., Ltd....................................... 120,600 2,359,859 #*Yamatane Corp........................................ 361,000 470,033 Yamato International, Inc............................ 4,200 18,688 #Yellow Hat, Ltd...................................... 84,100 1,128,609 Yomiuri Land Co., Ltd................................ 225,000 709,978 Yonex Co., Ltd....................................... 40,000 230,155 Yorozu Corp.......................................... 70,000 1,038,738 #Yoshinoya Holdings Co., Ltd.......................... 2,328 2,952,417 Zenrin Co., Ltd...................................... 131,800 1,614,637 #Zensho Co., Ltd...................................... 313,600 3,814,086 #*Zojirushi Corp....................................... 16,000 54,931 ------------ Total Consumer Discretionary............................ 376,167,875 ------------ Consumer Staples -- (8.9%) *Aderans Co., Ltd..................................... 82,650 1,081,583 *Aeon Hokkaido Corp................................... 389,700 1,742,309 Ahjikan Co., Ltd..................................... 10,500 97,368 Ain Pharmaciez, Inc.................................. 48,100 3,406,124 Arcs Co., Ltd........................................ 139,700 2,948,545 Ariake Japan Co., Ltd................................ 103,700 2,211,230 Artnature, Inc....................................... 6,700 105,677 Belc Co., Ltd........................................ 13,400 197,919 Cawachi, Ltd......................................... 81,900 1,747,043 Chubu Shiryo Co., Ltd................................ 89,000 569,197 Chuo Gyorui Co., Ltd................................. 93,000 215,605 Coca-Cola Central Japan Co., Ltd..................... 121,400 1,492,185 Cocokara fine, Inc................................... 69,260 2,332,495 #Cosmos Pharmaceutical Corp........................... 37,300 3,678,433 *CREATE SD HOLDINGS Co., Ltd.......................... 12,300 327,441 24 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Consumer Staples -- (Continued) CVS Bay Area, Inc...................................... 27,000 $ 25,679 Daikokutenbussan Co., Ltd.............................. 22,200 705,644 #Dr. Ci:Labo Co., Ltd................................... 617 1,983,096 Dydo Drinco, Inc....................................... 49,800 2,124,910 Echo Trading Co., Ltd.................................. 11,000 95,618 #Ensuiko Sugar Refining Co., Ltd........................ 102,000 233,861 Ezaki Glico Co., Ltd................................... 5,000 56,378 Fancl Corp............................................. 181,300 1,948,245 #*First Baking Co., Ltd.................................. 183,000 183,572 Fuji Oil Co., Ltd...................................... 268,900 3,579,115 Fujicco Co., Ltd....................................... 116,600 1,495,445 #*Fujiya Co., Ltd........................................ 375,000 930,469 *HABA Laboratories, Inc................................. 100 3,365 Hagoromo Foods Corp.................................... 40,000 550,892 Harashin Narus Holdings Co., Ltd....................... 61,500 1,145,894 *Hayashikane Sangyo Co., Ltd............................ 284,000 228,042 Heiwado Co., Ltd....................................... 152,800 2,126,346 Hohsui Corp............................................ 127,000 162,428 Hokkaido Coca-Cola Bottling Co., Ltd................... 87,000 434,772 #Hokuto Corp............................................ 113,700 2,272,553 Inageya Co., Ltd....................................... 172,800 2,111,716 #Ito En, Ltd............................................ 18,300 344,366 Itochu-Shokuhin Co., Ltd............................... 27,400 1,001,647 Itoham Foods, Inc...................................... 674,800 2,696,635 Izumiya Co., Ltd....................................... 447,000 2,212,376 J-Oil Mills, Inc....................................... 477,000 1,237,399 #Kameda Seika Co., Ltd.................................. 70,100 1,740,206 Kasumi Co., Ltd........................................ 210,300 1,372,711 Kato Sangyo Co., Ltd................................... 109,300 1,976,914 *Kenko Mayonnaise Co., Ltd.............................. 900 8,850 Key Coffee, Inc........................................ 73,600 1,431,100 Kirindo Co., Ltd....................................... 28,300 187,942 Kose Corp.............................................. 150,100 3,239,496 Kusuri No Aoki Co., Ltd................................ 20,100 1,047,009 Kyodo Shiryo Co., Ltd.................................. 387,000 441,749 #Kyokuyo Co., Ltd....................................... 371,000 823,350 #Life Corp.............................................. 183,400 2,832,577 #Lion Corp.............................................. 57,000 329,317 #Mandom Corp............................................ 91,000 2,401,540 Marudai Food Co., Ltd.................................. 465,000 1,631,417 #Maruetsu, Inc. (The)................................... 375,000 1,235,510 Maruha Nichiro Holdings, Inc........................... 2,030,069 3,335,894 #Matsumotokiyoshi Holdings Co., Ltd..................... 152,100 3,662,852 *Maxvalu Tohok Co., Ltd................................. 15,800 137,219 Maxvalu Tokai Co., Ltd................................. 57,500 812,123 Megmilk Snow Brand Co., Ltd............................ 222,200 3,751,649 Meito Sangyo Co., Ltd.................................. 53,600 681,680 Mikuni Coca-Cola Bottling Co., Ltd..................... 171,600 1,425,616 Milbon Co., Ltd........................................ 52,314 1,692,486 Ministop Co., Ltd...................................... 75,800 1,279,234 #Mitsubishi Shokuhin Co., Ltd........................... 87,800 2,140,536 #Mitsui Sugar Co., Ltd.................................. 454,850 1,465,481 Miyoshi Oil & Fat Co., Ltd............................. 261,000 323,928 Morinaga & Co., Ltd.................................... 933,000 2,055,602 Morinaga Milk Industry Co., Ltd........................ 921,000 3,045,581 #Morishita Jinton Co., Ltd.............................. 47,800 226,365 Morozoff, Ltd.......................................... 127,000 442,182 Nagatanien Co., Ltd.................................... 123,000 1,210,485 Nakamuraya Co., Ltd.................................... 198,000 977,224 Natori Co., Ltd........................................ 2,500 27,321 #Nichimo Co., Ltd....................................... 161,000 330,689 25 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Consumer Staples -- (Continued) #Nichirei Corp........................................ 1,248,000 $ 6,884,055 #Nihon Chouzai Co., Ltd............................... 20,300 539,258 Niitaka Co., Ltd..................................... 7,260 85,519 Nippon Beet Sugar Manufacturing Co., Ltd............. 543,000 1,040,161 Nippon Flour Mills Co., Ltd.......................... 557,000 2,330,628 #Nippon Formula Feed Manufacturing Co., Ltd........... 363,000 464,373 #Nippon Suisan Kaisha, Ltd............................ 1,182,600 2,592,458 Nisshin Oillio Group, Ltd. (The)..................... 550,000 2,024,970 Nissin Sugar Holdings Co., Ltd....................... 15,500 294,825 Nitto Fuji Flour Milling Co., Ltd.................... 64,000 235,754 #Noevir Holdings Co., Ltd............................. 34,300 524,085 Oenon Holdings, Inc.................................. 261,000 641,550 #Oie Sangyo Co., Ltd.................................. 20,900 211,677 Okuwa Co., Ltd....................................... 115,000 1,548,732 Olympic Corp......................................... 64,900 560,509 *OUG Holdings, Inc.................................... 9,000 16,691 Pietro Co., Ltd...................................... 5,100 54,645 Pigeon Corp.......................................... 91,800 4,229,895 #Poplar Co., Ltd...................................... 25,760 165,185 Prima Meat Packers, Ltd.............................. 701,000 1,265,569 *Qol Co., Ltd......................................... 200 1,833 #Riken Vitamin Co., Ltd............................... 79,200 2,081,120 Rock Field Co., Ltd.................................. 50,100 898,876 S Foods, Inc......................................... 73,762 688,276 S.T. Chemical Co., Ltd............................... 75,100 830,416 Sakata Seed Corp..................................... 164,600 2,126,954 San-A Co., Ltd....................................... 29,200 1,133,740 Sapporo Holdings, Ltd................................ 1,621,000 4,526,839 #Shoei Foods Corp..................................... 44,000 329,608 Showa Sangyo Co., Ltd................................ 524,000 1,752,117 Sogo Medical Co., Ltd................................ 23,300 839,958 Starzen Co., Ltd..................................... 293,000 873,352 Takara Holdings, Inc................................. 834,500 6,250,961 Three F Co., Ltd..................................... 4,100 23,427 #Tobu Store Co., Ltd.................................. 205,000 664,905 Toho Co., Ltd........................................ 170,000 655,822 #Tohto Suisan Co., Ltd................................ 138,000 210,925 Torigoe Co., Ltd. (The).............................. 86,600 676,352 Toyo Sugar Refining Co., Ltd......................... 157,000 167,335 *Tsuruha Holdings, Inc................................ 73,200 5,548,589 Uoriki Co., Ltd...................................... 1,500 18,207 Valor Co., Ltd....................................... 175,400 2,999,455 Warabeya Nichiyo Co., Ltd............................ 51,360 1,048,756 Welcia Holdings Co., Ltd............................. 25,500 937,094 Yaizu Suisankagaku Industry Co., Ltd................. 41,000 378,416 Yamaya Corp.......................................... 10,400 149,418 Yaoko Co., Ltd....................................... 40,800 1,666,609 #Yokohama Reito Co., Ltd.............................. 189,100 1,284,264 Yomeishu Seizo Co., Ltd.............................. 100,000 882,609 Yonekyu Corp......................................... 100,000 812,399 Yuasa Funashoku Co., Ltd............................. 112,000 260,910 #Yukiguni Maitake Co., Ltd............................ 99,056 323,897 Yutaka Foods Corp.................................... 6,000 114,071 ------------ Total Consumer Staples.................................. 168,635,501 ------------ Energy -- (0.8%) AOC Holdings, Inc.................................... 182,800 627,654 BP Castrol K.K....................................... 66,500 288,320 #*Fuji Kosan Co., Ltd.................................. 33,100 182,207 Itochu Enex Co., Ltd................................. 302,200 1,579,981 Japan Drilling Co., Ltd.............................. 22,200 642,747 26 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- Energy -- (Continued) Japan Oil Transportation Co., Ltd..................... 79,000 $ 178,056 Kanto Natural Gas Development Co., Ltd................ 155,000 819,978 #*Kyoei Tanker Co., Ltd................................. 111,000 231,763 Mitsuuroko Holdings Co., Ltd.......................... 166,300 1,083,496 Modec, Inc............................................ 50,100 1,017,588 #Nippon Gas Co., Ltd................................... 148,900 2,603,182 Nippon Seiro Co., Ltd................................. 64,000 177,238 #Sala Corp............................................. 128,500 789,513 San-Ai Oil Co., Ltd................................... 273,000 1,196,988 Shinko Plantech Co., Ltd.............................. 188,400 1,547,811 Sinanen Co., Ltd...................................... 251,000 1,072,930 Toa Oil Co., Ltd...................................... 352,000 396,989 Toyo Kanetsu K.K...................................... 536,000 1,041,706 ----------- Total Energy............................................. 15,478,147 ----------- Financials -- (10.7%) 77 Bank, Ltd. (The)................................... 155,000 590,263 Aichi Bank, Ltd. (The)................................ 54,200 3,000,817 Airport Facilities Co., Ltd........................... 125,070 576,718 *Aizawa Securities Co., Ltd............................ 300 536 Akita Bank, Ltd. (The)................................ 895,400 2,457,897 Aomori Bank, Ltd. (The)............................... 900,000 2,673,081 Asax Co., Ltd......................................... 17 16,552 Awa Bank, Ltd. (The).................................. 673,000 4,022,474 Bank of Iwate, Ltd. (The)............................. 72,700 3,369,803 Bank of Kochi, Ltd. (The)............................. 3,000 2,971 Bank of Nagoya, Ltd. (The)............................ 752,297 2,575,420 Bank of Okinawa, Ltd. (The)........................... 96,000 3,996,314 Bank of Saga, Ltd. (The).............................. 626,000 1,373,186 Bank of the Ryukyus, Ltd.............................. 177,580 2,233,074 *Chiba Kogyo Bank, Ltd. (The).......................... 181,900 912,428 Chukyo Bank, Ltd. (The)............................... 675,000 1,521,063 *Cosmos Initia Co., Ltd................................ 53,000 351,379 Daibiru Corp.......................................... 238,900 1,932,870 Daikyo, Inc........................................... 1,585,000 4,228,516 Daisan Bank, Ltd. (The)............................... 674,000 1,198,020 Daishi Bank, Ltd. (The)............................... 1,494,000 4,936,839 Daito Bank, Ltd. (The)................................ 562,000 492,729 Ehime Bank, Ltd. (The)................................ 664,000 1,697,874 Eighteenth Bank, Ltd. (The)........................... 1,088,000 2,852,620 FIDEA Holdings Co., Ltd............................... 396,600 785,221 Fukui Bank, Ltd. (The)................................ 1,003,000 2,114,541 Fukushima Bank, Ltd. (The)............................ 1,026,000 655,383 Fuyo General Lease Co., Ltd........................... 84,500 2,364,507 Goldcrest Co., Ltd.................................... 84,690 1,273,361 Heiwa Real Estate Co., Ltd............................ 174,300 2,039,045 Higashi-Nippon Bank, Ltd.............................. 662,000 1,427,634 Higo Bank, Ltd. (The)................................. 818,000 4,827,321 Hokkoku Bank, Ltd. (The).............................. 1,190,000 4,296,076 Hokuetsu Bank, Ltd. (The)............................. 965,000 1,850,251 *Hulic Co., Ltd........................................ 48,000 381,971 Hyakugo Bank, Ltd. (The).............................. 1,116,609 4,886,171 Hyakujishi Bank, Ltd. (The)........................... 1,097,000 4,300,766 IBJ Leasing Co., Ltd.................................. 85,800 2,168,568 *Ichigo Group Holdings Co., Ltd........................ 19 2,714 Ichiyoshi Securities Co., Ltd......................... 166,400 869,919 #Iida Home Max Co., Ltd................................ 88,100 777,302 Iwai Cosmo Holdings, Inc.............................. 53,800 182,532 J Trust Co., Ltd...................................... 17,200 253,101 *Japan Asia Investment Co., Ltd........................ 469,000 282,990 #*Jimoto Holdings, Inc.................................. 132,800 213,501 27 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Financials -- (Continued) *Jowa Holdings Co., Ltd................................. 700 $ 12,843 Juroku Bank, Ltd....................................... 1,473,000 4,779,955 #kabu.com Securities Co., Ltd........................... 438,600 1,210,591 Kabuki-Za Co., Ltd..................................... 39,000 2,244,717 #Kagoshima Bank, Ltd. (The)............................. 668,000 4,258,892 *Kansai Urban Banking Corp.............................. 160,000 196,629 Keihanshin Building Co., Ltd........................... 33,600 160,883 Keiyo Bank, Ltd. (The)................................. 709,000 3,108,261 *Kenedix, Inc........................................... 11,449 1,487,416 Kita-Nippon Bank, Ltd. (The)........................... 49,406 1,349,780 Kiyo Holdings, Inc..................................... 3,313,900 4,529,074 Kobayashi Yoko Co., Ltd................................ 208,500 465,280 #Kosei Securities Co., Ltd.............................. 285,000 265,169 Kyokuto Securities Co., Ltd............................ 100,900 766,558 *Leopalace21 Corp....................................... 646,085 1,945,226 Marusan Securities Co., Ltd............................ 303,000 936,606 #Matsui Securities Co., Ltd............................. 525,200 3,541,825 Michinoku Bank, Ltd. (The)............................. 736,000 1,437,895 Mie Bank, Ltd. (The)................................... 208,000 443,277 Minato Bank, Ltd. (The)................................ 1,063,000 1,903,855 Mito Securities Co., Ltd............................... 263,000 466,386 Miyazaki Bank, Ltd. (The).............................. 703,000 1,726,380 #Monex Group, Inc....................................... 10,334 1,761,112 Musashino Bank, Ltd.................................... 152,300 4,362,228 Nagano Bank, Ltd. (The)................................ 360,000 685,314 Nanto Bank, Ltd. (The)................................. 550,000 2,804,461 *New Real Property K.K.................................. 43,900 -- Nisshin Fudosan Co., Ltd............................... 95,000 506,992 *North Pacific Bank, Ltd................................ 770,300 1,990,612 Ogaki Kyoritsu Bank, Ltd. (The)........................ 1,410,000 4,963,527 Oita Bank, Ltd. (The).................................. 789,900 2,652,826 Okasan Securities Group, Inc........................... 832,000 3,143,114 *Osaka Securities Exchange Co., Ltd..................... 193 719,420 *Relo Holdings, Inc..................................... 19,000 631,932 Ricoh Leasing Co., Ltd................................. 84,600 1,970,679 San-in Godo Bank, Ltd. (The)........................... 791,000 5,471,237 *Sawada Holdings Co., Ltd............................... 6,500 35,785 #SBI Holdings, Inc...................................... 70,160 491,328 Senshu Ikeda Holdings, Inc............................. 234,100 1,459,537 #Shiga Bank, Ltd........................................ 206,000 1,347,543 Shikoku Bank, Ltd...................................... 893,000 2,214,979 *SHIMANE BANK, Ltd. (The)............................... 600 8,033 Shimizu Bank, Ltd...................................... 40,300 1,182,933 #*Sparx Group Co., Ltd................................... 1,477 96,814 Sumitomo Real Estate Sales Co., Ltd.................... 45,150 2,125,942 Sun Frontier Fudousan Co., Ltd......................... 208 66,815 Taiko Bank, Ltd. (The)................................. 84,000 206,394 *Takagi Securities Co., Ltd............................. 206,000 215,117 *Takara Leben Co., Ltd.................................. 168,200 1,803,333 TOC Co., Ltd........................................... 435,250 2,317,834 Tochigi Bank, Ltd...................................... 726,000 2,547,864 Toho Bank, Ltd......................................... 947,200 3,167,725 Toho Real Estate Co., Ltd.............................. 140,700 769,379 Tohoku Bank, Ltd. (The)................................ 433,000 624,076 Tokai Tokyo Financial Holdings, Inc.................... 1,129,000 4,067,662 #Tokyo Rakutenchi Co., Ltd.............................. 218,000 817,247 *Tokyo Tatemono Co., Ltd................................ 1,893,000 7,791,021 #Tokyo Theatres Co., Inc................................ 362,000 462,521 Tokyo Tomin Bank, Ltd.................................. 151,400 1,303,300 #Tokyu Livable, Inc..................................... 110,800 1,442,768 Tomato Bank, Ltd....................................... 422,000 745,995 28 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Financials -- (Continued) TOMONY Holdings, Inc................................. 691,550 $ 2,902,394 Tosei Corp........................................... 1,398 523,692 Tottori Bank, Ltd.................................... 330,000 678,304 Towa Bank, Ltd....................................... 1,384,000 1,368,829 Toyo Securities Co., Ltd............................. 331,000 570,083 Tsukuba Bank, Ltd. (The)............................. 282,200 905,231 Yachiyo Bank, Ltd. (The)............................. 42,500 758,789 Yamagata Bank, Ltd................................... 681,500 3,005,490 Yamanashi Chuo Bank, Ltd............................. 744,000 3,011,318 ------------ Total Financials........................................ 202,903,346 ------------ Health Care -- (4.7%) As One Corp.......................................... 72,368 1,495,964 Asahi Intecc Co., Ltd................................ 6,400 189,980 ASKA Pharmaceutical Co., Ltd......................... 106,000 552,345 BML, Inc............................................. 45,100 1,136,844 CMIC Holdings Co., Ltd............................... 37,000 564,919 Create Medic Co., Ltd................................ 28,000 280,838 Daito Pharmaceutical Co., Ltd........................ 23,700 405,968 Eiken Chemical Co., Ltd.............................. 74,800 1,027,868 EPS Corp............................................. 583 1,739,879 FALCO SD HOLDINGS Co., Ltd........................... 36,300 428,923 Fuso Pharmaceutical Industries, Ltd.................. 344,000 1,111,107 Hitachi Medical Corp................................. 85,000 1,044,570 Hogy Medical Co., Ltd................................ 57,400 2,936,786 Iwaki & Co., Ltd..................................... 66,000 142,050 #Japan Medical Dynamic Marketing, Inc................. 44,900 134,549 JCR Pharmaceuticals Co., Ltd......................... 10,200 118,767 *Jeol, Ltd............................................ 296,000 616,135 JMS Co., Ltd......................................... 126,000 394,226 Kaken Pharmaceutical Co., Ltd........................ 364,000 5,637,927 Kawanishi Holdings, Ltd.............................. 3,000 27,825 Kawasumi Laboratories, Inc........................... 46,300 252,365 Kissei Pharmaceutical Co., Ltd....................... 106,300 1,812,061 KYORIN Holdings, Inc................................. 214,000 4,524,370 *Mani, Inc............................................ 10,000 371,402 #Medical System Network Co., Ltd...................... 27,400 149,425 #*Message Co., Ltd..................................... 433 1,335,317 #Mochida Pharmaceutical Co., Ltd...................... 295,000 3,805,742 #Nagaileben Co., Ltd.................................. 50,900 747,389 *Nakanishi, Inc....................................... 2,900 316,498 Nichii Gakkan Co..................................... 234,000 2,131,110 Nichi-iko Pharmaceutical Co., Ltd.................... 21,100 446,397 Nihon Kohden Corp.................................... 173,900 6,468,886 Nikkiso Co., Ltd..................................... 303,000 3,618,127 Nippon Chemiphar Co., Ltd............................ 151,000 1,002,377 Nippon Shinyaku Co., Ltd............................. 239,000 2,879,212 #Nipro Corp........................................... 585,900 4,005,903 Nissui Pharmaceutical Co., Ltd....................... 64,200 671,212 Paramount Bed Holdings Co., Ltd...................... 47,000 1,638,445 Rion Co., Ltd........................................ 5,000 34,216 Rohto Pharmaceutical Co., Ltd........................ 424,000 5,843,559 #Sawai Pharmaceutical Co., Ltd........................ 40,300 4,451,796 Seikagaku Corp....................................... 179,800 2,061,135 #*Shin Nippon Biomedical Laboratories, Ltd............. 24,700 118,187 Ship Healthcare Holdings, Inc........................ 155,600 5,188,557 Shofu, Inc........................................... 4,000 44,771 Taiko Pharmaceutical Co., Ltd........................ 22,500 211,070 Techno Medica Co., Ltd............................... 24 139,842 Toho Holdings Co., Ltd............................... 217,800 4,452,305 Tokai Corp........................................... 18,200 448,652 29 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- Health Care -- (Continued) Torii Pharmaceutical Co., Ltd........................... 65,200 $ 1,443,252 #Towa Pharmaceutical Co., Ltd............................ 46,900 2,980,142 #Tsukui Corp............................................. 60,700 1,414,962 Vital KSK Holdings, Inc................................. 151,300 1,532,391 #*Wakamoto Pharmaceutical Co., Ltd........................ 100,000 265,977 #ZERIA Pharmaceutical Co., Ltd........................... 109,000 1,740,976 ----------- Total Health Care.......................................... 88,535,498 ----------- Industrials -- (23.2%) #*A&A Material Corp....................................... 235,000 197,335 Advan Co., Ltd.......................................... 96,900 1,016,602 #*Advanex, Inc............................................ 73,000 66,794 #Aeon Delight Co., Ltd................................... 87,100 1,792,145 #Aica Kogyo Co., Ltd..................................... 246,200 4,167,837 Aichi Corp.............................................. 132,000 526,393 Aida Engineering, Ltd................................... 276,800 1,761,887 Airtech Japan, Ltd...................................... 2,600 10,913 Alinco, Inc............................................. 4,800 38,963 Alps Logistics Co., Ltd................................. 50,700 499,924 Altech Co., Ltd......................................... 5,300 14,310 #Altech Corp............................................. 37,150 294,573 Ando Corp............................................... 450,000 507,544 Anest Iwata Corp........................................ 155,000 587,167 #*Arrk Corp............................................... 221,700 482,312 Asahi Diamond Industrial Co., Ltd....................... 253,200 2,242,333 Asahi Kogyosha Co., Ltd................................. 109,000 360,461 #*Asanuma Corp............................................ 796,000 539,425 Asia Air Survey Co., Ltd................................ 30,000 99,849 Asunaro Aoki Construction Co., Ltd...................... 154,000 833,906 Ataka Construction & Engineering Co., Ltd............... 60,000 243,694 Bando Chemical Industries, Ltd.......................... 360,000 1,096,115 #Benefit One, Inc........................................ 143 146,962 Bunka Shutter Co., Ltd.................................. 227,000 969,203 Central Glass Co., Ltd.................................. 898,000 2,599,139 Central Security Patrols Co., Ltd....................... 43,700 432,425 Chiyoda Integre Co., Ltd................................ 14,400 148,378 Chudenko Corp........................................... 130,500 1,161,805 #Chugai Ro Co., Ltd...................................... 342,000 916,924 CKD Corp................................................ 262,700 1,339,948 COMSYS Holdings Corp.................................... 5,900 78,432 #Cosel Co., Ltd.......................................... 111,900 1,444,946 CTI Engineering Co., Ltd................................ 44,600 271,876 Dai-Dan Co., Ltd........................................ 156,000 921,632 Daido Kogyo Co., Ltd.................................... 145,000 232,807 Daifuku Co., Ltd........................................ 406,500 2,032,094 *Daihatsu Diesel Manufacturing Co., Ltd.................. 12,000 30,385 #Daihen Corp............................................. 487,000 1,305,181 Daiho Corp.............................................. 763,000 889,588 #*Daiichi Chuo K.K........................................ 596,000 470,394 Daiichi Jitsugyo Co., Ltd............................... 198,000 828,523 #Daiseki Co., Ltd........................................ 179,263 2,418,095 #Daiseki Eco. Solution Co., Ltd.......................... 97 136,189 *Daisue Construction Co., Ltd............................ 117,500 66,300 Daiwa Industries, Ltd................................... 178,000 756,427 Daiwa Odakyu Construction Co., Ltd...................... 48,500 91,664 *Danto Holdings Corp..................................... 206,000 209,168 Denyo Co., Ltd.......................................... 85,100 901,934 Dijet Industrial Co., Ltd............................... 80,000 137,427 DMW Corp................................................ 4,800 83,151 *Dream Incubator, Inc.................................... 173 146,201 Duskin Co., Ltd......................................... 223,500 4,244,799 30 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Industrials -- (Continued) Ebara Jitsugyo Co., Ltd................................ 8,900 $ 135,626 Eidai Co., Ltd......................................... 17,000 68,167 Emori & Co., Ltd....................................... 10,300 104,390 #*en-japan, Inc.......................................... 108 115,530 *Enshu, Ltd............................................. 194,000 150,769 #*Fudo Tetra Corp........................................ 317,300 418,044 #Fujikura, Ltd.......................................... 1,656,000 4,607,975 #*Fujisash Co., Ltd...................................... 72,000 63,276 Fujitec Co., Ltd....................................... 323,000 1,935,605 #Fukuda Corp............................................ 575,000 2,182,878 Fukushima Industries Corp.............................. 29,700 522,397 #Fukuyama Transporting Co., Ltd......................... 629,400 3,303,851 Funai Consulting, Inc.................................. 101,600 668,207 *Furukawa Co., Ltd...................................... 1,407,000 1,252,037 #*Furukawa Electric Co., Ltd............................. 2,035,000 4,058,161 #Furusato Industries, Ltd............................... 50,600 443,863 Futaba Corp............................................ 154,300 1,821,536 Gecoss Corp............................................ 112,400 762,429 Glory, Ltd............................................. 246,600 5,985,033 Hamakyorex Co., Ltd.................................... 19,700 614,132 Hanwa Co., Ltd......................................... 883,000 3,086,635 #Hazama Corp............................................ 390,600 865,990 #Hibiya Engineering, Ltd................................ 125,900 1,420,732 Hisaka Works, Ltd...................................... 81,000 563,568 *Hitachi Cable, Ltd..................................... 823,000 1,081,538 Hitachi Koki Co., Ltd.................................. 233,100 1,671,996 Hitachi Metals Techno, Ltd............................. 56,500 344,395 Hitachi Tool Engineering, Ltd.......................... 94,000 879,594 Hitachi Zosen Corp..................................... 3,596,000 4,505,574 Hokuetsu Industries Co., Ltd........................... 85,000 181,233 Hokuriku Electrical Construction Co., Ltd.............. 56,000 160,824 Hoshizaki Electric Co., Ltd............................ 27,700 754,219 Hosokawa Micron Corp................................... 142,000 785,754 Howa Machinery, Ltd.................................... 524,000 492,957 Ichiken Co., Ltd....................................... 87,000 162,499 Ichinen Holdings Co., Ltd.............................. 74,800 453,952 Idec Corp.............................................. 137,300 1,078,124 #Iino Kaiun Kaisha, Ltd................................. 401,600 1,146,883 Inaba Denki Sangyo Co., Ltd............................ 87,400 2,385,844 Inaba Seisakusho Co., Ltd.............................. 58,800 722,645 Inabata & Co., Ltd..................................... 317,300 2,050,848 #*Inui Steamship Co., Ltd................................ 95,900 235,387 Iseki & Co., Ltd....................................... 765,000 1,755,106 Ishii Iron Works Co., Ltd.............................. 114,000 184,353 *Ishikawa Seisakusho, Ltd............................... 101,000 78,530 #Itoki Corp............................................. 174,200 1,083,689 #*Iwasaki Electric Co., Ltd.............................. 221,000 316,027 Iwatani Corp........................................... 887,000 3,476,470 Jalux, Inc............................................. 40,800 425,837 Jamco Corp............................................. 80,000 385,536 #Japan Airport Terminal Co., Ltd........................ 182,600 1,984,872 *Japan Bridge Corp...................................... 11,300 36,200 #Japan Foundation Engineering Co., Ltd.................. 162,500 599,391 Japan Pulp & Paper Co., Ltd............................ 464,000 1,383,167 Japan Transcity Corp................................... 231,000 790,131 JK Holdings Co., Ltd................................... 92,540 449,295 #JP-Holdings, Inc....................................... 43,700 544,056 #Juki Corp.............................................. 345,000 423,597 Kamei Corp............................................. 153,000 1,321,878 Kanaden Corp........................................... 116,000 675,719 Kanagawa Chuo Kotsu Co., Ltd........................... 192,000 1,130,004 31 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Industrials -- (Continued) #Kanamoto Co., Ltd...................................... 124,000 $1,513,324 Kandenko Co., Ltd...................................... 461,000 2,147,099 *Kanematsu Corp......................................... 2,078,625 2,451,964 #*Kanematsu-NNK Corp..................................... 125,000 205,251 *Katakura Industries Co., Ltd........................... 115,100 994,588 Kato Works Co., Ltd.................................... 287,000 792,377 KAWADA TECHNOLOGIES, Inc............................... 100,200 1,298,136 Kawasaki Kinkai Kisen Kaisha, Ltd...................... 99,000 234,365 #*Kawasaki Kisen Kaisha, Ltd............................. 4,568,000 5,790,221 Keihin Co., Ltd. (The)................................. 199,000 229,442 *KI Holdings Co., LTD................................... 92,000 117,588 Kimura Chemical Plants Co., Ltd........................ 74,900 236,512 King Jim Co., Ltd...................................... 19,300 155,325 Kinki Sharyo Co., Ltd.................................. 185,000 596,123 Kintetsu World Express, Inc............................ 79,000 2,225,082 #Kitagawa Iron Works Co., Ltd........................... 369,000 614,951 Kitano Construction Corp............................... 242,000 585,133 Kitazawa Sangyo Co., Ltd............................... 54,500 104,015 Kito Corp.............................................. 99 82,875 Kitz Corp.............................................. 443,300 1,872,180 Kodensha Co., Ltd. (The)............................... 14,000 26,892 Koike Sanso Kogyo Co., Ltd............................. 149,000 315,546 Kokusai Co., Ltd....................................... 5,500 42,001 Kokuyo Co., Ltd........................................ 372,325 2,892,829 KOMAIHALTEC, Inc....................................... 167,000 441,334 Komatsu Wall Industry Co., Ltd......................... 48,300 649,613 Komori Corp............................................ 407,800 2,135,987 Kondotec, Inc.......................................... 81,600 479,878 #*Kosaido Co., Ltd....................................... 356,100 1,248,449 #KRS Corp............................................... 37,200 438,177 *Kumagai Gumi Co., Ltd.................................. 626,800 565,721 Kuroda Electric Co., Ltd............................... 134,700 1,517,913 Kyodo Printing Co., Ltd................................ 540,000 1,211,082 *Kyokuto Boeki Kaisha, Ltd.............................. 58,000 87,293 Kyokuto Kaihatsu Kogyo Co., Ltd........................ 210,100 1,749,819 Kyoritsu Printing Co., Ltd............................. 5,400 19,133 Kyosan Electric Manufacturing Co., Ltd................. 225,000 732,975 Kyowa Exeo Corp........................................ 390,700 4,100,745 Kyudenko Corp.......................................... 204,000 923,191 *Lonseal Corp........................................... 116,000 114,900 Maeda Corp............................................. 845,000 3,737,980 Maeda Road Construction Co., Ltd....................... 291,000 3,653,982 Maezawa Industries, Inc................................ 35,700 83,309 Maezawa Kasei Industries Co., Ltd...................... 50,700 529,642 Maezawa Kyuso Industries Co., Ltd...................... 50,400 637,266 #Makino Milling Machine Co., Ltd........................ 481,000 2,261,527 Marubeni Construction Material Lease Co., Ltd.......... 75,000 111,874 Marufuji Sheet Piling Co., Ltd......................... 1,000 2,245 Maruka Machinery Co., Ltd.............................. 28,100 340,435 Maruwn Corp............................................ 59,400 139,289 Maruyama Manufacturing Co., Inc........................ 158,000 303,099 Maruzen Showa Unyu Co., Ltd............................ 306,000 893,055 Matsuda Sangyo Co., Ltd................................ 80,682 1,073,038 Matsui Construction Co., Ltd........................... 128,600 447,843 Max Co., Ltd........................................... 189,000 2,067,378 #Meidensha Corp......................................... 807,050 2,842,881 #Meiji Shipping Co., Ltd................................ 107,200 390,628 Meisei Industrial Co., Ltd............................. 44,000 139,015 Meitec Corp............................................ 144,000 3,170,488 *Meito Transportation Co., Ltd.......................... 22,000 163,135 #Meiwa Trading Co., Ltd................................. 140,000 555,686 32 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Industrials -- (Continued) Mesco, Inc............................................. 30,000 $ 228,643 #Minebea Co., Ltd....................................... 1,334,000 4,384,759 Mirait Holdings Corp................................... 281,685 2,282,739 Mitani Corp............................................ 53,700 584,173 Mitsubishi Kakoki Kaisha, Ltd.......................... 230,000 377,693 Mitsubishi Pencil Co., Ltd............................. 104,500 1,849,663 Mitsubishi Research Institute, Inc..................... 7,100 157,849 Mitsuboshi Belting Co., Ltd............................ 287,000 1,589,769 Mitsui Engineering & Shipbuilding Co., Ltd............. 2,593,000 3,118,696 *Mitsui Matsushima Co., Ltd............................. 601,000 851,273 Mitsui-Soko Co., Ltd................................... 492,000 1,504,572 Mitsumura Printing Co., Ltd............................ 93,000 278,503 #Miura Co., Ltd......................................... 137,600 3,144,655 Miyachi Corp........................................... 24,500 155,044 #*Miyaji Engineering Group, Inc.......................... 851,175 1,450,099 #Mori Seiki Co., Ltd.................................... 474,500 2,971,917 Morita Holdings Corp................................... 156,000 1,310,664 Moshi Moshi Hotline, Inc............................... 217,300 3,272,790 #NAC Co., Ltd........................................... 25,400 563,023 Nachi-Fujikoshi Corp................................... 785,000 2,440,547 Nagase & Co., Ltd...................................... 23,400 249,622 Nakano Corp............................................ 5,500 10,077 Namura Shipbuilding Co., Ltd........................... 14,500 43,230 Narasaki Sangyo Co., Ltd............................... 56,000 88,510 NEC Capital Solutions, Ltd............................. 45,100 633,180 #Nichias Corp........................................... 436,000 2,136,756 Nichiban Co., Ltd...................................... 122,000 382,317 *Nichiden Corp.......................................... 19,000 512,547 Nichiha Corp........................................... 107,480 1,153,871 Nichireki Co., Ltd..................................... 96,000 455,126 #Nihon M&A Center, Inc.................................. 51,900 1,559,975 Nihon Trim Co., Ltd.................................... 6,300 170,617 Nikko Co., Ltd......................................... 127,000 477,268 Nippo Corp............................................. 259,000 2,935,556 Nippon Carbon Co., Ltd................................. 533,000 909,005 Nippon Conveyor Co., Ltd............................... 194,000 172,589 Nippon Densetsu Kogyo Co., Ltd......................... 191,000 1,738,089 Nippon Denwa Shisetsu Co., Ltd......................... 203,000 617,627 Nippon Filcon Co., Ltd................................. 70,900 346,817 Nippon Hume Corp....................................... 112,000 568,437 Nippon Jogesuido Sekkei Co., Ltd....................... 295 414,056 #Nippon Kanzai Co., Ltd................................. 43,000 797,267 Nippon Koei Co., Ltd................................... 282,000 921,124 Nippon Konpo Unyu Soko Co., Ltd........................ 263,100 3,170,044 #Nippon Parking Development Co., Ltd.................... 7,133 386,845 Nippon Road Co., Ltd. (The)............................ 254,000 938,893 Nippon Seisen Co., Ltd................................. 103,000 366,450 #Nippon Sharyo, Ltd..................................... 324,000 1,177,854 #*Nippon Sheet Glass Co., Ltd............................ 4,441,000 3,678,326 #Nippon Signal Co., Ltd................................. 234,600 1,314,481 Nippon Steel Trading Co., Ltd.......................... 294,000 685,457 Nippon Thompson Co., Ltd............................... 297,000 1,027,572 Nippon Tungsten Co., Ltd............................... 80,000 121,213 Nippon Yusoki Co., Ltd................................. 138,000 370,259 Nishimatsu Construction Co., Ltd....................... 1,855,000 2,904,239 Nishio Rent All Co., Ltd............................... 15,900 189,064 *Nishishiba Electric Co., Ltd........................... 45,000 54,708 Nissei Corp............................................ 104,600 926,281 Nissei Plastic Industrial Co., Ltd..................... 337,000 1,276,409 #*Nissha Printing Co., Ltd............................... 139,400 1,064,993 Nisshinbo Holdings, Inc................................ 653,000 4,271,975 33 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Industrials -- (Continued) Nissin Corp............................................ 350,000 $ 868,108 #Nissin Electric Co., Ltd............................... 203,000 1,174,825 Nitchitsu Co., Ltd..................................... 58,000 120,009 Nitta Corp............................................. 107,400 1,652,052 Nitto Boseki Co., Ltd.................................. 905,000 2,975,346 Nitto Kogyo Corp....................................... 149,000 2,281,474 #Nitto Kohki Co., Ltd................................... 68,300 1,543,804 Nitto Seiko Co., Ltd................................... 122,000 319,273 #Nittoc Construction Co., Ltd........................... 113,000 406,671 #Nittoku Engineering Co., Ltd........................... 58,200 650,040 #Noda Corp.............................................. 169,300 722,822 Nomura Co., Ltd........................................ 205,000 741,287 Noritake Co., Ltd...................................... 531,000 1,238,394 Noritz Corp............................................ 132,900 2,183,371 *NS United Kaiun Kaisha, Ltd............................ 470,000 512,413 #*NTN Corp............................................... 2,301,000 4,128,033 Obara Corp............................................. 36,200 396,850 #Obayashi Road Corp..................................... 175,000 445,303 *Odelic Co., Ltd........................................ 1,400 28,537 Oiles Corp............................................. 123,842 2,327,402 *Okamoto Machine Tool Works, Ltd........................ 163,000 167,546 Okamura Corp........................................... 289,900 2,103,667 Okano Valve Manufacturing Co., Ltd..................... 42,000 107,747 Oki Electric Cable Co., Ltd............................ 90,000 132,013 *OKK Corp............................................... 288,000 328,319 OKUMA Corp............................................. 656,000 4,009,393 Okumura Corp........................................... 780,400 2,512,185 Onoken Co., Ltd........................................ 58,900 470,981 Organo Corp............................................ 174,000 1,027,681 OSG Corp............................................... 329,000 4,312,629 Oyo Corp............................................... 100,900 1,226,243 #P.S. Mitsubishi Construction Co., Ltd.................. 76,800 323,188 #Pasco Corp............................................. 74,000 211,247 Pasona Group, Inc...................................... 359 221,574 #Penta-Ocean Construction Co., Ltd...................... 1,411,500 3,394,298 Pilot Corp............................................. 774 1,392,572 Pronexus, Inc.......................................... 133,200 782,421 #Raito Kogyo Co., Ltd................................... 238,500 1,139,368 Rheon Automatic Machinery Co., Ltd..................... 64,000 142,025 Ryobi, Ltd............................................. 583,200 1,187,246 #Sakai Heavy Industries, Ltd............................ 190,000 521,712 Sakai Moving Service Co., Ltd.......................... 2,000 43,151 *Sakurada Co., Ltd...................................... 10,000 1,634 #*Sanix, Inc............................................. 126,100 369,585 Sanki Engineering Co., Ltd............................. 340,000 1,571,488 #Sanko Metal Industrial Co., Ltd........................ 122,000 301,259 Sankyo-Tateyama Holdings, Inc.......................... 1,710,000 3,706,721 Sankyu, Inc............................................ 1,251,000 4,358,022 Sanritsu Corp.......................................... 16,700 102,454 Sanwa Holdings Corp.................................... 1,039,000 4,153,730 Sanyo Denki Co., Ltd................................... 210,000 1,137,932 Sanyo Engineering & Construction, Inc.................. 48,000 151,291 Sanyo Industries, Ltd.................................. 77,000 144,759 Sasebo Heavy Industries Co., Ltd....................... 584,000 519,820 #*Sata Construction Co., Ltd............................. 128,000 88,012 Sato Holdings Corp..................................... 111,200 1,547,465 Sato Shoji Corp........................................ 65,300 392,312 Sawafuji Electric Co., Ltd............................. 30,000 73,320 Secom Joshinetsu Co., Ltd.............................. 33,900 880,882 Seibu Electric Industry Co., Ltd....................... 67,000 286,225 Seika Corp............................................. 285,000 742,542 34 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Industrials -- (Continued) #*Seikitokyu Kogyo Co., Ltd.............................. 542,000 $ 346,077 Seino Holdings Co., Ltd................................ 720,000 4,151,386 Sekisui Jushi Co., Ltd................................. 144,000 1,403,445 #Senko Co., Ltd......................................... 400,000 1,618,796 #Senshu Electric Co., Ltd............................... 37,300 436,746 Shibusawa Warehouse Co., Ltd........................... 231,000 669,343 Shibuya Kogyo Co., Ltd................................. 80,100 903,649 #Shima Seiki Manufacturing Co., Ltd..................... 123,700 1,574,239 Shin Nippon Air Technologies Co., Ltd.................. 88,780 486,161 Shin-Keisei Electric Railway Co., Ltd.................. 174,000 782,277 #Shinmaywa Industries, Ltd.............................. 440,000 2,387,528 Shinnihon Corp......................................... 194,800 453,688 Shinsho Corp........................................... 205,000 365,152 Shinwa Co., Ltd........................................ 7,100 79,025 SHO-BOND Holdings Co., Ltd............................. 101,600 3,072,690 Shoko Co., Ltd......................................... 323,000 493,757 Showa Aircraft Industry Co., Ltd....................... 112,000 550,522 #Sinfonia Technology Co., Ltd........................... 502,000 837,079 Sintokogio, Ltd........................................ 201,000 1,418,476 Soda Nikka Co., Ltd.................................... 67,000 286,223 Sodick Co., Ltd........................................ 217,900 827,854 Sohgo Security Services Co., Ltd....................... 269,300 3,784,416 Sotetsu Holdings, Inc.................................. 597,000 2,026,057 #Space Co., Ltd......................................... 73,420 660,856 Subaru Enterprise Co., Ltd............................. 59,000 183,191 Sugimoto & Co., Ltd.................................... 34,100 318,123 Sumikin Bussan Corp.................................... 228,000 557,247 #*Sumiseki Holdings, Inc................................. 133,200 116,661 Sumitomo Densetsu Co., Ltd............................. 98,100 884,935 #*Sumitomo Mitsui Construction Co., Ltd.................. 1,020,000 639,559 Sumitomo Precision Products Co., Ltd................... 156,000 660,623 Sumitomo Warehouse Co., Ltd............................ 608,000 2,543,728 Suzuki Metal Industry Co., Ltd......................... 1,000 1,316 SWCC Showa Holdings Co., Ltd........................... 1,732,000 1,236,592 Tadano, Ltd............................................ 509,579 3,759,339 Taihei Dengyo Kaisha, Ltd.............................. 158,000 1,021,179 Taihei Kogyo Co., Ltd.................................. 256,000 1,020,202 Taiheiyo Kouhatsu, Inc................................. 166,000 149,836 Taikisha, Ltd.......................................... 136,700 2,902,418 Takada Kiko Co., Ltd................................... 247,000 472,997 Takano Co., Ltd........................................ 51,100 253,111 #*Takaoka Toko Holdings Co., Ltd......................... 44,820 656,888 #Takara Printing Co., Ltd............................... 38,055 276,140 Takara Standard Co., Ltd............................... 501,000 3,759,850 Takasago Thermal Engineering Co., Ltd.................. 291,400 2,292,885 #Takashima & Co., Ltd................................... 211,000 708,728 *Takeuchi Manufacturing Co., Ltd........................ 10,600 93,853 Takigami Steel Construction Co., Ltd................... 50,000 133,307 Takisawa Machine Tool Co., Ltd......................... 244,000 290,519 Takuma Co., Ltd........................................ 365,000 1,857,675 #Tanseisha Co., Ltd..................................... 84,000 249,625 #Tatsuta Electric Wire & Cable Co., Ltd................. 237,000 2,357,613 TECHNO ASSOCIE Co., Ltd................................ 58,400 465,297 Techno Ryowa, Ltd...................................... 71,390 342,576 Teikoku Electric Manufacturing Co., Ltd................ 31,800 404,923 Teikoku Sen-I Co., Ltd................................. 97,000 727,242 Tekken Corp............................................ 763,000 974,984 #Temp Holdings Co., Ltd................................. 48,600 583,905 Teraoka Seisakusho Co., Ltd............................ 53,600 211,599 TOA Corp............................................... 784,000 1,120,746 #TOA ROAD Corp.......................................... 161,000 429,591 35 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Industrials -- (Continued) *Tobishima Corp....................................... 479,600 $ 444,738 Tocalo Co., Ltd...................................... 68,300 992,648 Toda Corp............................................ 1,019,000 3,076,754 Toenec Corp.......................................... 212,000 1,163,171 TOKAI Holdings Corp.................................. 229,700 935,026 Tokai Lease Co., Ltd................................. 98,000 205,078 Tokyo Energy & Systems, Inc.......................... 143,000 622,802 Tokyo Keiki, Inc..................................... 287,000 453,986 *Tokyo Kikai Seisakusho, Ltd.......................... 300,000 146,450 Tokyo Sangyo Co., Ltd................................ 78,000 248,170 Tokyu Community Corp................................. 32,900 1,180,355 Tokyu Construction Co., Ltd.......................... 191,490 350,110 Toli Corp............................................ 236,000 484,604 #Tomoe Corp........................................... 115,500 377,823 #Tomoe Engineering Co., Ltd........................... 20,800 350,978 Tonami Holdings Co., Ltd............................. 331,000 734,332 Toppan Forms Co., Ltd................................ 213,400 2,010,269 Torishima Pump Manufacturing Co., Ltd................ 90,400 631,765 Toshiba Machine Co., Ltd............................. 563,000 2,442,184 Toshiba Plant Systems & Services Corp................ 191,450 2,590,332 Tosho Printing Co., Ltd.............................. 243,000 380,838 Totetsu Kogyo Co., Ltd............................... 129,400 1,482,216 #Toyo Construction Co., Ltd........................... 287,300 875,819 Toyo Electric Manufacturing Co., Ltd................. 162,000 443,944 Toyo Engineering Corp................................ 581,400 2,406,470 Toyo Machinery & Metal Co., Ltd...................... 42,400 97,241 #Toyo Tanso Co., Ltd.................................. 51,600 978,922 #Toyo Wharf & Warehouse Co., Ltd...................... 274,000 433,398 #Trancom Co., Ltd..................................... 19,400 366,993 Trinity Industrial Corp.............................. 56,000 177,238 Trusco Nakayama Corp................................. 98,900 1,783,049 Tsubakimoto Chain Co., Ltd........................... 620,700 3,040,807 Tsubakimoto Kogyo Co., Ltd........................... 97,000 280,878 #*Tsudakoma Corp....................................... 211,000 269,562 #Tsugami Corp......................................... 333,000 2,077,456 Tsukishima Kikai Co., Ltd............................ 127,000 1,074,552 Tsurumi Manufacturing Co., Ltd....................... 94,000 706,492 TTK Co., Ltd......................................... 62,000 279,563 Uchida Yoko Co., Ltd................................. 331,000 899,901 #Ueki Corp............................................ 406,000 793,841 #Union Tool Co., Ltd.................................. 59,700 903,957 Utoc Corp............................................ 92,900 271,131 #*Wakachiku Construction Co., Ltd...................... 1,204,000 1,071,306 *Wakita & Co., Ltd.................................... 47,000 331,552 #Weathernews, Inc..................................... 33,000 1,093,380 Yahagi Construction Co., Ltd......................... 141,500 602,777 Yamabiko Corp........................................ 28,882 371,919 Yamato Corp.......................................... 82,000 274,284 Yamaura Corp......................................... 34,500 96,059 Yamazen Co., Ltd..................................... 305,500 1,883,270 Yasuda Warehouse Co., Ltd. (The)..................... 95,800 629,270 Yokogawa Bridge Holdings Corp........................ 140,400 1,021,730 Yondenko Corp........................................ 132,800 481,098 Yuasa Trading Co., Ltd............................... 894,000 1,479,770 Yuken Kogyo Co., Ltd................................. 157,000 269,600 Yurtec Corp.......................................... 256,000 857,500 Yusen Logistics Co., Ltd............................. 85,400 723,361 #Yushin Precision Equipment Co., Ltd.................. 53,034 930,157 ------------ Total Industrials....................................... 440,161,049 ------------ 36 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ---------- Information Technology -- (9.6%) *1st Holdings, Inc........................................ 20,700 $ 133,169 A&D Co., Ltd............................................. 44,300 142,632 Ai Holdings Corp......................................... 251,400 1,600,438 Aichi Tokei Denki Co., Ltd............................... 113,000 386,863 Aiphone Co., Ltd......................................... 71,400 1,237,393 Allied Telesis Holdings K.K.............................. 470,700 419,039 Alpha Systems, Inc....................................... 32,760 386,887 #Alps Electric Co., Ltd................................... 808,000 4,776,946 Amano Corp............................................... 281,000 2,306,092 #Anritsu Corp............................................. 392,000 4,931,192 AOI Electronic Co., Ltd.................................. 35,200 519,822 Argo Graphics, Inc....................................... 5,100 66,236 Arisawa Manufacturing Co., Ltd........................... 138,600 329,745 Asahi Net, Inc........................................... 63,000 305,220 Axell Corp............................................... 33,500 822,271 *Bit-isle, Inc............................................ 57,800 537,368 CAC Corp................................................. 63,500 534,688 Canon Electronics, Inc................................... 102,600 2,162,191 #Capcom Co., Ltd.......................................... 74,900 1,428,479 Chino Corp............................................... 151,000 370,954 CMK Corp................................................. 263,200 858,966 Computer Engineering & Consulting, Ltd................... 61,500 353,100 Core Corp................................................ 45,700 418,300 Cresco, Ltd.............................................. 23,200 152,186 Cybernet Systems Co., Ltd................................ 85 23,388 #Cybozu, Inc.............................................. 1,347 428,384 *DA Consortium, Inc....................................... 9 2,699 *Dai-ichi Seiko Co., Ltd.................................. 40,400 552,524 Daishinku Corp........................................... 97,000 275,018 Daito Electron Co., Ltd.................................. 5,900 24,417 Daiwabo Holdings Co., Ltd................................ 971,000 1,799,248 #Denki Kogyo Co., Ltd..................................... 319,000 1,467,489 #*Digital Garage, Inc...................................... 783 1,510,044 DKK TOA Corp............................................. 31,000 108,638 DTS Corp................................................. 101,400 1,400,783 Dwango Co., Ltd.......................................... 308 509,427 Eizo Nanao Corp.......................................... 81,900 1,284,895 Elecom Co., Ltd.......................................... 16,700 264,818 #Elematec Corp............................................ 20,271 259,352 EM Systems Co., Ltd...................................... 8,400 190,643 #Enplas Corp.............................................. 42,400 1,514,655 ESPEC Corp............................................... 96,800 775,676 Excel Co., Ltd........................................... 12,800 107,578 *F@N Communications, Inc.................................. 76 150,907 Faith, Inc............................................... 1,942 204,912 #*FDK Corp................................................. 355,000 284,588 *Ferrotec Corp............................................ 131,700 518,378 Fuji Electronics Co., Ltd................................ 28,600 383,227 #Fuji Soft, Inc........................................... 100,600 2,135,786 Fujitsu Frontech, Ltd.................................... 77,500 411,369 Furuno Electric Co., Ltd................................. 10,000 38,843 Furuya Metal Co., Ltd.................................... 1,800 48,870 Future Architect, Inc.................................... 1,172 453,479 #GMO Internet, Inc........................................ 321,000 2,246,764 GMO Payment Gateway, Inc................................. 8,100 131,116 #*GungHo Online Entertainment, Inc......................... 185 907,653 Gurunavi, Inc............................................ 25,800 286,015 Hakuto Co., Ltd.......................................... 73,700 671,410 Hioki EE Corp............................................ 28,200 481,313 Hitachi Kokusai Electric, Inc............................ 249,500 1,692,719 Hochiki Corp............................................. 97,000 491,329 37 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ---------- Information Technology -- (Continued) #Hokuriku Electric Industry Co., Ltd...................... 330,000 $ 360,028 Horiba, Ltd.............................................. 179,850 4,907,305 Hosiden Corp............................................. 275,600 1,494,641 Icom, Inc................................................ 49,700 1,038,833 *Ikegami Tsushinki Co., Ltd............................... 174,000 102,493 Ines Corp................................................ 202,300 1,290,780 I-Net Corp............................................... 47,800 341,980 *Infocom Corp............................................. 76 94,856 Information Services International-Dentsu, Ltd........... 76,700 668,694 Innotech Corp............................................ 61,800 258,037 Internet Initiative Japan, Inc........................... 102,200 2,670,395 *Iriso Electronics Co., Ltd............................... 13,900 192,702 IT Holdings Corp......................................... 376,801 4,696,096 ITC Networks Corp........................................ 85,900 688,386 ITFOR, Inc............................................... 34,300 122,871 *Iwatsu Electric Co., Ltd................................. 354,000 248,385 Japan Aviation Electronics Industry, Ltd................. 252,600 2,013,882 #Japan Cash Machine Co., Ltd.............................. 79,315 676,078 Japan Digital Laboratory Co., Ltd........................ 109,700 1,143,185 #*Japan Radio Co., Ltd..................................... 230,000 527,726 #Jastec Co., Ltd.......................................... 61,400 422,226 JBCC Holdings, Inc....................................... 75,900 525,368 JFE Systems, Inc......................................... 163 145,521 JIEC Co., Ltd............................................ 156 184,695 *Justsystems Corp......................................... 28,600 76,381 Kaga Electronics Co., Ltd................................ 103,300 941,125 Kanematsu Electronics, Ltd............................... 83,100 923,413 Koa Corp................................................. 157,400 1,230,981 Kyoden Co., Ltd.......................................... 156,900 232,426 #Kyoei Sangyo Co., Ltd.................................... 97,000 159,118 Kyowa Electronic Instruments Co., Ltd.................... 56,000 173,660 Lasertec Corp............................................ 41,000 745,508 Macnica, Inc............................................. 50,100 987,116 #Macromill, Inc........................................... 105,800 1,293,985 Marubun Corp............................................. 98,500 410,718 #Maruwa Co., Ltd.......................................... 45,400 1,337,270 *Marvelous AQL, Inc....................................... 1,031 336,169 #Megachips Corp........................................... 99,400 2,220,758 #Meiko Electronics Co., Ltd............................... 31,700 245,683 Meisei Electric Co., Ltd................................. 307,000 257,676 #Melco Holdings, Inc...................................... 62,700 1,308,708 *Micronics Japan Co., Ltd................................. 8,000 29,091 Mimasu Semiconductor Industry Co., Ltd................... 86,881 682,900 *Miraial Co., Ltd......................................... 7,400 141,049 Miroku Jyoho Service Co., Ltd............................ 105,000 450,096 *Mitsui High-Tec, Inc..................................... 131,600 978,336 Mitsui Knowledge Industry Co., Ltd....................... 3,643 594,728 *Mitsumi Electric Co., Ltd................................ 424,500 2,043,200 MTI, Ltd................................................. 383 369,374 #Mutoh Holdings Co., Ltd.................................. 160,000 350,925 *Nagano Japan Radio Co., Ltd.............................. 44,000 56,191 Nagano Keiki Co., Ltd.................................... 5,300 46,867 Nakayo Telecommunications, Inc........................... 485,000 1,603,711 NEC Fielding, Ltd........................................ 95,000 1,115,363 NEC Networks & System Integration Corp................... 109,600 2,002,215 Net One Systems Co., Ltd................................. 434,500 4,836,269 *New Japan Radio Co., Ltd................................. 2,000 3,713 Nichicon Corp............................................ 270,300 1,840,139 Nidec Copal Electronics Corp............................. 56,800 290,291 Nifty Corp............................................... 324 503,493 #Nihon Dempa Kogyo Co., Ltd............................... 83,400 905,328 38 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Information Technology -- (Continued) Nihon Unisys, Ltd...................................... 251,575 $1,829,210 #Nippon Ceramic Co., Ltd................................ 88,600 1,186,323 #*Nippon Chemi-Con Corp.................................. 655,000 952,682 Nippon Kodoshi Corp.................................... 2,300 20,723 Nippon Systemware Co., Ltd............................. 27,900 110,779 Nohmi Bosai, Ltd....................................... 123,000 778,717 NS Solutions Corp...................................... 79,400 1,607,145 NSD Co., Ltd........................................... 183,000 1,751,916 #*Nuflare Technology, Inc................................ 117 890,443 Obic Business Consultants Co., Ltd..................... 23,550 1,244,257 Ohara, Inc............................................. 14,300 108,929 Okaya Electric Industries Co., Ltd..................... 73,000 288,940 #*Oki Electric Industry Co., Ltd......................... 3,198,000 3,212,793 ONO Sokki Co., Ltd..................................... 103,000 453,548 #Optex Co., Ltd......................................... 38,200 409,230 Origin Electric Co., Ltd............................... 141,000 547,185 Osaki Electric Co., Ltd................................ 152,000 815,227 Panasonic Industrial Devices SUNX Co., Ltd............. 110,800 446,962 Panasonic Information Systems Co., Ltd................. 13,600 326,111 PCA Corp............................................... 17,500 218,725 #*Renesas Electronics Corp............................... 153,200 567,395 Riken Keiki Co., Ltd................................... 78,500 487,814 Riso Kagaku Corp....................................... 71,100 1,153,566 Roland DG Corp......................................... 54,400 587,279 Ryoden Trading Co., Ltd................................ 147,000 832,478 Ryosan Co., Ltd........................................ 158,500 2,675,469 Ryoyo Electro Corp..................................... 113,200 1,131,124 #Sanken Electric Co., Ltd............................... 531,000 1,658,727 Sanko Co., Ltd......................................... 9,000 24,819 Sanshin Electronics Co., Ltd........................... 139,500 1,048,127 Satori Electric Co., Ltd............................... 79,080 428,223 Saxa Holdings, Inc..................................... 307,000 503,574 SCSK Corp.............................................. 145,263 2,473,606 #Seiko Epson Corp....................................... 663,300 3,688,714 *Shibaura Electronics Co., Ltd.......................... 5,700 65,238 #*Shibaura Mechatronics Corp............................. 147,000 244,915 #Shindengen Electric Manufacturing Co., Ltd............. 346,000 802,771 Shinkawa, Ltd.......................................... 68,300 292,131 Shinko Electric Industries Co., Ltd.................... 342,500 2,132,507 Shinko Shoji Co., Ltd.................................. 89,900 777,886 Shizuki Electric Co., Inc.............................. 103,000 361,274 #Siix Corp.............................................. 83,900 1,236,936 Simplex Holdings, Inc.................................. 1,569 477,712 #SMK Corp............................................... 294,000 737,234 Softbank Technology Corp............................... 500 4,961 Soshin Electric Co., Ltd............................... 4,600 17,104 SRA Holdings, Inc...................................... 49,700 541,749 Star Micronics Co., Ltd................................ 196,400 1,838,473 Sumida Corp............................................ 53,049 248,564 Sun-Wa Technos Corp.................................... 12,600 92,615 Systena Corp........................................... 1,117 963,662 Tachibana Eletech Co., Ltd............................. 62,400 506,611 #Taiyo Yuden Co., Ltd................................... 499,400 4,236,718 Tamura Corp............................................ 344,000 753,970 #*Teac Corp.............................................. 351,000 114,277 Tecmo Koei Holdings Co., Ltd........................... 150,730 1,233,800 Teikoku Tsushin Kogyo Co., Ltd......................... 176,000 290,921 *Thine Electronics, Inc................................. 33 27,284 TKC Corp............................................... 86,800 1,694,256 #*Toko, Inc.............................................. 232,000 532,047 #Tokyo Electron Device, Ltd............................. 342 577,329 39 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ------------ Information Technology -- (Continued) Tokyo Seimitsu Co., Ltd............................... 183,100 $ 2,766,587 Tomen Devices Corp.................................... 2,400 51,683 Tomen Electronics Corp................................ 52,600 667,415 #Topcon Corp........................................... 198,200 940,354 Tose Co., Ltd......................................... 22,100 138,329 Toshiba TEC Corp...................................... 631,000 2,948,840 #Toukei Computer Co., Ltd.............................. 26,810 378,958 #Towa Corp............................................. 95,200 534,717 Toyo Corp............................................. 139,400 1,593,786 Transcosmos, Inc...................................... 122,300 1,362,218 UKC Holdings Corp..................................... 24,600 459,182 #*Ulvac, Inc............................................ 211,000 1,335,832 Uniden Corp........................................... 377,000 880,189 *UT Holdings Co., Ltd.................................. 113 60,976 #V Technology Co., Ltd................................. 195 348,570 Wacom Co., Ltd........................................ 1,731 5,027,984 *Wellnet Corp.......................................... 10,700 90,873 Y.A.C. Co., Ltd....................................... 37,700 228,073 *Yamaichi Electronics Co., Ltd......................... 75,700 122,575 *Yashima Denki Co., Ltd................................ 100 426 Yokowo Co., Ltd....................................... 69,500 336,481 *Zappallas, Inc........................................ 374 333,718 Zuken, Inc............................................ 94,600 592,908 ------------ Total Information Technology............................. 182,222,047 ------------ Materials -- (9.6%) Achilles Corp......................................... 703,000 907,159 Adeka Corp............................................ 389,900 2,940,581 Agro-Kanesho Co., Ltd................................. 14,000 75,192 Aichi Steel Corp...................................... 484,000 1,802,354 Alconix Corp.......................................... 16,600 272,359 Arakawa Chemical Industries, Ltd...................... 67,700 527,203 Araya Industrial Co., Ltd............................. 276,000 370,009 #Asahi Holdings, Inc................................... 115,950 1,955,572 Asahi Organic Chemicals Industry Co., Ltd............. 343,000 812,337 #Asahi Printing Co., Ltd............................... 800 21,268 *C Uyemura & Co., Ltd.................................. 2,700 88,917 Chuetsu Pulp & Paper Co., Ltd......................... 568,000 967,938 #*Chugai Mining Co., Ltd................................ 852,400 149,713 Chugoku Marine Paints, Ltd............................ 287,000 1,416,891 *Chugokukogyo Co., Ltd................................. 62,000 62,230 Chuo Denki Kogyo Co., Ltd............................. 90,000 304,539 #*Co-Op Chemical Co., Ltd............................... 159,000 178,959 Dai Nippon Toryo, Ltd................................. 533,000 561,676 #Daiichi Kigenso Kagaku-Kyogyo Co., Ltd................ 14,300 210,345 Daiichi Kogyo Seiyaku Co., Ltd........................ 146,000 355,096 Daiken Corp........................................... 401,000 884,647 Daiki Aluminium Industry Co., Ltd..................... 66,000 170,421 Dainichiseika Colour & Chemicals Manufacturing Co., Ltd........................................... 319,000 1,338,760 #Daio Paper Corp....................................... 411,500 2,273,096 Daiso Co., Ltd........................................ 355,000 983,567 DC Co., Ltd........................................... 113,900 334,442 Dynapac Co., Ltd...................................... 25,000 68,932 Earth Chemical Co., Ltd............................... 50,100 1,860,283 FP Corp............................................... 61,200 4,600,656 Fuji Seal International, Inc.......................... 88,400 1,883,257 Fujikura Kasei Co., Ltd............................... 96,500 408,054 Fujimi, Inc........................................... 59,700 1,165,821 Fujimori Kogyo Co., Ltd............................... 26,000 615,968 Fumakilla, Ltd........................................ 85,000 289,240 #Furukawa-Sky Aluminum Corp............................ 409,000 959,237 40 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Materials -- (Continued) Geostar Corp........................................... 14,000 $ 24,587 Godo Steel, Ltd........................................ 899,000 1,340,483 Gun Ei Chemical Industry Co., Ltd...................... 347,000 843,169 Harima Chemicals, Inc.................................. 73,300 336,751 #Hodogaya Chemical Co., Ltd............................. 265,000 494,777 Hokkan Holdings, Ltd................................... 283,000 797,872 Hokko Chemical Industry Co., Ltd....................... 90,000 247,043 #Hokuetsu Kishu Paper Co., Ltd.......................... 862,199 4,417,725 #*Hokushin Co., Ltd...................................... 61,400 137,087 Honshu Chemical Industry Co., Ltd...................... 32,000 159,362 Ihara Chemical Industry Co., Ltd....................... 161,000 761,542 Ise Chemical Corp...................................... 83,000 521,528 #*Ishihara Sangyo Kaisha, Ltd............................ 1,503,500 1,167,836 Ishizuka Glass Co., Ltd................................ 109,000 181,416 Japan Carlit Co., Ltd.................................. 59,800 300,383 Japan Pure Chemical Co., Ltd........................... 59 133,045 JCU Corp............................................... 5,600 194,768 JSP Corp............................................... 103,900 1,344,626 #Kanto Denka Kogyo Co., Ltd............................. 203,000 320,870 Katakura Chikkarin Co., Ltd............................ 43,000 99,278 Kawakin Holdings Co., Ltd.............................. 11,000 39,698 Kawasaki Kasei Chemicals, Ltd.......................... 121,000 136,577 Koatsu Gas Kogyo Co., Ltd.............................. 163,493 850,738 *KOGI Corp.............................................. 30,000 52,558 Kohsoku Corp........................................... 61,900 531,349 Konishi Co., Ltd....................................... 66,900 1,002,749 #*Kumiai Chemical Industry Co., Ltd...................... 242,000 1,097,098 Kureha Corp............................................ 594,500 2,312,052 #Kurimoto, Ltd.......................................... 702,000 2,146,613 Kurosaki Harima Corp................................... 221,000 509,946 #Kyoei Steel, Ltd....................................... 76,600 1,194,512 Kyowa Leather Cloth Co., Ltd........................... 71,700 234,553 Lintec Corp............................................ 218,400 3,777,789 MEC Co., Ltd........................................... 63,300 177,674 *Mitsubishi Paper Mills, Ltd............................ 1,159,000 987,025 Mitsubishi Steel Manufacturing Co., Ltd................ 593,000 1,011,894 *Mitsui Mining & Smelting Co., Ltd...................... 2,683,000 5,679,528 Mory Industries, Inc................................... 154,000 426,460 Nakabayashi Co., Ltd................................... 181,000 382,990 #*Nakayama Steel Works, Ltd.............................. 639,000 312,232 Neturen Co., Ltd....................................... 152,800 932,628 #*New Japan Chemical Co., Ltd............................ 115,700 393,619 Nichia Steel Works, Ltd................................ 175,900 405,623 Nihon Kagaku Sangyo Co., Ltd........................... 78,000 485,407 Nihon Nohyaku Co., Ltd................................. 230,000 1,020,190 Nihon Parkerizing Co., Ltd............................. 240,000 3,622,056 Nihon Yamamura Glass Co., Ltd.......................... 490,000 1,019,044 #Nippon Carbide Industries Co., Inc..................... 270,000 671,150 *Nippon Chemical Industrial Co., Ltd.................... 297,000 368,736 Nippon Chutetsukan K.K................................. 50,000 111,098 Nippon Chuzo K.K....................................... 111,000 118,358 Nippon Coke & Engineering Co., Ltd..................... 1,032,500 1,216,653 #Nippon Concrete Industries Co., Ltd.................... 180,000 558,950 Nippon Denko Co., Ltd.................................. 444,000 1,039,843 Nippon Fine Chemical Co., Ltd.......................... 85,600 566,456 #Nippon Kasei Chemical Co., Ltd......................... 309,000 387,347 #*Nippon Kinzoku Co., Ltd................................ 222,000 292,293 Nippon Koshuha Steel Co., Ltd.......................... 376,000 344,285 *Nippon Light Metal Holdings Co., Ltd................... 2,388,000 2,155,822 #Nippon Paper Group, Inc................................ 139,700 1,597,673 Nippon Pigment Co., Ltd................................ 9,000 19,158 41 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Materials -- (Continued) Nippon Pillar Packing Co., Ltd........................ 83,000 $ 518,203 Nippon Soda Co., Ltd.................................. 655,000 2,847,172 Nippon Synthetic Chemical Industry Co., Ltd. (The).... 256,000 1,680,416 Nippon Valqua Industries, Ltd......................... 340,000 912,129 #*Nippon Yakin Kogyo Co., Ltd........................... 618,500 550,785 #*Nisshin Steel Holdings Co., Ltd....................... 318,892 2,113,164 Nittetsu Mining Co., Ltd.............................. 375,000 1,508,470 Nitto FC Co., Ltd..................................... 72,000 454,209 NOF Corp.............................................. 728,000 3,475,952 Okabe Co., Ltd........................................ 190,900 1,203,656 Okamoto Industries, Inc............................... 400,000 1,557,684 Okura Industrial Co., Ltd............................. 305,000 829,905 #Osaka Organic Chemical Industry, Ltd.................. 66,000 296,522 Osaka Steel Co., Ltd.................................. 77,700 1,286,223 #Osaka Titanium Technologies Co., Ltd.................. 89,600 1,774,132 #Pacific Metals Co., Ltd............................... 735,000 2,498,511 Pack Corp. (The)...................................... 66,300 1,178,483 #*Rasa Industries, Ltd.................................. 370,000 329,434 Rengo Co., Ltd........................................ 915,000 3,999,241 Riken Technos Corp.................................... 197,000 496,681 *S Science Co., Ltd.................................... 2,704,000 67,744 Sakai Chemical Industry Co., Ltd...................... 410,000 1,104,027 Sakata INX Corp....................................... 196,000 968,977 Sanyo Chemical Industries, Ltd........................ 305,000 1,720,944 Sanyo Special Steel Co., Ltd.......................... 522,300 1,557,334 Sekisui Plastics Co., Ltd............................. 209,000 474,314 Shikoku Chemicals Corp................................ 184,000 998,929 Shinagawa Refractories Co., Ltd....................... 224,000 438,151 Shin-Etsu Polymer Co., Ltd............................ 224,100 747,195 Shinko Wire Co., Ltd.................................. 184,000 283,737 Somar Corp............................................ 42,000 86,781 Stella Chemifa Corp................................... 45,900 862,368 #Sumitomo Bakelite Co., Ltd............................ 922,000 3,290,841 #Sumitomo Light Metal Industries, Ltd.................. 2,296,000 1,869,545 Sumitomo Osaka Cement Co., Ltd........................ 1,848,000 6,016,617 Sumitomo Pipe & Tube Co., Ltd......................... 108,100 757,389 Sumitomo Seika Chemicals Co., Ltd..................... 223,000 779,795 T&K Toka Co., Ltd..................................... 2,000 24,937 T. Hasegawa Co., Ltd.................................. 121,300 1,535,812 Taisei Lamick Co., Ltd................................ 21,300 625,479 Taiyo Holdings Co., Ltd............................... 74,400 2,093,404 Takasago International Corp........................... 356,000 1,812,952 Takiron Co., Ltd...................................... 304,000 1,085,218 *Tanaka Chemical Corp.................................. 1,100 4,442 Tayca Corp............................................ 151,000 426,148 Tenma Corp............................................ 87,000 863,332 #Titan Kogyo K.K....................................... 111,000 303,089 Toagosei Co., Ltd..................................... 1,096,000 4,468,291 #Toda Kogyo Corp....................................... 161,000 478,008 #Toho Titanium Co., Ltd................................ 85,300 758,545 Toho Zinc Co., Ltd.................................... 624,000 2,119,639 Tokai Carbon Co., Ltd................................. 1,004,000 3,225,506 Tokushu Tokai Paper Co., Ltd.......................... 501,580 1,237,154 #Tokuyama Corp......................................... 1,639,000 3,144,841 Tokyo Ohka Kogyo Co., Ltd............................. 180,800 3,686,263 #Tokyo Rope Manufacturing Co., Ltd..................... 581,000 641,365 Tokyo Steel Manufacturing Co., Ltd.................... 555,700 1,785,364 Tokyo Tekko Co., Ltd.................................. 94,000 324,000 TOMOEGAWA CO., LTD.................................... 125,000 223,957 Tomoku Co., Ltd....................................... 294,000 805,953 #Topy Industries, Ltd.................................. 848,000 1,647,131 42 THE JAPANESE SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ----------- -------------- Materials -- (Continued) #Tosoh Corp....................................... 2,242,000 $ 4,388,986 Toyo Ink SC Holdings Co., Ltd.................... 867,000 3,194,599 Toyo Kohan Co., Ltd.............................. 247,000 616,363 TYK Corp......................................... 138,000 262,871 Ube Material Industries, Ltd..................... 226,000 616,790 Wood One Co., Ltd................................ 169,000 476,242 Yodogawa Steel Works, Ltd........................ 786,500 2,532,949 *Yuki Gosei Kogyo Co., Ltd........................ 64,000 173,244 Yushiro Chemical Industry Co., Ltd............... 47,100 451,734 -------------- Total Materials..................................... 183,401,559 -------------- Telecommunication Services -- (0.3%) #eAccess, Ltd..................................... 10,102 5,098,126 *Japan Communications, Inc........................ 767 49,073 Okinawa Cellular Telephone Co.................... 3,300 68,735 -------------- Total Telecommunication Services.................... 5,215,934 -------------- Utilities -- (0.4%) #Hokkaido Gas Co., Ltd............................ 210,000 594,596 Hokuriku Gas Co., Ltd............................ 99,000 254,186 Okinawa Electric Power Co., Ltd.................. 70,571 2,161,361 Saibu Gas Co., Ltd............................... 1,406,000 3,699,081 Shizuoka Gas Co., Ltd............................ 249,500 1,776,243 -------------- Total Utilities..................................... 8,485,467 -------------- TOTAL COMMON STOCKS................................. 1,671,206,423 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (12.0%) (S)@DFA Short Term Investment Fund.................. 19,446,845 225,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $4,044,497) to be repurchased at $3,965,232.... $ 3,965 3,965,193 -------------- TOTAL SECURITIES LENDING COLLATERAL................. 228,965,193 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,096,684,195)............................. $1,900,171,616 ============== 43 THE ASIA PACIFIC SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ --------- ----------- COMMON STOCKS -- (83.0%) AUSTRALIA -- (47.4%) *AAT Corp., Ltd........................................ 9,992 $ -- *ABM Resources NL...................................... 4,447,721 239,793 #*Acer Energy, Ltd...................................... 229,729 68,252 Acrux, Ltd............................................ 703,625 2,363,956 #Adelaide Brighton, Ltd................................ 1,885,757 6,199,102 #Aditya Birla Minerals, Ltd............................ 878,000 418,219 *AED Oil, Ltd.......................................... 363,401 -- #*Ainsworth Game Technology, Ltd........................ 361,760 893,570 *AJ Lucas Group, Ltd................................... 317,969 263,762 *Alchemia, Ltd......................................... 724,903 407,801 *Alcyone Resources, Ltd................................ 4,043,277 205,481 #*Alkane Resources, Ltd................................. 1,255,636 1,104,448 *Alliance Resources, Ltd............................... 444,483 112,728 *Altona Mining, Ltd.................................... 1,108,169 309,930 #Alumina, Ltd.......................................... 79,006 78,866 *Amadeus Energy, Ltd................................... 819,137 165,959 Amalgamated Holdings, Ltd............................. 462,896 3,266,040 #Amcom Telecommunications, Ltd......................... 556,812 738,767 *Ampella Mining, Ltd................................... 108,829 54,146 Ansell, Ltd........................................... 503,479 8,157,816 #*Antares Energy, Ltd................................... 937,175 504,742 AP Eagers, Ltd........................................ 225,085 888,258 #APN News & Media, Ltd................................. 2,209,800 846,930 #*Aquarius Platinum, Ltd................................ 1,550,854 920,168 #*Aquila Resources, Ltd................................. 171,615 477,707 #*Arafura Resources, Ltd................................ 1,093,749 226,701 ARB Corp., Ltd........................................ 347,600 3,703,932 #Aristocrat Leisure, Ltd............................... 2,580,305 7,542,048 Arrium, Ltd........................................... 6,037,433 4,903,780 #ASG Group, Ltd. (6207214)............................. 514,931 336,307 *ASG Group, Ltd. (B844JF1)............................. 737 482 *Aspire Mining, Ltd.................................... 636,763 55,907 *Astron Corp., Ltd..................................... 33,786 42,756 #*Atlantic, Ltd......................................... 238,482 74,328 *Atlas Iron, Ltd....................................... 1,147,150 1,821,748 #*Aurora Oil & Gas, Ltd................................. 1,114,903 4,512,172 Ausdrill, Ltd......................................... 1,466,628 4,328,026 Ausenco, Ltd.......................................... 343,044 1,122,532 #*Ausgold, Ltd.......................................... 52,096 8,633 #*Austal, Ltd........................................... 581,980 739,810 Austbrokers Holdings, Ltd............................. 103,298 836,289 Austin Engineering, Ltd............................... 188,444 845,989 *Austpac Resources NL.................................. 2,524,951 94,315 *Australian Agricultural Co., Ltd...................... 923,263 1,245,148 Australian Infrastructure Fund NL..................... 3,606,473 11,122,393 Australian Pharmaceutical Industries, Ltd............. 2,452,401 1,196,525 Automotive Holdings Group, Ltd........................ 586,489 1,940,569 #*Avanco Resources, Ltd................................. 2,010,636 260,300 *Avita Medical, Ltd.................................... 58,058 7,853 #AVJennings, Ltd....................................... 5,185,036 1,751,655 AWE, Ltd.............................................. 2,111,897 2,909,476 #*Azimuth Resources, Ltd................................ 334,414 128,439 #*Azumah Resources, Ltd................................. 737,953 95,582 *Ballarat South Gold, Ltd.............................. 1,996 -- #*Bandanna Energy, Ltd.................................. 622,869 219,008 Bank of Queensland, Ltd............................... 94,112 739,052 #*Bannerman Resources, Ltd.............................. 332,217 28,908 #*Bathurst Resources, Ltd............................... 767,231 345,280 44 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- AUSTRALIA -- (Continued) #BC Iron, Ltd.......................................... 258,613 $ 743,423 #Beach Energy, Ltd..................................... 5,525,248 7,891,340 #*Beadell Resources, Ltd................................ 1,500,515 1,514,583 *Berkeley Resources, Ltd............................... 434,006 211,499 Beyond International, Ltd............................. 61,256 76,305 #Billabong International, Ltd.......................... 1,600,753 1,466,159 *Bionomics, Ltd........................................ 345,313 112,973 #*Biota Holdings, Ltd................................... 1,027,571 634,672 *Bisalloy Steel Group, Ltd............................. 93,800 132,427 #Blackmores, Ltd....................................... 79,054 2,435,634 #*Blackthorn Resources, Ltd............................. 123,339 155,075 *BlueScope Steel, Ltd.................................. 13,572,369 6,673,452 Boart Longyear, Ltd................................... 2,638,658 3,985,039 *Boom Logistics, Ltd................................... 763,163 245,353 *Boulder Steel, Ltd.................................... 1,285,101 42,106 #Bradken, Ltd.......................................... 1,022,589 5,234,406 #Breville Group, Ltd................................... 598,466 3,715,325 Brickworks, Ltd....................................... 132,797 1,533,558 BSA, Ltd.............................................. 666,656 124,342 #BT Investment Management, Ltd......................... 193,869 446,791 *Buccaneer Energy, Ltd................................. 3,660,894 227,966 *Buru Energy, Ltd. (B3CCKH1)........................... 373,526 1,074,150 *Buru Energy, Ltd. (B83VSV2)........................... 32,251 93,070 #Cabcharge Australia, Ltd.............................. 562,463 3,450,894 *Calliden Group, Ltd................................... 389,687 65,906 #*Cape Lambert Resources, Ltd........................... 373,413 98,744 *Capral, Ltd........................................... 58,499 12,423 Cardno, Ltd........................................... 505,707 4,215,933 #*Carnarvon Petroleum, Ltd.............................. 4,479,867 375,570 *Carnegie Wave Energy, Ltd............................. 263,165 10,917 #carsales.com, Ltd..................................... 1,220,399 9,444,501 #Cash Converters International, Ltd.................... 1,192,545 1,095,093 *CDS Technologies, Ltd................................. 13,276 -- Cedar Woods Properties, Ltd........................... 136,814 602,270 *Centaurus Metals, Ltd................................. 143,557 49,976 #*Central Petroleum, Ltd................................ 1,759,865 355,947 *Centrebet International, Ltd. Claim Units............. 81,336 -- *Centrex Metals, Ltd................................... 13,701 2,629 #*Ceramic Fuel Cells, Ltd............................... 3,882,106 318,027 #*Cerro Resources NL.................................... 1,961,035 196,959 #*CGA Mining, Ltd....................................... 10,124 29,939 #*Chalice Gold Mines, Ltd............................... 320,684 85,120 Challenger, Ltd....................................... 198,545 664,730 Chandler Macleod Group, Ltd........................... 338,118 150,754 *ChemGenex Pharmaceuticals, Ltd........................ 115,291 -- *Chesser Resources, Ltd................................ 148,340 66,151 *Citigold Corp., Ltd................................... 3,765,806 219,181 #Clarius Group, Ltd.................................... 1,126,662 455,590 *Clinuvel Pharmaceuticals, Ltd......................... 118,435 198,663 #Clough, Ltd........................................... 1,527,345 1,235,354 Clover Corp., Ltd..................................... 269,348 148,175 *CO2 Group, Ltd........................................ 774,201 84,444 *Coal of Africa, Ltd................................... 668,800 148,652 #*Coalspur Mines, Ltd................................... 1,239,823 1,206,639 *Cobar Consolidated Resources, Ltd..................... 75,663 44,734 #*Cockatoo Coal, Ltd.................................... 3,318,970 566,694 #Codan, Ltd............................................ 170,881 381,084 #*Coffey International, Ltd............................. 1,048,636 407,043 Collection House, Ltd................................. 1,909,459 1,940,538 Consolidated Media Holdings, Ltd...................... 1,276,820 4,543,366 *Continental Coal, Ltd................................. 658,378 37,516 45 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- AUSTRALIA -- (Continued) #*Cooper Energy, Ltd.................................... 336,842 $ 205,568 Coventry Group, Ltd................................... 144,778 447,626 Credit Corp. Group, Ltd............................... 110,382 804,852 *Crusader Resources, Ltd............................... 155,861 85,870 #CSG, Ltd.............................................. 674,612 339,225 #CSR, Ltd.............................................. 2,491,176 4,522,744 CTI Logistics, Ltd.................................... 7,200 10,366 #*Cudeco, Ltd........................................... 399,317 1,935,776 *Cue Energy Resources, Ltd............................. 1,378,665 192,708 Data#3, Ltd........................................... 305,808 364,991 #David Jones, Ltd...................................... 3,152,271 8,724,565 #Decmil Group, Ltd..................................... 655,425 1,759,229 *Deep Yellow, Ltd...................................... 1,039,981 81,898 Devine, Ltd........................................... 497,498 377,510 #*Discovery Metals, Ltd................................. 1,368,337 2,450,958 Domino's Pizza Enterprises, Ltd....................... 14,892 145,782 *Downer EDI, Ltd....................................... 1,857,964 6,916,092 *Dragon Mining, Ltd.................................... 171,966 137,989 #*Drillsearch Energy, Ltd............................... 1,599,467 2,510,767 DUET Group............................................ 3,067,818 6,648,416 #DuluxGroup, Ltd....................................... 2,167,142 7,954,583 DWS, Ltd.............................................. 278,315 437,345 *Dyesol, Ltd........................................... 16,947 2,640 #*Elders, Ltd........................................... 1,419,921 242,999 #*Elemental Minerals, Ltd............................... 388,188 235,242 *Ellect Holdings, Ltd.................................. 482 -- #Emeco Holdings, Ltd................................... 2,172,998 1,564,917 *Empire Oil & Gas NL................................... 427,500 6,664 #*Energy Resources of Australia, Ltd.................... 684,442 1,000,342 *Energy World Corp., Ltd............................... 4,025,738 1,520,113 *Enero Group, Ltd...................................... 20,635 8,589 *Engenco, Ltd.......................................... 22,880 9,516 *Entek Energy, Ltd..................................... 920,744 64,907 #Envestra, Ltd......................................... 5,566,443 5,224,266 #*Equatorial Resources, Ltd............................. 176,571 325,330 *Ethane Pipeline Income Fund........................... 13,710 24,816 #Euroz, Ltd............................................ 81,100 86,774 #*Evolution Mining, Ltd................................. 1,644,550 3,417,837 Exco Resources, Ltd................................... 429,909 116,147 #Fairfax Media, Ltd.................................... 3,329,535 1,363,151 Fantastic Holdings, Ltd............................... 355,613 1,051,622 *FAR, Ltd.............................................. 8,225,394 280,964 Finbar Group, Ltd..................................... 58,051 71,409 *Finders Resources, Ltd................................ 7,442 1,349 #FKP Property Group, Ltd............................... 5,902,095 1,352,077 #Fleetwood Corp., Ltd.................................. 316,248 3,378,625 FlexiGroup, Ltd....................................... 597,372 2,455,729 Flight Centre, Ltd.................................... 11,770 324,731 *Flinders Mines, Ltd................................... 6,909,293 615,746 *Focus Minerals, Ltd................................... 19,167,915 715,815 #Forge Group, Ltd...................................... 252,731 1,044,237 *Forte Energy NL....................................... 471,243 9,798 G8 Education, Ltd..................................... 77,843 111,776 #*Galaxy Resources, Ltd................................. 760,450 397,143 Gazal Corp., Ltd...................................... 100,938 214,887 #*Geodynamics, Ltd...................................... 1,015,653 136,738 #*Gindalbie Metals, Ltd................................. 2,600,255 928,143 *Global Construction Services, Ltd..................... 1,832 1,167 *Gold Road Resources, Ltd.............................. 141,504 22,873 *Golden Rim Resources, Ltd............................. 722,577 82,452 #*Goodman Fielder, Ltd.................................. 8,296,037 5,025,633 46 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- AUSTRALIA -- (Continued) GrainCorp, Ltd. Class A............................... 828,668 $10,523,403 #Grange Resources, Ltd................................. 1,245,669 322,163 #*Great Southern, Ltd................................... 9,302,784 -- *Greenland Minerals & Energy, Ltd...................... 796,390 255,847 #*Gryphon Minerals, Ltd................................. 1,673,195 1,353,812 #GUD Holdings, Ltd..................................... 469,856 4,089,811 *Gujarat NRE Coking Coal, Ltd.......................... 119,865 19,871 #*Gunns, Ltd............................................ 2,872,620 -- #GWA Group, Ltd........................................ 1,263,740 2,288,957 *Hastie Group, Ltd..................................... 81,042 -- *Havilah Resources NL.................................. 245,913 118,624 HFA Holdings, Ltd..................................... 235,865 188,411 HGL, Ltd.............................................. 87,337 48,936 *Highlands Pacific, Ltd................................ 2,651,500 384,401 *Hillgrove Resources, Ltd.............................. 1,123,437 102,376 #Hills Holdings, Ltd................................... 1,006,582 794,151 *Horizon Oil, Ltd...................................... 4,487,756 1,810,362 *Hutchison Telecommunications Australia, Ltd........... 2,944,144 98,741 #*Icon Energy, Ltd...................................... 1,701,528 458,238 *IDM International, Ltd................................ 23,969 970 #iiNet, Ltd............................................ 664,344 2,866,956 #Imdex, Ltd............................................ 1,061,080 1,471,137 #IMF Australia, Ltd.................................... 314,016 483,492 *IMX Resources, Ltd.................................... 456,257 68,569 #Independence Group NL................................. 1,024,848 4,234,731 *Indo Mines, Ltd....................................... 22,124 3,448 *Indophil Resources NL................................. 3,118,946 906,030 #Industrea, Ltd........................................ 1,478,422 1,933,549 #*Infigen Energy, Ltd................................... 1,798,730 447,294 Infomedia, Ltd........................................ 1,458,074 544,840 *Integra Mining, Ltd................................... 3,714,022 2,092,681 Integrated Research, Ltd.............................. 261,513 324,348 #*Intrepid Mines, Ltd................................... 1,794,707 633,428 #Invocare, Ltd......................................... 633,106 5,785,092 IOOF Holdings, Ltd.................................... 1,074,600 7,031,533 #Iress, Ltd............................................ 603,773 4,795,961 *Iron Ore Holdings, Ltd................................ 336,216 285,749 #*Ivanhoe Australia, Ltd................................ 396,947 360,214 #JB Hi-Fi, Ltd......................................... 582,072 6,187,633 *Jupiter Mines, Ltd.................................... 465,443 64,944 #K&S Corp., Ltd........................................ 228,651 403,633 #*Kagara, Ltd........................................... 1,945,393 242,331 #*Kangaroo Resources, Ltd............................... 2,874,627 125,537 *Karoon Gas Australia, Ltd............................. 667,086 3,849,352 *Kasbah Resources, Ltd................................. 478,599 79,333 #Kingsgate Consolidated, Ltd........................... 786,887 4,513,292 #Kingsrose Mining, Ltd................................. 688,387 699,058 *Lednium, Ltd.......................................... 195,019 16,195 #*Linc Energy, Ltd...................................... 1,497,847 852,317 #*Liquefied Natural Gas, Ltd............................ 595,144 188,042 Lycopodium, Ltd....................................... 57,046 362,796 #M2 Telecommunications Group, Ltd...................... 611,388 2,426,240 Macmahon Holdings, Ltd................................ 3,791,959 1,254,261 *Macquarie Atlas Roads Group NL........................ 1,535,838 2,462,690 Macquarie Telecom Group, Ltd.......................... 35,019 350,502 #*Marengo Mining, Ltd................................... 1,428,204 236,894 #Matrix Composites & Engineering, Ltd.................. 158,693 272,924 #*Maverick Drilling & Exploration, Ltd.................. 114,368 122,380 MaxiTRANS Industries, Ltd............................. 942,578 948,131 *Mayne Pharma Group, Ltd............................... 505,278 133,615 McGuigan Simeon Wines, Ltd............................ 2,437,348 1,305,000 47 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- AUSTRALIA -- (Continued) #McMillan Shakespeare, Ltd............................. 235,687 $3,154,201 McPherson's, Ltd...................................... 303,441 582,834 #Medusa Mining, Ltd.................................... 844,923 5,382,014 Melbourne IT, Ltd..................................... 440,506 813,889 #*MEO Australia, Ltd.................................... 681,039 165,679 #Mermaid Marine Australia, Ltd......................... 1,099,905 3,696,672 #*Mesoblast, Ltd........................................ 169,618 1,017,252 *Metals X, Ltd......................................... 238,372 30,876 *Metgasco, Ltd......................................... 667,052 145,081 *Metminco, Ltd......................................... 1,879,249 159,724 *MetroCoal, Ltd........................................ 68,725 15,645 #*MHM Metals, Ltd....................................... 287,217 77,518 Miclyn Express Offshore, Ltd.......................... 662,257 1,525,234 #Mincor Resources NL................................... 1,004,969 1,245,444 *Minemakers, Ltd....................................... 113,803 17,666 #*Mineral Deposits, Ltd................................. 306,156 1,550,338 #Mineral Resources, Ltd................................ 484,937 4,358,291 #*Mirabela Nickel, Ltd.................................. 2,693,751 1,253,843 #*Molopo Energy, Ltd.................................... 1,186,993 676,836 #*Moly Mines, Ltd....................................... 25,253 3,411 #Monadelphous Group, Ltd............................... 319,624 6,988,498 *Morning Star Gold NL.................................. 332,749 37,995 #Mortgage Choice, Ltd.................................. 631,109 1,133,592 Mount Gibson Iron, Ltd................................ 3,121,745 2,277,582 Murchison Metals, Ltd................................. 685,443 31,276 #Myer Holdings, Ltd.................................... 3,564,925 7,225,726 MyState, Ltd.......................................... 43,788 170,572 *Nanosonics, Ltd....................................... 259,364 141,458 #Navitas, Ltd.......................................... 1,189,617 5,081,804 *Neon Energy, Ltd...................................... 65,782 18,096 *New Guinea Energy, Ltd................................ 79,187 2,542 *NewSat, Ltd........................................... 405,515 210,332 *Nexus Energy, Ltd..................................... 4,998,176 621,107 NIB Holdings, Ltd..................................... 1,322,671 2,487,422 *Nido Petroleum, Ltd................................... 6,093,154 226,661 #*Noble Mineral Resources, Ltd.......................... 859,168 120,368 Norfolk Group, Ltd.................................... 361,653 243,875 #*Northern Iron, Ltd.................................... 799,125 501,493 *Northern Star Resources, Ltd.......................... 1,454,940 1,939,634 NRW Holdings, Ltd..................................... 1,174,775 2,491,755 *NuCoal Resources, Ltd................................. 429,538 64,532 Nufarm, Ltd........................................... 817,424 4,873,105 #Oakton, Ltd........................................... 378,695 491,007 *Oilex, Ltd............................................ 23,182 1,342 *OPUS Group, Ltd....................................... 65,187 31,639 #*Orocobre, Ltd......................................... 257,530 496,075 #OrotonGroup, Ltd...................................... 89,607 604,276 *Otto Energy, Ltd...................................... 1,936,175 174,688 Pacific Brands, Ltd................................... 4,412,120 2,837,818 *Pacific Niugini, Ltd.................................. 200,616 33,310 #*Paladin Energy, Ltd................................... 4,096,983 4,805,465 *Pan Pacific Petroleum NL.............................. 1,094,343 119,274 PanAust, Ltd.......................................... 1,025,303 3,534,660 *Pancontinental Oil & Gas NL........................... 1,006,891 87,295 Panoramic Resources, Ltd.............................. 971,509 627,823 *PaperlinX, Ltd........................................ 2,814,406 151,843 *Papillon Resources, Ltd............................... 32,010 61,468 Patties Foods, Ltd.................................... 39,601 67,789 *Peak Resources, Ltd................................... 288,357 56,683 #*Peet, Ltd............................................. 1,096,798 1,058,783 *Peninsula Energy, Ltd................................. 5,178,834 192,706 48 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- AUSTRALIA -- (Continued) #*Perilya, Ltd........................................... 1,482,070 $ 475,586 #Perpetual Trustees Australia, Ltd...................... 226,579 6,555,708 #*Perseus Mining, Ltd.................................... 1,605,654 4,309,705 #*Pharmaxis, Ltd......................................... 1,018,699 1,365,308 *Phosphagenics, Ltd..................................... 1,659,005 265,907 #*Platinum Australia, Ltd................................ 1,442,661 100,337 #*Pluton Resources, Ltd.................................. 538,056 103,357 PMP, Ltd............................................... 2,395,607 496,580 *Poseidon Nickel, Ltd................................... 436,181 51,950 #Premier Investments, Ltd............................... 278,643 1,781,621 #*Prima Biomed, Ltd...................................... 2,338,194 302,939 Primary Health Care, Ltd............................... 1,960,174 7,906,484 Prime Media Group, Ltd................................. 1,777,139 1,455,403 *PrimeAg, Ltd........................................... 213,399 254,567 Programmed Maintenance Service, Ltd.................... 550,149 1,179,887 *QRxPharma, Ltd......................................... 167,593 125,451 *Quickstep Holdings, Ltd................................ 462,355 81,256 *Ramelius Resources, Ltd................................ 1,512,836 692,945 *Range Resources, Ltd................................... 1,456,711 90,557 #RCR Tomlinson, Ltd..................................... 1,056,974 2,011,646 REA Group, Ltd......................................... 189,011 3,383,011 #Reckon, Ltd............................................ 271,858 696,410 *Red 5, Ltd............................................. 9,022 11,700 #*Red Fork Energy, Ltd................................... 1,175,289 839,337 Redflex Holdings, Ltd.................................. 377,855 599,346 Reece Australia, Ltd................................... 238,457 5,014,858 *Reed Resources, Ltd.................................... 698,001 130,464 *Regis Resources, Ltd................................... 515,563 2,874,665 #Reject Shop, Ltd. (The)................................ 122,036 1,797,826 #*Resolute Mining, Ltd................................... 3,133,646 6,254,867 #*Resource & Investment NL............................... 353,895 73,277 *Resource Equipment, Ltd................................ 118,411 41,406 *Resource Generation, Ltd............................... 338,381 140,522 #Retail Food Group, Ltd................................. 89,936 296,904 #*Rex Minerals, Ltd...................................... 469,315 388,700 *Rialto Energy, Ltd..................................... 1,967,580 244,541 #Ridley Corp., Ltd...................................... 1,283,068 1,532,395 *RiverCity Motorway Group, Ltd.......................... 1,563,354 -- *Robust Resources, Ltd.................................. 136,513 89,233 *Roc Oil Co., Ltd....................................... 6,490,268 2,888,811 Runge, Ltd............................................. 30,702 13,371 #Ruralco Holdings, Ltd.................................. 88,651 297,716 #SAI Global, Ltd........................................ 1,203,570 5,065,529 #*Salinas Energy, Ltd.................................... 1,842,511 506,472 #Salmat, Ltd............................................ 664,807 1,779,897 #*Samson Oil & Gas, Ltd.................................. 7,175,499 254,871 *Sandfire Resources NL.................................. 299,154 2,612,129 *Saracen Mineral Holdings, Ltd.......................... 2,686,129 1,402,007 Schaffer Corp., Ltd.................................... 33,766 132,310 Sedgman, Ltd........................................... 443,054 454,487 Seek, Ltd.............................................. 4 28 #Select Harvests, Ltd................................... 311,834 378,403 #*Senex Energy, Ltd...................................... 3,522,445 2,701,597 Servcorp, Ltd.......................................... 301,327 976,118 Service Stream, Ltd.................................... 1,432,710 572,200 #Seven West Media, Ltd.................................. 447,449 564,107 #Sigma Pharmaceuticals, Ltd............................. 4,898,960 3,427,443 *Sihayo Gold, Ltd....................................... 603,971 78,538 *Silex System, Ltd...................................... 545,788 1,969,212 #*Silver Lake Resources, Ltd............................. 1,125,179 4,123,914 *Sipa Resources International NL........................ 706,804 48,994 49 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ AUSTRALIA -- (Continued) #*Sirtex Medical, Ltd.................................. 219,105 $ 2,500,206 Skilled Group, Ltd................................... 492,016 1,356,516 Slater & Gordon, Ltd................................. 24,701 50,740 #SMS Management & Technology, Ltd..................... 435,122 2,247,122 Southern Cross Electrical Engineering, Ltd........... 21,171 26,771 Southern Cross Media Group, Ltd...................... 2,546,520 2,745,745 Spark Infrastructure Group, Ltd...................... 5,307,759 9,307,506 #*Specialty Fashion Group, Ltd......................... 809,557 504,178 *St. Barbara, Ltd..................................... 1,946,083 3,843,800 #*Starpharma Holdings, Ltd............................. 938,555 1,582,706 #*Straits Resources, Ltd............................... 917,602 92,169 *Strike Energy, Ltd................................... 1,230,120 261,139 Structural Systems, Ltd.............................. 138,772 90,679 STW Communications Group, Ltd........................ 1,095,072 1,147,155 #*Sundance Energy Australia, Ltd....................... 1,009,945 830,902 *Sundance Resources, Ltd.............................. 8,756,539 3,222,143 *Sunland Group, Ltd................................... 741,191 797,285 #Super Retail Group, Ltd.............................. 1,291,875 12,068,742 Swick Mining Services, Ltd........................... 87,194 28,060 *Talisman Mining, Ltd................................. 217,981 54,223 #*Tanami Gold NL....................................... 569,930 432,312 *Tap Oil, Ltd......................................... 1,450,696 1,060,222 Tassal Group, Ltd.................................... 626,912 942,089 #Technology One, Ltd.................................. 1,322,653 1,912,561 #Ten Network Holdings, Ltd............................ 5,185,547 1,507,673 #*Texon Petroleum, Ltd................................. 871,211 347,319 #TFS Corp., Ltd....................................... 1,393,854 556,436 Thorn Group, Ltd..................................... 370,228 758,655 *Tiger Resources, Ltd................................. 1,751,101 561,394 *Tissue Therapies, Ltd................................ 41,469 15,903 *Toro Energy, Ltd..................................... 70,156 9,464 #*Tox Free Solutions, Ltd.............................. 461,406 1,353,963 #TPG Telecom, Ltd..................................... 1,569,063 3,883,595 Transfield Services, Ltd............................. 2,144,148 3,531,666 *Transpacific Industries Group, Ltd................... 4,533,180 3,590,693 #Troy Resources, Ltd.................................. 415,918 1,912,038 Trust Co., Ltd. (The)................................ 89,605 432,806 #*UGL, Ltd............................................. 29,808 330,281 *Unity Mining, Ltd.................................... 2,433,889 344,245 #UXC, Ltd............................................. 1,169,545 1,066,424 *VDM Group, Ltd....................................... 1,684,753 19,135 #*Venture Minerals, Ltd................................ 450,858 126,216 *Venturex Resources, Ltd.............................. 42,171 1,750 Village Roadshow, Ltd................................ 855,994 3,322,767 #*Virgin Australia Holdings, Ltd. (B43DQC7)............ 7,648,897 3,884,086 *Virgin Australia Holdings, Ltd. (B7L5734)............ 7,648,897 39,700 Warrnambool Cheese & Butter Factory Co. Holding, Ltd. 1,203 4,673 #Watpac, Ltd.......................................... 711,698 442,838 WDS, Ltd............................................. 375,342 249,189 #Webjet, Ltd.......................................... 356,064 1,477,954 Webster, Ltd......................................... 180,921 112,300 #Western Areas NL..................................... 765,031 3,472,009 #*Western Desert Resouurces, Ltd....................... 225,143 151,235 #*White Energy Co., Ltd................................ 643,913 233,411 WHK Group, Ltd....................................... 1,202,433 1,316,878 #Wide Bay Australia, Ltd.............................. 84,697 580,518 #*Windimurra Vanadium, Ltd............................. 537,429 -- #Wotif.com Holdings, Ltd.............................. 588,604 2,834,354 *Yancoal Australia, Ltd............................... 213,764 225,688 #*YTC Resources, Ltd................................... 104,200 26,435 ------------ TOTAL AUSTRALIA......................................... 566,558,727 ------------ 50 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (0.0%) #*China Public Procurement, Ltd......................... 5,230,000 $ -- *Madex International Holdings, Ltd..................... 3,182,000 51,246 *Skyfame Realty Holdings, Ltd.......................... 2,659,625 236,464 ---------- TOTAL CHINA.............................................. 287,710 ---------- HONG KONG -- (17.0%) Aeon Credit Service (Asia) Co., Ltd................... 580,000 533,325 #Aeon Stores Hong Kong Co., Ltd........................ 242,000 602,632 Alco Holdings, Ltd.................................... 1,426,000 299,577 Allan International Holdings, Ltd..................... 720,000 186,421 Allied Group, Ltd..................................... 683,200 1,813,449 Allied Overseas, Ltd.................................. 50,000 27,568 Allied Properties, Ltd................................ 12,297,857 1,701,401 *Apac Resources, Ltd................................... 12,720,000 433,988 APT Satellite Holdings, Ltd........................... 1,275,000 352,708 *Artel Solutions Group Holdings, Ltd................... 6,645,000 72,914 Arts Optical International Holdings, Ltd.............. 730,000 210,833 Asia Financial Holdings, Ltd.......................... 2,474,908 961,963 Asia Satellite Telecommunications Holdings, Ltd....... 962,000 3,066,878 *Asia Standard Hotel Group, Ltd........................ 11,777,218 1,080,365 Asia Standard International Group, Ltd................ 13,425,937 2,383,441 #Associated International Hotels, Ltd.................. 980,000 2,427,372 Aupu Group Holding Co., Ltd........................... 2,504,000 212,626 *Auto Italia Holdings.................................. 875,000 30,388 Automated Systems Holdings, Ltd....................... 318,000 46,237 Bauhaus International Holdings, Ltd................... 462,000 84,415 *Beijing Yu Sheng Tang Pharmaceutical Group, Ltd....... 1,154,000 14,646 *Bel Global Resources Holdings, Ltd.................... 2,576,000 47,199 *Bio-Dynamic Group, Ltd................................ 2,916,000 217,411 *Birmingham International Holdings, Ltd................ 6,502,000 127,522 #Bonjour Holdings, Ltd................................. 8,720,000 1,122,102 Bossini International Holdings, Ltd................... 3,871,500 194,041 *Brightoil Petroleum Holdings, Ltd..................... 2,777,000 556,779 #*Brockman Mining, Ltd.................................. 23,270,814 1,152,512 #*Burwill Holdings, Ltd................................. 8,888,960 113,096 Cafe de Coral Holdings, Ltd........................... 866,000 2,561,114 *Capital Estate, Ltd................................... 684,000 11,851 *Carico Holdings, Ltd.................................. 22,420,000 924,433 Century City International Holdings, Ltd.............. 6,419,460 421,317 Century Sunshine Group Holdings, Ltd.................. 3,655,000 197,967 Champion Technology Holdings, Ltd..................... 14,881,730 201,001 *Chaoyue Group, Ltd.................................... 1,735,000 101,321 Chen Hsong Holdings, Ltd.............................. 1,042,000 281,619 Cheuk Nang Holdings, Ltd.............................. 442,457 244,202 Chevalier International Holdings, Ltd................. 737,482 940,741 *China Best Group Holding, Ltd......................... 1,581,400 17,518 *China Billion Resources, Ltd.......................... 4,876,000 -- *China Boon Holdings, Ltd.............................. 6,200,000 71,069 *China Daye Non-Ferrous Metals Mining, Ltd............. 3,467,837 140,963 *China Digicontent Co., Ltd............................ 2,710,000 3,497 *China Electronics Corp. Holdings Co., Ltd............. 2,888,250 248,794 *China Energy Development Holdings, Ltd................ 23,576,000 381,753 *China Environmental Investment Holdings, Ltd.......... 7,470,000 181,126 *China Financial Services Holdings, Ltd................ 954,000 58,143 *China Flavors & Fragrances Co., Ltd................... 156,137 28,447 *China Gamma Group, Ltd................................ 7,400,000 114,459 *China Infrastructure Investment, Ltd.................. 7,918,000 183,048 #*China Mandarin Holdings, Ltd.......................... 501,400 36,150 China Metal International Holdings, Ltd............... 2,582,000 449,039 China Motor Bus Co., Ltd.............................. 50,000 409,150 *China Nuclear Industry 23 International Corp., Ltd.... 1,024,000 229,550 51 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) *China Oriental Culture Group, Ltd..................... 312,000 $ 13,453 *China Outdoor Media Group, Ltd........................ 710,000 7,218 *China Renji Medical Group, Ltd........................ 12,784,000 -- #*China Resources & Transportation Group, Ltd........... 32,900,000 1,185,561 *China Solar Energy Holdings, Ltd...................... 37,990,000 141,778 *China Strategic Holdings, Ltd......................... 12,585,000 267,452 China Ting Group Holdings, Ltd........................ 2,443,151 125,900 *China Tycoon Beverage Holdings, Ltd................... 2,732,000 29,964 China WindPower Group, Ltd............................ 15,410,000 409,132 China-Hongkong Photo Products Holdings, Ltd........... 2,123,000 152,910 Chinney Investments, Ltd.............................. 1,144,000 156,382 Chong Hing Bank, Ltd.................................. 878,000 1,593,353 Chow Sang Sang Holdings International, Ltd............ 1,100,000 2,335,512 Chu Kong Shipping Enterprise Group Co., Ltd........... 2,188,000 357,846 Chuang's China Investments, Ltd....................... 3,550,494 198,588 Chuang's Consortium International, Ltd................ 5,210,781 617,282 Chun Wo Development Holdings, Ltd..................... 2,002,926 152,120 Citic Telecom International Holdings, Ltd............. 5,543,000 1,270,274 #City Telecom, Ltd..................................... 2,401,751 541,663 CK Life Sciences International Holdings, Inc.......... 15,060,000 1,202,313 CNT Group, Ltd........................................ 8,315,264 407,171 COL Capital, Ltd...................................... 2,457,840 290,573 *Continental Holdings, Ltd............................. 2,508,250 29,391 Cosmos Machinery Enterprises, Ltd..................... 1,292,400 75,614 *CP Lotus Corp., Ltd................................... 11,420,000 207,204 Cross-Harbour Holdings, Ltd. (The).................... 659,520 537,186 CSI Properties, Ltd................................... 17,906,383 739,578 *CST Mining Group, Ltd................................. 71,688,000 1,013,695 *Culture Landmark Investment, Ltd...................... 509,800 40,126 *Culturecom Holdings, Ltd.............................. 2,475,000 472,013 Dah Sing Banking Group, Ltd........................... 1,481,197 1,468,363 Dah Sing Financial Holdings, Ltd...................... 651,027 2,497,700 Dan Form Holdings Co., Ltd............................ 3,668,260 509,381 *Dejin Resources Group Co., Ltd........................ 947,500 9,141 Dickson Concepts International, Ltd................... 1,066,500 549,437 *Dingyi Group Investment, Ltd.......................... 5,497,500 209,227 Dorsett Hospitality International, Ltd................ 2,179,000 482,205 *DVN Holdings, Ltd..................................... 1,631,000 53,538 Dynamic Holdings, Ltd................................. 56,000 10,596 Eagle Nice International Holdings, Ltd................ 1,078,000 234,182 EcoGreen Fine Chemicals Group, Ltd.................... 1,112,000 202,118 *EganaGoldpfeil Holdings, Ltd.......................... 4,121,757 -- Emperor Entertainment Hotel, Ltd...................... 3,140,000 586,074 Emperor International Holdings, Ltd................... 6,208,753 1,484,468 Emperor Watch & Jewellery, Ltd........................ 23,650,000 2,243,876 *ENM Holdings, Ltd..................................... 15,112,000 1,260,848 *Enviro Energy International Holdings, Ltd............. 4,138,000 70,750 *EPI Holdings, Ltd..................................... 12,819,927 346,829 #*Esprit Holdings, Ltd.................................. 5,164,900 6,678,378 *eSun Holdings, Ltd.................................... 2,790,000 416,259 EVA Precision Industrial Holdings, Ltd................ 6,292,000 654,822 *Ezcom Holdings, Ltd................................... 72,576 450 Fairwood, Ltd......................................... 423,600 887,397 #Far East Consortium International, Ltd................ 4,773,539 949,638 #*Fook Woo Group Holdings, Ltd.......................... 952,000 167,060 Fountain SET Holdings, Ltd............................ 4,622,000 392,549 Four Seas Mercantile Holdings, Ltd.................... 592,000 157,797 *Frasers Property China, Ltd........................... 17,131,000 958,747 Get Nice Holdings, Ltd................................ 19,348,000 808,395 Giordano International, Ltd........................... 7,246,000 6,015,664 *Global Tech Holdings, Ltd............................. 4,598,000 16,516 52 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) Glorious Sun Enterprises, Ltd......................... 2,682,000 $ 739,622 Gold Peak Industries Holding, Ltd..................... 3,118,642 293,715 Golden Resources Development International, Ltd....... 3,330,500 154,468 *Goldin Financial Holdings, Ltd........................ 480,000 61,303 *Goldin Properties Holdings, Ltd....................... 3,044,000 1,761,833 *Good Fellow Resources Holdings, Ltd................... 810,000 24,670 *Grande Holdings, Ltd.................................. 882,000 46,660 Great Eagle Holdings, Ltd............................. 70,160 207,088 *Greenheart Group, Ltd................................. 876,000 58,482 *G-Resources Group, Ltd................................ 80,853,000 3,897,642 *Group Sense International, Ltd........................ 2,378,000 53,179 Guangnan Holdings, Ltd................................ 2,249,600 269,119 Guotai Junan International Holdings, Ltd.............. 1,152,000 339,382 Haitong International Securities Group, Ltd........... 1,367,586 472,199 *Hang Fung Gold Technology, Ltd........................ 1,972,482 -- *Hans Energy Co., Ltd.................................. 4,504,000 51,185 #Harbour Centre Development, Ltd....................... 957,500 1,457,520 High Fashion International, Ltd....................... 268,000 89,443 HKR International, Ltd................................ 5,895,136 2,819,319 Hon Kwok Land Investment Co., Ltd..................... 314,800 117,083 Hong Kong & Shanghai Hotels, Ltd...................... 191,500 252,548 *Hong Kong Aircraft Engineering Co., Ltd............... 12,800 174,404 Hong Kong Ferry Holdings, Ltd......................... 809,300 763,394 Hongkong Chinese, Ltd................................. 5,024,000 828,753 *Hop Fung Group Holdings, Ltd.......................... 452,000 14,433 Hsin Chong Construction Group, Ltd.................... 1,711,658 235,739 *Huafeng Group Holdings, Ltd........................... 5,113,325 155,828 Hung Hing Printing Group, Ltd......................... 1,298,000 190,563 Hutchison Telecommunications Hong Kong Holdings, Ltd.. 5,248,000 2,169,665 *Hybrid Kinetic Group, Ltd............................. 12,788,000 155,677 *HyComm Wireless, Ltd.................................. 89,090 17,395 *IDT International, Ltd................................ 1,704,183 28,512 *Imagi International Holdings, Ltd..................... 26,656,000 380,627 IPE Group, Ltd........................................ 2,060,000 151,103 *IRC, Ltd,............................................. 3,210,000 395,223 IT, Ltd............................................... 3,012,532 1,192,943 ITC Corp., Ltd........................................ 659,645 41,998 ITC Properties Group, Ltd............................. 3,645,747 1,176,646 *Jinhui Holdings, Ltd.................................. 207,000 37,403 Jiuzhou Development Co., Ltd.......................... 2,558,000 270,283 *JLF Investment Co., Ltd............................... 3,173,500 147,109 Johnson Electric Holdings, Ltd........................ 1,229,500 784,598 Joyce Boutique Holdings, Ltd.......................... 1,530,000 112,086 K Wah International Holdings, Ltd..................... 6,354,390 2,875,434 Kam Hing International Holdings, Ltd.................. 1,974,000 153,877 Kantone Holdings, Ltd................................. 9,835,145 85,697 *Karfun Investment, Ltd................................ 538,000 5,554 *Karl Thomson Holdings, Ltd............................ 436,000 70,644 Karrie International Holdings, Ltd.................... 1,951,200 50,514 Keck Seng Investments (Hong Kong), Ltd................ 904,600 407,331 Kin Yat Holdings, Ltd................................. 586,000 68,728 *King Pacific International Holdings, Ltd.............. 1,404,200 22,105 *King Stone Energy Group, Ltd.......................... 3,925,000 247,318 Kingmaker Footwear Holdings, Ltd...................... 1,484,955 211,436 Kingston Financial Group, Ltd......................... 13,039,000 1,006,280 *Ko Yo Chemical Group, Ltd............................. 16,260,000 253,628 Kowloon Development Co., Ltd.......................... 1,738,000 1,994,609 *Kwoon Chung Bus Holdings, Ltd......................... 530,000 114,756 *Lai Sun Development Co., Ltd.......................... 65,128,466 1,602,236 *Lai Sun Garment International, Ltd.................... 2,824,000 360,698 Lam Soon Hong Kong, Ltd............................... 302,310 138,024 53 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) *Leading Spirit High-Tech Holdings Co., Ltd............ 2,310,000 $ 2,981 Lee & Man Chemical Co., Ltd........................... 1,420,000 745,367 Lee's Pharmaceutical Holdings, Ltd.................... 150,000 91,872 Lerado Group Holdings Co., Ltd........................ 1,900,000 181,088 Lippo China Resources, Ltd............................ 9,850,000 253,464 Lippo, Ltd............................................ 1,195,700 512,937 *Lisi Group Holdings, Ltd.............................. 4,214,000 168,203 Liu Chong Hing Investment, Ltd........................ 775,200 805,958 Luen Thai Holdings, Ltd............................... 849,000 113,855 Luk Fook Holdings International, Ltd.................. 1,746,000 4,361,261 Luks Group (Vietnam Holdings) Co., Ltd................ 428,913 98,724 *Lung Cheong International Holdings, Ltd............... 6,790,000 240,157 Lung Kee (Bermuda) Holdings, Ltd...................... 1,597,875 494,295 Magnificent Estates, Ltd.............................. 13,184,000 637,998 Mainland Headwear Holdings, Ltd....................... 663,600 86,336 #*Man Wah Holdings, Ltd................................. 976,800 596,528 Man Yue Technology Holdings, Ltd...................... 1,064,000 175,274 Matrix Holdings, Ltd.................................. 1,067,414 250,445 *Mei Ah Entertainment Group, Ltd....................... 11,040,000 194,420 Melbourne Enterprises, Ltd............................ 40,500 727,978 Melco International Development, Ltd.................. 5,117,000 4,932,333 #Midland Holdings, Ltd................................. 3,646,000 1,834,139 Ming Fai International Holdings, Ltd.................. 1,680,000 151,349 *Ming Fung Jewellery Group, Ltd........................ 9,390,000 428,248 Miramar Hotel & Investment Co., Ltd................... 839,000 1,054,936 Modern Beauty Salon Holdings, Ltd..................... 160,000 19,776 *Mongolia Energy Corp., Ltd............................ 10,603,000 497,266 #*Mongolian Mining Corp................................. 4,552,500 2,224,299 *Nan Nan Resources Enterprise, Ltd..................... 194,000 21,245 Nanyang Holdings, Ltd................................. 137,500 475,097 National Electronics Holdings, Ltd.................... 2,434,000 320,053 Natural Beauty Bio-Technology, Ltd.................... 4,470,000 449,502 #*Neo-Neon Holdings, Ltd................................ 3,033,000 654,120 *Neptune Group, Ltd.................................... 80,000 1,575 *Net2Gather China Holdings, Ltd........................ 349,572 27,669 New Century Group Hong Kong, Ltd...................... 13,351,464 271,868 *New Focus Auto Tech Holdings, Ltd..................... 104,000 14,973 *New Smart Energy Group, Ltd........................... 23,975,000 228,592 #*New Times Energy Corp., Ltd........................... 1,297,600 166,859 NewOcean Green Energy Holdings, Ltd................... 4,380,000 1,681,749 *Next Media, Ltd....................................... 3,931,183 833,912 *Norstar Founders Group, Ltd........................... 3,256,000 -- *North Asia Resources Holdings, Ltd.................... 1,438,600 59,366 *Orange Sky Golden Harvest Entertainment Holdings, Ltd. 6,229,706 316,971 *Orient Power Holdings, Ltd............................ 804,000 19,503 #Oriental Watch Holdings, Ltd.......................... 2,846,800 848,620 Pacific Andes International Holdings, Ltd............. 10,279,378 575,778 #Pacific Basin Shipping, Ltd........................... 9,730,000 5,180,604 Pacific Textile Holdings, Ltd......................... 2,091,000 1,379,107 Paliburg Holdings, Ltd................................ 3,152,830 991,684 *Pan Asia Environmental Protection Group, Ltd.......... 1,140,000 83,170 #*Peace Mark Holdings, Ltd.............................. 2,738,022 -- *Pearl Oriental Oil, Ltd............................... 12,756,800 1,099,743 Pegasus International Holdings, Ltd................... 226,000 31,919 Pico Far East Holdings, Ltd........................... 4,276,000 1,047,401 Playmates Holdings, Ltd............................... 174,000 100,927 *PME Group, Ltd........................................ 5,360,000 117,515 *PNG Resources Holdings, Ltd........................... 17,018,362 263,330 Pokfulam Development Co., Ltd......................... 234,000 387,298 Polytec Asset Holdings, Ltd........................... 10,763,526 1,258,081 Public Financial Holdings, Ltd........................ 3,194,000 1,439,013 54 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- HONG KONG -- (Continued) *PYI Corp., Ltd........................................ 14,249,973 $ 301,255 *Pyxis Group, Ltd...................................... 1,936,000 42,467 Raymond Industrial, Ltd............................... 1,383,400 144,454 Regal Hotels International Holdings, Ltd.............. 2,539,800 1,115,029 Richfield Group Holdings, Ltd......................... 6,456,000 306,859 *Rising Development Holdings, Ltd...................... 2,278,000 93,915 Rivera Holdings, Ltd.................................. 5,710,000 170,972 S.A.S. Dragon Holdings, Ltd........................... 1,052,000 217,040 SA SA International Holdings, Ltd..................... 3,572,000 2,445,801 Safety Godown Co., Ltd................................ 398,000 592,115 *San Miguel Brewery Hong Kong, Ltd..................... 408,800 59,320 *Sandmartin International Holdings, Ltd................ 84,000 9,652 *Sanyuan Group, Ltd.................................... 415,000 8,032 SEA Holdings, Ltd..................................... 1,158,000 803,784 *SEEC Media Group, Ltd................................. 136,000 3,964 *Sheng Yuan Holdings, Ltd.............................. 210,000 10,824 #Shenyin Wanguo, Ltd................................... 1,412,500 380,487 Shenzhen High-Tech Holdings, Ltd...................... 812,000 95,461 *Shougang Concord Technology Holdings, Ltd............. 4,201,809 230,175 *Shun Ho Resources Holdings, Ltd....................... 483,000 80,024 *Shun Ho Technology Holdings, Ltd...................... 1,037,452 169,261 Shun Tak Holdings, Ltd................................ 8,089,419 3,223,300 *Sing Pao Media Enterprises, Ltd....................... 250,511 485 Sing Tao News Corp., Ltd.............................. 1,974,000 274,278 Singamas Container Holdings, Ltd...................... 7,906,000 1,988,177 *Sinocan Holdings, Ltd................................. 350,000 1,761 *Sinocop Resources Holdings, Ltd....................... 3,370,000 269,601 *Sino-Tech International Holdings, Ltd................. 29,380,000 265,366 SIS International Holdings, Ltd....................... 34,000 12,270 SmarTone Telecommunications Holdings, Ltd............. 1,644,500 3,309,357 SOCAM Development, Ltd................................ 1,036,771 1,064,823 *Solomon Systech International, Ltd.................... 6,312,000 175,437 Soundwill Holdings, Ltd............................... 150,000 272,081 *South China (China), Ltd.............................. 6,744,000 521,052 *South China Financial Holdings, Ltd................... 2,022,000 13,793 *South China Land, Ltd................................. 20,095,170 294,776 Southeast Asia Properties & Finance, Ltd.............. 131,891 38,299 Stella International Holdings, Ltd.................... 152,000 399,422 Stelux Holdings International, Ltd.................... 1,617,400 361,829 *Styland Holdings, Ltd................................. 137,438 2,341 *Success Universe Group, Ltd........................... 5,552,000 128,105 Sun Hing Vision Group Holdings, Ltd................... 358,000 119,987 #Sun Hung Kai & Co., Ltd............................... 1,848,429 1,054,995 *Sun Innovation Holdings, Ltd.......................... 10,945,655 112,244 Sunwah Kingsway Capital Holdings, Ltd................. 1,160,000 19,499 *Sunway International Holdings, Ltd.................... 850,000 19,747 *Superb Summit International Group, Ltd................ 16,746,600 490,883 #*Sustainable Forest Holdings, Ltd...................... 13,677,750 280,613 Tai Cheung Holdings, Ltd.............................. 1,975,000 1,564,896 Tai Sang Land Development, Ltd........................ 598,984 262,056 *Talent Property Group, Ltd............................ 5,106,420 94,985 #Tan Chong International, Ltd.......................... 1,212,000 333,350 #Tao Heung Holdings, Ltd............................... 230,000 125,576 #*Taung Gold International, Ltd......................... 14,590,000 299,328 Termbray Industries International (Holdings), Ltd..... 2,304,900 252,089 Tern Properties Co., Ltd.............................. 51,200 19,608 Texwinca Holdings, Ltd................................ 1,676,000 1,328,223 *Theme International Holdings, Ltd..................... 3,370,000 56,376 Tian Teck Land, Ltd................................... 1,054,000 1,082,858 #*Titan Petrochemicals Group, Ltd....................... 13,140,000 4,239 *Tom Group, Ltd........................................ 3,638,000 435,496 55 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ------------ HONG KONG -- (Continued) Tongda Group Holdings, Ltd.......................... 11,860,000 $ 487,778 *Topsearch International Holdings, Ltd............... 2,420,000 68,839 *Town Health International Investments, Ltd.......... 1,175,165 62,819 Tradelink Electronic Commerce, Ltd.................. 1,470,000 240,226 #Transport International Holdings, Ltd............... 954,941 1,962,014 Trinity, Ltd........................................ 3,520,000 2,455,722 Tristate Holdings, Ltd.............................. 188,000 92,102 *TSC Group Holdings, Ltd............................. 1,928,000 299,930 #Tse Sui Luen Jewellery International, Ltd........... 300,000 154,888 Tungtex Holdings Co., Ltd........................... 642,000 68,679 Tysan Holdings, Ltd................................. 1,040,773 198,595 #*United Laboratories International Holdings, Ltd. (The).............................................. 3,210,000 1,699,732 Universal Technologies Holdings, Ltd................ 6,630,000 384,208 *Up Energy Development Group, Ltd.................... 674,000 66,965 *U-Right International Holdings, Ltd................. 4,746,000 8,573 *Value Convergence Holdings, Ltd..................... 1,216,000 187,586 #Value Partners Group, Ltd........................... 3,517,000 1,909,232 Van Shung Chong Holdings, Ltd....................... 1,601,335 115,328 Varitronix International, Ltd....................... 1,097,293 396,931 Vedan International Holdings, Ltd................... 3,272,000 214,997 Veeko International Holdings, Ltd................... 1,267,116 31,444 #Victory City International Holdings, Ltd............ 3,704,249 390,822 *Vision Values Holdings, Ltd......................... 121,400 3,139 Vitasoy International Holdings, Ltd................. 3,769,000 3,564,786 *Vongroup, Ltd....................................... 4,085,000 19,482 VST Holdings, Ltd................................... 3,000,000 524,553 Wai Kee Holdings, Ltd............................... 7,946,738 1,492,060 Wang On Group, Ltd.................................. 15,191,286 165,951 *Warderly International Holdings, Ltd................ 520,000 32,206 Water Oasis Group, Ltd.............................. 1,560,000 197,664 Win Hanverky Holdings, Ltd.......................... 1,712,000 171,909 Wing On Co. International, Ltd...................... 781,000 2,169,295 Wing Tai Properties, Ltd............................ 1,957,331 1,208,980 Wong's International (Holdings), Ltd................ 737,641 203,892 Wong's Kong King International Holdings, Ltd........ 120,000 12,697 Xingye Copper International Group, Ltd.............. 716,000 82,870 #Xinyi Glass Holdings, Ltd........................... 8,164,000 4,558,138 Y. T. Realty Group, Ltd............................. 749,000 193,999 Yangtzekiang Garment, Ltd........................... 606,500 224,469 Yau Lee Holdings, Ltd............................... 534,000 88,752 Yeebo (International Holdings), Ltd................. 572,000 84,653 #YGM Trading, Ltd.................................... 426,000 1,021,634 *Yugang International, Ltd........................... 93,492,000 664,041 ------------ TOTAL HONG KONG........................................ 203,931,252 ------------ NEW ZEALAND -- (6.4%) *Abano Healthcare Group, Ltd......................... 29,157 137,952 Air New Zealand, Ltd................................ 2,261,316 2,303,593 Auckland International Airport, Ltd................. 1,137,263 2,508,643 *Cavalier Corp., Ltd................................. 283,674 440,827 CDL Investments New Zealand, Ltd.................... 395,965 139,137 Chorus, Ltd......................................... 279,041 775,152 Colonial Motor Co., Ltd............................. 148,846 458,513 *Diligent Board Member Services, Inc................. 6,215 19,423 Ebos Group, Ltd..................................... 203,702 1,374,484 *Fisher & Paykel Appliances Holdings, Ltd............ 3,131,412 3,284,557 Fisher & Paykel Healthcare Corp., Ltd............... 3,117,358 6,022,656 #Freightways, Ltd.................................... 793,614 2,792,775 Hallenstein Glasson Holdings, Ltd................... 243,961 996,771 *Heartland New Zealand, Ltd.......................... 173,369 98,273 Hellaby Holdings, Ltd............................... 353,056 898,918 56 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- NEW ZEALAND -- (Continued) Infratil, Ltd......................................... 2,312,698 $ 4,297,908 *Kathmandu Holdings, Ltd............................... 36,968 54,739 #Mainfreight, Ltd...................................... 439,219 3,844,692 Methven, Ltd.......................................... 70,490 77,629 Michael Hill International, Ltd....................... 1,534,152 1,500,361 Millennium & Copthorne Hotels (New Zealand), Ltd...... 1,387,344 536,578 New Zealand Oil & Gas, Ltd............................ 2,036,646 1,446,982 #New Zealand Refining Co., Ltd......................... 591,259 1,371,363 Northland Port Corp. (New Zealand), Ltd............... 192,300 336,174 #Nuplex Industries, Ltd................................ 1,013,819 2,515,860 NZX, Ltd.............................................. 880,152 903,578 #Opus International Consultants, Ltd................... 12,925 22,111 *Pike River Coal, Ltd.................................. 490,805 -- Port of Tauranga, Ltd................................. 528,322 5,622,732 #*Pumpkin Patch, Ltd.................................... 606,913 623,807 *Pyne Gould Guinness, Ltd.............................. 554,775 154,763 *Rakon, Ltd............................................ 346,364 119,697 #Restaurant Brands New Zealand, Ltd.................... 413,600 867,326 *Richina Pacific, Ltd.................................. 274,180 81,175 *Rubicon, Ltd.......................................... 1,485,105 340,402 #Ryman Healthcare, Ltd................................. 1,685,604 5,610,636 Sanford, Ltd.......................................... 393,618 1,408,126 Scott Technology, Ltd................................. 36,510 63,078 *Seafresh Fisheries, Ltd............................... 80,520 1,854 Skellerup Holdings, Ltd............................... 361,864 496,520 Sky Network Television, Ltd........................... 1,006,593 4,445,634 SKYCITY Entertainment Group, Ltd...................... 3,227,185 10,293,066 South Port New Zealand, Ltd........................... 27,744 74,690 #Steel & Tube Holdings, Ltd............................ 389,046 693,584 Tourism Holdings, Ltd................................. 274,867 162,524 Tower, Ltd............................................ 967,919 1,535,599 #TrustPower, Ltd....................................... 55,801 391,790 Vector, Ltd........................................... 986,035 2,203,960 Warehouse Group, Ltd.................................. 588,314 1,523,015 *Xero, Ltd............................................. 35,277 158,139 ----------- TOTAL NEW ZEALAND........................................ 76,031,766 ----------- SINGAPORE -- (12.2%) #*Abterra, Ltd.......................................... 531,800 371,312 Amtek Engineering, Ltd................................ 918,000 449,949 Armstrong Industrial Corp., Ltd....................... 1,264,000 273,727 #*Asiasons Capital, Ltd................................. 1,048,000 590,235 *Asiatravel.com Holdings, Ltd.......................... 17,000 4,170 #ASL Marine Holdings, Ltd.............................. 721,600 393,297 *AusGroup, Ltd......................................... 2,951,000 1,116,019 #Baker Technology, Ltd................................. 1,272,000 330,602 *Banyan Tree Holdings, Ltd............................. 960,000 525,588 Beng Kuang Marine, Ltd................................ 922,000 87,159 #BH Global Marine, Ltd................................. 621,000 95,677 #*Biosensors International Group, Ltd................... 4,355,237 3,859,154 Bonvests Holdings, Ltd................................ 978,000 832,928 Boustead Singapore, Ltd............................... 1,155,000 899,204 Breadtalk Group, Ltd.................................. 650,800 319,632 #Broadway Industrial Group, Ltd........................ 1,093,000 254,754 #Bukit Sembawang Estates, Ltd.......................... 492,003 2,167,076 *Bund Center Investment, Ltd........................... 1,100,000 157,709 #Cerebos Pacific, Ltd.................................. 545,000 2,944,723 CH Offshore, Ltd...................................... 1,539,400 655,666 China Aviation Oil Singapore Corp., Ltd............... 1,061,000 841,333 *China Dairy Group, Ltd................................ 675,000 55,137 *China Energy, Ltd..................................... 768,000 33,113 57 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- SINGAPORE -- (Continued) China Merchants Holdings Pacific, Ltd................. 813,000 $ 480,403 Chip Eng Seng Corp., Ltd.............................. 2,467,800 937,472 Chosen Holdings, Ltd.................................. 681,000 69,974 Chuan Hup Holdings, Ltd............................... 3,967,000 910,586 #*Cosco Corp Singapore, Ltd............................. 4,839,000 3,473,656 Creative Technology, Ltd.............................. 272,200 697,862 *CSC Holdings, Ltd..................................... 1,849,000 164,312 CSE Global, Ltd....................................... 2,383,000 1,686,616 CWT, Ltd.............................................. 1,072,700 1,095,762 Datapulse Technology, Ltd............................. 27,000 4,867 #*Delong Holdings, Ltd.................................. 1,361,000 309,737 DMX Technologies Group, Ltd........................... 1,211,000 212,435 #*Dyna-Mac Holdings, Ltd................................ 1,084,000 398,693 Ellipsiz, Ltd......................................... 123,000 8,434 EnGro Corp, Ltd....................................... 354,000 266,042 Enviro-Hub Holdings, Ltd.............................. 1,445,666 118,119 Eu Yan Sang International, Ltd........................ 673,800 336,520 *euNetworks Group, Ltd................................. 411,000 4,529 #Ezion Holdings, Ltd................................... 3,014,000 3,181,306 #*Ezra Holdings, Ltd.................................... 3,489,000 3,174,317 F.J. Benjamin Holdings, Ltd........................... 1,305,000 346,961 *Falcon Energy Group, Ltd.............................. 1,180,000 230,402 Food Empire Holdings, Ltd............................. 1,094,400 432,912 Fragrance Group, Ltd.................................. 5,816,000 1,258,973 Freight Links Express Holdings, Ltd................... 6,042,111 326,363 *Fu Yu Corp., Ltd...................................... 611,500 30,643 *Gallant Venture, Ltd.................................. 3,789,000 849,599 GK Goh Holdings, Ltd.................................. 1,458,000 885,278 Global Yellow Pages, Ltd.............................. 299,000 21,319 #GMG Global, Ltd....................................... 15,662,000 1,612,669 Goodpack, Ltd......................................... 1,184,000 1,879,358 GP Batteries International, Ltd....................... 343,000 267,300 GP Industries, Ltd.................................... 2,732,209 858,642 *Grand Banks Yachts, Ltd............................... 166,000 48,013 GuocoLand, Ltd........................................ 447,314 793,228 #GuocoLeisure, Ltd..................................... 2,512,000 1,273,848 Guthrie GTS, Ltd...................................... 888,000 442,652 Hanwell Holdings, Ltd................................. 1,823,419 380,623 *Healthway Medical Corp., Ltd.......................... 5,065,776 336,003 HG Metal Manufacturing, Ltd........................... 426,000 27,905 Hiap Seng Engineering, Ltd............................ 612,000 148,402 Hi-P International, Ltd............................... 1,279,000 750,905 *HLH Group, Ltd........................................ 604,000 12,305 Ho Bee Investment, Ltd................................ 1,196,000 1,442,058 *Hong Fok Corp., Ltd................................... 3,323,640 1,369,879 *Hong Fok Land, Ltd.................................... 1,210,000 1,561 Hong Leong Asia, Ltd.................................. 591,000 815,352 Hotel Grand Central, Ltd.............................. 1,266,047 936,391 #Hotel Properties, Ltd................................. 1,346,400 2,906,831 Hour Glass, Ltd....................................... 622,744 861,277 HTL International Holdings, Ltd....................... 1,063,843 298,000 *Huan Hsin Holdings, Ltd............................... 770,400 30,460 HupSteel, Ltd......................................... 1,572,875 255,513 Hwa Hong Corp., Ltd................................... 2,186,000 647,889 #Hyflux, Ltd........................................... 3,141,500 3,463,212 IFS Capital, Ltd...................................... 248,080 78,283 #*Indofood Agri Resources, Ltd.......................... 2,464,000 2,535,330 *Inno-Pacific Holdings, Ltd............................ 2,303,000 88,557 InnoTek, Ltd.......................................... 950,000 252,298 *Interra Resources, Ltd................................ 1,370,000 442,207 IPC Corp., Ltd........................................ 4,067,000 435,403 58 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ---------- SINGAPORE -- (Continued) Isetan (Singapore), Ltd............................... 122,500 $ 513,103 *Jaya Holdings, Ltd.................................... 1,468,000 666,419 *JES International Holdings, Ltd....................... 1,938,000 231,792 *Jiutian Chemical Group, Ltd........................... 2,337,000 91,328 #*Jurong Technologies Industrial Corp., Ltd............. 2,227,680 -- K1 Ventures, Ltd...................................... 3,382,500 346,302 #Keppel Telecommunications & Transportation, Ltd....... 1,409,600 1,487,928 K-Green Trust, Ltd.................................... 539,000 446,445 Kian Ann Engineering, Ltd............................. 1,276,000 443,017 Koh Brothers Group, Ltd............................... 1,312,000 247,385 Lafe Corp., Ltd....................................... 1,234,800 76,935 LC Development, Ltd................................... 3,036,504 392,880 Lee Kim Tah Holdings, Ltd............................. 1,600,000 982,031 *Li Heng Chemical Fibre Technologies, Ltd.............. 2,053,000 238,404 *Lian Beng Group, Ltd.................................. 1,149,000 365,947 Lion Asiapac, Ltd..................................... 142,000 21,540 *LionGold Corp., Ltd................................... 298,000 260,096 *Low Keng Huat Singapore, Ltd.......................... 211,000 82,773 Lum Chang Holdings, Ltd............................... 1,042,030 277,047 M1, Ltd............................................... 1,154,000 2,467,111 *Manhattan Resources, Ltd.............................. 957,000 383,640 Marco Polo Marine, Ltd................................ 608,000 166,996 Memstar Technology, Ltd............................... 4,404,000 226,700 Memtech International, Ltd............................ 1,222,000 75,736 #Mercator Lines Singapore, Ltd......................... 555,000 52,769 Metro Holdings, Ltd................................... 2,085,792 1,348,822 *Mewah International, Inc.............................. 835,000 296,795 #Midas Holdings, Ltd................................... 5,800,000 1,914,925 Nam Cheong, Ltd....................................... 3,341,740 655,322 Nera Telecommunications, Ltd.......................... 1,079,000 459,641 New Toyo International Holdings, Ltd.................. 1,624,000 358,315 NSL, Ltd.............................................. 422,000 490,941 *Oceanus Group, Ltd.................................... 8,780,000 221,915 #OKP Holdings, Ltd..................................... 207,000 85,552 Orchard Parade Holdings, Ltd.......................... 990,359 2,063,514 OSIM International, Ltd............................... 1,465,000 1,945,552 *Ossia International, Ltd.............................. 398,554 37,411 #*Otto Marine, Ltd...................................... 4,977,500 341,974 #Overseas Union Enterprise, Ltd........................ 1,255,000 2,721,053 Pan Pacific Hotels Group, Ltd......................... 1,669,500 3,097,251 Pan-United Corp., Ltd................................. 2,006,000 1,114,079 *Penguin International, Ltd............................ 400,000 23,368 Petra Foods, Ltd...................................... 876,000 1,878,406 Popular Holdings, Ltd................................. 2,763,650 565,086 QAF, Ltd.............................................. 1,040,151 676,552 Qian Hu Corp., Ltd.................................... 481,600 34,788 #Raffles Education Corp., Ltd.......................... 3,580,710 965,883 #Raffles Medical Group, Ltd............................ 1,040,223 2,084,128 *Rickmers Maritime..................................... 53,000 15,817 Rotary Engineering, Ltd............................... 1,167,600 400,832 Roxy-Pacific Holdings, Ltd............................ 445,000 191,476 *S i2i, Ltd............................................ 14,461,000 284,045 San Teh, Ltd.......................................... 999,087 241,769 *Sapphire Corp., Ltd................................... 704,000 67,618 SBS Transit, Ltd...................................... 953,500 1,144,096 SC Global Developments, Ltd........................... 517,000 472,920 See Hup Seng, Ltd..................................... 64,000 9,913 *Seroja Investments, Ltd............................... 17,767 2,447 #*Sheng Siong Group, Ltd................................ 602,000 233,891 Sim Lian Group, Ltd................................... 2,281,855 1,528,000 Sinarmas Land, Ltd.................................... 4,095,000 927,529 59 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ SINGAPORE -- (Continued) *Sing Holdings, Ltd................................... 548,000 $ 172,597 Sing Investments & Finance, Ltd...................... 198,450 223,522 #Singapore Land, Ltd.................................. 60,000 337,020 Singapore Post, Ltd.................................. 6,199,120 5,789,946 Singapore Reinsurance Corp., Ltd..................... 1,514,530 295,477 Singapore Shipping Corp., Ltd........................ 1,689,000 249,981 Singapura Finance, Ltd............................... 174,062 227,127 *Sinostar PEC Holdings, Ltd........................... 160,000 16,444 #Sound Global, Ltd.................................... 1,432,000 589,932 Stamford Land Corp., Ltd............................. 2,938,000 1,335,405 Straco Corp., Ltd.................................... 130,000 26,300 STX OSV Holdings, Ltd................................ 3,176,000 3,965,561 Sunningdale Tech, Ltd................................ 2,398,000 243,259 #*Sunvic Chemical Holdings, Ltd........................ 1,213,000 355,989 #Super Group, Ltd..................................... 1,064,000 2,125,212 #*Swiber Holdings, Ltd................................. 2,521,000 1,194,856 Tat Hong Holdings, Ltd............................... 1,241,800 1,337,701 #Technics Oil & Gas, Ltd.............................. 947,000 801,868 Thakral Corp., Ltd................................... 6,028,000 137,505 *Tiger Airways Holdings, Ltd.......................... 1,970,500 1,197,690 Tiong Woon Corp. Holding, Ltd........................ 1,498,250 343,105 *Transcu Group, Ltd................................... 4,936,000 64,745 Trek 2000 International, Ltd......................... 714,000 147,087 #*Triyards Holdings, Ltd............................... 348,900 233,115 #Tuan Sing Holdings, Ltd.............................. 3,747,475 931,397 UMS Holdings, Ltd.................................... 1,178,000 389,456 #United Engineers, Ltd................................ 1,015,014 2,050,418 #United Envirotech, Ltd............................... 1,440,000 429,286 United Industrial Corp., Ltd......................... 163,000 372,488 United Overseas Insurance, Ltd....................... 187,250 549,525 UOB-Kay Hian Holdings, Ltd........................... 1,584,400 2,082,050 Venture Corp., Ltd................................... 819,000 5,126,251 Vicom, Ltd........................................... 120,000 480,823 #WBL Corp., Ltd....................................... 615,000 1,782,205 Wee Hur Holdings, Ltd................................ 1,207,000 276,985 Wheelock Properties, Ltd............................. 1,210,000 1,795,186 Wing Tai Holdings, Ltd............................... 1,874,567 2,652,645 Xpress Holdings, Ltd................................. 3,079,000 65,216 YHI International, Ltd............................... 1,174,000 314,569 Yoma Strategic Holdings, Ltd......................... 2,000 865 Yongnam Holdings, Ltd................................ 4,419,000 851,423 ------------ TOTAL SINGAPORE......................................... 145,872,792 ------------ TOTAL COMMON STOCKS..................................... 992,682,247 ------------ RIGHTS/WARRANTS -- (0.1%) AUSTRALIA -- (0.0%) *Centrebet International, Ltd. Litigation Rights...... 81,336 -- *Gujarat NRE Coking Coal, Ltd. Rights 11/15/12........ 29,966 -- *Yancoal Australia, Ltd. Contigent Value Rights....... 232,730 579,555 ------------ TOTAL AUSTRALIA......................................... 579,555 ------------ HONG KONG -- (0.1%) *Esprit Holdings, Ltd. Rights 11/19/12................ 2,582,450 693,092 ------------ SINGAPORE -- (0.0%) *Sing Investments & Finance, Ltd. Rights 11/05/12..... 99,225 14,235 *Transcu Group, Ltd. Warrants 09/01/13................ 1,018,000 835 ------------ TOTAL SINGAPORE......................................... 15,070 ------------ TOTAL RIGHTS/WARRANTS................................... 1,287,717 ------------ 60 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED SHARES/ FACE AMOUNT (000) VALUE+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (16.9%) (S)@DFA Short Term Investment Fund.................. 17,286,085 200,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,673,484) to be repurchased at $1,640,687.... $ 1,641 1,640,671 -------------- TOTAL SECURITIES LENDING COLLATERAL................. 201,640,671 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,153,289,637)............................ $1,195,610,635 ============== 61 THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ ---------- ----------- COMMON STOCKS -- (98.1%) Consumer Discretionary -- (24.5%) 4imprint Group P.L.C................................. 96,735 $ 543,525 888 Holdings P.L.C................................... 508,610 861,283 Aegis Group P.L.C.................................... 3,314,004 12,583,830 Aga Rangemaster Group P.L.C.......................... 453,866 399,923 *Barratt Developments P.L.C........................... 4,366,245 13,384,802 Bellway P.L.C........................................ 481,114 7,864,489 *Berkeley Group Holdings P.L.C. (The)................. 548,179 13,489,734 Betfair Group P.L.C.................................. 91,793 1,115,154 Bloomsbury Publishing P.L.C.......................... 272,216 565,717 Bovis Homes Group P.L.C.............................. 875,787 7,249,764 Bwin.Party Digital Entertainment P.L.C............... 2,344,508 4,554,800 *Carpetright P.L.C.................................... 177,223 1,974,132 Centaur Media P.L.C.................................. 556,967 457,811 Chime Communications P.L.C........................... 246,173 858,453 Cineworld Group P.L.C................................ 198,435 776,982 *Clinton Cards P.L.C.................................. 740,506 -- Creston P.L.C........................................ 22,394 30,349 Daily Mail & General Trust P.L.C. Series A........... 1,312,593 10,125,279 Darty P.L.C.......................................... 2,066,186 1,796,501 Debenhams P.L.C...................................... 5,756,729 11,145,139 Dignity P.L.C........................................ 218,423 3,297,087 *Dixons Retail P.L.C.................................. 15,301,236 5,105,084 Domino's Pizza Group P.L.C........................... 465,012 3,800,122 Dunelm Group P.L.C................................... 188,285 2,040,143 *Enterprise Inns P.L.C................................ 2,178,467 2,561,410 Euromoney Institutional Investor P.L.C............... 295,537 3,820,353 Fiberweb P.L.C....................................... 531,419 566,810 *Findel P.L.C......................................... 4,998,346 548,300 *Forminster P.L.C..................................... 43,333 2,622 French Connection Group P.L.C........................ 205,623 80,126 Fuller Smith & Turner P.L.C. Series A................ 132,875 1,588,719 *Future P.L.C......................................... 1,301,863 360,702 Games Workshop Group P.L.C........................... 101,889 1,109,098 GKN P.L.C............................................ 3,193,432 10,740,884 Greene King P.L.C.................................... 1,421,372 13,637,335 Halfords Group P.L.C................................. 792,627 4,430,415 Headlam Group P.L.C.................................. 336,384 1,736,703 Henry Boot P.L.C..................................... 430,392 904,753 #*hibu P.L.C........................................... 4,312,932 25,756 *HMV Group P.L.C...................................... 791,347 35,342 #Home Retail Group P.L.C.............................. 3,162,895 5,839,305 Hornby P.L.C......................................... 154,220 149,341 Howden Joinery Group P.L.C........................... 2,315,316 6,365,464 Huntsworth P.L.C..................................... 854,940 646,224 Inchcape P.L.C....................................... 2,005,227 13,040,981 Informa P.L.C........................................ 2,578,346 16,689,745 ITV P.L.C............................................ 8,151,944 11,412,918 JD Sports Fashion P.L.C.............................. 120,013 1,471,955 JD Wetherspoon P.L.C................................. 462,380 3,746,651 John Menzies P.L.C................................... 244,534 2,392,948 *Johnston Press P.L.C................................. 507,412 102,458 Ladbrokes P.L.C...................................... 3,736,209 10,821,643 Laura Ashley Holdings P.L.C.......................... 1,500,394 640,612 Lookers P.L.C........................................ 1,114,193 1,365,690 Low & Bonar P.L.C.................................... 831,280 727,128 M.J. Gleeson Group P.L.C............................. 195,875 475,612 Marston's P.L.C...................................... 2,854,528 5,653,375 Mecom Group P.L.C.................................... 274,098 344,488 62 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ------------ Consumer Discretionary -- (Continued) Millennium & Copthorne Hotels P.L.C................. 1,048,561 $ 8,508,761 *Mitchells & Butlers P.L.C........................... 987,029 5,222,667 #Mothercare P.L.C.................................... 436,844 1,960,059 *MWB Group Holdings P.L.C............................ 335,122 26,364 N Brown Group P.L.C................................. 874,754 4,751,622 #*Ocado Group P.L.C................................... 717,280 768,503 *Pendragon P.L.C..................................... 2,748,586 620,979 *Perform Group PLC................................... 8,744 56,712 Persimmon P.L.C..................................... 1,429,557 18,394,004 Photo-Me International P.L.C........................ 17,330 14,006 *Punch Taverns P.L.C................................. 2,380,301 249,276 Rank Group P.L.C.................................... 3,252 7,692 *Redrow P.L.C........................................ 1,498,271 3,821,045 Restaurant Group P.L.C.............................. 794,689 4,815,167 Rightmove P.L.C..................................... 404,934 10,542,022 Smiths News P.L.C................................... 805,283 2,020,271 Spirit Pub Co. P.L.C................................ 2,505,265 2,448,933 *Sportech P.L.C...................................... 361,100 373,447 #Sportingbet P.L.C................................... 983,711 852,335 *Sports Direct International P.L.C................... 710,804 4,580,439 *SuperGroup P.L.C.................................... 118,236 1,276,712 Taylor Wimpey P.L.C................................. 14,517,978 14,349,169 Ted Baker P.L.C..................................... 148,966 2,274,888 *Thomas Cook Group P.L.C............................. 3,320,407 1,100,079 Topps Tiles P.L.C................................... 810,881 617,189 *Torotrak P.L.C...................................... 45,292 21,846 *Trinity Mirror P.L.C................................ 1,688,565 1,653,544 TUI Travel P.L.C.................................... 1,536,840 6,235,459 UBM P.L.C........................................... 1,008,603 11,402,231 UTV Media P.L.C..................................... 230,855 496,458 Vitec Group P.L.C. (The)............................ 160,973 1,850,631 #WH Smith P.LC....................................... 620,413 6,225,889 Whitbread P.L.C..................................... 34,852 1,324,493 William Hill P.L.C.................................. 3,062,912 16,735,721 Wilmington Group P.L.C.............................. 346,234 712,569 ------------ Total Consumer Discretionary........................... 364,367,151 ------------ Consumer Staples -- (3.9%) #A.G. Barr P.L.C..................................... 424,100 3,045,773 Anglo-Eastern Plantations P.L.C..................... 108,153 1,221,816 Booker Group P.L.C.................................. 5,398,487 8,938,689 Britvic P.L.C....................................... 961,388 5,579,509 Cranswick P.L.C..................................... 215,761 2,601,564 Dairy Crest Group P.L.C............................. 639,100 3,685,047 Devro P.L.C......................................... 672,640 3,565,512 *European Home Retail P.L.C.......................... 109,256 -- Greencore Group P.L.C............................... 1,566,557 2,300,488 Greggs P.L.C........................................ 479,826 3,628,784 Hilton Food Group, Ltd.............................. 11,461 51,709 *McBride P.L.C....................................... 832,651 1,841,618 *McBride P.L.C. Redeemable B Shares.................. 24,979,530 40,311 *Premier Foods P.L.C................................. 860,448 1,484,965 #PZ Cussons P.L.C.................................... 1,287,639 7,041,764 R.E.A. Holdings P.L.C............................... 50,639 392,914 Tate & Lyle P.L.C................................... 1,034,844 12,129,459 Thorntons P.L.C..................................... 179,394 88,926 Young & Co.'s Brewery P.L.C. Non-Voting Shares...... 26,250 228,093 ------------ Total Consumer Staples................................. 57,866,941 ------------ Energy -- (4.9%) *Afren P.L.C......................................... 4,970,604 11,086,658 63 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- Energy -- (Continued) Anglo Pacific Group P.L.C............................. 438,805 $ 1,773,306 *Cadogan Petroleum P.L.C............................... 39,742 9,823 *Cairn Energy P.L.C.................................... 1,353,844 6,136,442 *EnQuest P.L.C......................................... 2,767,503 5,188,032 #*Essar Energy P.L.C.................................... 572,688 1,269,119 *Exillon Energy P.L.C.................................. 162,141 408,683 *Fortune Oil P.L.C..................................... 6,170,225 847,154 *Hardy Oil & Gas P.L.C................................. 74,781 156,569 *Heritage Oil P.L.C.................................... 653,846 2,045,410 Hunting P.L.C......................................... 541,277 6,556,258 James Fisher & Sons P.L.C............................. 178,323 2,251,005 *JKX Oil & Gas P.L.C................................... 456,676 590,848 John Wood Group P.L.C................................. 1,017,921 13,991,092 #Lamprell P.L.C........................................ 596,806 714,651 *Petroceltic International P.L.C....................... 5,866,873 654,351 *Premier Oil P.L.C..................................... 1,957,535 11,099,271 *Salamander Energy P.L.C............................... 976,320 3,034,643 *SOCO International P.L.C.............................. 970,105 5,300,652 *UK Coal P.L.C......................................... 1,282,146 144,226 ----------- Total Energy............................................. 73,258,193 ----------- Financials -- (14.1%) Aberdeen Asset Management P.L.C....................... 2,601,039 13,663,246 Admiral Group P.L.C................................... 41,232 738,864 Amlin P.L.C........................................... 2,265,989 13,660,008 Arbuthnot Banking Group P.L.C......................... 48,497 505,733 Ashmore Group P.L.C................................... 1,141,118 6,568,968 Beazley P.L.C......................................... 2,304,463 6,589,227 Brewin Dolphin Holdings P.L.C......................... 1,089,299 3,178,539 Capital & Counties Properties P.L.C................... 472,683 1,726,612 *Capital & Regional P.L.C.............................. 1,493,345 579,093 Catlin Group, Ltd..................................... 1,602,895 12,215,551 #Charles Stanley Group P.L.C........................... 126,349 586,856 Charles Taylor P.L.C.................................. 139,215 405,243 Chesnara P.L.C........................................ 367,992 1,115,581 Close Brothers Group P.L.C............................ 637,738 8,726,585 Daejan Holdings P.L.C................................. 32,083 1,497,609 Development Securities P.L.C.......................... 474,030 1,224,870 F&C Asset Management P.L.C............................ 2,141,878 3,426,195 Hansard Global P.L.C.................................. 16,468 22,901 Hargreaves Lansdown P.L.C............................. 734,280 8,763,124 Helical Bar P.L.C..................................... 660,484 2,056,719 Henderson Group P.L.C................................. 4,116,420 7,791,870 Hiscox, Ltd........................................... 1,714,088 13,217,072 ICAP P.L.C............................................ 1,805,106 9,496,771 IG Group Holdings P.L.C............................... 1,498,282 10,550,404 *Industrial & Commercial Holdings P.L.C................ 5,000 121 Intermediate Capital Group P.L.C...................... 572,350 2,825,037 International Personal Finance P.L.C.................. 690,825 3,880,579 #*IP Group P.L.C........................................ 851,769 1,624,970 Jardine Lloyd Thompson Group P.L.C.................... 518,004 6,226,680 Jupiter Fund Management P.L.C......................... 605,835 2,563,270 Lancashire Holdings, Ltd.............................. 685,288 9,556,371 *Liontrust Asset Management P.L.C...................... 129,935 235,053 London Stock Exchange Group P.L.C..................... 579,642 9,146,032 LSL Property Services P.L.C........................... 162,024 590,418 Man Group P.L.C....................................... 4,362,669 5,543,977 Novae Group P.L.C..................................... 217,826 1,308,824 Phoenix Group Holdings P.L.C.......................... 121,881 972,335 Provident Financial P.L.C............................. 496,498 11,004,838 *Puma Brandenburg, Ltd. Class A........................ 1,193,004 92,829 64 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Financials -- (Continued) *Puma Brandenburg, Ltd. Class B....................... 1,193,004 $ 38,678 *Quintain Estates & Development P.L.C................. 1,564,238 1,352,637 Rathbone Brothers P.L.C.............................. 165,692 3,466,529 *Raven Russia, Ltd.................................... 252,791 265,357 S&U P.L.C............................................ 21,140 303,695 Safestore Holdings P.L.C............................. 599,761 1,056,444 Savills P.L.C........................................ 574,918 3,757,301 Shore Capital Group, Ltd............................. 890,380 237,145 St. James's Place P.L.C.............................. 846,493 5,435,424 St. Modwen Properties P.L.C.......................... 667,078 2,173,933 Tullett Prebon P.L.C................................. 1,003,860 4,437,965 Unite Group P.L.C.................................... 751,758 3,441,897 *Waterloo Investment Holdings, Ltd.................... 5,979 675 ------------ Total Financials........................................ 209,846,655 ------------ Health Care -- (2.1%) #*Alizyme P.L.C........................................ 660,805 -- Assura Group, Ltd.................................... 55,851 30,261 Bioquell P.L.C....................................... 90,893 193,755 *BTG P.L.C............................................ 1,273,722 7,032,917 Consort Medical P.L.C................................ 119,338 1,474,871 Corin Group P.L.C.................................... 126,637 117,379 Dechra Pharmaceuticals P.L.C......................... 343,154 3,414,171 Genus P.L.C.......................................... 250,709 5,905,930 Hikma Pharmaceuticals P.L.C.......................... 590,810 7,056,284 *Optos P.L.C.......................................... 78,266 257,193 *Oxford Biomedica P.L.C............................... 2,821,652 115,891 *Renovo Group P.L.C................................... 87,461 23,996 *Southern Cross Healthcare Group P.L.C................ 191,826 -- Synergy Health P.L.C................................. 221,547 3,322,624 *Vectura Group P.L.C.................................. 1,514,341 2,127,145 *Vernalis P.L.C....................................... 19,974 7,906 ------------ Total Health Care....................................... 31,080,323 ------------ Industrials -- (27.8%) #Air Partner P.L.C.................................... 37,086 185,555 Alumasc Group P.L.C.................................. 124,366 164,660 Ashtead Group P.L.C.................................. 2,502,187 15,116,530 Avon Rubber P.L.C.................................... 31,280 161,419 Babcock International Group P.L.C.................... 1,401,502 22,154,294 Balfour Beatty P.L.C................................. 3,154,154 16,078,068 BBA Aviation P.L.C................................... 2,792,163 9,122,178 Berendsen P.L.C...................................... 773,744 7,035,834 Bodycote P.L.C....................................... 1,253,236 7,651,954 Braemar Shipping Services P.L.C...................... 81,108 546,733 Brammer P.L.C........................................ 244,607 949,530 Bunzl P.L.C.......................................... 147,479 2,442,920 Camellia P.L.C....................................... 2,481 387,764 Cape P.L.C........................................... 432,603 1,881,522 Carillion P.L.C...................................... 1,787,034 8,894,503 Carr's Milling Industries P.L.C...................... 35,330 537,483 Castings P.L.C....................................... 162,757 911,981 Chemring Group P.L.C................................. 783,476 3,976,353 Clarkson P.L.C....................................... 61,518 1,322,809 Cobham P.L.C......................................... 4,694,331 16,320,407 Communisis P.L.C..................................... 561,718 335,858 Cookson Group P.L.C.................................. 1,218,370 11,509,815 #Costain Group P.L.C.................................. 157,259 598,352 De La Rue P.L.C...................................... 446,761 7,640,869 easyJet P.L.C........................................ 692,439 6,997,805 *Eleco P.L.C.......................................... 80,000 10,020 65 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- Industrials -- (Continued) Fenner P.L.C.......................................... 719,811 $ 4,205,451 Firstgroup P.L.C...................................... 1,842,109 5,672,508 Galliford Try P.L.C................................... 249,089 2,970,718 Go-Ahead Group P.L.C.................................. 187,428 3,932,585 *Hampson Industries P.L.C.............................. 110,209 409 Harvey Nash Group P.L.C............................... 8,623 7,985 Hays P.L.C............................................ 5,445,665 7,180,401 Hogg Robinson Group P.L.C............................. 250,887 198,572 Homeserve P.L.C....................................... 1,233,259 4,398,496 Hyder Consulting P.L.C................................ 171,856 1,095,617 IMI P.L.C............................................. 1,002,882 15,484,442 Interserve P.L.C...................................... 576,831 3,633,984 Intertek Group P.L.C.................................. 378,948 17,273,414 Invensys P.L.C........................................ 3,349,956 12,352,173 ITE Group P.L.C....................................... 1,059,501 3,305,306 Keller Group P.L.C.................................... 280,343 2,749,917 Kier Group P.L.C...................................... 168,347 3,502,140 Latchways P.L.C....................................... 36,248 585,018 Lavendon Group P.L.C.................................. 512,546 1,167,947 Management Consulting Group P.L.C..................... 1,290,496 516,423 #Mears Group P.L.C..................................... 263,980 1,253,498 Meggitt P.L.C......................................... 2,407,994 15,018,915 Melrose P.L.C......................................... 4,749,372 18,500,491 Michael Page International P.L.C...................... 1,310,832 7,650,621 Mitie Group P.L.C..................................... 1,526,552 7,192,493 Morgan Crucible Co. P.L.C............................. 1,297,193 5,299,961 Morgan Sindall Group P.L.C............................ 170,811 1,824,263 National Express Group P.L.C.......................... 1,725,133 4,745,183 Northgate P.L.C....................................... 503,561 2,058,185 PayPoint P.L.C........................................ 132,776 1,649,580 Porvair P.L.C......................................... 146,460 324,684 Qinetiq Group P.L.C................................... 3,030,205 9,651,175 Regus P.L.C........................................... 3,337,697 5,411,927 *Renold P.L.C.......................................... 89,220 27,128 Rentokil Initial P.L.C................................ 7,256,414 10,329,224 Ricardo P.L.C......................................... 217,815 1,271,551 *Richmond Oil & Gas P.L.C.............................. 220,000 -- Robert Walters P.L.C.................................. 387,999 1,249,681 Rotork P.L.C.......................................... 366,679 13,509,077 RPS Group P.L.C....................................... 892,257 3,384,468 Senior P.L.C.......................................... 1,849,203 5,811,564 Severfield-Rowen P.L.C................................ 371,550 845,669 Shanks Group P.L.C.................................... 1,786,148 2,362,814 SIG P.L.C............................................. 2,467,815 4,180,720 Speedy Hire P.L.C..................................... 1,341,345 698,883 Spirax-Sarco Engineering P.L.C........................ 320,648 10,039,086 St. Ives Group P.L.C.................................. 665,998 1,102,060 Stagecoach Group P.L.C................................ 1,869,535 8,291,263 Sthree P.L.C.......................................... 353,790 1,720,244 T. Clarke P.L.C....................................... 147,457 108,529 Tarsus Group P.L.C.................................... 212,372 643,035 *Travis Perkins P.L.C.................................. 930,166 16,254,661 Tribal Group P.L.C.................................... 139,275 211,088 Trifast P.L.C......................................... 359,985 254,234 UK Mail Group P.L.C................................... 197,261 838,700 Ultra Electronics Holdings P.L.C...................... 285,303 7,807,153 #Volex P.L.C........................................... 229,354 602,309 Vp P.L.C.............................................. 167,297 884,883 *Wincanton P.L.C....................................... 462,355 506,133 WS Atkins P.L.C....................................... 501,683 5,785,306 66 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Industrials -- (Continued) #XP Power, Ltd........................................ 73,546 $ 1,163,024 ------------ Total Industrials....................................... 413,632,185 ------------ Information Technology -- (8.9%) Acal P.L.C........................................... 104,729 293,040 Anite P.L.C.......................................... 1,253,216 2,861,159 Aveva Group P.L.C.................................... 289,692 9,322,073 Computacenter P.L.C.................................. 460,793 2,728,327 CSR P.L.C............................................ 837,090 4,778,596 Dialight P.L.C....................................... 126,282 2,268,618 Diploma P.L.C........................................ 505,533 3,652,449 Domino Printing Sciences P.L.C....................... 475,431 4,168,220 E2V Technologies P.L.C............................... 415,037 778,743 Electrocomponents P.L.C.............................. 1,877,117 6,519,602 Fidessa Group P.L.C.................................. 138,383 2,971,089 Halma P.L.C.......................................... 1,549,740 10,329,189 *Imagination Technologies Group P.L.C................. 928,414 6,859,020 *Innovation Group P.L.C............................... 3,551,263 1,262,926 *Kofax P.L.C.......................................... 317,667 1,447,479 Laird P.L.C.......................................... 1,133,292 3,855,314 Micro Focus International P.L.C...................... 556,396 5,160,899 Moneysupermarket.com Group P.L.C..................... 676,611 1,465,350 NCC Group P.L.C...................................... 17,999 261,794 Oxford Instruments P.L.C............................. 226,537 4,915,896 Pace P.L.C........................................... 1,356,764 4,073,114 Phoenix IT Group, Ltd................................ 204,614 570,543 Premier Farnell P.L.C................................ 1,467,203 3,926,043 *PV Crystalox Solar P.L.C............................. 384,786 45,789 Renishaw P.L.C....................................... 188,423 5,372,296 RM P.L.C............................................. 363,499 473,661 SDL P.L.C............................................ 347,207 2,976,087 Sepura P.L.C......................................... 5,137 7,476 Spectris P.L.C....................................... 515,234 14,431,374 Spirent Communications P.L.C......................... 2,633,737 6,149,662 Telecity Group P.L.C................................. 826,400 12,038,001 TT electronics P.L.C................................. 643,621 1,300,719 Vislink P.L.C........................................ 274,226 115,160 *Wolfson Microelectronics P.L.C....................... 504,759 1,697,318 Xaar P.L.C........................................... 252,429 1,072,512 *Xchanging P.L.C...................................... 1,100,065 1,966,760 ------------ Total Information Technology............................ 132,116,298 ------------ Materials -- (7.3%) African Barrick Gold P.L.C........................... 361,989 2,481,984 AZ Electronic Materials SA........................... 292,428 1,677,416 British Polythene Industries P.L.C................... 119,701 736,714 Carclo P.L.C......................................... 221,307 1,290,230 *Centamin P.L.C....................................... 3,531,782 3,647,652 Croda International P.L.C............................ 499,699 17,791,547 DS Smith P.L.C....................................... 4,475,611 15,451,908 Elementis P.L.C...................................... 1,966,934 6,657,512 Ferrexpo P.L.C....................................... 888,830 3,001,341 Filtrona P.L.C....................................... 802,884 7,438,164 *Gem Diamonds, Ltd.................................... 431,630 1,177,475 Hill & Smith Holdings P.L.C.......................... 311,720 1,874,496 #Hochschild Mining P.L.C.............................. 647,638 5,177,851 *International Ferro Metals, Ltd...................... 423,652 94,132 #Lonmin P.L.C......................................... 428,276 3,553,829 Marshalls P.L.C...................................... 722,366 1,045,594 Mondi P.L.C.......................................... 1,222,056 13,471,337 New World Resources P.L.C. Series A.................. 132,319 548,215 67 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- -------------- Materials -- (Continued) *Petra Diamonds, Ltd................................ 362,381 $ 583,475 Petropavlovsk P.L.C................................ 646,643 4,222,023 RPC Group P.L.C.................................... 707,602 4,842,279 #*Talvivaara Mining Co. P.L.C........................ 418,283 881,222 Victrex P.L.C...................................... 340,523 7,849,216 Yule Catto & Co. P.L.C............................. 962,661 2,285,497 Zotefoams P.L.C.................................... 96,852 322,517 -------------- Total Materials....................................... 108,103,626 -------------- Telecommunication Services -- (2.2%) Cable & Wireless Communications P.L.C.............. 9,991,391 6,049,966 *Colt Group SA...................................... 1,298,816 2,317,964 Inmarsat P.L.C..................................... 1,658,096 15,190,469 KCOM Group P.L.C................................... 2,643,350 3,243,205 TalkTalk Telecom Group P.L.C....................... 1,776,695 5,453,326 -------------- Total Telecommunication Services...................... 32,254,930 -------------- Utilities -- (2.4%) Dee Valley Group P.L.C............................. 12,109 260,115 Drax Group P.L.C................................... 1,615,898 14,665,707 Pennon Group P.L.C................................. 1,434,955 16,622,307 Telecom Plus P.L.C................................. 265,603 3,644,535 -------------- Total Utilities....................................... 35,192,664 -------------- TOTAL COMMON STOCKS................................... 1,457,718,966 -------------- PREFERRED STOCKS -- (0.0%) Consumer Staples -- (0.0%) *R.E.A. Holdings P.L.C.............................. 8,452 15,064 -------------- RIGHTS/WARRANTS -- (0.0%) *SFI Holdings, Ltd. Litigation Certificate.......... 26,713 -- -------------- TOTAL RIGHTS/WARRANTS................................. -- -------------- SHARES/ FACE AMOUNT (000) VALUE+ --------- -------------- SECURITIES LENDING COLLATERAL -- (1.9%) (S)@DFA Short Term Investment Fund.................... 2,420,052 28,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $224) to be repurchased at $220.................. -- 220 -------------- TOTAL SECURITIES LENDING COLLATERAL................... 28,000,220 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,210,154,050).............................. $1,485,734,250 ============== 68 THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ ------- ----------- COMMON STOCKS -- (88.4%) AUSTRIA -- (2.2%) Agrana Beteiligungs AG.................................. 17,322 $ 2,086,369 *AMAG Austria Metall AG.................................. 13,167 364,864 *A-TEC Industries AG..................................... 21,828 -- Atrium European Real Estate, Ltd........................ 610,894 3,464,231 Austria Email AG........................................ 715 5,666 Austria Technologie & Systemtechnik AG.................. 42,211 371,216 BKS Bank AG............................................. 3,120 70,267 #BWT AG.................................................. 39,087 808,228 CA Immobilien Anlagen AG................................ 163,483 2,027,165 DO & CO AG.............................................. 2,924 120,468 *EAG-Beteiligungs AG..................................... 1,650 1,069 #EVN AG.................................................. 147,842 2,091,265 Flughafen Wien AG....................................... 45,527 2,064,513 Frauenthal Holding AG................................... 4,212 50,124 #*Intercell AG............................................ 254,689 626,995 Josef Manner & Co. AG................................... 870 56,393 Kapsch TrafficCom AG.................................... 22,171 1,294,428 #Lenzing AG.............................................. 50,402 4,486,569 Mayr-Melnhof Karton AG.................................. 39,013 3,856,345 #Oberbank AG............................................. 37,973 2,352,401 #Oesterreichischen Post AG............................... 147,545 5,686,026 Palfinger AG............................................ 55,397 1,113,768 #*Polytec Holding AG...................................... 79,815 569,658 RHI AG.................................................. 112,207 3,175,268 Rosenbauer International AG............................. 13,836 724,485 #S IMMO AG............................................... 226,536 1,446,437 *S&T System Integration & Technology Distribution AG..... 6,318 24,437 Schoeller-Bleckmann Oilfield Equipment AG............... 51,365 4,955,866 Semperit Holding AG..................................... 47,021 1,981,734 Strabag SE.............................................. 102,680 2,581,393 UBM Realitaetenentwicklung AG........................... 2,880 47,408 #*Uniqa Versicherungen AG................................. 248,568 2,872,784 #Wienerberger AG......................................... 496,488 3,561,534 Wolford AG.............................................. 11,252 364,403 Zumtobel AG............................................. 128,443 1,373,990 ----------- TOTAL AUSTRIA.............................................. 56,677,767 ----------- BELGIUM -- (3.2%) #*Ablynx NV............................................... 88,257 595,520 Ackermans & van Haaren NV............................... 118,073 9,613,309 *Agfa-Gevaert NV......................................... 769,380 1,257,195 Arseus NV............................................... 94,203 1,763,355 Atenor Group NV......................................... 4,672 211,470 Banque Nationale de Belgique............................ 955 3,042,741 Barco NV................................................ 58,733 4,040,279 #Bekaert NV.............................................. 136,903 3,738,318 Co.Br.Ha Societe Commerciale de Brasserie SA............ 115 245,670 Compagnie d'Entreprises SA.............................. 41,428 2,038,337 *Compagnie du Bois Sauvage SA............................ 87 5 Compagnie Immobiliere de Belgique SA.................... 10,604 361,037 Compagnie Maritime Belge SA............................. 66,098 1,182,497 #*Deceuninck NV........................................... 298,827 496,562 #*Devgen NV............................................... 73,663 1,516,299 D'ieteren SA NV......................................... 129,060 6,229,223 Duvel Moorgat SA........................................ 8,799 1,060,600 Econocom Group.......................................... 265,744 1,844,115 Elia System Operator SA................................. 131,072 5,354,602 *Euronav SA.............................................. 88,337 487,785 69 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- BELGIUM -- (Continued) EVS Broadcast Equipment SA............................. 56,205 $ 3,262,713 Exmar NV............................................... 132,340 987,261 Floridienne SA......................................... 2,033 292,421 *Galapagos NV........................................... 99,665 2,026,835 #Gimv NV................................................ 13,215 638,937 Hamon SA............................................... 4,148 58,465 Image Recognition Integrated Systems (I.R.I.S.) SA..... 6,284 342,324 *Ion Beam Applications SA............................... 81,148 683,237 Jensen-Group NV........................................ 12,030 182,555 Kinepolis Group NV..................................... 19,582 1,953,895 Lotus Bakeries NV...................................... 1,361 1,010,899 Melexis NV............................................. 93,665 1,480,708 Mobistar SA............................................ 84,370 2,230,962 Nyrstar NV............................................. 616,535 3,585,618 *Picanol NV............................................. 17,778 431,388 *RealDolmen NV (5529094)................................ 120 20 *RealDolmen NV (B3M0622)................................ 7,555 180,695 Recticel SA............................................ 87,697 581,620 Resilux SA............................................. 4,095 262,929 Rosier SA.............................................. 655 188,635 Roularta Media Group NV................................ 8,707 131,555 SAPEC SA............................................... 3,419 176,980 Sioen Industries NV.................................... 52,140 418,151 Sipef NV............................................... 29,621 2,258,025 Softimat SA............................................ 22,765 101,017 Telenet Group Holding NV............................... 606 27,763 Ter Beke NV............................................ 2,260 140,750 Tessenderlo Chemie NV.................................. 122,318 3,549,307 #*ThromboGenics NV....................................... 152,765 7,335,477 Van de Velde NV........................................ 33,273 1,534,979 VPK Packaging Group SA................................. 12,084 514,609 ----------- TOTAL BELGIUM............................................. 81,649,649 ----------- DENMARK -- (3.4%) Alk-Abello A.S......................................... 28,123 1,871,400 *Alm. Brand A.S......................................... 484,611 1,207,289 *Amagerbanken A.S....................................... 647,900 -- Ambu A.S. Series B..................................... 26,910 716,997 *Arkil Holdings A.S. Series B........................... 586 40,179 *Auriga Industries A.S. Series B........................ 96,829 1,438,589 #*Bang & Olufsen Holdings A.S............................ 147,514 1,820,773 *BankNordik A.S......................................... 292 3,123 #*Bavarian Nordic A.S.................................... 100,943 920,384 BoConcept Holding A.S.................................. 5,650 127,759 Brodrene Hartmann A.S. Series B........................ 11,730 250,270 *Brondbyernes IF Fodbold A.S. Series B.................. 12,915 32,581 D/S Norden A.S......................................... 110,869 2,924,056 *Dalhoff Larsen & Horneman A.S.......................... 9,669 6,130 DFDS A.S............................................... 18,568 900,236 *Djursland Bank A.S..................................... 8,970 216,155 East Asiatic Co., Ltd. A.S............................. 55,571 1,073,159 F.E. Bording A.S....................................... 576 68,055 Fluegger A.S. Series B................................. 4,198 240,764 #*Genmab A.S............................................. 174,543 2,430,351 GN Store Nord A.S...................................... 803,034 12,585,533 *GPV Industri A.S. Series B............................. 2,200 11,468 *Greentech Energy Systems A.S........................... 8,355 16,839 Gronlandsbanken A.S.................................... 768 63,162 *H&H International A.S. Series B........................ 18,111 92,099 Harboes Bryggeri A.S................................... 12,252 186,187 *Hojgaard Holding A.S. Series B......................... 2,727 35,473 70 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- DENMARK -- (Continued) #IC Companys A.S....................................... 35,278 $ 617,996 *Incentive A.S......................................... 3,575 11,491 Jeudan A.S............................................ 4,620 358,008 *Jyske Bank A.S........................................ 229,630 6,990,086 Lan & Spar Bank A.S................................... 5,150 254,567 *Lastas A.S. Series B.................................. 9,839 27,182 *Lollands Bank A.S..................................... 209 4,031 *Mols-Linien A.S....................................... 23,640 64,077 *NeuroSearch A.S....................................... 43,007 33,923 #NKT Holding A.S....................................... 92,105 3,087,266 Nordjyske Bank A.S.................................... 17,600 251,187 Norresundby Bank A.S.................................. 7,350 217,112 North Media A.S....................................... 36,665 124,114 *Ostjydsk Bank A.S..................................... 3,305 128,754 #*Pandora A.S........................................... 236,869 3,761,058 #*Parken Sport & Entertainment A.S...................... 33,556 393,125 Per Aarsleff A.S. Series B............................ 7,235 502,789 #Ringkjoebing Landbobank A.S........................... 17,872 2,473,888 Roblon A.S. Series B.................................. 540 78,517 Rockwool International A.S. Series B.................. 28,851 2,715,724 Royal Unibrew A.S..................................... 45,850 3,649,711 *Salling Bank A.S...................................... 384 14,815 Schouw & Co. A.S...................................... 74,017 1,691,619 SimCorp A.S........................................... 19,486 4,252,211 *Skjern Bank A.S....................................... 2,897 46,397 Solar Holdings A.S. Series B.......................... 22,263 1,379,635 *Spar Nord Bank A.S.................................... 274,852 1,211,212 *Sparbank A.S.......................................... 7,749 66,881 *Sparekassen Faaborg A.S............................... 1,972 62,808 *Sydbank A.S........................................... 307,380 5,630,616 Tivoli A.S............................................ 969 497,858 #*TK Development A.S.................................... 153,640 373,934 *Topdanmark A.S........................................ 53,386 10,826,718 *TopoTarget A.S........................................ 332,263 140,545 *Topsil Semiconductor Materials A.S.................... 194,350 12,244 *Torm A.S.............................................. 116,681 60,350 *United International Enterprises A.S.................. 6,796 1,159,308 #*Vestas Wind Systems A.S............................... 588,304 3,401,289 *Vestjysk Bank A.S..................................... 29,541 73,492 *Zealand Pharma A.S.................................... 14,793 265,225 ----------- TOTAL DENMARK............................................ 86,190,774 ----------- FINLAND -- (6.1%) #Ahlstrom Oyj.......................................... 29,300 487,487 Aktia Oyj Series A.................................... 14,830 110,107 #Alma Media Oyj........................................ 277,852 1,715,228 Amer Sports Oyj....................................... 495,357 7,019,289 Aspo Oyj.............................................. 83,192 634,457 Atria P.L.C........................................... 23,261 156,194 *Bank of Aland P.L.C. Series B......................... 22,078 215,814 BasWare Oyj........................................... 34,550 962,103 *Biotie Therapies Corp. Oyj............................ 917,186 461,918 #Cargotec Oyj Series B................................. 134,915 2,975,615 Citycon Oyj........................................... 982,759 3,218,976 *Componenta Oyj........................................ 34,813 94,274 Comptel P.L.C......................................... 337,600 179,236 #Cramo Oyj............................................. 148,755 1,513,054 Digia P.L.C........................................... 48,912 185,283 Efore Oyj............................................. 60,233 52,386 *Elcoteq SE............................................ 3,041 -- *Elektrobit Corp. Oyj.................................. 16,849 15,385 71 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ FINLAND -- (Continued) Elisa Oyj............................................ 432,751 $ 9,286,323 eQ P.L.C............................................. 67,120 161,107 Etteplan Oyj......................................... 57,413 200,161 *Finnair Oyj.......................................... 298,520 851,016 *Finnlines Oyj........................................ 124,906 1,276,664 Fiskars Oyj Abp...................................... 182,790 3,771,952 F-Secure Oyj......................................... 463,536 975,175 *GeoSentric Oyj....................................... 244,900 3,174 *Glaston Oyj Abp...................................... 56,393 19,666 HKScan Oyj Series A.................................. 101,202 442,768 Huhtamaki Oyj........................................ 373,956 6,322,742 Ilkka-Yhtyma Oyj..................................... 61,503 398,650 #KCI Konecranes Oyj................................... 245,559 7,808,333 #Kemira Oyj........................................... 459,125 6,108,053 Kesko Oyj Series B................................... 250,135 7,821,799 Laennen Tehtaat Oyj.................................. 18,920 347,214 Lassila & Tikanoja Oyj............................... 137,644 2,110,841 #Lemminkainen Oyj..................................... 22,983 470,051 #*Mesta Board Oyj...................................... 1,549,706 4,651,911 *Neo Industrial Oyj................................... 14,567 33,828 #Neste Oil Oyj........................................ 477,554 5,980,291 Okmetic Oyj.......................................... 54,991 330,162 Olvi Oyj Series A.................................... 62,708 1,629,592 #Oriola-KD Oyj Series A............................... 5,045 14,379 Oriola-KD Oyj Series B............................... 450,090 1,219,361 Orion Oyj Series A................................... 130,940 3,245,195 Orion Oyj Series B................................... 384,369 9,510,594 #*Outokumpu Oyj........................................ 3,488,317 2,964,328 #Outotec Oyj.......................................... 163,942 8,010,462 PKC Group Oyj........................................ 73,207 1,329,514 Pohjola Bank P.L.C. Series A......................... 331,849 4,526,882 #Ponsse Oyj........................................... 25,697 204,620 #Poyry Oyj............................................ 187,165 777,080 Raisio P.L.C. Series V............................... 541,284 2,139,118 Ramirent Oyj......................................... 314,761 2,355,602 Rapala VMC Oyj....................................... 113,258 728,285 #Rautaruukki Oyj Series K............................. 373,835 2,370,641 Raute Oyj Series A................................... 9,858 94,327 *Ruukki Group Oyj..................................... 604,909 378,681 Saga Furs Oyj........................................ 11,244 283,369 #Sanoma Oyj........................................... 328,616 3,195,438 *Scanfil P.L.C........................................ 123,479 136,393 Sievi Capital P.L.C.................................. 123,479 153,478 SRV Group P.L.C...................................... 7,277 31,894 Stockmann Oyj Abp Series A........................... 43,914 857,285 #Stockmann Oyj Abp Series B........................... 132,971 2,501,296 #*Stonesoft Oyj........................................ 69,779 114,163 Technopolis Oyj...................................... 301,916 1,373,463 Teleste Oyj.......................................... 53,559 276,928 #Tieto Oyj............................................ 291,983 5,604,136 #Tikkurila Oyj........................................ 168,347 3,190,089 *Tulikivi Oyj......................................... 4,463 3,239 #Uponor Oyj Series A.................................. 241,740 2,727,429 Vacon Oyj............................................ 45,416 2,330,350 Vaisala Oyj Series A................................. 39,132 812,070 Viking Line Abp...................................... 10,366 235,851 Yit Oyj.............................................. 479,016 9,445,723 ------------ TOTAL FINLAND........................................... 154,139,942 ------------ FRANCE -- (9.8%) ABC Arbitrage SA..................................... 22,399 179,912 72 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- FRANCE -- (Continued) #*Air France-KLM......................................... 722,730 $6,041,925 Akka Technologies SA................................... 22,790 644,127 #*Alcatel-Lucent SA...................................... 7,392,628 7,558,803 Ales Groupe SA......................................... 29,486 531,704 Altamir Amboise SA..................................... 81,618 732,381 Alten SA............................................... 80,004 2,517,695 *Altran Technologies SA................................. 676,432 4,556,571 April SA............................................... 74,171 1,311,924 #*Archos SA.............................................. 75,094 303,886 Arkema SA.............................................. 27,360 2,496,577 *Artprice.com SA........................................ 10,649 440,219 Assystem............................................... 56,624 1,050,794 *Atari SA............................................... 93,971 116,862 AtoS SA................................................ 21,169 1,421,323 Aubay SA............................................... 10,285 62,666 #Audika Groupe SA....................................... 21,251 252,277 #Aurea SA............................................... 3,637 20,639 Avenir Telecom SA...................................... 8,000 4,666 Axway Software SA...................................... 22,982 359,650 *Baccarat SA............................................ 377 78,392 Banque Tarneaud SA..................................... 1,430 152,097 #Beneteau SA............................................ 179,820 1,797,051 #*Bigben Interactive SA.................................. 13,117 151,878 *BioAlliance Pharma SA.................................. 35,932 190,664 Boiron SA.............................................. 29,066 930,500 Boizel Chanoine Champagne SA........................... 7,266 349,316 Bonduelle SCA.......................................... 16,034 1,475,163 Bongrain SA............................................ 34,266 2,047,059 Bourbon SA............................................. 184,935 4,993,033 *Boursorama SA.......................................... 69,079 414,658 *Bull SA................................................ 351,752 1,027,272 #Burelle SA............................................. 3,866 905,857 Cafom SA............................................... 3,655 18,431 Catering International Services SA..................... 1,111 143,995 *Cegedim SA............................................. 16,591 296,406 Cegid Group............................................ 17,915 345,695 CFAO SA................................................ 83,122 4,012,603 Cie des Alpes.......................................... 6,721 120,078 Ciments Francais SA.................................... 10,266 624,319 *Club Mediterranee SA................................... 87,746 1,394,815 Compagnie Industrielle et Financiere D'Entreprises SA.. 1,200 65,341 Damartex SA............................................ 20,518 346,322 Derichebourg SA........................................ 548,515 1,551,410 Devoteam SA............................................ 24,812 286,313 *Dynaction SA........................................... 4,262 40,888 Eiffage SA............................................. 136,700 4,704,027 Electricite de Strasbourg SA........................... 21,886 2,682,632 Eramet SA.............................................. 13 1,653 Esso SA Francaise...................................... 9,436 675,319 Establissements Maurel et Prom SA...................... 328,284 4,575,625 *Etam Developpement SA.................................. 1,949 35,228 Euler Hermes SA........................................ 52,633 3,631,988 *Euro Disney SCA........................................ 138,383 927,945 Eurofins Scientific SA................................. 26,702 4,133,376 Exel Industries SA Series A............................ 10,680 523,528 Faiveley Transport SA.................................. 25,507 1,422,710 Faurecia SA............................................ 142,901 2,151,589 Fimalac SA............................................. 31,490 1,404,605 Fleury Michon SA....................................... 4,694 224,837 *GameLoft SA............................................ 225,468 1,545,817 *Gascogne SA............................................ 6,907 29,950 73 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- FRANCE -- (Continued) Gaumont SA............................................. 13,980 $ 715,533 GEA SA................................................. 1,000 85,453 #*GECI International SA.................................. 59,392 137,795 Gemalto NV............................................. 97,900 8,842,316 Gevelot SA............................................. 3,584 223,107 GFI Informatique SA.................................... 139,600 508,550 GL Events SA........................................... 27,467 605,389 *GPE Groupe Pizzorno SA................................. 3,499 54,862 #Groupe Crit SA......................................... 24,255 388,694 Groupe Flo SA.......................................... 29,358 112,708 Groupe Gorge SA........................................ 13,211 119,865 Groupe Guillin SA...................................... 1,061 84,752 Groupe Open SA......................................... 27,590 154,679 *Groupe Partouche SA.................................... 61,786 71,360 Groupe Steria SCA...................................... 86,854 1,403,888 Guerbet SA............................................. 6,577 717,938 *Haulotte Group SA...................................... 61,352 379,679 Havas SA............................................... 1,086,746 5,499,932 #*Hi-Media SA............................................ 134,290 347,264 *Idsud SA............................................... 1,395 31,715 Ingenico SA............................................ 120,489 6,379,679 #Interparfums SA........................................ 21,452 567,081 Ipsen SA............................................... 83,088 2,146,408 Ipsos SA............................................... 128,384 4,513,352 Jacquet Metal Service SA............................... 48,343 471,362 *Kaufman & Broad SA..................................... 270 6,171 Korian SA.............................................. 8,745 134,834 L.D.C. SA.............................................. 19 1,873 Laurent-Perrier SA..................................... 12,546 1,070,118 Lectra SA.............................................. 83,499 486,496 Lisi SA................................................ 16,907 1,122,136 M6 Metropole Television SA............................. 192,886 2,690,878 Maisons France Confort SA.............................. 12,636 377,852 #Manitou BF SA.......................................... 48,911 759,790 Manutan International SA............................... 14,553 585,248 *Maurel et Prom Nigeria SA.............................. 323,678 814,221 Medica SA.............................................. 146,000 2,610,521 Mersen SA.............................................. 70,824 1,792,554 MGI Coutier SA......................................... 2,753 117,659 Montupet SA............................................ 8,127 72,443 #Mr. Bricolage SA....................................... 30,731 348,038 *Naturex SA............................................. 12,649 885,319 #Neopost SA............................................. 135,048 7,403,969 #Nexans SA.............................................. 131,823 5,613,234 Nexity SA.............................................. 99,242 3,059,898 NextRadioTV SA......................................... 3,451 50,924 *NicOx SA............................................... 252,978 787,837 Norbert Dentressangle SA............................... 20,989 1,427,239 NRJ Group SA........................................... 37,352 251,255 Oeneo SA............................................... 158,017 428,509 #Orpea SA............................................... 113,448 4,638,599 Osiatis SA............................................. 685 4,609 #*PagesJaunes Groupe SA.................................. 384,634 700,090 *Parrot SA.............................................. 29,582 1,026,272 #*Peugeot SA............................................. 597,148 3,830,406 Pierre & Vacances SA................................... 18,411 310,749 #Plastic Omnium SA...................................... 96,698 2,673,506 Plastivaloire SA....................................... 4,552 79,593 PSB Industries SA...................................... 8,438 246,564 Rallye SA.............................................. 99,265 3,028,913 #*Recylex SA............................................. 66,087 355,061 74 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ------------ FRANCE -- (Continued) Remy Cointreau SA...................................... 65,997 $ 6,842,601 Robertet SA............................................ 3,167 529,667 *Rodriguez Group SA..................................... 3,886 20,074 *Rougier SA............................................. 1,843 80,454 Rubis SCA.............................................. 108,827 6,640,032 *S.T. Dupont SA......................................... 334,647 143,306 SA des Ciments Vicat................................... 45,541 2,454,793 Sabeton SA............................................. 13,500 215,771 Saft Groupe SA......................................... 98,568 2,192,299 Samse SA............................................... 8,342 568,648 Sartorius Stedim Biotech SA............................ 9,046 818,597 #Seche Environnement SA................................. 6,437 210,900 #Sechilienne SA......................................... 74,888 1,284,269 Securidev SA........................................... 2,500 74,457 *Sequana SA............................................. 211,916 328,937 Societe Anonyme d'Explosifs et de Produits Chimiques SA........................................ 485 113,444 Societe BIC SA......................................... 62,449 7,620,209 Societe d'Edition de Canal Plus SA..................... 306,157 1,838,106 Societe des Bains de Mer et du Cercle des Etrangers a Monaco SA............................................ 46,150 1,707,450 Societe Internationale de Plantations d'Heveas SA...... 5,133 398,509 #Societe Pour l'Informatique Industrielle SA............ 40,908 243,284 Societe Television Francaise 1 SA...................... 416,273 3,577,458 #*Soitec SA.............................................. 400,615 1,204,787 Somfy SA............................................... 21,738 3,739,126 Sopra Group SA......................................... 22,982 1,084,709 *Spir Communication SA.................................. 4,687 89,318 Stallergenes SA........................................ 11,930 692,622 *Ste Industrielle d'Aviation Latecoere SA............... 27,234 309,276 Stef SA................................................ 29,121 1,517,217 Store Electronic SA.................................... 3,620 42,803 #Sword Group SA......................................... 22,260 360,249 Synergie SA............................................ 60,624 559,176 *Technicolor SA......................................... 525,779 1,335,740 Teleperformance SA..................................... 223,377 6,764,033 Tessi SA............................................... 5,374 501,650 #*Theolia SA............................................. 182,298 340,598 Thermador Groupe....................................... 4,528 342,198 Tonnellerie Francois Freres SA......................... 3,898 179,816 Total Gabon SA......................................... 937 419,932 Touax SA............................................... 2,639 85,524 #*Transgene SA........................................... 42,377 448,539 Trigano SA............................................. 32,351 350,988 *UbiSoft Entertainment SA............................... 398,686 3,709,528 Union Financiere de France Banque SA................... 16,828 400,029 Valeo SA............................................... 149,480 6,582,118 Viel et Compagnie SA................................... 158,130 551,280 #Vilmorin & Cie SA...................................... 20,195 2,399,615 Virbac SA.............................................. 17,539 3,055,264 *Vivalis SA............................................. 25,963 247,488 VM Materiaux SA........................................ 6,914 145,464 Vranken-Pommery Monopole SA............................ 14,162 448,724 Zodiac Aerospace SA.................................... 47,538 4,874,261 ------------ TOTAL FRANCE.............................................. 248,077,062 ------------ GERMANY -- (12.9%) A.S. Creation Tapeton AG............................... 6,853 304,225 *AAP Implantate AG...................................... 25,576 42,984 *Aareal Bank AG......................................... 423,110 9,098,181 *Abwicklungsgesellschaft Roesch AG Medizintechnik....... 7,300 255 *ADVA Optical Networking SE............................. 169,035 950,953 AGROB Immobilien AG.................................... 5,800 79,135 75 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- GERMANY -- (Continued) #*Air Berlin P.L.C....................................... 156,429 $ 310,211 #Aixtron SE............................................. 352,829 4,628,050 ALBA SE................................................ 21,642 1,745,321 *Aligna AG.............................................. 318,087 7,833 Allgeier SE............................................ 19,930 274,599 Amadeus Fire AG........................................ 17,321 803,891 *Analytik Jena AG....................................... 597 7,676 *Andreae-Noris Zahn AG.................................. 26,412 1,044,409 Asian Bamboo AG........................................ 29,133 223,723 Atoss Software AG...................................... 303 7,991 Aurubis AG............................................. 153,470 9,715,684 Baader Bank AG......................................... 118,094 278,736 Balda AG............................................... 127,634 838,470 #Bauer AG............................................... 34,231 741,068 #BayWa AG............................................... 45,827 2,076,871 Bechtle AG............................................. 63,405 2,392,760 Bertrandt AG........................................... 23,001 1,925,019 *Beta Systems Software AG............................... 8,020 16,668 #Bijou Brigitte AG...................................... 11,350 792,659 Bilfinger SE........................................... 62,183 6,093,431 Biotest AG............................................. 20,784 1,279,624 *BKN International AG................................... 33,408 130 *BMP Media Vestors AG................................... 8,724 8,038 *Borussia Dortmund GmbH & Co. KGaA...................... 241,558 803,508 CANCOM AG.............................................. 39,490 612,543 Carl Zeiss Meditec AG.................................. 114,703 3,148,265 CAT Oil AG............................................. 51,243 370,178 *Celesio AG............................................. 143,486 2,781,658 CENIT AG............................................... 19,347 165,893 Centrotec Sustainable AG............................... 42,634 770,325 #*Centrotherm Photovoltaics AG........................... 10,160 11,646 Cewe Color Holding AG.................................. 16,681 734,989 *Colonia Real Estate AG................................. 16,334 83,344 Comdirect Bank AG...................................... 139,558 1,371,610 *CompuGroup Medical AG.................................. 46,927 853,207 *Conergy AG............................................. 264,578 108,907 *Constantin Medien AG................................... 359,780 669,202 CropEnergies AG........................................ 77,958 473,802 CTS Eventim AG......................................... 106,100 3,150,234 #*Curanum AG............................................. 108,695 264,581 #DAB Bank AG............................................ 130,043 569,816 Data Modul AG.......................................... 11,455 216,284 #Delticom AG............................................ 15,867 889,780 Deufol AG.............................................. 112,955 119,225 Deutsche Beteiligungs AG............................... 29,148 736,161 #Deutsche Wohnen AG..................................... 646,717 11,844,087 *Deutz AG............................................... 263,835 1,157,307 *Dialog Semiconductor P.L.C............................. 221,152 4,404,049 DIC Asset AG........................................... 13,115 122,395 Dierig Holding AG...................................... 9,408 125,678 #Douglas Holding AG..................................... 105,346 5,142,377 Dr. Hoenle AG.......................................... 14,858 219,278 Draegerwerk AG & Co. KGaA.............................. 3,020 243,590 Drillisch AG........................................... 172,204 2,122,553 Duerr AG............................................... 40,668 3,050,739 DVB Bank SE............................................ 173,470 5,393,186 Eckert & Ziegler AG.................................... 12,438 363,461 Elmos Semiconductor AG................................. 35,507 307,573 ElreingKlinger AG...................................... 106,886 2,979,682 Erlus AG............................................... 2,970 128,927 #Euromicron AG.......................................... 25,641 668,219 76 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- GERMANY -- (Continued) Euwax AG............................................... 14,880 $1,055,692 #*Evotec AG.............................................. 1,165,338 4,179,266 Fielmann AG............................................ 32,343 3,151,324 #*First Sensor AG........................................ 18,636 205,979 *FJA AG................................................. 217 262 #Freenet AG............................................. 381,911 6,321,467 Fuchs Petrolub AG...................................... 136,940 8,534,620 *GAGFAH SA.............................................. 281,532 3,204,062 GBW AG................................................. 28,417 837,939 Gerresheimer AG........................................ 117,580 5,836,134 Gerry Weber International AG........................... 89,108 4,051,965 Gesco AG............................................... 10,279 869,814 GFK SE................................................. 72,083 3,283,764 GFT Technologies AG.................................... 66,050 279,249 #*Gigaset AG............................................. 175,782 243,968 Gildemeister AG........................................ 200,603 3,723,063 Grammer AG............................................. 46,658 909,204 Grenkeleasing AG....................................... 32,703 2,207,305 *GSW Immobilien AG...................................... 39,738 1,633,392 H&R AG................................................. 49,089 808,752 Hamborner REIT AG...................................... 22,740 209,188 #Hamburger Hafen und Logistik AG........................ 70,353 1,710,555 #*Hansa Group AG......................................... 146,815 429,009 Hawesko Holding AG..................................... 19,463 968,932 #*Heidelberger Druckmaschinen AG......................... 822,580 1,234,592 Highlight Communications AG............................ 72,348 340,259 *Homag Group AG......................................... 14,489 186,974 Indus Holding AG....................................... 79,715 2,006,945 Innovation in Traffic Systems AG....................... 23,949 772,936 *Intershop Communications AG............................ 62,598 155,392 Isra Vision AG......................................... 11,143 310,333 #*IVG Immobilien AG...................................... 400,498 997,068 Jenoptik AG............................................ 180,277 1,708,122 *Joyou AG............................................... 4,817 54,670 *Kampa AG............................................... 35,505 1,335 *Kloeckner & Co. SE..................................... 381,858 3,462,048 *Koenig & Bauer AG...................................... 9,557 173,902 Kontron AG............................................. 189,937 892,809 #Krones AG.............................................. 72,618 4,284,051 KSB AG................................................. 3,584 1,907,911 *Kuka AG................................................ 102,786 3,085,492 KWS Saat AG............................................ 17,224 4,947,117 Leifheit AG............................................ 12,500 432,797 Leoni AG............................................... 126,718 4,233,795 *Loewe AG............................................... 25,187 118,879 *Lotto24 AG............................................. 543 2,395 #LPKF Laser & Electronics AG............................ 33,127 678,113 #*Manz AG................................................ 6,640 180,815 *Masterflex SE.......................................... 19,347 125,646 *Maxdata Computer AG.................................... 94,120 14,761 *Mediclin AG............................................ 119,554 644,271 #*Medigene AG............................................ 95,039 134,365 Mensch und Maschine Software AG........................ 10,746 69,770 #MLP AG................................................. 216,957 1,395,988 #Mobotix AG............................................. 13,494 334,029 *Mologen AG............................................. 26,889 446,959 #*Morphosys AG........................................... 79,379 2,698,569 MTU Aero Engines Holding AG............................ 69,681 5,857,687 Muehlbauer Holding & Co. AG............................ 14,905 379,067 #MVV Energie AG......................................... 114,055 3,269,280 #Nemetschek AG.......................................... 24,668 1,098,939 77 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- GERMANY -- (Continued) Nexus AG.............................................. 33,813 $ 412,395 #*Nordex SE............................................. 194,652 681,160 NORMA Group AG........................................ 58,517 1,617,824 OHB AG................................................ 35,659 697,258 *Oldenburgische Landesbank AG.......................... 4,234 115,297 P&I Personal & Informatik AG.......................... 17,889 708,516 *Patrizia Immobilien AG................................ 76,360 539,303 Pfeiffer Vacuum Technology AG......................... 36,268 3,707,878 #PNE Wind AG........................................... 186,108 460,870 #*Praktiker AG.......................................... 217,326 405,931 Progress-Werk Oberkirch AG............................ 7,812 290,565 PSI AG Gesellschaft Fuer Produkte und Systeme der Informationstechnologie............................. 33,752 645,028 PVA TePla AG.......................................... 46,019 138,378 QSC AG................................................ 411,987 1,124,020 *R Stahl AG............................................ 14,410 498,672 Rational AG........................................... 15,420 3,903,402 REALTECH AG........................................... 11,124 63,386 Rheinmetall AG........................................ 152,317 7,279,886 Rhoen-Klinikum AG..................................... 406,308 7,913,041 *RIB Software AG....................................... 5,493 34,119 Ruecker AG............................................ 10,247 216,060 S.A.G. Solarstrom AG.................................. 1,968 8,134 *SAF-Holland SA........................................ 167,238 1,087,946 Salzgitter AG......................................... 110,698 4,787,236 Schaltbau Holding AG.................................. 9,506 318,520 *Sedo Holding AG....................................... 65,721 137,146 Sektkellerei Schloss Wachenheim AG.................... 7,479 87,141 *SER Systems AG........................................ 9,400 207 #SGL Carbon SE......................................... 229,387 9,149,090 *SHW AG................................................ 1,716 64,467 #*Singulus Technologies AG.............................. 236,814 382,211 Sinner AG............................................. 2,660 52,375 #Sixt AG............................................... 81,198 1,510,909 SKW Stahl-Metallurgie Holding AG...................... 18,284 340,414 #*Sky Deutschland AG.................................... 1,121,049 4,886,199 *SM Wirtschaftsberatungs AG............................ 18,126 117,469 #*SMA Solar Technology AG............................... 27,498 590,659 SMT Scharf AG......................................... 9,389 273,130 Software AG........................................... 173,056 6,949,619 #Solarworld AG......................................... 294,977 510,102 Stada Arzneimittel AG................................. 247,784 7,504,291 STINAG Stuttgart Invest AG............................ 35,003 717,137 *Stoehr & Co. AG....................................... 6,000 14,901 *STRATEC Biomedical AG................................. 32,070 1,351,329 *Stroer Out-of-Home Media AG........................... 57,987 511,332 *Suss Microtec AG...................................... 73,062 689,580 Symrise AG............................................ 307,713 11,068,532 Syzygy AG............................................. 30,656 135,186 #TAG Immobilien AG..................................... 352,218 4,071,242 Takkt AG.............................................. 126,507 1,624,289 Telegate AG........................................... 16,807 130,507 *Tipp24 SE............................................. 16,840 830,725 Tom Tailor Holding AG................................. 66,580 1,419,731 Tomorrow Focus AG..................................... 113,715 505,627 *TUI AG................................................ 550,143 5,162,297 UMS United Medical Systems International AG........... 3,304 38,217 UmweltBank AG......................................... 17,656 771,410 *VBH Holding AG........................................ 9,415 31,728 *Verbio AG............................................. 52,498 112,037 #Vossloh AG............................................ 37,975 3,830,512 VTG AG................................................ 34,864 547,784 78 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ GERMANY -- (Continued) Wacker Chemie AG..................................... 418 $ 23,611 #Wacker Neuson SE..................................... 58,348 795,312 *Wanderer-Werke AG.................................... 7,903 2,397 *Washtec AG........................................... 5,625 66,448 Wincor Nixdorf AG.................................... 119,287 5,319,427 Wirecard AG.......................................... 381,688 8,741,631 Wuerttembergische Lebensversicherung AG.............. 23,873 516,531 XING AG.............................................. 11,101 631,583 *zooplus AG........................................... 5,878 254,802 ------------ TOTAL GERMANY........................................... 326,285,939 ------------ GREECE -- (2.0%) *Aegean Airlines S.A.................................. 5,746 11,693 *Aegek S.A............................................ 26,135 4,266 *Alfa Alfa Energy S.A................................. 3,810 6,864 *Alpha Bank A.E....................................... 674,977 1,582,482 *Alumil Aluminum Industry S.A......................... 39,150 14,989 *Alysida S.A.......................................... 2,376 6,132 *Anek Lines S.A....................................... 494,192 81,294 *Astir Palace Hotels S.A.............................. 93,886 406,493 *Athens Medical Center S.A............................ 105,147 62,903 *Atlantic Supermarkets S.A............................ 34,730 3,601 *Attica Bank S.A...................................... 120,802 95,601 Autohellas S.A....................................... 73,796 116,720 *Babis Vovos International Construction S.A........... 21,073 8,303 *Balafas S.A.......................................... 15,200 3,743 *Balkan Real Estate S.A............................... 5,450 2,260 *Bank of Cyprus P.L.C................................. 4,342,301 1,837,133 Bank of Greece S.A................................... 133,571 2,230,582 *Cyprus Popular Bank PCL.............................. 662,422 53,654 *Daios Plastics S.A................................... 16,350 105,324 *Diagnostic & Therapeutic Center of Athens Hygeia S.A......................................... 125,558 49,887 *Elastron S.A......................................... 76,043 55,535 *Elektrak S.A......................................... 33,937 72,562 *Elektroniki Athinon SA............................... 7,497 4,664 *Ellaktor S.A......................................... 544,614 1,065,177 *Elval - Hellenic Aluminium Industry S.A.............. 28,590 44,162 *Etma Rayon S.A....................................... 11,242 20,545 Euro Reliance General Insurance Co. S.A.............. 40,957 31,911 *Eurobank Ergasias SA................................. 971,907 1,132,535 *Euromedica S.A....................................... 33,079 16,510 EYDAP Athens Water Supply & Sewage Co. S.A........... 116,677 666,530 *Folli Follie Group S.A............................... 150,049 2,049,635 *Forthnet S.A......................................... 21,107 25,433 *Fourlis Holdings S.A................................. 146,787 379,528 *Frigoglass S.A....................................... 115,348 669,033 *GEK Terna Holding Real Estate Construction S.A....... 296,155 521,186 *Halkor S.A........................................... 186,762 128,895 *Hellenic Cables S.A.................................. 54,724 88,431 Hellenic Exchanges S.A............................... 296,505 1,324,660 Hellenic Petroleum S.A............................... 326,121 2,556,031 *Hellenic Sugar Industry S.A.......................... 33,478 39,343 *Hellenic Telecommunication Organization Co. S.A...... 707,121 3,118,247 *Heracles General Cement Co. S.A...................... 33,094 90,450 *Iaso S.A............................................. 206,042 187,965 *Inform P. Lykos S.A.................................. 16,186 21,673 *Informatics S.A...................................... 3,778 1,518 *Intracom Holdings S.A................................ 247,375 102,256 *Intracom Technical & Steel Constructions S.A......... 13,420 12,747 Intralot S.A.-Integrated Lottery Systems & Services.. 551,157 1,108,735 *Ionian Hotel Enterprises S.A......................... 16,914 306,921 79 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- GREECE -- (Continued) *Ipirotiki Software & Publications S.A................. 22,110 $ 55,596 JUMBO S.A............................................. 400,965 2,654,772 Karelia Tobacco Co., Inc. S.A......................... 3,613 514,966 *Kathimerini Publishing S.A............................ 25,040 13,372 *Lamda Development S.A................................. 905 4,019 *Lan-Net S.A........................................... 12,688 19,735 *Loulis Mills S.A...................................... 25,704 54,923 *Marfin Investment Group Holdings S.A.................. 2,380,237 1,060,299 Metka S.A............................................. 101,638 924,732 *Michaniki S.A......................................... 155,442 38,280 Motor Oil (Hellas) Corinth Refineries S.A............. 246,966 2,151,470 *Mytilineos Holdings S.A............................... 367,558 1,668,808 *National Bank of Greece S.A........................... 1,343,567 3,147,579 *Neorion Holdings S.A.................................. 14,991 2,429 OPAP S.A.............................................. 168,712 1,078,344 *Piraeus Bank S.A...................................... 4,777,477 2,578,847 Piraeus Port Authority S.A............................ 21,267 346,953 *Promota Hellas S.A.................................... 8,860 2,641 *Proton Bank S.A....................................... 141,214 -- *Public Power Corp. S.A................................ 528,487 3,034,329 *Real Estate Development & Services S.A................ 87,302 69,278 S&B Industrial Minerals S.A........................... 68,336 479,816 *Sarantis S.A.......................................... 74,884 250,332 *Selected Textile S.A.................................. 60,619 29,311 *Sfakianakis S.A....................................... 16,775 19,134 *Sidenor Steel Products Manufacturing Co. S.A.......... 105,996 153,732 *T Bank S.A............................................ 228,007 -- *Technical Olympic S.A................................. 2,237 3,816 *Teletypos S.A. Mega Channel........................... 77,669 26,663 Terna Energy S.A...................................... 144,697 432,337 *Themeliodomi S.A...................................... 37,422 17,947 Thessaloniki Port Authority S.A....................... 6,936 129,927 Thessaloniki Water Supply & Sewage Co. S.A............ 15,807 89,008 *Thrace Plastics Co. S.A............................... 33,856 33,241 *Titan Cement Co. S.A.................................. 203,501 3,791,759 *TT Hellenic Postbank S.A.............................. 695,353 151,414 *Viohalco Hellenic Copper & Aluminum Industry S.A...... 603,593 2,585,895 ----------- TOTAL GREECE............................................. 50,142,446 ----------- IRELAND -- (2.7%) Aer Lingus Group P.L.C................................ 752,359 1,005,119 *Aminex P.L.C.......................................... 496,086 36,972 C&C Group P.L.C. (B010DT8)............................ 399,607 1,918,593 C&C Group P.L.C. (B011Y09)............................ 1,014,594 4,860,715 DCC P.L.C. (0242493).................................. 308,989 8,838,285 DCC P.L.C. (4189477).................................. 19,143 546,947 Donegal Creameries P.L.C.............................. 23,135 98,955 Dragon Oil P.L.C...................................... 990,437 8,866,393 *Elan Corp. P.L.C...................................... 45,034 490,108 FBD Holdings P.L.C.................................... 125,728 1,572,655 Fyffes P.L.C.......................................... 760,156 493,836 Glanbia P.L.C. (0066950).............................. 700,613 6,647,356 Glanbia P.L.C. (4058629).............................. 69,229 656,257 Grafton Group P.L.C................................... 584,079 2,546,481 IFG Group P.L.C....................................... 337,495 612,593 *Independent News & Media P.L.C. (B59HWB1)............. 406,791 44,827 *Independent News & Media P.L.C. (B5TR5N4)............. 318,060 35,041 Irish Continental Group P.L.C......................... 23,420 571,465 *Kenmare Resources P.L.C. (0487948).................... 4,136,548 2,615,262 *Kenmare Resources P.L.C. (4490737).................... 409,813 258,728 Kingspan Group P.L.C.................................. 450,404 4,697,362 80 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- IRELAND -- (Continued) *McInerney Holdings P.L.C.............................. 697,135 $ -- Paddy Power P.L.C. (0258810).......................... 180,573 13,336,467 Paddy Power P.L.C. (4828974).......................... 10,071 742,983 *Providence Resources P.L.C............................ 17,054 171,530 Smurfit Kappa Group P.L.C............................. 475,119 5,238,349 Total Produce P.L.C................................... 479,366 302,596 ----------- TOTAL IRELAND............................................ 67,205,875 ----------- ISRAEL -- (2.6%) *Africa Israel Investments, Ltd........................ 326,135 830,002 *Africa Israel Properties, Ltd......................... 37,844 293,801 Africa Israel Residences, Ltd......................... 594 6,483 *Airport City, Ltd..................................... 107,236 483,836 *Allot Communications, Ltd............................. 13,400 302,522 *Alon Holdings Blue Square Israel, Ltd................. 46,194 119,723 *AL-ROV Israel, Ltd.................................... 15,910 357,465 *Alrov Properties & Lodgings, Ltd...................... 5,723 100,618 *Alvarion, Ltd......................................... 84,517 38,195 Amot Investments, Ltd................................. 200,291 466,908 *AudioCodes, Ltd....................................... 159,083 361,052 Avgol Industries 1953, Ltd............................ 353,269 265,927 *Azorim Investment Development & Construction Co., Ltd. 302 292 Babylon, Ltd.......................................... 129,307 1,067,224 Bayside Land Corp..................................... 2,413 452,568 Big Shopping Centers 2004, Ltd........................ 2,001 45,179 *Biocell, Ltd.......................................... 16,731 97,401 *BioLineRX, Ltd........................................ 499,334 158,990 Blue Square Real Estate, Ltd.......................... 3,782 72,856 *Cellcom Israel, Ltd................................... 104,952 936,690 *Ceragon Networks, Ltd................................. 71,706 314,816 *Clal Biotechnology Industries, Ltd.................... 146,663 453,201 Clal Industries, Ltd.................................. 285,112 1,007,008 Clal Insurance Enterprises Holdings, Ltd.............. 83,321 1,132,475 *Compugen, Ltd......................................... 37,175 135,106 Delek Automotive Systems, Ltd......................... 124,131 776,797 Delek Group, Ltd...................................... 2,224 422,904 Delta-Galil Industries, Ltd........................... 32,226 338,834 Direct Insurance - I.D.I. Insurance Co., Ltd.......... 35,764 91,795 DS Apex Holdings, Ltd................................. 38,130 178,893 *El Al Israel Airlines, Ltd............................ 421,312 49,636 *Elbit Medical Imaging, Ltd............................ 53,265 123,257 Elbit Systems, Ltd.................................... 70,858 2,494,716 Electra, Ltd.......................................... 6,502 551,126 Elron Electronic Industries, Ltd...................... 57,768 273,537 *Evogene, Ltd.......................................... 90,699 397,878 *EZchip Semiconductor, Ltd............................. 106,730 3,352,308 *First International Bank of Israel, Ltd............... 98,118 1,165,396 FMS Enterprises Migun, Ltd............................ 10,300 137,876 *Formula Systems (1985), Ltd........................... 36,549 581,380 Frutarom Industries, Ltd.............................. 162,348 1,748,421 *Gilat Satellite Networks, Ltd......................... 87,921 391,864 *Given Imaging, Ltd.................................... 48,376 870,980 Golf & Co., Ltd....................................... 57,649 179,355 *Hadera Paper, Ltd..................................... 9,516 414,648 Harel Insurance Investments & Finances, Ltd........... 37,881 1,427,352 Hot Telecommunications Systems, Ltd................... 92,836 921,909 *Industrial Building Corp., Ltd........................ 342,619 456,272 *Israel Cold Storage & Supply Co., Ltd................. 1,076 12,302 *Israel Discount Bank, Ltd. Series A................... 2,459,139 3,468,988 Israel Land Development Co., Ltd. (The)............... 22,615 86,044 Ituran Location & Control, Ltd........................ 84,441 1,051,743 81 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ----------- ISRAEL -- (Continued) *Jerusalem Oil Exploration, Ltd....................... 39,274 $ 660,581 *Kamada, Ltd.......................................... 110,315 879,002 *Kardan Yazamut, Ltd.................................. 95,268 9,981 Maabarot Products, Ltd............................... 21,999 194,984 *Magic Software Enterprises, Ltd...................... 38,625 175,665 Matrix IT, Ltd....................................... 181,750 792,577 Melisron, Ltd........................................ 49,762 833,567 *Mellanox Technologies, Ltd........................... 93,933 7,088,884 *Menorah Mivtachim Holdings, Ltd...................... 108,046 827,963 Migdal Insurance & Financial Holding, Ltd............ 1,008,721 1,359,198 *Mizrahi Tefahot Bank, Ltd............................ 64,217 583,122 *Naphtha Israel Petroleum Corp., Ltd.................. 129,930 498,424 Neto Me Holdings, Ltd................................ 5,411 180,968 *NICE Systems, Ltd.................................... 2,772 92,592 *NICE Systems, Ltd. Sponsored ADR..................... 25,502 849,217 *Nitsba Holdings (1995), Ltd.......................... 106,360 841,481 *Nova Measuring Instruments, Ltd...................... 45,138 318,525 *Oil Refineries, Ltd.................................. 3,533,465 1,701,386 Ormat Industries, Ltd................................ 293,852 1,560,850 Osem Investments, Ltd................................ 124,960 1,887,046 Partner Communications Co., Ltd...................... 191,918 1,104,521 Paz Oil Co., Ltd..................................... 18,628 2,454,728 *Phoenix Holdings, Ltd. (The)......................... 200,757 417,480 Plasson Industries, Ltd.............................. 8,863 239,974 Rami Levi Chain Stores Hashikma Marketing 2006, Ltd.. 27,880 831,132 *Retalix, Ltd......................................... 72,061 1,421,604 *Scailex Corp, Ltd.................................... 7,701 6,812 Shikun & Binui, Ltd.................................. 864,351 1,442,313 *Space Communication, Ltd............................. 13,852 171,456 *Strauss Group, Ltd................................... 145,239 1,641,730 *Suny Electronic, Ltd................................. 21,817 18,531 Super-Sol, Ltd. Series B............................. 368,517 995,493 *Tower Semiconductor, Ltd............................. 88,339 734,952 *Union Bank of Israel, Ltd............................ 130,630 428,598 ----------- TOTAL ISRAEL............................................ 64,711,886 ----------- ITALY -- (7.5%) #*A2A SpA.............................................. 3,304,676 1,628,388 ACEA SpA............................................. 280,731 1,544,854 Acegas-APS SpA....................................... 110,973 799,678 #*Acotel Group SpA..................................... 3,478 112,032 *Aedes SpA............................................ 1,494,875 123,770 Aeroporto de Firenze SpA............................. 17,390 231,595 *Aion Renewables SpA.................................. 12,160 13,028 Alerion Cleanpower SpA............................... 74,701 364,790 Amplifon SpA......................................... 320,929 1,488,505 Ansaldo STS SpA...................................... 352,492 2,868,571 *Arnoldo Mondadori Editore SpA........................ 419,339 566,981 *Ascopiave SpA........................................ 164,564 283,499 Astaldi SpA.......................................... 228,281 1,469,688 Autogrill SpA........................................ 437,299 4,476,307 Azimut Holding SpA................................... 454,770 5,777,415 #*Banca Carige SpA..................................... 2,142,365 1,983,355 #Banca Finnat Euramerica SpA.......................... 685,945 230,995 Banca Generali SpA................................... 156,535 2,298,834 Banca IFIS SpA....................................... 102,347 702,891 #*Banca Monte Dei Paschi di Siena SpA.................. 8,733,630 2,414,241 Banca Piccolo Credito Valtellinese Scarl............. 1,015,903 1,617,665 Banca Popolare dell'Emilia Romagna Scarl............. 1,085,022 6,465,667 *Banca Popolare dell'Etruria e del Lazio Scarl........ 297,428 328,070 *Banca Popolare di Milano Scarl....................... 12,870,403 7,092,416 82 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- ITALY -- (Continued) Banca Popolare di Sondrio Scarl....................... 1,122,536 $ 6,429,349 Banca Profilo SpA..................................... 732,338 228,810 Banco di Desio e della Brianza SpA.................... 232,296 617,228 *Banco Popolare Scarl.................................. 6,311,267 10,071,344 BasicNet SpA.......................................... 105,627 242,331 Beghelli SpA.......................................... 427,981 227,677 *Biesse SpA............................................ 54,004 184,259 Bonifica Terreni Ferraresi e Imprese Agricole SpA..... 10,867 579,309 Brembo SpA............................................ 162,145 1,655,495 *Brioschi Sviluppo Immobiliare SpA..................... 174,780 19,855 #Buzzi Unicem SpA...................................... 291,869 3,473,124 C.I.R. SpA - Compagnie Industriali Riunite............ 1,627,217 1,863,260 Cairo Communication SpA............................... 86,858 272,676 Caltagirone Editore SpA............................... 6,277 7,415 Caltagirone SpA....................................... 242,875 356,171 #*Carraro SpA........................................... 113,633 295,666 Cembre SpA............................................ 40,330 321,467 Cementir Holding SpA.................................. 336,239 709,476 Credito Bergamasco SpA................................ 129,374 2,358,318 Credito Emiliano SpA.................................. 376,390 1,817,892 CSP International Fashion Group SpA................... 8,113 9,839 *d'Amico International Shipping S.A.................... 98,072 42,124 #Danieli & Co. SpA..................................... 58,099 1,664,239 Datalogic SpA......................................... 65,558 562,622 Davide Campari - Milano SpA........................... 523,862 4,251,455 *DeA Capital SpA....................................... 241,155 400,395 *Delclima SpA.......................................... 238,104 204,309 De'Longhi SpA......................................... 305,654 4,075,104 DiaSorin SpA.......................................... 77,818 2,613,254 *EEMS Italia SpA....................................... 33,167 15,487 *EI Towers SpA......................................... 39,294 1,037,160 *Engineering Ingegneria Informatica SpA................ 15,735 556,723 ERG SpA............................................... 242,145 1,757,947 Esprinet SpA.......................................... 104,855 429,122 #*Eurotech SpA.......................................... 103,698 152,113 #Falck Renewables SpA.................................. 452,790 553,218 Fiera Milano SpA...................................... 37,863 192,101 #*Finmeccanica SpA...................................... 1,593,106 7,900,845 *Fondiaria-Sai SpA..................................... 943,740 1,227,456 *Gas Plus SpA.......................................... 14,596 92,429 Gefran SpA............................................ 31,923 116,905 *Gemina SpA............................................ 2,562,430 2,446,794 #Geox SpA.............................................. 343,770 982,933 *Gruppo Ceramiche Ricchetti SpA........................ 19,666 4,544 Gruppo Editoriale L'Espresso SpA...................... 670,242 665,521 Gruppo MutuiOnline SpA................................ 51,809 236,505 #Hera SpA.............................................. 1,822,830 3,073,159 *I Grandi Viaggi SpA................................... 96,916 54,218 Immsi SpA............................................. 743,533 370,239 Impregilo SpA......................................... 1,252,064 5,056,053 Indesit Co. SpA....................................... 185,473 1,150,533 Industria Macchine Automatiche SpA.................... 58,626 1,026,810 Industria Romagnola Conduttori Elettrici SpA.......... 43,300 81,326 *Intek SpA............................................. 267,440 149,110 #Interpump Group SpA................................... 275,866 2,099,673 Iren SpA.............................................. 1,758,434 991,205 #Italcementi SpA....................................... 279,135 1,412,708 *Italmobiliare SpA..................................... 46,873 722,681 *Juventus Football Club SpA............................ 1,255,083 349,345 *KME Group SpA......................................... 1,654,192 749,153 *Landi Renzo SpA....................................... 203,171 369,887 83 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ ITALY -- (Continued) Lottomatica Group SpA................................ 185,318 $ 3,988,670 *Maire Tecnimont SpA.................................. 541,573 432,404 Marcolin SpA......................................... 60,205 327,506 #*Mariella Burani SpA.................................. 32,721 -- Marr SpA............................................. 131,906 1,245,928 #Mediaset SpA......................................... 2,909,042 5,110,042 Mediobanca SpA....................................... 8,209 46,936 #Mediolanum SpA....................................... 758,652 3,724,227 #*Milano Assicurazioni SpA............................. 2,324,306 989,441 *Molecular Medicine SpA............................... 300,810 165,738 *Monrif SpA........................................... 290,064 115,169 Nice SpA............................................. 40,195 133,537 *Pagnossin SpA........................................ 9,000 -- #Piaggio & C. SpA..................................... 682,441 1,683,000 *Pininfarina SpA...................................... 73,457 294,940 Pirelli & C. SpA..................................... 11,737 136,344 *Poltrona Frau SpA.................................... 152,285 192,413 #*Prelios SpA.......................................... 2,389,900 256,951 #*Premafin Finanziaria SpA............................. 961,257 194,153 *Prima Industrie SpA.................................. 88 1,066 Prysmian SpA......................................... 494,781 9,539,788 #*RCS MediaGroup SpA................................... 450,383 821,214 Recordati SpA........................................ 408,182 3,270,424 Reply SpA............................................ 12,998 338,186 *Retelit SpA.......................................... 177,195 124,082 *Richard-Ginori 1735 SpA.............................. 8,489 768 Sabaf SpA............................................ 24,109 272,933 SAES Getters SpA..................................... 30,068 277,481 *Safilo Group SpA..................................... 140,163 1,184,826 *Saras SpA............................................ 1,351,714 1,808,842 SAVE SpA............................................. 11,877 110,293 *Screen Service Broadcasting Technologies SpA......... 5,366 1,448 *Seat Pagine Gialle SpA............................... 2,034,205 20,545 *Snai SpA............................................. 95,483 88,034 *Societa Cattolica di Assicurazioni Scrl.............. 189,771 2,957,185 Societa Iniziative Autostradali e Servizi SpA........ 220,635 1,837,294 Sogefi SpA........................................... 186,290 447,459 Sol SpA.............................................. 166,511 1,008,630 *Sorin SpA............................................ 1,151,064 2,700,166 Tamburi Investment Partners SpA...................... 37,478 71,668 #*Telecom Italia Media SpA............................. 1,649,819 351,255 #*Tiscali SpA.......................................... 3,467,783 202,360 Tod's SpA............................................ 47,508 5,568,387 #Trevi Finanziaria SpA................................ 154,707 1,045,470 *Uni Land SpA......................................... 51,835 -- Unione di Banche Italiane ScpA....................... 1,040,716 4,099,577 #*Unipol Gruppo Finanziario SpA........................ 970,174 2,124,082 Vianini Industria SpA................................ 57,659 80,331 Vianini Lavori SpA................................... 175,180 707,247 Vittoria Assicurazioni SpA........................... 121,346 737,335 *Yoox SpA............................................. 157,902 2,392,856 Zignago Vetro SpA.................................... 83,038 481,303 ------------ TOTAL ITALY............................................. 190,171,535 ------------ NETHERLANDS -- (5.2%) Aalberts Industries NV............................... 469,415 8,532,614 #Accell Group NV...................................... 93,631 1,544,281 *AFC Ajax NV.......................................... 18,134 160,779 #*AMG Advanced Metallurgical Group NV.................. 137,180 1,075,328 #*Amsterdam Commodities NV............................. 73,969 1,333,484 APERAM NV............................................ 247,006 3,582,067 84 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ NETHERLANDS -- (Continued) #Arcadis NV........................................... 270,260 $ 5,773,645 #ASM International NV................................. 215,172 6,812,916 *Atag Group NV........................................ 4,630 1,740 Ballast Nedam NV..................................... 702 9,103 Batenburg Techniek NV................................ 7,085 125,070 #BE Semiconductor Industries NV....................... 154,577 1,042,807 Beter Bed Holding NV................................. 83,095 1,535,546 BinckBank NV......................................... 251,217 2,013,859 Brunel International NV.............................. 51,660 2,490,908 *Crown Van Gelder NV.................................. 9,818 62,910 CSM NV............................................... 363,574 7,426,298 Delta Lloyd NV....................................... 472,377 7,855,836 DOCdata NV........................................... 22,463 375,731 #Exact Holding NV..................................... 64,260 1,442,007 #*Grontmij NV.......................................... 244,473 920,620 Heijmans NV.......................................... 79,498 674,391 Hunter Douglas NV.................................... 8,764 324,577 *Kardan NV............................................ 75,774 78,542 #KAS Bank NV.......................................... 54,562 547,437 Kendrion NV.......................................... 41,207 832,161 #Koninklijke Bam Groep NV............................. 1,185,068 4,411,164 Koninklijke Ten Cate NV.............................. 140,083 3,105,364 #Koninklijke Wessanen NV.............................. 380,493 1,075,578 #*LBi International NV................................. 515,485 1,908,630 Macintosh Retail Group NV............................ 52,801 596,006 Mediq NV............................................. 274,364 4,453,143 Nederlandsche Apparatenfabriek NV.................... 28,810 1,066,383 Nutreco NV........................................... 173,920 13,027,581 *Ordina NV............................................ 330,458 437,187 *PostNL NV............................................ 1,920,653 7,579,442 *Roto Smeets Group NV................................. 10,393 100,272 Royal Imtech NV...................................... 349,305 8,780,615 Royal Reesink NV..................................... 1,239 118,309 *SBM Offshore NV...................................... 804,422 10,530,512 Sligro Food Group NV................................. 104,081 2,833,129 #*SNS Reaal Groep NV................................... 705,718 1,039,112 #Stern Groep NV....................................... 1,100 21,042 #Telegraaf Media Groep NV............................. 163,812 1,520,951 TKH Group NV......................................... 177,347 4,057,380 #*TomTom NV............................................ 547,355 2,733,313 Unit4 NV............................................. 129,411 3,554,210 USG People NV........................................ 330,320 2,320,126 Van Lanschot NV...................................... 54 1,036 *Xeikon NV............................................ 58,445 227,447 ------------ TOTAL NETHERLANDS....................................... 132,072,589 ------------ NORWAY -- (3.3%) #ABG Sundal Collier Holding ASA....................... 1,097,526 783,144 AF Gruppen ASA....................................... 2,718 27,361 #*Agasti Holding ASA................................... 227,087 59,348 *Algeta ASA........................................... 145,487 3,913,014 *Archer, Ltd.......................................... 492,707 651,228 Arendals Fosse Kompani ASA........................... 90 26,039 Atea ASA............................................. 296,910 3,145,321 Austevoll Seafood ASA................................ 347,903 1,646,707 *Bakkafrost........................................... 4,578 38,948 *Bionor Pharma ASA.................................... 67,738 40,678 Bonheur ASA.......................................... 68,100 1,459,131 BW Offshore, Ltd..................................... 1,221,619 718,664 *BWG Homes ASA........................................ 346,255 708,105 Cermaq ASA........................................... 285,677 3,909,381 85 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ----------- NORWAY -- (Continued) *Clavis Pharma ASA..................................... 139,784 $ 1,659,620 Copeinca ASA.......................................... 98,638 764,893 *Deep Sea Supply P.L.C................................. 371,781 566,969 #*Det Norske Oljeselskap ASA............................ 173,708 2,676,083 #*DNO International ASA................................. 3,907,920 6,831,052 *Dockwise, Ltd......................................... 70,575 1,129,092 #*DOF ASA............................................... 186,228 768,484 Ekornes ASA........................................... 112,551 1,721,217 *Electromagnetic GeoServices ASA....................... 566,149 1,233,199 *Eltek ASA............................................. 1,292,456 861,849 EVRY ASA.............................................. 267,383 393,073 Farstad Shipping ASA.................................. 63,540 1,359,896 #*Frontline, Ltd........................................ 214,780 673,433 Ganger Rolf ASA....................................... 54,510 1,145,190 Golar LNG, Ltd........................................ 8,434 334,753 *Golden Ocean Group, Ltd............................... 1,019,402 771,211 *Grieg Seafood ASA..................................... 144,008 254,291 *Havila Shipping ASA................................... 22,400 121,249 *Hoegh LNG Holdings, Ltd............................... 8,442 62,118 *Hurtigruten ASA....................................... 759,030 402,290 *Intex Resources ASA................................... 45,445 29,336 *Jason Shipping ASA.................................... 5,518 1,921 *Kongsberg Automotive Holding ASA...................... 1,784,754 538,087 Kongsberg Gruppen ASA................................. 10,370 200,316 Kvaerner ASA.......................................... 807,447 2,049,368 Leroey Seafood Group ASA.............................. 81,749 1,684,741 *Morpol ASA............................................ 12,028 19,093 *Natural ASA........................................... 476,317 107,956 #*Nordic Semiconductor ASA.............................. 580,280 1,673,509 #*Norske Skogindustrier ASA Series A.................... 660,997 554,004 Northern Offshore, Ltd................................ 348,830 635,010 #*Norwegian Air Shuttle ASA............................. 130,053 2,811,075 #*Norwegian Energy Co. ASA.............................. 809,521 516,720 Odfjell ASA Series A.................................. 138,810 442,184 Olav Thon Eiendomsselskap ASA......................... 12,852 1,980,573 #Opera Software ASA.................................... 349,386 1,922,983 #*Panoro Energy ASA..................................... 520,180 359,009 *PCI Biotech Holding ASA............................... 3,157 18,135 *PetroliaE & P Holdings................................ 43,748 49,877 #*Photocure ASA......................................... 34,222 220,969 *Pronova BioPharma ASA................................. 717,584 1,419,744 Prosafe ASA........................................... 781,319 6,497,719 *Q-Free ASA............................................ 139,029 390,388 #*Renewable Energy Corp. ASA............................ 3,941,817 690,679 *Salmar ASA............................................ 27,303 170,495 *Scana Industrier ASA.................................. 548,479 120,207 #*Sevan Drilling AS..................................... 330,159 255,684 *Sevan Marine ASA...................................... 122,199 322,545 *Siem Offshore, Inc. ASA............................... 567,901 768,266 Solstad Offshore ASA.................................. 58,705 870,505 #*Songa Offshore SE..................................... 845,806 1,037,683 SpareBank 1 SMN....................................... 394,981 2,559,213 *SpareBank 1 SR Bank ASA............................... 67,432 435,257 Stolt-Nielsen, Ltd.................................... 46,134 845,808 *Storebrand ASA........................................ 132,651 667,548 Tomra Systems ASA..................................... 669,803 5,502,605 TTS Marine ASA........................................ 180,762 299,113 Veidekke ASA.......................................... 333,849 2,779,882 #*Wilh Wilhelmsen ASA................................... 56,941 406,228 Wilh Wilhelmsen Holding ASA........................... 64,934 1,460,135 ----------- TOTAL NORWAY............................................. 84,171,601 ----------- 86 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ---------- ----------- PORTUGAL -- (1.2%) Altri SGPS SA....................................... 594,472 $ 1,048,161 #*Banco BPI SA........................................ 2,123,556 2,368,448 #*Banco Comercial Portugues SA........................ 38,839,916 3,531,849 *Banco Espirito Santo SA............................. 7,130,880 6,940,071 #*Banif SGPS SA....................................... 686,791 128,175 Corticeira Amorim SGPS SA........................... 208,154 380,160 Ibersol SGPS SA..................................... 20,401 89,782 *Impresa SGPS SA..................................... 319,594 132,306 *INAPA - Investimentos Participacoes e Gestao SA..... 232,518 39,275 Mota-Engil SGPS SA.................................. 359,581 608,859 Novabase SGPS SA.................................... 65,729 176,222 *ParaRede SGPS SA.................................... 65,791 10,241 Portucel-Empresa Produtora de Pasta de Papel SA..... 881,646 2,458,623 REN - Redes Energeticas Nacionais SGPS SA........... 832,962 2,148,971 *SAG GEST - Solucoes Automovel Globais SGPS SA....... 241,182 122,058 #Sociedade de Investimento e Gestao SGPS SA.......... 315,078 2,229,855 *Sonae Capital SGPS SA............................... 37,542 7,260 #*Sonae Industria SGPS SA............................. 443,755 301,417 #Sonae SGPS SA....................................... 3,774,580 2,802,019 Sonaecom SGPS SA.................................... 565,634 1,027,771 Sumol & Compal SA................................... 67,967 98,591 *Teixeira Duarte SA.................................. 734,737 247,571 *Toyota Caetano Portugal SA.......................... 53,308 109,170 Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA................................ 746,473 2,368,276 ----------- TOTAL PORTUGAL......................................... 29,375,131 ----------- SPAIN -- (4.5%) #Abengoa SA.......................................... 199,714 698,999 #*Abengoa SA Series B................................. 798,856 2,767,708 Acciona SA.......................................... 19,537 1,200,859 #*Acerinox SA......................................... 236,733 2,471,061 *Adolfo Dominguez SA................................. 19,487 100,148 Adveo Group International SA........................ 47,385 697,500 #*Almirall SA......................................... 221,459 1,983,102 *Amper SA............................................ 96,925 237,678 Antena 3 de Television SA........................... 307,606 1,234,548 *Azkoyen SA.......................................... 62,948 135,940 Banco de Sabadell SA Convertible Shares............. 212,446 662,242 #Banco Espanol de Credito SA......................... 30,648 112,191 Banco Popular Espanol SA............................ 86,168 134,747 #Bankinter SA........................................ 1,126,294 4,473,496 #*Baron de Ley SA..................................... 13,910 785,893 #Bolsas y Mercados Espanoles SA...................... 304,982 6,589,836 #*Caja de Ahorros del Mediterraneo SA................. 116,412 -- *Campofrio Food Group SA............................. 95,179 697,514 #*Cementos Portland Valderrivas SA.................... 45,565 218,723 #Cie Automotive SA................................... 131,131 909,413 *Codere SA........................................... 73,816 309,663 Compania Vinicola del Norte de Espana SA............ 16,119 305,064 Construcciones y Auxiliar de Ferrocarriles SA....... 7,740 3,685,075 *Deoleo SA........................................... 1,893,651 810,600 Dinamia Capital Privado Sociedad de Capital Riesgo SA................................................ 20,438 138,305 Distribuidora Internacional de Alimentacion SA...... 96,278 583,264 Duro Felguera SA.................................... 276,209 1,672,053 Ebro Foods SA....................................... 368,664 6,771,446 #Elecnor SA.......................................... 198,254 2,356,622 Ence Energia y Celulosa SA.......................... 925,182 2,258,852 *Ercros SA........................................... 347,602 240,582 #Faes Farma SA....................................... 867,236 1,502,728 *Fersa Energias Renovables SA........................ 93,691 44,979 Fluidra SA.......................................... 51,811 132,806 87 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ SPAIN -- (Continued) #Fomento de Construcciones y Contratas SA............. 196,344 $ 2,572,335 #Gamesa Corp Tecnologica SA........................... 1,113,758 2,275,406 *Grifols SA........................................... 1,193 41,434 #Grupo Catalana Occidente SA.......................... 191,220 3,122,654 *Grupo Ezentis SA..................................... 1,019,505 235,430 *Grupo Tavex SA....................................... 244,131 79,740 Iberpapel Gestion SA................................. 25,850 442,125 #Indra Sistemas SA.................................... 462,730 5,294,527 #*Inmobiliaria Colonial SA............................. 108,920 212,739 Inmobiliaria del Sur SA.............................. 2,902 15,666 *Jazztel P.L.C........................................ 957,794 6,349,140 *La Seda de Barcelona SA.............................. 80,921 112,133 Laboratorios Farmaceuticos Rovi SA................... 58,812 395,611 #Mediaset Espana Comunicacion SA...................... 772,677 4,158,770 #Melia Hotels International SA........................ 232,123 1,727,324 Miquel y Costas & Miquel SA.......................... 35,995 980,490 *Natra SA............................................. 86,085 117,715 *Natraceutical SA..................................... 270,920 50,228 #*NH Hoteles SA........................................ 521,131 1,891,975 *Nicolas Correa SA.................................... 14,074 14,212 Obrascon Huarte Lain SA.............................. 180,950 4,743,459 Papeles y Cartones de Europa SA...................... 226,938 545,555 #Pescanova SA......................................... 65,593 1,217,611 Prim SA.............................................. 39,424 243,267 #*Promotora de Informaciones SA Series A............... 1,297,266 565,565 #Prosegur Cia de Seguridad SA......................... 875,740 4,777,912 *Realia Business SA................................... 297,777 227,773 #*Sacyr Vallehermoso SA................................ 645,056 1,285,221 *Service Point Solutions SA........................... 351,017 63,940 *Sociedad Nacional Industrias Aplicaciones Celulosa Espanola SA......................................... 227,522 238,775 Solaria Energia y Medio Ambiente SA.................. 98,171 111,099 Tecnicas Reunidas SA................................. 128,763 6,342,583 Telecomunicaciones y Energia SA...................... 146,125 222,507 #*Tubacex SA........................................... 455,998 1,176,991 Tubos Reunidos SA.................................... 468,386 1,168,348 Vidrala SA........................................... 73,575 1,902,671 Viscofan SA.......................................... 202,123 9,793,173 *Vocento SA........................................... 196,990 249,996 #*Vueling Airlines SA.................................. 72,219 482,953 #*Zeltia SA............................................ 820,890 1,407,410 ------------ TOTAL SPAIN............................................. 113,780,100 ------------ SWEDEN -- (9.4%) Aarhuskarlshamn AB................................... 111,342 4,385,979 Acando AB............................................ 282,290 667,301 *Active Biotech AB.................................... 179,412 1,650,436 #AddNode Group AB..................................... 22,291 110,828 #AddTech AB Series B.................................. 76,643 1,910,822 *Aerocrine AB Series B................................ 11,711 25,205 AF AB Series B....................................... 129,635 2,879,523 #*Alliance Oil Co., Ltd. SDR........................... 350,897 2,700,089 *Anoto Group AB....................................... 80,683 29,108 AQ Group AB.......................................... 26,029 174,389 *Arise Windpower AB................................... 16,677 58,896 *Atrium Ljungberg AB Series B......................... 31,048 408,271 Avanza Bank Holding AB............................... 77,172 1,516,889 Axfood AB............................................ 94,702 3,505,672 #Axis Communications AB............................... 183,851 4,297,359 B&B Tools AB Series B................................ 97,424 668,902 BE Group AB.......................................... 215,340 525,772 Beiger Electronics AB................................ 53,856 409,622 88 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- SWEDEN -- (Continued) Beijer Alma AB......................................... 79,816 $1,344,257 *Betsson AB............................................. 136,308 3,724,452 Bilia AB Series A...................................... 113,425 1,456,065 #Billerud AB............................................ 427,537 4,078,275 BioGaia AB Series B.................................... 59,469 1,537,418 Biotage AB............................................. 143,915 173,995 *Bjorn Borg AB.......................................... 81,716 430,987 #*Black Earth Farming, Ltd. SDR.......................... 82,755 152,122 *Bong Ljungdahl AB...................................... 24,800 34,962 *Boras Waefveri AB Series B............................. 6,564 1,306 Bure Equity AB......................................... 326,825 1,133,421 Byggmax Group AB....................................... 150,938 695,078 Cantena AB............................................. 56,202 493,589 Castellum AB........................................... 726,291 9,735,330 *Catella AB............................................. 215,308 181,313 *CDON Group AB.......................................... 207,523 1,166,308 *Cision AB.............................................. 11,445 89,739 Clas Ohlson AB Series B................................ 152,790 1,952,892 *Cloetta AB............................................. 59,529 125,199 #Concentric AB.......................................... 202,603 1,527,236 Concordia Maritime AB Series B......................... 78,854 119,239 #Connecta AB............................................ 37,403 277,031 *Corem Property Group AB Class B........................ 120 341 *CyberCom Group AB...................................... 191,193 35,480 #DORO AB................................................ 94,731 303,044 Duni AB................................................ 140,875 1,276,695 East Capital Explorer AB............................... 47,726 352,620 Elekta AB Series B..................................... 502,184 7,148,728 #*Enea AB................................................ 63,008 402,041 #*Eniro AB............................................... 420,612 592,855 Fabege AB.............................................. 577,549 5,735,995 Fagerhult AB........................................... 18,323 453,043 *Fastighets AB Balder Series B.......................... 279,717 1,533,969 Fenix Outdoor AB....................................... 6,455 150,971 G & L Beijer AB Series B............................... 59,356 923,074 Gunnebo AB............................................. 190,542 738,219 Hakon Invest AB........................................ 223,343 3,838,082 #Haldex AB.............................................. 218,520 954,840 Heba Fastighets AB Series B............................ 43,722 421,735 Hexpol AB.............................................. 115,947 5,184,598 *HIQ International AB................................... 246,152 1,123,591 HMS Networks AB........................................ 7,040 112,442 Hoganas AB Series B.................................... 115,764 3,860,644 Holmen AB Series B..................................... 273,916 8,072,161 Hufvudstaden AB Series A............................... 189,483 2,406,675 Husqvarna AB Series A.................................. 37,223 215,854 #Husqvarna AB Series B.................................. 1,434,072 8,330,008 Industrial & Financial Systems AB Series B............. 89,522 1,379,156 Indutrade AB........................................... 54,779 1,536,670 Intrum Justitia AB..................................... 288,215 4,170,251 #JM AB.................................................. 372,482 6,709,537 #*KappAhl AB............................................. 730,234 527,038 #*Karo Bio AB............................................ 1,017,632 52,099 Klovern AB............................................. 387,861 1,502,265 KNOW IT AB............................................. 75,523 546,956 Kungsleden AB.......................................... 621,807 3,041,476 Lagercrantz Group AB Series B.......................... 76,298 683,087 Lindab International AB................................ 330,563 2,481,080 Loomis AB Series B..................................... 318,925 4,382,666 Meda AB Series A....................................... 857,997 8,790,208 #*Medivir AB Series B.................................... 125,346 1,143,993 89 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ SWEDEN -- (Continued) Mekonomen AB......................................... 93,177 $ 2,612,735 *Micronic Mydata AB................................... 390,070 605,557 Modern Times Group AB Series B....................... 14,189 432,115 MQ Holding AB........................................ 37,437 106,193 NCC AB Series A...................................... 22,771 421,345 NCC AB Series B...................................... 364,909 6,837,356 Nederman Holding AB.................................. 3,537 69,232 *Net Entertainment NE AB.............................. 132,617 1,463,354 #*Net Insight AB Series B.............................. 1,189,130 283,415 #New Wave Group AB Series B........................... 197,176 597,310 #NIBE Industrier AB Series B.......................... 344,688 5,219,502 #*Nobia AB............................................. 666,139 2,684,066 Nolato AB Series B................................... 88,207 1,023,141 #*Nordic Mines AB...................................... 177,844 131,670 Nordnet AB Series B.................................. 385,945 956,037 OEM International AB Series B........................ 45,688 443,327 #*Orexo AB............................................. 76,505 554,507 Oriflame Cosmetics SA SDR............................ 152,281 4,208,214 *PA Resources AB...................................... 2,515,097 171,273 *Partnertech AB....................................... 26,634 89,945 #Peab AB Series B.................................... 714,633 3,374,657 Poolia AB Series B................................... 26,319 47,307 #Pricer AB Series B................................... 452,718 600,822 ProAct IT Group AB................................... 31,571 452,242 Probi AB............................................. 28,553 211,970 Proffice AB Series B................................. 261,425 756,825 *RaySearch Laboratories AB............................ 73,879 198,455 Readsoft AB Series B................................. 87,941 259,881 *Rederi AB Transatlantic.............................. 112,133 98,534 *Rezidor Hotel Group AB............................... 347,496 1,237,087 *RNB Retail & Brands AB............................... 411,548 120,819 Rottneros AB......................................... 207,512 57,856 Saab AB Series B..................................... 253,292 4,818,837 Sagax AB............................................. 3,119 82,430 #*SAS AB............................................... 581,421 566,117 *Sectra AB............................................ 22,873 141,617 *Securitas AB Series B................................ 1,133,353 8,253,893 *Semcon AB............................................ 63,596 423,744 Sigma AB Series B.................................... 20,898 16,772 Sintercast AB........................................ 13,048 88,841 Skistar AB........................................... 97,008 1,165,722 #SSAB AB Series A..................................... 824,806 5,908,719 SSAB AB Series B..................................... 304,782 1,884,924 Studsvik AB.......................................... 18,826 72,542 Sweco AB Series B.................................... 187,009 1,969,767 *Swedish Orphan Biovitrum AB.......................... 596,468 3,367,947 Swedol AB Class B.................................... 29,796 101,096 Systemair AB......................................... 18,266 211,204 *TradeDoubler AB...................................... 181,607 319,354 *Transmode Holding AB................................. 11,431 118,698 Trelleborg AB Series B............................... 999,202 10,888,078 #Unibet Group P.L.C. SDR.............................. 134,781 3,801,141 Uniflex AB Series B.................................. 17,950 77,003 VBG AB Series B...................................... 137 1,666 Vitrolife AB......................................... 60,303 395,952 Wallenstam AB Series B............................... 398,541 4,380,964 Wihlborgs Fastigheter AB............................. 288,130 4,398,197 #*Xvivo Perfusion AB................................... 60,303 245,470 ------------ TOTAL SWEDEN............................................ 237,496,908 ------------ 90 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- SWITZERLAND -- (12.3%) Acino Holding AG....................................... 15,421 $ 1,890,822 *Addex Pharmaceuticals, Ltd............................. 1,491 16,972 *Advanced Digital Broadcast Holdings SA................. 2,024 28,264 *AFG Arbonia-Forster Holding AG......................... 48,048 1,089,029 Allreal Holding AG..................................... 42,229 6,384,386 ALSO-Actebis Holding AG................................ 16,195 789,410 AMS AG................................................. 35,754 3,808,754 APG SGA SA............................................. 5,937 1,131,059 Aryzta AG.............................................. 130,432 6,516,059 Ascom Holding AG....................................... 160,822 1,375,641 *Autoneum Holding AG.................................... 15,956 816,084 #Bachem Holdings AG..................................... 24,136 967,880 Baloise Holding AG..................................... 13,573 1,132,884 Bank Coop AG........................................... 31,671 1,877,126 Banque Cantonale de Geneve SA.......................... 4,021 889,682 Banque Cantonale du Jura SA............................ 4,442 310,906 Banque Cantonale Vaudoise AG........................... 5,168 2,740,561 Banque Privee Edmond de Rothschild SA.................. 157 3,200,291 Barry Callebaut AG..................................... 2,352 2,246,322 *Basilea Pharmaceutica AG............................... 21,943 1,079,073 #Basler Kantonalbank AG................................. 192 20,892 Belimo Holdings AG..................................... 1,851 3,262,423 Bell AG................................................ 177 376,291 Bellevue Group AG...................................... 27,519 274,508 #Berner Kantonalbank AG................................. 23,232 6,326,813 BKW AG................................................. 27,437 1,061,431 *Bobst Group AG......................................... 39,735 1,213,284 Bossard Holding AG..................................... 9,822 1,317,189 Bucher Industries AG................................... 33,342 6,256,438 Burckhardt Compression Holding AG...................... 9,355 2,681,322 Burkhalter Holding AG.................................. 1,159 379,550 Calida Holding AG...................................... 5,995 164,340 Carlo Gavazzi Holding AG............................... 1,069 223,647 Centralschweizerische Kraftwerke AG.................... 122 43,345 *Cham Paper Holding AG.................................. 791 134,471 *Charles Voegele Holding AG............................. 32,044 568,815 *Cicor Technologies..................................... 4,889 167,219 Cie Financiere Tradition SA............................ 8,027 486,941 #Clariant AG............................................ 903,053 9,677,105 Coltene Holding AG..................................... 16,008 465,625 Conzzeta AG............................................ 1,345 2,472,203 *Cosmo Pharmaceuticals SpA.............................. 665 20,217 Daetwyler Holding AG................................... 29,754 2,588,567 #*Dufry AG............................................... 77,241 9,824,040 #EFG International AG................................... 205,905 1,883,077 *ELMA Electronic AG..................................... 472 207,078 Emmi AG................................................ 13,244 3,289,846 EMS-Chemie Holding AG.................................. 21,344 5,149,691 Energiedienst Holding AG............................... 71,249 3,233,684 Flughafen Zuerich AG................................... 15,028 6,431,100 Forbo Holding AG....................................... 6,494 4,104,208 Galenica Holding AG.................................... 18,828 11,057,552 *GAM Holding AG......................................... 780,910 10,921,334 Gategroup Holding AG................................... 88,404 2,342,953 George Fisher AG....................................... 15,889 5,582,685 *Gottex Fund Management Holdings, Ltd................... 824 2,393 Gurit Holding AG....................................... 1,799 733,361 Helvetia Holding AG.................................... 22,754 7,989,963 Huber & Suhner AG...................................... 36,607 1,627,790 Implenia AG............................................ 65,242 2,770,127 Inficon Holding AG..................................... 6,097 1,304,260 91 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- SWITZERLAND -- (Continued) Interroll Holding AG................................... 2,404 $ 907,578 Intershop Holding AG................................... 3,991 1,388,540 Jungfraubahn Holding AG................................ 1,336 90,087 #Kaba Holding AG........................................ 11,858 4,483,878 *Kardex AG.............................................. 21,055 555,718 Komax Holding AG....................................... 11,434 831,589 Kudelski SA............................................ 173,269 1,894,556 *Kuoni Reisen Holding AG Series B....................... 14,420 3,856,152 #LEM Holding SA......................................... 3,667 1,843,433 *Liechtensteinische Landesbank AG....................... 11,378 371,085 *LifeWatch AG........................................... 53,006 423,311 #Logitech International SA.............................. 676,961 4,902,474 Lonza Group AG......................................... 206,376 10,467,022 Luzerner Kantonalbank AG............................... 17,399 6,296,506 *MCH Group AG........................................... 116 6,000 #Metall Zug AG.......................................... 391 822,083 #*Meyer Burger Technology AG............................. 222,481 2,161,994 Micronas Semiconductor Holding AG...................... 155,041 1,333,145 Mikron Holding AG...................................... 585 3,380 Mobilezone Holding AG.................................. 138,514 1,450,683 Mobimo Holding AG...................................... 25,751 5,971,639 *Myriad Group AG........................................ 75,277 202,109 Nobel Biocare Holding AG............................... 478,680 4,288,009 *OC Oerlikon Corp. AG................................... 637,624 6,421,927 *Orascom Development Holding AG......................... 12,879 220,309 Orell Fuessli Holding AG............................... 4,930 513,417 Orior AG............................................... 14,800 773,482 Panalpina Welttransport Holding AG..................... 45,690 4,321,551 *Parco Industriale e Immobiliare SA..................... 600 2,255 Phoenix Mecano AG...................................... 3,100 1,529,519 PSP Swiss Property AG.................................. 148,327 13,621,861 PubliGroupe SA......................................... 2,764 376,428 Rieters Holdings AG.................................... 15,956 2,551,478 Romande Energie Holding SA............................. 2,714 3,491,767 Schaffner Holding AG................................... 2,066 511,926 #Schmolz & Bickenbach AG................................ 139,656 528,150 Schweiter Technologies AG.............................. 4,424 2,166,411 Schweizerische National-Versicherungs-Gesellschaft AG.. 54,960 2,223,247 *Siegfried Holding AG................................... 13,144 1,638,472 Societa Elettrica Sopracenerina SA..................... 2,340 458,579 St. Galler Kantonalbank AG............................. 10,021 4,108,852 #Straumann Holding AG................................... 24,168 2,978,065 Sulzer AG.............................................. 30,255 4,387,187 Swiss Life Holding AG.................................. 102,976 13,004,543 Swisslog Holding AG.................................... 914,407 982,296 Swissquote Group Holding SA............................ 47,450 1,465,017 Tamedia AG............................................. 14,891 1,664,227 Tecan Group AG......................................... 39,704 2,962,819 *Temenos Group AG....................................... 207,131 3,412,156 *Tornos Holding AG...................................... 38,028 263,372 U-Blox AG.............................................. 19,001 841,719 *Valartis Group AG...................................... 936 18,620 Valiant Holding AG..................................... 47,292 4,658,021 Valora Holding AG...................................... 12,202 2,319,287 *Vaudoise Assurances Holding SA......................... 3,614 1,118,705 Verwaltungs und Privat-Bank AG......................... 8,823 658,230 Vetropack Holding AG................................... 488 832,070 Villars Holding SA..................................... 150 78,607 #*Von Roll Holding AG.................................... 187,632 424,720 Vontobel Holdings AG................................... 121,104 3,377,433 VZ Holding AG.......................................... 801 95,517 92 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ----------- -------------- SWITZERLAND -- (Continued) Walliser Kantonalbank AG......................... 1,416 $ 1,334,092 WMH Walter Meier Holding AG...................... 4,738 1,063,028 Ypsomed Holdings AG.............................. 8,003 476,006 Zehnder Group AG................................. 39,704 2,338,328 *Zueblin Immobilien Holding AG.................... 261,040 781,644 *Zug Estates Holding AG Class B................... 258 339,820 Zuger Kantonalbank AG............................ 623 3,271,664 -------------- TOTAL SWITZERLAND................................... 312,086,778 -------------- UNITED KINGDOM -- (0.1%) United Drug P.L.C................................ 888,565 3,239,110 -------------- TOTAL COMMON STOCKS................................. 2,237,475,092 -------------- RIGHTS/WARRANTS -- (0.0%) BELGIUM -- (0.0%) *Agfa-Gevaert NV STRIP VVPR...................... 122,950 159 *Deceuninck NV STRIP VVPR........................ 247,412 321 *Nyrstar NV STRIP VVPR........................... 178,031 231 *RealDolmen NV STRIP VVPR (5640683).............. 20 -- *RealDolmen NV STRIP VVPR (B3B08L5).............. 6,067 8 *SAPEC SA STRIP VVPR............................. 75 68 *Tessenderlo Chemie NV STRIP VVPR................ 9,955 452 *Zenitel NV STRIP VVPR........................... 8,654 11 -------------- TOTAL BELGIUM....................................... 1,250 -------------- ITALY -- (0.0%) *Seat Pagine Gialle SpA Warrants 08/31/14........ 2,988,837 8,763 -------------- TOTAL RIGHTS/WARRANTS............................... 10,013 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (11.6%) (S)@DFA Short Term Investment Fund.................. 25,324,114 293,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $1,011,182) to be repurchased at $991,365...... $ 991 991,355 -------------- TOTAL SECURITIES LENDING COLLATERAL................. 293,991,355 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,583,421,711)............................ $2,531,476,460 ============== 93 THE CANADIAN SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ ------- ----------- COMMON STOCKS -- (75.6%) Consumer Discretionary -- (8.5%) Aimia, Inc............................................. 310,251 $ 4,647,164 AlarmForce Industries, Inc............................. 4,310 49,584 Astral Media, Inc. Class A............................. 197,447 8,081,736 AutoCanada, Inc........................................ 30,477 424,160 #*Ballard Power Systems, Inc............................. 559,352 403,237 BMTC Group, Inc. Class A............................... 16,581 235,579 Brick, Ltd. (The)...................................... 203,090 671,036 *Brookfield Residential Properties, Inc................. 13,737 237,535 #Cineplex, Inc.......................................... 241,959 7,510,117 #*Coastal Contacts, Inc.................................. 117,872 826,140 Cogeco Cable, Inc...................................... 61,264 2,340,760 Cogeco, Inc............................................ 8,522 285,759 #Corus Entertainment, Inc. Class B...................... 304,900 6,902,417 *DHX Media, Ltd......................................... 12,600 22,078 Dollarama, Inc......................................... 57,546 3,635,121 Dorel Industries, Inc. Class B......................... 111,100 3,972,346 easyhome, Ltd.......................................... 3,600 22,889 Gamehost, Inc.......................................... 10,774 136,462 Glacier Media, Inc..................................... 137,300 254,323 Glentel, Inc........................................... 65,122 1,075,206 *Great Canadian Gaming Corp............................. 293,000 2,816,320 #*Imax Corp.............................................. 260,537 5,874,637 Indigo Books & Music, Inc.............................. 746 7,462 Le Chateau, Inc. Class A............................... 59,800 233,512 Leon's Furniture, Ltd.................................. 143,275 1,661,201 Linamar Corp........................................... 200,980 4,427,094 *Martinrea International, Inc........................... 318,256 2,287,938 *MEGA Brands, Inc....................................... 41,106 400,462 #*Mood Media Corp........................................ 208,174 487,737 *MTY Food Group, Inc.................................... 1,500 29,437 Quebecor, Inc. Class B................................. 97,793 3,411,372 Reitmans Canada, Ltd................................... 14,256 173,855 Reitmans Canada, Ltd. Class A.......................... 204,000 2,536,851 #RONA, Inc.............................................. 677,175 6,956,511 *Sears Canada, Inc...................................... 8,849 102,688 Torstar Corp. Class B.................................. 236,877 1,909,246 *TVA Group, Inc. Class B................................ 7,000 49,412 #Uni-Select, Inc........................................ 63,381 1,455,145 #Whistler Blackcomb Holdings, Inc....................... 23,437 279,249 ----------- Total Consumer Discretionary.............................. 76,833,778 ----------- Consumer Staples -- (2.5%) #Alliance Grain Traders, Inc............................ 73,950 1,021,787 Andrew Peller, Ltd. Class A............................ 400 4,005 *Atrium Innovations, Inc................................ 130,236 1,341,806 Canada Bread Co., Ltd.................................. 13,521 679,198 Colabor Group, Inc..................................... 72,724 609,462 Corby Distilleries, Ltd. Class A....................... 70,235 1,227,838 *Cott Corp.............................................. 473,596 3,618,060 High Liner Foods, Inc.................................. 7,297 178,270 Liquor Stores N.A., Ltd................................ 86,917 1,596,053 Maple Leaf Foods, Inc.................................. 387,979 4,311,957 #North West Co., Inc. (The)............................. 188,473 4,415,788 #Premium Brands Holdings Corp........................... 86,016 1,565,728 Rogers Sugar, Inc...................................... 216,966 1,362,079 *SunOpta, Inc........................................... 205,185 1,230,596 *Sun-Rype Products, Ltd................................. 100 606 ----------- Total Consumer Staples.................................... 23,163,233 ----------- 94 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Energy -- (19.2%) *Advantage Oil & Gas, Ltd............................... 1,098,231 $3,958,580 Akita Drilling, Ltd. Class A........................... 42,000 464,681 #*Anderson Energy, Ltd................................... 722,895 235,235 *Angle Energy, Inc...................................... 310,632 1,166,328 #*Antrim Energy, Inc..................................... 680,756 565,735 *Arsenal Energy, Inc.................................... 533,150 325,629 #AvenEx Energy Corp..................................... 174,033 601,165 #*Bankers Petroleum, Ltd................................. 942,620 2,680,391 *Bellatrix Exploration, Ltd............................. 569,051 2,370,215 *Bengal Energy, Ltd..................................... 600 469 #*Birchcliff Energy, Ltd................................. 359,000 2,943,890 #*BlackPearl Resources, Inc.............................. 1,165,485 3,979,278 #*BNK Petroleum, Inc..................................... 290,319 188,944 #Bonterra Energy Corp................................... 61,962 2,779,372 *C&C Energia, Ltd....................................... 90,405 526,816 Calfrac Well Services, Ltd............................. 138,582 3,178,887 #*Calmena Energy Services, Inc........................... 119,771 24,584 *Calvalley Petroleums, Inc. Class A..................... 348,139 766,864 #*Canacol Energy, Ltd.................................... 1,262,416 448,719 #Canadian Energy Services & Technology Corp............. 179,083 1,836,105 *CanElson Drilling, Inc................................. 8,100 38,523 #Canyon Services Group, Inc............................. 190,870 2,041,043 #Cathedral Energy Services, Ltd......................... 140,033 841,250 *Celtic Exploration, Ltd................................ 323,700 8,452,662 *Cequence Energy, Ltd................................... 524,063 970,730 *Chinook Energy, Inc.................................... 131,919 244,356 #*Connacher Oil & Gas, Ltd............................... 2,187,935 985,803 #*Corridor Resources, Inc................................ 367,780 272,498 #*Crew Energy, Inc....................................... 416,069 3,203,575 *Crocotta Energy, Inc................................... 202,420 652,608 *Crown Point Energy, Inc................................ 6,915 2,527 #*DeeThree Exploration, Ltd.............................. 314,494 2,179,022 #*Delphi Energy Corp..................................... 564,604 763,169 #*Denison Mines Corp..................................... 2,168,583 2,800,973 #Enbridge Income Fund Holdings, Inc..................... 133,783 3,114,348 #Enerflex, Ltd.......................................... 279,959 3,231,967 Ensign Energy Services, Inc............................ 226,952 3,392,634 #*Epsilon Energy, Ltd.................................... 211,658 608,219 *Equal Energy, Ltd...................................... 121,446 375,738 *Essential Energy Services, Ltd......................... 478,578 1,015,855 #*Fairborne Energy, Ltd.................................. 544,251 866,442 #*Forsys Metals Corp..................................... 109,974 79,280 *Gran Tierra Energy, Inc................................ 1,065,607 5,366,712 #*Ithaca Energy, Inc..................................... 485,500 938,188 #*Ivanhoe Energy, Inc.................................... 988,849 613,854 *Laramide Resources, Ltd................................ 20,368 18,558 *Legacy Oil & Gas, Inc.................................. 530,751 3,794,305 *Long Run Exploration, Ltd.............................. 439,756 1,805,256 *Mega Uranium, Ltd...................................... 796,410 119,611 *MGM Energy Corp........................................ 19,000 4,471 Mullen Group, Ltd...................................... 312,028 6,470,188 *Niko Resources, Ltd.................................... 137,364 1,749,457 #*North American Energy Partners, Inc.................... 60,356 179,482 #*Nuvista Energy, Ltd.................................... 481,347 2,515,776 #*Pace Oil & Gas, Ltd.................................... 199,507 561,316 #*Paramount Resources, Ltd. Class A...................... 27,330 924,910 *Parex Resources, Inc................................... 184,101 827,648 #Parkland Fuel Corp..................................... 265,671 4,532,700 Pason Systems, Inc..................................... 259,107 4,220,947 #Pembina Pipeline Corp.................................. 94,580 2,644,912 #Pengrowth Energy Corp.................................. 410,832 2,463,964 95 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ------------ Energy -- (Continued) #*Perpetual Energy, Inc................................ 395,093 $ 577,558 #PetroBakken Energy, Ltd. Class A..................... 186,105 2,349,721 #*Petrobank Energy & Resources, Ltd.................... 425,702 5,847,941 #Petrominerales, Ltd.................................. 366,131 2,936,380 #Peyto Exploration & Development Corp................. 80,520 1,967,156 #PHX Energy Services Corp............................. 67,529 574,715 *Pine Cliff Energy, Ltd............................... 63,810 41,528 #Poseidon Concepts Corp............................... 165,977 2,454,548 Progress Energy Resources Corp....................... 13,766 277,319 #Pulse Seismic, Inc................................... 271,180 705,950 #*Questerre Energy Corp. Class A....................... 736,160 545,440 *RMP Energy, Inc...................................... 477,526 1,109,247 #*Rock Energy, Inc..................................... 114,652 132,015 #Savanna Energy Services Corp......................... 355,777 2,475,745 *Second Wave Petroleum, Inc........................... 12,200 9,650 #*Secure Energy Services, Inc.......................... 254,412 2,432,675 ShawCor, Ltd. Class A................................ 212,900 9,485,907 *Sonde Resources Corp................................. 87,173 82,045 #*Southern Pacific Resource Corp....................... 1,650,425 2,230,862 #*SouthGobi Resources, Ltd............................. 455,682 926,192 #*Sprott Resource Corp................................. 410,237 1,597,819 Strad Energy Services, Ltd........................... 9,200 38,965 *Surge Energy, Inc.................................... 217,909 1,472,727 *TAG Oil, Ltd......................................... 43,300 303,479 #*Tethys Petroleum, Ltd................................ 340,989 184,364 Total Energy Services, Inc........................... 124,973 1,895,711 *TransGlobe Energy Corp............................... 286,808 3,089,916 #Trican Well Service, Ltd............................. 564,307 6,734,958 Trinidad Drilling, Ltd............................... 506,051 3,354,250 #*Tuscany International Drilling, Inc.................. 275,042 85,370 #Twin Butte Energy, Ltd............................... 799,666 2,377,980 *UEX Corp............................................. 608,088 334,867 #*Uranium One, Inc..................................... 42,037 91,334 #*Ur-Energy, Inc....................................... 309,416 278,823 #Veresen, Inc......................................... 278,043 3,588,460 #Vero Energy, Inc..................................... 231,935 622,364 *Western Energy Services Corp......................... 17,900 128,145 #*Whitecap Resources, Inc.............................. 490,635 3,905,430 #*Winstar Resources, Ltd............................... 78,401 257,477 *Xtreme Drilling & Coil Services Corp................. 128,043 179,485 #Zargon Oil & Gas, Ltd................................ 105,225 902,907 ZCL Composite, Inc................................... 93,500 461,532 ------------ Total Energy............................................ 173,976,321 ------------ Financials -- (5.9%) #AGF Management, Ltd. Class B......................... 334,079 3,334,936 *Alaris Royalty Corp.................................. 5,513 124,198 Altus Group, Ltd..................................... 40,245 329,616 #Brookfield Real Estate Services, Inc................. 8,075 97,991 Canaccord Financial, Inc............................. 327,281 1,635,176 #Canadian Western Bank................................ 271,572 8,037,715 #Cash Store Financial Services, Inc. (The)............ 51,170 246,948 Clairvest Group, Inc................................. 1,900 33,853 #Davis & Henderson Corp............................... 239,699 5,030,379 *EGI Financial Holdings, Inc.......................... 14,650 130,548 E-L Financial Corp., Ltd............................. 1,043 417,273 Equitable Group, Inc................................. 52,295 1,549,869 *Equity Financial Holdings, Inc....................... 800 6,440 Fiera Capital Corp................................... 36,300 290,763 Firm Capital Mortgage Investment Corp................ 2,494 34,161 First National Financial Corp........................ 20,340 345,194 96 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- Financials -- (Continued) *FirstService Corp...................................... 135,548 $ 3,896,454 #*Genesis Land Development Corp.......................... 70,317 242,193 Genworth MI Canada, Inc................................ 149,254 3,057,559 Gluskin Sheff & Associates, Inc........................ 62,507 898,098 #GMP Capital, Inc....................................... 264,670 1,393,907 Granite Real Estate, Inc............................... 143,257 5,252,637 Guardian Capital Group, Ltd. Class A................... 11,327 114,092 #Home Capital Group, Inc................................ 120,600 6,140,185 #Killam Properties, Inc................................. 206,566 2,665,968 *Kingsway Financial Services, Inc....................... 46,281 153,846 Laurentian Bank of Canada.............................. 109,624 4,878,885 #*Mainstreet Equity Corp................................. 13,494 428,160 Melcor Developments, Ltd............................... 12,081 186,280 *Pacific & Western Credit Corp.......................... 8,800 13,657 #Sprott Resource Lending Corp........................... 750,703 1,067,332 Sprott, Inc............................................ 248,356 1,099,107 *TMX Group, Ltd......................................... 10,056 514,303 ----------- Total Financials.......................................... 53,647,723 ----------- Health Care -- (1.6%) *AEterna Zentaris, Inc.................................. 54,327 116,949 *Amica Mature Lifestyles, Inc........................... 1,600 15,331 *Bioniche Life Sciences, Inc............................ 46,000 21,186 #*Burcon NutraScience Corp............................... 57,338 243,991 *Cangene Corp........................................... 140,432 232,003 *Cardiome Pharma Corp................................... 53,665 15,045 #CML HealthCare, Inc.................................... 356,997 3,027,549 *Helix BioPharma Corp................................... 1,954 1,819 #*IMRIS, Inc............................................. 88,979 358,143 #Leisureworld Senior Care Corp.......................... 109,653 1,376,770 #Medical Facilities Corp................................ 10,510 149,429 #Nordion, Inc........................................... 464,108 3,020,478 *Oncolytics Biotech, Inc................................ 194,221 402,541 *Paladin Labs, Inc...................................... 50,700 2,163,538 *Patheon, Inc........................................... 18,420 68,424 *ProMetic Life Sciences, Inc............................ 247,137 34,642 *QLT, Inc............................................... 226,610 1,703,971 #*Resverlogix Corp....................................... 112,020 234,415 #*Theratechnologies, Inc................................. 277,500 86,133 *Transition Therapeutics, Inc........................... 50,610 114,522 *TSO3, Inc.............................................. 187,345 196,958 #*YM Biosciences, Inc.................................... 343,095 553,074 ----------- Total Health Care......................................... 14,136,911 ----------- Industrials -- (9.0%) #Aecon Group, Inc....................................... 242,867 2,798,898 #AG Growth International, Inc........................... 61,828 1,981,591 *Air Canada Class A..................................... 313,328 555,285 Algoma Central Corp.................................... 2,669 315,336 #*Armtec Infrastructure, Inc............................. 48,017 110,577 *ATS Automation Tooling System, Inc..................... 370,020 3,445,493 Badger Daylighting, Ltd................................ 12,046 351,339 #Bird Construction, Inc................................. 97,110 1,417,636 #Black Diamond Group, Ltd............................... 119,791 2,588,325 #CanWel Building Materials Group, Ltd................... 95,000 252,065 Cervus Equipment Corp.................................. 500 10,643 Chorus Aviation, Inc................................... 3,981 12,197 Churchill Corp. Class A (The).......................... 91,759 771,740 Clarke, Inc............................................ 44,894 198,230 Contrans Group, Inc. Class A........................... 89,385 839,481 DirectCash Payments, Inc............................... 26,395 642,201 97 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ------- ----------- Industrials -- (Continued) #Exchange Income Corp................................... 31,527 $ 830,198 Exco Technologies, Ltd................................. 22,200 108,027 *Garda World Security Corp. Class A..................... 114,740 1,375,157 Genivar, Inc........................................... 129,906 2,836,796 *GLV, Inc. Class A...................................... 86,250 193,442 *Heroux-Devtek, Inc..................................... 98,475 1,309,385 HNZ Group, Inc......................................... 21,888 542,187 Horizon North Logistics, Inc........................... 330,070 2,524,891 IBI Group, Inc......................................... 32,601 303,569 K-Bro Linen, Inc....................................... 10,198 299,175 #Morneau Shepell, Inc................................... 127,575 1,641,390 New Flyer Industries, Inc.............................. 7,700 59,750 Newalta Corp........................................... 166,722 2,345,376 Richelieu Hardware, Ltd................................ 63,793 2,218,304 #Ritchie Brothers Auctioneers, Inc...................... 244,637 5,425,491 Rocky Mountain Dealerships, Inc........................ 55,341 608,959 #Russel Metals, Inc..................................... 246,300 6,880,370 Stantec, Inc........................................... 182,098 6,272,011 #Student Transportation, Inc............................ 264,696 1,701,475 #Superior Plus Corp..................................... 559,647 5,468,991 Toromont Industries, Ltd............................... 274,167 5,380,399 Transcontinental, Inc. Class A......................... 287,702 2,967,039 TransForce, Inc........................................ 314,697 5,744,106 Vicwest, Inc........................................... 32,393 384,337 #Wajax Corp............................................. 67,648 3,027,650 WaterFurnace Renewable Energy, Inc..................... 31,626 524,065 Westjet Airlines, Ltd.................................. 1,420 25,592 #*Westport Innovations, Inc.............................. 158,805 4,436,205 ----------- Total Industrials......................................... 81,725,374 ----------- Information Technology -- (3.9%) #*5N Plus, Inc........................................... 183,848 404,972 Aastra Technologies, Ltd............................... 32,028 525,917 *Absolute Software Corp................................. 175,557 703,107 Calian Technologies, Ltd............................... 16,706 343,738 *Celestica, Inc......................................... 874,907 6,351,015 *COM DEV International, Ltd............................. 309,553 945,318 Computer Modelling Group, Ltd.......................... 127,087 2,513,110 Constellation Software, Inc............................ 36,819 4,223,264 *Descartes Systems Group, Inc. (The).................... 241,645 2,104,943 #*DragonWave, Inc........................................ 159,183 393,674 Enghouse Systems, Ltd.................................. 52,143 743,968 Evertz Technologies, Ltd............................... 133,981 1,943,814 *EXFO, Inc.............................................. 101,377 456,767 *Hemisphere GPS, Inc.................................... 20,300 14,025 MacDonald Dettweiler & Associates, Ltd................. 128,853 7,224,799 Mediagrif Interactive Technologies, Inc................ 6,876 122,133 *Points International, Ltd.............................. 53,347 496,748 *Redknee Solutions, Inc................................. 122,928 180,930 #*Sandvine Corp.......................................... 590,976 704,142 *Sierra Wireless, Inc................................... 127,100 1,018,073 *Smart Technologies, Inc. Class A....................... 13,981 18,898 Softchoice Corp........................................ 21,172 262,225 *Vecima Network, Inc.................................... 21,676 113,290 #Wi-Lan, Inc........................................... 671,909 3,579,030 *Wireless Matrix Corp................................... 111,939 66,127 ----------- Total Information Technology.............................. 35,454,027 ----------- Materials -- (21.4%) Aberdeen International, Inc............................ 122,333 42,870 #*Ainsworth Lumber Co., Ltd.............................. 229,138 619,447 98 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Materials -- (Continued) *Alacer Gold Corp....................................... 423,558 $2,324,003 #Alamos Gold, Inc....................................... 382,920 7,495,455 *Alexco Resource Corp................................... 272,868 1,051,857 #*Almaden Minerals, Ltd.................................. 98,343 251,089 *Altius Minerals Corp................................... 112,600 1,167,996 Amerigo Resources, Ltd................................. 522,854 303,635 #*Argonaut Gold, Inc..................................... 368,728 3,924,484 #*Atna Resource, Ltd..................................... 507,501 660,577 #*Augusta Resource Corp.................................. 308,545 834,114 #*Aura Minerals, Inc..................................... 530,169 159,250 #*AuRico Gold, Inc....................................... 892,052 7,449,025 #*Aurizon Mines, Ltd..................................... 694,168 3,176,318 #*Avalon Rare Metals, Inc................................ 352,025 563,945 #*B2Gold Corp............................................ 1,401,050 5,793,578 #*Brigus Gold Corp....................................... 717,805 697,142 *Canada Lithium Corp.................................... 652,000 417,802 *Canadian Zinc Corp..................................... 32,925 14,835 *Canam Group, Inc. Class A.............................. 194,100 1,088,320 Canexus Corp........................................... 409,254 3,515,794 *Canfor Corp............................................ 411,155 5,862,175 #Canfor Pulp Products, Inc.............................. 202,846 1,838,054 #*Capstone Mining Corp................................... 1,198,432 2,963,832 *Cardero Resource Corp.................................. 319,643 176,024 *Carpathian Gold, Inc................................... 587,371 179,372 Cascades, Inc.......................................... 489,976 2,394,075 #CCL Industries, Inc. Class B........................... 107,585 3,983,473 #*China Gold International Resources Corp., Ltd.......... 722,757 3,075,562 *Claude Resources, Inc.................................. 934,700 673,826 #*Cline Mining Corp...................................... 519,100 135,135 *Colossus Minerals, Inc................................. 219,716 1,247,349 #*Copper Mountain Mining Corp............................ 366,515 1,482,574 #*Duluth Metals, Ltd..................................... 388,214 874,575 #*Dundee Precious Metals, Inc............................ 410,967 3,781,514 #*Dynasty Metals & Mining, Inc........................... 108,369 213,754 #*Eastern Platinum, Ltd.................................. 3,177,460 524,937 *Eastmain Resources, Inc................................ 274,250 233,404 #*Eco Oro Minerals Corp.................................. 261,445 319,362 *EcoSynthetix, Inc...................................... 1,500 4,446 #*Endeavour Mining Corp.................................. 1,378,843 3,175,309 #*Endeavour Silver Corp.................................. 389,940 3,541,182 #*Energy Fuels, Inc...................................... 2,398,488 408,253 #*Entree Gold, Inc....................................... 286,898 132,138 #*Excellon Resources, Inc................................ 870,400 374,740 #*Exeter Resource Corp................................... 70,137 98,315 *First Majestic Silver Corp............................. 431,070 9,965,869 *Formation Metals, Inc.................................. 140,581 36,597 *Fortress Paper, Ltd. Class A........................... 69,284 903,900 #*Fortuna Silver Mines, Inc.............................. 481,068 2,668,452 *Fortune Minerals, Ltd.................................. 214,672 103,172 #*Golden Star Resources, Ltd............................. 1,045,709 2,104,506 #*Goldgroup Mining, Inc.................................. 112,715 42,885 *Great Basin Gold, Ltd.................................. 1,537,875 123,184 #*Great Panther Silver, Ltd.............................. 675,880 1,346,685 #*Guyana Goldfields, Inc................................. 297,242 883,914 *Hanfeng Evergreen, Inc................................. 47,637 78,938 *Harry Winston Diamond Corp............................. 284,763 4,085,761 *High River Gold Mines, Ltd............................. 600,542 835,798 #HudBay Minerals, Inc................................... 734,374 6,816,167 *Imperial Metals Corp................................... 181,428 2,319,735 #*Inter-Citic Minerals, Inc.............................. 283,484 567,678 *International Forest Products, Ltd. Class A............ 201,050 1,288,330 99 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ --------- ---------- Materials -- (Continued) #*International Minerals Corp............................ 75,200 $ 425,412 #*International Tower Hill Mines, Ltd.................... 220,027 533,132 Intertape Polymer Group, Inc........................... 270,787 1,881,614 #*Jaguar Mining, Inc..................................... 274,437 283,024 #*Katanga Mining, Ltd.................................... 1,007,162 484,043 *Keegan Resources, Inc.................................. 271,644 1,071,617 #*Kimber Resources, Inc.................................. 21,200 12,736 #*Kirkland Lake Gold, Inc................................ 247,980 2,448,143 #*Labrador Iron Mines Holdings, Ltd...................... 123,133 118,356 #*Lake Shore Gold Corp................................... 1,419,989 1,137,413 #*MAG Silver Corp........................................ 156,360 1,991,388 #Major Drilling Group International, Inc................ 322,900 3,339,732 *MBAC Fertilizer Corp................................... 80,639 258,368 #*Mercator Minerals, Ltd................................. 905,221 448,645 #Migao Corp............................................. 164,100 377,902 *Minco Base Metals Corp................................. 2,780 -- #*Minco Silver Corp...................................... 125,224 240,731 *Minera Andes Acquisition Corp.......................... 316,695 1,531,551 #*Nautilus Minerals, Inc................................. 89,354 62,626 #*Nevada Copper Corp..................................... 160,491 564,028 *Nevsun Resources, Ltd.................................. 308,402 1,460,567 *New Millennium Iron Corp............................... 23,800 32,647 *NGEx Resources, Inc.................................... 260,900 820,251 #*Norbord, Inc........................................... 112,168 2,331,522 #*North American Palladium, Ltd.......................... 565,789 866,741 *Northern Dynasty Minerals, Ltd......................... 148,624 528,276 *NovaCopper, Inc........................................ 46,923 103,830 #*NovaGold Resources, Inc................................ 845,155 4,104,132 #*OceanaGold Corp........................................ 1,151,416 4,035,000 *Oromin Explorations, Ltd............................... 168,799 133,518 #*Orvana Minerals Corp................................... 302,452 263,463 *Peregrine Diamonds, Ltd................................ 120,403 66,305 *Petaquilla Minerals, Ltd............................... 528,482 338,652 *Phoscan Chemical Corp.................................. 432,579 125,605 #*Pilot Gold, Inc........................................ 76,450 120,177 #*Platinum Group Metals, Ltd............................. 241,887 244,612 #*PolyMet Mining Corp.................................... 423,377 462,058 #*Primero Mining Corp.................................... 230,277 1,708,488 #*Queenston Mining, Inc.................................. 220,773 901,881 *Resolute Forest Products............................... 2,488 30,342 *Richmont Mines, Inc.................................... 114,244 455,260 #*Rubicon Minerals Corp.................................. 508,405 1,802,006 #*Sabina Gold & Silver Corp.............................. 383,055 1,112,250 #*San Gold Corp.......................................... 1,018,995 999,865 #*Scorpio Mining Corp.................................... 842,899 886,152 #*Seabridge Gold, Inc.................................... 121,852 2,088,717 #SEMAFO, Inc............................................ 978,485 3,918,839 Sherritt International Corp............................ 1,571,926 6,799,219 *Shore Gold, Inc........................................ 364,464 82,107 #*Silver Standard Resources, Inc......................... 340,397 5,170,285 *St. Andrew Goldfields, Ltd............................. 646,028 294,311 Stella-Jones, Inc...................................... 33,040 2,015,316 *Stornoway Diamond Corp................................. 297,297 181,578 #*Sulliden Gold Corp., Ltd............................... 659,525 607,522 #*Tanzanian Royalty Exploration Corp..................... 350,339 1,771,426 *Taseko Mines, Ltd...................................... 810,234 2,214,707 *Tembec, Inc............................................ 358,859 812,036 *Teranga Gold Corp...................................... 109,840 235,352 #*Thompson Creek Metals Co., Inc......................... 650,871 1,707,416 *Timminco, Ltd.......................................... 69,822 84 *Timmins Gold Corp...................................... 435,398 1,342,704 100 THE CANADIAN SMALL COMPANY SERIES CONTINUED SHARES VALUE++ ----------- ------------ Materials -- (Continued) *Torex Gold Resources, Inc.......................... 23,993 $ 49,968 #*Veris Gold Corp.................................... 174,268 526,948 *Virginia Mines, Inc................................ 95,762 1,028,812 *Wesdome Gold Mines, Ltd............................ 325,464 306,319 #West Fraser Timber Co., Ltd........................ 126,174 7,641,818 *Western Forest Products, Inc....................... 221,019 289,897 Winpak, Ltd........................................ 67,395 1,059,426 ------------ Total Materials....................................... 194,705,355 ------------ Telecommunication Services -- (0.4%) *AXIA NetMedia Corp................................. 182,767 226,915 Manitoba Telecom Services, Inc..................... 89,417 3,001,904 ------------ Total Telecommunication Services...................... 3,228,819 ------------ Utilities -- (3.2%) #Algonquin Power & Utilities Corp................... 574,574 3,975,275 *Alterra Power Corp................................. 1,033,070 449,948 *Boralex, Inc. Class A.............................. 97,733 944,304 Capital Power Corp................................. 287,449 6,161,986 Capstone Infrastructure Corp....................... 277,990 1,146,752 #Innergex Renewable Energy, Inc..................... 291,261 3,167,053 #Just Energy Group, Inc............................. 583,478 5,970,608 *Maxim Power Corp................................... 92,234 159,765 #Northland Power, Inc............................... 297,306 5,763,048 *Ram Power Corp..................................... 577,537 167,695 #*Valener, Inc....................................... 98,899 1,576,443 ------------ Total Utilities....................................... 29,482,877 ------------ TOTAL COMMON STOCKS................................... 686,354,418 ------------ RIGHTS/WARRANTS -- (0.0%) #*Duluth Metals, Ltd. Warrants 01/18/13.............. 24,225 10,915 *MGM Energy Corp. Rights 12/04/12................... 19,000 1,807 ------------ TOTAL RIGHTS/WARRANTS................................. 12,722 ------------ SHARES/ FACE AMOUNT (000) VALUE+ ----------- ------------ SECURITIES LENDING COLLATERAL -- (24.4%) (S)@DFA Short Term Investment Fund.................... 19,101,124 221,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $448,986) to be repurchased at $440,186.......... $ 440 440,182 ------------ TOTAL SECURITIES LENDING COLLATERAL................... 221,440,182 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $996,859,895)................................. $907,807,322 ============ 101 THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ --------- ----------- COMMON STOCKS -- (87.9%) ARGENTINA -- (0.0%) *Celulosa Argentina SA Series B........................ -- $ -- ----------- BRAZIL -- (5.9%) AES Tiete SA.......................................... 42,245 402,264 All America Latina Logistica SA....................... 377,131 1,715,709 Amil Participacoes SA................................. 119,903 1,803,519 Banco Bradesco SA..................................... 392,200 5,161,619 Banco do Brasil SA.................................... 507,354 5,413,142 Banco Santander Brasil SA............................. 52,300 359,216 Banco Santander Brasil SA ADR......................... 665,784 4,527,331 BM&F Bovespa SA....................................... 1,665,208 10,658,381 BR Malls Participacoes SA............................. 286,523 3,766,605 #BRF - Brasil Foods SA ADR............................. 594,060 10,883,179 CCR SA................................................ 652,568 5,738,344 Centrais Eletricas Brasileiras SA..................... 70,900 389,225 #Centrais Eletricas Brasileiras SA ADR................. 86,923 695,384 Centrais Eletricas Brasileiras SA Sponsored ADR....... 100,200 557,112 CETIP SA - Mercados Organizados....................... 147,600 1,700,519 Cia de Saneamento Basico do Estado de Sao Paulo....... 22,000 931,321 Cia de Saneamento Basico do Estado de Sao Paulo ADR... 29,318 2,463,005 Cia Energetica de Minas Gerais SA..................... 46,775 508,962 Cia Hering SA......................................... 95,300 2,189,359 *Cia Paranaense de Energia SA.......................... 7,400 88,718 Cia Siderurgica Nacional SA........................... 704,052 3,892,816 Cielo SA.............................................. 217,396 5,378,582 Cosan SA Industria e Comercio......................... 130,069 2,494,369 CPFL Energia SA....................................... 62,260 723,437 #CPFL Energia SA ADR................................... 26,753 623,077 Cyrela Brazil Realty SA Empreendimentos e Participacoes....................................... 295,797 2,507,877 Duratex SA............................................ 208,900 1,453,316 EcoRodovias Infraestrutura e Logistica SA............. 115,988 1,013,085 Embraer SA............................................ 164,400 1,149,396 #Embraer SA ADR........................................ 86,000 2,400,260 Energias do Brazil SA................................. 236,900 1,481,318 #*Fibria Celulose SA Sponsored ADR...................... 514,098 4,529,203 Gerdau SA............................................. 131,807 958,514 Guararapes Confeccoes SA.............................. 800 47,266 *Hypermarcas SA........................................ 939,724 7,472,264 Itau Unibanco Holding SA.............................. 187,342 2,453,557 *JBS SA................................................ 701,336 2,268,668 Light SA.............................................. 34,700 373,302 Localiza Rent a Car SA................................ 90,000 1,577,509 Lojas Americanas SA................................... 96,510 731,767 Lojas Renner SA....................................... 92,200 3,413,722 *M. Dias Branco SA..................................... 22,400 752,163 MRV Engenharia e Participacoes SA..................... 203,540 1,032,206 Multiplan Empreendimentos Imobiliarios SA............. 59,200 1,734,275 *Multiplus SA.......................................... 36,457 847,052 Natura Cosmeticos SA.................................. 117,400 3,130,012 Obrascon Huarte Lain Brasil SA........................ 94,600 889,619 OdontoPrev SA......................................... 7,800 40,324 Oi SA................................................. 179,758 849,649 Oi SA ADR (670851104)................................. 7,319 34,107 #Oi SA ADR (670851203)................................. 107,889 431,556 Petroleo Brasileiro SA................................ 98,000 1,037,394 Petroleo Brasilerio SA ADR............................ 1,206,339 25,586,450 Porto Seguro SA....................................... 110,264 1,172,646 Raia Drogasil SA...................................... 155,100 1,706,745 Souza Cruz SA......................................... 356,670 4,653,630 102 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ------------ BRAZIL -- (Continued) Telefonica Brasil SA................................ 8,036 $ 152,724 *Terna Participacoes SA.............................. 23,200 765,318 Tim Participacoes SA................................ 288,200 1,021,659 Tim Participacoes SA ADR............................ 47,642 828,018 Totvs SA............................................ 82,275 1,673,005 Tractebel Energia SA................................ 111,900 1,928,313 Usinas Siderurgicas de Minas Gerais SA.............. 39,100 204,447 #Vale SA Sponsored ADR.............................. 1,090,933 19,985,893 WEG SA.............................................. 248,866 2,858,641 ------------ TOTAL BRAZIL........................................... 180,212,065 ------------ CHILE -- (1.7%) AES Gener SA........................................ 1,202,095 716,510 Aguas Andinas SA Series A........................... 1,425,070 959,297 #Banco de Chile SA Series F ADR...................... 37,057 3,276,580 Banco de Credito e Inversiones SA................... 26,330 1,692,210 #Banco Santander Chile SA ADR........................ 124,303 3,379,799 CAP SA.............................................. 55,691 1,918,136 Cencosud SA......................................... 740,464 4,053,123 *CFR Pharmaceuticals SA.............................. 416,529 100,507 Cia Cervecerias Unidas SA........................... 8,013 116,500 Cia Cervecerias Unidas SA ADR....................... 14,357 1,018,342 *Colbun SA........................................... 5,081,989 1,418,605 Corpbanca SA........................................ 94,605,487 1,238,336 #Corpbanca SA ADR.................................... 22,366 458,503 E.CL SA............................................. 309,077 755,493 Embotelladora Andina SA Series A ADR................ 23,068 706,342 Embotelladora Andina SA Series B ADR................ 19,587 741,956 Empresa Nacional de Electricidad SA Sponsored ADR... 101,485 4,858,087 Empresas CMPC SA.................................... 878,369 3,345,159 Empresas Copec SA................................... 355,393 5,118,206 Enersis SA Sponsored ADR............................ 270,752 4,586,539 ENTEL Chile SA...................................... 87,440 1,789,053 Inversiones Aguas Metropolitanas SA................. 16,528 30,744 #Latam Airlines Group SA Sponsored ADR............... 176,701 4,380,418 Molibdenos y Metales SA............................. 8,896 153,459 Ripley Corp. SA..................................... 650,492 613,786 S.A.C.I. Falabella SA............................... 332,696 3,412,770 Sigdo Koppers SA.................................... 338,893 813,512 Sonda SA............................................ 236,896 724,794 ------------ TOTAL CHILE............................................ 52,376,766 ------------ CHINA -- (14.4%) #Agile Property Holdings, Ltd........................ 1,754,000 1,981,759 Agricultural Bank of China, Ltd. Series H........... 14,912,000 6,405,882 *Air China, Ltd. Series H............................ 1,312,000 927,010 #*Aluminum Corp. of China, Ltd. ADR................... 112,680 1,213,564 #*Angang Steel Co., Ltd. Series H..................... 1,422,000 847,180 #Anhui Conch Cement Co., Ltd. Series H............... 797,500 2,739,225 Bank of China, Ltd. Series H........................ 54,772,100 22,439,161 #Bank of Communications Co., Ltd. Series H........... 5,151,515 3,672,875 *BBMG Corp. Series H................................. 753,500 644,290 Beijing Capital International Airport Co., Ltd. Series H.......................................... 198,000 127,037 Beijing Enterprises Holdings, Ltd................... 668,972 4,320,712 Belle International Holdings, Ltd................... 2,719,000 5,028,216 *Brilliance China Automotive Holdings, Ltd........... 1,576,000 1,947,337 #*BYD Co., Ltd. Series H.............................. 415,886 816,239 China Agri-Industries Holdings, Ltd................. 1,958,202 1,225,411 China BlueChemical, Ltd. Series H................... 1,502,000 950,305 China Citic Bank Corp., Ltd. Series H............... 5,827,928 2,961,168 China Coal Energy Co., Ltd. Series H................ 3,184,777 3,151,289 103 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ----------- CHINA -- (Continued) China Communications Construction Co., Ltd. Series H. 3,342,000 $ 3,127,976 China Communications Services Corp., Ltd. Series H... 2,892,000 1,617,636 China Construction Bank Corp. Series H............... 50,081,590 37,608,762 #*China COSCO Holdings Co., Ltd. Series H.............. 1,911,500 943,476 *China Eastern Airlines Corp., Ltd. ADR............... 2,800 47,992 *China Eastern Airlines Corp., Ltd. Series H.......... 870,000 302,214 #China Foods, Ltd..................................... 472,000 476,984 #China Life Insurance Co., Ltd. ADR................... 323,770 14,304,159 #China Longyuan Power Group Corp. Series H............ 1,387,000 901,406 China Mengniu Dairy Co., Ltd......................... 805,000 2,434,473 *China Merchants Bank Co., Ltd. Series H.............. 2,871,534 5,335,387 China Merchants Holdings International Co., Ltd...... 979,321 3,230,544 #China Minsheng Banking Corp., Ltd. Series H.......... 4,072,000 3,693,112 #China Mobile, Ltd. Sponsored ADR..................... 797,772 44,188,591 *China Molybdenum Co., Ltd. Series H.................. 170,322 72,395 #*China National Building Material Co., Ltd. Series H.. 2,083,916 2,637,521 China Oilfield Services, Ltd. Series H............... 950,000 1,787,622 #China Overseas Land & Investment, Ltd................ 2,588,000 6,771,955 China Pacific Insurance Group Co., Ltd. Series H..... 1,245,200 3,890,385 China Petroleum & Chemical Corp. ADR................. 106,449 11,199,499 China Petroleum & Chemical Corp. Series H............ 2,542,000 2,682,211 #China Railway Construction Corp., Ltd. Series H...... 2,554,000 2,533,018 China Railway Group, Ltd. Series H................... 2,017,000 1,025,194 #*China Resources Cement Holdings, Ltd................. 1,416,000 955,402 China Resources Enterprise, Ltd...................... 1,035,000 3,373,296 China Resources Gas Group, Ltd....................... 510,000 1,133,219 #China Resources Land, Ltd............................ 1,430,000 3,247,501 China Resources Power Holdings Co., Ltd.............. 978,000 2,101,279 China Shenhua Energy Co., Ltd. Series H.............. 2,230,500 9,451,071 #*China Shipping Container Lines Co., Ltd. Series H.... 4,653,000 1,234,323 #China Shipping Development Co., Ltd. Series H........ 1,414,000 740,494 China Southern Airlines Co., Ltd. ADR................ 10,900 253,207 China Southern Airlines Co., Ltd. Series H........... 980,000 463,373 China State Construction International Holdings, Ltd. 1,068,000 1,264,564 *China Taiping Insurance Holdings Co., Ltd............ 536,800 914,022 #China Telecom Corp., Ltd. ADR........................ 49,067 2,892,500 China Telecom Corp., Ltd. Series H................... 2,804,000 1,655,386 China Unicom Hong Kong, Ltd. ADR..................... 470,600 7,571,954 *Chongqing Rural Commercial Bank Series H............. 26,000 12,170 #Citic Pacific, Ltd................................... 1,669,000 2,119,587 CNOOC, Ltd........................................... 1,238,000 2,544,610 #CNOOC, Ltd. ADR...................................... 105,160 21,615,638 COSCO Pacific, Ltd................................... 2,165,997 3,162,676 *Country Garden Holdings Co., Ltd..................... 3,626,769 1,447,678 #CSR Corp., Ltd. Series H............................. 1,251,000 967,494 Datang International Power Generation Co., Ltd. Series H........................................... 1,532,000 543,239 #Dongfang Electric Corp., Ltd. Series H............... 229,600 382,066 Dongfeng Motor Group Co., Ltd. Series H.............. 1,918,000 2,372,183 ENN Energy Holdings, Ltd............................. 476,000 1,976,719 #Evergrande Real Estate Group, Ltd.................... 5,180,000 2,246,622 Fosun International, Ltd............................. 1,717,441 841,443 #GCL-Poly Energy Holdings, Ltd........................ 5,633,814 995,912 #Geely Automobile Holdings, Ltd....................... 2,550,000 1,093,697 #Golden Eagle Retail Group, Ltd....................... 414,000 903,894 Great Wall Motor Co., Ltd. Series H.................. 798,500 2,183,823 Guangdong Investment, Ltd............................ 1,564,000 1,278,706 #Guangshen Railway Co., Ltd. Series H................. 346,000 119,325 #Guangshen Railway Co., Ltd. Sponsored ADR............ 29,254 501,999 Guangzhou Automobile Group Co., Ltd. Series H........ 1,852,259 1,268,338 #Guangzhou Pharmaceutical Co., Ltd. Series H.......... 112,000 216,958 #Guangzhou R&F Properties Co., Ltd. Series H.......... 1,225,600 1,497,960 104 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ------------ CHINA -- (Continued) *Haier Electronics Group Co., Ltd.................... 506,000 $ 644,358 Hengan International Group Co., Ltd................. 450,500 4,102,108 *Huadian Power International Corp. Series H.......... 856,000 216,674 Huaneng Power International, Inc. ADR............... 34,452 1,096,952 Huaneng Power International, Inc. Series H.......... 274,000 218,904 Industrial & Commercial Bank of China, Ltd. Series H................................................. 45,200,185 29,764,290 Jiangsu Express Co., Ltd. Series H.................. 764,000 656,775 Jiangxi Copper Co., Ltd. Series H................... 888,000 2,281,578 Kunlun Energy Co., Ltd.............................. 1,964,000 3,635,537 Lenovo Group, Ltd................................... 3,789,278 3,038,862 Longfor Properties Co., Ltd......................... 942,000 1,661,852 #*Maanshan Iron & Steel Co., Ltd. Series H............ 1,620,000 417,184 #*Metallurgical Corp of China, Ltd. Series H.......... 2,646,000 486,422 #*MMG, Ltd............................................ 388,000 153,260 New World China Land, Ltd........................... 2,554,000 1,182,433 #Nine Dragons Paper Holdings, Ltd.................... 1,905,000 1,325,212 #Parkson Retail Group, Ltd........................... 841,500 709,545 PetroChina Co., Ltd. ADR............................ 145,110 19,700,134 PICC Property & Casualty Co., Ltd. Series H......... 1,608,000 2,128,754 #Ping An Insurance Group Co. of China, Ltd. Series H. 1,230,500 9,683,465 Shandong Weigao Group Medical Polymer Co., Ltd. Series H.......................................... 812,000 1,095,076 Shanghai Electric Group Co., Ltd. Series H.......... 2,392,000 966,907 Shanghai Industrial Holdings, Ltd................... 701,274 2,243,928 #Shimao Property Holdings, Ltd....................... 1,956,371 3,710,687 #Sino-Ocean Land Holdings, Ltd....................... 2,300,312 1,437,613 Sinopec Shanghai Petrochemical Co., Ltd. Series H... 952,000 271,610 Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR............................................... 6,545 186,860 #Sinopec Yizheng Chemical Fibre Co., Ltd. Series H... 888,000 186,003 #Sinopharm Group Co., Ltd. Series H.................. 480,800 1,614,284 Soho China, Ltd..................................... 2,899,263 1,961,767 *Sun Art Retail Group, Ltd........................... 989,500 1,342,839 Tencent Holdings, Ltd............................... 700,600 24,697,196 Tingyi (Cayman Islands) Holding Corp................ 1,192,000 3,539,096 #Tsingtao Brewery Co., Ltd. Series H................. 178,000 960,211 Uni-President China Holdings, Ltd................... 759,000 953,302 Want Want China Holdings, Ltd....................... 3,614,000 4,920,169 #Weichai Power Co., Ltd. Series H.................... 325,200 1,146,464 Wumart Stores, Inc. Series H........................ 108,000 191,591 #Yanzhou Coal Mining Co., Ltd. Series H.............. 228,000 339,863 #Yanzhou Coal Mining Co., Ltd. Sponsored ADR......... 105,796 1,568,955 Zhaojin Mining Industry Co., Ltd. Series H.......... 553,000 929,736 Zhejiang Expressway Co., Ltd. Series H.............. 876,000 638,276 #Zhongsheng Group Holdings, Ltd...................... 231,000 296,653 #Zhuzhou CSR Times Electric Co., Ltd. Series H....... 276,000 807,007 #Zijin Mining Group Co., Ltd. Series H............... 3,693,000 1,483,992 #Zoomlion Heavy Industry Science & Technology Co., Ltd. Series H...................................... 866,000 1,158,449 #ZTE Corp. Series H.................................. 460,838 646,156 ------------ TOTAL CHINA............................................ 442,154,489 ------------ COLOMBIA -- (0.5%) *Almacenes Exito SA.................................. 41,506 793,066 *Banco de Bogota SA.................................. 4,768 141,861 Bancolombia SA...................................... 23,420 364,642 Bancolombia SA Sponsored ADR........................ 64,224 4,111,620 *Cementos Argos SA................................... 45,372 218,467 #Ecopetrol SA Sponsored ADR.......................... 158,655 9,393,963 *Empresa de Energia de Bogota SA..................... 406,613 289,682 Grupo Aval Acciones y Valores SA.................... 422,408 298,629 *Interconexion Electrica SA ESP...................... 133,897 722,201 *Isagen SA ESP....................................... 389,300 544,070 ------------ TOTAL COLOMBIA......................................... 16,878,201 ------------ 105 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ------- ----------- CZECH REPUBLIC -- (0.5%) CEZ A.S................................................ 221,903 $ 8,200,285 Komercni Banka A.S..................................... 14,730 3,014,213 Philip Morris CR A.S................................... 185 99,345 Telefonica Czech Republic A.S.......................... 142,100 2,830,544 *Unipetrol A.S.......................................... 1,473 12,785 ----------- TOTAL CZECH REPUBLIC...................................... 14,157,172 ----------- EGYPT -- (0.2%) Commercial International Bank Egypt S.A.E. Sponsored GDR.................................................. 215,316 1,314,497 *Egyptian Financial Group-Hermes Holding GDR............ 563 2,151 *Orascom Construction Industries GDR.................... 61,755 2,528,231 *Orascom Telecom Holding S.A.E. GDR..................... 340,034 1,022,534 ----------- TOTAL EGYPT............................................... 4,867,413 ----------- HUNGARY -- (0.4%) EGIS Pharmaceuticals P.L.C............................. 2,156 173,508 ELMU NYRT.............................................. 108 7,870 Magyar Telekom Telecommunications P.L.C................ 296,916 550,983 #MOL Hungarian Oil & Gas P.L.C.......................... 40,682 3,538,890 #OTP Bank P.L.C......................................... 237,504 4,526,218 Richter Gedeon NYRT.................................... 13,851 2,578,830 *Tisza Chemical Group P.L.C............................. 24,314 209,329 ----------- TOTAL HUNGARY............................................. 11,585,628 ----------- INDIA -- (7.5%) ABB, Ltd............................................... 44,672 611,227 ACC, Ltd............................................... 43,053 1,096,575 Adani Enterprises, Ltd................................. 140,472 559,599 *Adani Power, Ltd....................................... 459,932 409,259 Aditya Birla Nuvo, Ltd................................. 33,850 571,142 Allahabad Bank, Ltd.................................... 168,800 425,380 Ambuja Cements, Ltd.................................... 692,303 2,595,527 Andhra Bank, Ltd....................................... 59,863 115,009 Apollo Hospitals Enterprise, Ltd....................... 48,159 696,712 Ashok Leyland, Ltd..................................... 667,374 289,686 Asian Paints, Ltd...................................... 28,298 2,024,406 Axis Bank, Ltd......................................... 227,042 4,959,642 Bajaj Auto, Ltd........................................ 88,932 2,989,497 Bajaj Finserv, Ltd..................................... 38,658 607,089 Bajaj Holdings & Investment, Ltd....................... 24,719 399,121 Bank of India.......................................... 104,465 533,645 *Bharat Electronics, Ltd................................ 13,836 316,330 Bharat Forge, Ltd...................................... 64,036 323,354 Bharat Heavy Electricals, Ltd.......................... 435,992 1,811,227 Bharat Petroleum Corp., Ltd............................ 148,062 930,873 Bharti Airtel, Ltd..................................... 867,263 4,340,827 Bhushan Steel, Ltd..................................... 43,488 397,179 Biocon, Ltd............................................ 21,170 104,496 Bosch, Ltd............................................. 12,035 1,986,883 Cadila Healthcare, Ltd................................. 25,295 408,553 *Cairn India, Ltd....................................... 401,975 2,511,771 Canara Bank............................................ 81,642 608,430 Cipla, Ltd............................................. 335,370 2,272,819 Colgate-Palmolive (India), Ltd......................... 21,803 515,949 Container Corp. of India............................... 25,662 476,210 Coromandel International, Ltd.......................... 44,218 234,237 Corporation Bank....................................... 6,356 47,095 Crisil, Ltd............................................ 6,575 115,698 Crompton Greaves, Ltd.................................. 169,046 390,955 Cummins India, Ltd..................................... 42,903 389,858 106 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ --------- ----------- INDIA -- (Continued) Dabur India, Ltd...................................... 495,434 $ 1,144,072 *Dish TV (India), Ltd.................................. 218,853 305,843 Divi's Laboratories, Ltd.............................. 33,413 745,387 DLF, Ltd.............................................. 350,610 1,311,437 Dr. Reddy's Laboratories, Ltd......................... 22,080 718,219 Dr. Reddy's Laboratories, Ltd. ADR.................... 74,598 2,427,419 *Emami, Ltd............................................ 5,441 57,562 Engineers India, Ltd.................................. 66,837 293,704 *Essar Oil, Ltd........................................ 220,565 256,319 Exide Industries, Ltd................................. 194,971 511,699 Federal Bank, Ltd..................................... 83,714 750,942 GAIL India, Ltd....................................... 112,799 729,453 GAIL India, Ltd. GDR.................................. 28,791 1,178,049 *Gillette India, Ltd................................... 2,685 110,208 GlaxoSmithKline Consumer Healthcare, Ltd.............. 6,800 384,121 GlaxoSmithKline Pharmaceuticals, Ltd.................. 24,027 894,355 Glenmark Pharmaceuticals, Ltd......................... 101,902 809,318 *GMR Infrastructure, Ltd............................... 684,313 253,999 Godrej Consumer Products, Ltd......................... 58,902 786,438 Godrej Industries, Ltd................................ 58,303 325,274 Grasim Industries, Ltd................................ 6,300 387,801 Havells India, Ltd.................................... 13,283 141,932 HCL Technologies, Ltd................................. 82,032 920,140 HDFC Bank, Ltd........................................ 1,422,205 16,628,866 Hero Honda Motors, Ltd. Series B...................... 37,077 1,287,492 Hindalco Industries, Ltd.............................. 914,963 1,972,545 Hindustan Petroleum Corp, Ltd......................... 43,688 241,943 Hindustan Unilever, Ltd............................... 804,144 8,165,831 *Hindustan Zinc, Ltd................................... 94,424 234,618 ICICI Bank, Ltd. Sponsored ADR........................ 208,679 8,190,651 IDBI Bank, Ltd........................................ 346,191 592,878 *Idea Cellular, Ltd.................................... 805,036 1,273,626 IDFC, Ltd............................................. 601,656 1,798,921 Indian Bank........................................... 126,858 395,067 Indian Oil Corp., Ltd................................. 210,491 1,023,984 Indian Overseas Bank.................................. 62,877 83,278 IndusInd Bank, Ltd.................................... 51,381 345,533 Infosys, Ltd.......................................... 214,112 9,381,745 #Infosys, Ltd. Sponsored ADR........................... 135,241 5,872,164 ITC, Ltd.............................................. 2,036,173 10,663,754 Jaiprakash Associates, Ltd............................ 1,336,264 2,148,433 *Jaiprakash Power Ventures, Ltd........................ 432,110 307,813 Jindal Steel & Power, Ltd............................. 373,815 2,683,216 JSW Energy, Ltd....................................... 473,835 560,182 JSW Steel, Ltd........................................ 124,632 1,698,878 *Jubilant Foodworks, Ltd............................... 14,391 338,372 Kotak Mahindra Bank, Ltd.............................. 190,324 2,131,246 Larsen & Toubro, Ltd.................................. 194,792 5,870,307 LIC Housing Finance, Ltd.............................. 53,635 242,345 Lupin, Ltd............................................ 146,419 1,541,596 Mahindra & Mahindra, Ltd.............................. 298,575 4,887,634 Mangalore Refinery & Petrochemicals, Ltd.............. 399,619 467,471 Marico, Ltd........................................... 116,346 453,868 Maruti Suzuki India, Ltd.............................. 39,141 1,042,598 Motherson Sumi Systems, Ltd........................... 93,608 272,200 Mphasis, Ltd.......................................... 57,057 411,190 Mundra Port & Special Economic Zone, Ltd.............. 223,856 521,132 National Aluminium Co., Ltd........................... 104,051 90,163 Nestle India, Ltd..................................... 5,477 478,073 NHPC, Ltd............................................. 1,831,020 729,255 NTPC, Ltd............................................. 339,288 1,042,117 107 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ------------ INDIA -- (Continued) Oberoi Realty, Ltd.................................. 7,939 $ 40,397 Oil & Natural Gas Corp., Ltd........................ 699,873 3,483,008 Oil India, Ltd...................................... 64,082 574,747 *Oracle Financial Services Software, Ltd............. 17,900 964,916 Oriental Bank of Commerce........................... 85,829 492,282 Petronet LNG, Ltd................................... 129,567 402,804 Pidilite Industries, Ltd............................ 97,657 349,341 Piramal Enterprises, Ltd............................ 58,908 541,040 Power Grid Corp. of India, Ltd...................... 741,612 1,570,700 Proctor & Gamble Hygiene & Health Care, Ltd......... 7,710 353,248 *Ranbaxy Laboratories, Ltd........................... 131,027 1,275,363 Reliance Capital, Ltd............................... 97,310 686,077 Reliance Communications, Ltd........................ 523,134 521,400 Reliance Energy, Ltd................................ 111,967 968,740 Reliance Industries, Ltd............................ 1,432,266 21,357,809 *Reliance Power, Ltd................................. 469,672 802,253 Rural Electrification Corp., Ltd.................... 47,495 189,298 *Satyam Computer Services, Ltd....................... 401,693 814,904 Sesa Goa, Ltd....................................... 563,951 1,783,760 Shree Cement, Ltd................................... 4,414 345,191 Shriram Transport Finance Co., Ltd.................. 76,457 885,285 Siemens, Ltd........................................ 11,127 141,556 SJVN, Ltd........................................... 381,249 141,539 State Bank of India................................. 112,142 4,367,428 Steel Authority of India, Ltd....................... 311,336 462,966 Sterlite Industries (India), Ltd.................... 1,725,980 3,182,857 Sun Pharmaceuticals Industries, Ltd................. 288,573 3,721,545 Sun TV Network, Ltd................................. 57,384 349,024 Tata Chemicals, Ltd................................. 85,384 501,530 Tata Communications, Ltd............................ 36,123 162,960 Tata Consultancy Services, Ltd...................... 436,140 10,644,140 Tata Motors, Ltd.................................... 679,237 3,227,409 #Tata Motors, Ltd. Sponsored ADR..................... 81,024 1,956,730 Tata Power Co., Ltd................................. 763,990 1,494,310 Tata Steel, Ltd..................................... 259,060 1,874,063 Tata Tea, Ltd....................................... 245,594 677,852 Tech Mahindra, Ltd.................................. 21,607 381,122 Titan Industries, Ltd............................... 144,838 689,500 Torrent Power, Ltd.................................. 79,357 225,823 Ultratech Cement, Ltd............................... 40,093 1,483,085 *Unitech, Ltd........................................ 1,144,527 488,683 United Breweries, Ltd............................... 33,290 476,005 United Phosphorus, Ltd.............................. 135,349 285,469 United Spirits, Ltd................................. 69,742 1,526,411 Wipro, Ltd.......................................... 480,402 3,096,658 *Wockhardt, Ltd...................................... 7,247 202,377 Yes Bank, Ltd....................................... 161,542 1,232,640 Zee Entertainment Enterprises, Ltd.................. 355,088 1,244,642 ------------ TOTAL INDIA............................................ 231,221,823 ------------ INDONESIA -- (3.0%) PT Adaro Energy Tbk................................. 12,163,000 1,724,968 PT AKR Corporindo Tbk............................... 545,000 251,086 PT Astra Agro Lestari Tbk........................... 317,000 688,751 PT Astra International Tbk.......................... 18,834,110 15,721,127 PT Bank Central Asia Tbk............................ 9,352,500 7,959,524 PT Bank Danamon Indonesia Tbk....................... 3,627,079 2,299,356 PT Bank Mandiri Persero Tbk......................... 7,886,117 6,736,956 PT Bank Negara Indonesia Persero Tbk................ 6,723,722 2,682,857 *PT Bank Pan Indonesia Tbk........................... 8,354,000 632,304 PT Bank Rakyat Indonesia Persero Tbk................ 8,971,000 6,874,553 108 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ----------- INDONESIA -- (Continued) *PT Bank Tabungan Pensiunan Nasional Tbk............. 749,500 $ 412,627 PT Bayan Resources Tbk.............................. 79,500 86,981 PT Bhakti Investama Tbk............................. 2,882,500 164,121 PT Bumi Serpong Damai Tbk........................... 5,554,500 711,819 PT Charoen Pokphand Indonesia Tbk................... 5,893,500 1,908,234 PT Global Mediacom Tbk.............................. 5,250,000 1,240,380 PT Gudang Garam Tbk................................. 388,000 1,978,551 PT Harum Energy Tbk................................. 621,000 347,286 PT Holcim Indonesia Tbk............................. 1,409,000 475,452 PT Indo Tambangraya Megah Tbk....................... 295,500 1,244,355 PT Indocement Tunggal Prakarsa Tbk.................. 1,083,000 2,403,839 *PT Indofood CBP Sukses Makmur Tbk................... 560,000 415,594 PT Indofood Sukses Makmur Tbk....................... 4,001,000 2,367,348 *PT Indomobil Sukses Internasional Tbk............... 35,000 18,439 PT Indosat Tbk...................................... 798,000 538,416 PT Indosat Tbk ADR.................................. 1,674 55,259 *PT Inovisi Infracom Tbk............................. 10,000 6,499 PT Jasa Marga Persero Tbk........................... 1,362,000 820,210 PT Kalbe Farma Tbk.................................. 15,180,000 1,529,292 PT Lippo Karawaci Tbk............................... 6,850,000 661,035 PT Mayorah Indah Tbk................................ 47,500 116,634 PT Media Nusantara Citra Tbk........................ 2,911,000 853,691 *PT Panasia Indo Resources Tbk....................... 75,100 2,385 PT Perusahaan Gas Negara Persero Tbk................ 6,978,500 3,365,772 PT Perusahaan Perkebunan London Sumatra Indonesia Tbk............................................... 2,878,500 693,596 PT Semen Gresik Persero Tbk......................... 2,453,500 3,793,173 PT Sinar Mas Agro Resources & Technology Tbk........ 1,116,500 807,707 *PT Sumber Alfaria Trijaya Tbk....................... 4,000 2,274 *PT Surya Citra Media Tbk............................ 1,172,500 238,040 PT Tambang Batubara Bukit Asam Persero Tbk.......... 639,500 1,060,590 PT Telekomunikasi Indonesia Persero Tbk............. 7,835,140 7,957,833 *PT Tower Bersama Infrastructure Tbk................. 821,500 426,694 PT Unilever Indonesia Tbk........................... 1,417,000 3,832,460 PT United Tractors Tbk.............................. 1,366,696 2,984,183 PT Vale Indonesia Tbk............................... 2,957,000 825,258 PT XL Axiata Tbk.................................... 1,513,500 1,076,680 ----------- TOTAL INDONESIA........................................ 90,994,189 ----------- ISRAEL -- (0.0%) *IDB Holding Corp., Ltd.............................. -- 2 *Koor Industries, Ltd................................ 1 7 Osem Investments, Ltd............................... 1 8 ----------- TOTAL ISRAEL........................................... 17 ----------- MALAYSIA -- (3.9%) Affin Holdings Berhad............................... 318,200 353,243 AirAsia Berhad...................................... 1,110,100 1,101,807 Alliance Financial Group Berhad..................... 1,021,000 1,362,069 AMMB Holdings Berhad................................ 1,358,359 2,840,192 Axiata Group Berhad................................. 2,221,275 4,754,199 Batu Kawan Berhad................................... 61,600 363,079 Berjaya Corp. Berhad................................ 191,400 40,136 Berjaya Land Berhad................................. 95,000 25,269 Berjaya Sports Toto Berhad.......................... 709,264 1,033,513 Boustead Holdings Berhad............................ 359,386 590,474 British American Tobacco Malaysia Berhad............ 109,600 2,271,317 *Bumi Armada Berhad.................................. 244,900 314,704 CIMB Group Holdings Berhad.......................... 3,992,654 9,978,299 Dialog Group Berhad................................. 1,046,300 822,626 DiGi.Com Berhad..................................... 2,913,420 5,069,106 DRB-Hicom Berhad.................................... 784,000 636,263 109 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ------------ MALAYSIA -- (Continued) Fraser & Neave Holdings Berhad...................... 61,000 $ 396,206 Gamuda Berhad....................................... 1,485,900 1,757,144 Genting (Malaysia) Berhad........................... 2,820,500 3,318,625 Genting Berhad...................................... 1,994,000 5,778,084 Genting Plantations Berhad.......................... 239,300 704,467 Hong Leong Bank Berhad.............................. 537,760 2,589,088 Hong Leong Financial Group Berhad................... 205,729 869,570 IJM Corp. Berhad.................................... 1,165,260 1,912,504 IOI Corp. Berhad.................................... 2,999,805 4,973,052 Kuala Lumpur Kepong Berhad.......................... 443,400 3,113,437 Kulim (Malaysia) Berhad............................. 460,600 756,262 Lafarge Malayan Cement Berhad....................... 259,580 830,689 Malayan Banking Berhad.............................. 2,760,567 8,166,430 Malaysia Airports Holdings Berhad................... 254,400 484,949 *Malaysia Marine and Heavy Engineering Holdings Berhad............................................. 175,700 277,894 *Malaysian Airlines System Berhad.................... 696,334 234,766 Maxis Berhad........................................ 1,579,100 3,605,573 *MISC Berhad......................................... 1,391,098 1,932,203 MMC Corp. Berhad.................................... 1,092,100 932,327 Nestle (Malaysia) Berhad............................ 191,600 4,378,323 Parkson Holdings Berhad............................. 515,320 818,962 Petronas Chemicals Group Berhad..................... 2,194,100 4,673,401 Petronas Dagangan Berhad............................ 257,600 1,864,319 Petronas Gas Berhad................................. 468,300 3,007,830 PPB Group Berhad.................................... 392,300 1,731,392 Public Bank Berhad.................................. 67,739 353,102 Public Bank Berhad Foreign Market Shares............ 989,601 5,157,517 RHB Capital Berhad.................................. 586,478 1,441,420 *Sapurakencana Petroleum Berhad...................... 938,300 770,925 Shell Refining Co. Federation of Malaysia Berhad.... 127,200 367,121 Sime Darby Berhad................................... 2,342,720 7,514,957 Telekom Malaysia Berhad............................. 957,700 1,877,595 Tenaga Nasional Berhad.............................. 2,144,050 4,877,936 *UEM Land Holdings Berhad............................ 1,277,737 885,197 UMW Holdings Berhad................................. 475,466 1,549,530 United Plantations Berhad........................... 33,700 278,384 YTL Corp. Berhad.................................... 5,406,186 3,097,170 YTL Power International Berhad...................... 1,480,740 790,847 ------------ TOTAL MALAYSIA......................................... 119,625,494 ------------ MEXICO -- (5.7%) Alfa S.A.B. de C.V. Series A........................ 2,766,000 5,099,377 America Movil S.A.B. de C.V. Series L............... 33,690,314 42,736,835 America Movil S.A.B. de C.V. Series L ADR........... 22,528 569,733 #Arca Continental S.A.B. de C.V...................... 349,300 2,534,252 *Cemex S.A.B. de C.V................................. 301,238 272,619 *Cemex S.A.B. de C.V. Sponsored ADR.................. 1,144,044 10,342,158 #Coca-Cola Femsa S.A.B. de C.V. Series L............. 298,900 3,828,586 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR........ 1,250 159,887 #Controladora Comercial Mexicana S.A.B. de C.V. Series B........................................... 134,556 377,135 *Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B...................................... 15,626 7,876 El Puerto de Liverpool S.A.B. de C.V. Series C-1.... 123,184 1,103,331 Fomento Economico Mexicano S.A.B. de C.V............ 1,901,129 17,135,424 #*Genomma Lab Internacional S.A.B. de C.V. Series B... 264,900 528,020 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR......................................... 3,339 159,003 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Series B.......................................... 80,378 385,807 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR.. 34,897 3,370,003 #Grupo Bimbo S.A.B. de C.V. Series A................. 1,538,500 3,580,120 Grupo Carso S.A.B. de C.V. Series A-1............... 639,132 2,307,299 Grupo Comercial Chedraui S.A. de C.V................ 132,479 357,149 Grupo Elektra S.A.B. de C.V......................... 47,746 1,969,058 110 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ --------- ------------ MEXICO -- (Continued) Grupo Financiero Banorte S.A.B. de C.V. Series O..... 1,508,429 $ 8,386,561 Grupo Financiero Inbursa S.A.B. de C.V. Series O..... 1,863,628 4,951,552 Grupo Industrial Maseca S.A.B. de C.V. Series B...... 204,746 246,120 Grupo Mexico S.A.B. de C.V. Series B................. 3,579,616 11,476,423 #Grupo Modelo S.A.B. de C.V. Series C................. 661,784 5,821,314 *Grupo Qumma S.A. de C.V. Series B.................... 1,591 22 #Grupo Televisa S.A.B................................. 1,704,800 7,728,496 Grupo Televisa S.A.B. Sponsored ADR.................. 128,240 2,898,224 *Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V................................ 2,373,426 4,081,988 #*Industrias CH S.A.B. de C.V. Series B................ 134,712 781,790 #Industrias Penoles S.A.B. de C.V..................... 99,638 4,984,183 *Inmuebles Carso S.A.B. de C.V. Series B-1............ 132 103 Kimberly Clark de Mexico S.A.B. de C.V. Series A..... 1,823,400 4,419,942 Mexichem S.A.B. de C.V. Series *..................... 518,325 2,571,041 #*Minera Frisco S.A.B. de C.V. Series A-1.............. 783,633 3,112,030 *OHL Mexico S.A.B. de C.V............................. 124,561 207,380 Organizacion Soriana S.A.B. de C.V. Series B......... 1,112,075 3,736,925 *Savia S.A. de C.V. Series A.......................... 120,000 7,332 #Wal-Mart de Mexico S.A.B. de C.V. Series V........... 4,944,929 14,554,572 ------------ TOTAL MEXICO............................................ 176,789,670 ------------ PERU -- (0.4%) Cia de Minas Buenaventura S.A. ADR................... 143,300 5,124,408 Credicorp, Ltd....................................... 62,859 8,130,183 ------------ TOTAL PERU.............................................. 13,254,591 ------------ PHILIPPINES -- (1.1%) Aboitiz Equity Ventures, Inc......................... 1,519,900 1,778,650 Aboitiz Power Corp................................... 1,446,200 1,161,589 Alliance Global Group, Inc........................... 6,710,300 2,419,850 Ayala Corp. Series A................................. 194,815 2,091,246 Ayala Land, Inc...................................... 4,735,418 2,706,605 Bank of the Philippine Islands....................... 844,014 1,657,540 *BDO Unibank, Inc..................................... 1,519,961 2,358,479 DMCI Holdings, Inc................................... 588,210 770,290 Energy Development Corp.............................. 5,710,100 924,528 *Filipina Water Bottling Corp......................... 2,006,957 -- *First Gen Corp....................................... 51,000 27,655 Globe Telecom, Inc................................... 26,545 733,604 International Container Terminal Services, Inc....... 723,570 1,245,603 JG Summit Holdings, Inc.............................. 168,900 135,162 Jollibee Foods Corp.................................. 354,660 910,027 Manila Electric Co................................... 168,020 1,138,048 Metro Bank & Trust Co................................ 881,923 2,033,577 Metro Pacific Investments Corp....................... 7,894,000 792,097 Philippine Long Distance Telephone Co................ 42,445 2,724,084 Robinson's Land Corp. Series B....................... 1,087,600 501,508 San Miguel Corp...................................... 413,770 1,094,657 Security Bank Corp................................... 181,170 711,303 *Semirara Mining Corp................................. 112,800 599,371 SM Investments Corp.................................. 168,010 3,272,470 SM Prime Holdings, Inc............................... 4,396,710 1,545,265 Universal Robina Corp................................ 879,930 1,534,531 ------------ TOTAL PHILIPPINES....................................... 34,867,739 ------------ POLAND -- (1.5%) Asseco Poland SA..................................... 9,607 120,375 Bank Handlowy w Warszawie SA......................... 37,967 1,107,950 *Bank Millennium SA................................... 701,813 929,732 Bank Pekao SA........................................ 110,245 5,295,724 111 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ --------- ------------ POLAND -- (Continued) *BRE Bank SA.......................................... 13,064 $ 1,234,480 Browary Zywiec SA.................................... 12,621 1,954,692 *Cyfrowy Polsat SA.................................... 79,369 360,115 Enea SA.............................................. 48,415 233,926 Eurocash SA.......................................... 42,530 521,844 *Getin Noble Bank SA.................................. 1,028,245 537,408 *Grupa Lotos SA....................................... 38,603 407,889 *ING Bank Slaski SA................................... 27,713 756,233 *Jastrzebska Spolka Weglowa SA........................ 4,815 131,215 *Kernel Holding SA.................................... 46,175 965,339 KGHM Polska Miedz SA................................. 127,397 6,420,166 *Kredyt Bank SA....................................... 65,825 319,997 LPP SA............................................... 262 323,862 Lubelski Wegiel Bogdanka SA.......................... 23,499 884,802 PGE SA............................................... 599,978 3,255,470 *Polski Koncern Naftowy Orlen SA...................... 311,446 4,268,576 *Polskie Gornictwo Naftowe I Gazownictwo SA........... 1,130,284 1,400,205 Powszechna Kasa Oszczednosci Bank Polski SA.......... 491,758 5,497,096 Powszechny Zaklad Ubezpieczen SA..................... 44,325 5,184,981 Synthos SA........................................... 436,090 727,201 Tauron Polska Energia SA............................. 115,622 159,910 Telekomunikacja Polska SA............................ 591,537 2,243,168 ------------ TOTAL POLAND............................................ 45,242,356 ------------ RUSSIA -- (4.5%) *Eurasia Drilling Co., Ltd. GDR....................... 52,125 1,807,256 Federal Hydrogenerating Co. ADR...................... 954,715 2,274,457 Gazprom Neft OAO Sponsored ADR....................... 876 21,683 Gazprom OAO Sponsored ADR............................ 4,557,577 41,861,317 *Globaltrans Investment P.L.C. Sponsored GDR.......... 37,715 699,100 Lukoil OAO Sponsored ADR............................. 376,321 22,838,291 *Magnitogorsk Iron & Steel Works Sponsored GDR........ 127,856 555,073 Mail.ru Group, Ltd. GDR.............................. 43,846 1,465,318 #*Mechel Sponsored ADR................................. 170,001 1,079,506 MMC Norilsk Nickel JSC ADR........................... 532,268 8,181,242 *NOMOS-BANK GDR....................................... 28,982 387,068 Novolipetsk Steel OJSC GDR........................... 83,762 1,586,921 Novorossiysk Sea Trade Port GDR...................... 33,800 226,689 *O'Key Group SA GDR................................... 7,099 68,906 *PIK Group GDR........................................ 36,593 79,424 Rosneft OAO GDR...................................... 1,181,607 8,779,692 *Rostelecom OJSC Sponsored ADR........................ 20,505 471,720 *Sberbank of Russia Sponsored ADR..................... 1,585,492 18,749,162 Severstal OAO GDR.................................... 148,190 1,799,744 Tatneft OAO Sponsored ADR............................ 164,755 6,406,518 TMK OAO GDR.......................................... 52,030 772,656 Uralkali OJSC GDR.................................... 216,536 8,512,514 VimpelCom, Ltd. Sponsored ADR........................ 403,314 4,444,520 VTB Bank OJSC GDR.................................... 1,024,422 3,547,722 *X5 Retail Group NV GDR............................... 67,053 1,275,973 ------------ TOTAL RUSSIA............................................ 137,892,472 ------------ SOUTH AFRICA -- (7.4%) ABSA Group, Ltd...................................... 365,243 5,855,912 African Bank Investments, Ltd........................ 670,424 2,273,567 African Rainbow Minerals, Ltd........................ 105,298 2,206,589 #Anglo American Platinum, Ltd......................... 63,581 2,965,167 #AngloGold Ashanti, Ltd. Sponsored ADR................ 331,815 11,275,074 *ArcelorMittal South Africa, Ltd...................... 236,779 912,815 Aspen Pharmacare Holdings, Ltd....................... 232,479 4,240,169 #Assore, Ltd.......................................... 25,939 1,072,674 112 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ --------- ------------ SOUTH AFRICA -- (Continued) AVI, Ltd............................................. 28,062 $ 185,440 Barloworld, Ltd...................................... 239,472 1,940,595 Bidvest Group, Ltd................................... 240,239 5,711,414 Capitec Bank Holdings, Ltd........................... 25,222 560,461 Discovery Holdings, Ltd.............................. 357,805 2,289,230 Exxaro Resources, Ltd................................ 97,700 1,969,794 FirstRand, Ltd....................................... 2,569,186 8,536,168 Foschini Group, Ltd. (The)........................... 162,399 2,353,370 Gold Fields, Ltd. Sponsored ADR...................... 640,851 8,017,046 Growthpoint Properties, Ltd.......................... 764,019 2,083,176 Harmony Gold Mining Co., Ltd......................... 132,269 1,083,228 Harmony Gold Mining Co., Ltd. Sponsored ADR.......... 331,569 2,752,023 Impala Platinum Holdings, Ltd........................ 482,008 8,687,465 Imperial Holdings, Ltd............................... 164,782 3,736,305 Investec, Ltd........................................ 218,353 1,287,424 #Kumba Iron Ore, Ltd.................................. 63,653 3,981,538 Liberty Holdings, Ltd................................ 155,216 1,799,794 Life Healthcare Group Holdings, Ltd.................. 666,212 2,511,231 Massmart Holdings, Ltd............................... 74,393 1,496,469 Mediclinic International, Ltd........................ 240,544 1,301,721 MMI Holdings, Ltd.................................... 1,197,522 2,889,585 Mondi, Ltd........................................... 116,207 1,260,328 Mr. Price Group, Ltd................................. 200,893 3,094,094 MTN Group, Ltd....................................... 1,575,988 28,452,821 Nampak, Ltd.......................................... 99,910 332,923 Naspers, Ltd. Series N............................... 307,957 19,991,188 Nedbank Group, Ltd................................... 190,671 3,931,623 Network Healthcare Holdings, Ltd..................... 811,118 1,676,814 #Pick'n Pay Stores, Ltd............................... 244,318 1,190,608 PSG Group, Ltd....................................... 64,012 466,951 Sanlam, Ltd.......................................... 1,568,615 6,999,364 *Santam, Ltd.......................................... 4,722 98,206 *Sappi, Ltd. Sponsored ADR............................ 800 2,208 Sasol, Ltd. Sponsored ADR............................ 536,546 22,754,916 Shoprite Holdings, Ltd............................... 395,299 8,143,150 Spar Group, Ltd. (The)............................... 122,791 1,714,463 Standard Bank Group, Ltd............................. 1,007,241 12,437,628 #*Steinhoff International Holdings, Ltd................ 1,093,754 3,678,962 Tiger Brands, Ltd.................................... 92,531 2,942,026 Truworths International, Ltd......................... 297,934 3,253,822 Tsogo Sun Holdings, Ltd.............................. 288,868 767,909 Vodacom Group, Ltd................................... 345,509 4,350,800 Woolworths Holdings, Ltd............................. 604,872 4,567,874 ------------ TOTAL SOUTH AFRICA...................................... 228,084,122 ------------ SOUTH KOREA -- (14.3%) #Amorepacific Corp.................................... 3,479 3,953,363 Amorepacific Group................................... 1,903 820,284 BS Financial Group, Inc.............................. 143,130 1,620,050 Cheil Industrial, Inc................................ 40,171 3,438,874 *Cheil Worldwide, Inc................................. 45,180 870,210 #CJ Cheiljedang Corp.................................. 6,747 2,117,134 CJ Corp.............................................. 12,499 1,219,090 *CJ Korea Express Co., Ltd............................ 442 45,995 Daelim Industrial Co., Ltd........................... 30,614 2,127,651 #*Daewoo Engineering & Construction Co., Ltd........... 125,248 1,064,856 #Daewoo International Corp............................ 38,863 1,490,815 Daewoo Securities Co., Ltd........................... 220,281 2,218,157 #Daewoo Shipbuilding & Marine Engineering Co., Ltd.... 109,830 2,351,934 Dongbu Insurance Co., Ltd............................ 34,530 1,564,686 Doosan Corp.......................................... 7,623 880,083 113 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ------- ----------- SOUTH KOREA -- (Continued) #Doosan Heavy Industries & Construction Co., Ltd........ 50,399 $ 2,156,061 #*Doosan Infracore Co., Ltd.............................. 85,690 1,262,706 E-Mart Co., Ltd........................................ 18,626 4,037,227 #GS Engineering & Construction Corp..................... 32,543 1,828,825 GS Holdings Corp....................................... 58,759 3,690,692 Hana Financial Group, Inc.............................. 201,701 5,867,704 *Hankook Tire Co., Ltd.................................. 66,995 2,825,756 #Hankook Tire Worldwide Co., Ltd........................ 15,314 197,655 #Hanwha Chemical Corp................................... 94,470 1,566,662 Hanwha Corp............................................ 45,190 1,289,058 Hanwha Life Insurance Co., Ltd......................... 141,910 1,000,195 #Honam Petrochemical Corp............................... 11,566 2,363,554 #Hyundai Department Store Co., Ltd...................... 14,194 1,761,158 Hyundai Engineering & Construction Co., Ltd............ 52,362 3,150,288 #Hyundai Glovis Co., Ltd................................ 8,941 1,859,348 *Hyundai Heavy Industries Co., Ltd...................... 39,020 8,177,074 Hyundai Hysco Co., Ltd................................. 23,394 934,055 Hyundai Marine & Fire Insurance Co., Ltd............... 51,730 1,669,507 #*Hyundai Merchant Marine Co., Ltd....................... 31,751 764,026 Hyundai Mobis.......................................... 55,218 14,033,384 Hyundai Motor Co., Ltd................................. 130,240 26,766,758 Hyundai Steel Co....................................... 58,560 4,207,653 #*Hyundai Wia Corp....................................... 8,842 1,425,862 Industrial Bank of Korea, Ltd.......................... 180,660 1,986,001 #Kangwon Land, Inc...................................... 114,660 2,668,642 KB Financial Group, Inc................................ 235,705 8,015,307 KB Financial Group, Inc. ADR........................... 73,168 2,491,370 KCC Corp............................................... 5,799 1,626,347 #KEPCO Engineering & Construction Co., Inc.............. 5,254 309,072 *KEPCO Plant Service & Engineering Co., Ltd............. 3,305 181,525 #Kia Motors Corp........................................ 224,568 12,449,986 *Korea Electric Power Corp.............................. 190,290 4,935,739 *Korea Exchange Bank.................................... 323,750 2,243,936 Korea Gas Corp......................................... 15,875 1,113,839 Korea Zinc Co., Ltd.................................... 6,026 2,468,511 *Korean Air Co., Ltd.................................... 27,415 1,229,233 KT Corp................................................ 23,160 786,201 #KT&G Corp.............................................. 96,630 7,353,154 #Kumho Petro chemical Co., Ltd.......................... 10,762 1,055,870 LG Chemical, Ltd....................................... 37,273 10,455,811 LG Corp................................................ 96,081 5,859,566 *LG Display Co., Ltd.................................... 11,540 342,478 #*LG Display Co., Ltd. ADR............................... 390,619 5,796,786 #LG Electronics, Inc.................................... 97,300 6,769,342 LG Household & Healthcare Co., Ltd..................... 6,362 3,736,363 LG Uplus Corp.......................................... 259,030 1,654,230 #Lotte Confectionary Co., Ltd........................... 139 200,139 Lotte Shopping Co., Ltd................................ 9,769 3,020,394 #LS Corp................................................ 9,875 806,366 #*Mando Corp............................................. 10,391 1,368,664 NCsoft Corp............................................ 11,526 2,209,637 #NHN Corp............................................... 30,603 7,078,787 #OCI Co., Ltd........................................... 14,368 2,024,934 ORION Corp............................................. 2,446 2,297,126 POSCO.................................................. 50,240 15,793,173 POSCO ADR.............................................. 25,311 1,983,876 *S1 Corp................................................ 11,769 709,407 Samsung C&T Corp....................................... 101,656 5,521,661 Samsung Card Co., Ltd.................................. 23,720 916,370 #Samsung Electro-Mechanics Co., Ltd..................... 47,732 4,082,163 Samsung Electronics Co., Ltd........................... 71,022 85,229,070 114 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ------------ SOUTH KOREA -- (Continued) Samsung Electronics Co., Ltd. GDR................... 49,372 $ 29,919,407 Samsung Engineering Co., Ltd........................ 23,077 3,012,309 Samsung Fire & Marine Insurance, Ltd................ 32,937 7,190,315 Samsung Heavy Industries Co., Ltd................... 129,740 3,959,479 Samsung Life Insurance Co., Ltd..................... 46,732 4,024,674 Samsung SDI Co., Ltd................................ 36,298 4,550,378 Samsung Securities Co., Ltd......................... 54,656 2,445,088 #Samsung Techwin Co., Ltd............................ 27,239 1,424,081 Shinhan Financial Group Co., Ltd.................... 273,716 9,394,602 Shinhan Financial Group Co., Ltd. ADR............... 81,492 2,788,656 *Shinsegae Co., Ltd.................................. 6,575 1,174,894 SK C&C Co., Ltd..................................... 16,273 1,426,582 SK Holdings Co., Ltd................................ 28,989 4,034,895 #*SK Hynix, Inc....................................... 377,340 8,590,072 SK Innovation Co., Ltd.............................. 51,889 7,626,985 SK Networks Co., Ltd................................ 119,800 1,047,919 SK Telecom Co., Ltd................................. 7,048 995,572 #S-Oil Corp.......................................... 38,905 3,557,533 Woongjin Coway Co., Ltd............................. 37,470 1,365,186 Woori Finance Holdings Co., Ltd..................... 336,530 3,176,898 Woori Investment & Securities Co., Ltd.............. 106,990 1,032,890 ------------ TOTAL SOUTH KOREA...................................... 440,127,881 ------------ TAIWAN -- (10.6%) #*Acer, Inc........................................... 2,794,040 2,156,855 Advanced Semiconductor Engineering, Inc............. 5,256,922 3,967,033 Advanced Semiconductor Engineering, Inc. ADR........ 77,739 295,408 Advantech Co., Ltd.................................. 221,200 764,264 #Asia Cement Corp.................................... 2,095,846 2,610,168 #Asustek Computer, Inc............................... 575,180 6,153,527 #*AU Optronics Corp................................... 4,551,873 1,723,204 #*AU Optronics Corp. Sponsored ADR.................... 295,728 1,117,852 Catcher Technology Co., Ltd......................... 471,429 2,046,149 #Cathay Financial Holdings Co., Ltd.................. 5,968,301 5,984,300 Chang Hwa Commercial Bank........................... 3,218,723 1,622,457 Cheng Shin Rubber Industry Co., Ltd................. 1,595,753 4,015,751 Cheng Uei Precision Industry Co., Ltd............... 384,109 849,511 Chicony Electronics Co., Ltd........................ 425,806 933,438 #*Chimei Innolux Corp................................. 6,039,341 2,249,273 *China Airlines, Ltd................................. 2,710,536 1,056,889 *China Development Financial Holding Corp............ 9,666,121 2,157,327 *China Life Insurance Co., Ltd....................... 1,697,401 1,321,745 #China Motor Corp.................................... 649,000 581,618 #China Petrochemical Development Corp................ 1,583,500 1,099,398 China Steel Chemical Corp........................... 111,000 482,583 #China Steel Corp.................................... 9,995,481 8,582,883 Chinatrust Financial Holdings Co., Ltd.............. 10,406,959 5,728,480 Chunghwa Telecom Co., Ltd........................... 428,000 1,339,166 #Chunghwa Telecom Co., Ltd. ADR...................... 226,956 7,053,792 Clevo Co., Ltd...................................... 63,000 82,276 Compal Electronics, Inc............................. 4,252,541 2,674,920 CTCI Corp........................................... 459,000 912,095 #Delta Electronics, Inc.............................. 1,683,366 5,742,126 #E Ink Holdings, Inc................................. 767,000 616,954 #E.Sun Financial Holding Co., Ltd.................... 4,629,047 2,316,511 #Epistar Corp........................................ 841,000 1,335,980 *Eva Airways Corp.................................... 1,344,600 779,428 *Evergreen Marine Corp., Ltd......................... 1,868,249 961,557 #Far Eastern Department Stores Co., Ltd.............. 891,634 838,091 Far Eastern New Century Corp........................ 3,261,192 3,371,589 Far EasTone Telecommunications Co., Ltd............. 1,264,000 2,917,757 115 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ----------- TAIWAN -- (Continued) Farglory Land Development Co., Ltd.................. 342,229 $ 575,873 First Financial Holding Co., Ltd.................... 6,525,415 3,702,116 Formosa Chemicals & Fiber Co., Ltd.................. 2,923,445 6,918,184 Formosa International Hotels Corp................... 28,600 305,540 Formosa Petrochemical Corp.......................... 903,000 2,624,788 Formosa Plastics Corp............................... 3,709,648 10,098,181 Formosa Taffeta Co., Ltd............................ 848,000 746,909 Foxconn Technology Co., Ltd......................... 690,369 2,393,970 Fubon Financial Holding Co., Ltd.................... 5,408,233 5,540,915 Giant Manufacturing Co., Ltd........................ 225,506 1,164,781 *Gourmet Master Co., Ltd............................. 33,000 233,706 Highwealth Construction Corp........................ 354,000 515,625 #Hiwin Technologies Corp............................. 141,100 906,172 #Hon Hai Precision Industry Co., Ltd................. 8,047,506 24,400,340 #Hotai Motor Co., Ltd................................ 235,000 1,671,375 #HTC Corp............................................ 612,235 4,417,991 Hua Nan Financial Holding Co., Ltd.................. 5,749,170 3,017,782 #*Inotera Memories, Inc............................... 1,642,000 222,666 Inventec Corp....................................... 2,430,551 830,464 #Kinsus Interconnect Technology Corp................. 260,000 713,359 #Largan Precision Co., Ltd........................... 81,860 1,741,018 LCY Chemical Corp................................... 395,123 408,041 Lite-On Technology Corp............................. 1,980,910 2,520,151 Lung Yen Life Service Corp.......................... 101,000 311,723 #Macronix International Co., Ltd..................... 4,110,218 1,067,820 #Media Tek, Inc...................................... 801,995 8,896,431 Mega Financial Holding Co., Ltd..................... 6,588,000 4,785,478 Merida Industry Co., Ltd............................ 162,750 623,378 Nan Ya Plastic Corp................................. 4,377,564 7,709,986 #Nan Ya Printed Circuit Board Corp................... 206,968 237,322 #Nankang Rubber Tire Co., Ltd........................ 448,782 518,380 Novatek Microelectronics Corp....................... 419,000 1,575,829 #Oriental Union Chemical Corp........................ 456,000 483,437 *Pegatron Corp....................................... 1,674,345 2,110,956 Phison Electronics Corp............................. 103,000 790,204 Pou Chen Corp....................................... 2,386,487 2,412,580 Powertech Technology, Inc........................... 619,819 961,533 President Chain Store Corp.......................... 535,831 2,648,162 Quanta Computer, Inc................................ 2,120,000 4,838,432 #Radiant Opto-Electronics Corp....................... 351,360 1,459,337 Realtek Semiconductor Corp.......................... 291,000 547,082 #Ruentex Development Co., Ltd........................ 523,000 875,924 Ruentex Industries, Ltd............................. 374,937 844,669 *ScinoPharm Taiwan, Ltd.............................. 214,000 416,740 Senao International Co., Ltd........................ 67,000 217,931 *Shin Kong Financial Holding Co., Ltd................ 6,325,344 1,636,310 #Siliconware Precision Industries Co................. 2,179,324 2,117,715 Siliconware Precision Industries Co. Sponsored ADR.. 60,200 288,960 #Simplo Technology Co., Ltd.......................... 224,000 1,104,790 SinoPac Financial Holdings Co., Ltd................. 6,815,992 2,633,604 Standard Foods Taiwan, Ltd.......................... 212,160 543,157 Synnex Technology International Corp................ 1,019,756 2,155,564 Taishin Financial Holdings Co., Ltd................. 6,602,981 2,358,746 *Taiwan Business Bank................................ 3,452,338 959,542 Taiwan Cement Corp.................................. 2,650,720 3,394,130 Taiwan Cooperative Financial Holding, Ltd........... 4,163,539 2,164,402 Taiwan FamilyMart Co., Ltd.......................... 16,000 76,142 #Taiwan Fertilizer Co., Ltd.......................... 631,000 1,501,720 #Taiwan Glass Industry Corp.......................... 1,136,253 1,085,757 Taiwan Mobile Co., Ltd.............................. 1,340,300 4,675,777 Taiwan Semiconductor Manufacturing Co., Ltd......... 20,007,808 60,964,986 116 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ---------- ------------ TAIWAN -- (Continued) Teco Electric & Machinery Co., Ltd.................. 1,854,000 $ 1,258,807 Transcend Information, Inc.......................... 176,181 442,832 Tripod Technology Corp.............................. 401,870 775,944 TSRC Corp........................................... 450,300 918,615 U-Ming Marine Transport Corp........................ 551,860 836,172 Unimicron Technology Corp........................... 1,378,896 1,408,883 Uni-President Enterprises Corp...................... 3,842,090 6,782,867 United Microelectronics Corp........................ 12,235,000 4,536,671 USI Corp............................................ 573,700 431,612 *Vanguard International Semiconductor Corp........... 517,000 334,910 *Walsin Lihwa Corp................................... 3,329,000 910,147 *Wan Hai Lines Co., Ltd.............................. 953,800 466,264 *Wintek Corp......................................... 1,832,760 723,114 Wistron Corp........................................ 1,837,947 1,763,145 WPG Holdings, Ltd................................... 1,248,869 1,506,330 *Yang Ming Marine Transport Corp..................... 1,741,300 678,982 Yuanta Financial Holding Co., Ltd................... 6,823,577 3,079,254 #Yulon Motor Co., Ltd................................ 879,000 1,530,982 ------------ TOTAL TAIWAN........................................... 324,492,469 ------------ THAILAND -- (2.6%) Advance Info Service PCL (Foreign).................. 946,200 6,097,047 Airports of Thailand PCL (Foreign).................. 372,200 995,772 Bangkok Bank PCL (Foreign).......................... 329,000 1,942,871 Bangkok Bank PCL (Foreign) NVDR..................... 435,100 2,512,649 Bangkok Dusit Medical Services PCL (Foreign)........ 428,300 1,488,220 Bangkok Life Assurance PCL (Foreign) NVDR........... 435,800 600,736 Bank of Ayudhya PCL (Foreign)....................... 2,590,200 2,535,269 Banpu PCL (Foreign)................................. 109,250 1,425,775 BEC World PCL (Foreign)............................. 645,300 1,242,176 Big C Supercenter PCL (Foreign)..................... 24,600 152,496 Big C Supercenter PCL (Foreign) NVDR................ 178,400 1,091,354 Bumrungrad Hospital PCL (Foreign)................... 170,800 422,124 Central Pattana PCL (Foreign)....................... 575,600 1,333,364 Charoen Pokphand Foods PCL (Foreign)................ 2,655,800 3,054,387 CP ALL PCL (Foreign)................................ 2,829,000 3,668,931 Electricity Generating PCL (Foreign)................ 149,800 640,254 Glow Energy PCL (Foreign)........................... 309,000 720,832 Home Product Center PCL (Foreign)................... 2,012,280 748,450 IRPC PCL (Foreign).................................. 8,859,600 1,242,946 Kasikornbank PCL (Foreign).......................... 1,146,600 6,733,703 Krung Thai Bank PCL (Foreign)....................... 5,908,587 3,489,247 Land & Houses PCL (Foreign) NVDR.................... 3,235,600 907,868 *Minor International PCL (Foreign)................... 1,073,600 641,007 PTT Exploration & Production PCL (Foreign).......... 865,800 4,689,161 PTT Exploration & Production PCL (Foreign) NVDR..... 54,700 296,254 PTT Global Chemical PCL (Foreign)................... 1,669,872 3,323,399 PTT PCL (Foreign)................................... 794,900 8,247,250 Ratchaburi Electricity Generating Holding PCL (Foreign)......................................... 521,300 918,440 *Robinson Department Store PCL (Foreign)............. 317,500 629,303 Siam Cement PCL (Foreign) (The)..................... 124,800 1,693,860 Siam Cement PCL (Foreign) NVDR (The)................ 121,400 1,481,357 Siam City Cement PCL (Foreign)...................... 94,913 1,319,182 Siam Commercial Bank PCL (Foreign).................. 984,466 5,171,257 Siam Makro PCL (Foreign)............................ 68,600 1,029,560 *Thai Airways International PCL (Foreign)............ 108,100 81,472 Thai Oil PCL (Foreign).............................. 669,200 1,457,393 Thai Union Frozen Products PCL (Foreign)............ 360,860 847,697 TMB Bank PCL (Foreign).............................. 19,864,000 1,192,488 Total Access Communication PCL (Foreign)............ 214,100 607,723 Total Access Communication PCL (Foreign) NVDR....... 441,400 1,249,313 117 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ --------- -------------- THAILAND -- (Continued) *True Corp. PCL (Foreign)........................... 4,282,600 $ 712,602 -------------- TOTAL THAILAND........................................ 78,635,189 -------------- TURKEY -- (1.8%) Akbank T.A.S....................................... 1,366,292 6,592,333 Anadolu Efes Biracilik ve Malt Sanayi A.S.......... 206,111 3,095,828 Arcelik A.S........................................ 223,462 1,476,910 Aselsan Elektronik Sanayi Ve Ticaret A.S........... 84,683 320,451 BIM BirlesikMagazalar A.S.......................... 72,827 3,383,128 Coca-Cola Icecek A.S............................... 45,013 874,636 *Dogan Sirketler Grubu Holding A.S.................. 1 -- *Dogan Yayin Holding A.S............................ 1 -- Enka Insaat ve Sanayi A.S.......................... 308,554 819,441 Eregli Demir ve Celik Fabrikalari T.A.S............ 873,611 1,038,050 Ford Otomotiv Sanayi A.S........................... 74,222 761,340 KOC Holding A.S. Series B.......................... 789,123 3,707,446 Koza Altin Isletmeleri A.S......................... 33,500 729,926 *Migros Ticaret A.S................................. 33,309 353,898 Petkim Petrokimya Holding A.S...................... 380,618 435,367 TAV Havalimanlari Holding A.S...................... 122,935 610,558 Tekfen Holding A.S................................. 190,435 689,096 Tofas Turk Otomobil Fabrikasi A.S.................. 97,163 542,427 Tupras Turkiye Petrol Rafinerileri A.S............. 120,082 2,936,974 *Turk Hava Yollari A.S.............................. 924,662 2,141,806 Turk Telekomunikasyon A.S.......................... 375,345 1,467,147 *Turkcell Iletisim Hizmetleri A.S................... 426,492 2,605,681 *Turkcell Iletisim Hizmetleri A.S. ADR.............. 73,838 1,121,599 Turkiye Garanti Bankasi A.S........................ 1,830,798 8,747,483 Turkiye Halk Bankasi A.S........................... 234,311 2,067,215 Turkiye Is Bankasi A.S............................. 1,484,267 5,053,928 Turkiye Sise ve Cam Fabrikalari A.S................ 679,332 993,163 Turkiye Vakiflar Bankasi T.A.O..................... 719,719 1,695,303 Ulker Biskuvi Sanayi A.S........................... 1,859 8,434 *Yapi ve Kredi Bankasi A.S.......................... 764,565 1,963,849 -------------- TOTAL TURKEY.......................................... 56,233,417 -------------- TOTAL COMMON STOCKS................................... 2,699,693,163 -------------- PREFERRED STOCKS -- (6.4%) BRAZIL -- (6.2%) AES Tiete SA....................................... 71,898 816,665 Banco Bradesco SA.................................. 1,656,632 26,100,896 Banco do Estado do Rio Grande do Sul SA............ 155,700 1,230,391 Braskem SA Preferred Series A...................... 73,800 487,628 #Braskem SA Sponsored ADR........................... 153,394 2,006,394 Centrais Eletricas Brasileiras SA Preferred Series B........................................ 72,700 578,078 #Cia Brasileira de Distribuicao Grupo Pao de Acucar Series A Sponsored ADR............................ 95,430 4,460,398 Cia de Bebidas das Americas SA..................... 415 16,959 Cia de Bebidas das Americas SA ADR................. 622,039 25,372,971 Cia de Transmissao de Energia Eletrica Paulista SA Series A......................................... 30,889 495,033 Cia Energetica de Minas Gerais SA.................. 364,776 4,364,276 Cia Energetica de Sao Paulo SA Preferred Series B.. 117,010 1,051,393 Cia Paranaense de Energia SA Series B.............. 16,600 245,193 Cia Paranaense de Energia SA Sponsored ADR Series A........................................ 55,300 816,228 Empresa Nasional de Comercio Redito e Participacoes SA................................. 380 7,669 Gerdau SA.......................................... 836,068 7,306,667 Gerdau SA Sponsored ADR............................ 9,025 79,330 Itau Unibanco Holding SA........................... 1,765,700 25,819,793 Itau Unibanco Holding SA ADR....................... 153,946 2,244,533 Klabin SA.......................................... 663,777 3,898,899 Lojas Americanas SA................................ 304,167 2,545,894 Oi SA.............................................. 463,558 1,857,840 118 THE EMERGING MARKETS SERIES CONTINUED SHARES VALUE++ ----------- -------------- BRAZIL -- (Continued) Petroleo Brasileiro SA......................... 106,500 $ 1,090,667 Petroleo Brasilerio SA ADR..................... 1,711,000 35,126,830 Telefonica Brasil SA........................... 232,784 5,157,569 Ultrapar Participacoes SA Sponsored ADR........ 254,308 5,297,236 Usinas Siderurgicas de Minas Gerais SA Perferred Series A........................... 609,817 2,945,425 Vale SA (2257127).............................. 1,412,691 25,283,138 *Vale SA (B011X91).............................. 81,160 3,556 #Vale SA Sponsored ADR.......................... 265,000 4,714,350 -------------- TOTAL BRAZIL...................................... 191,421,899 -------------- CHILE -- (0.2%) *Embotelladora Andina SA Preferred Series B..... 9,255 58,504 Sociedad Quimica y Minera de Chile SA Sponsored ADR................................ 91,271 5,280,027 -------------- TOTAL CHILE....................................... 5,338,531 -------------- COLOMBIA -- (0.0%) *Banco Davivienda SA............................ 18,546 229,222 Grupo Aval Acciones y Valores.................. 84,928 60,273 Grupo de Inversiones Suramericana SA........... 3,000 61,449 -------------- TOTAL COLOMBIA.................................... 350,944 -------------- TOTAL PREFERRED STOCKS............................ 197,111,374 -------------- RIGHTS/WARRANTS -- (0.0%) SOUTH AFRICA -- (0.0%) *Capitec Bank Holdings, Ltd. Rights 11/09/12.... 3,531 13,007 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (5.7%) (S)@DFA Short Term Investment Fund................ 15,125,324 175,000,000 @Repurchase Agreement, Deutsche Bank Securities, Inc. 0.35%, 11/01/12 (Collateralized by FNMA 4.000%, 05/01/42 & 5.000%, 01/01/39, valued at $450,637) to be repurchased at $441,806...................... $ 442 441,801 -------------- TOTAL SECURITIES LENDING COLLATERAL............... 175,441,801 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,006,449,577)........................... $3,072,259,345 ============== 119 THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE++ --------- ----------- COMMON STOCKS -- (89.1%) ARGENTINA -- (0.0%) *Celulosa Argentina SA Series B........................ 1 $ -- Ferrum SA de Ceramica y Metalurgia.................... 1 -- ----------- TOTAL ARGENTINA.......................................... -- ----------- BRAZIL -- (8.9%) *Abril Educacao SA..................................... 19,500 352,355 Aliansce Shopping Centers SA.......................... 426,543 4,851,256 All America Latina Logistica SA....................... 1,296,400 5,897,805 Alpargatas SA......................................... 109,040 797,245 Amil Participacoes SA................................. 125,108 1,881,810 Anhanguera Educacional Participacoes SA............... 613,145 10,747,132 Arezzo Industria e Comercio SA........................ 250,128 4,464,262 Autometal SA.......................................... 179,179 1,499,738 *B2W Cia Global Do Varejo SA........................... 449,260 2,185,416 Banco Alfa de Investimento SA......................... 500 1,356 Banco Mercantil do Brasil SA.......................... 1,327 10,388 Bematech SA........................................... 115,900 276,761 *BHG SA - Brazil Hospitality Group..................... 12,400 122,715 Brasil Brokers Participacoes SA....................... 701,711 1,969,303 *BrasilAgro - Companhia Brasileira de Propriedades Agricolas SA......................................... 11,500 52,374 Brookfield Incorporacoes SA........................... 1,161,112 2,029,466 *Brookfield Incorporacoes SA Receipt................... 337,902 593,934 *CCX Carvao da Colombia SA............................. 112,241 121,578 CETIP SA - Mercados Organizados....................... 307,059 3,537,668 Cia de Saneamento de Minas Gerais-Copasa SA........... 298,421 7,043,796 Cia Hering SA......................................... 340,090 7,813,003 Cia Providencia Industria e Comercio SA............... 57,050 227,239 Contax Participacoes SA............................... 1,400 16,888 CR2 Empreendimentos Imobiliarios SA................... 9,400 22,539 Cremer SA............................................. 92,646 637,695 CSU Cardsystem SA..................................... 74,700 155,575 Cyrela Brazil Realty SA Empreendimentos e Participacoes....................................... 123,033 1,043,120 Cyrela Commercial Properties SA Empreendimentos e Participacoes....................................... 44,500 578,201 Diagnosticos da America SA............................ 1,189,841 7,908,645 Direcional Engenharia SA.............................. 222,809 1,333,969 Duratex SA............................................ 1,087,562 7,566,161 Energias do Brazil SA................................. 1,190,706 7,445,393 Equatorial Energia SA................................. 335,068 2,969,510 Estacio Participacoes SA.............................. 396,371 7,552,526 Eternit SA............................................ 411,589 1,702,246 Even Construtora e Incorporadora SA................... 992,867 3,959,638 EZ Tec Empreendimentos e Participacoes SA............. 254,258 3,342,453 *Fertilizantes Heringer SA............................. 115,300 630,700 Fleury SA............................................. 269,251 3,167,035 Forjas Taurus SA...................................... 35,969 56,494 *Gafisa SA............................................. 835,900 1,535,121 *Gafisa SA ADR......................................... 1,003,681 3,683,509 *General Shopping Brasil SA............................ 111,117 585,388 #*Gol Linhas Aereas Inteligentes SA ADR................. 398,527 1,988,650 Grendene SA........................................... 445,334 3,365,686 Guararapes Confeccoes SA.............................. 28,700 1,695,675 Helbor Empreendimentos SA............................. 654,272 3,688,444 *IdeiasNet SA.......................................... 216,400 207,764 Iguatemi Empresa de Shopping Centers SA............... 313,800 3,986,135 *Industrias Romi SA.................................... 91,400 240,307 *Inepar SA Industria e Construcoes..................... 20,840 19,701 International Meal Co. Holdings SA.................... 163,073 1,678,061 Iochpe-Maxion SA...................................... 350,208 4,293,434 120 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- BRAZIL -- (Continued) JHSF Participacoes SA.................................. 456,747 $1,983,461 Joao Fortes Engenharia SA.............................. 49,455 172,881 JSL SA................................................. 364,000 2,114,768 *Kepler Weber SA........................................ 64,046 318,803 *Kroton Educacional SA Common Shares.................... 16,713 49,249 *Kroton Educacional SA Unit Shares...................... 367,679 7,349,778 Light SA............................................... 388,907 4,183,855 *LLX Logistica SA....................................... 179,225 200,311 Localiza Rent a Car SA................................. 397,002 6,958,603 *Log-in Logistica Intermodal SA......................... 137,550 406,342 Lojas Renner SA........................................ 70,200 2,599,168 LPS Brasil Consultoria de Imoveis SA................... 166,970 2,869,084 *Lupatech SA............................................ 41,000 52,081 *M. Dias Branco SA...................................... 164,941 5,538,503 Magnesita Refratarios SA............................... 876,704 3,271,912 Mahle-Metal Leve SA Industria e Comercio............... 262,900 3,312,381 Marcopolo SA........................................... 13,500 67,664 *Marfrig Alimentos SA................................... 746,307 3,858,213 Marisa Lojas SA........................................ 228,464 3,353,198 *Metalfrio Solutions SA................................. 13,600 29,797 Mills Estruturas e Servicos de Engenharia SA........... 380,526 5,834,214 Minerva SA............................................. 246,358 1,334,255 *MMX Mineracao e Metalicos SA........................... 1,308,574 2,590,024 *MPX Energia SA......................................... 336,723 1,778,901 MRV Engenharia e Participacoes SA...................... 1,595,833 8,092,898 Multiplan Empreendimentos Imobiliarios SA.............. 21,046 616,547 *Multiplus SA........................................... 174,784 4,060,982 Obrascon Huarte Lain Brasil SA......................... 430,500 4,048,423 OdontoPrev SA.......................................... 1,315,743 6,802,049 *OSX Brasil SA.......................................... 325,250 1,833,590 *Paranapanema SA........................................ 914,800 1,535,889 PDG Realty SA Empreendimentos e Participacoes.......... 4,452,753 7,497,804 Plascar Participacoes Industriais SA................... 141,200 55,617 Porto Seguro SA........................................ 306,400 3,258,531 *Positivo Informatica SA................................ 125,500 325,019 Profarma Distribuidora de Produtos Farmaceuticos SA.... 43,500 311,839 *QGEP Participacoes SA.................................. 445,994 2,758,024 Raia Drogasil SA....................................... 652,675 7,182,140 Redentor Energia SA.................................... 11,500 42,183 *Refinaria de Petroleos Manguinhos SA................... 1,088,589 182,231 Restoque Comercio e Confeccoes de Roupas SA............ 443,587 1,891,368 Rodobens Negocios Imobiliarios SA...................... 53,646 338,086 Rossi Residencial SA................................... 760,790 1,599,455 Santos Brasil Participacoes SA......................... 224,488 3,227,419 Sao Carlos Empreendimentos e Participacoes SA.......... 47,859 1,074,504 Sao Martinho SA........................................ 263,664 3,294,745 SLC Agricola SA........................................ 260,653 2,489,682 Sonae Sierra Brasil SA................................. 153,346 2,567,029 *Springs Global Participacoes SA........................ 94,700 125,891 Sul America SA......................................... 872,609 6,874,147 *T4F Entretenimento SA.................................. 52,800 298,959 *Technos SA............................................. 24,400 283,518 Tecnisa SA............................................. 513,831 2,125,098 Tegma Gestao Logistica SA.............................. 128,835 2,220,145 *Tempo Participacoes SA................................. 260,902 475,290 Tereos Internacional SA................................ 227,483 306,887 *Terna Participacoes SA................................. 5,300 174,836 Totvs SA............................................... 453,100 9,213,476 *Trisul SA.............................................. 2,838 3,395 Triunfo Participacoes e Investimentos SA............... 91,196 500,645 Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao SA......................... 250,350 4,712,282 121 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ------------ BRAZIL -- (Continued) *Vanguarda Agro SA................................... 4,496,967 $ 774,938 *Via Varejo SA....................................... 55,603 499,621 *Viver Incorporadora e Construtora SA................ 673,040 407,592 ------------ TOTAL BRAZIL........................................... 287,843,483 ------------ CHILE -- (1.4%) AFP Cuprum SA....................................... 1,398 109,829 Almendral SA........................................ 283,561 42,709 *AquaChile SA........................................ 31,819 22,745 *Azul Azul SA........................................ 3,811 11,089 Banmedica SA........................................ 1,312,094 2,863,346 Besalco SA.......................................... 1,578,222 2,872,945 *Cementos Bio-Bio SA................................. 452,622 620,868 Cia General de Electricidad SA...................... 110,134 567,666 Cintac SA........................................... 324,650 141,695 *Coca-Cola Embonor SA Series B....................... 8,190 21,699 *Compania Sud Americana de Vapores SA................ 23,585,920 2,254,915 Corpbanca SA........................................ 64,675,782 846,572 Cristalerias de Chile SA............................ 156,836 1,245,170 *Cruz Blanca Salud SA................................ 40,160 52,567 Empresa Electrica Pilmaiquen SA..................... 46,897 185,190 Empresas Hites SA................................... 484,341 377,990 Empresas Iansa SA................................... 12,263,867 955,825 *Empresas La Polar SA................................ 214,214 102,443 *Enjoy SA............................................ 2,450 553 Forus SA............................................ 202,573 1,103,068 Gasco SA............................................ 76,599 573,119 Grupo Security SA................................... 429,864 156,347 Inversiones Aguas Metropolitanas SA................. 1,830,555 3,405,064 *Latam Airlines Group SA............................. 122,220 2,978,701 #Latam Airlines Group SA Sponsored ADR............... 34,290 850,049 Madeco SA........................................... 27,288,748 983,450 Masisa SA........................................... 6,347,820 686,037 Molibdenos y Metales SA............................. 5,009 86,407 Multiexport Foods SA................................ 1,994,554 476,720 Parque Arauco SA.................................... 2,533,043 5,780,487 PAZ Corp. SA........................................ 518,992 327,532 Ripley Corp. SA..................................... 2,114,283 1,994,980 Salfacorp SA........................................ 996,276 2,352,218 Sigdo Koppers SA.................................... 658,257 1,580,145 *Sociedad Matriz SAAM SA............................. 4,636,827 542,079 Socovesa SA......................................... 1,768,010 929,661 Sonda SA............................................ 725,744 2,220,446 Soquimic Comercial SA............................... 562,478 137,945 Vina Concha Y Toro SA............................... 2,220,094 4,488,313 Vina Concha Y Toro SA Sponsored ADR................. 1,725 69,690 Vina San Pedro Tarapaca SA.......................... 40,093,814 244,154 ------------ TOTAL CHILE............................................ 45,262,428 ------------ CHINA -- (14.1%) #361 Degrees International, Ltd...................... 2,971,000 852,029 #Ajisen China Holdings, Ltd.......................... 2,292,000 1,571,372 AMVIG Holdings, Ltd................................. 1,934,000 572,826 Anhui Expressway Co., Ltd. Series H................. 2,418,000 1,158,759 #Anta Sports Products, Ltd........................... 3,773,000 3,211,669 Anton Oilfield Services Group....................... 4,904,000 1,476,202 Anxin-China Holdings, Ltd........................... 8,479,000 1,875,717 *Apollo Solar Energy Technology Holdings, Ltd........ 22,080,000 591,134 Asia Cement China Holdings Corp..................... 2,176,500 923,007 *Asia Energy Logistics Group, Ltd.................... 26,160,000 360,001 Asian Citrus Holdings, Ltd.......................... 2,927,000 1,635,150 122 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (Continued) *Ausnutria Dairy Corp., Ltd............................ 365,000 $ 68,761 AviChina Industry & Technology Co., Ltd. Series H..... 7,662,788 3,146,166 Baoye Group Co., Ltd. Series H........................ 1,860,000 949,470 #*BaWang International Group Holding, Ltd............... 5,190,000 473,113 Beijing Capital International Airport Co., Ltd. Series H............................................ 6,690,000 4,292,322 Beijing Capital Land, Ltd. Series H................... 6,142,500 1,831,837 *Beijing Development HK, Ltd........................... 548,000 100,898 #Beijing Enterprises Water Group, Ltd.................. 12,179,660 2,770,829 Beijing Jingkelong Co., Ltd. Series H................. 558,749 324,254 Beijing North Star Co., Ltd. Series H................. 2,190,000 452,235 *Beijing Properties Holdings, Ltd...................... 4,615,061 169,279 *Besunyen Holdings Co., Ltd............................ 2,476,000 191,149 #Billion Industrial Holdings, Ltd...................... 185,500 96,567 #Biostime International Holdings, Ltd.................. 593,000 1,518,409 Boer Power Holdings, Ltd.............................. 985,000 354,028 Bosideng International Holdings, Ltd.................. 11,860,000 3,764,196 BYD Electronic International Co., Ltd................. 3,864,815 819,671 C C Land Holdings, Ltd................................ 6,224,343 1,417,090 #C.P. Pokphand Co., Ltd................................ 16,580,594 1,964,815 *Carnival Group International Holdings, Ltd............ 2,058,000 94,379 Catic Shenzhen Holdings, Ltd. Series H................ 310,000 113,507 Central China Real Estate, Ltd........................ 2,591,626 627,006 *CGN Mining Co., Ltd................................... 5,265,000 548,241 Changshouhua Food Co., Ltd............................ 1,493,000 767,975 #*Chaoda Modern Agriculture Holdings, Ltd............... 6,771,138 155,735 #Chaowei Power Holdings, Ltd........................... 1,786,000 966,184 #*Chigo Holding, Ltd.................................... 18,886,000 466,120 *Chiho-Tiande Group, Ltd............................... 114,000 56,360 China Aerospace International Holdings, Ltd........... 9,854,500 784,578 China Agri-Industries Holdings, Ltd................... 6,806,000 4,259,085 #China All Access Holdings, Ltd........................ 2,474,000 471,294 China Aoyuan Property Group, Ltd...................... 3,092,000 425,885 China Automation Group, Ltd........................... 2,529,000 598,170 China BlueChemical, Ltd. Series H..................... 674,000 426,435 *China Chengtong Development Group, Ltd................ 2,298,000 86,207 China Communications Services Corp., Ltd. Series H.... 1,567,200 876,611 *China Datang Corp Renewable Power Co., Ltd. Class H... 2,070,000 225,830 #China Dongxiang Group Co., Ltd........................ 13,246,985 1,651,154 *China Energine International Holdings, Ltd............ 208,000 8,422 #China Everbright International, Ltd................... 8,414,800 4,316,194 China Everbright, Ltd................................. 3,480,000 5,045,389 *China Fiber Optic Network System Group, Ltd........... 1,500,000 257,347 #China Foods, Ltd...................................... 3,088,000 3,120,605 China Gas Holdings, Ltd............................... 9,067,500 4,938,540 China Glass Holdings, Ltd............................. 3,396,000 470,006 *China Grand Forestry Green Resources Group, Ltd....... 362,987 26,167 #*China Green Holdings, Ltd............................. 2,820,000 619,612 China Haidian Holdings, Ltd........................... 6,936,000 749,216 #China High Precision Automation Group, Ltd............ 1,289,000 206,239 #*China High Speed Transmission Equipment Group Co., Ltd............................................ 5,250,000 1,791,194 *China Hongqiao Group, Ltd............................. 162,500 75,077 *China Huiyuan Juice Group, Ltd........................ 2,643,500 833,688 *China ITS Holdings Co., Ltd........................... 3,756,000 588,287 China Liansu Group Holdings, Ltd...................... 3,469,000 2,033,371 #China Lilang, Ltd..................................... 1,751,000 994,256 #China Lumena New Materials Corp....................... 14,530,000 2,944,087 #China Medical System Holdings, Ltd.................... 4,204,500 2,424,908 #China Metal Recycling Holdings, Ltd................... 2,401,686 2,392,083 *China Mining Resources Group, Ltd..................... 25,526,000 372,183 *China Mobile Games & Entertainment Group, Ltd......... 6,575 39,450 #*China Modern Dairy Holdings, Ltd...................... 2,411,000 623,925 123 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (Continued) #*China Molybdenum Co., Ltd. Series H................... 5,059,000 $2,150,319 #China National Materials Co., Ltd. Series H........... 5,054,000 1,567,335 *China New Town Development Co., Ltd................... 6,403,148 243,704 China Nickel Resources Holdings Co., Ltd.............. 358,000 28,530 *China Oil & Gas Group, Ltd............................ 15,940,000 1,905,932 China Oriental Group Co., Ltd......................... 10,000 2,168 China Overseas Grand Oceans Group, Ltd................ 3,221,500 3,352,478 *China Pharmaceutical Group, Ltd....................... 3,869,877 1,126,058 #China Power International Development, Ltd............ 6,913,000 1,869,053 *China Power New Energy Development Co., Ltd........... 19,520,000 788,816 #*China Precious Metal Resources Holdings Co., Ltd...... 11,262,318 2,177,869 *China Properties Group, Ltd........................... 2,248,000 695,979 *China Qinfa Group, Ltd................................ 3,446,000 517,508 #China Rare Earth Holdings, Ltd........................ 5,968,000 1,356,548 China Resources Gas Group, Ltd........................ 208,000 462,176 #China Rongsheng Heavy Industries Group Holdings, Ltd.. 15,329,000 3,260,946 China Sanjiang Fine Chemicals Co., Ltd................ 2,284,000 734,485 China SCE Property Holdings, Ltd...................... 1,838,000 424,394 China Shanshui Cement Group, Ltd...................... 7,297,000 5,389,107 #China Shineway Pharmaceutical Group, Ltd.............. 1,353,200 2,142,792 #China Shipping Development Co., Ltd. Series H......... 8,656,000 4,533,040 China Singyes Solar Technologies Holdings, Ltd........ 1,875,200 1,105,719 #China South City Holdings, Ltd........................ 7,994,000 1,264,875 China Starch Holdings, Ltd............................ 6,190,000 183,874 China State Construction International Holdings, Ltd.. 54,960 65,075 China Sunshine Paper Holdings Co., Ltd................ 119,078 13,485 China Suntien Green Energy Corp., Ltd. Series H....... 5,846,000 1,187,915 *China Taiping Insurance Holdings Co., Ltd............. 1,588,800 2,705,286 *China Tian Lun Gas Holdings, Ltd...................... 288,000 114,515 *China Tianyi Holdings, Ltd............................ 992,000 143,105 China Tontine Wines Group, Ltd........................ 4,536,000 466,745 China Travel International Investment Hong Kong, Ltd.. 14,349,900 2,767,456 #China Vanadium Titano - Magnetite Mining Co., Ltd..... 5,311,000 1,014,917 #China Water Affairs Group, Ltd........................ 5,186,000 1,362,768 China Wireless Technologies, Ltd...................... 5,732,000 1,662,568 #*China Yurun Food Group, Ltd........................... 5,792,000 4,225,390 #*China ZhengTong Auto Services Holdings, Ltd........... 3,593,000 2,420,988 #*China Zhongwang Holdings, Ltd......................... 6,138,000 2,445,098 *Chinasoft International, Ltd.......................... 3,230,000 788,951 *ChinaVision Media Group, Ltd.......................... 320,000 11,544 #*Chongqing Iron & Steel Co., Ltd. Series H............. 2,253,400 353,047 Chongqing Machinery & Electric Co., Ltd. Series H..... 5,334,000 807,568 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd...................................... 2,254,000 914,802 #CIMC Enric Holdings, Ltd.............................. 1,482,000 1,074,598 #*Citic 21CN Co., Ltd................................... 6,319,200 389,932 *Citic Resources Holdings, Ltd......................... 11,586,600 1,768,973 Clear Media, Ltd...................................... 79,000 40,741 *Coastal Greenland, Ltd................................ 1,384,000 58,798 #*Comba Telecom Systems Holdings, Ltd................... 3,895,577 1,515,628 *Comtec Solar Systems Group, Ltd....................... 1,198,000 139,774 COSCO International Holdings, Ltd..................... 2,703,000 1,091,838 #CPMC Holdings, Ltd.................................... 1,131,000 796,586 Da Ming International Holdings, Ltd................... 20,000 3,049 DaChan Food Asia, Ltd................................. 1,537,955 218,025 Dah Chong Hong Holdings, Ltd.......................... 3,360,000 3,159,924 Dalian Port (PDA) Co., Ltd. Series H.................. 3,822,000 841,120 #Daphne International Holdings, Ltd.................... 4,032,000 4,844,838 #*Daqing Dairy Holdings, Ltd............................ 922,000 -- Dawnrays Pharmaceutical Holdings, Ltd................. 1,182,943 250,080 #DBA Telecommunication Asia Holdings, Ltd.............. 2,060,000 1,123,115 Digital China Holdings, Ltd........................... 2,997,800 5,017,516 124 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (Continued) #Dongiang Environmental Co., Ltd. Series H........... 67,600 $ 270,210 #Dongyue Group Co., Ltd.............................. 4,539,000 2,582,100 #*Dynasty Fine Wines Group, Ltd....................... 1,580,000 260,220 Embry Holdings, Ltd................................. 473,000 224,594 ENN Energy Holdings, Ltd............................ 158,000 656,138 Evergreen International Holdings, Ltd............... 1,172,000 234,982 *Extrawell Pharmaceutical Holdings, Ltd.............. 7,297,921 436,615 Fantasia Holdings Group Co., Ltd.................... 5,347,500 528,288 *First Tractor Co., Ltd. Series H.................... 3,351,176 2,783,156 #Franshion Properties China, Ltd..................... 13,062,300 3,977,093 #Fufeng Group, Ltd................................... 3,282,000 1,245,394 #GCL-Poly Energy Holdings, Ltd....................... 28,403,000 5,020,913 #Geely Automobile Holdings, Ltd...................... 17,610,000 7,552,943 Global Bio-Chem Technology Group Co., Ltd........... 9,198,800 1,063,814 *Global Sweeteners Holdings, Ltd..................... 1,202,951 83,616 *Glorious Property Holdings, Ltd..................... 11,403,501 1,772,703 *Goldbond Group Holdings, Ltd........................ 210,000 7,834 #Golden Meditech Holdings, Ltd....................... 3,708,000 439,026 Goldlion Holdings, Ltd.............................. 910,962 414,335 *GOME Electrical Appliances Holding, Ltd............. 42,920,000 4,458,118 Good Friend International Holdings, Inc............. 436,667 152,806 *Goodbaby International Holdings, Ltd................ 666,000 220,643 *Goodtop Tin International Holdings, Ltd............. 7,020,000 361,105 Great Wall Technology Co., Ltd. Series H............ 1,758,950 313,821 Greatview Aseptic Packaging Co., Ltd................ 456,000 238,510 #Greentown China Holdings, Ltd....................... 2,464,648 3,027,915 #Guangzhou Pharmaceutical Co., Ltd. Series H......... 834,000 1,615,564 #*Guangzhou Shipyard International Co., Ltd. Series H.......................................... 773,400 577,633 *Haier Electronics Group Co., Ltd.................... 2,450,000 3,119,914 Hainan Meilan International Airport Co., Ltd. Series H.......................................... 517,000 322,331 Haitian International Holdings, Ltd................. 2,059,000 2,537,170 Harbin Electric Co., Ltd. Series H.................. 2,973,413 2,447,302 Henderson Investment, Ltd........................... 596,000 46,002 *Heng Tai Consumables Group, Ltd..................... 20,348,193 429,372 #Hengdeli Holdings, Ltd.............................. 10,114,000 3,149,970 #*Hi Sun Technology, Ltd.............................. 4,446,000 457,672 #Hidili Industry International Development, Ltd...... 5,439,000 1,373,710 *Hilong Holding, Ltd................................. 447,000 121,833 *Hisense Kelon Electrical Holdings Co., Ltd. Series H.......................................... 1,079,000 345,302 HKC Holdings, Ltd................................... 17,896,447 714,100 Hong Kong Resources Holdings Co., Ltd............... 357,450 13,806 Honghua Group, Ltd.................................. 5,221,000 1,213,906 Hopefluent Group Holdings, Ltd...................... 59,670 17,076 #Hopewell Highway Infrastructure, Ltd................ 2,974,000 1,581,821 #*Hopson Development Holdings, Ltd.................... 3,476,000 3,355,276 Hua Han Bio-Pharmaceutical Holdings, Ltd............ 6,179,360 1,423,684 #Huabao International Holdings, Ltd.................. 7,816,014 3,880,076 *Huadian Power International Corp. Series H.......... 34,000 8,606 #*Hunan Nonferrous Metal Corp., Ltd. Series H......... 8,774,000 2,594,935 *Huscoke Resources Holdings, Ltd..................... 8,002,000 81,293 Hutchison Harbour Ring, Ltd......................... 6,888,000 584,784 Inspur International, Ltd........................... 8,685,000 279,141 *Interchina Holdings Co., Ltd........................ 18,175,000 1,156,910 International Taifeng Holdings, Ltd................. 1,238,000 375,314 #Intime Department Store Group Co., Ltd.............. 4,317,500 5,070,704 #*Jinchuan Group International Resources Co., Ltd..... 2,837,000 546,916 Jingwei Textile Machinery Co., Ltd. Series H........ 1,272,000 678,352 Ju Teng International Holdings, Ltd................. 3,458,000 1,377,956 *Kai Yuan Holdings, Ltd.............................. 10,460,000 283,058 #*Kaisa Group Holdings, Ltd........................... 6,868,000 1,280,353 *Kasen International Holdings, Ltd................... 222,000 42,893 125 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (Continued) Kingboard Chemical Holdings, Ltd...................... 2,516,851 $7,467,568 Kingboard Laminates Holdings, Ltd..................... 4,029,000 1,710,850 #*Kingdee International Software Group Co., Ltd......... 7,499,200 1,549,237 #Kingsoft Corp., Ltd................................... 3,169,000 1,828,542 Kingway Brewery Holdings, Ltd......................... 4,396,800 1,558,101 KWG Property Holding, Ltd............................. 5,039,450 2,977,621 Lai Fung Holdings, Ltd................................ 20,284,440 423,552 Le Saunda Holdings, Ltd............................... 954,000 280,140 Lee & Man Paper Manufacturing, Ltd.................... 7,404,000 3,867,258 Leoch International Technology, Ltd................... 10,000 1,570 #*Li Ning Co., Ltd...................................... 3,169,000 1,675,155 #Lianhua Supermarket Holdings Co., Ltd. Series H....... 1,698,600 1,370,899 #Lijun International Pharmaceutical Holding, Ltd....... 6,948,000 1,879,762 Lingbao Gold Co., Ltd. Series H....................... 1,424,000 627,143 LK Technology Holdings, Ltd........................... 837,500 142,296 #Lonking Holdings, Ltd................................. 8,937,000 2,082,390 *Loudong General Nice Resources China Holdings, Ltd.... 7,842,140 338,505 #*Maanshan Iron & Steel Co., Ltd. Series H.............. 7,620,000 1,962,310 Magic Holdings International, Ltd..................... 1,839,600 702,351 Maoye International Holdings, Ltd..................... 5,860,000 1,172,793 Microport Scientific Corp............................. 1,532,000 787,888 *MIE Holdings Corp..................................... 3,438,000 939,063 Min Xin Holdings, Ltd................................. 418,000 229,232 #Mingfa Group International Co., Ltd................... 4,638,000 1,312,154 *Mingyuan Medicare Development Co., Ltd................ 6,700,000 136,252 Minmetals Land, Ltd................................... 5,220,000 697,025 Minth Group, Ltd...................................... 1,959,000 1,978,906 #*MMG, Ltd.............................................. 6,030,000 2,381,845 *Nam Fong International Holdings, Ltd.................. 306,758 40,016 *Nan Hai Corp, Ltd..................................... 9,800,000 39,124 Nanjing Panda Electronics Co., Ltd. Series H.......... 246,000 57,068 NetDragon Websoft, Inc................................ 320,044 341,451 #New World Department Store China, Ltd................. 2,044,462 1,222,948 #Nine Dragons Paper Holdings, Ltd...................... 6,497,000 4,519,633 *North Mining Shares Co., Ltd.......................... 12,790,000 717,224 #NVC Lighting Holdings, Ltd............................ 5,410,000 1,425,917 #O-Net Communications Group, Ltd....................... 1,308,000 344,048 Overseas Chinese Town Asia Holdings, Ltd.............. 408,183 149,135 Pacific Online, Ltd................................... 711,365 223,588 #Parkson Retail Group, Ltd............................. 328,000 276,567 *PAX Global Technology, Ltd............................ 187,000 33,708 PCD Stores Group, Ltd................................. 11,880,000 1,113,863 #Peak Sport Products Co., Ltd.......................... 3,086,000 586,799 *PetroAsian Energy Holdings, Ltd....................... 3,192,000 66,089 #Phoenix Satellite Television Holdings, Ltd............ 4,376,000 1,387,821 #*Poly Property Group Co., Ltd.......................... 8,436,000 5,055,704 #Ports Design, Ltd..................................... 1,584,000 1,125,125 *Pou Sheng International Holdings, Ltd................. 4,121,806 262,734 Powerlong Real Estate Holdings, Ltd................... 5,149,000 865,843 *Prosperity International Holdings HK, Ltd............. 5,020,000 255,856 Qingling Motors Co., Ltd. Series H.................... 1,694,000 407,476 Qunxing Paper Holdings Co., Ltd....................... 669,913 174,597 #Real Gold Mining, Ltd................................. 300,500 341,598 #Real Nutriceutical Group, Ltd......................... 3,324,000 1,182,343 Regent Manner International Holdings, Ltd............. 2,667,000 555,435 #*Renhe Commercial Holdings Co., Ltd.................... 47,532,000 2,007,992 REXLot Holdings, Ltd.................................. 32,950,000 2,417,501 *Richly Field China Development, Ltd................... 6,980,000 79,256 Road King Infrastructure, Ltd......................... 1,083,000 752,943 Royale Furniture Holdings, Ltd........................ 1,909,000 159,339 Samson Holding, Ltd................................... 1,122,000 160,307 126 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- CHINA -- (Continued) #Sany Heavy Equipment International Holdings Co., Ltd........................................... 3,577,000 $1,870,485 Sateri Holdings, Ltd................................. 71,000 15,688 *Semiconductor Manufacturing International Corp....... 94,444,000 3,691,157 #Shandong Chenming Paper Holdings, Ltd. Series H...... 1,308,000 483,849 Shandong Molong Petroleum Machinery Co., Ltd. Series H.......................................... 1,516,562 526,874 *Shanghai Industrial Urban Development Group, Ltd..... 6,750,000 1,125,687 #Shanghai Jin Jiang International Hotels Group Co., Ltd. Series H....................................... 4,088,000 631,375 Shanghai Prime Machinery Co., Ltd. Series H.......... 4,298,000 608,055 *Shanghai Zendai Property, Ltd........................ 7,225,000 118,141 Shengli Oil & Gas Pipe Holdings, Ltd................. 5,022,000 458,152 Shenguan Holdings Group, Ltd......................... 4,596,000 2,527,052 Shenzhen Expressway Co., Ltd. Series H............... 3,068,400 1,160,998 Shenzhen International Holdings, Ltd................. 42,879,300 3,586,911 Shenzhen Investment, Ltd............................. 11,974,000 3,182,049 Shenzhou International Group, Ltd.................... 1,910,000 3,713,315 *Shougang Concord Century Holdings, Ltd............... 1,137,153 41,702 #*Shougang Concord International Enterprises Co., Ltd.. 22,396,000 1,193,398 #Shougang Fushan Resources Group, Ltd................. 12,800,000 4,453,622 #Shui On Land, Ltd.................................... 12,783,483 5,386,371 Sichuan Expressway Co., Ltd. Series H................ 3,736,000 1,211,867 #Sihuan Pharmaceutical Holdings Group, Ltd............ 8,615,000 3,358,096 Sijia Group Co., Ltd................................. 1,076,350 221,700 #Silver Base Group Holdings, Ltd...................... 2,108,424 894,196 Silver Grant International Industries, Ltd........... 5,220,000 919,752 *SIM Technology Group, Ltd............................ 340,000 15,292 Sino Biopharmaceutical, Ltd.......................... 13,536,000 5,403,981 *Sino Dragon New Energy Holdings, Ltd................. 5,056,000 119,277 #*Sino Oil & Gas Holdings, Ltd......................... 35,607,766 687,559 *Sino Prosper State Gold Resources Holdings, Ltd...... 2,110,000 95,290 Sinofert Holdings, Ltd............................... 10,033,327 2,112,648 *Sinolink Worldwide Holdings, Ltd..................... 10,218,800 747,204 SinoMedia Holding, Ltd............................... 742,000 361,568 #Sino-Ocean Land Holdings, Ltd........................ 12,181,591 7,613,061 #Sinopec Kantons Holdings, Ltd........................ 2,864,000 2,128,133 Sinotrans Shipping, Ltd.............................. 4,974,086 1,222,356 Sinotrans, Ltd. Series H............................. 6,526,000 998,755 #Sinotruk Hong Kong, Ltd.............................. 2,888,000 1,656,546 *SITC International Holdings Co., Ltd................. 189,000 49,338 #Skyworth Digital Holdings, Ltd....................... 8,930,234 4,799,898 *SMI Corp., Ltd....................................... 7,948,066 187,019 #*Solargiga Energy Holdings, Ltd....................... 3,870,000 215,906 *Sparkle Roll Group, Ltd.............................. 6,960,000 407,290 *SPG Land Holdings, Ltd............................... 714,000 177,345 *Springland International Holdings, Ltd............... 123,000 60,427 *SRE Group, Ltd....................................... 13,894,346 544,040 #Sunac China Holdings, Ltd............................ 3,491,000 1,844,024 Sunny Optical Technology Group Co., Ltd.............. 1,834,000 1,074,368 Tak Sing Alliance Holdings, Ltd...................... 253,257 31,248 #TCC International Holdings, Ltd...................... 4,185,098 1,135,068 TCL Communication Technology Holdings, Ltd........... 2,237,198 683,864 TCL Multimedia Technology Holdings, Ltd.............. 2,684,510 1,486,286 *Tech Pro Technology Development, Ltd................. 2,828,000 1,053,154 *Texhong Textile Group, Ltd........................... 626,000 294,635 Tian An China Investments Co., Ltd................... 1,193,000 692,116 Tian Shan Development Holdings, Ltd.................. 908,000 217,774 Tiangong International Co., Ltd...................... 5,802,000 1,393,855 Tianjin Capital Environmental Protection Group Co., Ltd. Series H...................................... 1,572,000 365,756 *Tianjin Development Holdings, Ltd.................... 1,870,000 887,465 Tianjin Port Development Holdings, Ltd............... 7,404,800 914,262 Tianneng Power International, Ltd.................... 3,112,048 2,097,624 #Tomson Group, Ltd.................................... 1,060,443 251,297 127 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ------------ CHINA -- (Continued) Tong Ren Tang Technologies Co., Ltd. Series H....... 1,085,000 $ 1,947,101 #Towngas China Co., Ltd.............................. 2,893,000 2,273,070 TPV Technology, Ltd................................. 3,915,964 869,560 Trauson Holdings Co., Ltd........................... 1,381,000 718,733 Travelsky Technology, Ltd. Series H................. 3,659,090 1,884,922 *Trony Solar Holdings Co., Ltd....................... 1,757,000 142,826 Truly International Holdings, Ltd................... 5,411,573 820,766 Uni-President China Holdings, Ltd................... 1,151,000 1,445,653 *United Energy Group, Ltd............................ 12,306,450 1,948,892 #Vinda International Holdings, Ltd................... 2,394,000 3,324,669 VODone, Ltd......................................... 13,151,600 1,281,909 #Wasion Group Holdings, Ltd.......................... 2,018,000 736,357 Weiqiao Textile Co., Ltd. Series H.................. 2,212,000 862,436 Welling Holding, Ltd................................ 3,410,000 416,021 #West China Cement, Ltd.............................. 13,716,000 2,462,591 *Winsway Coking Coal Holdings, Ltd................... 4,046,000 650,304 Winteam Pharmaceutical Group, Ltd................... 2,538,000 490,636 #Wumart Stores, Inc. Series H........................ 969,000 1,718,993 Xiamen International Port Co., Ltd. Series H........ 5,166,000 598,729 Xingda International Holdings, Ltd.................. 3,691,000 1,284,539 Xinhua Winshare Publishing & Media Co., Ltd. Series H......................................... 307,103 164,469 #Xinjiang Goldwind Science & Technology Co., Ltd. Series H........................................... 1,615,400 611,233 #Xinjiang Xinxin Mining Industry Co., Ltd. Series H.. 3,350,598 701,548 Xiwang Sugar Holdings Co., Ltd...................... 3,103,178 326,867 #XTEP International Holdings, Ltd.................... 2,858,500 1,237,247 *Yanchang Petroleum International, Ltd............... 13,980,000 917,693 Yantai North Andre Juice Co. Series H............... 3,885,000 152,489 *Yashili International Holdings, Ltd................. 1,814,000 424,585 #Yingde Gases Group Co., Ltd......................... 3,468,500 3,297,133 Yip's Chemical Holdings, Ltd........................ 984,000 665,978 #Youyuan International Holdings, Ltd................. 139,000 34,008 *Yuanda China Holdings, Ltd.......................... 2,162,000 252,921 Yuexiu Property Co., Ltd............................ 21,435,432 5,860,904 #Yuexiu Transport Infrastructure, Ltd................ 2,788,018 1,250,541 #Yuzhou Properties Co................................ 1,023,600 237,049 Zhejiang Expressway Co., Ltd. Series H.............. 3,868,000 2,818,325 #*Zhejiang Glass Co., Ltd. Series H................... 445,000 -- *Zhong An Real Estate, Ltd........................... 1,078,400 111,243 #Zhongsheng Group Holdings, Ltd...................... 2,344,000 3,010,197 #Zhuzhou CSR Times Electric Co., Ltd. Series H....... 1,367,000 3,997,022 ------------ TOTAL CHINA............................................ 459,710,883 ------------ COLOMBIA -- (0.0%) *Constructora Conconcreto SA......................... 39,186 28,238 *Empresa de Telecomunicaciones de Bogota............. 81,012 20,432 *Fabricato SA........................................ 13,257,120 658,599 *Mineros SA.......................................... 17,678 46,420 ------------ TOTAL COLOMBIA......................................... 753,689 ------------ HONG KONG -- (0.0%) *Qualipak International Holdings, Ltd................ 113,153 12,892 ------------ HUNGARY -- (0.1%) *Danubius Hotel & Spa P.L.C.......................... 45,091 551,761 EGIS Pharmaceuticals P.L.C.......................... 11,973 963,549 #*FHB Mortgage Bank NYRT.............................. 42,048 91,551 *Fotex Holding SE.................................... 119,895 95,696 *PannErgy P.L.C...................................... 127,046 349,799 Zwack Unicum NYRT................................... 679 38,769 ------------ TOTAL HUNGARY.......................................... 2,091,125 ------------ 128 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- INDIA -- (8.4%) *3M India, Ltd.......................................... 5,008 $ 357,126 Aban Offshore, Ltd..................................... 66,736 544,646 *ABG Shipyard, Ltd...................................... 88,327 609,668 Aditya Birla Nuvo, Ltd................................. 27,473 463,544 *Advanta India, Ltd..................................... 13,420 203,323 Agro Tech Foods, Ltd................................... 42,808 335,361 AIA Engineering, Ltd................................... 44,197 319,846 Ajmera Realty & Infra India, Ltd....................... 4,949 10,525 Akzo Nobel India, Ltd.................................. 53,147 955,758 Alembic Pharmaceuticals, Ltd........................... 406,588 511,721 *Alembic, Ltd........................................... 93,083 26,955 Allahabad Bank, Ltd.................................... 661,286 1,666,455 Allcargo Logistics, Ltd................................ 3,483 8,526 Alok Industries, Ltd................................... 1,894,319 405,367 Alstom India, Ltd...................................... 109,848 834,927 Alstom T&D India, Ltd.................................. 161,059 612,479 Amara Raja Batteries, Ltd.............................. 193,202 816,343 Amtek Auto, Ltd........................................ 465,354 623,463 *Amtek India, Ltd....................................... 239,652 421,500 Anant Raj Industries, Ltd.............................. 665,541 1,001,986 Andhra Bank, Ltd....................................... 649,159 1,247,166 *Andhra Pradesh Paper Mills............................. 35,816 197,349 Apollo Hospitals Enterprise, Ltd....................... 249,642 3,611,548 Apollo Tyres, Ltd...................................... 663,125 1,053,577 Arvind, Ltd............................................ 806,648 1,215,822 *Asahi India Glass, Ltd................................. 178,126 215,485 Ashok Leyland, Ltd..................................... 6,477,083 2,811,497 Asian Hotels East, Ltd................................. 11,929 49,975 *Atul, Ltd.............................................. 17,216 126,599 Aurobindo Pharma, Ltd.................................. 631,240 1,854,981 Automotive Axles, Ltd.................................. 19,185 132,093 *Bajaj Corp., Ltd....................................... 113,243 388,979 Bajaj Electricals, Ltd................................. 163,219 617,370 Bajaj Finance, Ltd..................................... 54,152 1,289,894 Bajaj Finserv, Ltd..................................... 126,975 1,994,027 Bajaj Hindusthan, Ltd.................................. 1,198,145 655,158 Bajaj Holdings & Investment, Ltd....................... 86,830 1,401,984 Balkrishna Industries, Ltd............................. 107,110 528,429 Ballarpur Industries, Ltd.............................. 1,049,577 427,796 Balmer Lawrie & Co., Ltd............................... 26,892 319,854 *Balrampur Chini Mills, Ltd............................. 869,619 1,099,487 Bank of Maharashtra, Ltd............................... 644,948 629,041 Bannari Amman Sugars, Ltd.............................. 15,663 261,859 BASF India, Ltd........................................ 34,835 420,988 Bata India, Ltd........................................ 116,451 1,834,071 BEML, Ltd.............................................. 58,553 313,987 Berger Paints India, Ltd............................... 573,500 1,498,707 *BF Utilities, Ltd...................................... 53,450 358,080 BGR Energy Systems, Ltd................................ 126,429 616,847 Bharat Forge, Ltd...................................... 455,615 2,300,654 Bhushan Steel, Ltd..................................... 369,371 3,373,492 Biocon, Ltd............................................ 248,587 1,227,030 Birla Corp., Ltd....................................... 104,359 502,477 Blue Dart Express, Ltd................................. 19,330 626,591 Blue Star, Ltd......................................... 134,898 498,708 Bombay Burmah Trading Co............................... 6,216 65,731 Bombay Dyeing & Manufacturing Co., Ltd................. 785,565 1,635,529 *Bombay Rayon Fashions, Ltd............................. 17,322 84,028 Britannia Industries, Ltd.............................. 212,180 1,904,951 Cadila Healthcare, Ltd................................. 2,373 38,328 Carborundum Universal, Ltd............................. 307,291 870,768 129 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- INDIA -- (Continued) Central Bank of India.................................. 1,147,333 $1,474,307 Centum Electronics, Ltd................................ 5,834 8,373 *Century Plyboards India, Ltd........................... 137,796 153,493 Century Textiles & Industries, Ltd..................... 291,473 2,096,498 CESC, Ltd.............................................. 339,963 1,729,852 Chambal Fertilizers & Chemicals, Ltd................... 805,294 998,835 Chennai Petroleum Corp., Ltd........................... 185,135 443,852 Cholamandalam Investment & Finance Co., Ltd............ 71,956 293,115 City Union Bank, Ltd................................... 746,017 781,190 Clariant Chemicals (India), Ltd........................ 28,856 350,926 *Claris Lifesciences, Ltd............................... 58,414 259,879 CMC, Ltd............................................... 55,642 1,156,890 Core Education & Technologies, Ltd..................... 167,913 965,777 Coromandel International, Ltd.......................... 436,371 2,311,601 Corporation Bank....................................... 171,930 1,273,915 Crisil, Ltd............................................ 112,761 1,984,213 Crompton Greaves, Ltd.................................. 65,078 150,507 Dalmia Bharat Enterprises, Ltd......................... 57,965 173,404 DB Corp., Ltd.......................................... 1,695 6,563 *DB Realty, Ltd......................................... 368,728 668,317 DCM Shriram Consolidated, Ltd.......................... 231,503 306,388 Deepak Fertilizers & Petrochemicals Corp., Ltd......... 147,728 364,452 Delta Corp., Ltd....................................... 308,489 372,882 *DEN Networks, Ltd...................................... 192,940 631,761 Dena Bank.............................................. 127,628 250,723 *Development Credit Bank, Ltd........................... 756,069 601,207 Dewan Housing Finance Corp., Ltd....................... 110,571 389,279 *Dish TV (India), Ltd................................... 1,980,742 2,768,051 *Dredging Corp. of India, Ltd........................... 21,673 94,177 E.I.D.--Parry (India), Ltd............................. 311,709 1,349,027 eClerx Services, Ltd................................... 20,502 259,985 Edelweiss Financial Services, Ltd...................... 353,351 221,524 Educomp Solutions, Ltd................................. 267,067 725,792 Eicher Motors, Ltd..................................... 46,375 2,000,505 EIH, Ltd............................................... 432,476 608,691 Elder Pharmaceuticals, Ltd............................. 41,972 222,006 Elgi Equipments, Ltd................................... 224,474 379,844 *Emami, Ltd............................................. 79,112 836,950 Engineers India, Ltd................................... 46,626 204,890 *Entertainment Network India, Ltd....................... 30,173 135,268 Era Infra Engineering, Ltd............................. 352,519 893,620 *Eros International Media, Ltd.......................... 97,084 293,213 Escorts, Ltd........................................... 346,480 424,455 *Essar Oil, Ltd......................................... 1,455,331 1,691,241 Essar Ports, Ltd....................................... 383,771 719,662 *Essar Shipping, Ltd.................................... 112,311 60,746 Essel Propack, Ltd..................................... 100,852 71,477 FAG Bearings (India), Ltd.............................. 27,899 899,404 FDC, Ltd............................................... 277,766 440,943 Federal Bank, Ltd...................................... 572,364 5,134,295 *Federal-Mogul Goetze (India), Ltd...................... 61,495 226,097 Financial Technologies (India), Ltd.................... 110,345 2,034,548 Finolex Cables, Ltd.................................... 106,873 84,722 Finolex Industries, Ltd................................ 184,311 221,042 *Fortis Healthcare, Ltd................................. 444,769 838,916 *Fresenius Kabi Oncology, Ltd........................... 203,183 346,080 Future Capital Holdings, Ltd........................... 68,029 194,105 Gammon India, Ltd...................................... 105,203 79,340 *Gammon Infrastructure Projects, Ltd.................... 30,123 7,770 Gateway Distriparks, Ltd............................... 230,383 610,953 *Geodesic, Ltd.......................................... 72,614 53,737 130 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- INDIA -- (Continued) *Gillette India, Ltd.................................... 10,058 $ 412,840 Gitanjali Gems, Ltd.................................... 263,212 1,951,204 GlaxoSmithKline Consumer Healthcare, Ltd............... 32,351 1,827,454 *Glodyne Technoserve, Ltd............................... 30,130 30,724 *GMR Infrastructure, Ltd................................ 2,603,093 966,201 Godfrey Phillips India, Ltd............................ 3,364 208,028 Godrej Industries, Ltd................................. 263,939 1,472,524 Godrej Properties, Ltd................................. 60,544 647,751 *Gokul Refoils & Solvent, Ltd........................... 27,697 22,311 Graphite India, Ltd.................................... 247,564 382,997 *Gravita India, Ltd..................................... 42,956 134,925 Great Eastern Shipping Co., Ltd........................ 331,753 1,579,710 Greaves Cotton, Ltd.................................... 461,835 665,614 Grindwell Norton, Ltd.................................. 18,171 87,651 GRUH Finance, Ltd...................................... 111,195 398,286 *GTL Infrastructure, Ltd................................ 2,080,092 301,345 Gujarat Alkalies & Chemicals, Ltd...................... 140,126 340,846 Gujarat Ambuja Exports, Ltd............................ 53,836 22,112 Gujarat Fluorochemicals, Ltd........................... 156,927 957,617 Gujarat Gas Co., Ltd................................... 192,163 1,066,160 Gujarat Industries Power Co., Ltd...................... 44,878 55,660 Gujarat Mineral Development Corp., Ltd................. 374,530 1,464,124 Gujarat Narmada Valley Fertilizers Co., Ltd............ 203,908 307,709 Gujarat NRE Coke, Ltd.................................. 1,359,957 459,291 Gujarat State Fertilisers & Chemicals, Ltd............. 603,965 834,125 Gujarat State Petronet, Ltd............................ 734,688 1,024,599 Gulf Oil Corp., Ltd.................................... 118,401 195,397 *GVK Power & Infrastructure, Ltd........................ 3,866,606 903,426 *Hathway Cable & Datacom, Ltd........................... 182,163 785,185 Havells India, Ltd..................................... 202,899 2,168,029 HCL Infosystems, Ltd................................... 625,558 489,844 HEG, Ltd............................................... 63,423 269,348 *HeidelbergCement India, Ltd............................ 329,788 297,306 *Hexa Tradex, Ltd....................................... 73,518 47,960 Hexaware Technologies, Ltd............................. 1,209,540 2,512,008 *Himachal Futuristic Communications, Ltd................ 2,651,709 527,369 Hinduja Global Solutions, Ltd.......................... 35,626 212,626 Hinduja Ventures, Ltd.................................. 36,075 314,815 *Hindustan Construction Co., Ltd........................ 1,799,218 567,028 *Hindustan Oil Exploration Co., Ltd..................... 189,536 353,849 Honeywell Automation India, Ltd........................ 10,066 503,404 *Hotel Leelaventure, Ltd................................ 536,623 295,515 *Housing Development & Infrastructure, Ltd.............. 1,358,320 2,402,631 HSIL, Ltd.............................................. 72,596 160,309 HT Media, Ltd.......................................... 80,932 153,974 *ICRA, Ltd.............................................. 1,534 39,004 India Cements, Ltd..................................... 955,552 1,694,348 India Infoline, Ltd.................................... 887,635 1,138,553 Indiabulls Financial Services, Ltd..................... 357,294 1,643,091 Indian Bank............................................ 153,164 476,990 Indian Hotels Co., Ltd................................. 1,875,878 2,184,318 Indian Overseas Bank................................... 879,677 1,165,096 Indo Rama Synthetics (India), Ltd...................... 82,034 37,451 Indoco Remedies, Ltd................................... 92,250 110,374 Indraprastha Gas, Ltd.................................. 320,817 1,530,756 IndusInd Bank, Ltd..................................... 108,813 731,760 Info Edge (India), Ltd................................. 87,014 572,488 Infotech Enterprises, Ltd.............................. 182,267 632,382 ING Vysya Bank, Ltd.................................... 21,126 179,733 Ingersoll-Rand India, Ltd.............................. 33,356 298,934 Ipca Laboratories, Ltd................................. 282,189 2,404,786 131 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- INDIA -- (Continued) IRB Infrastructure Developers, Ltd..................... 608,470 $1,371,182 *IVRCL Infrastructures & Projects, Ltd.................. 1,362,161 999,346 J.B. Chemicals & Pharmaceuticals, Ltd.................. 31,979 40,739 Jagran Prakashan, Ltd.................................. 319,553 590,746 Jai Corp., Ltd......................................... 13,886 14,485 *Jain Irrigation Systems, Ltd........................... 1,123,832 1,362,887 Jammu & Kashmir Bank, Ltd.............................. 105,080 2,405,795 Jaypee Infratech, Ltd.................................. 1,095,948 965,813 JBF Industries, Ltd.................................... 124,773 327,147 *Jet Airways (India), Ltd............................... 159,407 991,258 Jindal Drilling & Industries, Ltd...................... 13,908 65,558 Jindal Poly Films, Ltd................................. 90,006 336,111 Jindal Saw, Ltd........................................ 551,637 1,165,489 *Jindal Stainless, Ltd.................................. 275,537 337,179 JK Cement, Ltd......................................... 80,243 375,447 JK Lakshmi Cement, Ltd................................. 176,171 406,554 JM Financial, Ltd...................................... 1,525,085 460,067 JSW Energy, Ltd........................................ 62,695 74,120 *JSW ISPAT Steel, Ltd................................... 3,544,973 648,092 *Jubilant Foodworks, Ltd................................ 45,893 1,079,070 Jubilant Organosys, Ltd................................ 222,295 916,617 Jyothy Laboratories, Ltd............................... 278,070 913,514 Kajaria Ceramics, Ltd.................................. 113,245 446,463 Kakinada Fertilizers, Ltd.............................. 632,948 131,896 Kalpataru Power Transmission, Ltd...................... 34,721 56,590 Kansai Nerolac Paints, Ltd............................. 2,133 37,646 Karnataka Bank, Ltd.................................... 860,948 2,158,530 Karur Vysya Bank, Ltd.................................. 159,651 1,373,977 *Karuturi Global, Ltd................................... 408,138 33,704 Kaveri Seed Co., Ltd................................... 16,079 327,877 KEC International, Ltd................................. 348,094 410,797 Kesoram Industries, Ltd................................ 56,319 152,805 Kewal Kiran Clothing, Ltd.............................. 1,598 20,598 Kirloskar Brothers, Ltd................................ 817 2,251 Kirloskar Industries, Ltd.............................. 8,177 47,883 Kirloskar Oil Engines, Ltd............................. 218,179 772,220 KPIT Cummins Infosystems, Ltd.......................... 339,910 786,135 KSB Pumps, Ltd......................................... 31,790 135,582 *KSK Energy Ventures, Ltd............................... 39,524 44,898 Lakshmi Machine Works, Ltd............................. 13,190 504,704 *Lanco Infratech, Ltd................................... 2,883,805 636,422 Madras Cements, Ltd.................................... 273,238 1,028,606 *Mahanagar Telephone Nigam, Ltd......................... 782,757 381,114 Maharashtra Scooters, Ltd.............................. 3,473 23,754 Maharashtra Seamless, Ltd.............................. 107,476 659,511 Mahindra & Mahindra Financial Services, Ltd............ 100,699 1,617,997 Mahindra Holidays & Resorts India, Ltd................. 7,323 37,298 Mahindra Lifespace Developers, Ltd..................... 49,080 369,836 *Man Infraconstruction, Ltd............................. 26,686 88,730 Mandhana Industries, Ltd............................... 29,389 128,630 Marico, Ltd............................................ 514,259 2,006,133 *MAX India, Ltd......................................... 562,020 2,522,032 McLeod Russel (India), Ltd............................. 228,565 1,287,903 *Mercator Lines, Ltd.................................... 649,167 254,474 *Merck, Ltd............................................. 20,801 239,595 MindTree, Ltd.......................................... 53,931 656,849 MOIL, Ltd.............................................. 88,839 402,938 Monnet Ispat, Ltd...................................... 84,484 460,569 Monsanto India, Ltd.................................... 26,377 304,329 Motherson Sumi Systems, Ltd............................ 942,232 2,739,875 *Motilal Oswal Financial Services, Ltd.................. 18,723 41,447 132 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- INDIA -- (Continued) Mphasis, Ltd........................................... 134,399 $ 968,568 MRF, Ltd............................................... 6,556 1,236,646 Nagarjuna Construction Co., Ltd........................ 1,064,726 862,434 *Nagarjuna Oil Refinery, Ltd............................ 575,408 57,521 Nahar Capital & Financial Services, Ltd................ 10,494 9,148 Nahar Poly Films, Ltd.................................. 28,311 11,487 Natco Pharma, Ltd...................................... 62,273 432,855 Nava Bharat Ventures, Ltd.............................. 13,117 43,576 Navneet Publications India, Ltd........................ 272,516 295,562 NESCO, Ltd............................................. 29,209 368,970 NIIT Technologies, Ltd................................. 198,527 1,081,978 NIIT, Ltd.............................................. 167,888 103,593 Nitin Fire Protection Industries, Ltd.................. 499,985 616,943 Noida Toll Bridge Co., Ltd............................. 180,315 84,398 Oberoi Realty, Ltd..................................... 5,185 26,383 OCL India, Ltd......................................... 51,578 149,127 *OMAXE, Ltd............................................. 302,896 881,048 Opto Circuits India, Ltd............................... 489,236 1,093,174 Orchid Chemicals & Pharmaceuticals, Ltd................ 137,657 266,098 Orient Paper & Industries, Ltd......................... 284,026 403,265 Oriental Bank of Commerce.............................. 301,950 1,731,868 Orissa Minerals Development Co., Ltd................... 9,760 787,404 *Oswal Chemical & Fertilizers, Ltd...................... 29,723 16,632 Page Industries, Ltd................................... 8,896 552,444 *Panacea Biotec, Ltd.................................... 33,715 66,560 Pantaloon Retail India, Ltd............................ 2,575 8,516 *Parsvnath Developers, Ltd.............................. 446,760 305,160 Peninsula Land, Ltd.................................... 196,077 265,519 Persistent Systems, Ltd................................ 19,797 175,480 Petronet LNG, Ltd...................................... 276,925 860,918 Pfizer, Ltd............................................ 11,684 247,178 Phoenix Mills, Ltd..................................... 92,407 343,539 Pidilite Industries, Ltd............................... 856,406 3,063,555 *Pipavav Defence & Offshore Engineering Co., Ltd........ 1,077,246 1,577,662 Piramal Enterprises, Ltd............................... 237,828 2,184,327 *Plethico Pharmaceuticals, Ltd.......................... 50,065 229,022 Polaris Financial Technology, Ltd...................... 125,423 278,154 Praj Industries, Ltd................................... 112,064 94,058 Prakash Industries, Ltd................................ 15,110 14,062 Prestige Estates Projects, Ltd......................... 91,900 266,041 *Prime Focus, Ltd....................................... 93,405 83,221 Prism Cement, Ltd...................................... 530,226 546,461 Proctor & Gamble Hygiene & Health Care, Ltd............ 2,985 136,763 PTC (India), Ltd....................................... 1,029,885 1,214,036 *PTC India Financial Services, Ltd...................... 127,153 35,019 Punj Lloyd, Ltd........................................ 1,156,124 1,078,370 Punjab & Sind Bank..................................... 142,243 170,152 Radico Khaitan, Ltd.................................... 344,454 767,571 Rain Commodities, Ltd.................................. 417,422 300,386 Rajesh Exports, Ltd.................................... 106,849 241,872 Rallis India, Ltd...................................... 381,154 1,007,057 Raymond, Ltd........................................... 198,416 1,407,691 Redington India, Ltd................................... 569,553 855,490 REI Agro, Ltd.......................................... 2,693,851 510,010 *REI Six Ten Retail, Ltd................................ 159,806 11,374 Rolta (India), Ltd..................................... 548,321 659,018 Ruchi Soya Industries, Ltd............................. 516,585 636,614 *S Mobility, Ltd........................................ 70,822 51,492 Sadbhav Engineering, Ltd............................... 109,117 294,501 Sanofi India, Ltd...................................... 24,044 993,560 *Sanwaria Agro Oils, Ltd................................ 86,525 64,004 133 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- INDIA -- (Continued) *Satyam Computer Services, Ltd.......................... 1,448,406 $2,938,345 Schneider Electric Infrastructure, Ltd................. 184,541 311,621 *SEAMEC, Ltd............................................ 8,256 13,947 *Shasun Pharmaceuticals, Ltd............................ 66,364 182,480 *Shipping Corp. of India, Ltd........................... 841,621 790,654 Shiv-Vani Oil & Gas Exploration Services, Ltd.......... 1,193 2,888 Shoppers Stop, Ltd..................................... 126,444 1,012,739 Shree Cement, Ltd...................................... 17,365 1,358,006 Shree Renuka Sugars, Ltd............................... 1,992,569 1,160,306 Simplex Infrastructures, Ltd........................... 1,045 3,944 Sintex Industries, Ltd................................. 889,996 1,059,749 *SITI Cable Network, Ltd................................ 214,796 82,435 SJVN, Ltd.............................................. 198,665 73,754 SKF (India), Ltd....................................... 72,466 870,695 Sobha Developers, Ltd.................................. 255,673 1,696,963 Solar Industries India, Ltd............................ 15,578 282,454 South Indian Bank, Ltd................................. 1,981,190 848,547 SREI Infrastructure Finance, Ltd....................... 297,648 151,404 SRF, Ltd............................................... 101,277 419,167 State Bank of Bikaner & Jaipur......................... 56,517 396,989 *Sterling Biotech, Ltd.................................. 305,767 30,759 Sterlite Technologies, Ltd............................. 413,985 229,145 Strides Arcolab, Ltd................................... 225,600 3,730,557 Styrolution ABS India, Ltd............................. 23,441 279,163 *Sun Pharma Advanced Research Co., Ltd.................. 423,174 763,974 Sundaram Finance, Ltd.................................. 17,281 293,686 *Sundaram Investment, Ltd............................... 3,890 10,087 Sundaram-Clayton, Ltd.................................. 3,890 22,503 Sundram Fastners, Ltd.................................. 306,501 272,288 Supreme Industries, Ltd................................ 130,761 706,976 Supreme Petrochem, Ltd................................. 112,393 117,027 Surana Industries, Ltd................................. 14,879 38,659 *Suzlon Energy, Ltd..................................... 3,471,114 1,011,366 Swaraj Engines, Ltd.................................... 3,100 24,609 Syndicate Bank......................................... 700,985 1,525,753 Tata Chemicals, Ltd.................................... 116,319 683,237 Tata Communications, Ltd............................... 335,937 1,515,496 #Tata Communications, Ltd. ADR.......................... 92,938 822,501 Tata Elxsi, Ltd........................................ 51,574 208,489 Tata Investment Corp., Ltd............................. 38,471 316,258 Tata Tea, Ltd.......................................... 1,271,119 3,508,352 *Tata Teleservices Maharashtra, Ltd..................... 2,003,794 400,629 Tech Mahindra, Ltd..................................... 86,951 1,533,714 *Techno Electric & Engineering Co., Ltd................. 15,540 58,006 Texmaco Rail & Engineering, Ltd........................ 155,901 178,431 Thermax India, Ltd..................................... 122,976 1,339,232 Time Technoplast, Ltd.................................. 90,263 76,256 Timken India, Ltd...................................... 42,048 149,991 Titagarh Wagons, Ltd................................... 17,656 107,554 Torrent Pharmaceuticals, Ltd........................... 139,005 1,738,480 Torrent Power, Ltd..................................... 111,188 316,404 Trent, Ltd............................................. 36,504 750,979 Triveni Turbine, Ltd................................... 146,168 149,696 TTK Prestige, Ltd...................................... 20,253 1,201,040 Tube Investments of India, Ltd......................... 368,027 1,182,249 *Tulip IT Services, Ltd................................. 73,866 50,851 TVS Motor Co., Ltd..................................... 1,228,130 875,761 UCO Bank............................................... 765,697 1,031,326 Uflex, Ltd............................................. 11,351 21,229 Unichem Laboratories, Ltd.............................. 174,457 617,742 *Unitech, Ltd........................................... 7,368,179 3,146,017 134 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ----------- ------------ INDIA -- (Continued) *United Bank of India............................... 290,520 $ 340,342 United Phosphorus, Ltd............................. 1,095,227 2,309,981 *Usha Martin, Ltd................................... 514,903 276,118 *Vardhman Special Steels, Ltd....................... 15,258 9,303 Vardhman Textiles, Ltd............................. 76,291 350,839 Vesuvius India, Ltd................................ 1,802 11,354 *V-Guard Industries, Ltd............................ 28,075 229,254 Videocon Industries, Ltd........................... 440,953 1,398,409 Vijaya Bank, Ltd................................... 663,648 660,431 VIP Industries, Ltd................................ 149,430 226,593 Voltas, Ltd........................................ 809,977 1,658,785 VST Industries, Ltd................................ 13,177 428,712 WABCO India, Ltd................................... 8,387 248,553 Welspun Corp., Ltd................................. 646,946 1,165,572 *Wockhardt, Ltd..................................... 78,177 2,183,137 Wyeth, Ltd......................................... 38,992 628,337 *Zee Learn, Ltd..................................... 57,229 29,766 Zensar Technologies, Ltd........................... 100,258 428,278 *Zuari Agro Chemicals, Ltd.......................... 42,970 267,030 Zuari Global, Ltd.................................. 42,970 96,531 Zydus Wellness, Ltd................................ 53,022 432,105 Zylog Systems, Ltd................................. 63,881 177,437 ------------ TOTAL INDIA........................................... 272,539,401 ------------ INDONESIA -- (4.3%) *PT Lippo Cikarang Tbk.............................. 989,000 381,598 PT Ace Hardware Indonesia Tbk...................... 899,000 653,350 PT Adhi Karya Persero Tbk.......................... 4,865,500 712,613 *PT Agis Tbk........................................ 12,930,500 584,190 PT Agung Podomoro Land Tbk......................... 16,715,500 631,346 PT AKR Corporindo Tbk.............................. 12,350,700 5,690,078 *PT Alam Sutera Realty Tbk.......................... 51,369,500 3,085,258 PT Aneka Tambang Persero Tbk....................... 20,265,000 2,688,689 PT Asahimas Flat Glass Tbk......................... 983,000 796,310 PT Astra Graphia Tbk............................... 1,904,000 276,521 *PT Bakrie & Brothers Tbk........................... 319,498,500 1,295,672 PT Bakrie Sumatera Plantations Tbk................. 58,132,000 716,612 *PT Bakrie Telecom Tbk.............................. 87,585,398 546,117 *PT Bakrieland Development Tbk...................... 204,925,750 1,378,760 PT Bank Bukopin Tbk................................ 22,426,666 1,484,690 *PT Bank Pan Indonesia Tbk.......................... 7,399,000 560,022 *PT Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk............................................... 10,678,500 1,216,464 PT Bank Tabungan Negara Persero Tbk................ 14,634,712 2,303,348 *PT Barito Pacific Tbk.............................. 9,296,000 481,925 *PT Benakat Petroleum Energy Tbk.................... 26,180,000 483,659 *PT Berau Coal Energy Tbk........................... 12,182,000 278,543 *PT Berlian Laju Tanker Tbk......................... 35,106,366 -- PT Bhakti Investama Tbk............................ 103,922,400 5,917,040 PT Bisi International Tbk.......................... 7,499,000 832,026 *PT Borneo Lumbung Energi & Metal Tbk............... 8,237,000 528,283 *PT Budi Acid Jaya Tbk.............................. 5,947,000 87,167 *PT Bumi Resources Minerals Tbk..................... 7,618,000 343,199 PT Bumi Serpong Damai Tbk.......................... 30,256,200 3,877,388 *PT BW Plantation Tbk............................... 8,541,000 1,276,109 *PT Central Proteinaprima Tbk....................... 21,920,000 76,452 PT Chandra Asri Petrochemical Tbk.................. 13,500 3,608 PT Charoen Pokphand Indonesia Tbk.................. 10,683,000 3,459,008 PT Ciputra Development Tbk......................... 48,487,080 3,414,701 PT Ciputra Property Tbk............................ 8,242,500 564,379 PT Ciputra Surya Tbk............................... 4,670,500 847,584 PT Citra Marga Nusaphala Persada Tbk............... 8,433,000 2,034,527 135 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ----------- ---------- INDONESIA -- (Continued) PT Clipan Finance Indonesia Tbk..................... 1,482,000 $ 61,437 *PT Darma Henwa Tbk.................................. 72,303,600 374,669 *PT Davomas Adabi Tbk................................ 37,629,500 195,885 *PT Delta Dunia Makmur Tbk........................... 25,748,000 468,977 *PT Energi Mega Persada Tbk.......................... 175,439,000 1,650,305 PT Ever Shine Textile Tbk........................... 3,654,640 60,498 *PT Exploitasi Energi Indonesia Tbk.................. 6,807,500 254,261 PT Fajar Surya Wisesa Tbk........................... 5,000 1,263 PT Gajah Tunggal Tbk................................ 8,244,000 1,856,863 *PT Garda Tujuh Buana Tbk............................ 61,500 24,971 *PT Garuda Indonesia Persero Tbk..................... 18,790,000 1,346,669 PT Global Mediacom Tbk.............................. 19,838,000 4,686,984 PT Gozco Plantations Tbk............................ 11,983,200 267,311 *PT Hanson International Tbk......................... 18,249,500 426,665 PT Harum Energy Tbk................................. 4,330,500 2,421,773 *PT Hexindo Adiperkasa Tbk........................... 1,108,000 821,208 PT Holcim Indonesia Tbk............................. 9,852,500 3,324,619 *PT Indah Kiat Pulp & Paper Corp. Tbk................ 10,970,500 1,115,860 PT Indika Energy Tbk................................ 8,123,500 1,303,911 *PT Indomobil Sukses Internasional Tbk............... 3,826,000 2,015,654 PT Indorama Synthetics Tbk.......................... 485,000 76,013 *PT Inovisi Infracom Tbk............................. 194,700 126,536 PT Intiland Development Tbk......................... 22,418,032 732,490 PT Japfa Comfeed Indonesia Tbk...................... 4,380,500 2,218,186 PT Jaya Real Property Tbk........................... 1,967,500 563,313 *PT Kawasan Industri Jababeka Tbk.................... 95,760,000 2,031,528 *PT Krakatau Steel Persero Tbk....................... 4,611,000 334,947 PT Lippo Karawaci Tbk............................... 78,560,312 7,581,188 *PT Malindo Feedmill Tbk............................. 4,277,000 727,930 PT Matahari Putra Prima Tbk......................... 9,979,628 1,565,641 PT Mayorah Indah Tbk................................ 2,535,500 6,225,811 PT Medco Energi Internasional Tbk................... 7,612,000 1,247,477 PT Media Nusantara Citra Tbk........................ 15,695,985 4,603,064 PT Mitra Adiperkasa Tbk............................. 5,442,000 3,696,014 *PT Mitra International Resources Tbk................ 6,855,000 106,340 *PT Modern Internasional Tbk......................... 91,000 6,982 PT Multistrada Arah Sarana Tbk...................... 6,255,000 243,093 *PT Myoh Technology Tbk.............................. 586,500 65,869 PT Nippon Indosari Corpindo Tbk..................... 473,500 295,088 *PT Nusantara Infrastructure Tbk..................... 5,654,500 99,742 PT Pabrik Kertas Tjiwi Kimia Tbk.................... 557,500 128,885 *PT Pakuwon Jati Tbk................................. 70,747,200 2,053,570 PT Pan Brothers Tbk................................. 207,000 9,027 *PT Panasia Indo Resources Tbk....................... 79,000 2,509 *PT Panin Financial Tbk.............................. 79,117,500 1,091,611 PT Panin Insurance Tbk.............................. 6,780,000 378,212 PT Pembangunan Perumahan Persero Tbk................ 6,331,500 505,104 PT Perusahaan Perkebunan London Sumatra Indonesia Tbk............................................... 12,771,000 3,077,269 *PT Polaris Investama Tbk............................ 2,730,500 387,611 *PT Polychem Indonesia Tbk........................... 4,562,500 172,482 PT Ramayana Lestari Sentosa Tbk..................... 17,032,000 1,960,439 PT Resource Alam Indonesia Tbk...................... 2,071,000 610,974 PT Sampoerna Agro Tbk............................... 3,638,500 914,676 PT Samudera Indonesia Tbk........................... 142,500 56,723 PT Selamat Sempurna Tbk............................. 4,185,500 1,064,165 *PT Sentul City Tbk.................................. 115,702,500 2,307,096 PT Sinar Mas Agro Resources & Technology Tbk........ 1,037,460 750,527 PT Sinar Mas Multiartha Tbk......................... 3,500 1,655 PT Summarecon Agung Tbk............................. 27,073,532 4,929,473 *PT Sunson Textile Manufacturer Tbk.................. 2,325,500 47,938 *PT Surabaya Agung Industri Pulp & Kertas Tbk........ 64,500 1,690 136 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ------------ INDONESIA -- (Continued) *PT Surya Dumai Industri Tbk......................... 3,298,500 $ -- PT Surya Semesta Internusa Tbk...................... 19,654,500 2,403,443 *PT Suryainti Permata Tbk............................ 7,252,000 67,197 *PT Texmaco Jaya Tbk................................. 93,000 28,563 PT Tiga Pilar Sejahtera Food Tbk.................... 10,096,000 942,106 PT Timah Persero Tbk................................ 13,764,500 2,039,016 PT Total Bangun Persada TbK......................... 6,019,500 449,342 *PT Tower Bersama Infrastructure Tbk................. 4,208,000 2,185,668 *PT Trada Maritime Tbk............................... 32,333,513 3,186,994 PT Trias Sentosa Tbk................................ 38,725,600 1,225,734 *PT Trimegah Securities Tbk.......................... 9,741,000 119,186 *PT Truba Alam Manunggal Engineering Tbk............. 21,316,500 110,966 PT Tunas Baru Lampung Tbk........................... 9,083,500 480,022 PT Tunas Ridean Tbk................................. 13,838,000 1,293,840 PT Ultrajaya Milk Industry & Trading Co. Tbk........ 390,000 51,004 PT Unggul Indah Cahaya Tbk.......................... 48,239 10,421 PT Wijaya Karya Persero Tbk......................... 10,797,500 1,535,333 ------------ TOTAL INDONESIA........................................ 141,314,742 ------------ ISRAEL -- (0.0%) *Alony Hetz Properties & Investments, Ltd............ 1 3 Beit Shemesh Engines Holdings, Ltd.................. -- -- Delta-Galil Industries, Ltd......................... 1 7 *Electra Real Estate, Ltd............................ 1 2 *Feuchtwanger Investments, Ltd....................... 4,200 13 *Formula Systems (1985), Ltd......................... -- 3 *Formula Vision Technologies, Ltd.................... 1 -- *Jerusalem Oil Exploration, Ltd...................... -- 3 *Knafaim Holdings, Ltd............................... 19,085 56,219 *Metis Capital, Ltd.................................. 919 1,070 *Mivtach Shamir Holdings, Ltd........................ 13,006 237,207 *Naphtha Israel Petroleum Corp., Ltd................. 1 4 Osem Investments, Ltd............................... 1 10 Super-Sol, Ltd. Series B............................ -- 1 ------------ TOTAL ISRAEL........................................... 294,542 ------------ MALAYSIA -- (5.0%) *Adventa Berhad...................................... 4,600 2,864 Aeon Co. (M) Berhad................................. 1,009,700 4,133,867 Aeon Credit Service M Berhad........................ 46,800 183,296 Affin Holdings Berhad............................... 929,300 1,031,644 *Alam Maritim Resources Berhad....................... 67,200 15,939 Amway (Malaysia) Holdings Berhad.................... 396,700 1,580,802 Ann Joo Resources Berhad............................ 981,750 476,329 *Anson Perdana Berhad................................ 10,000 148 APM Automotive Holdings Berhad...................... 329,700 526,316 Asas Dunia Berhad................................... 100,400 49,622 *Benalec Holdings Berhad............................. 1,776,500 820,275 Berjaya Assets Berhad............................... 810,100 238,378 Berjaya Corp. Berhad................................ 12,830,500 2,690,490 Berjaya Land Berhad................................. 3,734,000 993,215 BIMB Holdings Berhad................................ 1,896,600 1,881,657 Bintulu Port Holdings Berhad........................ 25,900 60,204 BLD Plantation Berhad............................... 6,600 17,267 *Bolton Berhad....................................... 689,430 182,086 *Bonia Corp. Berhad.................................. 21,400 17,188 *Boustead Heavy Industries Corp. Berhad.............. 2,600 2,158 Boustead Holdings Berhad............................ 616,272 1,012,540 Bursa Malaysia Berhad............................... 2,077,000 4,293,842 Cahya Mata Sarawak Berhad........................... 859,300 938,095 Carlsberg Brewery Berhad............................ 769,300 3,306,189 137 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- MALAYSIA -- (Continued) *Carotech Berhad........................................ 230,650 $ 1,514 CB Industrial Product Holding Berhad................... 920,820 821,624 Chemical Co. of Malaysia Berhad........................ 443,200 190,165 Chin Teck Plantations Berhad........................... 33,000 97,542 CI Holdings Berhad..................................... 29,900 9,608 Coastal Contracts Berhad............................... 639,866 400,206 CSC Steel Holdings Berhad.............................. 534,600 213,893 Cycle & Carriage Bintang Berhad........................ 15,000 13,708 Daibochi Plastic & Packaging Industry Berhad........... 34,700 30,050 *Datuk Keramik Holdings Berhad.......................... 24,000 -- Dayang Enterprise Holdings Berhad...................... 835,231 621,352 Dialog Group Berhad.................................... 4,126,992 3,244,741 Dijaya Corp. Berhad.................................... 579,500 201,589 DRB-Hicom Berhad....................................... 4,781,100 3,880,149 Dutch Lady Milk Industries Berhad...................... 129,000 2,114,579 Eastern & Oriental Berhad.............................. 3,813,700 2,046,994 ECM Libra Financial Group Berhad....................... 1,372,801 400,058 Encorp Berhad.......................................... 55,200 10,405 Eng Kah Corp. Berhad................................... 21,890 26,225 Evergreen Fibreboard Berhad............................ 1,239,400 262,332 Faber Group Berhad..................................... 1,012,500 484,319 Far East Holdings Berhad............................... 61,500 146,302 *Fountain View Development Berhad....................... 808,200 -- Fraser & Neave Holdings Berhad......................... 190,500 1,237,331 George Kent (Malaysia) Berhad.......................... 34,200 10,948 Glenealy Plantations Berhad............................ 2,900 7,141 Globetronics Technology Berhad......................... 587,560 290,730 Glomac Berhad.......................................... 1,293,800 357,923 *Golden Plus Holdings Berhad............................ 216,000 74,458 Goldis Berhad.......................................... 524,250 345,654 *Guan Chong Berhad...................................... 76,500 47,664 Guinness Anchor Berhad................................. 841,900 4,583,989 GuocoLand (Malaysia) Berhad............................ 719,200 185,278 Hai-O Enterprise Berhad................................ 398,680 290,210 Hap Seng Consolidated Berhad........................... 3,960,240 2,114,803 Hap Seng Plantations Holdings Berhad................... 1,014,300 977,865 Hartalega Holdings Berhad.............................. 859,800 1,314,592 *Hiap Teck Venture Berhad............................... 220,800 36,182 *Ho Wah Genting Berhad.................................. 3,176,000 327,213 Hock Seng Lee Berhad................................... 1,070,416 554,026 Hong Leong Industries Berhad........................... 605,900 932,942 *Hovid Berhad........................................... 922,600 74,110 Hunza Properties Berhad................................ 446,200 223,695 Hwang-DBS (Malaysia) Berhad............................ 293,200 242,826 IGB Corp. Berhad....................................... 4,943,755 3,948,960 *IGB Real Estate Investment Trust....................... 1,240,638 537,637 IJM Land Berhad........................................ 2,136,700 1,542,738 IJM Plantations Berhad................................. 1,533,300 1,573,428 *Inch Kenneth Kajang Rubber Berhad...................... 252,900 60,835 *Insas Berhad........................................... 1,724,481 226,182 Integrated Logistics Berhad............................ 260,515 78,500 Integrax Berhad........................................ 36,600 16,681 *Iris Corp. Berhad...................................... 3,556,800 203,407 *Jaks Resources Berhad.................................. 1,842,000 222,869 Jaya Tiasa Holdings Berhad............................. 1,561,527 1,177,241 *JCY International Berhad............................... 2,789,700 684,449 JobStreet Corp. Berhad................................. 26,700 18,849 JT International Berhad................................ 554,100 1,235,751 K & N Kenanga Holdings Berhad.......................... 898,100 197,446 *Karambunai Corp. Berhad................................ 4,654,100 181,880 Keck Seng (Malaysia) Berhad............................ 828,150 1,067,821 138 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- MALAYSIA -- (Continued) *KFC Holdings (Malaysia) Berhad......................... 2,239,200 $2,860,980 Kian Joo Can Factory Berhad............................ 1,305,480 1,014,161 Kim Loong Resources Berhad............................. 284,960 211,195 *Kinsteel Berhad........................................ 1,838,700 237,819 KLCC Property Holdings Berhad.......................... 926,400 1,804,626 *KNM Group Berhad....................................... 4,458,150 780,660 Kossan Rubber Industries Berhad........................ 863,700 864,363 KPJ Healthcare Berhad.................................. 2,493,850 4,934,436 KrisAssets Holdings Berhad............................. 323,363 293,614 *KSK Group Berhad....................................... 3,263,700 731,429 *KSL Holdings Berhad.................................... 730,166 340,537 *KUB (Malaysia) Berhad.................................. 1,353,500 216,995 Kulim (Malaysia) Berhad................................ 960,700 1,577,380 *Kumpulan Europlus Berhad............................... 1,280,200 440,386 *Kumpulan Fima Berhad................................... 587,450 373,593 Kumpulan Perangsang Selangor Berhad.................... 597,200 189,784 Kwantas Corp. Berhad................................... 390,200 254,231 *Land & General Berhad.................................. 2,455,000 368,322 *Landmarks Berhad....................................... 983,200 304,551 Latexx Partners Berhad................................. 687,600 513,880 LBS Bina Group Berhad.................................. 1,041,200 297,071 Lingkaran Trans Kota Holdings Berhad................... 915,600 1,177,174 Lingui Development Berhad.............................. 266,600 142,584 *Lion Corp. Berhad...................................... 535,800 49,971 Lion Industries Corp. Berhad........................... 2,379,000 826,423 LPI Capital Berhad..................................... 82,980 382,270 Mah Sing Group Berhad.................................. 1,906,840 1,403,046 Malayan Flour Mills Berhad............................. 1,205,250 541,170 Malaysia Building Society Berhad....................... 1,463,200 1,125,109 *Malaysian Airlines System Berhad....................... 4,794,600 1,616,480 Malaysian Bulk Carriers Berhad......................... 1,419,100 674,309 Malaysian Pacific Industries Berhad.................... 364,713 315,969 Malaysian Resources Corp. Berhad....................... 7,860,749 4,522,320 *Mancon Berhad.......................................... 12,000 3,427 Marco Holdings Berhad.................................. 1,304,500 66,113 *Masterskill Education Group Berhad..................... 123,600 29,425 MBM Resources Berhad................................... 781,196 870,820 *Media Chinese International, Ltd....................... 995,000 537,528 Media Prima Berhad..................................... 4,137,403 3,092,841 Mega First Corp. Berhad................................ 404,800 219,100 *MEMS Technology Berhad................................. 1,917,000 37,761 *MHC Plantations Berhad................................. 22,300 7,827 *MK Land Holdings Berhad................................ 775,500 94,729 MKH Berhad............................................. 655,392 503,959 *MNRB Holdings Berhad................................... 646,200 613,205 Mudajaya Group Berhad.................................. 922,766 807,377 Muhibbah Engineering Berhad............................ 1,608,350 487,055 *Mulpha International Berhad............................ 7,825,300 1,050,990 *Multi-Purpose Holdings Berhad.......................... 297,100 353,471 My EG Services Berhad.................................. 1,619,100 413,564 Naim Holdings Berhad................................... 691,100 450,554 NCB Holdings Berhad.................................... 1,147,200 1,658,579 *Nikko Electronics Berhad............................... 36,600 120 Notion VTEC Berhad..................................... 688,216 232,245 NTPM Holdings Berhad................................... 1,203,180 173,789 *Nylex (Malaysia) Berhad................................ 390,457 68,541 Oriental Holdings Berhad............................... 204,200 522,167 OSK Holdings Berhad.................................... 2,213,270 1,059,168 P.I.E. Industrial Berhad............................... 140,100 203,798 Padini Holdings Berhad................................. 2,134,000 1,432,905 Panasonic Manufacturing (Malaysia) Berhad.............. 157,184 1,134,196 139 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- MALAYSIA -- (Continued) *Panglobal Berhad....................................... 14,000 $ 8,687 Paramount Corp. Berhad................................. 291,300 144,174 PBA Holdings Berhad.................................... 274,100 80,993 Pelikan International Corp. Berhad..................... 768,519 188,739 *Perdana Petroleum Berhad............................... 1,534,600 484,635 *Perisai Petroleum Teknologi Berhad..................... 2,323,100 783,100 Perusahaan Sadur Timah Malaysia (Perstima) Berhad...... 5,000 5,249 PJ Development Holdings Berhad......................... 1,247,700 329,208 POS (Malaysia) Berhad.................................. 1,697,600 1,679,724 Press Metal Berhad..................................... 928,900 529,835 *Prime Utilities Berhad................................. 3,000 89 Protasco Berhad........................................ 575,600 173,637 *Puncak Niaga Holding Berhad............................ 744,520 323,812 QL Resources Berhad.................................... 1,905,520 1,980,412 *QSR Brands Berhad...................................... 148,433 320,200 RCE Capital Berhad..................................... 1,535,850 155,898 *Rimbunan Sawit Berhad.................................. 1,151,400 354,293 Salcon Berhad.......................................... 749,400 108,132 *Sapurakencana Petroleum Berhad......................... 3,394,424 2,788,923 Sarawak Oil Palms Berhad............................... 279,360 571,000 Sarawak Plantation Berhad.............................. 106,600 91,214 Scientex Berhad........................................ 280,762 295,517 *Scomi Group Berhad..................................... 5,612,000 752,310 Selangor Dredging Berhad............................... 1,118,200 280,202 Selangor Properties Berhad............................. 141,900 162,466 Shangri-La Hotels (Malaysia) Berhad.................... 240,000 333,421 Shell Refining Co. Federation of Malaysia Berhad....... 7,900 22,801 SHL Consolidated Berhad................................ 277,400 104,784 Southern Acids (Malaysia) Berhad....................... 41,000 32,892 *SPK Sentosa Corp. Berhad............................... 130,200 12,396 *SRI Hartemas Berhad.................................... 65,000 -- Star Publications (Malaysia) Berhad.................... 712,900 732,365 Subur Tiasa Holdings Berhad............................ 386,085 286,831 *Sunway Berhad.......................................... 2,682,570 2,072,667 Supermax Corp. Berhad.................................. 2,989,400 1,978,238 Suria Capital Holdings Berhad.......................... 672,800 319,986 Ta Ann Holdings Berhad................................. 886,608 1,104,515 TA Enterprise Berhad................................... 5,362,200 895,573 TA Global Berhad....................................... 3,284,040 274,255 TAHPS Group Berhad..................................... 4,000 7,157 Tan Chong Motor Holdings Berhad........................ 1,383,200 2,009,816 Tasek Corp. Berhad..................................... 58,200 263,210 TDM Berhad............................................. 483,800 561,573 *TH Heavy Engineering Berhad............................ 2,725,000 526,184 TH Plantations Berhad.................................. 1,087,500 823,463 Three-A Resources Berhad............................... 11,100 4,257 *Time Dotcom Berhad..................................... 1,821,888 2,087,921 Time Engineering Berhad................................ 1,664,600 168,872 Top Glove Corp. Berhad................................. 1,963,660 3,443,986 Tradewinds (Malaysia) Berhad........................... 508,100 1,221,504 Tradewinds Corp. Berhad................................ 725,000 241,884 Tradewinds Plantation Berhad........................... 318,700 446,739 TRC Synergy Berhad..................................... 155,520 30,305 TSH Resources Berhad................................... 1,490,700 1,162,951 Uchi Technologies Berhad............................... 889,900 338,581 Unico-Desa Plantations Berhad.......................... 1,853,775 772,095 Unisem (Malaysia) Berhad............................... 2,627,090 875,311 United Malacca Berhad.................................. 391,050 918,704 United Plantations Berhad.............................. 508,900 4,203,840 *UOA Development Berhad................................. 877,000 485,807 VS Industry Berhad..................................... 344,026 169,144 140 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ------------ MALAYSIA -- (Continued) Wah Seong Corp. Berhad............................... 1,732,993 $ 993,709 WCT Berhad........................................... 2,987,300 2,701,264 *Wellcall Holdings Berhad............................. 18,000 14,220 Wing Tai (Malaysia) Berhad........................... 551,500 327,561 WTK Holdings Berhad.................................. 1,574,800 541,214 Yeo Hiap Seng (Malaysia) Berhad...................... 164,560 191,688 YNH Property Berhad.................................. 918,198 573,348 YTL e-Solutions Berhad............................... 3,485,600 834,548 *YTL Land & Development Berhad........................ 1,050,700 333,482 Zhulian Corp Berhad.................................. 443,033 377,865 ------------ TOTAL MALAYSIA.......................................... 162,803,488 ------------ MEXICO -- (3.1%) #*Alsea S.A.B. de C.V.................................. 2,300,186 3,694,281 #Arca Continental S.A.B. de C.V....................... 1,556,394 11,291,999 #*Axtel S.A.B. de C.V.................................. 4,137,360 922,643 *Banregio Grupo Financiero S.A.B. de C.V.............. 171,188 679,706 *Bio Pappel S.A.B. de C.V............................. 87,067 85,046 Bolsa Mexicana de Valores S.A. de C.V................ 1,947,055 4,312,250 #Cia Minera Autlan S.A.B. de C.V. Series B............ 402,599 398,479 #Compartamos S.A.B. de C.V............................ 3,957,362 5,295,019 #*Consorcio ARA S.A.B. de C.V. Series *................ 4,323,189 1,356,981 *Consorcio Hogar S.A.B. de C.V. Series B.............. 50,193 10,733 *Corporacion GEO S.A.B. de C.V. Series B.............. 2,649,410 3,180,749 *Corporacion Interamericana de Entramiento S.A.B. de C.V. Series B....................................... 960,372 484,073 *Corporacion Mexicana de Restaurantes S.A.B. de C.V. Series B............................................ 1,323 328 Corporacion Moctezuma S.A.B. de C.V. Series *........ 858,200 1,972,798 Corporativo Fragua S.A.B. de C.V..................... 3 47 *Corporativo GBM S.A.B. de C.V........................ 26,419 13,316 #*Desarrolladora Homex S.A.B. de C.V................... 1,235,743 2,730,262 #*Desarrolladora Homex S.A.B. de C.V. ADR.............. 38,266 507,024 *Empaques Ponderosa S.A. de C.V. Series B............. 206,000 14,159 #*Empresas ICA S.A.B. de C.V........................... 1,729,536 3,718,225 #*Empresas ICA S.A.B. de C.V. Sponsored ADR............ 626,760 5,415,206 #*Financiera Independencia S.A.B. de C.V............... 215,935 66,624 #*Genomma Lab Internacional S.A.B. de C.V. Series B.... 4,371,954 8,714,526 #*Gruma S.A.B. de C.V. ADR............................. 33,070 383,612 *Gruma S.A.B. de C.V. Series B........................ 1,253,434 3,647,154 #*Grupo Aeromexico S.A.B. de C.V....................... 274,987 429,680 Grupo Aeroportuario del Centro Norte S.A.B. de C.V... 491,270 1,167,957 Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR................................................ 3,642 70,181 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR.. 11,942 568,678 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Series B........................................... 624,635 2,998,191 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR... 16,100 1,554,777 Grupo Aeroportuario del Sureste S.A.B. de C.V. Series B........................................... 234,096 2,270,520 *Grupo Cementos de Chihuahua S.A.B. de C.V............ 822,000 2,780,386 #*Grupo Famsa S.A.B. de C.V. Series A.................. 1,085,351 1,284,782 Grupo Herdez S.A.B. de C.V. Series *................. 809,116 2,193,029 Grupo Industrial Maseca S.A.B. de C.V. Series B...... 578,600 695,522 Grupo Industrial Saltillo S.A.B. de C.V.............. 165,733 296,811 Grupo Kuo S.A.B. de C.V. Series B.................... 297,061 626,610 Grupo Nutrisa S.A.B. de C.V.......................... 88 477 *Grupo Pochteca S.A.B. de C.V......................... 1,119,594 386,480 *Grupo Posadas S.A.B. de C.V. Series L................ 198,900 240,005 *Grupo Qumma S.A. de C.V. Series B.................... 105,334 1,448 #*Grupo Simec S.A. de C.V. Series B.................... 597,774 2,388,083 *Grupo Simec S.A. de C.V. Sponsored ADR............... 4,051 49,179 *Grupo Sports World S.A.B. de C.V..................... 13,430 15,528 #Industrias Bachoco S.A.B. de C.V. Series B........... 258,048 545,105 Industrias Bachoco S.A.B. de C.V. Sponsored ADR...... 6,571 165,918 *Industrias CH S.A.B. de C.V. Series B................ 1,217,718 7,066,931 141 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ----------- ------------ MEXICO -- (Continued) *Inmuebles Carso S.A.B. de C.V. Series B-1.......... 340,447 $ 264,422 *Megacable Holdings S.A.B. de C.V................... 173,130 440,295 #*OHL Mexico S.A.B. de C.V........................... 817,889 1,361,691 *Promotora y Operadora de Infraestructura S.A.B. de C.V............................................... 838,891 4,356,544 *Qualitas Controladora S.A.B. de C.V................ 12,200 18,169 *Sanluis Rassini S.A.P.I. de C.V. Series A.......... 3,300 -- *Sanluis Rassini S.A.P.I. de C.V. Series B.......... 4,642 -- *Sanluis Rassini S.A.P.I. de C.V. Series C.......... 4,642 -- *Savia S.A. de C.V. Series A........................ 610,700 37,312 TV Azteca S.A.B. de C.V............................ 6,952,715 4,359,385 *Urbi Desarrollos Urbanos S.A.B. de C.V............. 2,371,991 1,480,004 *Vitro S.A.B. de C.V. Series A...................... 736,702 1,068,426 ------------ TOTAL MEXICO.......................................... 100,077,766 ------------ PHILIPPINES -- (1.8%) A. Soriano Corp.................................... 3,430,211 412,708 Aboitiz Equity Ventures, Inc....................... 1,737,030 2,032,744 Alsons Consolidated Resources, Inc................. 3,263,000 111,720 *Atlas Consolidated Mining & Development............ 2,598,700 1,120,528 *Belle Corp......................................... 16,036,900 2,089,164 *Cebu Air, Inc...................................... 799,120 1,109,509 Cebu Holdings, Inc................................. 3,291,900 393,128 China Banking Corp................................. 323,270 414,815 EEI Corp........................................... 532,300 114,937 *Empire East Land Holdings, Inc..................... 13,528,000 324,941 Filinvest Development Corp......................... 13,970,922 1,521,329 Filinvest Land, Inc................................ 72,127,577 2,553,026 *First Gen Corp..................................... 4,412,400 2,392,685 First Philippines Holdings Corp.................... 1,527,600 3,202,184 Ginebra San Miguel, Inc............................ 999,000 437,645 *Global Estate Resorts, Inc......................... 7,760,000 357,954 House of Investments, Inc.......................... 100,000 14,105 International Container Terminal Services, Inc..... 717,048 1,234,376 Jollibee Foods Corp................................ 913,448 2,343,828 *Lepanto Consolidated Mining Co. Series B........... 22,365,000 645,109 Lopez Holdings Corp................................ 8,021,700 1,060,746 Macroasia Corp..................................... 447,500 29,769 *Manila Mining Corp. Series B....................... 144,762,500 214,029 Manila Water Co., Inc.............................. 2,838,200 1,997,199 Megaworld Corp..................................... 42,309,000 2,510,293 *Metro Pacific Corp. Series A....................... 1,827,193 92,258 Metro Pacific Investments Corp..................... 22,626,000 2,270,330 *Pepsi-Cola Products Philippines, Inc............... 4,387,000 574,878 *Philex Petroleum Corp.............................. 179,700 111,107 *Philippine Bank of Communications.................. 14,726 26,943 *Philippine National Bank........................... 1,243,335 2,173,515 *Philippine National Construction Corp.............. 173,000 20,578 Philippine Savings Bank............................ 356,863 744,908 Philippine Stock Exchange, Inc..................... 79,730 715,992 *Philippine Townships, Inc.......................... 318,732 36,751 Philodrill Corp.................................... 220,000,000 224,213 *Philtown Properties, Inc........................... 111,562 4,171 PhilWeb Corp....................................... 1,898,640 644,835 Phinma Corp........................................ 135,549 35,137 RFM Corp........................................... 8,590,268 844,211 Rizal Commercial Banking Corp...................... 1,126,100 1,253,837 Robinson's Land Corp. Series B..................... 7,630,305 3,518,446 Security Bank Corp................................. 984,610 3,865,737 *Semirara Mining Corp............................... 312,750 1,661,821 Shang Properties, Inc.............................. 1,759,970 117,768 SM Development Corp................................ 17,568,317 2,658,927 142 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ----------- PHILIPPINES -- (Continued) *Southeast Asia Cement Holdings, Inc.................. 8,621,000 $ 537,047 Union Bank of Philippines............................ 581,230 1,510,412 *Universal Rightfield Property Holdings, Inc.......... 1,062,000 722 Universal Robina Corp................................ 2,100,475 3,663,069 Vista Land & Lifescapes, Inc......................... 13,556,000 1,578,335 *Yehey! Corp.......................................... 29,670 -- ----------- TOTAL PHILIPPINES....................................... 57,524,419 ----------- POLAND -- (1.5%) Agora SA............................................. 207,049 551,090 *Alchemia SA.......................................... 261,604 422,556 *AmRest Holdings SE................................... 48,333 1,192,257 Apator SA............................................ 38,625 359,693 Asseco Poland SA..................................... 379,007 4,748,949 *ATM SA............................................... 57,593 150,160 ATM Systemy Informatyczne SA......................... 49,983 17,456 *Bioton SA............................................ 10,026,087 282,633 *Boryszew SA.......................................... 8,149,922 1,352,937 Budimex SA........................................... 53,091 901,594 *CD Projekt Red SA.................................... 477,157 789,299 *Ciech SA............................................. 176,603 1,176,460 *Cinema City International NV......................... 41,638 399,019 *City Interactive SA.................................. 25,647 181,539 ComArch SA........................................... 1,416 31,514 Debica SA............................................ 29,862 476,879 Dom Development SA................................... 4,673 42,737 *Dom Maklerski IDM SA................................. 37,181 2,335 Elektrobudowa SA..................................... 8,568 293,500 Emperia Holding SA................................... 49,051 829,914 Eurocash SA.......................................... 223,804 2,746,082 Fabryki Mebli Forte SA............................... 48,823 173,087 *Famur SA............................................. 220,704 326,704 *Farmacol SA.......................................... 50,868 432,397 *Getin Holding SA..................................... 1,499,933 1,082,113 Grupa Kety SA........................................ 39,026 1,580,982 *Grupa Lotos SA....................................... 341,609 3,609,524 *Hawe SA.............................................. 267,688 345,573 *Impexmetal SA........................................ 515,799 586,055 Inter Cars SA........................................ 14,871 415,339 Koelner SA........................................... 800 2,273 *Kopex SA............................................. 133,380 810,106 *Kredyt Bank SA....................................... 177,872 864,695 *LC Corp. SA.......................................... 9,839 3,539 LPP SA............................................... 2,011 2,485,825 Lubelski Wegiel Bogdanka SA.......................... 137,714 5,185,313 *MCI Management SA.................................... 30,766 45,812 *MNI SA............................................... 37,046 17,976 *Mostostal Warszawa SA................................ 37,200 151,927 *Netia SA............................................. 1,355,780 2,467,755 NG2 SA............................................... 56,591 1,040,741 Orbis SA............................................. 130,535 1,456,603 Pelion SA............................................ 36,136 296,290 *Pfleiderer Grajewo SA................................ 22,957 80,398 *Pol-Aqua SA.......................................... 1,485 1,734 *Polimex-Mostostal SA................................. 2,699,832 475,671 *Polnord SA........................................... 70,941 276,528 *Polski Koncern Miesny Duda SA........................ 719,202 92,659 *PZ Cormay SA......................................... 93,401 348,533 *Qumak-Sekom SA....................................... 894 2,600 *Raciborska Fabryka Kotlow SA......................... 234,071 640,119 *Rovese SA............................................ 491,968 370,508 143 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ----------- POLAND -- (Continued) *Stalexport SA........................................ 109,683 $ 38,858 *Stalprodukt SA....................................... 8,713 502,893 *Sygnity SA........................................... 46,479 174,035 Synthos SA........................................... 898,855 1,498,884 TVN SA............................................... 716,211 1,570,061 Warsaw Stock Exchange SA............................. 88,374 1,038,829 Zaklady Azotowe Pulawy SA............................ 26,539 993,249 *Zaklady Azotowe w Tarnowie-Moscicach SA.............. 2,314 34,910 *Zaklady Chemiczne Police SA.......................... 21,364 72,612 *Zaklady Lentex SA.................................... 121,070 182,479 Zaklady Tluszcowe Kruszwica SA....................... 4,938 40,360 Zelmer SA............................................ 4,811 47,214 ----------- TOTAL POLAND............................................ 48,812,366 ----------- SOUTH AFRICA -- (7.9%) Acucap Properties, Ltd............................... 184,773 947,411 Adcock Ingram Holdings, Ltd.......................... 846,657 5,635,190 Adcorp Holdings, Ltd................................. 275,666 960,064 Advtech, Ltd......................................... 1,408,898 921,258 AECI, Ltd............................................ 547,971 4,647,917 Afgri, Ltd........................................... 1,287,216 777,483 African Oxygen, Ltd.................................. 787,278 1,770,461 *AG Industries, Ltd................................... 32,496,618 74,958 Allied Electronics Corp., Ltd........................ 192,133 482,882 Allied Technologies, Ltd............................. 194,422 898,549 *ArcelorMittal South Africa, Ltd...................... 132,917 512,413 Argent Industrial, Ltd............................... 37,236 25,829 #Astral Foods, Ltd.................................... 192,472 2,127,131 Aveng, Ltd........................................... 2,057,732 7,365,511 AVI, Ltd............................................. 1,505,301 9,947,350 Barloworld, Ltd...................................... 854,276 6,922,746 *Basil Read Holdings, Ltd............................. 225,857 256,515 *Bell Equipment, Ltd.................................. 158,539 365,606 Blue Label Telecoms, Ltd............................. 1,705,489 1,334,277 Brait SE............................................. 647,373 2,544,170 Business Connexion Group, Ltd........................ 1,436,866 811,955 #Capitec Bank Holdings, Ltd........................... 163,600 3,635,373 Cashbuild, Ltd....................................... 116,121 2,007,694 Caxton & CTP Publishers & Printers, Ltd.............. 36,508 69,627 Ceramic Industries, Ltd.............................. 31,493 453,944 Cipla Medpro South Africa, Ltd....................... 2,107,539 1,826,438 City Lodge Hotels, Ltd............................... 192,784 2,048,194 Clicks Group, Ltd.................................... 1,482,749 10,352,580 *Clover Industries, Ltd............................... 223,275 364,498 *Consolidated Infrastructure Group, Ltd............... 20,853 31,683 Coronation Fund Managers, Ltd........................ 1,261,015 4,878,212 *Corpgro, Ltd......................................... 241,136 -- Cullinan Holdings, Ltd............................... 434,430 55,089 Datacentrix Holdings, Ltd............................ 642,400 306,092 DataTec, Ltd......................................... 975,763 6,065,177 Delta EMD, Ltd....................................... 61,447 40,510 Distell Group, Ltd................................... 283,884 3,146,214 *Distribution & Warehousing Network, Ltd.............. 258,997 187,283 *Dorbyl, Ltd.......................................... 179,838 14,585 #DRDGOLD, Ltd......................................... 2,010,416 1,437,040 ElementOne, Ltd...................................... 325,845 365,562 EOH Holdings, Ltd.................................... 448,755 1,913,002 Eqstra Holdings, Ltd................................. 943,105 710,551 *Evraz Highveld Steel & Vanadium, Ltd................. 147,791 288,405 Famous Brands, Ltd................................... 210,023 1,704,942 *Gijima Group, Ltd.................................... 2,803,267 125,658 144 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ----------- SOUTH AFRICA -- (Continued) Grindrod, Ltd......................................... 2,313,541 $ 3,947,209 Group Five, Ltd....................................... 494,537 1,415,785 *Holdsport, Ltd........................................ 23,475 121,839 Hudaco Industries, Ltd................................ 189,971 2,367,073 *Hulamin, Ltd.......................................... 328,014 129,636 Iliad Africa, Ltd..................................... 300,748 169,377 Illovo Sugar, Ltd..................................... 1,322,089 4,826,097 *JCI, Ltd.............................................. 3,131,151 -- #JD Group, Ltd......................................... 983,807 5,252,231 JSE, Ltd.............................................. 471,088 3,815,821 Kagiso Media, Ltd..................................... 116,149 268,282 *Kap International Holdings, Ltd....................... 1,870,705 679,077 Lewis Group, Ltd...................................... 525,698 4,179,248 *Litha Healthcare Group, Ltd........................... 46,892 23,275 Mediclinic International, Ltd......................... 658,182 3,561,798 *Merafe Resources, Ltd................................. 6,009,510 479,979 Metair Investments, Ltd............................... 489,998 1,725,044 Mpact, Ltd............................................ 208,559 450,799 Mr. Price Group, Ltd.................................. 506,742 7,804,688 *Murray & Roberts Holdings, Ltd........................ 2,783,531 6,981,927 *Mustek, Ltd........................................... 784,364 516,906 *Mvelaphanda Group, Ltd................................ 607,754 146,777 Mvelaserve, Ltd....................................... 144,333 144,375 Nampak, Ltd........................................... 3,859,288 12,860,050 Network Healthcare Holdings, Ltd...................... 1,145,560 2,368,201 Northam Platinum, Ltd................................. 1,136,248 4,262,733 Nu-World Holdings, Ltd................................ 28,894 62,169 Oceana Group, Ltd..................................... 236,995 1,637,382 *Octodec Investments, Ltd.............................. 4,248 8,900 Omnia Holdings, Ltd................................... 227,872 3,362,270 Palabora Mining Co., Ltd.............................. 84,457 828,450 Peregrine Holdings, Ltd............................... 614,892 773,635 Petmin, Ltd........................................... 1,215,428 301,364 Pinnacle Technology Holdings, Ltd..................... 732,843 1,436,837 #Pioneer Foods, Ltd.................................... 371,877 2,380,275 PPC, Ltd.............................................. 3,061,791 10,222,236 Premium Properties, Ltd............................... 34,094 64,826 PSG Group, Ltd........................................ 742,484 5,416,228 Rainbow Chicken, Ltd.................................. 128,455 191,189 Raubex Group, Ltd..................................... 449,552 864,223 Resilient Property Income Fund, Ltd................... 1,102,911 5,787,791 Reunert, Ltd.......................................... 945,660 8,334,441 *Royal Bafokeng Platinum, Ltd.......................... 146,719 942,933 *Santam, Ltd........................................... 126,274 2,626,188 *Sappi, Ltd............................................ 2,855,413 8,098,615 *Sentula Mining, Ltd................................... 1,367,857 267,362 Spar Group, Ltd. (The)................................ 622,477 8,691,302 Spur Corp., Ltd....................................... 472,394 1,197,562 Stefanutti Stocks Holdings, Ltd....................... 432,875 502,162 Sun International, Ltd................................ 474,631 5,295,679 *Super Group, Ltd...................................... 1,776,232 3,170,069 *Telkom South Africa, Ltd.............................. 1,194,450 2,519,728 *Times Media Group, Ltd................................ 85,496 135,285 Tongaat-Hulett, Ltd................................... 629,016 9,888,343 *Trans Hex Group, Ltd.................................. 91,401 33,280 Trencor, Ltd.......................................... 807,295 5,128,300 Tsogo Sun Holdings, Ltd............................... 57,655 153,267 Value Group, Ltd...................................... 363,719 218,144 Village Main Reef, Ltd................................ 163,218 23,067 Vukile Property Fund, Ltd............................. 85,171 167,144 *Wesizwe Platinum, Ltd................................. 188,468 13,841 145 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ------------ SOUTH AFRICA -- (Continued) Wilson Bayly Holme-Ovcon, Ltd........................ 304,606 $ 4,979,152 Woolworths Holdings, Ltd............................. 2,818 21,281 Zeder Investments, Ltd............................... 1,791,947 599,265 ------------ TOTAL SOUTH AFRICA...................................... 256,200,441 ------------ SOUTH KOREA -- (13.8%) #*3S Korea Co., Ltd.................................... 133,782 1,105,928 #*Actoz Soft Co., Ltd.................................. 8,832 300,088 *Aekyung Petrochemical Co., Ltd....................... 5,759 312,078 #*Agabang&Company...................................... 89,798 768,570 #*Ahnlab, Inc.......................................... 17,412 994,004 AK Holdings, Inc..................................... 10,238 209,798 #Amorepacific Group................................... 10,111 4,358,324 *Anapass, Inc......................................... 11,555 113,122 #Asia Cement Co., Ltd................................. 11,586 610,099 #*Asia Pacific Systems, Inc............................ 79,193 486,711 Asia Paper Manufacturing Co., Ltd.................... 8,190 103,191 *Asiana Airlines, Inc................................. 422,920 2,440,281 #*AtlasBX Co., Ltd..................................... 19,328 599,355 #*AUK Corp............................................. 199,140 387,714 *Autech Corp.......................................... 13,000 85,156 #*Basic House Co., Ltd. (The).......................... 35,470 381,948 *BH Co., Ltd.......................................... 22,530 167,668 #*BHI Co., Ltd......................................... 21,588 489,140 Binggrae Co., Ltd.................................... 22,631 2,459,789 #*Bioland, Ltd......................................... 23,325 367,027 *Biotoxtech Co., Ltd.................................. 3,121 15,104 *Bongshin Co., Ltd.................................... 64 54 Bookook Securities Co., Ltd.......................... 7,410 119,278 *Boryung Medience Co., Ltd............................ 6,228 67,144 #Boryung Pharmaceutical Co., Ltd...................... 12,336 280,817 #*Brain Technology Industries Co., Ltd................. 164,680 427,703 BS Financial Group, Inc.............................. 572,470 6,479,633 #Bu Kwang Pharmaceutical Co., Ltd..................... 69,715 1,064,342 BYC Co., Ltd......................................... 710 120,521 #*Byucksan Corp........................................ 97,000 184,199 #Capro Corp........................................... 112,810 1,334,728 *Celltrion Pharm, Inc................................. 10,537 166,940 #*Chabio & Diostech Co., Ltd........................... 148,781 1,121,462 Charm Engineering Co., Ltd........................... 42,800 75,280 #*Cheil Worldwide, Inc................................. 380,705 7,332,746 *Chemtronics Co., Ltd................................. 8,959 111,565 #*Chin Hung International, Inc......................... 465,277 275,648 *China Great Star International, Ltd.................. 70,146 96,404 #China Ocean Resources Co., Ltd....................... 174,610 616,933 *Choa Pharmaceutical Co............................... 47,413 205,378 #Chong Kun Dang Pharmaceutical Corp................... 47,332 1,505,004 #*Choong Ang Vaccine Laboratory........................ 4,530 55,431 Chosun Refractories Co., Ltd......................... 2,777 161,180 #CJ CGV Co., Ltd...................................... 51,840 1,605,409 CJ Corp.............................................. 63,673 6,210,345 *CJ E&M Corp.......................................... 59,550 1,601,303 *CJ Korea Express Co., Ltd............................ 28,793 2,996,229 #*CJ Seafood Corp...................................... 60,610 171,991 #*CNK International Co., Ltd........................... 41,424 218,137 Cosmax, Inc.......................................... 45,880 2,046,297 #*CosmoAM&T Co., Ltd................................... 20,020 86,360 #*Cosmochemical Co., Ltd............................... 42,160 370,648 *Credu Corp........................................... 2,387 100,659 Crown Confectionery Co., Ltd......................... 2,794 489,137 #*CrucialTec Co., Ltd.................................. 68,719 531,598 146 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #*CTC BIO, Inc............................................. 29,932 $ 747,446 Dae Dong Industrial Co., Ltd............................. 31,970 180,106 #Dae Han Flour Mills Co., Ltd............................. 4,399 504,161 *Dae Ho Corp.............................................. 543 65 Dae Won Kang Up Co., Ltd................................. 104,164 725,474 *Dae Young Packaging Co., Ltd............................. 168,970 144,031 *Daechang Co., Ltd........................................ 256,350 293,639 #Daeduck Electronics Co., Ltd............................. 137,537 1,162,333 #Daeduck GDS Co., Ltd..................................... 86,996 948,420 #Daegu Department Store Co., Ltd.......................... 31,060 387,358 #Daehan Steel Co., Ltd.................................... 49,990 416,084 *Daehwa Pharmaceutical Co., Ltd........................... 10,568 102,535 #*Dae-Il Corp.............................................. 45,790 176,249 Daekyo Co., Ltd.......................................... 72,780 401,592 #*Daekyung Machinery & Engineering Co., Ltd................ 67,570 123,284 Daelim Trading Co., Ltd.................................. 17,730 67,585 Daesang Corp............................................. 92,810 2,249,913 Daesang Holdings Co., Ltd................................ 49,362 266,430 Daesung Group Partners Co., Ltd.......................... 1,411 48,093 Daesung Holdings Co., Ltd................................ 18,044 115,231 *Daesung Industrial Co., Ltd.............................. 6,113 101,278 *Daewon Pharmaceutical Co., Ltd........................... 16,360 162,594 Daewoong Co., Ltd........................................ 4,772 91,566 #*Daewoong Pharmaceutical Co., Ltd......................... 18,306 808,956 Dahaam E-Tec Co., Ltd.................................... 2,100 34,245 Daishin Securities Co., Ltd.............................. 188,700 1,503,001 *Daou Data Corp........................................... 28,962 95,667 #Daou Technology, Inc..................................... 167,950 2,384,762 *Dasan Networks, Inc...................................... 38,476 172,370 #*Daum Communications Corp................................. 49,343 4,236,982 #*Dayou Automotive Seat Technology Co., Ltd................ 210,330 332,347 DGB Financial Group, Inc................................. 528,843 6,682,580 #Digital Power Communications Co., Ltd.................... 50,540 126,825 #*Digitech Systems Co., Ltd................................ 56,422 601,169 *DIO Corp................................................. 27,788 303,327 Dong Ah Tire & Rubber Co., Ltd........................... 23,935 337,135 #*Dong Yang Gang Chul Co., Ltd............................. 135,820 274,490 #Dong-A Pharmaceutical Co., Ltd........................... 31,865 3,305,469 *Dong-Ah Geological Engineering Co., Ltd.................. 20,410 169,518 #Dongaone Co., Ltd........................................ 97,470 274,462 Dongbang Agro Co., Ltd................................... 19,470 114,782 Dongbang Transport Logistics Co., Ltd.................... 84,660 307,041 #*Dongbu Corp.............................................. 35,710 111,331 #*Dongbu HiTek Co., Ltd.................................... 118,433 734,494 Dongbu Insurance Co., Ltd................................ 26,510 1,201,269 Dongbu Securities Co., Ltd............................... 105,161 327,806 #*Dongbu Steel Co., Ltd.................................... 108,016 358,904 Dong-Il Corp............................................. 3,283 130,072 Dongil Industries Co., Ltd............................... 4,963 220,814 #*Dongjin Semichem Co., Ltd................................ 54,706 219,613 *Dongkook Industrial Co., Ltd............................. 1,110 2,906 #Dongkuk Steel Mill Co., Ltd.............................. 173,430 2,223,344 *Dongkuk Structure & Construction Co., Ltd................ 13,681 27,765 #*Dongsung Holdings Co., Ltd............................... 71,860 393,599 *Dongsung Pharmaceutical Co., Ltd......................... 27,780 121,908 #Dongwha Pharm Co., Ltd................................... 80,200 477,254 #Dongwon F&B Co., Ltd..................................... 5,751 371,575 Dongwon Industries Co., Ltd.............................. 4,660 1,217,222 *Dongwon Systems Corp..................................... 115,137 109,704 #Dongyang Mechatronics Corp............................... 104,961 883,581 #*Doosan Engineering & Construction Co., Ltd............... 130,020 280,201 147 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #*Dragonfly GF Co., Ltd.................................... 18,566 $ 278,388 #DRB Holding Co., Ltd..................................... 28,692 152,727 #*DRB Industrial Co., Ltd.................................. 24,966 180,847 #*Duksan Hi-Metal Co., Ltd................................. 57,500 1,074,544 #*DuzonBIzon Co., Ltd...................................... 88,310 890,208 #E1 Corp.................................................. 11,522 655,819 *Eagon Industrial Co., Ltd................................ 530 3,053 *Easy Bio, Inc............................................ 95,290 292,718 *EG Corp.................................................. 11,853 431,158 *e-LITECOM Co., Ltd....................................... 9,681 133,070 #*ELK Corp................................................. 43,460 946,779 *ENF Technology Co., Ltd.................................. 23,120 293,545 *Estechpharma Co., Ltd.................................... 18,250 331,925 *ESTsoft Corp............................................. 2,881 71,868 *Eugene Corp.............................................. 165,308 468,632 *Eugene Investment & Securities Co., Ltd.................. 218,823 501,469 #*Eugene Technology Co., Ltd............................... 55,014 690,001 F&F Co., Ltd............................................. 2,620 14,658 #Fila Korea, Ltd.......................................... 37,181 2,096,426 *Finetex EnE, Inc......................................... 7,215 16,006 *Firstec Co., Ltd......................................... 39,730 68,818 *Flexcom, Inc............................................. 19,256 223,966 #*Foosung Co., Ltd......................................... 276,549 1,297,539 Fursys, Inc.............................................. 14,315 356,682 #*Gamevil, Inc............................................. 15,670 1,634,767 #Gaon Cable Co., Ltd...................................... 1,754 34,798 GIIR, Inc................................................ 10,990 68,961 Global & Yuasa Battery Co., Ltd.......................... 24,460 1,037,225 #Grand Korea Leisure Co., Ltd............................. 117,960 3,318,634 #Green Cross Corp......................................... 21,466 3,108,162 Green Cross Holdings Corp................................ 80,610 1,256,738 *Green Non-Life Insurance Co., Ltd........................ 22,357 -- #GS Global Corp........................................... 53,086 670,937 Gwangju Shinsegae Co., Ltd............................... 2,615 565,678 *Haesung Industrial Co., Ltd.............................. 1,070 30,773 Halla Climate Control Corp............................... 130,180 2,428,105 #Halla Engineering & Construction Corp.................... 74,642 585,832 #Han Kuk Carbon Co., Ltd.................................. 92,113 596,884 #*Hanall Biopharma Co., Ltd................................ 109,748 884,039 Handok Pharmaceuticals Co., Ltd.......................... 13,730 218,776 #Handsome Co., Ltd........................................ 59,419 1,506,714 Hanil Cement Co., Ltd.................................... 16,554 670,451 #*Hanil E-Wha Co., Ltd..................................... 97,050 627,434 #*Hanjin Heavy Industries & Construction Co., Ltd.......... 152,814 1,650,627 #Hanjin Heavy Industries & Construction Holdings Co., Ltd...................................... 50,610 323,176 *Hanjin P&C Co., Ltd...................................... 23,889 78,897 #*Hanjin Shipping Co., Ltd................................. 379,348 4,221,122 *Hanjin Shipping Holdings Co., Ltd........................ 45,364 230,014 #Hanjin Transportation Co., Ltd........................... 42,781 903,971 #Hankook Shell Oil Co., Ltd............................... 2,802 632,064 *Hankook Synthetics, Inc.................................. 550 48 Hankuk Glass Industries, Inc............................. 11,460 245,659 #*Hanmi Pharm Co., Ltd..................................... 23,028 2,334,654 *Hanmi Science Co., Ltd................................... 13,315 57,341 #Hanmi Semiconductor Co., Ltd............................. 44,760 284,962 #Hansae Co., Ltd.......................................... 15,016 200,207 #Hansae Yes24 Holdings Co., Ltd........................... 36,870 250,218 Hanshin Construction Co., Ltd............................ 6,070 39,598 #Hansol Chemical Co., Ltd................................. 38,900 848,173 #Hansol CSN Co., Ltd...................................... 205,620 542,367 Hansol Paper Co., Ltd.................................... 192,560 1,616,799 148 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #*Hansol Technics Co., Ltd................................. 46,531 $ 597,038 #Hanssem Co., Ltd......................................... 40,650 684,559 Hanwha Corp.............................................. 148,570 4,238,003 *Hanwha General Insurance Co., Ltd........................ 71,108 482,355 Hanwha Investment & Securities Co., Ltd.................. 248,311 891,221 Hanwha Timeworld Co., Ltd................................ 8,190 148,616 Hanyang Securities Co., Ltd.............................. 15,710 98,409 #*Heung-A Shipping Co., Ltd................................ 276,430 277,661 *Heungkuk Fire & Marine Insurance Co., Ltd................ 74,867 342,373 #Hite Jinro Co., Ltd...................................... 133,008 3,931,513 Hite Jinro Holdings Co., Ltd............................. 26,810 344,130 HMC Investment Securities Co., Ltd....................... 76,200 899,702 #*HNK Machine Tool Co., Ltd................................ 5,524 56,687 #Hotel Shilla Co., Ltd.................................... 138,708 5,850,171 #Huchems Fine Chemical Corp............................... 102,428 2,221,485 *Huons Co., Ltd........................................... 3,032 35,450 #Husteel Co., Ltd......................................... 17,350 435,902 *Huvitz Co., Ltd.......................................... 9,819 152,004 Hwacheon Machine Tool Co., Ltd........................... 4,979 193,152 *Hwashin Co., Ltd......................................... 85,740 686,393 #*Hy-Lok Corp.............................................. 16,378 330,114 Hyosung Corp............................................. 106,255 5,851,998 *Hyundai BNG Steel Co., Ltd............................... 41,180 371,816 #Hyundai Corp............................................. 48,401 860,511 #Hyundai Development Co................................... 263,190 4,724,226 Hyundai Elevator Co., Ltd................................ 19,777 1,495,573 #Hyundai Engineering Plastics Co., Ltd.................... 75,500 347,434 #Hyundai Greenfood Co., Ltd............................... 187,160 3,104,573 Hyundai Home Shopping Network Corp....................... 27,099 3,216,447 *Hyundai Hy Communications & Networks Co., Ltd............ 650 3,097 Hyundai Marine & Fire Insurance Co., Ltd................. 203,720 6,574,751 Hyundai Mipo Dockyard Co., Ltd........................... 2,711 289,104 Hyundai Securities Co., Ltd.............................. 529,150 4,057,421 #*Hyunjin Materials Co., Ltd............................... 42,833 262,371 *ICD Co., Ltd............................................. 22,074 268,980 #*IHQ, Inc................................................. 126,510 292,534 Il Dong Pharmaceutical Co., Ltd.......................... 39,675 324,306 *IL Yang Pharmaceutical Co., Ltd.......................... 52,958 1,225,269 #Iljin Display Co., Ltd................................... 68,318 1,344,800 #Iljin Electric Co., Ltd.................................. 80,209 337,978 Iljin Holdings Co., Ltd.................................. 8,182 12,589 *Iljin Materials Co., Ltd................................. 14,040 119,505 Ilshin Spinning Co., Ltd................................. 5,058 367,021 Ilsung Pharmaceutical Co., Ltd........................... 2,864 217,508 #iMarketKorea, Inc........................................ 67,570 1,602,334 *INFINITT Co., Ltd........................................ 34,394 279,037 #*Infopia Co., Ltd......................................... 16,625 198,186 #*Infraware, Inc........................................... 62,289 570,967 *InkTec Co., Ltd.......................................... 11,133 255,135 *InnoWireless, Inc........................................ 13,520 257,760 #*Innox Corp............................................... 26,041 464,202 #*Interflex Co., Ltd....................................... 30,388 1,730,898 *Interojo Co., Ltd........................................ 12,840 157,272 #*Interpark Corp........................................... 117,758 899,825 INTOPS Co., Ltd.......................................... 18,951 424,357 Inzi Controls Co., Ltd................................... 14,730 98,380 *INZI Display Co., Ltd.................................... 13,867 41,774 #IS Dongseo Co., Ltd...................................... 43,612 433,501 #ISU Chemical Co., Ltd.................................... 52,430 1,016,755 #IsuPetasys Co., Ltd...................................... 121,160 481,764 #Jahwa Electronics Co., Ltd............................... 36,390 484,743 149 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) #*JCEntertainment Corp................................... 28,723 $ 616,275 #Jeil Pharmaceutical Co................................. 23,990 379,197 #Jeonbuk Bank, Ltd...................................... 240,199 914,157 #*Jinsung T.E.C.......................................... 39,895 351,887 *Joymax Co.,Ltd......................................... 8,913 248,293 #*JVM Co., Ltd........................................... 7,576 333,383 JW Holdings Corp....................................... 118,294 261,118 #JW Pharmaceutical Corp................................. 32,787 420,968 *JYP Entertainment Corp................................. 15,554 80,942 *KC Cottrell Co., Ltd................................... 10,480 134,479 #KC Tech Co., Ltd....................................... 94,692 327,942 KCC Corp............................................... 3,737 1,048,053 *KCO Energy, Inc........................................ 120 550 Keangnam Enterprises, Ltd.............................. 5,833 31,167 #*KEC Corp............................................... 269,880 133,914 KEPCO Engineering & Construction Co., Inc.............. 6,673 392,546 #*KEPCO Plant Service & Engineering Co., Ltd............. 36,128 1,984,302 #Keyang Electric Machinery Co., Ltd..................... 66,240 150,542 #*Keystone Global........................................ 96,405 240,830 #*KGMobilians Co., Ltd................................... 16,101 158,602 *KH Vatec Co., Ltd...................................... 38,064 399,380 KISCO Corp............................................. 17,070 460,808 KISCO Holdings Co., Ltd................................ 2,292 78,490 Kishin Corp............................................ 49,420 270,385 KISWIRE, Ltd........................................... 21,229 615,947 #Kiwoom Securities Co., Ltd............................. 49,371 2,496,658 *Koentec Co., Ltd....................................... 62,030 122,392 #*Koh Young Technology, Inc.............................. 15,015 347,376 #*Kolao Holdings......................................... 53,870 962,946 #Kolon Corp............................................. 20,079 316,525 #Kolon Global Corp...................................... 165,790 477,205 Kolon Industries, Inc.................................. 74,646 3,799,574 #*Komipharm International Co., Ltd....................... 70,184 602,314 #*Kona@I Co., Ltd........................................ 28,888 460,730 Korea Airport Service Co., Ltd......................... 5,490 143,308 Korea Cast Iron Pipe Industries Co., Ltd............... 8,530 27,261 #*Korea Circuit Co., Ltd................................. 39,170 681,940 *Korea District Heating Corp............................ 2,163 141,372 Korea Electric Terminal Co., Ltd....................... 25,880 616,593 Korea Export Packing Industries Co., Ltd............... 3,990 59,484 Korea Flange Co., Ltd.................................. 1,140 12,954 *Korea Info & Comm...................................... 7,581 28,883 Korea Investment Holdings Co., Ltd..................... 175,310 5,992,811 #*Korea Kolmar Co., Ltd.................................. 58,990 1,568,595 #Korea Kolmar Holdings Co., Ltd......................... 28,403 265,684 #Korea Petrochemical Industrial Co., Ltd................ 12,064 550,678 *Korea Real Estate Investment Trust Co.................. 413,841 537,840 *Korea Reinsurance Co., Ltd............................. 345,047 3,381,279 Korea United Pharm, Inc................................ 27,470 218,912 *Kortek Corp............................................ 25,506 296,946 KP Chemical Corp....................................... 209,271 2,071,391 *KPF.................................................... 10,459 95,803 KPX Chemical Co., Ltd.................................. 5,257 242,063 #*KPX Fine Chemical Co., Ltd............................. 3,376 84,362 *KTB Investment & Securities Co., Ltd................... 232,640 440,152 Kukdo Chemical Co., Ltd................................ 16,872 660,099 Kumho Electric Co., Ltd................................ 16,580 417,407 #*Kumho Industrial Co., Ltd.............................. 43,345 86,404 *Kumho Tire Co., Inc.................................... 210,269 2,520,936 Kunsul Chemical Industrial Co., Ltd.................... 8,190 147,881 #Kwang Dong Pharmaceutical Co., Ltd..................... 161,360 779,181 150 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- SOUTH KOREA -- (Continued) #*Kwang Myung Electric Engineering Co., Ltd.............. 192,960 $ 422,666 Kyeryong Construction Industrial Co., Ltd.............. 16,350 131,309 Kyobo Securities Co., Ltd.............................. 77,310 326,796 #Kyung Dong Navien Co., Ltd............................. 8,700 91,377 *Kyungbang Co., Ltd..................................... 1,150 107,030 Kyungdong City Gas Co., Ltd............................ 7,798 529,296 #Kyung-In Synthetic Corp................................ 58,490 147,204 Kyungnam Energy Co., Ltd............................... 43,020 167,418 *LB Semicon, Inc........................................ 1,590 6,183 *LEENO Industrial, Inc.................................. 5,276 158,251 #LG Fashion Corp........................................ 84,755 2,362,301 #LG Hausys, Ltd......................................... 29,255 2,102,099 #*LG Innotek Co., Ltd.................................... 43,722 3,014,820 #LG International Corp.................................. 123,771 4,489,728 #*LG Life Sciences, Ltd.................................. 51,795 2,167,488 LIG Insurance Co., Ltd................................. 164,230 4,176,808 #Livart Furniture Co., Ltd.............................. 21,190 136,973 #*Lock & Lock Co., Ltd................................... 42,730 812,691 #Lotte Chilsung Beverage Co., Ltd....................... 2,821 3,682,437 #Lotte Confectionary Co., Ltd........................... 2,711 3,903,435 Lotte Midopa Co., Ltd.................................. 73,740 847,395 *Lotte Non-Life Insurance Co., Ltd...................... 56,430 206,528 #Lotte Samkang Co., Ltd................................. 3,138 2,101,900 *Lotte Tour Development Co., Ltd........................ 2,720 30,905 LS Corp................................................ 14,951 1,220,858 #LS Industrial Systems Co., Ltd......................... 63,554 3,968,791 #*Lumens Co., Ltd........................................ 126,762 841,682 Macquarie Korea Infrastructure Fund.................... 1,309,661 8,046,199 *Macrogen, Inc.......................................... 14,277 400,073 *Maeil Dairy Industry Co., Ltd.......................... 28,417 839,564 *Mando Corp............................................. 53 6,981 *Medifron DBT Co., Ltd.................................. 36,454 129,906 #*Medipost Co., Ltd...................................... 26,928 2,119,990 #*Medy-Tox, Inc.......................................... 17,819 1,340,274 *MegaStudy Co., Ltd..................................... 8,839 548,329 #*Melfas, Inc............................................ 64,519 1,241,246 *Meritz Finance Group, Inc.............................. 37,832 125,594 Meritz Fire Marine Insurance Co., Ltd.................. 228,355 3,095,948 Meritz Securities Co., Ltd............................. 823,165 984,913 Mi Chang Oil Industrial Co., Ltd....................... 981 46,768 Mirae Asset Securities Co., Ltd........................ 97,814 2,649,873 *Miwon Chemicals Co., Ltd............................... 1,890 41,901 Miwon Commercial Co., Ltd.............................. 702 85,617 *Miwon Specialty Chemical Co., Ltd...................... 466 87,336 *MK Electron Co., Ltd................................... 14,754 57,891 *MNTech Co., Ltd........................................ 45,825 493,198 #*Modetour Network, Inc.................................. 46,181 1,300,189 #*Monalisa Co., Ltd...................................... 29,240 112,376 #*MonAmi Co., Ltd........................................ 26,170 114,539 #Moorim P&P Co., Ltd.................................... 130,920 427,144 Motonic Corp........................................... 38,180 431,758 #Namhae Chemical Corp................................... 101,184 916,649 #Namyang Dairy Products Co., Ltd........................ 1,390 1,204,747 #National Plastic Co................................... 56,060 130,296 *Neowiz Corp............................................ 9,213 134,625 *Neowiz Games Corp...................................... 50,338 1,137,216 *Neowiz Internet Corp................................... 24,776 307,480 #*NEPES Corp............................................. 69,954 890,402 #Nexen Corp............................................. 33,168 2,560,304 #Nexen Tire Corp........................................ 138,140 2,152,507 NH Investment & Securities Co., Ltd.................... 130,310 602,355 151 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ------- ---------- SOUTH KOREA -- (Continued) NICE Holdings Co., Ltd................................. 311 $ 16,488 NICE Information Service Co., Ltd...................... 485 2,137 #NK Co., Ltd............................................ 76,630 266,571 #Nong Shim Holdings Co., Ltd............................ 6,132 348,382 #NongShim Co., Ltd...................................... 13,669 3,228,633 *Nowcom Co., Ltd........................................ 17,103 172,499 *OCI Materials Co., Ltd................................. 25,097 743,633 #*OPTRON-TEC, Inc........................................ 27,455 256,541 #*Orientbio, Inc......................................... 176,570 131,776 #*Osstem Implant Co., Ltd................................ 52,165 1,511,041 #*Osung LST Co., Ltd..................................... 79,101 245,542 Ottogi Corp............................................ 5,166 1,122,125 Pacific Pharmaceutical Co., Ltd........................ 480 14,865 *Paik Kwang Industrial Co., Ltd......................... 11,300 43,949 *PaperCorea, Inc........................................ 147,900 108,438 #*Partron Co, Ltd........................................ 115,221 1,756,455 #*Pharmicell Co., Ltd.................................... 150,094 801,145 Poongsan Corp.......................................... 86,191 2,509,689 Poongsan Holdings Corp................................. 12,277 261,640 *POSCO Chemtech Co., Ltd................................ 2,941 411,100 POSCO Coated & Color Steel Co., Ltd.................... 6,320 90,911 #*Posco ICT Co., Ltd..................................... 171,688 1,094,507 *Power Logics Co., Ltd.................................. 11,926 43,917 Pulmuone Co., Ltd...................................... 3,026 104,051 Pusan City Gas Co., Ltd................................ 21,570 435,157 *Pyeong Hwa Automotive Co., Ltd......................... 50,980 749,566 *Redrover Co., Ltd...................................... 14,814 81,871 *RFsemi Technologies, Inc............................... 3,800 35,215 #*RNL BIO Co., Ltd....................................... 353,450 1,300,373 #*S&T Corp............................................... 5,003 71,261 #S&T Dynamics Co., Ltd.................................. 104,352 1,043,553 S&T Holdings Co., Ltd.................................. 21,808 187,799 #S&T Motiv Co., Ltd..................................... 34,860 605,550 *S&T Motors Co., Ltd.................................... 188,180 95,537 *S1 Corp................................................ 68,527 4,130,643 Saeron Automotive Corp................................. 10,060 52,315 #Sajo Industries Co., Ltd............................... 10,232 528,440 Sajodaerim Corp........................................ 4,360 56,768 #Sam Jin Pharmaceutical Co., Ltd........................ 42,246 470,864 Sam Lip General Foods Co., Ltd......................... 9,230 216,174 #Sam Young Electronics Co., Ltd......................... 47,570 380,093 Sam Yung Trading Co., Ltd.............................. 40,552 394,577 *Sambu Construction Co., Ltd............................ 2,172 8,030 #Samchully Co., Ltd..................................... 11,307 1,009,633 Samhwa Paints Industrial Co., Ltd...................... 14,530 58,234 #Samick Musical Instruments Co., Ltd.................... 245,620 353,449 Samick THK Co., Ltd.................................... 35,630 193,335 SamkwangGlass Co., Ltd................................. 10,990 687,949 #Samsung Fine Chemicals Co., Ltd........................ 78,296 4,993,788 *Samwhan Corp........................................... 5,480 10,494 #Samyang Foods Co., Ltd................................. 13,450 349,606 Samyang Holdings Corp.................................. 20,208 1,324,822 Samyang Tongsang Co., Ltd.............................. 1,760 36,951 #*Samyoung Chemical Co., Ltd............................. 173,170 530,671 *Sangbo Corp............................................ 23,368 302,799 *Satrec Initiative Co., Ltd............................. 5,805 114,071 SAVEZONE I&C Corp...................................... 24,070 58,919 #SBS Media Holdings Co., Ltd............................ 192,730 1,166,508 #Seah Besteel Corp...................................... 53,905 1,259,133 SeAH Holdings Corp..................................... 4,622 398,072 SeAH Steel Corp........................................ 9,747 840,382 152 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- SOUTH KOREA -- (Continued) Sebang Co., Ltd........................................ 45,065 $ 735,589 #*Seegene, Inc........................................... 24,361 1,746,438 #Sejong Industrial Co., Ltd............................. 38,260 436,835 *Sempio Foods Co........................................ 180 4,470 *S-Energy Co., Ltd...................................... 9,256 79,225 *Seohan Co., Ltd........................................ 128,003 156,001 Seoul City Gas Co., Ltd................................ 389 23,198 #Seowon Co., Ltd........................................ 51,670 167,926 #*Sewon Cellontech Co., Ltd.............................. 103,421 290,486 *SEWOONMEDICAL Co., Ltd................................. 16,668 51,063 *SG Corp................................................ 65,100 38,740 #*SH Energy & Chemical Co., Ltd.......................... 267,990 224,130 #Shinpoong Pharmaceutical Co., Ltd...................... 96,352 451,968 *Shinsegae Co., Ltd..................................... 31,431 5,616,439 Shinsegae Information & Communication Co., Ltd......... 2,612 139,721 *Shinsung Solar Energy Co., Ltd......................... 141,180 230,187 #Shinsung Tongsang Co., Ltd............................. 236,010 274,387 Shinyoung Securities Co., Ltd.......................... 14,050 390,076 *Signetics Corp......................................... 55,612 140,272 #*Silicon Works Co., Ltd................................. 31,316 801,187 Silla Co., Ltd......................................... 20,350 452,575 #*Simm Tech Co., Ltd..................................... 90,780 897,424 *SIMPAC, Inc............................................ 41,370 284,194 Sindoh Co., Ltd........................................ 10,939 663,949 SJM Co., Ltd........................................... 19,030 125,384 SJM Holdings Co., Ltd.................................. 7,727 26,266 *SK Broadband Co., Ltd.................................. 278,839 1,019,768 #SK Chemicals Co., Ltd.................................. 62,098 3,827,445 #*SK Communications Co., Ltd............................. 68,168 557,784 #SK Gas Co., Ltd........................................ 15,519 1,123,784 #SK Networks Co., Ltd................................... 487,040 4,260,256 #SK Securities Co., Ltd................................. 1,165,660 1,238,233 #SKC Co., Ltd........................................... 86,357 3,530,886 #SL Corp................................................ 54,320 629,420 #*S-MAC Co., Ltd......................................... 63,567 887,569 #*Solco Biomedical Co., Ltd.............................. 188,292 245,074 #*Songwon Industrial Co., Ltd............................ 66,030 653,463 #*Sonokong Co., Ltd...................................... 48,235 158,004 #*Ssangbangwool & Trygroup............................... 277,790 304,281 *Ssangyong Cement Industrial Co., Ltd................... 92,691 469,732 #STX Corp............................................... 159,588 1,168,383 #STX Engine Co., Ltd.................................... 103,132 755,246 STX Metal Co, Ltd...................................... 15,830 76,739 #STX Offshore & Shipbuilding Co., Ltd................... 247,140 1,787,535 #STX Pan Ocean Co., Ltd................................. 480,700 1,518,274 #Suheung Capsule Co., Ltd............................... 20,170 338,210 #*Sung Jin Geotec Co., Ltd............................... 70,710 686,333 #Sungchang Enterprise Holdings, Ltd..................... 20,340 445,875 Sunjin Co., Ltd........................................ 11,625 141,722 *Sunjin Holdings Co., Ltd............................... 199 3,659 #*Suprema, Inc........................................... 47,205 808,567 *Synopex, Inc........................................... 226,237 541,310 #Tae Kyung Industrial Co., Ltd.......................... 33,700 104,609 TaeKwang Industrial Co., Ltd........................... 1,485 1,379,867 *Taesan LCD Co., Ltd.................................... 17,008 8,019 #*Taewoong Co., Ltd...................................... 34,187 554,184 #Taeyoung Engineering & Construction Co., Ltd........... 173,010 869,606 *Taihan Electric Wire Co., Ltd.......................... 645,733 956,225 #Tailim Packaging Industries Co., Ltd................... 125,830 194,511 #TCC Steel.............................................. 33,782 147,116 #*Tera Resource Co., Ltd................................. 919,272 1,062,418 153 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ------------ SOUTH KOREA -- (Continued) #Tong Yang Moolsan Co., Ltd........................... 22,590 $ 326,165 Tong Yang Securities, Inc............................ 12,966 45,686 *Tongyang Life Insurance.............................. 169,210 1,829,220 *Tongyang, Inc........................................ 242,448 179,925 #*Toptec Co., Ltd...................................... 31,498 501,676 *Trais Co., Ltd....................................... 2,787 9,004 *Trigem Computer, Inc................................. 1 -- #TS Corp.............................................. 15,430 374,244 *UBCare Co., Ltd...................................... 63,818 187,201 *Ubivelox, Inc........................................ 6,656 161,897 #*Uju Electronics Co., Ltd............................. 16,116 373,631 #Unid Co., Ltd........................................ 14,854 497,890 Union Steel.......................................... 10,192 116,264 #*Unison Co., Ltd...................................... 106,912 759,462 *VGX International, Inc............................... 4,580 6,812 #*Vieworks Co., Ltd.................................... 32,811 480,585 #*Visang Education, Inc................................ 16,072 191,458 #*Webzen, Inc.......................................... 38,191 322,878 Whanin Pharmaceutical Co., Ltd....................... 37,560 330,846 #*Will-Bes & Co., Ltd. (The)........................... 238,240 636,819 *WiSoL Co., Ltd....................................... 23,449 296,580 #*Woongjin Chemical Co., Inc........................... 1,019,400 541,975 #Woongjin Coway Co., Ltd.............................. 187,030 6,814,273 #*Woongjin Energy Co., Ltd............................. 208,040 357,186 #*Woongjin Holdings Co., Ltd........................... 94,257 147,375 *Woongjin Thinkbig Co., Ltd........................... 80,049 467,645 *Wooree ETI Co., Ltd.................................. 62,889 280,046 Woori Financial Co., Ltd............................. 40,288 607,273 Woori Investment & Securities Co., Ltd............... 578,522 5,585,099 #*WooSung Feed Co., Ltd................................ 81,260 388,448 #*Y G-1 Co., Ltd....................................... 31,254 376,285 *Yedang Company Co., Ltd.............................. 286,173 563,321 YESCO Co., Ltd....................................... 11,440 315,118 #Youlchon Chemical Co., Ltd........................... 41,570 328,093 #Young Poong Corp..................................... 2,754 2,543,456 *Young Poong Mining & Construction Corp............... 1,580 80 #*Young Poong Precision Corp........................... 11,332 124,666 #Youngone Corp........................................ 87,944 2,728,182 #Youngone Holdings Co., Ltd........................... 23,919 1,330,268 Yuhan Corp........................................... 34,258 5,913,574 Yuhwa Securities Co., Ltd............................ 13,060 154,463 #*Yungjin Pharm Co., Ltd............................... 413,212 717,443 *ZeroOne Interactive Co., Ltd......................... 3,200 44 ------------ TOTAL SOUTH KOREA....................................... 448,260,929 ------------ TAIWAN -- (12.5%) *A.G.V. Products Corp................................. 1,785,801 549,330 Ability Enterprise Co., Ltd.......................... 1,377,076 1,238,597 AcBel Polytech, Inc.................................. 1,428,599 927,712 Accton Technology Corp............................... 1,924,763 954,120 #Ace Pillar Co., Ltd.................................. 199,008 163,920 ACES Electronic Co., Ltd............................. 287,000 375,855 #ACHEM Technology Corp................................ 619,764 273,580 Acme Electronics Corp................................ 374,295 422,772 Acter Co., Ltd....................................... 139,000 494,961 *Action Electronics Co., Ltd.......................... 892,635 211,897 Actron Technology Corp............................... 192,150 427,989 *A-DATA Technology Co., Ltd........................... 633,000 620,123 #Adlink Technology, Inc............................... 406,985 414,212 Advanced Ceramic X Corp.............................. 173,000 470,745 *Advanced International Multitech Co., Ltd............ 157,000 205,648 154 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) #Advancetek Enterprise Co., Ltd......................... 505,917 $ 412,021 *AimCore Technology Co., Ltd............................ 126,000 216,380 #Alcor Micro Corp....................................... 266,000 288,405 #ALI Corp............................................... 1,030,000 1,116,054 Allis Electric Co., Ltd................................ 54,000 15,164 *Alltop Technology Co., Ltd............................. 52,000 56,654 #Alpha Networks, Inc.................................... 1,192,763 758,827 #Altek Corp............................................. 1,587,637 778,884 #Ambassador Hotel (The)................................. 1,057,000 1,089,770 #Ampoc Far-East Co., Ltd................................ 344,444 290,337 AmTRAN Technology Co., Ltd............................. 2,895,951 2,446,152 Anpec Electronics Corp................................. 398,000 237,500 *Apacer Technology, Inc................................. 390,000 328,452 #APCB, Inc.............................................. 544,000 346,949 #Apex Biotechnology Corp................................ 371,483 925,182 Apex Medical Corp...................................... 212,500 218,536 Apex Science & Engineering Corp........................ 134,198 41,396 *Ardentec Corp.......................................... 506,795 314,682 #Arima Communications Corp.............................. 780,719 298,768 *Asia Optical Co., Inc.................................. 928,000 844,719 #*Asia Plastic Recycling Holding, Ltd.................... 106,146 317,386 Asia Polymer Corp...................................... 1,167,484 933,067 #Asia Vital Components Co., Ltd......................... 1,283,052 587,606 #Asrock, Inc............................................ 168,000 580,411 Aten International Co., Ltd............................ 331,479 492,605 Audix Corp............................................. 406,000 328,377 #Aurora Corp............................................ 541,499 813,308 Aurora Systems Corp.................................... 268,244 231,699 AV Tech Corp........................................... 164,000 496,604 Avermedia Technologies, Inc............................ 865,446 400,896 #Avision, Inc........................................... 687,000 179,723 *AVY Precision Technology, Inc.......................... 131,000 223,663 Awea Mechantronic Co., Ltd............................. 137,200 137,719 *Bank of Kaohsiung...................................... 1,547,645 444,403 Basso Industry Corp., Ltd.............................. 509,000 287,357 *BenQ Materials Corp.................................... 505,000 177,719 BES Engineering Corp................................... 6,859,750 1,674,651 Bin Chuan Enterprise Co., Ltd.......................... 150,000 166,099 *Bionet Corp............................................ 136,000 162,813 Biostar Microtech International Corp................... 619,975 207,624 *Boardtek Electronics Corp.............................. 484,000 272,510 Bright Led Electronics Corp............................ 502,520 204,411 #C Sun Manufacturing, Ltd............................... 525,221 335,006 #*Cameo Communications, Inc.............................. 921,818 204,956 Capella Microsystems Taiwan, Inc....................... 106,000 665,171 Capital Securities Corp................................ 6,679,142 2,218,018 #Career Technology (MFG.) Co., Ltd...................... 1,034,000 1,338,950 #*Carnival Industrial Corp............................... 1,266,000 399,009 Cathay Chemical Works, Inc............................. 30,000 12,318 Cathay Real Estate Development Co., Ltd................ 3,127,000 1,438,694 *Celxpert Energy Corp................................... 100,000 67,133 *Center Laboratories, Inc............................... 102,000 110,205 *Central Reinsurance Co., Ltd........................... 826,402 363,085 ChainQui Construction Development Co., Ltd............. 347,083 206,079 #Champion Building Materials Co., Ltd................... 1,349,851 466,115 #Chang Wah Electromaterials, Inc........................ 125,517 363,962 Charoen Pokphand Enterprises Co., Ltd.................. 771,000 364,015 *Chaun-Choung Technology Corp........................... 212,000 297,158 #CHC Resources Corp..................................... 308,348 489,343 *Chen Full International Co., Ltd....................... 9,000 4,942 *Chenbro Micom Co., Ltd................................. 108,000 113,004 155 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) Cheng Loong Corp...................................... 3,528,383 $1,412,547 Cheng Uei Precision Industry Co., Ltd................. 1,509,331 3,338,099 #*Chenming Mold Industrial Corp......................... 462,437 423,869 Chia Hsin Cement Corp................................. 1,674,121 753,089 Chicony Electronics Co., Ltd.......................... 1,226,729 2,689,195 #Chien Kuo Construction Co., Ltd....................... 1,111,312 494,190 *Chien Shing Stainless Steel Co., Ltd.................. 70,000 7,325 #Chilisin Electronics Corp............................. 315,535 169,374 *Chimei Materials Technology Corp...................... 500,000 479,722 #China Chemical & Pharmaceutical Co., Ltd.............. 1,041,000 649,090 #China Ecotek Corp..................................... 187,000 408,224 #China Electric Manufacturing Corp..................... 1,148,900 669,858 *China General Plastics Corp........................... 1,086,000 478,973 #China Glaze Co., Ltd.................................. 518,139 226,625 *China ManMade Fibers Corp............................. 4,563,879 1,535,277 China Metal Products Co., Ltd......................... 1,023,278 931,094 China Motor Corp...................................... 1,379,609 1,236,373 *China Rebar Co., Ltd.................................. 55,174 -- China Steel Chemical Corp............................. 543,554 2,363,154 China Steel Structure Co., Ltd........................ 474,000 465,562 China Synthetic Rubber Corp........................... 1,851,563 1,979,637 *China United Trust & Investment Corp.................. 164,804 -- *China Wire & Cable Co., Ltd........................... 592,000 203,453 #Chinese Gamer International Corp...................... 151,000 252,793 Chinese Maritime Transport, Ltd....................... 436,850 502,044 #Chin-Poon Industrial Co., Ltd......................... 1,459,207 1,584,270 Chipbond Technology Corp.............................. 1,481,000 2,506,794 #Chong Hong Construction Co............................ 564,646 1,291,101 *Chou Chin Industrial Co., Ltd......................... 825 -- #Chroma Ate, Inc....................................... 1,189,821 2,262,157 *Chun Yu Works & Co., Ltd.............................. 822,000 283,925 #Chun Yuan Steel Industrial Co., Ltd................... 1,637,529 619,050 *Chung Hung Steel Corp................................. 3,418,979 862,198 #*Chung Hwa Pulp Corp................................... 2,081,031 632,150 Chung-Hsin Electric & Machinery Manufacturing Corp.... 1,533,000 805,040 *Chunghwa Chemical Synthesis & Biotech Co., Ltd........ 195,000 334,606 *Chungwa Picture Tubes Co., Ltd........................ 16,175,000 502,853 Clevo Co., Ltd........................................ 1,613,000 2,106,539 #*CMC Magnetics Corp.................................... 10,279,960 1,532,474 *CoAsia Microelectronics Corp.......................... 200,000 157,586 #Collins Co., Ltd...................................... 555,431 213,687 #*Compal Communications, Inc............................ 1,153,000 1,026,862 #Compeq Manufacturing Co., Ltd......................... 3,744,000 1,381,392 *Concord Securities Corp............................... 643,000 133,486 Continental Holdings Corp............................. 1,599,067 574,511 *Coretronic Corp....................................... 2,328,000 1,685,850 *Cosmo Electronics Corp................................ 244,137 207,240 #*Cosmos Bank Taiwan.................................... 1,145,000 273,835 #Coxon Precise Industrial Co., Ltd..................... 416,000 788,023 Creative Sensor, Inc.................................. 85,000 41,567 *Crystalwise Technology, Inc........................... 266,000 190,992 CSBC Corp. Taiwan..................................... 1,325,610 771,148 CTCI Corp............................................. 878,013 1,744,731 #CviLux Corp........................................... 238,039 334,500 #Cyberlink Corp........................................ 301,281 1,087,229 *CyberPower Systems, Inc............................... 67,000 120,284 #Cybertan Technology, Inc.............................. 1,152,779 803,860 #Da Cin Construction Co., Ltd.......................... 639,711 414,693 Dah Fung CATV Co., Ltd................................ 201,400 373,007 *Da-Li Construction Co., Ltd........................... 40,000 36,995 Darfon Electronics Corp............................... 1,186,550 673,440 156 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) #Davicom Semiconductor, Inc............................. 127,888 $ 66,447 De Licacy Industries Co., Ltd.......................... 70,000 21,128 Delpha Construction Co., Ltd........................... 859,931 258,643 Depo Auto Parts Industrial Co., Ltd.................... 387,000 807,380 *Der Pao Construction Co., Ltd.......................... 2,523 13,360 DFI, Inc............................................... 143,524 108,288 *Dimerco Express Corp................................... 347,000 218,645 D-Link Corp............................................ 2,537,665 1,423,652 Dynamic Electronics Co., Ltd........................... 993,312 311,475 *Dynapack International Technology Corp................. 490,000 1,777,388 *Eastern Media International Corp....................... 3,279,337 431,655 Eclat Textile Co., Ltd................................. 543,022 1,604,641 *Edimax Technology Co., Ltd............................. 587,000 218,777 *Edison Opto Corp....................................... 301,000 324,071 Edom Technology Co., Ltd............................... 172,776 57,097 *eGalax_eMPIA Technology, Inc........................... 150,000 251,946 Elan Microelectronics Corp............................. 1,342,715 2,074,303 #*E-Lead Electronic Co., Ltd............................. 228,942 196,627 #E-LIFE MALL Corp., Ltd................................. 313,000 698,323 #Elite Advanced Laser Corp.............................. 263,000 293,891 #Elite Material Co., Ltd................................ 1,083,350 1,070,401 Elite Semiconductor Memory Technology, Inc............. 1,008,200 668,434 #Elitegroup Computer Systems Co., Ltd................... 2,567,182 694,509 eMemory Technology, Inc................................ 237,000 449,825 ENG Electric Co., Ltd.................................. 467,580 382,538 #EnTie Commercial Bank.................................. 1,567,603 756,114 *Episil Technologies, Inc............................... 484,000 124,229 #Eternal Chemical Co., Ltd.............................. 2,732,794 2,125,646 #*E-Ton Solar Tech Co., Ltd.............................. 746,000 227,281 *Etron Technology Inc................................... 605,000 138,836 *Everest Textile Co., Ltd............................... 978,562 252,161 Evergreen International Storage & Transport Corp....... 2,334,000 1,439,720 #Everlight Chemical Industrial Corp..................... 1,338,175 809,611 #Everlight Electronics Co., Ltd......................... 1,352,000 1,408,953 Excel Cell Electronics Co., Ltd........................ 105,000 36,630 #Excelsior Medical Co., Ltd............................. 335,654 612,675 Far Eastern International Bank......................... 5,021,770 1,847,297 #Faraday Technology Corp................................ 1,207,648 1,477,348 *Farglory F T Z Investment Holding Co., Ltd............. 235,000 149,770 Federal Corp........................................... 1,432,682 924,185 *Feedback Technology Corp............................... 107,000 216,102 Feng Hsin Iron & Steel Co., Ltd........................ 1,664,100 2,630,285 #Feng Tay Enterprise Co., Ltd........................... 891,006 999,870 *Firich Enterprises Co., Ltd............................ 561,610 647,684 *First Copper Technology Co., Ltd....................... 834,000 285,365 #First Hotel............................................ 562,019 363,323 First Insurance Co., Ltd............................... 883,179 445,245 First Steamship Co., Ltd............................... 554,200 427,418 #FLEXium Interconnect, Inc.............................. 579,362 2,355,524 #Flytech Technology Co., Ltd............................ 278,206 576,718 Forhouse Corp.......................................... 1,683,635 819,977 #Formosa Advanced Technologies Co., Ltd................. 550,000 291,556 #*Formosa Epitaxy, Inc................................... 1,263,811 828,951 Formosa International Hotels Corp...................... 143,858 1,536,867 *Formosa Laboratories, Inc.............................. 114,000 174,927 Formosa Oilseed Processing Co., Ltd.................... 304,567 133,952 *Formosa Optical Technology Co., Ltd.................... 133,000 341,470 Formosan Rubber Group, Inc............................. 1,698,000 1,147,860 Formosan Union Chemical Corp........................... 1,114,218 622,218 #Fortune Electric Co., Ltd.............................. 502,078 204,379 Founding Construction & Development Co., Ltd........... 643,745 391,693 157 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) *Foxlink Image Technology Co., Ltd..................... 410,000 $ 302,144 *Froch Enterprise Co., Ltd............................. 620,000 209,566 FSP Technology, Inc................................... 642,887 567,293 Fu I Industrial Co., Ltd.............................. 6,701 12,135 #Fullerton Technology Co., Ltd......................... 398,600 317,021 *Fulltech Fiber Glass Corp............................. 709,000 311,220 Fwusow Industry Co., Ltd.............................. 694,477 358,778 #G Shank Enterprise Co., Ltd........................... 669,013 376,407 Gamania Digital Entertainment Co., Ltd................ 356,000 303,038 Gem Terminal Industries Co., Ltd...................... 23,386 9,440 Gemtek Technology Corp................................ 1,217,219 1,198,713 General Plastic Industrial Co., Ltd................... 137,553 115,730 #*Genesis Photonics, Inc................................ 903,363 615,978 #Genius Electronic Optical Co., Ltd.................... 161,030 1,077,973 *Genmont Biotech, Inc.................................. 126,000 175,065 GeoVision, Inc........................................ 152,207 572,333 #Getac Technology Corp................................. 1,446,360 652,639 Giant Manufacturing Co., Ltd.......................... 112,776 582,509 #*Giantplus Technology Co., Ltd......................... 816,900 232,833 *Giga Solar Materials Corp............................. 52,000 350,557 Giga Solution Tech Co., Ltd........................... 365,446 187,409 #Gigabyte Technology Co., Ltd.......................... 1,996,800 1,645,713 #Gigastorage Corp...................................... 1,087,561 572,003 #*Gintech Energy Corp................................... 1,351,936 970,401 #Global Brands Manufacture, Ltd........................ 1,002,359 341,549 #Global Mixed Mode Technology, Inc..................... 286,000 920,686 #Global Unichip Corp................................... 307,000 972,811 #Globe Union Industrial Corp........................... 950,944 411,597 Gloria Material Technology Corp....................... 1,582,015 1,243,410 *Gold Circuit Electronics, Ltd......................... 1,804,227 341,225 Goldsun Development & Construction Co., Ltd........... 5,187,722 1,827,236 Good Will Instrument Co., Ltd......................... 191,146 114,836 #Grand Pacific Petrochemical Corp...................... 3,821,000 1,966,151 #Grape King, Inc....................................... 419,000 966,589 #Great China Metal Industry Co., Ltd................... 576,000 631,404 Great Taipei Gas Co., Ltd............................. 1,220,000 795,325 #Great Wall Enterprise Co., Ltd........................ 1,476,057 1,262,110 #*Green Energy Technology, Inc.......................... 1,128,457 540,122 #*G-Tech Optoelectronics Corp........................... 353,000 855,300 *GTM Corp.............................................. 524,000 235,569 Hannstar Board Corp................................... 1,049,049 491,218 *HannStar Display Corp................................. 10,217,494 805,938 *HannsTouch Solution, Inc.............................. 2,778,130 773,237 #Harvatek Corp......................................... 672,623 252,924 #Hey Song Corp......................................... 1,487,000 1,737,538 Highwealth Construction Corp.......................... 251,000 365,599 #Hiti Digital, Inc..................................... 374,573 154,443 #Hitron Technologies, Inc.............................. 650,213 320,087 #*Ho Tung Holding Corp.................................. 2,522,182 1,251,498 Hocheng Corp.......................................... 957,700 287,650 Hold-Key Electric Wire & Cable Co., Ltd............... 360,191 120,234 #Holiday Entertainment Co., Ltd........................ 248,800 343,764 Holtek Semiconductor, Inc............................. 640,000 632,643 Holy Stone Enterprise Co., Ltd........................ 1,166,183 941,495 Hong Ho Precision Textile Co., Ltd.................... 4,000 2,341 Hong Tai Electric Industrial Co., Ltd................. 918,000 296,781 Hong Yi Fiber Industry Co., Ltd....................... 75,652 23,287 *Horizon Securities Co., Ltd........................... 616,000 139,135 #*Hota Industrial Manufacturing Co., Ltd................ 706,000 420,886 Howarm Construction Co., Ltd.......................... 307,813 231,652 #Hsin Kuang Steel Co., Ltd............................. 1,012,443 580,020 158 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) *Hsin Yung Chien Co., Ltd............................... 120,000 $ 321,007 Hsing Ta Cement Co., Ltd............................... 620,000 222,824 Hu Lane Associate, Inc................................. 114,559 181,289 *Hua Eng Wire & Cable Co., Ltd.......................... 1,815,565 661,358 Huaku Development Co., Ltd............................. 911,816 1,854,886 #Huang Hsiang Construction Co........................... 432,800 1,021,436 *Huga Optotech, Inc..................................... 137,000 44,026 Hung Ching Development & Construction Co., Ltd......... 449,000 175,818 Hung Poo Real Estate Development Corp.................. 939,185 864,882 Hung Sheng Construction Co., Ltd....................... 2,016,400 1,089,755 *Hwa Fong Rubber Co., Ltd............................... 796,670 164,247 Ibase Technology, Inc.................................. 332,247 391,776 #*Ichia Technologies, Inc................................ 1,433,000 553,533 #*I-Chiun Precision Industry Co., Ltd.................... 822,313 491,856 *ICP Electronics, Inc................................... 742,300 922,576 #ILI Technology Corp.................................... 196,000 600,185 #*Infortrend Technology, Inc............................. 1,012,163 529,304 #*Inotera Memories, Inc.................................. 6,159,000 835,201 #Insyde Software Corp................................... 100,000 294,964 #*Integrated Memory Logic, Ltd........................... 201,001 663,294 *International Games System Co., Ltd.................... 217,000 776,315 Inventec Corp.......................................... 2,692,014 919,800 #I-Sheng Electric Wire & Cable Co., Ltd................. 419,000 565,826 #*ITE Technology, Inc.................................... 706,408 503,481 ITEQ Corp.............................................. 1,127,614 1,178,033 *J Touch Corp........................................... 322,000 213,693 *Janfusun Fancyworld Corp............................... 655,000 101,937 *Jenn Feng New Energy Co., Ltd.......................... 33,000 9,035 Jentech Precision Industrial Co., Ltd.................. 213,868 432,754 #*Jess-Link Products Co., Ltd............................ 622,900 489,415 *Jih Sun Financial Holdings Co., Ltd.................... 949,154 247,345 Johnson Health Tech Co., Ltd........................... 217,758 528,348 Jui Li Enterprise Co., Ltd............................. 241,080 63,211 Kang Na Hsiung Enterprise Co., Ltd..................... 377,020 158,015 *Kao Hsing Chang Iron & Steel Corp...................... 784,000 158,663 Kaori Heat Treatment Co., Ltd.......................... 233,200 301,046 #Kaulin Manufacturing Co., Ltd.......................... 498,330 279,495 *KD Holding Corp........................................ 7,000 33,541 #Kee Tai Properties Co., Ltd............................ 1,362,473 885,403 #Kenda Rubber Industrial Co., Ltd....................... 1,778,449 2,067,282 *Kenmec Mechanical Engineering Co., Ltd................. 277,000 78,875 Kerry TJ Logistics Co., Ltd............................ 1,241,000 1,977,674 Kian Shen Corp......................................... 1,000 1,580 King Core Electronics, Inc............................. 10,729 6,109 #King Slide Works Co., Ltd.............................. 176,550 990,028 King Yuan Electronics Co., Ltd......................... 4,525,979 2,459,330 Kingdom Construction Co., Ltd.......................... 1,482,000 951,145 *King's Town Bank....................................... 3,069,701 2,098,471 King's Town Construction Co., Ltd...................... 758,210 730,725 Kinik Co............................................... 495,000 673,363 #Kinko Optical Co., Ltd................................. 570,000 752,986 Kinpo Electronics, Inc................................. 4,020,157 808,556 #KS Terminals, Inc...................................... 320,482 233,039 #Kung Long Batteries Industrial Co., Ltd................ 271,000 545,663 *Kung Sing Engineering Corp............................. 330,000 93,850 *Kuo Toong International Co., Ltd....................... 256,000 149,074 #Kuoyang Construction Co., Ltd.......................... 1,588,000 719,522 *Kwong Fong Industries Corp............................. 1,307,200 719,491 #*KYE Systems Corp....................................... 1,054,903 302,980 L&K Engineering Co., Ltd............................... 523,048 492,999 Lan Fa Textile Co., Ltd................................ 761,933 202,969 159 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) Laser Tek Taiwan Co., Ltd............................. 45,150 $ 29,651 LCY Chemical Corp..................................... 345,383 356,674 Leader Electronics, Inc............................... 316,000 174,500 #Leadtrend Technology Corp............................. 136,086 212,175 Lealea Enterprise Co., Ltd............................ 2,630,542 921,263 Ledtech Electronics Corp.............................. 189,000 58,216 #Lee Chi Enterprises Co., Ltd.......................... 687,000 253,663 #*Leofoo Development Co., Ltd........................... 914,000 471,836 #Les Enphants Co., Ltd................................. 666,754 461,613 *Lextar Electronics Corp............................... 620,000 489,387 #*Li Peng Enterprise Co., Ltd........................... 1,970,722 557,597 Lian HWA Food Corp.................................... 215,157 253,744 Lien Hwa Industrial Corp.............................. 1,842,676 1,154,536 #Lingsen Precision Industries, Ltd..................... 1,361,506 656,212 #LITE-ON IT Corp....................................... 1,579,423 1,323,409 #Lite-On Semiconductor Corp............................ 1,108,730 473,757 *Long Bon International Co., Ltd....................... 1,100,945 719,371 *Long Chen Paper Co., Ltd.............................. 1,514,674 388,096 *Longwell Co........................................... 382,000 386,551 #Lotes Co., Ltd........................................ 226,778 681,318 *Lucky Cement Corp..................................... 677,000 143,154 #Lumax International Corp., Ltd........................ 368,770 699,942 Macroblock, Inc....................................... 107,000 397,438 Macronix International Co., Ltd....................... 13,013,481 3,380,857 *MacroWell OMG Digital Entertainment Co., Ltd.......... 35,000 110,416 *Makalot Industrial Co., Ltd........................... 479,202 1,446,386 #Marketech International Corp.......................... 517,000 252,786 Masterlink Securities Corp............................ 3,843,000 1,121,649 #*Mayer Steel Pipe Corp................................. 760,567 286,309 Maywufa Co., Ltd...................................... 170,322 89,785 *Medigen Biotechnology Corp............................ 284,000 1,149,659 *Meiloon Co., Ltd...................................... 428,053 150,824 Mercuries & Associates, Ltd........................... 1,142,438 976,225 Merida Industry Co., Ltd.............................. 747,696 2,863,884 Merry Electronics Co., Ltd............................ 813,481 959,407 #Microbio Co., Ltd..................................... 933,180 916,118 #*Microelectronics Technology, Inc...................... 1,557,527 590,594 *Microlife Corp........................................ 34,000 55,983 Micro-Star International Co., Ltd..................... 3,209,075 1,448,953 #Min Aik Technology Co., Ltd........................... 561,316 1,511,790 #Mirle Automation Corp................................. 512,009 324,948 #Mitac International Corp.............................. 4,439,000 1,467,353 *Mosel Vitelic, Inc.................................... 23,644 1,481 #*Motech Industries, Inc................................ 1,116,000 859,593 MPI Corp.............................................. 239,000 351,856 #Nak Sealing Technologies Corp......................... 213,954 345,139 #Namchow Chemical Industrial Co., Ltd.................. 660,000 630,426 *Nan Ren Lake Leisure Amusement Co., Ltd............... 276,000 94,515 Nankang Rubber Tire Co., Ltd.......................... 2,148,952 2,482,215 #Nantex Industry Co., Ltd.............................. 903,138 576,552 *Nanya Technology Corp................................. 2,937,000 140,514 #National Petroleum Co., Ltd........................... 711,824 713,653 #*Neo Solar Power Corp.................................. 2,040,000 982,802 *Netronix, Inc......................................... 236,000 413,334 New Asia Construction & Development Co., Ltd.......... 489,137 135,262 *New Era Electronics Co., Ltd.......................... 245,000 209,239 Newmax Technology Co., Ltd............................ 247,000 347,568 *Nexcom International Co., Ltd......................... 117,000 99,914 #Nichidenbo Corp....................................... 286,984 197,714 #Nien Hsing Textile Co., Ltd........................... 1,032,612 706,801 *Nishoku Technology, Inc............................... 55,000 100,596 160 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) *Nuvoton Technology Corp............................... 213,000 $ 205,916 *Ocean Plastics Co., Ltd............................... 580,200 466,545 OptoTech Corp......................................... 2,171,886 805,263 *Orient Semiconductor Electronics, Ltd................. 1,846,000 252,431 #Oriental Union Chemical Corp.......................... 2,601,267 2,757,785 #Orise Technology Co., Ltd............................. 322,000 356,986 Pacific Construction Co., Ltd......................... 661,921 176,772 *Pan Jit International, Inc............................ 1,280,541 424,530 *Pan-International Industrial Corp..................... 1,366,893 1,127,790 #Paragon Technologies Co., Ltd......................... 276,571 318,775 PChome Online, Inc.................................... 53,000 239,607 #Phihong Technology Co., Ltd........................... 936,901 613,191 *Phoenix Tours International, Inc...................... 171,000 366,585 #*Phytohealth Corp...................................... 561,926 874,342 *Picvue Electronics, Ltd............................... 72,760 -- #*Pihsiang Machinery Manufacturing Co., Ltd............. 505,534 597,601 #*Pixart Imaging, Inc................................... 303,150 626,957 Plotech Co., Ltd...................................... 146,000 56,421 #Polytronics Technology Corp........................... 223,027 388,992 *Portwell, Inc......................................... 292,000 279,557 *Posiflex, Inc......................................... 21,000 40,325 *Potrans Electrical Corp............................... 228,000 34,029 *Power Quotient International Co., Ltd................. 905,000 377,262 Powercom Co., Ltd..................................... 677,140 151,100 #*Powertech Industrial Co., Ltd......................... 363,000 233,490 *Poya Co., Ltd......................................... 93,000 218,290 *President Securities Corp............................. 2,848,488 1,534,353 Prime Electronics and Satellitics, Inc................ 490,879 429,768 Prince Housing & Development Corp..................... 3,051,782 2,050,250 *Procomp Informatics, Ltd.............................. 21,675 -- *Prodisc Technology, Inc............................... 1,707,199 9,935 #Promate Electronic Co., Ltd........................... 602,000 480,973 #*Promise Technology, Inc............................... 503,286 189,224 *Protop Technology Co., Ltd............................ 192,000 1,380 *P-Two Industries, Inc................................. 13,000 7,071 #*Qisda Corp............................................ 5,565,900 1,198,639 *Quanta Storage, Inc................................... 352,000 209,186 #Quintain Steel Co., Ltd............................... 1,312,824 280,505 #Radium Life Tech Corp................................. 2,143,902 1,332,960 Ralec Electronic Corp................................. 103,209 95,852 #Realtek Semiconductor Corp............................ 1,659,420 3,119,720 #Rechi Precision Co., Ltd.............................. 1,012,387 721,863 *Rexon Industrial Corp., Ltd........................... 126,000 23,445 *Rich Development Co., Ltd............................. 1,063,974 515,171 Richtek Technology Corp............................... 539,000 2,929,959 #*Ritek Corp............................................ 10,463,387 1,069,488 *Ruentex Engineering & Construction Co................. 14,000 17,227 *Run Long Construction Co., Ltd........................ 296,000 351,257 *Sainfoin Technology Corp.............................. 131,260 -- Sampo Corp............................................ 2,369,327 732,361 San Fang Chemical Industry Co., Ltd................... 487,789 384,633 *San Shing Fastech Corp................................ 18,000 26,195 #*Sanyang Industrial Co., Ltd........................... 2,704,628 1,719,689 #Sanyo Electric Taiwan Co., Ltd........................ 508,000 513,594 SCI Pharmtech, Inc.................................... 71,936 153,006 #SDI Corp.............................................. 446,000 293,490 Senao International Co., Ltd.......................... 375,541 1,221,521 #*Sercomm Corp.......................................... 649,000 871,778 #Sesoda Corp........................................... 489,250 517,182 Shan-Loong Transportation Co., Ltd.................... 24,000 17,536 Sheng Yu Steel Co., Ltd............................... 552,980 338,711 161 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) #ShenMao Technology, Inc................................ 341,891 $ 368,700 Shih Wei Navigation Co., Ltd........................... 650,598 536,551 #Shihlin Electric & Engineering Corp.................... 1,191,000 1,414,082 #*Shihlin Paper Corp..................................... 446,000 681,748 Shin Hai Gas Corp...................................... 1,050 1,355 #Shin Zu Shing Co., Ltd................................. 394,144 1,361,091 #*Shining Building Business Co., Ltd..................... 855,882 593,405 #Shinkong Insurance Co., Ltd............................ 798,131 509,374 Shinkong Synthetic Fibers Co., Ltd..................... 7,179,395 2,201,323 Shiny Chemical Industrial Co., Ltd..................... 186,000 246,936 *Shuttle, Inc........................................... 1,025,152 348,790 #Sigurd Microelectronics Corp........................... 1,526,974 1,266,433 *Silicon Integrated Systems Corp........................ 2,289,820 837,792 #Silitech Technology Corp............................... 495,533 736,801 #Sinbon Electronics Co., Ltd............................ 640,000 561,313 Sincere Navigation Corp................................ 1,244,786 1,043,215 *Singatron Enterprise Co., Ltd.......................... 163,000 128,160 Sinkang Industries, Ltd................................ 153,521 51,832 #Sinkong Textile Co., Ltd............................... 695,542 835,013 Sinmag Equipment Corp.................................. 109,200 450,573 #*Sino-American Silicon Products, Inc.................... 1,231,000 1,187,699 #Sinon Corp............................................. 1,348,510 590,567 #Sinphar Pharmaceutical Co., Ltd........................ 464,588 451,336 #Sinyi Realty Co., Ltd.................................. 610,636 816,834 *Sirtec International Co., Ltd.......................... 295,000 327,747 #Sitronix Technology Corp............................... 427,879 535,947 *Siward Crystal Technology Co., Ltd..................... 447,000 124,255 Skymedi Corp........................................... 205,000 190,311 *Soft-World International Corp.......................... 390,000 594,109 Solar Applied Materials Technology Co.................. 980,581 1,092,738 *Solomon Technology Corp................................ 147,138 55,621 #*Solytech Enterprise Corp............................... 702,000 203,944 #Sonix Technology Co., Ltd.............................. 625,000 772,863 Southeast Cement Co., Ltd.............................. 899,700 392,289 Spirox Corp............................................ 66,000 25,172 Sporton International, Inc............................. 79,960 181,402 *St. Shine Optical Co., Ltd............................. 146,000 1,906,941 #Standard Chemical & Pharmaceutical Co., Ltd............ 331,571 274,387 Star Comgistic Capital Co., Ltd........................ 344,785 123,620 #Stark Technology, Inc.................................. 445,860 366,689 #Sunonwealth Electric Machine Industry Co., Ltd......... 576,487 345,143 *Sunplus Technology Co., Ltd............................ 2,080,000 579,813 #Sunrex Technology Corp................................. 768,736 322,255 Sunspring Metal Corp................................... 167,000 153,418 #Super Dragon Technology Co., Ltd....................... 202,382 160,637 #Supreme Electronics Co., Ltd........................... 743,000 270,655 *Swancor Ind Co., Ltd................................... 70,000 93,409 Sweeten Construction Co., Ltd.......................... 386,889 211,366 Syncmold Enterprise Corp............................... 398,000 685,690 *Synmosa Biopharma Corp................................. 175,000 177,265 *Sysage Technology Co., Ltd............................. 100,000 84,298 Sysware Systex Corp.................................... 242,388 255,856 Ta Chen Stainless Pipe Co., Ltd........................ 1,927,953 933,477 *Ta Chong Bank, Ltd..................................... 5,718,322 1,793,477 *Ta Chong Securities Co., Ltd........................... 84,000 20,856 Ta Ya Electric Wire & Cable Co., Ltd................... 2,147,306 494,373 #Ta Yih Industrial Co., Ltd............................. 194,000 318,196 #Tah Hsin Industrial Corp............................... 455,000 427,920 *TAI Roun Products Co., Ltd............................. 239,000 85,047 #TA-I Technology Co., Ltd............................... 655,778 372,306 Taichung Commercial Bank............................... 6,136,592 1,941,231 162 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- TAIWAN -- (Continued) *TaiDoc Technology Corp................................. 87,000 $ 126,860 #*Taiflex Scientific Co., Ltd............................ 626,000 653,582 *Taimide Tech, Inc...................................... 162,000 168,577 #Tainan Enterprises Co., Ltd............................ 465,370 452,085 #Tainan Spinning Co., Ltd............................... 3,639,988 1,605,370 #Taisun Enterprise Co., Ltd............................. 1,127,428 601,330 Taita Chemical Co., Ltd................................ 724,952 214,486 #Taiwan Acceptance Corp................................. 264,480 567,665 *Taiwan Business Bank................................... 758,933 210,938 #Taiwan Cogeneration Corp............................... 1,235,566 792,407 #Taiwan Fire & Marine Insurance Co., Ltd................ 853,338 598,452 *Taiwan Flourescent Lamp Co., Ltd....................... 176,000 17,954 Taiwan Fu Hsing Industrial Co., Ltd.................... 506,000 400,043 Taiwan Hon Chuan Enterprise Co., Ltd................... 938,814 1,997,210 *Taiwan Hopax Chemicals Manufacturing Co., Ltd.......... 192,120 76,285 *Taiwan Kolin Co., Ltd.................................. 1,356,000 -- *Taiwan Land Development Corp........................... 2,458,483 957,241 #*Taiwan Life Insurance Co., Ltd......................... 1,360,232 806,459 #Taiwan Line Tek Electronic Co., Ltd.................... 301,529 304,715 Taiwan Mask Corp....................................... 791,412 250,462 Taiwan Navigation Co., Ltd............................. 610,777 478,783 Taiwan Paiho Co., Ltd.................................. 1,041,287 568,010 *Taiwan PCB Techvest Co., Ltd........................... 665,548 919,675 #Taiwan Prosperity Chemical Corp........................ 442,000 504,863 #Taiwan Pulp & Paper Corp............................... 1,554,980 455,779 #Taiwan Sakura Corp..................................... 934,003 498,271 Taiwan Secom Co., Ltd.................................. 939,332 1,998,936 *Taiwan Semiconductor Co., Ltd.......................... 335,000 143,170 #Taiwan Sogo Shinkong Security Co., Ltd................. 997,278 1,128,324 *Taiwan Styrene Monomer Corp............................ 2,280,303 577,848 *Taiwan Surface Mounting Technology Co., Ltd............ 707,000 1,048,637 #Taiwan Tea Corp........................................ 2,487,897 1,203,016 *Taiwan Union Technology Corp........................... 560,000 270,295 Taiyen Biotech Co., Ltd................................ 710,000 473,690 *Tang Eng Iron Works Co., Ltd........................... 54,000 49,703 #*Tatung Co., Ltd........................................ 8,166,455 1,872,950 *Te Chang Construction Co., Ltd......................... 107,000 111,700 Teco Electric & Machinery Co., Ltd..................... 4,753,000 3,227,136 *Tecom, Ltd............................................. 108,114 7,097 *Tekcore Co., Ltd....................................... 127,000 49,646 #Ten Ren Tea Co., Ltd................................... 178,980 274,471 #Test Research, Inc..................................... 575,926 941,080 Test-Rite International Co., Ltd....................... 1,270,495 940,860 *ThaiLin Semiconductor Corp............................. 120,000 40,183 #Thinking Electronic Industrial Co., Ltd................ 319,204 303,921 #Thye Ming Industrial Co., Ltd.......................... 671,360 637,411 TNC Industrial Corp., Ltd.............................. 197,000 137,820 Ton Yi Industrial Corp................................. 2,949,644 1,659,582 #Tong Hsing Electronic Industries, Ltd.................. 431,963 1,497,671 #Tong Yang Industry Co., Ltd............................ 1,490,382 1,201,114 #Tong-Tai Machine & Tool Co., Ltd....................... 709,313 528,882 #Topco Scientific Co., Ltd.............................. 541,082 799,512 *Topco Technologies Corp................................ 46,000 92,594 Topoint Technology Co., Ltd............................ 565,111 317,963 *Toung Loong Textile Manufacturing...................... 88,000 68,763 *Transasia Airways Corp................................. 232,000 110,334 Transcend Information, Inc............................. 724,651 1,821,416 #Tsann Kuen Enterprise Co., Ltd......................... 399,686 826,026 *TSC Auto ID Technology Co., Ltd........................ 17,000 49,598 #TTET Union Corp........................................ 270,000 459,783 #*TTY Biopharm Co., Ltd................................. 555,280 1,733,163 163 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- TAIWAN -- (Continued) #Tung Ho Steel Enterprise Corp......................... 2,725,000 $2,582,190 #Tung Ho Textile Co., Ltd.............................. 598,000 164,565 Tung Thih Electronic Co., Ltd......................... 167,000 384,707 TXC Corp.............................................. 1,074,053 1,865,407 TYC Brother Industrial Co., Ltd....................... 717,218 254,769 #*Tycoons Group Enterprise Co., Ltd..................... 1,896,182 286,631 #*Tyntek Corp........................................... 1,341,393 290,326 *Tze Shin International Co., Ltd....................... 356,416 170,208 *Ubright Optronics Corp................................ 88,000 415,107 #*Union Bank of Taiwan.................................. 3,222,537 1,102,492 Unitech Electronics Co., Ltd.......................... 281,804 134,550 #Unitech Printed Circuit Board Corp.................... 2,274,370 666,226 United Integration Service Co., Ltd................... 881,439 773,034 #*Unity Opto Technology Co., Ltd........................ 1,024,500 831,571 Universal Cement Corp................................. 1,409,191 672,449 *Universal Microelectronics Co., Ltd................... 84,000 18,499 Universal, Inc........................................ 98,971 55,552 Unizyx Holding Corp................................... 1,515,430 616,600 #UPC Technology Corp................................... 2,893,910 1,489,843 Userjoy Technology Co., Ltd........................... 41,000 66,918 USI Corp.............................................. 2,917,734 2,195,102 *Vanguard International Semiconductor Corp............. 1,143,000 740,431 Ve Wong Corp.......................................... 433,696 286,436 *Veutron Corp.......................................... 51,628 5,329 *Via Technologies, Inc................................. 1,520,500 696,174 Viking Tech Corp...................................... 43,000 32,687 #Visual Photonics Epitacy Co., Ltd..................... 859,696 900,556 *Vivotek, Inc.......................................... 187,000 584,818 #*Wafer Works Corp...................................... 411,580 162,696 *Wah Hong Industrial Corp.............................. 91,000 125,675 Wah Lee Industrial Corp............................... 693,000 886,441 *Walsin Lihwa Corp..................................... 3,797,000 1,038,098 *Walsin Technology Corp., Ltd.......................... 2,165,873 480,490 *Walton Advanced Engineering, Inc...................... 1,137,197 296,949 *Walton Chaintech Corp................................. 171,526 268,214 *Wan Hai Lines Co., Ltd................................ 1,866,000 912,191 WAN HWA Enterprise Co., Ltd........................... 609,608 298,223 Waterland Financial Holdings Co., Ltd................. 5,179,131 1,566,362 *Ways Technical Corp., Ltd............................. 203,000 370,273 *WEI Chih Steel Industrial Co., Ltd.................... 433,000 65,893 #Wei Chuan Foods Corp.................................. 1,542,000 1,640,201 *Wei Mon Industry Co., Ltd............................. 975,000 463,860 #Weikeng Industrial Co., Ltd........................... 795,100 553,513 Well Shin Technology Co., Ltd......................... 226,000 310,029 *Wellypower Optronics Corp............................. 491,000 190,514 #*Weltrend Semiconductor, Inc........................... 951,833 335,101 #*Win Semiconductors Corp............................... 1,253,000 1,279,291 #*Winbond Electronics Corp.............................. 11,263,138 1,516,173 *Wintek Corp........................................... 6,673,000 2,632,828 Wisdom Marine Lines Co., Ltd.......................... 235,400 307,532 #Wistron NeWeb Corp.................................... 802,069 1,192,389 #WT Microelectronics Co., Ltd.......................... 1,087,879 1,314,867 *WUS Printed Circuit Co., Ltd.......................... 1,301,000 527,093 *XAC Automation Corp................................... 107,000 92,500 *Xxentria Technology Materials Corp.................... 469,000 699,065 #*Yageo Corp............................................ 7,705,000 2,228,708 *Yang Ming Marine Transport Corp....................... 2,097,000 817,680 YC INOX Co., Ltd...................................... 1,182,171 622,678 *YeaShin International Development Co., Ltd............ 312,000 231,666 #Yem Chio Co., Ltd..................................... 1,061,576 753,578 YFY, Inc.............................................. 4,607,212 1,875,440 164 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ------------ TAIWAN -- (Continued) #*Yi Jinn Industrial Co., Ltd......................... 424,312 $ 100,825 Yieh Phui Enterprise Co., Ltd....................... 4,115,338 1,146,193 #Young Fast Optoelectronics Co., Ltd................. 530,872 909,279 #Young Optics, Inc................................... 209,111 461,612 #*Youngtek Electronics Corp........................... 347,532 713,876 *Yufo Electronics Co., Ltd........................... 37,000 24,442 Yung Chi Paint & Varnish Manufacturing Co., Ltd..... 270,869 511,625 Yung Tay Engineering Co., Ltd....................... 1,170,000 2,330,244 #YungShin Global Holding Corp........................ 635,300 861,830 Zeng Hsing Industrial Co., Ltd...................... 151,000 507,658 #Zenitron Corp....................................... 740,000 447,982 #Zig Sheng Industrial Co., Ltd....................... 1,626,270 495,862 Zinwell Corp........................................ 1,171,586 945,236 #Zippy Technology Corp............................... 397,948 277,590 ------------ TOTAL TAIWAN........................................... 406,004,257 ------------ THAILAND -- (3.5%) A.J. Plast PCL (Foreign)............................ 770,388 379,539 Aapico Hitech PCL (Foreign)......................... 425,400 308,120 Aeon Thana Sinsap (Thailand) PCL (Foreign).......... 142,500 324,286 Amata Corp. PCL (Foreign)........................... 1,818,700 913,800 *Apex Development PCL (Foreign)...................... 3,536 -- *Asia Green Energy PCL (Foreign)..................... 619,900 75,642 Asia Plus Securities PCL (Foreign).................. 3,856,000 286,841 Asian Property Development PCL (Foreign)............ 5,334,160 1,514,101 Bangchak Petroleum PCL (Foreign).................... 2,535,700 2,171,684 Bangkok Aviation Fuel Services PCL (Foreign)........ 1,095,917 593,547 Bangkok Chain Hospital PCL (Foreign)................ 4,195,650 1,279,913 Bangkok Expressway PCL (Foreign).................... 1,473,100 1,333,720 Bangkok Insurance PCL (Foreign)..................... 127,501 1,110,694 Bangkok Life Assurance PCL (Foreign) NVDR........... 1,718,600 2,369,033 *Bangkok Metro PCL (Foreign)......................... 8,870,600 193,909 *Bangkok Rubber PCL (Foreign)........................ 14,600 1,181 Bangkokland PCL (Foreign)........................... 39,025,670 1,680,714 Bumrungrad Hospital PCL (Foreign)................... 1,241,000 3,067,072 C.S. Loxinfo PCL (Foreign).......................... 694,200 208,373 Cal-Comp Electronics (Thailand) PCL (Foreign)....... 5,047,200 438,028 *Central Paper Industry PCL (Foreign)................ 20 1,370 Central Plaza Hotel PCL (Foreign)................... 2,548,900 1,621,649 CH Karnchang PCL (Foreign).......................... 5,219,100 1,472,927 Charoong Thai Wire & Cable PCL (Foreign)............ 452,700 144,007 Delta Electronics Thailand PCL (Foreign)............ 1,879,600 1,793,746 Dhipaya Insurance PCL (Foreign)..................... 69,500 57,255 Diamond Building Products PCL (Foreign)............. 1,542,400 395,036 *DSG International Thailand PCL (Foreign)............ 938,500 270,986 Dynasty Ceramic PCL (Foreign)....................... 777,200 1,204,470 Eastern Water Resources Development & Management PCL (Foreign)..................................... 3,141,200 1,301,574 Electricity Generating PCL (Foreign)................ 747,700 3,195,716 Electricity Generating PCL (Foreign) NVDR........... 26,300 112,408 Erawan Group PCL (Foreign).......................... 4,321,970 482,256 Esso (Thailand) PCL (Foreign)....................... 6,185,400 2,179,521 *G J Steel PCL (Foreign)............................. 47,637,200 217,592 *G Steel PCL (Foreign)............................... 27,015,300 308,494 *GFPT PCL(Foreign)................................... 2,406,300 573,115 *GMM Grammy PCL (Foreign)............................ 1,031,700 649,651 Hana Microelectronics PCL (Foreign)................. 1,561,696 1,120,956 Hermraj Land & Development PCL (Foreign)............ 18,324,100 1,877,249 Home Product Center PCL (Foreign)................... 2,257,073 839,499 ICC International PCL (Foreign)..................... 204,600 277,028 *Italian-Thai Development PCL (Foreign) NVDR......... 8,107,230 1,068,620 *ITV PCL (Foreign)................................... 2,785,600 95,428 165 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ---------- THAILAND -- (Continued) Jasmine International PCL (Foreign)................... 12,427,200 $1,962,403 Kang Yong Electric PCL (Foreign)...................... 23,900 253,426 *KCE Electronics PCL (Foreign)......................... 553,400 175,138 KGI Securities (Thailand) PCL (Foreign)............... 3,114,900 223,582 Khon Kaen Sugar Industry PCL (Foreign)................ 2,760,900 1,216,057 Kiatnakin Bank PCL (Foreign).......................... 256,000 371,680 Kiatnakin Bank PCL (Foreign) NVDR..................... 1,157,400 1,680,401 L.P.N. Development PCL (Foreign) NVDR................. 411,500 243,007 *Laguna Resorts & Hotels PCL (Foreign)................. 80,500 93,895 Lanna Resources PCL (Foreign)......................... 869,500 695,033 Loxley PCL (Foreign).................................. 3,670,520 555,668 LPN Development PCL (Foreign)......................... 1,488,000 878,721 Major Cineplex Group PCL (Foreign).................... 1,940,700 1,247,367 MBK PCL (Foreign)..................................... 330,900 1,192,967 MCOT PCL (Foreign).................................... 1,172,500 1,281,525 *Minor International PCL (Foreign)..................... 5,404,213 3,226,659 Modernform Group PCL (Foreign)........................ 331,400 74,065 Muang Thai Insurance PCL (Foreign).................... 19,588 47,292 Muramoto Electronic (Thailand) PCL (Foreign).......... 14,000 82,675 Patum Rice Mill & Granary PCL (Foreign)............... 5,500 17,765 Polyplex PCL (Foreign)................................ 1,497,100 674,061 Precious Shipping PCL (Foreign)....................... 2,003,100 875,744 *President Rice Products PCL (Foreign)................. 2,700 5,638 Preuksa Real Estate PCL (Foreign)..................... 3,724,700 2,381,864 Property Perfect PCL (Foreign)........................ 12,220,600 442,573 Quality Houses PCL (Foreign).......................... 18,063,608 1,261,211 *Raimon Land PCL (Foreign)............................. 13,557,900 884,692 Ratchaburi Electricity Generating Holding PCL (Foreign)........................................... 37,300 65,716 *Regional Container Lines PCL (Foreign)................ 1,850,300 422,581 *Robinson Department Store PCL (Foreign)............... 1,029,325 2,040,179 *Rojana Industrial Park PCL (Foreign).................. 3,199,300 1,007,284 Saha Pathana Inter-Holding PCL (Foreign).............. 680,300 654,775 Saha-Union PCL (Foreign).............................. 581,000 720,326 *Sahaviriya Steel Industries PCL (Foreign)............. 36,151,800 778,473 Samart Corp. PCL (Foreign)............................ 1,860,900 680,003 Samart I-Mobile PCL (Foreign)......................... 8,442,100 600,450 Samart Telcoms PCL (Foreign).......................... 1,181,000 739,811 Sansiri PCL (Foreign)................................. 12,672,108 1,273,412 SC Asset Corp. PCL (Foreign).......................... 1,443,300 904,123 SE-Education PCL (Foreign)............................ 152,790 55,333 Siam City Cement PCL (Foreign)........................ 127,600 1,773,494 Siam Future Development PCL (Foreign)................. 2,177,775 540,003 *Siam Global House PCL (Foreign)....................... 1,066,800 577,777 Siam Makro PCL (Foreign).............................. 117,200 1,758,956 Siamgas & Petrochemicals PCL (Foreign)................ 1,753,100 829,362 Sino-Thai Engineering & Construction PCL (Foreign).... 2,222,600 1,551,832 SNC Former PCL (Foreign).............................. 569,600 429,291 Somboon Advance Technology PCL........................ 15,850 14,609 Somboon Advance Technology PCL (Foreign).............. 728,000 670,995 *SPCG PCL (Foreign).................................... 666,000 332,457 Sri Trang Agro Industry PCL (Foreign)................. 2,357,590 1,215,332 *Srithai Superware PCL (Foreign)....................... 531,700 503,077 STP & I PCL (Foreign)................................. 746,935 1,389,080 Supalai PCL (Foreign)................................. 2,942,733 1,843,409 *SVI PCL (Foreign)..................................... 3,904,200 496,782 *Tata Steel (Thailand) PCL (Foreign)................... 9,617,100 251,017 *Thai Airways International PCL (Foreign).............. 3,877,100 2,922,056 *Thai Airways International PCL (Foreign) NVDR......... 141,400 106,569 Thai Carbon Black PCL (Foreign)....................... 278,400 252,059 *Thai Central Chemical PCL (Foreign)................... 105,300 71,803 Thai Rayon PCL (Foreign).............................. 1,700 2,829 166 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- ------------ THAILAND -- (Continued) *Thai Reinsurance PCL (Foreign)...................... 5,072,500 $ 655,370 *Thai Reinsurance PCL (Foreign) NVDR................. 833,200 107,650 *Thai Rung Union Car PCL (Foreign)................... 397,300 141,291 Thai Stanley Electric PCL (Foreign)................. 156,000 1,109,560 Thai Tap Water Supply PCL (Foreign)................. 7,007,700 1,806,226 Thai Union Frozen Products PCL (Foreign)............ 116,290 273,177 Thai Vegetable Oil PCL (Foreign).................... 1,833,175 1,471,325 Thai Wacoal PCL (Foreign)........................... 78,000 121,517 *Thaicom PCL (Foreign)............................... 2,518,100 1,807,445 Thai-German Ceramic Industry PCL (Foreign).......... 1,267,900 183,670 Thanachart Capital PCL (Foreign).................... 2,352,200 2,839,524 Thoresen Thai Agencies PCL (Foreign)................ 1,429,700 746,336 Ticon Industrial Connection PCL (Foreign)........... 1,844,587 788,388 *Tipco Asphalt PCL (Foreign)......................... 306,190 459,535 TIPCO Foods PCL (Foreign)........................... 130,682 24,729 Tisco Financial Group PCL (Foreign)................. 1,212,500 1,770,290 *Toyo-Thai Corp PCL (Foreign)........................ 690,600 613,992 TPI Polene PCL (Foreign)............................ 3,716,960 1,709,923 *True Corp. PCL (Foreign)............................ 23,704,694 3,944,337 *Tycoons Worldwide Group PCL (Foreign)............... 804,700 169,341 Univanich Palm Oil PCL (Foreign).................... 60,700 188,140 Vanachai Group PCL (Foreign)........................ 2,634,566 417,748 Vibhavadi Medical Center PCL (Foreign).............. 585,600 134,698 Vinythai PCL (Foreign).............................. 2,273,034 1,364,562 Workpoint Entertainment PCL (Foreign)............... 407,300 401,985 ------------ TOTAL THAILAND......................................... 112,281,873 ------------ TURKEY -- (2.8%) Adana Cimento Sanayii T.A.S. Series A............... 314,641 619,813 Adana Cimento Sanayii T.A.S. Series C............... 68,238 26,660 *Afyon Cimento Sanayi T.A.S.......................... 6,850 273,352 Akcansa Cimento A.S................................. 278,579 1,371,964 *Akenerji Elektrik Uretim A.S........................ 686,112 800,183 *Akfen Holding A.S................................... 261,434 1,324,653 Aksa Akrilik Kimya Sanayii A.S...................... 573,911 1,507,618 Aksigorta A.S....................................... 791,541 892,670 *Aktas Elektrik Ticaret A.S.......................... 370 30,962 Alarko Holding A.S.................................. 463,399 1,075,773 *Albaraka Turk Katilim Bankasi A.S................... 1,724,147 1,366,406 *Alcatel-Lucent Teletas Telekomunikasyon A.S......... 1 1 *Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 110,344 2,203,504 *Anadolu Anonim Tuerk Sigorta Sirketi A.S............ 1,341,783 688,254 *Anadolu Cam Sanayii A.S............................. 678,223 1,014,551 Anadolu Hayat Sigorta A.S........................... 472,005 1,180,362 Aselsan Elektronik Sanayi Ve Ticaret A.S............ 269,268 1,018,944 *Asya Katilim Bankasi A.S............................ 3,162,283 3,549,216 Ayen Enerji A.S..................................... -- -- Aygaz A.S........................................... 124,525 574,164 Bagfas Bandirma Gubre Fabrikalari A.S............... 34,971 1,078,268 *Banvit Bandirma Vitaminli Yem Sanayii A.S........... 210,446 431,960 Baticim Bati Anabolu Cimento Sanayii A.S............ 220,953 828,434 Bizim Toptan Satis Magazalari A.S................... 112,998 1,547,402 Bolu Cimento Sanayii A.S............................ 359,959 264,988 Borusan Mannesmann Boru Sanayi ve Ticaret A.S....... 59,854 898,290 *Bosch Fren Sistemleri Sanayi ve Ticaret A.S......... 989 87,825 *Boyner Buyuk Magazacilik A.S........................ 217,168 499,530 Bursa Cimento Fabrikasi A.S......................... 194,283 515,585 *Celebi Hava Servisi A.S............................. 36,194 413,105 Cimsa Cimento Sanayi ve Ticaret A.S................. 262,753 1,242,366 *Deva Holding A.S.................................... 212,008 239,093 *Dogan Gazetecilik A.S............................... 114,947 93,077 167 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ --------- ---------- TURKEY -- (Continued) *Dogan Sirketler Grubu Holding A.S...................... 5,005,457 $2,177,539 *Dogan Yayin Holding A.S................................ 2,912,329 1,055,863 Dogus Otomotiv Servis ve Ticaret A.S................... 490,086 1,822,621 *Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S........ 218,428 614,563 Eczacibasi Yatirim Holding Ortakligi A.S............... 220,616 721,337 EGE Seramik Sanayi ve Ticaret A.S...................... 393,240 498,240 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S................................ 1,137,642 1,205,862 *Fenerbahce Sportfi Hizmetler Sanayi ve Ticaret A.S..... 19,461 431,807 *Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. (B03MSV9)............................................. 10,276 226,445 Gentas Genel Metal Sanayi ve Ticaret A.S............... 463,448 341,156 *Global Yatirim Holding A.S............................. 1,487,444 1,045,178 *Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S........ 8,540 2,382 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S.... 28,745 862,037 Goodyear Lastikleri T.A.S.............................. 31,518 922,889 *GSD Holding A.S........................................ 1,349,296 519,209 *Gubre Fabrikalari Ticaret A.S.......................... 140,650 985,455 *Gunes Sigorta A.S...................................... 254,048 296,375 Hektas Ticaret T.A.S................................... -- -- *Hurriyet Gazetecilik ve Matbaacilik A.S................ 821,279 370,802 *Ihlas EV Aletleri A.S.................................. 387,355 153,410 *Ihlas Holding A.S...................................... 4,740,263 3,463,524 *Ipek Dogal Enerji Kaynaklari Ve Uretim A.S............. 599,231 1,511,859 *Is Finansal Kiralama A.S............................... 872,130 476,518 Is Yatirim Menkul Degerler A.S......................... 234,612 227,976 *Isiklar Yatirim Holding A.S............................ 237,725 84,828 *Izmir Demir Celik Sanayi A.S........................... 429,065 973,694 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A.............................................. 1,003,252 823,068 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B.............................................. 488,477 566,805 Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D.............................................. 3,162,228 2,327,942 *Karsan Otomotiv Sanayii Ve Ticaret A.S................. 266,647 165,074 Kartonsan Karton Sanayi ve Ticaret A.S................. 5,266 708,428 *Kerevitas Gida Sanayii ve Ticaret A.S.................. 8,607 211,816 Konya Cimento Sanayii A.S.............................. 5,538 958,422 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S.......................................... 128,742 257,894 *Koza Anadolu Metal Madencilik Isletmeleri A.S.......... 1,246,039 3,163,627 Mardin Cimento Sanayii ve Ticaret A.S.................. 256,931 736,615 *Marshall Boya ve Vernik A.S............................ 20,057 562,370 *Marti Otel Isletmeleri A.S............................. -- -- *Menderes Tekstil Sanayi ve Ticaret A.S................. 831,656 278,193 *Metro Ticari ve Mali Yatirimlar Holding A.S............ 899,014 236,064 *Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S......... 149,549 91,756 *Mudurnu Tavukculuk A.S................................. 1,740 437 *Nergis Holding A.S..................................... 1,784 3,682 *Net Holding A.S........................................ 1,294,842 1,287,109 *Net Turizm Ticaret ve Sanayi A.S....................... 1,076,216 384,562 Netas Telekomunikasyon A.S............................. 139,160 806,697 Nuh Cimento Sanayi A.S................................. 266,953 1,463,022 Otokar Otomotive Ve Savunma Sanayi A.S................. 51,928 1,150,076 Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S.. 389,187 1,428,805 Petkim Petrokimya Holding A.S.......................... 2,162,168 2,473,179 Pinar Entegre Et ve Un Sanayi A.S...................... 111,334 356,692 Pinar SUT Mamulleri Sanayii A.S........................ 119,566 976,720 *Polyester Sanayi A.S................................... 569,907 381,492 *Raks Elektronik Sanayi ve Ticaret A.S.................. 2,730 1,203 *Reysas Tasimacilik ve Lojistik Ticaret A.S............. 8,051 3,324 Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S..... 238,910 306,690 *Sekerbank T.A.S........................................ 2,204,122 1,881,824 Selcuk Ecza Deposu Ticaret ve Sanayi A.S............... 851,455 1,021,649 *Soda Sanayii A.S....................................... 249,252 386,816 Soktas Tekstil Sanayi ve Ticaret A.S................... -- 1 *TAT Konserve Sanayii A.S............................... 414,156 559,429 168 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- -------------- TURKEY -- (Continued) Tekfen Holding A.S................................ 916,171 $ 3,315,197 *Tekstil Bankasi A.S............................... 870,891 335,205 Tofas Turk Otomobil Fabrikasi A.S................. 1 6 *Trabzonspor Sportif Yatirim ve T.A.S.............. 2,812 17,290 *Trakya Cam Sanayii A.S............................ 1,329,358 1,626,630 Turcas Petrol A.S................................. 472,965 765,444 Turk Traktor ve Ziraat Makineleri A.S............. 76,602 1,675,666 Turkiye Sinai Kalkinma Bankasi A.S................ 3,267,245 3,756,235 Ulker Biskuvi Sanayi A.S.......................... 585,505 2,656,343 *Uzel Makina Sanayii A.S........................... 172,635 -- *Vakif Finansal Kiralama A.S....................... 1 -- *Vestel Beyaz Esya Sanayi ve Ticaret A.S........... 374,093 534,312 *Vestel Elektronik Sanayi ve Ticaret A.S........... 587,101 590,058 Yapi Kredi Sigorta A.S............................ 167,272 1,504,298 *Zorlu Enerji Elektrik Uretim A.S.................. 1,047,913 619,710 -------------- TOTAL TURKEY......................................... 92,008,419 -------------- TOTAL COMMON STOCKS.................................. 2,893,797,143 -------------- PREFERRED STOCKS -- (1.6%) BRAZIL -- (1.6%) Alpargatas SA..................................... 534,600 4,048,225 Banco ABC Brasil SA............................... 434,709 2,469,925 Banco Alfa de Investimento SA..................... 2,600 6,516 Banco Daycoval SA................................. 126,800 661,142 Banco do Estado do Rio Grande do Sul SA........... 403,347 3,187,376 Banco Industrial e Comercial SA................... 321,920 1,055,605 *Banco Indusval SA................................. 11,800 39,158 Banco Mercantil do Brasil SA...................... 8,069 44,694 Banco Panamericano SA............................. 552,900 1,268,563 Banco Pine SA..................................... 96,735 676,320 Banco Sofisa SA................................... 92,600 162,764 Bardella SA Industrias Mecanicas.................. 500 19,864 *Battistella Adm Participacoes SA.................. 35,500 20,450 *Bombril SA........................................ 17,600 63,691 Centrais Eletricas de Santa Catarina SA........... 75,400 1,103,686 Cia de Gas de Sao Paulo SA Preferred Series A..... 109,272 2,875,650 Cia de Saneamento do Parana SA.................... 181,700 787,258 *Cia de Tecidos Norte de Minas - Coteminas SA...... 161,842 223,115 Cia Energetica do Ceara SA Preferred Series A..... 135,700 2,448,687 Cia Ferro Ligas da Bahia-Ferbasa.................. 214,931 1,055,051 Contax Participacoes SA........................... 158,500 1,870,582 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA........................................ 707,800 5,621,139 *Empressa Metropolitanade Aguas e Energia SA....... 24,000 101,977 Energisa SA....................................... 126,700 159,073 Eucatex SA Industria e Comercio SA................ 73,627 291,456 Forjas Taurus SA.................................. 288,032 469,405 Fras-Le Middle East SA Preferred Series A......... 30,300 73,846 *Gol Linhas Aereas Inteligentes SA................. 155,600 777,598 *Industria de Bebidas Antarctica Polar SA.......... 23,000 29,726 *Inepar SA Industria e Construcoes................. 279,068 263,810 Klabin SA......................................... 743,800 4,368,939 *Kroton Educacional SA............................. 2,934 7,396 *Mangels Industrial SA............................. 14,600 23,147 Marcopolo SA...................................... 1,047,700 6,143,673 Parana Banco SA................................... 41,600 277,326 Randon Participacoes SA........................... 708,226 3,745,032 Saraiva SA Livreiros Editores..................... 100,273 1,245,606 Schulz SA......................................... 9,000 37,444 *Sharp SA Equipamentos Eletronicos................. 30,200,000 297 Suzano Papel e Celulose SA........................ 1,276,798 3,319,216 Unipar Participacoes SA Preferred Series B........ 1,603,879 323,769 169 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED SHARES VALUE++ ---------- -------------- BRAZIL -- (Continued) Whirlpool SA...................................... 288,416 $ 445,891 -------------- TOTAL BRAZIL......................................... 51,814,088 -------------- INDIA -- (0.0%) *JSW ISPAT Steel, Ltd.............................. 178,432 15,097 -------------- MALAYSIA -- (0.0%) *TA Global Berhad.................................. 1,041,678 83,726 -------------- TOTAL PREFERRED STOCKS............................... 51,912,911 -------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) *OSX Brasil SA Rights 11/26/12..................... 14,965 147 *Viver Incorporadora e Construtora SA Rights 11/05/12......................................... 117,949 11,615 -------------- TOTAL BRAZIL......................................... 11,762 -------------- INDONESIA -- (0.0%) *PT Modern Internasional Tbk Rights 11/08/12....... 27,300 540 -------------- MALAYSIA -- (0.0%) *Eng Kah Corp. Berhad 09/25/17..................... 1,990 519 *Hartalega Holdings Berhad Warrants 05/29/15....... 12,250 4,544 *Malayan Flour Mills Berhad Warrants 05/09/17...... 850 98 *Notion VTEC Berhad Warrants 05/02/17.............. 10,316 694 *RCE Capital Berhad Rights 11/19/12................ 614,340 -- -------------- TOTAL MALAYSIA....................................... 5,855 -------------- POLAND -- (0.0%) *Polimex-Mostostal SA Rights....................... 2,699,832 12,515 -------------- SOUTH AFRICA -- (0.0%) #*Capitec Bank Holdings, Ltd. Rights 11/09/12....... 22,904 84,368 -------------- SOUTH KOREA -- (0.0%) *Lotte Non-Life Insurance Co., Ltd. Rights 12/04/12.................................. 28,515 21,309 -------------- TAIWAN -- (0.0%) *Chang Wah Electromaterials, Inc. Rights 11/08/12.. 10,904 1,792 *Howarm Construction Co., Ltd. Rights 10/17/12..... 91,237 -- -------------- TOTAL TAIWAN......................................... 1,792 -------------- THAILAND -- (0.0%) *Sahaviriya Steel Industries PCL (Foreign) Rights 11/30/12......................................... 3,615,180 -- -------------- TOTAL RIGHTS/WARRANTS................................ 138,141 -------------- SHARES/ FACE AMOUNT (000) VALUE+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (9.3%) (S)@DFA Short Term Investment Fund................... 26,101,988 302,000,000 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,930,243,382).............................. $3,247,848,195 ============== 170 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS OCTOBER 31, 2012 SHARES VALUE+ --------- ------------ COMMON STOCKS -- (95.0%) Consumer Discretionary -- (18.8%) *1-800-FLOWERS.COM, Inc. Class A...................... 47,037 $ 170,744 A.H. Belo Corp. Class A.............................. 2,236 11,180 #*ALCO Stores, Inc..................................... 700 6,944 #American Greetings Corp. Class A..................... 62,335 1,070,292 *America's Car-Mart, Inc.............................. 1,104 46,213 *Arctic Cat, Inc...................................... 18,032 654,021 *Ascent Capital Group, Inc. Class A................... 8,564 509,130 #Autoliv, Inc......................................... 9,404 541,670 *Ballantyne Strong, Inc............................... 16,433 66,225 #*Barnes & Noble, Inc.................................. 26,500 446,260 Bassett Furniture Industries, Inc.................... 2,900 33,263 #*Beasley Broadcast Group, Inc. Class A................ 9,471 46,029 #*Beazer Homes USA, Inc................................ 12,516 206,389 bebe stores, Inc..................................... 24,465 99,083 Belo Corp. Class A................................... 58,727 439,278 #Best Buy Co., Inc.................................... 197,800 3,008,538 Big 5 Sporting Goods Corp............................ 8,301 74,128 *Biglari Holdings, Inc................................ 1,657 585,932 *Bluegreen Corp....................................... 13,073 77,523 Bob Evans Farms, Inc................................. 52,387 1,994,373 Bon-Ton Stores, Inc. (The)........................... 2,986 36,668 #*Books-A-Million, Inc................................. 16,487 48,637 #*Boyd Gaming Corp..................................... 25,600 157,952 Brown Shoe Co., Inc.................................. 74,697 1,178,719 *Build-A-Bear Workshop, Inc........................... 26,974 96,837 #*Cabela's, Inc........................................ 53,051 2,377,215 *Cache, Inc........................................... 19,581 53,848 Callaway Golf Co..................................... 128,624 702,287 *Cambium Learning Group, Inc.......................... 37,733 34,337 Canterbury Park Holding Corp......................... 2,755 27,688 #Carnival Corp........................................ 489,649 18,547,904 Carriage Services, Inc............................... 20,916 222,337 *Casual Male Retail Group, Inc........................ 12,931 49,914 *Cavco Industries, Inc................................ 6,960 336,446 CBS Corp. Class A.................................... 28,712 933,140 CBS Corp. Class B.................................... 276,866 8,970,458 Christopher & Banks Corp............................. 58,754 183,312 Churchill Downs, Inc................................. 8,167 533,550 *Coast Distribution System, Inc. (The)................ 547 1,078 Comcast Corp. Class A................................ 3,570,978 133,947,385 Comcast Corp. Special Class A........................ 1,432,185 52,188,821 #*Conn's, Inc.......................................... 25,450 644,648 Core-Mark Holding Co., Inc........................... 24,059 1,151,704 #*Corinthian Colleges, Inc............................. 29,915 81,668 CSS Industries, Inc.................................. 13,050 262,305 Culp, Inc............................................ 10,036 126,855 *Cybex International, Inc............................. 29,063 71,786 #D.R. Horton, Inc..................................... 208,125 4,362,300 *dELiA*s, Inc......................................... 22,143 29,229 *Delta Apparel, Inc................................... 7,832 118,576 Destination Maternity Corp........................... 2,583 48,974 #Dillard's, Inc. Class A.............................. 120,300 9,263,100 *Discovery Communications, Inc. Class B............... 3,762 227,262 *Discovery Communications, Inc. Class C............... 5,089 278,775 *Dixie Group, Inc. (The).............................. 11,800 46,728 #*Dorman Products, Inc................................. 20,712 632,752 Dover Downs Gaming & Entertainment, Inc.............. 5,935 14,125 *Dover Motorsports, Inc............................... 15,098 22,345 171 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ------- ----------- Consumer Discretionary -- (Continued) #*DreamWorks Animation SKG, Inc. Class A................. 46,429 $ 945,759 *E.W. Scripps Co. Class A (The)......................... 41,061 435,657 #*Education Management Corp.............................. 14,803 47,074 Educational Development Corp........................... 1,679 6,649 Escalade, Inc.......................................... 377 1,960 *Exide Technologies..................................... 12,523 38,195 *Federal-Mogul Corp..................................... 38,585 290,931 *Fisher Communications, Inc............................. 9,042 228,220 #*Flanigan's Enterprises, Inc............................ 865 6,340 Flexsteel Industries, Inc.............................. 2,068 41,629 Foot Locker, Inc....................................... 120,973 4,052,595 Fred's, Inc. Class A................................... 45,730 619,641 Frisch's Restaurants, Inc.............................. 600 10,728 *Fuel Systems Solutions, Inc............................ 9,636 156,778 *Full House Resorts, Inc................................ 2,574 8,108 *Gaiam, Inc. Class A.................................... 5,988 19,701 #GameStop Corp. Class A................................. 104,752 2,391,488 Gaming Partners International Corp..................... 800 5,000 #Gannett Co., Inc....................................... 119,639 2,021,899 #*General Motors Co...................................... 674,707 17,205,028 *Genesco, Inc........................................... 6,456 369,929 *G-III Apparel Group, Ltd............................... 1,807 66,787 *Gray Television, Inc................................... 5,550 11,821 #Group 1 Automotive, Inc................................ 57,936 3,592,611 *Hallwood Group, Inc. (The)............................. 296 1,909 Harte-Hanks, Inc....................................... 12,006 66,873 *Hastings Entertainment, Inc............................ 400 800 Haverty Furniture Cos., Inc............................ 33,479 502,520 *Helen of Troy, Ltd..................................... 64,389 1,945,836 #*hhgregg, Inc........................................... 36,388 219,784 *Hollywood Media Corp................................... 19,037 25,319 Hooker Furniture Corp.................................. 14,814 202,063 Hot Topic, Inc......................................... 4,456 38,322 *Hyatt Hotels Corp. Class A............................. 12,101 441,686 #*Iconix Brand Group, Inc................................ 95,618 1,769,889 International Speedway Corp. Class A................... 24,844 633,522 *Isle of Capri Casinos, Inc............................. 15,434 93,839 #J.C. Penney Co., Inc................................... 206,990 4,969,830 #JAKKS Pacific, Inc..................................... 13,103 169,160 Jarden Corp............................................ 108,050 5,380,890 *Johnson Outdoors, Inc. Class A......................... 15,588 304,122 Jones Group, Inc. (The)................................ 103,143 1,218,119 *Journal Communications, Inc. Class A................... 77,674 435,751 KB Home................................................ 30,800 492,184 *Kid Brands, Inc........................................ 10,476 18,962 #*K-Swiss, Inc. Class A.................................. 1,039 2,369 *Lakeland Industries, Inc............................... 11,757 71,718 *La-Z-Boy, Inc.......................................... 58,432 947,767 *LeapFrog Enterprises, Inc.............................. 2,499 22,091 #*Lee Enterprises, Inc................................... 38,128 56,429 #Lennar Corp. Class A................................... 224,100 8,397,027 Lennar Corp. Class B Voting............................ 7,868 223,294 *Liberty Interactive Corp. Class A...................... 882,463 17,649,260 *Liberty Interactive Corp. Class B...................... 35,706 698,766 *Liberty Media Corp. - Liberty Capital Class A.......... 96,382 10,763,010 *Liberty Media Corp. - Liberty Capital Class B.......... 7,622 832,322 *Liberty Ventures Series A.............................. 38,401 2,185,401 *Liberty Ventures Series B.............................. 1,785 93,677 Lifetime Brands, Inc................................... 16,635 184,648 Lithia Motors, Inc. Class A............................ 34,933 1,194,709 #*Live Nation Entertainment, Inc......................... 145,347 1,329,925 172 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ----------- Consumer Discretionary -- (Continued) Lowe's Cos., Inc...................................... 188,546 $ 6,105,119 *Luby's, Inc........................................... 44,483 284,246 *M/I Homes, Inc........................................ 37,930 843,942 Mac-Gray Corp......................................... 13,366 173,758 Macy's, Inc........................................... 2,016 76,749 *Madison Square Garden Co. Class A (The)............... 29,558 1,216,607 Marcus Corp........................................... 28,765 313,538 *MarineMax, Inc........................................ 25,977 213,791 *Martha Stewart Living Omnimedia Class A............... 12,239 35,371 #*McClatchy Co. Class A (The)........................... 58,519 166,779 MDC Holdings, Inc..................................... 18,400 703,616 #*Media General, Inc. Class A........................... 25,196 105,823 Men's Wearhouse, Inc. (The)........................... 52,860 1,733,279 #Meredith Corp......................................... 32,676 1,093,666 *Meritage Homes Corp................................... 28,156 1,041,209 *MGM Resorts International............................. 251,100 2,588,841 *Mohawk Industries, Inc................................ 98,740 8,241,828 *Monarch Casino & Resort, Inc.......................... 2,661 24,268 #*Motorcar Parts of America, Inc........................ 11,374 53,458 Movado Group, Inc..................................... 36,900 1,169,361 *MTR Gaming Group, Inc................................. 24,536 85,631 *Multimedia Games Holding Co., Inc..................... 26,639 423,560 NACCO Industries, Inc. Class A........................ 6,123 310,069 *Nautilus, Inc......................................... 1,532 4,305 *Navarre Corp.......................................... 336 568 *New Frontier Media, Inc............................... 20,483 41,376 *New York & Co., Inc................................... 7,626 25,700 #News Corp. Class A.................................... 1,631,529 39,026,174 News Corp. Class B.................................... 621,962 15,150,994 *Office Depot, Inc..................................... 39,945 99,064 OfficeMax, Inc........................................ 32,198 236,655 #*Orchard Supply Hardware Stores Corp. Class A.......... 5,557 69,018 *Orient-Express Hotels, Ltd. Class A................... 78,398 919,609 Outdoor Channel Holdings, Inc......................... 35,808 259,966 #*Pacific Sunwear of California, Inc.................... 48,428 82,328 #*Penn National Gaming, Inc............................. 63,446 2,565,122 Penske Automotive Group, Inc.......................... 43,845 1,341,657 Pep Boys - Manny, Moe & Jack (The).................... 69,700 696,303 *Perfumania Holdings, Inc.............................. 541 3,078 *Perry Ellis International, Inc........................ 23,892 493,131 *Pinnacle Entertainment, Inc........................... 71,930 917,827 *PulteGroup, Inc....................................... 143,221 2,483,452 PVH Corp.............................................. 31,964 3,515,720 *Quiksilver, Inc....................................... 74,010 236,832 #*Radio One, Inc. Class D............................... 14,255 12,117 #RadioShack Corp....................................... 90,200 202,048 *Red Lion Hotels Corp.................................. 18,401 121,263 *Red Robin Gourmet Burgers, Inc........................ 31,175 1,041,245 Regis Corp............................................ 65,192 1,086,099 Rent-A-Center, Inc.................................... 78,435 2,614,239 *Rick's Cabaret International, Inc..................... 13,375 109,809 *Rocky Brands, Inc..................................... 10,329 124,051 Royal Caribbean Cruises, Ltd.......................... 322,500 10,858,575 *Ruby Tuesday, Inc..................................... 64,362 464,694 #*Ryman Hospitality Properties.......................... 45,753 1,784,825 *Saga Communications, Inc. Class A..................... 6,520 276,578 #*Saks, Inc............................................. 105,202 1,081,477 Salem Communications Corp. Class A.................... 12,746 75,966 Scholastic Corp....................................... 34,600 1,141,454 *Scientific Games Corp. Class A........................ 41,635 342,656 *Sears Canada, Inc..................................... 48,227 524,131 173 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Consumer Discretionary -- (Continued) #*Sears Holdings Corp.................................. 112,601 $ 7,056,705 Service Corp. International.......................... 277,569 3,897,069 Shiloh Industries, Inc............................... 24,793 282,144 Shoe Carnival, Inc................................... 33,450 782,061 *Skechers U.S.A., Inc. Class A........................ 49,610 823,526 Spartan Motors, Inc.................................. 24,675 115,972 Speedway Motorsports, Inc............................ 52,382 853,827 *Sport Chalet, Inc. Class A........................... 875 1,278 *Sport Chalet, Inc. Class B........................... 299 499 Stage Stores, Inc.................................... 60,550 1,483,475 Standard Motor Products, Inc......................... 37,342 701,283 *Stanley Furniture Co., Inc........................... 16,198 75,321 #Staples, Inc......................................... 497,525 5,729,000 *Stein Mart, Inc...................................... 25,015 196,618 *Steinway Musical Instruments, Inc.................... 14,858 358,672 #Stewart Enterprises, Inc. Class A.................... 85,569 664,871 Strattec Security Corp............................... 5,556 126,232 Superior Industries International, Inc............... 44,353 757,993 Superior Uniform Group, Inc.......................... 8,978 105,312 *Systemax, Inc........................................ 11,951 130,744 *Tandy Brands Accessories, Inc........................ 7,878 11,896 Tandy Leather Factory, Inc........................... 500 2,650 Time Warner Cable, Inc............................... 693,942 68,776,592 Time Warner, Inc..................................... 1,534,860 66,689,667 *Toll Brothers, Inc................................... 203,299 6,710,900 *Trans World Entertainment Corp....................... 5,781 19,655 *Tuesday Morning Corp................................. 60,500 361,185 *Unifi, Inc........................................... 43,422 609,211 #Vail Resorts, Inc.................................... 11,600 658,648 *VOXX International Corp.............................. 37,868 235,539 Walt Disney Co. (The)................................ 26,220 1,286,615 #Washington Post Co. Class B (The).................... 5,780 1,927,688 Wendy's Co. (The).................................... 244,750 1,045,082 *West Marine, Inc..................................... 27,355 282,851 *Wet Seal, Inc. Class A (The)......................... 17,331 49,567 Whirlpool Corp....................................... 30,049 2,935,186 *WMS Industries, Inc.................................. 41,662 684,507 Wyndham Worldwide Corp............................... 262,116 13,210,646 *Zale Corp............................................ 2,242 16,098 ------------ Total Consumer Discretionary............................ 650,948,601 ------------ Consumer Staples -- (7.6%) Alico, Inc........................................... 960 30,134 *Alliance One International, Inc...................... 44,074 133,985 Andersons, Inc. (The)................................ 18,233 716,192 Archer-Daniels-Midland Co............................ 813,476 21,833,696 B&G Foods, Inc....................................... 4,883 147,808 Beam, Inc............................................ 131,553 7,309,085 Bunge, Ltd........................................... 121,368 8,620,769 CCA Industries, Inc.................................. 8,323 36,205 *Central Garden & Pet Co.............................. 32,000 354,560 *Central Garden & Pet Co. Class A..................... 60,653 683,559 *Chiquita Brands International, Inc................... 63,990 461,368 *Constellation Brands, Inc. Class A................... 249,042 8,801,144 *Constellation Brands, Inc. Class B................... 12,715 451,001 *Craft Brew Alliance, Inc............................. 11,669 88,451 #CVS Caremark Corp.................................... 1,510,745 70,098,568 #*Dole Food Co., Inc................................... 19,567 246,349 *Farmer Bros. Co...................................... 10,645 103,576 #Fresh Del Monte Produce, Inc......................... 39,780 1,001,263 Griffin Land & Nurseries, Inc........................ 1,500 38,925 174 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Consumer Staples -- (Continued) *Hain Celestial Group, Inc. (The)..................... 43,646 $ 2,522,739 Ingles Markets, Inc. Class A......................... 14,812 239,954 Ingredion, Inc....................................... 62,117 3,817,711 J.M. Smucker Co. (The)............................... 108,204 9,266,591 *John B. Sanfilippo & Son, Inc........................ 9,100 153,062 *Kraft Foods Group, Inc............................... 693,699 31,549,431 *Mannatech, Inc....................................... 717 3,485 MGP Ingredients, Inc................................. 4,788 16,902 Molson Coors Brewing Co. Class A..................... 1,908 83,189 #Molson Coors Brewing Co. Class B..................... 190,750 8,228,955 Mondelez International, Inc. Class A................. 2,081,099 55,232,367 Nash Finch Co........................................ 3,714 71,420 *Nutraceutical International Corp..................... 17,801 282,324 Oil-Dri Corp. of America............................. 5,047 113,053 *Omega Protein Corp................................... 27,752 180,666 *Pantry, Inc. (The)................................... 26,158 346,986 *Physicians Formula Holdings, Inc..................... 15,201 74,333 *Post Holdings, Inc................................... 52,917 1,669,531 *Prestige Brands Holdings, Inc........................ 111,489 1,938,794 *Ralcorp Holdings, Inc................................ 52,833 3,814,014 #Safeway, Inc......................................... 157,807 2,573,832 #Sanderson Farms, Inc................................. 16,100 729,169 *Seneca Foods Corp. Class A........................... 6,301 180,114 *Seneca Foods Corp. Class B........................... 300 8,550 *Smart Balance, Inc................................... 76,099 905,578 #*Smithfield Foods, Inc................................ 185,173 3,790,491 Snyders-Lance, Inc................................... 13,134 332,816 Spartan Stores, Inc.................................. 39,175 562,553 *Spectrum Brands Holdings, Inc........................ 46,130 2,098,454 #SUPERVALU, Inc....................................... 149,746 465,710 *Susser Holdings Corp................................. 12,360 444,218 *TreeHouse Foods, Inc................................. 16,925 906,334 Tyson Foods, Inc. Class A............................ 405,030 6,808,554 #Universal Corp....................................... 22,890 1,134,428 Weis Markets, Inc.................................... 11,602 477,538 ------------ Total Consumer Staples.................................. 262,180,484 ------------ Energy -- (15.4%) Adams Resources & Energy, Inc........................ 6,758 205,578 Alon USA Energy, Inc................................. 33,484 439,645 Anadarko Petroleum Corp.............................. 845,068 58,149,129 Apache Corp.......................................... 292,215 24,180,791 #*Approach Resources, Inc.............................. 6,883 169,528 #*Atwood Oceanics, Inc................................. 4,600 219,880 Baker Hughes, Inc.................................... 3,891 163,305 *Barnwell Industries, Inc............................. 8,038 26,847 #Berry Petroleum Co. Class A.......................... 8,108 312,239 #*Bill Barrett Corp.................................... 51,500 1,179,865 Bolt Technology Corp................................. 9,574 137,866 Bristow Group, Inc................................... 42,400 2,116,608 Cabot Oil & Gas Corp................................. 284 13,342 *Cal Dive International, Inc.......................... 55,437 69,851 #Chesapeake Energy Corp............................... 624,655 12,655,510 Chevron Corp......................................... 613,078 67,567,326 *Cloud Peak Energy, Inc............................... 16,788 354,227 *Comstock Resources, Inc.............................. 32,421 555,048 ConocoPhillips....................................... 1,766,829 102,211,058 *Crimson Exploration, Inc............................. 35,050 126,881 Crosstex Energy, Inc................................. 29,972 410,017 *Dawson Geophysical Co................................ 19,178 458,162 #Delek US Holdings, Inc............................... 52,256 1,345,592 175 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ------- ----------- Energy -- (Continued) #*Denbury Resources, Inc................................. 289,460 $ 4,437,422 Devon Energy Corp...................................... 42,463 2,471,771 *Double Eagle Petroleum Co.............................. 5,932 29,719 #*Endeavour International Corp........................... 3,044 22,099 EOG Resources, Inc..................................... 6,045 704,182 *EPL Oil & Gas, Inc..................................... 27,489 594,862 #EXCO Resources, Inc.................................... 9,488 76,853 #*Exterran Holdings, Inc................................. 79,513 1,588,670 *Forest Oil Corp........................................ 93,816 711,125 #*Green Plains Renewable Energy, Inc..................... 28,557 220,746 Gulf Island Fabrication, Inc........................... 15,757 373,914 *Gulfmark Offshore, Inc. Class A........................ 35,505 1,147,522 #*Harvest Natural Resources, Inc......................... 45,263 395,146 #*Helix Energy Solutions Group, Inc...................... 103,010 1,781,043 Helmerich & Payne, Inc................................. 95,808 4,579,622 *Hercules Offshore, Inc................................. 78,413 373,246 Hess Corp.............................................. 378,130 19,761,074 .*HKN, Inc............................................... 24,730 48,718 HollyFrontier Corp..................................... 7,105 274,466 #*Hornbeck Offshore Services, Inc........................ 29,719 1,029,466 *Key Energy Services, Inc............................... 68,300 446,682 Marathon Oil Corp...................................... 903,937 27,172,346 Marathon Petroleum Corp................................ 451,968 24,826,602 *Matrix Service Co...................................... 8,596 90,172 *McDermott International, Inc........................... 63,698 682,206 *Mitcham Industries, Inc................................ 4,120 55,826 Murphy Oil Corp........................................ 189,426 11,365,560 *Nabors Industries, Ltd................................. 276,982 3,736,487 National Oilwell Varco, Inc............................ 250,948 18,494,868 *Natural Gas Services Group, Inc........................ 15,930 252,650 *Newpark Resources, Inc................................. 97,395 661,312 Noble Corp............................................. 76,711 2,895,073 Noble Energy, Inc...................................... 66,897 6,355,884 Occidental Petroleum Corp.............................. 29,242 2,308,948 #Overseas Shipholding Group, Inc........................ 2,355 2,638 *Parker Drilling Co..................................... 136,762 592,179 #Patterson-UTI Energy, Inc.............................. 152,325 2,464,618 *PDC Energy, Inc........................................ 26,743 809,511 Penn Virginia Corp..................................... 7,265 32,838 *PHI, Inc. Non-Voting................................... 21,843 683,467 *PHI, Inc. Voting....................................... 1,099 32,915 Phillips 66............................................ 883,414 41,661,804 *Pioneer Energy Services Corp........................... 67,927 448,318 Pioneer Natural Resources Co........................... 88,400 9,339,460 *Plains Exploration & Production Co..................... 162,430 5,792,254 #QEP Resources, Inc..................................... 33,043 958,247 *REX American Resources Corp............................ 4,050 71,320 *Rex Energy Corp........................................ 12,200 161,528 *Rowan Cos. P.L.C. Class A.............................. 121,858 3,864,117 *SEACOR Holdings, Inc................................... 36,653 3,214,835 *SemGroup Corp. Class A................................. 4,727 182,651 #Ship Finance International, Ltd........................ 12,481 191,958 *Superior Energy Services, Inc.......................... 32,408 658,855 *Swift Energy Co........................................ 57,500 960,825 Teekay Corp............................................ 37,720 1,154,609 Tesoro Corp............................................ 168,807 6,365,712 *TETRA Technologies, Inc................................ 13,307 71,192 *TGC Industries, Inc.................................... 1,702 12,527 Tidewater, Inc......................................... 53,204 2,527,722 Transocean, Ltd........................................ 274,265 12,531,168 *Triangle Petroleum Corp................................ 21,479 137,251 176 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Energy -- (Continued) *Union Drilling, Inc................................. 23,405 $ 151,898 *Unit Corp........................................... 57,000 2,299,950 #*USEC, Inc........................................... 152,791 103,210 Valero Energy Corp.................................. 658,099 19,150,681 *Warren Resources, Inc............................... 963 2,745 *Weatherford International, Ltd...................... 282,083 3,187,538 Western Refining, Inc............................... 68,485 1,703,222 *Whiting Petroleum Corp.............................. 16,007 672,614 *Willbros Group, Inc................................. 22,366 114,290 ------------ Total Energy........................................... 535,345,244 ------------ Financials -- (15.9%) 1st Source Corp..................................... 41,894 930,466 *1st United Bancorp, Inc............................. 1,769 10,632 ACE, Ltd............................................ 46,348 3,645,270 *Alexander & Baldwin, Inc............................ 66,838 1,933,623 *Allegheny Corp...................................... 2,626 912,798 Alliance Bancorp, Inc. of Pennsylvania.............. 180 2,233 Allied World Assurance Co. Holdings AG.............. 8,435 677,330 Allstate Corp. (The)................................ 157,339 6,290,413 Alterra Capital Holdings, Ltd....................... 26,764 653,845 *American Capital, Ltd............................... 422,803 4,984,847 American Equity Investment Life Holding Co.......... 88,700 1,020,937 American Financial Group, Inc....................... 173,596 6,735,525 *American Independence Corp.......................... 866 4,313 *American International Group, Inc................... 4,900 171,157 American National Insurance Co...................... 37,287 2,724,188 *American Safety Insurance Holdings, Ltd............. 15,149 255,412 #*Ameris Bancorp...................................... 13,214 140,993 *AmeriServ Financial, Inc............................ 33,075 96,910 *Arch Capital Group, Ltd............................. 2,027 89,492 Argo Group International Holdings, Ltd.............. 38,796 1,334,582 Aspen Insurance Holdings, Ltd....................... 102,623 3,319,854 Associated Banc-Corp................................ 31,434 405,184 Assurant, Inc....................................... 65,820 2,488,654 Assured Guaranty, Ltd............................... 122,989 1,708,317 Astoria Financial Corp.............................. 12,038 120,741 *Atlantic Coast Financial Corp....................... 379 760 *AV Homes, Inc....................................... 16,343 240,242 Axis Capital Holdings, Ltd.......................... 800 28,976 #Baldwin & Lyons, Inc. Class A....................... 300 7,110 Baldwin & Lyons, Inc. Class B....................... 6,856 166,944 *Bancorp, Inc. (The)................................. 459 5,219 *BancTrust Financial Group, Inc...................... 33,553 95,291 Bank Mutual Corp.................................... 56,876 256,511 Bank of America Corp................................ 6,406,476 59,708,356 Bank of New York Mellon Corp. (The)................. 442,815 10,941,959 BankFinancial Corp.................................. 39,867 320,132 Banner Corp......................................... 7,943 230,268 BCB Bancorp, Inc.................................... 1,359 13,685 Berkshire Hills Bancorp, Inc........................ 32,139 754,624 *BofI Holding, Inc................................... 8,208 230,809 Boston Private Financial Holdings, Inc.............. 608 5,606 *Capital Bank Financial Corp. Class A................ 1,367 23,964 #*Capital City Bank Group, Inc........................ 16,844 170,967 Capital One Financial Corp.......................... 333,920 20,091,966 Capital Southwest Corp.............................. 7,189 774,615 Cathay General Bancorp.............................. 17,730 313,644 Centerstate Banks, Inc.............................. 747 6,476 Century Bancorp, Inc. Class A....................... 595 19,462 CFS Bancorp, Inc.................................... 14,148 81,351 177 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) Chemical Financial Corp............................... 394 $ 9,267 *Chicopee Bancorp, Inc................................. 1,000 14,990 *CIT Group, Inc........................................ 39,411 1,466,877 Citigroup, Inc........................................ 2,115,722 79,106,846 *Citizens Community Bancorp, Inc....................... 10,355 57,574 CME Group, Inc........................................ 414,385 23,176,553 CNA Financial Corp.................................... 285,034 8,374,299 #CNO Financial Group, Inc.............................. 301,264 2,886,109 CoBiz Financial, Inc.................................. 1,468 10,467 Codorus Valley Bancorp, Inc........................... 121 1,847 *Community West Bancshares............................. 400 1,108 #*CompuCredit Holdings Corp............................. 19,218 73,605 *Cowen Group, Inc. Class A............................. 29,912 75,976 Donegal Group, Inc. Class A........................... 27,981 362,634 Donegal Group, Inc. Class B........................... 300 5,407 *E*Trade Financial Corp................................ 89,699 749,884 Eastern Insurance Holdings, Inc....................... 23,026 387,297 *Eastern Virginia Bankshares, Inc...................... 260 1,331 EMC Insurance Group, Inc.............................. 19,181 429,271 Endurance Specialty Holdings, Ltd..................... 76,288 3,093,478 Enterprise Financial Services Corp.................... 3,235 45,290 ESB Financial Corp.................................... 360 4,856 ESSA Bancorp, Inc..................................... 8,617 86,859 #Evans Bancorp, Inc.................................... 1,681 27,148 Everest Re Group, Ltd................................. 34,913 3,877,089 *Farmers Capital Bank Corp............................. 302 3,606 FBL Financial Group, Inc. Class A..................... 24,660 841,646 Federal Agricultural Mortgage Corp. Class A........... 177 4,105 Federal Agricultural Mortgage Corp. Class C........... 9,200 259,164 *Federated National Holding Co......................... 13,665 85,406 Fidelity Bancorp, Inc................................. 400 8,836 Fidelity National Financial, Inc. Class A............. 46,321 991,733 Fidelity Southern Corp................................ 6,983 68,365 Fifth Third Bancorp................................... 9,458 137,425 *First Acceptance Corp................................. 39,006 47,197 First American Financial Corp......................... 61,982 1,410,090 First Bancorp......................................... 14,448 150,982 *First Bancshares, Inc................................. 400 2,250 First Bancshares, Inc. (The).......................... 300 3,150 First Busey Corp...................................... 5,621 26,531 First Business Financial Services, Inc................ 482 11,876 *First California Financial Group, Inc................. 3,631 24,509 First Citizens BancShares, Inc. Class A............... 8,627 1,455,806 First Commonwealth Financial Corp..................... 37,876 248,088 First Community Bancshares, Inc....................... 1,216 18,216 First Defiance Financial Corp......................... 11,998 212,365 *First Federal of Northern Michigan Bancorp, Inc....... 900 4,248 First Financial Holdings, Inc......................... 18,933 266,955 *First Financial Northwest, Inc........................ 25,471 201,221 *First Financial Service Corp.......................... 130 344 First Interstate BancSystem, Inc...................... 2,459 36,959 First Merchants Corp.................................. 38,531 566,791 First Midwest Bancorp, Inc............................ 7,168 88,668 First Pactrust Bancorp, Inc........................... 536 6,303 *First South Bancorp, Inc.............................. 1,978 10,681 *FirstCity Financial Corp.............................. 5,872 47,504 Flagstone Reinsurance Holdings SA..................... 45,783 404,722 #Fox Chase Bancorp, Inc................................ 351 5,462 *Genworth Financial, Inc. Class A...................... 34,964 208,385 #German American Bancorp, Inc.......................... 7,459 168,200 *Gleacher & Co., Inc................................... 35,033 24,523 178 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) *Global Indemnity P.L.C................................ 7,702 $ 170,830 Goldman Sachs Group, Inc. (The)....................... 143,685 17,585,607 Great Southern Bancorp, Inc........................... 2,301 65,279 *Guaranty Bancorp...................................... 79,339 145,190 #*Guaranty Federal Bancshares, Inc...................... 1,684 11,956 *Hallmark Financial Services, Inc...................... 25,992 198,319 Hampden Bancorp, Inc.................................. 5,886 76,224 Hanover Insurance Group, Inc. (The)................... 88,829 3,207,615 *Harris & Harris Group, Inc............................ 4,587 15,733 Hartford Financial Services Group, Inc................ 366,250 7,951,287 #HCC Insurance Holdings, Inc........................... 17,700 630,828 Heartland Financial USA, Inc.......................... 565 16,215 *Heritage Commerce Corp................................ 14,483 95,443 HF Financial Corp..................................... 400 5,112 *Hilltop Holdings, Inc................................. 26,171 355,664 Hingham Institution for Savings....................... 500 33,975 *HMN Financial, Inc.................................... 3,456 11,543 *Home Bancorp, Inc..................................... 719 13,596 Home Federal Bancorp, Inc............................. 9,720 111,002 HopFed Bancorp, Inc................................... 6,781 53,231 Horace Mann Educators Corp............................ 58,206 1,118,137 Horizon Bancorp....................................... 450 13,050 Hudson City Bancorp, Inc.............................. 28,191 239,201 *ICG Group, Inc........................................ 8,684 91,008 *Imperial Holdings, Inc................................ 2,882 10,145 Independence Holding Co............................... 24,172 211,263 Infinity Property & Casualty Corp..................... 15,800 902,338 International Bancshares Corp......................... 2,167 39,331 *Intervest Bancshares Corp. Class A.................... 2,078 8,624 *Investment Technology Group, Inc...................... 32,540 274,638 #Investors Title Co.................................... 1,169 76,686 Janus Capital Group, Inc.............................. 24,840 211,140 JPMorgan Chase & Co................................... 777,031 32,386,652 Kemper Corp........................................... 76,602 2,374,662 Kentucky First Federal Bancorp........................ 2,800 22,960 KeyCorp............................................... 526,210 4,430,688 Lakeland Bancorp, Inc................................. 4,701 46,681 Landmark Bancorp, Inc................................. 1,786 36,613 Legg Mason, Inc....................................... 128,883 3,283,939 Lincoln National Corp................................. 378,093 9,372,925 LNB Bancorp, Inc...................................... 13,395 79,968 Loews Corp............................................ 243,798 10,307,779 *Louisiana Bancorp, Inc................................ 5,606 91,770 *Macatawa Bank Corp.................................... 19,092 58,994 #*Magyar Bancorp, Inc................................... 500 2,420 Maiden Holdings, Ltd.................................. 23,954 202,411 MainSource Financial Group, Inc....................... 47,000 588,440 Marlin Business Services Corp......................... 14,241 321,704 MB Financial, Inc..................................... 19,678 398,676 #*MBIA, Inc............................................. 82,267 814,443 #*MBT Financial Corp.................................... 23,185 66,773 MCG Capital Corp...................................... 29,676 138,290 Meadowbrook Insurance Group, Inc...................... 38,553 216,668 Medallion Financial Corp.............................. 16,525 206,728 *Mercantile Bank Corp.................................. 4,748 78,484 Meta Financial Group, Inc............................. 1,083 25,732 MetLife, Inc.......................................... 1,126,173 39,967,880 *Metro Bancorp, Inc.................................... 27,098 351,732 *MetroCorp Bancshares, Inc............................. 2,250 22,815 #*MGIC Investment Corp.................................. 72,733 125,101 MicroFinancial, Inc................................... 5,900 46,492 179 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ----------- Financials -- (Continued) MidWestOne Financial Group, Inc....................... 474 $ 9,575 Montpelier Re Holdings, Ltd........................... 38,746 886,121 Morgan Stanley........................................ 1,476,248 25,657,190 MutualFirst Financial, Inc............................ 2,300 27,968 #NASDAQ OMX Group, Inc. (The).......................... 42,129 1,003,091 National Western Life Insurance Co. Class A........... 900 126,333 *Navigators Group, Inc. (The).......................... 4,219 223,945 *New Century Bancorp, Inc.............................. 600 3,210 New Hampshire Thrift Bancshares, Inc.................. 3,667 48,331 *NewBridge Bancorp..................................... 11,513 49,621 *Newport Bancorp, Inc.................................. 700 11,693 *NewStar Financial, Inc................................ 41,166 514,575 *North Valley Bancorp.................................. 907 12,625 Northeast Community Bancorp, Inc...................... 18,190 98,590 Northrim Bancorp, Inc................................. 6,358 143,246 NYSE Euronext......................................... 8,639 213,902 Old Republic International Corp....................... 357,183 3,528,968 #*Old Second Bancorp, Inc............................... 4,874 6,824 Oppenheimer Holdings, Inc. Class A.................... 2,297 37,395 Oriental Financial Group, Inc......................... 30,191 355,650 #*Pacific Mercantile Bancorp............................ 16,756 120,141 *Park Sterling Corp.................................... 3,854 19,270 PartnerRe, Ltd........................................ 52,224 4,230,144 Peoples Bancorp of North Carolina..................... 250 2,500 Peoples Bancorp, Inc.................................. 17,708 377,180 People's United Financial, Inc........................ 68,700 826,461 #*PHH Corp.............................................. 92,304 1,920,846 *Phoenix Cos, Inc. (The)............................... 4,308 129,843 *Pinnacle Financial Partners, Inc...................... 23,924 467,714 *Piper Jaffray Cos., Inc............................... 312 8,377 Platinum Underwriters Holdings, Ltd................... 18,979 842,668 *Popular, Inc.......................................... 56,536 1,092,841 *Porter Bancorp, Inc................................... 1,737 2,536 Premier Financial Bancorp, Inc........................ 1,301 12,451 Presidential Life Corp................................ 33,374 466,569 #Principal Financial Group, Inc........................ 217,722 5,996,064 #Protective Life Corp.................................. 98,037 2,676,410 Provident Financial Holdings, Inc..................... 544 8,035 Provident Financial Services, Inc..................... 16,554 248,310 Provident New York Bancorp............................ 71,474 652,558 Prudential Financial, Inc............................. 497,625 28,389,506 Pulaski Financial Corp................................ 4,550 38,948 #Radian Group, Inc..................................... 161,945 759,522 Regions Financial Corp................................ 1,304,230 8,503,580 Reinsurance Group of America, Inc..................... 169,166 8,952,265 Renasant Corp......................................... 42,102 775,098 *Republic First Bancorp, Inc........................... 2,474 5,270 Resource America, Inc. Class A........................ 21,102 142,650 *Riverview Bancorp, Inc................................ 15,319 25,276 Safety Insurance Group, Inc........................... 11,042 511,797 Sandy Spring Bancorp, Inc............................. 10,125 193,590 *Savannah Bancorp, Inc. (The).......................... 2,998 29,081 SeaBright Holdings, Inc............................... 40,890 448,563 Selective Insurance Group, Inc........................ 45,200 835,748 SI Financial Group, Inc............................... 5,444 59,884 Simmons First National Corp. Class A.................. 1,549 38,555 Somerset Hills Bancorp................................ 4,317 36,565 *Southern First Bancshares, Inc........................ 1,106 10,949 *Southwest Bancorp, Inc................................ 23,408 252,572 State Auto Financial Corp............................. 56,823 917,123 StellarOne Corp....................................... 28,368 389,209 180 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Financials -- (Continued) #Stewart Information Services Corp.................... 12,271 $ 286,160 *Stratus Properties, Inc.............................. 3,069 28,235 *Suffolk Bancorp...................................... 205 3,079 *Sun Bancorp, Inc..................................... 4,075 12,592 SunTrust Banks, Inc.................................. 491,691 13,373,995 Susquehanna Bancshares, Inc.......................... 94,247 977,341 Symetra Financial Corp............................... 23,030 275,208 Synovus Financial Corp............................... 138,359 338,980 #*Taylor Capital Group, Inc............................ 826 15,430 Teche Holding Co..................................... 600 24,048 TF Financial Corp.................................... 630 14,112 *Timberland Bancorp, Inc.............................. 2,500 15,500 #TowneBank............................................ 8,298 129,200 Travelers Cos., Inc. (The)........................... 28,000 1,986,320 *Tree.com, Inc........................................ 5,635 81,426 Umpqua Holdings Corp................................. 55,877 675,553 #Unico American Corp.................................. 1,900 21,641 Union First Market Bankshares Corp................... 13,914 218,450 *United Community Banks, Inc.......................... 2,891 25,152 United Financial Bancorp, Inc........................ 11,124 170,976 United Fire Group, Inc............................... 40,312 958,216 *United Security Bancshares........................... 378 1,135 *Unity Bancorp, Inc................................... 3,306 20,167 Unum Group........................................... 517,445 10,493,785 *Virginia Commerce Bancorp, Inc....................... 22,274 204,030 *Waterstone Financial, Inc............................ 1,300 7,020 WesBanco, Inc........................................ 31,131 684,882 West Bancorporation, Inc............................. 13,957 152,271 Westfield Financial, Inc............................. 895 6,525 White River Capital, Inc............................. 300 6,788 #Wintrust Financial Corp.............................. 24,524 906,162 WR Berkley Corp...................................... 3,678 143,037 *WSB Holdings, Inc.................................... 100 570 XL Group P.L.C....................................... 240,766 5,956,551 *Yadkin Valley Financial Corp......................... 16,710 53,472 Zions Bancorporation................................. 53,325 1,144,888 *ZipRealty, Inc....................................... 10,028 26,474 ------------ Total Financials........................................ 551,358,550 ------------ Health Care -- (9.1%) *Addus HomeCare Corp.................................. 2,044 11,099 #Aetna, Inc........................................... 503,313 21,994,778 *Affymax, Inc......................................... 6,200 141,298 #*Affymetrix, Inc...................................... 61,586 195,228 *Albany Molecular Research, Inc....................... 29,820 105,563 *Alere, Inc........................................... 74,130 1,423,296 *Allied Healthcare Products, Inc...................... 1,000 2,730 *Almost Family, Inc................................... 1,789 37,086 *Alphatec Holdings, Inc............................... 17,739 30,511 #*Amedisys, Inc........................................ 12,879 142,184 *AMN Healthcare Services, Inc......................... 15,078 149,574 *Amsurg Corp.......................................... 30,743 876,790 Analogic Corp........................................ 5,606 412,938 *AngioDynamics, Inc................................... 53,413 573,121 *Anika Therapeutics, Inc.............................. 20,716 232,226 Arrhythmia Research Technology, Inc.................. 1,200 2,964 Assisted Living Concepts, Inc. Class A............... 33,042 261,362 *Astex Pharmaceuticals, Inc........................... 200 476 *BioClinica, Inc...................................... 9,810 61,509 *BioScrip, Inc........................................ 36,570 336,810 *Boston Scientific Corp............................... 1,204,199 6,189,583 181 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Health Care -- (Continued) *Cambrex Corp........................................ 43,567 $ 526,289 Cantel Medical Corp................................. 5,040 131,090 *Capital Senior Living Corp.......................... 58,814 945,729 *CardioNet, Inc...................................... 5,628 13,676 *CareFusion Corp..................................... 207,163 5,502,249 #*Celldex Therapeutics, Inc........................... 4,759 26,222 Cigna Corp.......................................... 42,954 2,190,654 #*Community Health Systems, Inc....................... 105,314 2,887,710 CONMED Corp......................................... 43,239 1,195,991 Cooper Cos., Inc. (The)............................. 50,100 4,808,598 Coventry Health Care, Inc........................... 141,956 6,194,960 *Cross Country Healthcare, Inc....................... 36,190 159,236 CryoLife, Inc....................................... 17,502 108,337 *Cumberland Pharmaceuticals, Inc..................... 26,419 155,080 *Cutera, Inc......................................... 23,864 176,832 *Cynosure, Inc. Class A.............................. 8,077 212,748 #Daxor Corp.......................................... 545 4,409 *Digirad Corp........................................ 29,411 63,234 *Dynacq Healthcare, Inc.............................. 909 9 *Endo Health Solutions, Inc.......................... 54,588 1,564,492 *Enzo Biochem, Inc................................... 50,065 100,130 *Enzon Pharmaceuticals, Inc.......................... 2,309 15,170 *Exactech, Inc....................................... 3,390 56,613 *Five Star Quality Care, Inc......................... 28,953 152,293 *Forest Laboratories, Inc............................ 82,171 2,769,984 *Gentiva Health Services, Inc........................ 26,039 244,767 *Greatbatch, Inc..................................... 41,672 915,951 *Hanger, Inc......................................... 2,200 55,770 *Harvard Bioscience, Inc............................. 32,625 131,152 *Health Net, Inc..................................... 25,498 548,717 *Healthways, Inc..................................... 31,930 310,679 *Hologic, Inc........................................ 305,036 6,289,842 #*Horizon Pharma, Inc................................. 1,574 4,061 Humana, Inc......................................... 236,814 17,588,176 Invacare Corp....................................... 24,528 334,807 Kewaunee Scientific Corp............................ 1,631 18,398 *Kindred Healthcare, Inc............................. 50,544 495,331 *Lannet Co., Inc..................................... 3,649 16,092 *LCA-Vision, Inc..................................... 1,000 3,820 LeMaitre Vascular, Inc.............................. 5,100 30,600 #*Life Technologies Corp.............................. 94,990 4,645,961 *LifePoint Hospitals, Inc............................ 82,208 2,905,231 *Magellan Health Services, Inc....................... 9,739 488,411 Maxygen, Inc........................................ 43,805 106,884 *MedAssets, Inc...................................... 44,682 792,212 .*MedCath Corp........................................ 29,240 40,059 *Medical Action Industries, Inc...................... 24,809 73,187 #*MediciNova, Inc..................................... 225 477 *Misonix, Inc........................................ 4,083 18,047 *Molina Healthcare, Inc.............................. 24,941 625,271 *Myrexis, Inc........................................ 14,306 34,334 National Healthcare Corp............................ 7,274 346,388 *Natus Medical, Inc.................................. 7,661 86,569 Omnicare, Inc....................................... 197,388 6,815,808 *Omnicell, Inc....................................... 26,113 380,728 *Palomar Medical Technologies, Inc................... 6,712 57,925 *PDI, Inc............................................ 14,979 102,606 PerkinElmer, Inc.................................... 76,500 2,366,145 Pfizer, Inc......................................... 5,208,907 129,545,517 *PharMerica Corp..................................... 11,664 142,534 *Repligen Corp....................................... 21,271 108,482 182 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ------- ------------ Health Care -- (Continued) *RTI Biologics, Inc..................................... 80,268 $ 325,888 *Select Medical Holdings Corp........................... 51,009 540,185 *Skilled Healthcare Group, Inc. Class A................. 12,180 94,639 *Solta Medical, Inc..................................... 6,017 17,750 *Sucampo Pharmaceuticals, Inc. Class A.................. 7,965 39,745 *Sun Healthcare Group, Inc.............................. 8,903 75,319 *SunLink Health Systems, Inc............................ 1,750 1,838 *SurModics, Inc......................................... 5,593 100,562 *Symmetry Medical, Inc.................................. 78,674 720,654 Teleflex, Inc.......................................... 37,423 2,542,893 *Theragenics Corp....................................... 21,383 32,716 Thermo Fisher Scientific, Inc.......................... 499,520 30,500,691 #*TranS1, Inc............................................ 6,097 16,767 *Triple-S Management Corp. Class B...................... 21,673 390,981 UnitedHealth Group, Inc................................ 45,732 2,560,992 *Universal American Corp................................ 85,628 774,077 #*VCA Antech, Inc........................................ 49,047 960,340 *ViroPharma, Inc........................................ 103,479 2,612,845 *WellCare Health Plans, Inc............................. 9,700 461,720 WellPoint, Inc......................................... 504,640 30,924,339 #*Wright Medical Group, Inc.............................. 38,748 787,359 Young Innovations, Inc................................. 2,165 73,935 ------------ Total Health Care......................................... 314,370,035 ------------ Industrials -- (13.5%) *A.T. Cross Co. Class A................................. 18,022 170,668 AAR Corp............................................... 32,906 496,552 ABM Industries, Inc.................................... 64,500 1,225,500 Aceto Corp............................................. 37,486 375,610 Acme United Corp....................................... 1,030 11,670 #Actuant Corp. Class A.................................. 44,986 1,270,405 *Adept Technology, Inc.................................. 21,309 85,236 *ADT Corp. (The)........................................ 197,193 8,185,481 *AECOM Technology Corp.................................. 23,177 497,610 *Aegion Corp............................................ 5,916 109,269 *AGCO Corp.............................................. 58,973 2,683,861 *Air Transport Services Group, Inc...................... 17,784 68,468 Aircastle, Ltd......................................... 41,608 463,097 Alamo Group, Inc....................................... 22,951 768,858 *Alaska Air Group, Inc.................................. 52,626 2,012,418 Albany International Corp. Class A..................... 20,551 451,505 .*Allied Defense Group, Inc. (The)....................... 2,645 14,151 Amerco, Inc............................................ 29,431 3,400,458 *American Railcar Industries, Inc....................... 20,003 587,688 #*American Superconductor Corp........................... 432 1,551 Ampco-Pittsburgh Corp.................................. 4,007 70,764 *AMREP Corp............................................. 966 6,279 Apogee Enterprises, Inc................................ 36,374 740,938 Argan, Inc............................................. 21 374 Arkansas Best Corp..................................... 27,325 219,966 *Ascent Solar Technologies, Inc......................... 7,857 6,403 #*Asset Acceptance Capital Corp.......................... 5,900 37,642 Asta Funding, Inc...................................... 8,975 84,185 *Astec Industries, Inc.................................. 22,925 660,240 #*Atlas Air Worldwide Holdings, Inc...................... 36,746 2,020,663 #*Avis Budget Group, Inc................................. 94,608 1,563,870 Baltic Trading, Ltd.................................... 1,681 5,732 Barnes Group, Inc...................................... 36,400 832,832 Barrett Business Services, Inc......................... 12,955 386,448 *BlueLinx Holdings, Inc................................. 12,553 26,487 Brady Corp. Class A.................................... 44,400 1,365,744 183 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ----------- Industrials -- (Continued) #Briggs & Stratton Corp................................ 45,533 $ 899,277 *Builders FirstSource, Inc............................. 12,182 67,123 *CAI International, Inc................................ 12,482 276,601 Cascade Corp.......................................... 5,840 379,542 *Casella Waste Systems, Inc. Class A................... 14,362 65,778 #*CBIZ, Inc............................................. 46,963 259,236 CDI Corp.............................................. 43,399 746,029 CECO Environmental Corp............................... 3,291 29,125 Celadon Group, Inc.................................... 23,892 408,553 Ceradyne, Inc......................................... 26,425 923,818 *Champion Industries, Inc.............................. 686 137 #Chicago Rivet & Machine Co............................ 700 12,908 CIRCOR International, Inc............................. 6,338 218,598 *CNH Global NV......................................... 6,958 311,718 *Columbus McKinnon Corp................................ 17,542 262,604 Comfort Systems USA, Inc.............................. 38,440 418,996 CompX International, Inc.............................. 500 7,015 *Consolidated Graphics, Inc............................ 12,008 354,356 Corrections Corp. of America.......................... 7,040 236,896 Courier Corp.......................................... 8,245 99,352 #Covanta Holding Corp.................................. 94,292 1,714,229 *Covenant Transportation Group, Inc. Class A........... 7,080 32,851 *CPI Aerostructures, Inc............................... 5,826 64,144 *CRA International, Inc................................ 7,613 127,442 CSX Corp.............................................. 1,242,950 25,443,186 Curtiss-Wright Corp................................... 46,353 1,430,917 *Dolan Co. (The)....................................... 10,818 50,087 Douglas Dynamics, Inc................................. 30,234 459,254 *Ducommun, Inc......................................... 16,345 222,946 *Dycom Industries, Inc................................. 37,387 532,391 Eastern Co. (The)..................................... 10,193 163,088 #Eaton Corp............................................ 24,778 1,170,017 Ecology & Environment, Inc. Class A................... 900 11,043 EMCOR Group, Inc...................................... 25,273 812,780 Encore Wire Corp...................................... 19,966 616,151 *Energy Recovery, Inc.................................. 1,783 5,296 *EnergySolutions, Inc.................................. 21,233 60,726 #*EnerSys, Inc.......................................... 43,239 1,490,881 *Engility Holdings, Inc................................ 7,988 151,772 Ennis, Inc............................................ 48,483 741,790 *EnPro Industries, Inc................................. 18,700 683,672 ESCO Technologies, Inc................................ 16,950 634,608 Espey Manufacturing & Electronics Corp................ 1,671 45,886 *Esterline Technologies Corp........................... 44,968 2,598,701 *Excel Maritime Carriers, Ltd.......................... 37,958 15,866 Exelis, Inc........................................... 25,093 277,529 *Federal Signal Corp................................... 68,080 392,822 FedEx Corp............................................ 142,324 13,092,385 *Flow International Corp............................... 27,022 89,713 *Fortune Brands Home & Security, Inc................... 149,626 4,255,363 *Franklin Covey Co..................................... 3,046 36,613 FreightCar America, Inc............................... 11,505 221,471 *Frozen Food Express Industries........................ 8,986 15,815 #*FTI Consulting, Inc................................... 16,180 420,033 *Furmanite Corp........................................ 31,044 156,772 G & K Services, Inc. Class A.......................... 29,714 958,276 GATX Corp............................................. 65,445 2,713,350 #*Genco Shipping & Trading, Ltd......................... 2,100 6,384 *Gencor Industries, Inc................................ 8,766 63,028 #*General Cable Corp.................................... 26,404 753,306 *General Dynamics Corp................................. 28,674 1,952,126 184 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Industrials -- (Continued) General Electric Co.................................. 5,174,289 $108,970,526 Geo Group, Inc. (The)................................ 24,086 667,664 *Gibraltar Industries, Inc............................ 43,711 544,639 *GP Strategies Corp................................... 18,583 357,723 #Granite Construction, Inc............................ 26,636 804,674 Great Lakes Dredge & Dock Corp....................... 69,820 555,069 *Greenbrier Cos., Inc................................. 21,793 379,416 #Griffon Corp......................................... 67,323 683,328 H&E Equipment Services, Inc.......................... 59,629 907,553 Hardinge, Inc........................................ 19,132 198,590 Harsco Corp.......................................... 36,812 735,872 *Hawaiian Holdings, Inc............................... 23,212 137,647 Heidrick & Struggles International, Inc.............. 18,234 215,891 #*Hertz Global Holdings, Inc........................... 278,411 3,694,514 *Hill International, Inc.............................. 27,154 92,052 *Hudson Global, Inc................................... 15,603 63,036 #*Huntington Ingalls Industries, Inc................... 48,170 2,041,445 *Hurco Cos., Inc...................................... 8,210 188,666 *Hyster-Yale Materials Handling, Inc.................. 6,123 251,533 *Hyster-Yale Materials Handling, Inc. Class B......... 6,123 251,533 *ICF International, Inc............................... 31,660 580,961 Ingersoll-Rand P.L.C................................. 250,943 11,801,849 Insteel Industries, Inc.............................. 16,378 189,985 International Shipholding Corp....................... 12,152 203,181 Intersections, Inc................................... 29,079 270,144 #*JetBlue Airways Corp................................. 324,893 1,718,684 *Kadant, Inc.......................................... 6,383 155,043 Kansas City Southern................................. 11,967 962,865 *KAR Auction Services, Inc............................ 18,100 362,000 Kaydon Corp.......................................... 6,284 140,510 Kelly Services, Inc. Class A......................... 44,445 590,674 Kennametal, Inc...................................... 6,400 226,688 *Key Technology, Inc.................................. 3,199 27,895 Kimball International, Inc. Class B.................. 28,589 341,353 *Korn/Ferry International............................. 30,127 403,401 L.B. Foster Co. Class A.............................. 3,502 115,601 L.S. Starrett Co. Class A (The)...................... 4,097 46,993 #L-3 Communications Holdings, Inc..................... 100,470 7,414,686 Lawson Products, Inc................................. 10,838 77,058 *Layne Christensen Co................................. 34,461 768,136 *LMI Aerospace, Inc................................... 14,655 294,272 LSI Industries, Inc.................................. 28,715 194,688 *Lydall, Inc.......................................... 18,720 241,675 #Manpower, Inc........................................ 1,358 51,523 Marten Transport, Ltd................................ 31,855 589,317 Matson, Inc.......................................... 62,316 1,324,215 McGrath RentCorp..................................... 20,487 537,989 *Metalico, Inc........................................ 72,047 153,460 Met-Pro Corp......................................... 2,998 27,222 *MFRI, Inc............................................ 8,900 48,950 *Michael Baker Corp................................... 969 21,909 Miller Industries, Inc............................... 19,874 305,066 *Mobile Mini, Inc..................................... 54,461 948,711 *Moog, Inc. Class A................................... 35,339 1,307,896 Mueller Industries, Inc.............................. 20,587 901,711 Mueller Water Products, Inc. Class A................. 185,957 968,836 *MYR Group, Inc....................................... 794 16,817 *National Technical Systems, Inc...................... 15,600 125,268 *Navigant Consulting, Inc............................. 22,179 230,440 NL Industries, Inc................................... 51,251 521,223 *NN, Inc.............................................. 16,796 139,071 185 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ------- ----------- Industrials -- (Continued) Norfolk Southern Corp.................................. 545,229 $33,449,799 #Northrop Grumman Corp.................................. 337,038 23,151,140 *Northwest Pipe Co...................................... 10,675 245,311 *Ocean Power Technologies, Inc.......................... 8,400 20,832 *On Assignment, Inc..................................... 53,951 1,029,385 *Orbital Sciences Corp.................................. 36,476 488,778 *Orion Energy Systems, Inc.............................. 1,043 1,711 *Orion Marine Group, Inc................................ 758 5,071 #*Oshkosh Corp........................................... 14,466 433,691 #*Owens Corning, Inc..................................... 149,300 5,014,987 P.A.M. Transportation Services, Inc.................... 19,428 193,309 *Pentair, Inc........................................... 117,934 4,981,532 #*PGT, Inc............................................... 500 2,160 *Pike Electric Corp..................................... 16,826 153,285 #*Portfolio Recovery Associates, Inc..................... 9,401 983,815 *Powell Industries, Inc................................. 5,907 234,980 *PowerSecure International, Inc......................... 8,626 55,724 Providence & Worcester Railroad Co..................... 850 12,325 #*Quad/Graphics, Inc..................................... 799 14,646 Quanex Building Products Corp.......................... 19,678 389,034 *Quanta Services, Inc................................... 168,307 4,364,201 Raytheon Co............................................ 133,501 7,550,817 *RCM Technologies, Inc.................................. 21,593 120,489 *Real Goods Solar, Inc. Class A......................... 2,572 1,299 #Regal-Beloit Corp...................................... 16,070 1,047,443 *Republic Airways Holdings, Inc......................... 53,999 252,175 Republic Services, Inc................................. 429,755 12,183,554 Resources Connection, Inc.............................. 19,847 244,912 *Roadrunner Transportation Systems, Inc................. 879 15,321 Robbins & Myers, Inc................................... 8,889 526,940 *Rush Enterprises, Inc. Class A......................... 33,446 635,474 *Rush Enterprises, Inc. Class B......................... 18,522 321,727 Ryder System, Inc...................................... 89,844 4,053,761 *Saia, Inc.............................................. 17,104 386,550 Schawk, Inc............................................ 44,735 552,030 *Seaboard Corp.......................................... 1,812 4,133,770 SeaCube Container Leasing, Ltd......................... 223 4,130 SIFCO Industries, Inc.................................. 6,623 110,935 #Simpson Manufacturing Co., Inc......................... 2,609 79,470 SkyWest, Inc........................................... 46,706 511,431 *SL Industries, Inc..................................... 300 4,200 Southwest Airlines Co.................................. 645,761 5,695,612 *Sparton Corp........................................... 9,132 123,282 SPX Corp............................................... 11,003 754,696 Standard Register Co. (The)............................ 30,430 19,475 Standex International Corp............................. 22,341 1,033,048 Stanley Black & Decker, Inc............................ 154,919 10,735,887 Steelcase, Inc. Class A................................ 55,469 555,245 *Sterling Construction Co., Inc......................... 20,061 178,543 *Supreme Industries, Inc. Class A....................... 1,365 4,832 *SYKES Enterprises, Inc................................. 20,092 273,653 Sypris Solutions, Inc.................................. 9,636 60,707 #TAL International Group, Inc........................... 22,054 752,924 *Tecumseh Products Co. Class A.......................... 11,200 56,336 *Tecumseh Products Co. Class B.......................... 1,400 7,280 *Terex Corp............................................. 13,778 310,694 *Tetra Tech, Inc........................................ 10,810 280,411 *Titan Machinery, Inc................................... 7,257 171,628 *TRC Cos., Inc.......................................... 28,708 206,985 Trinity Industries, Inc................................ 91,907 2,874,851 Triumph Group, Inc..................................... 57,456 3,758,772 186 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ------- ------------ Industrials -- (Continued) *Tufco Technologies, Inc................................ 900 $ 4,149 *Tutor Perini Corp...................................... 40,371 409,362 Twin Disc, Inc......................................... 3,866 58,609 Tyco International, Ltd................................ 394,386 10,597,152 *Ultralife Corp......................................... 10,940 33,586 UniFirst Corp.......................................... 18,705 1,301,307 Union Pacific Corp..................................... 444,064 54,633,194 Universal Forest Products, Inc......................... 31,800 1,224,300 URS Corp............................................... 84,698 2,835,689 *USA Truck, Inc......................................... 15,105 43,049 *Versar, Inc............................................ 6,026 22,658 Viad Corp.............................................. 28,614 606,903 *Virco Manufacturing Corp............................... 12,601 30,368 VSE Corp............................................... 305 7,213 *Waste Connections, Inc................................. 2,800 91,924 Watts Water Technologies, Inc. Class A................. 53,615 2,156,931 #*WESCO International, Inc............................... 11,687 758,253 *Willdan Group, Inc..................................... 1,000 1,530 *Willis Lease Finance Corp.............................. 7,150 101,673 #*XPO Logistics, Inc..................................... 4,427 60,783 ------------ Total Industrials......................................... 469,455,970 ------------ Information Technology -- (4.8%) *Accelrys, Inc.......................................... 41,733 373,510 #Activision Blizzard, Inc............................... 982,162 10,695,744 *Acxiom Corp............................................ 7,769 141,784 *Advanced Energy Industries, Inc........................ 48,663 574,710 *Agilysys, Inc.......................................... 17,299 141,333 *Alpha & Omega Semiconductor, Ltd....................... 1,319 11,238 *Amkor Technology, Inc.................................. 9,870 42,638 #*Amtech Systems, Inc.................................... 10,600 34,132 *ANADIGICS, Inc......................................... 2,092 3,054 *Anaren, Inc............................................ 9,602 173,124 *AOL, Inc............................................... 105,592 3,624,973 #*Arris Group, Inc....................................... 146,928 2,018,791 #*Arrow Electronics, Inc................................. 182,170 6,417,849 Astro-Med, Inc......................................... 2,897 23,842 *ATMI, Inc.............................................. 33,934 670,196 *Aviat Networks, Inc.................................... 46,325 105,621 *Avid Technology, Inc................................... 17,366 101,938 *Avnet, Inc............................................. 139,400 3,993,810 AVX Corp............................................... 175,587 1,727,776 Aware, Inc............................................. 22,140 134,833 *AXT, Inc............................................... 25,915 83,187 Bel Fuse, Inc. Class A................................. 4,174 63,862 Bel Fuse, Inc. Class B................................. 18,986 314,408 *Benchmark Electronics, Inc............................. 93,903 1,391,642 Black Box Corp......................................... 26,530 581,538 *Blucora, Inc........................................... 81,156 1,424,288 *Brocade Communications Systems, Inc.................... 461,513 2,446,019 Brooks Automation, Inc................................. 63,950 461,719 *Bsquare Corp........................................... 4,665 13,762 *BTU International, Inc................................. 1,600 3,120 #*CACI International, Inc. Class A....................... 25,642 1,293,126 #*Calix, Inc............................................. 20,031 133,206 *Cascade Microtech, Inc................................. 24,071 126,373 *Checkpoint Systems, Inc................................ 21,800 177,016 *CIBER, Inc............................................. 81,980 255,778 Cohu, Inc.............................................. 41,810 367,928 Communications Systems, Inc............................ 12,712 131,696 #Computer Sciences Corp................................. 220,553 6,715,839 187 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ----------- Information Technology -- (Continued) Comtech Telecommunications Corp...................... 17,877 $ 449,964 Concurrent Computer Corp............................. 13,740 71,860 Convergys Corp....................................... 197,364 3,317,689 *CoreLogic, Inc....................................... 96,545 2,297,771 Corning, Inc......................................... 1,298,385 15,256,024 *Cray, Inc............................................ 12,866 156,579 CSP, Inc............................................. 2,414 12,142 CTS Corp............................................. 33,460 277,049 *CyberOptics Corp..................................... 9,134 68,505 *Datalink Corp........................................ 1,412 11,494 *Dataram Corp......................................... 7,544 4,376 *Digi International, Inc.............................. 42,904 404,156 *Diodes, Inc.......................................... 8,664 131,346 *DSP Group, Inc....................................... 49,501 272,255 *Dynamics Research Corp............................... 17,372 112,049 EarthLink, Inc....................................... 86,935 551,168 *EchoStar Corp. Class A............................... 23,551 747,980 *Edgewater Technology, Inc............................ 13,603 47,338 Electro Rent Corp.................................... 42,586 669,452 Electro Scientific Industries, Inc................... 37,240 397,723 *Electronics for Imaging, Inc......................... 58,881 1,022,174 #*EMCORE Corp.......................................... 744 3,460 *Emulex Corp.......................................... 68,369 475,848 *Entropic Communications, Inc......................... 11,600 55,796 EPIQ Systems, Inc.................................... 20,815 254,151 *ePlus, Inc........................................... 8,445 302,078 *Euronet Worldwide, Inc............................... 26,878 545,355 *Exar Corp............................................ 59,230 506,416 #*Fairchild Semiconductor International, Inc........... 118,008 1,387,774 Fidelity National Information Services, Inc.......... 150,627 4,951,109 *FormFactor, Inc...................................... 23,819 108,615 *Frequency Electronics, Inc........................... 16,953 142,236 *Global Cash Access Holdings, Inc..................... 32,796 231,212 #*Globecomm Systems, Inc............................... 34,871 378,350 *GSE Systems, Inc..................................... 17,638 31,572 *GSI Group, Inc....................................... 1,451 11,274 *GSI Technology, Inc.................................. 5,864 32,780 *Hackett Group, Inc. (The)............................ 54,740 212,939 *Harmonic, Inc........................................ 26,825 116,420 #Hewlett-Packard Co................................... 65,635 909,045 #*Hutchinson Technology, Inc........................... 643 900 *I.D. Systems, Inc.................................... 17,291 90,778 IAC/InterActiveCorp.................................. 125,298 6,058,158 *Identive Group, Inc.................................. 19,075 22,890 *Imation Corp......................................... 33,998 155,371 *Ingram Micro, Inc. Class A........................... 277,679 4,220,721 *Insight Enterprises, Inc............................. 42,100 680,757 *Integrated Device Technology, Inc.................... 70,084 381,257 *Integrated Silicon Solution, Inc..................... 51,460 439,983 *Intermec, Inc........................................ 15,705 106,480 *Internap Network Services Corp....................... 35,546 243,490 #*International Rectifier Corp......................... 79,000 1,223,710 *Interphase Corp...................................... 2,999 6,418 Intersil Corp. Class A............................... 119,798 844,576 *Intevac, Inc......................................... 8,654 43,270 *IntriCon Corp........................................ 2,835 13,977 *Itron, Inc........................................... 14,842 609,413 *IXYS Corp............................................ 11,466 109,156 *Kemet Corp........................................... 6,536 29,673 *Key Tronic Corp...................................... 17,923 203,426 Keynote Systems, Inc................................. 24,195 345,747 188 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ------- ---------- Information Technology -- (Continued) #*KIT Digital, Inc........................................ 28,934 $ 80,437 *Kulicke & Soffa Industries, Inc......................... 71,688 735,519 *KVH Industries, Inc..................................... 600 8,292 *Lattice Semiconductor Corp.............................. 36,888 143,125 *LGL Group, Inc. (The)................................... 269 1,646 *Limelight Networks, Inc................................. 35,344 74,576 *LookSmart, Ltd.......................................... 25,479 20,893 Loral Space & Communications, Inc....................... 26,050 2,049,093 *LTX-Credence Corp....................................... 14,158 78,860 ManTech International Corp. Class A..................... 21,353 490,478 Marchex, Inc. Class B................................... 32,883 134,491 *Measurement Specialties, Inc............................ 5,113 166,735 #*MEMC Electronic Materials, Inc.......................... 39,439 99,386 *Mentor Graphics Corp.................................... 35,620 552,822 *Mercury Computer Systems, Inc........................... 8,133 66,650 Methode Electronics, Inc................................ 37,682 381,342 *Micron Technology, Inc.................................. 758,908 4,117,076 MKS Instruments, Inc.................................... 61,200 1,446,156 *ModusLink Global Solutions, Inc......................... 68,955 202,038 *Multi-Fineline Electronix, Inc.......................... 1,598 33,782 *NCI, Inc. Class A....................................... 686 3,855 *Newport Corp............................................ 72,548 784,969 *Novatel Wireless, Inc................................... 18,279 30,160 *Official Payments Holdings, Inc......................... 2,151 10,992 *OmniVision Technologies, Inc............................ 12,800 183,040 *Online Resources Corp................................... 18,720 53,914 *Oplink Communications, Inc.............................. 35,876 533,117 Optical Cable Corp...................................... 10,793 45,546 *PAR Technology Corp..................................... 22,705 121,472 PC Connection, Inc...................................... 41,156 423,495 *PC Mall, Inc............................................ 10,772 68,510 PC-Tel, Inc............................................. 36,106 235,411 *Perceptron, Inc......................................... 6,669 35,212 *Perficient, Inc......................................... 707 8,039 *Performance Technologies, Inc........................... 24,790 29,500 *Pericom Semiconductor Corp.............................. 41,261 318,948 *Pervasive Software, Inc................................. 35,664 305,997 *Photronics, Inc......................................... 69,687 340,769 *Planar Systems, Inc..................................... 11,933 15,752 *Plexus Corp............................................. 4,712 126,800 *PMC-Sierra, Inc......................................... 146,588 686,032 #*Power-One, Inc.......................................... 20,527 82,724 *Presstek, Inc........................................... 7,000 3,465 *Qualstar Corp........................................... 12,400 17,236 *Radisys Corp............................................ 18,198 51,682 *RealNetworks, Inc....................................... 33,702 255,124 *Reis, Inc............................................... 13,511 158,011 RF Industries, Ltd...................................... 2,823 12,449 Richardson Electronics, Ltd............................. 25,225 293,871 Rimage Corp............................................. 159 951 *Rofin-Sinar Technologies, Inc........................... 199 3,624 *Rosetta Stone, Inc...................................... 2,676 31,336 *Rudolph Technologies, Inc............................... 25,605 243,504 *Sandisk Corp............................................ 13,097 546,931 *Sanmina-SCI Corp........................................ 13,303 118,264 *SeaChange International, Inc............................ 32,298 292,297 *Sigma Designs, Inc...................................... 23,129 137,386 *Smith Micro Software, Inc............................... 3,626 4,532 *SMTC Corp............................................... 1,300 3,640 *Spansion, Inc. Class A.................................. 14,343 159,064 #*SS&C Technologies Holdings, Inc......................... 25,793 619,806 189 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Information Technology -- (Continued) *StarTek, Inc......................................... 27,060 $ 78,474 #*SunPower Corp........................................ 1,500 6,465 *Supertex, Inc........................................ 10,688 204,248 *Support.com, Inc..................................... 25,400 117,856 *Sycamore Networks, Inc............................... 44,477 257,077 *Symmetricom, Inc..................................... 89,726 551,815 #*SYNNEX Corp.......................................... 57,400 1,859,186 *Tech Data Corp....................................... 82,952 3,675,603 *TechTarget, Inc...................................... 23,606 112,837 *TeleCommunication Systems, Inc. Class A.............. 47,407 100,503 Tellabs, Inc......................................... 241,591 705,446 Telular Corp......................................... 24,938 249,131 Tessco Technologies, Inc............................. 11,228 233,542 Tessera Technologies, Inc............................ 48,635 689,158 TheStreet, Inc....................................... 36,857 59,708 *TriQuint Semiconductor, Inc.......................... 41,280 194,016 *TSR, Inc............................................. 650 2,762 *TTM Technologies, Inc................................ 62,635 563,715 *Ultra Clean Holdings................................. 4,755 22,016 United Online, Inc................................... 121,790 652,794 *UTStarcom Holdings Corp.............................. 1,311 1,298 *Vicon Industries, Inc................................ 5,787 17,072 *Video Display Corp................................... 600 2,136 *Virtusa Corp......................................... 30,064 515,898 #*Vishay Intertechnology, Inc.......................... 228,349 1,890,730 *Vishay Precision Group, Inc.......................... 9,781 127,642 *Web.com Group, Inc................................... 22,102 348,770 *Westell Technologies, Inc. Class A................... 33,494 68,328 Western Digital Corp................................. 212,781 7,283,494 *WPCS International, Inc.............................. 8,861 4,519 Xerox Corp........................................... 1,791,473 11,537,086 *XO Group, Inc........................................ 12,200 98,210 Xyratex, Ltd......................................... 28,253 233,652 *Yahoo!, Inc.......................................... 1,048,770 17,629,824 *Zygo Corp............................................ 18,340 341,491 ------------ Total Information Technology............................ 168,478,404 ------------ Materials -- (3.2%) A. Schulman, Inc..................................... 33,740 865,768 *A.M. Castle & Co..................................... 38,646 469,549 Alcoa, Inc........................................... 1,145,369 9,815,812 *American Pacific Corp................................ 7,647 101,093 Ashland, Inc......................................... 112,560 8,008,644 #Bemis Co., Inc....................................... 24,092 796,241 Boise, Inc........................................... 68,104 571,393 Buckeye Technologies, Inc............................ 37,822 990,936 Cabot Corp........................................... 46,280 1,654,973 *Century Aluminum Co.................................. 32,155 229,908 *Chemtura Corp........................................ 54,541 868,838 *Clearwater Paper Corp................................ 7,599 300,464 *Coeur d'Alene Mines Corp............................. 133,765 4,134,676 Commercial Metals Co................................. 85,208 1,172,462 *Continental Materials Corp........................... 100 1,221 *Core Molding Technologies, Inc....................... 2,988 20,976 Cytec Industries, Inc................................ 64,700 4,452,654 #Domtar Corp.......................................... 30,917 2,465,631 Dow Chemical Co. (The)............................... 14,000 410,200 Friedman Industries, Inc............................. 16,610 178,225 Georgia Gulf Corp.................................... 26,423 935,110 #*Golden Minerals Co................................... 9,036 39,487 *Graphic Packaging Holding Co......................... 154,000 911,680 190 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ --------- ------------ Materials -- (Continued) Haynes International, Inc............................ 1,905 $ 96,545 *Headwaters, Inc...................................... 23,663 170,137 *Horsehead Holding Corp............................... 45,617 412,834 Huntsman Corp........................................ 50,242 755,640 International Paper Co............................... 493,615 17,686,225 Kaiser Aluminum Corp................................. 27,181 1,646,625 *KapStone Paper & Packaging Corp...................... 40,492 889,609 *Landec Corp.......................................... 37,056 400,946 *Louisiana-Pacific Corp............................... 173,457 2,738,886 *LyondellBasell Industries NV Class A................. 121,873 6,506,799 Materion Corp........................................ 17,760 372,072 MeadWestvaco Corp.................................... 188,451 5,595,110 *Mercer International, Inc............................ 19,608 137,060 *Metals USA Holdings Corp............................. 9,196 134,078 Minerals Technologies, Inc........................... 17,140 1,228,252 *Mod-Pac Corp......................................... 1,501 10,072 Myers Industries, Inc................................ 65,520 971,662 Neenah Paper, Inc.................................... 13,402 347,112 *Northern Technologies International Corp............. 3,035 33,719 Nucor Corp........................................... 89,274 3,582,566 Olin Corp............................................ 45,661 947,009 Olympic Steel, Inc................................... 10,414 187,452 *OM Group, Inc........................................ 42,299 855,709 P.H. Glatfelter Co................................... 54,200 965,302 *Penford Corp......................................... 26,922 207,299 Reliance Steel & Aluminum Co......................... 93,801 5,097,146 Rock-Tenn Co. Class A................................ 26,305 1,925,263 *RTI International Metals, Inc........................ 50,032 1,140,229 Schnitzer Steel Industries, Inc. Class A............. 21,397 610,028 Sealed Air Corp...................................... 45,299 734,750 *Spartech Corp........................................ 30,589 261,842 Steel Dynamics, Inc.................................. 94,919 1,200,725 #*Stillwater Mining Co................................. 43,300 450,753 *SunCoke Energy, Inc.................................. 62,210 999,715 Synalloy Corp........................................ 5,144 70,833 #*Texas Industries, Inc................................ 33,762 1,456,155 Tredegar Corp........................................ 40,177 681,804 *Universal Stainless & Alloy Products, Inc............ 9,714 334,162 Vulcan Materials Co.................................. 58,246 2,677,569 Wausau Paper Corp.................................... 18,658 154,302 #Westlake Chemical Corp............................... 84,076 6,394,821 Worthington Industries, Inc.......................... 47,320 1,023,058 #*Zoltek Cos., Inc..................................... 44,090 302,016 ------------ Total Materials......................................... 111,789,832 ------------ Other -- (0.0%) .*Gerber Scientific, Inc. Escrow Shares................ 47,409 -- .*Petrocorp, Inc. Escrow Shares........................ 900 54 .*Price Communications Liquidation Trust............... 47,738 -- ------------ Total Other............................................. 54 ------------ Telecommunication Services -- (6.4%) AT&T, Inc............................................ 4,065,906 140,639,689 Atlantic Tele-Network, Inc........................... 84 3,481 *Cbeyond, Inc......................................... 9,743 74,631 CenturyLink, Inc..................................... 536,163 20,577,936 Consolidated Communications Holdings, Inc............ 1,781 27,498 #Frontier Communications Corp......................... 696,949 3,289,599 *General Communications, Inc. Class A................. 44,167 386,020 *Iridium Communications, Inc.......................... 14,157 104,620 #*Leap Wireless International, Inc..................... 8,393 44,819 191 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED SHARES VALUE+ ----------- -------------- Telecommunication Services -- (Continued) #*MetroPCS Communications, Inc.................... 227,572 $ 2,323,510 *Neutral Tandem, Inc.............................. 5,043 23,299 *ORBCOMM, Inc..................................... 43,899 153,646 *Premiere Global Services, Inc.................... 1,201 10,208 Primus Telecommunications Group, Inc............. 1,537 22,486 Shenandoah Telecommunications Co................. 2,126 33,421 *Sprint Nextel Corp............................... 3,629,981 20,110,095 Telephone & Data Systems, Inc.................... 154,629 3,845,623 *United States Cellular Corp...................... 33,568 1,241,680 USA Mobility, Inc................................ 30,823 340,594 Verizon Communications, Inc...................... 623,041 27,812,550 -------------- Total Telecommunication Services.................... 221,065,405 -------------- Utilities -- (0.3%) #*Calpine Corp.................................... 147,764 2,600,646 #Consolidated Water Co., Ltd...................... 5,093 39,980 Genie Energy, Ltd. Class B....................... 5,687 39,866 *GenOn Energy, Inc................................ 540,175 1,388,250 #NRG Energy, Inc.................................. 220,130 4,746,003 #Ormat Technologies, Inc.......................... 20,134 383,150 SJW Corp......................................... 6,569 159,233 *Synthesis Energy Systems, Inc.................... 1,048 1,352 UGI Corp......................................... 9,233 298,134 -------------- Total Utilities..................................... 9,656,614 -------------- TOTAL COMMON STOCKS................................. 3,294,649,193 -------------- PREFERRED STOCKS -- (0.0%) Energy -- (0.0%) .DHT Holdings, Inc................................ 107 7,526 -------------- RIGHTS/WARRANTS -- (0.0%) *Capital Bank Financial Corp. Contingent Value Rights.......................................... 29,890 6,576 .*CVR Energy, Inc. Contingent Value Rights......... 44,674 -- -------------- TOTAL RIGHTS/WARRANTS............................... 6,576 -------------- TEMPORARY CASH INVESTMENTS -- (0.2%) BlackRock Liquidity Funds TempCash Portfolio - Institutional Shares........................... 8,034,380 8,034,380 -------------- SHARES/ FACE AMOUNT (000) ----------- SECURITIES LENDING COLLATERAL -- (4.8%) (S)@DFA Short Term Investment Fund.................. 14,435,138 167,014,544 @Repurchase Agreement, JPMorgan Securities LLC 0.30%, 11/01/12 (Collateralized by $454,029 FNMA, rates ranging from 2.500% to 5.500%, maturities ranging from 10/01/22 to 07/01/42, valued at $455,396) to be repurchased at $440,798....................................... $ 441 440,794 -------------- TOTAL SECURITIES LENDING COLLATERAL................. 167,455,338 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,736,014,230)............................ $3,470,153,013 ============== 192 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees and Shareholders of The DFA Investment Trust Company: We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the financial statements 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 (constituting series within The DFA Investment Trust Company, hereafter referred to as the "Series") as of October 31, 2012, and for the year then ended and have issued our unqualified report thereon dated December 21, 2012 (which report and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). Our audits included an audit of the Series' investment portfolios (the "Portfolios") as of October 31, 2012 appearing in Item 6 of this Form N-CSR. These Portfolios are the responsibility of the Series' management. Our responsibility is to express an opinion on these Portfolios based on our audits. In our opinion, the Portfolios referred to above, when read in conjunction with the financial statements of the Series referred to above, present fairly, in all material respects, the information set forth therein. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 21, 2012 (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 Principal Executive Officer 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 Principal Executive Officer and the Principal Financial Officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. (b)There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the second fiscal quarter of the period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 12.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. The DFA Investment Trust Company By: /s/ David G. Booth -------------------------------- David G. Booth Chairman, Trustee, President and Co-Chief Executive Officer Date: January 3, 2013 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 G. Booth -------------------------------- David G. Booth Principal Executive Officer The DFA Investment Trust Company Date: January 3, 2013 By: /s/ David R. Martin -------------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company Date: January 3, 2013 EX-99.CODE ETH 2 d413366dex99codeeth.txt CODE OF ETHICS EFFECTIVE DATE: JANUARY 1, 2006* CONFIDENTIAL AND PROPRIETARY CODE OF BUSINESS ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL EMERGING MARKETS VALUE FUND INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY I. COVERED OFFICERS AND PURPOSES OF THE CODE ----------------------------------------- The Boards of Directors/Trustees (together, the "Boards") of DFA Investment Dimensions Group Inc., Dimensional Emerging Markets Value Fund Inc., Dimensional Investment Group Inc. and The DFA Investment Trust Company (each a "Fund," and together, the "Funds") have adopted this Code of Business Ethics for Principal Executive and Financial Officers (the "Code"). The Code applies to the Funds' principal executive officers and principal financial officers (together, the "Covered Officers"), and is adopted to promote: . honest and ethical conduct, including the ethical handling of conflicts of interest; . full, fair, accurate, timely and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (the "SEC"), and in other public communications made by the Funds; . compliance with applicable laws and governmental rules and regulations; . the prompt internal reporting of violations of the Code to the appropriate person(s) identified in the Code; and . accountability for adherence to the Code. II. COVERED OFFICERS SHOULD "ADHERE TO A HIGH STANDARD OF BUSINESS ETHICS" --------------------------------------------------------------------- Each Covered Officer owes a duty to the Funds to adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual, as well as apparent, conflicts of interests. Each Covered Officer shall: . observe all laws and governmental rules and regulations, accounting standards and Fund policies; . adhere to a high standard of business ethics; and . place the interests of the Funds before the Covered Officer's own personal interests. All activities of Covered Officers should be guided by and adhere to these fiduciary standards. [GRAPHIC] III. COVERED OFFICERS SHOULD HANDLE ETHICALLY CONFLICTS OF INTEREST -------------------------------------------------------------- GUIDING PRINCIPLES. A "conflict of interest" occurs when a Covered Officer's private interests interfere with the interests of, or his service to, the Funds. A conflict of interest can arise when a Covered Officer takes actions or has interests that may make it difficult to perform his Fund work objectively and effectively. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his positions with the Funds. In addition, the Funds must be sensitive to situations that create apparent, if not actual, conflicts of interest. Service to the Funds should not be subordinated to personal gain and advantage. Certain conflicts of interest covered by this Code arise out of the relationships between Covered Officers and the Funds that already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the "1940 Act"), and the Investment Advisers Act of 1940, as amended (the "Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of the Covered Officers' status as "affiliated persons" of the Funds. The compliance programs and procedures of the Funds and Dimensional Fund Advisors LP, the Funds' investment advisor and administrator (the "Advisor"), are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace those compliance programs and procedures. Covered Officers must in all cases comply with applicable statutes and regulations. Although typically not presenting an opportunity for improper personal benefit, conflicts of interest arise from, or as a result of, the contractual relationships between the Funds and the Advisor, of which the Covered Officers are also officers or employees. As a result, it is recognized by the Boards that, subject to the Advisor's fiduciary duties to the Funds, the Covered Officers will, in the normal course of their duties (whether formally for the Funds or for the Advisor, or for both), be involved in establishing policies and implementing decisions that will have different effects on the Advisor and the Funds. The Boards recognize that the participation of the Covered Officers in such activities is inherent in the contractual relationships between the Funds and the Advisor, and is consistent with the expectation of the Boards of the performance by the Covered Officers of their duties as officers of the Funds. Such participation, if addressed in conformity with the provisions of the 1940 Act and the Advisers Act, will be deemed to have been handled ethically. In addition, it is recognized by the Boards that the Covered Officers may also be officers or employees of one or more other investment companies advised by the Advisor and covered by this or other Codes. Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the 1940 Act and the Advisers Act. In reading the following examples of conflicts of interest under the Code, the Covered Officers should keep in mind that such a list cannot be exhaustive by covering every possible scenario. It follows that the overarching principle--that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fund--should be the guiding principle in all circumstances. Each Covered Officer must: . avoid conflicts of interest whenever possible; . handle any actual or apparent conflict of interest ethically; 2 [GRAPHIC] . not use his personal influence or personal relationships improperly to influence investment decisions or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds; . not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than for the benefit of the Funds; . not use material, non-public knowledge of portfolio transactions made or contemplated for the Funds to profit personally, or to cause others to profit, by the market effect of such transactions; and . as described in more detail below, discuss any material transaction or relationship, which could reasonably be expected to give rise to a conflict of interest, with the Chief Compliance Officer of the Funds (the "Designated Ethics Officer"). In the event the Chief Compliance Officer of the Funds is not available, the Chairman of the Audit Committee may take action required hereunder of the Designated Ethics Officer. There are some conflict of interest situations that should always be discussed with the Designated Ethics Officer, if material. Examples of these situations include: . any outside business activity that detracts from an individual's ability to devote appropriate time and attention to his responsibilities with the Funds; . service as a director on the board of any public or private company; . the receipt of any non-nominal gifts; . the receipt of any entertainment from any company with which the Funds have current or prospective business dealings, unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; . being in the position of supervising, reviewing or having any influence on the job evaluation, pay or benefit of any immediate family member; . any ownership interest in, or any consulting or employment relationship with, any of the Funds' service providers, other than the Advisor and DFA Securities LLC ("DFAS"), or any affiliated person thereof; and . a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership. IV. DISCLOSURE ---------- Each Covered Officer is required to be familiar and comply with the Funds' disclosure controls and procedures so that the Funds' subject reports and documents filed with the SEC comply in all material respects with the applicable federal securities laws and SEC rules. In addition, each Covered 3 [GRAPHIC] Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his area of responsibility, consult with other Fund officers and employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure. Each Covered Officer: . must familiarize himself with the disclosure requirements applicable to the Funds as well as the business and financial operations of the Funds; and . must not knowingly misrepresent, or intentionally cause others to misrepresent, facts about the Funds to others, whether within or outside the Funds, including to the Funds' directors/trustees and auditors, and to governmental regulators and self-regulatory organizations. V. COMPLIANCE ---------- It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters. VI. REPORTING AND ACCOUNTABILITY ---------------------------- Each Covered Officer must: . upon adoption of the Code, affirm in writing to the Designated Ethics Officer that he has received, read, and understands the Code; . annually thereafter affirm to the Designated Ethics Officer that he has received, read and understands the Code and has complied with the requirements of the Code; . not retaliate against any employee or Covered Officer for reports of potential violations that are made in good faith; and . notify the Designated Ethics Officer promptly if the Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code. The Designated Ethics Officer is responsible for applying the provisions of the Code to specific situations in which questions arise under the Code, and the Designated Ethics Officer has the authority to interpret this Code in any particular situation. The Designated Ethics Officer is authorized (and encouraged) to consult, as appropriate, with the Audit Committee of the Funds, the members of the Boards who are not "interested persons" (together, the "Independent Directors"), and counsel to the Funds and the Independent Directors. The Funds will comply with the following procedures in investigating and enforcing this Code: 4 [GRAPHIC] . the Designated Ethics Officer will take all appropriate action to investigate any violations and potential violations reported to him; . violations and potential violations will be reported to the Audit Committee after such investigation; . if the Audit Committee determines that a violation of this Code has occurred, the Audit Committee will consider appropriate action, which may include the review of, and necessary modifications to, applicable policies and procedures; notification to appropriate personnel of the Advisor or the Advisor's board of directors; or recommending the dismissal of the Covered Officer; . appropriate disciplinary or preventive action may include a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities; . the Audit Committee will report to the Boards any action (whether disciplinary, preventive or otherwise) taken to address violations of this Code; . the Audit Committee will be responsible for granting waivers and determining sanctions, as appropriate; and . any changes to or waivers of this Code will, to the extent required, be disclosed on Form N-CSR as provided by SEC rules. VII. OTHER POLICIES AND PROCEDURES ----------------------------- The code of ethics under Rule 17j-1 under the 1940 Act, adopted by the Funds, the Advisor and the affiliated companies of the Advisor, and the Advisor's policies and procedures set forth in the Statement of Policy of Employee Trading are separate requirements applying to the Covered Officers and others, and are not part of this Code. VIII. AMENDMENTS ---------- This Code may not be amended except in written form, which is specifically approved or ratified by a majority vote of the Boards, including a majority of the Independent Directors. IX. CONFIDENTIALITY --------------- All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the members of the Boards and their counsel, the Funds, and the Advisor. 5 [GRAPHIC] X. INTERNAL USE ------------ The Code is intended solely for the internal use by the Funds and does not constitute an admission, by or on behalf of any Fund, as to any fact, circumstance, or legal conclusion. Date: January 1, 2006 6 [GRAPHIC] EXHIBIT A PERSONS COVERED BY THIS CODE OF BUSINESS ETHICS ----------------------------------------------- David G. Booth (Principal Executive Officer of the Funds) David R. Martin (Principal Financial Officer of the Funds) A-1 [GRAPHIC] EX-99.CERT 3 d413366dex99cert.txt 302 CERTIFICATIONS CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David G. Booth, certify that: 1. I have reviewed this report on Form N-CSR of The DFA Investment Trust Company (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: January 3, 2013 By: /s/ David G. Booth -------------------------------- David G. Booth Principal Executive Officer The DFA Investment Trust Company CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 I, David R. Martin, certify that: 1. I have reviewed this report on Form N-CSR of The DFA Investment Trust Company (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) for the Registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principals; c) evaluated the effectiveness of the Registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) disclosed in this report any change in the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting; and 5. The Registrant's other certifying officer and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrant's internal control over financial reporting. Date: January 3, 2013 By: /s/ David R. Martin -------------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company EX-99.906CERT 4 d413366dex99906cert.txt 906 CERTIFICATIONS CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 David G. Booth, Principal Executive Officer, and David R. Martin, Principal Financial Officer, of The DFA Investment Trust Company, a Delaware statutory trust (the "Registrant"), each certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended October 31, 2012 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, as applicable; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. By: /s/ David G. Booth -------------------------------- David G. Booth Principal Executive Officer The DFA Investment Trust Company Date: January 3, 2013 By: /s/ David R. Martin -------------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company Date: January 3, 2013