0001193125-14-002909.txt : 20140106 0001193125-14-002909.hdr.sgml : 20140106 20140106161658 ACCESSION NUMBER: 0001193125-14-002909 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20131031 FILED AS OF DATE: 20140106 DATE AS OF CHANGE: 20140106 EFFECTIVENESS DATE: 20140106 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: 14510028 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 N-CSR 1 d613245dncsr.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, 2013 ================================================================================ ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] ANNUAL REPORT year ended: October 31, 2013 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND --------------------------------------------------- [LOGO] Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 November 2013 Dear Fellow Shareholder, Our goal at Dimensional is to deliver an outstanding investment experience to our clients. Our close ties to academia help us identify leading research that can be beneficial to investors, and our team works to interpret, rigorously test, and consider the practical applicability of those ideas in carefully implemented investment strategies. This focus on research and implementation has been central to Dimensional's approach since our founding and will continue to be a key part of our offer to investors. Sincerely, /s/ David G. Booth CHAIRMAN AND CO-CHIEF EXECUTIVE OFFICER 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.............................. 19 Disclosure of Fund Expenses....................................... 31 Disclosure of Portfolio Holdings.................................. 36 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio......................... 39 U.S. Large Cap Equity Portfolio............................... 42 U.S. Large Cap Value Portfolio................................ 45 U.S. Targeted Value Portfolio................................. 46 U.S. Small Cap Value Portfolio................................ 49 U.S. Core Equity 1 Portfolio.................................. 52 U.S. Core Equity 2 Portfolio.................................. 55 U.S. Vector Equity Portfolio.................................. 58 U.S. Small Cap Portfolio...................................... 61 U.S. Micro Cap Portfolio...................................... 64 DFA Real Estate Securities Portfolio.......................... 67 Large Cap International Portfolio............................. 69 International Core Equity Portfolio........................... 73 International Small Company Portfolio......................... 78 Japanese Small Company Portfolio.............................. 79 Asia Pacific Small Company Portfolio.......................... 79 United Kingdom Small Company Portfolio........................ 80 Continental Small Company Portfolio........................... 80 DFA International Real Estate Securities Portfolio............ 81 DFA Global Real Estate Securities Portfolio................... 85 DFA International Small Cap Value Portfolio................... 86 International Vector Equity Portfolio......................... 90 World ex U.S. Value Portfolio................................. 95 World ex U.S. Targeted Value Portfolio........................ 96 World ex U.S. Core Equity Portfolio........................... 97 Selectively Hedged Global Equity Portfolio.................... 98 Emerging Markets Portfolio.................................... 99 Emerging Markets Small Cap Portfolio.......................... 99 Emerging Markets Value Portfolio.............................. 99 Emerging Markets Core Equity Portfolio........................ 100 Statements of Assets and Liabilities.............................. 105 Statements of Operations.......................................... 112 Statements of Changes in Net Assets............................... 119 Financial Highlights.............................................. 129 Notes to Financial Statements..................................... 147 Report of Independent Registered Public Accounting Firm........... 174
i TABLE OF CONTENTS CONTINUED
PAGE ---- DFA INVESTMENT DIMENSIONS GROUP INC. - DFA COMMODITY STRATEGY PORTFOLIO Performance Charts................................................... 175 Management's Discussion and Analysis................................. 176 Consolidated Disclosure of Fund Expenses............................. 177 Consolidated Disclosure of Portfolio Holdings........................ 178 Consolidated Schedule of Investments................................. 179 Consolidated Statement of Assets and Liabilities..................... 184 Consolidated Statement of Operations................................. 185 Consolidated Statements of Changes in Net Assets..................... 186 Consolidated Financial Highlights.................................... 187 Consolidated Notes to Financial Statements........................... 188 Report of Independent Registered Public Accounting Firm.............. 200 DIMENSIONAL INVESTMENT GROUP INC. Performance Charts................................................... 201 Management's Discussion and Analysis................................. 203 Disclosure of Fund Expenses.......................................... 206 Disclosure of Portfolio Holdings..................................... 208 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio................................ 209 U.S. Large Company Portfolio..................................... 210 Statements of Assets and Liabilities................................. 213 Statements of Operations............................................. 214 Statements of Changes in Net Assets.................................. 215 Financial Highlights................................................. 216 Notes to Financial Statements........................................ 218 Report of Independent Registered Public Accounting Firm.............. 229 THE DFA INVESTMENT TRUST COMPANY Performance Charts................................................... 230 Management's Discussion and Analysis................................. 235 Disclosure of Fund Expenses.......................................... 240 Disclosure of Portfolio Holdings..................................... 242 Summary Schedules of Portfolio Holdings.............................. 244 The U.S. Large Cap Value Series.................................. 244 The DFA International Value Series............................... 247 The Japanese Small Company Series................................ 251 The Asia Pacific Small Company Series............................ 254 The United Kingdom Small Company Series.......................... 257 The Continental Small Company Series............................. 260 The Canadian Small Company Series................................ 264 The Emerging Markets Series...................................... 267 The Emerging Markets Small Cap Series............................ 271 Statements of Assets and Liabilities................................. 275 Statements of Operations............................................. 277 Statements of Changes in Net Assets.................................. 279 Financial Highlights................................................. 282 Notes to Financial Statements........................................ 287 Report of Independent Registered Public Accounting Firm.............. 296
ii TABLE OF CONTENTS CONTINUED
PAGE ---- DIMENSIONAL EMERGING MARKETS VALUE FUND Performance Charts...................................... 297 Management's Discussion and Analysis.................... 298 Disclosure of Fund Expenses............................. 299 Disclosure of Portfolio Holdings........................ 300 Summary Schedule of Portfolio Holdings.................. 301 Statement of Assets and Liabilities..................... 305 Statement of Operations................................. 306 Statements of Changes in Net Assets..................... 307 Financial Highlights.................................... 308 Notes to Financial Statements........................... 309 Report of Independent Registered Public Accounting Firm. 315 FUND MANAGEMENT............................................ 316 VOTING PROXIES ON FUND PORTFOLIO SECURITIES................ 325 NOTICE TO SHAREHOLDERS..................................... 326
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 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 P.L.C. Public Limited Company SPDR Standard & Poor's Depository Receipts GBP British Pounds NZD New Zealand Dollars USD United States Dollars 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 USD, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. ^^ Security pledged as collateral for the Open Futures Contracts. ++ Security pledged as collateral for Swap Agreements. (o) Security is being fair valued as of October 31, 2013. (S) Affiliated Fund. FINANCIAL HIGHLIGHTS -------------------- (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized ALL STATEMENTS, SCHEDULES AND NOTES TO FINANCIAL STATEMENTS ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. REIT Real Estate Investment Trust RIC Registered Investment Company SEC Securities and Exchange Commission (a) Commencement of Operations. (b) Commencement of Operations.
1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- ENHANCED U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Enhanced U.S. Large Company Portfolio S&P 500/R/ Index ------------------------------------- ------------------ 10/31/2003 $10,000 $10,000 11/30/2003 10,084 10,088 12/31/2003 10,638 10,617 1/31/2004 10,830 10,812 2/29/2004 10,998 10,962 3/31/2004 10,843 10,797 4/30/2004 10,602 10,627 5/31/2004 10,734 10,773 6/30/2004 10,924 10,982 7/31/2004 10,574 10,619 8/31/2004 10,647 10,662 9/30/2004 10,753 10,777 10/31/2004 10,922 10,942 11/30/2004 11,322 11,385 12/31/2004 11,705 11,772 1/31/2005 11,399 11,485 2/28/2005 11,620 11,727 3/31/2005 11,387 11,519 4/30/2005 11,191 11,301 5/31/2005 11,546 11,660 6/30/2005 11,558 11,677 7/31/2005 11,939 12,111 8/31/2005 11,853 12,001 9/30/2005 11,926 12,098 10/31/2005 11,679 11,896 11/30/2005 12,124 12,346 12/31/2005 12,125 12,350 1/31/2006 12,450 12,677 2/28/2006 12,450 12,712 3/31/2006 12,606 12,870 4/30/2006 12,757 13,043 5/31/2006 12,380 12,667 6/30/2006 12,393 12,685 7/31/2006 12,468 12,763 8/31/2006 12,757 13,067 9/30/2006 13,084 13,403 10/31/2006 13,499 13,840 11/30/2006 13,763 14,103 12/31/2006 13,947 14,301 1/31/2007 14,145 14,518 2/28/2007 13,868 14,234 3/31/2007 14,026 14,393 4/30/2007 14,633 15,030 5/31/2007 15,134 15,555 6/30/2007 14,870 15,296 7/31/2007 14,422 14,822 8/31/2007 14,620 15,044 9/30/2007 15,163 15,607 10/31/2007 15,407 15,855 11/30/2007 14,758 15,192 12/31/2007 14,653 15,087 1/31/2008 13,735 14,182 2/29/2008 13,290 13,721 3/31/2008 13,231 13,662 4/30/2008 13,853 14,327 5/31/2008 14,046 14,513 6/30/2008 12,853 13,290 7/31/2008 12,748 13,178 8/31/2008 12,943 13,369 9/30/2008 11,751 12,177 10/31/2008 9,747 10,132 11/30/2008 9,084 9,405 12/31/2008 9,191 9,505 1/31/2009 8,421 8,704 2/28/2009 7,500 7,777 3/31/2009 8,183 8,459 4/30/2009 8,990 9,268 5/31/2009 9,527 9,786 6/30/2009 9,561 9,806 7/31/2009 10,317 10,547 8/31/2009 10,720 10,928 9/30/2009 11,142 11,336 10/31/2009 10,939 11,126 11/30/2009 11,631 11,793 12/31/2009 11,831 12,021 1/31/2010 11,424 11,588 2/28/2010 11,797 11,947 3/31/2010 12,492 12,668 4/30/2010 12,696 12,868 5/31/2010 11,696 11,841 6/30/2010 11,094 11,221 7/31/2010 11,877 12,007 8/31/2010 11,350 11,465 9/30/2010 12,365 12,488 10/31/2010 12,842 12,963 11/30/2010 12,825 12,965 12/31/2010 13,684 13,831 1/31/2011 14,025 14,159 2/28/2011 14,487 14,644 3/31/2011 14,487 14,650 4/30/2011 14,948 15,084 5/31/2011 14,811 14,913 6/30/2011 14,555 14,665 7/31/2011 14,282 14,366 8/31/2011 13,496 13,586 9/30/2011 12,539 12,631 10/31/2011 13,923 14,011 11/30/2011 13,837 13,981 12/31/2011 13,992 14,124 1/31/2012 14,648 14,756 2/29/2012 15,287 15,395 3/31/2012 15,806 15,901 4/30/2012 15,719 15,801 5/31/2012 14,769 14,852 6/30/2012 15,389 15,464 7/31/2012 15,649 15,678 8/31/2012 16,013 16,032 9/30/2012 16,424 16,446 10/31/2012 16,129 16,142 11/30/2012 16,233 16,236 12/31/2012 16,365 16,384 1/31/2013 17,204 17,232 2/28/2013 17,448 17,466 3/31/2013 18,094 18,121 4/30/2013 18,444 18,470 5/31/2013 18,863 18,903 6/30/2013 18,574 18,649 7/31/2013 19,554 19,598 Past performance is not predictive of 8/31/2013 18,976 19,030 future performance. 9/30/2013 19,571 19,627 10/31/2013 20,482 20,529 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ The S&P data are provided by Standard 26.99% 16.01% 7.43% & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. LARGE CAP EQUITY PORTFOLIO VS. RUSSELL 1000(R) INDEX JUNE 25, 2013-OCTOBER 31, 2013 [CHART] U.S. Large Cap Equity Portfolio Russell 1000/R/ Index ----------------- --------------------- 06/25/2013 $10,000 $10,000 06/30/2013 10,020 10,130 07/31/2013 10,550 10,672 Past performance is not predictive of 08/31/2013 10,270 10,378 future performance. 09/30/2013 10,630 10,740 10/31/2013 11,101 11,213 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. FROM TOTAL RETURN 06/25/2013 Russell data copyright (C) Russell ------------------------------------- Investment Group 1995-2013, all rights 11.01% reserved.
-------------------------------------------------------------------------------- 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. LARGE CAP VALUE PORTFOLIO VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Large Cap Value Portfolio Russell 1000/R/ Value Index ------------------------------ --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,222 10,136 12/31/2003 10,920 10,760 1/31/2004 11,104 10,950 2/29/2004 11,391 11,184 3/31/2004 11,345 11,086 4/30/2004 11,154 10,815 5/31/2004 11,217 10,925 6/30/2004 11,552 11,183 7/31/2004 11,175 11,026 8/31/2004 11,175 11,182 9/30/2004 11,520 11,356 10/31/2004 11,654 11,544 11/30/2004 12,417 12,128 12/31/2004 12,912 12,534 1/31/2005 12,590 12,311 2/28/2005 12,970 12,719 3/31/2005 12,936 12,545 4/30/2005 12,491 12,320 5/31/2005 13,026 12,617 6/30/2005 13,291 12,755 7/31/2005 13,951 13,124 8/31/2005 13,834 13,067 9/30/2005 14,048 13,250 10/31/2005 13,672 12,914 11/30/2005 14,217 13,336 12/31/2005 14,234 13,416 1/31/2006 14,909 13,937 2/28/2006 14,856 14,022 3/31/2006 15,117 14,212 4/30/2006 15,543 14,573 5/31/2006 15,255 14,205 6/30/2006 15,387 14,295 7/31/2006 15,164 14,643 8/31/2006 15,407 14,888 9/30/2006 15,833 15,185 10/31/2006 16,460 15,682 11/30/2006 16,771 16,040 12/31/2006 17,108 16,400 1/31/2007 17,602 16,610 2/28/2007 17,338 16,351 3/31/2007 17,452 16,603 4/30/2007 18,191 17,217 5/31/2007 18,938 17,838 6/30/2007 18,630 17,421 7/31/2007 17,473 16,616 8/31/2007 17,140 16,802 9/30/2007 17,583 17,379 10/31/2007 17,678 17,381 11/30/2007 16,688 16,531 12/31/2007 16,635 16,371 1/31/2008 15,997 15,716 2/29/2008 15,502 15,057 3/31/2008 15,357 14,944 4/30/2008 16,320 15,673 5/31/2008 16,709 15,648 6/30/2008 14,877 14,150 7/31/2008 14,711 14,099 8/31/2008 15,000 14,339 9/30/2008 13,651 13,285 10/31/2008 10,575 10,985 11/30/2008 9,538 10,198 12/31/2008 9,848 10,339 1/31/2009 8,680 9,150 2/28/2009 7,461 7,928 3/31/2009 8,195 8,606 4/30/2009 9,521 9,528 5/31/2009 10,251 10,117 6/30/2009 10,127 10,042 7/31/2009 11,081 10,864 8/31/2009 11,834 11,433 9/30/2009 12,350 11,874 10/31/2009 11,819 11,511 11/30/2009 12,484 12,160 12/31/2009 12,821 12,375 1/31/2010 12,520 12,027 2/28/2010 13,061 12,407 3/31/2010 14,080 13,214 4/30/2010 14,524 13,556 5/31/2010 13,281 12,442 6/30/2010 12,277 11,742 7/31/2010 13,237 12,536 8/31/2010 12,428 12,000 9/30/2010 13,646 12,931 10/31/2010 14,149 13,319 11/30/2010 14,042 13,248 12/31/2010 15,407 14,294 1/31/2011 15,905 14,617 2/28/2011 16,762 15,156 3/31/2011 16,839 15,217 4/30/2011 17,261 15,622 5/31/2011 17,015 15,457 6/30/2011 16,706 15,140 7/31/2011 15,943 14,638 8/31/2011 14,595 13,724 9/30/2011 13,120 12,687 10/31/2011 14,931 14,139 11/30/2011 14,807 14,066 12/31/2011 14,924 14,350 1/31/2012 15,664 14,893 2/29/2012 16,569 15,486 3/31/2012 16,872 15,945 4/30/2012 16,520 15,783 5/31/2012 15,347 14,857 6/30/2012 16,171 15,595 7/31/2012 16,328 15,756 8/31/2012 16,973 16,098 9/30/2012 17,592 16,609 10/31/2012 17,639 16,528 11/30/2012 17,679 16,521 12/31/2012 18,215 16,862 1/31/2013 19,479 17,958 2/28/2013 19,726 18,216 3/31/2013 20,674 18,937 4/30/2013 20,881 19,224 5/31/2013 21,743 19,717 6/30/2013 21,492 19,543 7/31/2013 22,782 20,599 8/31/2013 22,101 19,817 Past performance is not predictive of 9/30/2013 22,754 20,314 future performance. 10/31/2013 23,904 21,203 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2013, all 35.52% 17.72% 9.11% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R1 VS. RUSSELL 2000(R) VALUE INDEX JANUARY 31, 2008-OCTOBER 31, 2013 [CHART] U.S. Targeted Value Portfolio - Class R1 Russell 2000/R/ Value Index -------------------------- --------------------------- 1/31/2008 $10,000 $10,000 2/29/2008 9,750 9,603 3/31/2008 9,821 9,748 4/30/2008 10,152 10,056 5/31/2008 10,613 10,400 6/30/2008 9,538 9,402 7/31/2008 9,790 9,884 8/31/2008 10,233 10,353 9/30/2008 9,575 9,868 10/31/2008 7,504 7,897 11/30/2008 6,525 6,982 12/31/2008 6,946 7,412 1/31/2009 5,999 6,353 2/28/2009 5,204 5,471 3/31/2009 5,777 5,956 4/30/2009 6,902 6,901 5/31/2009 7,137 7,051 6/30/2009 7,107 7,028 7/31/2009 7,959 7,841 8/31/2009 8,379 8,212 9/30/2009 8,844 8,624 10/31/2009 8,207 8,051 11/30/2009 8,484 8,308 12/31/2009 9,150 8,937 1/31/2010 8,943 8,675 2/28/2010 9,449 9,077 3/31/2010 10,229 9,832 4/30/2010 10,973 10,520 5/31/2010 9,981 9,631 6/30/2010 9,031 8,790 7/31/2010 9,735 9,418 8/31/2010 8,948 8,710 9/30/2010 10,044 9,645 10/31/2010 10,417 10,019 11/30/2010 10,840 10,273 12/31/2010 11,805 11,127 1/31/2011 11,883 11,133 2/28/2011 12,550 11,698 3/31/2011 12,792 11,861 4/30/2011 12,998 12,053 5/31/2011 12,678 11,837 6/30/2011 12,397 11,546 7/31/2011 11,964 11,164 8/31/2011 10,763 10,178 9/30/2011 9,425 9,067 10/31/2011 10,905 10,373 11/30/2011 10,941 10,353 12/31/2011 11,049 10,515 1/31/2012 11,719 11,214 2/29/2012 12,144 11,380 3/31/2012 12,369 11,733 4/30/2012 12,168 11,564 5/31/2012 11,260 10,857 6/30/2012 11,715 11,380 7/31/2012 11,657 11,264 8/31/2012 12,192 11,612 9/30/2012 12,577 12,025 10/31/2012 12,505 11,874 11/30/2012 12,715 11,911 12/31/2012 13,155 12,413 1/31/2013 14,059 13,152 2/28/2013 14,291 13,303 3/31/2013 14,987 13,856 4/30/2013 14,840 13,843 5/31/2013 15,567 14,256 6/30/2013 15,460 14,199 7/31/2013 16,545 15,111 Past performance is not predictive of 8/31/2013 15,941 14,443 future performance. 9/30/2013 16,826 15,277 10/31/2013 17,555 15,773 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 01/31/2008 Russell data copyright (C) Russell ------------------------------------------------------------- Investment Group 1995-2013, all 40.39% 18.53% 10.29% rights reserved.
-------------------------------------------------------------------------------- 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- CLASS R2 VS. RUSSELL 2000(R) VALUE INDEX JUNE 30, 2008-OCTOBER 31, 2013 [CHART] U.S. Targeted Value Portfolio - Class R2 Russell 2000/R/ Value Index ------------------------ --------------------------- 06/30/2008 $10,000 $10,000 07/31/2008 10,260 10,513 08/31/2008 10,720 11,012 09/30/2008 10,038 10,496 10/31/2008 7,860 8,399 11/30/2008 6,836 7,426 12/31/2008 7,274 7,883 01/31/2009 6,272 6,757 02/28/2009 5,443 5,818 03/31/2009 6,038 6,335 04/30/2009 7,216 7,340 05/31/2009 7,459 7,499 06/30/2009 7,436 7,475 07/31/2009 8,321 8,340 08/31/2009 8,768 8,735 09/30/2009 9,248 9,173 10/31/2009 8,585 8,564 11/30/2009 8,871 8,836 12/31/2009 9,568 9,505 01/31/2010 9,343 9,227 02/28/2010 9,865 9,654 03/31/2010 10,685 10,458 04/30/2010 11,453 11,189 05/31/2010 10,419 10,244 06/30/2010 9,434 9,350 07/31/2010 10,161 10,017 08/31/2010 9,341 9,264 09/30/2010 10,484 10,258 10/31/2010 10,874 10,656 11/30/2010 11,306 10,927 12/31/2010 12,308 11,834 01/31/2011 12,396 11,841 02/28/2011 13,085 12,442 03/31/2011 13,336 12,615 04/30/2011 13,544 12,820 05/31/2011 13,211 12,590 06/30/2011 12,926 12,281 07/31/2011 12,466 11,875 08/31/2011 11,214 10,826 09/30/2011 9,820 9,644 10/31/2011 11,364 11,033 11/30/2011 11,401 11,011 12/31/2011 11,510 11,183 01/31/2012 12,209 11,927 02/29/2012 12,644 12,104 03/31/2012 12,877 12,480 04/30/2012 12,667 12,299 05/31/2012 11,721 11,548 06/30/2012 12,189 12,104 07/31/2012 12,129 11,981 08/31/2012 12,686 12,350 09/30/2012 13,082 12,790 10/31/2012 13,007 12,630 11/30/2012 13,225 12,668 12/31/2012 13,677 13,202 01/31/2013 14,611 13,989 02/28/2013 14,861 14,149 03/31/2013 15,577 14,738 04/30/2013 15,424 14,723 05/31/2013 16,181 15,163 06/30/2013 16,064 15,102 07/31/2013 17,185 16,072 08/31/2013 16,548 15,362 09/30/2013 17,472 16,248 Past performance is not predictive of 10/31/2013 18,223 16,777 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. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 06/30/2008 Russell data copyright (C) Russell ----------------------------------------------------------------- Investment Group 1995-2013, all 40.10% 18.32% 11.90% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. TARGETED VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Targeted Value Portfolio - Institutional Class Russell 2000/R/ Value Index --------------------------------- --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,413 10,384 12/31/2003 10,967 10,760 01/31/2004 11,470 11,132 02/29/2004 11,649 11,348 03/31/2004 11,749 11,505 04/30/2004 11,354 10,910 05/31/2004 11,525 11,042 06/30/2004 12,179 11,603 07/31/2004 11,590 11,069 08/31/2004 11,513 11,178 09/30/2004 12,036 11,620 10/31/2004 12,144 11,800 11/30/2004 13,262 12,847 12/31/2004 13,674 13,154 01/31/2005 13,238 12,645 02/28/2005 13,605 12,897 03/31/2005 13,477 12,631 04/30/2005 12,564 11,979 05/31/2005 13,401 12,710 06/30/2005 13,927 13,272 07/31/2005 14,781 14,027 08/31/2005 14,550 13,705 09/30/2005 14,601 13,682 10/31/2005 14,215 13,339 11/30/2005 14,876 13,880 12/31/2005 14,939 13,773 01/31/2006 16,138 14,912 02/28/2006 15,968 14,911 03/31/2006 16,629 15,633 04/30/2006 16,847 15,675 05/31/2006 16,261 15,026 06/30/2006 16,353 15,211 07/31/2006 15,850 15,000 08/31/2006 16,210 15,448 09/30/2006 16,375 15,599 10/31/2006 17,184 16,393 11/30/2006 17,773 16,860 12/31/2006 17,882 17,007 01/31/2007 18,255 17,262 02/28/2007 18,161 17,050 03/31/2007 18,301 17,256 04/30/2007 18,674 17,435 05/31/2007 19,483 18,074 06/30/2007 19,226 17,653 07/31/2007 17,833 16,150 08/31/2007 17,781 16,474 09/30/2007 17,834 16,548 10/31/2007 17,876 16,729 11/30/2007 16,601 15,475 12/31/2007 16,417 15,344 01/31/2008 15,632 14,715 02/29/2008 15,234 14,130 03/31/2008 15,364 14,343 04/30/2008 15,870 14,797 05/31/2008 16,603 15,303 06/30/2008 14,924 13,835 07/31/2008 15,312 14,544 08/31/2008 16,004 15,235 09/30/2008 14,991 14,521 10/31/2008 11,741 11,620 11/30/2008 10,214 10,274 12/31/2008 10,871 10,906 01/31/2009 9,377 9,348 02/28/2009 8,145 8,050 03/31/2009 9,033 8,764 04/30/2009 10,794 10,155 05/31/2009 11,166 10,375 06/30/2009 11,128 10,342 07/31/2009 12,454 11,538 08/31/2009 13,123 12,084 09/30/2009 13,853 12,690 10/31/2009 12,853 11,847 11/30/2009 13,281 12,224 12/31/2009 14,336 13,150 01/31/2010 14,005 12,765 02/28/2010 14,788 13,357 03/31/2010 16,019 14,468 04/30/2010 17,176 15,480 05/31/2010 15,633 14,172 06/30/2010 14,148 12,935 07/31/2010 15,251 13,858 08/31/2010 14,015 12,816 09/30/2010 15,739 14,192 10/31/2010 16,325 14,742 11/30/2010 16,978 15,117 12/31/2010 18,495 16,373 01/31/2011 18,618 16,381 02/28/2011 19,674 17,213 03/31/2011 20,052 17,452 04/30/2011 20,364 17,736 05/31/2011 19,863 17,418 06/30/2011 19,436 16,990 07/31/2011 18,757 16,428 08/31/2011 16,875 14,977 09/30/2011 14,780 13,341 10/31/2011 17,102 15,264 11/30/2011 17,158 15,234 12/31/2011 17,332 15,472 01/31/2012 18,382 16,500 02/29/2012 19,049 16,746 03/31/2012 19,407 17,265 04/30/2012 19,091 17,015 05/31/2012 17,667 15,976 06/30/2012 18,385 16,746 07/31/2012 18,295 16,575 08/31/2012 19,134 17,086 09/30/2012 19,743 17,695 10/31/2012 19,629 17,473 11/30/2012 19,959 17,526 12/31/2012 20,657 18,265 01/31/2013 22,066 19,353 02/28/2013 22,443 19,574 03/31/2013 23,536 20,389 04/30/2013 23,305 20,369 05/31/2013 24,458 20,978 06/30/2013 24,284 20,893 Past performance is not predictive of 07/31/2013 25,988 22,236 future performance. 08/31/2013 25,026 21,252 09/30/2013 26,426 22,479 The returns shown do not reflect the 10/31/2013 27,560 23,210 deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell ---------------------------------------------------------------- Investment Group 1995-2013, all 40.40% 18.61% 10.67% rights reserved.
-------------------------------------------------------------------------------- 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. SMALL CAP VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Small Cap Value Portfolio Russell 2000/R/ Value Index ------------------------ --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,416 10,384 12/31/2003 10,972 10,760 01/31/2004 11,508 11,132 02/29/2004 11,671 11,348 03/31/2004 11,781 11,505 04/30/2004 11,408 10,910 05/31/2004 11,451 11,042 06/30/2004 12,217 11,603 07/31/2004 11,566 11,069 08/31/2004 11,393 11,178 09/30/2004 11,955 11,620 10/31/2004 12,070 11,800 11/30/2004 13,277 12,847 12/31/2004 13,758 13,154 01/31/2005 13,266 12,645 02/28/2005 13,625 12,897 03/31/2005 13,359 12,631 04/30/2005 12,386 11,979 05/31/2005 13,210 12,710 06/30/2005 13,762 13,272 07/31/2005 14,741 14,027 08/31/2005 14,495 13,705 09/30/2005 14,610 13,682 10/31/2005 14,183 13,339 11/30/2005 14,780 13,880 12/31/2005 14,829 13,773 01/31/2006 16,138 14,912 02/28/2006 16,082 14,911 03/31/2006 17,062 15,633 04/30/2006 17,230 15,675 05/31/2006 16,474 15,026 06/30/2006 16,482 15,211 07/31/2006 15,865 15,000 08/31/2006 16,173 15,448 09/30/2006 16,366 15,599 10/31/2006 17,255 16,393 11/30/2006 17,779 16,860 12/31/2006 18,025 17,007 01/31/2007 18,422 17,262 02/28/2007 18,379 17,050 03/31/2007 18,579 17,256 04/30/2007 18,914 17,435 05/31/2007 19,604 18,074 06/30/2007 19,301 17,653 07/31/2007 17,826 16,150 08/31/2007 17,691 16,474 09/30/2007 17,642 16,548 10/31/2007 17,839 16,729 11/30/2007 16,284 15,475 12/31/2007 16,088 15,344 01/31/2008 15,454 14,715 02/29/2008 15,015 14,130 03/31/2008 15,142 14,343 04/30/2008 15,393 14,797 05/31/2008 16,029 15,303 06/30/2008 14,410 13,835 07/31/2008 14,708 14,544 08/31/2008 15,319 15,235 09/30/2008 14,263 14,521 10/31/2008 11,106 11,620 11/30/2008 9,663 10,274 12/31/2008 10,170 10,906 01/31/2009 8,718 9,348 02/28/2009 7,610 8,050 03/31/2009 8,402 8,764 04/30/2009 10,053 10,155 05/31/2009 10,376 10,375 06/30/2009 10,413 10,342 07/31/2009 11,813 11,538 08/31/2009 12,420 12,084 09/30/2009 13,207 12,690 10/31/2009 12,212 11,847 11/30/2009 12,592 12,224 12/31/2009 13,589 13,150 01/31/2010 13,160 12,765 02/28/2010 13,970 13,357 03/31/2010 15,208 14,468 04/30/2010 16,441 15,480 05/31/2010 14,813 14,172 06/30/2010 13,310 12,935 07/31/2010 14,467 13,858 08/31/2010 13,255 12,816 09/30/2010 14,969 14,192 10/31/2010 15,593 14,742 11/30/2010 16,294 15,117 12/31/2010 17,789 16,373 01/31/2011 17,844 16,381 02/28/2011 18,964 17,213 03/31/2011 19,354 17,452 04/30/2011 19,598 17,736 05/31/2011 18,985 17,418 06/30/2011 18,642 16,990 07/31/2011 18,106 16,428 08/31/2011 16,191 14,977 09/30/2011 14,154 13,341 10/31/2011 16,394 15,264 11/30/2011 16,282 15,234 12/31/2011 16,446 15,472 01/31/2012 17,668 16,500 02/29/2012 18,229 16,746 03/31/2012 18,648 17,265 04/30/2012 18,350 17,015 05/31/2012 17,043 15,976 06/30/2012 17,790 16,746 07/31/2012 17,747 16,575 08/31/2012 18,495 17,086 09/30/2012 19,108 17,695 10/31/2012 18,951 17,473 11/30/2012 19,300 17,526 12/31/2012 20,019 18,265 01/31/2013 21,333 19,353 02/28/2013 21,707 19,574 03/31/2013 22,772 20,389 04/30/2013 22,520 20,369 05/31/2013 23,734 20,978 06/30/2013 23,568 20,893 07/31/2013 25,297 22,236 08/31/2013 24,241 21,252 09/30/2013 25,512 22,479 Past performance is not predictive of 10/31/2013 26,408 23,210 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. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell -------------------------------------------------------------- Investment Group 1995-2013, all rights 39.35% 18.92% 10.20% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. CORE EQUITY 1 PORTFOLIO VS. RUSSELL 3000(R) INDEX SEPTEMBER 15, 2005-OCTOBER 31, 2013 [CHART] U.S. Core Equity 1 Portfolio Russell 3000/R/ Index ---------------------- --------------------- 09/15/2005 $10,000 $10,000 09/30/2005 10,040 10,026 10/31/2005 9,820 9,838 11/30/2005 10,220 10,221 12/31/2005 10,224 10,229 01/31/2006 10,636 10,571 02/28/2006 10,656 10,590 03/31/2006 10,893 10,773 04/30/2006 11,024 10,890 05/31/2006 10,641 10,541 06/30/2006 10,644 10,560 07/31/2006 10,532 10,550 08/31/2006 10,785 10,808 09/30/2006 11,009 11,050 10/31/2006 11,414 11,448 11/30/2006 11,686 11,697 12/31/2006 11,828 11,837 01/31/2007 12,053 12,062 02/28/2007 11,920 11,864 03/31/2007 12,039 11,988 04/30/2007 12,489 12,467 05/31/2007 12,970 12,921 06/30/2007 12,760 12,679 07/31/2007 12,226 12,247 08/31/2007 12,349 12,423 09/30/2007 12,704 12,875 10/31/2007 12,899 13,112 11/30/2007 12,233 12,521 12/31/2007 12,159 12,446 01/31/2008 11,465 11,691 02/29/2008 11,123 11,328 03/31/2008 11,043 11,261 04/30/2008 11,594 11,824 05/31/2008 11,895 12,067 06/30/2008 10,877 11,071 07/31/2008 10,877 10,983 08/31/2008 11,117 11,153 09/30/2008 10,086 10,104 10/31/2008 8,214 8,312 11/30/2008 7,520 7,656 12/31/2008 7,718 7,802 01/31/2009 7,020 7,148 02/28/2009 6,269 6,399 03/31/2009 6,845 6,959 04/30/2009 7,674 7,692 05/31/2009 8,036 8,102 06/30/2009 8,072 8,130 07/31/2009 8,755 8,763 08/31/2009 9,076 9,076 09/30/2009 9,506 9,456 10/31/2009 9,170 9,213 11/30/2009 9,631 9,736 12/31/2009 10,020 10,014 01/31/2010 9,697 9,653 02/28/2010 10,074 9,980 03/31/2010 10,744 10,609 04/30/2010 11,078 10,838 05/31/2010 10,204 9,982 06/30/2010 9,546 9,408 07/31/2010 10,229 10,061 08/31/2010 9,677 9,587 09/30/2010 10,664 10,493 10/31/2010 11,077 10,903 11/30/2010 11,218 10,966 12/31/2010 12,035 11,709 01/31/2011 12,276 11,965 02/28/2011 12,768 12,400 03/31/2011 12,903 12,456 04/30/2011 13,254 12,827 05/31/2011 13,068 12,681 06/30/2011 12,826 12,453 07/31/2011 12,463 12,168 08/31/2011 11,594 11,438 09/30/2011 10,579 10,550 10/31/2011 11,904 11,764 11/30/2011 11,882 11,733 12/31/2011 11,959 11,829 01/31/2012 12,603 12,426 02/29/2012 13,148 12,952 03/31/2012 13,496 13,351 04/30/2012 13,363 13,264 05/31/2012 12,483 12,444 06/30/2012 12,945 12,931 07/31/2012 13,034 13,059 08/31/2012 13,415 13,385 09/30/2012 13,796 13,737 10/31/2012 13,605 13,500 11/30/2012 13,752 13,604 12/31/2012 13,981 13,771 01/31/2013 14,830 14,527 02/28/2013 15,012 14,719 03/31/2013 15,627 15,296 04/30/2013 15,797 15,546 05/31/2013 16,319 15,913 06/30/2013 16,154 15,707 07/31/2013 17,089 16,567 08/31/2013 16,610 16,105 Past performance is not predictive of 09/30/2013 17,294 16,704 future performance. 10/31/2013 18,003 17,413 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 09/15/2005 Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2013, all rights 32.32% 16.99% 7.50% reserved.
-------------------------------------------------------------------------------- 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX SEPTEMBER 15, 2005-OCTOBER 31, 2013 [CHART] U.S. Core Equity 2 Portfolio Russell 3000/R/ Index ------------------------ ------------------------- 09/15/2005 $10,000 $10,000 09/30/2005 10,050 10,026 10/31/2005 9,830 9,838 11/30/2005 10,240 10,221 12/31/2005 10,247 10,229 01/31/2006 10,739 10,571 02/28/2006 10,759 10,590 03/31/2006 11,016 10,773 04/30/2006 11,177 10,890 05/31/2006 10,774 10,541 06/30/2006 10,766 10,560 07/31/2006 10,645 10,550 08/31/2006 10,887 10,808 09/30/2006 11,110 11,050 10/31/2006 11,535 11,448 11/30/2006 11,827 11,697 12/31/2006 11,988 11,837 01/31/2007 12,212 12,062 02/28/2007 12,090 11,864 03/31/2007 12,218 11,988 04/30/2007 12,637 12,467 05/31/2007 13,148 12,921 06/30/2007 12,936 12,679 07/31/2007 12,331 12,247 08/31/2007 12,444 12,423 09/30/2007 12,757 12,875 10/31/2007 12,890 13,112 11/30/2007 12,155 12,521 12/31/2007 12,049 12,446 01/31/2008 11,428 11,691 02/29/2008 11,066 11,328 03/31/2008 10,955 11,261 04/30/2008 11,505 11,824 05/31/2008 11,826 12,067 06/30/2008 10,757 11,071 07/31/2008 10,788 10,983 08/31/2008 11,028 11,153 09/30/2008 10,032 10,104 10/31/2008 8,124 8,312 11/30/2008 7,388 7,656 12/31/2008 7,607 7,802 01/31/2009 6,815 7,148 02/28/2009 6,022 6,399 03/31/2009 6,615 6,959 04/30/2009 7,539 7,692 05/31/2009 7,900 8,102 06/30/2009 7,889 8,130 07/31/2009 8,603 8,763 08/31/2009 8,955 9,076 09/30/2009 9,402 9,456 10/31/2009 8,990 9,213 11/30/2009 9,397 9,736 12/31/2009 9,825 10,014 01/31/2010 9,524 9,653 02/28/2010 9,922 9,980 03/31/2010 10,631 10,609 04/30/2010 11,018 10,838 05/31/2010 10,146 9,982 06/30/2010 9,432 9,408 07/31/2010 10,124 10,061 08/31/2010 9,519 9,587 09/30/2010 10,524 10,493 10/31/2010 10,915 10,903 11/30/2010 11,089 10,966 12/31/2010 11,968 11,709 01/31/2011 12,197 11,965 02/28/2011 12,743 12,400 03/31/2011 12,897 12,456 04/30/2011 13,192 12,827 05/31/2011 12,984 12,681 06/30/2011 12,729 12,453 07/31/2011 12,302 12,168 08/31/2011 11,370 11,438 09/30/2011 10,290 10,550 10/31/2011 11,677 11,764 11/30/2011 11,633 11,733 12/31/2011 11,718 11,829 01/31/2012 12,371 12,426 02/29/2012 12,902 12,952 03/31/2012 13,213 13,351 04/30/2012 13,080 13,264 05/31/2012 12,182 12,444 06/30/2012 12,663 12,931 07/31/2012 12,730 13,059 08/31/2012 13,131 13,385 09/30/2012 13,530 13,737 10/31/2012 13,407 13,500 11/30/2012 13,530 13,604 12/31/2012 13,836 13,771 01/31/2013 14,711 14,527 02/28/2013 14,892 14,719 03/31/2013 15,517 15,296 04/30/2013 15,631 15,546 05/31/2013 16,223 15,913 06/30/2013 16,069 15,707 07/31/2013 17,040 16,567 08/31/2013 16,514 16,105 Past performance is not predictive of 09/30/2013 17,220 16,704 future performance. 10/31/2013 17,920 17,413 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 09/15/2005 Russell data copyright (C) Russell ------------------------------------------------------------- Investment Group 1995-2013, all 33.66% 17.14% 7.44% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. VECTOR EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX DECEMBER 30, 2005-OCTOBER 31, 2013 [CHART] U.S. Vector Equity Portfolio Russell 2500/R/ Index Russell 3000/R/ Index ------------------ --------------------- --------------------- 12/30/2005 $10,000 $10,000 $10,000 12/31/2005 10,000 10,000 10,000 01/31/2006 10,810 10,707 10,334 02/28/2006 10,800 10,698 10,352 03/31/2006 11,196 11,114 10,531 04/30/2006 11,316 11,153 10,646 05/31/2006 10,865 10,626 10,305 06/30/2006 10,845 10,632 10,323 07/31/2006 10,624 10,297 10,313 08/31/2006 10,865 10,558 10,566 09/30/2006 11,050 10,687 10,802 10/31/2006 11,533 11,200 11,191 11/30/2006 11,865 11,566 11,435 12/31/2006 12,001 11,616 11,572 01/31/2007 12,237 11,930 11,792 02/28/2007 12,155 11,913 11,598 03/31/2007 12,268 12,029 11,719 04/30/2007 12,628 12,339 12,187 05/31/2007 13,152 12,855 12,631 06/30/2007 12,951 12,624 12,395 07/31/2007 12,220 11,899 11,972 08/31/2007 12,281 12,025 12,144 09/30/2007 12,496 12,308 12,587 10/31/2007 12,579 12,624 12,818 11/30/2007 11,762 11,850 12,241 12/31/2007 11,632 11,777 12,166 01/31/2008 11,081 11,057 11,429 02/29/2008 10,707 10,754 11,074 03/31/2008 10,663 10,674 11,009 04/30/2008 11,142 11,249 11,559 05/31/2008 11,517 11,783 11,796 06/30/2008 10,417 10,822 10,823 07/31/2008 10,500 10,897 10,736 08/31/2008 10,803 11,209 10,903 09/30/2008 9,892 10,095 9,878 10/31/2008 7,847 7,920 8,126 11/30/2008 6,987 7,061 7,484 12/31/2008 7,307 7,445 7,627 01/31/2009 6,417 6,775 6,987 02/28/2009 5,612 6,042 6,255 03/31/2009 6,178 6,594 6,803 04/30/2009 7,178 7,610 7,519 05/31/2009 7,486 7,842 7,921 06/30/2009 7,490 7,930 7,947 07/31/2009 8,258 8,646 8,566 08/31/2009 8,642 8,999 8,872 09/30/2009 9,093 9,521 9,244 10/31/2009 8,590 8,970 9,006 11/30/2009 8,911 9,332 9,518 12/31/2009 9,442 10,005 9,789 01/31/2010 9,173 9,670 9,436 02/28/2010 9,625 10,151 9,756 03/31/2010 10,347 10,926 10,371 04/30/2010 10,874 11,444 10,595 05/31/2010 10,003 10,592 9,758 06/30/2010 9,227 9,836 9,197 07/31/2010 9,906 10,528 9,835 08/31/2010 9,227 9,904 9,372 09/30/2010 10,243 11,037 10,257 10/31/2010 10,621 11,460 10,658 11/30/2010 10,881 11,783 10,720 12/31/2010 11,813 12,677 11,446 01/31/2011 11,976 12,847 11,696 02/28/2011 12,585 13,474 12,122 03/31/2011 12,794 13,780 12,177 04/30/2011 13,055 14,178 12,539 05/31/2011 12,805 14,008 12,396 06/30/2011 12,530 13,699 12,174 07/31/2011 12,072 13,178 11,895 08/31/2011 11,014 12,099 11,181 09/30/2011 9,822 10,792 10,314 10/31/2011 11,244 12,374 11,501 11/30/2011 11,189 12,331 11,470 12/31/2011 11,274 12,359 11,564 01/31/2012 11,967 13,180 12,147 02/29/2012 12,462 13,669 12,661 03/31/2012 12,762 13,964 13,052 04/30/2012 12,575 13,862 12,966 05/31/2012 11,661 12,915 12,165 06/30/2012 12,122 13,385 12,641 07/31/2012 12,099 13,294 12,766 08/31/2012 12,542 13,771 13,085 09/30/2012 12,947 14,130 13,429 10/31/2012 12,880 13,982 13,197 11/30/2012 13,035 14,197 13,299 12/31/2012 13,413 14,568 13,462 01/31/2013 14,342 15,564 14,201 02/28/2013 14,499 15,743 14,389 03/31/2013 15,148 16,440 14,953 04/30/2013 15,136 16,491 15,198 05/31/2013 15,798 17,000 15,556 06/30/2013 15,667 16,814 15,354 07/31/2013 16,679 17,912 16,196 08/31/2013 16,139 17,346 15,744 09/30/2013 16,932 18,340 16,329 10/31/2013 17,620 18,933 17,023 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. AVERAGE ANNUAL ONE FIVE FROM TOTAL RETURN YEAR YEARS 12/30/2005 Russell data copyright (C) Russell ----------------------------------------------------------------- Investment Group 1995-2013, all 36.80% 17.56% 7.50% rights reserved.
-------------------------------------------------------------------------------- 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Small Cap Portfolio Russell 2000/R/ Index ---------------------------- ---------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,364 10,355 12/31/2003 10,606 10,565 1/31/2004 11,079 11,024 2/29/2004 11,173 11,123 3/31/2004 11,230 11,226 4/30/2004 10,770 10,654 5/31/2004 10,883 10,823 6/30/2004 11,359 11,279 7/31/2004 10,545 10,520 8/31/2004 10,394 10,466 9/30/2004 10,902 10,957 10/31/2004 11,110 11,173 11/30/2004 12,083 12,142 12/31/2004 12,502 12,501 1/31/2005 12,010 11,980 2/28/2005 12,221 12,182 3/31/2005 11,868 11,834 4/30/2005 11,127 11,156 5/31/2005 11,894 11,886 6/30/2005 12,343 12,344 7/31/2005 13,187 13,126 8/31/2005 13,001 12,883 9/30/2005 13,084 12,923 10/31/2005 12,681 12,522 11/30/2005 13,296 13,130 12/31/2005 13,262 13,070 1/31/2006 14,467 14,242 2/28/2006 14,440 14,203 3/31/2006 15,102 14,892 4/30/2006 15,136 14,889 5/31/2006 14,312 14,053 6/30/2006 14,228 14,144 7/31/2006 13,682 13,683 8/31/2006 14,064 14,089 9/30/2006 14,180 14,206 10/31/2006 14,980 15,024 11/30/2006 15,356 15,419 12/31/2006 15,465 15,471 1/31/2007 15,697 15,729 2/28/2007 15,617 15,605 3/31/2007 15,781 15,772 4/30/2007 16,070 16,055 5/31/2007 16,678 16,713 6/30/2007 16,496 16,469 7/31/2007 15,502 15,343 8/31/2007 15,720 15,690 9/30/2007 15,918 15,960 10/31/2007 16,231 16,417 11/30/2007 15,023 15,239 12/31/2007 14,992 15,229 1/31/2008 13,955 14,191 2/29/2008 13,506 13,665 3/31/2008 13,555 13,722 4/30/2008 13,982 14,296 5/31/2008 14,649 14,953 6/30/2008 13,338 13,802 7/31/2008 13,758 14,313 8/31/2008 14,255 14,829 9/30/2008 13,116 13,648 10/31/2008 10,416 10,809 11/30/2008 9,144 9,530 12/31/2008 9,594 10,083 1/31/2009 8,532 8,962 2/28/2009 7,502 7,873 3/31/2009 8,274 8,576 4/30/2009 9,811 9,901 5/31/2009 10,158 10,200 6/30/2009 10,421 10,349 7/31/2009 11,503 11,346 8/31/2009 11,914 11,672 9/30/2009 12,657 12,345 10/31/2009 11,779 11,507 11/30/2009 12,079 11,868 12/31/2009 13,080 12,823 1/31/2010 12,683 12,351 2/28/2010 13,302 12,907 3/31/2010 14,392 13,958 4/30/2010 15,369 14,748 5/31/2010 14,170 13,629 6/30/2010 13,037 12,573 7/31/2010 13,976 13,437 8/31/2010 12,910 12,442 9/30/2010 14,595 13,992 10/31/2010 15,193 14,565 11/30/2010 15,831 15,070 12/31/2010 17,096 16,267 1/31/2011 17,112 16,225 2/28/2011 18,073 17,115 3/31/2011 18,590 17,558 4/30/2011 19,030 18,022 5/31/2011 18,646 17,684 6/30/2011 18,348 17,276 7/31/2011 17,706 16,652 8/31/2011 16,118 15,203 9/30/2011 14,328 13,499 10/31/2011 16,523 15,542 11/30/2011 16,467 15,485 12/31/2011 16,558 15,587 1/31/2012 17,671 16,689 2/29/2012 18,180 17,088 3/31/2012 18,654 17,526 4/30/2012 18,396 17,255 5/31/2012 17,201 16,113 6/30/2012 17,928 16,917 7/31/2012 17,782 16,683 8/31/2012 18,406 17,240 9/30/2012 19,006 17,806 10/31/2012 18,771 17,420 11/30/2012 18,990 17,512 12/31/2012 19,603 18,136 1/31/2013 20,831 19,271 2/28/2013 21,039 19,484 3/31/2013 22,055 20,383 4/30/2013 21,873 20,309 5/31/2013 22,997 21,120 6/30/2013 22,972 21,012 7/31/2013 24,628 22,483 Past performance is not predictive of 8/31/2013 23,795 21,769 future performance. 9/30/2013 25,271 23,157 10/31/2013 26,097 23,740 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell ------------------------------------------------------------ Investment Group 1995-2013, all 39.03% 20.16% 10.07% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- U.S. MICRO CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Micro Cap Portfolio Russell 2000/R/ Index ---------------------------- -------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,430 10,355 12/31/2003 10,719 10,565 1/31/2004 11,338 11,024 2/29/2004 11,395 11,123 3/31/2004 11,411 11,226 4/30/2004 10,944 10,654 5/31/2004 10,944 10,823 6/30/2004 11,427 11,279 7/31/2004 10,573 10,520 8/31/2004 10,412 10,466 9/30/2004 10,934 10,957 10/31/2004 11,135 11,173 11/30/2004 12,134 12,142 12/31/2004 12,690 12,501 1/31/2005 12,169 11,980 2/28/2005 12,270 12,182 3/31/2005 11,874 11,834 4/30/2005 11,135 11,156 5/31/2005 11,807 11,886 6/30/2005 12,340 12,344 7/31/2005 13,282 13,126 8/31/2005 13,097 12,883 9/30/2005 13,177 12,923 10/31/2005 12,807 12,522 11/30/2005 13,387 13,130 12/31/2005 13,411 13,070 1/31/2006 14,637 14,242 2/28/2006 14,673 14,203 3/31/2006 15,341 14,892 4/30/2006 15,277 14,889 5/31/2006 14,378 14,053 6/30/2006 14,250 14,144 7/31/2006 13,759 13,683 8/31/2006 14,141 14,089 9/30/2006 14,220 14,206 10/31/2006 14,994 15,024 11/30/2006 15,331 15,419 12/31/2006 15,579 15,471 1/31/2007 15,757 15,729 2/28/2007 15,678 15,605 3/31/2007 15,838 15,772 4/30/2007 16,076 16,055 5/31/2007 16,583 16,713 6/30/2007 16,527 16,469 7/31/2007 15,452 15,343 8/31/2007 15,631 15,690 9/30/2007 15,862 15,960 10/31/2007 16,131 16,417 11/30/2007 14,774 15,239 12/31/2007 14,765 15,229 1/31/2008 13,636 14,191 2/29/2008 13,209 13,665 3/31/2008 13,249 13,722 4/30/2008 13,524 14,296 5/31/2008 14,062 14,953 6/30/2008 12,789 13,802 7/31/2008 13,361 14,313 8/31/2008 13,813 14,829 9/30/2008 12,795 13,648 10/31/2008 10,146 10,809 11/30/2008 8,843 9,530 12/31/2008 9,343 10,083 1/31/2009 8,230 8,962 2/28/2009 7,151 7,873 3/31/2009 7,836 8,576 4/30/2009 9,198 9,901 5/31/2009 9,513 10,200 6/30/2009 9,776 10,349 7/31/2009 10,736 11,346 8/31/2009 11,029 11,672 9/30/2009 11,664 12,345 10/31/2009 10,816 11,507 11/30/2009 11,009 11,868 12/31/2009 11,965 12,823 1/31/2010 11,614 12,351 2/28/2010 12,124 12,907 3/31/2010 13,104 13,958 4/30/2010 14,056 14,748 5/31/2010 13,013 13,629 6/30/2010 12,071 12,573 7/31/2010 12,933 13,437 8/31/2010 11,901 12,442 9/30/2010 13,348 13,992 10/31/2010 13,928 14,565 11/30/2010 14,519 15,070 12/31/2010 15,709 16,267 1/31/2011 15,537 16,225 2/28/2011 16,450 17,115 3/31/2011 16,984 17,558 4/30/2011 17,270 18,022 5/31/2011 16,939 17,684 6/30/2011 16,573 17,276 7/31/2011 16,128 16,652 8/31/2011 14,687 15,203 9/30/2011 13,134 13,499 10/31/2011 15,160 15,542 11/30/2011 15,069 15,485 12/31/2011 15,198 15,587 1/31/2012 16,255 16,689 2/29/2012 16,566 17,088 3/31/2012 17,060 17,526 4/30/2012 16,819 17,255 5/31/2012 15,646 16,113 6/30/2012 16,447 16,917 7/31/2012 16,297 16,683 8/31/2012 16,805 17,240 9/30/2012 17,510 17,806 10/31/2012 17,151 17,420 11/30/2012 17,313 17,512 12/31/2012 17,970 18,136 1/31/2013 18,992 19,271 2/28/2013 19,201 19,484 3/31/2013 20,137 20,383 4/30/2013 19,977 20,309 5/31/2013 21,011 21,120 6/30/2013 21,106 21,012 7/31/2013 22,671 22,483 Past performance is not predictive of 8/31/2013 21,883 21,769 future performance. 9/30/2013 23,426 23,157 10/31/2013 24,241 23,740 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2013, all 41.34% 19.03% 9.26% rights reserved.
-------------------------------------------------------------------------------- 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA REAL ESTATE SECURITIES PORTFOLIO VS. S&P 500(R) INDEX, DOW JONES U.S. SELECT REIT INDEX/SM/ OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] DFA Real Estate Dow Jones U.S. Select Securities Portfolio S&P 500/R/ Index REIT Index/SM/ ------------------------ ---------------- ----------------------- 10/31/2003 $10,000 $10,000 $10,000 11/30/2003 10,450 10,088 10,441 12/31/2003 10,756 10,617 10,754 1/31/2004 11,198 10,812 11,184 2/29/2004 11,396 10,962 11,370 3/31/2004 12,048 10,797 12,054 4/30/2004 10,319 10,627 10,289 5/31/2004 11,064 10,773 11,070 6/30/2004 11,384 10,982 11,401 7/31/2004 11,431 10,619 11,458 8/31/2004 12,340 10,662 12,405 9/30/2004 12,299 10,777 12,345 10/31/2004 12,963 10,942 13,033 11/30/2004 13,527 11,385 13,614 12/31/2004 14,205 11,772 14,320 1/31/2005 13,015 11,485 13,057 2/28/2005 13,424 11,727 13,478 3/31/2005 13,220 11,519 13,274 4/30/2005 13,970 11,301 14,071 5/31/2005 14,428 11,660 14,537 6/30/2005 15,165 11,677 15,295 7/31/2005 16,268 12,111 16,461 8/31/2005 15,661 12,001 15,829 9/30/2005 15,734 12,098 15,898 10/31/2005 15,378 11,896 15,560 11/30/2005 16,071 12,346 16,283 12/31/2005 16,073 12,350 16,299 1/31/2006 17,308 12,677 17,576 2/28/2006 17,635 12,712 17,953 3/31/2006 18,548 12,870 18,872 4/30/2006 17,848 13,043 18,158 5/31/2006 17,314 12,667 17,655 6/30/2006 18,271 12,685 18,660 7/31/2006 18,898 12,763 19,322 8/31/2006 19,564 13,067 19,971 9/30/2006 19,955 13,403 20,360 10/31/2006 21,206 13,840 21,643 11/30/2006 22,214 14,103 22,676 12/31/2006 21,741 14,301 22,162 1/31/2007 23,624 14,518 24,136 2/28/2007 23,073 14,234 23,596 3/31/2007 22,500 14,393 22,991 4/30/2007 22,480 15,030 22,982 5/31/2007 22,480 15,555 22,997 6/30/2007 20,371 15,296 20,838 7/31/2007 18,767 14,822 19,203 8/31/2007 19,903 15,044 20,338 9/30/2007 20,681 15,607 21,134 10/31/2007 20,915 15,855 21,376 11/30/2007 18,781 15,192 19,298 12/31/2007 17,681 15,087 18,272 1/31/2008 17,689 14,182 18,184 2/29/2008 17,017 13,721 17,499 3/31/2008 18,087 13,662 18,662 4/30/2008 19,154 14,327 19,813 5/31/2008 19,192 14,513 19,857 6/30/2008 17,085 13,290 17,657 7/31/2008 17,580 13,178 18,167 8/31/2008 18,014 13,369 18,579 9/30/2008 17,976 12,177 18,501 10/31/2008 12,309 10,132 12,510 11/30/2008 9,460 9,405 9,438 12/31/2008 11,075 9,505 11,109 1/31/2009 9,109 8,704 9,101 2/28/2009 7,199 7,777 7,112 3/31/2009 7,454 8,459 7,341 4/30/2009 9,787 9,268 9,749 5/31/2009 10,042 9,786 10,000 6/30/2009 9,731 9,806 9,650 7/31/2009 10,752 10,547 10,655 8/31/2009 12,206 10,928 12,215 9/30/2009 13,023 11,336 13,070 10/31/2009 12,430 11,126 12,478 11/30/2009 13,283 11,793 13,336 12/31/2009 14,195 12,021 14,270 1/31/2010 13,454 11,588 13,454 2/28/2010 14,195 11,947 14,218 3/31/2010 15,638 12,668 15,671 4/30/2010 16,738 12,868 16,779 5/31/2010 15,845 11,841 15,875 6/30/2010 15,024 11,221 15,024 7/31/2010 16,507 12,007 16,509 8/31/2010 16,299 11,465 16,288 9/30/2010 17,005 12,488 17,010 10/31/2010 17,801 12,963 17,796 11/30/2010 17,449 12,965 17,450 12/31/2010 18,265 13,831 18,277 1/31/2011 18,909 14,159 18,926 2/28/2011 19,764 14,644 19,790 3/31/2011 19,468 14,650 19,500 4/30/2011 20,595 15,084 20,657 5/31/2011 20,874 14,913 20,977 6/30/2011 20,187 14,665 20,274 7/31/2011 20,518 14,366 20,643 8/31/2011 19,415 13,586 19,512 9/30/2011 17,282 12,631 17,327 10/31/2011 19,774 14,011 19,873 11/30/2011 19,026 13,981 19,091 12/31/2011 19,900 14,124 19,989 1/31/2012 21,158 14,756 21,274 2/29/2012 20,934 15,395 21,037 3/31/2012 22,011 15,901 22,139 4/30/2012 22,640 15,801 22,804 5/31/2012 21,606 14,852 21,764 6/30/2012 22,825 15,464 22,968 7/31/2012 23,275 15,678 23,405 8/31/2012 23,240 16,032 23,342 9/30/2012 22,807 16,446 22,882 10/31/2012 22,631 16,142 22,673 11/30/2012 22,553 16,236 22,560 12/31/2012 23,379 16,384 23,411 1/31/2013 24,204 17,232 24,206 2/28/2013 24,471 17,466 24,408 3/31/2013 25,145 18,121 25,058 4/30/2013 26,843 18,470 26,782 5/31/2013 25,243 18,903 25,178 6/30/2013 24,771 18,649 24,735 7/31/2013 24,986 19,598 24,925 Past performance is not predictive of 8/31/2013 23,227 19,030 23,216 future performance. 9/30/2013 23,951 19,627 23,957 10/31/2013 24,958 20,529 24,932 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS The Dow Jones data are provided by S&P ---------------------------------------------------------------- Dow Jones Indices, LLC a part of McGraw 10.28% 15.18% 9.58% Hill Financial.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- LARGE CAP INTERNATIONAL PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Large Cap International MSCI World ex USA Portfolio Index (net dividends) -------------------------- -------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,216 10,227 12/31/2003 10,973 11,011 1/31/2004 11,114 11,164 2/29/2004 11,363 11,421 3/31/2004 11,448 11,478 4/30/2004 11,093 11,178 5/31/2004 11,178 11,230 6/30/2004 11,489 11,489 7/31/2004 11,059 11,139 8/31/2004 11,130 11,185 9/30/2004 11,349 11,511 10/31/2004 11,731 11,925 11/30/2004 12,473 12,718 12/31/2004 13,037 13,255 1/31/2005 12,804 12,994 2/28/2005 13,298 13,572 3/31/2005 12,985 13,264 4/30/2005 12,723 12,926 5/31/2005 12,643 12,950 6/30/2005 12,825 13,161 7/31/2005 13,216 13,586 8/31/2005 13,702 13,961 9/30/2005 14,156 14,599 10/31/2005 13,845 14,127 11/30/2005 14,060 14,501 12/31/2005 14,794 15,173 1/31/2006 15,658 16,133 2/28/2006 15,553 16,079 3/31/2006 16,127 16,589 4/30/2006 16,910 17,382 5/31/2006 16,298 16,722 6/30/2006 16,234 16,700 7/31/2006 16,408 16,857 8/31/2006 16,839 17,336 9/30/2006 16,832 17,322 10/31/2006 17,478 18,006 11/30/2006 17,996 18,543 12/31/2006 18,471 19,074 1/31/2007 18,708 19,191 2/28/2007 18,761 19,344 3/31/2007 19,280 19,840 4/30/2007 19,961 20,742 5/31/2007 20,581 21,203 6/30/2007 20,543 21,224 7/31/2007 20,155 20,931 8/31/2007 20,015 20,628 9/30/2007 21,114 21,800 10/31/2007 22,056 22,748 11/30/2007 21,269 21,858 12/31/2007 20,773 21,447 1/31/2008 19,199 19,513 2/29/2008 19,183 19,867 3/31/2008 19,116 19,583 4/30/2008 20,127 20,672 5/31/2008 20,549 20,986 6/30/2008 18,913 19,354 7/31/2008 18,224 18,665 8/31/2008 17,447 17,943 9/30/2008 15,325 15,353 10/31/2008 12,094 12,159 11/30/2008 11,367 11,500 12/31/2008 12,164 12,106 1/31/2009 10,798 10,976 2/28/2009 9,711 9,865 3/31/2009 10,458 10,515 4/30/2009 11,648 11,871 5/31/2009 13,275 13,373 6/30/2009 13,091 13,234 7/31/2009 14,348 14,477 8/31/2009 14,910 15,170 9/30/2009 15,545 15,796 10/31/2009 15,141 15,543 11/30/2009 15,704 15,927 12/31/2009 15,891 16,181 1/31/2010 15,069 15,423 2/28/2010 15,170 15,407 3/31/2010 16,126 16,399 4/30/2010 15,812 16,155 5/31/2010 14,088 14,372 6/30/2010 13,859 14,164 7/31/2010 15,290 15,473 8/31/2010 14,764 15,011 9/30/2010 16,217 16,451 10/31/2010 16,806 17,037 11/30/2010 16,070 16,315 12/31/2010 17,361 17,629 1/31/2011 17,753 18,009 2/28/2011 18,451 18,676 3/31/2011 18,028 18,302 4/30/2011 19,060 19,299 5/31/2011 18,518 18,727 6/30/2011 18,255 18,460 7/31/2011 17,883 18,156 8/31/2011 16,383 16,621 9/30/2011 14,579 14,952 10/31/2011 15,990 16,406 11/30/2011 15,588 15,648 12/31/2011 15,229 15,477 1/31/2012 16,149 16,312 2/29/2012 16,933 17,209 3/31/2012 16,903 17,082 4/30/2012 16,578 16,792 5/31/2012 14,743 14,878 6/30/2012 15,719 15,852 7/31/2012 15,765 16,050 8/31/2012 16,299 16,508 9/30/2012 16,784 17,009 10/31/2012 16,932 17,128 11/30/2012 17,274 17,488 12/31/2012 17,932 18,017 1/31/2013 18,659 18,903 2/28/2013 18,408 18,715 3/31/2013 18,658 18,863 4/30/2013 19,461 19,722 5/31/2013 18,948 19,281 6/30/2013 18,392 18,558 7/31/2013 19,406 19,546 8/31/2013 19,122 19,294 9/30/2013 20,472 20,657 10/31/2013 21,139 21,350 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 AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS -------------------------------------------------------- MSCI data copyright MSCI 2013, all 24.85% 11.82% 7.77% rights reserved.
-------------------------------------------------------------------------------- 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- INTERNATIONAL CORE EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) SEPTEMBER 15, 2005-OCTOBER 31, 2013 [CHART] International Core MSCI World ex USA Equity Portfolio Index (net dividends) ------------------------ --------------------- 9/15/2005 $10,000 $10,000 9/30/2005 10,100 10,171 10/31/2005 9,860 9,842 11/30/2005 10,070 10,103 12/31/2005 10,636 10,571 1/31/2006 11,329 11,240 2/28/2006 11,339 11,202 3/31/2006 11,781 11,557 4/30/2006 12,343 12,110 5/31/2006 11,841 11,650 6/30/2006 11,703 11,635 7/31/2006 11,763 11,744 8/31/2006 12,108 12,078 9/30/2006 12,173 12,068 10/31/2006 12,652 12,545 11/30/2006 13,097 12,919 12/31/2006 13,502 13,289 1/31/2007 13,749 13,370 2/28/2007 13,821 13,477 3/31/2007 14,258 13,822 4/30/2007 14,792 14,451 5/31/2007 15,203 14,772 6/30/2007 15,112 14,787 7/31/2007 14,852 14,583 8/31/2007 14,571 14,372 9/30/2007 15,193 15,188 10/31/2007 15,913 15,848 11/30/2007 15,040 15,228 12/31/2007 14,649 14,942 1/31/2008 13,545 13,595 2/29/2008 13,566 13,841 3/31/2008 13,629 13,644 4/30/2008 14,192 14,402 5/31/2008 14,426 14,621 6/30/2008 13,086 13,484 7/31/2008 12,567 13,004 8/31/2008 12,091 12,501 9/30/2008 10,548 10,696 10/31/2008 8,158 8,471 11/30/2008 7,666 8,012 12/31/2008 8,202 8,434 1/31/2009 7,312 7,647 2/28/2009 6,544 6,873 3/31/2009 7,095 7,326 4/30/2009 8,164 8,271 5/31/2009 9,398 9,317 6/30/2009 9,319 9,220 7/31/2009 10,246 10,086 8/31/2009 10,815 10,569 9/30/2009 11,340 11,005 10/31/2009 10,997 10,829 11/30/2009 11,289 11,097 12/31/2009 11,424 11,273 1/31/2010 10,940 10,745 2/28/2010 10,951 10,734 3/31/2010 11,769 11,425 4/30/2010 11,712 11,255 5/31/2010 10,336 10,013 6/30/2010 10,163 9,868 7/31/2010 11,238 10,780 8/31/2010 10,781 10,458 9/30/2010 11,933 11,461 10/31/2010 12,369 11,869 11/30/2010 11,876 11,367 12/31/2010 13,013 12,282 1/31/2011 13,349 12,547 2/28/2011 13,799 13,012 3/31/2011 13,557 12,751 4/30/2011 14,287 13,446 5/31/2011 13,847 13,047 6/30/2011 13,602 12,861 7/31/2011 13,297 12,649 8/31/2011 12,122 11,580 9/30/2011 10,709 10,417 10/31/2011 11,690 11,430 11/30/2011 11,336 10,902 12/31/2011 11,047 10,783 1/31/2012 11,858 11,365 2/29/2012 12,466 11,990 3/31/2012 12,465 11,901 4/30/2012 12,190 11,699 5/31/2012 10,732 10,365 6/30/2012 11,390 11,044 7/31/2012 11,378 11,182 8/31/2012 11,779 11,501 9/30/2012 12,197 11,850 10/31/2012 12,332 11,933 11/30/2012 12,539 12,184 12/31/2012 13,117 12,552 1/31/2013 13,683 13,170 2/28/2013 13,535 13,039 3/31/2013 13,699 13,142 4/30/2013 14,228 13,741 5/31/2013 13,908 13,433 6/30/2013 13,483 12,930 7/31/2013 14,321 13,617 8/31/2013 14,171 13,442 9/30/2013 15,255 14,392 10/31/2013 15,782 14,875 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 AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 09/15/2005 --------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.98% 14.11% 5.78% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL SMALL COMPANY PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] International Small MSCI World ex USA Small Company Portfolio Cap Index (net dividends) -------------------------- ------------------------- 10/31/03 $10,000 $10,000 11/30/03 10,055 10,009 12/31/03 10,624 10,620 1/31/04 11,218 11,076 2/29/04 11,553 11,412 3/31/04 12,017 11,852 4/30/04 11,655 11,428 5/31/04 11,525 11,305 6/30/04 12,062 11,876 7/31/04 11,621 11,352 8/31/04 11,724 11,411 9/30/04 12,003 11,723 10/31/04 12,389 12,157 11/30/04 13,283 13,129 12/31/04 13,909 13,741 1/31/05 14,239 13,953 2/28/05 14,869 14,546 3/31/05 14,607 14,309 4/30/05 14,258 13,906 5/31/05 14,016 13,939 6/30/05 14,369 14,309 7/31/05 14,888 14,930 8/31/05 15,544 15,388 9/30/05 15,915 16,012 10/31/05 15,600 15,429 11/30/05 15,905 15,943 12/31/05 16,963 17,183 1/31/06 18,135 18,408 2/28/06 18,021 18,177 3/31/06 18,851 19,031 4/30/06 19,743 19,917 5/31/06 18,747 18,816 6/30/06 18,387 18,358 7/31/06 18,188 17,910 8/31/06 18,670 18,433 9/30/06 18,808 18,384 10/31/06 19,555 19,114 11/30/06 20,439 19,936 12/31/06 21,183 20,526 1/31/07 21,775 20,945 2/28/07 22,083 21,312 3/31/07 22,909 22,018 4/30/07 23,666 22,868 5/31/07 24,150 23,205 6/30/07 24,111 23,155 7/31/07 24,122 23,012 8/31/07 23,190 21,799 9/30/07 23,700 22,291 10/31/07 24,980 23,796 11/30/07 23,155 21,840 12/31/07 22,382 21,200 1/31/08 20,679 19,145 2/29/08 21,203 20,054 3/31/08 21,231 19,832 4/30/08 21,684 20,315 5/31/08 22,257 20,725 6/30/08 20,609 19,125 7/31/08 19,618 18,161 8/31/08 18,844 17,489 9/30/08 15,987 14,413 10/31/08 12,242 10,855 11/30/08 11,610 10,329 12/31/08 12,563 11,018 1/31/09 11,570 10,378 2/28/09 10,516 9,430 3/31/09 11,212 10,036 4/30/09 12,698 11,583 5/31/09 14,589 13,297 6/30/09 14,742 13,456 7/31/09 15,848 14,538 8/31/09 16,854 15,658 9/30/09 17,750 16,538 10/31/09 17,426 16,283 11/30/09 17,663 16,410 12/31/09 17,834 16,617 1/31/10 17,559 16,398 2/28/10 17,534 16,305 3/31/10 18,786 17,517 4/30/10 19,074 17,863 5/31/10 16,817 15,717 6/30/10 16,778 15,569 7/31/10 18,311 16,904 8/31/10 17,766 16,465 9/30/10 19,720 18,333 10/31/10 20,495 19,089 11/30/10 19,923 18,589 12/31/10 22,099 20,690 1/31/11 22,369 20,799 2/28/11 23,051 21,390 3/31/11 23,015 21,370 4/30/11 24,109 22,430 5/31/11 23,439 21,809 6/30/11 22,964 21,337 7/31/11 22,742 21,220 8/31/11 20,960 19,544 9/30/11 18,483 17,300 10/31/11 19,895 18,705 11/30/11 19,267 17,765 12/31/11 18,707 17,419 1/31/12 20,302 18,858 2/29/12 21,329 19,926 3/31/12 21,412 19,794 4/30/12 21,155 19,691 5/31/12 18,693 17,377 6/30/12 19,424 17,977 7/31/12 19,369 18,116 8/31/12 20,041 18,636 9/30/12 20,877 19,519 10/31/12 21,015 19,614 11/30/12 21,194 19,715 12/31/12 22,234 20,464 1/31/13 23,211 21,449 2/28/13 23,198 21,525 3/31/13 23,619 21,945 4/30/13 24,247 22,582 5/31/13 23,717 22,052 6/30/13 23,088 21,180 7/31/13 24,616 22,504 8/31/13 24,531 22,464 9/30/13 26,551 24,350 Past performance is not predictive of 10/31/13 27,457 25,070 future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------------- MSCI data copyright MSCI 2013, all 30.66% 17.53% 10.63% rights reserved.
-------------------------------------------------------------------------------- 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- JAPANESE SMALL COMPANY PORTFOLIO VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Japanese Small MSCI Japan Small Cap Company Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,375 9,313 12/31/2003 9,926 9,979 1/31/2004 10,394 10,342 2/29/2004 10,456 10,315 3/31/2004 12,558 12,206 4/30/2004 12,152 11,818 5/31/2004 11,569 11,231 6/30/2004 12,664 12,412 7/31/2004 11,869 11,395 8/31/2004 12,046 11,514 9/30/2004 11,754 11,167 10/31/2004 11,984 11,373 11/30/2004 12,355 11,868 12/31/2004 12,945 12,443 1/31/2005 13,463 12,866 2/28/2005 13,955 13,112 3/31/2005 14,035 13,081 4/30/2005 13,651 12,975 5/31/2005 13,410 12,736 6/30/2005 13,662 12,908 7/31/2005 13,948 13,274 8/31/2005 14,708 13,729 9/30/2005 15,308 14,587 10/31/2005 15,773 14,879 11/30/2005 16,077 15,515 12/31/2005 17,902 17,613 1/31/2006 18,658 18,174 2/28/2006 17,533 16,991 3/31/2006 18,307 17,753 4/30/2006 18,658 17,841 5/31/2006 17,335 16,410 6/30/2006 16,670 15,896 7/31/2006 15,874 14,845 8/31/2006 16,127 15,240 9/30/2006 15,841 14,906 10/31/2006 15,714 14,811 11/30/2006 15,606 14,686 12/31/2006 15,741 14,772 1/31/2007 16,060 15,059 2/28/2007 16,707 15,653 3/31/2007 16,570 15,509 4/30/2007 16,343 15,243 5/31/2007 16,005 14,880 6/30/2007 16,263 14,978 7/31/2007 16,346 14,974 8/31/2007 15,658 14,062 9/30/2007 15,636 13,976 10/31/2007 15,737 14,482 11/30/2007 15,370 13,873 12/31/2007 14,398 13,043 1/31/2008 14,001 12,402 2/29/2008 13,881 12,538 3/31/2008 14,153 12,542 4/30/2008 14,255 12,698 5/31/2008 14,773 13,089 6/30/2008 14,072 12,286 7/31/2008 13,679 11,883 8/31/2008 12,923 11,358 9/30/2008 12,074 10,249 10/31/2008 11,195 9,167 11/30/2008 11,485 9,542 12/31/2008 12,654 10,285 1/31/2009 11,785 9,746 2/28/2009 10,246 8,465 3/31/2009 10,720 8,763 4/30/2009 11,146 9,212 5/31/2009 12,517 10,339 6/30/2009 13,345 10,997 7/31/2009 13,621 11,272 8/31/2009 14,337 11,904 9/30/2009 14,182 11,857 10/31/2009 13,667 11,423 11/30/2009 13,113 11,014 12/31/2009 13,059 10,809 1/31/2010 13,232 11,042 2/28/2010 13,482 11,252 3/31/2010 14,167 11,764 4/30/2010 14,580 12,082 5/31/2010 13,359 11,244 6/30/2010 13,565 11,294 7/31/2010 13,798 11,431 8/31/2010 13,420 11,189 9/30/2010 14,013 11,646 10/31/2010 13,712 11,550 11/30/2010 14,051 11,775 12/31/2010 15,344 12,964 1/31/2011 15,686 13,118 2/28/2011 16,409 13,645 3/31/2011 15,383 12,803 4/30/2011 15,305 12,815 5/31/2011 15,051 12,625 6/30/2011 15,800 13,095 7/31/2011 16,372 13,639 8/31/2011 15,928 13,081 9/30/2011 15,842 13,093 10/31/2011 15,023 12,610 11/30/2011 15,270 12,269 12/31/2011 15,189 12,460 1/31/2012 16,144 12,971 2/29/2012 16,163 13,112 3/31/2012 16,621 13,462 4/30/2012 16,273 13,267 5/31/2012 14,911 12,166 6/30/2012 15,700 12,685 7/31/2012 15,168 12,486 8/31/2012 15,168 12,415 9/30/2012 15,385 12,758 10/31/2012 15,054 12,482 11/30/2012 15,265 12,568 12/31/2012 15,822 12,960 1/31/2013 16,318 13,445 2/28/2013 16,713 13,900 3/31/2013 17,989 15,023 4/30/2013 18,941 16,011 5/31/2013 17,392 14,743 6/30/2013 17,544 14,702 7/31/2013 17,959 14,942 8/31/2013 17,554 14,740 9/30/2013 19,529 16,418 10/31/2013 19,579 16,351 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 AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS -------------------------------------------------------- MSCI data copyright MSCI 2013, all 30.06% 11.83% 6.95% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ASIA PACIFIC SMALL COMPANY PORTFOLIO VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Asia Pacific Small MSCI Pacific ex Japan Small Cap Company Portfolio Index (net dividends) -------------------------- --------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,075 9,956 12/31/2003 10,520 10,608 1/31/2004 11,178 11,042 2/29/2004 11,507 11,376 3/31/2004 11,143 11,398 4/30/2004 10,329 10,754 5/31/2004 10,251 10,705 6/30/2004 10,287 10,718 7/31/2004 10,470 11,122 8/31/2004 10,715 11,489 9/30/2004 11,372 12,174 10/31/2004 11,908 12,954 11/30/2004 12,768 13,951 12/31/2004 13,056 14,540 1/31/2005 13,352 14,667 2/28/2005 13,729 15,134 3/31/2005 13,262 14,704 4/30/2005 12,813 14,465 5/31/2005 12,517 14,651 6/30/2005 13,080 15,452 7/31/2005 13,514 16,095 8/31/2005 13,867 16,082 9/30/2005 14,374 16,893 10/31/2005 13,556 15,901 11/30/2005 13,892 16,504 12/31/2005 14,100 16,828 1/31/2006 15,048 17,791 2/28/2006 15,262 17,969 3/31/2006 16,034 18,730 4/30/2006 16,946 19,938 5/31/2006 15,988 18,920 6/30/2006 15,876 18,690 7/31/2006 16,176 18,882 8/31/2006 16,570 19,498 9/30/2006 16,738 19,820 10/31/2006 18,105 21,202 11/30/2006 19,105 22,491 12/31/2006 19,643 23,330 1/31/2007 20,153 23,923 2/28/2007 20,682 24,379 3/31/2007 21,758 25,637 4/30/2007 23,278 27,414 5/31/2007 25,258 28,491 6/30/2007 26,288 29,231 7/31/2007 26,695 29,224 8/31/2007 24,690 27,343 9/30/2007 27,579 29,769 10/31/2007 29,986 31,804 11/30/2007 27,998 29,249 12/31/2007 27,511 28,847 1/31/2008 24,739 24,981 2/29/2008 25,489 26,465 3/31/2008 24,250 24,796 4/30/2008 25,936 26,455 5/31/2008 27,067 26,740 6/30/2008 24,392 23,749 7/31/2008 22,950 22,656 8/31/2008 21,337 20,816 9/30/2008 17,670 16,752 10/31/2008 11,787 10,835 11/30/2008 10,656 9,653 12/31/2008 11,818 10,774 1/31/2009 10,356 9,588 2/28/2009 9,786 8,993 3/31/2009 11,303 10,281 4/30/2009 12,986 12,122 5/31/2009 16,342 15,028 6/30/2009 16,460 15,451 7/31/2009 18,831 17,683 8/31/2009 19,691 18,591 9/30/2009 21,219 20,149 10/31/2009 21,682 20,632 11/30/2009 22,693 21,225 12/31/2009 23,286 22,073 1/31/2010 22,019 20,661 2/28/2010 22,402 20,920 3/31/2010 24,244 22,645 4/30/2010 24,564 23,278 5/31/2010 21,160 19,763 6/30/2010 20,894 19,650 7/31/2010 23,207 21,650 8/31/2010 23,175 21,602 9/30/2010 26,690 24,845 10/31/2010 27,830 25,948 11/30/2010 27,450 25,601 12/31/2010 30,135 28,185 1/31/2011 29,483 27,365 2/28/2011 29,663 27,515 3/31/2011 30,286 28,360 4/30/2011 31,557 29,507 5/31/2011 30,623 28,831 6/30/2011 29,582 27,806 7/31/2011 30,060 28,216 8/31/2011 27,956 26,254 9/30/2011 22,737 21,480 10/31/2011 26,274 25,000 11/30/2011 25,567 23,295 12/31/2011 24,070 22,548 1/31/2012 26,552 24,889 2/29/2012 28,558 26,824 3/31/2012 28,131 25,984 4/30/2012 28,012 26,125 5/31/2012 24,514 22,734 6/30/2012 25,022 23,052 7/31/2012 25,383 23,810 8/31/2012 26,227 24,191 9/30/2012 27,518 25,477 10/31/2012 28,136 26,003 11/30/2012 28,523 26,259 12/31/2012 29,852 26,918 1/31/2013 31,342 28,345 2/28/2013 31,468 28,681 3/31/2013 31,605 28,754 4/30/2013 31,067 28,526 5/31/2013 28,750 26,426 6/30/2013 26,722 24,166 7/31/2013 28,024 25,132 Past performance is not predictive of 8/31/2013 28,237 25,350 future performance. 9/30/2013 30,215 27,300 10/31/2013 31,079 27,778 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------------- MSCI data copyright MSCI 2013, all 10.46% 21.40% 12.01% rights reserved.
-------------------------------------------------------------------------------- 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] United Kingdom Small MSCI UK Small Cap Company Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,047 10,083 12/31/2003 10,602 10,649 1/31/2004 11,391 11,551 2/29/2004 12,043 12,334 3/31/2004 11,880 12,287 4/30/2004 11,445 11,859 5/31/2004 11,461 11,852 6/30/2004 11,849 12,264 7/31/2004 11,404 11,709 8/31/2004 11,322 11,548 9/30/2004 11,640 11,928 10/31/2004 12,004 12,382 11/30/2004 12,966 13,383 12/31/2004 13,499 14,155 1/31/2005 13,877 14,473 2/28/2005 14,348 14,815 3/31/2005 14,019 14,630 4/30/2005 13,542 13,969 5/31/2005 13,274 13,845 6/30/2005 13,513 14,058 7/31/2005 13,777 14,476 8/31/2005 14,551 15,176 9/30/2005 14,377 15,203 10/31/2005 13,970 14,740 11/30/2005 14,566 15,475 12/31/2005 15,203 16,144 1/31/2006 16,388 17,459 2/28/2006 16,608 17,732 3/31/2006 16,879 18,091 4/30/2006 17,723 19,049 5/31/2006 17,358 18,626 6/30/2006 17,337 18,468 7/31/2006 17,457 18,324 8/31/2006 18,186 18,983 9/30/2006 18,710 19,540 10/31/2006 19,761 20,659 11/30/2006 20,997 21,998 12/31/2006 22,136 23,030 1/31/2007 22,278 22,976 2/28/2007 22,271 23,048 3/31/2007 23,305 24,001 4/30/2007 24,102 25,193 5/31/2007 24,419 25,355 6/30/2007 23,518 24,617 7/31/2007 23,382 24,478 8/31/2007 23,239 23,581 9/30/2007 22,430 22,245 10/31/2007 24,215 24,689 11/30/2007 21,404 21,832 12/31/2007 20,270 20,736 1/31/2008 18,901 19,068 2/29/2008 19,167 19,714 3/31/2008 19,088 19,466 4/30/2008 19,405 19,828 5/31/2008 19,456 19,922 6/30/2008 17,901 18,560 7/31/2008 17,266 17,819 8/31/2008 16,975 17,353 9/30/2008 14,349 14,162 10/31/2008 10,495 10,232 11/30/2008 9,745 9,283 12/31/2008 9,522 9,048 1/31/2009 9,292 8,998 2/28/2009 8,906 8,700 3/31/2009 9,288 9,205 4/30/2009 11,230 11,319 5/31/2009 12,376 12,515 6/30/2009 12,430 12,603 7/31/2009 13,506 13,763 8/31/2009 14,552 15,090 9/30/2009 14,974 15,438 10/31/2009 14,989 15,460 11/30/2009 14,936 15,299 12/31/2009 15,243 15,677 1/31/2010 15,091 15,604 2/28/2010 14,572 14,905 3/31/2010 15,787 16,219 4/30/2010 16,360 16,866 5/31/2010 14,503 14,839 6/30/2010 14,777 14,903 7/31/2010 16,767 16,696 8/31/2010 16,142 16,242 9/30/2010 17,860 18,032 10/31/2010 18,791 18,801 11/30/2010 17,860 18,018 12/31/2010 19,676 19,903 1/31/2011 19,957 20,095 2/28/2011 20,552 20,625 3/31/2011 20,160 20,269 4/30/2011 21,940 22,127 5/31/2011 21,799 21,847 6/30/2011 21,103 21,111 7/31/2011 20,953 21,053 8/31/2011 18,856 18,905 9/30/2011 16,947 16,912 10/31/2011 18,738 18,760 11/30/2011 18,162 18,032 12/31/2011 17,591 17,430 1/31/2012 19,138 19,198 2/29/2012 20,701 20,981 3/31/2012 21,137 21,050 4/30/2012 21,496 21,408 5/31/2012 19,068 18,756 6/30/2012 19,995 19,649 7/31/2012 20,325 20,007 8/31/2012 21,431 21,066 9/30/2012 22,526 22,190 10/31/2012 23,015 22,649 11/30/2012 23,155 22,657 12/31/2012 24,420 23,700 1/31/2013 24,847 24,323 2/28/2013 25,065 24,460 3/31/2013 25,807 25,119 4/30/2013 26,452 25,747 5/31/2013 26,686 26,095 6/30/2013 26,098 25,154 7/31/2013 28,295 27,249 Past performance is not predictive of 8/31/2013 28,490 27,622 future performance. 9/30/2013 30,406 29,695 10/31/2013 31,487 30,741 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------ MSCI data copyright MSCI 2013, all 36.81% 24.57% 12.15% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CONTINENTAL SMALL COMPANY PORTFOLIO VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Continental MSCI Europe ex Small Company Portfolio UK Small Cap Index (net dividends) ------------------------ ---------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,518 10,532 12/31/2003 11,163 11,083 1/31/2004 11,705 11,641 2/29/2004 12,087 12,033 3/31/2004 11,836 11,618 4/30/2004 11,695 11,435 5/31/2004 11,816 11,471 6/30/2004 12,173 11,881 7/31/2004 11,770 11,403 8/31/2004 11,840 11,439 9/30/2004 12,451 12,077 10/31/2004 12,917 12,589 11/30/2004 14,294 13,986 12/31/2004 15,028 14,686 1/31/2005 15,241 14,850 2/28/2005 16,209 15,891 3/31/2005 15,762 15,485 4/30/2005 15,336 15,029 5/31/2005 15,368 15,243 6/30/2005 15,785 15,731 7/31/2005 16,758 16,810 8/31/2005 17,314 17,288 9/30/2005 17,752 17,878 10/31/2005 16,873 16,644 11/30/2005 16,926 16,856 12/31/2005 17,793 17,833 1/31/2006 19,499 19,823 2/28/2006 20,048 20,383 3/31/2006 21,337 21,700 4/30/2006 22,805 23,237 5/31/2006 21,695 22,043 6/30/2006 21,293 21,541 7/31/2006 21,233 21,305 8/31/2006 21,787 21,806 9/30/2006 22,070 22,035 10/31/2006 23,171 23,213 11/30/2006 24,768 24,837 12/31/2006 25,946 26,009 1/31/2007 27,143 26,842 2/28/2007 27,168 26,957 3/31/2007 28,750 28,390 4/30/2007 30,258 30,108 5/31/2007 30,832 30,633 6/30/2007 30,486 30,340 7/31/2007 30,310 30,118 8/31/2007 29,217 28,755 9/30/2007 29,859 29,327 10/31/2007 31,299 31,082 11/30/2007 28,975 28,858 12/31/2007 28,398 28,274 1/31/2008 25,689 24,869 2/29/2008 26,786 26,374 3/31/2008 27,629 26,910 4/30/2008 27,947 27,370 5/31/2008 28,475 27,796 6/30/2008 26,065 25,227 7/31/2008 24,681 23,795 8/31/2008 23,996 23,145 9/30/2008 19,813 18,353 10/31/2008 14,521 13,189 11/30/2008 13,384 12,096 12/31/2008 14,779 13,213 1/31/2009 13,100 12,027 2/28/2009 11,962 10,968 3/31/2009 12,821 11,816 4/30/2009 14,908 14,275 5/31/2009 17,077 16,407 6/30/2009 16,856 16,196 7/31/2009 18,193 17,650 8/31/2009 19,710 19,462 9/30/2009 21,392 21,327 10/31/2009 20,783 20,745 11/30/2009 21,405 21,171 12/31/2009 21,331 21,267 1/31/2010 20,970 20,983 2/28/2010 20,526 20,386 3/31/2010 22,039 22,039 4/30/2010 21,831 21,900 5/31/2010 18,720 18,512 6/30/2010 18,588 18,236 7/31/2010 20,815 20,420 8/31/2010 19,857 19,450 9/30/2010 22,600 22,451 10/31/2010 23,869 23,891 11/30/2010 22,008 22,081 12/31/2010 24,866 25,173 1/31/2011 25,561 25,742 2/28/2011 25,986 26,179 3/31/2011 26,865 27,062 4/30/2011 28,666 28,952 5/31/2011 27,687 27,848 6/30/2011 26,788 26,949 7/31/2011 25,263 25,313 8/31/2011 22,673 22,669 9/30/2011 19,238 19,263 10/31/2011 21,221 21,374 11/30/2011 19,802 19,704 12/31/2011 19,028 19,034 1/31/2012 20,830 20,922 2/29/2012 22,151 22,528 3/31/2012 22,195 22,345 4/30/2012 21,672 21,973 5/31/2012 18,707 18,960 6/30/2012 19,510 19,894 7/31/2012 19,317 19,823 8/31/2012 20,179 20,687 9/30/2012 21,241 21,801 10/31/2012 21,613 22,177 11/30/2012 21,881 22,516 12/31/2012 23,202 23,731 1/31/2013 24,953 25,663 2/28/2013 24,699 25,584 3/31/2013 24,145 24,927 4/30/2013 25,118 25,895 5/31/2013 25,582 26,483 6/30/2013 24,728 25,304 7/31/2013 26,873 27,605 Past performance is not predictive of 8/31/2013 26,904 27,554 future performance. 9/30/2013 29,242 29,910 10/31/2013 30,905 31,711 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------------------- MSCI data copyright MSCI 2013, all 42.99% 16.31% 11.94% rights reserved.
-------------------------------------------------------------------------------- 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL EX U.S. REIT INDEX (NET DIVIDENDS) MARCH 1, 2007-OCTOBER 31, 2013 [CHART] DFA International S&P Global ex Real Estate Securities Portfolio U.S. REIT Index (net dividends) --------------------------------- ------------------------------- 3/1/2007 $10,000 $10,000 3/31/2007 10,480 10,343 4/30/2007 10,570 10,492 5/31/2007 10,780 10,647 6/30/2007 10,061 9,995 7/31/2007 9,459 9,513 8/31/2007 9,679 9,662 9/30/2007 10,130 10,149 10/31/2007 10,211 10,249 11/30/2007 9,462 9,433 12/31/2007 8,995 9,061 1/31/2008 8,627 8,529 2/29/2008 8,585 8,635 3/31/2008 8,606 8,552 4/30/2008 8,659 8,703 5/31/2008 8,332 8,348 6/30/2008 7,450 7,505 7/31/2008 7,215 7,301 8/31/2008 6,970 7,088 9/30/2008 6,457 6,368 10/31/2008 4,461 4,537 11/30/2008 4,152 4,234 12/31/2008 4,325 4,363 1/31/2009 3,873 3,947 2/28/2009 3,356 3,433 3/31/2009 3,587 3,636 4/30/2009 3,950 4,053 5/31/2009 4,479 4,503 6/30/2009 4,578 4,610 7/31/2009 4,985 5,022 8/31/2009 5,535 5,634 9/30/2009 5,887 6,017 10/31/2009 5,766 5,922 11/30/2009 5,832 5,926 12/31/2009 5,925 6,027 1/31/2010 5,704 5,831 2/28/2010 5,728 5,809 3/31/2010 5,925 6,011 4/30/2010 5,974 6,082 5/31/2010 5,347 5,414 6/30/2010 5,360 5,435 7/31/2010 5,987 6,026 8/31/2010 5,999 6,044 9/30/2010 6,577 6,624 10/31/2010 6,859 6,894 11/30/2010 6,429 6,471 12/31/2010 6,997 7,046 1/31/2011 7,025 7,045 2/28/2011 7,318 7,329 3/31/2011 7,332 7,348 4/30/2011 7,792 7,804 5/31/2011 7,750 7,761 6/30/2011 7,694 7,685 7/31/2011 7,569 7,575 8/31/2011 7,262 7,261 9/30/2011 6,328 6,367 10/31/2011 6,830 6,889 11/30/2011 6,691 6,606 12/31/2011 6,455 6,440 1/31/2012 6,897 6,857 2/29/2012 7,133 7,133 3/31/2012 7,221 7,159 4/30/2012 7,369 7,331 5/31/2012 6,941 6,853 6/30/2012 7,398 7,322 7/31/2012 7,737 7,719 8/31/2012 7,855 7,792 9/30/2012 8,032 8,000 10/31/2012 8,356 8,295 11/30/2012 8,415 8,352 12/31/2012 8,611 8,495 1/31/2013 8,745 8,714 2/28/2013 8,811 8,792 3/31/2013 9,161 9,125 4/30/2013 9,644 9,604 5/31/2013 8,761 8,738 6/30/2013 8,445 8,368 7/31/2013 8,478 8,386 Past performance is not predictive of 8/31/2013 8,162 8,091 future performance. 9/30/2013 8,861 8,784 10/31/2013 9,128 9,045 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 03/01/2007 ----------------------------------------------------------------- The S&P data are provided by Standard 9.24% 15.39% -1.36% & Poor's Index Services Group.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO VS. S&P GLOBAL REIT INDEX (NET DIVIDENDS) JUNE 4, 2008-OCTOBER 31, 2013 [CHART] DFA Global Real S&P Global Estate Securities Portfolio REIT Index (net dividends) --------------------------- --------------------------- 6/4/2008 $10,000 $10,000 6/30/2008 9,000 8,970 7/31/2008 9,020 8,995 8/31/2008 9,000 8,979 9/30/2008 8,710 8,552 10/31/2008 6,040 5,939 11/30/2008 5,040 4,955 12/31/2008 5,632 5,465 1/31/2009 4,817 4,698 2/28/2009 3,982 3,887 3/31/2009 4,186 4,070 4/30/2009 5,051 4,921 5/31/2009 5,438 5,235 6/30/2009 5,408 5,208 7/31/2009 5,937 5,716 8/31/2009 6,670 6,460 9/30/2009 7,108 6,889 10/31/2009 6,874 6,673 11/30/2009 7,159 6,897 12/31/2009 7,471 7,199 1/31/2010 7,133 6,884 2/28/2010 7,362 7,066 3/31/2010 7,875 7,557 4/30/2010 8,202 7,887 5/31/2010 7,591 7,270 6/30/2010 7,373 7,054 7/31/2010 8,158 7,772 8/31/2010 8,115 7,722 9/30/2010 8,649 8,231 10/31/2010 9,031 8,595 11/30/2010 8,682 8,264 12/31/2010 9,249 8,789 1/31/2011 9,448 8,947 2/28/2011 9,856 9,334 3/31/2011 9,786 9,258 4/30/2011 10,370 9,804 5/31/2011 10,428 9,853 6/30/2011 10,195 9,617 7/31/2011 10,218 9,647 8/31/2011 9,728 9,153 9/30/2011 8,583 8,093 10/31/2011 9,588 9,052 11/30/2011 9,296 8,693 12/31/2011 9,417 8,843 1/31/2012 10,020 9,412 2/29/2012 10,092 9,489 3/31/2012 10,454 9,791 4/30/2012 10,719 10,055 5/31/2012 10,176 9,518 6/30/2012 10,791 10,090 7/31/2012 11,105 10,413 8/31/2012 11,153 10,448 9/30/2012 11,117 10,424 10/31/2012 11,249 10,520 11/30/2012 11,249 10,526 12/31/2012 11,599 10,822 1/31/2013 11,921 11,170 2/28/2013 12,037 11,290 3/31/2013 12,423 11,651 4/30/2013 13,182 12,361 5/31/2013 12,230 11,472 6/30/2013 11,921 11,139 7/31/2013 11,998 11,213 Past performance is not predictive of 8/31/2013 11,316 10,573 future performance. 9/30/2013 11,908 11,121 10/31/2013 12,346 11,548 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 06/04/2008 ---------------------------------------------------------------- The S&P data are provided by Standard 9.74% 15.37% 3.97% & Poor's Index Services Group.
-------------------------------------------------------------------------------- 12 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. MSCI WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] DFA International MSCI World ex USA Small Cap Value Portfolio Small Cap Index (net dividends) ------------------------- ------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,044 10,009 12/31/2003 10,673 10,620 01/31/2004 11,324 11,076 02/29/2004 11,672 11,412 03/31/2004 12,162 11,852 04/30/2004 11,734 11,428 05/31/2004 11,619 11,305 06/30/2004 12,147 11,876 07/31/2004 11,724 11,352 08/31/2004 11,868 11,411 09/30/2004 12,184 11,723 10/31/2004 12,581 12,157 11/30/2004 13,682 13,129 12/31/2004 14,388 13,741 01/31/2005 14,790 13,953 02/28/2005 15,491 14,546 03/31/2005 15,345 14,309 04/30/2005 15,046 13,906 05/31/2005 14,821 13,939 06/30/2005 15,169 14,309 07/31/2005 15,746 14,930 08/31/2005 16,360 15,388 09/30/2005 16,742 16,012 10/31/2005 16,354 15,429 11/30/2005 16,657 15,943 12/31/2005 17,730 17,183 01/31/2006 19,030 18,408 02/28/2006 19,070 18,177 03/31/2006 19,979 19,031 04/30/2006 20,809 19,917 05/31/2006 19,809 18,816 06/30/2006 19,440 18,358 07/31/2006 19,370 17,910 08/31/2006 19,863 18,433 09/30/2006 20,052 18,384 10/31/2006 20,931 19,114 11/30/2006 21,942 19,936 12/31/2006 22,765 20,526 01/31/2007 23,371 20,945 02/28/2007 23,794 21,312 03/31/2007 24,828 22,018 04/30/2007 25,565 22,868 05/31/2007 26,052 23,205 06/30/2007 25,943 23,155 07/31/2007 25,877 23,012 08/31/2007 24,816 21,799 09/30/2007 25,332 22,291 10/31/2007 26,330 23,796 11/30/2007 24,191 21,840 12/31/2007 23,435 21,200 01/31/2008 21,890 19,145 02/29/2008 22,369 20,054 03/31/2008 22,577 19,832 04/30/2008 22,961 20,315 05/31/2008 23,465 20,725 06/30/2008 21,415 19,125 07/31/2008 20,463 18,161 08/31/2008 19,804 17,489 09/30/2008 16,954 14,413 10/31/2008 13,264 10,855 11/30/2008 12,529 10,329 12/31/2008 13,668 11,018 01/31/2009 12,515 10,378 02/28/2009 11,140 9,430 03/31/2009 11,867 10,036 04/30/2009 13,791 11,583 05/31/2009 15,690 13,297 06/30/2009 15,638 13,456 07/31/2009 17,094 14,538 08/31/2009 18,575 15,658 09/30/2009 19,450 16,538 10/31/2009 18,759 16,283 11/30/2009 18,847 16,410 12/31/2009 19,068 16,617 01/31/2010 18,701 16,398 02/28/2010 18,524 16,305 03/31/2010 20,028 17,517 04/30/2010 20,281 17,863 05/31/2010 17,551 15,717 06/30/2010 17,199 15,569 07/31/2010 18,871 16,904 08/31/2010 17,990 16,465 09/30/2010 20,010 18,333 10/31/2010 20,636 19,089 11/30/2010 20,049 18,589 12/31/2010 22,519 20,690 01/31/2011 22,991 20,799 02/28/2011 23,658 21,390 03/31/2011 23,776 21,370 04/30/2011 24,797 22,430 05/31/2011 23,946 21,809 06/30/2011 23,424 21,337 07/31/2011 22,974 21,220 08/31/2011 20,789 19,544 09/30/2011 18,336 17,300 10/31/2011 19,731 18,705 11/30/2011 19,093 17,765 12/31/2011 18,586 17,419 01/31/2012 20,448 18,858 02/29/2012 21,666 19,926 03/31/2012 21,693 19,794 04/30/2012 21,091 19,691 05/31/2012 18,408 17,377 06/30/2012 19,316 17,977 07/31/2012 19,261 18,116 08/31/2012 19,968 18,636 09/30/2012 20,902 19,519 10/31/2012 21,097 19,614 11/30/2012 21,389 19,715 12/31/2012 22,723 20,464 01/31/2013 23,889 21,449 02/28/2013 24,031 21,525 03/31/2013 24,521 21,945 04/30/2013 25,217 22,582 05/31/2013 24,720 22,052 06/30/2013 23,967 21,180 07/31/2013 25,754 22,504 Past performance is not predictive of 08/31/2013 25,437 22,464 future performance. 09/30/2013 27,902 24,350 10/31/2013 29,069 25,070 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------------------- MSCI data copyright MSCI 2013, all 37.79% 16.99% 11.26% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INTERNATIONAL VECTOR EQUITY PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 14, 2008-OCTOBER 31, 2013 [CHART] International Vector MSCI World ex Equity Portfolio USA Index (net dividends) -------------------- ------------------------ 08/14/2008 $10,000 $10,000 08/31/2008 10,050 10,052 09/30/2008 8,750 8,601 10/31/2008 6,740 6,812 11/30/2008 6,340 6,442 12/31/2008 6,798 6,782 01/31/2009 6,065 6,149 02/28/2009 5,392 5,527 03/31/2009 5,903 5,891 04/30/2009 6,919 6,650 05/31/2009 7,985 7,491 06/30/2009 7,932 7,414 07/31/2009 8,715 8,110 08/31/2009 9,274 8,499 09/30/2009 9,740 8,849 10/31/2009 9,404 8,707 11/30/2009 9,608 8,923 12/31/2009 9,715 9,065 01/31/2010 9,377 8,640 02/28/2010 9,357 8,631 03/31/2010 10,099 9,187 04/30/2010 10,120 9,050 05/31/2010 8,870 8,051 06/30/2010 8,736 7,935 07/31/2010 9,659 8,668 08/31/2010 9,254 8,409 09/30/2010 10,289 9,216 10/31/2010 10,684 9,544 11/30/2010 10,300 9,140 12/31/2010 11,397 9,876 01/31/2011 11,660 10,089 02/28/2011 12,050 10,463 03/31/2011 11,881 10,253 04/30/2011 12,482 10,812 05/31/2011 12,071 10,491 06/30/2011 11,823 10,342 07/31/2011 11,545 10,171 08/31/2011 10,519 9,311 09/30/2011 9,260 8,376 10/31/2011 10,045 9,191 11/30/2011 9,733 8,766 12/31/2011 9,464 8,670 01/31/2012 10,238 9,138 02/29/2012 10,780 9,641 03/31/2012 10,780 9,570 04/30/2012 10,514 9,407 05/31/2012 9,219 8,335 06/30/2012 9,745 8,881 07/31/2012 9,700 8,991 08/31/2012 10,038 9,248 09/30/2012 10,435 9,529 10/31/2012 10,537 9,595 11/30/2012 10,706 9,797 12/31/2012 11,253 10,093 01/31/2013 11,755 10,590 02/28/2013 11,652 10,484 03/31/2013 11,784 10,567 04/30/2013 12,218 11,049 05/31/2013 11,944 10,801 06/30/2013 11,564 10,397 07/31/2013 12,305 10,950 Past performance is not predictive of 08/31/2013 12,213 10,809 future performance. 09/30/2013 13,183 11,573 10/31/2013 13,648 11,961 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 08/14/2008 ----------------------------------------------------------------- MSCI data copyright MSCI 2013, all 29.52% 15.15% 6.15% rights reserved.
-------------------------------------------------------------------------------- 13 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- WORLD EX U.S. VALUE PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) AUGUST 23, 2010-OCTOBER 31, 2013 [CHART] World Ex U.S. MSCI All Country World Value Portfolio ex USA Index (net dividends) ------------------ ----------------------------- 08/23/2010 $10,000 $10,000 08/31/2010 9,890 9,920 09/30/2010 10,980 10,906 10/31/2010 11,350 11,278 11/30/2010 10,850 10,843 12/31/2010 11,859 11,692 01/31/2011 12,122 11,807 02/28/2011 12,385 12,118 03/31/2011 12,311 12,090 04/30/2011 12,899 12,681 05/31/2011 12,433 12,315 06/30/2011 12,238 12,136 07/31/2011 11,920 11,971 08/31/2011 10,670 10,945 09/30/2011 9,314 9,727 10/31/2011 10,261 10,752 11/30/2011 9,880 10,203 12/31/2011 9,590 10,089 01/31/2012 10,422 10,774 02/29/2012 10,984 11,379 03/31/2012 10,811 11,222 04/30/2012 10,436 11,045 05/31/2012 9,177 9,791 06/30/2012 9,755 10,369 07/31/2012 9,703 10,515 08/31/2012 10,041 10,735 09/30/2012 10,475 11,136 10/31/2012 10,538 11,179 11/30/2012 10,687 11,392 12/31/2012 11,281 11,787 01/31/2013 11,720 12,266 02/28/2013 11,442 12,137 03/31/2013 11,460 12,161 04/30/2013 11,899 12,608 05/31/2013 11,696 12,316 06/30/2013 11,154 11,782 07/31/2013 11,796 12,298 Past performance is not predictive of 08/31/2013 11,666 12,128 future performance. 09/30/2013 12,556 12,971 10/31/2013 13,026 13,447 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FROM redemption of fund shares. TOTAL RETURN YEAR 08/23/2010 ---------------------------------------------------- MSCI data copyright MSCI 2013, all 23.61% 8.64% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- WORLD EX U.S. TARGETED VALUE PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA SMALL CAP INDEX (NET DIVIDENDS) NOVEMBER 1, 2012-OCTOBER 31, 2013 [CHART] World Ex U.S. Targeted MSCI All Country World ex USA Value Portfolio Small Cap Index (net dividends) ----------------------- ---------------------------------- 11/01/2012 $10,000 $10,000 11/30/2012 10,120 10,013 12/31/2012 10,735 10,417 01/31/2013 11,157 10,868 02/28/2013 11,147 10,925 03/31/2013 11,278 11,098 04/30/2013 11,549 11,398 05/31/2013 11,298 11,175 06/30/2013 10,766 10,607 07/31/2013 11,376 11,134 Past performance is not predictive of 08/31/2013 11,193 11,038 future performance. 09/30/2013 12,191 11,920 10/31/2013 12,690 12,289 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL FROM redemption of fund shares. TOTAL RETURN 11/01/2012 ----------------------------------------- MSCI data copyright MSCI 2013, all 26.90% rights reserved.
-------------------------------------------------------------------------------- 14 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- WORLD EX U.S. CORE EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD EX USA INDEX (NET DIVIDENDS) APRIL 9, 2013-OCTOBER 31, 2013 [CHART] World Ex U.S. Core MSCI All Country World Equity Portfolio ex USA Index (net dividends) ------------------ ---------------------------- 04/09/2013 $10,000 $10,000 04/30/2013 10,160 10,415 05/31/2013 9,890 10,174 06/30/2013 9,485 9,733 07/31/2013 9,971 10,159 08/31/2013 9,830 10,019 09/30/2013 10,575 10,715 Past performance is not predictive of 10/31/2013 10,962 11,108 future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the FROM redemption of fund shares. TOTAL RETURN 04/09/2013 ---------------------------------------- MSCI data copyright MSCI 2013, all 9.62% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO VS. MSCI ALL COUNTRY WORLD INDEX (NET DIVIDENDS) NOVEMBER 14, 2011-OCTOBER 31, 2013 [CHART] Selectively Hedged Global MSCI All Country World Equity Portfolio Index (net dividends) ------------------------- ----------------------- 11/14/2011 $10,000 $10,000 11/30/2011 9,920 9,873 12/31/2011 9,828 9,853 1/31/2012 10,533 10,426 2/29/2012 11,077 10,951 3/31/2012 11,141 11,024 4/30/2012 10,939 10,898 5/31/2012 9,962 9,921 6/30/2012 10,442 10,410 7/31/2012 10,463 10,553 8/31/2012 10,748 10,782 9/30/2012 11,122 11,122 10/31/2012 11,112 11,048 11/30/2012 11,265 11,189 12/31/2012 11,718 11,443 1/31/2013 12,225 11,970 2/28/2013 12,287 11,968 3/31/2013 12,576 12,187 4/30/2013 12,814 12,535 5/31/2013 12,897 12,501 6/30/2013 12,514 12,135 7/31/2013 13,114 12,716 Past performance is not predictive of 8/31/2013 12,845 12,451 future performance. 9/30/2013 13,569 13,094 10/31/2013 14,096 13,621 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FROM redemption of fund shares. TOTAL RETURN YEAR 11/14/2011 ---------------------------------------------------- MSCI data copyright MSCI 2013, all 26.86% 19.13% rights reserved.
-------------------------------------------------------------------------------- 15 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] MSCI Emerging Markets Emerging Markets Portfolio Index (net dividends) -------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,900 10,122 12/31/2003 10,941 10,855 1/31/2004 11,143 11,234 2/29/2004 11,633 11,749 3/31/2004 11,709 11,896 4/30/2004 10,966 10,922 5/31/2004 10,831 10,704 6/30/2004 11,026 10,749 7/31/2004 11,018 10,552 8/31/2004 11,324 10,990 9/30/2004 11,957 11,624 10/31/2004 12,290 11,902 11/30/2004 13,360 13,004 12/31/2004 14,216 13,628 1/31/2005 14,328 13,663 2/28/2005 15,396 14,855 3/31/2005 14,337 13,873 4/30/2005 13,992 13,501 5/31/2005 14,406 13,971 6/30/2005 14,834 14,445 7/31/2005 15,784 15,455 8/31/2005 15,880 15,587 9/30/2005 17,139 17,039 10/31/2005 16,279 15,925 11/30/2005 17,455 17,243 12/31/2005 18,460 18,262 1/31/2006 20,217 20,301 2/28/2006 20,155 20,277 3/31/2006 20,429 20,456 4/30/2006 21,646 21,913 5/31/2006 19,141 19,617 6/30/2006 19,111 19,569 7/31/2006 19,461 19,849 8/31/2006 20,069 20,355 9/30/2006 20,339 20,524 10/31/2006 21,548 21,499 11/30/2006 22,920 23,097 12/31/2006 23,844 24,137 1/31/2007 24,190 23,877 2/28/2007 23,807 23,735 3/31/2007 24,892 24,680 4/30/2007 26,471 25,823 5/31/2007 28,241 27,102 6/30/2007 28,700 28,372 7/31/2007 29,380 29,869 8/31/2007 28,866 29,235 9/30/2007 31,409 32,463 10/31/2007 34,839 36,084 11/30/2007 32,565 33,526 12/31/2007 32,432 33,643 1/31/2008 29,598 29,445 2/29/2008 30,536 31,618 3/31/2008 29,583 29,945 4/30/2008 31,685 32,375 5/31/2008 31,869 32,976 6/30/2008 28,589 29,687 7/31/2008 28,209 28,567 8/31/2008 26,529 26,285 9/30/2008 22,827 21,685 10/31/2008 16,812 15,750 11/30/2008 15,284 14,565 12/31/2008 16,475 15,701 1/31/2009 15,216 14,687 2/28/2009 14,218 13,858 3/31/2009 16,273 15,850 4/30/2009 18,677 18,487 5/31/2009 21,859 21,646 6/30/2009 21,667 21,355 7/31/2009 24,138 23,756 8/31/2009 24,219 23,671 9/30/2009 26,341 25,820 10/31/2009 25,789 25,852 11/30/2009 27,322 26,962 12/31/2009 28,300 28,027 1/31/2010 26,749 26,464 2/28/2010 27,072 26,557 3/31/2010 29,330 28,701 4/30/2010 29,497 29,049 5/31/2010 26,745 26,494 6/30/2010 26,786 26,299 7/31/2010 29,138 28,489 8/31/2010 28,456 27,936 9/30/2010 31,682 31,040 10/31/2010 32,632 31,941 11/30/2010 31,893 31,098 12/31/2010 34,474 33,317 1/31/2011 33,574 32,413 2/28/2011 33,327 32,111 3/31/2011 35,171 33,999 4/30/2011 36,396 35,054 5/31/2011 35,385 34,134 6/30/2011 34,953 33,609 7/31/2011 34,671 33,460 8/31/2011 31,855 30,470 9/30/2011 27,033 26,027 10/31/2011 30,407 29,475 11/30/2011 29,335 27,511 12/31/2011 28,471 27,179 1/31/2012 31,525 30,262 2/29/2012 33,226 32,074 3/31/2012 32,351 31,004 4/30/2012 31,764 30,633 5/31/2012 28,339 27,198 6/30/2012 29,724 28,248 7/31/2012 29,966 28,799 8/31/2012 30,146 28,703 9/30/2012 31,830 30,435 10/31/2012 31,648 30,250 11/30/2012 32,061 30,634 12/31/2012 33,924 32,132 1/31/2013 34,097 32,575 2/28/2013 33,690 32,166 3/31/2013 33,203 31,612 4/30/2013 33,560 31,850 5/31/2013 32,463 31,033 6/30/2013 30,419 29,057 7/31/2013 30,854 29,361 8/31/2013 30,121 28,856 Past performance is not predictive of 9/30/2013 32,268 30,733 future performance. 10/31/2013 33,731 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS -------------------------------------------------------- MSCI data copyright MSCI 2013, all 6.58% 14.94% 12.93% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS SMALL CAP PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Emerging Markets MSCI Emerging Markets Small Cap Portfolio Index (net dividends) -------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,198 10,122 12/31/2003 11,211 10,855 1/31/2004 11,543 11,234 2/29/2004 12,030 11,749 3/31/2004 12,232 11,896 4/30/2004 11,543 10,922 5/31/2004 11,057 10,704 6/30/2004 11,148 10,749 7/31/2004 11,220 10,552 8/31/2004 11,590 10,990 9/30/2004 12,235 11,624 10/31/2004 12,535 11,902 11/30/2004 13,722 13,004 12/31/2004 14,449 13,628 1/31/2005 14,850 13,663 2/28/2005 15,791 14,855 3/31/2005 14,690 13,873 4/30/2005 14,149 13,501 5/31/2005 14,426 13,971 6/30/2005 14,791 14,445 7/31/2005 15,602 15,455 8/31/2005 15,703 15,587 9/30/2005 16,733 17,039 10/31/2005 15,917 15,925 11/30/2005 17,052 17,243 12/31/2005 18,170 18,262 1/31/2006 19,924 20,301 2/28/2006 20,133 20,277 3/31/2006 20,501 20,456 4/30/2006 22,166 21,913 5/31/2006 19,832 19,617 6/30/2006 18,957 19,569 7/31/2006 19,393 19,849 8/31/2006 20,067 20,355 9/30/2006 20,622 20,524 10/31/2006 22,177 21,499 11/30/2006 23,864 23,097 12/31/2006 24,948 24,137 1/31/2007 25,417 23,877 2/28/2007 25,644 23,735 3/31/2007 26,781 24,680 4/30/2007 28,827 25,823 5/31/2007 31,114 27,102 6/30/2007 32,044 28,372 7/31/2007 33,601 29,869 8/31/2007 32,201 29,235 9/30/2007 34,414 32,463 10/31/2007 36,993 36,084 11/30/2007 34,027 33,526 12/31/2007 34,433 33,643 1/31/2008 30,280 29,445 2/29/2008 31,157 31,618 3/31/2008 29,681 29,945 4/30/2008 31,496 32,375 5/31/2008 31,296 32,976 6/30/2008 27,690 29,687 7/31/2008 27,256 28,567 8/31/2008 25,609 26,285 9/30/2008 20,983 21,685 10/31/2008 14,616 15,750 11/30/2008 13,722 14,565 12/31/2008 15,655 15,701 1/31/2009 14,451 14,687 2/28/2009 13,563 13,858 3/31/2009 15,430 15,850 4/30/2009 18,554 18,487 5/31/2009 22,804 21,646 6/30/2009 22,691 21,355 7/31/2009 25,569 23,756 8/31/2009 25,873 23,671 9/30/2009 28,031 25,820 10/31/2009 27,998 25,852 11/30/2009 29,635 26,962 12/31/2009 31,269 28,027 1/31/2010 29,884 26,464 2/28/2010 30,399 26,557 3/31/2010 32,995 28,701 4/30/2010 33,527 29,049 5/31/2010 30,144 26,494 6/30/2010 30,941 26,299 7/31/2010 33,780 28,489 8/31/2010 33,942 27,936 9/30/2010 38,053 31,040 10/31/2010 39,570 31,941 11/30/2010 38,494 31,098 12/31/2010 40,707 33,317 1/31/2011 38,981 32,413 2/28/2011 37,831 32,111 3/31/2011 39,929 33,999 4/30/2011 42,026 35,054 5/31/2011 41,062 34,134 6/30/2011 40,729 33,609 7/31/2011 41,189 33,460 8/31/2011 37,273 30,470 9/30/2011 30,643 26,027 10/31/2011 34,020 29,475 11/30/2011 32,357 27,511 12/31/2011 31,498 27,179 1/31/2012 35,049 30,262 2/29/2012 37,911 32,074 3/31/2012 36,922 31,004 4/30/2012 36,038 30,633 5/31/2012 32,735 27,198 6/30/2012 33,989 28,248 7/31/2012 33,562 28,799 8/31/2012 34,433 28,703 9/30/2012 36,446 30,435 10/31/2012 36,303 30,250 11/30/2012 36,928 30,634 12/31/2012 39,198 32,132 1/31/2013 39,920 32,575 2/28/2013 40,327 32,166 3/31/2013 40,138 31,612 4/30/2013 40,953 31,850 5/31/2013 40,360 31,033 6/30/2013 36,869 29,057 7/31/2013 37,036 29,361 8/31/2013 35,489 28,856 Past performance is not predictive of 9/30/2013 38,080 30,733 future performance. 10/31/2013 39,542 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------- MSCI data copyright MSCI 2013, all 8.92% 22.02% 14.74% rights reserved.
-------------------------------------------------------------------------------- 16 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- CLASS R2 VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) JANUARY 29, 2008-OCTOBER 31, 2013 [CHART] Emerging Markets Value MSCI Emerging Markets Portfolio - Class R2 Index (net dividends) ----------------------- --------------------- 1/29/2008 $10,000 $10,000 1/31/2008 10,050 9,871 2/29/2008 10,450 10,599 3/31/2008 10,097 10,038 4/30/2008 10,872 10,853 5/31/2008 10,962 11,054 6/30/2008 9,677 9,952 7/31/2008 9,489 9,576 8/31/2008 8,674 8,811 9/30/2008 7,174 7,269 10/31/2008 4,949 5,280 11/30/2008 4,569 4,882 12/31/2008 5,120 5,263 1/31/2009 4,675 4,923 2/28/2009 4,262 4,646 3/31/2009 5,002 5,313 4/30/2009 5,996 6,197 5/31/2009 7,342 7,256 6/30/2009 7,241 7,159 7/31/2009 8,197 7,964 8/31/2009 8,265 7,935 9/30/2009 9,035 8,655 10/31/2009 8,823 8,666 11/30/2009 9,388 9,038 12/31/2009 9,847 9,395 1/31/2010 9,297 8,871 2/28/2010 9,347 8,902 3/31/2010 10,147 9,621 4/30/2010 10,246 9,738 5/31/2010 9,147 8,881 6/30/2010 9,199 8,816 7/31/2010 10,085 9,550 8/31/2010 9,864 9,365 9/30/2010 11,031 10,405 10/31/2010 11,444 10,707 11/30/2010 11,031 10,425 12/31/2010 11,960 11,169 1/31/2011 11,583 10,866 2/28/2011 11,391 10,764 3/31/2011 12,043 11,397 4/30/2011 12,466 11,751 5/31/2011 11,990 11,443 6/30/2011 11,738 11,267 7/31/2011 11,639 11,217 8/31/2011 10,454 10,214 9/30/2011 8,577 8,725 10/31/2011 9,701 9,881 11/30/2011 9,206 9,222 12/31/2011 8,875 9,111 1/31/2012 10,102 10,144 2/29/2012 10,714 10,752 3/31/2012 10,253 10,393 4/30/2012 9,918 10,269 5/31/2012 8,817 9,117 6/30/2012 9,214 9,469 7/31/2012 9,155 9,654 8/31/2012 9,279 9,622 9/30/2012 9,873 10,202 10/31/2012 9,742 10,140 11/30/2012 9,849 10,269 12/31/2012 10,564 10,771 1/31/2013 10,734 10,920 2/28/2013 10,550 10,783 3/31/2013 10,459 10,597 4/30/2013 10,547 10,677 5/31/2013 10,243 10,403 6/30/2013 9,377 9,741 Past performance is not predictive of 7/31/2013 9,559 9,842 future performance. 8/31/2013 9,356 9,673 9/30/2013 10,045 10,302 The returns shown do not reflect the 10/31/2013 10,497 10,803 deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 01/29/2008 ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 7.75% 16.23% 0.85% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- EMERGING MARKETS VALUE PORTFOLIO -- INSTITUTIONAL CLASS VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] Emerging Markets Value Portfolio- MSCI Emerging Markets Institutional Class Index (net dividends) ----------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,113 10,122 12/31/2003 11,330 10,855 1/31/2004 11,641 11,234 2/29/2004 12,394 11,749 3/31/2004 12,550 11,896 4/30/2004 11,666 10,922 5/31/2004 11,322 10,704 6/30/2004 11,528 10,749 7/31/2004 11,676 10,552 8/31/2004 12,195 10,990 9/30/2004 12,998 11,624 10/31/2004 13,404 11,902 11/30/2004 14,854 13,004 12/31/2004 15,809 13,628 1/31/2005 16,068 13,663 2/28/2005 17,533 14,855 3/31/2005 16,251 13,873 4/30/2005 15,673 13,501 5/31/2005 15,899 13,971 6/30/2005 16,421 14,445 7/31/2005 17,616 15,455 8/31/2005 17,896 15,587 9/30/2005 19,332 17,039 10/31/2005 18,122 15,925 11/30/2005 19,460 17,243 12/31/2005 20,680 18,262 1/31/2006 22,656 20,301 2/28/2006 22,743 20,277 3/31/2006 23,511 20,456 4/30/2006 25,562 21,913 5/31/2006 22,790 19,617 6/30/2006 22,583 19,569 7/31/2006 23,117 19,849 8/31/2006 23,537 20,355 9/30/2006 24,014 20,524 10/31/2006 25,680 21,499 11/30/2006 27,558 23,097 12/31/2006 28,524 24,137 1/31/2007 28,962 23,877 2/28/2007 29,124 23,735 3/31/2007 30,640 24,680 4/30/2007 33,081 25,823 5/31/2007 35,594 27,102 6/30/2007 36,605 28,372 7/31/2007 38,339 29,869 8/31/2007 37,101 29,235 9/30/2007 40,445 32,463 10/31/2007 44,882 36,084 11/30/2007 41,607 33,526 12/31/2007 41,541 33,643 1/31/2008 37,405 29,445 2/29/2008 38,899 31,618 3/31/2008 37,590 29,945 4/30/2008 40,489 32,375 5/31/2008 40,835 32,976 6/30/2008 36,084 29,687 7/31/2008 35,376 28,567 8/31/2008 32,346 26,285 9/30/2008 26,765 21,685 10/31/2008 18,454 15,750 11/30/2008 17,052 14,565 12/31/2008 19,134 15,701 1/31/2009 17,407 14,687 2/28/2009 15,928 13,858 3/31/2009 18,683 15,850 4/30/2009 22,357 18,487 5/31/2009 27,386 21,646 6/30/2009 27,049 21,355 7/31/2009 30,676 23,756 8/31/2009 30,903 23,671 9/30/2009 33,754 25,820 10/31/2009 32,956 25,852 11/30/2009 35,054 26,962 12/31/2009 36,791 28,027 1/31/2010 34,696 26,464 2/28/2010 34,965 26,557 3/31/2010 38,043 28,701 4/30/2010 38,289 29,049 5/31/2010 34,275 26,494 6/30/2010 34,489 26,299 7/31/2010 37,680 28,489 8/31/2010 36,997 27,936 9/30/2010 41,438 31,040 10/31/2010 42,856 31,941 11/30/2010 41,462 31,098 12/31/2010 44,906 33,317 1/31/2011 43,503 32,413 2/28/2011 42,770 32,111 3/31/2011 45,229 33,999 4/30/2011 46,843 35,054 5/31/2011 45,055 34,134 6/30/2011 44,132 33,609 7/31/2011 43,758 33,460 8/31/2011 39,316 30,470 9/30/2011 32,257 26,027 10/31/2011 36,496 29,475 11/30/2011 34,647 27,511 12/31/2011 33,402 27,179 1/31/2012 38,034 30,262 2/29/2012 40,350 32,074 3/31/2012 38,613 31,004 4/30/2012 37,352 30,633 5/31/2012 33,222 27,198 6/30/2012 34,724 28,248 7/31/2012 34,504 28,799 8/31/2012 34,983 28,703 9/30/2012 37,233 30,435 10/31/2012 36,751 30,250 11/30/2012 37,154 30,634 12/31/2012 39,870 32,132 1/31/2013 40,511 32,575 2/28/2013 39,830 32,166 3/31/2013 39,489 31,612 4/30/2013 39,836 31,850 5/31/2013 38,700 31,033 6/30/2013 35,441 29,057 Past performance is not predictive of 7/31/2013 36,129 29,361 future performance. 8/31/2013 35,360 28,856 9/30/2013 37,973 30,733 The returns shown do not reflect the 10/31/2013 39,694 32,226 deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------- MSCI data copyright MSCI 2013, all 8.01% 16.55% 14.78% rights reserved.
-------------------------------------------------------------------------------- 17 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- EMERGING MARKETS CORE EQUITY PORTFOLIO VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) APRIL 5, 2005-OCTOBER 31, 2013 [CHART] Emerging Markets Core MSCI Emerging Markets Equity Portfolio Index (net dividends) ----------------------- --------------------- 4/5/2005 $10,000 $10,000 4/30/2005 9,580 9,682 5/31/2005 9,720 10,019 6/30/2005 9,980 10,359 7/31/2005 10,653 11,083 8/31/2005 10,763 11,178 9/30/2005 11,511 12,219 10/31/2005 10,898 11,421 11/30/2005 11,612 12,365 12/31/2005 12,295 13,096 1/31/2006 13,395 14,559 2/28/2006 13,416 14,542 3/31/2006 13,684 14,670 4/30/2006 14,624 15,714 5/31/2006 12,988 14,068 6/30/2006 12,775 14,034 7/31/2006 13,019 14,235 8/31/2006 13,333 14,597 9/30/2006 13,598 14,719 10/31/2006 14,487 15,418 11/30/2006 15,490 16,564 12/31/2006 16,100 17,310 1/31/2007 16,327 17,123 2/28/2007 16,204 17,022 3/31/2007 16,906 17,699 4/30/2007 18,042 18,519 5/31/2007 19,353 19,436 6/30/2007 19,811 20,347 7/31/2007 20,485 21,421 8/31/2007 19,956 20,965 9/30/2007 21,671 23,281 10/31/2007 23,924 25,877 11/30/2007 22,181 24,043 12/31/2007 22,136 24,127 1/31/2008 19,968 21,116 2/29/2008 20,621 22,675 3/31/2008 19,871 21,475 4/30/2008 21,378 23,218 5/31/2008 21,473 23,648 6/30/2008 19,079 21,290 7/31/2008 18,877 20,487 8/31/2008 17,623 18,850 9/30/2008 14,861 15,551 10/31/2008 10,661 11,295 11/30/2008 9,949 10,445 12/31/2008 10,922 11,260 1/31/2009 9,948 10,533 2/28/2009 9,277 9,938 3/31/2009 10,741 11,367 4/30/2009 12,702 13,258 5/31/2009 15,206 15,523 6/30/2009 15,058 15,314 7/31/2009 16,880 17,036 8/31/2009 16,946 16,975 9/30/2009 18,408 18,516 10/31/2009 18,068 18,539 11/30/2009 19,175 19,336 12/31/2009 20,050 20,099 1/31/2010 18,950 18,978 2/28/2010 19,159 19,045 3/31/2010 20,812 20,583 4/30/2010 21,010 20,832 5/31/2010 18,974 19,000 6/30/2010 19,134 18,860 7/31/2010 20,862 20,431 8/31/2010 20,585 20,034 9/30/2010 23,045 22,260 10/31/2010 23,724 22,906 11/30/2010 23,090 22,302 12/31/2010 24,785 23,893 1/31/2011 24,003 23,245 2/28/2011 23,589 23,028 3/31/2011 24,931 24,382 4/30/2011 25,915 25,138 5/31/2011 25,199 24,479 6/30/2011 24,849 24,102 7/31/2011 24,793 23,995 8/31/2011 22,555 21,851 9/30/2011 18,823 18,665 10/31/2011 21,213 21,138 11/30/2011 20,307 19,729 12/31/2011 19,668 19,491 1/31/2012 21,984 21,702 2/29/2012 23,365 23,002 3/31/2012 22,635 22,234 4/30/2012 22,133 21,968 5/31/2012 19,805 19,505 6/30/2012 20,693 20,258 7/31/2012 20,705 20,653 8/31/2012 20,923 20,584 9/30/2012 22,115 21,826 10/31/2012 21,965 21,693 11/30/2012 22,300 21,969 12/31/2012 23,698 23,043 1/31/2013 23,907 23,361 2/28/2013 23,744 23,067 3/31/2013 23,492 22,670 4/30/2013 23,759 22,841 5/31/2013 23,108 22,255 6/30/2013 21,448 20,838 7/31/2013 21,740 21,056 Past performance is not predictive of 8/31/2013 21,178 20,694 future performance. 9/30/2013 22,690 22,040 10/31/2013 23,668 23,111 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 04/05/2005 ----------------------------------------------------------- MSCI data copyright MSCI 2013, all 7.75% 17.29% 10.57% rights reserved.
-------------------------------------------------------------------------------- 18 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. 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 book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable 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, small cap, and/or micro cap companies relative to widely used benchmarks. 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, 2013, an average of approximately 96% 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. 19 For the 12 months ended October 31, 2013, the total return was 26.99% for the Portfolio and 27.18% for the S&P 500(R) Index. Relative to the Index, the Portfolio's underperformance was primarily due to the performance of the fixed income component of the Portfolio. The return of the fixed income component was slightly less than the average interest rate priced into the S&P 500(R) futures contracts that the Portfolio purchased throughout the year. U.S. LARGE CAP EQUITY PORTFOLIO The U.S. Large Cap Equity Portfolio seeks to capture the returns of U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 830 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. From the Portfolio's inception on June 25, 2013, through October 31, 2013, total returns were 11.01% for the Portfolio and 12.13% for the Russell 1000(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 higher average cash balances than the Index in June 2013, the month it launched, which was primarily responsible for the Portfolio's relative underperformance compared to the Index as U.S. equities generally had positive returns in the last days of June. The Portfolio's relative underperformance was partly offset by its greater exposure than the Index to smaller stocks within the large cap universe, which generally outperformed larger stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. 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. As of October 31, 2013, the Master Fund held approximately 220 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 35.52% for the Portfolio and 28.29% 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. The Master Fund had significantly greater exposure than the Index to deeper value stocks. These stocks generally outperformed the Index, and the Master Fund's higher weight helped the Portfolio's relative performance. The Master Fund's exclusion of real estate investment trusts ("REITs") and highly regulated utilities also contributed to the Portfolio's outperformance relative to the Index as both 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. As of October 31, 2013, the Portfolio held approximately 1,500 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 40.39% for the Portfolio's Class R1 shares, 40.10% for the Portfolio's Class R2 shares, 40.40% for the Portfolio's Institutional Class shares, and 32.83% 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 exclusion of REITs and highly regulated utilities contributed to the Portfolio's outperformance relative to the Index as these sectors underperformed the overall Index during the period. 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 20 diversification. As of October 31, 2013, the Portfolio held approximately 1,200 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 39.35% for the Portfolio and 32.83% 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 exclusion of real estate investment trusts ("REITs") and highly regulated utilities contributed to the Portfolio's outperformance relative to the Index as both sectors underperformed the overall Index during the period. 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. As of October 31, 2013, the Portfolio held approximately 2,900 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 32.32% for the Portfolio and 28.99% 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 greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the Index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 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. As of October 31, 2013, the Portfolio held approximately 2,900 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 33.66% for the Portfolio and 28.99% 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 greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the Index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 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. As of October 31, 2013, the Portfolio held approximately 2,800 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 36.80% for the Portfolio and 28.99% 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 greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the Index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 21 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. As of October 31, 2013, the Portfolio held approximately 2,200 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 39.03% for the Portfolio and 36.28% 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 exclusion of real estate investment trusts ("REITs") contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. The Portfolio excluded certain extreme small cap growth stocks, as measured by book-to-market ratio and other metrics, which were held by the Index. These stocks generally underperformed relative to the Index, and their exclusion from the Portfolio also benefited the Portfolio's relative performance. U.S. MICRO CAP PORTFOLIO The U.S. Micro Cap Portfolio seeks to capture the returns of the smallest U.S. company stocks and generally has a smaller market capitalization profile than the U.S. Small Cap Portfolio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 1,900 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 41.34% for the Portfolio and 36.28% 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. Micro cap stocks generally outperformed small and mid-cap stocks during the period, and the Portfolio's greater exposure than the Index to micro cap stocks contributed to the Portfolio's relative outperformance. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. The Portfolio excluded certain extreme small cap growth stocks, as measured by book-to-market ratio and other metrics, which were held by the Index. These stocks generally underperformed, and their exclusion from the Portfolio benefited the Portfolio's relative performance. DFA REAL ESTATE SECURITIES PORTFOLIO The DFA Real Estate Securities Portfolio seeks to capture the returns of a broadly diversified portfolio of U.S. real estate securities. As of October 31, 2013, the Portfolio held approximately 120 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of portfolio assets. For the 12 months ended October 31, 2013, total returns were 10.28% for the Portfolio, 9.96% for the Dow Jones U.S. Select REIT Index/SM/, and 27.18% 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 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. In addition, the Index excludes net lease REITs, which are eligible for the Portfolio. These securities held by the Portfolio and excluded by the Index, particularly net lease REITs, generally outperformed during the period and benefited the Portfolio's relative performance. INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity markets with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large cap stocks while value stocks outperformed growth stocks. 22
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, 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, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. 23 GLOBAL REAL ESTATE MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 Publicly traded global real estate investment trusts ("REITs") produced positive overall returns during the one-year period ended October 31, 2013. In most of the world, REITs trailed equities but exceeded fixed income returns. REITs in the U.K., Continental Europe, and Japan produced the strongest returns while REITs in emerging markets generally underperformed. The largest REIT market, the United States, had positive returns. On a global basis, specialized and industrial REITs had the biggest gains. Residential REITs were the weakest performers but still delivered positive returns.
12 MONTHS ENDED OCTOBER 31, 2013 U.S. DOLLAR RETURN - ------------------ S&P Global ex U.S. REIT Index (net dividends). 9.05% S&P Global REIT Index (net dividends)......... 9.77%
Source: Standard and Poor's. Copyright S&P, 2013. 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 "Master Funds." Master Funds, in turn, purchase stocks and/or other securities. LARGE CAP INTERNATIONAL PORTFOLIO The Large Cap International Portfolio seeks to capture the returns of a broadly diversified portfolio of international large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 1,500 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 24.85% for the Portfolio and 24.65% 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. By design, the Portfolio had slightly greater exposure than the Index to smaller stocks within the large cap universe. These smaller stocks generally outperformed larger stocks within the large cap universe and contributed to the Portfolio's outperformance relative to the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. INTERNATIONAL CORE EQUITY PORTFOLIO The International Core Equity Portfolio seeks to capture the returns of the broad universe of international stocks, with increased exposure to smaller company stocks and those with value characteristics. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 4,900 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 27.98% for the Portfolio and 24.65% 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 invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. International small cap stocks generally outperformed international large cap and mid cap stocks during the period, and the Portfolio's greater exposure to small cap stocks benefited the Portfolio's performance relative to the Index. The Portfolio's greater exposure to deeper value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 24 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. As of October 31, 2013, the Master Funds collectively held approximately 4,200 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 30.66% for the Portfolio and 27.81% 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 had a lesser allocation to Canadian securities, which contributed to the Portfolio's outperformance relative to the Index as Canadian securities significantly underperformed. In addition, within the materials sector, the Portfolio's holdings in Canada and Australia significantly outperformed those of the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 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. As of October 31, 2013, the Master Fund held approximately 1,400 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 30.06% for the Portfolio and 30.99% for the MSCI Japan Small Cap Index (net dividends). The Master Fund's lesser exposure than the Index to GungHo Online Entertainment, Inc., an online gaming company that significantly outperformed, was primarily responsible for the Portfolio's underperformance relative to the Index. To a lesser extent, the Master Fund's exclusion of real estate investment trusts ("REITs") benefited the Portfolio's relative performance as REITs underperformed during the period. 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. As of October 31, 2013, the Master Fund held approximately 940 securities across the eligible countries. Country allocations generally reflect the approximate weights of individual securities within a universe of these countries' stocks constructed by the Advisor. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 10.46% for the Portfolio and 6.83% 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. The Master Fund's greater weight in the consumer discretionary sector and lesser weight in the materials sector contributed to the Portfolio's outperformance relative to the Index as consumer discretionary generally outperformed and materials generally underperformed. The Master Fund's exclusion of real estate investment trusts ("REITs") also had a small positive impact on the Portfolio's relative performance as REITs underperformed during the period. 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. As of October 31, 2013, the Master Fund held approximately 350 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. 25 For the 12 months ended October 31, 2013, total returns were 36.81% for the Portfolio and 35.72% 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 had a lesser allocation to the energy sector, which contributed to the Portfolio's outperformance relative to the Index as energy significantly underperformed. The Master Fund's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Master Fund and the Index generally detracted from the Portfolio's 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. CONTINENTAL SMALL COMPANY PORTFOLIO The Continental Small Company Portfolio seeks to capture the returns of small company stocks in the developed markets of Europe (excluding the U.K.) and Israel, by purchasing shares of The Continental Small Company Series, a Master Fund that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Master Fund held approximately 1,200 securities in 14 eligible 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, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 42.99% for the Portfolio and 42.99% 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's exclusion of real estate investment trusts ("REITs") had a positive impact on the Portfolio's relative performance as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Master Fund and the Index generally detracted from the Portfolio's 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. 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. As of October 31, 2013, the Portfolio held approximately 220 securities in 20 approved developed and emerging market countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of portfolio assets. For the 12 months ended October 31, 2013, total returns were 9.24% for the Portfolio and 9.05% 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 outperformance relative to the Index. 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. As of October 31, 2013, the Portfolio invested in the DFA International Real Estate Securities Portfolio and the DFA Real Estate Securities Portfolio (the "Underlying Funds"). As of that date, the Underlying Funds held approximately 350 securities in 21 approved developed and emerging markets countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. 26 For the 12 months ended October 31, 2013, total returns were 9.74% for the Portfolio and 9.77% 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. The Portfolio generally performed in-line with the Index. 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. As of October 31, 2013, the Portfolio held approximately 2,000 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 37.79% for the Portfolio and 27.81% 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. Within the small cap universe, the Portfolio's greater exposure to value stocks, as measured by book-to-market, contributed to the Portfolio's outperformance relative to the Index as these stocks generally outperformed. Differences in holdings in the materials and industrials sectors also contributed significantly to the Portfolio's outperformance relative to the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. 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 relative to the market. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 4,300 securities in 22 eligible developed markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 29.52% for the Portfolio and 24.65% 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 invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. International small cap stocks generally outperformed international mid cap and large cap stocks during the period, and the Portfolio's greater exposure to small cap stocks contributed to the Portfolio's outperformance relative to the Index. The Portfolio's greater exposure to deeper value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 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, The DFA International Small Cap Value Portfolio, and The 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. As of October 31, 2013, the Underlying Funds collectively held approximately 4,700 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 23.61% for the Portfolio and 20.29% 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. Value stocks generally outperformed growth stocks during the period, particularly in developed markets. The Portfolio had greater 27 exposure than the Index to value stocks, which contributed to the Portfolio's outperformance relative to the Index. The Underlying Funds invest in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Small cap stocks generally outperformed large and mid cap stocks during the period, and the Portfolio's greater exposure to small cap stocks contributed to the Portfolio's outperformance relative to the Index. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. Differences in the valuation timing and methodology between the Portfolio and the Index generally detracted from 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 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. TARGETED VALUE PORTFOLIO The World ex U.S. Targeted Value Portfolio seeks to capture the returns of value stocks in international developed and emerging markets by purchasing shares of four funds managed by Dimensional: The DFA International Small Cap Value Portfolio, the International Vector Equity Portfolio, the Dimensional Emerging Markets Value Fund, and the Emerging Markets Small Cap Series (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Underlying Funds collectively held approximately 8,200 securities. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. From the Portfolio's inception on November 1, 2012, through October 31, 2013, total returns were 26.90% for the Portfolio and 22.89% for the MSCI All Country 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 the international equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds focus on small and mid-cap securities that are considered value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. Value stocks, particularly within the developed markets small cap universe, generally outperformed growth stocks during the period. The Portfolio had greater exposure than the Index to these stocks, which contributed to the Portfolio's outperformance relative to the Index. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. WORLD EX U.S. CORE EQUITY PORTFOLIO The World ex U.S. Core Equity Portfolio seeks to capture the returns of international stocks in developed and emerging markets, with increased exposure to smaller company stocks and those with value characteristics, by purchasing shares of two funds managed by Dimensional: The International Core Equity Portfolio and the Emerging Markets Core Equity Portfolio (the "Underlying Funds"). Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Underlying Funds collectively held approximately 8,800 securities. In general, cash exposure was low throughout the period with an average cash balance of less than 1% of the Portfolio's assets. From the Portfolio's inception on April 9, 2013, through October 31, 2013, total returns were 9.62% for the Portfolio and 11.08% 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 equity markets rather than by the behavior of a limited number of stocks. The Portfolio had a higher than average cash balance around the time of its launch in April 2013. As developed and emerging market equities generally had positive returns in April, the higher cash balance was primarily responsible for the Portfolio's underperformance relative to the Index. The Portfolio's relative underperformance was partly offset by its greater exposure than the Index to small cap stocks and value stocks, both of which generally outperformed relative to the Index during the period. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. 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 28 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. As of October 31, 2013, the Underlying Funds held approximately 12,000 equity securities in 44 countries. For the 12 months ended October 31, 2013, total returns were 26.86% for the Portfolio and 23.29% 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 Underlying Funds invest in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. The Portfolio had greater exposure than the Index to value stocks, as measured by book-to-market ratio. This emphasis on small cap and value, particularly in the U.S., was primarily responsible for the Portfolio's outperformance relative to the Index as small cap stocks and value stocks generally outperformed large and mid cap stocks and growth stocks, respectively, during the period. The Underlying Funds' exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs generally underperformed during the period. The Portfolio had greater exposure than the Index to emerging markets, which detracted from the Portfolio's relative performance as emerging markets generally underperformed during the period. The Portfolio's currency hedging in Japanese yen also contributed to the Portfolio's outperformance relative to the Index during the period. 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. As of October 31, 2013, the Master Fund held approximately 1,000 securities across 21 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 6.58% for the Portfolio and 6.53% 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 country weights between the Master Fund and the Index contributed to relative performance differences. In addition, differences in holdings within the financial sector contributed to the Master Fund's outperformance relative to the Index. 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. As of October 31, 2013, the Master Fund held approximately 3,100 securities across 17 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 8.92% for the Portfolio and 6.53% 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 large cap and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks over the period. The Master Fund's significantly greater exposure to small cap stocks was primarily responsible for the Portfolio's outperformance relative to the Index. EMERGING MARKETS VALUE PORTFOLIO The Emerging Markets Value Portfolio seeks to capture the returns of value stocks of large and small companies in selected emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, 29 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. As of October 31, 2013, the Master Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 7.75% for the Portfolio's Class R2 shares, 8.01% for the Portfolio's Institutional Class shares, and 6.53% for the MSCI Emerging Markets Index (net dividends). As a result of the Master 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 Master Fund invests in stocks across all size categories while the Index primarily holds large and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks during the period. The Master Fund's greater exposure to small cap stocks value was primarily responsible for the Portfolio's outperformance relative to the Index. The Master Fund's greater exposure to value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. 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. As of October 31, 2013, the Portfolio held approximately 3,900 securities across 21 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 7.75% for the Portfolio and 6.53% 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 and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks during the period. The Portfolio's greater exposure to small cap stocks was primarily responsible for the Portfolio's outperformance relative to the Index. The Portfolio's greater exposure to value stocks, as measured by book-to-market, also contributed to the Portfolio's relative performance as these stocks generally outperformed the Index. 30 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, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- ENHANCED U.S. LARGE COMPANY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,110.50 0.24% $1.28 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.00 0.24% $1.22 U.S. LARGE CAP EQUITY PORTFOLIO+ -------------------------------- Actual Fund Return Institutional Class Shares........... $1,000.00 $1,110.10 0.19% $0.70 Hypothetical 5% Annual Return Institutional Class Shares........... $1,000.00 $1,024.25 0.19% $0.97
31 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE CAP VALUE PORTFOLIO** -------------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,144.80 0.27% $1.46 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.84 0.27% $1.38 U.S. TARGETED VALUE PORTFOLIO ----------------------------- Actual Fund Return Class R1 Shares................. $1,000.00 $1,182.90 0.46% $2.53 Class R2 Shares................. $1,000.00 $1,181.40 0.62% $3.41 Institutional Class Shares...... $1,000.00 $1,182.60 0.37% $2.04 Hypothetical 5% Annual Return Class R1 Shares................. $1,000.00 $1,022.89 0.46% $2.35 Class R2 Shares................. $1,000.00 $1,022.08 0.62% $3.16 Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89 U.S. SMALL CAP VALUE PORTFOLIO ------------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,172.70 0.52% $2.85 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,022.58 0.52% $2.65 U.S. CORE EQUITY 1 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,139.70 0.19% $1.02 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.25 0.19% $0.97 U.S. CORE EQUITY 2 PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,146.40 0.22% $1.19 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,024.10 0.22% $1.12 U.S. VECTOR EQUITY PORTFOLIO ---------------------------- Actual Fund Return Institutional Class Shares...... $1,000.00 $1,164.10 0.32% $1.75 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.59 0.32% $1.63 U.S. SMALL CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares...... $1,000.00 $1,193.10 0.37% $2.05 Hypothetical 5% Annual Return Institutional Class Shares...... $1,000.00 $1,023.34 0.37% $1.89
32 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- U.S. MICRO CAP PORTFOLIO ------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,213.50 0.52% $2.90 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.58 0.52% $2.65 DFA REAL ESTATE SECURITIES PORTFOLIO ------------------------------------ Actual Fund Return Institutional Class Shares.............. $1,000.00 $ 929.70 0.18% $0.88 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,024.30 0.18% $0.92 LARGE CAP INTERNATIONAL PORTFOLIO --------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,086.20 0.28% $1.47 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.79 0.28% $1.43 INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,109.20 0.38% $2.02 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,023.29 0.38% $1.94 INTERNATIONAL SMALL COMPANY PORTFOLIO*** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,132.40 0.53% $2.85 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.53 0.53% $2.70 JAPANESE SMALL COMPANY PORTFOLIO** ---------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,033.70 0.54% $2.77 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.48 0.54% $2.75 ASIA PACIFIC SMALL COMPANY PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,000.40 0.55% $2.77 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.43 0.55% $2.80 UNITED KINGDOM SMALL COMPANY PORTFOLIO** ---------------------------------------- Actual Fund Return Institutional Class Shares.............. $1,000.00 $1,190.40 0.59% $3.26 Hypothetical 5% Annual Return Institutional Class Shares.............. $1,000.00 $1,022.23 0.59% $3.01
33 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- CONTINENTAL SMALL COMPANY PORTFOLIO** ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,230.40 0.57% $3.20 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.33 0.57% $2.91 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO -------------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 946.50 0.39% $1.91 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.24 0.39% $1.99 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO*** ---------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $ 936.50 0.32% $1.56 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,023.59 0.32% $1.63 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ------------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,152.70 0.67% $3.64 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.83 0.67% $3.41 INTERNATIONAL VECTOR EQUITY PORTFOLIO ------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,117.00 0.51% $2.72 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.63 0.51% $2.60 WORLD EX U.S. VALUE PORTFOLIO*** -------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,094.70 0.60% $3.17 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.18 0.60% $3.06 WORLD EX U.S. TARGETED VALUE PORTFOLIO*** ----------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,098.80 0.79% $4.18 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,021.22 0.79% $4.02 WORLD EX U.S. CORE EQUITY PORTFOLIO*** -------------------------------------- Actual Fund Return Institutional Class Shares........................ $1,000.00 $1,078.90 0.47% $2.46 Hypothetical 5% Annual Return Institutional Class Shares........................ $1,000.00 $1,022.84 0.47% $2.40
34 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*** --------------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,100.10 0.40% $2.12 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,023.19 0.40% $2.04 EMERGING MARKETS PORTFOLIO** ---------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $1,005.10 0.55% $2.78 Hypothetical 5% Annual Return Institutional Class Shares................... $1,000.00 $1,022.43 0.55% $2.80 EMERGING MARKETS SMALL CAP PORTFOLIO** -------------------------------------- Actual Fund Return Institutional Class Shares................. $1,000.00 $ 965.50 0.71% $3.52 Hypothetical 5% Annual Return Institutional Class Shares................. $1,000.00 $1,021.63 0.71% $3.62 EMERGING MARKETS VALUE PORTFOLIO** ---------------------------------- Actual Fund Return Class R2 Shares.............................. $1,000.00 $ 995.20 0.79% $3.97 Institutional Class Shares................... $1,000.00 $ 996.40 0.54% $2.72 Hypothetical 5% Annual Return Class R2 Shares.............................. $1,000.00 $1,021.22 0.79% $4.02 Institutional Class Shares................... $1,000.00 $1,022.48 0.54% $2.75 EMERGING MARKETS CORE EQUITY PORTFOLIO -------------------------------------- Actual Fund Return Institutional Class Shares................... $1,000.00 $ 996.20 0.61% $3.07 Hypothetical 5% Annual Return Institutional Class Shares................. $1,000.00 $1,022.13 0.61% $3.11
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. **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). + U.S. Large Cap Equity Portfolio commenced operations on June 25, 2013. 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 (129), then divided by the number of days in the year (365) to reflect the period. The "Ending Account Value" is derived from the fund's share class actual return since inception. The "Hypothetical 5% Annual Return" information reflects the 184 day period for the six months ended October 31, 2013 to allow for comparability. 35 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 27, 2013. 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. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 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 their Disclosures 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 Affiliated Investment Companies' 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%
36 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED 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% World ex U.S. Targeted Value Portfolio...... 100.0% World ex U.S. Core Equity Portfolio......... 100.0% Selectively Hedged Global Equity Portfolio.. 100.0%
ENHANCED DOMESTIC EQUITY PORTFOLIO ENHANCED U.S LARGE COMPANY PORTFOLIO Corporate.................................... 25.9% Government................................... 40.9% Foreign Corporate............................ 15.0% Foreign Government........................... 14.7% Supranational................................ 3.5% ----- 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. LARGE CAP EQUITY PORTFOLO Consumer Discretionary....................... 14.3% Consumer Staples............................. 9.2% Energy....................................... 10.9% Financials................................... 13.7% Health Care.................................. 11.9% Industrials.................................. 12.9% Information Technology....................... 17.8% Materials.................................... 4.4% Telecommunication Services................... 2.5% Utilities.................................... 2.4% ----- 100.0%
U.S. TARGETED VALUE PORTFOLIO Consumer Discretionary....................... 13.7% Consumer Staples............................. 3.4% Energy....................................... 10.6% Financials................................... 25.7% Health Care.................................. 6.4% Industrials.................................. 15.8% Information Technology....................... 14.8% Materials.................................... 7.5% Other........................................ -- Real Estate Investment Trusts................ 0.2% Telecommunication Services................... 1.4% Utilities.................................... 0.5% ----- 100.0%
U.S. SMALL CAP VALUE PORTFOLIO Consumer Discretionary....................... 16.1% Consumer Staples............................. 3.9% Energy....................................... 10.5% Financials................................... 27.0% Health Care.................................. 4.3% Industrials.................................. 17.3% Information Technology....................... 13.9% Materials.................................... 6.3% Other........................................ -- Real Estate Investment Trusts................ 0.2% Telecommunication Services................... 0.4% Utilities.................................... 0.1% ----- 100.0%
U.S. CORE EQUITY 1 PORTFOLIO Consumer Discretionary....................... 14.6% Consumer Staples............................. 7.3% Energy....................................... 10.4% Financials................................... 17.3% Health Care.................................. 11.2% Industrials.................................. 13.2% Information Technology....................... 16.3% Materials.................................... 4.7% Other........................................ -- Telecommunication Services................... 2.0% Utilities.................................... 3.0% ----- 100.0%
U.S. CORE EQUITY 2 PORTFOLIO Consumer Discretionary....................... 14.2% Consumer Staples............................. 6.1% Energy....................................... 11.6% Financials................................... 20.2% Health Care.................................. 10.7% Industrials.................................. 13.7% Information Technology....................... 14.0% Materials.................................... 4.9% Other........................................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.1% ----- 100.0%
U.S. VECTOR EQUITY PORTFOLIO Consumer Discretionary....................... 15.0% Consumer Staples............................. 5.1% Energy....................................... 11.5% Financials................................... 24.5% Health Care.................................. 8.2% Industrials.................................. 13.9% Information Technology....................... 12.7% Materials.................................... 6.0% Other........................................ -- Telecommunication Services................... 1.9% Utilities.................................... 1.2% ----- 100.0%
37 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED U.S. SMALL CAP PORTFOLIO Consumer Discretionary....................... 18.8% Consumer Staples............................. 4.4% Energy....................................... 5.2% Financials................................... 16.8% Health Care.................................. 9.6% Industrials.................................. 18.2% Information Technology....................... 18.0% Materials.................................... 5.1% Other........................................ -- Real Estate Investment Trusts................ 0.2% Telecommunication Services................... 0.6% Utilities.................................... 3.1% ----- 100.0%
U.S. MICRO CAP PORTFOLIO Consumer Discretionary....................... 19.3% Consumer Staples............................. 4.3% Energy....................................... 5.2% Financials................................... 17.5% Health Care.................................. 9.4% Industrials.................................. 17.8% Information Technology....................... 17.8% Materials.................................... 6.0% Other........................................ -- Telecommunication Services................... 1.1% Utilities.................................... 1.6% ----- 100.0%
DFA REAL ESTATE SECURITIES PORTFOLIO Real Estate Investment Trusts................ 100.0% ----- 100.0%
LARGE CAP INTERNATIONAL PORTFOLIO Consumer Discretionary....................... 11.6% Consumer Staples............................. 10.3% Energy....................................... 8.8% Financials................................... 25.8% Health Care.................................. 9.2% Industrials.................................. 12.6% Information Technology....................... 4.2% Materials.................................... 9.1% Other........................................ -- Telecommunication Services................... 5.2% Utilities.................................... 3.2% ----- 100.0%
INTERNATIONAL CORE EQUITY PORTFOLIO Consumer Discretionary....................... 13.7% Consumer Staples............................. 6.6% Energy....................................... 8.7% Financials................................... 26.6% Health Care.................................. 5.3% Industrials.................................. 16.9% Information Technology....................... 5.5% Materials.................................... 10.6% Other........................................ -- Telecommunication Services................... 3.2% Utilities.................................... 2.9% ----- 100.0%
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO Consumer Discretionary....................... 0.1% Financials................................... 0.5% Health Care.................................. -- Other........................................ -- Real Estate Investment Trusts................ 99.4% ----- 100.0%
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Consumer Discretionary....................... 20.6% Consumer Staples............................. 3.6% Energy....................................... 4.7% Financials................................... 19.8% Health Care.................................. 2.0% Industrials.................................. 27.9% Information Technology....................... 4.9% Materials.................................... 15.9% Other........................................ -- Telecommunication Services................... 0.3% Utilities.................................... 0.3% ----- 100.0%
INTERNATIONAL VECTOR EQUITY PORTFOLIO Consumer Discretionary....................... 14.6% Consumer Staples............................. 5.8% Energy....................................... 8.0% Financials................................... 25.5% Health Care.................................. 4.3% Industrials.................................. 19.1% Information Technology....................... 6.1% Materials.................................... 12.2% Other........................................ -- Telecommunication Services................... 2.3% Utilities.................................... 2.1% ----- 100.0%
EMERGING MARKETS CORE EQUITY PORTFOLIO Consumer Discretionary....................... 10.7% Consumer Staples............................. 7.5% Energy....................................... 9.8% Financials................................... 25.0% Health Care.................................. 2.5% Industrials.................................. 10.8% Information Technology....................... 13.4% Materials.................................... 12.4% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 4.2% Utilities.................................... 3.6% ----- 100.0%
38 ENHANCED U.S. LARGE COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
FACE AMOUNT^ VALUE+ ------- ------ (000) BONDS -- (55.2%) AUSTRALIA -- (4.3%) Commonwealth Bank of Australia ^^ 3.500%, 03/19/15............................. 4,000 $ 4,158,428 Westpac Banking Corp. ^^ 1.125%, 09/25/15............................. 4,930 4,979,975 ------------ TOTAL AUSTRALIA.................................. 9,138,403 ------------ BELGIUM -- (1.2%) Belgium Government International Bond ^^ 2.750%, 03/05/15............................. 2,500 2,573,925 ------------ CANADA -- (8.9%) Bank of Nova Scotia ^^ 1.850%, 01/12/15............................. 5,000 5,081,080 Enbridge, Inc. ^^ 5.800%, 06/15/14............................. 1,100 1,131,541 Manitoba, Province of Canada ^^ 2.625%, 07/15/15............................. 4,500 4,666,410 Ontario, Province of Canada ^^ 0.950%, 05/26/15............................. 4,500 4,537,935 Thomson Reuters Corp. ^^ 5.700%, 10/01/14............................. 800 837,010 TransAlta Corp. ^^ 4.750%, 01/15/15............................. 925 963,619 TransCanada PipeLines, Ltd. ^^ 3.400%, 06/01/15............................. 1,500 1,565,930 ------------ TOTAL CANADA..................................... 18,783,525 ------------ FRANCE -- (2.0%) BNP Paribas SA ^^ 3.250%, 03/11/15............................. 1,500 1,550,738 Orange SA ^^ 4.375%, 07/08/14............................. 1,000 1,023,692 Total Capital SA ^^ 3.125%, 10/02/15............................. 1,587 1,663,003 ------------ TOTAL FRANCE..................................... 4,237,433 ------------ NETHERLANDS -- (6.7%) Bank Nederlandse Gemeenten ^^ 3.125%, 01/12/15............................. 1,500 1,548,684 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA ^^ 2.500%, 12/12/13............................. 2,000 2,004,134 ^^ 2.125%, 10/13/15............................. 2,532 2,599,521 Nederlandse Waterschapsbank NV ^^ 3.000%, 03/17/15............................. 2,900 3,003,599 Netherlands Government Bond ^^ 0.250%, 09/12/15............................. 5,000 4,987,070 ------------ TOTAL NETHERLANDS................................ 14,143,008 ------------
FACE AMOUNT^ VALUE+ ------- ------ (000) NEW ZEALAND -- (2.4%) New Zealand Government Bond ^^ 6.000%, 04/15/15............................. NZD 6,000 $ 5,161,871 ------------ SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (3.5%) Inter-American Development Bank ^^ 2.250%, 07/15/15............................. 2,500 2,580,848 International Finance Facility for Immunisation ^^ 3.375%, 05/15/14............................. GBP 3,000 4,873,596 ------------ TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 7,454,444 ------------ SWEDEN -- (2.1%) Svensk Exportkredit AB ^^ 0.625%, 09/04/15............................. 4,500 4,515,255 ------------ UNITED KINGDOM -- (2.0%) Barclays Bank P.L.C. ^^ 5.200%, 07/10/14............................. 300 309,725 BP Capital Markets P.L.C. ^^ 3.875%, 03/10/15............................. 1,500 1,566,489 Royal Bank of Scotland Group P.L.C. ^^ 2.550%, 09/18/15............................. 700 716,926 Vodafone Group P.L.C. ^^ 5.000%, 12/16/13............................. 1,000 1,005,330 ^^ 4.150%, 06/10/14............................. 500 510,728 ------------ TOTAL UNITED KINGDOM............................. 4,109,198 ------------ UNITED STATES -- (22.1%) American Express Co. ^^ 7.250%, 05/20/14............................. $ 1,100 1,140,621 American International Group, Inc. ^^ 3.000%, 03/20/15............................. 1,500 1,543,209 Amgen, Inc. ^^ 4.850%, 11/18/14............................. 1,900 1,984,955 Anheuser-Busch InBev Worldwide, Inc. ^^ 0.800%, 07/15/15............................. 1,000 1,004,595 Assurant, Inc. ^^ 5.625%, 02/15/14............................. 1,000 1,013,837 AT&T, Inc. ^^ 2.500%, 08/15/15............................. 1,606 1,652,152 Bank of America Corp. ^^ 7.375%, 05/15/14............................. 1,000 1,035,292 Capital One Financial Corp. ^^ 2.125%, 07/15/14............................. 1,000 1,010,868 Citigroup, Inc. ^^ 6.375%, 08/12/14............................. 762 795,436
39 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) CNA Financial Corp. ^^ 5.850%, 12/15/14............................. 1,000 $ 1,053,937 Coca-Cola Enterprises, Inc. ^^ 1.125%, 11/12/13............................. 1,921 1,921,271 Constellation Energy Group, Inc. ^^ 4.550%, 06/15/15............................. 1,000 1,054,155 Daimler Finance North America LLC ^^ 6.500%, 11/15/13............................. 1,500 1,502,546 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. ^^ 4.750%, 10/01/14............................. 1,500 1,555,051 Enterprise Products Operating LLC ^^ 5.600%, 10/15/14............................. 500 523,424 Express Scripts Holding Co. ^^ 2.100%, 02/12/15............................. 1,000 1,015,780 Ford Motor Credit Co. LLC ^^ 2.750%, 05/15/15............................. 1,000 1,026,509 Freeport-McMoRan Copper & Gold, Inc. ^^ 1.400%, 02/13/15............................. 500 502,538 General Electric Capital Corp. ^^ 4.875%, 03/04/15............................. 1,200 1,268,087 Goldman Sachs Group, Inc. (The) ^^ 5.125%, 01/15/15............................. 894 939,233 Hartford Financial Services Group, Inc. ^^ 4.750%, 03/01/14............................. 1,580 1,599,780 HSBC USA, Inc. ^^ 2.375%, 02/13/15............................. 1,000 1,023,009 International Paper Co. ^^ 5.300%, 04/01/15............................. 1,050 1,112,894 JPMorgan Chase & Co. ^^ 2.050%, 01/24/14............................. 1,000 1,004,057 MetLife, Inc. ^^ 5.000%, 11/24/13............................. 350 350,882 Morgan Stanley ^^ 4.200%, 11/20/14............................. 1,500 1,554,595 National City Corp. ^^ 4.900%, 01/15/15............................. 1,500 1,576,506 NextEra Energy Capital Holdings, Inc. ^^ 1.200%, 06/01/15............................. 1,000 1,006,594 Safeway, Inc. ^^ 5.625%, 08/15/14............................. 1,500 1,542,330 Spectra Energy Capital LLC ^^ 5.500%, 03/01/14............................. 1,500 1,522,093 Time Warner Cable, Inc. ^^ 3.500%, 02/01/15............................. 1,000 1,028,576 Toyota Motor Credit Corp. ^^ 0.875%, 07/17/15............................. 2,000 2,014,134 Union Bank NA ^^ 2.125%, 12/16/13............................. 1,050 1,052,267 Viacom, Inc. ^^ 4.375%, 09/15/14............................. 1,500 1,547,665 WellPoint, Inc. ^^ 5.000%, 12/15/14............................. 1,572 1,647,264
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Wells Fargo & Co. ^^ 1.500%, 07/01/15............................. 1,500 $ 1,520,779 Williams Partners L.P. ^^ 3.800%, 02/15/15............................. 1,000 1,036,267 Xerox Corp. ^^ 4.250%, 02/15/15............................. 1,000 1,041,707 ------------ TOTAL UNITED STATES.............................. 46,724,895 ------------ TOTAL BONDS...................................... 116,841,957 ------------ AGENCY OBLIGATIONS -- (26.4%) Federal Home Loan Bank ^^ 0.375%, 08/28/15............................. 11,000 11,016,093 ^^ 1.750%, 09/11/15............................. 4,000 4,104,364 Federal Home Loan Mortgage Corporation ^^ 1.750%, 09/10/15............................. 23,500 24,104,866 Federal National Mortgage Association ^^ 4.375%, 10/15/15............................. 5,000 5,390,740 ^^ 1.625%, 10/26/15............................. 11,000 11,273,592 ------------ TOTAL AGENCY OBLIGATIONS......................... 55,889,655 ------------ U.S. TREASURY OBLIGATIONS -- (14.7%) U.S. Treasury Notes ^^ 1.250%, 08/31/15............................. 5,000 5,088,085 ^^ 0.250%, 09/15/15............................. 26,000 25,978,680 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................. 31,066,765 ------------ SHARES ------ - EXCHANGE-TRADED FUNDS -- (3.7%) UNITED STATES -- (3.7%) ^^ SPDR S&P 500 ETF Trust....................... 44,100 $ 7,749,693 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $207,572,600)............................ $211,548,070 ============
40 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------------ ------- ------------ Bonds Australia.............................. -- $ 9,138,403 -- $ 9,138,403 Belgium................................ -- 2,573,925 -- 2,573,925 Canada................................. -- 18,783,525 -- 18,783,525 France................................. -- 4,237,433 -- 4,237,433 Netherlands............................ -- 14,143,008 -- 14,143,008 New Zealand............................ -- 5,161,871 -- 5,161,871 Supranational Organization Obligations. -- 7,454,444 -- 7,454,444 Sweden................................. -- 4,515,255 -- 4,515,255 United Kingdom......................... -- 4,109,198 -- 4,109,198 United States.......................... -- 46,724,895 -- 46,724,895 Agency Obligations....................... -- 55,889,655 -- 55,889,655 U.S. Treasury Obligations................ -- 31,066,765 -- 31,066,765 Exchange-Traded Funds.................... $ 7,749,693 -- -- 7,749,693 Forward Currency Contracts**............. -- (217,267) -- (217,267) Futures Contracts**...................... 7,914,250 -- -- 7,914,250 ----------- ------------ -- ------------ TOTAL.................................... $15,663,943 $203,581,110 -- $219,245,053 =========== ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 41 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (78.8%) Consumer Discretionary -- (11.3%) #* Amazon.com, Inc................... 2,368 $ 862,023 0.6% # Comcast Corp. Class A............. 12,656 602,172 0.4% # Ford Motor Co..................... 29,889 511,401 0.4% Home Depot, Inc. (The)............ 10,741 836,616 0.6% McDonald's Corp................... 6,834 659,618 0.5% # Walt Disney Co. (The)............. 11,484 787,688 0.6% Other Securities.................. 14,923,649 11.1% ------------ ----- Total Consumer Discretionary.......... 19,183,167 14.2% ------------ ----- Consumer Staples -- (7.2%) Altria Group, Inc................. 15,353 571,592 0.4% Coca-Cola Co. (The)............... 24,123 954,547 0.7% CVS Caremark Corp................. 8,794 547,514 0.4% PepsiCo, Inc...................... 11,559 971,996 0.7% Philip Morris International, Inc.. 7,357 655,656 0.5% Procter & Gamble Co. (The)........ 16,427 1,326,480 1.0% Wal-Mart Stores, Inc.............. 14,077 1,080,410 0.8% Other Securities.................. 6,156,227 4.5% ------------ ----- Total Consumer Staples................ 12,264,422 9.0% ------------ ----- Energy -- (8.6%) Chevron Corp...................... 15,399 1,847,264 1.4% # ConocoPhillips.................... 9,824 720,099 0.5% Exxon Mobil Corp.................. 33,948 3,042,420 2.2% Occidental Petroleum Corp......... 6,368 611,837 0.4% Schlumberger, Ltd................. 9,413 882,186 0.6% Other Securities.................. 7,529,797 5.7% ------------ ----- Total Energy.......................... 14,633,603 10.8% ------------ ----- Financials -- (10.8%) Bank of America Corp.............. 60,004 837,656 0.6% * Berkshire Hathaway, Inc. Class B.. 7,001 805,675 0.6% Citigroup, Inc.................... 17,040 831,211 0.6% Goldman Sachs Group, Inc. (The)... 3,171 510,087 0.4% JPMorgan Chase & Co............... 21,278 1,096,668 0.8% Wells Fargo & Co.................. 35,385 1,510,586 1.1% Other Securities.................. 12,832,461 9.5% ------------ ----- Total Financials...................... 18,424,344 13.6% ------------ ----- Health Care -- (9.4%) AbbVie, Inc....................... 11,687 566,235 0.4% Amgen, Inc........................ 4,379 507,964 0.4% #* Gilead Sciences, Inc.............. 10,529 747,454 0.6% Johnson & Johnson................. 17,936 1,661,053 1.2% Merck & Co., Inc.................. 16,010 721,891 0.5% Pfizer, Inc....................... 42,830 1,314,024 1.0% UnitedHealth Group, Inc........... 8,727 595,705 0.4% Other Securities.................. 9,891,997 7.3% ------------ ----- Total Health Care..................... 16,006,323 11.8% ------------ -----
42 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (10.1%) 3M Co.............................................. 5,226 $ 657,692 0.5% # Boeing Co. (The)................................... 5,477 714,749 0.5% # Caterpillar, Inc................................... 6,084 507,162 0.4% General Electric Co................................ 60,931 1,592,736 1.2% Union Pacific Corp................................. 3,705 560,937 0.4% # United Parcel Service, Inc. Class B................ 5,411 531,577 0.4% United Technologies Corp........................... 5,829 619,331 0.5% Other Securities................................... 12,050,736 8.8% ------------ ------ Total Industrials........................................ 17,234,920 12.7% ------------ ------ Information Technology -- (14.1%) Apple, Inc......................................... 7,301 3,813,677 2.8% Cisco Systems, Inc................................. 37,573 845,392 0.6% * Google, Inc. Class A............................... 1,196 1,232,574 0.9% # Intel Corp......................................... 49,134 1,200,344 0.9% International Business Machines Corp............... 5,277 945,691 0.7% Mastercard, Inc. Class A........................... 840 602,364 0.5% Microsoft Corp..................................... 58,934 2,083,317 1.5% Oracle Corp........................................ 22,445 751,907 0.6% QUALCOMM, Inc...................................... 10,063 699,077 0.5% # Visa, Inc. Class A................................. 2,928 575,850 0.4% Other Securities................................... 11,166,673 8.3% ------------ ------ Total Information Technology............................. 23,916,866 17.7% ------------ ------ Materials -- (3.5%) Other Securities................................... 5,926,778 4.4% ------------ ------ Telecommunication Services -- (2.0%) AT&T, Inc.......................................... 28,648 1,037,057 0.8% Verizon Communications, Inc........................ 29,531 1,491,611 1.1% Other Securities................................... 803,507 0.6% ------------ ------ Total Telecommunication Services......................... 3,332,175 2.5% ------------ ------ Utilities -- (1.8%) Other Securities................................... 3,161,345 2.3% ------------ ------ TOTAL COMMON STOCKS...................................... 134,083,943 99.0% ------------ ------ TEMPORARY CASH INVESTMENTS -- (1.3%) State Street Institutional Liquid Reserves, 0.073% 2,237,177 2,237,177 1.7% ------------ ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (19.9%) (S)@ DFA Short Term Investment Fund..................... 2,917,225 33,752,290 24.9% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $159,513,609).................................. $170,073,410 125.6% ============ ======
43 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ----------- ------- ------------ Common Stocks Consumer Discretionary...... $ 19,183,167 -- -- $ 19,183,167 Consumer Staples............ 12,264,422 -- -- 12,264,422 Energy...................... 14,633,603 -- -- 14,633,603 Financials.................. 18,424,344 -- -- 18,424,344 Health Care................. 16,006,323 -- -- 16,006,323 Industrials................. 17,234,920 -- -- 17,234,920 Information Technology...... 23,916,866 -- -- 23,916,866 Materials................... 5,926,778 -- -- 5,926,778 Telecommunication Services.. 3,332,175 -- -- 3,332,175 Utilities................... 3,161,345 -- -- 3,161,345 Temporary Cash Investments.... 2,237,177 -- -- 2,237,177 Securities Lending Collateral. -- $33,752,290 -- 33,752,290 ------------ ----------- -- ------------ TOTAL......................... $136,321,120 $33,752,290 -- $170,073,410 ============ =========== == ============
See accompanying Notes to Financial Statements. 44 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
VALUE+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company..................... $11,967,119,572 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $7,741,066,829)............................. $11,967,119,572 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 45 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (86.6%) Consumer Discretionary -- (11.9%) #* Cabela's, Inc.......................... 289,665 $ 17,182,928 0.4% Dillard's, Inc. Class A................ 211,147 17,309,831 0.4% # GameStop Corp. Class A................. 635,798 34,854,446 0.8% * Live Nation Entertainment, Inc......... 924,308 17,968,548 0.4% # Washington Post Co. (The) Class B...... 30,743 19,777,587 0.5% # Wendy's Co. (The)...................... 2,246,594 19,522,902 0.5% Other Securities....................... 446,579,792 10.6% -------------- ------ Total Consumer Discretionary............... 573,196,034 13.6% -------------- ------ Consumer Staples -- (2.9%) * Hain Celestial Group, Inc. (The)....... 189,025 15,732,551 0.4% Other Securities....................... 125,648,756 3.0% -------------- ------ Total Consumer Staples..................... 141,381,307 3.4% -------------- ------ Energy -- (9.2%) Nabors Industries, Ltd................. 991,502 17,331,455 0.4% # Patterson-UTI Energy, Inc.............. 696,309 16,892,456 0.4% * Rowan Cos. P.L.C. Class A.............. 671,277 24,219,674 0.6% * Superior Energy Services, Inc.......... 633,713 17,002,520 0.4% Tesoro Corp............................ 476,686 23,305,179 0.6% Tidewater, Inc......................... 297,291 17,902,864 0.4% * Whiting Petroleum Corp................. 384,511 25,719,941 0.6% Other Securities....................... 299,773,020 7.1% -------------- ------ Total Energy............................... 442,147,109 10.5% -------------- ------ Financials -- (22.3%) Allied World Assurance Co. Holdings AG. 169,770 18,384,393 0.4% * American Capital, Ltd.................. 1,522,751 21,333,742 0.5% American Financial Group, Inc.......... 459,734 25,864,635 0.6% Assurant, Inc.......................... 471,974 27,601,040 0.7% # Assured Guaranty, Ltd.................. 768,259 15,749,309 0.4% Axis Capital Holdings, Ltd............. 593,046 28,122,241 0.7% CNO Financial Group, Inc............... 1,174,038 18,291,512 0.4% #* E*TRADE Financial Corp................. 1,092,091 18,467,259 0.4% * Genworth Financial, Inc. Class A....... 2,131,699 30,973,586 0.7% # Legg Mason, Inc........................ 731,595 28,144,460 0.7% NASDAQ OMX Group, Inc. (The)........... 858,799 30,427,249 0.7% Old Republic International Corp........ 1,179,426 19,802,563 0.5% PartnerRe, Ltd......................... 321,083 32,175,727 0.8% # People's United Financial, Inc......... 1,477,976 21,327,194 0.5% Protective Life Corp................... 420,743 19,387,837 0.5% Reinsurance Group of America, Inc...... 387,086 27,552,781 0.7% Validus Holdings, Ltd.................. 382,593 15,104,772 0.4% Zions BanCorp.......................... 790,545 22,427,762 0.5% Other Securities....................... 653,986,823 15.4% -------------- ------ Total Financials........................... 1,075,124,885 25.5% -------------- ------ Health Care -- (5.5%) Community Health Systems, Inc.......... 490,559 21,403,089 0.5% Omnicare, Inc.......................... 597,354 32,944,073 0.8% Other Securities....................... 211,790,254 5.0% -------------- ------ Total Health Care.......................... 266,137,416 6.3% -------------- ------
46 U.S. TARGETED VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (13.6%) AMERCO............................................. 84,246 $ 17,011,795 0.4% * Avis Budget Group, Inc............................. 665,365 20,845,885 0.5% * Owens Corning...................................... 624,093 22,423,661 0.5% Ryder System, Inc.................................. 309,611 20,381,692 0.5% # Trinity Industries, Inc............................ 485,295 24,570,486 0.6% URS Corp........................................... 366,165 19,853,466 0.5% Other Securities................................... 534,006,806 12.6% -------------- ------ Total Industrials........................................ 659,093,791 15.6% -------------- ------ Information Technology -- (12.8%) # AOL, Inc........................................... 416,163 15,081,747 0.4% * Arrow Electronics, Inc............................. 462,647 22,216,309 0.5% Avnet, Inc......................................... 602,535 23,920,640 0.6% #* First Solar, Inc................................... 629,345 31,637,173 0.8% * Ingram Micro, Inc. Class A......................... 737,900 17,097,143 0.4% Marvell Technology Group, Ltd...................... 1,425,540 17,106,480 0.4% Other Securities................................... 489,704,916 11.5% -------------- ------ Total Information Technology............................. 616,764,408 14.6% -------------- ------ Materials -- (6.5%) Reliance Steel & Aluminum Co....................... 404,807 29,668,305 0.7% Rock Tenn Co. Class A.............................. 178,696 19,122,259 0.5% Steel Dynamics, Inc................................ 904,475 16,253,416 0.4% Other Securities................................... 248,841,823 5.8% -------------- ------ Total Materials.......................................... 313,885,803 7.4% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Real Estate Investment Trusts -- (0.2%) Other Securities................................... 7,868,529 0.2% -------------- ------ Telecommunication Services -- (1.2%) Other Securities................................... 58,657,005 1.4% -------------- ------ Utilities -- (0.5%)...................................... # UGI Corp........................................... 424,799 17,573,935 0.4% Other Securities................................... 5,926,184 0.2% -------------- ------ Total Utilities.......................................... 23,500,119 0.6% -------------- ------ TOTAL COMMON STOCKS...................................... 4,177,756,406 99.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 25,593 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.073%. 25,534,847 25,534,847 0.6% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (12.9%) (S)@ DFA Short Term Investment Fund..................... 53,871,979 623,298,798 14.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,493,026,078)................................ $4,826,615,644 114.5% ============== ======
47 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 573,196,034 -- -- $ 573,196,034 Consumer Staples.............. 141,381,307 -- -- 141,381,307 Energy........................ 442,147,109 -- -- 442,147,109 Financials.................... 1,075,117,373 $ 7,512 -- 1,075,124,885 Health Care................... 265,990,921 146,495 -- 266,137,416 Industrials................... 658,984,691 109,100 -- 659,093,791 Information Technology........ 616,764,408 -- -- 616,764,408 Materials..................... 313,885,803 -- -- 313,885,803 Other......................... -- -- -- -- Real Estate Investment Trusts. 7,868,529 -- -- 7,868,529 Telecommunication Services.... 58,657,005 -- -- 58,657,005 Utilities..................... 23,500,119 -- -- 23,500,119 Rights/Warrants................. -- 25,593 -- 25,593 Temporary Cash Investments...... 25,534,847 -- -- 25,534,847 Securities Lending Collateral... -- 623,298,798 -- 623,298,798 -------------- ------------ -- -------------- TOTAL........................... $4,203,028,146 $623,587,498 -- $4,826,615,644 ============== ============ == ==============
See accompanying Notes to Financial Statements. 48 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (85.8%) Consumer Discretionary -- (13.8%) #* Cabela's, Inc........................... 730,898 $ 43,356,869 0.5% #* Iconix Brand Group, Inc................. 2,233,461 80,605,607 0.8% * Live Nation Entertainment, Inc.......... 2,980,399 57,938,957 0.6% Penske Automotive Group, Inc............ 1,250,616 49,549,406 0.5% # Rent-A-Center, Inc...................... 1,772,669 60,696,187 0.6% # Wendy's Co. (The)....................... 5,109,486 44,401,433 0.5% Other Securities........................ 1,183,785,818 12.4% -------------- ------ Total Consumer Discretionary................ 1,520,334,277 15.9% -------------- ------ Consumer Staples -- (3.3%) Fresh Del Monte Produce, Inc............ 1,603,629 42,640,495 0.5% Seaboard Corp........................... 18,588 50,745,240 0.5% # Universal Corp.......................... 830,795 44,057,059 0.5% Other Securities........................ 229,684,189 2.3% -------------- ------ Total Consumer Staples...................... 367,126,983 3.8% -------------- ------ Energy -- (9.1%) Bristow Group, Inc...................... 1,325,217 106,640,212 1.1% #* Exterran Holdings, Inc.................. 2,293,667 65,484,193 0.7% * Helix Energy Solutions Group, Inc....... 3,443,185 81,465,757 0.8% #* Hornbeck Offshore Services, Inc......... 1,311,935 72,510,647 0.8% #* PDC Energy, Inc......................... 643,218 43,616,613 0.5% # SEACOR Holdings, Inc.................... 510,108 49,888,562 0.5% Other Securities........................ 579,294,876 6.1% -------------- ------ Total Energy................................ 998,900,860 10.5% -------------- ------ Financials -- (23.2%) Argo Group International Holdings, Ltd.. 1,019,162 42,784,421 0.5% CapitalSource, Inc...................... 3,605,113 47,154,878 0.5% CNO Financial Group, Inc................ 8,581,021 133,692,307 1.4% # Endurance Specialty Holdings, Ltd....... 1,240,849 68,606,541 0.7% Hanover Insurance Group, Inc. (The)..... 955,408 55,929,584 0.6% Kemper Corp............................. 1,614,877 59,782,747 0.6% # MB Financial, Inc....................... 1,464,568 43,497,670 0.5% #* MBIA, Inc............................... 4,664,368 53,033,864 0.6% Montpelier Re Holdings, Ltd............. 2,155,898 59,524,344 0.6% #* PHH Corp................................ 1,999,053 48,077,225 0.5% Platinum Underwriters Holdings, Ltd..... 978,955 60,881,211 0.7% Provident Financial Services, Inc....... 2,294,791 43,004,383 0.5% # Radian Group, Inc....................... 2,978,199 43,392,359 0.5% Selective Insurance Group, Inc.......... 1,840,980 48,362,545 0.5% Susquehanna Bancshares, Inc............. 5,363,165 63,204,900 0.7% # Umpqua Holdings Corp.................... 4,077,772 66,753,128 0.7% Washington Federal, Inc................. 1,940,982 44,215,570 0.5% Webster Financial Corp.................. 2,225,867 62,079,431 0.7% # Wintrust Financial Corp................. 1,288,249 56,051,714 0.6% Other Securities........................ 1,461,735,985 15.0% -------------- ------ Total Financials............................ 2,561,764,807 26.9% -------------- ------ Health Care -- (3.7%) * LifePoint Hospitals, Inc................ 1,892,213 97,713,879 1.0% Other Securities........................ 308,580,478 3.3% -------------- ------ Total Health Care........................... 406,294,357 4.3% -------------- ------
49 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (14.8%) AMERCO............................................. 343,691 $ 69,401,524 0.7% #* Avis Budget Group, Inc............................. 3,927,269 123,041,338 1.3% * Esterline Technologies Corp........................ 1,145,345 91,810,855 1.0% # GATX Corp.......................................... 1,763,892 90,928,633 1.0% # General Cable Corp................................. 1,577,516 51,947,602 0.6% #* JetBlue Airways Corp............................... 10,286,881 72,933,986 0.8% #* Mobile Mini, Inc................................... 1,175,105 42,444,793 0.5% Other Securities................................... 1,095,470,224 11.3% --------------- ------ Total Industrials........................................ 1,637,978,955 17.2% --------------- ------ Information Technology -- (11.9%) * Benchmark Electronics, Inc......................... 2,299,623 52,270,431 0.6% #* CACI International, Inc. Class A................... 780,459 56,177,439 0.6% # Convergys Corp..................................... 3,909,664 77,176,767 0.8% #* SYNNEX Corp........................................ 1,175,733 72,072,433 0.8% * Tech Data Corp..................................... 836,389 43,542,411 0.5% #* Vishay Intertechnology, Inc........................ 4,709,603 57,786,829 0.6% Other Securities................................... 955,905,032 9.9% --------------- ------ Total Information Technology............................. 1,314,931,342 13.8% --------------- ------ Materials -- (5.4%) * Graphic Packaging Holding Co....................... 5,789,957 48,635,639 0.5% * Louisiana-Pacific Corp............................. 3,503,276 59,590,725 0.6% Other Securities................................... 491,791,727 5.2% --------------- ------ Total Materials.......................................... 600,018,091 6.3% --------------- ------ Other -- (0.0%) Other Securities................................... 85,260 0.0% --------------- ------ Real Estate Investment Trusts -- (0.2%) Other Securities................................... 19,418,367 0.2% --------------- ------ Telecommunication Services -- (0.3%) Other Securities................................... 35,414,331 0.4% --------------- ------ Utilities -- (0.1%) Other Securities................................... 7,908,495 0.1% --------------- ------ TOTAL COMMON STOCKS...................................... 9,470,176,125 99.4% --------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 222,356 0.0% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.073%. 58,723,771 58,723,771 0.6% --------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (13.7%) (S)@ DFA Short Term Investment Fund..................... 130,380,635 1,508,503,951 15.9% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $8,164,435,164)................................ $11,037,626,203 115.9% =============== ======
50 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ----------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- --------------- Common Stocks Consumer Discretionary........ $1,520,334,277 -- -- $ 1,520,334,277 Consumer Staples.............. 367,126,983 -- -- 367,126,983 Energy........................ 998,900,860 -- -- 998,900,860 Financials.................... 2,561,714,904 $ 49,903 -- 2,561,764,807 Health Care................... 405,421,123 873,234 -- 406,294,357 Industrials................... 1,637,355,218 623,737 -- 1,637,978,955 Information Technology........ 1,314,931,342 -- -- 1,314,931,342 Materials..................... 600,018,091 -- -- 600,018,091 Other......................... -- 85,260 -- 85,260 Real Estate Investment Trusts. 19,418,367 -- -- 19,418,367 Telecommunication Services.... 35,414,331 -- -- 35,414,331 Utilities..................... 7,908,495 -- -- 7,908,495 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 222,356 -- 222,356 Temporary Cash Investments...... 58,723,771 -- -- 58,723,771 Securities Lending Collateral... -- 1,508,503,951 -- 1,508,503,951 -------------- -------------- -- --------------- TOTAL........................... $9,527,267,762 $1,510,358,441 -- $11,037,626,203 ============== ============== == ===============
See accompanying Notes to Financial Statements. 51 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.8%) Consumer Discretionary -- (13.2%) * Amazon.com, Inc...................... 86,377 $ 31,443,819 0.4% Comcast Corp. Class A................ 725,325 34,510,963 0.5% Home Depot, Inc. (The)............... 350,095 27,268,900 0.4% McDonald's Corp...................... 237,696 22,942,418 0.3% Time Warner, Inc..................... 312,767 21,499,604 0.3% Walt Disney Co. (The)................ 447,208 30,673,997 0.4% Other Securities..................... 928,419,928 12.2% -------------- ------ Total Consumer Discretionary............. 1,096,759,629 14.5% -------------- ------ Consumer Staples -- (6.7%) Coca-Cola Co. (The).................. 932,501 36,899,065 0.5% CVS Caremark Corp.................... 419,936 26,145,215 0.4% Mondelez International, Inc. Class A. 575,836 19,371,123 0.3% PepsiCo, Inc......................... 378,786 31,852,115 0.4% Philip Morris International, Inc..... 379,444 33,816,049 0.5% Procter & Gamble Co. (The)........... 620,688 50,120,556 0.7% Wal-Mart Stores, Inc................. 421,387 32,341,452 0.4% Other Securities..................... 321,110,342 4.1% -------------- ------ Total Consumer Staples................... 551,655,917 7.3% -------------- ------ Energy -- (9.4%) Chevron Corp......................... 671,031 80,496,879 1.1% ConocoPhillips....................... 409,670 30,028,811 0.4% Exxon Mobil Corp..................... 1,499,029 134,342,979 1.8% Occidental Petroleum Corp............ 273,715 26,298,537 0.4% Schlumberger, Ltd.................... 299,627 28,081,042 0.4% Other Securities..................... 483,605,737 6.2% -------------- ------ Total Energy............................. 782,853,985 10.3% -------------- ------ Financials -- (15.7%) American Express Co.................. 241,143 19,725,497 0.3% American International Group, Inc.... 492,240 25,424,196 0.3% Bank of America Corp................. 3,834,941 53,535,776 0.7% * Berkshire Hathaway, Inc. Class B..... 406,267 46,753,206 0.6% Citigroup, Inc....................... 1,073,660 52,373,135 0.7% Goldman Sachs Group, Inc. (The)...... 152,527 24,535,493 0.3% JPMorgan Chase & Co.................. 1,350,398 69,599,513 0.9% U.S. Bancorp......................... 623,331 23,287,646 0.3% Wells Fargo & Co..................... 1,760,712 75,164,795 1.0% Other Securities..................... 915,425,567 12.1% -------------- ------ Total Financials......................... 1,305,824,824 17.2% -------------- ------ Health Care -- (10.2%) Amgen, Inc........................... 197,640 22,926,240 0.3% Bristol-Myers Squibb Co.............. 391,740 20,574,185 0.3% * Gilead Sciences, Inc................. 358,324 25,437,421 0.3% Johnson & Johnson.................... 710,094 65,761,805 0.9% Merck & Co., Inc..................... 801,185 36,125,432 0.5% Pfizer, Inc.......................... 2,220,281 68,118,221 0.9% UnitedHealth Group, Inc.............. 344,956 23,546,697 0.3% Other Securities..................... 583,322,666 7.7% -------------- ------ Total Health Care........................ 845,812,667 11.2% -------------- ------
52 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (12.0%) 3M Co.............................................. 157,069 $ 19,767,134 0.3% Boeing Co. (The)................................... 168,655 22,009,477 0.3% General Electric Co................................ 3,541,296 92,569,477 1.2% Union Pacific Corp................................. 158,185 23,949,209 0.3% United Technologies Corp........................... 215,910 22,940,437 0.3% Other Securities................................... 816,458,383 10.8% -------------- ------ Total Industrials........................................ 997,694,117 13.2% -------------- ------ Information Technology -- (14.8%) Apple, Inc......................................... 195,508 102,123,604 1.4% Cisco Systems, Inc................................. 1,871,862 42,116,895 0.6% * Google, Inc. Class A............................... 65,230 67,224,733 0.9% Intel Corp......................................... 1,702,035 41,580,715 0.6% International Business Machines Corp............... 236,758 42,429,401 0.6% Microsoft Corp..................................... 1,967,669 69,557,099 0.9% Oracle Corp........................................ 843,387 28,253,464 0.4% QUALCOMM, Inc...................................... 373,897 25,974,625 0.4% Visa, Inc. Class A................................. 127,752 25,124,986 0.3% Other Securities................................... 780,908,300 10.1% -------------- ------ Total Information Technology............................. 1,225,293,822 16.2% -------------- ------ Materials -- (4.3%) Other Securities................................... 354,429,733 4.7% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (1.8%) AT&T, Inc.......................................... 1,762,656 63,808,147 0.8% Verizon Communications, Inc........................ 743,452 37,551,761 0.5% Other Securities................................... 49,643,037 0.7% -------------- ------ Total Telecommunication Services......................... 151,002,945 2.0% -------------- ------ Utilities -- (2.7%) Other Securities................................... 225,005,109 3.0% -------------- ------ TOTAL COMMON STOCKS...................................... 7,536,332,748 99.6% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 159,054 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.073%. 31,598,604 31,598,604 0.4% -------------- ------ SHARES/ FACE AMOUNT ------- (000) SECURITIES LENDING COLLATERAL -- (8.8%) (S)@ DFA Short Term Investment Fund..................... 63,360,287 $ 733,078,518 9.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $6,002,014,885)................................ $8,301,168,924 109.7% ============== ======
53 U.S. CORE EQUITY 1 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $1,096,759,629 -- -- $1,096,759,629 Consumer Staples............ 551,655,917 -- -- 551,655,917 Energy...................... 782,853,985 -- -- 782,853,985 Financials.................. 1,305,823,024 $ 1,800 -- 1,305,824,824 Health Care................. 845,796,644 16,023 -- 845,812,667 Industrials................. 997,677,317 16,800 -- 997,694,117 Information Technology...... 1,225,293,822 -- -- 1,225,293,822 Materials................... 354,429,733 -- -- 354,429,733 Other....................... -- -- -- -- Telecommunication Services.. 151,002,945 -- -- 151,002,945 Utilities................... 225,005,109 -- -- 225,005,109 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 159,054 -- 159,054 Temporary Cash Investments.... 31,598,604 -- -- 31,598,604 Securities Lending Collateral. -- 733,078,518 -- 733,078,518 -------------- ------------ -- -------------- TOTAL......................... $7,567,896,729 $733,272,195 -- $8,301,168,924 ============== ============ == ==============
See accompanying Notes to Financial Statements. 54 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.1%) Consumer Discretionary -- (12.8%) Comcast Corp. Class A.................. 1,101,420 $ 52,405,564 0.5% Time Warner, Inc....................... 517,336 35,561,677 0.4% Twenty-First Century Fox, Inc. Class A. 846,333 28,843,029 0.3% Walt Disney Co. (The).................. 830,524 56,965,641 0.6% Other Securities....................... 1,241,097,856 12.4% -------------- ------ Total Consumer Discretionary............... 1,414,873,767 14.2% -------------- ------ Consumer Staples -- (5.4%) CVS Caremark Corp...................... 672,828 41,890,271 0.4% Mondelez International, Inc. Class A... 920,693 30,972,113 0.3% Procter & Gamble Co. (The)............. 646,219 52,182,184 0.5% Wal-Mart Stores, Inc................... 387,774 29,761,655 0.3% Walgreen Co............................ 475,167 28,148,893 0.3% Other Securities....................... 420,011,991 4.3% -------------- ------ Total Consumer Staples..................... 602,967,107 6.1% -------------- ------ Energy -- (10.5%) Anadarko Petroleum Corp................ 289,878 27,622,475 0.3% Chevron Corp........................... 1,090,432 130,808,223 1.3% ConocoPhillips......................... 648,630 47,544,579 0.5% EOG Resources, Inc..................... 150,872 26,915,565 0.3% Exxon Mobil Corp....................... 2,490,947 223,238,670 2.2% Occidental Petroleum Corp.............. 454,609 43,678,833 0.4% Schlumberger, Ltd...................... 239,817 22,475,649 0.2% Other Securities....................... 634,771,552 6.4% -------------- ------ Total Energy............................... 1,157,055,546 11.6% -------------- ------ Financials -- (18.2%) American International Group, Inc...... 778,143 40,191,086 0.4% Ameriprise Financial, Inc.............. 219,392 22,057,672 0.2% Bank of America Corp................... 6,230,807 86,982,066 0.9% * Berkshire Hathaway, Inc. Class B....... 232,188 26,720,195 0.3% BlackRock, Inc......................... 73,022 21,965,748 0.2% Capital One Financial Corp............. 312,923 21,488,422 0.2% Citigroup, Inc......................... 1,762,407 85,970,213 0.9% Goldman Sachs Group, Inc. (The)........ 240,919 38,754,230 0.4% JPMorgan Chase & Co.................... 2,206,428 113,719,299 1.1% MetLife, Inc........................... 512,756 24,258,486 0.3% Morgan Stanley......................... 786,023 22,582,441 0.2% U.S. Bancorp........................... 991,278 37,034,146 0.4% Wells Fargo & Co....................... 2,946,563 125,788,774 1.3% Other Securities....................... 1,343,236,724 13.3% -------------- ------ Total Financials........................... 2,010,749,502 20.1% -------------- ------ Health Care -- (9.6%) Amgen, Inc............................. 259,507 30,102,812 0.3% * Express Scripts Holding Co............. 462,397 28,909,060 0.3% Johnson & Johnson...................... 409,001 37,877,583 0.4% Merck & Co., Inc....................... 1,401,705 63,202,878 0.6% Pfizer, Inc............................ 3,622,771 111,146,614 1.1% UnitedHealth Group, Inc................ 548,645 37,450,508 0.4% Zoetis, Inc............................ 936,170 29,639,142 0.3%
55 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Health Care -- (Continued) Other Securities................................... $ 728,069,628 7.3% -------------- ------ Total Health Care...................................... 1,066,398,225 10.7% -------------- ------ Industrials -- (12.4%) FedEx Corp......................................... 169,074 22,148,694 0.2% General Electric Co................................ 5,963,501 155,885,916 1.6% Union Pacific Corp................................. 261,311 39,562,485 0.4% Other Securities................................... 1,151,499,413 11.5% -------------- ------ Total Industrials...................................... 1,369,096,508 13.7% -------------- ------ Information Technology -- (12.6%) Apple, Inc......................................... 130,247 68,034,520 0.7% Cisco Systems, Inc................................. 3,077,086 69,234,435 0.7% EMC Corp........................................... 1,056,822 25,437,706 0.3% * Google, Inc. Class A............................... 30,564 31,498,647 0.3% Hewlett-Packard Co................................. 1,055,382 25,719,659 0.3% Intel Corp......................................... 2,859,210 69,850,500 0.7% Microsoft Corp..................................... 932,130 32,950,795 0.3% Visa, Inc. Class A................................. 196,429 38,631,691 0.4% Other Securities................................... 1,029,293,792 10.2% -------------- ------ Total Information Technology........................... 1,390,651,745 13.9% -------------- ------ Materials -- (4.4%) Dow Chemical Co. (The)............................. 627,320 24,760,320 0.3% Other Securities................................... 467,559,113 4.6% -------------- ------ Total Materials........................................ 492,319,433 4.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (2.3%) AT&T, Inc.......................................... 3,049,991 110,409,674 1.1% Verizon Communications, Inc........................ 1,449,236 73,200,910 0.7% Other Securities................................... 67,929,375 0.7% -------------- ------ Total Telecommunication Services....................... 251,539,959 2.5% -------------- ------ Utilities -- (1.9%) Other Securities................................... 210,671,606 2.1% -------------- ------ TOTAL COMMON STOCKS.................................... 9,966,323,398 99.8% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 358,381 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.073%. 33,428,910 33,428,910 0.3% -------------- ------
56 U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (9.6%) (S)@ DFA Short Term Investment Fund.. 91,671,614 $ 1,060,640,572 10.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,891,276,455).............. $11,060,751,261 110.7% =============== ======
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ----------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- --------------- Common Stocks Consumer Discretionary...... $1,414,873,767 -- -- $ 1,414,873,767 Consumer Staples............ 602,967,107 -- -- 602,967,107 Energy...................... 1,157,055,546 -- -- 1,157,055,546 Financials.................. 2,010,745,188 $ 4,314 -- 2,010,749,502 Health Care................. 1,066,360,782 37,443 -- 1,066,398,225 Industrials................. 1,369,054,287 42,221 -- 1,369,096,508 Information Technology...... 1,390,651,745 -- -- 1,390,651,745 Materials................... 492,319,433 -- -- 492,319,433 Other....................... -- -- -- -- Telecommunication Services.. 251,539,959 -- -- 251,539,959 Utilities................... 210,671,606 -- -- 210,671,606 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 358,381 -- 358,381 Temporary Cash Investments.... 33,428,910 -- -- 33,428,910 Securities Lending Collateral. -- 1,060,640,572 -- 1,060,640,572 -------------- -------------- -- --------------- TOTAL......................... $9,999,668,330 $1,061,082,931 -- $11,060,751,261 ============== ============== == ===============
See accompanying Notes to Financial Statements. 57 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (88.1%) Consumer Discretionary -- (13.2%) CBS Corp. Class B....................... 99,468 $ 5,882,537 0.2% Comcast Corp. Class A................... 336,814 16,025,610 0.6% # GameStop Corp. Class A.................. 124,160 6,806,451 0.2% * Jarden Corp............................. 117,655 6,513,381 0.2% * Liberty Interactive Corp. Class A....... 268,740 7,245,230 0.3% Time Warner, Inc........................ 97,900 6,729,646 0.2% Walt Disney Co. (The)................... 118,253 8,110,973 0.3% Other Securities........................ 376,574,031 13.0% -------------- ------ Total Consumer Discretionary................ 433,887,859 15.0% -------------- ------ Consumer Staples -- (4.4%) Bunge, Ltd.............................. 80,340 6,598,324 0.2% CVS Caremark Corp....................... 113,204 7,048,081 0.3% Mondelez International, Inc. Class A.... 260,500 8,763,220 0.3% Procter & Gamble Co. (The).............. 105,525 8,521,144 0.3% Other Securities........................ 115,048,524 4.0% -------------- ------ Total Consumer Staples...................... 145,979,293 5.1% -------------- ------ Energy -- (10.2%) Anadarko Petroleum Corp................. 76,836 7,321,702 0.3% # Chesapeake Energy Corp.................. 371,242 10,379,926 0.4% Chevron Corp............................ 239,958 28,785,362 1.0% ConocoPhillips.......................... 188,785 13,837,941 0.5% Exxon Mobil Corp........................ 250,318 22,433,499 0.8% Murphy Oil Corp......................... 107,339 6,474,689 0.2% Occidental Petroleum Corp............... 111,234 10,687,363 0.4% Tesoro Corp............................. 131,157 6,412,266 0.2% * Weatherford International, Ltd.......... 429,641 7,063,298 0.3% Other Securities........................ 219,997,212 7.4% -------------- ------ Total Energy................................ 333,393,258 11.5% -------------- ------ Financials -- (21.6%) American Financial Group, Inc........... 125,705 7,072,163 0.3% American International Group, Inc....... 128,798 6,652,417 0.2% Ameriprise Financial, Inc............... 68,100 6,846,774 0.2% Bank of America Corp.................... 1,445,171 20,174,587 0.7% Citigroup, Inc.......................... 403,956 19,704,974 0.7% Goldman Sachs Group, Inc. (The)......... 47,945 7,712,433 0.3% Hartford Financial Services Group, Inc.. 219,658 7,402,475 0.3% Invesco, Ltd............................ 186,136 6,282,090 0.2% JPMorgan Chase & Co..................... 570,669 29,412,280 1.0% KeyCorp................................. 499,016 6,252,670 0.2% Lincoln National Corp................... 152,570 6,928,204 0.3% MetLife, Inc............................ 141,103 6,675,583 0.2% Principal Financial Group, Inc.......... 157,281 7,464,556 0.3% Regions Financial Corp.................. 681,506 6,562,903 0.2% Wells Fargo & Co........................ 634,567 27,089,665 0.9% Other Securities........................ 535,707,873 18.5% -------------- ------ Total Financials............................ 707,941,647 24.5% -------------- ------ Health Care -- (7.2%) * Boston Scientific Corp.................. 767,057 8,966,896 0.3% Merck & Co., Inc........................ 149,737 6,751,641 0.2%
58 U.S. VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Health Care -- (Continued) Omnicare, Inc...................................... 109,511 $ 6,039,532 0.2% Pfizer, Inc........................................ 427,541 13,116,958 0.5% Other Securities................................... 201,362,265 7.0% -------------- ------ Total Health Care........................................ 236,237,292 8.2% -------------- ------ Industrials -- (12.2%) General Electric Co................................ 856,705 22,394,269 0.8% Southwest Airlines Co.............................. 417,610 7,191,244 0.3% Other Securities................................... 370,909,900 12.7% -------------- ------ Total Industrials........................................ 400,495,413 13.8% -------------- ------ Information Technology -- (11.2%) Fidelity National Information Services, Inc........ 150,228 7,323,615 0.3% IAC/InterActiveCorp................................ 115,491 6,166,065 0.2% Intel Corp......................................... 277,316 6,774,830 0.3% * Micron Technology, Inc............................. 569,578 10,070,139 0.4% Visa, Inc. Class A................................. 37,703 7,415,049 0.3% Western Digital Corp............................... 122,881 8,556,204 0.3% Xerox Corp......................................... 731,469 7,270,802 0.3% Other Securities................................... 313,334,785 10.6% -------------- ------ Total Information Technology............................. 366,911,489 12.7% -------------- ------ Materials -- (5.3%) Other Securities................................... 173,155,795 6.0% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (1.7%) AT&T, Inc.......................................... 570,322 20,645,656 0.7% Verizon Communications, Inc........................ 219,736 11,098,865 0.4% Other Securities................................... 23,940,444 0.8% -------------- ------ Total Telecommunication Services......................... 55,684,965 1.9% -------------- ------ Utilities -- (1.1%) Other Securities................................... 35,464,567 1.2% -------------- ------ TOTAL COMMON STOCKS...................................... 2,889,151,578 99.9% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 81,076 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.073%. 6,584,203 6,584,203 0.2% -------------- ------ SHARES/ FACE AMOUNT ------- (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund..................... 33,037,634 382,245,421 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,350,309,267)................................ $3,278,062,278 113.3% ============== ======
59 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 433,887,859 -- -- $ 433,887,859 Consumer Staples............ 145,979,293 -- -- 145,979,293 Energy...................... 333,393,258 -- -- 333,393,258 Financials.................. 707,939,630 $ 2,017 -- 707,941,647 Health Care................. 236,209,992 27,300 -- 236,237,292 Industrials................. 400,463,577 31,836 -- 400,495,413 Information Technology...... 366,911,489 -- -- 366,911,489 Materials................... 173,155,795 -- -- 173,155,795 Other....................... -- -- -- -- Telecommunication Services.. 55,684,965 -- -- 55,684,965 Utilities................... 35,464,567 -- -- 35,464,567 Rights/Warrants............... -- 81,076 -- 81,076 Temporary Cash Investments.... 6,584,203 -- -- 6,584,203 Securities Lending Collateral. -- 382,245,421 -- 382,245,421 -------------- ------------ -- -------------- TOTAL......................... $2,895,674,628 $382,387,650 -- $3,278,062,278 ============== ============ == ==============
See accompanying Notes to Financial Statements. 60 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (80.9%) Consumer Discretionary -- (15.2%) #* Bally Technologies, Inc........................ 235,969 $ 17,258,773 0.2% #* Buffalo Wild Wings, Inc........................ 118,248 16,859,800 0.2% #* Cabela's, Inc.................................. 277,885 16,484,138 0.2% # Cheesecake Factory, Inc. (The)................. 366,132 17,299,737 0.2% # Cracker Barrel Old Country Store, Inc.......... 141,046 15,496,724 0.2% #* Lumber Liquidators Holdings, Inc............... 150,634 17,200,896 0.2% * Steven Madden, Ltd............................. 421,193 15,449,359 0.2% * Tenneco, Inc................................... 308,939 16,395,393 0.2% # Thor Industries, Inc........................... 274,686 15,934,535 0.2% Other Securities............................... 1,245,925,653 16.9% -------------- ------ Total Consumer Discretionary....................... 1,394,305,008 18.7% -------------- ------ Consumer Staples -- (3.6%) # Casey's General Stores, Inc.................... 217,078 15,820,645 0.2% #* Darling International, Inc..................... 756,402 17,601,474 0.2% * TreeHouse Foods, Inc........................... 217,722 15,950,314 0.2% Other Securities............................... 279,898,889 3.8% -------------- ------ Total Consumer Staples............................. 329,271,322 4.4% -------------- ------ Energy -- (4.2%) Bristow Group, Inc............................. 199,091 16,020,853 0.2% SemGroup Corp. Class A......................... 262,775 15,868,982 0.2% Other Securities............................... 355,886,047 4.8% -------------- ------ Total Energy....................................... 387,775,882 5.2% -------------- ------ Financials -- (13.6%) * Altisource Portfolio Solutions SA.............. 119,358 18,772,626 0.3% # Bank of Hawaii Corp............................ 279,070 16,180,479 0.2% CNO Financial Group, Inc....................... 978,475 15,244,640 0.2% # TCF Financial Corp............................. 1,012,331 15,367,185 0.2% Webster Financial Corp......................... 569,447 15,881,877 0.2% Other Securities............................... 1,163,975,751 15.6% -------------- ------ Total Financials................................... 1,245,422,558 16.7% -------------- ------ Health Care -- (7.8%) #* Align Technology, Inc.......................... 286,722 16,360,357 0.2% * Charles River Laboratories International, Inc.. 314,552 15,479,104 0.2% # Hill-Rom Holdings, Inc......................... 371,392 15,334,776 0.2% # Owens & Minor, Inc............................. 404,519 15,137,101 0.2% * Thoratec Corp.................................. 353,463 15,266,067 0.2% #* VCA Antech, Inc................................ 578,974 16,471,810 0.2% #* ViroPharma, Inc................................ 389,274 15,111,617 0.2% # West Pharmaceutical Services, Inc.............. 351,188 16,979,940 0.2% Other Securities............................... 586,139,980 8.0% -------------- ------ Total Health Care.................................. 712,280,752 9.6% -------------- ------ Industrials -- (14.7%) # Actuant Corp. Class A.......................... 410,545 15,420,070 0.2% Alliant Techsystems, Inc....................... 169,067 18,406,324 0.3% * Avis Budget Group, Inc......................... 493,987 15,476,613 0.2% Belden, Inc.................................... 250,180 16,827,107 0.2% #* Chart Industries, Inc.......................... 150,375 16,160,801 0.2% Con-way, Inc................................... 380,220 15,665,064 0.2% #* DigitalGlobe, Inc.............................. 493,255 15,695,374 0.2%
61 U.S. SMALL CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (Continued) EnerSys, Inc....................................... 269,950 $ 17,911,183 0.2% Huntington Ingalls Industries, Inc................. 227,971 16,311,325 0.2% #* MasTec, Inc........................................ 498,398 15,933,784 0.2% #* Middleby Corp...................................... 75,298 17,141,590 0.2% * Spirit Airlines, Inc............................... 478,914 20,665,139 0.3% Other Securities................................... 1,149,286,508 15.5% -------------- ------ Total Industrials...................................... 1,350,900,882 18.1% -------------- ------ Information Technology -- (14.5%) * Acxiom Corp........................................ 457,131 15,190,463 0.2% * Anixter International, Inc......................... 180,205 15,405,725 0.2% FEI Co............................................. 177,398 15,802,614 0.2% # j2 Global, Inc..................................... 290,465 15,969,766 0.2% # Lexmark International, Inc. Class A................ 428,784 15,243,271 0.2% * Tyler Technologies, Inc............................ 169,807 16,422,035 0.2% Other Securities................................... 1,240,890,031 16.7% -------------- ------ Total Information Technology........................... 1,334,923,905 17.9% -------------- ------ Materials -- (4.2%) KapStone Paper and Packaging Corp.................. 298,292 15,499,252 0.2% PolyOne Corp....................................... 529,913 16,056,364 0.2% Sensient Technologies Corp......................... 295,289 15,393,416 0.2% Worthington Industries, Inc........................ 429,704 17,420,200 0.2% Other Securities................................... 318,790,671 4.4% -------------- ------ Total Materials........................................ 383,159,903 5.2% -------------- ------ Other -- (0.0%) Other Securities................................... 7,948 0.0% -------------- ------ Real Estate Investment Trusts -- (0.1%) Other Securities................................... 12,527,068 0.2% -------------- ------ Telecommunication Services -- (0.5%) Other Securities................................... 41,745,835 0.6% -------------- ------ Utilities -- (2.5%) IDACORP, Inc....................................... 295,434 15,244,395 0.2% Other Securities................................... 218,894,473 2.9% -------------- ------ Total Utilities........................................ 234,138,868 3.1% -------------- ------ TOTAL COMMON STOCKS.................................... 7,426,459,931 99.7% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 135,084 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.073%. 36,842,908 36,842,908 0.5% -------------- ------ SHARES/ FACE AMOUNT ------- (000) SECURITIES LENDING COLLATERAL -- (18.7%) (S)@ DFA Short Term Investment Fund................ 148,525,546 1,718,440,570 23.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $6,979,243,022).............................. $9,181,878,493 123.3% ============== ======
62 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- -------------- Common Stocks Consumer Discretionary........ $1,394,305,008 -- -- $1,394,305,008 Consumer Staples.............. 329,271,322 -- -- 329,271,322 Energy........................ 387,775,882 -- -- 387,775,882 Financials.................... 1,245,407,500 $ 15,058 -- 1,245,422,558 Health Care................... 712,185,705 95,047 -- 712,280,752 Industrials................... 1,350,590,743 310,139 -- 1,350,900,882 Information Technology........ 1,334,923,905 -- -- 1,334,923,905 Materials..................... 383,159,903 -- -- 383,159,903 Other......................... -- 7,948 -- 7,948 Real Estate Investment Trusts. 12,527,068 -- -- 12,527,068 Telecommunication Services.... 41,745,835 -- -- 41,745,835 Utilities..................... 234,138,868 -- -- 234,138,868 Preferred Stocks Other......................... -- -- -- -- Rights/Warrants................. -- 135,084 -- 135,084 Temporary Cash Investments...... 36,842,908 -- -- 36,842,908 Securities Lending Collateral... -- 1,718,440,570 -- 1,718,440,570 -------------- -------------- -- -------------- TOTAL........................... $7,462,874,647 $1,719,003,846 -- $9,181,878,493 ============== ============== == ==============
See accompanying Notes to Financial Statements. 63 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (84.7%) Consumer Discretionary -- (16.4%) * Asbury Automotive Group, Inc........... 297,023 $ 14,271,955 0.3% Belo Corp. Class A..................... 858,259 11,783,896 0.3% #* Conn's, Inc............................ 306,457 18,522,261 0.4% # Dorman Products, Inc................... 311,758 15,154,556 0.3% Finish Line, Inc. (The) Class A........ 451,112 11,295,844 0.2% #* Grand Canyon Education, Inc............ 367,324 17,363,405 0.4% #* Krispy Kreme Doughnuts, Inc............ 624,760 15,156,678 0.3% La-Z-Boy, Inc.......................... 533,688 12,317,519 0.3% Lithia Motors, Inc. Class A............ 188,702 11,859,921 0.3% #* Lumber Liquidators Holdings, Inc....... 109,921 12,551,879 0.3% # Papa John's International, Inc......... 207,021 15,665,279 0.3% #* Pinnacle Entertainment, Inc............ 540,950 12,658,230 0.3% #* Quiksilver, Inc........................ 1,457,888 12,129,628 0.3% #* Red Robin Gourmet Burgers, Inc......... 144,159 10,982,033 0.2% * Scientific Games Corp. Class A......... 650,894 11,898,342 0.3% # Sinclair Broadcast Group, Inc. Class A. 401,740 12,879,784 0.3% # Sturm Ruger & Co., Inc................. 185,803 12,153,374 0.3% Other Securities....................... 676,038,503 14.2% -------------- ----- Total Consumer Discretionary............... 904,683,087 19.3% -------------- ----- Consumer Staples -- (3.7%) Andersons, Inc. (The).................. 165,272 12,259,877 0.3% # J&J Snack Foods Corp................... 176,874 15,135,108 0.3% * Prestige Brands Holdings, Inc.......... 356,410 11,130,684 0.2% #* Susser Holdings Corp................... 220,255 12,078,784 0.3% Other Securities....................... 152,476,392 3.2% -------------- ----- Total Consumer Staples..................... 203,080,845 4.3% -------------- ----- Energy -- (4.4%) Crosstex Energy, Inc................... 478,837 14,695,508 0.3% #* Rex Energy Corp........................ 559,372 12,026,498 0.3% Other Securities....................... 215,434,478 4.6% -------------- ----- Total Energy............................... 242,156,484 5.2% -------------- ----- Financials -- (14.8%) #* Encore Capital Group, Inc.............. 260,253 12,713,359 0.3% FBL Financial Group, Inc. Class A...... 271,726 12,157,021 0.3% # Home BancShares, Inc................... 359,132 12,167,392 0.3% Horace Mann Educators Corp............. 423,287 11,725,050 0.3% * Western Alliance Bancorp............... 615,654 13,021,082 0.3% #* World Acceptance Corp.................. 153,471 15,979,401 0.3% Other Securities....................... 740,587,825 15.6% -------------- ----- Total Financials........................... 818,351,130 17.4% -------------- ----- Health Care -- (8.0%) * Amsurg Corp............................ 287,682 12,338,681 0.3% Analogic Corp.......................... 123,960 11,432,831 0.3% * Corvel Corp............................ 270,276 11,243,482 0.2% #* Hanger, Inc............................ 311,307 11,424,967 0.2% * Medidata Solutions, Inc................ 116,683 12,871,302 0.3% * NuVasive, Inc.......................... 346,328 11,006,304 0.2% Other Securities....................... 371,022,710 7.9% -------------- ----- Total Health Care.......................... 441,340,277 9.4% -------------- -----
64 U.S. MICRO CAP PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (15.0%) # AAON, Inc.......................................... 410,994 $ 11,100,948 0.2% #* EnPro Industries, Inc.............................. 198,137 11,822,835 0.3% Mueller Water Products, Inc. Class A............... 1,458,942 12,503,133 0.3% Other Securities................................... 796,876,867 16.9% -------------- ------ Total Industrials........................................ 832,303,783 17.7% -------------- ------ Information Technology -- (15.0%) * Electronics for Imaging, Inc....................... 383,228 13,148,553 0.3% # Heartland Payment Systems, Inc..................... 334,773 13,541,568 0.3% * iGATE Corp......................................... 533,687 16,992,594 0.4% * Integrated Device Technology, Inc.................. 1,226,260 13,047,406 0.3% * Manhattan Associates, Inc.......................... 199,341 21,231,810 0.5% NIC, Inc........................................... 456,902 11,248,927 0.2% #* SunEdison, Inc..................................... 1,431,312 13,311,202 0.3% #* Tyler Technologies, Inc............................ 216,321 20,920,404 0.5% #* Unisys Corp........................................ 418,812 11,035,696 0.2% Other Securities................................... 697,874,426 14.7% -------------- ------ Total Information Technology............................. 832,352,586 17.7% -------------- ------ Materials -- (5.1%) # Balchem Corp....................................... 210,062 12,028,150 0.3% KapStone Paper and Packaging Corp.................. 331,563 17,228,013 0.4% Other Securities................................... 251,104,753 5.3% -------------- ------ Total Materials.......................................... 280,360,916 6.0% -------------- ------ Other -- (0.0%) Other Securities................................... 58,742 0.0% -------------- ------ Telecommunication Services -- (0.9%) Other Securities................................... 51,451,236 1.1% -------------- ------ Utilities -- (1.4%) # MGE Energy, Inc.................................... 194,367 10,944,806 0.2% Other Securities................................... 66,128,649 1.4% -------------- ------ Total Utilities.......................................... 77,073,455 1.6% -------------- ------ TOTAL COMMON STOCKS...................................... 4,683,212,541 99.7% -------------- ------ PREFERRED STOCKS -- (0.0%) Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 210,244 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.2%) State Street Institutional Liquid Reserves, 0.073%. 12,694,109 12,694,109 0.3% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (15.1%) (S)@ DFA Short Term Investment Fund..................... 72,160,431 834,896,185 17.8% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,910,422,847)................................ $5,531,013,079 117.8% ============== ======
65 U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 904,683,087 -- -- $ 904,683,087 Consumer Staples............ 203,080,845 -- -- 203,080,845 Energy...................... 242,156,484 -- -- 242,156,484 Financials.................. 818,331,155 $ 19,975 -- 818,351,130 Health Care................. 441,203,823 136,454 -- 441,340,277 Industrials................. 832,031,098 272,685 -- 832,303,783 Information Technology...... 832,352,586 -- -- 832,352,586 Materials................... 280,360,916 -- -- 280,360,916 Other....................... -- 58,742 -- 58,742 Telecommunication Services.. 51,451,236 -- -- 51,451,236 Utilities................... 77,073,455 -- -- 77,073,455 Preferred Stocks Other....................... -- -- -- -- Rights/Warrants............... -- 210,244 -- 210,244 Temporary Cash Investments.... 12,694,109 -- -- 12,694,109 Securities Lending Collateral. -- 834,896,185 -- 834,896,185 -------------- ------------ -- -------------- TOTAL......................... $4,695,418,794 $835,594,285 -- $5,531,013,079 ============== ============ == ==============
See accompanying Notes to Financial Statements. 66 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (90.1%) Real Estate Investment Trusts -- (90.1%) Alexandria Real Estate Equities, Inc.......... 695,800 $ 45,769,724 1.0% American Campus Communities, Inc.............. 1,021,570 35,305,459 0.8% Apartment Investment & Management Co. Class A. 1,422,561 39,803,257 0.8% AvalonBay Communities, Inc.................... 1,187,772 148,530,889 3.2% BioMed Realty Trust, Inc...................... 1,873,201 37,314,164 0.8% # Boston Properties, Inc........................ 1,469,768 152,120,988 3.2% # BRE Properties, Inc........................... 748,334 40,866,520 0.9% # Camden Property Trust......................... 813,176 52,205,899 1.1% # CBL & Associates Properties, Inc.............. 1,573,700 31,174,997 0.7% DCT Industrial Trust, Inc..................... 3,084,629 23,905,875 0.5% # DDR Corp...................................... 2,687,030 45,545,158 1.0% # Digital Realty Trust, Inc..................... 1,252,136 59,676,802 1.3% Douglas Emmett, Inc........................... 1,306,857 32,579,945 0.7% # Duke Realty Corp.............................. 3,169,047 52,511,109 1.1% EPR Properties................................ 459,789 23,619,361 0.5% Equity Lifestyle Properties, Inc.............. 767,442 29,155,122 0.6% Equity Residential............................ 3,311,495 173,389,878 3.7% # Essex Property Trust, Inc..................... 361,408 58,186,688 1.2% Extra Space Storage, Inc...................... 1,019,883 46,904,419 1.0% Federal Realty Investment Trust............... 634,951 65,780,924 1.4% # General Growth Properties, Inc................ 4,695,708 99,689,881 2.1% HCP, Inc...................................... 4,408,569 182,955,613 3.9% # Health Care REIT, Inc......................... 2,764,928 179,305,581 3.8% # Highwoods Properties, Inc..................... 861,200 33,242,320 0.7% # Home Properties, Inc.......................... 540,171 32,577,713 0.7% Hospitality Properties Trust.................. 1,362,466 40,029,251 0.9% # Host Hotels & Resorts, Inc.................... 7,174,023 133,078,127 2.8% Kilroy Realty Corp............................ 737,362 39,198,164 0.8% Kimco Realty Corp............................. 3,993,958 85,790,218 1.8% LaSalle Hotel Properties...................... 914,451 28,393,703 0.6% Liberty Property Trust........................ 1,234,123 45,897,034 1.0% # Macerich Co. (The)............................ 1,365,999 80,880,801 1.7% # Mid-America Apartment Communities, Inc........ 673,731 44,735,738 1.0% # National Retail Properties, Inc............... 1,179,889 40,588,182 0.9% # Omega Healthcare Investors, Inc............... 1,113,809 37,023,011 0.8% Piedmont Office Realty Trust, Inc. Class A.... 1,593,397 29,445,977 0.6% Post Properties, Inc.......................... 526,602 24,086,775 0.5% Prologis, Inc................................. 4,760,982 190,201,231 4.1% Public Storage................................ 1,371,481 228,996,183 4.9% # Realty Income Corp............................ 1,888,595 78,659,982 1.7% # Regency Centers Corp.......................... 890,192 45,987,319 1.0% # Senior Housing Properties Trust............... 1,809,267 44,580,339 1.0% Simon Property Group, Inc..................... 2,902,908 448,644,431 9.6% # SL Green Realty Corp.......................... 882,170 83,426,817 1.8% # Tanger Factory Outlet Centers................. 896,460 31,241,631 0.7% Taubman Centers, Inc.......................... 606,482 39,900,451 0.9% # UDR, Inc...................................... 2,381,995 59,097,296 1.3% Ventas, Inc................................... 2,812,708 183,501,070 3.9% # Vornado Realty Trust.......................... 1,600,928 142,578,648 3.0%
67 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Real Estate Investment Trusts -- (Continued) # Weingarten Realty Investors........................ 1,100,402 $ 34,915,755 0.7% Other Securities................................... 687,421,830 14.7% -------------- ------ TOTAL COMMON STOCKS...................................... 4,650,418,250 99.4% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.073%. 14,133,145 $ 14,133,145 0.3% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (9.6%) (S)@ DFA Short Term Investment Fund..................... 43,040,993 497,984,294 10.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $3,829,858,283)................................ $5,162,535,689 110.4% ============== ======
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Real Estate Investment Trusts. $4,650,418,250 -- -- $4,650,418,250 Temporary Cash Investments...... 14,133,145 -- -- 14,133,145 Securities Lending Collateral... -- $497,984,294 -- 497,984,294 -------------- ------------ -- -------------- TOTAL........................... $4,664,551,395 $497,984,294 -- $5,162,535,689 ============== ============ == ==============
See accompanying Notes to Financial Statements. 68 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.6%) AUSTRALIA -- (6.7%) Australia & New Zealand Banking Group, Ltd.. 528,683 $ 16,918,041 0.6% BHP Billiton, Ltd........................... 460,036 16,263,826 0.6% Commonwealth Bank of Australia.............. 294,908 21,234,117 0.8% National Australia Bank, Ltd................ 468,608 15,661,273 0.6% Westpac Banking Corp........................ 511,050 16,592,333 0.6% Other Securities............................ 113,841,998 4.1% ------------ ---- TOTAL AUSTRALIA................................. 200,511,588 7.3% ------------ ---- AUSTRIA -- (0.2%) Other Securities............................ 7,474,217 0.3% ------------ ---- BELGIUM -- (1.0%) Anheuser-Busch InBev NV..................... 120,883 12,531,168 0.5% Other Securities............................ 16,642,740 0.6% ------------ ---- TOTAL BELGIUM................................... 29,173,908 1.1% ------------ ---- CANADA -- (8.7%) Bank of Nova Scotia......................... 196,436 11,942,721 0.4% # Royal Bank of Canada........................ 243,989 16,385,278 0.6% # Suncor Energy, Inc.......................... 279,079 10,141,757 0.4% # Toronto-Dominion Bank (The)................. 160,784 14,748,364 0.5% Other Securities............................ 206,333,950 7.5% ------------ ---- TOTAL CANADA.................................... 259,552,070 9.4% ------------ ---- DENMARK -- (1.1%) Other Securities............................ 31,731,194 1.2% ------------ ---- FINLAND -- (0.8%) Other Securities............................ 23,527,291 0.9% ------------ ---- FRANCE -- (8.2%) BNP Paribas SA.............................. 204,665 15,098,779 0.6% Sanofi...................................... 180,968 19,295,374 0.7% Total SA.................................... 261,686 16,055,204 0.6% # Total SA Sponsored ADR...................... 157,489 9,635,177 0.4% Other Securities............................ 185,367,852 6.6% ------------ ---- TOTAL FRANCE.................................... 245,452,386 8.9% ------------ ---- GERMANY -- (7.0%) Allianz SE.................................. 67,247 11,290,927 0.4% BASF SE..................................... 164,609 17,088,800 0.6% Bayer AG.................................... 118,085 14,648,707 0.5% Daimler AG.................................. 185,463 15,184,741 0.6% SAP AG...................................... 136,242 10,661,226 0.4% Siemens AG.................................. 87,275 11,153,059 0.4% Other Securities............................ 129,286,200 4.7% ------------ ---- TOTAL GERMANY................................... 209,313,660 7.6% ------------ ---- GREECE -- (0.0%) Other Securities............................ 793,969 0.0% ------------ ----
69 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.5%) AIA Group, Ltd........................... 2,150,000 $ 10,917,334 0.4% Other Securities......................... 63,345,322 2.3% ------------ ----- TOTAL HONG KONG.............................. 74,262,656 2.7% ------------ ----- IRELAND -- (0.3%) Other Securities......................... 8,690,808 0.3% ------------ ----- ISRAEL -- (0.4%) Other Securities......................... 11,269,348 0.4% ------------ ----- ITALY -- (1.8%) Other Securities......................... 55,229,204 2.0% ------------ ----- JAPAN -- (17.6%) # Mitsubishi UFJ Financial Group, Inc. ADR. 1,455,897 9,317,741 0.4% # Softbank Corp............................ 179,200 13,382,451 0.5% Sumitomo Mitsui Financial Group, Inc..... 261,540 12,641,764 0.5% Toyota Motor Corp........................ 324,100 21,014,052 0.8% # Toyota Motor Corp. Sponsored ADR......... 94,713 12,257,756 0.5% Other Securities......................... 458,623,170 16.4% ------------ ----- TOTAL JAPAN.................................. 527,236,934 19.1% ------------ ----- NETHERLANDS -- (2.1%) Unilever NV.............................. 242,733 9,623,254 0.3% Other Securities......................... 53,835,902 2.0% ------------ ----- TOTAL NETHERLANDS............................ 63,459,156 2.3% ------------ ----- NEW ZEALAND -- (0.1%) Other Securities......................... 2,790,304 0.1% ------------ ----- NORWAY -- (0.9%) Other Securities......................... 25,978,042 0.9% ------------ ----- PORTUGAL -- (0.1%) Other Securities......................... 4,158,396 0.2% ------------ ----- SINGAPORE -- (1.2%) Other Securities......................... 36,936,063 1.3% ------------ ----- SPAIN -- (2.8%) Banco Santander SA....................... 1,225,631 10,865,540 0.4% Other Securities......................... 72,329,930 2.6% ------------ ----- TOTAL SPAIN.................................. 83,195,470 3.0% ------------ ----- SWEDEN -- (2.6%) Other Securities......................... 77,665,677 2.8% ------------ ----- SWITZERLAND -- (7.5%) Cie Financiere Richemont SA.............. 97,651 9,984,783 0.4% Nestle SA................................ 605,460 43,704,470 1.6% Novartis AG.............................. 288,619 22,403,348 0.8% Novartis AG ADR.......................... 164,130 12,728,282 0.5% Roche Holding AG......................... 127,069 35,139,075 1.3% UBS AG................................... 640,816 12,394,061 0.5% Other Securities......................... 88,296,444 3.1% ------------ ----- TOTAL SWITZERLAND............................ 224,650,463 8.2% ------------ -----
70 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (18.0%) # Barclays P.L.C. Sponsored ADR.................................. 548,981 $ 9,228,371 0.3% BG Group P.L.C................................................. 604,431 12,330,190 0.5% BP P.L.C. Sponsored ADR........................................ 563,945 26,223,442 1.0% British American Tobacco P.L.C................................. 285,586 15,756,419 0.6% Diageo P.L.C. Sponsored ADR.................................... 78,259 9,985,066 0.4% GlaxoSmithKline P.L.C.......................................... 528,451 13,931,212 0.5% GlaxoSmithKline P.L.C. Sponsored ADR........................... 204,043 10,738,783 0.4% HSBC Holdings P.L.C............................................ 1,638,724 17,962,609 0.7% HSBC Holdings P.L.C. Sponsored ADR............................. 437,209 24,063,982 0.9% Reckitt Benckiser Group P.L.C.................................. 119,067 9,258,539 0.3% Royal Dutch Shell P.L.C. ADR................................... 392,289 27,271,931 1.0% SABMiller P.L.C................................................ 177,232 9,241,009 0.3% Standard Chartered P.L.C....................................... 439,931 10,562,736 0.4% Tesco P.L.C.................................................... 1,584,008 9,239,736 0.3% Vodafone Group P.L.C........................................... 3,370,096 12,343,843 0.5% Vodafone Group P.L.C. Sponsored ADR............................ 614,634 22,630,824 0.8% Other Securities............................................... 297,153,404 10.6% -------------- ------ TOTAL UNITED KINGDOM................................................. 537,922,096 19.5% -------------- ------ TOTAL COMMON STOCKS.................................................. 2,740,974,900 99.5% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities............................................... 1,799,085 0.1% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities............................................... 48,992 0.0% -------------- ------ TOTAL PREFERRED STOCKS............................................... 1,848,077 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) FRANCE -- (0.0%) Other Securities............................................... 9 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities............................................... -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................... 264,592 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................................ 264,601 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (8.3%)........................ (S)@ DFA Short Term Investment Fund................................. 21,521,175 249,000,000 9.0% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $382,392 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $345,804) to be repurchased at $339,025...................................................... $ 339 $ 339,024 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 249,339,024 9.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,354,552,422)............................................ $2,992,426,602 108.6% ============== ======
71 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia................... $ 7,579,926 $ 192,931,662 -- $ 200,511,588 Austria..................... 39,912 7,434,305 -- 7,474,217 Belgium..................... 3,501,712 25,672,196 -- 29,173,908 Canada...................... 259,552,070 -- -- 259,552,070 Denmark..................... 3,885,244 27,845,950 -- 31,731,194 Finland..................... 1,725,032 21,802,259 -- 23,527,291 France...................... 20,822,557 224,629,829 -- 245,452,386 Germany..................... 31,001,562 178,312,098 -- 209,313,660 Greece...................... -- 793,969 -- 793,969 Hong Kong................... 1,002,081 73,260,575 -- 74,262,656 Ireland..................... 2,489,101 6,201,707 -- 8,690,808 Israel...................... 5,679,502 5,589,846 -- 11,269,348 Italy....................... 8,130,392 47,098,812 -- 55,229,204 Japan....................... 43,398,542 483,838,392 -- 527,236,934 Netherlands................. 9,144,980 54,314,176 -- 63,459,156 New Zealand................. -- 2,790,304 -- 2,790,304 Norway...................... 2,122,512 23,855,530 -- 25,978,042 Portugal.................... 91,147 4,067,249 -- 4,158,396 Singapore................... -- 36,936,063 -- 36,936,063 Spain....................... 23,202,999 59,992,471 -- 83,195,470 Sweden...................... 720,670 76,945,007 -- 77,665,677 Switzerland................. 24,836,474 199,813,989 -- 224,650,463 United Kingdom.............. 185,603,990 352,318,106 -- 537,922,096 Preferred Stocks Germany..................... -- 1,799,085 -- 1,799,085 United Kingdom.............. -- 48,992 -- 48,992 Rights/Warrants France...................... -- 9 -- 9 Hong Kong................... -- -- -- -- Spain....................... -- 264,592 -- 264,592 Securities Lending Collateral. -- 249,339,024 -- 249,339,024 ------------ -------------- -- -------------- TOTAL......................... $634,530,405 $2,357,896,197 -- $2,992,426,602 ============ ============== == ==============
See accompanying Notes to Financial Statements. 72 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (89.7%) AUSTRALIA -- (5.8%) Australia & New Zealand Banking Group, Ltd.. 1,021,663 $ 32,693,574 0.4% Commonwealth Bank of Australia.............. 291,226 20,969,002 0.2% National Australia Bank, Ltd................ 1,341,565 44,836,230 0.5% Wesfarmers, Ltd............................. 579,851 23,529,741 0.3% Westpac Banking Corp........................ 896,764 29,115,366 0.3% Other Securities............................ 462,209,534 4.8% ------------ ---- TOTAL AUSTRALIA................................. 613,353,447 6.5% ------------ ---- AUSTRIA -- (0.5%) Other Securities............................ 50,266,444 0.5% ------------ ---- BELGIUM -- (1.1%) Other Securities............................ 113,946,202 1.2% ------------ ---- CANADA -- (7.9%) # Royal Bank of Canada........................ 326,040 21,895,479 0.2% # Suncor Energy, Inc.......................... 654,429 23,782,011 0.3% # Toronto-Dominion Bank (The)................. 350,772 32,175,547 0.4% Other Securities............................ 747,748,586 7.8% ------------ ---- TOTAL CANADA.................................... 825,601,623 8.7% ------------ ---- CHINA -- (0.0%) Other Securities............................ 636,480 0.0% ------------ ---- COLOMBIA -- (0.0%) Other Securities............................ 5,577 0.0% ------------ ---- DENMARK -- (1.1%) Other Securities............................ 120,227,098 1.3% ------------ ---- FINLAND -- (1.5%) #* Nokia Oyj................................ 3,651,928 27,757,495 0.3% Other Securities............................ 131,584,399 1.4% ------------ ---- TOTAL FINLAND................................... 159,341,894 1.7% ------------ ---- FRANCE -- (7.1%) BNP Paribas SA.............................. 568,069 41,908,229 0.5% Cie de St-Gobain............................ 446,784 23,451,715 0.3% Sanofi...................................... 201,598 21,495,009 0.2% Sanofi ADR.................................. 562,231 30,068,114 0.3% Societe Generale SA......................... 443,771 25,068,404 0.3% Total SA.................................... 351,482 21,564,452 0.2% # Total SA Sponsored ADR.................... 595,142 36,410,788 0.4% Other Securities............................ 542,884,779 5.6% ------------ ---- TOTAL FRANCE.................................... 742,851,490 7.8% ------------ ---- GERMANY -- (5.9%) Allianz SE.................................. 171,092 28,726,742 0.3% Daimler AG.................................. 469,210 38,416,462 0.4% Deutsche Post AG............................ 639,180 21,585,987 0.2% Muenchener Rueckversicherungs AG............ 106,008 22,116,689 0.2% # Siemens AG Sponsored ADR.................. 200,444 25,658,836 0.3%
73 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) Other Securities...................... $ 483,963,547 5.1% -------------- ----- TOTAL GERMANY............................. 620,468,263 6.5% -------------- ----- GREECE -- (0.3%) Other Securities...................... 27,568,233 0.3% -------------- ----- HONG KONG -- (2.4%) Other Securities...................... 251,199,528 2.6% -------------- ----- IRELAND -- (0.5%) Other Securities...................... 47,557,895 0.5% -------------- ----- ISRAEL -- (0.5%) Other Securities...................... 57,292,967 0.6% -------------- ----- ITALY -- (2.2%) Other Securities...................... 234,965,473 2.5% -------------- ----- JAPAN -- (18.4%) Mitsubishi UFJ Financial Group, Inc... 5,724,200 36,453,212 0.4% Mizuho Financial Group, Inc........... 12,919,560 27,118,957 0.3% # Sumitomo Mitsui Financial Group, Inc.. 704,570 34,056,003 0.4% # Toyota Motor Corp. Sponsored ADR...... 360,892 46,706,643 0.5% Other Securities...................... 1,790,048,090 18.7% -------------- ----- TOTAL JAPAN............................... 1,934,382,905 20.3% -------------- ----- NETHERLANDS -- (2.5%) Other Securities...................... 268,159,365 2.8% -------------- ----- NEW ZEALAND -- (0.2%) Other Securities...................... 25,919,358 0.3% -------------- ----- NORWAY -- (0.9%) Other Securities...................... 99,167,065 1.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities...................... 29,533,212 0.3% -------------- ----- RUSSIA -- (0.0%) Other Securities...................... 289,979 0.0% -------------- ----- SINGAPORE -- (1.3%) Other Securities...................... 131,481,204 1.4% -------------- ----- SPAIN -- (2.3%) Banco Santander SA.................... 3,256,138 28,866,513 0.3% # Banco Santander SA Sponsored ADR...... 2,364,383 21,066,653 0.2% Other Securities...................... 190,898,283 2.0% -------------- ----- TOTAL SPAIN............................... 240,831,449 2.5% -------------- ----- SWEDEN -- (2.8%) Nordea Bank AB........................ 1,635,765 20,923,901 0.2% Other Securities...................... 273,453,290 2.9% -------------- ----- TOTAL SWEDEN.............................. 294,377,191 3.1% -------------- -----
74 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (6.4%) ABB, Ltd................................ 1,199,336 $ 30,556,144 0.3% Credit Suisse Group AG.................. 1,122,531 34,919,631 0.4% Nestle SA............................... 587,284 42,392,455 0.5% # Novartis AG ADR......................... 818,651 63,486,385 0.7% Roche Holding AG........................ 81,978 22,669,818 0.3% Swiss Re AG............................. 372,384 32,688,839 0.4% UBS AG.................................. 1,749,489 33,836,974 0.4% Zurich Insurance Group AG............... 160,459 44,338,545 0.5% Other Securities........................ 366,397,186 3.6% -------------- ----- TOTAL SWITZERLAND........................... 671,285,977 7.1% -------------- ----- UNITED KINGDOM -- (17.8%) Anglo American P.L.C.................... 1,131,410 26,901,050 0.3% AstraZeneca P.L.C. Sponsored ADR........ 424,722 22,450,805 0.2% Barclays P.L.C. Sponsored ADR........... 2,263,921 38,056,512 0.4% BG Group P.L.C.......................... 1,429,345 29,158,159 0.3% BP P.L.C. Sponsored ADR................. 1,845,938 85,836,114 0.9% # HSBC Holdings P.L.C. Sponsored ADR...... 1,877,265 103,324,666 1.1% * Lloyds Banking Group P.L.C.............. 23,313,762 28,834,377 0.3% Prudential P.L.C. ADR................... 651,676 26,692,649 0.3% # Rio Tinto P.L.C. Sponsored ADR.......... 458,818 23,262,073 0.3% Royal Dutch Shell P.L.C. ADR(780259107). 1,430,280 99,433,066 1.1% Royal Dutch Shell P.L.C. ADR(780259206). 364,923 24,325,767 0.3% Standard Chartered P.L.C................ 1,125,564 27,024,772 0.3% Tesco P.L.C............................. 5,453,611 31,811,663 0.3% Vodafone Group P.L.C. Sponsored ADR..... 2,394,771 88,175,468 0.9% Other Securities........................ 1,212,613,734 12.7% -------------- ----- TOTAL UNITED KINGDOM........................ 1,867,900,875 19.7% -------------- ----- UNITED STATES -- (0.0%) Other Securities........................ 310,865 0.0% -------------- ----- TOTAL COMMON STOCKS......................... 9,428,922,059 99.2% -------------- ----- PREFERRED STOCKS -- (0.1%) FRANCE -- (0.0%) Other Securities........................ 5,197 0.0% -------------- ----- GERMANY -- (0.1%) Other Securities........................ 5,206,955 0.1% -------------- ----- UNITED KINGDOM -- (0.0%) Other Securities........................ 126,482 0.0% -------------- ----- TOTAL PREFERRED STOCKS...................... 5,338,634 0.1% -------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ----- AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ----- FRANCE -- (0.0%) Other Securities........................ 13 0.0% -------------- -----
75 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities............................................ $ -- 0.0% --------------- ------ ITALY -- (0.0%) Other Securities............................................ 11,809 0.0% --------------- ------ SPAIN -- (0.0%) Other Securities............................................ 702,942 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS............................................. 714,764 0.0% --------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (10.2%) (S)@ DFA Short Term Investment Fund.............................. 92,912,705 1,075,000,000 11.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $5,584,879 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $5,050,512) to be repurchased at $4,951,499................................................. $ 4,951 4,951,482 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,079,951,482 11.3% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $9,059,936,275)......................................... $10,514,926,939 110.6% =============== ======
76 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ----------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- --------------- Common Stocks Australia................... $ 26,885,569 $ 586,467,878 -- $ 613,353,447 Austria..................... 69,846 50,196,598 -- 50,266,444 Belgium..................... 11,058,577 102,887,625 -- 113,946,202 Canada...................... 825,577,170 24,453 -- 825,601,623 China....................... 40,881 595,599 -- 636,480 Colombia.................... 5,577 -- -- 5,577 Denmark..................... 4,247,252 115,979,846 -- 120,227,098 Finland..................... 3,875,723 155,466,171 -- 159,341,894 France...................... 103,088,833 639,762,657 -- 742,851,490 Germany..................... 85,519,236 534,949,027 -- 620,468,263 Greece...................... 770,734 26,797,499 -- 27,568,233 Hong Kong................... 997,646 250,201,882 -- 251,199,528 Ireland..................... 14,908,209 32,649,686 -- 47,557,895 Israel...................... 13,909,511 43,383,456 -- 57,292,967 Italy....................... 22,099,821 212,865,652 -- 234,965,473 Japan....................... 121,410,252 1,812,972,653 -- 1,934,382,905 Netherlands................. 45,818,932 222,340,433 -- 268,159,365 New Zealand................. 113,994 25,805,364 -- 25,919,358 Norway...................... 10,556,193 88,610,872 -- 99,167,065 Portugal.................... 265,178 29,268,034 -- 29,533,212 Russia...................... -- 289,979 -- 289,979 Singapore................... 1,996 131,479,208 -- 131,481,204 Spain....................... 43,141,304 197,690,145 -- 240,831,449 Sweden...................... 8,713,099 285,664,092 -- 294,377,191 Switzerland................. 107,694,359 563,591,618 -- 671,285,977 United Kingdom.............. 646,060,323 1,221,840,552 -- 1,867,900,875 United States............... 310,865 -- -- 310,865 Preferred Stocks France...................... 5,197 -- -- 5,197 Germany..................... -- 5,206,955 -- 5,206,955 United Kingdom.............. -- 126,482 -- 126,482 Rights/Warrants Australia................... -- -- -- -- Austria..................... -- -- -- -- France...................... -- 13 -- 13 Hong Kong................... -- -- -- -- Italy....................... -- 11,809 -- 11,809 Spain....................... -- 702,942 -- 702,942 Securities Lending Collateral. -- 1,079,951,482 -- 1,079,951,482 -------------- -------------- -- --------------- TOTAL......................... $2,097,146,277 $8,417,780,662 -- $10,514,926,939 ============== ============== == ===============
See accompanying Notes to Financial Statements. 77 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
VALUE+ -------------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company....................... $3,041,110,694 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... 1,939,554,064 Investment in The Japanese Small Company Series of The DFA Investment Trust Company....................... 1,867,328,817 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company....................... 934,206,430 Investment in The Canadian Small Company Series of The DFA Investment Trust Company....................... 727,206,971 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $6,870,589,846)............................... 8,509,406,976 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $6,870,589,846)............................... $8,509,406,976 ==============
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------- ------- -------------- Affiliated Investment Companies. $8,509,406,976 -- -- $8,509,406,976 -------------- -- -- -------------- TOTAL........................... $8,509,406,976 -- -- $8,509,406,976 ============== == == ==============
See accompanying Notes to Financial Statements. 78 SCHEDULES OF INVESTMENTS OCTOBER 31, 2013 JAPANESE SMALL COMPANY PORTFOLIO
VALUE+ ------------ AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company..................... $414,294,832 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $389,680,331)............................... $414,294,832 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, 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..................... $331,291,612 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $301,331,502)............................... $331,291,612 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 79 SCHEDULES OF INVESTMENTS OCTOBER 31, 2013 UNITED KINGDOM SMALL COMPANY PORTFOLIO
VALUE+ ----------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company....................... $37,113,753 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $22,831,439)........................................... $37,113,753 ===========
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, 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.............................. $170,799,580 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $132,148,330).......................................... $170,799,580 ============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 80 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.5%) AUSTRALIA -- (22.0%) # CFS Retail Property Trust Group... 14,158,196 $ 27,708,920 1.3% # Commonwealth Property Office Fund. 14,987,556 16,956,375 0.8% # Dexus Property Group.............. 31,023,121 31,793,162 1.5% Federation Centres, Ltd........... 9,501,422 22,298,352 1.0% Goodman Group..................... 11,297,147 53,988,920 2.5% # GPT Group......................... 11,394,986 39,714,768 1.8% Investa Office Fund............... 3,957,702 11,618,583 0.5% # Stockland......................... 15,300,798 57,991,976 2.7% # Westfield Group................... 13,915,226 142,401,443 6.6% Westfield Retail Trust............ 19,622,341 57,248,805 2.7% Other Securities.................. 47,497,354 2.2% ------------ ------ TOTAL AUSTRALIA....................... 509,218,658 23.6% ------------ ------ BELGIUM -- (1.5%) Cofinimmo......................... 114,585 13,840,283 0.6% Other Securities.................. 20,133,082 1.0% ------------ ------ TOTAL BELGIUM......................... 33,973,365 1.6% ------------ ------ CANADA -- (5.9%) Canadian REIT..................... 240,202 9,784,088 0.5% # H&R REIT.......................... 921,949 19,099,509 0.9% # RioCan REIT....................... 1,063,614 25,961,709 1.2% Other Securities.................. 82,203,898 3.7% ------------ ------ TOTAL CANADA.......................... 137,049,204 6.3% ------------ ------ CHINA -- (0.2%) Other Securities.................. 4,864,256 0.2% ------------ ------ FRANCE -- (4.3%) Fonciere Des Regions.............. 190,204 16,289,188 0.8% Gecina SA......................... 156,246 20,850,380 1.0% ICADE............................. 237,301 21,826,829 1.0% Klepierre......................... 704,513 31,598,250 1.5% Other Securities.................. 10,065,785 0.4% ------------ ------ TOTAL FRANCE.......................... 100,630,432 4.7% ------------ ------ GERMANY -- (0.4%) Other Securities.................. 8,374,189 0.4% ------------ ------ GREECE -- (0.0%) Other Securities.................. 710,872 0.0% ------------ ------ HONG KONG -- (4.0%) # Link REIT (The)................... 15,583,305 78,594,514 3.7% Other Securities.................. 13,748,534 0.6% ------------ ------ TOTAL HONG KONG....................... 92,343,048 4.3% ------------ ------ ISRAEL -- (0.2%) Other Securities.................. 4,096,802 0.2% ------------ ------ ITALY -- (0.2%) Other Securities.................. 5,532,168 0.3% ------------ ------
81 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- JAPAN -- (16.6%) # Advance Residence Investment Corp..... 8,537 $ 19,327,474 0.9% Frontier Real Estate Investment Corp.. 1,623 16,216,774 0.7% # Japan Prime Realty Investment Corp.... 5,422 18,018,058 0.8% Japan Real Estate Investment Corp..... 4,121 47,081,579 2.2% # Japan Retail Fund Investment Corp..... 14,487 29,340,812 1.4% Mori Hills REIT Investment Corp....... 1,392 9,769,120 0.5% # Mori Trust Sogo Reit, Inc............. 1,265 11,250,428 0.5% Nippon Accommodations Fund, Inc....... 1,470 10,539,320 0.5% Nippon Building Fund, Inc............. 4,863 60,159,679 2.8% # Nomura Real Estate Office Fund, Inc... 2,509 12,394,468 0.6% # Orix JREIT, Inc....................... 10,968 13,677,853 0.6% # United Urban Investment Corp.......... 16,307 24,888,305 1.2% Other Securities...................... 112,354,555 5.1% ------------ ------ TOTAL JAPAN............................... 385,018,425 17.8% ------------ ------ MALAYSIA -- (0.6%) Other Securities...................... 13,489,527 0.6% ------------ ------ MEXICO -- (1.2%) Fibra Uno Administracion S.A. de C.V.. 8,782,987 27,195,974 1.3% ------------ ------ NETHERLANDS -- (9.3%) Corio NV.............................. 482,308 20,995,100 1.0% Eurocommercial Properties NV.......... 237,981 10,111,652 0.5% # Unibail-Rodamco SE.................... 633,736 165,575,512 7.7% Wereldhave NV......................... 147,230 11,439,812 0.5% Other Securities...................... 8,571,098 0.3% ------------ ------ TOTAL NETHERLANDS......................... 216,693,174 10.0% ------------ ------ NEW ZEALAND -- (0.7%) Other Securities...................... 15,591,258 0.7% ------------ ------ SINGAPORE -- (7.9%) Ascendas REIT......................... 13,941,000 26,506,474 1.2% # CapitaCommercial Trust................ 13,721,000 16,235,902 0.7% CapitaMall Trust...................... 16,554,300 26,887,384 1.2% # Suntec REIT........................... 14,521,000 19,986,435 0.9% Other Securities...................... 93,673,308 4.5% ------------ ------ TOTAL SINGAPORE........................... 183,289,503 8.5% ------------ ------ SOUTH AFRICA -- (2.1%) Capital Property Fund................. 9,423,574 10,037,894 0.5% Growthpoint Properties, Ltd........... 4,050,442 10,299,808 0.5% Other Securities...................... 29,205,583 1.3% ------------ ------ TOTAL SOUTH AFRICA........................ 49,543,285 2.3% ------------ ------ TAIWAN -- (0.6%) Other Securities...................... 13,745,219 0.6% ------------ ------ TURKEY -- (0.6%) Other Securities...................... 15,120,567 0.7% ------------ ------
82 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- UNITED KINGDOM -- (14.2%) British Land Co. P.L.C........................................ 6,331,990 $ 63,151,477 2.9% Derwent London P.L.C.......................................... 601,385 24,139,933 1.1% Great Portland Estates P.L.C.................................. 2,280,278 20,924,819 1.0% Hammerson P.L.C............................................... 4,812,805 40,782,360 1.9% Intu Properties P.L.C......................................... 4,019,223 22,167,268 1.0% Land Securities Group P.L.C................................... 5,251,976 83,254,870 3.9% Segro P.L.C................................................... 4,883,720 25,578,649 1.2% Shaftesbury P.L.C............................................. 1,638,837 15,605,115 0.7% Other Securities.............................................. 32,668,779 1.5% -------------- ------ TOTAL UNITED KINGDOM................................................ 328,273,270 15.2% -------------- ------ TOTAL COMMON STOCKS................................................. 2,144,753,196 99.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SINGAPORE -- (0.0%) Other Securities.............................................. 14,606 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (7.5%) (S)@ DFA Short Term Investment Fund................................ 15,038,894 174,000,000 8.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $77,480 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $70,067) to be repurchased at $68,693.... $ 69 68,693 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................. 174,068,693 8.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,051,425,581)........................................... $2,318,836,495 107.4% ============== ======
83 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia................... $ 1,073,311 $ 508,145,347 -- $ 509,218,658 Belgium..................... -- 33,973,365 -- 33,973,365 Canada...................... 137,049,204 -- -- 137,049,204 China....................... -- 4,864,256 -- 4,864,256 France...................... -- 100,630,432 -- 100,630,432 Germany..................... -- 8,374,189 -- 8,374,189 Greece...................... -- 710,872 -- 710,872 Hong Kong................... -- 92,343,048 -- 92,343,048 Israel...................... -- 4,096,802 -- 4,096,802 Italy....................... -- 5,532,168 -- 5,532,168 Japan....................... -- 385,018,425 -- 385,018,425 Malaysia.................... -- 13,489,527 -- 13,489,527 Mexico...................... 27,195,974 -- -- 27,195,974 Netherlands................. -- 216,693,174 -- 216,693,174 New Zealand................. -- 15,591,258 -- 15,591,258 Singapore................... -- 183,289,503 -- 183,289,503 South Africa................ -- 49,543,285 -- 49,543,285 Taiwan...................... -- 13,745,219 -- 13,745,219 Turkey...................... -- 15,120,567 -- 15,120,567 United Kingdom.............. -- 328,273,270 -- 328,273,270 Rights/Warrants Singapore................... -- 14,606 -- 14,606 Securities Lending Collateral. -- 174,068,693 -- 174,068,693 ------------ -------------- -- -------------- TOTAL......................... $165,318,489 $2,153,518,006 -- $2,318,836,495 ============ ============== == ==============
See accompanying Notes to Financial Statements. 84 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ ----------- -------------- AFFILIATED INVESTMENT COMPANIES -- (99.6%) Investment in DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 44,479,879 $1,235,206,238 Investment in DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc............................... 153,767,083 842,643,614 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $1,711,546,104).......................................... 2,077,849,852 -------------- TEMPORARY CASH INVESTMENTS -- (0.4%) State Street Institutional Liquid Reserves, 0.073% (Cost $8,697,235)................................................. 8,697,235 8,697,235 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,720,243,339).......................................... $2,086,547,087 ==============
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------- ------- -------------- Affiliated Investment Companies. $2,077,849,852 -- -- $2,077,849,852 Temporary Cash Investments...... 8,697,235 -- -- 8,697,235 -------------- -- -- -------------- TOTAL........................... $2,086,547,087 -- -- $2,086,547,087 ============== == == ==============
See accompanying Notes to Financial Statements. 85 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (91.3%) AUSTRALIA -- (5.0%) # Primary Health Care, Ltd..... 10,254,873 $ 47,843,315 0.4% Other Securities............. 563,553,242 5.1% ------------ ---- TOTAL AUSTRALIA.................. 611,396,557 5.5% ------------ ---- AUSTRIA -- (0.8%) # Wienerberger AG.............. 2,775,318 48,140,566 0.4% Other Securities............. 46,419,548 0.4% ------------ ---- TOTAL AUSTRIA.................... 94,560,114 0.8% ------------ ---- BELGIUM -- (0.7%) Other Securities............. 90,001,261 0.8% ------------ ---- CANADA -- (8.1%) * Canfor Corp.................. 2,000,533 41,463,116 0.4% * Celestica, Inc............... 4,266,945 46,858,025 0.4% West Fraser Timber Co., Ltd.. 640,761 58,732,584 0.5% Other Securities............. 834,777,825 7.5% ------------ ---- TOTAL CANADA..................... 981,831,550 8.8% ------------ ---- CHINA -- (0.0%) Other Securities............. 4,800,879 0.0% ------------ ---- COLOMBIA -- (0.0%) Other Securities............. 32,180 0.0% ------------ ---- DENMARK -- (1.4%) #* Vestas Wind Systems A.S...... 3,314,030 88,805,540 0.8% Other Securities............. 85,441,344 0.8% ------------ ---- TOTAL DENMARK.................... 174,246,884 1.6% ------------ ---- FINLAND -- (2.2%) Huhtamaki Oyj................ 1,837,503 44,168,925 0.4% Pohjola Bank P.L.C. Class A.. 2,317,182 42,197,505 0.4% Other Securities............. 181,698,788 1.6% ------------ ---- TOTAL FINLAND.................... 268,065,218 2.4% ------------ ---- FRANCE -- (3.4%) Havas SA..................... 5,005,668 41,624,191 0.4% Other Securities............. 370,033,186 3.3% ------------ ---- TOTAL FRANCE..................... 411,657,377 3.7% ------------ ---- GERMANY -- (4.9%) * Aareal Bank AG............... 1,133,243 43,463,385 0.4% Aurubis AG................... 1,045,010 65,840,809 0.6% Bilfinger SE................. 536,449 59,529,913 0.5% #* TUI AG....................... 3,423,151 45,350,838 0.4% Other Securities............. 386,223,402 3.5% ------------ ---- TOTAL GERMANY.................... 600,408,347 5.4% ------------ ---- GREECE -- (0.2%) Other Securities............. 19,237,021 0.2 ------------ ----
86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.1%) Other Securities............... $ 260,142,684 2.3% -------------- ----- IRELAND -- (0.4%) Smurfit Kappa Group P.L.C...... 2,066,589 50,024,929 0.5% Other Securities............... 4,130,638 0.0% -------------- ----- TOTAL IRELAND...................... 54,155,567 0.5% -------------- ----- ISRAEL -- (0.7%) Other Securities............... 89,813,252 0.8% -------------- ----- ITALY -- (2.9%) #* Banca Popolare di Milano Scarl. 77,876,899 52,021,908 0.5% * Banco Popolare................. 40,563,396 80,582,762 0.7% Other Securities............... 218,731,146 2.0% -------------- ----- TOTAL ITALY........................ 351,335,816 3.2% -------------- ----- JAPAN -- (21.2%) Fujikura, Ltd.................. 9,669,000 44,121,189 0.4% Other Securities............... 2,528,832,837 22.7% -------------- ----- TOTAL JAPAN........................ 2,572,954,026 23.1% -------------- ----- NETHERLANDS -- (1.8%) Delta Lloyd NV................. 2,392,235 50,719,278 0.5% Other Securities............... 165,018,056 1.4% -------------- ----- TOTAL NETHERLANDS.................. 215,737,334 1.9% -------------- ----- NEW ZEALAND -- (0.3%) Other Securities............... 40,904,585 0.4% -------------- ----- NORWAY -- (1.0%) Other Securities............... 116,446,422 1.0% -------------- ----- PORTUGAL -- (0.3%) Other Securities............... 40,895,443 0.4% -------------- ----- RUSSIA -- (0.1%) Other Securities............... 8,176,906 0.1% -------------- ----- SINGAPORE -- (1.6%) Other Securities............... 190,923,855 1.7% -------------- ----- SPAIN -- (2.4%) # Bankinter SA................... 11,466,414 69,912,115 0.6% * Gamesa Corp. Tecnologica SA.... 7,418,085 71,637,070 0.6% #* Sacyr SA....................... 7,674,657 41,304,181 0.4% Other Securities............... 111,875,412 1.0% -------------- ----- TOTAL SPAIN........................ 294,728,778 2.6% -------------- ----- SWEDEN -- (3.2%) # Holmen AB Class B.............. 1,385,639 46,026,833 0.4% # Trelleborg AB Class B.......... 6,024,942 113,688,584 1.0% Other Securities............... 227,930,699 2.1% -------------- ----- TOTAL SWEDEN....................... 387,646,116 3.5% -------------- -----
87 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (4.1%) Helvetia Holding AG.................. 121,594 $ 57,348,474 0.5% Swiss Life Holding AG................ 237,965 47,183,777 0.4% Other Securities..................... 396,461,344 3.6% --------------- ----- TOTAL SWITZERLAND........................ 500,993,595 4.5% --------------- ----- UNITED KINGDOM -- (22.5%) Amlin P.L.C.......................... 11,024,189 75,323,453 0.7% Ashtead Group P.L.C.................. 10,275,968 107,981,373 1.0% Barratt Developments P.L.C........... 23,445,340 125,727,208 1.1% Beazley P.L.C........................ 12,470,827 45,713,302 0.4% Bellway P.L.C........................ 3,448,205 83,054,770 0.8% Bodycote P.L.C....................... 5,021,077 52,927,267 0.5% Bovis Homes Group P.L.C.............. 3,855,116 48,499,105 0.4% Catlin Group, Ltd.................... 9,072,341 74,529,294 0.7% CSR P.L.C............................ 4,886,688 43,044,052 0.4% * Dixons Retail P.L.C.................. 78,168,061 61,244,756 0.6% DS Smith P.L.C....................... 15,213,647 73,739,578 0.7% easyJet P.L.C........................ 2,965,500 62,118,708 0.6% Greene King P.L.C.................... 4,908,532 64,953,578 0.6% Hiscox, Ltd.......................... 9,603,622 101,955,499 0.9% Home Retail Group P.L.C.............. 17,508,245 55,860,306 0.5% Inchcape P.L.C....................... 8,776,728 89,609,482 0.8% Meggitt P.L.C........................ 4,813,743 44,191,006 0.4% Millennium & Copthorne Hotels P.L.C.. 4,813,561 43,996,499 0.4% Mondi P.L.C.......................... 6,004,641 107,218,486 1.0% Persimmon P.L.C...................... 7,739,467 156,694,688 1.4% SIG P.L.C............................ 14,208,459 46,883,529 0.4% Taylor Wimpey P.L.C.................. 76,091,760 134,253,718 1.2% * Thomas Cook Group P.L.C.............. 27,405,032 63,074,658 0.6% Travis Perkins P.L.C................. 5,306,411 157,799,623 1.4% Vesuvius P.L.C....................... 5,951,466 46,267,961 0.4% Other Securities..................... 764,711,297 6.6% --------------- ----- TOTAL UNITED KINGDOM..................... 2,731,373,196 24.5% --------------- ----- TOTAL COMMON STOCKS...................... 11,112,464,963 99.7% --------------- ----- PREFERRED STOCKS -- (0.0%) FRANCE -- (0.0%) Other Securities..................... 7,401 0.0% --------------- ----- RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) Other Securities..................... -- 0.0% --------------- ----- ISRAEL -- (0.0%) Other Securities..................... 432 0.0% --------------- ----- ITALY -- (0.0%) Other Securities..................... 265 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS.................... 697 0.0% --------------- -----
88 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (8.7%) (S)@ DFA Short Term Investment Fund.................................. 91,011,236 $ 1,053,000,000 9.4% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $85,122 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $76,977) to be repurchased at $75,468...... $ 75 75,468 0.0% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................... 1,053,075,468 9.4% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,147,270,819)............................................ $12,165,548,529 109.1% =============== ======
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Common Stocks Australia................... $ 88,431 $ 611,308,126 -- $ 611,396,557 Austria..................... -- 94,560,114 -- 94,560,114 Belgium..................... 1,510 89,999,751 -- 90,001,261 Canada...................... 981,346,259 485,291 -- 981,831,550 China....................... 678,336 4,122,543 -- 4,800,879 Colombia.................... 32,180 -- -- 32,180 Denmark..................... -- 174,246,884 -- 174,246,884 Finland..................... -- 268,065,218 -- 268,065,218 France...................... 2,223,624 409,433,753 -- 411,657,377 Germany..................... 4,965,979 595,442,368 -- 600,408,347 Greece...................... -- 19,237,021 -- 19,237,021 Hong Kong................... 14,741,037 245,401,647 -- 260,142,684 Ireland..................... -- 54,155,567 -- 54,155,567 Israel...................... -- 89,813,252 -- 89,813,252 Italy....................... -- 351,335,816 -- 351,335,816 Japan....................... 1,448,639 2,571,505,387 -- 2,572,954,026 Netherlands................. -- 215,737,334 -- 215,737,334 New Zealand................. -- 40,904,585 -- 40,904,585 Norway...................... 3,851,954 112,594,468 -- 116,446,422 Portugal.................... -- 40,895,443 -- 40,895,443 Russia...................... -- 8,176,906 -- 8,176,906 Singapore................... 5,123 190,918,732 -- 190,923,855 Spain....................... -- 294,728,778 -- 294,728,778 Sweden...................... 333,888 387,312,228 -- 387,646,116 Switzerland................. -- 500,993,595 -- 500,993,595 United Kingdom.............. 69,809 2,731,303,387 -- 2,731,373,196 Preferred Stocks France...................... 7,401 -- -- 7,401 Rights/Warrants Austria..................... -- -- -- -- Israel...................... -- 432 -- 432 Italy....................... -- 265 -- 265 Securities Lending Collateral. -- 1,053,075,468 -- 1,053,075,468 -------------- --------------- -- --------------- TOTAL......................... $1,009,794,170 $11,155,754,359 -- $12,165,548,529 ============== =============== == ===============
See accompanying Notes to Financial Statements. 89 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (90.1%) AUSTRALIA -- (6.2%) Lend Lease Group.............. 182,266 $ 1,965,533 0.2% National Australia Bank, Ltd.. 62,086 2,074,966 0.2% Origin Energy, Ltd............ 193,618 2,676,665 0.3% Santos, Ltd................... 170,274 2,436,964 0.2% Other Securities.............. 65,015,626 5.9% ----------- ------ TOTAL AUSTRALIA................... 74,169,754 6.8% ----------- ------ AUSTRIA -- (0.5%) Other Securities.............. 6,056,086 0.6% ----------- ------ BELGIUM -- (1.3%) Ageas......................... 45,850 1,948,353 0.2% KBC Groep NV.................. 37,239 2,028,835 0.2% Other Securities.............. 11,849,709 1.1% ----------- ------ TOTAL BELGIUM..................... 15,826,897 1.5% ----------- ------ CANADA -- (7.9%) Toronto-Dominion Bank (The)... 21,129 1,938,117 0.2% Other Securities.............. 92,905,836 8.5% ----------- ------ TOTAL CANADA...................... 94,843,953 8.7% ----------- ------ CHINA -- (0.0%) Other Securities.............. 51,642 0.0% ----------- ------ COLOMBIA -- (0.0%) Other Securities.............. 2,213 0.0% ----------- ------ DENMARK -- (1.3%) Other Securities.............. 15,730,926 1.4% ----------- ------ FINLAND -- (1.9%) #* Nokia Oyj..................... 440,404 3,347,413 0.3% UPM-Kymmene Oyj............... 178,005 2,826,228 0.3% Other Securities.............. 16,074,028 1.4% ----------- ------ TOTAL FINLAND..................... 22,247,669 2.0% ----------- ------ FRANCE -- (6.1%) * Alcatel-Lucent................ 863,979 3,309,951 0.3% BNP Paribas SA................ 36,071 2,661,070 0.3% Cie de St-Gobain.............. 45,709 2,399,268 0.2% Lafarge SA.................... 30,333 2,092,837 0.2% Renault SA.................... 28,018 2,444,577 0.2% Sanofi........................ 23,775 2,534,965 0.2% Societe Generale SA........... 59,410 3,356,041 0.3% Other Securities.............. 54,255,917 5.0% ----------- ------ TOTAL FRANCE...................... 73,054,626 6.7% ----------- ------ GERMANY -- (5.4%) Allianz SE.................... 20,504 3,442,669 0.3% * Commerzbank AG................ 151,865 1,942,295 0.2% Daimler AG.................... 25,279 2,069,712 0.2%
90 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- GERMANY -- (Continued) Deutsche Bank AG...................... 46,645 $ 2,253,886 0.2% RWE AG................................ 73,139 2,694,593 0.3% Other Securities...................... 52,453,443 4.7% ------------ ------ TOTAL GERMANY............................. 64,856,598 5.9% ------------ ------ GREECE -- (0.3%) Other Securities...................... 3,680,643 0.3% ------------ ------ HONG KONG -- (2.6%) Other Securities...................... 31,197,896 2.9% ------------ ------ IRELAND -- (0.5%) Other Securities...................... 6,326,288 0.6% ------------ ------ ISRAEL -- (0.6%) Other Securities...................... 7,219,308 0.7% ------------ ------ ITALY -- (2.2%) Unione di Banche Italiane SCPA........ 368,830 2,549,144 0.3% Other Securities...................... 24,399,697 2.2% ------------ ------ TOTAL ITALY............................... 26,948,841 2.5% ------------ ------ JAPAN -- (20.3%) Mitsubishi UFJ Financial Group, Inc... 543,100 3,458,604 0.3% Mizuho Financial Group, Inc........... 1,011,060 2,122,278 0.2% Sumitomo Mitsui Financial Group, Inc.. 55,941 2,703,957 0.3% Other Securities...................... 235,086,487 21.5% ------------ ------ TOTAL JAPAN............................... 243,371,326 22.3% ------------ ------ NETHERLANDS -- (2.5%) Aegon NV.............................. 279,663 2,225,243 0.2% Other Securities...................... 27,729,184 2.5% ------------ ------ TOTAL NETHERLANDS......................... 29,954,427 2.7% ------------ ------ NEW ZEALAND -- (0.4%) Other Securities...................... 4,583,440 0.4% ------------ ------ NORWAY -- (1.0%) Other Securities...................... 11,920,580 1.1% ------------ ------ PORTUGAL -- (0.4%) Other Securities...................... 4,751,005 0.4% ------------ ------ RUSSIA -- (0.0%) Other Securities...................... 64,369 0.0% ------------ ------ SINGAPORE -- (1.4%) Other Securities...................... 17,230,672 1.6% ------------ ------ SPAIN -- (2.2%) Banco de Sabadell SA.................. 872,241 2,234,946 0.2% * Banco Popular Espanol SA.............. 406,071 2,303,382 0.2% Banco Santander SA.................... 288,859 2,560,815 0.3% Other Securities...................... 18,653,430 1.7% ------------ ------ TOTAL SPAIN............................... 25,752,573 2.4% ------------ ------
91 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWEDEN -- (2.8%) Other Securities........................ $ 33,475,511 3.1% -------------- ------ SWITZERLAND -- (6.1%) Credit Suisse Group AG.................. 144,732 4,502,315 0.4% Holcim, Ltd............................. 29,383 2,185,491 0.2% Julius Baer Group, Ltd.................. 47,955 2,352,468 0.2% Lonza Group AG.......................... 23,146 2,066,079 0.2% Nestle SA............................... 61,616 4,447,684 0.4% Novartis AG ADR......................... 28,202 2,187,065 0.2% Swiss Re AG............................. 48,833 4,286,688 0.4% Zurich Insurance Group AG............... 17,448 4,821,287 0.5% Other Securities........................ 46,729,698 4.2% -------------- ------ TOTAL SWITZERLAND........................... 73,578,775 6.7% -------------- ------ UNITED KINGDOM -- (16.2%) Anglo American P.L.C.................... 146,774 3,489,782 0.3% Barratt Developments P.L.C.............. 423,037 2,268,564 0.2% BP P.L.C................................ 297,377 2,308,419 0.2% BP P.L.C. Sponsored ADR................. 103,538 4,814,517 0.5% # HSBC Holdings P.L.C. Sponsored ADR...... 175,852 9,678,894 0.9% Legal & General Group P.L.C............. 566,357 1,962,884 0.2% * Lloyds Banking Group P.L.C.............. 2,002,798 2,477,053 0.2% Old Mutual P.L.C........................ 627,407 2,044,744 0.2% Resolution, Ltd......................... 479,648 2,746,351 0.3% Royal Dutch Shell P.L.C. ADR(780259206). 60,794 4,052,528 0.4% Royal Dutch Shell P.L.C. ADR(780259107). 88,550 6,155,996 0.6% RSA Insurance Group P.L.C............... 981,571 2,021,573 0.2% Vodafone Group P.L.C. Sponsored ADR..... 165,738 6,102,473 0.6% Other Securities........................ 144,571,988 13.1% -------------- ------ TOTAL UNITED KINGDOM........................ 194,695,766 17.9% -------------- ------ UNITED STATES -- (0.0%) Other Securities........................ 50,776 0.0% -------------- ------ TOTAL COMMON STOCKS......................... 1,081,642,560 99.2% -------------- ------ PREFERRED STOCKS -- (0.0%) FRANCE -- (0.0%) Other Securities........................ 1 0.0% -------------- ------ GERMANY -- (0.0%) Other Securities........................ 188,714 0.0% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities........................ 9,032 0.0% -------------- ------ TOTAL PREFERRED STOCKS...................... 197,747 0.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ------ AUSTRIA -- (0.0%) Other Securities........................ -- 0.0% -------------- ------ FRANCE -- (0.0%) Other Securities........................ 16 0.0% -------------- ------
92 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities................................................. $ -- 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................................................. 1,046 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................................................. 62,360 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................................................. 63,422 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (9.9%) (S)@ DFA Short Term Investment Fund................................... 10,285,220 119,000,000 10.9% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $169,878 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $153,624) to be repurchased at $150,613............... $ 151 150,612 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 119,150,612 10.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $978,641,888)................................................ $1,201,054,341 110.1% ============== ======
93 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Australia................... $ 1,168,941 $ 73,000,813 -- $ 74,169,754 Austria..................... -- 6,056,086 -- 6,056,086 Belgium..................... 875,336 14,951,561 -- 15,826,897 Canada...................... 94,837,465 6,488 -- 94,843,953 China....................... 5,467 46,175 -- 51,642 Colombia.................... 2,213 -- -- 2,213 Denmark..................... -- 15,730,926 -- 15,730,926 Finland..................... -- 22,247,669 -- 22,247,669 France...................... 2,155,798 70,898,828 -- 73,054,626 Germany..................... 4,279,468 60,577,130 -- 64,856,598 Greece...................... 4,844 3,675,799 -- 3,680,643 Hong Kong................... 279,902 30,917,994 -- 31,197,896 Ireland..................... 1,757,074 4,569,214 -- 6,326,288 Israel...................... 922,161 6,297,147 -- 7,219,308 Italy....................... 1,296,432 25,652,409 -- 26,948,841 Japan....................... 4,504,801 238,866,525 -- 243,371,326 Netherlands................. 5,157,662 24,796,765 -- 29,954,427 New Zealand................. 5,022 4,578,418 -- 4,583,440 Norway...................... 595,569 11,325,011 -- 11,920,580 Portugal.................... -- 4,751,005 -- 4,751,005 Russia...................... -- 64,369 -- 64,369 Singapore................... -- 17,230,672 -- 17,230,672 Spain....................... 1,257,668 24,494,905 -- 25,752,573 Sweden...................... 13,424 33,462,087 -- 33,475,511 Switzerland................. 5,618,343 67,960,432 -- 73,578,775 United Kingdom.............. 37,975,431 156,720,335 -- 194,695,766 United States............... 50,776 -- -- 50,776 Preferred Stocks France...................... 1 -- -- 1 Germany..................... -- 188,714 -- 188,714 United Kingdom.............. -- 9,032 -- 9,032 Rights/Warrants Australia................... -- -- -- -- Austria..................... -- -- -- -- France...................... -- 16 -- 16 Hong Kong................... -- -- -- -- Italy....................... -- 1,046 -- 1,046 Spain....................... -- 62,360 -- 62,360 Securities Lending Collateral. -- 119,150,612 -- 119,150,612 ------------ -------------- -- -------------- TOTAL......................... $162,763,798 $1,038,290,543 -- $1,201,054,341 ============ ============== == ==============
See accompanying Notes to Financial Statements. 94 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ ------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company........................... $ 82,013,299 Investment in Dimensional Emerging Markets Value Fund........ 24,814,665 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 526,844 10,626,448 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $102,161,430)..................................... 117,454,412 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $102,161,430)..................................... $117,454,412 ============
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ----------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------- ------- ------------ Affiliated Investment Companies. $117,454,412 -- -- $117,454,412 ------------ -- -- ------------ TOTAL........................... $117,454,412 -- -- $117,454,412 ============ == == ============
See accompanying Notes to Financial Statements. 95 WORLD EX U.S. TARGETED VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc........................ 2,950,303 $59,507,603 Investment in Dimensional Emerging Markets Value Fund........ 22,063,755 Investment in International Vector Equity Portfolio of DFA Investment Dimensions Group Inc........................ 735,217 8,638,806 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company........................... 5,728,688 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $84,292,613)...................................... 95,938,852 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $84,292,613)...................................... $95,938,852 ===========
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------- ------- ----------- Affiliated Investment Companies. $95,938,852 -- -- $95,938,852 ----------- -- -- ----------- TOTAL........................... $95,938,852 -- -- $95,938,852 =========== == == ===========
See accompanying Notes to Financial Statements. 96 WORLD EX U.S. CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ --------- ------------ AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 7,934,151 $ 99,732,282 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 1,478,473 29,702,529 ------------ TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $117,714,895)................................. 129,434,811 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $117,714,895)................................. $129,434,811 ============
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ----------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------- ------- ------------ Affiliated Investment Companies. $129,434,811 -- -- $129,434,811 ------------ -- -- ------------ TOTAL........................... $129,434,811 -- -- $129,434,811 ============ == == ============
See accompanying Notes to Financial Statements. 97 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
SHARES VALUE+ --------- ----------- AFFILIATED INVESTMENT COMPANIES -- (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.................... 2,406,753 $37,593,478 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 2,772,248 34,847,158 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.................... 755,956 15,187,160 ----------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $72,257,364).................................. 87,627,796 ----------- TOTAL INVESTMENTS -- (100.0%) (Cost $72,257,364).................................. $87,627,796 ===========
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- ------- ------- ----------- Affiliated Investment Companies. $87,627,796 -- -- $87,627,796 Futures Contracts**............. 132,768 -- -- 132,768 Forward Currency Contracts**.... -- $28,113 -- 28,113 ----------- ------- -- ----------- TOTAL........................... $87,760,564 $28,113 -- $87,788,677 =========== ======= == ===========
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 98 SCHEDULES OF INVESTMENTS OCTOBER 31, 2013 EMERGING MARKETS PORTFOLIO
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company..................... $3,653,886,907 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $2,522,234,797)............................. $3,653,886,907 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, 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..................... $4,037,179,777 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $3,582,520,729)............................. $4,037,179,777 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS VALUE PORTFOLIO
VALUE+ --------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in Dimensional Emerging Markets Value Fund.. $19,256,425,152 --------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $18,840,666,697)............................ $19,256,425,152 ===============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 99 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (88.4%) BRAZIL -- (9.1%) Banco Bradesco SA................................... 2,129,629 $ 34,299,515 0.3% # Banco Bradesco SA ADR............................... 5,097,969 73,512,708 0.6% Banco do Brasil SA.................................. 2,450,339 32,434,641 0.3% BM&FBovespa SA...................................... 7,415,089 41,792,285 0.3% Gerdau SA Sponsored ADR............................. 3,674,735 29,140,649 0.2% # Itau Unibanco Holding SA ADR........................ 5,554,966 85,602,024 0.7% Petroleo Brasileiro SA ADR.......................... 3,861,209 67,300,873 0.5% # Petroleo Brasileiro SA Sponsored ADR................ 5,128,535 93,134,196 0.7% # Vale SA Sponsored ADR(91912E105).................... 3,426,868 54,864,157 0.4% Vale SA Sponsored ADR(91912E204).................... 4,029,593 58,993,242 0.5% Other Securities.................................... 724,890,322 5.4% -------------- ----- TOTAL BRAZIL............................................ 1,295,964,612 9.9% -------------- ----- CHILE -- (1.4%) Other Securities.................................... 201,874,444 1.5% -------------- ----- CHINA -- (13.7%) Bank of China, Ltd. Class H......................... 145,776,702 68,633,093 0.5% China Construction Bank Corp. Class H............... 152,896,302 118,957,385 0.9% # China Mobile, Ltd. Sponsored ADR.................... 1,489,143 77,465,219 0.6% CNOOC, Ltd.......................................... 15,368,000 31,179,535 0.3% CNOOC, Ltd. ADR..................................... 175,892 35,584,711 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 143,278,725 100,257,149 0.8% Tencent Holdings, Ltd............................... 970,900 52,968,595 0.4% Other Securities.................................... 1,465,753,971 11.2% -------------- ----- TOTAL CHINA............................................. 1,950,799,658 15.0% -------------- ----- COLOMBIA -- (0.5%) Other Securities.................................... 72,542,345 0.6% -------------- ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 40,313,246 0.3% -------------- ----- EGYPT -- (0.0%) Other Securities.................................... 6,886,974 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 773,692 0.0% -------------- ----- HUNGARY -- (0.3%) Other Securities.................................... 39,695,409 0.3% -------------- ----- INDIA -- (6.1%) HDFC Bank, Ltd...................................... 2,994,559 33,307,680 0.3% # Infosys, Ltd. Sponsored ADR......................... 669,643 35,531,258 0.3% Reliance Industries, Ltd............................ 3,724,395 55,433,229 0.4% Other Securities.................................... 745,642,395 5.7% -------------- ----- TOTAL INDIA............................................. 869,914,562 6.7% -------------- ----- INDONESIA -- (2.3%) Other Securities.................................... 334,715,998 2.6% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 330,970 0.0% -------------- -----
100 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (4.1%) CIMB Group Holdings Bhd................... 14,070,063 $ 33,444,890 0.3% Malayan Banking Bhd....................... 12,903,788 39,996,828 0.3% Other Securities.......................... 509,663,424 3.9% -------------- ----- TOTAL MALAYSIA................................ 583,105,142 4.5% -------------- ----- MEXICO -- (4.8%) Alfa S.A.B. de C.V. Class A............... 12,826,789 35,116,435 0.3% # America Movil S.A.B. de C.V. Series L ADR. 2,589,383 55,438,689 0.4% #* Cemex S.A.B. de C.V. Sponsored ADR........ 6,149,067 65,057,129 0.5% # Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR............................ 555,503 51,828,430 0.4% Grupo Financiero Banorte S.A.B. de C.V.... 8,197,629 52,475,884 0.4% Grupo Mexico S.A.B. de C.V. Series B...... 12,013,141 38,072,650 0.3% # Grupo Televisa S.A.B. Sponsored ADR....... 1,810,392 55,108,332 0.4% Other Securities.......................... 332,326,572 2.6% -------------- ----- TOTAL MEXICO.................................. 685,424,121 5.3% -------------- ----- PERU -- (0.1%) Other Securities.......................... 18,921,333 0.1% -------------- ----- PHILIPPINES -- (1.3%) Other Securities.......................... 188,172,356 1.4% -------------- ----- POLAND -- (1.7%) Other Securities.......................... 244,111,479 1.9% -------------- ----- RUSSIA -- (3.8%) Gazprom OAO Sponsored ADR................. 19,360,421 180,969,619 1.4% # Lukoil OAO Sponsored ADR.................. 1,464,268 95,900,562 0.7% Sberbank of Russia Sponsored ADR.......... 5,532,517 70,552,743 0.6% Tatneft OAO Sponsored ADR................. 739,208 30,365,137 0.2% Other Securities.......................... 162,340,575 1.2% -------------- ----- TOTAL RUSSIA.................................. 540,128,636 4.1% -------------- ----- SOUTH AFRICA -- (6.7%) FirstRand, Ltd............................ 9,125,832 32,761,624 0.3% MTN Group, Ltd............................ 3,230,167 64,206,532 0.5% Naspers, Ltd. Class N..................... 631,382 59,099,733 0.5% Sanlam, Ltd............................... 7,258,066 38,943,664 0.3% Sasol, Ltd................................ 765,727 39,126,959 0.3% # Sasol, Ltd. Sponsored ADR................. 869,022 44,337,502 0.3% # Standard Bank Group, Ltd.................. 3,305,953 42,058,657 0.3% Other Securities.......................... 632,836,511 4.8% -------------- ----- TOTAL SOUTH AFRICA............................ 953,371,182 7.3% -------------- ----- SOUTH KOREA -- (13.6%) Hana Financial Group, Inc................. 1,071,129 41,187,342 0.3% Hyundai Mobis............................. 136,261 38,436,499 0.3% Hyundai Motor Co.......................... 344,450 82,063,088 0.6% # Kia Motors Corp........................... 584,259 33,946,142 0.3% # POSCO ADR................................. 473,943 35,289,796 0.3% Samsung Electronics Co., Ltd.............. 204,504 282,022,914 2.2% Other Securities.......................... 1,425,493,978 10.9% -------------- ----- TOTAL SOUTH KOREA............................. 1,938,439,759 14.9% -------------- -----
101 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (13.6%) CTBC Financial Holding Co., Ltd.............. 43,121,191 $ 29,250,510 0.2% Hon Hai Precision Industry Co., Ltd.......... 28,489,623 72,428,987 0.6% # Taiwan Semiconductor Manufacturing Co., Ltd.. 40,714,652 150,056,501 1.2% Other Securities............................. 1,695,589,463 13.0% --------------- ------ TOTAL TAIWAN..................................... 1,947,325,461 15.0% --------------- ------ THAILAND -- (2.9%) Other Securities............................. 415,125,485 3.2% --------------- ------ TURKEY -- (2.1%) Other Securities............................. 298,790,261 2.3% --------------- ------ UNITED STATES -- (0.0%) Other Securities............................. 126,755 0.0% --------------- ------ TOTAL COMMON STOCKS.............................. 12,626,853,880 97.0% --------------- ------ PREFERRED STOCKS -- (1.9%) BRAZIL -- (1.8%) Itau Unibanco Holding SA..................... 2,951,785 45,672,482 0.4% Other Securities............................. 209,006,990 1.5% --------------- ------ TOTAL BRAZIL..................................... 254,679,472 1.9% --------------- ------ CHILE -- (0.0%) Other Securities............................. 2,111,459 0.0% --------------- ------ COLOMBIA -- (0.1%) Other Securities............................. 8,313,715 0.1% --------------- ------ TOTAL PREFERRED STOCKS........................... 265,104,646 2.0% --------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................. 11,935 0.0% --------------- ------ CHILE -- (0.0%) Other Securities............................. 31 0.0% --------------- ------ MALAYSIA -- (0.0%) Other Securities............................. 174,504 0.0% --------------- ------ POLAND -- (0.0%) Other Securities............................. -- 0.0% --------------- ------ SOUTH KOREA -- (0.0%) Other Securities............................. 15,747 0.0% --------------- ------ THAILAND -- (0.0%) Other Securities............................. 36,842 0.0% --------------- ------ TOTAL RIGHTS/WARRANTS............................ 239,059 0.0% --------------- ------
102 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (9.7%) (S)@ DFA Short Term Investment Fund.............................. 118,582,541 $ 1,372,000,000 10.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $12,370,390 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $11,186,777) to be repurchased at $10,967,465................................. $ 10,967 10,967,428 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,382,967,428 10.6% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $13,051,760,683)...................................... $14,275,165,013 109.6% =============== ======
103 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Common Stocks Brazil...................... $ 673,687,040 $ 622,277,572 -- $ 1,295,964,612 Chile....................... 53,152,182 148,722,262 -- 201,874,444 China....................... 209,489,377 1,741,310,281 -- 1,950,799,658 Colombia.................... 72,542,345 -- -- 72,542,345 Czech Republic.............. -- 40,313,246 -- 40,313,246 Egypt....................... -- 6,886,974 -- 6,886,974 Hong Kong................... -- 773,692 -- 773,692 Hungary..................... 248,373 39,447,036 -- 39,695,409 India....................... 77,607,096 792,307,466 -- 869,914,562 Indonesia................... 13,389,435 321,326,563 -- 334,715,998 Israel...................... -- 330,970 -- 330,970 Malaysia.................... -- 583,105,142 -- 583,105,142 Mexico...................... 685,300,950 123,171 -- 685,424,121 Peru........................ 18,921,333 -- -- 18,921,333 Philippines................. 3,409,239 184,763,117 -- 188,172,356 Poland...................... 84,720 244,026,759 -- 244,111,479 Russia...................... 21,167,946 518,960,690 -- 540,128,636 South Africa................ 81,220,811 872,150,371 -- 953,371,182 South Korea................. 93,287,756 1,845,152,003 -- 1,938,439,759 Taiwan...................... 41,170,777 1,906,154,684 -- 1,947,325,461 Thailand.................... 415,119,288 6,197 -- 415,125,485 Turkey...................... 4,597,018 294,193,243 -- 298,790,261 United States............... -- 126,755 -- 126,755 Preferred Stocks Brazil...................... 4,574,692 250,104,780 -- 254,679,472 Chile....................... -- 2,111,459 -- 2,111,459 Colombia.................... 8,313,715 -- -- 8,313,715 Rights/Warrants Brazil...................... -- 11,935 -- 11,935 Chile....................... -- 31 -- 31 Malaysia.................... -- 174,504 -- 174,504 Poland...................... -- -- -- -- South Korea................. -- 15,747 -- 15,747 Thailand.................... -- 36,842 -- 36,842 Securities Lending Collateral. -- 1,382,967,428 -- 1,382,967,428 -------------- --------------- -- --------------- TOTAL......................... $2,477,284,093 $11,797,880,920 -- $14,275,165,013 ============== =============== == ===============
See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
ENHANCED U.S. LARGE COMPANY U.S. LARGE CAP U.S. LARGE CAP PORTFOLIO EQUITY PORTFOLIO VALUE PORTFOLIO - ------------ ---------------- --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- -- $ 11,967,120 Investments at Value (including $0, $32,917, $0 and $603,977 of securities on loan, respectively).................................. $ 211,548 $ 134,084 -- Temporary Cash Investments at Value & Cost.......................... -- 2,237 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... -- 33,752 -- Foreign Currencies at Value......................................... 3,367 -- -- Cash................................................................ 679 -- -- Receivables: Investment Securities/Affiliated Investment Company Sold.......... 11,265 -- -- Dividends, Interest and Tax Reclaims.............................. 1,140 110 -- Securities Lending Income......................................... -- 4 -- Fund Shares Sold.................................................. 19 947 9,362 From Advisor...................................................... -- 1 -- Unrealized Gain on Forward Currency Contracts....................... 101 -- -- Unrealized Gain on Foreign Currency Contracts....................... 10 -- -- Deferred Offering Costs............................................. -- 28 -- Prepaid Expenses and Other Assets................................... 16 8 91 ------------ ------------ -------------- Total Assets.................................................... 228,145 171,171 11,976,573 ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.................................. -- 33,752 -- Investment Securities/Affiliated Investment Company Purchased........................................................ 13,374 1,914 -- Fund Shares Redeemed.............................................. 433 77 11,554 Due to Advisor.................................................... 36 -- 1,477 Futures Margin Variation.......................................... 1,121 -- -- Unrealized Loss on Forward Currency Contracts....................... 318 -- -- Accrued Expenses and Other Liabilities.............................. 23 21 470 ------------ ------------ -------------- Total Liabilities............................................... 15,305 35,764 13,501 ------------ ------------ -------------- NET ASSETS.......................................................... $ 212,840 $ 135,407 $ 11,963,072 ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $9,470 and shares outstanding of 0; 0; 0 and 418,568, respectively........ N/A N/A N/A ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A ============ ============ ============== Class R2 Shares -- based on net assets of $0; $0; $0 and $23,305 and shares outstanding of 0; 0; 0 and 1,032,756, respectively....................................................... N/A N/A N/A ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... N/A N/A N/A ============ ============ ============== Institutional Class Shares -- based on net assets of $212,840; $135,407; $11,963,072 and $4,180,974 and shares outstanding of 18,187,882; 12,227,071; 402,570,195 and 184,963,719, respectively....................................................... $ 11.70 $ 11.07 $ 29.72 ============ ============ ============== NUMBER OF SHARES AUTHORIZED......................................... 300,000,000 100,000,000 2,000,000,000 ============ ============ ============== Investments in Affiliated Investment Company at Cost................ $ -- $ -- $ 7,741,067 ============ ============ ============== Investments at Cost................................................. $ 207,573 $ 123,524 $ -- ============ ============ ============== Foreign Currencies at Cost.......................................... $ 3,401 $ -- $ -- ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 209,974 $ 124,529 $ 8,221,868 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 200 281 28,203 Accumulated Net Realized Gain (Loss)................................ (8,972) 37 (513,052) Net Unrealized Foreign Exchange Gain (Loss)......................... (217) -- -- Net Unrealized Appreciation (Depreciation).......................... 11,855 10,560 4,226,053 ------------ ------------ -------------- NET ASSETS.......................................................... $ 212,840 $ 135,407 $ 11,963,072 ============ ============ ==============
U.S. TARGETED VALUE PORTFOLIO - --------------- ASSETS: Investments in Affiliated Investment Company at Value............... -- Investments at Value (including $0, $32,917, $0 and $603,977 of securities on loan, respectively).................................. $ 4,177,782 Temporary Cash Investments at Value & Cost.......................... 25,535 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................................... 623,299 Foreign Currencies at Value......................................... -- Cash................................................................ 682 Receivables: Investment Securities/Affiliated Investment Company Sold.......... 7,259 Dividends, Interest and Tax Reclaims.............................. 1,194 Securities Lending Income......................................... 212 Fund Shares Sold.................................................. 11,574 From Advisor...................................................... -- Unrealized Gain on Forward Currency Contracts....................... -- Unrealized Gain on Foreign Currency Contracts....................... -- Deferred Offering Costs............................................. -- Prepaid Expenses and Other Assets................................... 52 ------------ Total Assets.................................................... 4,847,589 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................. 623,299 Investment Securities/Affiliated Investment Company Purchased........................................................ 6,934 Fund Shares Redeemed.............................................. 1,994 Due to Advisor.................................................... 1,255 Futures Margin Variation.......................................... -- Unrealized Loss on Forward Currency Contracts....................... -- Accrued Expenses and Other Liabilities.............................. 358 ------------ Total Liabilities............................................... 633,840 ------------ NET ASSETS.......................................................... $ 4,213,749 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares -- based on net assets of $0; $0; $0 and $9,470 and shares outstanding of 0; 0; 0 and 418,568, respectively........ 22.63 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Class R2 Shares -- based on net assets of $0; $0; $0 and $23,305 and shares outstanding of 0; 0; 0 and 1,032,756, respectively....................................................... 22.57 ============ NUMBER OF SHARES AUTHORIZED......................................... 100,000,000 ============ Institutional Class Shares -- based on net assets of $212,840; $135,407; $11,963,072 and $4,180,974 and shares outstanding of 18,187,882; 12,227,071; 402,570,195 and 184,963,719, respectively....................................................... $ 22.60 ============ NUMBER OF SHARES AUTHORIZED......................................... 700,000,000 ============ Investments in Affiliated Investment Company at Cost................ $ -- ============ Investments at Cost................................................. $ 2,844,192 ============ Foreign Currencies at Cost.......................................... $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital..................................................... $ 2,629,141 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................. 484 Accumulated Net Realized Gain (Loss)................................ 250,534 Net Unrealized Foreign Exchange Gain (Loss)......................... -- Net Unrealized Appreciation (Depreciation).......................... 1,333,590 ------------ NET ASSETS.......................................................... $ 4,213,749 ============
See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
U.S. CORE U.S. CORE U.S. VECTOR U.S. SMALL CAP EQUITY 1 EQUITY 2 EQUITY VALUE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO --------------- -------------- -------------- -------------- ASSETS: Investments at Value (including $1,459,443, $712,697, $1,030,739 and $369,531 of securities on loan, respectively).............................. $ 9,470,398 $ 7,536,491 $ 9,966,682 $ 2,889,233 Temporary Cash Investments at Value & Cost........... 58,724 31,599 33,429 6,584 Collateral from Securities on Loan Invested in Affiliate at Value & Cost........................... 1,508,504 733,079 1,060,641 382,245 Cash................................................. 1,910 116 249 159 Receivables: Investment Securities Sold......................... 10,101 10 12 22 Dividends and Interest............................. 3,208 5,183 6,608 1,491 Securities Lending Income.......................... 463 290 427 200 Fund Shares Sold................................... 8,354 12,580 16,856 3,954 Prepaid Expenses and Other Assets.................... 101 135 107 45 -------------- -------------- -------------- -------------- Total Assets.................................... 11,061,763 8,319,483 11,085,011 3,283,933 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Upon Return of Securities Loaned................... 1,508,504 733,079 1,060,641 382,245 Investment Securities Purchased.................... 15,676 15,331 27,957 4,588 Fund Shares Redeemed............................... 5,851 3,238 4,430 2,304 Due to Advisor..................................... 3,973 1,061 1,654 722 Accrued Expenses and Other Liabilities............... 778 595 765 232 -------------- -------------- -------------- -------------- Total Liabilities............................... 1,534,782 753,304 1,095,447 390,091 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 9,526,981 $ 7,566,179 $ 9,989,564 $ 2,893,842 ============== ============== ============== ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $9,526,981; $7,566,179; $9,989,564 and $2,893,842 and shares outstanding of 276,282,421; 480,572,749; 639,564,977 and 185,306,591, respectively........................... $ 34.48 $ 15.74 $ 15.62 $ 15.62 ============== ============== ============== ============== NUMBER OF SHARES AUTHORIZED.......................... 1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 ============== ============== ============== ============== Investments at Cost.................................. $ 6,597,207 $ 5,237,337 $ 6,797,207 $ 1,961,480 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-In Capital...................................... $ 6,214,232 $ 5,218,221 $ 6,704,700 $ 1,923,097 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................. 1,366 14,478 14,555 3,096 Accumulated Net Realized Gain (Loss)................. 438,192 34,326 100,834 39,896 Net Unrealized Appreciation (Depreciation)........... 2,873,191 2,299,154 3,169,475 927,753 -------------- -------------- -------------- -------------- NET ASSETS........................................... $ 9,526,981 $ 7,566,179 $ 9,989,564 $ 2,893,842 ============== ============== ============== ==============
See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA REAL ESTATE LARGE CAP U.S. SMALL CAP U.S. MICRO CAP SECURITIES INTERNATIONAL PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO* -------------- -------------- ------------ ------------- ASSETS: Investments at Value (including $1,665,475, $805,423, $480,855 and $254,244 of securities on loan, respectively).............................................. $ 7,426,595 $ 4,683,423 $ 4,650,418 $ 2,743,088 Temporary Cash Investments at Value & Cost.................. 36,843 12,694 14,133 -- Collateral Received from Securities on Loan at Value & Cost....................................................... -- -- -- 339 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,718,441 834,896 497,984 249,000 Foreign Currencies at Value................................. -- -- -- 5,513 Cash........................................................ 763 1,180 -- 7,027 Receivables: Investment Securities Sold................................ 13,342 5,015 -- -- Dividends, Interest and Tax Reclaims...................... 2,095 1,445 6,298 6,568 Securities Lending Income................................. 765 647 72 177 Fund Shares Sold.......................................... 8,859 2,100 9,344 1,319 Prepaid Expenses and Other Assets........................... 55 47 53 21 -------------- -------------- ------------ ------------ Total Assets........................................... 9,207,758 5,541,447 5,178,302 3,013,052 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,718,441 834,896 497,984 249,339 Investment Securities Purchased........................... 34,151 6,291 -- 4,905 Fund Shares Redeemed...................................... 5,540 2,072 1,957 2,851 Due to Advisor............................................ 2,166 1,966 492 574 Unrealized Loss on Foreign Currency Contracts............... -- -- -- 13 Accrued Expenses and Other Liabilities...................... 633 391 451 256 -------------- -------------- ------------ ------------ Total Liabilities...................................... 1,760,931 845,616 500,884 257,938 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 7,446,827 $ 4,695,831 $ 4,677,418 $ 2,755,114 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $7,446,827; $4,695,831; $4,677,418 and $2,755,114 and shares outstanding of 248,001,921; 239,125,446; 168,423,065 and 124,102,982, respectively.................. $ 30.03 $ 19.64 $ 27.77 $ 22.20 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 1,000,000,000 1,500,000,000 700,000,000 500,000,000 ============== ============== ============ ============ Investments at Cost......................................... $ 5,223,959 $ 3,062,833 $ 3,317,741 $ 2,105,213 ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ -- $ -- $ -- $ 5,504 ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 5,020,485 $ 2,867,133 $ 3,572,655 $ 2,345,517 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 3,164 1,656 32,390 6,579 Accumulated Net Realized Gain (Loss)........................ 220,542 206,452 (260,304) (234,908) Net Unrealized Foreign Exchange Gain (Loss)................. -- -- -- 42 Net Unrealized Appreciation (Depreciation).................. 2,202,636 1,620,590 1,332,677 637,884 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 7,446,827 $ 4,695,831 $ 4,677,418 $ 2,755,114 ============== ============== ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
INTERNATIONAL JAPANESE ASIA PACIFIC INTERNATIONAL SMALL SMALL SMALL CORE EQUITY COMPANY COMPANY COMPANY PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- ------------ ------------ ASSETS: Investments in Affiliated Investment Companies at Value...................................................... -- $ 8,509,407 $ 414,295 $ 331,292 Investments at Value (including $1,069,370, $0, $0 and $0 of securities on loan, respectively)....................... $ 9,434,976 -- -- -- Temporary Cash.............................................. -- 12,173 -- -- Collateral Received from Securities on Loan at Value & Cost....................................................... 4,951 -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,075,000 -- -- -- Foreign Currencies at Value................................. 2,087 -- -- -- Cash........................................................ 38,004 -- -- -- Receivables: Investment Securities Sold................................ 380 -- -- -- Dividends, Interest and Tax Reclaims...................... 21,328 -- -- -- Securities Lending Income................................. 771 -- -- -- Fund Shares Sold.......................................... 17,948 4,045 -- 15 Prepaid Expenses and Other Assets........................... 127 56 7 7 -------------- -------------- ------------ ------------ Total Assets........................................... 10,595,572 8,525,681 414,302 331,314 -------------- -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,079,951 -- -- -- Investment Securities Purchased........................... 647 -- -- -- Fund Shares Redeemed...................................... 2,917 1,771 6 7 Due to Advisor............................................ 2,762 2,846 140 112 Accrued Expenses and Other Liabilities...................... 829 347 24 29 -------------- -------------- ------------ ------------ Total Liabilities...................................... 1,087,106 4,964 170 148 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,508,466 $ 8,520,717 $ 414,132 $ 331,166 ============== ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $9,508,466; $8,520,717; $414,132 and $331,166 and shares outstanding of 756,633,598; 439,239,988; 21,422,259 and 13,342,290, respectively.................... $ 12.57 $ 19.40 $ 19.33 $ 24.82 ============== ============== ============ ============ NUMBER OF SHARES AUTHORIZED................................. 2,000,000,000 1,500,000,000 100,000,000 100,000,000 ============== ============== ============ ============ Investments in Affiliated Investment Companies at Cost...... $ -- $ 6,870,590 $ 389,680 $ 301,332 ============== ============== ============ ============ Investments at Cost......................................... $ 7,979,985 $ -- $ -- $ -- ============== ============== ============ ============ Foreign Currencies at Cost.................................. $ 2,101 $ -- $ -- $ -- ============== ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 8,141,579 $ 6,624,670 $ 452,510 $ 321,830 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 27,329 27,083 6,178 6,418 Accumulated Net Realized Gain (Loss)........................ (115,510) 230,130 (69,159) (27,045) Net Unrealized Foreign Exchange Gain (Loss)................. 91 17 (12) 3 Net Unrealized Appreciation (Depreciation).................. 1,454,977 1,638,817 24,615 29,960 -------------- -------------- ------------ ------------ NET ASSETS.................................................. $ 9,508,466 $ 8,520,717 $ 414,132 $ 331,166 ============== ============== ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA UNITED CONTINENTAL INTERNATIONAL DFA GLOBAL KINGDOM SMALL SMALL REAL ESTATE REAL ESTATE COMPANY COMPANY SECURITIES SECURITIES PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO ------------- ------------ ------------- ------------ ASSETS: Investments in Affiliated Investment Companies at Value............... $ 37,114 $ 170,800 -- $ 2,077,850 Investments at Value (including $0, $0, $131,048 and $0 of securities on loan, respectively)............................................... -- -- $ 2,144,767 -- Temporary Cash Investments at Value & Cost............................ -- -- -- 8,697 Collateral Received from Securities on Loan at Value & Cost........... -- -- 69 -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................................. -- -- 174,000 -- Foreign Currencies at Value........................................... -- -- 673 -- Cash.................................................................. -- -- 11,903 -- Receivables: Investment Securities/Affiliated Investment Company Sold............ -- -- 103 -- Dividends, Interest and Tax Reclaims................................ -- -- 6,543 2 Securities Lending Income........................................... -- -- 105 -- Fund Shares Sold.................................................... -- 97 3,134 4,833 Unrealized Gain on Foreign Currency Contracts......................... -- -- 3 -- Prepaid Expenses and Other Assets..................................... 7 7 20 55 ------------ ------------ ------------ ------------ Total Assets..................................................... 37,121 170,904 2,341,320 2,091,437 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.................................... -- -- 174,069 -- Investment Securities/Affiliated Investment Company Purchased....... -- -- 6,827 7,624 Fund Shares Redeemed................................................ -- 18 549 955 Due to Advisor...................................................... 12 57 626 2 Unrealized Loss on Foreign Currency Contracts......................... -- -- 28 -- Accrued Expenses and Other Liabilities................................ 13 23 244 149 ------------ ------------ ------------ ------------ Total Liabilities................................................ 25 98 182,343 8,730 ------------ ------------ ------------ ------------ NET ASSETS............................................................ $ 37,096 $ 170,806 $ 2,158,977 $ 2,082,707 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $37,096; $170,806; $2,158,977 and $2,082,707 and shares outstanding of 1,003,742; 8,428,839; 393,952,649 and 217,181,753, respectively......................................................... $ 36.96 $ 20.26 $ 5.48 $ 9.59 ============ ============ ============ ============ NUMBER OF SHARES AUTHORIZED........................................... 100,000,000 100,000,000 700,000,000 500,000,000 ============ ============ ============ ============ Investments in Affiliated Investment Companies at Cost................ $ 22,831 $ 132,148 $ -- $ 1,711,546 ============ ============ ============ ============ Investments at Cost................................................... $ -- $ -- $ 1,877,357 $ -- ============ ============ ============ ============ Foreign Currencies at Cost............................................ $ -- $ -- $ 675 $ -- ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital....................................................... $ 22,451 $ 158,589 $ 2,279,985 $ 1,738,841 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................................... 129 92 (147,973) 11,624 Accumulated Net Realized Gain (Loss).................................. 229 (26,656) (240,429) (34,062) Net Unrealized Foreign Exchange Gain (Loss)........................... 4 129 (14) -- Net Unrealized Appreciation (Depreciation)............................ 14,283 38,652 267,408 366,304 ------------ ------------ ------------ ------------ NET ASSETS............................................................ $ 37,096 $ 170,806 $ 2,158,977 $ 2,082,707 ============ ============ ============ ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA INTERNATIONAL INTERNATIONAL WORLD EX U.S. SMALL CAP VECTOR EQUITY WORLD EX U.S. TARGETED VALUE VALUE PORTFOLIO* PORTFOLIO* VALUE PORTFOLIO PORTFOLIO ---------------- ------------- --------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value...................................................... -- -- $ 117,454 $ 95,939 Investments at Value (including $1,010,674, $116,713, $0, $0 and $0 of securities on loan, respectively)......... $ 11,112,474 $ 1,081,903 -- -- Collateral Received from Securities on Loan at Value & Cost....................................................... 75 151 -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... 1,053,000 119,000 -- -- Foreign Currencies at Value................................. 3,627 1,115 -- -- Cash........................................................ 8 9,288 49 225 Receivables: Investment Securities Sold................................ 4,725 74 -- -- Dividends, Interest and Tax Reclaims...................... 26,463 2,442 -- -- Securities Lending Income................................. 1,373 102 -- -- Fund Shares Sold.......................................... 16,462 568 152 21 From Advisor.............................................. -- -- -- -- Unrealized Gain on Foreign Currency Contracts............... 5 -- -- -- Deferred Offering Costs..................................... -- -- -- -- Prepaid Expenses and Other Assets........................... 77 22 14 25 -------------- ------------ ------------ ------------ Total Assets............................................ 12,218,289 1,214,665 117,669 96,210 -------------- ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... 1,053,075 119,151 -- -- Investment Securities Purchased........................... 2,598 3,507 -- 158 Fund Shares Redeemed...................................... 2,740 694 4 -- Due to Advisor............................................ 6,051 405 60 19 Loan Payable.............................................. 4,016 -- -- -- Unrealized Loss on Foreign Currency Contracts............... -- 6 -- -- Accrued Expenses and Other Liabilities...................... 910 128 18 23 -------------- ------------ ------------ ------------ Total Liabilities....................................... 1,069,390 123,891 82 200 -------------- ------------ ------------ ------------ NET ASSETS.................................................. $ 11,148,899 $ 1,090,774 $ 117,587 $ 96,010 ============== ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,148,899; $1,090,774; $117,587; $96,010 and $129,720 and shares outstanding of 552,640,203; 92,844,717; 9,853,403; 7,704,431 and 12,048,498, respectively............................................... $ 20.17 $ 11.75 $ 11.93 $ 12.46 ============== ============ ============ ============ NUMBER OF SHARES AUTHORIZED................................. 2,300,000,000 500,000,000 100,000,000 100,000,000 ============== ============ ============ ============ Investments in Affiliated Investment Companies at Cost....................................................... $ -- $ -- $ 102,161 $ 84,293 ============== ============ ============ ============ Investments at Cost......................................... $ 9,094,196 $ 859,491 $ -- $ -- ============== ============ ============ ============ Foreign Currencies at Cost.................................. $ 3,630 $ 1,125 $ -- $ -- ============== ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 8,953,361 $ 858,839 $ 105,007 $ 83,251 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 15,456 2,486 187 15 Accumulated Net Realized Gain (Loss)........................ 161,681 7,027 (2,868) 1,098 Net Unrealized Foreign Exchange Gain (Loss)................. 126 20 (32) -- Net Unrealized Appreciation (Depreciation).................. 2,018,275 222,402 15,293 11,646 -------------- ------------ ------------ ------------ NET ASSETS.................................................. $ 11,148,899 $ 1,090,774 $ 117,587 $ 96,010 ============== ============ ============ ============
WORLD EX U.S. CORE EQUITY PORTFOLIO ------------- ASSETS: Investments in Affiliated Investment Companies at Value...................................................... $ 129,435 Investments at Value (including $1,010,674, $116,713, $0, $0 and $0 of securities on loan, respectively)......... -- Collateral Received from Securities on Loan at Value & Cost....................................................... -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... -- Foreign Currencies at Value................................. -- Cash........................................................ 230 Receivables: Investment Securities Sold................................ -- Dividends, Interest and Tax Reclaims...................... -- Securities Lending Income................................. -- Fund Shares Sold.......................................... 295 From Advisor.............................................. 13 Unrealized Gain on Foreign Currency Contracts............... -- Deferred Offering Costs..................................... 3 Prepaid Expenses and Other Assets........................... 2 ------------ Total Assets............................................ 129,978 ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... -- Investment Securities Purchased........................... 165 Fund Shares Redeemed...................................... 68 Due to Advisor............................................ -- Loan Payable.............................................. -- Unrealized Loss on Foreign Currency Contracts............... -- Accrued Expenses and Other Liabilities...................... 25 ------------ Total Liabilities....................................... 258 ------------ NET ASSETS.................................................. $ 129,720 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares -- based on net assets of $11,148,899; $1,090,774; $117,587; $96,010 and $129,720 and shares outstanding of 552,640,203; 92,844,717; 9,853,403; 7,704,431 and 12,048,498, respectively............................................... $ 10.77 ============ NUMBER OF SHARES AUTHORIZED................................. 100,000,000 ============ Investments in Affiliated Investment Companies at Cost....................................................... $ 117,715 ============ Investments at Cost......................................... $ -- ============ Foreign Currencies at Cost.................................. $ -- ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 118,032 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... (1) Accumulated Net Realized Gain (Loss)........................ (31) Net Unrealized Foreign Exchange Gain (Loss)................. -- Net Unrealized Appreciation (Depreciation).................. 11,720 ------------ NET ASSETS.................................................. $ 129,720 ============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
SELECTIVELY HEDGED GLOBAL EMERGING EMERGING EMERGING EQUITY MARKETS MARKETS SMALL MARKETS VALUE PORTFOLIO PORTFOLIO CAP PORTFOLIO PORTFOLIO ------------- ------------ ------------- -------------- ASSETS: Investments in Affiliated Investment Companies at Value......... $ 87,628 $ 3,653,887 $ 4,037,180 $ 19,256,425 Investments at Value (including $0, $0, $0, $0 and $1,608,604 of securities on loan, respectively)........................... -- -- -- -- Temporary Cash.................................................. 1,210 -- -- -- Collateral Received from Securities on Loan at Value & Cost..... -- -- -- -- Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................... -- -- -- -- Segregated Cash for Futures Contracts........................... 160 -- -- -- Foreign Currencies at Value..................................... -- -- -- -- Cash............................................................ 2,466 -- -- -- Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... -- -- -- -- Dividends, Interest and Tax Reclaims.......................... -- -- -- -- Securities Lending Income..................................... -- -- -- -- Fund Shares Sold.............................................. 16 4,737 7,077 25,739 Unrealized Gain on Forward Currency Contracts................... 90 -- -- -- Unrealized Gain on Foreign Currency Contracts................... -- -- -- -- Prepaid Expenses and Other Assets............................... 14 34 38 113 ------------ ------------ ------------ -------------- Total Assets................................................ 91,584 3,658,658 4,044,295 19,282,277 ------------ ------------ ------------ -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. -- -- -- -- Investment Securities/Affiliated Investment Companies Purchased.................................................... 130 -- -- -- Fund Shares Redeemed.......................................... -- 1,462 678 6,126 Due to Advisor................................................ 9 1,222 1,520 6,454 Futures Margin Variation...................................... 19 -- -- -- Unrealized Loss on Forward Currency Contracts................... 62 -- -- -- Unrealized Loss on Foreign Currency Contracts................... -- -- -- -- Accrued Expenses and Other Liabilities.......................... 16 234 234 790 ------------ ------------ ------------ -------------- Total Liabilities........................................... 236 2,918 2,432 13,370 ------------ ------------ ------------ -------------- NET ASSETS...................................................... $ 91,348 $ 3,655,740 $ 4,041,863 $ 19,268,907 ============ ============ ============ ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $106,070 and $0 and shares outstanding of 0; 0; 0; 3,624,435 and 0, respectively................................................... N/A N/A N/A $ 29.27 ============ ============ ============ ============== Institutional Class Shares -- based on net assets of $91,348; $3,655,740; $4,041,863; $19,162,837 and $13,020,962 and shares outstanding of 6,704,078; 135,555,592; 191,570,612; 654,558,013 and 648,059,947, respectively...................... $ 13.63 $ 26.97 $ 21.10 $ 29.28 ============ ============ ============ ============== NUMBER OF SHARES AUTHORIZED..................................... 100,000,000 500,000,000 500,000,000 1,500,000,000 ============ ============ ============ ============== Investments in Affiliated Investment Companies at Cost.......... $ 72,257 $ 2,522,235 $ 3,582,521 $ 18,840,667 ============ ============ ============ ============== Investments at Cost............................................. $ -- $ -- $ -- $ -- ============ ============ ============ ============== Foreign Currencies at Cost...................................... $ -- $ -- $ -- $ -- ============ ============ ============ ============== NET ASSETS CONSIST OF: Paid-In Capital................................................. $ 74,110 $ 2,497,624 $ 3,528,355 $ 18,578,622 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 1,390 6,855 8,340 14,817 Accumulated Net Realized Gain (Loss)............................ 316 19,648 50,600 259,622 Net Unrealized Foreign Exchange Gain (Loss)..................... 28 (39) (91) 88 Net Unrealized Appreciation (Depreciation)...................... 15,504 1,131,652 454,659 415,758 ------------ ------------ ------------ -------------- NET ASSETS...................................................... $ 91,348 $ 3,655,740 $ 4,041,863 $ 19,268,907 ============ ============ ============ ==============
EMERGING MARKETS CORE EQUITY PORTFOLIO* -------------- ASSETS: Investments in Affiliated Investment Companies at Value......... -- Investments at Value (including $0, $0, $0, $0 and $1,608,604 of securities on loan, respectively)........................... $ 12,892,198 Temporary Cash.................................................. -- Collateral Received from Securities on Loan at Value & Cost..... 10,967 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................... 1,372,000 Segregated Cash for Futures Contracts........................... -- Foreign Currencies at Value..................................... 17,201 Cash............................................................ 136,988 Receivables: Investment Securities/Affiliated Investment Companies Sold......................................................... 315 Dividends, Interest and Tax Reclaims.......................... 13,712 Securities Lending Income..................................... 2,510 Fund Shares Sold.............................................. 14,939 Unrealized Gain on Forward Currency Contracts................... -- Unrealized Gain on Foreign Currency Contracts................... 1 Prepaid Expenses and Other Assets............................... 118 -------------- Total Assets................................................ 14,460,949 -------------- LIABILITIES: Payables: Upon Return of Securities Loaned.............................. 1,382,967 Investment Securities/Affiliated Investment Companies Purchased.................................................... 46,763 Fund Shares Redeemed.......................................... 2,574 Due to Advisor................................................ 5,969 Futures Margin Variation...................................... -- Unrealized Loss on Forward Currency Contracts................... -- Unrealized Loss on Foreign Currency Contracts................... 84 Accrued Expenses and Other Liabilities.......................... 1,630 -------------- Total Liabilities........................................... 1,439,987 -------------- NET ASSETS...................................................... $ 13,020,962 ============== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $0; $0; $0; $106,070 and $0 and shares outstanding of 0; 0; 0; 3,624,435 and 0, respectively................................................... N/A ============== Institutional Class Shares -- based on net assets of $91,348; $3,655,740; $4,041,863; $19,162,837 and $13,020,962 and shares outstanding of 6,704,078; 135,555,592; 191,570,612; 654,558,013 and 648,059,947, respectively...................... $ 20.09 ============== NUMBER OF SHARES AUTHORIZED..................................... 1,000,000,000 ============== Investments in Affiliated Investment Companies at Cost.......... $ -- ============== Investments at Cost............................................. $ 11,668,794 ============== Foreign Currencies at Cost...................................... $ 17,301 ============== NET ASSETS CONSIST OF: Paid-In Capital................................................. $ 11,819,210 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......................................... 31,355 Accumulated Net Realized Gain (Loss)............................ (52,859) Net Unrealized Foreign Exchange Gain (Loss)..................... (48) Net Unrealized Appreciation (Depreciation)...................... 1,223,304 -------------- NET ASSETS...................................................... $ 13,020,962 ==============
---------- * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE U.S. LARGE U.S. TARGETED COMPANY CAP EQUITY CAP VALUE VALUE PORTFOLIO PORTFOLIO(A) PORTFOLIO* PORTFOLIO ---------- ------------ ---------- ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Company: Dividends.................................................................... -- -- $ 209,457 -- Interest..................................................................... -- -- 42 -- Income from Securities Lending............................................... -- -- 1,778 -- Expenses Allocated from Affiliated Investment Company........................ -- -- (11,525) -- ------- ------- ---------- ---------- Total Net Investment Income Received from Affiliated Investment Company.... -- -- 199,752 -- ------- ------- ---------- ---------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and $7, respectively). $ 149 $ 648 -- $ 56,850 Interest..................................................................... 1,614 1 -- 33 Income from Securities Lending............................................... -- 12 -- 2,392 ------- ------- ---------- ---------- Total Investment Income.................................................... 1,763 661 -- 59,275 ------- ------- ---------- ---------- FUND EXPENSES Investment Advisory Services Fees............................................ 101 56 -- 3,667 Administrative Services Fees................................................. 303 -- 15,211 9,173 Accounting & Transfer Agent Fees............................................. 27 1 95 284 S&P 500(R) Fees.............................................................. 9 -- -- -- Shareholder Servicing Fees -- Class R1 Shares............................................................. -- -- -- 41 Class R2 Shares............................................................. -- -- -- 43 Custodian Fees............................................................... 10 3 -- 56 Filing Fees.................................................................. 25 16 173 107 Shareholders' Reports........................................................ 5 1 220 105 Directors'/Trustees' Fees & Expenses......................................... 2 -- 104 38 Professional Fees............................................................ 6 2 36 104 Organizational & Offering Costs.............................................. -- 15 -- -- Other........................................................................ 5 -- 133 68 ------- ------- ---------- ---------- Total Expenses............................................................. 493 94 15,972 13,686 ------- ------- ---------- ---------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................................... -- (24) -- -- Fees Paid Indirectly......................................................... (4) -- -- -- ------- ------- ---------- ---------- Net Expenses................................................................. 489 70 15,972 13,686 ------- ------- ---------- ---------- NET INVESTMENT INCOME (LOSS)................................................. 1,274 591 183,780 45,589 ------- ------- ---------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................................. (238) 37 819,592 274,964 Futures..................................................................... 40,444 -- -- 4,864 Foreign Currency Transactions............................................... (934) -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 1,803 10,560 2,030,120 903,746 Futures..................................................................... 5,088 -- -- -- Translation of Foreign Currency Denominated Amounts......................... 946 -- -- -- ------- ------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 47,109 10,597 2,849,712 1,183,574 ------- ------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................ $48,383 $11,188 $3,033,492 $1,229,163 ======= ======= ========== ==========
---------- * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Fund (Affiliated Investment Company). (a)The Portfolio commenced operations on June 25, 2013. See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
U.S. SMALL U.S. CORE U.S. CORE U.S. VECTOR CAP VALUE EQUITY 1 EQUITY 2 EQUITY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ---------- ----------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $14, $118, $71 and $18, respectively)............................................. $ 142,119 $ 117,896 $ 159,821 $ 42,692 Interest........................................................ 57 53 50 17 Income from Securities Lending.................................. 4,865 3,281 5,088 2,129 ---------- ---------- ---------- -------- Total Investment Income...................................... 147,041 121,230 164,959 44,838 ---------- ---------- ---------- -------- EXPENSES Investment Advisory Services Fees............................... 16,390 10,454 16,869 7,397 Administrative Services Fees.................................... 24,594 -- -- -- Accounting & Transfer Agent Fees................................ 620 463 636 192 Custodian Fees.................................................. 106 91 102 39 Filing Fees..................................................... 123 215 183 67 Shareholders' Reports........................................... 162 83 125 59 Directors'/Trustees' Fees & Expenses............................ 85 63 87 25 Professional Fees............................................... 224 177 243 71 Other........................................................... 143 107 151 53 ---------- ---------- ---------- -------- Total Expenses............................................... 42,447 11,653 18,396 7,903 ---------- ---------- ---------- -------- NET INVESTMENT INCOME (LOSS).................................... 104,594 109,577 146,563 36,935 ---------- ---------- ---------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................... 467,388 48,730 106,205 42,264 Futures....................................................... 4,175 -- -- (48) Change in Unrealized Appreciation (Depreciation) of: Investment Securities......................................... 2,087,253 1,549,261 2,176,008 684,534 ---------- ---------- ---------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 2,558,816 1,597,991 2,282,213 726,750 ---------- ---------- ---------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....................................................... $2,663,410 $1,707,568 $2,428,776 $763,685 ========== ========== ========== ========
See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
DFA REAL ESTATE LARGE CAP U.S. SMALL U.S. MICRO SECURITIES INTERNATIONAL CAP PORTFOLIO CAP PORTFOLIO PORTFOLIO PORTFOLIO ------------- ------------- ---------- ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $33, $21, $0 and $5,868, respectively)......................................... $ 86,192 $ 60,045 $110,387 $ 71,899 Interest....................................................... 48 19 37 3 Income from Securities Lending................................. 11,185 7,558 650 3,593 ---------- ---------- -------- -------- Total Investment Income..................................... 97,425 67,622 111,074 75,495 ---------- ---------- -------- -------- EXPENSES Investment Advisory Services Fees.............................. 1,722 4,027 7,278 5,952 Administrative Services Fees................................... 18,376 16,113 -- -- Accounting & Transfer Agent Fees............................... 426 310 335 196 Custodian Fees................................................. 95 66 46 317 Filing Fees.................................................... 204 70 145 73 Shareholders' Reports.......................................... 120 88 142 92 Directors'/Trustees' Fees & Expenses........................... 58 42 45 25 Professional Fees.............................................. 150 111 133 78 Other.......................................................... 95 73 75 65 ---------- ---------- -------- -------- Total Expenses.............................................. 21,246 20,900 8,199 6,798 ---------- ---------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................ -- -- (521) -- Fees Paid Indirectly........................................... -- -- -- (9) ---------- ---------- -------- -------- Net Expenses................................................ 21,246 20,900 7,678 6,789 ---------- ---------- -------- -------- NET INVESTMENT INCOME (LOSS)..................................... 76,179 46,722 103,396 68,706 ---------- ---------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities. -- -- 15,455 -- Net Realized Gain (Loss) on: Investment Securities Sold................................... 252,589 227,715 15,023 (15,210) Futures...................................................... (331) (423) -- -- Foreign Currency Transactions*............................... 1 -- -- (394) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................... 1,551,354 1,117,408 254,603 476,010 Translation of Foreign Currency Denominated Amounts.......... -- -- -- 154 ---------- ---------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................ 1,803,613 1,344,700 285,081 460,560 ---------- ---------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................................................... $1,879,792 $1,391,422 $388,477 $529,266 ========== ========== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
INTERNATIONAL JAPANESE ASIA PACIFIC INTERNATIONAL SMALL SMALL SMALL CORE EQUITY COMPANY COMPANY COMPANY PORTFOLIO PORTFOLIO * PORTFOLIO * PORTFOLIO * ------------- ------------- ----------- ------------ INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $15,423, $653 and $371, respectively).............................. -- $ 200,898 $ 7,733 $12,023 Interest.................................................... -- 59 -- -- Income from Securities Lending.............................. -- 19,252 622 1,038 Expenses Allocated from Affiliated Investment Companies................................................. -- (9,826) (577) (391) ---------- ---------- -------- ------- Total Net Investment Income Received from Affiliated Investment Companies.................................. -- 210,383 7,778 12,670 ---------- ---------- -------- ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $18,128, $0, $0 and $0, respectively).................................. $ 233,217 -- -- -- Interest.................................................... 4 21 -- -- Income from Securities Lending.............................. 14,944 -- -- -- ---------- ---------- -------- ------- Total Investment Income................................. 248,165 21 -- -- ---------- ---------- -------- ------- FUND EXPENSES Investment Advisory Services Fees........................... 27,343 -- -- -- Administrative Services Fees................................ -- 29,296 1,621 1,087 Accounting & Transfer Agent Fees............................ 593 84 22 21 Custodian Fees.............................................. 1,233 1 -- -- Filing Fees................................................. 300 129 17 24 Shareholders' Reports....................................... 163 194 4 4 Directors'/Trustees' Fees & Expenses........................ 81 77 4 3 Professional Fees........................................... 272 40 4 3 Other....................................................... 181 102 5 3 ---------- ---------- -------- ------- Total Expenses.......................................... 30,166 29,923 1,677 1,145 ---------- ---------- -------- ------- Fees Paid Indirectly........................................ (31) -- -- -- ---------- ---------- -------- ------- Net Expenses................................................ 30,135 29,923 1,677 1,145 ---------- ---------- -------- ------- NET INVESTMENT INCOME (LOSS)................................ 218,030 180,481 6,101 11,525 ---------- ---------- -------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold................................ (10,392) 262,518 5,783 (255) Futures................................................... -- (29) -- -- Foreign Currency Transactions**........................... (2,185) (2,035) (468) 9 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency................ 1,736,462 1,540,906 94,197 17,462 Futures................................................... -- 30 -- -- Translation of Foreign Currency Denominated Amounts................................................. 312 438 26 (1) ---------- ---------- -------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)..................... 1,724,197 1,801,828 99,538 17,215 ---------- ---------- -------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $1,942,227 $1,982,309 $105,639 $28,740 ========== ========== ======== =======
---------- * 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 $14, $27, $0 and $0, respectively. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
UNITED DFA KINGDOM CONTINENTAL INTERNATIONAL DFA GLOBAL SMALL SMALL REAL ESTATE REAL ESTATE COMPANY COMPANY SECURITIES SECURITIES PORTFOLIO* PORTFOLIO* PORTFOLIO PORTFOLIO ---------- ----------- ------------- ----------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $2, $409, $0 and $0, respectively)......................................................... $ 1,124 $ 2,859 -- -- Income Distributions Received from Affiliated Investment Companies..... -- -- -- $ 85,254 Interest............................................................... -- 3 -- -- Income from Securities Lending......................................... 7 477 -- -- Expenses Allocated from Affiliated Investment Company.................. (41) (167) -- -- ------- ------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company............................................................ 1,090 3,172 -- 85,254 ------- ------- -------- -------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $8,213 and $0, respectively)......................................................... -- -- $ 77,512 -- Interest............................................................... -- -- -- 6 Income from Securities Lending......................................... -- -- 2,538 -- ------- ------- -------- -------- Total Fund Investment Income........................................ -- -- 80,050 6 ------- ------- -------- -------- FUND EXPENSES Investment Advisory Services Fees...................................... -- -- 6,295 4,409 Administrative Services Fees........................................... 134 490 -- -- Accounting & Transfer Agent Fees....................................... 16 20 152 40 Custodian Fees......................................................... -- -- 311 -- Filing Fees............................................................ 15 18 118 130 Shareholders' Reports.................................................. 1 3 71 50 Directors'/Trustees' Fees & Expenses................................... -- 1 19 17 Professional Fees...................................................... 2 2 67 14 Other.................................................................. 1 3 41 19 ------- ------- -------- -------- Total Expenses...................................................... 169 537 7,074 4,679 ------- ------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... (12) -- -- (3,761) Fees Paid Indirectly................................................... -- -- (18) -- ------- ------- -------- -------- Net Expenses........................................................... 157 537 7,056 918 ------- ------- -------- -------- NET INVESTMENT INCOME (LOSS)........................................... 933 2,635 72,994 84,342 ------- ------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold........................................... 2,545 2,298 (19,009) (3,169) Futures.............................................................. -- 29 888 -- Foreign Currency Transactions**...................................... -- (3) (860) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................... 7,107 41,299 105,321 60,459 Futures.............................................................. -- (29) -- -- Translation of Foreign Currency Denominated Amounts.................. -- 7 18 -- ------- ------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 9,652 43,601 86,358 57,290 ------- ------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $10,585 $46,236 $159,352 $141,632 ======= ======= ======== ========
---------- * 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, $1, $7 and $0, respectively. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL WORLD EX U.S. SMALL CAP INTERNATIONAL WORLD EX U.S. TARGETED VALUE VECTOR EQUITY VALUE VALUE PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO*(A) ------------- ------------- ------------- ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $226, $68 and $0, respectively).......................... -- -- $ 2,376 $ 409 Income Distributions Received from Affiliated Investment Companies................................................ -- -- 139 753 Income from Securities Lending............................ -- -- 125 32 Expenses Allocated from Affiliated Investment Companies................................................ -- -- (157) (27) ---------- -------- ------- ------- Total Net Investment Income Received from Affiliated Investment Companies....................... -- -- 2,483 1,167 ---------- -------- ------- ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $17,253, $1,602, $0, $0 and $0, respectively)..................... $ 251,726 $ 21,173 -- -- Interest.................................................. 36 -- -- -- Income from Securities Lending............................ 23,155 1,491 -- -- ---------- -------- ------- ------- Total Investment Income................................ 274,917 22,664 -- -- ---------- -------- ------- ------- FUND EXPENSES Investment Advisory Services Fees......................... 63,069 3,382 394 330 Accounting & Transfer Agent Fees.......................... 737 70 17 17 Custodian Fees............................................ 1,495 268 1 2 Filing Fees............................................... 143 66 12 17 Shareholders' Reports..................................... 223 15 1 1 Directors'/Trustees' Fees & Expenses...................... 102 7 1 -- Professional Fees......................................... 325 22 5 5 Organizational & Offering Costs........................... -- -- -- 53 Other..................................................... 254 23 2 3 ---------- -------- ------- ------- Total Expenses......................................... 66,348 3,853 433 428 ---------- -------- ------- ------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................ -- -- (136) (270) Fees Paid Indirectly...................................... (23) (5) -- -- ---------- -------- ------- ------- Net Expenses.............................................. 66,325 3,848 297 158 ---------- -------- ------- ------- NET INVESTMENT INCOME (LOSS).............................. 208,592 18,816 2,186 1,009 ---------- -------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities............................................... -- -- 64 191 Net Realized Gain (Loss) on: Investment Securities Sold............................... 179,935 8,277 3,077 947 Futures.................................................. -- -- (12) 1 Foreign Currency Transactions**.......................... (2,311) (71) (14) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 2,722,774 172,846 13,382 11,646 Futures.................................................. -- -- (1) -- Translation of Foreign Currency Denominated Amounts................................................. 666 46 (15) -- ---------- -------- ------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)................... 2,901,064 181,098 16,481 12,782 ---------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $3,109,656 $199,914 $18,667 $13,791 ========== ======== ======= =======
WORLD EX U.S. CORE EQUITY PORTFOLIO(B) ------------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $0, $226, $68 and $0, respectively).......................... -- Income Distributions Received from Affiliated Investment Companies................................................ $ 1,175 Income from Securities Lending............................ -- Expenses Allocated from Affiliated Investment Companies................................................ -- ------- Total Net Investment Income Received from Affiliated Investment Companies....................... 1,175 ------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $17,253, $1,602, $0, $0 and $0, respectively)..................... -- Interest.................................................. -- Income from Securities Lending............................ -- ------- Total Investment Income................................ -- ------- FUND EXPENSES Investment Advisory Services Fees......................... 149 Accounting & Transfer Agent Fees.......................... 9 Custodian Fees............................................ 1 Filing Fees............................................... 15 Shareholders' Reports..................................... -- Directors'/Trustees' Fees & Expenses...................... -- Professional Fees......................................... 5 Organizational & Offering Costs........................... 21 Other..................................................... 1 ------- Total Expenses......................................... 201 ------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)................ (186) Fees Paid Indirectly...................................... -- ------- Net Expenses.............................................. 15 ------- NET INVESTMENT INCOME (LOSS).............................. 1,160 ------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities............................................... -- Net Realized Gain (Loss) on: Investment Securities Sold............................... (30) Futures.................................................. -- Foreign Currency Transactions**.......................... -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 11,720 Futures.................................................. -- Translation of Foreign Currency Denominated Amounts................................................. -- ------- NET REALIZED AND UNREALIZED GAIN (LOSS)................... 11,690 ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................. $12,850 =======
---------- * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio's Master Funds (Affiliated Investment Companies). **Net of foreign capital gain taxes withheld of $6, $0, $0, $0 and $0, respectively. (a)The Portfolio commenced operations on November 1, 2012. (b)The Portfolio commenced operations on April 9, 2013. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
SELECTIVELY EMERGING EMERGING EMERGING HEDGED EMERGING MARKETS MARKETS MARKETS CORE GLOBAL EQUITY MARKETS SMALL CAP VALUE EQUITY PORTFOLIO PORTFOLIO* PORTFOLIO* PORTFOLIO* PORTFOLIO ------------- ---------- ---------- ---------- ------------ INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $11,156, $9,714, $65,223 and $0, respectively).................................... -- $ 75,716 $ 80,545 $ 418,282 -- Income Distributions Received from Affiliated Investment Companies........................................................ $ 1,351 -- -- -- -- Interest.......................................................... -- 1 -- 15 -- Income from Securities Lending.................................... -- 3,790 16,568 25,373 -- Expenses Allocated from Affiliated Investment Company............. -- (4,877) (10,518) (27,921) -- ------- -------- -------- ---------- -------- Total Net Investment Income Received from Affiliated Investment Companies.......................................... 1,351 74,630 86,595 415,749 -- ------- -------- -------- ---------- -------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $34,892, respectively)........................................... -- -- -- -- $254,568 Interest.......................................................... 4 -- -- -- 5 Income from Securities Lending.................................... -- -- -- -- 24,569 ------- -------- -------- ---------- -------- Total Fund Investment Income................................... 4 -- -- -- 279,142 ------- -------- -------- ---------- -------- FUND EXPENSES Investment Advisory Services Fees................................. 206 -- -- -- 59,368 Administrative Services Fees...................................... -- 12,576 16,494 71,800 -- Accounting & Transfer Agent Fees.................................. 15 44 47 162 811 Shareholder Servicing Fees -- Class R2 Shares..................... -- -- -- 263 -- Custodian Fees.................................................... -- -- -- -- 5,473 Filing Fees....................................................... 24 154 198 378 644 Shareholders' Reports............................................. 1 118 63 251 231 Directors'/Trustees' Fees & Expenses.............................. 1 34 39 196 112 Professional Fees................................................. 5 14 17 68 449 Organizational & Offering Costs................................... 2 -- -- -- -- Other............................................................. 1 45 53 259 229 ------- -------- -------- ---------- -------- Total Expenses................................................. 255 12,985 16,911 73,377 67,317 ------- -------- -------- ---------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................... (217) -- -- -- -- Fees Paid Indirectly.............................................. -- -- -- -- (167) ------- -------- -------- ---------- -------- Net Expenses...................................................... 38 12,985 16,911 73,377 67,150 ------- -------- -------- ---------- -------- NET INVESTMENT INCOME (LOSS)...................................... 1,317 61,645 69,684 342,372 211,992 ------- -------- -------- ---------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Affiliated Investment Companies........................................................ 115 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold....................................... (81) 22,235 64,325 296,735 (9,977) Futures.......................................................... 545 -- 452 -- -- Foreign Currency Transactions**.................................. 237 (124) (1,227) (2,807) (2,207) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency....................... 12,814 143,306 146,169 717,140 581,086 Futures.......................................................... 150 -- 4 -- -- Translation of Foreign Currency Denominated Amounts.............. 121 (6) (42) 7 (79) ------- -------- -------- ---------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)........................... 13,901 165,411 209,681 1,011,075 568,823 ------- -------- -------- ---------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS......................................................... $15,218 $227,056 $279,365 $1,353,447 $780,815 ======= ======== ======== ========== ========
---------- * 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, $1, $0 and $0, respectively. See accompanying Notes to Financial Statements. 118 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ENHANCED U.S. LARGE U.S. LARGE CAP U.S. LARGE CAP VALUE COMPANY PORTFOLIO EQUITY PORTFOLIO PORTFOLIO ------------------ ---------------- ------------------------ PERIOD YEAR YEAR JUNE 25, YEAR YEAR ENDED ENDED 2013(A) TO ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2013 2012 -------- -------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 1,274 $ 1,469 $ 591 $ 183,780 $ 154,843 Net Realized Gain (Loss) on: Investment Securities Sold.......................... (238) 245 37 819,592 318,427 Futures............................................. 40,444 30,568 -- -- -- Foreign Currency Transactions....................... (934) 1,331 -- -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 1,803 594 10,560 2,030,120 824,744 Futures............................................. 5,088 (6,586) -- -- -- Translation of Foreign Currency Denominated Amounts............................................ 946 (857) -- -- -- -------- -------- -------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 48,383 26,764 11,188 3,033,492 1,298,014 -------- -------- -------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares............................ (1,597) (2,785) (321) (180,943) (150,153) -------- -------- -------- ----------- ----------- Total Distributions................................ (1,597) (2,785) (321) (180,943) (150,153) -------- -------- -------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 49,190 26,869 127,286 2,669,600 1,501,347 Shares Issued in Lieu of Cash Distributions........... 1,381 2,573 321 165,830 139,904 Shares Redeemed....................................... (74,528) (34,538) (3,067) (2,059,492) (1,794,871) -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... (23,957) (5,096) 124,540 775,938 (153,620) -------- -------- -------- ----------- ----------- Total Increase (Decrease) in Net Assets............ 22,829 18,883 135,407 3,628,487 994,241 NET ASSETS Beginning of Period................................... 190,011 171,128 -- 8,334,585 7,340,344 -------- -------- -------- ----------- ----------- End of Period......................................... $212,840 $190,011 $135,407 $11,963,072 $ 8,334,585 ======== ======== ======== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 4,732 3,051 12,483 102,131 72,600 Shares Issued in Lieu of Cash Distributions........... 142 314 30 6,512 6,979 Shares Redeemed....................................... (7,146) (3,906) (286) (79,135) (86,993) -------- -------- -------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... (2,272) (541) 12,227 29,508 (7,414) ======== ======== ======== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 200 $ 2,005 $ 281 $ 28,203 $ 25,366
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. TARGETED VALUE U.S. SMALL CAP VALUE PORTFOLIO PORTFOLIO ----------------------- ------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 ----------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 45,589 $ 29,117 $ 104,594 $ 53,970 Capital Gain Distributions Received from Investment Securities........................................... -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold........................... 274,964 181,414 467,388 430,201 Futures.............................................. 4,864 3,336 4,175 954 Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................ 903,746 176,832 2,087,253 522,870 Futures.............................................. -- -- -- (536) ----------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 1,229,163 390,699 2,663,410 1,007,459 ----------- ---------- ----------- ----------- Distributions From: Net Investment Income: Class R1 Shares...................................... (604) (374) -- -- Class R2 Shares...................................... (171) (76) -- -- Institutional Class Shares........................... (44,723) (24,124) (97,302) (50,536) Net Short-Term Gains: Class R1 Shares...................................... (162) -- -- -- Class R2 Shares...................................... (43) -- -- -- Institutional Class Shares........................... (9,669) -- (15,668) -- Net Long-Term Gains: Class R1 Shares...................................... (2,657) (356) -- -- Class R2 Shares...................................... (709) (86) -- -- Institutional Class Shares........................... (158,843) (19,426) (380,218) (89,379) ----------- ---------- ----------- ----------- Total Distributions................................ (217,581) (44,442) (493,188) (139,915) ----------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 1,069,213 782,957 1,700,691 1,130,039 Shares Issued in Lieu of Cash Distributions........... 193,793 40,767 448,519 131,338 Shares Redeemed....................................... (1,112,648) (662,151) (1,880,921) (1,581,314) ----------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... 150,358 161,573 268,289 (319,937) ----------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets............ 1,161,940 507,830 2,438,511 547,607 NET ASSETS Beginning of Year..................................... 3,051,809 2,543,979 7,088,470 6,540,863 ----------- ---------- ----------- ----------- End of Year........................................... $ 4,213,749 $3,051,809 $ 9,526,981 $ 7,088,470 =========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 54,473 48,542 56,681 45,152 Shares Issued in Lieu of Cash Distributions........... 11,549 2,677 17,521 5,754 Shares Redeemed....................................... (56,250) (40,606) (64,686) (62,499) ----------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 9,772 10,613 9,516 (11,593) =========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 484 $ 3,945 $ 1,373 $ 94
U.S. CORE EQUITY 1 PORTFOLIO ----------------------- YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ----------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 109,577 $ 78,378 Capital Gain Distributions Received from Investment Securities........................................... -- 36 Net Realized Gain (Loss) on: Investment Securities Sold........................... 48,730 35,359 Futures.............................................. -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................ 1,549,261 455,880 Futures.............................................. -- -- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 1,707,568 569,653 ----------- ---------- Distributions From: Net Investment Income: Class R1 Shares...................................... -- -- Class R2 Shares...................................... -- -- Institutional Class Shares........................... (105,633) (73,066) Net Short-Term Gains: Class R1 Shares...................................... -- -- Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- Net Long-Term Gains: Class R1 Shares...................................... -- -- Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- ----------- ---------- Total Distributions................................ (105,633) (73,066) ----------- ---------- Capital Share Transactions (1): Shares Issued......................................... 2,012,312 1,316,460 Shares Issued in Lieu of Cash Distributions........... 95,895 66,157 Shares Redeemed....................................... (1,020,936) (733,642) ----------- ---------- Net Increase (Decrease) from Capital Share Transactions...................................... 1,087,271 648,975 ----------- ---------- Total Increase (Decrease) in Net Assets............ 2,689,206 1,145,562 NET ASSETS Beginning of Year..................................... 4,876,973 3,731,411 ----------- ---------- End of Year........................................... $ 7,566,179 $4,876,973 =========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 144,586 114,530 Shares Issued in Lieu of Cash Distributions........... 7,046 5,842 Shares Redeemed....................................... (73,616) (63,857) ----------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 78,016 56,515 =========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 14,478 $ 10,461
See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
U.S. CORE EQUITY 2 U.S. VECTOR EQUITY U.S. SMALL CAP PORTFOLIO PORTFOLIO PORTFOLIO ------------------------ ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 146,563 $ 111,804 $ 36,935 $ 28,165 $ 76,179 $ 47,882 Capital Gain Distributions Received from Investment Securities....................... -- 105 -- 18 -- -- Net Realized Gain (Loss) on: Investment Securities Sold................. 106,205 73,466 42,264 41,027 252,589 254,365 Futures.................................... -- -- (48) (850) (331) -- Foreign Currency Transactions.............. -- -- -- -- 1 -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities...................... 2,176,008 694,545 684,534 196,524 1,551,354 230,453 ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 2,428,776 879,920 763,685 264,884 1,879,792 532,700 ----------- ----------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares................ (143,640) (99,623) (34,959) (26,665) (74,990) (41,256) Net Short-Term Gains: Institutional Class Shares................ -- -- -- -- (8,279) -- Net Long-Term Gains: Instituional Class Shares................. (55,772) -- (3,507) -- (228,672) -- ----------- ----------- ---------- ---------- ---------- ---------- Total Distributions....................... (199,412) (99,623) (38,466) (26,665) (311,941) (41,256) ----------- ----------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................ 1,993,887 1,284,909 590,251 363,121 2,025,365 1,000,664 Shares Issued in Lieu of Cash Distributions............................... 194,014 96,744 37,851 26,213 287,893 38,143 Shares Redeemed.............................. (1,351,685) (1,057,872) (468,656) (470,271) (997,627) (737,229) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 836,216 323,781 159,446 (80,937) 1,315,631 301,578 ----------- ----------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 3,065,580 1,104,078 884,665 157,282 2,883,482 793,022 NET ASSETS Beginning of Year............................ 6,923,984 5,819,906 2,009,177 1,851,895 4,563,345 3,770,323 ----------- ----------- ---------- ---------- ---------- ---------- End of Year.................................. $ 9,989,564 $ 6,923,984 $2,893,842 $2,009,177 $7,446,827 $4,563,345 =========== =========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................ 145,060 113,356 43,824 33,038 76,522 45,541 Shares Issued in Lieu of Cash Distributions............................... 14,935 8,679 2,932 2,473 12,811 1,786 Shares Redeemed.............................. (98,040) (93,203) (34,484) (42,602) (38,832) (33,325) ----------- ----------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 61,955 28,832 12,272 (7,091) 50,501 14,002 =========== =========== ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................ $ 14,563 $ 15,899 $ 3,099 $ 2,490 $ 3,169 $ 5,302
See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA REAL ESTATESECURITIES LARGE CAP INTERNATIONAL U.S. MICRO CAP 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, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)...................... $ 46,722 $ 33,720 $ 103,396 $ 78,788 $ 68,706 $ 63,623 Capital Gain Distributions Received from Investment Securities............................ -- -- 15,455 16,390 -- -- Net Realized Gain (Loss) on: Investment Securities Sold....................... 227,715 220,675 15,023 (1,763) (15,210) (18,104) Futures.......................................... (423) 385 -- (46) -- -- Foreign Currency Transactions*................... -- -- -- -- (394) (353) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................................ 1,117,408 166,031 254,603 355,961 476,010 69,627 Translation of Foreign Currency Denominated Amounts......................................... -- -- -- -- 154 (82) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 1,391,422 420,811 388,477 449,330 529,266 114,711 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares....................... (46,915) (30,423) (102,731) (99,783) (70,787) (60,808) Net Long-Term Gains: Institutional Class Shares....................... (176,365) -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (223,280) (30,423) (102,731) (99,783) (70,787) (60,808) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued..................................... 605,885 389,014 1,428,666 826,214 631,372 634,549 Shares Issued in Lieu of Cash Distributions....... 207,612 28,484 99,760 96,714 66,684 57,573 Shares Redeemed................................... (723,766) (627,647) (853,143) (654,733) (457,180) (394,415) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.................................. 89,731 (210,149) 675,283 268,195 240,876 297,707 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets........ 1,257,873 180,239 961,029 617,742 699,355 351,610 NET ASSETS Beginning of Year................................. 3,437,958 3,257,719 3,716,389 3,098,647 2,055,759 1,704,149 ---------- ---------- ---------- ---------- ---------- ---------- End of Year....................................... $4,695,831 $3,437,958 $4,677,418 $3,716,389 $2,755,114 $2,055,759 ========== ========== ========== ========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued..................................... 36,865 27,509 51,717 32,929 31,421 36,185 Shares Issued in Lieu of Cash Distributions....... 14,570 2,109 3,726 3,972 3,350 3,432 Shares Redeemed................................... (43,945) (44,113) (30,873) (26,322) (22,837) (22,604) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 7,490 (14,495) 24,570 10,579 11,934 17,013 ========== ========== ========== ========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................................ $ 1,665 $ 3,910 $ 31,615 $ 23,599 $ 6,579 $ 8,708
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $1, respectively. See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
INTERNATIONAL CORE EQUITY INTERNATIONAL SMALL JAPANESE SMALL PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO ------------------------ ------------------------ ------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ----------- --------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)...................... $ 218,030 $ 181,573 $ 180,481 $ 152,324 $ 6,101 $ 5,072 Net Realized Gain (Loss) on: Investment Securities Sold....................... (10,392) (40,937) 262,518 53,955 5,783 (5,341) Futures.......................................... -- -- (29) 9 -- (75) Foreign Currency Transactions**.................. (2,185) 114 (2,035) 401 (468) 120 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency........................................ 1,736,462 185,568 1,540,906 133,610 94,197 (6,790) Futures.......................................... -- -- 30 (1) -- 1 Translation of Foreign Currency Denominated Amounts......................................... 312 (120) 438 (530) 26 (23) ----------- ----------- ----------- ----------- --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations..................... 1,942,227 326,198 1,982,309 339,768 105,639 (7,036) ----------- ----------- ----------- ----------- --------- -------- Distributions From: Net Investment Income: Institutional Class Shares....................... (214,687) (176,198) (159,066) (163,885) (2,836) (4,541) Net Long-Term Gains: Institutional Class Shares....................... -- -- (39,012) (108,621) -- -- ----------- ----------- ----------- ----------- --------- -------- Total Distributions............................ (214,687) (176,198) (198,078) (272,506) (2,836) (4,541) ----------- ----------- ----------- ----------- --------- -------- Capital Share Transactions (1): Shares Issued..................................... 2,415,089 1,839,473 1,229,487 1,391,405 142,226 198,642 Shares Issued in Lieu of Cash Distributions....... 206,673 169,856 188,769 262,078 2,638 4,202 Shares Redeemed................................... (1,323,574) (1,072,475) (1,104,930) (1,131,600) (127,503) (60,419) ----------- ----------- ----------- ----------- --------- -------- Net Increase (Decrease) from Capital Share Transactions.................................. 1,298,188 936,854 313,326 521,883 17,361 142,425 ----------- ----------- ----------- ----------- --------- -------- Total Increase (Decrease) in Net Assets........ 3,025,728 1,086,854 2,097,557 589,145 120,164 130,848 NET ASSETS Beginning of Year................................. 6,482,738 5,395,884 6,423,160 5,834,015 293,968 163,120 ----------- ----------- ----------- ----------- --------- -------- End of Year....................................... $ 9,508,466 $ 6,482,738 $ 8,520,717 $ 6,423,160 $ 414,132 $293,968 =========== =========== =========== =========== ========= ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued..................................... 213,883 190,598 72,452 95,525 8,814 12,557 Shares Issued in Lieu of Cash Distributions....... 18,646 18,393 11,691 19,065 173 282 Shares Redeemed................................... (117,963) (112,419) (65,368) (77,790) (7,179) (3,928) ----------- ----------- ----------- ----------- --------- -------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 114,566 96,572 18,775 36,800 1,808 8,911 =========== =========== =========== =========== ========= ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................................ $ 27,329 $ 25,255 $ 27,396 $ 3,290 $ 6,178 $ 1,728
---------- **Net of foreign capital gain taxes withheld of $14, $0, $27, $4, $0 and $0, respectively. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
ASIA PACIFIC SMALL UNITED KINGDOM SMALL CONTINENTAL SMALL COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO ------------------ ------------------- ------------------ YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 -------- -------- -------- -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 11,525 $ 7,452 $ 933 $ 856 $ 2,635 $ 3,068 Net Realized Gain (Loss) on: Investment Securities Sold.......................... (255) 4,091 2,545 (281) 2,298 (2,677) Futures............................................. -- (33) -- 6 29 (25) Foreign Currency Transactions*...................... 9 (56) -- 6 (3) (25) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 17,462 6,664 7,107 5,744 41,299 585 Futures............................................. -- 1 -- -- (29) -- Translation of Foreign Currency Denominated Amounts................................ (1) (12) -- (2) 7 72 -------- -------- ------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 28,740 18,107 10,585 6,329 46,236 998 -------- -------- ------- -------- -------- -------- Distributions From: Net Investment Income: Institutional Class Shares............................ (7,603) (9,333) (953) (992) (2,834) (2,958) -------- -------- ------- -------- -------- -------- Total Distributions................................ (7,603) (9,333) (953) (992) (2,834) (2,958) -------- -------- ------- -------- -------- -------- Capital Share Transactions (1): Shares Issued......................................... 96,294 110,755 2,464 1,858 32,191 11,823 Shares Issued in Lieu of Cash Distributions........... 7,183 8,531 729 752 2,141 2,148 Shares Redeemed....................................... (31,639) (29,131) (7,045) (10,500) (13,244) (23,147) -------- -------- ------- -------- -------- -------- Net Increase (Decrease) from Capital Share Transactions...................................... 71,838 90,155 (3,852) (7,890) 21,088 (9,176) -------- -------- ------- -------- -------- -------- Total Increase (Decrease) in Net Assets............ 92,975 98,929 5,780 (2,553) 64,490 (11,136) NET ASSETS Beginning of Year..................................... 238,191 139,262 31,316 33,869 106,316 117,452 -------- -------- ------- -------- -------- -------- End of Year........................................... $331,166 $238,191 $37,096 $ 31,316 $170,806 $106,316 ======== ======== ======= ======== ======== ======== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 4,135 5,147 78 76 1,806 842 Shares Issued in Lieu of Cash Distributions........... 309 410 24 34 128 166 Shares Redeemed....................................... (1,362) (1,342) (224) (429) (834) (1,693) -------- -------- ------- -------- -------- -------- Net Increase (Decrease) from Shares Issued and Redeemed...................................... 3,082 4,215 (122) (319) 1,100 (685) ======== ======== ======= ======== ======== ======== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 6,418 $ 779 $ 129 $ 149 $ 92 $ 280
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0, respectively. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL REAL ESTATE SECURITIES DFA GLOBAL REAL ESTATE DFA INTERNATIONAL SMALL PORTFOLIO SECURITIES PORTFOLIO CAP 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, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................. $ 72,994 $ 66,041 $ 84,342 $ 36,495 $ 208,592 $ 176,655 Net Realized Gain (Loss) on: Investment Securities Sold................... (19,009) (33,417) (3,169) (2,760) 179,935 130,909 Futures...................................... 888 -- -- -- -- -- Foreign Currency Transactions*............... (860) 34 -- 138,125 (2,311) 1,183 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................... 105,321 228,123 60,459 -- 2,722,774 203,828 Translation of Foreign Currency Denominated Amounts...................................... 18 (24) -- -- 666 (393) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations................. 159,352 260,757 141,632 171,860 3,109,656 512,182 ---------- ---------- ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Institutional Class Shares................... (181,848) (54,030) (84,341) (25,716) (198,381) (187,200) Net Short-Term Gains: Institutional Class Shares................... -- -- -- -- -- (11,429) Net Long-Term Gains: Institutional Class Shares................... -- -- -- -- (117,102) (126,221) ---------- ---------- ---------- ---------- ----------- ----------- Total Distributions........................ (181,848) (54,030) (84,341) (25,716) (315,483) (324,850) ---------- ---------- ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued................................. 842,458 416,378 932,289 445,794 1,644,691 1,698,080 Shares Issued in Lieu of Cash Distributions... 180,122 53,300 82,056 25,115 292,218 304,574 Shares Redeemed............................... (372,815) (204,853) (304,476) (170,854) (1,848,793) (1,382,520) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions........................ 649,765 264,825 709,869 300,055 88,116 620,134 ---------- ---------- ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets.... 627,269 471,552 767,160 446,199 2,882,289 807,466 NET ASSETS Beginning of Year............................. 1,531,708 1,060,156 1,315,547 869,348 8,266,610 7,459,144 ---------- ---------- ---------- ---------- ----------- ----------- End of Year................................... $2,158,977 $1,531,708 $2,082,707 $1,315,547 $11,148,899 $ 8,266,610 ========== ========== ========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................. 159,658 84,674 99,632 51,866 96,297 117,598 Shares Issued in Lieu of Cash Distributions... 35,387 12,309 9,335 3,385 18,141 22,510 Shares Redeemed............................... (71,419) (42,864) (32,860) (20,069) (106,982) (97,364) ---------- ---------- ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed....................... 123,626 54,119 76,107 35,182 7,456 42,744 ========== ========== ========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)............................. $ (147,973) $ (46,274) $ 11,624 $ 11,623 $ 14,704 $ 14,647
---------- * Net of foreign capital gain taxes withheld of $7, $0, $0, $0, $6 and $13, respectively. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
WORLD EX U.S. INTERNATIONAL VECTOR WORLD EX U.S. VALUE TARGETED VALUE EQUITY PORTFOLIO PORTFOLIO PORTFOLIO --------------------- ----------------- -------------- PERIOD YEAR YEAR YEAR YEAR NOV. 1, ENDED ENDED ENDED ENDED 2012(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 ---------- --------- -------- -------- -------------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................... $ 18,816 $ 14,617 $ 2,186 $ 1,596 $ 1,009 Capital Gain Distributions Received from Affiliated Investment Companies...................................................... -- -- 64 79 191 Net Realized Gain (Loss) on: Investment Securities Sold..................................... 8,277 2,944 3,077 61 947 Futures........................................................ -- -- (12) (1) 1 Foreign Currency Transactions*................................. (71) (98) (14) (10) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 172,846 13,867 13,382 430 11,646 Futures........................................................ -- -- (1) -- -- Translation of Foreign Currency Denominated Amounts............ 46 (30) (15) (1) -- ---------- --------- -------- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations.................................................. 199,914 31,300 18,667 2,154 13,791 ---------- --------- -------- ------- ------- Distributions From: Net Investment Income: Institutional Class Shares..................................... (17,456) (14,204) (2,334) (1,432) (993) Net Short-Term Gains: Institutional Class Shares..................................... -- -- -- (6) -- Net Long-Term Gains: Institutional Class Shares..................................... (2,044) (6,473) -- -- -- ---------- --------- -------- ------- ------- Total Distributions.......................................... (19,500) (20,677) (2,334) (1,438) (993) ---------- --------- -------- ------- ------- Capital Share Transactions (1): Shares Issued................................................... 419,905 241,502 53,066 15,365 87,917 Shares Issued in Lieu of Cash Distributions..................... 18,898 19,813 2,232 1,370 993 Shares Redeemed................................................. (89,842) (121,119) (11,241) (7,419) (5,698) ---------- --------- -------- ------- ------- Net Increase (Decrease) from Capital Share Transactions...... 348,961 140,196 44,057 9,316 83,212 ---------- --------- -------- ------- ------- Total Increase (Decrease) in Net Assets...................... 529,375 150,819 60,390 10,032 96,010 NET ASSETS Beginning of Period............................................. 561,399 410,580 57,197 47,165 -- ---------- --------- -------- ------- ------- End of Period................................................... $1,090,774 $ 561,399 $117,587 $57,197 $96,010 ========== ========= ======== ======= ======= (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................... 39,490 27,490 4,923 1,625 8,136 Shares Issued in Lieu of Cash Distributions..................... 1,856 2,341 209 152 90 Shares Redeemed................................................. (8,665) (13,627) (1,036) (756) (522) ---------- --------- -------- ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed...... 32,681 16,204 4,096 1,021 7,704 ========== ========= ======== ======= ======= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................... $ 2,486 $ 1,456 $ 187 $ 330 $ 15
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $1, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
WORLD EX U.S. CORE EQUITY SELECTIVELY HEDGED PORTFOLIO GLOBAL EQUITY PORTFOLIO ------------------ ---------------------- PERIOD PERIOD APRIL 9, APRIL 9, PERIOD 2013(A) 2013(A) YEAR NOV. 14, TO TO ENDED 2011(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 -------- -------- -------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................... $ 1,160 $ -- $ 1,317 $ 536 Capital Gain Distributions Received from Affiliated Investment Companies...................................................... -- -- 115 -- Net Realized Gain (Loss) on: Investment Securities Sold..................................... (30) -- (81) (275) Futures........................................................ -- -- 545 110 Foreign Currency Transactions*................................. -- -- 237 163 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 11,720 -- 12,814 2,557 Futures........................................................ -- -- 150 (17) Translation of Foreign Currency Denominated Amounts............ -- -- 121 (93) -------- ---- ------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... 12,850 -- 15,218 2,981 -------- ---- ------- ------- Distributions From: Net Investment Income: Institutional Class Shares..................................... (1,171) -- (330) (534) Net Short-Term Gains: Institutional Class Shares..................................... -- -- (43) -- Net Long-Term Gains: Institutional Class Shares..................................... -- -- (56) -- -------- ---- ------- ------- Total Distributions........................................... (1,171) -- (429) (534) -------- ---- ------- ------- Capital Share Transactions (1): Shares Issued................................................... 125,005 -- 43,832 32,522 Shares Issued in Lieu of Cash Distributions..................... 1,169 -- 429 533 Shares Redeemed................................................. (8,133) -- (2,652) (552) -------- ---- ------- ------- Net Increase (Decrease) from Capital Share Transactions....... 118,041 -- 41,609 32,503 -------- ---- ------- ------- Total Increase (Decrease) in Net Assets....................... 129,720 -- 56,398 34,950 NET ASSETS Beginning of Period............................................. -- -- 34,950 -- -------- ---- ------- ------- End of Period................................................... $129,720 $ -- $91,348 $34,950 ======== ==== ======= ======= (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................... 12,721 -- 3,666 3,216 Shares Issued in Lieu of Cash Distributions..................... 117 -- 39 53 Shares Redeemed................................................. (790) -- (217) (53) -------- ---- ------- ------- Net Increase (Decrease) from Shares Issued and Redeemed..................................................... 12,048 -- 3,488 3,216 ======== ==== ======= ======= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................ $ (1) $ -- $ 1,390 $ 166
EMERGING MARKETS PORTFOLIO ---------------------- YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................... $ 61,645 $ 54,306 Capital Gain Distributions Received from Affiliated Investment Companies...................................................... -- -- Net Realized Gain (Loss) on: Investment Securities Sold..................................... 22,235 31,303 Futures........................................................ -- -- Foreign Currency Transactions*................................. (124) (543) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency..................... 143,306 25,377 Futures........................................................ -- -- Translation of Foreign Currency Denominated Amounts............ (6) 18 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................... 227,056 110,461 ---------- ---------- Distributions From: Net Investment Income: Institutional Class Shares..................................... (59,866) (49,445) Net Short-Term Gains: Institutional Class Shares..................................... -- -- Net Long-Term Gains: Institutional Class Shares..................................... (30,527) (90,351) ---------- ---------- Total Distributions........................................... (90,393) (139,796) ---------- ---------- Capital Share Transactions (1): Shares Issued................................................... 1,304,374 860,651 Shares Issued in Lieu of Cash Distributions..................... 84,860 130,084 Shares Redeemed................................................. (667,334) (477,258) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....... 721,900 513,477 ---------- ---------- Total Increase (Decrease) in Net Assets....................... 858,563 484,142 NET ASSETS Beginning of Period............................................. 2,797,177 2,313,035 ---------- ---------- End of Period................................................... $3,655,740 $2,797,177 ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................... 50,466 34,114 Shares Issued in Lieu of Cash Distributions..................... 3,233 5,452 Shares Redeemed................................................. (25,465) (18,952) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed..................................................... 28,234 20,614 ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)........................................ $ 6,864 $ 8,306
---------- Seepage 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $13, respectively. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
EMERGING MARKETS SMALL EMERGING MARKETS VALUE CAP PORTFOLIO PORTFOLIO ---------------------- ------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 ---------- ---------- ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 69,684 $ 46,726 $ 342,372 $ 308,227 Net Realized Gain (Loss) on: Investment Securities Sold........................... 64,325 101,576 296,735 362,676 Futures.............................................. 452 (812) -- (1,255) Foreign Currency Transactions*....................... (1,227) (1,523) (2,807) (4,701) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................................ 146,169 9,556 717,140 (535,878) Futures.............................................. 4 -- -- -- Translation of Foreign Currency Denominated Amounts............................................. (42) (21) 7 (113) ---------- ---------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 279,365 155,502 1,353,447 128,956 ---------- ---------- ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares...................................... -- -- (1,837) (1,576) Institutional Class Shares........................... (67,721) (40,500) (355,664) (285,978) Net Short-Term Gains: Institutional Class Shares........................... (3,428) -- -- -- Net Long-Term Gains: Class R2 Shares...................................... -- -- (2,090) (1,207) Institutional Class Shares........................... (92,100) (37,112) (342,441) (187,999) ---------- ---------- ----------- ----------- Total Distributions................................ (163,249) (77,612) (702,032) (476,760) ---------- ---------- ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 1,458,450 1,164,899 4,240,153 5,108,640 Shares Issued in Lieu of Cash Distributions........... 142,712 68,580 656,583 439,131 Shares Redeemed....................................... (583,088) (236,441) (2,967,974) (2,319,607) ---------- ---------- ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... 1,018,074 997,038 1,928,762 3,228,164 ---------- ---------- ----------- ----------- Total Increase (Decrease) in Net Assets............ 1,134,190 1,074,928 2,580,177 2,880,360 NET ASSETS Beginning of Year..................................... 2,907,673 1,832,745 16,688,730 13,808,370 ---------- ---------- ----------- ----------- End of Year........................................... $4,041,863 $2,907,673 $19,268,907 $16,688,730 ========== ========== =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 69,669 59,256 148,957 181,833 Shares Issued in Lieu of Cash Distributions........... 6,956 3,782 22,991 16,750 Shares Redeemed....................................... (28,076) (12,340) (105,179) (82,979) ---------- ---------- ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................... 48,549 50,698 66,769 115,604 ========== ========== =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 8,340 $ 6,451 $ 14,739 $ 40,292
EMERGING MARKETS CORE EQUITY PORTFOLIO ------------------------ YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).......................... $ 211,992 $ 155,928 Net Realized Gain (Loss) on: Investment Securities Sold........................... (9,977) (8,860) Futures.............................................. -- 1,190 Foreign Currency Transactions*....................... (2,207) (1,300) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................................ 581,086 122,105 Futures.............................................. -- -- Translation of Foreign Currency Denominated Amounts............................................. (79) (51) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 780,815 269,012 ----------- ----------- Distributions From: Net Investment Income: Class R2 Shares...................................... -- -- Institutional Class Shares........................... (205,400) (139,837) Net Short-Term Gains: Institutional Class Shares........................... -- -- Net Long-Term Gains: Class R2 Shares...................................... -- -- Institutional Class Shares........................... -- -- ----------- ----------- Total Distributions................................ (205,400) (139,837) ----------- ----------- Capital Share Transactions (1): Shares Issued......................................... 5,406,041 4,068,293 Shares Issued in Lieu of Cash Distributions........... 187,871 126,291 Shares Redeemed....................................... (1,743,072) (1,096,525) ----------- ----------- Net Increase (Decrease) from Capital Share Transactions...................................... 3,850,840 3,098,059 ----------- ----------- Total Increase (Decrease) in Net Assets............ 4,426,255 3,227,234 NET ASSETS Beginning of Year..................................... 8,594,707 5,367,473 ----------- ----------- End of Year........................................... $13,020,962 $ 8,594,707 =========== =========== (1) SHARES ISSUED AND REDEEMED: Shares Issued......................................... 276,461 218,730 Shares Issued in Lieu of Cash Distributions........... 9,689 7,108 Shares Redeemed....................................... (90,412) (60,020) ----------- ----------- Net Increase (Decrease) from Shares Issued and Redeemed............................... 195,738 165,818 =========== =========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)................................................ $ 31,355 $ 26,576
---------- * Net of foreign capital gain taxes withheld of $1, $86, $0, $310, $0 and $541, respectively. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP EQUITY ENHANCED U.S. LARGE COMPANY PORTFOLIO PORTFOLIO ------------------------------------------------ ---------- PERIOD YEAR YEAR YEAR YEAR YEAR JUNE 25, ENDED ENDED ENDED ENDED ENDED 2013(A) TO OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 2013 --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 6.47 $ 10.00 -------- -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.07 0.07 0.07 0.07 0.05 0.06 Net Gains (Losses) on Securities (Realized and Unrealized). 2.42 1.20 0.56 1.05 0.61 1.04 -------- -------- -------- -------- -------- -------- Total from Investment Operations......................... 2.49 1.27 0.63 1.12 0.66 1.10 --------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.08) (0.13) (0.01) (0.07) (0.59) (0.03) Net Realized Gains......................................... -- -- -- -- (0.06) -- -------- -------- -------- -------- -------- -------- Total Distributions...................................... (0.08) (0.13) (0.01) (0.07) (0.65) (0.03) --------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 11.70 $ 9.29 $ 8.15 $ 7.53 $ 6.48 $ 11.07 =========================================================== ======== ======== ======== ======== ======== ========== Total Return................................................ 26.99% 15.84% 8.41% 17.40% 12.23% 11.01%(D) --------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $212,840 $190,011 $171,128 $157,730 $165,231 $135,407 Ratio of Expenses to Average Net Assets..................... 0.24% 0.25% 0.26% 0.26% 0.29%** 0.19%(C)(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% 0.25% 0.26% 0.26% 0.29%** 0.25%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 0.63% 0.80% 0.86% 0.98% 0.86% 1.58%(C)(E) Portfolio Turnover Rate..................................... 139% 76% 140% 78% 46%* 0%(D) ---------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE CAP VALUE PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 22.34 $ 19.29 $ 18.58 $ 15.81 ----------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.47 0.41 0.33 0.33 Net Gains (Losses) on Securities (Realized and Unrealized). 7.38 3.04 0.70 2.76 ----------- ---------- ---------- ---------- Total from Investment Operations......................... 7.85 3.45 1.03 3.09 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.47) (0.40) (0.32) (0.32) Net Realized Gains......................................... -- -- -- -- ----------- ---------- ---------- ---------- Total Distributions...................................... (0.47) (0.40) (0.32) (0.32) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 29.72 $ 22.34 $ 19.29 $ 18.58 =========================================================== =========== ========== ========== ========== Total Return................................................ 35.52% 18.14% 5.53% 19.72% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $11,963,072 $8,334,585 $7,340,344 $6,921,036 Ratio of Expenses to Average Net Assets..................... 0.27%(B) 0.27%(B) 0.28%(B) 0.28%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.27%(B) 0.27%(B) 0.28%(B) 0.28%(B) Ratio of Net Investment Income to Average Net Assets........ 1.82% 1.99% 1.63% 1.86% Portfolio Turnover Rate..................................... N/A N/A N/A N/A --------------------------------------------------------------------------------------------------------------------------
----------- YEAR ENDED OCT. 31, 2009 --------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 14.58 ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 Net Gains (Losses) on Securities (Realized and Unrealized). 1.28 ---------- Total from Investment Operations......................... 1.59 --------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.34) Net Realized Gains......................................... (0.02) ---------- Total Distributions...................................... (0.36) --------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 15.81 =========================================================== ========== Total Return................................................ 11.76% --------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $5,863,652 Ratio of Expenses to Average Net Assets..................... 0.30%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.30%(B) Ratio of Net Investment Income to Average Net Assets........ 2.26% Portfolio Turnover Rate..................................... N/A ---------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * For the period February 28, 2009 through October 31, 2009. Effective February 28, 2009, U.S. Large 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 accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-CLASS R1 SHARES+ ------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $17.28 $ 15.32 $ 14.75 $ 11.73 $ 10.92 ------ ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.27 0.15 0.10 0.07 0.12 Net Gains (Losses) on Securities (Realized and Unrealized). 6.28 2.06 0.60 3.07 0.87 ------ ------- ------- ------- ------- Total from Investment Operations.......................... 6.55 2.21 0.70 3.14 0.99 ------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.22) (0.13) (0.10) (0.12) (0.18) Net Realized Gains......................................... (0.98) (0.12) (0.03) -- -- ------ ------- ------- ------- ------- Total Distributions....................................... (1.20) (0.25) (0.13) (0.12) (0.18) ------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $22.63 $ 17.28 $ 15.32 $ 14.75 $ 11.73 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 40.39% 14.67% 4.69% 26.93% 9.36% ------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,470 $49,423 $45,132 $41,316 $31,393 Ratio of Expenses to Average Net Assets...................... 0.47% 0.48% 0.48% 0.49% 0.52% Ratio of Net Investment Income to Average Net Assets......... 1.42% 0.93% 0.61% 0.59% 1.12% Portfolio Turnover Rate...................................... 16% 20% 23% 20% 17% -------------------------------------------------------------------------------------------------------------
U.S. TARGETED VALUE PORTFOLIO-CLASS R2 SHARES+ ------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 17.26 $ 15.31 $ 14.76 $11.74 $10.91 ------- ------- ------- ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.19 0.13 0.07 0.05 0.10 Net Gains (Losses) on Securities (Realized and Unrealized). 6.31 2.05 0.60 3.07 0.88 ------- ------- ------- ------ ------ Total from Investment Operations.......................... 6.50 2.18 0.67 3.12 0.98 ------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.21) (0.11) (0.09) (0.10) (0.15) Net Realized Gains......................................... (0.98) (0.12) (0.03) -- -- ------- ------- ------- ------ ------ Total Distributions....................................... (1.19) (0.23) (0.12) (0.10) (0.15) ------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 22.57 $ 17.26 $ 15.31 $14.76 $11.74 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 40.10% 14.46% 4.50% 26.66% 9.23% ------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $23,305 $12,754 $10,918 $5,967 $2,930 Ratio of Expenses to Average Net Assets...................... 0.62% 0.63% 0.63% 0.64% 0.67% Ratio of Net Investment Income to Average Net Assets......... 0.95% 0.78% 0.42% 0.44% 0.91% Portfolio Turnover Rate...................................... 16% 20% 23% 20% 17% ------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + 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 accompanying Notes to Financial Statements. 131 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. TARGETED VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ---------------------------------------------------------- ----------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 2013 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................... $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 10.84 $ 26.57 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.24 0.17 0.12 0.09 0.12 0.39 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 6.31 2.06 0.59 3.06 0.88 9.41 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 6.55 2.23 0.71 3.15 1.00 9.80 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income.............................. (0.25) (0.15) (0.12) (0.09) (0.14) (0.37) Net Realized Gains................................. (0.98) (0.12) (0.03) -- -- (1.52) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................... (1.23) (0.27) (0.15) (0.09) (0.14) (1.89) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year......................... $ 22.60 $ 17.28 $ 15.32 $ 14.76 $ 11.70 $ 34.48 ===================================================== ========== ========== ========== ========== ========== ========== Total Return......................................... 40.40% 14.78% 4.76% 27.02% 9.47% 39.35% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).................. $4,180,974 $2,989,632 $2,487,929 $2,223,982 $1,449,437 $9,526,981 Ratio of Expenses to Average Net Assets.............. 0.37% 0.38% 0.38% 0.38% 0.41% 0.52% Ratio of Net Investment Income to Average Net Assets. 1.25% 1.03% 0.71% 0.69% 1.19% 1.28% Portfolio Turnover Rate.............................. 16% 20% 23% 20% 17% 14% ------------------------------------------------------------------------------------------------------------------------------
U.S. SMALL CAP VALUE PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 23.50 $ 22.49 $ 17.69 $ 16.32 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.20 0.16 0.09 0.04 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 3.38 1.00 4.79 1.54 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 3.58 1.16 4.88 1.58 ------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.18) (0.15) (0.08) (0.21) Net Realized Gains................................. (0.33) -- -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (0.51) (0.15) (0.08) (0.21) ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 26.57 $ 23.50 $ 22.49 $ 17.69 ===================================================== ========== ========== ========== ========== Total Return......................................... 15.60% 5.13% 27.69% 9.97% ------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $7,088,470 $6,540,863 $6,555,277 $5,669,659 Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.54%++ Ratio of Net Investment Income to Average Net Assets. 0.78% 0.62% 0.43% 0.27% Portfolio Turnover Rate.............................. 15% 14% 19% 21%+ -------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + 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 accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. CORE EQUITY 1 PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 12.11 $ 10.78 $ 10.18 $ 8.54 $ 7.81 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.25 0.21 0.17 0.15 0.15 Net Gains (Losses) on Securities (Realized and Unrealized). 3.62 1.32 0.59 1.61 0.73 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 3.87 1.53 0.76 1.76 0.88 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.20) (0.16) (0.12) (0.15) Net Realized Gains......................................... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.24) (0.20) (0.16) (0.12) (0.15) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 15.74 $ 12.11 $ 10.78 $ 10.18 $ 8.54 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 32.32% 14.29% 7.47% 20.80% 11.64% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $7,566,179 $4,876,973 $3,731,411 $2,897,409 $1,989,583 Ratio of Expenses to Average Net Assets...................... 0.19% 0.19% 0.20% 0.20% 0.22% Ratio of Net Investment Income to Average Net Assets......... 1.79% 1.79% 1.49% 1.53% 2.02% Portfolio Turnover Rate...................................... 1% 3% 5% 4% 7% --------------------------------------------------------------------------------------------------------------------------
U.S. CORE EQUITY 2 PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 11.99 $ 10.61 $ 10.06 $ 8.39 $ 7.73 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.24 0.20 0.16 0.14 0.14 Net Gains (Losses) on Securities (Realized and Unrealized). 3.73 1.36 0.54 1.64 0.66 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 3.97 1.56 0.70 1.78 0.80 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.24) (0.18) (0.15) (0.11) (0.14) Net Realized Gains......................................... (0.10) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.34) (0.18) (0.15) (0.11) (0.14) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 15.62 $ 11.99 $ 10.61 $ 10.06 $ 8.39 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 33.66% 14.81% 6.98% 21.41% 10.66% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $9,989,564 $6,923,984 $5,819,906 $4,990,367 $3,804,325 Ratio of Expenses to Average Net Assets...................... 0.22% 0.22% 0.22% 0.23% 0.24% Ratio of Net Investment Income to Average Net Assets......... 1.74% 1.74% 1.42% 1.47% 1.89% Portfolio Turnover Rate...................................... 3% 5% 9% 7% 4% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. VECTOR EQUITY PORTFOLIO 170 ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year.......................... $ 11.61 $ 10.28 $ 9.82 $ 8.03 $ 7.48 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.20 0.16 0.12 0.10 0.11 Net Gains (Losses) on Securities (Realized and Unrealized). 4.03 1.32 0.46 1.79 0.57 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 4.23 1.48 0.58 1.89 0.68 ------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.15) (0.12) (0.10) (0.13) Net Realized Gains......................................... (0.02) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.22) (0.15) (0.12) (0.10) (0.13) ------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................ $ 15.62 $ 11.61 $ 10.28 $ 9.82 $ 8.03 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 36.80% 14.55% 5.86% 23.65% 9.47% ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)......................... $2,893,842 $2,009,177 $1,851,895 $1,558,423 $1,178,114 Ratio of Expenses to Average Net Assets..................... 0.32% 0.32% 0.33% 0.33% 0.35% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)............................................... 0.32% 0.32% 0.33% 0.33% 0.35% Ratio of Net Investment Income to Average Net Assets........ 1.50% 1.45% 1.11% 1.13% 1.60% Portfolio Turnover Rate..................................... 3% 9% 10% 11% 11% ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 134 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. SMALL CAP PORTFOLIO ---------------------------------------------------------- ----------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 2013 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 13.35 $ 14.84 ---------- ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.35 0.25 0.18 0.13 0.06 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 8.13 2.53 1.49 4.17 1.65 5.57 ---------- ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 8.48 2.78 1.67 4.30 1.71 5.76 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.36) (0.22) (0.18) (0.13) (0.17) (0.20) Net Realized Gains................................. (1.20) -- -- -- -- (0.76) ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions............................... (1.56) (0.22) (0.18) (0.13) (0.17) (0.96) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 30.03 $ 23.11 $ 20.55 $ 19.06 $ 14.89 $ 19.64 ===================================================== ========== ========== ========== ========== ========== ========== Total Return......................................... 39.03% 13.61% 8.76% 28.99% 13.08% 41.34% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $7,446,827 $4,563,345 $3,770,323 $3,391,457 $2,522,001 $4,695,831 Ratio of Expenses to Average Net Assets.............. 0.37% 0.37% 0.37% 0.37% 0.40%** 0.52% Ratio of Net Investment Income to Average Net Assets. 1.33% 1.14% 0.84% 0.76% 0.50% 1.16% Portfolio Turnover Rate.............................. 10% 16% 23% 19% 17%* 11% --------------------------------------------------------------------------------------------------------------------------------
U.S. MICRO CAP PORTFOLIO ----------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 13.24 $ 12.25 $ 9.57 $ 9.19 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.14 0.09 0.06 0.03 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 1.59 0.99 2.68 0.54 ---------- ---------- ---------- ---------- Total from Investment Operations.................. 1.73 1.08 2.74 0.57 ------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.13) (0.09) (0.06) (0.19) Net Realized Gains................................. -- -- -- -- ---------- ---------- ---------- ---------- Total Distributions............................... (0.13) (0.09) (0.06) (0.19) ------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 14.84 $ 13.24 $ 12.25 $ 9.57 ===================================================== ========== ========== ========== ========== Total Return......................................... 13.13% 8.85% 28.77% 6.61% ------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $3,437,958 $3,257,719 $3,178,286 $2,818,365 Ratio of Expenses to Average Net Assets.............. 0.52% 0.52% 0.52% 0.54%** Ratio of Net Investment Income to Average Net Assets. 0.99% 0.69% 0.58% 0.38% Portfolio Turnover Rate.............................. 15% 14% 9% 12%* -------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 135 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA REAL ESTATE SECURITIES PORTFOLIO ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 25.83 $ 23.25 $ 21.24 $ 15.29 $ 16.16 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.67 0.57 0.40 0.58 0.58 Net Gains (Losses) on Securities (Realized and Unrealized)... 1.95 2.74 1.93 5.92 (0.62) ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 2.62 3.31 2.33 6.50 (0.04) ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.68) (0.73) (0.32) (0.55) (0.83) ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.68) (0.73) (0.32) (0.55) (0.83) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 27.77 $ 25.83 $ 23.25 $ 21.24 $ 15.29 =============================================================== ========== ========== ========== ========== ========== Total Return................................................... 10.28% 14.45% 11.09% 43.21% 0.98% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $4,677,418 $3,716,389 $3,098,647 $2,689,552 $2,018,559 Ratio of Expenses to Average Net Assets........................ 0.18% 0.22% 0.32% 0.33% 0.36% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................................ 0.19% 0.23% 0.32% 0.33% 0.36% Ratio of Net Investment Income to Average Net Assets........... 2.42% 2.29% 1.76% 3.13% 4.54% Portfolio Turnover Rate........................................ 1% 0% 3% 2% 2% ----------------------------------------------------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 18.33 $ 17.91 $ 19.42 $ 18.02 $ 14.81 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.58 0.60 0.63 0.48 0.48 Net Gains (Losses) on Securities (Realized and Unrealized)... 3.90 0.40 (1.53) 1.43 3.16 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 4.48 1.00 (0.90) 1.91 3.64 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.61) (0.58) (0.61) (0.51) (0.43) ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.61) (0.58) (0.61) (0.51) (0.43) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 22.20 $ 18.33 $ 17.91 $ 19.42 $ 18.02 =============================================================== ========== ========== ========== ========== ========== Total Return................................................... 24.85% 5.89% (4.86)% 10.99% 25.20% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $2,755,114 $2,055,759 $1,704,149 $1,616,686 $1,364,351 Ratio of Expenses to Average Net Assets........................ 0.29% 0.30% 0.30% 0.30% 0.32% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................................ 0.29% 0.30% 0.30% 0.30% 0.32% Ratio of Net Investment Income to Average Net Assets........... 2.90% 3.38% 3.19% 2.65% 3.14% Portfolio Turnover Rate........................................ 5% 4% 3% 7% 12% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 136 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL CORE EQUITY PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 10.10 $ 9.89 $ 10.78 $ 9.79 $ 7.46 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.31 0.31 0.33 0.23 0.23 Net Gains (Losses) on Securities (Realized and Unrealized). 2.47 0.20 (0.89) 0.96 2.32 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 2.78 0.51 (0.56) 1.19 2.55 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.31) (0.30) (0.33) (0.20) (0.22) ---------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.31) (0.30) (0.33) (0.20) (0.22) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 12.57 $ 10.10 $ 9.89 $ 10.78 $ 9.79 =========================================================== ========== ========== ========== ========== ========== Total Return................................................ 27.98% 5.49% (5.49)% 12.48% 34.81% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $9,508,466 $6,482,738 $5,395,884 $4,866,989 $3,699,842 Ratio of Expenses to Average Net Assets..................... 0.39% 0.40% 0.40% 0.40% 0.41% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.39% 0.40% 0.40% 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets........ 2.80% 3.18% 2.96% 2.31% 2.84% Portfolio Turnover Rate..................................... 3% 5% 3% 2% 5% -------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 137 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL SMALL COMPANY PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 15.28 $ 15.21 $ 16.14 $ 13.99 $ 10.07 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.42 0.38 0.40 0.28 0.28 Net Gains (Losses) on Securities (Realized and Unrealized)... 4.16 0.39 (0.83) 2.13 3.91 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 4.58 0.77 (0.43) 2.41 4.19 ----------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.37) (0.42) (0.50) (0.26) (0.27) Net Realized Gains........................................... (0.09) (0.28) -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.46) (0.70) (0.50) (0.26) (0.27) ----------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 19.40 $ 15.28 $ 15.21 $ 16.14 $ 13.99 =============================================================== ========== ========== ========== ========== ========== Total Return................................................ 30.66% 5.63% (2.92)% 17.61% 42.34% ----------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $8,520,717 $6,423,160 $5,834,015 $5,511,594 $4,269,864 Ratio of Expenses to Average Net Assets (B).................... 0.54% 0.56% 0.55% 0.56% 0.57% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)..................................................... 0.54% 0.56% 0.55% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets........... 2.47% 2.58% 2.37% 1.94% 2.48% -----------------------------------------------------------------------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO ------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 14.99 $ 15.24 $ 14.13 $ 14.32 $ 11.97 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.26 0.29 0.27 0.22 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)... 4.21 (0.26) 1.08 (0.18) 2.39 -------- -------- -------- -------- -------- Total from Investment Operations............................ 4.47 0.03 1.35 0.04 2.61 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.13) (0.28) (0.24) (0.23) (0.26) Net Realized Gains........................................... -- -- -- -- -- -------- -------- -------- -------- -------- Total Distributions......................................... (0.13) (0.28) (0.24) (0.23) (0.26) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 19.33 $ 14.99 $ 15.24 $ 14.13 $ 14.32 =============================================================== ======== ======== ======== ======== ======== Total Return................................................ 30.06% 0.20% 9.57% 0.33% 22.08% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $414,132 $293,968 $163,120 $114,933 $114,058 Ratio of Expenses to Average Net Assets (B).................... 0.56% 0.57% 0.56% 0.57% 0.59% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)..................................................... 0.56% 0.57% 0.56% 0.57% 0.59% Ratio of Net Investment Income to Average Net Assets........... 1.51% 1.88% 1.74% 1.52% 1.68% -----------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 138 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
ASIA PACIFIC SMALL COMPANY PORTFOLIO ------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................................ $ 23.22 $ 23.04 $ 25.64 $ 20.59 $ 11.67 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................................ 1.01 0.87 0.85 0.69 0.50 Net Gains (Losses) on Securities (Realized and Unrealized).................. 1.37 0.58 (2.16) 4.99 8.95 -------- -------- -------- -------- -------- Total from Investment Operations........................................... 2.38 1.45 (1.31) 5.68 9.45 ---------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................................................... (0.78) (1.27) (1.29) (0.63) (0.53) -------- -------- -------- -------- -------- Total Distributions........................................................ (0.78) (1.27) (1.29) (0.63) (0.53) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................................................. $ 24.82 $ 23.22 $ 23.04 $ 25.64 $ 20.59 ============================================================================== ======== ======== ======== ======== ======== Total Return............................................................... 10.46% 7.09% (5.59)% 28.36% 84.11% ---------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................................... $331,166 $238,191 $139,262 $131,511 $101,853 Ratio of Expenses to Average Net Assets (B)................................... 0.57% 0.59% 0.60% 0.63% 0.65% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.57% 0.59% 0.60% 0.61% 0.65% Ratio of Net Investment Income to Average Net Assets.......................... 4.26% 3.91% 3.34% 3.14% 3.53% ----------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO -------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................................ $ 27.81 $ 23.44 $ 24.24 $ 19.83 $ 14.27 ------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................................ 0.88 0.69 0.82 0.50 0.55 Net Gains (Losses) on Securities (Realized and Unrealized).................. 9.17 4.47 (0.85) 4.41 5.44 ------- ------- ------- ------- ------- Total from Investment Operations........................................... 10.05 5.16 (0.03) 4.91 5.99 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income....................................................... (0.90) (0.79) (0.77) (0.50) (0.43) ------- ------- ------- ------- ------- Total Distributions........................................................ (0.90) (0.79) (0.77) (0.50) (0.43) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.................................................. $ 36.96 $ 27.81 $ 23.44 $ 24.24 $ 19.83 ============================================================================== ======== ======== ======== ======== ======== Total Return............................................................... 36.81% 22.82% (0.28)% 25.37% 42.81% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)........................................... $37,096 $31,316 $33,869 $33,751 $27,863 Ratio of Expenses to Average Net Assets (B)................................... 0.59% 0.60% 0.60% 0.60% 0.61% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees) (B)...................... 0.63% 0.63% 0.62% 0.64% 0.70% Ratio of Net Investment Income to Average Net Assets.......................... 2.79% 2.83% 3.26% 2.39% 3.62% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 139 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CONTINENTAL SMALL COMPANY PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 14.51 $ 14.66 $ 16.93 $ 15.02 $ 10.73 -------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.37 0.39 0.39 0.27 0.28 Net Gains (Losses) on Securities (Realized and Unrealized). 5.78 (0.17) (2.20) 1.89 4.29 -------- -------- -------- -------- -------- Total from Investment Operations.......................... 6.15 0.22 (1.81) 2.16 4.57 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.40) (0.37) (0.46) (0.25) (0.28) -------- -------- -------- -------- -------- Total Distributions....................................... (0.40) (0.37) (0.46) (0.25) (0.28) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 20.26 $ 14.51 $ 14.66 $ 16.93 $ 15.02 ============================================================= ======== ======== ======== ======== ======== Total Return.............................................. 42.99% 1.85% (11.09)% 14.85% 43.12% ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $170,806 $106,316 $117,452 $128,106 $110,926 Ratio of Expenses to Average Net Assets...................... 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.62%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)....................... 0.58%(B) 0.59%(B) 0.58%(B) 0.59%(B) 0.61%(B) Ratio of Net Investment Income to Average Net Assets......... 2.16% 2.78% 2.25% 1.78% 2.39% ------------------------------------------------------------------------------------------------------------------------------- Portfolio Turnover Rate...................................... N/A N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO ------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 5.67 $ 4.90 $ 5.58 $ 5.24 $ 4.18 ---------- ---------- ---------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.22 0.27 0.30 0.31 0.26 Net Gains (Losses) on Securities (Realized and Unrealized). 0.25 0.75 (0.33) 0.58 0.91 ---------- ---------- ---------- -------- -------- Total from Investment Operations.......................... 0.47 1.02 (0.03) 0.89 1.17 ---------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.66) (0.25) (0.65) (0.55) (0.11) ---------- ---------- ---------- -------- -------- Total Distributions....................................... (0.66) (0.25) (0.65) (0.55) (0.11) ---------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 5.48 $ 5.67 $ 4.90 $ 5.58 $ 5.24 ============================================================= ========== ========== ========== ======== ======== Total Return.............................................. 9.24% 22.34% (0.43)% 18.96% 29.25% ---------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,158,977 $1,531,708 $1,060,156 $958,554 $742,329 Ratio of Expenses to Average Net Assets...................... 0.39% 0.41% 0.42% 0.41% 0.43% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)....................... 0.39% 0.41% 0.42% 0.41% 0.43% Ratio of Net Investment Income to Average Net Assets......... 4.07% 5.45% 5.73% 6.42% 6.40% ---------------------------------------------------------------------------------------------------------------------- Portfolio Turnover Rate...................................... 5% 3% 7% 6% 5% ----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 140 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO ---------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 9.33 $ 8.21 $ 8.28 $ 6.75 $ 6.04 ---------- ---------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.49 0.29 0.41 0.40 0.19 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 0.37 1.07 0.06 1.60 0.62 ---------- ---------- -------- -------- -------- Total from Investment Operations.................. 0.86 1.36 0.47 2.00 0.81 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.60) (0.24) (0.54) (0.47) (0.10) Net Realized Gains................................. -- -- -- -- -- ---------- ---------- -------- -------- -------- Total Distributions............................... (0.60) (0.24) (0.54) (0.47) (0.10) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 9.59 $ 9.33 $ 8.21 $ 8.28 $ 6.75 ===================================================== ========== ========== ======== ======== ======== Total Return......................................... 9.74% 17.33% 6.17% 31.38% 13.81% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $2,082,707 $1,315,547 $869,348 $695,461 $432,502 Ratio of Expenses to Average Net Assets.............. 0.32%(B) 0.34%(B) 0.41%(B) 0.41%(B) 0.47%(B) 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%(B) 0.60%(B) 0.73%(B) 0.73%(B) 0.79%(B) Ratio of Net Investment Income to Average Net Assets. 5.18% 3.38% 5.01% 5.59% 3.40% Portfolio Turnover Rate.............................. N/A N/A N/A N/A N/A ---------------------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 15.16 $ 14.85 $ 16.16 $ 14.92 $ 10.82 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.37 0.34 0.34 0.24 0.26 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 5.21 0.61 (0.98) 1.22 4.14 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 5.58 0.95 (0.64) 1.46 4.40 ------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.36) (0.36) (0.38) (0.22) (0.24) Net Realized Gains................................. (0.21) (0.28) (0.29) -- (0.06) ----------- ---------- ---------- ---------- ---------- Total Distributions............................... (0.57) (0.64) (0.67) (0.22) (0.30) ------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 20.17 $ 15.16 $ 14.85 $ 16.16 $ 14.92 ===================================================== =========== ========== ========== ========== ========== Total Return......................................... 37.79% 6.92% (4.39)% 10.01% 41.42% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $11,148,899 $8,266,610 $7,459,144 $7,655,318 $6,859,957 Ratio of Expenses to Average Net Assets.............. 0.69% 0.71% 0.70% 0.70% 0.71% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly). 0.69% 0.71% 0.70% 0.70% 0.71% Ratio of Net Investment Income to Average Net Assets. 2.16% 2.30% 2.05% 1.57% 2.19% Portfolio Turnover Rate.............................. 9% 18% 16% 18% 22% -------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 141 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
INTERNATIONAL VECTOR EQUITY PORTFOLIO --------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...................................... $ 9.33 $ 9.34 $ 10.28 $ 9.22 $ 6.74 ---------- -------- -------- -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................................ 0.26 0.27 0.29 0.18 0.17 Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.44 0.14 (0.87) 1.05 2.46 ---------- -------- -------- -------- -------- Total from Investment Operations....................................... 2.70 0.41 (0.58) 1.23 2.63 -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................... (0.25) (0.27) (0.29) (0.17) (0.15) Net Realized Gains...................................................... (0.03) (0.15) (0.07) -- -- ---------- -------- -------- -------- -------- Total Distributions.................................................... (0.28) (0.42) (0.36) (0.17) (0.15) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period............................................ $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 9.22 ========================================================================== ========== ======== ======== ======== ======== Total Return.............................................................. 29.52% 4.90% (5.99)% 13.62% 39.52% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................................... $1,090,774 $561,399 $410,580 $363,123 $262,544 Ratio of Expenses to Average Net Assets................................... 0.51% 0.54% 0.54% 0.54% 0.60% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).............................................................. 0.51% 0.54% 0.54% 0.53% 0.59% Ratio of Net Investment Income to Average Net Assets...................... 2.51% 2.94% 2.73% 1.91% 2.31% Portfolio Turnover Rate................................................... 2% 5% 10% 5% 8% --------------------------------------------------------------------------------------------------------------------------------
------------ YEAR ENDED OCT. 31, 2013 ---------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period...................................... $ 9.94 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................................ 0.29 Net Gains (Losses) on Securities (Realized and Unrealized).............. 2.02 -------- Total from Investment Operations....................................... 2.31 ---------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................... (0.32) Net Realized Gains...................................................... -- -------- Total Distributions.................................................... (0.32) ---------------------------------------------------------------------------------------- Net Asset Value, End of Period............................................ $ 11.93 ========================================================================== ======== Total Return.............................................................. 23.61% ---------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)..................................... $117,587 Ratio of Expenses to Average Net Assets................................... 0.60%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly).............................................................. 0.76%(B) Ratio of Net Investment Income to Average Net Assets...................... 2.61% Portfolio Turnover Rate................................................... N/A ----------------------------------------------------------------------------------------
WORLD EX U.S. VALUE PORTFOLIO ------------------------------------ YEAR YEAR ENDED ENDED PERIOD OCT. 31, OCT. 31, AUG. 23, 2010(A) 2012 2011 TO 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%(D) ------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Period (thousands)..................................... $57,197 $47,165 $29,616 Ratio of Expenses to Average Net Assets................................... 0.60%(B) 0.60%(B) 0.90%(B)(C)(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).............................................................. 0.84%(B) 0.91%(B) 1.37%(B)(C)(E) Ratio of Net Investment Income to Average Net Assets...................... 2.97% 2.64% 0.76%(C)(E) Portfolio Turnover Rate................................................... N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 142 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
WORLD EX WORLD EX U.S.TARGETED U.S.CORE SELECTIVELY HEDGED VALUE PORTFOLIO EQUITY PORTFOLIO GLOBAL EQUITY PORTFOLIO --------------- ---------------- -------------------- PERIOD PERIOD YEAR PERIOD NOV. 1, 2012(A) APRIL 9, 2013(A) ENDED NOV. 14,2011(A) TO OCT. 31, TO OCT. 31, OCT. 31, TO OCT. 31, 2013 2013 2013 2012 ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period........................ $ 10.00 $ 10.00 $ 10.87 $ 10.00 ------- -------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.20 0.18 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized). 2.46 0.77 2.65 0.87 ------- -------- ------- ------- Total from Investment Operations......................... 2.66 0.95 2.89 1.09 ------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.20) (0.18) (0.10) (0.22) Net Realized Gains......................................... -- -- (0.03) -- ------- -------- ------- ------- Total Distributions...................................... (0.20) (0.18) (0.13) (0.22) ------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period.............................. $ 12.46 $ 10.77 $ 13.63 $ 10.87 =========================================================== =============== ================ ======== =============== Total Return................................................ 26.90%(D) 9.62%(D) 26.86% 11.11%(D) ------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands)....................... $96,010 $129,720 $91,348 $34,950 Ratio of Expenses to Average Net Assets (B)................. 0.79%(C)(E) 0.47%(C)(E) 0.40% 0.40%(C)(E) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees) (B)........................................... 1.27%(C)(E) 0.97%(C)(E) 0.72% 1.00%(C)(E) Ratio of Net Investment Income to Average Net Assets........ 1.78%(C)(E) 3.12%(C)(E) 1.93% 2.13%(C)(E) Portfolio Turnover Rate..................................... N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 143 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 26.06 $ 26.68 $ 30.90 $ 25.23 $ 17.05 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.52 0.55 0.61 0.48 0.42 Net Gains (Losses) on Securities (Realized and Unrealized). 1.17 0.37 (2.53) 6.07 8.42 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.69 0.92 (1.92) 6.55 8.84 --------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.50) (0.50) (0.53) (0.46) (0.41) Net Realized Gains......................................... (0.28) (1.04) (1.77) (0.42) (0.25) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.78) (1.54) (2.30) (0.88) (0.66) --------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 26.97 $ 26.06 $ 26.68 $ 30.90 $ 25.23 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 6.58% 4.08% (6.82)% 26.53% 53.39% --------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,655,740 $2,797,177 $2,313,035 $2,372,498 $1,966,288 Ratio of Expenses to Average Net Assets (B).................. 0.57% 0.61% 0.61% 0.60% 0.62% Ratio of Net Investment Income to Average Net Assets......... 1.97% 2.14% 2.07% 1.76% 2.15% ---------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 20.33 $ 19.85 $ 24.26 $ 17.45 $ 9.33 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.40 0.40 0.42 0.34 0.26 Net Gains (Losses) on Securities (Realized and Unrealized). 1.37 0.83 (3.67) 6.79 8.14 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 1.77 1.23 (3.25) 7.13 8.40 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.39) (0.35) (0.40) (0.32) (0.28) Net Realized Gains......................................... (0.61) (0.40) (0.76) -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (1.00) (0.75) (1.16) (0.32) (0.28) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 21.10 $ 20.33 $ 19.85 $ 24.26 $ 17.45 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 8.92% 6.71% (14.03)% 41.33% 91.35% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,041,863 $2,907,673 $1,832,745 $1,833,038 $1,133,958 Ratio of Expenses to Average Net Assets (B).................. 0.75% 0.82% 0.79% 0.78% 0.80% Ratio of Net Investment Income to Average Net Assets......... 1.91% 2.01% 1.86% 1.70% 2.05% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 144 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS VALUE PORTFOLIO-CLASS R2 SHARES+ --------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 28.21 $ 29.02 $ 36.35 $ 46.84 $ 85.43 -------- ------- ------- ------- ------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.47 0.50 0.20 0.56 0.56 Net Gains (Losses) on Securities (Realized and Unrealized). 1.68 (0.45) (5.45) 9.18 21.36 -------- ------- ------- ------- ------- Total from Investment Operations.......................... 2.15 0.05 (5.25) 9.74 21.92 ---------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.50) (0.47) (0.45) (7.12) (6.00) Net Realized Gains......................................... (0.59) (0.39) (1.63) (13.11) (54.52) -------- ------- ------- ------- ------- Total Distributions....................................... (1.09) (0.86) (2.08) (20.23) (60.52) ---------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 29.27 $ 28.21 $ 29.02 $ 36.35 $ 46.83 ============================================================= ======== ======== ======== ======== ======== Total Return................................................. 7.75% 0.43% (15.24)% 29.71% 78.29% ---------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $106,070 $99,111 $78,157 $39,668 $ 5,082 Ratio of Expenses to Average Net Assets (B).................. 0.82% 0.86% 0.86% 0.86% 0.90% Ratio of Net Investment Income to Average Net Assets......... 1.65% 1.78% 1.56% 1.39% 1.39% ----------------------------------------------------------------------------------------------------------------
EMERGING MARKETS VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES --------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year........................... $ 28.22 $ 29.02 $ 36.27 $ 28.90 $ 19.36 ----------- ----------- ----------- ----------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.55 0.57 0.64 0.45 0.38 Net Gains (Losses) on Securities (Realized and Unrealized). 1.67 (0.44) (5.72) 8.01 12.41 ----------- ----------- ----------- ----------- ---------- Total from Investment Operations.......................... 2.22 0.13 (5.08) 8.46 12.79 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income...................................... (0.57) (0.54) (0.54) (0.39) (0.34) Net Realized Gains......................................... (0.59) (0.39) (1.63) (0.70) (2.91) ----------- ----------- ----------- ----------- ---------- Total Distributions....................................... (1.16) (0.93) (2.17) (1.09) (3.25) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year................................. $ 29.28 $ 28.22 $ 29.02 $ 36.27 $ 28.90 ============================================================= =========== =========== =========== =========== ========== Total Return................................................. 8.01% 0.70% (14.84)% 30.04% 78.59% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).......................... $19,162,837 $16,589,619 $13,730,213 $11,542,870 $7,401,266 Ratio of Expenses to Average Net Assets (B).................. 0.57% 0.61% 0.61% 0.60% 0.62% Ratio of Net Investment Income to Average Net Assets......... 1.91% 2.03% 1.88% 1.40% 1.76% ------------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + 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 accompanying Notes to Financial Statements. 145 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
EMERGING MARKETS CORE EQUITY PORTFOLIO ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 19.00 $ 18.73 $ 21.31 $ 16.49 $ 9.88 ----------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.39 0.41 0.43 0.30 0.25 Net Gains (Losses) on Securities (Realized and Unrealized). 1.07 0.23 (2.65) 4.81 6.56 ----------- ---------- ---------- ---------- ---------- Total from Investment Operations......................... 1.46 0.64 (2.22) 5.11 6.81 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.37) (0.37) (0.36) (0.29) (0.20) ----------- ---------- ---------- ---------- ---------- Total Distributions...................................... (0.37) (0.37) (0.36) (0.29) (0.20) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................ $ 20.09 $ 19.00 $ 18.73 $ 21.31 $ 16.49 =========================================================== =========== ========== ========== ========== ========== Total Return................................................ 7.75% 3.55% (10.59)% 31.30% 69.47% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)......................... $13,020,962 $8,594,707 $5,367,473 $4,179,882 $2,455,035 Ratio of Expenses to Average Net Assets..................... 0.63% 0.68% 0.67% 0.65% 0.67% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)...................... 0.63% 0.68% 0.68% 0.65% 0.67% Ratio of Net Investment Income to Average Net Assets........ 1.97% 2.18% 2.04% 1.63% 2.03% Portfolio Turnover Rate..................................... 1% 1% 1% 4% 6% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 146 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 seventy-six operational portfolios, of which thirty (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 ("DFAITC") and one invests in the Dimensional Emerging Markets Value Fund ("DEM"). International Small Company Portfolio invests in five portfolios within DFAITC. DFA Global Real Estate Securities Portfolio invests in two portfolios within the Fund and World ex U.S. Value Portfolio invests in three portfolios within the Fund, DFAITC, and DEM. World ex U.S. Targeted Value Portfolio invests in four portfolios within the Fund, DFAITC, and DEM. World ex U.S. Core Equity Portfolio invests in two portfolios within the Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund.
PERCENTAGE OWNERSHIP FEEDER FUNDS MASTER FUNDS AT 10/31/13 ------------ ------------ ----------- U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 80% Japanese Small Company Portfolio The Japanese Small Company Series 18% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 26% 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 98% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99% FUND OF FUNDS ------------- - International Small Company Portfolio The Continental Small Company Series 95% The Japanese Small Company Series 82% The United Kingdom Small Company Series 98% The Asia Pacific Small Company Series 74% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio DFA Real Estate Securities Portfolio 26% DFA International Real Estate Securities Portfolio 39% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund -- DFA International Small Cap Value Portfolio -- The DFA International Value Series 1% World ex U.S. Targeted Value Portfolio DFA International Small Cap Value Portfolio 1% Dimensional Emerging Markets Value Fund -- International Vector Equity Portfolio 1% The Emerging Markets Small Cap Series -- World ex U.S. Core Equity Portfolio International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio -- 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%. 147 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 Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, and Selectively Hedged Global Equity Portfolio also invest in short-term temporary cash investments. In addition, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, and 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. 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 the 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 will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. 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 Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio 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 the International Equity Portfolios value the securities at the mean of the most recent quoted bid and asked prices which approximate fair value. Price 148 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 the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 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"), and International Equity Portfolios, are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities 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 categorized as Level 2 in the hierarchy. Listed Derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. Shares held by the DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio (except The DFA International Value Series), World ex U.S. Targeted Value Portfolio (except The Emerging Markets Small Cap Series), World ex U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio of the Master Funds, which are treated as regulated investment companies, and the shares held by the Portfolios in other investment companies, are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds, International Small Company Portfolio, World ex U.S. Value Portfolio and World ex U.S. Targeted Value 149 Portfolio's investments in Series of DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolios recognize transfers between the levels as of the end of the period. As of October 31, 2013, the Emerging Markets Core Equity Portfolio had significant transfers of securities with a total value of $925,099 (in thousands) that transferred from Level 1 to Level 2. At October 31, 2013, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 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 recent 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 fluctuations 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 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 any 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 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 150 selecting a different distribution date). As of October 31, 2013, 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 and foreign currency 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 gains 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, World ex U.S. Value Portfolio and World ex U.S. Targeted 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 Fund within DFAITC or DEM, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. 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% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes 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, 2013, 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. Large Cap Equity Portfolio........ 0.15% U.S. Targeted Value Portfolio*......... 0.10% U.S. Small Cap Value Portfolio*........ 0.20% 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%
151 U.S. Micro Cap Portfolio*.......................... 0.10% DFA Real Estate Securities Portfolio............... 0.17% 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........ 0.27% DFA International Small Cap Value Portfolio........ 0.65% International Vector Equity Portfolio.............. 0.45% World ex U.S. Value Portfolio...................... 0.47% World ex U.S. Targeted Value Portfolio............. 0.58% World ex U.S. Core Equity Portfolio................ 0.40% Selectively Hedged Global Equity Portfolio......... 0.30% Emerging Markets Core Equity Portfolio............. 0.55%
For the year ended October 31, 2013, 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%
* 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. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the "Fee Waiver Agreement"), the Advisor has contractually agreed to waive certain fees, including administration/advisory fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the Portfolios below will remain in effect through February 28, 2014 (except for the U.S. Large Cap Equity Portfolio which will remain in effect through February 28, 2015), and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2013, 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. 152
PREVIOUSLY RECOVERY WAIVED FEES/ EXPENSE OF PREVIOUSLY EXPENSES ASSUMED LIMITATION WAIVED FEES/ SUBJECT TO FUTURE INSTITUTIONAL CLASS SHARES AMOUNT EXPENSES ASSUMED RECOVERY -------------------------- ---------- ---------------- ----------------- U.S. Large Cap Equity Portfolio (1).................... 0.19% -- $ 24 U.S. Targeted Value Portfolio (2)...................... 0.50% -- -- U.S. Core Equity 1 Portfolio (3)....................... 0.23% -- -- U.S. Core Equity 2 Portfolio (3)....................... 0.26% -- -- U.S. Vector Equity Portfolio (3)....................... 0.36% -- -- DFA Real Estate Securities Portfolio (3)............... 0.18% -- 842 International Core Equity Portfolio (3)................ 0.49% -- -- International Small Company Portfolio (4).............. 0.45% -- -- Japanese Small Company Portfolio (5)................... 0.47% -- -- Asia Pacific Small Company Portfolio (5)............... 0.47% -- -- United Kingdom Small Company Portfolio (5)............. 0.47% -- 32 Continental Small Company Portfolio (5)................ 0.47% -- -- DFA International Real Estate Securities Portfolio (3). 0.65% -- -- DFA Global Real Estate Securities Portfolio (6)........ 0.32% -- 9,145 International Vector Equity Portfolio (3).............. 0.60% -- -- World ex U.S. Value Portfolio (7)...................... 0.60% $ 8 411 World ex U.S. Targeted Value Portfolio (8)............. 0.80% -- 270 World ex U.S. Core Equity Portfolio (9)................ 0.47% -- 170 Selectively Hedged Global Equity Portfolio (10)........ 0.40% 1 367 Emerging Markets Core Equity Portfolio (3)............. 0.85% -- -- CLASS R1 SHARES --------------- U.S. Targeted Value Portfolio (2)...................... 0.62% -- -- CLASS R2 SHARES --------------- U.S. Targeted Value Portfolio (2)...................... 0.77% -- -- Emerging Markets Value Portfolio (11).................. 0.96% -- --
(1) The Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of the Portfolio (excluding the expenses that the Portfolio incurs indirectly 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 a class of the Portfolio to the rate listed above as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2015, and may only be terminated by the Fund's Board of Directors prior to that date. At any time that the Portfolio's annualized Portfolio Expenses are less than the Portfolio's Expense Limitation Amount, described above, the Advisor retains the right to 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 of a class of the Portfolio to exceed the Expense Limitation Amount, as listed above. (2) The Advisor has contractually agreed to waive its administration fee and advisory fee and to assume the Portfolio's 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 a class of shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio's annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. 153 (3) 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 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. (4) 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 listed above, 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. (5) 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 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. (6) 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 funds 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. (7) 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 154 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 is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio's Expense Limitation Amount listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the Portfolio's annualized Portfolio Expenses to exceed the Portfolio's Expense Limitation Amount, as listed above. (8) The Advisor has contractually agreed to waive up to the full amount of the Portfolio's advisory fee of 0.58% 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 has also agreed to waive all or a portion of the advisory 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 the average net assets of a class of the Portfolio on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (9) The Advisor has contractually agreed to waive all or a portion of its advisory fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master Funds 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 a class of the Portfolio to the rate listed as a percentage of average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (10) 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 such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (11) The Advisor has contractually agreed to 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 155 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. 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 the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- Enhanced U.S. Large Company Portfolio.............. $ 4 Large Cap International Portfolio.................. 9 International Core Equity Portfolio................ 31 International Small Company Portfolio.............. -- DFA International Real Estate Securities Portfolio. 18 DFA International Small Cap Value Portfolio........ 23 International Vector Equity Portfolio.............. 5 World ex U.S. Value Portfolio...................... -- World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ -- Selectively Hedged Global Equity Portfolio......... -- Emerging Markets Core Equity Portfolio............. 167
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, 2013, the total related amounts paid by the Fund to the CCO were $250 (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, 2013, 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. $ 7 U.S. Large Cap Equity Portfolio....... -- U.S. Large Cap Value Portfolio........ 263 U.S. Targeted Value Portfolio......... 74 U.S. Small Cap Value Portfolio........ 248 U.S. Core Equity 1 Portfolio.......... 108 U.S. Core Equity 2 Portfolio.......... 178 U.S. Vector Equity Portfolio.......... 55 U.S. Small Cap Portfolio.............. 123 U.S. Micro Cap Portfolio.............. 125 DFA Real Estate Securities Portfolio.. 94 Large Cap International Portfolio..... 61 International Core Equity Portfolio... 165 International Small Company Portfolio. 184 Japanese Small Company Portfolio...... 7 Asia Pacific Small Company Portfolio.. 5
156 United Kingdom Small Company Portfolio............. $ 1 Continental Small Company Portfolio................ 4 DFA International Real Estate Securities Portfolio. 33 DFA Global Real Estate Securities Portfolio........ 22 DFA International Small Cap Value Portfolio........ 276 International Vector Equity Portfolio.............. 13 World ex U.S. Value Portfolio...................... 1 World ex U.S. Targeted Value Portfolio............. -- World ex U.S. Core Equity Portfolio................ -- Selectively Hedged Global Equity Portfolio......... -- Emerging Markets Portfolio......................... 84 Emerging Markets Small Cap Portfolio............... 58 Emerging Markets Value Portfolio................... 353 Emerging Markets Core Equity Portfolio............. 153
E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2013, 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.............. $151,334 $44,551 $ 153,335 $ 208,659 U.S. Large Cap Equity Portfolio.................... -- -- 123,827 341 U.S. Targeted Value Portfolio...................... -- -- 673,167 582,344 U.S. Small Cap Value Portfolio..................... -- -- 1,129,770 1,149,875 U.S. Core Equity 1 Portfolio....................... -- -- 1,216,828 65,417 U.S. Core Equity 2 Portfolio....................... -- -- 1,058,546 208,354 U.S. Vector Equity Portfolio....................... -- -- 277,739 84,963 U.S. Small Cap Portfolio........................... -- -- 1,734,923 561,016 U.S. Micro Cap Portfolio........................... -- -- 496,354 457,111 DFA Real Estate Securities Portfolio............... -- -- 767,339 51,303 Large Cap International Portfolio.................. -- -- 365,229 125,888 International Core Equity Portfolio................ -- -- 1,508,927 246,598 DFA International Real Estate Securities Portfolio. -- -- 615,805 83,893 DFA International Small Cap Value Portfolio........ -- -- 926,091 901,431 International Vector Equity Portfolio.............. -- -- 371,084 14,367 Emerging Markets Core Equity Portfolio............. -- -- 3,914,246 113,118
For the year ended October 31, 2013, 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 AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA Real Estate Securities Portfolio....................... $777,963 $1,235,206 $419,586 $21,153 $22,778 -- DFA International Real Estate Securities Portfolio............ 531,474 842,644 341,749 27,985 62,476 -- WORLD EX U.S. VALUE PORTFOLIO ----------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------- -------- ---------------- DFA International Small Cap Value Portfolio....................... $ 4,703 $ 10,626 $ 4,213 $ 453 $ 139 $64
157
WORLD EX U.S. TARGETED VALUE PORTFOLIO (A) ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- DFA International Small Cap Value Portfolio........................... -- $59,508 $49,813 $ 971 $635 $184 International Vector Equity Portfolio. -- 8,639 7,534 108 118 7 WORLD EX U.S. CORE EQUITY PORTFOLIO (B) ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- International Core Equity Portfolio... -- $99,732 $93,693 $3,599 $918 $ -- Emerging Markets Core Equity Portfolio........................... -- 29,703 29,851 2,199 257 -- SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO ---------------------------------------------------------------- BALANCE AT BALANCE AT DIVIDEND DISTRIBUTIONS OF AFFILIATED INVESTMENT COMPANIES 10/31/2012 10/31/2013 PURCHASES SALES INCOME REALIZED GAINS ------------------------------- ---------- ---------- --------- ------ -------- ---------------- U.S. Core Equity 2 Portfolio.......... $14,297 $37,594 $17,321 $1,223 $429 $115 International Core Equity Portfolio... 12,942 34,847 17,035 385 694 -- Emerging Markets Core Equity Portfolio........................... 6,554 15,187 9,122 771 228 --
(a)The Portfolio commenced operations on November 1, 2012. (b)The Portfolio commenced operations on April 9, 2013. 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 or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, primarily attributable to realized gains on securities considered to be "passive foreign investment companies", non-deductible expenses, realized foreign capital gains tax, tax-equalization, non-deductible 90 day stock issuance cost, net foreign currency gains/losses, 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. $(41) $(1,482) $1,523 U.S. Large Cap Equity Portfolio....... (11) 11 -- U.S. Large Cap Value Portfolio........ -- -- --
158
INCREASE INCREASE (DECREASE) (DECREASE) INCREASE UNDISTRIBUTED ACCUMULATED (DECREASE) NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME GAINS (LOSSES) --------------- -------------- -------------- U.S. Targeted Value Portfolio...................... $32,363 $ (3,552) $(28,811) U.S. Small Cap Value Portfolio..................... 30,865 (6,020) (24,845) U.S. Core Equity 1 Portfolio....................... -- 73 (73) U.S. Core Equity 2 Portfolio....................... 7,427 (4,267) (3,160) U.S. Vector Equity Portfolio....................... 3,066 (1,370) (1,696) U.S. Small Cap Portfolio........................... 14,889 (3,327) (11,562) U.S. Micro Cap Portfolio........................... 13,457 (2,061) (11,396) DFA Real Estate Securities Portfolio............... 92 8,126 (8,218) Large Cap International Portfolio.................. -- (48) 48 International Core Equity Portfolio................ -- (1,269) 1,269 International Small Company Portfolio.............. 19,041 2,378 (21,419) Japanese Small Company Portfolio................... (3,055) 1,185 1,870 Asia Pacific Small Company Portfolio............... -- 1,717 (1,717) United Kingdom Small Company Portfolio............. -- -- -- Continental Small Company Portfolio................ -- 11 (11) DFA International Real Estate Securities Portfolio. -- 7,155 (7,155) DFA Global Real Estate Securities Portfolio........ -- -- -- DFA International Small Cap Value Portfolio........ 20,991 (9,402) (11,589) International Vector Equity Portfolio.............. 640 (330) (310) World ex U.S. Value Portfolio...................... -- 5 (5) World ex U.S. Targeted Value Portfolio............. 39 (1) (38) World ex U.S. Core Equity Portfolio................ (9) 10 (1) Selectively Hedged Global Equity Portfolio......... -- 237 (237) Emerging Markets Portfolio......................... 4,120 (3,230) (890) Emerging Markets Small Cap Portfolio............... -- (74) 74 Emerging Markets Value Portfolio................... 30,746 (10,346) (20,400) Emerging Markets Core Equity Portfolio............. -- (1,813) 1,813
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 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 2012.................................. $ 2,785 $ 2,785 2013.................................. 1,597 -- 1,597 U.S. Large Cap Equity Portfolio 2013.................................. 321 -- 321 U.S. Large Cap Value Portfolio 2012.................................. 150,153 150,153 2013.................................. 180,943 -- 180,943 U.S. Targeted Value Portfolio 2012.................................. 27,304 $ 31,976 59,280 2013.................................. 55,372 162,209 217,581 U.S. Small Cap Value Portfolio 2012.................................. 56,139 122,752 178,891 2013.................................. 112,970 380,218 493,188
159
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- U.S. Core Equity 1 Portfolio 2012............................................... $ 76,278 $ 76,278 2013............................................... 105,633 -- 105,633 U.S. Core Equity 2 Portfolio 2012............................................... 103,512 $ 2,008 105,520 2013............................................... 143,640 55,772 199,412 U.S. Vector Equity Portfolio 2012............................................... 29,237 337 29,574 2013............................................... 34,959 3,507 38,466 U.S. Small Cap Portfolio 2012............................................... 44,580 14,276 58,856 2013............................................... 83,270 228,671 311,941 U.S. Micro Cap Portfolio 2012............................................... 33,018 14,720 47,738 2013............................................... 46,915 176,365 223,280 DFA Real Estate Securities Portfolio 2012............................................... 103,653 103,653 2013............................................... 102,731 -- 102,731 Large Cap International Portfolio 2012............................................... 60,808 60,808 2013............................................... 70,787 -- 70,787 International Core Equity Portfolio 2012............................................... 179,492 179,492 2013............................................... 214,687 -- 214,687 International Small Company Portfolio 2012............................................... 169,495 110,049 279,544 2013............................................... 159,066 39,012 198,078 Japanese Small Company Portfolio 2012............................................... 4,541 4,541 2013............................................... 2,836 -- 2,836 Asia Pacific Small Company Portfolio 2012............................................... 9,333 9,333 2013............................................... 7,603 -- 7,603 United Kingdom Small Company Portfolio 2012............................................... 992 992 2013............................................... 953 -- 953 Continental Small Company Portfolio 2012............................................... 2,958 2,958 2013............................................... 2,834 -- 2,834 DFA International Real Estate Securities Portfolio 2012............................................... 60,194 60,194 2013............................................... 181,848 -- 181,848 DFA Global Real Estate Securities Portfolio 2012............................................... 26,050 26,050 2013............................................... 84,341 -- 84,341 DFA International Small Cap Value Portfolio 2012............................................... 206,370 131,063 337,433 2013............................................... 198,381 117,102 315,483
160
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- -------- International Vector Equity Portfolio 2012....................................... $ 14,733 $ 6,546 $ 21,279 2013....................................... 17,456 2,044 19,500 World ex U.S. Value Portfolio 2012....................................... 1,438 1,438 2013....................................... 2,334 -- 2,334 World ex U.S. Targeted Value Portfolio 2013....................................... 993 -- 993 World ex U.S. Core Equity Portfolio 2013....................................... 1,171 -- 1,171 Selectively Hedged Global Equity Portfolio 2012....................................... 534 534 2013....................................... 373 56 429 Emerging Markets Portfolio 2012....................................... 51,664 91,664 143,328 2013....................................... 59,866 30,527 90,393 Emerging Markets Small Cap Portfolio 2012....................................... 42,163 40,014 82,177 2013....................................... 71,149 92,100 163,249 Emerging Markets Value Portfolio 2012....................................... 300,146 202,987 503,133 2013....................................... 357,501 344,531 702,032 Emerging Markets Core Equity Portfolio 2012....................................... 143,349 143,349 2013....................................... 205,400 -- 205,400
U.S. Large Cap Equity Portfolio commenced operations on June 25, 2013 and did not pay any distributions for the year ended October 31, 2012. World ex U.S. Targeted Value Portfolio commenced operations on November 1, 2012 and did not pay any distributions for the year ended October 31, 2012. World ex U.S. Core Equity Portfolio commenced operations on April 9, 2013 and did not pay any distributions for the year ended October 31, 2012. At October 31, 2013, 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 -------------- ------------- ------- Enhanced U.S. Large Company Portfolio....... -- -- -- U.S. Large Cap Equity Portfolio............. -- -- -- U.S. Large Cap Value Portfolio.............. -- -- -- U.S. Targeted Value Portfolio............... $ 6,274 $26,089 $32,363 U.S. Small Cap Value Portfolio.............. 6,218 24,617 30,865 U.S. Core Equity 1 Portfolio................ -- -- -- U.S. Core Equity 2 Portfolio................ 4,443 2,984 7,427 U.S. Vector Equity Portfolio................ 1,506 1,560 3,066 U.S. Small Cap Portfolio.................... 4,483 10,405 14,888 U.S. Micro Cap Portfolio.................... 3,060 10,398 13,458 International Small Company Portfolio....... 10,055 8,986 19,041 DFA International Small Cap Value Portfolio. 14,657 6,334 20,991
161
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ------- International Vector Equity Portfolio.. $ 473 $ 167 $ 640 World ex U.S. Targeted Value Portfolio. 26 26 52 Emerging Markets Portfolio............. 3,106 1,014 4,120 Emerging Markets Value Portfolio....... 18,634 12,112 30,746
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS SHORT-TERM LONG-TERM CAPITAL LOSS APPRECIATION (ACCUMULATED CAPITAL GAINS CAPITAL GAINS CARRYFOWARD (DEPRECIATION) LOSSES) -------------- ------------- ------------ -------------- ------------- Enhanced U.S. Large Company Portfolio....... -- -- $ (1,059) $ 3,933 $ 2,874 U.S. Large Cap Equity Portfolio............. $ 317 -- -- 10,560 10,877 U.S. Large Cap Value Portfolio.............. 28,647 -- (512,898) 4,225,900 3,741,649 U.S. Targeted Value Portfolio............... 17,027 $237,247 -- 1,330,412 1,584,686 U.S. Small Cap Value Portfolio.............. 18,970 443,687 -- 2,850,347 3,313,004 U.S. Core Equity 1 Portfolio................ 15,136 34,837 -- 2,298,101 2,348,074 U.S. Core Equity 2 Portfolio................ 19,964 98,716 -- 3,166,130 3,284,810 U.S. Vector Equity Portfolio................ 5,402 38,796 -- 926,605 970,803 U.S. Small Cap Portfolio.................... 25,516 218,763 -- 2,182,172 2,426,451 U.S. Micro Cap Portfolio.................... 17,211 200,725 -- 1,610,873 1,828,809 DFA Real Estate Securities Portfolio........ 32,487 -- (179,405) 1,274,703 1,127,785 Large Cap International Portfolio........... 9,261 -- (212,195) 612,594 409,660 International Core Equity Portfolio......... 41,670 -- (113,295) 1,437,552 1,367,061 International Small Company Portfolio....... 118,814 211,281 -- 1,566,261 1,896,356 Japanese Small Company Portfolio............ 11,490 -- (66,522) 16,667 (38,365) Asia Pacific Small Company Portfolio........ 11,406 -- (26,597) 24,537 9,346 United Kingdom Small Company Portfolio...... 447 406 -- 13,794 14,647 Continental Small Company Portfolio......... 319 -- (26,529) 38,434 12,224 DFA International Real Estate Securities Portfolio................................. 91,532 -- (206,697) (5,808) (120,973) DFA Global Real Estate Securities Portfolio. 11,647 -- (808) 333,050 343,889 DFA International Small Cap Value Portfolio................................. 145,446 127,002 -- 1,923,377 2,195,825 International Vector Equity Portfolio....... 5,884 7,263 -- 218,801 231,948 World ex U.S. Value Portfolio............... 353 -- (2,715) 14,956 12,594 World ex U.S. Targeted Value Portfolio...... 144 1,141 -- 11,475 12,760 World ex U.S. Core Equity Portfolio......... 62 -- -- 11,626 11,688 Selectively Hedged Global Equity Portfolio.. 1,700 537 -- 15,002 17,239 Emerging Markets Portfolio.................. 13,976 21,322 -- 1,122,953 1,158,251 Emerging Markets Small Cap Portfolio........ 27,935 63,092 -- 422,604 513,631 Emerging Markets Value Portfolio............ 128,578 263,757 -- 298,709 691,044 Emerging Markets Core Equity Portfolio...... 55,409 -- (51,641) 1,198,159 1,201,927
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 162 enactment. As of October 31, 2013, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31, ----------------------------------------------------------------- 2014 2015 2016 2017 2018 2019 UNLIMITED TOTAL ------ ------ ------- -------- ------- ------- --------- -------- Enhanced U.S. Large Company Portfolio....... -- $1,059 -- -- -- -- -- $ 1,059 U.S. Large Cap Equity Portfolio............. -- -- -- -- -- -- -- -- U.S. Large Cap Value Portfolio.............. -- -- -- $512,898 -- -- -- 512,898 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........ -- -- $45,525 62,969 $44,388 $26,523 -- 179,405 Large Cap International Portfolio........... -- -- 19,004 135,392 14,311 12,549 $30,938 212,194 International Core Equity Portfolio......... -- -- -- 53,176 -- -- 60,119 113,295 International Small Company Portfolio....... -- -- -- -- -- -- -- -- Japanese Small Company Portfolio............ $2,451 8,003 23,057 13,952 12,208 5,543 1,308 66,522 Asia Pacific Small Company Portfolio........ -- -- 16,317 8,261 -- -- 2,019 26,597 United Kingdom Small Company Portfolio...... -- -- -- -- -- -- -- -- Continental Small Company Portfolio......... -- -- 13,544 7,224 5,252 -- 509 26,529 DFA International Real Estate Securities Portfolio.................................. -- 46 13,446 34,576 38,689 69,466 50,474 206,697 DFA Global Real Estate Securities Portfolio. -- -- -- -- 808 -- -- 808 DFA International Small Cap Value Portfolio. -- -- -- -- -- -- -- -- International Vector Equity Portfolio....... -- -- -- -- -- -- -- -- World ex U.S. Value Portfolio............... -- -- -- -- -- 2,715 -- 2,715 World ex U.S. Targeted Value Portfolio...... -- -- -- -- -- -- -- -- World ex U.S. Core Equity Portfolio......... -- -- -- -- -- -- -- -- Selectively Hedged Global Equity Portfolio.. -- -- -- -- -- -- -- -- Emerging Markets Portfolio.................. -- -- -- -- -- -- -- -- Emerging Markets Small Cap Portfolio........ -- -- -- -- -- -- -- -- Emerging Markets Value Portfolio............ -- -- -- -- -- -- -- -- Emerging Markets Core Equity Portfolio...... -- -- 7,080 26,444 -- -- 18,117 51,641
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands): Enhanced U.S. Large Company Portfolio....... $ 45,882 U.S. Large Cap Value Portfolio.............. 819,591 U.S. Core Equity 1 Portfolio................ 13,834 DFA Real Estate Securities Portfolio........ 27,388 Japanese Small Company Portfolio............ 4,124 United Kingdom Small Company Portfolio...... 2,141 Continental Small Company Portfolio......... 2,316 DFA Global Real Estate Securities Portfolio. 308 World ex U.S. Value Portfolio............... 3,127
163 At October 31, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- -------------- ------------ -------------- Enhanced U.S. Large Company Portfolio.... $ 207,573 $ 4,057 $ (82) $ 3,975 U.S. Large Cap Equity Portfolio.......... 159,514 11,436 (877) 10,560 U.S. Large Cap Value Portfolio........... 7,741,219 4,225,900 -- 4,225,900 U.S. Targeted Value Portfolio............ 3,496,204 1,435,154 (104,742) 1,330,412 U.S. Small Cap Value Portfolio........... 8,187,279 3,454,059 (603,712) 2,850,347 U.S. Core Equity 1 Portfolio............. 6,003,068 2,442,119 (144,018) 2,298,101 U.S. Core Equity 2 Portfolio............. 7,894,380 3,482,335 (315,964) 3,166,371 U.S. Vector Equity Portfolio............. 2,351,458 1,047,537 (120,932) 926,605 U.S. Small Cap Portfolio................. 6,999,688 2,475,586 (293,395) 2,182,190 U.S. Micro Cap Portfolio................. 3,920,122 1,980,490 (369,598) 1,610,891 DFA Real Estate Securities Portfolio..... 3,910,757 1,317,277 (65,498) 1,251,778 Large Cap International Portfolio........ 2,379,895 784,229 (171,697) 612,532 International Core Equity Portfolio...... 9,076,319 2,173,008 (734,399) 1,437,474 International Small Company Portfolio.... 6,943,164 1,566,243 -- 1,566,243 Japanese Small Company Portfolio......... 397,615 16,680 -- 16,680 Asia Pacific Small Company Portfolio..... 306,757 24,534 -- 24,534 United Kingdom Small Company Portfolio... 23,323 13,791 -- 13,791 Continental Small Company Portfolio...... 132,494 38,306 -- 38,306 DFA International Real Estate Securities Portfolio.............................. 2,324,655 56,716 (62,535) (5,719) DFA Global Real Estate Securities Portfolio.............................. 1,753,497 333,050 -- 333,050 DFA International Small Cap Value Portfolio.............................. 10,242,293 3,483,706 -- 1,923,255 International Vector Equity Portfolio.... 982,267 260,467 (41,679) 218,775 World ex U.S. Value Portfolio............ 102,466 14,988 -- 14,988 World ex U.S. Targeted Value Portfolio... 84,463 11,475 (327) 11,475 World ex U.S. Core Equity Portfolio...... 117,808 11,626 -- 11,626 Selectively Hedged Global Equity Portfolio.............................. 72,621 15,168 -- 15,168 Emerging Markets Portfolio............... 2,530,894,936 1,122,991,971 -- 1,122,991,971 Emerging Markets Small Cap Portfolio..... 3,614,485 422,694 -- 422,694 Emerging Markets Value Portfolio......... 18,957,804 298,621 -- 298,621 Emerging Markets Core Equity Portfolio... 13,076,862 2,341,323 (1,143,120) 1,198,303
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. 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 positions 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 remain subject to examination by the Internal Revenue Service. 164 G. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (amounts in thousands):
YEAR ENDED YEAR ENDED OCT. 31, 2013 OCT. 31, 2012 --------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- -------- ----------- ------- U.S. TARGETED VALUE PORTFOLIO Class R1 Shares Shares Issued........................................ $ 9,003 477 $ 5,787 353 Shares Issued in Lieu of Cash Distributions.......... 3,423 205 730 48 Shares Redeemed...................................... (61,998) (3,124) (7,953) (486) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R1 Shares............ $ (49,572) (2,442) $ (1,436) (85) =========== ======== =========== ======= Class R2 Shares Shares Issued........................................ $ 10,505 520 $ 4,727 288 Shares Issued in Lieu of Cash Distributions.......... 923 55 162 11 Shares Redeemed...................................... (5,597) (281) (4,413) (273) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 5,831 294 $ 476 26 =========== ======== =========== ======= Institutional Class Shares Shares Issued........................................ $ 1,049,705 53,476 $ 772,443 47,901 Shares Issued in Lieu of Cash Distributions.......... 189,447 11,289 39,875 2,618 Shares Redeemed...................................... (1,045,053) (52,845) (649,785) (39,847) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 194,099 11,920 $ 162,533 10,672 =========== ======== =========== ======= EMERGING MARKETS VALUE PORTFOLIO Class R2 Shares Shares Issued........................................ $ 27,484 947 $ 61,477 2,199 Shares Issued in Lieu of Cash Distributions.......... 3,927 137 2,784 106 Shares Redeemed...................................... (27,940) (973) (40,795) (1,486) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ 3,471 111 $ 23,466 819 =========== ======== =========== ======= Institutional Class Shares Shares Issued........................................ $ 4,212,669 148,010 $ 5,047,163 179,634 Shares Issued in Lieu of Cash Distributions.......... 652,656 22,854 436,347 16,644 Shares Redeemed...................................... (2,940,034) (104,206) (2,278,812) (81,493) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ 1,925,291 66,658 $ 3,204,698 114,785 =========== ======== =========== =======
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 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 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 165 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 the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Portfolios. 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, 2013, 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): ENHANCED U.S. LARGE COMPANY PORTFOLIO*
UNREALIZED FOREIGN SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS) ---------- -------- -------- -------- ---------------- ----------- 11/13/13 8,387 Euro $ 11,342 $ 11,387 $ 45 11/13/13 8,294 Euro 11,270 11,260 (10) 11/13/13 (2,071) Euro (2,799) (2,811) (12)
166
UNREALIZED FOREIGN SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS) ---------- -------- ------------------ -------- ---------------- ----------- 11/13/13 (2,124) Euro $ (2,893) $ (2,884) $ 9 11/13/13 (4,078) Euro (5,518) (5,537) (19) 11/13/13 (8,408) Euro (11,145) (11,416) (271) 11/04/13 6,278 New Zealand Dollar 5,183 5,185 2 11/04/13 (4,082) New Zealand Dollar (3,367) (3,371) (4) 11/04/13 (6,273) New Zealand Dollar (5,211) (5,181) 30 12/05/13 (6,287) New Zealand Dollar (5,180) (5,182) (2) 11/12/13 (3,096) UK Pound Sterling (4,979) (4,964) 15 -------- -------- ----- $(13,297) $(13,514) $(217) ======== ======== =====
SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO*
UNREALIZED FOREIGN SETTLEMENT CURRENCY CONTRACT VALUE AT EXCHANGE DATE AMOUNT** CURRENCY AMOUNT OCTOBER 31, 2013 GAIN (LOSS) ---------- -------- ---------------- -------- ---------------- ----------- 11/19/13 (1,991) Denmark Krone $ (359) $ (364) $ (5) 12/09/13 (5,621) Euro (7,646) (7,632) 14 11/15/13 (19,866) Hong Kong Dollar (2,562) (2,562) -- 12/30/13 (586,231) Japanese Yen (6,040) (5,964) 76 12/13/13 (1,885) Swiss Franc (2,021) (2,078) (57) -------- -------- ---- $(18,628) $(18,600) $ 28 ======== ======== ====
* During the year ended October 31, 2013, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average contract amount of forward currency contracts was $70,028 and $14,609 (in thousands), respectively. **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. 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 use 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 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 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. 167 At October 31, 2013, 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) 12/20/13 467 $204,429 $7,914 -- Selectively Hedged Global Equity Portfolio........ S&P 500 Index(R) Emini 12/20/13 39 3,414 133 $160
Securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2013, Enhanced U.S. Large Company Portfolio's and Selectively Hedged Global Equity Portfolio's average notional contract amount basis contract amount of outstanding futures contracts were $187,291 and $2,501 (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, 2013: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES --------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- ------------------------ ------------------------ Foreign exchange Unrealized Gain on Unrealized Loss on contracts Forward Currency Forward Currency Contracts 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, 2013 (amounts in thousands):
ASSET DERIVATIVES VALUE ----------------------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCTOBER 31, 2013 CONTRACTS CONTRACTS - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $8,015 $ 101 $7,914* Selectively Hedged Global Equity Portfolio. 223 90 133* LIABILITY DERIVATIVES VALUE ----------------------------------- TOTAL VALUE FOREIGN AT EXCHANGE EQUITY OCTOBER 31, 2013 CONTRACTS CONTRACTS - ---------------- --------- --------- Enhanced U.S. Large Company Portfolio...... $ (318) $(318) -- Selectively Hedged Global Equity Portfolio. (62) (62) --
* 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 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, 2013 (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
168 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, 2013 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio............... $39,706 $(738) $40,444 U.S. Targeted Value Portfolio*...................... 4,864 -- 4,864 U.S. Small Cap Value Portfolio*..................... 4,175 -- 4,175 U.S. Vector Equity Portfolio*....................... (48) -- (48) U.S. Small Cap Portfolio*........................... (331) -- (331) U.S. Micro Cap Portfolio*........................... (423) -- (423) International Small Company Portfolio*.............. (29) -- (29) Continental Small Company Portfolio*................ 29 -- 29 DFA International Real Estate Securities Portfolio*. 888 -- 888 Selectively Hedged Global Equity Portfolio.......... 813 268 545 Emerging Markets Small Cap Portfolio*............... 457 -- 457 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------- FOREIGN EXCHANGE EQUITY TOTAL CONTRACTS CONTRACTS ------- --------- --------- Enhanced U.S. Large Company Portfolio............... $ 6,052 $ 964 $ 5,088 Selectively Hedged Global Equity Portfolio.......... 272 122 150
* As of October 31, 2013, there were no futures contracts outstanding. During the year ended October 31, 2013, the Portfolios had limited activity in futures contracts. I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 169 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 10, 2014. For the year ended October 31, 2013, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Targeted Value Portfolio............... 0.91% $ 4,884 14 $ 2 $10,912 U.S. Small Cap Value Portfolio.............. 0.87% 3,717 17 2 10,728 U.S. Core Equity 1 Portfolio................ 0.86% 5,556 13 2 12,118 U.S. Core Equity 2 Portfolio................ 0.85% 11,512 12 3 26,857 U.S. Small Cap Portfolio.................... 0.91% 4,540 1 -- 4,540 U.S. Micro Cap Portfolio.................... 0.85% 3,328 23 2 7,874 DFA Real Estate Securities Portfolio........ 0.89% 3,978 11 1 7,104 Large Cap International Portfolio........... 0.88% 24,396 15 9 37,795 International Core Equity Portfolio......... 0.87% 17,268 21 9 45,610 International Small Company Portfolio....... 0.83% 4,193 1 -- 4,193 DFA International Real Estate Securities Portfolio................................. 0.83% 358 1 -- 358 DFA Global Real Estate Securities Portfolio. 0.83% 1,195 3 -- 1,573 DFA International Small Cap Value Portfolio. 0.85% 18,409 90 39 58,797 International Vector Equity Portfolio....... 0.85% 1,225 8 -- 2,787 World ex U.S. Value Portfolio............... 0.87% 834 22 -- 5,473 World ex U.S. Targeted Value Portfolio...... 0.84% 426 9 -- 1,067 World ex U.S. Core Equity Portfolio......... 0.84% 312 20 -- 1,484
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that each Portfolio's available line of credit was utilized. At October 31, 2013 only the DFA International Small Cap Value Portfolio had outstanding borrowings under the lines of credit of $4,016 (in thousands). J. SECURITIES LENDING: As of October 31, 2013, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolios received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
MARKET VALUE -------- Large Cap International Portfolio.................. $ 19,115 International Core Equity Portfolio................ 54,401 DFA International Real Estate Securities Portfolio. 1,189 DFA International Small Cap Value Portfolio........ 42,290 International Vector Equity Portfolio.............. 5,783 Emerging Markets Core Equity Portfolio............. 374,335
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 Portfolio's collateral to be lower or higher than the expected 170 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, 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, 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 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. RECENTLY ISSUED ACCOUNTING STANDARDS: In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. N. OTHER: At October 31, 2013, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. 171
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- Enhanced U.S. Large Company Portfolio -- Institutional Class Shares............................................................ 5 85% U.S. Large Cap Equity Portfolio -- Institutional Class Shares....... 3 99% U.S. Large Cap Value Portfolio -- Institutional Class Shares........ 3 73% U.S. Targeted Value Portfolio -- Class R1 Shares.................... 4 95% U.S. Targeted Value Portfolio -- Class R2 Shares.................... 6 81% U.S. Targeted Value Portfolio -- Institutional Class Shares......... 3 62% U.S. Small Cap Value Portfolio -- Institutional Class Shares........ 3 60% U.S. Core Equity 1 Portfolio -- Institutional Class Shares.......... 4 74% U.S. Core Equity 2 Portfolio -- Institutional Class Shares.......... 6 81% U.S. Vector Equity Portfolio -- Institutional Class Shares.......... 5 95% U.S. Small Cap Portfolio -- Institutional Class Shares.............. 3 48% U.S. Micro Cap Portfolio -- Institutional Class Shares.............. 4 70% DFA Real Estate Securities Portfolio -- Institutional Class Shares............................................................ 4 85% Large Cap International Portfolio -- Institutional Class Shares..... 3 69% International Core Equity Portfolio -- Institutional Class Shares... 4 75% International Small Company Portfolio -- Institutional Class Shares............................................................ 4 57% Japanese Small Company Portfolio -- Institutional Class Shares...... 4 82% Asia Pacific Small Company Portfolio -- Institutional Class Shares............................................................ 3 87% United Kingdom Small Company Portfolio -- Institutional Class Shares............................................................ 3 94% Continental Small Company Portfolio -- Institutional Class Shares............................................................ 5 95% DFA International Real Estate Securities Portfolio -- Institutional Class Shares...................................................... 4 93% DFA Global Real Estate Securities Portfolio -- Institutional Class Shares............................................................ 3 82% DFA International Small Cap Value Portfolio -- Institutional Class Shares............................................................ 3 57% International Vector Equity Portfolio -- Institutional Class Shares............................................................ 4 87% World ex U.S. Value Portfolio -- Institutional Class Shares......... 5 84% World ex U.S. Targeted Value Portfolio -- Institutional Class Shares............................................................ 3 100% World ex U.S. Core Equity Portfolio -- Institutional Class Shares... 2 97% Selectively Hedged Global Equity Portfolio.......................... 3 96% Emerging Markets Portfolio -- Institutional Class Shares............ 4 68% Emerging Markets Small Cap Portfolio -- Institutional Class Shares............................................................ 4 51% Emerging Markets Value Portfolio -- Class R2 Shares................. 5 85% Emerging Markets Value Portfolio -- Institutional Class Shares...... 2 28% Emerging Markets Core Equity Portfolio -- Institutional Class Shares............................................................ 3 59%
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 buyout 172 transaction, seeking the return of proceeds received by the shareholders). Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management's view of these matters may change in the future. The U.S. Large Cap Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the "Court"), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the "Tribune MDL"). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company ("Tribune") (the "LBO") and Tribune's subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including the U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the "Individual Creditor Actions") and a lawsuit brought by a court-appointed trustee on behalf of the committee of unsecured creditors of Tribune (the "Committee Action," and with the Individual Creditor Actions, collectively referred to as the "Lawsuits"). The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers and recover the stock repurchase proceeds paid to the Tribune shareholders who participated in the LBO. On September 23, 2013, the Court entered an order dismissing the Individual Creditor Actions in their entirety on the grounds that the individual creditor plaintiffs lack standing to pursue their claims. The Court's dismissal order is on appeal to the Second Circuit. The Committee Action remains pending, and the Court currently is coordinating with the parties to establish a schedule for motions to dismiss in the Committee Action. 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 the plaintiffs 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 investors buying or redeeming shares of the U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of the U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys' fees and costs relating to the Lawsuits will be 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: On December 13, 2013, the Board of DFAIDG voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Current Agreements") into a bundled Investment Management Agreement for each of the following five Portfolios: U.S. Small Cap Portfolio, U.S. Small Cap Value Portfolio, U.S. Micro Cap Portfolio, Enhanced U.S. Large Company Portfolio, and U.S. Targeted Value Portfolio. It is expected that each Investment Management Agreement will become effective on February 28, 2014. The nature and level of services to the Portfolios under the Investment Management Agreements will be the same as under the Current Agreements. When the Investment Management Agreements become effective, each Portfolio will pay the Advisor an investment management fee that is equal to the sum of the current investment advisory fee and current administration fee that is paid by the Portfolio to the Advisor under the Current Agreements. Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 173 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 Equity Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, 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, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity 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, 2013, 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, 2013 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 20, 2013 174 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA COMMODITY STRATEGY PORTFOLIO VS. DOW JONES-UBS COMMODITY INDEX TOTAL RETURN NOVEMBER 9, 2010-OCTOBER 31, 2013 [CHART] DFA Commodity Dow Jones-UBS Commodity Strategy Portfolio Index Total Return ------------------------- ---------------------------- 11/9/2010 $10,000 $10,000 11/30/2010 9,480 9,414 12/31/2010 10,464 10,420 1/31/2011 10,584 10,525 2/28/2011 10,804 10,664 3/31/2011 11,010 10,884 4/30/2011 11,440 11,261 5/31/2011 10,889 10,691 6/30/2011 10,337 10,152 7/31/2011 10,678 10,452 8/31/2011 10,788 10,557 9/30/2011 9,187 9,001 10/31/2011 9,798 9,597 11/30/2011 9,538 9,384 12/31/2011 9,199 9,032 1/31/2012 9,480 9,256 2/29/2012 9,752 9,506 3/31/2012 9,360 9,112 4/30/2012 9,299 9,074 5/31/2012 8,494 8,245 6/30/2012 8,889 8,698 7/31/2012 9,494 9,261 8/31/2012 9,676 9,381 9/30/2012 9,840 9,541 10/31/2012 9,497 9,171 11/30/2012 9,547 9,176 12/31/2012 9,321 8,937 1/31/2013 9,544 9,151 2/28/2013 9,169 8,777 3/31/2013 9,229 8,836 4/30/2013 8,996 8,590 5/31/2013 8,763 8,397 6/30/2013 8,304 8,001 7/31/2013 8,436 8,110 8/31/2013 8,730 8,386 9/30/2013 8,529 8,172 10/31/2013 8,438 7,963 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 AVERAGE ANNUAL ONE FROM redemption of fund shares. TOTAL RETURN YEAR 11/09/2010 ----------------------------------------------------- Dow Jones-UBS data provided by S&P -11.15% -5.55% Dow Jones Indices, LLC and UBS AG.
-------------------------------------------------------------------------------- 175 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS COMMODITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 During the fiscal year ended, October 31, 2013, commodities produced mostly negative returns. Stepping outside this trend were the petroleum based commodities which may have benefited from renewed Middle East concerns and continuing pipeline and refinery hurdles. Natural gas prices experienced a substantial decline in part likely due to lower demand and increased supply in a market less restrained by delivery and refinery bottlenecks. Corn and wheat prices experienced significant declines in 2013 as the U.S. emerged from the 2012 drought with early signs of bumper corn crop followed by a much improved summer wheat harvest. As equity markets surged and evidence of lower inflation expectations emerged, silver and gold erased nearly half the value created in a ten year rally that ended at the beginning of the period. Industrial metals saw modest drops on increased supply. DFA COMMODITY STRATEGY PORTFOLIO The DFA Commodity Strategy Portfolio seeks total return consisting of capital appreciation and current income. The Portfolio generally invests in commodity-linked derivative instruments and fixed income investments. The Portfolio 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 and 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 generally focus investment in that longer-term area; otherwise, the Portfolio will generally focus investment in the short-term range of the eligible maturity range. For the 12 months ended October 31, 2013, the total return was -11.15% for the Portfolio and -12.21% for the Dow Jones-UBS Commodity Index Total Return. The Portfolio's outperformance came from a combination of both the flexibility the Portfolio maintains relative to the benchmark in regards to its management of futures contract expirations and the Portfolio's investment in fixed income securities. 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 22 commodities found in the Dow Jones-UBS Commodity Index Total Return whose returns for the period ranged from +10.19% (WTI crude oil) to -38.88% (coffee). While the Portfolio has derivative exposure to commodities, the majority of the assets were invested in fixed income securities. The fixed income component duration decreased slightly from 1.85 to 1.82 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. 176 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 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, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- DFA COMMODITY STRATEGY PORTFOLIO -------------------------------- Actual Fund Return............... $1,000.00 $ 937.90 0.34% $1.66 Hypothetical 5% Annual Return.... $1,000.00 $1,023.49 0.34% $1.73
---------- * 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 (365) to reflect the six-month period. 177 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 27, 2013. 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. DFA COMMODITY STRATEGY PORTFOLIO Corporate.................................... 46.6% Foreign Corporate............................ 22.5% Foreign Government........................... 3.1% Government................................... 26.3% Supranational................................ 1.5% ----- 100.0%
178 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
FACE AMOUNT^ VALUE+ ------- ------ (000) BONDS -- (73.7%) AUSTRALIA -- (3.3%) BHP Billiton Finance USA, Ltd. 5.500%, 04/01/14............................. $ 960 $ 980,442 Commonwealth Bank of Australia 1.250%, 09/18/15............................. 4,780 4,836,132 National Australia Bank, Ltd. 5.500%, 05/20/15............................. EUR 6,500 9,487,697 Westpac Banking Corp. 4.200%, 02/27/15............................. 9,500 9,966,782 ----------- TOTAL AUSTRALIA.................................. 25,271,053 ----------- CANADA -- (6.1%) Bank of Nova Scotia 1.850%, 01/12/15............................. 6,400 6,503,782 3.400%, 01/22/15............................. 1,800 1,863,149 2.050%, 10/07/15............................. 2,500 2,567,370 Barrick Gold Finance Co. 4.875%, 11/15/14............................. 2,200 2,284,333 Enbridge, Inc. 5.800%, 06/15/14............................. 1,900 1,954,481 4.900%, 03/01/15............................. 1,500 1,579,136 Husky Energy, Inc. 5.900%, 06/15/14............................. 2,500 2,579,240 Ontario, Province of Canada 2.300%, 05/10/16............................. 5,000 5,196,160 Potash Corp. of Saskatchewan, Inc. 3.750%, 09/30/15............................. 1,830 1,926,485 Royal Bank of Canada 0.800%, 10/30/15............................. 2,500 2,511,975 2.625%, 12/15/15............................. 2,500 2,600,817 Thomson Reuters Corp. 5.700%, 10/01/14............................. 800 837,010 Toronto-Dominion Bank (The) 5.375%, 05/14/15............................. EUR 4,000 5,833,228 2.500%, 07/14/16............................. 2,500 2,603,477 TransAlta Corp. 4.750%, 01/15/15............................. 2,508 2,612,709 TransCanada PipeLines, Ltd. 3.400%, 06/01/15............................. 3,106 3,242,518 ----------- TOTAL CANADA..................................... 46,695,870 ----------- FRANCE -- (1.4%) Agence Francaise de Developpement 2.500%, 07/15/15............................. 3,000 3,098,520 BNP Paribas SA 3.250%, 03/11/15............................. 4,035 4,171,484 Orange SA 4.375%, 07/08/14............................. 3,231 3,307,549 2.125%, 09/16/15............................. 500 508,988 ----------- TOTAL FRANCE..................................... 11,086,541 -----------
FACE AMOUNT^ VALUE+ ------- ------ (000) GERMANY -- (0.4%) Deutsche Bank AG 3.875%, 08/18/14............................. $ 1,750 $ 1,796,307 3.250%, 01/11/16............................. 1,000 1,050,266 ----------- TOTAL GERMANY.................................... 2,846,573 ----------- JAPAN -- (1.6%) Japan Bank for International Cooperation 2.250%, 07/13/16............................. 8,000 8,303,824 Nomura Holdings, Inc. 5.000%, 03/04/15............................. 3,500 3,670,349 ----------- TOTAL JAPAN...................................... 11,974,173 ----------- NETHERLANDS -- (5.1%) Aegon NV 4.625%, 12/01/15............................. 3,489 3,736,754 Bank Nederlandse Gemeenten 2.750%, 07/01/15............................. 9,500 9,856,060 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 3.125%, 02/05/15............................. CAD 7,000 6,823,162 2.125%, 10/13/15............................. 7,000 7,186,669 Deutsche Telekom International Finance BV 4.875%, 07/08/14............................. 1,900 1,955,066 Nederlandse Waterschapsbank NV 2.000%, 09/09/15............................. 9,000 9,244,674 ----------- TOTAL NETHERLANDS................................ 38,802,385 ----------- SUPRANATIONAL ORGANIZATION OBLIGATIONS -- (1.5%) European Investment Bank 6.500%, 09/10/14............................. NZD 2,531 2,145,833 Nordic Investment Bank 7.500%, 04/15/15............................. NZD 11,000 9,607,162 ----------- TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS..... 11,752,995 ----------- SWEDEN -- (3.8%) Nordea Bank AB 2.750%, 08/11/15............................. EUR 5,000 7,048,063 Svensk Exportkredit AB 2.125%, 07/13/16............................. 7,000 7,260,589 Svenska Handelsbanken AB 1.500%, 07/06/15............................. EUR 7,000 9,654,792 3.125%, 07/12/16............................. 5,000 5,256,480 ----------- TOTAL SWEDEN..................................... 29,219,924 -----------
179 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) SWITZERLAND -- (0.3%) Credit Suisse New York 5.500%, 05/01/14............................. $ 250 $ 256,292 3.500%, 03/23/15............................. 1,000 1,039,644 UBS AG 3.875%, 01/15/15............................. 1,163 1,207,444 ----------- TOTAL SWITZERLAND................................ 2,503,380 ----------- UNITED KINGDOM -- (3.6%) Barclays Bank P.L.C. 5.200%, 07/10/14............................. 1,500 1,548,627 BP Capital Markets P.L.C. 5.250%, 11/07/13............................. 3,500 3,501,015 British Telecommunications P.L.C. 2.000%, 06/22/15............................. 3,100 3,157,737 Lloyds Bank P.L.C. 4.875%, 01/21/16............................. 5,000 5,396,695 Rio Tinto Finance USA P.L.C. 1.125%, 03/20/15............................. 3,850 3,872,496 Royal Bank of Scotland Group P.L.C. 2.550%, 09/18/15............................. 6,300 6,452,334 Vodafone Group P.L.C. 4.150%, 06/10/14............................. 1,825 1,864,155 3.375%, 11/24/15............................. 2,000 2,098,058 ----------- TOTAL UNITED KINGDOM............................. 27,891,117 ----------- UNITED STATES -- (46.6%) AbbVie, Inc. 1.200%, 11/06/15............................. 4,000 4,027,968 ACE INA Holdings, Inc. 5.875%, 06/15/14............................. 1,250 1,291,344 2.600%, 11/23/15............................. 3,295 3,416,226 Aetna, Inc. 6.000%, 06/15/16............................. 1,496 1,687,507 Aflac, Inc. 3.450%, 08/15/15............................. 3,800 3,985,166 Air Products & Chemicals, Inc. 2.000%, 08/02/16............................. 3,615 3,712,612 Allstate Corp. (The) 5.000%, 08/15/14............................. 2,130 2,205,334 Altria Group, Inc. 4.125%, 09/11/15............................. 2,170 2,299,033 American Express Credit Corp. 5.125%, 08/25/14............................. 1,700 1,764,231 1.750%, 06/12/15............................. 1,200 1,221,452 2.750%, 09/15/15............................. 2,250 2,333,975 American International Group, Inc. 3.000%, 03/20/15............................. 6,000 6,172,836 Ameriprise Financial, Inc. 5.650%, 11/15/15............................. 1,625 1,781,575 Amgen, Inc. 1.875%, 11/15/14............................. 1,825 1,850,368 4.850%, 11/18/14............................. 1,000 1,044,713
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Anheuser-Busch InBev Worldwide, Inc. 0.800%, 07/15/15............................. $ 2,000 $2,009,190 Apple, Inc. 0.450%, 05/03/16............................. 10,000 9,955,790 Assurant, Inc. 5.625%, 02/15/14............................. 2,000 2,027,674 AT&T, Inc. 2.500%, 08/15/15............................. 4,600 4,732,190 AutoZone, Inc. 6.950%, 06/15/16............................. 3,000 3,423,804 Bank of America Corp. 1.500%, 10/09/15............................. 5,000 5,043,090 3.750%, 07/12/16............................. 1,500 1,595,907 BB&T Corp. 5.700%, 04/30/14............................. 3,087 3,165,691 Berkshire Hathaway Finance Corp. 4.850%, 01/15/15............................. 5,000 5,262,540 BlackRock, Inc. 3.500%, 12/10/14............................. 2,000 2,067,870 Burlington Northern Santa Fe LLC 4.875%, 01/15/15............................. 200 210,117 Capital One Financial Corp. 6.250%, 11/15/13............................. 150 150,245 7.375%, 05/23/14............................. 1,189 1,232,737 2.150%, 03/23/15............................. 4,700 4,778,795 Cardinal Health, Inc. 4.000%, 06/15/15............................. 3,000 3,153,489 Caterpillar Financial Services Corp. 2.650%, 04/01/16............................. 5,000 5,213,965 CenterPoint Energy Resources Corp. 6.150%, 05/01/16............................. 5,000 5,589,525 Charles Schwab Corp. (The) 0.850%, 12/04/15............................. 3,000 3,003,879 Cisco Systems, Inc. 1.625%, 03/14/14............................. 1,550 1,557,810 Citigroup, Inc. 6.375%, 08/12/14............................. 636 663,907 5.300%, 01/07/16............................. 2,716 2,946,129 CNA Financial Corp. 5.850%, 12/15/14............................. 3,277 3,453,752 Coca-Cola Enterprises, Inc. 1.125%, 11/12/13............................. 1,607 1,607,227 Comcast Corp. 4.950%, 06/15/16............................. 3,500 3,861,242 Comerica, Inc. 3.000%, 09/16/15............................. 2,277 2,371,762 Computer Sciences Corp. 2.500%, 09/15/15............................. 3,558 3,643,705
180 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Consolidated Edison Co. of New York, Inc. 4.700%, 02/01/14............................. $ 400 $ 404,035 CVS Caremark Corp. 3.250%, 05/18/15............................. 1,000 1,039,406 Daimler Finance North America LLC 6.500%, 11/15/13............................. 2,100 2,103,564 DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. 4.750%, 10/01/14............................. 1,500 1,555,052 3.500%, 03/01/16............................. 5,000 5,236,805 Dominion Resources, Inc. 5.150%, 07/15/15............................. 1,400 1,500,374 2.250%, 09/01/15............................. 5,000 5,132,045 Dow Chemical Co. (The) 2.500%, 02/15/16............................. 1,000 1,035,552 Eastman Chemical Co. 3.000%, 12/15/15............................. 1,000 1,040,022 Ecolab, Inc. 1.000%, 08/09/15............................. 2,000 2,005,328 Emerson Electric Co. 5.625%, 11/15/13............................. 1,200 1,201,766 Enbridge Energy Partners L.P. 5.350%, 12/15/14............................. 1,475 1,548,818 Energy Transfer Partners L.P. 5.950%, 02/01/15............................. 1,200 1,272,361 Enterprise Products Operating LLC 5.600%, 10/15/14............................. 2,666 2,790,894 EOG Resources, Inc. 2.950%, 06/01/15............................. 2,440 2,531,261 2.500%, 02/01/16............................. 1,325 1,374,307 Exelon Corp. 4.900%, 06/15/15............................. 500 529,780 Exelon Generation Co. LLC 5.350%, 01/15/14............................. 1,100 1,110,129 Express Scripts Holding Co. 2.100%, 02/12/15............................. 4,000 4,063,120 3.125%, 05/15/16............................. 1,975 2,072,462 Fifth Third Bancorp 3.625%, 01/25/16............................. 1,000 1,055,520 Fifth Third Bank 0.900%, 02/26/16............................. 2,000 1,992,132 Ford Motor Credit Co. LLC 12.000%, 05/15/15............................ 3,500 4,072,435 Freeport-McMoRan Copper & Gold, Inc. 1.400%, 02/13/15............................. 3,996 4,016,284 General Electric Capital Corp. 2.150%, 01/09/15............................. 6,000 6,119,154 1.625%, 07/02/15............................. 2,000 2,032,202 Gilead Sciences, Inc. 2.400%, 12/01/14............................. 3,000 3,056,091
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) Goldman Sachs Group, Inc. (The) 3.300%, 05/03/15............................. $ 3,500 $3,622,444 Google, Inc. 2.125%, 05/19/16............................. 6,000 6,224,196 Hartford Financial Services Group, Inc. 4.000%, 03/30/15............................. 1,400 1,460,812 Hess Corp. 7.000%, 02/15/14............................. 175 177,965 Hewlett-Packard Co. 2.625%, 12/09/14............................. 1,300 1,323,257 HSBC USA, Inc. 2.375%, 02/13/15............................. 2,000 2,046,018 Humana, Inc. 6.450%, 06/01/16............................. 4,500 5,043,060 Johnson Controls, Inc. 5.500%, 01/15/16............................. 1,282 1,402,513 JPMorgan Chase & Co. 3.700%, 01/20/15............................. 2,800 2,900,626 3.400%, 06/24/15............................. 1,000 1,041,719 KeyCorp 3.750%, 08/13/15............................. 3,000 3,150,111 Lorillard Tobacco Co. 3.500%, 08/04/16............................. 4,000 4,220,124 Lowe's Cos., Inc. 5.000%, 10/15/15............................. 1,050 1,137,528 Marathon Oil Corp. 0.900%, 11/01/15............................. 1,140 1,140,961 Marsh & McLennan Cos., Inc. 5.750%, 09/15/15............................. 1,916 2,082,361 Medtronic, Inc. 4.750%, 09/15/15............................. 1,087 1,170,416 MetLife, Inc. 2.375%, 02/06/14............................. 420 422,145 5.500%, 06/15/14............................. 1,250 1,288,560 5.000%, 06/15/15............................. 500 533,653 6.750%, 06/01/16............................. 3,000 3,437,859 Mondelez International, Inc. 4.125%, 02/09/16............................. 3,716 3,963,813 Morgan Stanley 3.800%, 04/29/16............................. 6,000 6,339,840 NASDAQ OMX Group, Inc. (The) 4.000%, 01/15/15............................. 2,800 2,896,152 NextEra Energy Capital Holdings, Inc. 2.550%, 11/15/13............................. 750 750,400 Occidental Petroleum Corp. 1.450%, 12/13/13............................. 1,000 1,001,215 Omnicom Group, Inc. 5.900%, 04/15/16............................. 1,750 1,948,935 ONEOK, Inc. 5.200%, 06/15/15............................. 1,000 1,061,186 PACCAR Financial Corp. 0.750%, 08/14/15............................. 2,000 2,008,570
181 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) PepsiCo, Inc. 0.700%, 08/13/15............................. $ 5,595 $5,607,096 Plains All American Pipeline L.P. / PAA Finance Corp. 3.950%, 09/15/15............................. 2,830 2,991,780 PNC Funding Corp. 5.400%, 06/10/14............................. 2,075 2,136,161 4.250%, 09/21/15............................. 600 638,531 PPG Industries, Inc. 1.900%, 01/15/16............................. 2,050 2,084,602 Procter & Gamble Co. (The) 4.500%, 05/12/14............................. EUR 4,000 5,547,927 Progress Energy, Inc. 5.625%, 01/15/16............................. 2,000 2,198,458 Prudential Financial, Inc. 3.875%, 01/14/15............................. 1,000 1,037,274 6.200%, 01/15/15............................. 2,448 2,604,883 Quest Diagnostics, Inc. 5.450%, 11/01/15............................. 4,000 4,325,932 Qwest Corp. 7.500%, 10/01/14............................. 2,300 2,430,401 Reynolds American, Inc. 1.050%, 10/30/15............................. 4,000 4,006,504 Safeway, Inc. 5.625%, 08/15/14............................. 4,500 4,626,990 Sempra Energy 2.000%, 03/15/14............................. 416 418,176 Sherwin-Williams Co. (The) 3.125%, 12/15/14............................. 1,048 1,077,526 Southern Power Co. 4.875%, 07/15/15............................. 3,660 3,904,235 Spectra Energy Capital LLC 5.500%, 03/01/14............................. 1,500 1,522,094 5.668%, 08/15/14............................. 955 991,163 SunTrust Banks, Inc. 3.600%, 04/15/16............................. 4,000 4,242,620 Target Corp. 5.875%, 07/15/16............................. 325 369,446 TD Ameritrade Holding Corp. 4.150%, 12/01/14............................. 2,350 2,438,064 Textron, Inc. 6.200%, 03/15/15............................. 1,500 1,602,257 Thermo Fisher Scientific, Inc. 3.200%, 05/01/15............................. 2,250 2,320,697 2.250%, 08/15/16............................. 2,953 3,019,587 Time Warner Cable, Inc. 3.500%, 02/01/15............................. 4,000 4,114,304 Toyota Motor Credit Corp. 1.000%, 02/17/15............................. 3,000 3,024,282 0.875%, 07/17/15............................. 2,000 2,014,134 Union Bank NA 2.125%, 12/16/13............................. 1,400 1,403,023 3.000%, 06/06/16............................. 1,000 1,053,850
FACE AMOUNT^ VALUE+ ------- ------ (000) UNITED STATES -- (Continued) UnitedHealth Group, Inc. 5.000%, 08/15/14............................. $ 1,170 $ 1,212,522 Valero Energy Corp. 4.750%, 04/01/14............................. 1,125 1,144,494 4.500%, 02/01/15............................. 900 940,535 Verizon Communications, Inc. 0.700%, 11/02/15............................. 3,000 2,990,118 5.550%, 02/15/16............................. 2,400 2,637,326 Viacom, Inc. 4.375%, 09/15/14............................. 1,229 1,268,054 Walgreen Co. 1.000%, 03/13/15............................. 3,720 3,734,162 Walt Disney Co. (The) 0.875%, 12/01/14............................. 1,500 1,509,917 WellPoint, Inc. 5.000%, 12/15/14............................. 2,500 2,619,695 5.250%, 01/15/16............................. 3,000 3,271,287 Wells Fargo & Co. 3.750%, 10/01/14............................. 2,300 2,369,591 1.250%, 02/13/15............................. 1,000 1,008,132 1.500%, 07/01/15............................. 2,500 2,534,633 Williams Partners L.P. 3.800%, 02/15/15............................. 2,300 2,383,414 Xerox Corp. 4.250%, 02/15/15............................. 3,500 3,645,974 Yum! Brands, Inc. 4.250%, 09/15/15............................. 2,485 2,636,985 Zimmer Holdings, Inc. 1.400%, 11/30/14............................. 1,000 1,005,338 ------------ TOTAL UNITED STATES................................ 357,867,884 ------------ TOTAL BONDS........................................ 565,911,895 ------------ AGENCY OBLIGATIONS -- (15.7%) Federal Home Loan Bank 0.375%, 06/24/16............................. 15,000 14,977,785 Federal Home Loan Mortgage Corporation 5.250%, 04/18/16............................. 30,000 33,478,110 Federal National Mortgage Association 0.500%, 03/30/16............................. 72,000 72,011,016 ------------ TOTAL AGENCY OBLIGATIONS........................... 120,466,911 ------------ U.S. TREASURY OBLIGATIONS -- (10.6%) U.S. Treasury Notes ++^^ 0.375%, 11/15/15............................. 53,000 53,049,714 1.000%, 10/31/16............................. 28,000 28,330,316 ------------ TOTAL U.S. TREASURY OBLIGATIONS.................... 81,380,030 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $764,976,576)................................ $767,758,836 ============
182 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) --------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------- ------------ ------- ------------ Bonds Australia.............................. -- $ 25,271,053 -- $ 25,271,053 Canada................................. -- 46,695,870 -- 46,695,870 France................................. -- 11,086,541 -- 11,086,541 Germany................................ -- 2,846,573 -- 2,846,573 Japan.................................. -- 11,974,173 -- 11,974,173 Netherlands............................ -- 38,802,385 -- 38,802,385 Supranational Organization Obligations. -- 11,752,995 -- 11,752,995 Sweden................................. -- 29,219,924 -- 29,219,924 Switzerland............................ -- 2,503,380 -- 2,503,380 United Kingdom......................... -- 27,891,117 -- 27,891,117 United States.......................... -- 357,867,884 -- 357,867,884 Agency Obligations....................... -- 120,466,911 -- 120,466,911 U.S. Treasury Obligations................ -- 81,380,030 -- 81,380,030 Swap Agreements**........................ -- (5,585,539) -- (5,585,539) Futures Contracts**...................... $(567,936) -- -- (567,936) Forward Currency Contracts**............. -- (785,037) -- (785,037) --------- ------------ -- ------------ TOTAL.................................... $(567,936) $761,388,260 -- $760,820,324 ========= ============ == ============
**Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 183 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS) ASSETS: Investments at Value................................................................... $ 767,759 Temporary Cash......................................................................... 10,380 Segregated Cash for Swap Contracts..................................................... 1,665 Cash................................................................................... 6,395 Receivables: Interest............................................................................. 5,481 Fund Shares Sold..................................................................... 1,649 Unrealized Gain on Swap Contracts...................................................... 7,681 Unrealized Gain on Forward Currency Contracts.......................................... 171 Prepaid Expenses and Other Assets...................................................... 36 ------------ Total Assets...................................................................... 801,217 ------------ LIABILITIES: Payables: Due to Custodian..................................................................... 3 Fund Shares Redeemed................................................................. 279 Due to Advisor....................................................................... 198 Futures Margin Variation............................................................. 109 Unrealized Loss on Swap Contracts...................................................... 13,267 Unrealized Loss on Forward Currency Contracts.......................................... 956 Accrued Expenses and Other Liabilities................................................. 91 ------------ Total Liabilities................................................................. 14,903 ------------ NET ASSETS............................................................................. $ 786,314 ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)................................................ 94,697,328 ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................... $ 8.30 ============ Investments at Cost.................................................................... $ 764,977 ============ NET ASSETS CONSIST OF: Paid-In Capital........................................................................ $ 788,190 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income). 1,500 Accumulated Net Realized Gain (Loss)................................................... 770 Net Unrealized Foreign Exchange Gain (Loss)............................................ (774) Net Unrealized Appreciation (Depreciation)............................................. (3,372) ------------ NET ASSETS............................................................................. $ 786,314 ============ (1) NUMBER OF SHARES AUTHORIZED........................................................ 100,000,000 ============
See accompanying Notes to Financial Statements. 184 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Interest........................................................................................ $ 6,268 -------- Total Investment Income...................................................................... 6,268 -------- EXPENSES Investment Advisory Services Fees............................................................... 2,227 Accounting & Transfer Agent Fees................................................................ 58 Custodian Fees.................................................................................. 25 Filing Fees..................................................................................... 87 Shareholders' Reports........................................................................... 41 Directors'/Trustees' Fees & Expenses............................................................ 6 Professional Fees............................................................................... 49 Other........................................................................................... 16 -------- Total Expenses............................................................................... 2,509 -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note D). (345) Fees Paid Indirectly............................................................................ (24) -------- Net Expenses.................................................................................... 2,140 -------- NET INVESTMENT INCOME (LOSS).................................................................... 4,128 -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.................................................................... 952 Futures....................................................................................... (1,683) Swap Contracts................................................................................ (68,369) Foreign Currency Transactions................................................................. (1,229) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................................... 75 Futures....................................................................................... (717) Swap Contracts................................................................................ (6,861) Translation of Foreign Currency Denominated Amounts........................................... 715 -------- NET REALIZED AND UNREALIZED GAIN (LOSS)......................................................... (77,117) -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................... $(72,989) ========
See accompanying Notes to Financial Statements. 185 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 --------- --------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)......................................................... $ 4,128 $ 2,616 Net Realized Gain (Loss) on: Investment Securities Sold......................................................... 952 1,207 Futures............................................................................ (1,683) (2,170) Swap Contracts..................................................................... (68,369) (17,151) Foreign Currency Transactions...................................................... (1,229) 1,374 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency......................................... 75 1,848 Futures............................................................................ (717) 112 Swap Contracts..................................................................... (6,861) 3,344 Translation of Foreign Currency Denominated Amounts................................ 715 (1,489) --------- --------- Net Increase (Decrease) in Net Assets Resulting from Operations................... (72,989) (10,309) --------- --------- Distributions From: Net Investment Income: Institutional Class Shares......................................................... (2,493) (2,038) Net Short-Term Gains: Institutional Class Shares......................................................... (472) (151) Net Long-Term Gains: Institutional Class Shares......................................................... (472) -- --------- --------- Total Distributions............................................................... (3,437) (2,189) --------- --------- Capital Share Transactions (1): Shares Issued........................................................................ 552,864 371,713 Shares Issued in Lieu of Cash Distributions.......................................... 3,267 2,084 Shares Redeemed...................................................................... (151,470) (134,001) --------- --------- Net Increase (Decrease) from Capital Share Transactions........................... 404,661 239,796 --------- --------- Total Increase (Decrease) in Net Assets........................................... 328,235 227,298 NET ASSETS Beginning of Year.................................................................... 458,079 230,781 --------- --------- End of Year.......................................................................... $ 786,314 $ 458,079 ========= ========= (1) SHARES ISSUED AND REDEEMED: Shares Issued........................................................................ 63,019 39,879 Shares Issued in Lieu of Cash Distributions.......................................... 366 232 Shares Redeemed...................................................................... (17,417) (14,994) --------- --------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 45,968 25,117 ========= ========= UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME). $ 1,500 $ 1,816
See accompanying Notes to Financial Statements. 186 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period..................................................................... $ 9.40 $ 9.77 -------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....................................................................... 0.06 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)............................................. (1.10) (0.37) -------- -------- Total from Investment Operations...................................................................... (1.04) (0.30) -------------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................................................................................. (0.04) (0.06) Net Realized Gains..................................................................................... (0.02) (0.01) -------- -------- Total Distributions................................................................................... (0.06) (0.07) -------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................................... $ 8.30 $ 9.40 ========================================================================================================= ======== ======== Total Return............................................................................................. (11.15)% (3.08)% -------------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................................................................... $786,314 $458,079 Ratio of Expenses to Average Net Assets.................................................................. 0.34% 0.35% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)........................................................ 0.40% 0.41% Ratio of Net Investment Income to Average Net Assets..................................................... 0.66% 0.79% Portfolio Turnover Rate.................................................................................. 64% 69% --------------------------------------------------------------------------------------------------------------------------------
PERIOD NOV. 9, 2010(A) TO OCT. 31, 2011 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period..................................................................... $ 10.00 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)....................................................................... 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)............................................. (0.27) -------- Total from Investment Operations...................................................................... (0.20) ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.................................................................................. (0.03) Net Realized Gains..................................................................................... -- -------- Total Distributions................................................................................... (0.03) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period........................................................................... $ 9.77 ========================================================================================================= =============== Total Return............................................................................................. (2.02)%(D) ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Period (thousands).................................................................... $230,781 Ratio of Expenses to Average Net Assets.................................................................. 0.47%(C)(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)........................................................ 0.53%(C)(E) Ratio of Net Investment Income to Average Net Assets..................................................... 0.64%(C)(E) Portfolio Turnover Rate.................................................................................. 50%(D) ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 187 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, as amended (the "1940 Act"), whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of seventy-six 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 1940 Act. B. SIGNIFICANT ACCOUNTING POLICIES: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities 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 generally categorized as Level 2 in the hierarchy. Futures contracts held by the Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Swap 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. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. 188 A summary of the inputs used to value the Portfolio's investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2013, there were no significant transfers between Level 1 and Level 2 and no Level 3 investments held by the Portfolio. 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, 2013, 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 and foreign currency 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 gains 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 the Portfolio are directly charged. Common expenses of the Fund or its Portfolios are allocated using methods approved by the Board, generally based on average net assets. 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. 189 To the extent of the Portfolio's investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary's investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. The Subsidiary is classified as a controlled foreign corporation under Subchapter M of the Internal Revenue Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods. As of October 31, 2013, the Portfolio held $140,511,030 in the Subsidiary, representing 17.54% 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, 2013, 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 an Amended and Restated Fee Waiver and/or 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 (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 investment in unaffiliated investment companies and excluding any applicable 12b-1 fees) ("Portfolio Expenses") to the extent necessary to limit the Portfolio Expenses to no more than 0.55% of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement 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, 2014, and may not be terminated by the Advisor prior to that date. At October 31, 2013, 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, 2013, approximately $345 (in thousands) of the Subsidiary's management fees were waived pursuant to the Subsidiary fee waiver agreement. EARNED INCOME CREDIT: In addition, the Portfolio has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolio's custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- DFA Commodity Strategy Portfolio. $24
190 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, 2013, the total related amounts paid by the Fund to the CCO were $250 (amount in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. E. DEFERRED COMPENSATION: At October 31, 2013, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amount in thousands): DFA Commodity Strategy Portfolio. $5
F. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2013, the Portfolio 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 --------- -------- --------- -------- DFA Commodity Strategy Portfolio. $264,251 $162,427 $455,344 $222,937
G. FEDERAL INCOME TAXES: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, 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, reversal of bank income/loss from controlled foreign corporation 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. $(69,244) $(1,951) $71,195
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM LONG-TERM CAPITAL GAINS CAPITAL GAINS TOTAL -------------- ------------- ------ DFA Commodity Strategy Portfolio 2012............................. $2,410 $ 37 $2,447 2013............................. 2,965 472 3,437
191 At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND UNDISTRIBUTED UNREALIZED EARNINGS SHORT-TERM LONG-TERM APPRECIATION (ACCUMULATED CAPITAL GAINS CAPITAL GAINS (DEPRECIATION) LOSSES) -------------- ------------- -------------- ------------- DFA Commodity Strategy Portfolio. $1,150 $451 $(3,362) $(1,761)
For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Portfolio after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2013, the Portfolio did not have any capital loss carryforwards. At October 31, 2013, 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. $764,977 $3,782 $(1,000) $2,782
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolio's tax positions and has concluded that no additional provision for income tax is required in the Portfolio's financial statements. The Portfolio is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolio's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. H. FINANCIAL INSTRUMENTS: In accordance with the Portfolio's investment objective and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. FOREIGN MARKET RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolio may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Portfolio. The Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio's total assets in the Subsidiary. The Subsidiary may invest without limitation in commodity-linked notes, swap agreements and other commodity-linked derivative instruments, including futures contracts on individual commodities or a subset of commodities and options on commodities. The accompanying consolidated schedule of investments includes investments of the Portfolio and its wholly-owned Subsidiary. 192 2. FORWARD CURRENCY CONTRACTS: The 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 the Portfolio's currency exposure with respect to a foreign market will be based primarily on the Portfolio's existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the 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, 2013, the 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 VALUE AT FOREIGN SETTLEMENT CURRENCY CONTRACT OCTOBER 31, EXCHANGE DATE AMOUNT** CURRENCY AMOUNT 2013 GAIN (LOSS) ---------- -------- ------------------ -------- ----------- ----------- 11/19/13 (7,176) Canadian Dollar $ (6,965) $ (6,879) $ 86 11/18/13 5,416 Euro 7,409 7,353 (56) 11/18/13 (33,550) Euro (44,654) (45,554) (900) 11/18/13 (14,349) New Zealand Dollar (11,926) (11,841) 85 -------- -------- ----- $(56,136) $(56,921) $(785) ======== ======== =====
* During the year ended October 31, 2013, the Portfolio's average contract amount of forward currency contracts was $109,168 (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 Portfolio and the Subsidiary invest in commodity-linked derivative instruments, such as swap agreements, commodity options, futures, options on futures, and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. 4. SWAP AGREEMENTS: The Portfolio may enter into swap agreements with respect to commodities, interest rates and indexes of commodities or securities, specific securities and commodities, and mortgage, credit and event-linked swaps, and to the extent the Portfolio may invest in foreign currency-denominated securities, may enter into swap agreements with respect to foreign currencies. The Portfolio may enter into swap transactions for any legal purpose consistent with its investment objective and policies, such as for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining a return or spread through purchases and/or sales of instruments in other markets, to seek to increase total return (speculation), to protect against currency fluctuations, as a duration management technique, to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible. A swap agreement may be negotiated bilaterally and traded over-the-counter between the two parties (for an uncleared swap) or, in some instances, must be transacted through an futures commission merchant ("FCM") and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap). Swap agreements are 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 193 factor. In an uncleared swap, the swap counterparty is typically a brokerage firm, bank or other financial institution. In a cleared swap, the Portfolio's ultimate counterparty is a central clearinghouse rather than a brokerage firm, bank or other financial institution. An investment in a commodity swap agreement may involve the exchange of floating-rate interest payments for the total return on a commodity index. In a total return commodity swap, the Portfolio will receive the price appreciation of a commodity index, a portion of the index, or a single commodity in exchange for paying an agreed-upon fee. The Portfolio may also enter into credit default swap agreements. The "buyer" in a credit default contract is obligated to pay the "seller" a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation 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 uncleared swaps are two-party contracts and may have terms of greater than seven days, these swap agreements may be considered to be illiquid. In addition, because uncleared swaps are not traded on exchanges, 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 or receive. Central clearing is designed to reduce counterparty credit risk and increase liquidity compared to uncleared swaps because central clearing interposes the central clearinghouse as the counterparty to each participant's swap, but it does not eliminate those risks completely. Among other risks, there is a risk of loss by the Portfolio of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Portfolio has an open position in a swap contract. 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. Payments, known as "variation margin," to and from the broker, will be made daily as the currency, financial instrument or index underlying the futures contract fluctuates, making the long and short positions in the futures 194 contract more or less valuable, a process known as "marking-to-market." As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses. At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio's existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price potentially subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio's performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio's investments in the contracts to greater volatility than investments in traditional securities. 6. Options on Futures Contracts: The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer's futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change 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. At October 31, 2013, the Subsidiary 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 Oil Futures. 02/13/14 12 $1,292 $ -- CBT Corn Futures........ 03/14/14 48 1,054 (11) CBT Soybean Futures..... 01/14/14 29 1,836 (31)
195
EXPIRATION NUMBER OF CONTRACT UNREALIZED DESCRIPTION DATE CONTRACTS* AMOUNT GAIN (LOSS) ----------- ---------- ---------- -------- ----------- CBT Wheat Futures............. 03/14/14 21 $ 713 $ (11) Coffee 'C' Futures............ 03/19/14 10 407 (6) Copper Futures................ 03/27/14 18 1,489 (7) Cotton No.2 Futures........... 03/07/14 11 436 (4) Gasoline RBOB Futures......... 12/31/13 7 762 (5) Gold 100 oz Futures........... 02/26/14 15 1,987 (41) KCB Wheat Futures............. 03/14/14 21 779 (11) LME Nickel Futures............ 01/13/14 5 438 2 LME Prime Aluminum Futures.... 01/13/14 22 1,019 (4) LME Zinc Futures.............. 01/13/14 12 585 1 Lean Hogs Futures............. 02/14/14 13 479 (11) Light Sweet Crude Oil Futures. 12/19/13 27 2,609 (102) Live Cattle Futures........... 02/28/14 14 752 (4) Natural Gas Futures........... 12/27/13 92 3,369 (248) NY Harbor ULSD Futures........ 12/31/13 6 745 (6) Silver Futures................ 03/27/14 6 658 (30) Soybean Meal Futures.......... 01/14/14 15 595 (13) Soybean Oil Futures........... 01/14/14 21 525 1 Sugar #11 Futures............. 02/28/14 42 862 (27) ------- ----- $23,391 $(568) ======= =====
The Subsidiary's securities have been segregated as collateral for open futures contracts. * During the year ended October 31, 2013 the Subsidiary's average notional contract amount of outstanding futures contracts was $22,232 (in thousands). At October 31, 2013, the Subsidiary had the following outstanding commodity total return swaps (dollar amounts in thousands):
UNREALIZED COMMODITY EXPIRATION NOTIONAL APPRECIATION COUNTERPARTY EXPOSURE DATE AMOUNT* (DEPRECIATION) ------------ ------------- ---------- --------- -------------- Citibank, N.A................... Index** 12/31/2013 USD $(243,297) $(2,417) Citibank, N.A................... Natural Gas 01/31/2014 USD 64,518 4,079 Citibank, N.A................... Natural Gas 04/30/2014 USD (63,429) (3,452) Credit Suisse................... Index** 11/22/2013 USD (48,661) (485) Credit Suisse................... Index** 11/22/2013 USD (59,241) (590) Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD 18,060 333 Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD 9,713 216 Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD (9,452) (163) Deutsche Bank AG, London Branch. Soybean 11/21/2013 USD (17,577) (237) Deutsche Bank AG, London Branch. Index** 11/22/2013 USD (201,585) (2,010) Deutsche Bank AG, London Branch. WTI Crude Oil 12/18/2013 USD 56,210 3,053 Deutsche Bank AG, London Branch. WTI Crude Oil 03/19/2014 USD (54,698) (1,843) UBS AG.......................... Index** 01/29/2014 USD (215,652) (2,070) --------- ------- $(765,091) $(5,586) ========= =======
* During the year ended October 31, 2013 the Subsidiary's average notional value of outstanding swap contracts was $620,010 (amount in thousands). **Swap is exposed to the 22 commodities in the Dow Jones-UBS Commodity Index. 196 The following is a summary of the location of derivatives on the Portfolio's Statements of Assets and Liabilities as of October 31, 2013: LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES --------------------------------------------------- DERIVATIVE TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES --------------- ------------------------ ------------------------ Commodity Contracts Payables: Futures Margin Variation Foreign Exchange Unrealized Gain on Unrealized Loss on Contracts Forward Currency Forward Currency Contracts Contracts Other Contracts Unrealized Gain on Swap Unrealized Loss on Swap Contracts Contracts The following is a summary of the Portfolio's derivative instrument holdings categorized by primary risk exposure as of October 31, 2013 (amounts in thousands):
ASSET DERIVATIVES VALUE ---------------------- TOTAL VALUE FOREIGN AT EXCHANGE OTHER OCTOBER 31, 2013 CONTRACTS CONTRACTS - ---------------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $7,852 $171 $7,681 LIABILITY DERIVATIVES VALUE -------------------------------- TOTAL VALUE FOREIGN AT COMMODITY EXCHANGE OTHER OCTOBER 31, 2013 CONTRACTS CONTRACTS CONTRACTS - ---------------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(14,791) $(568)* $(956) $(13,267)
* 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 Statements of Operations of realized and change in unrealized gains and losses from the Portfolio's derivative instrument holdings for the year ended October 31, 2013 (amounts in thousands):
DERIVATIVE TYPE LOCATION OF GAIN (LOSS) ON 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
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 through the year ended October 31, 2013 (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. $(71,257) $(1,683) $(1,205) $(68,369)
197
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME ------------------------------------- FOREIGN COMMODITY EXCHANGE OTHER TOTAL CONTRACTS CONTRACTS CONTRACTS ------- --------- --------- --------- Dimensional Cayman Commodity Fund I, LTD. $(6,865) $(717) $713 $(6,861)
I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. There were no borrowings by the Portfolio under the lines of credit during the year ended October 31, 2013. 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 January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other 198 requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. L. OTHER: At October 31, 2013, three shareholders held 87% of 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. 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. 199 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, 2013, the results of their operations for the year then ended, the changes in 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 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, 2013 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 200 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) APRIL 30, 2008-OCTOBER 31, 2013 [CHART] DFA International Value MSCI World ex Portfolio-Class R2 USA Index (net dividends) ----------------------- ------------------------- 4/30/2008 $10,000 $10,000 5/31/2008 10,000 10,152 6/30/2008 9,006 9,362 7/31/2008 8,752 9,029 8/31/2008 8,381 8,680 9/30/2008 7,404 7,427 10/31/2008 5,537 5,882 11/30/2008 5,194 5,563 12/31/2008 5,594 5,856 1/31/2009 4,819 5,310 2/28/2009 4,220 4,772 3/31/2009 4,686 5,087 4/30/2009 5,539 5,743 5/31/2009 6,361 6,469 6/30/2009 6,268 6,402 7/31/2009 7,007 7,003 8/31/2009 7,404 7,339 9/30/2009 7,789 7,641 10/31/2009 7,467 7,519 11/30/2009 7,685 7,705 12/31/2009 7,769 7,828 1/31/2010 7,316 7,461 2/28/2010 7,340 7,453 3/31/2010 7,920 7,933 4/30/2010 7,781 7,815 5/31/2010 6,874 6,952 6/30/2010 6,751 6,852 7/31/2010 7,584 7,485 8/31/2010 7,209 7,261 9/30/2010 7,990 7,958 10/31/2010 8,259 8,241 11/30/2010 7,836 7,892 12/31/2010 8,567 8,528 1/31/2011 8,931 8,712 2/28/2011 9,224 9,035 3/31/2011 8,966 8,854 4/30/2011 9,443 9,336 5/31/2011 9,097 9,059 6/30/2011 8,968 8,930 7/31/2011 8,679 8,783 8/31/2011 7,744 8,040 9/30/2011 6,896 7,233 10/31/2011 7,555 7,936 11/30/2011 7,306 7,569 12/31/2011 7,106 7,487 1/31/2012 7,579 7,891 2/29/2012 7,974 8,325 3/31/2012 7,907 8,263 4/30/2012 7,622 8,123 5/31/2012 6,676 7,197 6/30/2012 7,146 7,669 7/31/2012 7,112 7,764 8/31/2012 7,407 7,986 9/30/2012 7,665 8,228 10/31/2012 7,759 8,286 11/30/2012 7,877 8,460 12/31/2012 8,263 8,716 1/31/2013 8,646 9,144 2/28/2013 8,382 9,053 3/31/2013 8,408 9,125 4/30/2013 8,817 9,541 5/31/2013 8,707 9,327 6/30/2013 8,400 8,978 7/31/2013 8,968 9,455 Past performance is not predictive of 8/31/2013 8,902 9,333 future performance. 9/30/2013 9,570 9,993 10/31/2013 9,901 10,328 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 04/30/2008 ----------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.61% 12.33% -0.18% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] DFA International Value MSCI World ex USA Portfolio-Institutional Class Index (net dividends) ----------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,209 10,227 12/31/2003 10,972 11,011 1/31/2004 11,250 11,164 2/29/2004 11,587 11,421 3/31/2004 11,767 11,478 4/30/2004 11,413 11,178 5/31/2004 11,523 11,230 6/30/2004 11,999 11,489 7/31/2004 11,557 11,139 8/31/2004 11,701 11,185 9/30/2004 12,075 11,511 10/31/2004 12,537 11,925 11/30/2004 13,462 12,718 12/31/2004 14,132 13,255 1/31/2005 13,985 12,994 2/28/2005 14,537 13,572 3/31/2005 14,174 13,264 4/30/2005 13,742 12,926 5/31/2005 13,759 12,950 6/30/2005 13,976 13,161 7/31/2005 14,597 13,586 8/31/2005 15,079 13,961 9/30/2005 15,500 14,599 10/31/2005 15,262 14,127 11/30/2005 15,535 14,501 12/31/2005 16,290 15,173 1/31/2006 17,400 16,133 2/28/2006 17,562 16,079 3/31/2006 18,302 16,589 4/30/2006 19,223 17,382 5/31/2006 18,447 16,722 6/30/2006 18,320 16,700 7/31/2006 18,604 16,857 8/31/2006 19,236 17,336 9/30/2006 19,505 17,322 10/31/2006 20,366 18,006 11/30/2006 21,033 18,543 12/31/2006 21,852 19,074 1/31/2007 22,258 19,191 2/28/2007 22,239 19,344 3/31/2007 22,952 19,840 4/30/2007 24,105 20,742 5/31/2007 24,928 21,203 6/30/2007 24,746 21,224 7/31/2007 24,054 20,931 8/31/2007 23,776 20,628 9/30/2007 25,013 21,800 10/31/2007 26,220 22,748 11/30/2007 24,627 21,858 12/31/2007 24,090 21,447 1/31/2008 22,139 19,513 2/29/2008 21,852 19,867 3/31/2008 22,115 19,583 4/30/2008 23,096 20,672 5/31/2008 23,106 20,986 6/30/2008 20,812 19,354 7/31/2008 20,223 18,665 8/31/2008 19,370 17,943 9/30/2008 17,109 15,353 10/31/2008 12,817 12,159 11/30/2008 12,030 11,500 12/31/2008 12,929 12,106 1/31/2009 11,148 10,976 2/28/2009 9,779 9,865 3/31/2009 10,841 10,515 4/30/2009 12,832 11,871 5/31/2009 14,740 13,373 6/30/2009 14,519 13,234 7/31/2009 16,237 14,477 8/31/2009 17,159 15,170 9/30/2009 18,042 15,796 10/31/2009 17,316 15,543 11/30/2009 17,821 15,927 12/31/2009 18,030 16,181 1/31/2010 16,983 15,423 2/28/2010 17,036 15,407 3/31/2010 18,394 16,399 4/30/2010 18,076 16,155 5/31/2010 15,949 14,372 6/30/2010 15,672 14,164 7/31/2010 17,627 15,473 8/31/2010 16,757 15,011 9/30/2010 18,552 16,451 10/31/2010 19,209 17,037 11/30/2010 18,228 16,315 12/31/2010 19,936 17,629 1/31/2011 20,782 18,009 2/28/2011 21,465 18,676 3/31/2011 20,873 18,302 4/30/2011 21,983 19,299 5/31/2011 21,189 18,727 6/30/2011 20,893 18,460 7/31/2011 20,218 18,156 8/31/2011 18,050 16,621 9/30/2011 16,075 14,952 10/31/2011 17,600 16,406 11/30/2011 17,032 15,648 12/31/2011 16,577 15,477 1/31/2012 17,690 16,312 2/29/2012 18,601 17,209 3/31/2012 18,456 17,082 4/30/2012 17,791 16,792 5/31/2012 15,594 14,878 6/30/2012 16,692 15,852 7/31/2012 16,623 16,050 8/31/2012 17,301 16,508 9/30/2012 17,916 17,009 10/31/2012 18,147 17,128 11/30/2012 18,424 17,488 12/31/2012 19,330 18,017 1/31/2013 20,227 18,903 2/28/2013 19,622 18,715 3/31/2013 19,679 18,863 4/30/2013 20,647 19,722 5/31/2013 20,391 19,281 6/30/2013 19,672 18,558 7/31/2013 21,015 19,546 Past performance is not predictive of 8/31/2013 20,860 19,294 future performance. 9/30/2013 22,434 20,657 10/31/2013 23,209 21,350 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.90% 12.61% 8.78% rights reserved.
-------------------------------------------------------------------------------- 201 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- U.S. LARGE COMPANY PORTFOLIO VS. S&P 500(R) INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] U.S. Large Company Portfolio S&P 500/R/Index ---------------------------- --------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,084 10,088 12/31/2003 10,603 10,617 1/31/2004 10,798 10,811 2/29/2004 10,944 10,962 3/31/2004 10,786 10,796 4/30/2004 10,615 10,627 5/31/2004 10,761 10,773 6/30/2004 10,972 10,982 7/31/2004 10,605 10,619 8/31/2004 10,641 10,661 9/30/2004 10,758 10,777 10/31/2004 10,918 10,941 11/30/2004 11,361 11,384 12/31/2004 11,745 11,772 1/31/2005 11,460 11,485 2/28/2005 11,708 11,726 3/31/2005 11,497 11,519 4/30/2005 11,285 11,300 5/31/2005 11,634 11,660 6/30/2005 11,655 11,676 7/31/2005 12,092 12,111 8/31/2005 11,979 12,000 9/30/2005 12,076 12,097 10/31/2005 11,875 11,896 11/30/2005 12,327 12,346 12/31/2005 12,330 12,350 1/31/2006 12,658 12,677 2/28/2006 12,683 12,711 3/31/2006 12,843 12,870 4/30/2006 13,020 13,042 5/31/2006 12,640 12,667 6/30/2006 12,665 12,684 7/31/2006 12,742 12,763 8/31/2006 13,047 13,066 9/30/2006 13,376 13,403 10/31/2006 13,811 13,840 11/30/2006 14,066 14,103 12/31/2006 14,268 14,301 1/31/2007 14,487 14,517 2/28/2007 14,204 14,233 3/31/2007 14,354 14,392 4/30/2007 14,999 15,030 5/31/2007 15,516 15,554 6/30/2007 15,265 15,296 7/31/2007 14,785 14,822 8/31/2007 15,006 15,044 9/30/2007 15,568 15,607 10/31/2007 15,816 15,855 11/30/2007 15,151 15,192 12/31/2007 15,056 15,086 1/31/2008 14,151 14,181 2/29/2008 13,692 13,721 3/31/2008 13,640 13,661 4/30/2008 14,299 14,327 5/31/2008 14,483 14,513 6/30/2008 13,268 13,289 7/31/2008 13,162 13,178 8/31/2008 13,347 13,368 9/30/2008 12,172 12,177 10/31/2008 10,137 10,132 11/30/2008 9,418 9,405 12/31/2008 9,521 9,505 1/31/2009 8,728 8,704 2/28/2009 7,800 7,777 3/31/2009 8,484 8,458 4/30/2009 9,296 9,268 5/31/2009 9,824 9,786 6/30/2009 9,836 9,805 7/31/2009 10,584 10,547 8/31/2009 10,965 10,928 9/30/2009 11,376 11,336 10/31/2009 11,157 11,125 11/30/2009 11,827 11,792 12/31/2009 12,056 12,020 1/31/2010 11,629 11,588 2/28/2010 11,987 11,947 3/31/2010 12,713 12,668 4/30/2010 12,907 12,868 5/31/2010 11,871 11,840 6/30/2010 11,251 11,220 7/31/2010 12,039 12,007 8/31/2010 11,500 11,464 9/30/2010 12,522 12,488 10/31/2010 12,995 12,963 11/30/2010 12,995 12,964 12/31/2010 13,864 13,831 1/31/2011 14,200 14,159 2/28/2011 14,676 14,644 3/31/2011 14,693 14,650 4/30/2011 15,115 15,084 5/31/2011 14,946 14,913 6/30/2011 14,693 14,664 7/31/2011 14,396 14,366 8/31/2011 13,620 13,586 9/30/2011 12,656 12,631 10/31/2011 14,046 14,011 11/30/2011 14,003 13,980 12/31/2011 14,155 14,123 1/31/2012 14,784 14,756 2/29/2012 15,414 15,394 3/31/2012 15,930 15,901 4/30/2012 15,829 15,801 5/31/2012 14,869 14,851 6/30/2012 15,483 15,463 7/31/2012 15,700 15,678 8/31/2012 16,046 16,031 9/30/2012 16,460 16,445 10/31/2012 16,156 16,142 11/30/2012 16,257 16,235 12/31/2012 16,395 16,383 1/31/2013 17,242 17,232 2/28/2013 17,476 17,466 3/31/2013 18,133 18,121 4/30/2013 18,485 18,470 5/31/2013 18,910 18,902 6/30/2013 18,663 18,648 7/31/2013 19,606 19,597 8/31/2013 19,031 19,030 Past performance is not predictive of 9/30/2013 19,631 19,626 future performance. 10/31/2013 20,534 20,529 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------- The S&P data are provided by Standard 27.10% 15.16% 7.46% & Poor's Index Services Group.
-------------------------------------------------------------------------------- 202 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity markets with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large caps while value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, 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, 2013, returns in US dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets. 203
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, 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 "Master Funds." Master Funds, in turn, purchase 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. As of October 31, 2013, the Master Fund held approximately 520 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ending October 31, 2013, total returns were 27.61% for the Portfolio's Class R2 shares, 27.90% for the Portfolio's Institutional Class shares, and 24.65% for the MSCI World ex USA Index (net dividends). The Master Fund focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. As large cap value stocks generally outperformed large cap growth stocks during the period, the Master Fund's significantly greater exposure than the Index to these securities contributed to the Portfolio's outperformance relative to the Index. In particular, the Master Fund's greater exposure to value stocks in the financial sector was beneficial as these names generally outperformed the Index. The Master Fund's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's performance relative to the Index as REITs underperformed during the period. Differences in the valuation timing and methodology between the Master Fund and the Index generally detracted from the Portfolio's performance 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. U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers. 204
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. 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 book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable 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, small cap, and/or micro cap companies relative to widely used benchmarks. 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. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, the total return was 27.10% for the Portfolio and 27.18% 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. 205 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, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- DFA INTERNATIONAL VALUE PORTFOLIO** ----------------------------------- Actual Fund Return Class R2 Shares.................... $1,000.00 $1,123.00 0.67% $3.59 Institutional Class Shares......... $1,000.00 $1,124.10 0.43% $2.30 Hypothetical 5% Annual Return Class R2 Shares.................... $1,000.00 $1,021.83 0.67% $3.41 Institutional Class Shares......... $1,000.00 $1,023.04 0.43% $2.19
206 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- U.S. LARGE COMPANY PORTFOLIO ---------------------------- Actual Fund Return............ $1,000.00 $1,110.90 0.09% $0.48 Hypothetical 5% Annual Return. $1,000.00 $1,024.75 0.09% $0.46
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. **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). 207 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 27, 2013. 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. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 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 are represented in its Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Affiliated Investment Company's holdings which reflect the investments by category. FEEDER FUND
AFFILIATED INVESTMENT COMPANY ----------------------------- DFA International Value Portfolio. 100.0%
DOMESTIC EQUITY PORTFOLIO U.S. LARGE COMPANY PORTFOLIO Consumer Discretionary....................... 12.5% Consumer Staples............................. 10.2% Energy....................................... 10.5% Financials................................... 14.1% Health Care.................................. 13.0% Industrials.................................. 10.8% Information Technology....................... 17.8% Materials.................................... 3.5% Real Estate Investment Trusts................ 2.0% Telecommunication Services................... 2.5% Utilities.................................... 3.1% ----- 100.0%
208 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS OCTOBER 31, 2013
VALUE+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company..................... $6,528,252,884 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,271,384,583)............................. $6,528,252,884 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 209 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (95.8%) Consumer Discretionary -- (12.0%) * Amazon.com, Inc.................... 114,712 $ 41,758,609 0.9% Comcast Corp. Class A.............. 810,716 38,573,867 0.8% Home Depot, Inc. (The)............. 444,014 34,584,250 0.7% McDonald's Corp.................... 309,860 29,907,687 0.6% Walt Disney Co. (The).............. 514,981 35,322,547 0.7% Other Securities................... 424,800,285 8.6% ------------ ------ Total Consumer Discretionary........... 604,947,245 12.3% ------------ ------ Consumer Staples -- (9.8%) Altria Group, Inc.................. 621,306 23,131,222 0.5% Coca-Cola Co. (The)................ 1,181,763 46,762,362 0.9% CVS Caremark Corp.................. 380,757 23,705,931 0.5% PepsiCo, Inc....................... 478,040 40,198,384 0.8% Philip Morris International, Inc... 501,701 44,711,593 0.9% Procter & Gamble Co. (The)......... 848,933 68,551,340 1.4% Wal-Mart Stores, Inc............... 504,546 38,723,905 0.8% Other Securities................... 208,289,380 4.2% ------------ ------ Total Consumer Staples................. 494,074,117 10.0% ------------ ------ Energy -- (10.1%) Chevron Corp....................... 598,869 71,840,325 1.5% ConocoPhillips..................... 379,095 27,787,664 0.6% Exxon Mobil Corp................... 1,364,373 122,275,108 2.5% Occidental Petroleum Corp.......... 249,762 23,997,133 0.5% Schlumberger, Ltd.................. 410,147 38,438,977 0.8% Other Securities................... 225,470,233 4.5% ------------ ------ Total Energy........................... 509,809,440 10.4% ------------ ------ Financials -- (13.5%) American Express Co................ 287,597 23,525,435 0.5% American International Group, Inc.. 457,622 23,636,176 0.5% Bank of America Corp............... 3,330,044 46,487,414 0.9% * Berkshire Hathaway, Inc. Class B... 557,922 64,205,664 1.3% Citigroup, Inc..................... 942,626 45,981,296 0.9% JPMorgan Chase & Co................ 1,166,787 60,136,202 1.2% Wells Fargo & Co................... 1,497,743 63,938,649 1.3% Other Securities................... 355,099,998 7.3% ------------ ------ Total Financials....................... 683,010,834 13.9% ------------ ------ Health Care -- (12.5%) AbbVie, Inc........................ 491,435 23,810,026 0.5% Amgen, Inc......................... 233,518 27,088,088 0.6% Bristol-Myers Squibb Co............ 510,311 26,801,534 0.5% #* Gilead Sciences, Inc............... 474,448 33,681,064 0.7% Johnson & Johnson.................. 873,518 80,896,502 1.6% Merck & Co., Inc................... 907,088 40,900,598 0.8% Pfizer, Inc........................ 2,052,092 62,958,183 1.3% UnitedHealth Group, Inc............ 315,146 21,511,866 0.4% Other Securities................... 312,439,051 6.4% ------------ ------ Total Health Care...................... 630,086,912 12.8% ------------ ------
210 U.S. LARGE COMPANY PORTFOLIO CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Industrials -- (10.3%) 3M Co.............................................. 201,262 $ 25,328,823 0.5% Boeing Co. (The)................................... 215,146 28,076,553 0.6% General Electric Co................................ 3,156,664 82,515,197 1.7% Union Pacific Corp................................. 143,778 21,767,989 0.4% United Parcel Service, Inc. Class B................ 223,945 22,000,357 0.4% United Technologies Corp........................... 261,648 27,800,100 0.6% Other Securities................................... 314,852,424 6.4% -------------- ------ Total Industrials........................................ 522,341,443 10.6% -------------- ------ Information Technology -- (17.0%) ^^ Apple, Inc......................................... 281,607 147,097,416 3.0% Cisco Systems, Inc................................. 1,661,918 37,393,155 0.7% * Google, Inc. Class A............................... 86,710 89,361,592 1.8% Intel Corp......................................... 1,544,269 37,726,492 0.8% International Business Machines Corp............... 319,176 57,199,531 1.2% Mastercard, Inc. Class A........................... 32,155 23,058,350 0.5% Microsoft Corp..................................... 2,349,651 83,060,163 1.7% Oracle Corp........................................ 1,105,266 37,026,411 0.7% QUALCOMM, Inc...................................... 531,730 36,939,283 0.7% Visa, Inc. Class A................................. 160,005 31,468,183 0.6% Other Securities................................... 280,366,312 5.8% -------------- ------ Total Information Technology............................. 860,696,888 17.5% -------------- ------ Materials -- (3.3%) Other Securities................................... 169,897,794 3.5% -------------- ------ Real Estate Investment Trusts -- (1.9%) Other Securities................................... 94,307,577 1.9% -------------- ------ Telecommunication Services -- (2.4%) AT&T, Inc.......................................... 1,646,249 59,594,214 1.2% Verizon Communications, Inc........................ 887,024 44,803,582 0.9% Other Securities................................... 16,150,126 0.3% -------------- ------ Total Telecommunication Services......................... 120,547,922 2.4% -------------- ------ Utilities -- (3.0%) Other Securities................................... 151,721,926 3.1% -------------- ------ TOTAL COMMON STOCKS...................................... 4,841,442,098 98.4% -------------- ------ TEMPORARY CASH INVESTMENTS -- (1.4%) ^^ State Street Institutional Liquid Reserves, 0.073%. 68,839,949 68,839,949 1.4% -------------- ------ SHARES/ FACE AMOUNT ------- - - (000) SECURITIES LENDING COLLATERAL -- (2.8%) (S)@ DFA Short Term Investment Fund..................... 12,245,750 $ 141,683,331 2.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,728,012,931)................................ $5,051,965,378 102.7% ============== ======
211 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 604,947,245 -- -- $ 604,947,245 Consumer Staples.............. 494,074,117 -- -- 494,074,117 Energy........................ 509,809,440 -- -- 509,809,440 Financials.................... 683,010,834 -- -- 683,010,834 Health Care................... 630,086,912 -- -- 630,086,912 Industrials................... 522,341,443 -- -- 522,341,443 Information Technology........ 860,696,888 -- -- 860,696,888 Materials..................... 169,897,794 -- -- 169,897,794 Real Estate Investment Trusts. 94,307,577 -- -- 94,307,577 Telecommunication Services.... 120,547,922 -- -- 120,547,922 Utilities..................... 151,721,926 -- -- 151,721,926 Temporary Cash Investments...... 68,839,949 -- -- 68,839,949 Securities Lending Collateral... -- $141,683,331 -- 141,683,331 Futures Contracts**............. 2,265,842 -- -- 2,265,842 -------------- ------------ -- -------------- TOTAL........................... $4,912,547,889 $141,683,331 -- $5,054,231,220 ============== ============ == ==============
**Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 212 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS, EXCEPT SHARE AND PER SHARE AMOUNTS)
DFA U.S. LARGE INTERNATIONAL COMPANY VALUE PORTFOLIO PORTFOLIO --------------- ------------ ASSETS: Investments in Affiliated Investment Company at Value................................ $ 6,528,253 $ -- Investments at Value (including $0 and $138,383 of securities on loan, respectively). $ -- $ 4,841,442 Temporary Cash Investments at Value & Cost........................................... -- 68,840 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............. -- 141,683 Segregated Cash for Futures Contracts................................................ -- 3,440 Receivables: Dividends, Interest and Tax Reclaims............................................... -- 4,961 Securities Lending Income.......................................................... -- 19 Fund Shares Sold................................................................... 5,719 2,753 From Advisor....................................................................... -- 66 Prepaid Expenses and Other Assets.................................................... 78 65 -------------- ------------ Total Assets.................................................................... 6,534,050 5,063,269 -------------- ------------ LIABILITIES: Payables: Due to Custodian................................................................... -- 315 Upon Return of Securities Loaned................................................... -- 141,683 Fund Shares Redeemed............................................................... 4,792 2,790 Due to Advisor..................................................................... 1,092 -- Futures Margin Variation........................................................... -- 405 Accrued Expenses and Other Liabilities............................................... 294 740 -------------- ------------ Total Liabilities............................................................... 6,178 145,933 -------------- ------------ NET ASSETS........................................................................... $ 6,527,872 $ 4,917,336 ============== ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares -- based on net assets of $5,517 and $0 and shares outstanding of 283,528 and 0, respectively......................................................... $ 19.46 $ N/A ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 100,000,000 N/A ============== ============ Institutional Class Shares -- based on net assets of $6,522,355 and $4,917,336 and shares outstanding of 335,372,731 and 354,537,647, respectively..................... $ 19.45 $ 13.87 ============== ============ NUMBER OF SHARES AUTHORIZED.......................................................... 1,500,000,000 900,000,000 ============== ============ Investments in Affiliated Investment Companies at Cost............................... $ 5,271,385 $ -- ============== ============ Investments at Cost.................................................................. $ -- $ 2,517,490 ============== ============ NET ASSETS CONSIST OF: Paid-In Capital...................................................................... $ 5,868,866 $ 2,977,770 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............................................................................. 14,422 12,679 Accumulated Net Realized Gain (Loss)................................................. (612,632) (399,331) Net Unrealized Foreign Exchange Gain (Loss).......................................... 348 -- Net Unrealized Appreciation (Depreciation)........................................... 1,256,868 2,326,218 -------------- ------------ NET ASSETS........................................................................... $ 6,527,872 $ 4,917,336 ============== ============
See accompanying Notes to Financial Statements. 213 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL U.S. LARGE VALUE COMPANY PORTFOLIO* PORTFOLIO ------------- ---------- INVESTMENT INCOME Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $14,975 and $0, respectively)............... $ 193,378 $ -- Interest................................................................................ 5 -- Income from Securities Lending.......................................................... 9,968 -- Expenses Allocated from Affiliated Investment Company................................... (13,256) -- ---------- ---------- Total Net Investment Income Received from Affiliated Investment Companies............ 190,095 -- ---------- ---------- FUND INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $0 and $55, respectively)................... $ -- $ 99,082 Interest................................................................................ -- 81 Income from Securities Lending.......................................................... -- 334 ---------- ---------- Total Investment Income.............................................................. -- 99,497 ---------- ---------- EXPENSES Investment Advisory Services Fees....................................................... -- 1,120 Administrative Services Fees............................................................ 11,871 2,066 Accounting & Transfer Agent Fees........................................................ 67 348 S&P 500(R) Fees......................................................................... -- 98 Shareholder Servicing Fees -- Class R2 Shares........................................... 18 -- Custodian Fees.......................................................................... -- 54 Filing Fees............................................................................. 92 67 Shareholders' Reports................................................................... 159 122 Directors'/Trustees' Fees & Expenses.................................................... 64 48 Professional Fees....................................................................... 77 445 Other................................................................................... 87 88 ---------- ---------- Total Expenses....................................................................... 12,435 4,456 ---------- ---------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)............................................................................... -- (229) ---------- ---------- Net Expenses............................................................................ 12,435 4,227 ---------- ---------- NET INVESTMENT INCOME (LOSS)............................................................ 177,660 95,270 ---------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) Capital Gain Distributions Received from Investment Securities -- 409 Net Realized Gain (Loss) on: Investment Securities Sold............................................................ 296,792 180,412 Futures............................................................................... (1,213) 8,021 Foreign Currency Transactions**....................................................... (1,636) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................................ 993,902 780,086 Futures............................................................................... 27 2,321 Translation of Foreign Currency Denominated Amounts................................... 396 -- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................................. 1,288,268 971,249 ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................... $1,465,928 $1,066,519 ========== ==========
---------- * 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 $2 and $0, respectively. See accompanying Notes to Financial Statements. 214 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
DFA INTERNATIONAL VALUE U.S. LARGE COMPANY PORTFOLIO PORTFOLIO ------------------------ ---------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 ----------- ----------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).................................. $ 177,660 $ 186,021 $ 95,270 $ 83,523 Capital Gain Distributions Received from Investment Securities................................................... -- -- 409 543 Net Realized Gain (Loss) on: Investment Securities Sold.................................. 296,792 74,190 180,412 68,937 Futures..................................................... (1,213) -- 8,021 12,993 Foreign Currency Transactions*.............................. (1,636) (951) -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 993,902 (96,127) 780,086 393,550 Futures..................................................... 27 -- 2,321 (3,799) Translation of Foreign Currency Denominated Amounts......... 396 (209) -- -- ----------- ----------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................................................ 1,465,928 162,924 1,066,519 555,747 ----------- ----------- ---------- ---------- Distributions From: Net Investment Income: Class R2 Shares............................................. (218) (205) -- -- Institutional Class Shares.................................. (189,040) (180,761) (94,840) (81,785) ----------- ----------- ---------- ---------- Total Distributions........................................ (189,258) (180,966) (94,840) (81,785) ----------- ----------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................................. 1,466,636 1,339,320 774,924 610,737 Shares Issued in Lieu of Cash Distributions................... 178,512 168,269 82,335 70,255 Shares Redeemed............................................... (1,881,241) (1,295,677) (948,938) (879,631) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions.... (236,093) 211,912 (91,679) (198,639) ----------- ----------- ---------- ---------- Total Increase (Decrease) in Net Assets.................... 1,040,577 193,870 880,000 275,323 NET ASSETS Beginning of Year............................................. 5,487,295 5,293,425 4,037,336 3,762,013 ----------- ----------- ---------- ---------- End of Year................................................... $ 6,527,872 $ 5,487,295 $4,917,336 $4,037,336 =========== =========== ========== ========== (1) SHARES ISSUED AND REDEEMED: Shares Issued................................................. 83,922 89,258 62,326 57,663 Shares Issued in Lieu of Cash Distributions................... 10,436 11,721 6,727 6,768 Shares Redeemed............................................... (107,838) (86,334) (76,529) (82,571) ----------- ----------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed.................................................. (13,480) 14,645 (7,476) (18,140) =========== =========== ========== ========== UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)...................................... $ 14,422 $ 27,224 $ 12,679 $ 12,249
---------- * Net of foreign capital gain taxes withheld of $2, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 215 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
DFA INTERNATIONAL VALUE PORTFOLIO-CLASS R2 SHARES+ ------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $15.72 $15.83 $17.82 $17.13 $13.58 ------ ------ ------ ------ ------ Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.49 0.51 0.53 0.37 0.42 Net Gains (Losses) on Securities (Realized and Unrealized). 3.77 (0.13) (2.00) 1.29 4.10 ------ ------ ------ ------ ------ Total from Investment Operations.......................... 4.26 0.38 (1.47) 1.66 4.52 ----------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.52) (0.49) (0.52) (0.97) (0.97) ------ ------ ------ ------ ------ Total Distributions....................................... (0.52) (0.49) (0.52) (0.97) (0.97) ----------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $19.46 $15.72 $15.83 $17.82 $17.13 ============================================================= ========= ========= ========= ========= ========= Total Return................................................. 27.61% 2.70% (8.53)% 10.60% 34.86% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $5,517 $6,407 $6,102 $4,952 $3,443 Ratio of Expenses to Average Net Assets (B).................. 0.69% 0.71% 0.71% 0.72% 0.74% Ratio of Net Investment Income to Average Net Assets......... 2.84% 3.33% 2.97% 2.11% 2.96% -----------------------------------------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO-INSTITUTIONAL CLASS SHARES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year........................... $ 15.72 $ 15.83 $ 17.81 $ 16.46 $ 12.54 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)........................... 0.52 0.54 0.58 0.39 0.40 Net Gains (Losses) on Securities (Realized and Unrealized). 3.78 (0.12) (1.99) 1.34 3.92 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.......................... 4.30 0.42 (1.41) 1.73 4.32 -------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income...................................... (0.57) (0.53) (0.57) (0.38) (0.40) ---------- ---------- ---------- ---------- ---------- Total Distributions....................................... (0.57) (0.53) (0.57) (0.38) (0.40) -------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................. $ 19.45 $ 15.72 $ 15.83 $ 17.81 $ 16.46 ============================================================= ========== ========== ========== ========== ========== Total Return................................................. 27.90% 2.98% (8.26)% 10.94% 35.11% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $6,522,355 $5,480,888 $5,287,323 $5,157,857 $4,437,846 Ratio of Expenses to Average Net Assets (B).................. 0.43% 0.45% 0.45% 0.45% 0.46% Ratio of Net Investment Income to Average Net Assets......... 3.00% 3.54% 3.26% 2.34% 3.00% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. + 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 accompanying Notes to Financial Statements. 216 DIMENSIONAL INVESTMENT GROUP INC. FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
U.S. LARGE COMPANY PORTFOLIO ------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.................................... $ 11.15 $ 9.90 $ 9.34 $ 8.16 ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)..................................... 0.27 0.22 0.19 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)........... 2.71 1.25 0.56 1.15 ---------- ---------- ---------- ---------- Total from Investment Operations................................... 2.98 1.47 0.75 1.33 ------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................ (0.26) (0.22) (0.19) (0.15) ---------- ---------- ---------- ---------- Total Distributions................................................ (0.26) (0.22) (0.19) (0.15) ------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year.......................................... $ 13.87 $ 11.15 $ 9.90 $ 9.34 ===================================================================== ========== ========== ========== ========== Total Return.......................................................... 27.10% 15.02% 8.09% 16.47% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................... $4,917,336 $4,037,336 $3,762,013 $3,712,973 Ratio of Expenses to Average Net Assets............................... 0.09% 0.10% 0.10% 0.10%** Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.10% 0.10% 0.10% 0.11%** Ratio of Net Investment Income to Average Net Assets.................. 2.13% 2.10% 1.95% 1.99% Portfolio Turnover Rate............................................... 3% 4% 4% 1%* -------------------------------------------------------------------------------------------------------------------------
--------- YEAR ENDED OCT. 31, 2009 ----------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.................................... $ 7.62 -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)..................................... 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)........... 0.55 -------- Total from Investment Operations................................... 0.73 ----------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income................................................ (0.19) -------- Total Distributions................................................ (0.19) ----------------------------------------------------------------------------------- Net Asset Value, End of Year.......................................... $ 8.16 ===================================================================== ======== Total Return.......................................................... 10.07% ----------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................................... $785,689 Ratio of Expenses to Average Net Assets............................... 0.10%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees).... 0.13%(B) Ratio of Net Investment Income to Average Net Assets.................. 2.53% Portfolio Turnover Rate............................................... N/A -----------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 217 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, 2013, the Feeder Fund owned 76% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Fund. On March 1, 2010, the Board of Directors of DFA Investment Dimensions Group Inc. and the Fund 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 the Fund 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:
VALUE TARGET FUND SHARES ACQUIRING FUND SHARES (IN THOUSANDS) ----------- ---------- -------------------------------- ----------- -------------- U.S. Large Company U.S. Large Company Portfolio. 83,482,168 Institutional Index Portfolio 311,973,980 $2,731,987
The net assets, including net unrealized appreciation (depreciation) of the Target Fund, immediately before the acquisition were as follows (in thousands):
UNREALIZED APPRECIATION TARGET FUND NET ASSETS (DEPRECIATION) ACQUIRING FUND NET ASSETS ----------- ---------- ----------------------- ------------------------------- ---------- U.S. Large Company U.S. Large 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 Investment 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. 218 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. 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) The Feeder Fund's investment reflects its proportionate interest in the net assets of the Series. This valuation is classified as Level 1 in the hierarchy. Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price at the close of the exchanges on which they are principally traded (official closing price). Securities held by the Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price ("NOCP"). If there is no last reported sale price or NOCP for the day, the Portfolio values the securities 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 this note. A valuation hierarchy table has been included at the end of the 219 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. For the year ended October 31, 2013, there were no significant transfers between Level 1 and Level 2 and no Level 3 investments held by the Portfolios. 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, 2013, 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 gains 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. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or Portfolios 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 shareholders and the Board, and other administrative services. The Advisor provides investment advisory services to the U.S. Large Company Portfolio 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, 2013, 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%
* The administrative services fee has been adjusted to reflect the actual fee paid by the Portfolio for the year ended October 31, 2013 as a result of a decrease in the administrative services fee from 0.05% to 0.035% effective August 1, 2013. 220 For the year ended October 31, 2013, the U.S. Large Company Portfolio's 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: U.S. Large Company Portfolio. 0.025%
Pursuant to an Amended and Restated Fee Waiver and/or 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 Amended and Restated Fee Waiver and/or Expense Assumption Agreements for the DFA International Value Portfolio and the U.S. Large Company Portfolio will remain in effect through February 28, 2014 and February 28, 2015, respectively, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2013, 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/ OF PREVIOUSLY EXPENSES WAIVED FEES/ ASSUMED EXPENSE EXPENSES SUBJECT TO FUTURE LIMITATION AMOUNT ASSUMED RECOVERY ----------------- ------------- ----------------- DFA International Value Portfolio -- Class R2 Shares (1). 0.79% -- -- U.S. Large Company Portfolio (2)......................... 0.08% $123 $519
(1) The Advisor has contractually agreed to assume the direct expenses of the Class R2 shares of the Portfolio (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) of the Class R2 shares 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 expenses of the Class R2 shares 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 expenses to exceed the Expense Limitation Amount, as listed above. (2) Effective August 1, 2013, 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") of the Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed the rate listed above as a percentage of the Portfolio's average net assets (the "Expense Limitation Amount"). At any time that the annualized 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 the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount, as listed above. Prior to August 1, 2013, the Advisor 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") of the Portfolio so that such Portfolio Expenses did not exceed 0.10% of the Portfolio's average net assets on an annualized basis (the "Previous Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio were less than the Previous Expense Limitation Amount, 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 Previous Expense Limitation Amount. 221 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, 2013, the total related amounts paid by the Fund to the CCO were $30 (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, 2013, 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 International Value Portfolio. $180 U.S. Large Company Portfolio...... 240
E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2013, 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 SALES --------- -------- U.S. Large Company Portfolio. $133,472 $289,064
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 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 losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, primarily attributable to net foreign currency gains/losses, foreign capital gains tax reclass and realized gains on securities considered to be "passive foreign investment companies", were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands):
INCREASE INCREASE (DECREASE) (DECREASE) UNDISTRIBUTED ACCUMULATED NET INVESTMENT NET REALIZED INCOME GAINS (LOSSES) -------------- -------------- DFA International Value Portfolio. $(1,204) $1,204 U.S. Large Company Portfolio...... -- --
222 The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
NET INVESTMENT INCOME AND SHORT-TERM CAPITAL GAINS TOTAL -------------- -------- DFA International Value Portfolio 2012.............................. $180,966 $180,966 2013.............................. 189,258 189,258 U.S. Large Company Portfolio 2012.............................. 81,785 81,785 2013.............................. 94,840 94,840
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
UNDISTRIBUTED TOTAL NET NET INVESTMENT DISTRIBUTABLE INCOME AND CAPITAL OTHER UNREALIZED EARNINGS SHORT-TERM LOSS TEMPORARY APPRECIATION (ACCUMULATED CAPITAL GAINS CARRYFOWARD DIFFERENCES (DEPRECIATION) LOSSES) -------------- ----------- ----------- -------------- ------------- DFA International Value Portfolio. $19,332 $(611,811) -- $1,251,780 $ 659,301 U.S. Large Company Portfolio...... 12,923 (180,406) $46,568 2,060,725 1,939,810
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, 2013, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
EXPIRES ON OCTOBER 31, ------------------------ 2016 2017 2018 TOTAL -------- ------- ------- -------- DFA International Value Portfolio. $611,811 -- -- $611,811 U.S. Large Company Portfolio...... 55,911 $80,822 $43,673 180,406
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amount in thousands): DFA International Value Portfolio. $295,092 U.S. Large Company Portfolio...... 166,609
At October 31, 2013, 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 APPRECIATION TAX COST APPRECIATION (DEPRECIATION) ---------- ------------ -------------- DFA International Value Portfolio. $5,276,821 $1,251,432 $1,251,432 U.S. Large Company Portfolio...... 2,991,240 2,062,991 2,062,991
223 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. 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 positions and has concluded that no additional provision for income tax is required in the Portfolios' financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. CAPITAL SHARE TRANSACTIONS: The capital share transactions by class were as follows (amounts in thousands):
YEAR ENDED YEAR ENDED OCT. 31, 2013 OCT. 31, 2012 --------------------- -------------------- AMOUNT SHARES AMOUNT SHARES ----------- -------- ----------- ------- DFA INTERNATIONAL VALUE PORTFOLIO Class R2 Shares Shares Issued........................................ $ 1,969 112 $ 2,362 154 Shares Issued in Lieu of Cash Distributions.......... 218 13 204 14 Shares Redeemed...................................... (4,454) (249) (2,235) (146) ----------- -------- ----------- ------- Net Increase (Decrease) -- Class R2 Shares............ $ (2,267) (124) $ 331 22 =========== ======== =========== ======= Institutional Class Shares Shares Issued........................................ $ 1,464,667 83,810 $ 1,336,958 89,104 Shares Issued in Lieu of Cash Distributions.......... 178,294 10,423 168,065 11,707 Shares Redeemed...................................... (1,876,787) (107,589) (1,293,442) (86,188) ----------- -------- ----------- ------- Net Increase (Decrease) -- Institutional Class Shares. $ (233,826) (13,356) $ 211,581 14,623 =========== ======== =========== =======
On October 29, 2010, the Board of Directors/Trustees adopted a Plan of Recapitalization of the Feeder Fund'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 the Feeder Fund'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 R2 Shares. H. FINANCIAL INSTRUMENTS: In accordance with U.S. Large Company Portfolio's investment objective and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. 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. 224 DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. 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. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as "variation margin" and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon 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 the Portfolios could lose more than the initial margin requirements. Entering into stock index futures subjects the Portfolios 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, 2013, the U.S. Large Company Portfolio had outstanding futures contracts (dollar amounts in thousands):
APPROXIMATE EXPIRATION NUMBER OF CONTRACT UNREALIZED CASH DESCRIPTION DATE CONTRACTS* VALUE GAIN (LOSS) COLLATERAL ----------------------- ---------- ---------- -------- ----------- ----------- U.S. Large Company Portfolio........ S&P 500(R) Emini Index 12/20/13 839 $73,454 $2,266 $3,440
* During the year ended October 31, 2013, U.S. Large Company Portfolio's average notional contract amount of outstanding futures contracts was $56,242 (in thousands). The following is a summary of U.S. Large Company Portfolio's location and value of derivative instrument holdings on the Portfolio's Statements of Assets and Liabilities categorized by primary risk exposure for the year ended October 31, 2013 (amounts in thousands): ASSET DERIVATIVES VALUE ------------------------ LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES EQUITY CONTRACTS ------------------------ ------------------------ U.S. Large Company Payables: Futures Margin $2,266* Portfolio Variation * Includes cumulative appreciation (depreciation) of futures contracts. Only current day's margin variation is reported within the Statement of Assets and Liabilities. The following is a summary of the 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 for the year ended October 31, 2013:
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
225 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 through the year ended October 31, 2013 (amounts in thousands):
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $8,021 CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN INCOME -------------------------------- EQUITY CONTRACTS -------------------------------- U.S. Large Company Portfolio. $2,321
I. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the year ended October 31, 2013, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- U.S. Large Company Portfolio. 0.91% $13,024 8 $3 $28,962
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that the Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under the lines of credit as of October 31, 2013. 226 J. SECURITIES LENDING: As of October 31, 2013, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral 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 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 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's Class R2 Shares. L. INDEMNITEES; CONTRACTUAL OBLIGATIONS: Under the Fund's organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties 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 January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 227 N. OTHER: At October 31, 2013, the following number of shareholders held the following approximate percentages of the stated portfolios' outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
APPROXIMATE PERCENTAGE NUMBER OF OF OUTSTANDING SHAREHOLDERS SHARES ------------ -------------- DFA International Value Portfolio -- Class R2 Shares............ 5 93% DFA International Value Portfolio -- Institutional Class Shares. 3 64% U.S. Large Company Portfolio.................................... 3 75%
O. SUBSEQUENT EVENT EVALUATIONS: On December 13, 2013, the Board of DIG voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Current Agreements") into a bundled Investment Management Agreement for the U.S. Large Company Portfolio. It is expected that the Investment Management Agreement will become effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement will be the same as under the Current Agreements. When the Investment Management Agreement becomes effective, the Portfolio will pay the Advisor an investment management fee that is equal to the sum of the current investment advisory fee and current administration fee that is paid by the Portfolio to the Advisor under the Current Agreements. Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 228 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, 2013, 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 five years in the period then ended, 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, 2013 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 20, 2013 229 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE U.S. LARGE CAP VALUE SERIES VS. RUSSELL 1000(R) VALUE INDEX OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The U.S. Large Cap Value Series Russell 1000/R/ Value Index ------------------ ---------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,224 10,136 12/31/2003 10,926 10,760 1/31/2004 11,113 10,950 2/29/2004 11,399 11,184 3/31/2004 11,353 11,086 4/30/2004 11,166 10,815 5/31/2004 11,226 10,925 6/30/2004 11,565 11,183 7/31/2004 11,191 11,026 8/31/2004 11,191 11,182 9/30/2004 11,535 11,356 10/31/2004 11,675 11,544 11/30/2004 12,440 12,128 12/31/2004 12,939 12,534 1/31/2005 12,615 12,311 2/28/2005 12,999 12,719 3/31/2005 12,964 12,545 4/30/2005 12,525 12,320 5/31/2005 13,059 12,617 6/30/2005 13,328 12,755 7/31/2005 13,992 13,124 8/31/2005 13,877 13,067 9/30/2005 14,091 13,250 10/31/2005 13,717 12,914 11/30/2005 14,265 13,336 12/31/2005 14,284 13,416 1/31/2006 14,965 13,937 2/28/2006 14,915 14,022 3/31/2006 15,180 14,212 4/30/2006 15,606 14,573 5/31/2006 15,322 14,205 6/30/2006 15,453 14,295 7/31/2006 15,232 14,643 8/31/2006 15,481 14,888 9/30/2006 15,910 15,185 10/31/2006 16,541 15,682 11/30/2006 16,855 16,040 12/31/2006 17,193 16,400 1/31/2007 17,695 16,610 2/28/2007 17,429 16,351 3/31/2007 17,550 16,603 4/30/2007 18,297 17,217 5/31/2007 19,051 17,838 6/30/2007 18,745 17,421 7/31/2007 17,583 16,616 8/31/2007 17,247 16,802 9/30/2007 17,697 17,379 10/31/2007 17,796 17,381 11/30/2007 16,802 16,531 12/31/2007 16,746 16,371 1/31/2008 16,106 15,716 2/29/2008 15,612 15,057 3/31/2008 15,466 14,944 4/30/2008 16,441 15,673 5/31/2008 16,836 15,648 6/30/2008 14,991 14,150 7/31/2008 14,827 14,099 8/31/2008 15,115 14,339 9/30/2008 13,757 13,285 10/31/2008 10,664 10,985 11/30/2008 9,618 10,198 12/31/2008 9,931 10,339 1/31/2009 8,752 9,150 2/28/2009 7,526 7,928 3/31/2009 8,269 8,606 4/30/2009 9,607 9,528 5/31/2009 10,343 10,117 6/30/2009 10,216 10,042 7/31/2009 11,189 10,864 8/31/2009 11,949 11,433 9/30/2009 12,471 11,874 10/31/2009 11,933 11,511 11/30/2009 12,606 12,160 12/31/2009 12,954 12,375 1/31/2010 12,653 12,027 2/28/2010 13,199 12,407 3/31/2010 14,228 13,214 4/30/2010 14,679 13,556 5/31/2010 13,421 12,442 6/30/2010 12,408 11,742 7/31/2010 13,381 12,536 8/31/2010 12,574 12,000 9/30/2010 13,801 12,931 10/31/2010 14,315 13,319 11/30/2010 14,204 13,248 12/31/2010 15,589 14,294 1/31/2011 16,088 14,617 2/28/2011 16,958 15,156 3/31/2011 17,037 15,217 4/30/2011 17,473 15,622 5/31/2011 17,219 15,457 6/30/2011 16,919 15,140 7/31/2011 16,143 14,638 8/31/2011 14,782 13,724 9/30/2011 13,286 12,687 10/31/2011 15,130 14,139 11/30/2011 15,004 14,066 12/31/2011 15,122 14,350 1/31/2012 15,874 14,893 2/29/2012 16,792 15,486 3/31/2012 17,101 15,945 4/30/2012 16,752 15,783 5/31/2012 15,565 14,857 6/30/2012 16,404 15,595 7/31/2012 16,563 15,756 8/31/2012 17,219 16,098 9/30/2012 17,852 16,609 10/31/2012 17,900 16,528 11/30/2012 17,939 16,521 12/31/2012 18,485 16,862 1/31/2013 19,775 17,958 2/28/2013 20,029 18,216 3/31/2013 20,986 18,937 4/30/2013 21,208 19,224 5/31/2013 22,078 19,717 Past performance is not predictive of 6/30/2013 21,833 19,543 future performance. 7/31/2013 23,139 20,599 8/31/2013 22,458 19,817 The returns shown do not reflect the 9/30/2013 23,115 20,314 deduction of taxes that a shareholder 10/31/2013 24,286 21,203 would pay on fund distributions or the redemption of fund shares. AVERAGE ANNUAL ONE FIVE TEN TOTAL RETURN YEAR YEARS YEARS Russell data copyright (C) Russell ---------------------------------------------------------- Investment Group 1995-2013, all rights 35.68% 17.89% 9.28% reserved.
-------------------------------------------------------------------------------- THE DFA INTERNATIONAL VALUE SERIES VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The DFA International MSCI World ex USA Index Value Series (net dividends) --------------------- ----------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,214 10,227 12/31/2003 10,981 11,011 1/31/2004 11,262 11,164 2/29/2004 11,601 11,421 3/31/2004 11,782 11,478 4/30/2004 11,426 11,178 5/31/2004 11,542 11,230 6/30/2004 12,019 11,489 7/31/2004 11,575 11,139 8/31/2004 11,726 11,185 9/30/2004 12,101 11,511 10/31/2004 12,564 11,925 11/30/2004 13,498 12,718 12/31/2004 14,170 13,255 1/31/2005 14,029 12,994 2/28/2005 14,584 13,572 3/31/2005 14,224 13,264 4/30/2005 13,792 12,926 5/31/2005 13,810 12,950 6/30/2005 14,031 13,161 7/31/2005 14,657 13,586 8/31/2005 15,140 13,961 9/30/2005 15,566 14,599 10/31/2005 15,332 14,127 11/30/2005 15,605 14,501 12/31/2005 16,369 15,173 1/31/2006 17,487 16,133 2/28/2006 17,655 16,079 3/31/2006 18,400 16,589 4/30/2006 19,332 17,382 5/31/2006 18,549 16,722 6/30/2006 18,432 16,700 7/31/2006 18,716 16,857 8/31/2006 19,360 17,336 9/30/2006 19,628 17,322 10/31/2006 20,499 18,006 11/30/2006 21,181 18,543 12/31/2006 22,007 19,074 1/31/2007 22,422 19,191 2/28/2007 22,402 19,344 3/31/2007 23,126 19,840 4/30/2007 24,293 20,742 5/31/2007 25,124 21,203 6/30/2007 24,941 21,224 7/31/2007 24,247 20,931 8/31/2007 23,975 20,628 9/30/2007 25,227 21,800 10/31/2007 26,451 22,748 11/30/2007 24,848 21,858 12/31/2007 24,313 21,447 1/31/2008 22,343 19,513 2/29/2008 22,059 19,867 3/31/2008 22,323 19,583 4/30/2008 23,321 20,672 5/31/2008 23,332 20,986 6/30/2008 21,024 19,354 7/31/2008 20,429 18,665 8/31/2008 19,576 17,943 9/30/2008 17,289 15,353 10/31/2008 12,954 12,159 11/30/2008 12,159 11,500 12/31/2008 13,079 12,106 1/31/2009 11,273 10,976 2/28/2009 9,888 9,865 3/31/2009 10,967 10,515 4/30/2009 12,988 11,871 5/31/2009 14,918 13,373 6/30/2009 14,691 13,234 7/31/2009 16,439 14,477 8/31/2009 17,381 15,170 9/30/2009 18,267 15,796 10/31/2009 17,540 15,543 11/30/2009 18,063 15,927 12/31/2009 18,267 16,181 1/31/2010 17,211 15,423 2/28/2010 17,279 15,407 3/31/2010 18,642 16,399 4/30/2010 18,324 16,155 5/31/2010 16,178 14,372 6/30/2010 15,894 14,164 7/31/2010 17,881 15,473 8/31/2010 17,007 15,011 9/30/2010 18,835 16,451 10/31/2010 19,493 17,037 11/30/2010 18,517 16,315 12/31/2010 20,242 17,629 1/31/2011 21,105 18,009 2/28/2011 21,809 18,676 3/31/2011 21,207 18,302 4/30/2011 22,343 19,299 5/31/2011 21,537 18,727 6/30/2011 21,241 18,460 7/31/2011 20,560 18,156 8/31/2011 18,358 16,621 9/30/2011 16,348 14,952 10/31/2011 17,926 16,406 11/30/2011 17,336 15,648 12/31/2011 16,870 15,477 1/31/2012 18,006 16,312 2/29/2012 18,948 17,209 3/31/2012 18,789 17,082 4/30/2012 18,119 16,792 5/31/2012 15,883 14,878 6/30/2012 17,007 15,852 7/31/2012 16,939 16,050 8/31/2012 17,642 16,508 9/30/2012 18,267 17,009 10/31/2012 18,494 17,128 11/30/2012 18,789 17,488 12/31/2012 19,709 18,017 1/31/2013 20,640 18,903 2/28/2013 20,015 18,715 3/31/2013 20,083 18,863 4/30/2013 21,071 19,722 5/31/2013 20,821 19,281 6/30/2013 20,083 18,558 7/31/2013 21,457 19,546 Past performance is not predictive of 8/31/2013 21,309 19,294 future performance. 9/30/2013 22,910 20,657 10/31/2013 23,705 21,350 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ---------------------------------------------------------- MSCI data copyright MSCI 2013, all 28.18% 12.85% 9.01% rights reserved.
-------------------------------------------------------------------------------- 230 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE JAPANESE SMALL COMPANY SERIES VS. MSCI JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] MSCI Japan Small Cap The Japanese Small Company Series Index (net dividends) --------------------------------- --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,376 9,313 12/31/2003 9,933 9,979 1/31/2004 10,422 10,342 2/29/2004 10,489 10,315 3/31/2004 12,631 12,206 4/30/2004 12,209 11,818 5/31/2004 11,619 11,231 6/30/2004 12,749 12,412 7/31/2004 11,939 11,395 8/31/2004 12,125 11,514 9/30/2004 11,838 11,167 10/31/2004 12,074 11,373 11/30/2004 12,445 11,868 12/31/2004 13,052 12,443 1/31/2005 13,592 12,866 2/28/2005 14,098 13,112 3/31/2005 14,182 13,081 4/30/2005 13,794 12,975 5/31/2005 13,558 12,736 6/30/2005 13,811 12,908 7/31/2005 14,098 13,274 8/31/2005 14,890 13,729 9/30/2005 15,497 14,587 10/31/2005 15,987 14,879 11/30/2005 16,307 15,515 12/31/2005 18,145 17,613 1/31/2006 18,921 18,174 2/28/2006 17,791 16,991 3/31/2006 18,583 17,753 4/30/2006 18,954 17,841 5/31/2006 17,622 16,410 6/30/2006 16,948 15,896 7/31/2006 16,138 14,845 8/31/2006 16,408 15,240 9/30/2006 16,155 14,906 10/31/2006 16,037 14,811 11/30/2006 15,936 14,686 12/31/2006 16,071 14,772 1/31/2007 16,408 15,059 2/28/2007 17,066 15,653 3/31/2007 16,948 15,509 4/30/2007 16,712 15,243 5/31/2007 16,374 14,880 6/30/2007 16,644 14,978 7/31/2007 16,745 14,974 8/31/2007 16,037 14,062 9/30/2007 16,020 13,976 10/31/2007 16,121 14,482 11/30/2007 15,750 13,873 12/31/2007 14,772 13,043 1/31/2008 14,351 12,402 2/29/2008 14,250 12,538 3/31/2008 14,536 12,542 4/30/2008 14,637 12,698 5/31/2008 15,177 13,089 6/30/2008 14,469 12,286 7/31/2008 14,064 11,883 8/31/2008 13,288 11,358 9/30/2008 12,428 10,249 10/31/2008 11,518 9,167 11/30/2008 11,821 9,542 12/31/2008 13,035 10,285 1/31/2009 12,142 9,746 2/28/2009 10,573 8,465 3/31/2009 11,046 8,763 4/30/2009 11,501 9,212 5/31/2009 12,917 10,339 6/30/2009 13,777 10,997 7/31/2009 14,064 11,272 8/31/2009 14,806 11,904 9/30/2009 14,654 11,857 10/31/2009 14,132 11,423 11/30/2009 13,558 11,014 12/31/2009 13,508 10,809 1/31/2010 13,693 11,042 2/28/2010 13,963 11,252 3/31/2010 14,671 11,764 4/30/2010 15,110 12,082 5/31/2010 13,845 11,244 6/30/2010 14,064 11,294 7/31/2010 14,317 11,431 8/31/2010 13,929 11,189 9/30/2010 14,536 11,646 10/31/2010 14,233 11,550 11/30/2010 14,587 11,775 12/31/2010 15,936 12,964 1/31/2011 16,307 13,118 2/28/2011 17,066 13,645 3/31/2011 16,003 12,803 4/30/2011 15,919 12,815 5/31/2011 15,649 12,625 6/30/2011 16,442 13,095 7/31/2011 17,049 13,639 8/31/2011 16,594 13,081 9/30/2011 16,509 13,093 10/31/2011 15,666 12,610 11/30/2011 15,919 12,269 12/31/2011 15,835 12,460 1/31/2012 16,847 12,971 2/29/2012 16,863 13,112 3/31/2012 17,352 13,462 4/30/2012 16,998 13,267 5/31/2012 15,582 12,166 6/30/2012 16,408 12,685 7/31/2012 15,852 12,486 8/31/2012 15,868 12,415 9/30/2012 16,088 12,758 10/31/2012 15,750 12,482 11/30/2012 15,987 12,568 12/31/2012 16,577 12,960 1/31/2013 17,099 13,445 2/28/2013 17,521 13,900 3/31/2013 18,870 15,023 4/30/2013 19,865 16,011 5/31/2013 18,246 14,743 6/30/2013 18,415 14,702 7/31/2013 18,853 14,942 Past performance is not predictive of 8/31/2013 18,432 14,740 future performance. 9/30/2013 20,523 16,418 10/31/2013 20,573 16,351 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 30.62% 12.30% 7.48% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE ASIA PACIFIC SMALL COMPANY SERIES VS. MSCI PACIFIC EX JAPAN SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Asia Pacific Small MSCI Pacific ex Japan Small Company Series Cap Index (net dividends) ---------------------- --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,076 9,956 12/31/2003 10,525 10,608 1/31/2004 11,185 11,042 2/29/2004 11,533 11,376 3/31/2004 11,169 11,398 4/30/2004 10,356 10,754 5/31/2004 10,279 10,705 6/30/2004 10,322 10,718 7/31/2004 10,508 11,122 8/31/2004 10,762 11,489 9/30/2004 11,423 12,174 10/31/2004 11,964 12,954 11/30/2004 12,837 13,951 12/31/2004 13,133 14,540 1/31/2005 13,429 14,667 2/28/2005 13,819 15,134 3/31/2005 13,353 14,704 4/30/2005 12,904 14,465 5/31/2005 12,616 14,651 6/30/2005 13,184 15,452 7/31/2005 13,633 16,095 8/31/2005 13,988 16,082 9/30/2005 14,505 16,893 10/31/2005 13,692 15,901 11/30/2005 14,030 16,504 12/31/2005 14,251 16,828 1/31/2006 15,216 17,791 2/28/2006 15,436 17,969 3/31/2006 16,224 18,730 4/30/2006 17,155 19,938 5/31/2006 16,181 18,920 6/30/2006 16,080 18,690 7/31/2006 16,393 18,882 8/31/2006 16,799 19,498 9/30/2006 16,977 19,820 10/31/2006 18,374 21,202 11/30/2006 19,399 22,491 12/31/2006 19,958 23,330 1/31/2007 20,474 23,923 2/28/2007 21,025 24,379 3/31/2007 22,125 25,637 4/30/2007 23,675 27,414 5/31/2007 25,707 28,491 6/30/2007 26,765 29,231 7/31/2007 27,189 29,224 8/31/2007 25,165 27,343 9/30/2007 28,112 29,769 10/31/2007 30,576 31,804 11/30/2007 28,561 29,249 12/31/2007 28,078 28,847 1/31/2008 25,258 24,981 2/29/2008 26,037 26,465 3/31/2008 24,776 24,796 4/30/2008 26,511 26,455 5/31/2008 27,671 26,740 6/30/2008 24,953 23,749 7/31/2008 23,489 22,656 8/31/2008 21,846 20,816 9/30/2008 18,095 16,752 10/31/2008 12,083 10,835 11/30/2008 10,923 9,653 12/31/2008 12,117 10,774 1/31/2009 10,627 9,588 2/28/2009 10,042 8,993 3/31/2009 11,600 10,281 4/30/2009 13,336 12,122 5/31/2009 16,782 15,028 6/30/2009 16,918 15,451 7/31/2009 19,365 17,683 8/31/2009 20,246 18,591 9/30/2009 21,829 20,149 10/31/2009 22,320 20,632 11/30/2009 23,362 21,225 12/31/2009 23,980 22,073 1/31/2010 22,684 20,661 2/28/2010 23,091 20,920 3/31/2010 24,996 22,645 4/30/2010 25,343 23,278 5/31/2010 21,837 19,763 6/30/2010 21,575 19,650 7/31/2010 23,971 21,650 8/31/2010 23,946 21,602 9/30/2010 27,578 24,845 10/31/2010 28,772 25,948 11/30/2010 28,391 25,601 12/31/2010 31,177 28,185 1/31/2011 30,517 27,365 2/28/2011 30,711 27,515 3/31/2011 31,363 28,360 4/30/2011 32,701 29,507 5/31/2011 31,736 28,831 6/30/2011 30,669 27,806 7/31/2011 31,177 28,216 8/31/2011 29,009 26,254 9/30/2011 23,599 21,480 10/31/2011 27,290 25,000 11/30/2011 26,562 23,295 12/31/2011 25,013 22,548 1/31/2012 27,604 24,889 2/29/2012 29,687 26,824 3/31/2012 29,263 25,984 4/30/2012 29,145 26,125 5/31/2012 25,512 22,734 6/30/2012 26,054 23,052 7/31/2012 26,444 23,810 8/31/2012 27,333 24,191 9/30/2012 28,688 25,477 10/31/2012 29,331 26,003 11/30/2012 29,754 26,259 12/31/2012 31,152 26,918 1/31/2013 32,718 28,345 2/28/2013 32,862 28,681 3/31/2013 33,006 28,754 4/30/2013 32,464 28,526 5/31/2013 30,059 26,426 6/30/2013 27,934 24,166 7/31/2013 29,314 25,132 Past performance is not predictive of 8/31/2013 29,551 25,350 future performance. 9/30/2013 31,626 27,300 10/31/2013 32,549 27,778 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS --------------------------------------------------------- MSCI data copyright MSCI 2013, all 10.97% 21.92% 12.53% rights reserved.
-------------------------------------------------------------------------------- 231 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE UNITED KINGDOM SMALL COMPANY SERIES VS. MSCI UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The United Kingdom Small MSCI UK Small Cap Company Series Index (net dividends) ------------------------ --------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,051 10,083 12/31/2003 10,613 10,649 1/31/2004 11,401 11,551 2/29/2004 12,065 12,334 3/31/2004 11,900 12,287 4/30/2004 11,475 11,859 5/31/2004 11,492 11,852 6/30/2004 11,883 12,264 7/31/2004 11,446 11,709 8/31/2004 11,367 11,548 9/30/2004 11,690 11,928 10/31/2004 12,059 12,382 11/30/2004 13,035 13,383 12/31/2004 13,573 14,155 1/31/2005 13,959 14,473 2/28/2005 14,436 14,815 3/31/2005 14,112 14,630 4/30/2005 13,636 13,969 5/31/2005 13,369 13,845 6/30/2005 13,625 14,058 7/31/2005 13,891 14,476 8/31/2005 14,674 15,176 9/30/2005 14,509 15,203 10/31/2005 14,101 14,740 11/30/2005 14,714 15,475 12/31/2005 15,360 16,144 1/31/2006 16,563 17,459 2/28/2006 16,790 17,732 3/31/2006 17,067 18,091 4/30/2006 17,930 19,049 5/31/2006 17,567 18,626 6/30/2006 17,561 18,468 7/31/2006 17,686 18,324 8/31/2006 18,429 18,983 9/30/2006 18,968 19,540 10/31/2006 20,045 20,659 11/30/2006 21,305 21,998 12/31/2006 22,467 23,030 1/31/2007 22,626 22,976 2/28/2007 22,621 23,048 3/31/2007 23,687 24,001 4/30/2007 24,504 25,193 5/31/2007 24,833 25,355 6/30/2007 23,925 24,617 7/31/2007 23,800 24,478 8/31/2007 23,664 23,581 9/30/2007 22,847 22,245 10/31/2007 24,674 24,689 11/30/2007 21,821 21,832 12/31/2007 20,669 20,736 1/31/2008 19,280 19,068 2/29/2008 19,563 19,714 3/31/2008 19,490 19,466 4/30/2008 19,818 19,828 5/31/2008 19,875 19,922 6/30/2008 18,293 18,560 7/31/2008 17,652 17,819 8/31/2008 17,368 17,353 9/30/2008 14,685 14,162 10/31/2008 10,743 10,232 11/30/2008 9,983 9,283 12/31/2008 9,762 9,048 1/31/2009 9,524 8,998 2/28/2009 9,132 8,700 3/31/2009 9,529 9,205 4/30/2009 11,526 11,319 5/31/2009 12,706 12,515 6/30/2009 12,768 12,603 7/31/2009 13,874 13,763 8/31/2009 14,957 15,090 9/30/2009 15,394 15,438 10/31/2009 15,417 15,460 11/30/2009 15,372 15,299 12/31/2009 15,695 15,677 1/31/2010 15,542 15,604 2/28/2010 15,009 14,905 3/31/2010 16,268 16,219 4/30/2010 16,869 16,866 5/31/2010 14,963 14,839 6/30/2010 15,247 14,903 7/31/2010 17,306 16,696 8/31/2010 16,670 16,242 9/30/2010 18,452 18,032 10/31/2010 19,416 18,801 11/30/2010 18,463 18,018 12/31/2010 20,352 19,903 1/31/2011 20,647 20,095 2/28/2011 21,271 20,625 3/31/2011 20,879 20,269 4/30/2011 22,728 22,127 5/31/2011 22,592 21,847 6/30/2011 21,872 21,111 7/31/2011 21,730 21,053 8/31/2011 19,563 18,905 9/30/2011 17,589 16,912 10/31/2011 19,455 18,760 11/30/2011 18,866 18,032 12/31/2011 18,281 17,430 1/31/2012 19,898 19,198 2/29/2012 21,520 20,981 3/31/2012 21,991 21,050 4/30/2012 22,371 21,408 5/31/2012 19,853 18,756 6/30/2012 20,828 19,649 7/31/2012 21,180 20,007 8/31/2012 22,343 21,066 9/30/2012 23,494 22,190 10/31/2012 24,010 22,649 11/30/2012 24,163 22,657 12/31/2012 25,496 23,700 1/31/2013 25,950 24,323 2/28/2013 26,188 24,460 3/31/2013 26,971 25,119 4/30/2013 27,657 25,747 5/31/2013 27,918 26,095 6/30/2013 27,306 25,154 7/31/2013 29,620 27,249 Past performance is not predictive of 8/31/2013 29,836 27,622 future performance. 9/30/2013 31,855 29,695 10/31/2013 32,995 30,741 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------- MSCI data copyright MSCI 2013, all 37.42% 25.16% 12.68% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE CONTINENTAL SMALL COMPANY SERIES VS. MSCI EUROPE EX UK SMALL CAP INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Continental Small MSCI Europe ex UK Small Company Series Cap Index (net dividends) --------------------- ------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,524 10,532 12/31/2003 11,180 11,083 1/31/2004 11,720 11,641 2/29/2004 12,113 12,033 3/31/2004 11,867 11,618 4/30/2004 11,725 11,435 5/31/2004 11,856 11,471 6/30/2004 12,213 11,881 7/31/2004 11,820 11,403 8/31/2004 11,893 11,439 9/30/2004 12,512 12,077 10/31/2004 12,984 12,589 11/30/2004 14,373 13,986 12/31/2004 15,118 14,686 1/31/2005 15,333 14,850 2/28/2005 16,319 15,891 3/31/2005 15,873 15,485 4/30/2005 15,454 15,029 5/31/2005 15,496 15,243 6/30/2005 15,915 15,731 7/31/2005 16,906 16,810 8/31/2005 17,478 17,288 9/30/2005 17,923 17,878 10/31/2005 17,037 16,644 11/30/2005 17,100 16,856 12/31/2005 17,986 17,833 1/31/2006 19,712 19,823 2/28/2006 20,283 20,383 3/31/2006 21,594 21,700 4/30/2006 23,083 23,237 5/31/2006 21,977 22,043 6/30/2006 21,568 21,541 7/31/2006 21,521 21,305 8/31/2006 22,092 21,806 9/30/2006 22,391 22,035 10/31/2006 23,519 23,213 11/30/2006 25,155 24,837 12/31/2006 26,356 26,009 1/31/2007 27,577 26,842 2/28/2007 27,625 26,957 3/31/2007 29,240 28,390 4/30/2007 30,781 30,108 5/31/2007 31,379 30,633 6/30/2007 31,038 30,340 7/31/2007 30,870 30,118 8/31/2007 29,775 28,755 9/30/2007 30,440 29,327 10/31/2007 31,909 31,082 11/30/2007 29,554 28,858 12/31/2007 28,988 28,274 1/31/2008 26,230 24,869 2/29/2008 27,357 26,374 3/31/2008 28,228 26,910 4/30/2008 28,568 27,370 5/31/2008 29,119 27,796 6/30/2008 26,665 25,227 7/31/2008 25,254 23,795 8/31/2008 24,567 23,145 9/30/2008 20,294 18,353 10/31/2008 14,877 13,189 11/30/2008 13,718 12,096 12/31/2008 15,149 13,213 1/31/2009 13,429 12,027 2/28/2009 12,271 10,968 3/31/2009 13,162 11,816 4/30/2009 15,317 14,275 5/31/2009 17,535 16,407 6/30/2009 17,320 16,196 7/31/2009 18,700 17,650 8/31/2009 20,267 19,462 9/30/2009 22,003 21,327 10/31/2009 21,390 20,745 11/30/2009 22,040 21,171 12/31/2009 21,972 21,267 1/31/2010 21,610 20,983 2/28/2010 21,154 20,386 3/31/2010 22,727 22,039 4/30/2010 22,512 21,900 5/31/2010 19,313 18,512 6/30/2010 19,192 18,236 7/31/2010 21,489 20,420 8/31/2010 20,509 19,450 9/30/2010 23,330 22,451 10/31/2010 24,678 23,891 11/30/2010 22,764 22,081 12/31/2010 25,716 25,173 1/31/2011 26,450 25,742 2/28/2011 26,906 26,179 3/31/2011 27,813 27,062 4/30/2011 29,696 28,952 5/31/2011 28,694 27,848 6/30/2011 27,771 26,949 7/31/2011 26,203 25,313 8/31/2011 23,513 22,669 9/30/2011 19,974 19,263 10/31/2011 22,024 21,374 11/30/2011 20,572 19,704 12/31/2011 19,764 19,034 1/31/2012 21,647 20,922 2/29/2012 23,036 22,528 3/31/2012 23,078 22,345 4/30/2012 22,543 21,973 5/31/2012 19,465 18,960 6/30/2012 20,320 19,894 7/31/2012 20,115 19,823 8/31/2012 21,033 20,687 9/30/2012 22,145 21,801 10/31/2012 22,528 22,177 11/30/2012 22,832 22,516 12/31/2012 24,211 23,731 1/31/2013 26,046 25,663 2/28/2013 25,789 25,584 3/31/2013 25,212 24,927 4/30/2013 26,251 25,895 5/31/2013 26,738 26,483 6/30/2013 25,857 25,304 7/31/2013 28,112 27,605 Past performance is not predictive of 8/31/2013 28,149 27,554 future performance. 9/30/2013 30,614 29,910 10/31/2013 32,365 31,711 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ----------------------------------------------------- MSCI data copyright MSCI 2013, all 43.67% 16.82% 12.46% rights reserved.
-------------------------------------------------------------------------------- 232 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE CANADIAN SMALL COMPANY SERIES VS. MSCI CANADA SMALL CAP INDEX (NET DIVIDENDS) APRIL 2, 2007-OCTOBER 31, 2013 [CHART] The Canadian Small MSCI Canada Small Company Series Cap Index (net dividends) ----------------------- -------------------------- 4/2/2007 $10,000 $10,000 4/30/2007 10,710 10,487 5/31/2007 11,420 11,331 6/30/2007 11,370 11,306 7/31/2007 11,300 11,024 8/31/2007 10,560 10,340 9/30/2007 11,730 11,600 10/31/2007 13,000 12,852 11/30/2007 11,020 10,809 12/31/2007 11,430 11,109 1/31/2008 10,350 10,107 2/29/2008 11,160 11,071 3/31/2008 10,290 10,199 4/30/2008 10,540 10,555 5/31/2008 11,140 11,104 6/30/2008 10,620 10,725 7/31/2008 9,710 9,775 8/31/2008 9,310 9,530 9/30/2008 7,190 7,506 10/31/2008 4,800 5,011 11/30/2008 4,180 4,560 12/31/2008 4,500 4,785 1/31/2009 4,530 4,833 2/28/2009 4,120 4,454 3/31/2009 4,380 4,708 4/30/2009 5,300 5,466 5/31/2009 6,340 6,622 6/30/2009 5,950 6,220 7/31/2009 6,700 6,996 8/31/2009 6,920 7,260 9/30/2009 7,910 8,157 10/31/2009 7,760 8,211 11/30/2009 8,420 8,900 12/31/2009 8,960 9,423 1/31/2010 8,540 9,031 2/28/2010 9,050 9,632 3/31/2010 9,770 10,454 4/30/2010 10,120 10,890 5/31/2010 9,150 9,929 6/30/2010 8,730 9,464 7/31/2010 9,440 10,234 8/31/2010 9,330 10,202 9/30/2010 10,430 11,319 10/31/2010 11,110 12,004 11/30/2010 11,650 12,509 12/31/2010 12,840 13,660 1/31/2011 12,780 13,500 2/28/2011 13,660 14,392 3/31/2011 13,680 14,396 4/30/2011 13,940 14,833 5/31/2011 13,360 14,236 6/30/2011 12,620 13,510 7/31/2011 12,810 13,868 8/31/2011 11,840 13,043 9/30/2011 9,600 10,655 10/31/2011 11,140 12,174 11/30/2011 10,750 11,857 12/31/2011 10,580 11,613 1/31/2012 11,490 12,564 2/29/2012 11,930 13,014 3/31/2012 11,400 12,326 4/30/2012 11,140 12,227 5/31/2012 9,840 10,801 6/30/2012 9,860 10,768 7/31/2012 10,130 11,140 8/31/2012 10,560 11,603 9/30/2012 11,010 12,189 10/31/2012 10,860 11,971 11/30/2012 10,680 11,703 12/31/2012 10,930 11,894 1/31/2013 11,250 12,137 2/28/2013 10,700 11,549 3/31/2013 11,010 11,822 4/30/2013 10,650 11,555 5/31/2013 10,480 11,271 6/30/2013 10,050 10,576 7/31/2013 10,790 11,389 Past performance is not predictive of 8/31/2013 10,690 11,262 future performance. 9/30/2013 11,170 11,696 10/31/2013 11,480 11,959 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE FROM redemption of fund shares. TOTAL RETURN YEAR YEARS 04/02/2007 ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 5.71% 19.05% 2.12% rights reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- THE EMERGING MARKETS SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Emerging Markets Series MSCI Emerging Markets Index (net dividends) ----------------------------- --------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 9,905 10,122 12/31/2003 10,948 10,855 1/31/2004 11,159 11,234 2/29/2004 11,655 11,749 3/31/2004 11,735 11,896 4/30/2004 10,991 10,922 5/31/2004 10,867 10,704 6/30/2004 11,064 10,749 7/31/2004 11,057 10,552 8/31/2004 11,363 10,990 9/30/2004 12,004 11,624 10/31/2004 12,340 11,902 11/30/2004 13,418 13,004 12/31/2004 14,293 13,628 1/31/2005 14,410 13,663 2/28/2005 15,481 14,855 3/31/2005 14,424 13,873 4/30/2005 14,082 13,501 5/31/2005 14,504 13,971 6/30/2005 14,942 14,445 7/31/2005 15,904 15,455 8/31/2005 16,006 15,587 9/30/2005 17,281 17,039 10/31/2005 16,421 15,925 11/30/2005 17,609 17,243 12/31/2005 18,630 18,262 1/31/2006 20,415 20,301 2/28/2006 20,357 20,277 3/31/2006 20,634 20,456 4/30/2006 21,873 21,913 5/31/2006 19,351 19,617 6/30/2006 19,329 19,569 7/31/2006 19,687 19,849 8/31/2006 20,306 20,355 9/30/2006 20,590 20,524 10/31/2006 21,822 21,499 11/30/2006 23,222 23,097 12/31/2006 24,162 24,137 1/31/2007 24,519 23,877 2/28/2007 24,147 23,735 3/31/2007 25,248 24,680 4/30/2007 26,866 25,823 5/31/2007 28,666 27,102 6/30/2007 29,140 28,372 7/31/2007 29,847 29,869 8/31/2007 29,337 29,235 9/30/2007 31,924 32,463 10/31/2007 35,430 36,084 11/30/2007 33,120 33,526 12/31/2007 33,003 33,643 1/31/2008 30,131 29,445 2/29/2008 31,093 31,618 3/31/2008 30,131 29,945 4/30/2008 32,289 32,375 5/31/2008 32,478 32,976 6/30/2008 29,147 29,687 7/31/2008 28,768 28,567 8/31/2008 27,063 26,285 9/30/2008 23,302 21,685 10/31/2008 17,165 15,750 11/30/2008 15,612 14,565 12/31/2008 16,837 15,701 1/31/2009 15,547 14,687 2/28/2009 14,541 13,858 3/31/2009 16,640 15,850 4/30/2009 19,111 18,487 5/31/2009 22,369 21,646 6/30/2009 22,179 21,355 7/31/2009 24,723 23,756 8/31/2009 24,810 23,671 9/30/2009 27,004 25,820 10/31/2009 26,443 25,852 11/30/2009 28,025 26,962 12/31/2009 29,038 28,027 1/31/2010 27,456 26,464 2/28/2010 27,792 26,557 3/31/2010 30,124 28,701 4/30/2010 30,306 29,049 5/31/2010 27,493 26,494 6/30/2010 27,536 26,299 7/31/2010 29,964 28,489 8/31/2010 29,271 27,936 9/30/2010 32,602 31,040 10/31/2010 33,593 31,941 11/30/2010 32,843 31,098 12/31/2010 35,517 33,317 1/31/2011 34,599 32,413 2/28/2011 34,359 32,111 3/31/2011 36,276 33,999 4/30/2011 37,544 35,054 5/31/2011 36,509 34,134 6/30/2011 36,079 33,609 7/31/2011 35,802 33,460 8/31/2011 32,908 30,470 9/30/2011 27,930 26,027 10/31/2011 31,429 29,475 11/30/2011 30,343 27,511 12/31/2011 29,461 27,179 1/31/2012 32,617 30,262 2/29/2012 34,388 32,074 3/31/2012 33,499 31,004 4/30/2012 32,901 30,633 5/31/2012 29,359 27,198 6/30/2012 30,816 28,248 7/31/2012 31,064 28,799 8/31/2012 31,276 28,703 9/30/2012 33,025 30,435 10/31/2012 32,857 30,250 11/30/2012 33,287 30,634 12/31/2012 35,241 32,132 1/31/2013 35,423 32,575 2/28/2013 35,015 32,166 3/31/2013 34,519 31,612 4/30/2013 34,913 31,850 5/31/2013 33,783 31,033 6/30/2013 31,662 29,057 Past performance is not predictive of 7/31/2013 32,128 29,361 future performance. 8/31/2013 31,378 28,856 9/30/2013 33,615 30,733 The returns shown do not reflect the 10/31/2013 35,153 32,226 deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 6.99% 15.42% 13.40% rights reserved.
-------------------------------------------------------------------------------- 233 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- THE EMERGING MARKETS SMALL CAP SERIES VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Emerging Markets MSCI Emerging Small Cap Series Markets Index (net dividends) --------------------- --------------------------------- 10/31/2003 $10,000 $10,000 11/30/2003 10,203 10,122 12/31/2003 11,223 10,855 1/31/2004 11,560 11,234 2/29/2004 12,048 11,749 3/31/2004 12,251 11,896 4/30/2004 11,575 10,922 5/31/2004 11,095 10,704 6/30/2004 11,185 10,749 7/31/2004 11,268 10,552 8/31/2004 11,643 10,990 9/30/2004 12,288 11,624 10/31/2004 12,603 11,902 11/30/2004 13,796 13,004 12/31/2004 14,531 13,628 1/31/2005 14,944 13,663 2/28/2005 15,889 14,855 3/31/2005 14,801 13,873 4/30/2005 14,261 13,501 5/31/2005 14,539 13,971 6/30/2005 14,906 14,445 7/31/2005 15,739 15,455 8/31/2005 15,844 15,587 9/30/2005 16,894 17,039 10/31/2005 16,077 15,925 11/30/2005 17,224 17,243 12/31/2005 18,357 18,262 1/31/2006 20,143 20,301 2/28/2006 20,368 20,277 3/31/2006 20,735 20,456 4/30/2006 22,438 21,913 5/31/2006 20,083 19,617 6/30/2006 19,205 19,569 7/31/2006 19,647 19,849 8/31/2006 20,338 20,355 9/30/2006 20,915 20,524 10/31/2006 22,498 21,499 11/30/2006 24,209 23,097 12/31/2006 25,326 24,137 1/31/2007 25,829 23,877 2/28/2007 26,047 23,735 3/31/2007 27,224 24,680 4/30/2007 29,310 25,823 5/31/2007 31,650 27,102 6/30/2007 32,603 28,372 7/31/2007 34,201 29,869 8/31/2007 32,791 29,235 9/30/2007 35,049 32,463 10/31/2007 37,704 36,084 11/30/2007 34,696 33,526 12/31/2007 35,101 33,643 1/31/2008 30,893 29,445 2/29/2008 31,785 31,618 3/31/2008 30,308 29,945 4/30/2008 32,153 32,375 5/31/2008 31,973 32,976 6/30/2008 28,290 29,687 7/31/2008 27,862 28,567 8/31/2008 26,182 26,285 9/30/2008 21,470 21,685 10/31/2008 14,966 15,750 11/30/2008 14,059 14,565 12/31/2008 16,054 15,701 1/31/2009 14,831 14,687 2/28/2009 13,923 13,858 3/31/2009 15,844 15,850 4/30/2009 19,055 18,487 5/31/2009 23,383 21,646 6/30/2009 23,271 21,355 7/31/2009 26,249 23,756 8/31/2009 26,564 23,671 9/30/2009 28,785 25,820 10/31/2009 28,762 25,852 11/30/2009 30,473 26,962 12/31/2009 32,153 28,027 1/31/2010 30,743 26,464 2/28/2010 31,275 26,557 3/31/2010 33,953 28,701 4/30/2010 34,516 29,049 5/31/2010 31,058 26,494 6/30/2010 31,890 26,299 7/31/2010 34,831 28,489 8/31/2010 35,004 27,936 9/30/2010 39,265 31,040 10/31/2010 40,833 31,941 11/30/2010 39,745 31,098 12/31/2010 42,033 33,317 1/31/2011 40,270 32,413 2/28/2011 39,100 32,111 3/31/2011 41,283 33,999 4/30/2011 43,466 35,054 5/31/2011 42,498 34,134 6/30/2011 42,491 33,609 7/31/2011 42,978 33,460 8/31/2011 38,912 30,470 9/30/2011 32,003 26,027 10/31/2011 35,551 29,475 11/30/2011 33,833 27,511 12/31/2011 32,933 27,179 1/31/2012 36,662 30,262 2/29/2012 39,670 32,074 3/31/2012 38,665 31,004 4/30/2012 37,742 30,633 5/31/2012 34,306 27,198 6/30/2012 35,619 28,248 7/31/2012 35,199 28,799 8/31/2012 36,122 28,703 9/30/2012 38,237 30,435 10/31/2012 38,110 30,250 11/30/2012 38,785 30,634 12/31/2012 41,185 32,132 1/31/2013 41,958 32,575 2/28/2013 42,401 32,166 3/31/2013 42,221 31,612 4/30/2013 43,083 31,850 5/31/2013 42,491 31,033 6/30/2013 38,815 29,057 7/31/2013 39,010 29,361 8/31/2013 37,397 28,856 Past performance is not predictive of 9/30/2013 40,143 30,733 future performance. 10/31/2013 41,695 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS ------------------------------------------------------------ MSCI data copyright MSCI 2013, all 9.41% 22.74% 15.35% rights reserved.
-------------------------------------------------------------------------------- 234 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index /SM/........ 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
TOTAL RETURN FOR 12 MONTHS ENDED OCTOBER 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. 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 book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable 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, small cap and/or micro cap companies relative to widely used benchmarks. 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. As of October 31, 2013, the Series held approximately 220 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 35.68% for the Series and 28.29% 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. The Series had significantly greater exposure than the Index to deeper value stocks, measured by book-to-market ratios. These stocks generally outperformed relative to the Index, and the Series' higher weight contributed to the Series' outperformance relative to the Index. The Series' exclusion of real estate investment trusts ("REITs") and highly regulated utilities also contributed to the Series' outperformance relative to the Index as both sectors underperformed the overall Index during the period. 235 INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity market with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large cap stocks while value stocks outperformed growth stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST FOREIGN DEVELOPED MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, 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, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large caps while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets. 236
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. 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. As of October 31, 2013, the Series held approximately 520 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ending October 31, 2013, total returns were 28.18% for the Series and 24.65% for the MSCI World ex USA Index (net dividends). The Series focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. As large cap value stocks generally outperformed large cap growth stocks during the period, the Series' significantly greater exposure than the Index to these securities contributed to the Series' outperformance relative to the Index. In particular, the Series' greater exposure to value stocks in the financial sector was beneficial as these names outperformed. The Series' exclusion of real estate investment trusts ("REITs") also benefited the Series' relative performance as REITs underperformed during the period. Differences in the valuation timing and methodology between the Series and the Index generally detracted from 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. As of October 31, 2013, the Series held approximately 1,400 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 30.62% for the Series and 30.99% for the MSCI Japan Small Cap Index (net dividends). The Series' lesser exposure than the Index to GungHo Online Entertainment, Inc., an online gaming company that significantly outperformed, was primarily responsible for the Series' relative underperformance. To a lesser extent, the Series' exclusion of real estate investment trusts ("REITs") contributed positively to the Series' relative performance as REITs underperformed during the period. 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 237 diversification. As of October 31, 2013, the Series held approximately 940 securities across the eligible countries. Country allocations generally reflect the approximate weights of individual securities within a universe of these countries' stocks constructed by the Advisor. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 10.97% for the Series and 6.83% 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. The Series' greater weight in the consumer discretionary sector and lesser weight in the materials sector contributed to the Series' outperformance relative to the Index as consumer discretionary outperformed and materials underperformed. The Series' exclusion of real estate investment trusts ("REITs") also had a small positive impact on the Series' relative performance as REITs underperformed during the period. 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. As of October 31, 2013, the Series held approximately 350 securities. In general, cash exposure was low throughout the year, with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 37.42% for the Series and 35.72% 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 had a lesser allocation to the energy sector, which contributed to the Series' outperformance relative to the Index as energy significantly underperformed. The Series' exclusion of real estate investment trusts ("REITs") also contributed to the Series' outperformance relative to the Index as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Series and the Index generally detracted from the Series' 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 CONTINENTAL SMALL COMPANY SERIES The Continental Small Company Series seeks to capture the returns of small company stocks in the 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. As of October 31, 2013, the Series held approximately 1,200 securities in 14 eligible 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, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 43.67% for the Series and 42.99% 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' exclusion of real estate investment trusts ("REITs") contributed to the Series' outperformance relative to the Index, as REITs underperformed during the period. To a lesser extent, differences in the valuation timing and methodology between the Series and the Index generally detracted from the Series' 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. 238 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. As of October 31, 2013, the Series held approximately 390 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 5.71% for the Series and -0.09% 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' holdings in the materials sector significantly outperformed those of the Index and contributed to the Series' outperformance relative to the Index. The Series' exclusion of real estate investment trusts ("REITs") also contributed to the Series' outperformance relative to the Index as REITs underperformed during the period. 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. As of October 31, 2013, the Series held approximately 1,000 securities across 21 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 6.99% for the Series and 6.53% 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 country weights between the Series and the Index contributed to relative performance differences. In addition, differences in holdings within the financial sector contributed to the Series' relative outperformance. 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. As of October 31, 2013, the Series held approximately 3,100 securities across 17 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. For the 12 months ended October 31, 2013, total returns were 9.41% for the Series and 6.53% 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 large cap and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large caps over the period. The Series' significantly greater exposure to small cap stocks was primarily responsible for the Series' outperformance relative to the Index. 239 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, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- THE U.S. LARGE CAP VALUE SERIES - Actual Fund Return............ $1,000.00 $1,145.10 0.11% $0.59 Hypothetical 5% Annual Return. $1,000.00 $1,024.65 0.11% $0.56 THE DFA INTERNATIONAL VALUE SERIES - Actual Fund Return............ $1,000.00 $1,125.00 0.22% $1.18 Hypothetical 5% Annual Return. $1,000.00 $1,024.10 0.22% $1.12
240 DISCLOSURE OF FUND EXPENSES CONTINUED
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- THE JAPANESE SMALL COMPANY SERIES --------------------------------- Actual Fund Return...................... $1,000.00 $1,035.70 0.13% $0.67 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE ASIA PACIFIC SMALL COMPANY SERIES ------------------------------------- Actual Fund Return...................... $1,000.00 $1,002.60 0.13% $0.66 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE UNITED KINGDOM SMALL COMPANY SERIES --------------------------------------- Actual Fund Return...................... $1,000.00 $1,193.00 0.12% $0.66 Hypothetical 5% Annual Return........... $1,000.00 $1,024.60 0.12% $0.61 THE CONTINENTAL SMALL COMPANY SERIES ------------------------------------ Actual Fund Return...................... $1,000.00 $1,232.90 0.13% $0.73 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66 THE CANADIAN SMALL COMPANY SERIES --------------------------------- Actual Fund Return...................... $1,000.00 $1,077.90 0.11% $0.58 Hypothetical 5% Annual Return........... $1,000.00 $1,024.65 0.11% $0.56 THE EMERGING MARKETS SERIES --------------------------- Actual Fund Return...................... $1,000.00 $1,006.90 0.14% $0.71 Hypothetical 5% Annual Return........... $1,000.00 $1,024.50 0.14% $0.71 THE EMERGING MARKETS SMALL CAP SERIES ------------------------------------- Actual Fund Return...................... $1,000.00 $ 967.80 0.25% $1.24 Hypothetical 5% Annual Return........... $1,000.00 $1,023.95 0.25% $1.28
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 241 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 27, 2013. 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. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 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....................... 12.6% Consumer Staples............................. 7.5% Energy....................................... 20.7% Financials................................... 24.9% Health Care.................................. 8.0% Industrials.................................. 12.2% Information Technology....................... 5.9% Materials.................................... 3.3% Telecommunication Services................... 4.6% Utilities.................................... 0.3% ----- 100.0%
THE DFA INTERNATIONAL VALUE SERIES Consumer Discretionary....................... 9.4% Consumer Staples............................. 4.9% Energy....................................... 12.7% Financials................................... 36.7% Health Care.................................. 1.3% Industrials.................................. 10.4% Information Technology....................... 3.7% Materials.................................... 10.9% Other........................................ -- Telecommunication Services................... 7.1% Utilities.................................... 2.9% ----- 100.0%
THE JAPANESE SMALL COMPANY SERIES Consumer Discretionary....................... 21.4% Consumer Staples............................. 9.3% Energy....................................... 0.9% Financials................................... 11.0% Health Care.................................. 4.7% Industrials.................................. 29.9% Information Technology....................... 10.4% Materials.................................... 11.9% Telecommunication Services................... -- Utilities.................................... 0.5% ----- 100.0%
242 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED THE ASIA PACIFIC SMALL COMPANY SERIES Consumer Discretionary....................... 29.3% Consumer Staples............................. 4.2% Energy....................................... 6.4% Financials................................... 13.5% Health Care.................................. 5.0% Industrials.................................. 20.2% Information Technology....................... 4.8% Materials.................................... 10.7% Other........................................ -- Telecommunication Services................... 3.5% Utilities.................................... 2.4% ----- 100.0%
THE UNITED KINGDOM SMALL COMPANY SERIES Consumer Discretionary....................... 26.9% Consumer Staples............................. 3.8% Energy....................................... 5.4% Financials................................... 14.4% Health Care.................................. 2.6% Industrials.................................. 26.7% Information Technology....................... 7.8% Materials.................................... 7.6% Telecommunication Services................... 2.4% Utilities.................................... 2.4% ----- 100.0%
THE CONTINENTAL SMALL COMPANY SERIES Consumer Discretionary....................... 14.9% Consumer Staples............................. 5.7% Energy....................................... 4.4% Financials................................... 18.6% Health Care.................................. 9.2% Industrials.................................. 24.4% Information Technology....................... 10.0% Materials.................................... 8.0% Other........................................ -- Telecommunication Services................... 2.5% Utilities.................................... 2.3% ----- 100.0%
THE CANADIAN SMALL COMPANY SERIES Consumer Discretionary....................... 10.2% Consumer Staples............................. 4.3% Energy....................................... 26.9% Financials................................... 8.1% Health Care.................................. 2.0% Industrials.................................. 14.6% Information Technology....................... 5.8% Materials.................................... 22.5% Telecommunication Services................... 0.4% Utilities.................................... 5.2% ----- 100.0%
THE EMERGING MARKETS SERIES Consumer Discretionary....................... 9.0% Consumer Staples............................. 8.6% Energy....................................... 12.0% Financials................................... 25.9% Health Care.................................. 1.5% Industrials.................................. 7.3% Information Technology....................... 15.2% Materials.................................... 10.4% Other........................................ -- Telecommunication Services................... 6.9% Utilities.................................... 3.2% ----- 100.0%
THE EMERGING MARKETS SMALL CAP SERIES Consumer Discretionary....................... 18.1% Consumer Staples............................. 8.9% Energy....................................... 2.3% Financials................................... 16.5% Health Care.................................. 6.3% Industrials.................................. 17.8% Information Technology....................... 13.1% Materials.................................... 12.6% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 0.7% Utilities.................................... 3.6% ----- 100.0%
243 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- COMMON STOCKS -- (95.9%) Consumer Discretionary -- (12.1%) Comcast Corp. Class A................ 10,008,890 $ 476,222,986 3.2% Comcast Corp. Special Class A........ 3,819,364 176,836,553 1.2% * General Motors Co.................... 3,555,515 131,376,279 0.9% Time Warner Cable, Inc............... 1,876,119 225,415,698 1.5% Time Warner, Inc..................... 4,974,348 341,936,681 2.3% Other Securities..................... 515,830,578 3.5% -------------- ----- Total Consumer Discretionary............. 1,867,618,775 12.6% -------------- ----- Consumer Staples -- (7.2%) Archer-Daniels-Midland Co............ 3,189,248 130,440,243 0.9% CVS Caremark Corp.................... 7,147,441 444,999,677 3.0% Mondelez International, Inc. Class A. 9,025,752 303,626,297 2.0% Other Securities..................... 227,833,106 1.5% -------------- ----- Total Consumer Staples................... 1,106,899,323 7.4% -------------- ----- Energy -- (19.9%) Anadarko Petroleum Corp.............. 2,511,077 239,280,527 1.6% Apache Corp.......................... 1,526,796 135,579,485 0.9% Baker Hughes, Inc.................... 1,673,042 97,187,010 0.6% Chevron Corp......................... 4,348,879 521,691,525 3.5% ConocoPhillips....................... 6,993,622 512,632,493 3.4% Devon Energy Corp.................... 1,479,247 93,517,995 0.6% Hess Corp............................ 1,606,476 130,445,851 0.9% Marathon Oil Corp.................... 3,640,872 128,377,147 0.9% Marathon Petroleum Corp.............. 1,791,952 128,411,280 0.9% National Oilwell Varco, Inc.......... 1,816,355 147,451,699 1.0% Occidental Petroleum Corp............ 1,521,584 146,193,791 1.0% Phillips 66.......................... 2,926,797 188,573,531 1.3% Valero Energy Corp................... 2,806,975 115,563,161 0.8% Other Securities..................... 484,245,131 3.3% -------------- ----- Total Energy............................. 3,069,150,626 20.7% -------------- ----- Financials -- (23.9%) American International Group, Inc.... 8,251,823 426,206,658 2.9% Bank of America Corp................. 39,239,978 547,790,093 3.7% Bank of New York Mellon Corp. (The).. 3,633,937 115,559,197 0.8% Capital One Financial Corp........... 1,875,702 128,804,456 0.9% Citigroup, Inc....................... 10,998,186 536,491,513 3.6% CME Group, Inc....................... 1,618,207 120,087,142 0.8% JPMorgan Chase & Co.................. 5,379,341 277,251,235 1.9% Loews Corp........................... 2,050,343 99,052,070 0.7% MetLife, Inc......................... 5,110,004 241,754,289 1.6% Morgan Stanley....................... 7,883,626 226,496,575 1.5% Prudential Financial, Inc............ 2,327,738 189,454,596 1.3% Other Securities..................... 785,679,755 5.2% -------------- ----- Total Financials......................... 3,694,627,579 24.9% -------------- ----- Health Care -- (7.7%) Aetna, Inc........................... 2,027,401 127,118,043 0.9% * Express Scripts Holding Co........... 2,283,090 142,738,787 1.0% Pfizer, Inc.......................... 7,744,869 237,612,581 1.6% Thermo Fisher Scientific, Inc........ 1,932,026 188,913,502 1.3% WellPoint, Inc....................... 1,824,634 154,728,963 1.1%
244 THE U.S. LARGE CAP VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE+ OF NET ASSETS** ------ ------ --------------- Health Care -- (Continued) Other Securities................................... $ 330,262,151 2.1% --------------- ------ Total Health Care........................................ 1,181,374,027 8.0% --------------- ------ Industrials -- (11.7%) CSX Corp........................................... 5,687,103 148,205,904 1.0% Eaton Corp. P.L.C.................................. 1,993,999 140,696,569 1.0% FedEx Corp......................................... 759,707 99,521,617 0.7% General Electric Co................................ 17,056,602 445,859,576 3.0% Norfolk Southern Corp.............................. 1,681,939 144,680,393 1.0% Northrop Grumman Corp.............................. 1,364,645 146,712,984 1.0% Union Pacific Corp................................. 1,891,022 286,300,731 1.9% Other Securities................................... 389,576,498 2.5% --------------- ------ Total Industrials........................................ 1,801,554,272 12.1% --------------- ------ Information Technology -- (5.6%) Corning, Inc....................................... 5,599,861 95,701,624 0.7% Hewlett-Packard Co................................. 9,295,748 226,537,379 1.5% * Yahoo!, Inc........................................ 3,936,872 129,641,195 0.9% Other Securities................................... 418,199,608 2.8% --------------- ------ Total Information Technology............................. 870,079,806 5.9% --------------- ------ Materials -- (3.1%) Freeport-McMoRan Copper & Gold, Inc................ 3,340,516 122,797,368 0.8% International Paper Co............................. 2,043,676 91,168,386 0.6% Other Securities................................... 270,895,902 1.9% --------------- ------ Total Materials.......................................... 484,861,656 3.3% --------------- ------ Telecommunication Services -- (4.4%) AT&T, Inc.......................................... 14,518,387 525,565,609 3.5% Other Securities................................... 152,680,539 1.1% --------------- ------ Total Telecommunication Services......................... 678,246,148 4.6% --------------- ------ Utilities -- (0.3%) Other Securities................................... 47,551,285 0.3% --------------- ------ TOTAL COMMON STOCKS...................................... 14,801,963,497 99.8% --------------- ------ TEMPORARY CASH INVESTMENTS -- (0.7%) State Street Institutional Liquid Reserves, 0.073%. 110,063,812 110,063,812 0.7% --------------- ------ SHARES/ FACE AMOUNT ----------- (000) SECURITIES LENDING COLLATERAL -- (3.4%) (S)@ DFA Short Term Investment Fund..................... 45,096,723 521,769,090 3.5% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $10,087,346,593)............................... $15,433,796,399 104.0% =============== ======
245 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------- ------------ ------- --------------- Common Stocks Consumer Discretionary...... $ 1,867,618,775 -- -- $ 1,867,618,775 Consumer Staples............ 1,106,899,323 -- -- 1,106,899,323 Energy...................... 3,069,150,626 -- -- 3,069,150,626 Financials.................. 3,694,627,579 -- -- 3,694,627,579 Health Care................. 1,181,374,027 -- -- 1,181,374,027 Industrials................. 1,801,554,272 -- -- 1,801,554,272 Information Technology...... 870,079,806 -- -- 870,079,806 Materials................... 484,861,656 -- -- 484,861,656 Telecommunication Services.. 678,246,148 -- -- 678,246,148 Utilities................... 47,551,285 -- -- 47,551,285 Temporary Cash Investments.... 110,063,812 -- -- 110,063,812 Securities Lending Collateral. -- $521,769,090 -- 521,769,090 --------------- ------------ -- --------------- TOTAL......................... $14,912,027,309 $521,769,090 -- $15,433,796,399 =============== ============ == ===============
See accompanying Notes to Financial Statements. 246 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (92.1%) AUSTRALIA -- (4.6%) Suncorp Group, Ltd................ 3,736,013 $ 47,108,867 0.5% Wesfarmers, Ltd................... 2,755,622 111,820,231 1.3% Other Securities.................. 279,564,385 3.2% ------------ ----- TOTAL AUSTRALIA....................... 438,493,483 5.0% ------------ ----- AUSTRIA -- (0.2%) Other Securities.................. 16,529,353 0.2% ------------ ----- BELGIUM -- (1.2%) Other Securities.................. 112,978,600 1.3% ------------ ----- CANADA -- (8.8%) # Canadian Natural Resources, Ltd... 1,849,320 58,690,835 0.7% # Magna International, Inc.......... 583,936 49,458,004 0.6% # Manulife Financial Corp........... 4,587,163 81,259,196 0.9% # Sun Life Financial, Inc........... 1,446,869 48,735,471 0.6% Suncor Energy, Inc................ 3,750,370 136,288,802 1.6% # Thomson Reuters Corp.............. 1,557,384 58,522,328 0.7% Other Securities.................. 400,896,217 4.4% ------------ ----- TOTAL CANADA.......................... 833,850,853 9.5% ------------ ----- DENMARK -- (1.5%) Other Securities.................. 137,640,320 1.6% ------------ ----- FINLAND -- (0.9%) Other Securities.................. 82,560,530 0.9% ------------ ----- FRANCE -- (9.7%) AXA SA............................ 4,004,754 99,780,178 1.1% BNP Paribas SA.................... 1,975,744 145,756,834 1.7% Cie de St-Gobain.................. 1,078,023 56,585,484 0.7% GDF Suez.......................... 3,247,971 80,496,939 0.9% Orange............................ 3,875,091 53,267,297 0.6% Societe Generale SA............... 1,823,515 103,009,458 1.2% Vivendi SA........................ 3,686,124 93,331,608 1.1% Other Securities.................. 290,292,116 3.2% ------------ ----- TOTAL FRANCE.......................... 922,519,914 10.5% ------------ ----- GERMANY -- (8.4%) Allianz SE........................ 518,031 86,978,602 1.0% Allianz SE ADR.................... 2,811,910 47,324,445 0.5% Bayerische Motoren Werke AG....... 663,299 75,071,136 0.9% Daimler AG........................ 2,088,586 171,002,503 1.9% Deutsche Bank AG.................. 1,538,807 74,369,159 0.8% # Deutsche Telekom AG Sponsored ADR. 3,074,385 48,544,539 0.6% E.ON SE........................... 3,638,090 66,316,888 0.8% Muenchener Rueckversicherungs AG.. 395,244 82,460,652 0.9% Other Securities.................. 143,842,565 1.6% ------------ ----- TOTAL GERMANY......................... 795,910,489 9.0% ------------ ----- GREECE -- (0.0%) Other Securities.................. 4,734,900 0.1% ------------ -----
247 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (2.1%) Hutchison Whampoa, Ltd.................. 5,818,000 $ 72,458,624 0.8% Other Securities........................ 125,762,689 1.4% -------------- ----- TOTAL HONG KONG............................. 198,221,313 2.2% -------------- ----- IRELAND -- (0.1%) Other Securities........................ 13,557,887 0.1% -------------- ----- ISRAEL -- (0.3%) Other Securities........................ 28,069,013 0.3% -------------- ----- ITALY -- (1.5%) UniCredit SpA........................... 8,189,815 61,477,549 0.7% Other Securities........................ 78,424,839 0.9% -------------- ----- TOTAL ITALY................................. 139,902,388 1.6% -------------- ----- JAPAN -- (17.7%) Mitsubishi Corp......................... 3,482,500 70,454,645 0.8% Mitsubishi UFJ Financial Group, Inc..... 24,653,206 156,998,104 1.8% Mitsui & Co., Ltd....................... 4,220,700 60,296,595 0.7% Nippon Steel & Sumitomo Metal Corp...... 18,537,940 61,185,438 0.7% NTT DOCOMO, Inc......................... 3,091,700 49,049,894 0.6% Other Securities........................ 1,282,749,967 14.5% -------------- ----- TOTAL JAPAN................................. 1,680,734,643 19.1% -------------- ----- NETHERLANDS -- (3.1%) * ING Groep NV............................ 6,479,202 82,335,806 0.9% Other Securities........................ 207,395,423 2.4% -------------- ----- TOTAL NETHERLANDS........................... 289,731,229 3.3% -------------- ----- NEW ZEALAND -- (0.1%) Other Securities........................ 6,293,702 0.1% -------------- ----- NORWAY -- (0.7%) Other Securities........................ 67,730,341 0.8% -------------- ----- PORTUGAL -- (0.1%) Other Securities........................ 6,386,228 0.1% -------------- ----- SINGAPORE -- (1.2%) Other Securities........................ 109,323,500 1.2% -------------- ----- SPAIN -- (2.3%) Banco Santander SA...................... 8,832,930 78,306,244 0.9% Iberdrola SA............................ 7,444,256 46,726,442 0.5% Other Securities........................ 94,892,837 1.1% -------------- ----- TOTAL SPAIN................................. 219,925,523 2.5% -------------- ----- SWEDEN -- (2.8%) Nordea Bank AB.......................... 5,366,449 68,644,974 0.8% Telefonaktiebolaget LM Ericsson Class B. 4,713,081 56,374,169 0.7% Other Securities........................ 138,816,259 1.5% -------------- ----- TOTAL SWEDEN................................ 263,835,402 3.0% -------------- -----
248 THE DFA INTERNATIONAL VALUE SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (6.9%) Credit Suisse Group AG...................................... 1,928,358 $ 59,987,253 0.7% Holcim, Ltd................................................. 887,877 66,039,798 0.8% Swiss Re AG................................................. 1,117,582 98,104,262 1.1% UBS AG...................................................... 6,496,062 125,640,734 1.4% Zurich Insurance Group AG................................... 269,917 74,584,331 0.9% Other Securities............................................ 232,054,236 2.6% -------------- ------ TOTAL SWITZERLAND................................................. 656,410,614 7.5% -------------- ------ UNITED KINGDOM -- (17.9%) Barclays P.L.C.............................................. 14,540,536 61,178,709 0.7% # Barclays P.L.C. Sponsored ADR............................... 5,739,573 96,482,222 1.1% BP P.L.C. Sponsored ADR..................................... 5,793,659 269,405,143 3.1% Glencore Xstrata P.L.C...................................... 15,896,454 86,511,958 1.0% # HSBC Holdings P.L.C. Sponsored ADR.......................... 1,694,884 93,286,415 1.1% Kingfisher P.L.C............................................ 8,609,963 52,085,475 0.6% * Lloyds Banking Group P.L.C.................................. 82,680,839 102,259,365 1.2% # Royal Dutch Shell P.L.C. ADR................................ 3,323,210 231,029,559 2.6% Vodafone Group P.L.C........................................ 34,976,333 128,109,810 1.5% Vodafone Group P.L.C. Sponsored ADR......................... 3,949,158 145,407,998 1.6% Other Securities............................................ 428,839,157 4.8% -------------- ------ TOTAL UNITED KINGDOM.............................................. 1,694,595,811 19.3% -------------- ------ TOTAL COMMON STOCKS............................................... 8,719,936,036 99.2% -------------- ------ PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Other Securities............................................ 23,753,308 0.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities............................................ -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................ 1,906,872 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS............................................. 1,906,872 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (7.7%) (S)@ DFA Short Term Investment Fund.............................. 62,748,487 726,000,000 8.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $796,375 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $720,177) to be repurchased at $706,058................................................... $ 706 706,056 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 726,706,056 8.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $7,742,743,361)......................................... $9,472,302,272 107.7% ============== ======
249 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- -------------- ------- -------------- Common Stocks Australia................... $ 1,841,161 $ 436,652,322 -- $ 438,493,483 Austria..................... -- 16,529,353 -- 16,529,353 Belgium..................... 3,382,426 109,596,174 -- 112,978,600 Canada...................... 833,850,853 -- -- 833,850,853 Denmark..................... -- 137,640,320 -- 137,640,320 Finland..................... 1,950,990 80,609,540 -- 82,560,530 France...................... 6,675,118 915,844,796 -- 922,519,914 Germany..................... 120,607,084 675,303,405 -- 795,910,489 Greece...................... -- 4,734,900 -- 4,734,900 Hong Kong................... -- 198,221,313 -- 198,221,313 Ireland..................... 5,268,488 8,289,399 -- 13,557,887 Israel...................... -- 28,069,013 -- 28,069,013 Italy....................... 18,295,120 121,607,268 -- 139,902,388 Japan....................... 67,433,792 1,613,300,851 -- 1,680,734,643 Netherlands................. 16,499,964 273,231,265 -- 289,731,229 New Zealand................. -- 6,293,702 -- 6,293,702 Norway...................... 265,956 67,464,385 -- 67,730,341 Portugal.................... -- 6,386,228 -- 6,386,228 Singapore................... -- 109,323,500 -- 109,323,500 Spain....................... 13,099,036 206,826,487 -- 219,925,523 Sweden...................... 11,416,422 252,418,980 -- 263,835,402 Switzerland................. 90,293,410 566,117,204 -- 656,410,614 United Kingdom.............. 926,568,412 768,027,399 -- 1,694,595,811 Preferred Stocks Germany..................... -- 23,753,308 -- 23,753,308 Rights/Warrants Hong Kong................... -- -- -- -- Spain....................... -- 1,906,872 -- 1,906,872 Securities Lending Collateral. -- 726,706,056 -- 726,706,056 -------------- -------------- -- -------------- TOTAL......................... $2,117,448,232 $7,354,854,040 -- $9,472,302,272 ============== ============== == ==============
See accompanying Notes to Financial Statements. 250 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (88.3%) Consumer Discretionary -- (18.9%) Accordia Golf Co., Ltd...................... 575,900 $ 6,320,624 0.3% Aoyama Trading Co., Ltd..................... 315,900 8,054,712 0.4% #* Arnest One Corp............................. 238,800 6,557,104 0.3% * Haseko Corp................................. 1,339,000 9,924,834 0.4% # Nifco, Inc.................................. 277,500 7,395,022 0.3% Resorttrust, Inc............................ 200,608 7,641,738 0.3% Shimachu Co., Ltd........................... 273,900 6,651,367 0.3% Tokyo Dome Corp............................. 984,200 6,768,438 0.3% Toyo Tire & Rubber Co., Ltd................. 1,080,000 6,310,337 0.3% Other Securities............................ 419,039,070 18.3% ------------ ----- Total Consumer Discretionary.................... 484,663,246 21.2% ------------ ----- Consumer Staples -- (8.2%) Fuji Oil Co. Ltd/Osaka...................... 367,600 6,699,430 0.3% # Nichirei Corp............................... 1,382,000 7,133,447 0.3% # Pigeon Corp................................. 191,600 9,885,257 0.4% Sapporo Holdings, Ltd....................... 1,874,000 8,333,114 0.4% Takara Holdings, Inc........................ 702,500 6,442,135 0.3% UNY Group Holdings Co., Ltd................. 1,183,300 7,466,985 0.3% Other Securities............................ 163,690,997 7.2% ------------ ----- Total Consumer Staples.......................... 209,651,365 9.2% ------------ ----- Energy -- (0.8%) Other Securities............................ 21,136,267 0.9% ------------ ----- Financials -- (9.7%) Daishi Bank, Ltd. (The)..................... 2,006,000 7,003,326 0.3% Juroku Bank, Ltd. (The)..................... 1,985,000 7,771,817 0.3% Musashino Bank, Ltd. (The).................. 196,000 6,876,837 0.3% San-In Godo Bank, Ltd. (The)................ 961,000 6,976,501 0.3% Other Securities............................ 219,964,821 9.7% ------------ ----- Total Financials................................ 248,593,302 10.9% ------------ ----- Health Care -- (4.2%) # Kaken Pharmaceutical Co., Ltd............... 417,000 6,512,147 0.3% Nihon Kohden Corp........................... 180,100 7,417,704 0.3% Rohto Pharmaceutical Co., Ltd............... 475,000 6,893,342 0.3% Ship Healthcare Holdings, Inc............... 185,700 7,620,076 0.3% Other Securities............................ 77,893,145 3.5% ------------ ----- Total Health Care............................... 106,336,414 4.7% ------------ ----- Industrials -- (26.4%) # Daifuku Co., Ltd............................ 505,000 6,493,984 0.3% # DMG Mori Seiki Co., Ltd..................... 551,500 8,946,428 0.4% Fujikura, Ltd............................... 2,042,000 9,317,972 0.4% # Furukawa Electric Co., Ltd.................. 3,973,000 9,208,531 0.4% Glory, Ltd.................................. 305,000 7,563,052 0.3% Hitachi Zosen Corp.......................... 879,499 6,993,194 0.3% Komori Corp................................. 407,800 6,412,688 0.3% Maeda Road Construction Co., Ltd............ 360,000 6,401,143 0.3% # Minebea Co., Ltd............................ 1,975,000 10,933,515 0.5% Mitsui Engineering & Shipbuilding Co., Ltd. 4,170,000 8,185,614 0.4% #* Nippon Sheet Glass Co., Ltd................. 5,424,000 7,034,712 0.3%
251 THE JAPANESE SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Nishimatsu Construction Co., Ltd................................. 1,855,000 $ 6,548,878 0.3% # Nisshinbo Holdings, Inc.......................................... 834,000 7,366,107 0.3% # OKUMA Corp....................................................... 792,000 6,690,276 0.3% OSG Corp......................................................... 401,700 6,498,156 0.3% # Sanwa Holdings Corp.............................................. 1,215,000 7,786,723 0.3% Seino Holdings Co., Ltd.......................................... 731,000 7,219,534 0.3% Sohgo Security Services Co., Ltd................................. 338,100 6,834,701 0.3% Other Securities................................................. 541,155,767 23.7% -------------- ------ Total Industrials...................................................... 677,590,975 29.7% -------------- ------ Information Technology -- (9.2%) * Alps Electric Co., Ltd........................................... 1,084,100 9,513,585 0.4% Horiba, Ltd...................................................... 218,850 7,996,873 0.4% IT Holdings Corp................................................. 448,301 6,439,577 0.3% # Taiyo Yuden Co., Ltd............................................. 619,100 7,935,573 0.4% Other Securities................................................. 204,758,270 8.9% -------------- ------ Total Information Technology........................................... 236,643,878 10.4% -------------- ------ Materials -- (10.5%) Mitsui Mining & Smelting Co., Ltd................................ 3,353,000 8,547,456 0.4% Rengo Co., Ltd................................................... 1,219,000 6,519,768 0.3% Sumitomo Osaka Cement Co., Ltd................................... 2,274,000 9,175,091 0.4% Tokuyama Corp.................................................... 1,979,000 7,654,790 0.3% Toyobo Co., Ltd.................................................. 4,867,000 9,352,621 0.4% Other Securities................................................. 228,355,855 10.0% -------------- ------ Total Materials........................................................ 269,605,581 11.8% -------------- ------ Telecommunication Services -- (0.0%) Other Securities................................................. 895,224 0.0% -------------- ------ Utilities -- (0.4%) Other Securities................................................. 10,306,973 0.5% -------------- ------ TOTAL COMMON STOCKS.................................................... 2,265,423,225 99.3% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund................................... 25,929,127 300,000,000 13.2% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $474,360 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $428,972) to be repurchased at $420,562............... $ 421 420,561 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 300,420,561 13.2% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,358,439,958).............................................. $2,565,843,786 112.5% ============== ======
252 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- -------------- ------- -------------- Common Stocks Consumer Discretionary...... $ 687,517 $ 483,975,729 -- $ 484,663,246 Consumer Staples............ -- 209,651,365 -- 209,651,365 Energy...................... -- 21,136,267 -- 21,136,267 Financials.................. 9,015,209 239,578,093 -- 248,593,302 Health Care................. -- 106,336,414 -- 106,336,414 Industrials................. -- 677,590,975 -- 677,590,975 Information Technology...... -- 236,643,878 -- 236,643,878 Materials................... -- 269,605,581 -- 269,605,581 Telecommunication Services.. -- 895,224 -- 895,224 Utilities................... -- 10,306,973 -- 10,306,973 Securities Lending Collateral. -- 300,420,561 -- 300,420,561 ---------- -------------- -- -------------- TOTAL......................... $9,702,726 $2,556,141,060 -- $2,565,843,786 ========== ============== == ==============
See accompanying Notes to Financial Statements. 253 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (81.3%) AUSTRALIA -- (40.8%) Adelaide Brighton, Ltd...................... 1,822,054 $ 6,631,679 0.5% # Ansell, Ltd................................. 414,608 7,641,753 0.6% Aristocrat Leisure, Ltd..................... 2,580,305 12,320,792 1.0% Arrium, Ltd................................. 7,583,001 9,907,713 0.8% #* Aurora Oil & Gas, Ltd....................... 2,256,634 6,929,410 0.6% Beach Energy, Ltd........................... 7,442,568 10,052,661 0.8% * BlueScope Steel, Ltd........................ 2,365,706 11,158,750 0.9% # Bradken, Ltd................................ 1,201,799 7,089,963 0.6% # carsales.com, Ltd........................... 1,220,399 12,118,987 1.0% CSR, Ltd.................................... 2,829,296 6,679,778 0.5% # David Jones, Ltd............................ 3,241,419 8,330,548 0.7% Downer EDI, Ltd............................. 2,414,160 11,216,171 0.9% DuluxGroup, Ltd............................. 2,317,895 11,287,494 0.9% Envestra, Ltd............................... 6,189,006 6,576,924 0.5% # Fairfax Media, Ltd.......................... 11,005,131 6,283,630 0.5% Goodman Fielder, Ltd........................ 9,960,250 7,158,645 0.6% GrainCorp, Ltd. Class A..................... 828,668 9,661,614 0.8% # Invocare, Ltd............................... 638,866 6,616,861 0.5% IOOF Holdings, Ltd.......................... 1,239,793 10,543,213 0.8% # Iress, Ltd.................................. 767,110 7,158,910 0.6% # JB Hi-Fi, Ltd............................... 639,044 13,169,341 1.0% # Mineral Resources, Ltd...................... 756,386 8,087,153 0.6% # Monadelphous Group, Ltd..................... 491,743 8,437,605 0.7% # Myer Holdings, Ltd.......................... 3,564,925 8,425,293 0.7% Navitas, Ltd................................ 1,192,373 6,531,773 0.5% # Perpetual, Ltd.............................. 234,074 10,190,785 0.8% Primary Health Care, Ltd.................... 1,709,571 7,975,871 0.6% # Reece Australia, Ltd........................ 238,257 6,301,473 0.5% #* Sims Metal Management, Ltd.................. 863,295 8,177,344 0.6% Spark Infrastructure Group.................. 4,143,888 6,637,154 0.5% # Super Retail Group, Ltd..................... 1,291,875 16,364,147 1.3% # TPG Telecom, Ltd............................ 1,484,123 6,542,913 0.5% # UGL, Ltd.................................... 995,514 6,923,273 0.6% Other Securities............................ 343,191,406 27.0% ------------ ----- TOTAL AUSTRALIA................................. 632,321,027 50.0% ------------ ----- BERMUDA -- (0.0%) Other Securities............................ 4,364 0.0% ------------ ----- CAYMAN ISLANDS -- (0.0%) Other Securities............................ 22,553 0.0% ------------ ----- CHINA -- (0.1%) Other Securities............................ 2,100,808 0.1% ------------ ----- HONG KONG -- (22.5%) # Chow Sang Sang Holdings International, Ltd.. 1,967,000 6,379,263 0.5% # Esprit Holdings, Ltd........................ 13,005,750 23,980,456 1.9% # Giordano International, Ltd................. 9,084,000 8,521,138 0.7% Hopewell Holdings, Ltd...................... 1,804,000 6,087,002 0.5% # Luk Fook Holdings International, Ltd........ 2,289,000 8,142,153 0.7% # Melco International Development, Ltd........ 6,017,000 18,925,645 1.5% Pacific Basin Shipping, Ltd................. 11,222,000 8,030,542 0.6%
254 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- HONG KONG -- (Continued) SA SA International Holdings, Ltd............................. 7,008,000 $ 7,672,215 0.6% Shun Tak Holdings, Ltd........................................ 10,767,419 6,237,351 0.5% Xinyi Glass Holdings, Ltd..................................... 12,292,000 12,189,775 1.0% Other Securities.............................................. 242,212,412 19.0% -------------- ------ TOTAL HONG KONG..................................................... 348,377,952 27.5% -------------- ------ NEW ZEALAND -- (6.3%) # Fisher & Paykel Healthcare Corp., Ltd......................... 3,375,400 10,265,529 0.8% Port of Tauranga, Ltd......................................... 528,322 6,019,074 0.5% # Ryman Healthcare, Ltd......................................... 1,742,405 10,861,648 0.9% Sky Network Television, Ltd................................... 1,319,448 6,757,325 0.5% # SKYCITY Entertainment Group, Ltd.............................. 3,420,386 10,984,846 0.9% Other Securities.............................................. 52,594,791 4.1% -------------- ------ TOTAL NEW ZEALAND................................................... 97,483,213 7.7% -------------- ------ PHILIPPINES -- (0.0%) Other Securities.............................................. 17,016 0.0% -------------- ------ SINGAPORE -- (11.6%) # Singapore Post, Ltd........................................... 9,103,120 9,596,310 0.8% # Venture Corp., Ltd............................................ 1,600,000 10,019,818 0.8% Other Securities.............................................. 159,696,850 12.6% -------------- ------ TOTAL SINGAPORE..................................................... 179,312,978 14.2% -------------- ------ TOTAL COMMON STOCKS................................................. 1,259,639,911 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) Other Securities.............................................. -- 0.0% -------------- ------ HONG KONG -- (0.0%) Other Securities.............................................. -- 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS............................................... -- 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (18.7%) (S)@ DFA Short Term Investment Fund................................ 25,064,823 290,000,000 22.9% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.09%, 11/01/13 (Collateralized by $507,256 U.S. Treasury Note 2.375%, 09/30/14, valued at $518,619) to be repurchased at $506,216..................................................... $ 506 506,215 0.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $51,657 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $46,714) to be repurchased at $45,798.... 46 45,798 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................. 290,552,013 23.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,443,079,348)........................................... $1,550,191,924 122.5% ============== ======
255 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- -------------- ------- -------------- Common Stocks Australia................... $ 217,641 $ 632,103,386 -- $ 632,321,027 Bermuda..................... -- 4,364 -- 4,364 Cayman Islands.............. -- 22,553 -- 22,553 China....................... -- 2,100,808 -- 2,100,808 Hong Kong................... 4,648,233 343,729,719 -- 348,377,952 New Zealand................. -- 97,483,213 -- 97,483,213 Philippines................. -- 17,016 -- 17,016 Singapore................... 10,228 179,302,750 -- 179,312,978 Rights/Warrants Australia................... -- -- -- -- Hong Kong................... -- -- -- -- Securities Lending Collateral. -- 290,552,013 -- 290,552,013 ---------- -------------- -- -------------- TOTAL......................... $4,876,102 $1,545,315,822 -- $1,550,191,924 ========== ============== == ==============
See accompanying Notes to Financial Statements. 256 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (98.5%) Consumer Discretionary -- (26.5%) Barratt Developments P.L.C........ 5,157,995 $ 27,660,094 1.4% Bellway P.L.C..................... 652,849 15,724,768 0.8% Berkeley Group Holdings P.L.C..... 650,346 24,378,283 1.2% Daily Mail & General Trust P.L.C.. 1,328,069 17,321,746 0.9% * Dixons Retail P.L.C............... 16,850,562 13,202,433 0.7% Greene King P.L.C................. 1,421,372 18,808,719 0.9% Home Retail Group P.L.C........... 4,196,363 13,388,556 0.7% Howden Joinery Group P.L.C........ 2,676,884 13,843,959 0.7% Inchcape P.L.C.................... 2,319,770 23,684,611 1.2% Informa P.L.C..................... 3,121,619 27,964,781 1.4% Ladbrokes P.L.C................... 4,483,503 13,723,124 0.7% Persimmon P.L.C................... 1,366,507 27,666,555 1.4% Rightmove P.L.C................... 319,449 13,574,746 0.7% Taylor Wimpey P.L.C............... 15,614,170 27,549,112 1.4% * Thomas Cook Group P.L.C........... 7,517,966 17,303,141 0.9% William Hill P.L.C................ 3,678,697 23,618,931 1.2% Other Securities.................. 213,258,054 10.6% ------------ ----- Total Consumer Discretionary.......... 532,671,613 26.8% ------------ ----- Consumer Staples -- (3.7%) Booker Group P.L.C................ 7,511,637 18,092,064 0.9% Other Securities.................. 56,304,593 2.8% ------------ ----- Total Consumer Staples................ 74,396,657 3.7% ------------ ----- Energy -- (5.3%) * Afren P.L.C....................... 5,639,345 14,254,859 0.7% John Wood Group P.L.C............. 1,377,126 17,930,742 0.9% Premier Oil P.L.C................. 2,484,308 13,823,320 0.7% Other Securities.................. 60,971,072 3.1% ------------ ----- Total Energy.......................... 106,979,993 5.4% ------------ ----- Financials -- (14.2%) Amlin P.L.C....................... 2,613,209 17,854,912 0.9% Catlin Group, Ltd................. 1,812,653 14,890,947 0.8% Close Brothers Group P.L.C........ 777,213 15,739,934 0.8% Henderson Group P.L.C............. 5,229,541 17,950,379 0.9% Hiscox, Ltd....................... 1,848,675 19,626,193 1.0% ICAP P.L.C........................ 2,874,272 17,748,601 0.9% IG Group Holdings P.L.C........... 1,346,879 13,237,127 0.7% Man Group P.L.C................... 9,800,117 13,947,727 0.7% Other Securities.................. 153,842,365 7.6% ------------ ----- Total Financials...................... 284,838,185 14.3% ------------ ----- Health Care -- (2.6%) Hikma Pharmaceuticals P.L.C....... 713,706 13,730,269 0.7% Other Securities.................. 38,129,221 1.9% ------------ ----- Total Health Care..................... 51,859,490 2.6% ------------ ----- Industrials -- (26.3%) Ashtead Group P.L.C............... 2,598,958 27,310,230 1.4% Balfour Beatty P.L.C.............. 3,596,658 16,448,453 0.8% BBA Aviation P.L.C................ 2,792,163 15,134,152 0.8% Berendsen P.L.C................... 810,481 12,621,571 0.6%
257 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Bodycote P.L.C............................................... 1,253,236 $ 13,210,384 0.7% Cobham P.L.C................................................. 5,618,202 25,946,576 1.3% DCC P.L.C.................................................... 431,941 19,342,514 1.0% Hays P.L.C................................................... 7,041,541 14,054,156 0.7% Invensys P.L.C............................................... 2,824,855 22,668,384 1.1% Melrose Industries P.L.C..................................... 4,156,691 21,310,110 1.1% Rotork P.L.C................................................. 335,959 15,392,385 0.8% Serco Group P.L.C............................................ 1,965,238 17,561,115 0.9% Spirax-Sarco Engineering P.L.C............................... 330,635 15,461,631 0.8% Stagecoach Group P.L.C....................................... 2,248,039 12,684,109 0.6% Other Securities............................................. 279,015,291 14.0% -------------- ------ Total Industrials.................................................. 528,161,061 26.6% -------------- ------ Information Technology -- (7.7%) Halma P.L.C.................................................. 1,738,128 15,266,910 0.8% Spectris P.L.C............................................... 582,385 21,564,398 1.1% Other Securities............................................. 117,190,576 5.8% -------------- ------ Total Information Technology....................................... 154,021,884 7.7% -------------- ------ Materials -- (7.5%) Croda International P.L.C.................................... 442,133 17,277,527 0.9% DS Smith P.L.C............................................... 4,875,734 23,632,372 1.2% Other Securities............................................. 109,270,013 5.5% -------------- ------ Total Materials.................................................... 150,179,912 7.6% -------------- ------ Telecommunication Services -- (2.3%) Inmarsat P.L.C............................................... 2,097,288 24,206,344 1.2% Other Securities............................................. 22,947,045 1.2% -------------- ------ Total Telecommunication Services................................... 47,153,389 2.4% -------------- ------ Utilities -- (2.4%) Drax Group P.L.C............................................. 2,103,725 21,477,657 1.1% Pennon Group P.L.C........................................... 1,980,713 21,629,062 1.1% Other Securities............................................. 5,169,242 0.2% -------------- ------ Total Utilities.................................................... 48,275,961 2.4% -------------- ------ TOTAL COMMON STOCKS................................................ 1,978,538,145 99.5% -------------- ------ PREFERRED STOCKS -- (0.0%) Other Securities............................................. 50,874 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (1.5%) (S)@ DFA Short Term Investment Fund............................... 2,592,913 30,000,000 1.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $735,534 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $665,157) to be repurchased at $652,117................................................. $ 652 652,115 0.1% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 30,652,115 1.6% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,356,132,190).......................................... $2,009,241,134 101.1% ============== ======
258 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------- -------------- ------- -------------- Common Stocks Consumer Discretionary...... $ 19,789 $ 532,651,824 -- $ 532,671,613 Consumer Staples............ -- 74,396,657 -- 74,396,657 Energy...................... -- 106,979,993 -- 106,979,993 Financials.................. -- 284,838,185 -- 284,838,185 Health Care................. -- 51,859,490 -- 51,859,490 Industrials................. 33,414 528,127,647 -- 528,161,061 Information Technology...... 78,663 153,943,221 -- 154,021,884 Materials................... -- 150,179,912 -- 150,179,912 Telecommunication Services.. -- 47,153,389 -- 47,153,389 Utilities................... -- 48,275,961 -- 48,275,961 Preferred Stocks.............. -- 50,874 -- 50,874 Securities Lending Collateral. -- 30,652,115 -- 30,652,115 -------- -------------- -- -------------- TOTAL......................... $131,866 $2,009,109,268 -- $2,009,241,134 ======== ============== == ==============
See accompanying Notes to Financial Statements. 259 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (86.7%) AUSTRIA -- (2.1%) Other Securities............... $ 78,645,320 2.4% ------------ ----- BELGIUM -- (2.6%) Ackermans & van Haaren NV...... 118,073 12,787,617 0.4% Other Securities............... 82,826,125 2.6% ------------ ----- TOTAL BELGIUM...................... 95,613,742 3.0% ------------ ----- DENMARK -- (4.1%) GN Store Nord A.S.............. 772,340 17,619,238 0.6% * Jyske Bank A.S................. 252,239 14,261,538 0.5% * Topdanmark A.S................. 507,925 13,824,624 0.4% #* Vestas Wind Systems A.S........ 693,291 18,578,010 0.6% Other Securities............... 88,855,266 2.7% ------------ ----- TOTAL DENMARK...................... 153,138,676 4.8% ------------ ----- FINLAND -- (5.5%) Amer Sports Oyj................ 550,929 11,303,591 0.4% # Elisa Oyj...................... 663,319 16,618,626 0.5% # Neste Oil Oyj.................. 596,102 11,819,716 0.4% Other Securities............... 162,284,236 5.0% ------------ ----- TOTAL FINLAND...................... 202,026,169 6.3% ------------ ----- FRANCE -- (11.1%) #* Alcatel-Lucent................. 12,082,064 46,287,055 1.5% Lagardere SCA.................. 427,942 15,546,813 0.5% # Neopost SA..................... 167,752 12,665,437 0.4% #* Peugeot SA..................... 1,076,690 14,163,830 0.5% Societe Television Francaise 1. 567,362 10,931,881 0.4% Teleperformance................ 275,593 14,588,498 0.5% Other Securities............... 295,307,033 8.9% ------------ ----- TOTAL FRANCE....................... 409,490,547 12.7% ------------ ----- GERMANY -- (12.5%) * Aareal Bank AG................. 423,110 16,227,581 0.5% # Celesio AG..................... 406,712 12,644,638 0.4% # Deutsche Wohnen AG............. 816,056 15,347,428 0.5% Freenet AG..................... 489,959 12,726,578 0.4% Rheinmetall AG................. 189,044 11,687,366 0.4% Rhoen Klinikum AG.............. 500,406 13,984,605 0.4% Stada Arzneimittel AG.......... 287,980 16,553,592 0.5% Other Securities............... 363,033,443 11.3% ------------ ----- TOTAL GERMANY...................... 462,205,231 14.4% ------------ ----- GREECE -- (2.0%) Other Securities............... 75,861,383 2.4% ------------ ----- IRELAND -- (1.9%) Paddy Power P.L.C.............. 175,221 14,181,124 0.4% Smurfit Kappa Group P.L.C...... 554,973 13,433,965 0.4% Other Securities............... 44,425,840 1.4% ------------ ----- TOTAL IRELAND...................... 72,040,929 2.2% ------------ -----
260 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- ISRAEL -- (2.3%) Other Securities............................ $ 86,155,595 2.7% ------------ ---- ITALY -- (8.1%) Azimut Holding SpA.......................... 491,069 12,457,026 0.4% * Banca Popolare dell'Emilia Romagna S.c.r.l.. 1,449,109 13,922,026 0.4% * Banco Popolare.............................. 6,663,294 13,237,221 0.4% #* Finmeccanica SpA............................ 1,838,316 13,471,206 0.4% * Mediaset SpA................................ 3,041,414 15,187,868 0.5% Unione di Banche Italiane SCPA.............. 2,765,965 19,116,785 0.6% Other Securities............................ 214,025,040 6.7% ------------ ---- TOTAL ITALY..................................... 301,417,172 9.4% ------------ ---- NETHERLANDS -- (5.0%) Aalberts Industries NV...................... 480,099 14,334,222 0.4% Delta Lloyd NV.............................. 943,521 20,004,182 0.6% Nutreco NV.................................. 359,256 17,562,430 0.6% #* PostNL NV................................... 2,402,055 12,551,522 0.4% * SBM Offshore NV............................. 948,481 19,852,164 0.6% Other Securities............................ 99,359,737 3.1% ------------ ---- TOTAL NETHERLANDS............................... 183,664,257 5.7% ------------ ---- NORWAY -- (3.1%) Other Securities............................ 115,126,917 3.6% ------------ ---- PORTUGAL -- (1.5%) Other Securities............................ 55,664,423 1.7% ------------ ---- RUSSIA -- (0.0%) Other Securities............................ 994,896 0.0% ------------ ---- SPAIN -- (5.3%) Bankinter SA................................ 2,085,446 12,715,217 0.4% # Bolsas y Mercados Espanoles SA.............. 338,781 12,667,129 0.4% * Jazztel P.L.C............................... 1,025,473 11,231,832 0.4% # Viscofan SA................................. 213,526 11,326,669 0.4% Other Securities............................ 146,812,397 4.4% ------------ ---- TOTAL SPAIN..................................... 194,753,244 6.0% ------------ ---- SWEDEN -- (8.7%) Castellum AB................................ 739,664 11,357,362 0.4% Modern Times Group AB Class B............... 234,304 12,780,214 0.4% Securitas AB Class B........................ 998,620 11,387,211 0.4% Other Securities............................ 284,674,858 8.7% ------------ ---- TOTAL SWEDEN.................................... 320,199,645 9.9% ------------ ---- SWITZERLAND -- (10.7%) * Dufry AG.................................... 73,187 11,824,599 0.4% Galenica AG................................. 20,798 18,381,416 0.6% GAM Holding AG.............................. 806,220 15,064,909 0.5% Georg Fischer AG............................ 18,366 12,651,376 0.4% Helvetia Holding AG......................... 27,336 12,892,724 0.4% Lonza Group AG.............................. 255,221 22,781,770 0.7% OC Oerlikon Corp. AG........................ 858,856 12,006,957 0.4% PSP Swiss Property AG....................... 148,327 12,748,515 0.4% Swiss Life Holding AG....................... 62,436 12,379,830 0.4%
261 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- SWITZERLAND -- (Continued) Other Securities............................................. $ 263,744,247 8.1% -------------- ------ TOTAL SWITZERLAND.................................................. 394,476,343 12.3% -------------- ------ UNITED KINGDOM -- (0.2%) Other Securities............................................. 6,763,969 0.2% -------------- ------ TOTAL COMMON STOCKS................................................ 3,208,238,458 99.7% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) Other Securities............................................. -- 0.0% -------------- ------ ISRAEL -- (0.0%) Other Securities............................................. 1 0.0% -------------- ------ ITALY -- (0.0%) Other Securities............................................. 51,097 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................................. 51,098 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ (000) SECURITIES LENDING COLLATERAL -- (13.3%) (S)@ DFA Short Term Investment Fund............................... 42,437,338 491,000,000 15.3% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $123,381 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $111,576) to be repurchased at $109,388................................................. $ 109 109,388 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 491,109,388 15.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,907,677,627).......................................... $3,699,398,944 115.0% ============== ======
262 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ----------- -------------- ------- -------------- Common Stocks Austria..................... -- $ 78,645,320 -- $ 78,645,320 Belgium..................... -- 95,613,742 -- 95,613,742 Denmark..................... $ 48,818 153,089,858 -- 153,138,676 Finland..................... -- 202,026,169 -- 202,026,169 France...................... 1,198,479 408,292,068 -- 409,490,547 Germany..................... 9,926,017 452,279,214 -- 462,205,231 Greece...................... -- 75,861,383 -- 75,861,383 Ireland..................... 18,523 72,022,406 -- 72,040,929 Israel...................... -- 86,155,595 -- 86,155,595 Italy....................... 5,458,905 295,958,267 -- 301,417,172 Netherlands................. -- 183,664,257 -- 183,664,257 Norway...................... 1,764,837 113,362,080 -- 115,126,917 Portugal.................... -- 55,664,423 -- 55,664,423 Russia...................... -- 994,896 -- 994,896 Spain....................... -- 194,753,244 -- 194,753,244 Sweden...................... 54,338 320,145,307 -- 320,199,645 Switzerland................. -- 394,476,343 -- 394,476,343 United Kingdom.............. -- 6,763,969 -- 6,763,969 Rights/Warrants Austria..................... -- -- -- -- Israel...................... -- 1 -- 1 Italy....................... -- 51,097 -- 51,097 Securities Lending Collateral. -- 491,109,388 -- 491,109,388 ----------- -------------- -- -------------- TOTAL......................... $18,469,917 $3,680,929,027 -- $3,699,398,944 =========== ============== == ==============
See accompanying Notes to Financial Statements. 263 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (77.1%) Consumer Discretionary -- (7.9%) # Cineplex, Inc.......................... 271,135 $ 10,921,853 1.5% # Corus Entertainment, Inc. Class B...... 369,716 8,616,601 1.2% Dorel Industries, Inc. Class B......... 126,820 4,712,038 0.7% #* Imax Corp.............................. 211,609 6,155,566 0.8% Linamar Corp........................... 269,606 9,065,733 1.2% Martinrea International, Inc........... 461,356 4,889,449 0.7% # RONA, Inc.............................. 681,945 7,992,488 1.1% Other Securities....................... 23,079,749 3.0% ------------ ----- Total Consumer Discretionary............... 75,433,477 10.2% ------------ ----- Consumer Staples -- (3.3%) # Maple Leaf Foods, Inc.................. 500,264 7,364,938 1.0% North West Co., Inc. (The)............. 232,610 5,784,853 0.8% Other Securities....................... 18,477,910 2.5% ------------ ----- Total Consumer Staples..................... 31,627,701 4.3% ------------ ----- Energy -- (20.8%) * Bankers Petroleum, Ltd................. 1,277,846 4,902,301 0.7% #* Bellatrix Exploration, Ltd............. 655,708 4,911,600 0.7% Calfrac Well Services, Ltd............. 154,348 4,811,116 0.7% # Enbridge Income Fund Holdings, Inc..... 227,285 5,090,016 0.7% * Gran Tierra Energy, Inc................ 1,391,012 10,486,121 1.4% * Legacy Oil + Gas, Inc.................. 745,800 5,049,967 0.7% # Lightstream Resources, Ltd............. 863,190 5,546,804 0.8% # Mullen Group, Ltd...................... 458,025 12,273,743 1.7% # Parkland Fuel Corp..................... 353,327 6,475,883 0.9% # Pason Systems, Inc..................... 285,137 5,926,168 0.8% Secure Energy Services, Inc............ 437,854 6,210,963 0.8% # Trican Well Service, Ltd............... 643,185 9,037,223 1.2% Trinidad Drilling, Ltd................. 604,997 5,860,519 0.8% # Whitecap Resources, Inc................ 784,268 9,108,987 1.2% Other Securities....................... 103,238,492 13.7% ------------ ----- Total Energy............................... 198,929,903 26.8% ------------ ----- Financials -- (6.2%) # AGF Management, Ltd. Class B........... 381,468 5,037,946 0.7% # Canadian Western Bank.................. 300,957 9,652,330 1.3% FirstService Corp...................... 135,548 5,634,346 0.8% # Home Capital Group, Inc................ 120,600 9,571,429 1.3% Laurentian Bank of Canada.............. 147,250 6,574,102 0.9% Other Securities....................... 23,304,568 3.1% ------------ ----- Total Financials........................... 59,774,721 8.1% ------------ ----- Health Care -- (1.5%) Other Securities....................... 14,593,623 2.0% ------------ ----- Industrials -- (11.2%) * ATS Automation Tooling Systems, Inc.... 440,214 6,088,223 0.8% # Black Diamond Group, Ltd............... 188,933 4,948,698 0.7% Genivar, Inc........................... 181,860 5,204,721 0.7% MacDonald Dettwiler & Associates, Ltd.. 85,470 6,521,017 0.9% # Ritchie Bros Auctioneers, Inc.......... 273,199 5,400,308 0.7% # Russel Metals, Inc..................... 316,110 8,731,567 1.2%
264 THE CANADIAN SMALL COMPANY SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- Industrials -- (Continued) Stantec, Inc..................................................... 228,285 $ 13,565,951 1.8% Transcontinental, Inc. Class A................................... 333,758 5,329,757 0.7% # TransForce, Inc.................................................. 388,103 8,594,733 1.1% Other Securities................................................. 43,443,189 5.9% ------------ ------ Total Industrials...................................................... 107,828,164 14.5% ------------ ------ Information Technology -- (4.5%) #* Celestica, Inc................................................... 949,607 10,428,236 1.4% # Davis + Henderson Corp........................................... 334,212 8,606,524 1.2% Other Securities................................................. 23,741,614 3.2% ------------ ------ Total Information Technology........................................... 42,776,374 5.8% ------------ ------ Materials -- (17.4%) # Alamos Gold, Inc................................................. 503,857 8,026,725 1.1% # AuRico Gold, Inc................................................. 1,234,795 5,127,955 0.7% * Canfor Corp...................................................... 362,555 7,514,327 1.0% CCL Industries, Inc. Class B..................................... 111,467 7,654,570 1.0% * Dominion Diamond Corp............................................ 379,239 5,121,263 0.7% #* First Majestic Silver Corp....................................... 431,070 4,878,558 0.7% # HudBay Minerals, Inc............................................. 872,492 7,112,820 1.0% # Sherritt International Corp...................................... 1,628,826 5,577,048 0.8% Other Securities................................................. 115,295,893 15.4% ------------ ------ Total Materials........................................................ 166,309,159 22.4% ------------ ------ Telecommunication Services -- (0.3%) Other Securities................................................. 2,823,941 0.4% ------------ ------ Utilities -- (4.0%) # Algonquin Power & Utilities Corp................................. 912,415 5,889,371 0.8% # Capital Power Corp............................................... 376,609 7,801,999 1.1% # Superior Plus Corp............................................... 653,197 6,966,432 0.9% Other Securities................................................. 18,058,688 2.4% ------------ ------ Total Utilities........................................................ 38,716,490 5.2% ------------ ------ TOTAL COMMON STOCKS.................................................... 738,813,553 99.7% ------------ ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (22.9%) (S)@ DFA Short Term Investment Fund................................... 18,928,263 219,000,000 29.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $753,495 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $681,400) to be repurchased at $668,041..... $ 668 668,039 0.1% ------------ ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 219,668,039 29.6% ------------ ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,032,941,509).............................................. $958,481,592 129.3% ============ ======
265 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ---------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ ------------ ------- ------------ Common Stocks Consumer Discretionary...... $ 75,433,477 -- -- $ 75,433,477 Consumer Staples............ 31,627,701 -- -- 31,627,701 Energy...................... 198,929,422 $ 481 -- 198,929,903 Financials.................. 59,774,721 -- -- 59,774,721 Health Care................. 14,547,507 46,116 -- 14,593,623 Industrials................. 107,828,164 -- -- 107,828,164 Information Technology...... 42,776,374 -- -- 42,776,374 Materials................... 166,308,690 469 -- 166,309,159 Telecommunication Services.. 2,823,941 -- -- 2,823,941 Utilities................... 38,716,490 -- -- 38,716,490 Securities Lending Collateral. -- 219,668,039 -- 219,668,039 ------------ ------------ -- ------------ TOTAL......................... $738,766,487 $219,715,105 -- $958,481,592 ============ ============ == ============
See accompanying Notes to Financial Statements. 266 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (90.1%) ARGENTINA -- (0.0%) Other Securities.................................... $ -- 0.0% -------------- ----- BRAZIL -- (7.7%) BRF SA ADR.......................................... 564,360 13,222,955 0.4% Cia de Bebidas das Americas ADR..................... 622,039 23,139,851 0.6% Petroleo Brasileiro SA ADR.......................... 1,372,750 23,927,033 0.6% Petroleo Brasileiro SA Sponsored ADR................ 1,985,055 36,048,599 1.0% # Vale SA Sponsored ADR............................... 1,249,020 19,996,810 0.5% Other Securities.................................... 191,525,535 5.1% -------------- ----- TOTAL BRAZIL............................................ 307,860,783 8.2% -------------- ----- CHILE -- (1.6%) Other Securities.................................... 65,091,958 1.7% -------------- ----- CHINA -- (14.1%) Bank of China, Ltd. Class H......................... 65,514,100 30,844,677 0.8% China Construction Bank Corp. Class H............... 56,443,590 43,914,613 1.2% China Life Insurance Co., Ltd. ADR.................. 330,798 13,043,365 0.4% # China Mobile, Ltd. Sponsored ADR.................... 877,340 45,639,227 1.2% CNOOC, Ltd. ADR..................................... 115,255 23,317,239 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 59,907,185 41,919,158 1.1% # PetroChina Co., Ltd. ADR............................ 145,110 16,436,610 0.4% Tencent Holdings, Ltd............................... 763,600 41,659,099 1.1% Other Securities.................................... 306,311,176 8.1% -------------- ----- TOTAL CHINA............................................. 563,085,164 14.9% -------------- ----- COLOMBIA -- (0.7%) Other Securities.................................... 28,765,622 0.8% -------------- ----- CZECH REPUBLIC -- (0.3%) Other Securities.................................... 12,280,918 0.3% -------------- ----- EGYPT -- (0.1%) Other Securities.................................... 3,051,734 0.1% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 6,042 0.0% -------------- ----- HUNGARY -- (0.3%) Other Securities.................................... 11,759,342 0.3% -------------- ----- INDIA -- (6.3%) HDFC Bank, Ltd...................................... 1,530,953 17,028,382 0.5% Infosys, Ltd........................................ 234,483 12,485,974 0.3% Infosys, Ltd. Sponsored ADR......................... 233,468 12,387,812 0.3% Reliance Industries, Ltd............................ 1,433,931 21,342,373 0.6% Tata Consultancy Services, Ltd...................... 413,679 14,186,300 0.4% Other Securities.................................... 174,387,200 4.6% -------------- ----- TOTAL INDIA............................................. 251,818,041 6.7% -------------- ----- INDONESIA -- (2.4%) Other Securities.................................... 94,111,506 2.5% -------------- -----
267 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (4.1%) # Malayan Banking Bhd........................ 5,003,321 $ 15,508,389 0.4% Other Securities........................... 147,272,696 3.9% -------------- ----- TOTAL MALAYSIA................................. 162,781,085 4.3% -------------- ----- MEXICO -- (5.2%) # America Movil S.A.B. de C.V. Series L...... 37,750,669 40,420,537 1.1% * Cemex S.A.B. de C.V. Sponsored ADR......... 1,285,964 13,605,497 0.4% Fomento Economico Mexicano S.A.B. de C.V... 1,793,669 16,765,060 0.4% Grupo Financiero Banorte S.A.B. de C.V..... 2,832,687 18,133,018 0.5% Grupo Televisa S.A.B. Series CPO........... 2,556,698 15,557,014 0.4% Wal-Mart de Mexico S.A.B. de C.V. Series V. 5,418,775 14,087,631 0.4% Other Securities........................... 87,399,675 2.3% -------------- ----- TOTAL MEXICO................................... 205,968,432 5.5% -------------- ----- PERU -- (0.3%) Other Securities........................... 10,242,946 0.3% -------------- ----- PHILIPPINES -- (1.3%) Other Securities........................... 50,006,707 1.3% -------------- ----- POLAND -- (1.7%) Other Securities........................... 68,061,972 1.8% -------------- ----- RUSSIA -- (5.2%) Gazprom OAO Sponsored ADR.................. 6,850,921 64,038,306 1.7% Lukoil OAO Sponsored ADR................... 556,966 36,477,853 1.0% Sberbank of Russia Sponsored ADR........... 2,809,303 35,825,291 1.0% Other Securities........................... 69,300,946 1.8% -------------- ----- TOTAL RUSSIA................................... 205,642,396 5.5% -------------- ----- SOUTH AFRICA -- (7.1%) # MTN Group, Ltd............................. 1,882,816 37,425,026 1.0% # Naspers, Ltd. Class N...................... 416,705 39,005,158 1.0% # Sasol, Ltd. Sponsored ADR.................. 583,774 29,784,149 0.8% Standard Bank Group, Ltd................... 1,209,908 15,392,568 0.4% Other Securities........................... 162,612,740 4.3% -------------- ----- TOTAL SOUTH AFRICA............................. 284,219,641 7.5% -------------- ----- SOUTH KOREA -- (14.9%) Hyundai Mobis.............................. 70,280 19,824,583 0.5% Hyundai Motor Co........................... 158,812 37,835,980 1.0% KB Financial Group, Inc.................... 353,265 13,912,801 0.4% # Kia Motors Corp............................ 270,669 15,726,190 0.4% LG Chem, Ltd............................... 47,843 13,495,647 0.4% Naver Corp................................. 27,242 15,287,313 0.4% POSCO...................................... 50,240 14,998,694 0.4% Samsung Electronics Co., Ltd............... 81,840 112,862,139 3.0% Samsung Electronics Co., Ltd. GDR.......... 49,372 34,218,733 0.9% Shinhan Financial Group Co., Ltd........... 374,876 16,345,946 0.4% * SK Hynix, Inc.............................. 512,610 15,424,892 0.4% Other Securities........................... 283,823,686 7.6% -------------- ----- TOTAL SOUTH KOREA.............................. 593,756,604 15.8% -------------- -----
268 THE EMERGING MARKETS SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (12.3%) Cathay Financial Holding Co., Ltd............................ 8,634,048 $ 13,043,972 0.4% Hon Hai Precision Industry Co., Ltd.......................... 12,590,056 32,007,618 0.9% # MediaTek, Inc................................................ 1,249,995 17,089,840 0.5% # Taiwan Semiconductor Manufacturing Co., Ltd.................. 25,188,808 92,834,992 2.5% Other Securities............................................. 334,744,052 8.7% -------------- ------ TOTAL TAIWAN....................................................... 489,720,474 13.0% -------------- ------ THAILAND -- (2.6%) Other Securities............................................. 103,053,381 2.7% -------------- ------ TURKEY -- (1.9%) Other Securities............................................. 74,508,182 2.0% -------------- ------ TOTAL COMMON STOCKS................................................ 3,585,792,930 95.2% -------------- ------ PREFERRED STOCKS -- (3.8%) BRAZIL -- (3.7%) Banco Bradesco SA............................................ 2,244,395 32,334,852 0.9% Itau Unibanco Holding SA..................................... 2,568,240 39,737,954 1.1% Vale SA...................................................... 1,529,491 22,387,437 0.6% Other Securities............................................. 52,726,591 1.3% -------------- ------ TOTAL BRAZIL....................................................... 147,186,834 3.9% -------------- ------ CHILE -- (0.0%) Other Securities............................................. 52,088 0.0% -------------- ------ COLOMBIA -- (0.1%) Other Securities............................................. 3,707,074 0.1% -------------- ------ TOTAL PREFERRED STOCKS............................................. 150,945,996 4.0% -------------- ------ RIGHTS/WARRANTS -- (0.0%) SOUTH KOREA -- (0.0%) Other Securities............................................. -- 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (6.1%) (S)@ DFA Short Term Investment Fund............................... 21,089,023 244,000,000 6.5% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $799,156 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $722,691) to be repurchased at $708,523................................................. $ 709 708,521 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 244,708,521 6.5% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,769,771,714).......................................... $3,981,447,447 105.7% ============== ======
269 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Argentina................... -- -- -- -- Brazil...................... $168,534,522 $ 139,326,261 -- $ 307,860,783 Chile....................... 28,146,828 36,945,130 -- 65,091,958 China....................... 124,364,007 438,721,157 -- 563,085,164 Colombia.................... 28,765,622 -- -- 28,765,622 Czech Republic.............. -- 12,280,918 -- 12,280,918 Egypt....................... -- 3,051,734 -- 3,051,734 Hong Kong................... -- 6,042 -- 6,042 Hungary..................... -- 11,759,342 -- 11,759,342 India....................... 25,671,195 226,146,846 -- 251,818,041 Indonesia................... 37,082 94,074,424 -- 94,111,506 Malaysia.................... -- 162,781,085 -- 162,781,085 Mexico...................... 205,968,432 -- -- 205,968,432 Peru........................ 10,242,946 -- -- 10,242,946 Philippines................. 264,468 49,742,239 -- 50,006,707 Poland...................... -- 68,061,972 -- 68,061,972 Russia...................... 9,320,240 196,322,156 -- 205,642,396 South Africa................ 38,062,533 246,157,108 -- 284,219,641 South Korea................. 18,326,152 575,430,452 -- 593,756,604 Taiwan...................... 9,347,981 480,372,493 -- 489,720,474 Thailand.................... 103,053,381 -- -- 103,053,381 Turkey...................... 1,154,826 73,353,356 -- 74,508,182 Preferred Stocks Brazil...................... 4,164,774 143,022,060 -- 147,186,834 Chile....................... -- 52,088 -- 52,088 Colombia.................... 3,707,074 -- -- 3,707,074 Rights/Warrants South Korea................. -- -- -- -- Securities Lending Collateral. -- 244,708,521 -- 244,708,521 ------------ -------------- -- -------------- TOTAL......................... $779,132,063 $3,202,315,384 -- $3,981,447,447 ============ ============== == ==============
See accompanying Notes to Financial Statements. 270 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (87.8%) ARGENTINA -- (0.0%) Other Securities.............................. $ 1 0.0% -------------- ----- BRAZIL -- (8.3%) Anhanguera Educacional Participacoes SA....... 2,379,735 14,230,629 0.4% Cia Hering.................................... 1,041,790 15,090,189 0.4% Diagnosticos da America SA.................... 2,097,741 10,768,045 0.3% EDP--Energias do Brasil SA.................... 2,238,398 12,770,046 0.3% Equatorial Energia SA......................... 1,308,435 13,571,943 0.3% Estacio Participacoes SA...................... 2,460,804 19,001,453 0.5% Mills Estruturas e Servicos de Engenharia SA.. 684,126 9,450,762 0.2% MRV Engenharia e Participacoes SA............. 2,831,833 12,175,228 0.3% Odontoprev SA................................. 2,549,265 10,526,927 0.3% * PDG Realty SA Empreendimentos e Participacoes. 11,912,853 10,700,850 0.3% Sul America SA................................ 1,675,809 12,241,484 0.3% Totvs SA...................................... 592,700 10,010,991 0.2% Other Securities.............................. 228,827,701 5.5% -------------- ----- TOTAL BRAZIL...................................... 379,366,248 9.3% -------------- ----- CHILE -- (1.2%) Other Securities.............................. 53,687,227 1.3% -------------- ----- CHINA -- (13.4%) China Everbright International, Ltd........... 9,335,800 9,330,899 0.2% Kingboard Chemical Holdings, Ltd.............. 3,127,921 8,140,723 0.2% # Kingsoft Corp., Ltd........................... 3,169,000 7,862,517 0.2% Sino Biopharmaceutical........................ 13,536,000 9,497,013 0.2% # Sino-Ocean Land Holdings, Ltd................. 12,793,851 8,112,580 0.2% Other Securities.............................. 565,241,184 13.9% -------------- ----- TOTAL CHINA....................................... 608,184,916 14.9% -------------- ----- COLOMBIA -- (0.0%) Other Securities.............................. 766,239 0.0% -------------- ----- HONG KONG -- (0.0%) Other Securities.............................. 784,892 0.0% -------------- ----- HUNGARY -- (0.0%) Other Securities.............................. 1,195,029 0.0% -------------- ----- INDIA -- (6.5%) Other Securities.............................. 294,353,584 7.2% -------------- ----- INDONESIA -- (3.2%) Mayora Indah Tbk PT........................... 3,284,750 8,523,530 0.2% Other Securities.............................. 137,177,075 3.3% -------------- ----- TOTAL INDONESIA................................... 145,700,605 3.5% -------------- ----- ISRAEL -- (0.0%) Other Securities.............................. 42,022 0.0% -------------- ----- MACEDONIA -- (0.0%) Other Securities.............................. -- 0.0% -------------- -----
271 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (5.7%) Bursa Malaysia Bhd...................................... 3,510,700 $ 8,945,447 0.2% KPJ Healthcare Bhd...................................... 4,305,350 8,324,145 0.2% Other Securities........................................ 240,090,093 5.9% -------------- ----- TOTAL MALAYSIA.............................................. 257,359,685 6.3% -------------- ----- MEXICO -- (3.8%) # Alsea S.A.B. de C.V..................................... 3,553,447 11,057,499 0.3% #* Genomma Lab Internacional S.A.B. de C.V. Class B........ 6,587,305 17,544,605 0.4% #* Gruma S.A.B. de C.V. Class B............................ 1,690,397 11,622,795 0.3% Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B. 1,650,025 8,592,056 0.2% #* Industrias CH S.A.B. de C.V. Series B................... 1,655,914 8,125,208 0.2% #* Promotora y Operadora de Infraestructura S.A.B. de C.V.. 1,672,951 16,988,199 0.4% Other Securities........................................ 100,477,518 2.5% -------------- ----- TOTAL MEXICO................................................ 174,407,880 4.3% -------------- ----- PHILIPPINES -- (1.3%) Other Securities........................................ 59,995,546 1.5% -------------- ----- POLAND -- (2.2%) Asseco Poland SA........................................ 564,202 9,216,429 0.2% Lubelski Wegiel Bogdanka SA............................. 266,391 9,844,205 0.2% Other Securities........................................ 80,187,914 2.0% -------------- ----- TOTAL POLAND................................................ 99,248,548 2.4% -------------- ----- SOUTH AFRICA -- (7.4%) Aeci, Ltd............................................... 770,360 9,389,010 0.2% * Aveng, Ltd.............................................. 3,013,152 8,847,846 0.2% AVI, Ltd................................................ 2,511,843 14,755,317 0.4% Barloworld, Ltd......................................... 993,091 8,896,276 0.2% # Clicks Group, Ltd....................................... 2,118,882 13,215,346 0.3% Coronation Fund Managers, Ltd........................... 1,607,942 13,114,119 0.3% * Murray & Roberts Holdings, Ltd.......................... 3,176,473 9,670,849 0.2% Nampak, Ltd............................................. 2,740,692 9,060,557 0.2% Omnia Holdings, Ltd..................................... 486,127 10,032,055 0.3% PPC, Ltd................................................ 3,686,071 11,644,507 0.3% Reunert, Ltd............................................ 1,171,205 8,207,620 0.2% * Sappi, Ltd.............................................. 3,959,742 11,670,111 0.3% Spar Group, Ltd. (The).................................. 855,975 10,953,523 0.3% Tongaat Hulett, Ltd..................................... 734,460 9,252,131 0.2% Other Securities........................................ 190,008,143 4.7% -------------- ----- TOTAL SOUTH AFRICA.......................................... 338,717,410 8.3% -------------- ----- SOUTH KOREA -- (13.3%) DGB Financial Group, Inc................................ 671,453 10,773,239 0.3% # Hotel Shilla Co., Ltd................................... 161,958 10,462,226 0.3% Hyosung Corp............................................ 121,019 8,158,566 0.2% Macquarie Korea Infrastructure Fund..................... 1,468,851 9,136,011 0.2% # Mando Corp.............................................. 60,934 8,214,702 0.2% # Shinsegae Co., Ltd...................................... 35,692 8,985,590 0.2% Yuhan Corp.............................................. 44,525 7,832,835 0.2% Other Securities........................................ 541,117,350 13.2% -------------- ----- TOTAL SOUTH KOREA........................................... 604,680,519 14.8% -------------- ----- TAIWAN -- (13.9%) Other Securities........................................ 632,416,334 15.4% -------------- -----
272 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- THAILAND -- (4.5%) Other Securities............................................. $ 202,541,380 4.9% -------------- ------ TURKEY -- (3.1%) Other Securities............................................. 141,990,626 3.5% -------------- ------ TOTAL COMMON STOCKS................................................ 3,995,438,691 97.6% -------------- ------ PREFERRED STOCKS -- (1.3%) BRAZIL -- (1.3%) Marcopolo SA................................................. 3,359,100 8,659,771 0.2% Other Securities............................................. 51,863,133 1.3% -------------- ------ TOTAL BRAZIL....................................................... 60,522,904 1.5% -------------- ------ CHILE -- (0.0%) Other Securities............................................. 20,680 0.0% -------------- ------ COLOMBIA -- (0.0%) Other Securities............................................. 265,674 0.0% -------------- ------ TOTAL PREFERRED STOCKS............................................. 60,809,258 1.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) Other Securities............................................. 4,062 0.0% -------------- ------ CHILE -- (0.0%) Other Securities............................................. 93 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities............................................. 221,901 0.0% -------------- ------ POLAND -- (0.0%) Other Securities............................................. -- 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities............................................. 16,964 0.0% -------------- ------ THAILAND -- (0.0%) Other Securities............................................. 34,567 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.............................................. 277,587 0.0% -------------- ------ SHARES/ FACE AMOUNT VALUE+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (10.9%) (S)@ DFA Short Term Investment Fund............................... 42,610,199 493,000,000 12.1% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $943,517 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $853,240) to be repurchased at $836,513................................................. $ 837 836,510 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL................................ 493,836,510 12.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $4,088,232,390).......................................... $4,550,362,046 111.2% ============== ======
273 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) -------------------------------------------------- LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ------------ -------------- ------- -------------- Common Stocks Argentina................... $ 1 -- -- $ 1 Brazil...................... 6,838,317 $ 372,527,931 -- 379,366,248 Chile....................... 271,673 53,415,554 -- 53,687,227 China....................... 807,859 607,377,057 -- 608,184,916 Colombia.................... 766,239 -- -- 766,239 Hong Kong................... -- 784,892 -- 784,892 Hungary..................... -- 1,195,029 -- 1,195,029 India....................... 76,835 294,276,749 -- 294,353,584 Indonesia................... 2,879,423 142,821,182 -- 145,700,605 Israel...................... -- 42,022 -- 42,022 Macedonia................... -- -- -- -- Malaysia.................... -- 257,359,685 -- 257,359,685 Mexico...................... 174,288,074 119,806 -- 174,407,880 Philippines................. -- 59,995,546 -- 59,995,546 Poland...................... -- 99,248,548 -- 99,248,548 South Africa................ 7,272,777 331,444,633 -- 338,717,410 South Korea................. -- 604,680,519 -- 604,680,519 Taiwan...................... 2,507,973 629,908,361 -- 632,416,334 Thailand.................... 202,447,408 93,972 -- 202,541,380 Turkey...................... -- 141,990,626 -- 141,990,626 Preferred Stocks Brazil...................... -- 60,522,904 -- 60,522,904 Chile....................... -- 20,680 -- 20,680 Colombia.................... 265,674 -- -- 265,674 Rights/Warrants Brazil...................... -- 4,062 -- 4,062 Chile....................... -- 93 -- 93 Malaysia.................... -- 221,901 -- 221,901 Poland...................... -- -- -- -- South Korea................. -- 16,964 -- 16,964 Thailand.................... -- 34,567 -- 34,567 Securities Lending Collateral. -- 493,836,510 -- 493,836,510 ------------ -------------- -- -------------- TOTAL......................... $398,422,253 $4,151,939,793 -- $4,550,362,046 ============ ============== == ==============
See accompanying Notes to Financial Statements. 274 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
THE JAPANESE THE ASIA THE U.S. LARGE THE DFA SMALL PACIFIC SMALL CAP VALUE INTERNATIONAL COMPANY COMPANY SERIES VALUE SERIES* SERIES SERIES -------------- ------------- ------------ ------------- ASSETS: Investments at Value (including $506,475, $716,973, $277,239 and $259,540 of securities on loan, respectively)........... $14,801,963 $8,745,596 $2,265,423 $1,259,640 Temporary Cash Investments at Value & Cost................... 110,064 -- -- -- Collateral Received from Securities on Loan at Value & Cost.. -- 706 421 552 Collateral from Securities on Loan Invested in Affiliate at Value & Cost................................................ 521,769 726,000 300,000 290,000 Foreign Currencies at Value.................................. -- 24,350 2,022 1,579 Cash......................................................... -- 20,781 641 7,261 Receivables: Investment Securities Sold................................. 26,504 4,029 2,551 256 Dividends, Interest and Tax Reclaims....................... 17,741 23,044 12,899 1,423 Securities Lending Income.................................. 453 276 274 376 Prepaid Expenses and Other Assets............................ -- 1 -- -- ----------- ---------- ---------- ---------- Total Assets............................................ 15,478,494 9,544,783 2,584,231 1,561,087 ----------- ---------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned........................... 521,769 726,706 300,421 290,552 Investment Securities Purchased............................ 115,461 23,813 1,806 4,809 Due to Advisor............................................. 1,223 1,472 193 106 Unrealized Loss on Foreign Currency Contracts................ -- 17 -- 14 Accrued Expenses and Other Liabilities....................... 1,053 645 187 108 ----------- ---------- ---------- ---------- Total Liabilities....................................... 639,506 752,653 302,607 295,589 ----------- ---------- ---------- ---------- NET ASSETS................................................... $14,838,988 $8,792,130 $2,281,624 $1,265,498 =========== ========== ========== ========== Investments at Cost.......................................... $ 9,455,514 $7,016,037 $2,058,019 $1,152,527 =========== ========== ========== ========== Foreign Currencies at Cost................................... $ -- $ 24,526 $ 2,026 $ 1,584 =========== ========== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 275 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
THE THE UNITED CONTINENTAL THE CANADIAN KINGDOM SMALL SMALL SMALL THE EMERGING COMPANY COMPANY COMPANY THE EMERGING MARKETS SMALL SERIES SERIES* SERIES* MARKETS SERIES* CAP SERIES* ------------- ----------- ------------ --------------- ------------- ASSETS: Investments at Value (including $28,773, $453,898, $261,509, $330,522 and $515,972 of securities on loan, respectively).............................. $1,978,589 $3,208,290 $738,814 $3,736,738 $4,056,525 Collateral Received from Securities on Loan at Value & Cost............................ 652 109 668 709 837 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............... 30,000 491,000 219,000 244,000 493,000 Foreign Currencies at Value................. 4,022 4,466 3,066 7,576 13,653 Cash........................................ 233 1,415 1,203 26,299 18,595 Receivables: Investment Securities Sold................ 2,722 2,074 168 116 9,691 Dividends, Interest and Tax Reclaims...... 4,898 4,595 624 3,735 3,644 Securities Lending Income................. 23 653 272 382 1,580 ---------- ---------- -------- ---------- ---------- Total Assets........................... 2,021,139 3,712,602 963,815 4,019,555 4,597,525 ---------- ---------- -------- ---------- ---------- LIABILITIES: Payables: Upon Return of Securities Loaned.......... 30,652 491,109 219,668 244,709 493,837 Investment Securities Purchased........... 1,912 3,213 2,830 7,929 11,004 Due to Advisor............................ 165 268 62 315 685 Unrealized Loss on Foreign Currency Contracts.................................. -- 12 -- 76 19 Accrued Expenses and Other Liabilities...... 123 234 51 366 457 ---------- ---------- -------- ---------- ---------- Total Liabilities...................... 32,852 494,836 222,611 253,395 506,002 ---------- ---------- -------- ---------- ---------- NET ASSETS.................................. $1,988,287 $3,217,766 $741,204 $3,766,160 $4,091,523 ========== ========== ======== ========== ========== Investments at Cost......................... $1,325,480 $2,416,569 $813,274 $2,525,063 $3,594,395 ========== ========== ======== ========== ========== Foreign Currencies at Cost.................. $ 4,036 $ 4,499 $ 3,060 $ 7,593 $ 13,701 ========== ========== ======== ========== ==========
---------- * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 276 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (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 ------------ ------------- ------------ ------------- INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $42, $19,855, $3,149 and $1,656, respectively).......................... $ 262,650 $ 256,899 $ 37,753 $ 49,156 Interest................................................... 56 6 1 -- Income from Securities Lending............................. 2,227 13,232 3,109 4,274 ---------- ---------- -------- -------- Total Investment Income................................. 264,933 270,137 40,863 53,430 ---------- ---------- -------- -------- EXPENSES Investment Advisory Services Fees.......................... 12,720 15,819 2,039 1,121 Accounting & Transfer Agent Fees........................... 850 542 150 92 Custodian Fees............................................. 121 810 568 355 Shareholders' Reports...................................... 30 20 5 3 Directors'/Trustees' Fees & Expenses....................... 131 85 21 12 Professional Fees.......................................... 431 236 51 29 Other...................................................... 156 158 39 23 ---------- ---------- -------- -------- Total Expenses.......................................... 14,439 17,670 2,873 1,635 ---------- ---------- -------- -------- Fees Paid Indirectly....................................... -- (22) (6) (5) ---------- ---------- -------- -------- Net Expenses............................................... 14,439 17,648 2,867 1,630 ---------- ---------- -------- -------- NET INVESTMENT INCOME (LOSS)............................... 250,494 252,489 37,996 51,800 ---------- ---------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold............................... 1,042,669 394,216 94,606 2,045 Futures.................................................. -- (1,587) -- -- Foreign Currency Transactions*........................... -- (2,158) (2,405) 32 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............... 2,531,751 1,329,657 403,911 64,761 Translation of Foreign Currency Denominated Amounts...... -- 544 393 (13) ---------- ---------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS).................... 3,574,420 1,720,672 496,505 66,825 ---------- ---------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $3,824,914 $1,973,161 $534,501 $118,625 ========== ========== ======== ========
---------- * Net of foreign capital gain taxes withheld of $0, $3, $0 and $0, respectively. See accompanying Notes to Financial Statements. 277 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS)
THE UNITED THE KINGDOM CONTINENTAL THE CANADIAN THE EMERGING SMALL SMALL SMALL THE EMERGING MARKETS COMPANY COMPANY COMPANY MARKETS SMALL CAP SERIES SERIES SERIES SERIES SERIES ---------- ----------- ------------ ------------ ------------ INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $121, $9,056, $2,937, $11,554 and $9,869, respectively)........................................ $ 56,947 $ 63,435 $18,004 $ 78,461 $ 81,658 Interest.............................................. -- 64 -- -- -- Income from Securities Lending........................ 354 10,444 3,280 3,929 16,799 -------- -------- ------- -------- -------- Total Investment Income............................ 57,301 73,943 21,284 82,390 98,457 -------- -------- ------- -------- -------- EXPENSES Investment Advisory Services Fees..................... 1,686 2,642 686 3,264 7,439 Accounting & Transfer Agent Fees...................... 125 191 57 236 264 Custodian Fees........................................ 131 636 97 1,359 2,675 Shareholders' Reports................................. 4 6 2 8 10 Directors'/Trustees' Fees & Expenses.................. 18 28 8 35 39 Professional Fees..................................... 42 75 18 115 190 Other................................................. 30 49 11 66 88 -------- -------- ------- -------- -------- Total Expenses..................................... 2,036 3,627 879 5,083 10,705 -------- -------- ------- -------- -------- Fees Paid Indirectly.................................. (1) (3) (2) (25) (34) -------- -------- ------- -------- -------- Net Expenses.......................................... 2,035 3,624 877 5,058 10,671 -------- -------- ------- -------- -------- NET INVESTMENT INCOME (LOSS).......................... 55,266 70,319 20,407 77,332 87,786 -------- -------- ------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on: Investment Securities Sold.......................... 110,830 61,594 5,104 24,456 69,227 Futures............................................. -- -- -- -- 463 Foreign Currency Transactions*...................... 8 (97) (36) (130) (1,240) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 377,497 843,629 14,601 145,893 144,458 Translation of Foreign Currency Denominated Amounts............................................ (22) 123 (11) (8) (41) -------- -------- ------- -------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS)............... 488,313 905,249 19,658 170,211 212,867 -------- -------- ------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $543,579 $975,568 $40,065 $247,543 $300,653 ======== ======== ======= ======== ========
---------- * Net of foreign capital gain taxes withheld of $14, $14, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 278 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE U.S. LARGE CAP VALUE THE DFA INTERNATIONAL THE JAPANESE SMALL SERIES VALUE SERIES COMPANY SERIES ------------------------ ----------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ----------- ----------- ----------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)........... $ 250,494 $ 212,847 $ 252,489 $ 260,321 $ 37,996 $ 35,567 Net Realized Gain (Loss) on: Investment Securities Sold........... 1,042,669 408,690 394,216 133,256 94,606 15,297 Futures.............................. -- -- (1,587) -- -- (283) Foreign Currency Transactions*....................... -- -- (2,158) (1,249) (2,405) 593 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................ 2,531,751 1,049,282 1,329,657 (157,327) 403,911 (47,991) Translation of Foreign Currency Denominated Amounts................. -- -- 544 (266) 393 (76) ----------- ----------- ----------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 3,824,914 1,670,819 1,973,161 234,735 534,501 3,107 ----------- ----------- ----------- ---------- ---------- ---------- Transactions in Interest: Contributions.......................... 1,639,135 505,769 1,055,913 699,069 268,246 385,924 Withdrawals............................ (1,214,213) (922,543) (1,475,193) (651,462) (207,854) (205,115) ----------- ----------- ----------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest........... 424,922 (416,774) (419,280) 47,607 60,392 180,809 ----------- ----------- ----------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets......................... 4,249,836 1,254,045 1,553,881 282,342 594,893 183,916 NET ASSETS Beginning of Year...................... 10,589,152 9,335,107 7,238,249 6,955,907 1,686,731 1,502,815 ----------- ----------- ----------- ---------- ---------- ---------- End of Year............................ $14,838,988 $10,589,152 $ 8,792,130 $7,238,249 $2,281,624 $1,686,731 =========== =========== =========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $3, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 279 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE ASIA PACIFIC SMALL THE UNITED KINGDOM SMALL THE CONTINENTAL SMALL COMPANY SERIES COMPANY SERIES COMPANY SERIES ---------------------- ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)............ $ 51,800 $ 39,082 $ 55,266 $ 41,958 $ 70,319 $ 62,863 Net Realized Gain (Loss) on: Investment Securities Sold............ 2,045 27,956 110,830 (16,423) 61,594 (4,064) Futures............................... -- (140) -- 236 -- 69 Foreign Currency Transactions*........ 32 (236) 8 339 (97) (359) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency............................. 64,761 3,183 377,497 247,250 843,629 694 Translation of Foreign Currency Denominated Amounts.................. (13) (94) (22) (35) 123 (285) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.......................... 118,625 69,751 543,579 273,325 975,568 58,918 ---------- ---------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions........................... 243,954 161,440 20,921 92,609 97,213 260,944 Withdrawals............................. (100,941) (134,065) (41,051) (34,941) (100,194) (76,446) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest............ 143,013 27,375 (20,130) 57,668 (2,981) 184,498 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets.............................. 261,638 97,126 523,449 330,993 972,587 243,416 NET ASSETS Beginning of Year....................... 1,003,860 906,734 1,464,838 1,133,845 2,245,179 2,001,763 ---------- ---------- ---------- ---------- ---------- ---------- End of Year............................. $1,265,498 $1,003,860 $1,988,287 $1,464,838 $3,217,766 $2,245,179 ========== ========== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $14, $0, $14 and $0, respectively. See accompanying Notes to Financial Statements. 280 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
THE CANADIAN SMALL THE EMERGING MARKETS THE EMERGING MARKETS COMPANY SERIES SERIES SMALL CAP SERIES ------------------ ---------------------- ---------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2013 2012 2013 2012 -------- -------- ---------- ---------- ---------- ---------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss)................. $ 20,407 $ 16,111 $ 77,332 $ 67,879 $ 87,786 $ 58,512 Net Realized Gain (Loss) on: Investment Securities Sold................. 5,104 26,982 24,456 34,169 69,227 106,663 Futures.................................... -- -- -- -- 463 (389) Foreign Currency Transactions*............. (36) 111 (130) (571) (1,240) (1,553) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 14,601 (63,323) 145,893 24,259 144,458 6,038 Translation of Foreign Currency Denominated Amounts....................... (11) (7) (8) 20 (41) (15) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 40,065 (20,126) 247,543 125,756 300,653 169,256 -------- -------- ---------- ---------- ---------- ---------- Transactions in Interest: Contributions................................ 42,578 11,500 937,021 523,537 1,276,889 1,002,685 Withdrawals.................................. (30,525) (38,550) (331,711) (175,967) (439,369) (93,517) -------- -------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Transactions in Interest................. 12,053 (27,050) 605,310 347,570 837,520 909,168 -------- -------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 52,118 (47,176) 852,853 473,326 1,138,173 1,078,424 NET ASSETS Beginning of Year............................ 689,086 736,262 2,913,307 2,439,981 2,953,350 1,874,926 -------- -------- ---------- ---------- ---------- ---------- End of Year.................................. $741,204 $689,086 $3,766,160 $2,913,307 $4,091,523 $2,953,350 ======== ======== ========== ========== ========== ==========
---------- * Net of foreign capital gain taxes withheld of $0, $0, $0, $13, $1 and $87, respectively. See accompanying Notes to Financial Statements. 281 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE U.S. LARGE CAP VALUE SERIES ------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------- Total Return......................................... 35.68% 18.31% 5.69% 19.96% 11.90% ------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $14,838,988 $10,589,152 $9,335,107 $8,816,400 $7,508,400 Ratio of Expenses to Average Net Assets.............. 0.11% 0.12% 0.12% 0.12% 0.13% Ratio of Net Investment Income to Average Net Assets. 1.98% 2.15% 1.79% 2.02% 2.42% Portfolio Turnover Rate.............................. 15% 10% 14% 28% 29% -------------------------------------------------------------------------------------------------------------------
THE DFA INTERNATIONAL VALUE SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 28.18% 3.17% (8.04)% 11.13% 35.41% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $8,792,130 $7,238,249 $6,955,907 $6,919,633 $6,191,964 Ratio of Expenses to Average Net Assets...................... 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.22% 0.24% 0.23% 0.24% 0.24% Ratio of Net Investment Income to Average Net Assets......... 3.20% 3.75% 3.47% 2.55% 3.22% Portfolio Turnover Rate...................................... 15% 14% 9% 20% 18% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 282 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE JAPANESE SMALL COMPANY SERIES ---------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 30.62% 0.54% 10.07% 0.72% 22.69% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $2,281,624 $1,686,731 $1,502,815 $1,211,600 $1,183,036 Ratio of Expenses to Average Net Assets...................... 0.14% 0.15% 0.14% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.14% 0.15% 0.14% 0.14% 0.15% Ratio of Net Investment Income to Average Net Assets......... 1.87% 2.17% 2.07% 1.95% 2.15% Portfolio Turnover Rate...................................... 16% 7% 5% 10% 7% -------------------------------------------------------------------------------------------------------------------------
THE ASIA PACIFIC SMALL COMPANY SERIES ----------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------- Total Return................................................. 10.97% 7.48% (5.15)% 28.91% 84.98% -------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,265,498 $1,003,860 $906,734 $935,138 $680,997 Ratio of Expenses to Average Net Assets...................... 0.15% 0.16% 0.16% 0.17% 0.18% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.15% 0.16% 0.16% 0.17% 0.18% Ratio of Net Investment Income to Average Net Assets......... 4.64% 4.26% 3.78% 3.64% 4.00% Portfolio Turnover Rate...................................... 9% 18% 17% 18% 23% --------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 283 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE UNITED KINGDOM SMALL COMPANY SERIES -------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------- Total Return................................................. 37.42% 23.41% 0.20% 25.94% 43.51% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $1,988,287 $1,464,838 $1,133,845 $1,036,694 $770,472 Ratio of Expenses to Average Net Assets...................... 0.12% 0.13% 0.13% 0.13% 0.14% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.12% 0.13% 0.13% 0.13% 0.14% Ratio of Net Investment Income to Average Net Assets......... 3.29% 3.37% 3.76% 2.86% 4.02% Portfolio Turnover Rate...................................... 17% 6% 7% 15% 10% -----------------------------------------------------------------------------------------------------------------------
THE CONTINENTAL SMALL COMPANY SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 43.67% 2.29% (10.75)% 15.37% 43.78% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,217,766 $2,245,179 $2,001,763 $2,072,484 $1,630,892 Ratio of Expenses to Average Net Assets...................... 0.14% 0.16% 0.15% 0.15% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.14% 0.16% 0.15% 0.15% 0.16% Ratio of Net Investment Income to Average Net Assets......... 2.67% 3.15% 2.72% 2.24% 2.93% Portfolio Turnover Rate...................................... 13% 9% 10% 12% 7% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 284 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE CANADIAN SMALL COMPANY SERIES ------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Total Return............................................................. 5.71% (2.51)% 0.27% 43.17% 61.67% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)...................................... $741,204 $689,086 $736,262 $663,722 $365,181 Ratio of Expenses to Average Net Assets.................................. 0.13% 0.15% 0.14% 0.15% 0.17% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly). 0.13% 0.15% 0.14% 0.15% 0.17% Ratio of Net Investment Income to Average Net Assets..................... 2.99% 2.29% 1.72% 1.05% 1.37% Portfolio Turnover Rate.................................................. 14% 22% 24% 10% 23% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes.
THE EMERGING MARKETS SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 6.99% 4.55% (6.44)% 27.04% 53.99% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $3,766,160 $2,913,307 $2,439,981 $2,529,493 $2,109,316 Ratio of Expenses to Average Net Assets...................... 0.16% 0.20% 0.20% 0.19% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.16% 0.20% 0.20% 0.19% 0.20% Ratio of Net Investment Income to Average Net Assets......... 2.38% 2.55% 2.48% 2.18% 2.57% Portfolio Turnover Rate...................................... 4% 5% 16% 12% 14% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 285 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS
THE EMERGING MARKETS SMALL CAP SERIES ----------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 -------------------------------------------------------------------------------------------------------------------------- Total Return................................................. 9.41% 7.19% (12.94)% 41.96% 92.08% -------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).......................... $4,091,523 $2,953,350 $1,874,926 $1,881,356 $1,167,973 Ratio of Expenses to Average Net Assets...................... 0.29% 0.36% 0.33% 0.32% 0.33% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)................................................. 0.29% 0.36% 0.33% 0.32% 0.33% Ratio of Net Investment Income to Average Net Assets......... 2.37% 2.48% 2.32% 2.16% 2.52% Portfolio Turnover Rate...................................... 11% 13% 18% 15% 13% --------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 286 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. ORGANIZATION: The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of eleven portfolios, 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
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 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 the 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. 287 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 the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 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 International Equity Portfolios 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 this note. Valuation hierarchy tables have been included at the end of the Summary Schedules 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. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Series recognize transfers between the levels as of the end of the period. As of October 31, 2013, The Emerging Markets Series and The Emerging Markets Small Cap Series had significant transfers of securities with a total value of $306,665 and $469,527 (in thousands), respectively, that transferred from Level 1 to Level 2. At October 31, 2013, the fair market values of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and 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 currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations 288 pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible Director/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; 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, 2013, 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 and foreign currency 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 gains 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 Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. 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 Emerging Markets Series and The Emerging Markets Small Cap Series are subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. 289 C. INVESTMENT ADVISOR: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Trust. For the year ended October 31, 2013, 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, 2013, expenses reduced were as follows (amounts in thousands):
FEES PAID INDIRECTLY ---------- The DFA International Value Series...... $22 The Japanese Small Company Series....... 6 The Asia Pacific Small Company Series... 5 The United Kingdom Small Company Series. 1 The Continental Small Company Series.... 3 The Canadian Small Company Series....... 2 The Emerging Markets Series............. 25 The Emerging Markets Small Cap Series... 34
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, 2013, the total related amounts paid by the Trust to the CCO were $56 (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, 2013, 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......... $336 The DFA International Value Series...... 249 The Japanese Small Company Series....... 55 The Asia Pacific Small Company Series... 28 The United Kingdom Small Company Series. 35 The Continental Small Company Series.... 67 The Canadian Small Company Series....... 17 The Emerging Markets Series............. 89 The Emerging Markets Small Cap Series... 60
290 E. PURCHASES AND SALES OF SECURITIES: For the year ended October 31, 2013, 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......... $2,846,229 $1,917,181 The DFA International Value Series...... 1,195,737 1,352,756 The Japanese Small Company Series....... 424,423 328,727 The Asia Pacific Small Company Series... 292,353 101,862 The United Kingdom Small Company Series. 311,120 290,915 The Continental Small Company Series.... 402,109 337,539 The Canadian Small Company Series....... 137,097 94,187 The Emerging Markets Series............. 787,720 120,319 The Emerging Markets Small Cap Series... 1,300,754 398,830
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, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- The U.S. Large Cap Value Series......... $10,087,540 $5,403,680 $ (57,424) $5,346,256 The DFA International Value Series...... 7,749,972 2,159,515 (437,185) 1,722,330 The Japanese Small Company Series....... 2,358,440 405,211 (228,601) 176,610 The Asia Pacific Small Company Series... 1,466,625 342,063 (259,002) 83,061 The United Kingdom Small Company Series. 1,376,431 714,857 (82,047) 632,810 The Continental Small Company Series.... 2,914,221 1,100,391 (315,213) 785,178 The Canadian Small Company Series....... 1,036,766 139,500 (217,785) (78,285) The Emerging Markets Series............. 2,779,497 1,353,861 (151,910) 1,201,951 The Emerging Markets Small Cap Series... 4,120,776 867,716 (438,130) 429,586
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. 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 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. 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 291 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 MARKET RISKS: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Series may be inhibited. DERIVATIVE FINANCIAL INSTRUMENTS: Summarized below are the specific types of derivative instruments used by the Series. 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 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 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, 2013 (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 DFA International Value Series*.... $(1,587) The Emerging Markets Small Cap Series*. $ 463
* As of October 31, 2013, there were no futures contracts outstanding. During the year ended October 31, 2013, the Series had limited activity in futures contracts. 292 H. LINE OF CREDIT: The Trust, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the year ended October 31, 2013, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING INTEREST RATE LOAN BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- The U.S. Large Cap Value Series....... 0.89% $ 6,790 20 $ 4 $23,318 The DFA International Value Series.... 0.90% 12,445 46 14 76,121 The Japanese Small Company Series..... 0.88% 2,097 23 1 5,010 The Asia Pacific Small Company Series. 0.91% 614 5 -- 2,155 The United Kingdom Small Company Series.............................. 0.89% 224 4 -- 503 The Continental Small Company Series.. 0.85% 327 29 -- 1,226 The Emerging Markets Series........... 0.89% 7,962 36 7 31,246 The Emerging Markets Small Cap Series. 0.86% 21,200 23 12 65,040
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that each Series' available line of credit was utilized. There were no outstanding borrowings by the Series under the lines of credit as of October 31, 2013. 293 I. SECURITIES LENDING: As of October 31, 2013, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. In addition, the following Series received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
MARKET VALUE ------------ The DFA International Value Series.... $ 29,499 The Continental Small Company Series.. 447 The Canadian Small Company Series..... 55,991 The Emerging Markets Series........... 111,222 The Emerging Markets Small Cap Series. 102,610
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 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 January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies 294 the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. 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 buyout 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 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. 295 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, 2013, 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 five years in the period then ended, 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, 2013 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 20, 2013 296 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHARTS (UNAUDITED) -------------------------------------------------------------------------------- DIMENSIONAL EMERGING MARKETS VALUE FUND VS. MSCI EMERGING MARKETS INDEX (NET DIVIDENDS) OCTOBER 31, 2003-OCTOBER 31, 2013 [CHART] The Dimensional Emerging MSCI Emerging Markets Markets Value Fund Index (net dividends) ------------------------- ------------------------ 10/31/2003 $10,000 $10,000 11/30/2003 10,114 10,122 12/31/2003 11,338 10,855 1/31/2004 11,647 11,234 2/29/2004 12,409 11,749 3/31/2004 12,564 11,896 4/30/2004 11,690 10,922 5/31/2004 11,343 10,704 6/30/2004 11,560 10,749 7/31/2004 11,705 10,552 8/31/2004 12,237 10,990 9/30/2004 13,042 11,624 10/31/2004 13,459 11,902 11/30/2004 14,914 13,004 12/31/2004 15,881 13,628 1/31/2005 16,148 13,663 2/28/2005 17,621 14,855 3/31/2005 16,341 13,873 4/30/2005 15,762 13,501 5/31/2005 16,001 13,971 6/30/2005 16,533 14,445 7/31/2005 17,734 15,455 8/31/2005 18,027 15,587 9/30/2005 19,478 17,039 10/31/2005 18,264 15,925 11/30/2005 19,620 17,243 12/31/2005 20,858 18,262 1/31/2006 22,860 20,301 2/28/2006 22,954 20,277 3/31/2006 23,740 20,456 4/30/2006 25,813 21,913 5/31/2006 23,029 19,617 6/30/2006 22,824 19,569 7/31/2006 23,374 19,849 8/31/2006 23,800 20,355 9/30/2006 24,292 20,524 10/31/2006 25,989 21,499 11/30/2006 27,895 23,097 12/31/2006 28,883 24,137 1/31/2007 29,338 23,877 2/28/2007 29,513 23,735 3/31/2007 31,059 24,680 4/30/2007 33,545 25,823 5/31/2007 36,106 27,102 6/30/2007 37,143 28,372 7/31/2007 38,915 29,869 8/31/2007 37,673 29,235 9/30/2007 41,074 32,463 10/31/2007 45,597 36,084 11/30/2007 42,288 33,526 12/31/2007 42,234 33,643 1/31/2008 38,047 29,445 2/29/2008 39,577 31,618 3/31/2008 38,255 29,945 4/30/2008 41,217 32,375 5/31/2008 41,586 32,976 6/30/2008 36,762 29,687 7/31/2008 36,051 28,567 8/31/2008 32,980 26,285 9/30/2008 27,293 21,685 10/31/2008 18,826 15,750 11/30/2008 17,405 14,565 12/31/2008 19,553 15,701 1/31/2009 17,796 14,687 2/28/2009 16,283 13,858 3/31/2009 19,110 15,850 4/30/2009 22,870 18,487 5/31/2009 28,031 21,646 6/30/2009 27,690 21,355 7/31/2009 31,417 23,756 8/31/2009 31,664 23,671 9/30/2009 34,596 25,820 10/31/2009 33,784 25,852 11/30/2009 35,950 26,962 12/31/2009 37,747 28,027 1/31/2010 35,610 26,464 2/28/2010 35,899 26,557 3/31/2010 39,063 28,701 4/30/2010 39,329 29,049 5/31/2010 35,226 26,494 6/30/2010 35,447 26,299 7/31/2010 38,745 28,489 8/31/2010 38,050 27,936 9/30/2010 42,635 31,040 10/31/2010 44,106 31,941 11/30/2010 42,694 31,098 12/31/2010 46,258 33,317 1/31/2011 44,816 32,413 2/28/2011 44,091 32,111 3/31/2011 46,635 33,999 4/30/2011 48,313 35,054 5/31/2011 46,487 34,134 6/30/2011 45,540 33,609 7/31/2011 45,178 33,460 8/31/2011 40,609 30,470 9/30/2011 33,333 26,027 10/31/2011 37,725 29,475 11/30/2011 35,825 27,511 12/31/2011 34,553 27,179 1/31/2012 39,359 30,262 2/29/2012 41,762 32,074 3/31/2012 39,980 31,004 4/30/2012 38,693 30,633 5/31/2012 34,420 27,198 6/30/2012 35,987 28,248 7/31/2012 35,773 28,799 8/31/2012 36,283 28,703 9/30/2012 38,627 30,435 10/31/2012 38,139 30,250 11/30/2012 38,575 30,634 12/31/2012 41,400 32,132 1/31/2013 42,080 32,575 2/28/2013 41,392 32,166 3/31/2013 41,052 31,612 4/30/2013 41,422 31,850 5/31/2013 40,254 31,033 6/30/2013 36,875 29,057 7/31/2013 37,607 29,361 Past performance is not predictive of 8/31/2013 36,823 28,856 future performance. 9/30/2013 39,551 30,733 10/31/2013 41,355 32,226 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the AVERAGE ANNUAL ONE FIVE TEN redemption of fund shares. TOTAL RETURN YEAR YEARS YEARS --------------------------------------------------------- MSCI data copyright MSCI 2013, all 8.43% 17.05% 15.25% rights reserved.
-------------------------------------------------------------------------------- 297 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT DISCUSSION AND ANALYSIS INTERNATIONAL EQUITY MARKET REVIEW 12 MONTHS ENDED OCTOBER 31, 2013 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, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- U.S. DOLLAR RETURN - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets.
12 MONTHS ENDED OCTOBER 31, 2013 -------------------------------- TEN LARGEST EMERGING MARKETS BY MARKET CAP LOCAL CURRENCY RETURN U.S. DOLLAR RETURN ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. DIMENSIONAL EMERGING MARKETS VALUE FUND The Dimensional Emerging Markets Value Fund seeks to capture the returns of value stocks of large and small companies in selected emerging markets. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. For the 12 months ended October 31, 2013, total returns were 8.43% for the Fund and 6.53% 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 invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Emerging markets small cap stocks generally outperformed emerging markets large cap stocks during the period. The Fund's greater exposure to small cap stocks was primarily responsible for the Fund's outperformance relative to the Index. The Fund's greater exposure to value stocks, as measured by book-to-market, was also beneficial as these stocks generally outperformed the Index. 298 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (UNAUDITED) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, 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, 2013 EXPENSE TABLES BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 05/01/13 10/31/13 RATIO* PERIOD* --------- --------- ---------- -------- DIMENSIONAL EMERGING MARKETS VALUE FUND --------------------------------------- Actual Fund Return...................... $1,000.00 $ 998.40 0.13% $0.65 Hypothetical 5% Annual Return........... $1,000.00 $1,024.55 0.13% $0.66
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. 299 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 the 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 27, 2013. 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. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 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....................... 6.2% Consumer Staples............................. 4.9% Energy....................................... 17.2% Financials................................... 33.9% Health Care.................................. 0.4% Industrials.................................. 11.7% Information Technology....................... 7.2% Materials.................................... 15.0% Other........................................ -- Real Estate Investment Trusts................ 0.1% Telecommunication Services................... 1.4% Utilities.................................... 2.0% ----- 100.0%
300 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS OCTOBER 31, 2013
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- COMMON STOCKS -- (90.5%) BRAZIL -- (8.0%) Banco do Brasil SA.................................. 6,171,473 $ 81,690,539 0.4% # Banco Santander Brasil SA ADR....................... 18,012,780 124,828,565 0.6% BM&FBovespa SA...................................... 21,761,674 122,651,270 0.6% # Gerdau SA Sponsored ADR............................. 14,806,992 117,419,446 0.6% # Petroleo Brasileiro SA ADR.......................... 20,410,443 355,754,021 1.8% # Petroleo Brasileiro SA Sponsored ADR................ 22,111,474 401,544,368 2.1% Other Securities.................................... 465,245,129 2.5% -------------- ----- TOTAL BRAZIL............................................ 1,669,133,338 8.6% -------------- ----- CHILE -- (1.5%) Enersis SA Sponsored ADR............................ 5,622,312 92,768,148 0.5% Other Securities.................................... 211,091,146 1.1% -------------- ----- TOTAL CHILE............................................. 303,859,294 1.6% -------------- ----- CHINA -- (14.0%) Agricultural Bank of China, Ltd. Class H............ 255,464,000 123,106,826 0.7% Bank of China, Ltd. Class H......................... 989,630,331 465,927,610 2.4% Bank of Communications Co., Ltd. Class H............ 110,893,574 81,256,211 0.4% China Construction Bank Corp. Class H............... 281,910,940 219,334,202 1.1% China Petroleum & Chemical Corp. ADR................ 1,291,935 103,832,800 0.6% China Petroleum & Chemical Corp. Class H............ 212,971,575 172,402,097 0.9% # China Unicom Hong Kong, Ltd. ADR.................... 7,316,862 114,143,047 0.6% Industrial & Commercial Bank of China, Ltd. Class H. 148,536,996 103,936,545 0.6% Other Securities.................................... 1,521,553,477 7.7% -------------- ----- TOTAL CHINA............................................. 2,905,492,815 15.0% -------------- ----- COLOMBIA -- (0.1%) Other Securities.................................... 19,308,502 0.1% -------------- ----- CZECH REPUBLIC -- (0.1%) Other Securities.................................... 30,941,403 0.2% -------------- ----- HONG KONG -- (0.0%) Other Securities.................................... 26,658 0.0% -------------- ----- HUNGARY -- (0.5%) # OTP Bank P.L.C...................................... 3,936,697 81,667,483 0.4% Other Securities.................................... 12,457,748 0.1% -------------- ----- TOTAL HUNGARY........................................... 94,125,231 0.5% -------------- ----- INDIA -- (6.0%) ICICI Bank, Ltd. Sponsored ADR...................... 3,394,535 126,684,046 0.7% Reliance Industries, Ltd............................ 20,872,830 310,667,472 1.6% Other Securities.................................... 812,836,187 4.1% -------------- ----- TOTAL INDIA............................................. 1,250,187,705 6.4% -------------- ----- INDONESIA -- (2.3%) Other Securities.................................... 476,382,766 2.4% -------------- ----- ISRAEL -- (0.0%) Other Securities.................................... 296,602 0.0% -------------- -----
301 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- MALAYSIA -- (3.6%) Other Securities.................................... $ 741,293,938 3.8% -------------- ----- MEXICO -- (6.1%) Alfa S.A.B. de C.V. Class A......................... 51,102,755 139,906,142 0.7% #* Cemex S.A.B. de C.V. Sponsored ADR.................. 16,838,196 178,148,109 0.9% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR................................................ 2,494,369 232,724,627 1.2% Grupo Financiero Banorte S.A.B. de C.V.............. 23,160,991 148,261,585 0.8% Other Securities.................................... 574,307,739 2.9% -------------- ----- TOTAL MEXICO............................................ 1,273,348,202 6.5% -------------- ----- PHILIPPINES -- (1.0%) Other Securities.................................... 216,700,475 1.1% -------------- ----- POLAND -- (1.6%) PGE SA.............................................. 13,948,284 81,477,830 0.4% # Polski Koncern Naftowy Orlen SA..................... 6,239,721 88,026,919 0.5% Other Securities.................................... 157,488,252 0.8% -------------- ----- TOTAL POLAND............................................ 326,993,001 1.7% -------------- ----- RUSSIA -- (4.9%) Gazprom OAO Sponsored ADR........................... 106,937,161 999,584,526 5.1% Other Securities.................................... 21,297,582 0.1% -------------- ----- TOTAL RUSSIA............................................ 1,020,882,108 5.2% -------------- ----- SOUTH AFRICA -- (6.7%) # Barclays Africa Group, Ltd.......................... 6,124,179 94,589,135 0.5% # Nedbank Group, Ltd.................................. 3,713,947 80,747,979 0.4% Sanlam, Ltd......................................... 24,685,296 132,450,694 0.7% Standard Bank Group, Ltd............................ 18,943,972 241,007,060 1.2% #* Steinhoff International Holdings, Ltd............... 24,286,822 93,754,826 0.5% Other Securities.................................... 752,656,981 3.9% -------------- ----- TOTAL SOUTH AFRICA...................................... 1,395,206,675 7.2% -------------- ----- SOUTH KOREA -- (14.6%) Hana Financial Group, Inc........................... 4,078,729 156,836,439 0.8% # Hyundai Steel Co.................................... 1,197,245 98,578,876 0.5% KB Financial Group, Inc............................. 2,902,753 114,320,481 0.6% KB Financial Group, Inc. ADR........................ 3,182,416 123,509,565 0.7% # LG Electronics, Inc................................. 1,776,548 113,798,502 0.6% POSCO............................................... 681,110 203,339,180 1.1% # POSCO ADR........................................... 1,626,923 121,140,686 0.6% Samsung C&T Corp.................................... 1,386,322 82,261,509 0.4% # Samsung SDI Co., Ltd................................ 520,138 86,702,427 0.5% Shinhan Financial Group Co., Ltd.................... 5,415,719 236,144,882 1.2% SK Holdings Co., Ltd................................ 530,249 96,102,228 0.5% SK Innovation Co., Ltd.............................. 845,193 118,461,430 0.6% Other Securities.................................... 1,483,201,139 7.5% -------------- ----- TOTAL SOUTH KOREA....................................... 3,034,397,344 15.6% -------------- ----- TAIWAN -- (13.9%) Fubon Financial Holding Co., Ltd.................... 88,739,471 130,052,844 0.7% Mega Financial Holding Co., Ltd..................... 135,127,381 117,005,240 0.6% # United Microelectronics Corp........................ 218,090,681 92,516,948 0.5% Yuanta Financial Holding Co., Ltd................... 151,353,654 82,534,377 0.4%
302 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
PERCENTAGE SHARES VALUE++ OF NET ASSETS** ------ ------- --------------- TAIWAN -- (Continued) Other Securities........ $ 2,460,013,826 12.6% --------------- ----- TOTAL TAIWAN................ 2,882,123,235 14.8% --------------- ----- THAILAND -- (3.1%) PTT Global Chemical PCL. 32,067,141 80,876,163 0.4% PTT PCL................. 10,844,100 110,444,328 0.6% Other Securities........ 460,615,908 2.4% --------------- ----- TOTAL THAILAND.............. 651,936,399 3.4% --------------- ----- TURKEY -- (2.5%) Turkiye Is Bankasi...... 36,884,191 100,763,267 0.5% Other Securities........ 418,780,142 2.2% --------------- ----- TOTAL TURKEY................ 519,543,409 2.7% --------------- ----- TOTAL COMMON STOCKS......... 18,812,179,100 96.8% --------------- ----- PREFERRED STOCKS -- (2.2%) BRAZIL -- (2.1%) Petroleo Brasileiro SA.. 24,521,904 222,343,011 1.2% Other Securities........ 221,166,672 1.1% --------------- ----- TOTAL BRAZIL................ 443,509,683 2.3% --------------- ----- COLOMBIA -- (0.1%) Other Securities........ 15,140,331 0.1% --------------- ----- TOTAL PREFERRED STOCKS...... 458,650,014 2.4% --------------- ----- RIGHTS/WARRANTS -- (0.0%) CHILE -- (0.0%) Other Securities........ 100 0.0% --------------- ----- MALAYSIA -- (0.0%) Other Securities........ 385,124 0.0% --------------- ----- POLAND -- (0.0%) Other Securities........ -- 0.0% --------------- ----- SOUTH KOREA -- (0.0%) Other Securities........ 22,204 0.0% --------------- ----- THAILAND -- (0.0%) Other Securities........ 57,286 0.0% --------------- ----- TOTAL RIGHTS/WARRANTS....... 464,714 0.0% --------------- -----
303 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED
SHARES/ FACE PERCENTAGE AMOUNT VALUE+ OF NET ASSETS** ------- ------ --------------- (000) SECURITIES LENDING COLLATERAL -- (7.3%) (S)@ DFA Short Term Investment Fund.............................. 129,904,927 $ 1,503,000,000 7.7% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $12,056,798 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $10,903,189) to be repurchased at $10,689,437................................. $ 10,689 10,689,401 0.1% --------------- ------ TOTAL SECURITIES LENDING COLLATERAL............................... 1,513,689,401 7.8% --------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $20,304,856,701)........................................ $20,784,983,229 107.0% =============== ======
Summary of the Fund's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
INVESTMENTS IN SECURITIES (MARKET VALUE) ------------------------------------------------------ LEVEL 1 LEVEL 2 LEVEL 3 TOTAL -------------- --------------- ------- --------------- Common Stocks Brazil...................... $1,073,840,952 $ 595,292,386 -- $ 1,669,133,338 Chile....................... 99,110,686 204,748,608 -- 303,859,294 China....................... 236,947,644 2,668,545,171 -- 2,905,492,815 Colombia.................... 19,308,502 -- -- 19,308,502 Czech Republic.............. -- 30,941,403 -- 30,941,403 Hong Kong................... -- 26,658 -- 26,658 Hungary..................... -- 94,125,231 -- 94,125,231 India....................... 146,609,452 1,103,578,253 -- 1,250,187,705 Indonesia................... 6,187,469 470,195,297 -- 476,382,766 Israel...................... 20,113 276,489 -- 296,602 Malaysia.................... -- 741,293,938 -- 741,293,938 Mexico...................... 1,272,993,390 354,812 -- 1,273,348,202 Philippines................. -- 216,700,475 -- 216,700,475 Poland...................... 119,863 326,873,138 -- 326,993,001 Russia...................... 814,231 1,020,067,877 -- 1,020,882,108 South Africa................ 170,364,260 1,224,842,415 -- 1,395,206,675 South Korea................. 362,529,229 2,671,868,115 -- 3,034,397,344 Taiwan...................... 38,733,186 2,843,390,049 -- 2,882,123,235 Thailand.................... 651,936,399 -- -- 651,936,399 Turkey...................... -- 519,543,409 -- 519,543,409 Preferred Stocks Brazil...................... -- 443,509,683 -- 443,509,683 Colombia.................... 15,140,331 -- -- 15,140,331 Rights/Warrants Chile....................... -- 100 -- 100 Malaysia.................... -- 385,124 -- 385,124 Poland...................... -- -- -- -- South Korea................. -- 22,204 -- 22,204 Thailand.................... -- 57,286 -- 57,286 Securities Lending Collateral. -- 1,513,689,401 -- 1,513,689,401 -------------- --------------- -- --------------- TOTAL......................... $4,094,655,707 $16,690,327,522 -- $20,784,983,229 ============== =============== == ===============
See accompanying Notes to Financial Statements. 304 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS) ASSETS: Investments at Value (including $1,645,822 of securities on loan)*....... $19,271,294 Collateral Received from Securities on Loan at Value & Cost.............. 10,689 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 1,503,000 Foreign Currencies at Value.............................................. 58,647 Cash..................................................................... 90,464 Receivables: Investment Securities Sold............................................. 28,594 Dividends, Interest and Tax Reclaims................................... 6,129 Securities Lending Income.............................................. 1,920 ----------- Total Assets........................................................ 20,970,737 ----------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 1,513,689 Investment Securities Purchased........................................ 26,347 Due to Advisor......................................................... 1,628 Unrealized Loss on Foreign Currency Contracts............................ 64 Accrued Expenses and Other Liabilities................................... 1,723 ----------- Total Liabilities................................................... 1,543,451 ----------- NET ASSETS............................................................... $19,427,286 =========== Investments at Cost...................................................... $18,791,168 =========== Foreign Currencies at Cost............................................... $ 58,852 ===========
---------- * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 305 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (AMOUNTS IN THOUSANDS) INVESTMENT INCOME Dividends (Net of Foreign Taxes Withheld of $65,796).......... $ 421,959 Interest...................................................... 15 Income from Securities Lending................................ 25,619 ---------- Total Investment Income.................................... 447,593 ---------- EXPENSES Investment Advisory Services Fees............................. 18,145 Accounting & Transfer Agent Fees.............................. 1,269 Custodian Fees................................................ 7,431 Shareholders' Reports......................................... 48 Directors'/Trustees' Fees & Expenses.......................... 198 Professional Fees............................................. 741 Other......................................................... 465 ---------- Total Expenses............................................. 28,297 ---------- Fees Paid Indirectly.......................................... (111) ---------- Net Expenses.................................................. 28,186 ---------- NET INVESTMENT INCOME (LOSS).................................. 419,407 ---------- REALIZED AND UNREALIZED GAIN (LOSS) Net Realized Gain (Loss) on:.................................. Investment Securities Sold.................................. 304,248 Foreign Currency Transactions............................... (2,833) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................. 724,674 Translation of Foreign Currency Denominated Amounts......... 7 ---------- NET REALIZED AND UNREALIZED GAIN (LOSS)....................... 1,026,096 ---------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS. $1,445,503 ==========
See accompanying Notes to Financial Statements. 306 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
YEAR YEAR ENDED ENDED OCT. 31, OCT. 31, 2013 2012 ----------- ----------- INCREASE (DECREASE) IN NET ASSETS Operations: Net Investment Income (Loss).............................................. $ 419,407 $ 375,228 Net Realized Gain (Loss) on: Investment Securities Sold.............................................. 304,248 398,744 Futures................................................................. -- (1,269) Foreign Currency Transactions*.......................................... (2,833) (4,761) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.............................. 724,674 (574,018) Translation of Foreign Currency Denominated Amounts..................... 7 (185) ----------- ----------- Net Increase (Decrease) in Net Assets Resulting from Operations...... 1,445,503 193,739 ----------- ----------- Transactions in Interest: Contributions............................................................. 2,894,722 3,560,477 Withdrawals............................................................... (1,797,261) (873,473) ----------- ----------- Net Increase (Decrease) from Transactions in Interest.................. 1,097,461 2,687,004 ----------- ----------- Total Increase (Decrease) in Net Assets................................ 2,542,964 2,880,743 NET ASSETS Beginning of Year......................................................... 16,884,322 14,003,579 ----------- ----------- End of Year............................................................... $19,427,286 $16,884,322 =========== ===========
---------- * Net of foreign capital gain taxes withheld of $0 and $314, respectively. See accompanying Notes to Financial Statements. 307 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS
DIMENSIONAL EMERGING MARKETS VALUE FUND --------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED OCT. 31, OCT. 31, OCT. 31, OCT. 31, OCT. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------- Total Return............................................ 8.43% 1.10% (14.47)% 30.55% 79.39% ------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)..................... $19,427,286 $16,884,322 $14,003,579 $11,917,955 $7,965,125 Ratio of Expenses to Average Net Assets................. 0.16% 0.20% 0.20% 0.19% 0.21% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)....................................... 0.16% 0.20% 0.20% 0.19% 0.21% Ratio of Net Investment Income to Average Net Assets.... 2.32% 2.43% 2.29% 1.81% 2.17% Portfolio Turnover Rate................................. 6% 8% 5% 15% 20% -------------------------------------------------------------------------------------------------------------------------
+ See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 308 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, the Fund, 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 the Fund is a result of the treatment of a partnership for book purposes. The Fund will maintain its books and records and present its financial statements in accordance with generally accepted accounting principles for investment partnerships. 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 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 309 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 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 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 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 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 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. A summary of the inputs used to value the Fund's investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of October 31, 2013, the Fund had significant transfers of securities with a total value of $1,222,930 (in thousands) that transferred from Level 1 to Level 2. At October 31, 2013, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 2. FOREIGN CURRENCY TRANSLATION: Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and 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 Fund does 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 amounts of interest, dividends and any foreign withholding taxes recorded on the books of the Fund and the U.S. dollar equivalent amounts actually received or paid. 3. DEFERRED COMPENSATION PLAN: Each eligible 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 310 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, 2013, 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 $369 (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, 2013, 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 and foreign currency 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 gains 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 an accrual basis. Expenses directly attributable to the Fund are directly charged. The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. 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% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes 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, 2013, the Fund's investment 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 an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund's custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. During the year ended October 31, 2013, expenses reduced were $111 (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")) 311 receive no compensation from the Fund. For the year ended October 31, 2013, the total related amounts paid by the Fund to the CCO were $27 (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, 2013, 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 SALES ---------- ---------- Dimensional Emerging Markets Value Fund. $2,746,457 $1,070,905
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, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
NET UNREALIZED FEDERAL UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) ----------- ------------ ------------ -------------- Dimensional Emerging Markets Value Fund. $20,422,709 $3,294,843 $(2,932,568) $362,275
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. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Fund's tax positions and has concluded that no additional provision for income tax is required in the Fund's financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 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 of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities 312 markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities held by the Fund may be inhibited. G. LINE OF CREDIT: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the year ended October 31, 2013, borrowings by the Fund under the lines of credit were as follows (amounts in thousands, except percentages and days):
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT AVERAGE AVERAGE LOAN DAYS EXPENSE BORROWED DURING INTEREST RATE BALANCE OUTSTANDING* INCURRED THE PERIOD ------------- ------------ ------------ -------- --------------- Dimensional Emerging Markets Value Fund. 0.86% $36,348 19 $17 $86,942
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that the Fund's available line of credit was utilized. There were no outstanding borrowings by the Fund under the lines of credit as of October 31, 2013. H. SECURITIES LENDING: As of October 31, 2013, 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 $284,247 (in thousands). The Fund invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral 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 313 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 January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. K. 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. 314 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, 2013, 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 five years in the period then ended, 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, 2013 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 20, 2013 315 FUND MANAGEMENT (UNAUDITED) TRUSTEES/DIRECTORS Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment 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, 2013. 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. There was one Nominating Committee meeting held during the fiscal year ended October 31, 2013. 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, 2013. 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. 316
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ AND OTHER DIRECTORSHIPS OF PUBLIC COMPANIES ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN HELD ---------------------------------------------------------------------------------------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS ---------------------------------------------------------------------------------------------------------------------------- George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The Director of DFAIDG and DIG. investment companies University 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 1947 ---------------------------------------------------------------------------------------------------------------------------- John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service Director of 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 5807 S. Woodlawn Avenue (futures trading exchange) (since 2004). Chicago, IL 60637 Formerly, Director of UNext, Inc. (1999-2006). 1939 Trustee, Harbor Fund (registered investment company) (30 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Mutual Insurance Company (1997-2010). ---------------------------------------------------------------------------------------------------------------------------- Roger G. Ibbotson Since Inception 106 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 Management fund manager) (since 2001). Consultant to P.O. Box 208200 Morningstar, Inc. (since 2006). Formerly, New Haven, CT 06520-8200 Chairman, Ibbotson Associates, Inc., Chicago, IL 1943 (software data publishing and consulting) (1977- 2006). Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). ---------------------------------------------------------------------------------------------------------------------------- Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Director of DFAIDG and DIG. investment companies Institution (since 2002). Jack Steele Parker Trustee of DFAITC and DEM. Professor of Human Resources Management Stanford University and Economics, Graduate School of Business, Graduate School of Business Stanford University (since 1995). Cornerstone 518 Memorial Way Stanford, Research (expert testimony and economic and CA 94305-5015 financial analysis) (since 2009). Formerly, 1948 Chairman of the 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 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director 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 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 1941 companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). ---------------------------------------------------------------------------------------------------------------------------- Abbie J. Smith Since Inception 106 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 1953 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). ----------------------------------------------------------------------------------------------------------------------------
317
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 YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN OTHER DIRECTORSHIPS OF PUBLIC COMPANIES HELD ------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* ------------------------------------------------------------------------------------------------------------------------------- David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-Chief Chairman, Director, investment companies Executive Officer (since January 2010) of Co-Chief Executive Dimensional Holdings Inc., Dimensional Fund Officer and President of Advisors LP, DFA Securities LLC, DEM, DFAIDG, DFAIDG and DIG. DIG and DFAITC. Director of Dimensional Fund Chairman, Trustee, Advisors Ltd., Dimensional Funds PLC, Dimensional Co-Chief Executive Funds II PLC, DFA Australia Limited, Dimensional Officer and President of Cayman Commodity Fund I Ltd., Dimensional Japan DFAITC and DEM. Ltd. and Dimensional Advisors Ltd. Chairman, 6300 Bee Cave Road, Director and Co-Chief Executive Officer of Building One Austin, Dimensional Fund Advisors Canada ULC. President, Texas 78746 Dimensional SmartNest (US) LLC. Limited Partner, 1946 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, DEM, DFAIDG, DIG , DFAITC, 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 106 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 Dimensional Fund Advisors LP, DFA Securities LLC, of DFAIDG and DIG. DEM, DFAIDG, DIG, DFAITC and Dimensional Trustee, Co-Chief Cayman Commodity Fund I Ltd. Director, Co-Chief Executive Officer and Executive Officer, President and Chief Investment Chief Investment Officer Officer of Dimensional Fund Advisors Canada ULC. of DFAITC and DEM. Chief Investment Officer, Vice President and Director 6300 Bee Cave Road, of DFA Australia Limited. Director of Dimensional Building One Fund Advisors Ltd., Dimensional Funds PLC, Austin, TX 78746 Dimensional Funds II PLC, Dimensional Japan Ltd. 1967 and Dimensional Advisors Ltd., Formerly President of Dimensional Holdings Inc, Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG, DFAITC 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. 318 OFFICERS The name, year of birth, 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"), Dimensional Holdings Inc., 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 YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------- OFFICERS --------------------------------------------------------------------------------------------------------------------- April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President 1963 --------------------------------------------------------------------------------------------------------------------- Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Vice President Business Development at Capson Physicians Insurance Company 1974 (2010-2012); Vice President at Charles Schwab (2007-2010). --------------------------------------------------------------------------------------------------------------------- Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President 1966 --------------------------------------------------------------------------------------------------------------------- Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing Vice President Director of DFAL (since September 2013). 1955 --------------------------------------------------------------------------------------------------------------------- Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President 1968 --------------------------------------------------------------------------------------------------------------------- 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 Fund Advisors Pte. 1967 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). 1964 --------------------------------------------------------------------------------------------------------------------- Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (December 2010-January2012); Regional Director 1970 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 1956 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 1966 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, 1972 North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). --------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since September 2011). Formerly, Vice President at 1971 MullinTBG 92005-2011). --------------------------------------------------------------------------------------------------------------------- Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since 2003). 1979 ---------------------------------------------------------------------------------------------------------------------
319
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------ Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (August 2002-January 2012). 1976 ------------------------------------------------------------------------------------------------------------------------ Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Vice President 1949 ------------------------------------------------------------------------------------------------------------------------ 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 1955 Company (2007-2008). ------------------------------------------------------------------------------------------------------------------------ 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 and Dimensional SmartNest (US) LLC. Chief Compliance Officer of 1965 Dimensional Fund Advisors Canada ULC. ------------------------------------------------------------------------------------------------------------------------ James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President 1956 ------------------------------------------------------------------------------------------------------------------------ Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. 1957 ------------------------------------------------------------------------------------------------------------------------ Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for Vice President Dimensional (since August 2008). 1972 ------------------------------------------------------------------------------------------------------------------------ Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Vice President 1970 ------------------------------------------------------------------------------------------------------------------------ Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant DFA Australia Limited. Secretary 1965 ------------------------------------------------------------------------------------------------------------------------ Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President 1971 ------------------------------------------------------------------------------------------------------------------------ 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 1974 Manager of Dimensional (since January 2012). ------------------------------------------------------------------------------------------------------------------------ Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager Vice President for Dimensional (since June 2006). 1970 ------------------------------------------------------------------------------------------------------------------------ Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Vice President 1967 ------------------------------------------------------------------------------------------------------------------------ Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director Vice President at BlackRock (2004-January 2012). 1968 ------------------------------------------------------------------------------------------------------------------------ Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President 1967 ------------------------------------------------------------------------------------------------------------------------ John T. Gray Since 2007 Vice President of all the DFA Entities. Vice President 1974 ------------------------------------------------------------------------------------------------------------------------ Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional 1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd. (2008-2009); Trader for Dimensional (2004-2008). ------------------------------------------------------------------------------------------------------------------------ Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Vice President 1967 ------------------------------------------------------------------------------------------------------------------------
320
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------------------------------------------------------------------------------------------- Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities, Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional 1974 Japan Ltd. ---------------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President 1967 ---------------------------------------------------------------------------------------------------------------------------- Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President 1967 ---------------------------------------------------------------------------------------------------------------------------- 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). 1960 ---------------------------------------------------------------------------------------------------------------------------- William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For Vice President Dimensional (since 2012). Formerly, Vice President of Institutional 1957 Business Development at Eaton Vance (2005-2011). ---------------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. 1973 ---------------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager Vice President for Dimensional (October 2008-January 2012). 1968 ---------------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities, Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan 1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited and Chief Operating Officer of Dimensional. 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. and Dimensional Advisors Ltd. Director and Vice President of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd. ---------------------------------------------------------------------------------------------------------------------------- Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since October 2004). 1977 ---------------------------------------------------------------------------------------------------------------------------- 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). 1948 ---------------------------------------------------------------------------------------------------------------------------- David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since June 2004). 1971 ---------------------------------------------------------------------------------------------------------------------------- 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 1971 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 1971 Dimensional (April 2001-January 2012). ---------------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate Vice President Investment Analytics and Data for Dimensional (January 2012- 1981 December 2012); Systems Developer for Dimensional (June 2007- December 2011). ---------------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (2007-2010). 1968 ---------------------------------------------------------------------------------------------------------------------------- Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of Vice President Dimensional SmartNest (US) LLC (since 2012). 1967 ---------------------------------------------------------------------------------------------------------------------------- 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). 1969 ----------------------------------------------------------------------------------------------------------------------------
321
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------- David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for Vice President Dimensional (January 2010-December 2012); Trader for 1978 Dimensional (2000-2009). ------------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Since 2005 Vice President of all the DFA Entities. Vice President 1971 ------------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (July 2008-2010). 1980 ------------------------------------------------------------------------------------------------------------------------------- John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since January 2008). 1960 ------------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since February 2004). 1969 ------------------------------------------------------------------------------------------------------------------------------- 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 1972 2006). ------------------------------------------------------------------------------------------------------------------------------- Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (Since August 2010). Formerly, Vice President, Sales 1971 and Business Development at AdvisorsIG (PPMG) (2009- 2010); Vice President at Credit Suisse (2007-2009). ------------------------------------------------------------------------------------------------------------------------------- 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. Human Resources 1970 ------------------------------------------------------------------------------------------------------------------------------- David R. Martin Vice Since 2007 Vice President, Chief Financial Officer and Treasurer of all the DFA President, Chief Financial Officer Entities. Director, Vice President, Chief Financial Officer and and Treasurer Treasurer of Dimensional Fund Advisors Ltd., DFA Australia 1956 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 (US) LLC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. ------------------------------------------------------------------------------------------------------------------------------- Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Manager for Vice President Dimensional (Since 2012). Formerly, Regional Director for 1978 Dimensional (2008-2011; Senior Associate at Dimensional (2007- 2010). ------------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment Vice President Systems at Dimensional (Since 2011). Formerly, Project Manager 1971 for Dimensional (2007-2010). ------------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Director, Vice Vice President and Secretary 1997 and Secretary President and Secretary of DFA Australia Limited and Dimensional 1964 since 2000 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 (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). ------------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (2008-2010). 1964 -------------------------------------------------------------------------------------------------------------------------------
322
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ----------------------------------------------------------------------------------------------------------------------- Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Officer Vice President of Dimensional (since December 2012). Formerly Chief Compliance 1961 Officer of Wellington Management Company, LLP (2004-2011). ----------------------------------------------------------------------------------------------------------------------- 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 1974 2011). Counsel for Dimensional (2007-2011). ----------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Vice President 1976 ----------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2005). 1973 ----------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for Vice President Dimensional (since January 2008). Formerly, Compliance Officer 1978 (February 2006-December 2007). ----------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior 1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011); Senior Investment Analyst and Consultant at Hewitt EnnisKnupp (July 2008-June 2011). ----------------------------------------------------------------------------------------------------------------------- Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional Vice President Fund Advisors LP (since 2009). Formerly, Vice President and 1976 Corporate Counsel at Mellon Capital Management (2006-2008). ----------------------------------------------------------------------------------------------------------------------- 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 1961 Canada ULC. ----------------------------------------------------------------------------------------------------------------------- Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2006). 1970 ----------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). 1973 ----------------------------------------------------------------------------------------------------------------------- Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis Vice President Manager for Dimensional (since July 2007). 1969 ----------------------------------------------------------------------------------------------------------------------- Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (June 2011-January 2012); Research 1981 Assistant for Dimensional (July 2004-August 2007). ----------------------------------------------------------------------------------------------------------------------- L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President 1971 ----------------------------------------------------------------------------------------------------------------------- Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for Vice President Dimensional (since July 2008). 1959 ----------------------------------------------------------------------------------------------------------------------- Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (March 2006-January 2010). 1961 ----------------------------------------------------------------------------------------------------------------------- Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations Vice President Manager for Dimensional (since May 2007). 1965 ----------------------------------------------------------------------------------------------------------------------- Ted R. Simpson Since 2007 Vice President of all the DFA Entities. Vice President 1968 ----------------------------------------------------------------------------------------------------------------------- Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Vice President 1975 ----------------------------------------------------------------------------------------------------------------------- Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). 1968 -----------------------------------------------------------------------------------------------------------------------
323
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------- Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. 1956 --------------------------------------------------------------------------------------------------------------------- Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President 1963 --------------------------------------------------------------------------------------------------------------------- Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President 1947 --------------------------------------------------------------------------------------------------------------------- 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. 1973 --------------------------------------------------------------------------------------------------------------------- Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since April 2010). Formerly, Principal, Investment 1971 Strategist at Barclays Global Investors (2004-2009). --------------------------------------------------------------------------------------------------------------------- Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment Vice President Analytics and Data for Dimensional (since 2012). Formerly, 1973 Research Assistant at Dimensional (2002-2011). --------------------------------------------------------------------------------------------------------------------- Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since 2010). Formerly, Senior Associate at 1980 Dimensional (2007-2009). --------------------------------------------------------------------------------------------------------------------- John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (January 2008-January 2012). 1978 --------------------------------------------------------------------------------------------------------------------- Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology Vice President for Dimensional (since March 2007). 1958 --------------------------------------------------------------------------------------------------------------------- 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 1966 Canada ULC. --------------------------------------------------------------------------------------------------------------------- Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since 2004). 1970 --------------------------------------------------------------------------------------------------------------------- Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President 1951 --------------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Vice President 1976 --------------------------------------------------------------------------------------------------------------------- Paul E. Wise Since 2005 Vice President of all the DFA Entities. Vice President 1955 --------------------------------------------------------------------------------------------------------------------- Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2005-2010). 1978
/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. 324 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. 325 NOTICE TO SHAREHOLDERS (UNAUDITED) For shareholders that do not have an October 31, 2013 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2013 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2012 to October 31, 2013, 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.
QUALIFYING FOR NET CORPORATE INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1) ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------ Enhanced U.S. Large Company Portfolio.......................... 100% -- -- -- -- 100% -- U.S. Large Cap Equity Portfolio..... 100% -- -- -- -- 100% 100% U.S. Large Cap Value Portfolio...... 100% -- -- -- -- 100% 100% U.S. Targeted Value Portfolio....... 20% 5% 75% -- -- 100% 100% U.S. Small Cap Value Portfolio...... 20% 3% 77% -- -- 100% 100% U.S. Core Equity 1 Portfolio........ 100% -- -- -- -- 100% 100% U.S. Core Equity 2 Portfolio........ 72% -- 28% -- -- 100% 100% U.S. Vector Equity Portfolio........ 88% -- 12% -- -- 100% 100% U. S Small Cap Portfolio............ 24% 3% 73% -- -- 100% 100% U.S. Micro Cap Portfolio............ 21% -- 79% -- -- 100% 100% DFA Real Estate Securities Portfolio.......................... 100% -- -- -- -- 100% 100% Large Cap International Portfolio... 100% -- -- -- -- 100% 100% International Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% International Small Company Portfolio.......................... 77% 1% 22% -- -- 100% 100% Japanese Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% United Kingdom Small Company Portfolio.......................... 100% -- -- -- -- 100% 100% Continental Small Company Portfolio.......................... 100% -- -- -- -- 100% 100%
QUALIFYING SHORT- QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7) ------------------------------------ ---------- ----------- --------- --------- ---------- ---------- Enhanced U.S. Large Company Portfolio.......................... -- 4% -- -- 100% 100% U.S. Large Cap Equity Portfolio..... 100% -- -- -- 100% 100% U.S. Large Cap Value Portfolio...... 100% -- -- -- 100% 100% U.S. Targeted Value Portfolio....... 100% -- -- -- 100% 100% U.S. Small Cap Value Portfolio...... 100% -- -- -- 100% 100% U.S. Core Equity 1 Portfolio........ 100% -- -- -- 100% 100% U.S. Core Equity 2 Portfolio........ 100% -- -- -- 100% 100% U.S. Vector Equity Portfolio........ 100% -- -- -- 100% 100% U. S Small Cap Portfolio............ 100% -- -- -- 100% 100% U.S. Micro Cap Portfolio............ 100% -- -- -- 100% 100% DFA Real Estate Securities Portfolio.......................... 100% -- -- -- 100% 100% Large Cap International Portfolio... 100% -- 5% 100% 100% 100% International Core Equity Portfolio.......................... 100% -- 5% 100% 100% 100% International Small Company Portfolio.......................... 100% -- 3% 98% 100% 100% Japanese Small Company Portfolio.......................... 100% -- 4% 64% 100% 100% Asia Pacific Small Company Portfolio.......................... 100% -- 3% 100% 100% 100% United Kingdom Small Company Portfolio.......................... 100% -- -- -- 100% 100% Continental Small Company Portfolio.......................... 100% -- 5% 100% 100% 100%
326 NOTICE TO SHAREHOLDERS (UNAUDITED)
QUALIFYING FOR NET CORPORATE INVESTMENT SHORT-TERM LONG-TERM RETURN DIVIDENDS INCOME CAPITAL GAIN CAPITAL GAIN OF TAX-EXEMPT TOTAL RECEIVED DFA INVESTMENT DIMENSIONS GROUP INC. DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS CAPITAL INTEREST DISTRIBUTIONS DEDUCTION(1) ------------------------------------ ------------- ------------- ------------- ------- ---------- ------------- ------------ DFA International Real Estate Securities Portfolio............... 100% -- -- -- -- 100% 100% DFA Global Real Estate Securities Portfolio.......................... 100% -- -- -- -- 100% 100% DFA International Small Cap Value Portfolio.......................... 63% 1% 37% -- -- 100% 100% International Vector Equity Portfolio.......................... 89% -- 11% -- -- 100% 100% World ex U.S. Value Portfolio....... 100% -- -- -- -- 100% 100% World ex U.S. Targeted Value Portfolio.......................... 97% -- 2% -- -- 100% 100% World ex U.S. Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% Selectively Hedged Global Equity Portfolio.......................... 77% 10% 13% -- -- 100% 100% Emerging Markets Portfolio.......... 67% -- 33% -- -- 100% 100% Emerging Markets Small Cap Portfolio.......................... 41% 2% 56% -- -- 100% 100% Emerging Markets Value Portfolio.......................... 51% -- 49% -- -- 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- -- -- -- 100% 100% DFA Commodity Strategy Portfolio.......................... 73% 14% 14% -- -- 100% 100% DIMENSIONAL INVESTMENT GROUP INC. DFA International Value Portfolio... 100% -- -- -- -- 100% 100% U.S. Large Company Portfolio........ 100% -- -- -- -- 100% 100%
QUALIFYING SHORT- QUALIFYING U.S. FOREIGN FOREIGN QUALIFYING TERM DIVIDEND GOVERNMENT TAX SOURCE INTEREST CAPITAL DFA INVESTMENT DIMENSIONS GROUP INC. INCOME(2) INTEREST(3) CREDIT(4) INCOME(5) INCOME(6) GAIN(7) ------------------------------------ ---------- ----------- --------- --------- ---------- ---------- DFA International Real Estate Securities Portfolio............... 100% -- 3% 77% 100% 100% DFA Global Real Estate Securities Portfolio.......................... 100% -- 3% 74% 100% 100% DFA International Small Cap Value Portfolio.......................... 100% -- 4% 97% 100% 100% International Vector Equity Portfolio.......................... 100% -- 5% 100% 100% 100% World ex U.S. Value Portfolio....... 100% -- 9% 100% 100% 100% World ex U.S. Targeted Value Portfolio.......................... 100% -- 6% 100% 100% 100% World ex U.S. Core Equity Portfolio.......................... 100% -- 6% 100% 100% 100% Selectively Hedged Global Equity Portfolio.......................... 100% -- 3% 55% 100% 100% Emerging Markets Portfolio.......... 100% -- 7% 100% 100% 100% Emerging Markets Small Cap Portfolio.......................... 100% -- 4% 100% 100% 100% Emerging Markets Value Portfolio.......................... 100% -- 4% 100% 100% 100% Emerging Markets Core Equity Portfolio.......................... 100% -- 6% 100% 100% 100% DFA Commodity Strategy Portfolio.......................... 100% 1% -- -- 100% 100% DIMENSIONAL INVESTMENT GROUP INC. DFA International Value Portfolio... 100% -- 8% 100% 100% 100% U.S. Large Company Portfolio........ 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. 327 NOTICE TO SHAREHOLDERS (UNAUDITED) (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). 328 [LOGO] DFA103113-001A [LOGO] ANNUAL REPORT year ended: October 31, 2013 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 2013 Dear Fellow Shareholder, Our goal at Dimensional is to deliver an outstanding investment experience to our clients. Our close ties to academia help us identify leading research that can be beneficial to investors, and our team works to interpret, rigorously test, and consider the practical applicability of those ideas in carefully implemented investment strategies. This focus on research and implementation has been central to Dimensional's approach since our founding and will continue to be a key part of our offer to investors. Sincerely, /s/ David G. Booth Chairman and Co-Chief Executive Officer 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............................... 6 Disclosure of Fund Expenses........................................ 11 Disclosure of Portfolio Holdings................................... 13 Schedule of Investments/Summary Schedules of Portfolio Holdings Tax-Managed U.S. Marketwide Value Portfolio.................... 15 Tax-Managed U.S. Equity Portfolio.............................. 16 Tax-Managed U.S. Targeted Value Portfolio...................... 19 Tax-Managed U.S. Small Cap Portfolio........................... 22 T.A. U.S. Core Equity 2 Portfolio.............................. 25 Tax-Managed DFA International Value Portfolio.................. 28 T.A. World ex U.S. Core Equity Portfolio....................... 32 Statements of Assets and Liabilities............................... 38 Statements of Operations........................................... 40 Statements of Changes in Net Assets................................ 42 Financial Highlights............................................... 44 Notes to Financial Statements...................................... 48 Report of Independent Registered Public Accounting Firm............ 60 The DFA Investment Trust Company - The Tax-Managed U.S. Marketwide Value Series Performance Chart.................................................. 61 Management's Discussion and Analysis............................... 62 Disclosure of Fund Expenses........................................ 64 Disclosure of Portfolio Holdings................................... 65 Summary Schedule of Portfolio Holdings............................. 66 Statement of Assets and Liabilities................................ 69 Statement of Operations............................................ 70 Statements of Changes in Net Assets................................ 71 Financial Highlights............................................... 72 Notes to Financial Statements...................................... 73 Report of Independent Registered Public Accounting Firm............ 78 Fund Management....................................................... 79 Voting Proxies on Fund Portfolio Securities........................... 88 Notice to Shareholders................................................ 89
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 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) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. All Statements, Schedules and Notes to Financial Statements ----------------------------------------------------------- -- Amounts designated as -- are either zero or rounded to zero. REIT Real Estate Investment Trust SEC Securities and Exchange Commission
1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO VS. RUSSELL 3000(R) VALUE INDEX October 31, 2003-October 31, 2013 [CHART] Growth of $10,000 Tax-Managed U.S. Marketwide Value Portfolio Russell 3000 Value Index -------------------------- ------------------------ 10/2003 $10,000 $10,000 11/2003 $10,277 $10,155 12/2003 $10,799 $10,760 01/2004 $11,030 $10,964 02/2004 $11,271 $11,197 03/2004 $11,264 $11,119 04/2004 $11,060 $10,823 05/2004 $11,143 $10,934 06/2004 $11,489 $11,215 07/2004 $11,090 $11,027 08/2004 $11,025 $11,180 09/2004 $11,426 $11,376 10/2004 $11,575 $11,564 11/2004 $12,357 $12,186 12/2004 $12,761 $12,583 01/2005 $12,480 $12,336 02/2005 $12,957 $12,731 03/2005 $12,824 $12,549 04/2005 $12,356 $12,289 05/2005 $12,889 $12,622 06/2005 $13,211 $12,796 07/2005 $13,925 $13,197 08/2005 $13,906 $13,118 09/2005 $14,160 $13,284 10/2005 $13,812 $12,947 11/2005 $14,367 $13,379 12/2005 $14,428 $13,443 01/2006 $15,233 $14,017 02/2006 $15,186 $14,094 03/2006 $15,549 $14,330 04/2006 $15,929 $14,663 05/2006 $15,483 $14,271 06/2006 $15,582 $14,370 07/2006 $15,486 $14,668 08/2006 $15,563 $14,931 09/2006 $15,863 $15,215 10/2006 $16,474 $15,738 11/2006 $16,875 $16,106 12/2006 $17,201 $16,447 01/2007 $17,642 $16,660 02/2007 $17,421 $16,406 03/2007 $17,616 $16,654 04/2007 $18,241 $17,229 05/2007 $19,098 $17,852 06/2007 $18,689 $17,435 07/2007 $17,666 $16,571 08/2007 $17,569 $16,769 09/2007 $18,013 $17,304 10/2007 $18,022 $17,321 11/2007 $16,966 $16,438 12/2007 $16,890 $16,281 01/2008 $16,218 $15,627 02/2008 $15,625 $14,975 03/2008 $15,348 $14,888 04/2008 $16,211 $15,594 05/2008 $16,568 $15,612 06/2008 $14,738 $14,119 07/2008 $14,618 $14,127 08/2008 $14,917 $14,402 09/2008 $13,651 $13,376 10/2008 $10,598 $11,030 11/2008 $ 9,547 $10,199 12/2008 $ 9,867 $10,379 01/2009 $ 8,580 $ 9,162 02/2009 $ 7,425 $ 7,934 03/2009 $ 8,206 $ 8,614 04/2009 $ 9,621 $ 9,573 05/2009 $10,344 $10,133 06/2009 $10,208 $10,062 07/2009 $11,242 $10,912 08/2009 $11,990 $11,478 09/2009 $12,533 $11,932 10/2009 $11,927 $11,533 11/2009 $12,482 $12,160 12/2009 $12,932 $12,430 01/2010 $12,571 $12,079 02/2010 $13,149 $12,475 03/2010 $14,185 $13,305 04/2010 $14,733 $13,699 05/2010 $13,472 $12,570 06/2010 $12,441 $11,830 07/2010 $13,436 $12,634 08/2010 $12,555 $12,061 09/2010 $13,802 $13,024 10/2010 $14,332 $13,424 11/2010 $14,363 $13,386 12/2010 $15,722 $14,447 01/2011 $16,109 $14,747 02/2011 $17,018 $15,308 03/2011 $17,124 $15,381 04/2011 $17,522 $15,777 05/2011 $17,250 $15,601 06/2011 $16,947 $15,276 07/2011 $16,222 $14,769 08/2011 $14,867 $13,816 09/2011 $13,356 $12,735 10/2011 $15,213 $14,222 11/2011 $15,097 $14,152 12/2011 $15,239 $14,432 01/2012 $16,036 $15,010 02/2012 $16,886 $15,579 03/2012 $17,240 $16,042 04/2012 $16,921 $15,873 05/2012 $15,728 $14,939 06/2012 $16,554 $15,679 07/2012 $16,693 $15,817 08/2012 $17,325 $16,171 09/2012 $17,949 $16,689 10/2012 $18,003 $16,598 11/2012 $18,110 $16,595 12/2012 $18,627 $16,964 01/2013 $19,862 $18,060 02/2013 $20,165 $18,315 03/2013 $21,166 $19,044 04/2013 $21,307 $19,308 05/2013 $22,002 $19,810 06/2013 $21,866 $19,642 07/2013 $23,195 $20,718 Past performance is not predictive of 08/2013 $22,509 $19,922 future performance. 09/2013 $23,328 $20,472 10/2013 $24,432 $21,350 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Average Annual One Five Ten Total Return Year Years Years Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2013, all rights 35.71% 18.18% 9.34% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TAX-MANAGED U.S. EQUITY PORTFOLIO VS. RUSSELL 3000(R) INDEX October 31, 2003-October 31, 2013 [CHART] Growth of $10,000 Tax-Managed U.S. Equity Portfolio Russell 3000 Index --------------------------------- ------------------ 10/2003 $10,000 $10,000 11/2003 $10,128 $10,138 12/2003 $10,536 $10,601 01/2004 $10,749 $10,823 02/2004 $10,906 $10,969 03/2004 $10,767 $10,838 04/2004 $10,592 $10,614 05/2004 $10,749 $10,768 06/2004 $10,946 $10,982 07/2004 $10,511 $10,567 08/2004 $10,511 $10,610 09/2004 $10,697 $10,774 10/2004 $10,846 $10,951 11/2004 $11,347 $11,460 12/2004 $11,739 $11,868 01/2005 $11,459 $11,552 02/2005 $11,701 $11,806 03/2005 $11,505 $11,607 04/2005 $11,233 $11,355 05/2005 $11,664 $11,785 06/2005 $11,737 $11,867 07/2005 $12,234 $12,354 08/2005 $12,140 $12,236 09/2005 $12,243 $12,344 10/2005 $12,008 $12,112 11/2005 $12,478 $12,584 12/2005 $12,473 $12,594 01/2006 $12,861 $13,015 02/2006 $12,889 $13,038 03/2006 $13,096 $13,263 04/2006 $13,238 $13,407 05/2006 $12,812 $12,978 06/2006 $12,811 $13,001 07/2006 $12,792 $12,989 08/2006 $13,087 $13,306 09/2006 $13,383 $13,604 10/2006 $13,813 $14,094 11/2006 $14,080 $14,401 12/2006 $14,268 $14,573 01/2007 $14,518 $14,850 02/2007 $14,287 $14,607 03/2007 $14,453 $14,759 04/2007 $15,031 $15,348 05/2007 $15,579 $15,908 06/2007 $15,321 $15,610 07/2007 $14,799 $15,078 08/2007 $15,002 $15,294 09/2007 $15,534 $15,852 10/2007 $15,796 $16,142 11/2007 $15,098 $15,416 12/2007 $15,018 $15,322 01/2008 $14,111 $14,394 02/2008 $13,701 $13,947 03/2008 $13,628 $13,864 04/2008 $14,303 $14,558 05/2008 $14,596 $14,856 06/2008 $13,444 $13,630 07/2008 $13,365 $13,521 08/2008 $13,571 $13,731 09/2008 $12,333 $12,440 10/2008 $10,222 $10,233 11/2008 $ 9,511 $ 9,426 12/2008 $ 9,682 $ 9,606 01/2009 $ 8,874 $ 8,800 02/2009 $ 7,977 $ 7,878 03/2009 $ 8,631 $ 8,568 04/2009 $ 9,343 $ 9,470 05/2009 $ 9,794 $ 9,975 06/2009 $ 9,845 $10,009 07/2009 $10,581 $10,788 08/2009 $10,893 $11,174 09/2009 $11,334 $11,642 10/2009 $11,071 $11,342 11/2009 $11,688 $11,987 12/2009 $12,020 $12,328 01/2010 $11,583 $11,884 02/2010 $11,969 $12,287 03/2010 $12,716 $13,061 04/2010 $12,971 $13,343 05/2010 $11,951 $12,289 06/2010 $11,273 $11,583 07/2010 $12,062 $12,387 08/2010 $11,478 $11,804 09/2010 $12,570 $12,918 10/2010 $13,074 $13,423 11/2010 $13,156 $13,500 12/2010 $14,039 $14,415 01/2011 $14,340 $14,730 02/2011 $14,857 $15,267 03/2011 $14,925 $15,335 04/2011 $15,371 $15,792 05/2011 $15,184 $15,612 06/2011 $14,932 $15,331 07/2011 $14,588 $14,980 08/2011 $13,713 $14,082 09/2011 $12,696 $12,989 10/2011 $14,109 $14,484 11/2011 $14,099 $14,445 12/2011 $14,205 $14,563 01/2012 $14,890 $15,298 02/2012 $15,543 $15,945 03/2012 $16,007 $16,437 04/2012 $15,891 $16,329 05/2012 $14,898 $15,320 06/2012 $15,468 $15,920 07/2012 $15,638 $16,078 08/2012 $16,031 $16,479 09/2012 $16,463 $16,912 10/2012 $16,165 $16,620 11/2012 $16,293 $16,749 12/2012 $16,476 $16,954 01/2013 $17,379 $17,884 02/2013 $17,605 $18,121 03/2013 $18,294 $18,831 04/2013 $18,574 $19,140 05/2013 $19,070 $19,591 06/2013 $18,837 $19,337 07/2013 $19,876 $20,397 Past performance is not predictive of 08/2013 $19,313 $19,827 future performance. 09/2013 $20,017 $20,565 10/2013 $20,876 $21,438 The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Average Annual One Five Ten Total Return Year Years Years Russell data copyright (C) Russell --------------------------------------------------------- Investment Group 1995-2013, all rights 29.15% 15.35% 7.64% reserved.
-------------------------------------------------------------------------------- 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO VS. RUSSELL 2000(R) VALUE INDEX October 31, 2003-October 31, 2013 [CHART] Growth of $10,000 Tax-Managed U.S. Targeted Value Portfolio Russell 2000 Value Index ------------------------ ------------------------ 10/2003 $10000 $10000 11/2003 $10434 $10384 12/2003 $10842 $10760 01/2004 $11288 $11132 02/2004 $11462 $11348 03/2004 $11566 $11505 04/2004 $11103 $10910 05/2004 $11158 $11042 06/2004 $11741 $11603 07/2004 $11060 $11069 08/2004 $10924 $11178 09/2004 $11486 $11620 10/2004 $11590 $11800 11/2004 $12713 $12847 12/2004 $13199 $13154 01/2005 $12793 $12645 02/2005 $13110 $12897 03/2005 $12810 $12631 04/2005 $11931 $11979 05/2005 $12648 $12710 06/2005 $13154 $13272 07/2005 $14089 $14027 08/2005 $13922 $13705 09/2005 $14010 $13682 10/2005 $13626 $13339 11/2005 $14249 $13880 12/2005 $14277 $13773 01/2006 $15513 $14912 02/2006 $15410 $14911 03/2006 $16245 $15633 04/2006 $16428 $15675 05/2006 $15679 $15026 06/2006 $15684 $15211 07/2006 $15104 $15000 08/2006 $15397 $15448 09/2006 $15553 $15599 10/2006 $16349 $16393 11/2006 $16771 $16860 12/2006 $16969 $17007 01/2007 $17319 $17262 02/2007 $17231 $17050 03/2007 $17440 $17256 04/2007 $17777 $17435 05/2007 $18458 $18074 06/2007 $18180 $17653 07/2007 $16855 $16150 08/2007 $16834 $16474 09/2007 $16841 $16548 10/2007 $16990 $16729 11/2007 $15667 $15475 12/2007 $15518 $15344 01/2008 $14778 $14715 02/2008 $14379 $14130 03/2008 $14510 $14343 04/2008 $14946 $14797 05/2008 $15563 $15303 06/2008 $14097 $13835 07/2008 $14191 $14544 08/2008 $14679 $15235 09/2008 $13426 $14521 10/2008 $10520 $11620 11/2008 $9155 $10274 12/2008 $9659 $10906 01/2009 $8347 $9348 02/2009 $7191 $8050 03/2009 $7844 $8764 04/2009 $9314 $10155 05/2009 $9690 $10375 06/2009 $9648 $10342 07/2009 $10780 $11538 08/2009 $11298 $12084 09/2009 $11897 $12690 10/2009 $11089 $11847 11/2009 $11459 $12224 12/2009 $12328 $13150 01/2010 $12023 $12765 02/2010 $12715 $13357 03/2010 $13746 $14468 04/2010 $14765 $15480 05/2010 $13508 $14172 06/2010 $12285 $12935 07/2010 $13246 $13858 08/2010 $12203 $12816 09/2010 $13644 $14192 10/2010 $14241 $14742 11/2010 $14793 $15117 12/2010 $16080 $16373 01/2011 $16147 $16381 02/2011 $17061 $17213 03/2011 $17376 $17452 04/2011 $17683 $17736 05/2011 $17263 $17418 06/2011 $16920 $16990 07/2011 $16388 $16428 08/2011 $14739 $14977 09/2011 $12985 $13341 10/2011 $15036 $15264 11/2011 $15006 $15234 12/2011 $15152 $15472 01/2012 $16125 $16500 02/2012 $16729 $16746 03/2012 $17070 $17265 04/2012 $16791 $17015 05/2012 $15562 $15976 06/2012 $16177 $16746 07/2012 $16116 $16575 08/2012 $16843 $17086 09/2012 $17388 $17695 10/2012 $17350 $17473 11/2012 $17684 $17526 12/2012 $18318 $18265 01/2013 $19562 $19353 02/2013 $19914 $19574 03/2013 $20877 $20389 04/2013 $20712 $20369 05/2013 $21714 $20978 Past performance is not predictive of 06/2013 $21561 $20893 future performance. 07/2013 $23090 $22236 08/2013 $22236 $21252 The returns shown do not reflect the 09/2013 $23483 $22479 deduction of taxes that a shareholder 10/2013 $24394 $23210 would pay on fund distributions or the redemption of fund shares. Average Annual One Five Ten Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------------- Investment Group 1995-2013, all rights 40.60% 18.32% 9.33% reserved.
-------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TAX-MANAGED U.S. SMALL CAP PORTFOLIO VS. RUSSELL 2000(R) INDEX October 31, 2003-October 31, 2013 [CHART] Growth of $10,000 Tax-Managed U.S. Small Cap Portfolio Russell 2000 Index ------------------- ------------------ 10/2003 $10000 $10000 11/2003 $10378 $10355 12/2003 $10578 $10565 01/2004 $11062 $11024 02/2004 $11155 $11123 03/2004 $11230 $11226 04/2004 $10741 $10654 05/2004 $10852 $10823 06/2004 $11265 $11279 07/2004 $10444 $10520 08/2004 $10293 $10466 09/2004 $10811 $10957 10/2004 $11015 $11173 11/2004 $11952 $12142 12/2004 $12441 $12501 01/2005 $12004 $11980 02/2005 $12237 $12182 03/2005 $11888 $11834 04/2005 $11153 $11156 05/2005 $11911 $11886 06/2005 $12335 $12344 07/2005 $13203 $13126 08/2005 $13052 $12883 09/2005 $13174 $12923 10/2005 $12772 $12522 11/2005 $13384 $13130 12/2005 $13392 $13070 01/2006 $14595 $14242 02/2006 $14513 $14203 03/2006 $15181 $14892 04/2006 $15256 $14889 05/2006 $14392 $14053 06/2006 $14329 $14144 07/2006 $13756 $13683 08/2006 $14066 $14089 09/2006 $14163 $14206 10/2006 $14930 $15024 11/2006 $15375 $15419 12/2006 $15465 $15471 01/2007 $15747 $15729 02/2007 $15712 $15605 03/2007 $15926 $15772 04/2007 $16290 $16055 05/2007 $16971 $16713 06/2007 $16796 $16469 07/2007 $15792 $15343 08/2007 $15903 $15690 09/2007 $16166 $15960 10/2007 $16514 $16417 11/2007 $15230 $15239 12/2007 $15213 $15229 01/2008 $14104 $14191 02/2008 $13736 $13665 03/2008 $13737 $13722 04/2008 $14170 $14296 05/2008 $14823 $14953 06/2008 $13653 $13802 07/2008 $13990 $14313 08/2008 $14333 $14829 09/2008 $13015 $13648 10/2008 $10275 $10809 11/2008 $8977 $9530 12/2008 $9366 $10083 01/2009 $8268 $8962 02/2009 $7254 $7873 03/2009 $7958 $8576 04/2009 $9262 $9901 05/2009 $9544 $10200 06/2009 $9778 $10349 07/2009 $10704 $11346 08/2009 $10900 $11672 09/2009 $11486 $12345 10/2009 $10685 $11507 11/2009 $10934 $11868 12/2009 $11826 $12823 01/2010 $11437 $12351 02/2010 $11945 $12907 03/2010 $12901 $13958 04/2010 $13744 $14748 05/2010 $12677 $13629 06/2010 $11703 $12573 07/2010 $12534 $13437 08/2010 $11545 $12442 09/2010 $12979 $13992 10/2010 $13527 $14565 11/2010 $14109 $15070 12/2010 $15208 $16267 01/2011 $15195 $16225 02/2011 $16063 $17115 03/2011 $16562 $17558 04/2011 $16907 $18022 05/2011 $16555 $17684 06/2011 $16289 $17276 07/2011 $15778 $16652 08/2011 $14337 $15203 09/2011 $12742 $13499 10/2011 $14678 $15542 11/2011 $14624 $15485 12/2011 $14746 $15587 01/2012 $15741 $16689 02/2012 $16129 $17088 03/2012 $16589 $17526 04/2012 $16362 $17255 05/2012 $15307 $16113 06/2012 $15976 $16917 07/2012 $15862 $16683 08/2012 $16405 $17240 09/2012 $16973 $17806 10/2012 $16725 $17420 11/2012 $16906 $17512 12/2012 $17481 $18136 01/2013 $18539 $19271 02/2013 $18763 $19484 03/2013 $19637 $20383 04/2013 $19481 $20309 05/2013 $20465 $21120 06/2013 $20473 $21012 Past performance is not predictive of 07/2013 $22001 $22483 future performance. 08/2013 $21302 $21769 09/2013 $22652 $23157 The returns shown do not reflect the 10/2013 $23339 $23740 deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Average Annual One Five Ten Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------------- Investment Group 1995-2013, all rights 39.55% 17.83% 8.85% reserved.
-------------------------------------------------------------------------------- 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- T.A. U.S. CORE EQUITY 2 PORTFOLIO VS. RUSSELL 3000(R) INDEX October 4, 2007-October 31, 2013 [CHART] Growth of $10,000 T.A. U.S Core Equity 2 Portfolio Russell 3000 Index -------------------------------- ------------------ 10/2007 $10000 $10000 10/2007 $9950 $10057 11/2007 $9400 $9604 12/2007 $9305 $9546 01/2008 $8874 $8968 02/2008 $8613 $8689 03/2008 $8525 $8638 04/2008 $8937 $9070 05/2008 $9189 $9255 06/2008 $8339 $8492 07/2008 $8420 $8424 08/2008 $8642 $8555 09/2008 $7905 $7750 10/2008 $6377 $6376 11/2008 $5810 $5872 12/2008 $5991 $5985 01/2009 $5370 $5482 02/2009 $4748 $4908 03/2009 $5221 $5338 04/2009 $5927 $5900 05/2009 $6183 $6215 06/2009 $6188 $6236 07/2009 $6743 $6721 08/2009 $7021 $6961 09/2009 $7363 $7253 10/2009 $7043 $7066 11/2009 $7363 $7468 12/2009 $7710 $7681 01/2010 $7461 $7404 02/2010 $7772 $7655 03/2010 $8327 $8137 04/2010 $8638 $8313 05/2010 $7942 $7656 06/2010 $7384 $7216 07/2010 $7936 $7717 08/2010 $7457 $7354 09/2010 $8243 $8048 10/2010 $8557 $8363 11/2010 $8703 $8411 12/2010 $9380 $8981 01/2011 $9570 $9177 02/2011 $10001 $9511 03/2011 $10123 $9554 04/2011 $10365 $9839 05/2011 $10197 $9726 06/2011 $9996 $9552 07/2011 $9658 $9333 08/2011 $8929 $8773 09/2011 $8082 $8092 10/2011 $9154 $9024 11/2011 $9122 $8999 12/2011 $9197 $9073 01/2012 $9698 $9531 02/2012 $10125 $9934 03/2012 $10367 $10241 04/2012 $10261 $10174 05/2012 $9555 $9545 06/2012 $9933 $9918 07/2012 $9976 $10017 08/2012 $10298 $10267 09/2012 $10607 $10536 10/2012 $10510 $10355 11/2012 $10618 $10435 12/2012 $10846 $10563 01/2013 $11542 $11142 02/2013 $11673 $11290 03/2013 $12166 $11732 04/2013 $12264 $11924 05/2013 $12711 $12206 06/2013 $12596 $12047 Past performance is not predictive of 07/2013 $13351 $12708 future performance. 08/2013 $12935 $12353 09/2013 $13490 $12812 The returns shown do not reflect the 10/2013 $14039 $13356 deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Average Annual One Five From Total Return Year Years 10/4/2007 Russell data copyright (C) Russell ---------------------------------------------------------------- Investment Group 1995-2013, all rights 33.58% 17.10% 5.74% reserved.
-------------------------------------------------------------------------------- 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) -------------------------------------------------------------------------------- TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO VS. MSCI WORLD EX USA INDEX (NET DIVIDENDS) October 31, 2003-October 31, 2013 [CHART] Growth of $10,000 Tax-Managed DFA MSCI World International Value Portfolio ex USA Index (net dividends) ----------------------------- ---------------------------- 10/2003 $10000 $10000 11/2003 $10178 $10227 12/2003 $10928 $11011 01/2004 $11234 $11164 02/2004 $11539 $11421 03/2004 $11711 $11478 04/2004 $11358 $11178 05/2004 $11453 $11230 06/2004 $11924 $11489 07/2004 $11462 $11139 08/2004 $11549 $11185 09/2004 $11863 $11511 10/2004 $12289 $11925 11/2004 $13200 $12718 12/2004 $13883 $13255 01/2005 $13805 $12994 02/2005 $14361 $13572 03/2005 $14010 $13264 04/2005 $13591 $12926 05/2005 $13610 $12950 06/2005 $13839 $13161 07/2005 $14441 $13586 08/2005 $14955 $13961 09/2005 $15415 $14599 10/2005 $15147 $14127 11/2005 $15395 $14501 12/2005 $16182 $15173 01/2006 $17297 $16133 02/2006 $17469 $16079 03/2006 $18138 $16589 04/2006 $19070 $17382 05/2006 $18290 $16722 06/2006 $18135 $16700 07/2006 $18424 $16857 08/2006 $19033 $17336 09/2006 $19254 $17322 10/2006 $20108 $18006 11/2006 $20785 $18543 12/2006 $21585 $19074 01/2007 $22001 $19191 02/2007 $21968 $19344 03/2007 $22701 $19840 04/2007 $23816 $20742 05/2007 $24614 $21203 06/2007 $24416 $21224 07/2007 $23761 $20931 08/2007 $23484 $20628 09/2007 $24737 $21800 10/2007 $25941 $22748 11/2007 $24425 $21858 12/2007 $23915 $21447 01/2008 $21920 $19513 02/2008 $21602 $19867 03/2008 $21911 $19583 04/2008 $22867 $20672 05/2008 $22879 $20986 06/2008 $20661 $19354 07/2008 $20122 $18665 08/2008 $19270 $17943 09/2008 $17198 $15353 10/2008 $13292 $12159 11/2008 $12423 $11500 12/2008 $13301 $12106 01/2009 $11527 $10976 02/2009 $10071 $9865 03/2009 $11075 $10515 04/2009 $13070 $11871 05/2009 $15013 $13373 06/2009 $14812 $13234 07/2009 $16538 $14477 08/2009 $17434 $15170 09/2009 $18284 $15796 10/2009 $17581 $15543 11/2009 $18102 $15927 12/2009 $18327 $16181 01/2010 $17241 $15423 02/2010 $17293 $15407 03/2010 $18600 $16399 04/2010 $18286 $16155 05/2010 $16149 $14372 06/2010 $15875 $14164 07/2010 $17764 $15473 08/2010 $16913 $15011 09/2010 $18718 $16451 10/2010 $19399 $17037 11/2010 $18477 $16315 12/2010 $20198 $17629 01/2011 $21057 $18009 02/2011 $21755 $18676 03/2011 $21178 $18302 04/2011 $22282 $19299 05/2011 $21434 $18727 06/2011 $21080 $18460 07/2011 $20410 $18156 08/2011 $18249 $16621 09/2011 $16272 $14952 10/2011 $17883 $16406 11/2011 $17318 $15648 12/2011 $16823 $15477 01/2012 $17948 $16312 02/2012 $18934 $17209 03/2012 $18773 $17082 04/2012 $18077 $16792 05/2012 $15823 $14878 06/2012 $16948 $15852 07/2012 $16863 $16050 08/2012 $17557 $16508 09/2012 $18165 $17009 10/2012 $18379 $17128 11/2012 $18649 $17488 12/2012 $19573 $18017 01/2013 $20533 $18903 02/2013 $19888 $18715 03/2013 $19922 $18863 04/2013 $20883 $19722 05/2013 $20596 $19281 06/2013 $19860 $18558 Past performance is not predictive of 07/2013 $21186 $19546 future performance. 08/2013 $21041 $19294 09/2013 $22651 $20657 The returns shown do not reflect the 10/2013 $23413 $21350 deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five Ten redemption of fund shares. Total Return Year Years Years ------------------------------------------------------------- MSCI data copyright MSCI 2013, all 27.39% 11.99% 8.88% 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, 2013 [CHART] Growth of $10,000 T.A. World ex U.S. MSCI All Country World Core Equity Portfolio ex USA Index (net dividends) --------------------- ---------------------------- 03/2008 $10000 $10000 03/2008 $10160 $9940 04/2008 $10630 $10541 05/2008 $10750 $10708 06/2008 $9681 $9828 07/2008 $9357 $9474 08/2008 $8942 $9031 09/2008 $7757 $7674 10/2008 $5929 $5985 11/2008 $5584 $5638 12/2008 $6015 $5960 01/2009 $5382 $5433 02/2009 $4841 $4926 03/2009 $5344 $5321 04/2009 $6193 $6046 05/2009 $7186 $6865 06/2009 $7119 $6789 07/2009 $7884 $7453 08/2009 $8205 $7729 09/2009 $8681 $8126 10/2009 $8442 $8025 11/2009 $8743 $8255 12/2009 $8924 $8430 01/2010 $8486 $8018 02/2010 $8528 $8018 03/2010 $9183 $8563 04/2010 $9152 $8488 05/2010 $8129 $7595 06/2010 $8051 $7497 07/2010 $8874 $8174 08/2010 $8579 $7950 09/2010 $9531 $8741 10/2010 $9859 $9038 11/2010 $9488 $8689 12/2010 $10314 $9370 01/2011 $10431 $9462 02/2011 $10644 $9711 03/2011 $10649 $9689 04/2011 $11182 $10162 05/2011 $10851 $9869 06/2011 $10663 $9726 07/2011 $10490 $9593 08/2011 $9530 $8771 09/2011 $8278 $7795 10/2011 $9115 $8617 11/2011 $8799 $8177 12/2011 $8560 $8086 01/2012 $9294 $8634 02/2012 $9809 $9119 03/2012 $9721 $8994 04/2012 $9502 $8852 05/2012 $8405 $7847 06/2012 $8878 $8309 07/2012 $8867 $8427 08/2012 $9123 $8603 09/2012 $9494 $8925 10/2012 $9561 $8959 11/2012 $9729 $9130 12/2012 $10221 $9446 01/2013 $10581 $9830 02/2013 $10480 $9726 03/2013 $10548 $9746 04/2013 $10886 $10104 05/2013 $10638 $9870 06/2013 $10191 $9442 07/2013 $10704 $9856 Past performance is not predictive of 08/2013 $10556 $9720 future performance. 09/2013 $11347 $10395 10/2013 $11749 $10777 The returns shown do not reflect the $ $ deduction of taxes that a shareholder would pay on fund distributions or the Average Annual One Five From redemption of fund shares. Total Return Year Years 3/6/2008 --------------------------------------------------------------- MSCI data copyright MSCI 2013, all 22.88% 14.66% 2.89% rights reserved.
-------------------------------------------------------------------------------- 5 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. Equity Market Review 12 Months Ended October 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. 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 book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable 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, small cap and/or micro cap companies relative to widely used benchmarks. 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. 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. As of October 31, 2013, the Master Fund held approximately 1,300 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Master Fund's assets. 6 For the 12 months ended October 31, 2013, total returns were 35.71% for the Portfolio and 28.64% 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. The Master Fund had significantly greater exposure than the Index to deeper value stocks, as measured by book-to-market. These stocks generally outperformed, and the Master Fund's higher weight in value stocks contributed to the Portfolio's outperformance relative to the Index. The Master Fund invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Small cap stocks generally outperformed large and mid cap stocks during the period, and the Master Fund's greater exposure to small cap stocks benefited the Portfolio's relative performance. The Master Fund's exclusion of real estate investment trusts ("REITs") and highly regulated utilities also contributed to the Portfolio's outperformance relative to the Index as both sectors underperformed the overall Index during the period. 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. As of October 31, 2013, the Portfolio held approximately 2,500 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 29.15% for the Portfolio and 28.99% 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 exclusion of real estate investment trusts ("REITs") contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. 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. As of October 31, 2013, the Portfolio held approximately 1,500 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 40.60% for the Portfolio and 32.83% 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 exclusion of real estate investment trusts ("REITs") and highly regulated utilities contributed to the Portfolio's outperformance relative to the Index as both sectors underperformed the overall Index during the period. 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. As of October 31, 2013, the Portfolio held approximately 2,000 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 39.55% for the Portfolio and 36.28% 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 had greater exposure than the Index to micro cap stocks which contributed to the Portfolio's outperformance relative to the Index as micro cap stocks generally outperformed small and mid-cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. The Portfolio excluded certain 7 extreme small cap growth stocks, as measured by book-to-market ratio and other metrics, which were held by the Index. These stocks generally underperformed, and their exclusion from the Portfolio benefited the Portfolio's relative performance. 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. As of October 31, 2013, the Portfolio held approximately 2,800 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 33.58% for the Portfolio and 28.99% 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 greater exposure than the Index to small cap stocks and less exposure to large cap stocks, both of which contributed to the Portfolio's outperformance relative to the index as small cap stocks generally outperformed large cap stocks during the period. The Portfolio's exclusion of real estate investment trusts ("REITs") also contributed to the Portfolio's outperformance relative to the Index as REITs underperformed during the period. International Equity Market Review 12 Months Ended October 31, 2013 The one-year period ended October 31, 2013, was characterized by generally positive monthly returns in the international equity markets with the exception of a sharp decline from May to June and a smaller decline in August. As measured by the MSCI indices below for developed markets outside the U.S., small cap stocks generally outperformed large cap stocks while value stocks outperformed growth stocks.
12 Months Ended October 31, 2013 -------------------------------- U.S. Dollar Return ------------------ MSCI World ex USA Index........... 24.65% MSCI World ex USA Small Cap Index. 27.81% MSCI World ex USA Value Index..... 26.12% MSCI World ex USA Growth Index.... 23.17%
During the period, the U.S. dollar (USD) was mixed against developed markets currencies. While the U.S. dollar depreciated against the euro, Swiss franc, and several other European-based developed markets currencies, it appreciated against the sterling, Canadian dollar, Australian dollar and Japanese yen.
12 Months Ended October 31, 2013 -------------------------------- Ten Largest Foreign Developed Markets by Market Cap Local Currency Return U.S. Dollar Return --------------------------------------------------- --------------------- ------------------ United Kingdom.................... 20.70% 20.37% Japan............................. 64.48% 34.00% Canada............................ 10.59% 5.99% France............................ 27.55% 33.82% Australia......................... 26.44% 15.47% Switzerland....................... 27.49% 31.10% Germany........................... 24.72% 30.85% Spain............................. 30.69% 37.11% Sweden............................ 24.39% 27.55% Hong Kong......................... 14.30% 14.25%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, all rights reserved. 8 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, 2013, returns in U.S. dollars were 6.53% for the MSCI Emerging Markets Index (net dividends) versus 24.65% for the MSCI World ex USA Index (net dividends). As measured by the MSCI emerging markets indices, small cap stocks outperformed large cap stocks while growth stocks outperformed value stocks.
12 Months Ended October 31, 2013 -------------------------------- U.S. Dollar Return - ------------------ MSCI Emerging Markets Index........... 6.53% MSCI Emerging Markets Small Cap Index. 10.29% MSCI Emerging Markets Value Index..... 3.88% MSCI Emerging Markets Growth Index.... 9.06%
During the period, the U.S. dollar (USD) generally appreciated against most emerging markets currencies, except those in eastern Europe, decreasing USD denominated returns in emerging markets.
12 Months Ended October 31, 2013 -------------------------------- Ten Largest Emerging Markets by Market Cap Local Currency Return U.S. Dollar Return ------------------------------------------ --------------------- ------------------ China........................ 9.32% 9.28% South Korea.................. 9.57% 12.65% Brazil....................... 7.85% -1.52% Taiwan....................... 18.76% 18.08% South Africa................. 20.85% 5.07% India........................ 14.98% 0.65% Russia....................... 12.94% 10.89% Mexico....................... 1.41% 2.11% Malaysia..................... 13.25% 9.32% Indonesia.................... 1.33% -13.66%
---------- Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2013, 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 reduce or defer the impact of taxes on the value of a shareholder's investment. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 510 securities in 22 eligible developed countries. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 27.39% for the Portfolio and 24.65% for the MSCI World ex USA Index (net dividends). The Portfolio focuses on value stocks, as measured by book-to-market, while the Index is neutral with regard to value or growth. As large cap value stocks generally outperformed large cap growth stocks during the period, the Portfolio's significantly greater exposure than the Index to these securities contributed to the Portfolio's outperformance relative to the Index. In particular, the Portfolio's greater exposure to value stocks in the financial sector was beneficial as these names outperformed. The Portfolio's exclusion of real estate investment trusts ("REITs") also benefited the Portfolio's relative performance as REITs underperformed during the period. Differences in the valuation timing and methodology between the Portfolio and the Index generally detracted from the Portfolio's 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. 9 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 potential tax implications of investment decisions. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2013, the Portfolio held approximately 7,000 securities in 43 eligible developed and emerging markets. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Portfolio's assets. For the 12 months ended October 31, 2013, total returns were 22.88% for the Portfolio and 20.29% 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 invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Small cap stocks generally outperformed large and mid cap stocks during the period, and the Portfolio's greater exposure to small cap stocks contributed to the Portfolio's outperformance relative to the Index. The Portfolio's greater exposure to value stocks, as measured by book-to-market, was also beneficial as these stocks outperformed the Index. 10 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, 2013 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/13 10/31/13 Ratio* Period* --------- --------- ---------- -------- Tax-Managed U.S. Marketwide Value Portfolio** --------------------------------------------- Actual Fund Return $1,000.00 $1,146.70 0.37% $2.00 Hypothetical 5% Annual Return $1,000.00 $1,023.34 0.37% $1.89 Tax-Managed U.S. Equity Portfolio --------------------------------- Actual Fund Return $1,000.00 $1,123.90 0.22% $1.18 Hypothetical 5% Annual Return $1,000.00 $1,024.10 0.22% $1.12
11 DISCLOSURE OF FUND EXPENSES CONTINUED
Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/13 10/31/13 Ratio* Period* --------- --------- ---------- -------- Tax-Managed U.S. Targeted Value Portfolio ----------------------------------------- Actual Fund Return $1,000.00 $1,177.80 0.44% $2.42 Hypothetical 5% Annual Return $1,000.00 $1,022.99 0.44% $2.24 Tax-Managed U.S. Small Cap Portfolio ------------------------------------ Actual Fund Return $1,000.00 $1,198.00 0.52% $2.88 Hypothetical 5% Annual Return $1,000.00 $1,022.58 0.52% $2.65 T.A. U.S. Core Equity 2 Portfolio --------------------------------- Actual Fund Return $1,000.00 $1,144.80 0.24% $1.30 Hypothetical 5% Annual Return $1,000.00 $1,024.00 0.24% $1.22 Tax-Managed DFA International Value Portfolio --------------------------------------------- Actual Fund Return $1,000.00 $1,121.10 0.53% $2.83 Hypothetical 5% Annual Return $1,000.00 $1,022.53 0.53% $2.70 T.A. World ex U.S. Core Equity Portfolio ---------------------------------------- Actual Fund Return $1,000.00 $1,079.30 0.45% $2.36 Hypothetical 5% Annual Return $1,000.00 $1,022.94 0.45% $2.29
---------- * Expenses are equal to the fund's annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (365) to reflect the six-month period. **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). 12 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 27, 2013. 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 is held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 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 present 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 Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Affiliated Investment Company's holdings which reflect the investments by category. FEEDER FUND
Affiliated Investment Company ----------------------------- Tax-Managed U.S. Marketwide Value Portfolio. 100.0%
DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS Tax-Managed U.S. Equity Portfolio Consumer Discretionary....................... 13.8% Consumer Staples............................. 9.3% Energy....................................... 10.0% Financials................................... 14.5% Health Care.................................. 12.8% Industrials.................................. 11.9% Information Technology....................... 18.2% Materials.................................... 3.9% Other........................................ -- Telecommunication Services................... 2.3% Utilities.................................... 3.3% ----- 100.0%
Tax-Managed U.S. Targeted Value Portfolio Consumer Discretionary....................... 17.6% Consumer Staples............................. 4.0% Energy....................................... 8.3% Financials................................... 25.8% Health Care.................................. 5.8% Industrials.................................. 16.0% Information Technology....................... 13.0% Materials.................................... 8.4% Other........................................ -- Telecommunication Services................... 0.7% Utilities.................................... 0.4% ----- 100.0%
Tax-Managed U.S. Small Cap Portfolio Consumer Discretionary....................... 17.2% Consumer Staples............................. 4.5% Energy....................................... 5.6% Financials................................... 20.1% Health Care.................................. 9.2% Industrials.................................. 17.9% Information Technology....................... 17.1% Materials.................................... 5.4% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 0.8% Utilities.................................... 2.2% ----- 100.0%
13 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED T.A. U.S. Core Equity 2 Portfolio Consumer Discretionary....................... 14.9% Consumer Staples............................. 5.9% Energy....................................... 11.6% Financials................................... 19.9% Health Care.................................. 10.7% Industrials.................................. 13.7% Information Technology....................... 13.7% Materials.................................... 4.9% Other........................................ -- Telecommunication Services................... 2.6% Utilities.................................... 2.1% ----- 100.0%
Tax-Managed DFA International Value Portfolio Consumer Discretionary....................... 9.3% Consumer Staples............................. 4.9% Energy....................................... 12.4% Financials................................... 36.5% Health Care.................................. 1.5% Industrials.................................. 9.9% Information Technology....................... 3.8% Materials.................................... 11.2% Other........................................ -- Telecommunication Services................... 7.2% Utilities.................................... 3.3% ----- 100.0%
T.A. World ex U.S. Core Equity Portfolio Consumer Discretionary....................... 13.4% Consumer Staples............................. 6.8% Energy....................................... 8.2% Financials................................... 26.4% Health Care.................................. 4.7% Industrials.................................. 16.1% Information Technology....................... 7.1% Materials.................................... 11.2% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 3.2% Utilities.................................... 2.9% ----- 100.0%
14 TAX-MANAGED U.S. MARKETWIDE VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2013
Value+ -------------- AFFILIATED INVESTMENT COMPANY -- (100.0%) Investment in The Tax-Managed U.S. Marketwide Value Series of The DFA Investment Trust Company....................... $3,110,170,247 -------------- TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $1,838,617,379)........................................ $3,110,170,247 ==============
Summary of the Portfolio's Master Fund's investments as of October 31, 2013, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 15 TAX-MANAGED U.S. EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (93.7%) Consumer Discretionary -- (12.9%) * Amazon.com, Inc.................... 38,978 $ 14,189,161 0.7% Comcast Corp. Class A.............. 224,903 10,700,885 0.6% Home Depot, Inc. (The)............. 148,392 11,558,253 0.6% McDonald's Corp.................... 107,641 10,389,509 0.5% Walt Disney Co. (The).............. 183,316 12,573,644 0.6% Other Securities................... 213,743,139 10.7% -------------- ------ Total Consumer Discretionary........... 273,154,591 13.7% -------------- ------ Consumer Staples -- (8.7%) Altria Group, Inc.................. 214,752 7,995,217 0.4% Coca-Cola Co. (The)................ 431,559 17,076,790 0.9% CVS Caremark Corp.................. 132,004 8,218,569 0.4% PepsiCo, Inc....................... 166,178 13,973,908 0.7% Philip Morris International, Inc... 170,074 15,156,995 0.8% Procter & Gamble Co. (The)......... 295,232 23,839,984 1.2% Wal-Mart Stores, Inc............... 174,326 13,379,520 0.7% Other Securities................... 85,026,171 4.2% -------------- ------ Total Consumer Staples................. 184,667,154 9.3% -------------- ------ Energy -- (9.4%) Chevron Corp....................... 207,157 24,850,554 1.3% ConocoPhillips..................... 124,211 9,104,666 0.5% Exxon Mobil Corp................... 471,305 42,238,354 2.1% Occidental Petroleum Corp.......... 85,483 8,213,207 0.4% Schlumberger, Ltd.................. 141,594 13,270,190 0.7% Other Securities................... 100,509,561 5.0% -------------- ------ Total Energy........................... 198,186,532 10.0% -------------- ------ Financials -- (13.6%) American Express Co................ 104,440 8,543,192 0.5% American International Group, Inc.. 147,222 7,604,016 0.4% Bank of America Corp............... 1,155,107 16,125,294 0.8% * Berkshire Hathaway, Inc. Class B... 183,795 21,151,129 1.1% Citigroup, Inc..................... 326,044 15,904,426 0.8% Goldman Sachs Group, Inc. (The).... 46,912 7,546,264 0.4% JPMorgan Chase & Co................ 403,904 20,817,212 1.1% Wells Fargo & Co................... 543,241 23,190,958 1.2% Other Securities................... 166,692,344 8.1% -------------- ------ Total Financials....................... 287,574,835 14.4% -------------- ------ Health Care -- (12.0%) AbbVie, Inc........................ 167,626 8,121,480 0.4% Amgen, Inc......................... 80,563 9,345,308 0.5% Bristol-Myers Squibb Co............ 175,807 9,233,384 0.5% * Gilead Sciences, Inc............... 163,352 11,596,358 0.6% Johnson & Johnson.................. 303,676 28,123,434 1.4% Merck & Co., Inc................... 314,073 14,161,552 0.7% Pfizer, Inc........................ 704,127 21,602,616 1.1% Other Securities................... 152,754,750 7.6% -------------- ------ Total Health Care...................... 254,938,882 12.8% -------------- ------
16 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (11.1%) 3M Co.............................................. 70,092 $ 8,821,078 0.5% Boeing Co. (The)................................... 77,367 10,096,393 0.5% General Electric Co................................ 1,094,103 28,599,852 1.5% Union Pacific Corp................................. 50,016 7,572,422 0.4% United Parcel Service, Inc. Class B................ 76,915 7,556,130 0.4% United Technologies Corp........................... 93,458 9,929,912 0.5% Other Securities................................... 163,350,013 8.0% -------------- ------ Total Industrials........................................ 235,925,800 11.8% -------------- ------ Information Technology -- (17.1%) Apple, Inc......................................... 95,889 50,087,619 2.5% Cisco Systems, Inc................................. 566,126 12,737,835 0.7% * Google, Inc. Class A............................... 29,251 30,145,496 1.5% Intel Corp......................................... 525,207 12,830,807 0.7% International Business Machines Corp............... 109,076 19,547,510 1.0% Mastercard, Inc. Class A........................... 12,491 8,957,296 0.5% Microsoft Corp..................................... 830,486 29,357,680 1.5% Oracle Corp........................................ 400,229 13,407,671 0.7% QUALCOMM, Inc...................................... 184,909 12,845,628 0.7% Visa, Inc. Class A................................. 55,143 10,844,974 0.6% Other Securities................................... 161,220,881 7.8% -------------- ------ Total Information Technology............................. 361,983,397 18.2% -------------- ------ Materials -- (3.7%) Other Securities................................... 77,654,853 3.9% -------------- ------ Other -- (0.0%) Other Securities................................... 6 0.0% -------------- ------ Telecommunication Services -- (2.2%) AT&T, Inc.......................................... 570,785 20,662,417 1.1% Verizon Communications, Inc........................ 307,630 15,538,391 0.8% Other Securities................................... 9,836,629 0.4% -------------- ------ Total Telecommunication Services......................... 46,037,437 2.3% -------------- ------ Utilities -- (3.0%) Other Securities................................... 64,711,193 3.2% -------------- ------ TOTAL COMMON STOCKS...................................... 1,984,834,680 99.6% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 3,664 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.073%. 7,082,169 7,082,169 0.4% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (6.0%) (S)@ DFA Short Term Investment Fund..................... 10,866,584 125,726,373 6.3% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,161,929,972)................................ $2,117,646,886 106.3% ============== ======
17 TAX-MANAGED U.S. EQUITY PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 273,154,591 -- -- $ 273,154,591 Consumer Staples............ 184,667,154 -- -- 184,667,154 Energy...................... 198,186,532 -- -- 198,186,532 Financials.................. 287,574,681 $ 154 -- 287,574,835 Health Care................. 254,936,624 2,258 -- 254,938,882 Industrials................. 235,925,800 -- -- 235,925,800 Information Technology...... 361,983,397 -- -- 361,983,397 Materials................... 77,654,853 -- -- 77,654,853 Other....................... -- 6 -- 6 Telecommunication Services.. 46,037,437 -- -- 46,037,437 Utilities................... 64,711,193 -- -- 64,711,193 Rights/Warrants............... -- 3,664 -- 3,664 Temporary Cash Investments.... 7,082,169 -- -- 7,082,169 Securities Lending Collateral. -- 125,726,373 -- 125,726,373 -------------- ------------ -- -------------- TOTAL......................... $1,991,914,431 $125,732,455 -- $2,117,646,886 ============== ============ == ==============
See accompanying Notes to Financial Statements. 18 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (89.5%) Consumer Discretionary -- (15.8%) #* Cabela's, Inc.......................... 228,775 $ 13,570,933 0.4% Dillard's, Inc. Class A................ 275,746 22,605,657 0.7% # GameStop Corp. Class A................. 431,501 23,654,885 0.7% Gannett Co., Inc....................... 412,001 11,400,068 0.4% #* Iconix Brand Group, Inc................ 357,800 12,913,002 0.4% # Lennar Corp. Class A................... 325,800 11,582,190 0.4% * Mohawk Industries, Inc................. 151,410 20,049,712 0.6% # Wendy's Co. (The)...................... 1,383,503 12,022,641 0.4% Whirlpool Corp......................... 80,175 11,706,352 0.4% Other Securities....................... 421,924,677 13.1% -------------- ------ Total Consumer Discretionary............... 561,430,117 17.5% -------------- ------ Consumer Staples -- (3.6%) * Constellation Brands, Inc. Class A..... 317,371 20,724,326 0.7% #* Hain Celestial Group, Inc. (The)....... 151,530 12,611,842 0.4% Other Securities....................... 94,919,679 2.9% -------------- ------ Total Consumer Staples..................... 128,255,847 4.0% -------------- ------ Energy -- (7.4%) Bristow Group, Inc..................... 174,943 14,077,663 0.4% * Helix Energy Solutions Group, Inc...... 562,740 13,314,428 0.4% Patterson-UTI Energy, Inc.............. 473,266 11,481,433 0.4% * Rowan Cos. P.L.C. Class A.............. 328,885 11,866,171 0.4% Tesoro Corp............................ 419,582 20,513,364 0.7% # Western Refining, Inc.................. 378,467 12,213,130 0.4% Other Securities....................... 179,921,430 5.5% -------------- ------ Total Energy............................... 263,387,619 8.2% -------------- ------ Financials -- (23.1%) Allied World Assurance Co. Holdings AG. 155,508 16,839,961 0.5% * American Capital, Ltd.................. 1,164,025 16,307,990 0.5% American Financial Group, Inc.......... 370,385 20,837,860 0.7% Assurant, Inc.......................... 331,133 19,364,658 0.6% Axis Capital Holdings, Ltd............. 302,382 14,338,954 0.5% CNO Financial Group, Inc............... 1,264,042 19,693,774 0.6% Endurance Specialty Holdings, Ltd...... 204,319 11,296,798 0.4% Everest Re Group, Ltd.................. 104,016 15,991,420 0.5% * Genworth Financial, Inc. Class A....... 923,584 13,419,676 0.4% # Legg Mason, Inc........................ 349,011 13,426,453 0.4% NASDAQ OMX Group, Inc. (The)........... 406,131 14,389,221 0.5% Old Republic International Corp........ 665,413 11,172,284 0.4% PartnerRe, Ltd......................... 163,753 16,409,688 0.5% Protective Life Corp................... 263,755 12,153,830 0.4% Reinsurance Group of America, Inc...... 235,808 16,784,813 0.5% Other Securities....................... 588,883,430 18.3% -------------- ------ Total Financials........................... 821,310,810 25.7% -------------- ------ Health Care -- (5.2%) * LifePoint Hospitals, Inc............... 217,915 11,253,131 0.4% Omnicare, Inc.......................... 312,425 17,230,239 0.5% #* ViroPharma, Inc........................ 339,632 13,184,514 0.4% Other Securities....................... 143,790,719 4.5% -------------- ------ Total Health Care.......................... 185,458,603 5.8% -------------- ------
19 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (14.3%) AMERCO............................................. 88,302 $ 17,830,823 0.6% * Avis Budget Group, Inc............................. 549,560 17,217,715 0.5% #* Owens Corning...................................... 367,806 13,215,270 0.4% Ryder System, Inc.................................. 233,530 15,373,280 0.5% # Trinity Industries, Inc............................ 277,414 14,045,471 0.4% URS Corp........................................... 209,771 11,373,784 0.4% Other Securities................................... 420,474,162 13.1% -------------- ------ Total Industrials........................................ 509,530,505 15.9% -------------- ------ Information Technology -- (11.7%) * Arrow Electronics, Inc............................. 351,633 16,885,417 0.5% * Ingram Micro, Inc. Class A......................... 553,452 12,823,483 0.4% * SYNNEX Corp........................................ 188,595 11,560,874 0.4% Other Securities................................... 373,676,729 11.7% -------------- ------ Total Information Technology............................. 414,946,503 13.0% -------------- ------ Materials -- (7.5%) Ashland, Inc....................................... 159,881 14,796,987 0.5% * Louisiana-Pacific Corp............................. 670,853 11,411,210 0.4% MeadWestvaco Corp.................................. 386,074 13,454,679 0.4% Reliance Steel & Aluminum Co....................... 200,657 14,706,152 0.5% Rock Tenn Co. Class A.............................. 149,967 16,047,969 0.5% Westlake Chemical Corp............................. 119,228 12,807,472 0.4% Other Securities................................... 182,356,496 5.6% -------------- ------ Total Materials.......................................... 265,580,965 8.3% -------------- ------ Other -- (0.0%) Other Securities................................... 294 0.0% -------------- ------ Telecommunication Services -- (0.6%) Other Securities................................... 22,046,157 0.7% -------------- ------ Utilities -- (0.3%) Other Securities................................... 11,438,856 0.3% -------------- ------ TOTAL COMMON STOCKS...................................... 3,183,386,276 99.4% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 4,767 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.073%. 19,718,182 19,718,182 0.6% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (9.9%) (S)@ DFA Short Term Investment Fund..................... 30,594,546 353,978,897 11.1% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,244,219,974)................................ $3,557,088,122 111.1% ============== ======
20 TAX-MANAGED U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 561,430,117 -- -- $ 561,430,117 Consumer Staples............ 128,255,847 -- -- 128,255,847 Energy...................... 263,387,619 -- -- 263,387,619 Financials.................. 821,284,295 $ 26,515 -- 821,310,810 Health Care................. 185,295,114 163,489 -- 185,458,603 Industrials................. 509,403,403 127,102 -- 509,530,505 Information Technology...... 414,946,503 -- -- 414,946,503 Materials................... 265,580,965 -- -- 265,580,965 Other....................... -- 294 -- 294 Telecommunication Services.. 22,046,157 -- -- 22,046,157 Utilities................... 11,438,856 -- -- 11,438,856 Rights/Warrants............... -- 4,767 -- 4,767 Temporary Cash Investments.... 19,718,182 -- -- 19,718,182 Securities Lending Collateral. -- 353,978,897 -- 353,978,897 -------------- ------------ -- -------------- TOTAL......................... $3,202,787,058 $354,301,064 -- $3,557,088,122 ============== ============ == ==============
See accompanying Notes to Financial Statements. 21 TAX-MANAGED U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (83.5%) Consumer Discretionary -- (14.4%) #* Cabela's, Inc........................ 79,425 $ 4,711,491 0.3% #* Conn's, Inc.......................... 78,720 4,757,837 0.3% Domino's Pizza, Inc.................. 54,821 3,676,296 0.2% #* Iconix Brand Group, Inc.............. 102,033 3,682,371 0.2% * Krispy Kreme Doughnuts, Inc.......... 137,728 3,341,281 0.2% Lithia Motors, Inc. Class A 51,735 3,251,545 0.2% #* Lumber Liquidators Holdings, Inc..... 29,224 3,337,089 0.2% #* Saks, Inc............................ 221,647 3,544,136 0.2% Other Securities..................... 289,491,982 15.3% -------------- ------ Total Consumer Discretionary............. 319,794,028 17.1% -------------- ------ Consumer Staples -- (3.7%) * Prestige Brands Holdings, Inc........ 110,081 3,437,830 0.2% # Pricesmart, Inc...................... 28,537 3,247,225 0.2% Other Securities..................... 76,397,154 4.0% -------------- ------ Total Consumer Staples................... 83,082,209 4.4% -------------- ------ Energy -- (4.7%) Bristow Group, Inc. 53,346 4,292,753 0.2% * Hornbeck Offshore Services, Inc...... 59,921 3,311,834 0.2% # Western Refining, Inc................ 194,387 6,272,869 0.3% Other Securities..................... 89,915,310 4.8% -------------- ------ Total Energy............................. 103,792,766 5.5% -------------- ------ Financials -- (16.8%) #* Altisource Portfolio Solutions SA.... 21,934 3,449,780 0.2% # BancorpSouth, Inc.................... 148,561 3,283,198 0.2% CapitalSource, Inc................... 302,900 3,961,932 0.2% Cathay General Bancorp............... 161,692 3,982,474 0.2% CNO Financial Group, Inc............. 336,171 5,237,544 0.3% # Endurance Specialty Holdings, Ltd.... 63,590 3,515,891 0.2% First American Financial Corp........ 131,159 3,391,772 0.2% Platinum Underwriters Holdings, Ltd.. 54,370 3,381,270 0.2% * Portfolio Recovery Associates, Inc... 56,103 3,335,323 0.2% Primerica, Inc....................... 80,041 3,437,761 0.2% Radian Group, Inc.................... 324,032 4,721,146 0.3% StanCorp Financial Group, Inc........ 60,671 3,573,522 0.2% TCF Financial Corp................... 221,081 3,356,010 0.2% Washington Federal, Inc.............. 142,720 3,251,162 0.2% Webster Financial Corp............... 144,207 4,021,933 0.2% * Western Alliance Bancorp............. 158,880 3,360,312 0.2% Other Securities..................... 315,640,771 16.6% -------------- ------ Total Financials......................... 374,901,801 20.0% -------------- ------ Health Care -- (7.7%) #* Celldex Therapeutics, Inc............ 146,739 3,361,790 0.2% * Jazz Pharmaceuticals P.L.C........... 39,116 3,549,386 0.2% * Medicines Co. (The).................. 98,973 3,357,164 0.2% * Medidata Solutions, Inc.............. 49,170 5,423,943 0.3% #* ViroPharma, Inc...................... 115,735 4,492,833 0.2% Other Securities..................... 151,401,535 8.1% -------------- ------ Total Health Care........................ 171,586,651 9.2% -------------- ------
22 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Industrials -- (14.9%) AMERCO............................................. 25,259 $ 5,100,550 0.3% * Avis Budget Group, Inc............................. 130,275 4,081,516 0.2% #* Chart Industries, Inc.............................. 32,460 3,488,476 0.2% EnerSys, Inc....................................... 63,999 4,246,334 0.2% * Middleby Corp...................................... 16,509 3,758,274 0.2% * On Assignment, Inc................................. 101,799 3,439,788 0.2% Other Securities................................... 308,425,680 16.5% -------------- ------ Total Industrials........................................ 332,540,618 17.8% -------------- ------ Information Technology -- (14.3%) Convergys Corp..................................... 170,395 3,363,597 0.2% * CoStar Group, Inc.................................. 31,675 5,606,158 0.3% FEI Co............................................. 43,300 3,857,164 0.2% Mentor Graphics Corp............................... 201,941 4,458,857 0.2% * SYNNEX Corp........................................ 63,951 3,920,196 0.2% #* Tyler Technologies, Inc............................ 34,175 3,305,064 0.2% Other Securities................................... 292,980,285 15.6% -------------- ------ Total Information Technology............................. 317,491,321 16.9% -------------- ------ Materials -- (4.5%) Eagle Materials, Inc............................... 43,815 3,286,563 0.2% KapStone Paper and Packaging Corp.................. 76,202 3,959,456 0.2% PolyOne Corp....................................... 131,230 3,976,269 0.2% Worthington Industries, Inc........................ 82,330 3,337,658 0.2% Other Securities................................... 86,191,903 4.6% -------------- ------ Total Materials.......................................... 100,751,849 5.4% -------------- ------ Other -- (0.0%) Other Securities................................... 312 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 98,403 0.0% -------------- ------ Telecommunication Services -- (0.6%) Other Securities................................... 14,451,599 0.8% -------------- ------ Utilities -- (1.9%) Other Securities................................... 41,277,932 2.2% -------------- ------ TOTAL COMMON STOCKS...................................... 1,859,769,489 99.3% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 40,954 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.6%) State Street Institutional Liquid Reserves, 0.073%. 14,259,652 14,259,652 0.8% -------------- ------ Shares/ Face Amount ------- (000) SECURITIES LENDING COLLATERAL -- (15.9%) (S)@ DFA Short Term Investment Fund..................... 30,591,167 353,939,799 18.9% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,383,695,646)................................ $2,228,009,894 119.0% ============== ======
23 TAX-MANAGED U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 319,794,028 -- -- $ 319,794,028 Consumer Staples.............. 83,082,209 -- -- 83,082,209 Energy........................ 103,792,766 -- -- 103,792,766 Financials.................... 374,893,009 $ 8,792 -- 374,901,801 Health Care................... 171,527,461 59,190 -- 171,586,651 Industrials................... 332,524,999 15,619 -- 332,540,618 Information Technology........ 317,491,321 -- -- 317,491,321 Materials..................... 100,751,849 -- -- 100,751,849 Other......................... -- 312 -- 312 Real Estate Investment Trusts. 98,403 -- -- 98,403 Telecommunication Services.... 14,451,599 -- -- 14,451,599 Utilities..................... 41,277,932 -- -- 41,277,932 Rights/Warrants................. -- 40,954 -- 40,954 Temporary Cash Investments...... 14,259,652 -- -- 14,259,652 Securities Lending Collateral... -- 353,939,799 -- 353,939,799 -------------- ------------ -- -------------- TOTAL........................... $1,873,945,228 $354,064,666 -- $2,228,009,894 ============== ============ == ==============
See accompanying Notes to Financial Statements. 24 T.A. U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (90.3%) Consumer Discretionary -- (13.4%) CBS Corp. Class B...................... 191,185 $ 11,306,681 0.3% Comcast Corp. Class A.................. 456,217 21,706,805 0.5% Home Depot, Inc. (The)................. 144,802 11,278,628 0.3% * Liberty Media Corp. Class A............ 59,392 9,081,631 0.2% Lowe's Cos., Inc....................... 255,861 12,736,761 0.3% Time Warner Cable, Inc................. 88,298 10,609,005 0.3% Time Warner, Inc....................... 218,287 15,005,048 0.4% Twenty-First Century Fox, Inc. Class A. 376,280 12,823,622 0.3% Walt Disney Co. (The).................. 365,590 25,075,818 0.6% Other Securities....................... 479,825,576 11.7% -------------- ------ Total Consumer Discretionary............... 609,449,575 14.9% -------------- ------ Consumer Staples -- (5.4%) CVS Caremark Corp...................... 278,252 17,323,970 0.4% Mondelez International, Inc. Class A... 366,422 12,326,436 0.3% Procter & Gamble Co. (The)............. 274,994 22,205,765 0.5% Wal-Mart Stores, Inc................... 177,333 13,610,308 0.3% Walgreen Co............................ 179,862 10,655,025 0.3% Other Securities....................... 167,515,455 4.1% -------------- ------ Total Consumer Staples..................... 243,636,959 5.9% -------------- ------ Energy -- (10.5%) Anadarko Petroleum Corp................ 112,874 10,755,763 0.3% Chevron Corp........................... 448,961 53,857,362 1.3% ConocoPhillips......................... 271,234 19,881,452 0.5% EOG Resources, Inc..................... 59,768 10,662,611 0.3% Exxon Mobil Corp....................... 1,013,887 90,864,553 2.2% Occidental Petroleum Corp.............. 168,633 16,202,259 0.4% Schlumberger, Ltd...................... 125,663 11,777,136 0.3% Other Securities....................... 262,396,814 6.3% -------------- ------ Total Energy............................... 476,397,950 11.6% -------------- ------ Financials -- (17.9%) American International Group, Inc...... 308,768 15,947,867 0.4% Bank of America Corp................... 2,530,568 35,326,729 0.9% * Berkshire Hathaway, Inc. Class B....... 103,179 11,873,839 0.3% BlackRock, Inc......................... 30,175 9,076,942 0.2% Citigroup, Inc......................... 714,959 34,875,700 0.9% Goldman Sachs Group, Inc. (The)........ 93,740 15,079,016 0.4% JPMorgan Chase & Co.................... 899,039 46,336,470 1.1% MetLife, Inc........................... 216,234 10,230,031 0.3% U.S. Bancorp........................... 375,974 14,046,389 0.4% Wells Fargo & Co....................... 1,191,695 50,873,460 1.2% Other Securities....................... 569,608,139 13.7% -------------- ------ Total Financials........................... 813,274,582 19.8% -------------- ------ Health Care -- (9.7%) Amgen, Inc............................. 85,813 9,954,308 0.3% * Express Scripts Holding Co............. 153,147 9,574,750 0.2% Johnson & Johnson...................... 181,710 16,828,163 0.4% Merck & Co., Inc....................... 589,040 26,559,814 0.7% Pfizer, Inc............................ 1,450,953 44,515,238 1.1% UnitedHealth Group, Inc................ 207,981 14,196,783 0.4%
25 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Zoetis, Inc........................................ 386,123 $ 12,224,654 0.3% Other Securities................................... 305,789,187 7.3% -------------- ------ Total Health Care........................................ 439,642,897 10.7% -------------- ------ Industrials -- (12.4%) General Electric Co................................ 2,413,819 63,097,229 1.5% Union Pacific Corp................................. 104,921 15,885,039 0.4% Other Securities................................... 480,623,423 11.7% -------------- ------ Total Industrials........................................ 559,605,691 13.6% -------------- ------ Information Technology -- (12.4%) Apple, Inc......................................... 43,475 22,709,166 0.6% Cisco Systems, Inc................................. 1,252,046 28,171,035 0.7% EMC Corp........................................... 363,999 8,761,456 0.2% * Google, Inc. Class A............................... 11,628 11,983,584 0.3% Intel Corp......................................... 1,131,618 27,645,428 0.7% Microsoft Corp..................................... 327,024 11,560,298 0.3% Visa, Inc. Class A................................. 97,604 19,195,779 0.5% Other Securities................................... 432,423,976 10.4% -------------- ------ Total Information Technology............................. 562,450,722 13.7% -------------- ------ Materials -- (4.4%) Dow Chemical Co. (The)............................. 264,593 10,443,486 0.3% Other Securities................................... 189,858,935 4.6% -------------- ------ Total Materials.......................................... 200,302,421 4.9% -------------- ------ Other -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ Telecommunication Services -- (2.3%) AT&T, Inc.......................................... 1,265,775 45,821,055 1.1% Verizon Communications, Inc........................ 630,811 31,862,264 0.8% Other Securities................................... 27,745,224 0.7% -------------- ------ Total Telecommunication Services......................... 105,428,543 2.6% -------------- ------ Utilities -- (1.9%) Other Securities................................... 84,615,846 2.1% -------------- ------ TOTAL COMMON STOCKS...................................... 4,094,805,186 99.8% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... 123,997 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.3%) State Street Institutional Liquid Reserves, 0.073%. 13,720,683 13,720,683 0.3% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (9.4%) (S)@ DFA Short Term Investment Fund..................... 36,830,820 426,132,583 10.4% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,933,839,227)................................ $4,534,782,449 110.5% ============== ======
26 T.A. U.S. CORE EQUITY 2 PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary...... $ 609,449,575 -- -- $ 609,449,575 Consumer Staples............ 243,636,959 -- -- 243,636,959 Energy...................... 476,397,950 -- -- 476,397,950 Financials.................. 813,273,656 $ 926 -- 813,274,582 Health Care................. 439,628,629 14,268 -- 439,642,897 Industrials................. 559,590,881 14,810 -- 559,605,691 Information Technology...... 562,450,722 -- -- 562,450,722 Materials................... 200,302,421 -- -- 200,302,421 Other....................... -- -- -- -- Telecommunication Services.. 105,428,543 -- -- 105,428,543 Utilities................... 84,615,846 -- -- 84,615,846 Rights/Warrants -- 123,997 -- 123,997 Temporary Cash Investments.... 13,720,683 -- -- 13,720,683 Securities Lending Collateral. -- 426,132,583 -- 426,132,583 -------------- ------------ -- -------------- TOTAL......................... $4,108,495,865 $426,286,584 -- $4,534,782,449 ============== ============ == ==============
See accompanying Notes to Financial Statements. 27 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (98.2%) AUSTRALIA -- (5.3%) Wesfarmers, Ltd.................. 941,613 $ 38,209,661 1.4% Other Securities................. 109,526,121 4.0% -------------- ------ TOTAL AUSTRALIA...................... 147,735,782 5.4% -------------- ------ AUSTRIA -- (0.2%) Other Securities................. 6,765,880 0.2% -------------- ------ BELGIUM -- (1.3%) Other Securities................. 35,286,812 1.3% -------------- ------ CANADA -- (9.2%) Magna International, Inc......... 204,038 17,281,538 0.6% Manulife Financial Corp.......... 1,384,267 24,521,567 0.9% Sun Life Financial, Inc.......... 494,520 16,657,116 0.6% Suncor Energy, Inc............... 1,078,999 39,210,926 1.4% Other Securities................. 159,426,995 5.8% -------------- ------ TOTAL CANADA......................... 257,098,142 9.3% -------------- ------ DENMARK -- (1.4%) Other Securities................. 39,236,635 1.4% -------------- ------ FINLAND -- (1.0%) Other Securities................. 28,421,390 1.0% -------------- ------ FRANCE -- (10.5%) AXA SA........................... 987,329 24,599,729 0.9% BNP Paribas SA................... 652,618 48,145,678 1.8% Cie de St-Gobain................. 292,647 15,361,056 0.6% GDF Suez......................... 1,112,207 27,564,674 1.0% Orange........................... 1,431,646 19,679,515 0.7% Societe Generale SA.............. 577,609 32,628,846 1.2% Vivendi SA....................... 1,017,849 25,771,646 0.9% Other Securities................. 98,832,313 3.5% -------------- ------ TOTAL FRANCE......................... 292,583,457 10.6% -------------- ------ GERMANY -- (8.9%) Allianz SE....................... 122,653 20,593,722 0.7% Bayerische Motoren Werke AG...... 219,992 24,898,348 0.9% Daimler AG....................... 692,538 56,701,391 2.1% Deutsche Bank AG................. 333,752 16,126,897 0.6% Deutsche Telekom AG.............. 991,879 15,587,087 0.6% E.ON SE.......................... 1,187,081 21,638,694 0.8% Muenchener Rueckversicherungs AG. 112,068 23,381,001 0.9% Other Securities................. 69,056,550 2.4% -------------- ------ TOTAL GERMANY........................ 247,983,690 9.0% -------------- ------ GREECE -- (0.0%) Other Securities................. 1,085,945 0.0% -------------- ------ HONG KONG -- (2.4%) Hutchison Whampoa, Ltd........... 1,722,000 21,446,159 0.8% Other Securities................. 45,696,423 1.6% -------------- ------ TOTAL HONG KONG...................... 67,142,582 2.4% -------------- ------
28 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- IRELAND -- (0.1%) Other Securities........................ $ 1,940,229 0.1% -------------- ------ ISRAEL -- (0.3%) Other Securities........................ 7,761,433 0.3% -------------- ------ ITALY -- (1.4%) UniCredit SpA........................... 2,940,970 22,076,644 0.8% Other Securities........................ 15,885,392 0.6% -------------- ------ TOTAL ITALY................................. 37,962,036 1.4% -------------- ------ JAPAN -- (19.7%) Mitsubishi Corp......................... 1,136,600 22,994,616 0.8% Mitsubishi UFJ Financial Group, Inc..... 7,531,834 47,964,701 1.7% Mitsui & Co., Ltd....................... 1,287,200 18,388,840 0.7% Nippon Steel & Sumitomo Metal Corp...... 6,077,000 20,057,455 0.7% NTT DOCOMO, Inc......................... 1,212,400 19,234,755 0.7% Sumitomo Mitsui Financial Group, Inc.... 458,527 22,163,302 0.8% Other Securities........................ 400,270,038 14.6% -------------- ------ TOTAL JAPAN................................. 551,073,707 20.0% -------------- ------ NETHERLANDS -- (3.4%) * ING Groep NV............................ 1,578,512 20,059,269 0.7% Koninklijke Philips NV.................. 429,882 15,192,330 0.6% Other Securities........................ 58,964,640 2.1% -------------- ------ TOTAL NETHERLANDS........................... 94,216,239 3.4% -------------- ------ NEW ZEALAND -- (0.1%) Other Securities........................ 1,811,681 0.1% -------------- ------ NORWAY -- (0.8%) Other Securities........................ 21,167,066 0.8% -------------- ------ PORTUGAL -- (0.1%) Other Securities........................ 2,054,929 0.1% -------------- ------ SINGAPORE -- (1.0%) Other Securities........................ 28,475,164 1.0% -------------- ------ SPAIN -- (2.2%) Banco Santander SA...................... 2,092,020 18,546,306 0.7% Iberdrola SA............................ 3,061,217 19,214,785 0.7% Other Securities........................ 24,770,985 0.9% -------------- ------ TOTAL SPAIN................................. 62,532,076 2.3% -------------- ------ SWEDEN -- (3.0%) Nordea Bank AB.......................... 1,822,627 23,314,148 0.9% Telefonaktiebolaget LM Ericsson Class B. 1,777,471 21,260,711 0.8% Other Securities........................ 39,198,868 1.3% -------------- ------ TOTAL SWEDEN................................ 83,773,727 3.0% -------------- ------ SWITZERLAND -- (7.5%) Credit Suisse Group AG.................. 941,145 29,277,086 1.1% Holcim, Ltd............................. 241,079 17,931,322 0.7% Novartis AG ADR......................... 189,650 14,707,357 0.5%
29 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- SWITZERLAND -- (Continued) Swiss Re AG.................................................... 358,123 $ 31,436,971 1.1% UBS AG......................................................... 2,189,793 42,352,921 1.5% Zurich Insurance Group AG...................................... 98,396 27,189,098 1.0% Other Securities............................................... 47,688,171 1.7% -------------- ------ TOTAL SWITZERLAND.................................................... 210,582,926 7.6% -------------- ------ UNITED KINGDOM -- (18.4%) Barclays P.L.C................................................. 4,340,155 18,261,024 0.7% Barclays P.L.C. Sponsored ADR.................................. 1,825,842 30,692,404 1.1% BP P.L.C. Sponsored ADR........................................ 2,093,646 97,354,538 3.5% Glencore Xstrata P.L.C......................................... 4,609,215 25,084,350 0.9% HSBC Holdings P.L.C. Sponsored ADR............................. 392,093 21,580,799 0.8% Kingfisher P.L.C............................................... 2,319,541 14,031,930 0.5% * Lloyds Banking Group P.L.C..................................... 30,279,179 37,449,180 1.4% Royal Dutch Shell P.L.C. ADR(780259107)........................ 943,951 65,623,474 2.4% Royal Dutch Shell P.L.C. ADR(780259206)........................ 279,594 18,637,736 0.7% Vodafone Group P.L.C........................................... 14,789,930 54,171,920 2.0% Vodafone Group P.L.C. Sponsored ADR............................ 864,614 31,835,088 1.2% Other Securities............................................... 100,422,461 3.5% -------------- ------ TOTAL UNITED KINGDOM................................................. 515,144,904 18.7% -------------- ------ TOTAL COMMON STOCKS.................................................. 2,741,836,432 99.4% -------------- ------ PREFERRED STOCKS -- (0.1%) GERMANY -- (0.1%) Other Securities............................................... 4,318,851 0.1% -------------- ------ RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) Other Securities............................................... -- 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities............................................... 451,630 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS................................................ 451,630 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (1.7%) (S)@ DFA Short Term Investment Fund................................. 3,975,799 46,000,000 1.7% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $284,398 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $257,187) to be repurchased at $252,145...................................................... $252 252,144 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................. 46,252,144 1.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,389,651,236)............................................ $2,792,859,057 101.2% ============== ======
30 TAX-MANAGED DFA INTERNATIONAL VALUE PORTFOLIO CONTINUED Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks Australia................... $ 221,914 $ 147,513,868 -- $ 147,735,782 Austria..................... -- 6,765,880 -- 6,765,880 Belgium..................... 677,764 34,609,048 -- 35,286,812 Canada...................... 257,098,142 -- -- 257,098,142 Denmark..................... -- 39,236,635 -- 39,236,635 Finland..................... -- 28,421,390 -- 28,421,390 France...................... 10,518,619 282,064,838 -- 292,583,457 Germany..................... 38,944,800 209,038,890 -- 247,983,690 Greece...................... -- 1,085,945 -- 1,085,945 Hong Kong................... -- 67,142,582 -- 67,142,582 Ireland..................... 666,898 1,273,331 -- 1,940,229 Israel...................... -- 7,761,433 -- 7,761,433 Italy....................... 1,877,346 36,084,690 -- 37,962,036 Japan....................... 24,187,797 526,885,910 -- 551,073,707 Netherlands................. 2,643,343 91,572,896 -- 94,216,239 New Zealand................. -- 1,811,681 -- 1,811,681 Norway...................... -- 21,167,066 -- 21,167,066 Portugal.................... -- 2,054,929 -- 2,054,929 Singapore................... -- 28,475,164 -- 28,475,164 Spain....................... 15,699 62,516,377 -- 62,532,076 Sweden...................... 1,622,691 82,151,036 -- 83,773,727 Switzerland................. 24,297,302 186,285,624 -- 210,582,926 United Kingdom.............. 280,487,386 234,657,518 -- 515,144,904 Preferred Stocks Germany..................... -- 4,318,851 -- 4,318,851 Rights/Warrants Hong Kong................... -- -- -- -- Spain....................... -- 451,630 -- 451,630 Securities Lending Collateral. -- 46,252,144 -- 46,252,144 ------------ -------------- -- -------------- TOTAL......................... $643,259,701 $2,149,599,356 -- $2,792,859,057 ============ ============== == ==============
See accompanying Notes to Financial Statements. 31 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value++ of Net Assets** ------ ------- --------------- COMMON STOCKS -- (96.9%) AUSTRALIA -- (4.8%) Australia & New Zealand Banking Group, Ltd.......... 144,308 $ 4,617,907 0.3% Commonwealth Bank of Australia...................... 51,776 3,728,002 0.2% National Australia Bank, Ltd........................ 143,856 4,807,788 0.3% Wesfarmers, Ltd..................................... 75,215 3,052,145 0.2% Westpac Banking Corp................................ 163,386 5,304,677 0.3% Other Securities.................................... 62,864,803 3.6% -------------- ------ TOTAL AUSTRALIA......................................... 84,375,322 4.9% -------------- ------ AUSTRIA -- (0.4%) Other Securities.................................... 6,835,247 0.4% -------------- ------ BELGIUM -- (1.0%) Other Securities.................................... 17,765,309 1.0% -------------- ------ BRAZIL -- (2.0%) Other Securities.................................... 35,418,041 2.1% -------------- ------ CANADA -- (6.7%) Bank of Montreal.................................... 41,930 2,920,401 0.2% Magna International, Inc............................ 34,872 2,953,576 0.2% Royal Bank of Canada................................ 55,774 3,745,548 0.2% Suncor Energy, Inc.................................. 99,388 3,611,769 0.2% Toronto-Dominion Bank (The)......................... 55,000 5,045,029 0.3% Other Securities.................................... 99,401,265 5.7% -------------- ------ TOTAL CANADA............................................ 117,677,588 6.8% -------------- ------ CHILE -- (0.3%) Other Securities.................................... 5,772,885 0.3% -------------- ------ CHINA -- (4.5%) China Construction Bank Corp. Class H............... 5,410,200 4,209,279 0.3% Industrial & Commercial Bank of China, Ltd. Class H. 4,661,460 3,261,787 0.2% Other Securities.................................... 71,384,505 4.1% -------------- ------ TOTAL CHINA............................................. 78,855,571 4.6% -------------- ------ COLOMBIA -- (0.1%) Other Securities.................................... 1,334,478 0.1% -------------- ------ CZECH REPUBLIC -- (0.1%) Other Securities.................................... 1,339,212 0.1% -------------- ------ DENMARK -- (0.9%) Other Securities.................................... 16,370,032 1.0% -------------- ------ EGYPT -- (0.0%) Other Securities.................................... 87,271 0.0% -------------- ------ FINLAND -- (1.2%) * Nokia Oyj........................................... 490,765 3,730,196 0.2% Other Securities.................................... 17,684,237 1.0% -------------- ------ TOTAL FINLAND........................................... 21,414,433 1.2% -------------- ------
32 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- FRANCE -- (5.8%) BNP Paribas SA........................ 77,818 $ 5,740,878 0.3% Cie de St-Gobain...................... 60,070 3,153,077 0.2% Sanofi................................ 41,470 4,421,661 0.3% Societe Generale SA................... 80,296 4,535,881 0.3% Total SA Sponsored ADR................ 85,482 5,229,789 0.3% Other Securities...................... 78,856,152 4.5% -------------- ------ TOTAL FRANCE.............................. 101,937,438 5.9% -------------- ------ GERMANY -- (4.8%) Allianz SE............................ 29,381 4,933,138 0.3% Daimler AG............................ 65,320 5,348,060 0.3% Deutsche Bank AG...................... 69,178 3,342,681 0.2% Deutsche Post AG...................... 93,390 3,153,909 0.2% Muenchener Rueckversicherungs AG...... 13,745 2,867,650 0.2% Siemens AG Sponsored ADR.............. 26,107 3,341,957 0.2% Other Securities...................... 62,410,829 3.6% -------------- ------ TOTAL GERMANY............................. 85,398,224 5.0% -------------- ------ GREECE -- (0.2%) Other Securities...................... 3,700,339 0.2% -------------- ------ HONG KONG -- (1.9%) Other Securities...................... 33,334,573 1.9% -------------- ------ HUNGARY -- (0.1%) Other Securities...................... 1,082,763 0.1% -------------- ------ INDIA -- (1.3%) Other Securities...................... 23,751,515 1.4% -------------- ------ INDONESIA -- (0.6%) Other Securities...................... 10,403,387 0.6% -------------- ------ IRELAND -- (0.4%) Other Securities...................... 7,342,601 0.4% -------------- ------ ISRAEL -- (0.5%) Other Securities...................... 8,640,465 0.5% -------------- ------ ITALY -- (1.8%) Other Securities...................... 31,020,692 1.8% -------------- ------ JAPAN -- (15.5%) Mitsubishi UFJ Financial Group, Inc... 577,500 3,677,672 0.2% Mizuho Financial Group, Inc........... 1,822,055 3,824,606 0.2% Sumitomo Mitsui Financial Group, Inc.. 96,683 4,673,257 0.3% Toyota Motor Corp. Sponsored ADR...... 50,053 6,477,859 0.4% Other Securities...................... 254,359,899 14.7% -------------- ------ TOTAL JAPAN............................... 273,013,293 15.8% -------------- ------ MALAYSIA -- (0.9%) Other Securities...................... 15,692,494 0.9% -------------- ------ MEXICO -- (1.2%) Other Securities...................... 21,574,305 1.3% -------------- ------
33 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- NETHERLANDS -- (2.0%) #* ING Groep NV Sponsored ADR.... 263,004 $ 3,345,411 0.2% Other Securities.............. 31,869,838 1.8% -------------- ------ TOTAL NETHERLANDS................. 35,215,249 2.0% -------------- ------ NEW ZEALAND -- (0.2%) Other Securities.............. 4,009,743 0.2% -------------- ------ NORWAY -- (0.8%) Other Securities.............. 13,715,031 0.8% -------------- ------ PERU -- (0.0%) Other Securities.............. 459,805 0.0% -------------- ------ PHILIPPINES -- (0.4%) Other Securities.............. 7,262,352 0.4% -------------- ------ POLAND -- (0.4%) Other Securities.............. 7,028,515 0.4% -------------- ------ PORTUGAL -- (0.2%) Other Securities.............. 4,147,531 0.2% -------------- ------ RUSSIA -- (0.6%) Gazprom OAO Sponsored ADR..... 488,525 4,566,439 0.3% Other Securities.............. 5,580,884 0.3% -------------- ------ TOTAL RUSSIA...................... 10,147,323 0.6% -------------- ------ SINGAPORE -- (1.1%) Other Securities.............. 18,756,552 1.1% -------------- ------ SOUTH AFRICA -- (1.5%) Other Securities.............. 26,309,980 1.5% -------------- ------ SOUTH KOREA -- (4.0%) Samsung Electronics Co., Ltd.. 4,072 5,615,515 0.3% Other Securities.............. 64,725,260 3.8% -------------- ------ TOTAL SOUTH KOREA................. 70,340,775 4.1% -------------- ------ SPAIN -- (1.9%) Banco Santander SA............ 721,555 6,396,774 0.4% Other Securities.............. 27,619,419 1.6% -------------- ------ TOTAL SPAIN....................... 34,016,193 2.0% -------------- ------ SWEDEN -- (2.3%) Other Securities.............. 41,173,627 2.4% -------------- ------ SWITZERLAND -- (5.2%) ABB, Ltd...................... 141,970 3,617,048 0.2% Credit Suisse Group AG........ 133,018 4,137,916 0.3% Nestle SA..................... 91,582 6,610,747 0.4% Novartis AG ADR............... 117,451 9,108,325 0.5% Swiss Re AG................... 51,583 4,528,090 0.3% UBS AG........................ 159,324 3,084,513 0.2% Zurich Insurance Group AG..... 21,258 5,874,079 0.4% Other Securities.............. 55,280,180 3.0% -------------- ------ TOTAL SWITZERLAND................. 92,240,898 5.3% -------------- ------
34 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- TAIWAN -- (3.5%) Other Securities.................... $ 62,510,386 3.6% -------------- ------ THAILAND -- (0.8%) Other Securities.................... 13,197,540 0.8% -------------- ------ TURKEY -- (0.4%) Other Securities.................... 7,795,905 0.5% -------------- ------ UNITED KINGDOM -- (14.6%) Anglo American P.L.C................ 139,168 3,308,938 0.2% BG Group P.L.C...................... 194,720 3,972,223 0.2% BP P.L.C. Sponsored ADR............. 247,664 11,516,376 0.7% Glencore Xstrata P.L.C.............. 553,539 3,012,480 0.2% HSBC Holdings P.L.C................. 344,422 3,775,326 0.2% HSBC Holdings P.L.C. Sponsored ADR.. 225,098 12,389,394 0.7% Legal & General Group P.L.C......... 989,741 3,430,251 0.2% Royal Dutch Shell P.L.C. ADR........ 185,909 12,924,394 0.8% Standard Chartered P.L.C............ 170,094 4,083,954 0.2% Tesco P.L.C......................... 713,147 4,159,884 0.3% Vodafone Group P.L.C. Sponsored ADR. 343,133 12,634,157 0.7% Other Securities.................... 182,610,647 10.5% -------------- ------ TOTAL UNITED KINGDOM.................... 257,818,024 14.9% -------------- ------ UNITED STATES -- (0.0%) Other Securities.................... 41,398 0.0% -------------- ------ TOTAL COMMON STOCKS..................... 1,710,324,305 99.1% -------------- ------ PREFERRED STOCKS -- (0.4%) BRAZIL -- (0.3%) Other Securities.................... 6,277,338 0.4% -------------- ------ CHILE -- (0.0%) Other Securities.................... 100,652 0.0% -------------- ------ COLOMBIA -- (0.0%) Other Securities.................... 88,953 0.0% -------------- ------ GERMANY -- (0.1%) Other Securities.................... 1,136,859 0.1% -------------- ------ UNITED KINGDOM -- (0.0%) Other Securities.................... 17,591 0.0% -------------- ------ TOTAL PREFERRED STOCKS.................. 7,621,393 0.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) Other Securities.................... -- 0.0% -------------- ------ BRAZIL -- (0.0%) Other Securities.................... -- 0.0% -------------- ------ CHILE -- (0.0%) Other Securities.................... 1 0.0% -------------- ------ FRANCE -- (0.0%) Other Securities.................... 13 0.0% -------------- ------
35 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Percentage Shares Value++ of Net Assets** ------ ------- --------------- HONG KONG -- (0.0%) Other Securities................................................. $ -- 0.0% -------------- ------ ITALY -- (0.0%) Other Securities................................................. 1,564 0.0% -------------- ------ MALAYSIA -- (0.0%) Other Securities................................................. 9,410 0.0% -------------- ------ POLAND -- (0.0%) Other Securities................................................. -- 0.0% -------------- ------ SOUTH KOREA -- (0.0%) Other Securities................................................. 870 0.0% -------------- ------ SPAIN -- (0.0%) Other Securities................................................. 155,771 0.0% -------------- ------ TOTAL RIGHTS/WARRANTS.................................................. 167,629 0.0% -------------- ------ Shares/ Face Amount Value+ ------- ------ - (000) SECURITIES LENDING COLLATERAL -- (2.7%) (S)@ DFA Short Term Investment Fund................................... 4,062,230 47,000,000 2.7% @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $216,509 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $195,793) to be repurchased at $191,955............... $192 191,954 0.0% -------------- ------ TOTAL SECURITIES LENDING COLLATERAL.................................... 47,191,954 2.7% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,387,803,928).............................................. $1,765,305,281 102.3% ============== ======
Summary of the Portfolio's investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) --------------------------------------------- Level 1 Level 2 Level 3 Total ------------ ----------- ------- ------------ Common Stocks Australia...... $ 1,966,491 $82,408,831 -- $ 84,375,322 Austria........ -- 6,835,247 -- 6,835,247 Belgium........ 2,169,033 15,596,276 -- 17,765,309 Brazil......... 16,555,113 18,862,928 -- 35,418,041 Canada......... 117,669,543 8,045 -- 117,677,588 Chile.......... 1,435,140 4,337,745 -- 5,772,885 China.......... 7,925,863 70,929,708 -- 78,855,571 Colombia....... 1,334,478 -- -- 1,334,478 Czech Republic. -- 1,339,212 -- 1,339,212 Denmark........ 694,014 15,676,018 -- 16,370,032 Egypt.......... -- 87,271 -- 87,271 Finland........ 242,717 21,171,716 -- 21,414,433 France......... 10,665,952 91,271,486 -- 101,937,438 Germany........ 11,204,795 74,193,429 -- 85,398,224 Greece......... 54,105 3,646,234 -- 3,700,339
36 T.A. WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total ------------ -------------- ------- -------------- Common Stocks (Countinued) Hong Kong................... $ 144,928 $ 33,189,645 -- $ 33,334,573 Hungary..................... 28,661 1,054,102 -- 1,082,763 India....................... 1,250,571 22,500,944 -- 23,751,515 Indonesia................... 238,932 10,164,455 -- 10,403,387 Ireland..................... 1,725,725 5,616,876 -- 7,342,601 Israel...................... 2,072,233 6,568,232 -- 8,640,465 Italy....................... 3,204,195 27,816,497 -- 31,020,692 Japan....................... 18,416,199 254,597,094 -- 273,013,293 Malaysia.................... -- 15,692,494 -- 15,692,494 Mexico...................... 21,570,367 3,938 -- 21,574,305 Netherlands................. 10,020,485 25,194,764 -- 35,215,249 New Zealand................. 23,773 3,985,970 -- 4,009,743 Norway...................... 1,387,180 12,327,851 -- 13,715,031 Peru........................ 459,805 -- -- 459,805 Philippines................. 66,150 7,196,202 -- 7,262,352 Poland...................... 9,549 7,018,966 -- 7,028,515 Portugal.................... -- 4,147,531 -- 4,147,531 Russia...................... 429,095 9,718,228 -- 10,147,323 Singapore................... -- 18,756,552 -- 18,756,552 South Africa................ 3,051,557 23,258,423 -- 26,309,980 South Korea................. 4,651,745 65,689,030 -- 70,340,775 Spain....................... 5,259,553 28,756,640 -- 34,016,193 Sweden...................... 1,103,572 40,070,055 -- 41,173,627 Switzerland................. 17,548,266 74,692,632 -- 92,240,898 Taiwan...................... 479,374 62,031,012 -- 62,510,386 Thailand.................... 13,197,540 -- -- 13,197,540 Turkey...................... 143,215 7,652,690 -- 7,795,905 United Kingdom.............. 76,821,313 180,996,711 -- 257,818,024 United States............... 41,398 -- -- 41,398 Preferred Stocks Brazil...................... 53,481 6,223,857 -- 6,277,338 Chile....................... -- 100,652 -- 100,652 Colombia.................... 88,953 -- -- 88,953 Germany..................... -- 1,136,859 -- 1,136,859 United Kingdom.............. -- 17,591 -- 17,591 Rights/Warrants Austria..................... -- -- -- -- Brazil...................... -- -- -- -- Chile....................... -- 1 -- 1 France...................... -- 13 -- 13 Hong Kong................... -- -- -- -- Italy....................... -- 1,564 -- 1,564 Malaysia.................... -- 9,410 -- 9,410 Poland...................... -- -- -- -- South Korea................. -- 870 -- 870 Spain....................... -- 155,771 -- 155,771 Securities Lending Collateral. -- 47,191,954 -- 47,191,954 ------------ -------------- -- -------------- TOTAL......................... $355,405,059 $1,409,900,222 -- $1,765,305,281 ============ ============== == ==============
See accompanying Notes to Financial Statements. 37 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (Amounts in thousands, except share and per share amounts)
Tax-Managed U.S. Tax-Managed Tax-Managed Tax-Managed Marketwide U.S. Equity U.S. Targeted U.S. Small Value Portfolio Portfolio Value Portfolio Cap Portfolio --------------- ------------ --------------- ------------- ASSETS: Investments in Affiliated Investment Company at Value....... $ 3,110,170 -- -- -- Investments at Value (including $0, $122,328, $343,516 and $342,267 of securities on loan, respectively).......... -- $ 1,984,839 $ 3,183,391 $ 1,859,810 Temporary Cash Investments at Value & Cost.................. -- 7,082 19,718 14,260 Collateral from Securities on Loan Invested in Affiliate at Value & Cost............................................... -- 125,726 353,979 353,940 Cash........................................................ -- 55 566 289 Receivables: Investment Securities/Affiliated Investment Company Sold..................................................... -- -- 519 217 Dividends, Interest and Tax Reclaims...................... -- 1,735 867 593 Securities Lending Income................................. -- 35 124 186 Fund Shares Sold.......................................... 2,189 924 1,058 1,221 Prepaid Expenses and Other Assets........................... 29 31 33 25 ------------ ------------ ------------ ------------ Total Assets........................................... 3,112,388 2,120,427 3,560,255 2,230,541 ------------ ------------ ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned.......................... -- 125,726 353,979 353,940 Investment Securities/Affiliated Investment Company Purchased................................................ -- 1,434 2,926 2,152 Fund Shares Redeemed...................................... 1,448 1,311 935 583 Due to Advisor............................................ 387 290 1,121 783 Accrued Expenses and Other Liabilities...................... 117 205 241 148 ------------ ------------ ------------ ------------ Total Liabilities...................................... 1,952 128,966 359,202 357,606 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 3,110,436 $ 1,991,461 $ 3,201,053 $ 1,872,935 ============ ============ ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1)..................... 139,191,871 103,700,101 103,046,047 54,594,920 ============ ============ ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE............................................ $ 22.35 $ 19.20 $ 31.06 $ 34.31 ============ ============ ============ ============ Investments in Affiliated Investment Company at Cost........ $ 1,838,617 $ -- $ -- $ -- ------------ ------------ ------------ ------------ Investments at Cost......................................... $ -- $ 1,029,122 $ 1,870,523 $ 1,015,496 ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-In Capital............................................. $ 1,945,576 $ 1,425,314 $ 1,800,153 $ 1,028,160 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........................... 6,707 4,207 4,769 2,335 Accumulated Net Realized Gain (Loss)........................ (113,400) (393,777) 83,263 (1,874) Net Unrealized Appreciation (Depreciation).................. 1,271,553 955,717 1,312,868 844,314 ------------ ------------ ------------ ------------ NET ASSETS.................................................. $ 3,110,436 $ 1,991,461 $ 3,201,053 $ 1,872,935 ============ ============ ============ ============ (1) NUMBER OF SHARES AUTHORIZED............................. 700,000,000 500,000,000 700,000,000 500,000,000 ============ ============ ============ ============
See accompanying Notes to Financial Statements. 38 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (Amounts in thousands, except share and per share amounts)
Tax-Managed T.A. World ex T.A. U.S. Core DFA U.S. Core Equity 2 International Equity Portfolio Value Portfolio Portfolio* -------------- --------------- ------------- ASSETS: Investments at Value (including $414,042, $43,159 and $44,960 of securities on loan, respectively)....................................... $ 4,094,929 $ 2,746,607 $ 1,718,113 Temporary Cash Investments at Value & Cost............................... 13,721 -- -- Collateral Received from Securities on Loan at Value & Cost.............. -- 252 192 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 426,133 46,000 47,000 Foreign Currencies at Value.............................................. -- 3,039 3,014 Cash..................................................................... 88 9,449 7,052 Receivables: Investment Securities Sold............................................. 7 915 426 Dividends, Interest and Tax Reclaims................................... 2,762 6,973 3,893 Securities Lending Income.............................................. 177 28 78 Fund Shares Sold....................................................... 3,427 2,238 1,247 Prepaid Expenses and Other Assets........................................ 55 41 27 -------------- ------------ ------------ Total Assets........................................................ 4,541,299 2,815,542 1,781,042 -------------- ------------ ------------ LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 426,133 46,252 47,192 Investment Securities Purchased........................................ 9,255 9,009 6,717 Fund Shares Redeemed................................................... 1,092 464 435 Due to Advisor......................................................... 749 1,153 576 Unrealized Loss on Foreign Currency Contracts............................ -- 27 15 Accrued Expenses and Other Liabilities................................... 317 253 212 -------------- ------------ ------------ Total Liabilities................................................... 437,546 57,158 55,147 -------------- ------------ ------------ NET ASSETS............................................................... $ 4,103,753 $ 2,758,384 $ 1,725,895 ============== ============ ============ SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................. 321,210,300 172,530,260 168,370,758 ============== ============ ============ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................................................... $ 12.78 $ 15.99 $ 10.25 ============== ============ ============ Investments at Cost...................................................... $ 2,493,986 $ 2,343,399 $ 1,340,612 ============== ============ ============ Foreign Currencies at Cost............................................... $ -- $ 3,026 $ 3,025 ============== ============ ============ NET ASSETS CONSIST OF: Paid-In Capital.......................................................... $ 2,459,529 $ 2,362,309 $ 1,342,582 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................................................... 6,548 5,574 4,139 Accumulated Net Realized Gain (Loss)..................................... 36,733 (12,798) 1,645 Net Unrealized Foreign Exchange Gain (Loss).............................. -- 78 39 Net Unrealized Appreciation (Depreciation)............................... 1,600,943 403,221 377,490 -------------- ------------ ------------ NET ASSETS............................................................... $ 4,103,753 $ 2,758,384 $ 1,725,895 ============== ============ ============ (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. 39 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (Amounts in thousands)
Tax-Managed U.S. Tax-Managed Tax-Managed Marketwide U.S. Equity U.S. Targeted Value Portfolio* Portfolio Value Portfolio ---------------- ----------- --------------- Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $66, $0 and $0, respectively)......................................................... $ 54,685 -- -- Interest............................................................... 12 -- -- Income from Securities Lending......................................... 497 -- -- Expenses Allocated from Affiliated Investment Company.................. (5,830) -- -- -------- -------- -------- Total Net Investment Income Received from Affiliated Investment Company............................................................ 49,364 -- -- -------- -------- -------- Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $23 and $5, respectively)......................................................... -- $ 36,703 $ 45,150 Interest............................................................... -- 9 15 Income from Securities Lending......................................... -- 436 1,191 -------- -------- -------- Total Investment Income............................................. -- 37,148 46,356 -------- -------- -------- Fund Expenses Investment Advisory Services Fees...................................... -- 882 11,654 Administrative Services Fees........................................... 4,087 2,648 -- Accounting & Transfer Agent Fees....................................... 40 143 219 Custodian Fees......................................................... -- 35 37 Filing Fees............................................................ 44 48 50 Shareholders' Reports.................................................. 51 29 52 Directors'/Trustees' Fees & Expenses................................... 28 19 29 Professional Fees...................................................... 14 54 79 Other.................................................................. 37 42 52 -------- -------- -------- Total Expenses...................................................... 4,301 3,900 12,172 -------- -------- -------- Fees (Waived), Expenses Reimbursed, and/or Previously Waived Fees Recovered by Advisor (Note C)......................................... -- (31) -- -------- -------- -------- Net Expenses........................................................... 4,301 3,869 12,172 -------- -------- -------- Net Investment Income (Loss)........................................... 45,063 33,279 34,184 -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold........................................... 28,282 31,573 90,493 Futures.............................................................. -- -- (469) Change in Unrealized Appreciation (Depreciation) of: Investment Securities................................................ 749,568 385,510 808,724 -------- -------- -------- Net Realized and Unrealized Gain (Loss)................................ 777,850 417,083 898,748 -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations.......... $822,913 $450,362 $932,932 ======== ======== ========
---------- * 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. 40 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (Amounts in thousands)
Tax-Managed T.A. World ex Tax-Managed T.A. U.S. Core DFA U.S. Core U.S. Small Equity 2 International Equity Cap Portfolio Portfolio Value Portfolio Portfolio ------------- -------------- --------------- ------------- Investment Income Dividends (Net of Foreign Taxes Withheld of $2, $31, $5,670 and $3,729, respectively)..................... $ 24,629 $ 65,761 $ 73,658 $ 41,570 Interest.............................................. 11 23 49 -- Income from Securities Lending........................ 2,576 2,065 1,021 1,285 -------- -------- -------- -------- Total Investment Income............................ 27,216 67,849 74,728 42,855 -------- -------- -------- -------- Fund Expenses Investment Advisory Services Fees..................... 7,935 7,650 11,583 5,913 Accounting & Transfer Agent Fees...................... 128 266 189 128 Custodian Fees........................................ 24 54 211 487 Filing Fees........................................... 39 107 103 58 Shareholders' Reports................................. 35 45 52 28 Directors'/Trustees' Fees & Expenses.................. 16 36 24 15 Professional Fees..................................... 46 99 81 85 Other................................................. 35 67 54 43 -------- -------- -------- -------- Total Expenses..................................... 8,258 8,324 12,297 6,757 -------- -------- -------- -------- Fees Paid Indirectly.................................. -- -- (7) (6) -------- -------- -------- -------- Net Expenses.......................................... 8,258 8,324 12,290 6,751 -------- -------- -------- -------- Net Investment Income (Loss).......................... 18,958 59,525 62,438 36,104 -------- -------- -------- -------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.......................... 66,451 40,753 21,533 4,345 Foreign Currency Transactions....................... -- -- (449) (309) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.......... 440,389 894,300 480,686 263,265 Translation of Foreign Currency Denominated Amounts............................................ -- -- 267 82 -------- -------- -------- -------- Net Realized and Unrealized Gain (Loss)............... 506,840 935,053 502,037 267,383 -------- -------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations............................................. $525,798 $994,578 $564,475 $303,487 ======== ======== ======== ========
See accompanying Notes to Financial Statements. 41 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Tax-Managed U.S. Tax-Managed U.S. Marketwide Value Tax-Managed U.S. Targeted Value Portfolio Equity 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, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......... $ 45,063 $ 40,353 $ 33,279 $ 27,462 $ 34,184 $ 22,355 Capital Gain Distributions Received from Investment Securities........... -- -- -- 9 -- -- Net Realized Gain (Loss) on: Investment Securities Sold/ Affiliated Investment Company Sold................................ 28,282 45,725 31,573 37,995 90,493 104,052 Futures.............................. -- -- -- -- (469) -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities/Affiliated Investment Company.................. 749,568 285,396 385,510 132,559 808,724 200,822 ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 822,913 371,474 450,362 198,025 932,932 327,229 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income................. (45,918) (38,619) (33,403) (26,579) (34,487) (20,027) Net Long-Term Gains................... -- -- -- -- (51,974) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions................. (45,918) (38,619) (33,403) (26,579) (86,461) (20,027) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued......................... 413,061 273,305 292,819 208,380 351,960 228,284 Shares Issued in Lieu of Cash Distributions........................ 44,666 37,484 31,525 24,979 85,408 19,783 Shares Redeemed....................... (469,582) (361,467) (272,253) (246,462) (461,353) (367,757) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions......... (11,855) (50,678) 52,091 (13,103) (23,985) (119,690) ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets............................. 765,140 282,177 469,050 158,343 822,486 187,512 Net Assets Beginning of Year..................... 2,345,296 2,063,119 1,522,411 1,364,068 2,378,567 2,191,055 ---------- ---------- ---------- ---------- ---------- ---------- End of Year........................... $3,110,436 $2,345,296 $1,991,461 $1,522,411 $3,201,053 $2,378,567 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued......................... 21,510 17,802 17,525 14,501 13,343 10,738 Shares Issued in Lieu of Cash Distributions........................ 2,374 2,494 1,885 1,766 3,664 970 Shares Redeemed....................... (24,667) (23,378) (16,115) (17,041) (17,890) (17,209) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........................... (783) (3,082) 3,295 (774) (883) (5,501) ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... $ 6,707 $ 7,151 $ 4,207 $ 4,240 $ 4,774 $ 2,982
Tax-Managed U.S. Small Cap Portfolio ---------------------- Year Year Ended Ended Oct. 31, Oct. 31, 2013 2012 ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......... $ 18,958 $ 11,500 Capital Gain Distributions Received from Investment Securities........... -- -- Net Realized Gain (Loss) on: Investment Securities Sold/ Affiliated Investment Company Sold................................ 66,451 68,129 Futures.............................. -- -- Change in Unrealized Appreciation (Depreciation) of: Investment Securities/Affiliated Investment Company.................. 440,389 86,134 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations......................... 525,798 165,763 ---------- ---------- Distributions From: Net Investment Income................. (19,758) (10,665) Net Long-Term Gains................... -- -- ---------- ---------- Total Distributions................. (19,758) (10,665) ---------- ---------- Capital Share Transactions (1): Shares Issued......................... 265,581 151,087 Shares Issued in Lieu of Cash Distributions........................ 19,249 10,379 Shares Redeemed....................... (249,201) (197,583) ---------- ---------- Net Increase (Decrease) from Capital Share Transactions......... 35,629 (36,117) ---------- ---------- Total Increase (Decrease) in Net Assets............................. 541,669 118,981 Net Assets Beginning of Year..................... 1,331,266 1,212,285 ---------- ---------- End of Year........................... $1,872,935 $1,331,266 ========== ========== (1) Shares Issued and Redeemed: Shares Issued......................... 9,157 6,365 Shares Issued in Lieu of Cash Distributions........................ 725 459 Shares Redeemed....................... (8,677) (8,365) ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed........................... 1,205 (1,541) ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................... $ 2,335 $ 2,142
See accompanying Notes to Financial Statements. 42 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands)
Tax-Managed DFA T.A. U.S. Core Equity 2 International Value T.A. World ex U.S. Core Portfolio Portfolio Equity Portfolio ---------------------- ---------------------- ---------------------- Year Year Year Year Year Year Ended Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2013 2012 2013 2012 ---------- ---------- ---------- ---------- ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)................. $ 59,525 $ 45,943 $ 62,438 $ 61,431 $ 36,104 $ 31,329 Capital Gain Distributions Received from Investment Securities....................... -- 37 -- -- -- -- Net Realized Gain (Loss) on: Investment Securities Sold................. 40,753 19,708 21,533 (1,850) 4,345 1,868 Foreign Currency Transactions.............. -- -- (449) (768) (309) (3) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency.................................. 894,300 300,040 480,686 (5,473) 263,265 26,612 Translation of Foreign Currency Denominated Amounts....................... -- -- 267 (58) 82 (108) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations................ 994,578 365,728 564,475 53,282 303,487 59,698 ---------- ---------- ---------- ---------- ---------- ---------- Distributions From: Net Investment Income........................ (58,615) (42,125) (64,636) (58,706) (37,052) (29,565) Net Long-Term Gains.......................... (3,496) -- -- -- (436) -- ---------- ---------- ---------- ---------- ---------- ---------- Total Distributions....................... (62,111) (42,125) (64,636) (58,706) (37,488) (29,565) ---------- ---------- ---------- ---------- ---------- ---------- Capital Share Transactions (1): Shares Issued................................ 772,713 508,269 540,616 531,329 401,186 384,441 Shares Issued in Lieu of Cash Distributions.. 61,302 41,426 63,075 57,299 36,576 28,659 Shares Redeemed.............................. (515,963) (452,936) (316,534) (455,312) (218,473) (245,607) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Capital Share Transactions....................... 318,052 96,759 287,157 133,316 219,289 167,493 ---------- ---------- ---------- ---------- ---------- ---------- Total Increase (Decrease) in Net Assets................................... 1,250,519 420,362 786,996 127,892 485,288 197,626 Net Assets Beginning of Year............................ 2,853,234 2,432,872 1,971,388 1,843,496 1,240,607 1,042,981 ---------- ---------- ---------- ---------- ---------- ---------- End of Year.................................. $4,103,753 $2,853,234 $2,758,384 $1,971,388 $1,725,895 $1,240,607 ========== ========== ========== ========== ========== ========== (1) Shares Issued and Redeemed: Shares Issued................................ 70,037 55,305 37,954 43,190 42,914 47,312 Shares Issued in Lieu of Cash Distributions.. 5,642 4,601 4,452 4,849 3,951 3,668 Shares Redeemed.............................. (47,040) (49,089) (22,556) (37,266) (23,452) (30,383) ---------- ---------- ---------- ---------- ---------- ---------- Net Increase (Decrease) from Shares Issued and Redeemed...................... 28,639 10,817 19,850 10,773 23,413 20,597 ========== ========== ========== ========== ========== ========== Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................... $ 6,550 $ 6,522 $ 5,574 $ 7,757 $ 4,137 $ 5,850
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. Marketwide Value Portfolio ---------------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................ $ 16.76 $ 14.42 $ 13.78 $ 11.61 $ 10.59 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.32 0.28 0.22 0.16 0.21 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 5.60 2.33 0.63 2.17 1.06 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 5.92 2.61 0.85 2.33 1.27 ------------------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income........................... (0.33) (0.27) (0.21) (0.16) (0.25) ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (0.33) (0.27) (0.21) (0.16) (0.25) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year...................... $ 22.35 $ 16.76 $ 14.42 $ 13.78 $ 11.61 ================================================= ========== ========== ========== ========== ========== Total Return...................................... 35.71% 18.34% 6.15% 20.17% 12.54% ------------------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands)............... $3,110,436 $2,345,296 $2,063,119 $1,896,941 $1,618,256 Ratio of Expenses to Average Net Assets........... 0.37%(B) 0.38%(B) 0.38%(B) 0.38%(B) 0.40%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)..................................... 0.37%(B) 0.38%(B) 0.38%(B) 0.38%(B) 0.40%(B) Ratio of Net Investment Income to Average Net Assets........................................... 1.66% 1.83% 1.45% 1.24% 2.07% Portfolio Turnover Rate........................... N/A N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Equity Portfolio --------------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................ $ 15.16 $ 13.48 $ 12.70 $ 10.94 $ 10.36 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................ 0.32 0.27 0.23 0.20 0.22 Net Gains (Losses) on Securities (Realized and Unrealized).................................... 4.05 1.67 0.77 1.76 0.60 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............... 4.37 1.94 1.00 1.96 0.82 ----------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................... (0.33) (0.26) (0.22) (0.20) (0.24) ---------- ---------- ---------- ---------- ---------- Total Distributions............................ (0.33) (0.26) (0.22) (0.20) (0.24) ----------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year...................... $ 19.20 $ 15.16 $ 13.48 $ 12.70 $ 10.94 ================================================= ========== ========== ========== ========== ========== Total Return...................................... 29.15% 14.57% 7.92% 18.10% 8.30% ----------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............... $1,991,461 $1,522,411 $1,364,068 $1,286,236 $1,141,449 Ratio of Expenses to Average Net Assets........... 0.22% 0.22% 0.22%** 0.22%(B) 0.22%(B) Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumptions of Expenses and/or Recovery of Previously Waived Fees)..................................... 0.22% 0.22% 0.23%** 0.23%(B) 0.26%(B) Ratio of Net Investment Income to Average Net Assets........................................... 1.89% 1.87% 1.65% 1.70% 2.24% Portfolio Turnover Rate........................... 3% 7% 11%* N/A N/A -----------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. * 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 accompanying Notes to Financial Statements. 44 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 Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Year................... $ 22.89 $ 20.02 $ 19.09 $ 14.96 $ 14.41 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.33 0.21 0.14 0.11 0.14 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 8.69 2.85 0.93 4.13 0.60 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations.................. 9.02 3.06 1.07 4.24 0.74 ------------------------------------------------------------------------------------------------------------------ Less Distributions ------------------ Net Investment Income.............................. (0.34) (0.19) (0.14) (0.11) (0.19) Net Realized Gains................................. (0.51) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions............................... (0.85) (0.19) (0.14) (0.11) (0.19) ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Year......................... $ 31.06 $ 22.89 $ 20.02 $ 19.09 $ 14.96 ===================================================== ========== ========== ========== ========== ========== Total Return......................................... 40.60% 15.39% 5.58% 28.43% 5.41% ------------------------------------------------------------------------------------------------------------------ Net Assets, End of Year (thousands).................. $3,201,053 $2,378,567 $2,191,055 $2,145,546 $1,700,343 Ratio of Expenses to Average Net Assets.............. 0.44% 0.44% 0.44% 0.45% 0.47% Ratio of Net Investment Income to Average Net Assets. 1.24% 0.98% 0.66% 0.63% 1.04% Portfolio Turnover Rate.............................. 6% 12% 21% 26% 34% ------------------------------------------------------------------------------------------------------------------
Tax-Managed U.S. Small Cap Portfolio -------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year................... $ 24.93 $ 22.07 $ 20.47 $ 16.26 $ 15.83 ---------- ---------- ---------- ---------- -------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)................... 0.35 0.21 0.15 0.11 0.13 Net Gains (Losses) on Securities (Realized and Unrealized)....................................... 9.40 2.85 1.59 4.20 0.47 ---------- ---------- ---------- ---------- -------- Total from Investment Operations.................. 9.75 3.06 1.74 4.31 0.60 --------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income.............................. (0.37) (0.20) (0.14) (0.10) (0.17) Net Realized Gains................................. -- -- -- -- -- ---------- ---------- ---------- ---------- -------- Total Distributions............................... (0.37) (0.20) (0.14) (0.10) (0.17) --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year......................... $ 34.31 $ 24.93 $ 22.07 $ 20.47 $ 16.26 ===================================================== ========== ========== ========== ========== ======== Total Return......................................... 39.55% 13.95% 8.50% 26.61% 3.98% --------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $1,872,935 $1,331,266 $1,212,285 $1,141,494 $957,145 Ratio of Expenses to Average Net Assets.............. 0.52% 0.53% 0.53% 0.53% 0.55% Ratio of Net Investment Income to Average Net Assets. 1.20% 0.90% 0.64% 0.58% 0.88% Portfolio Turnover Rate.............................. 7% 17% 22% 27% 28% ---------------------------------------------------------------------------------------------------------------
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. U.S. Core Equity 2 Portfolio ---------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 9.75 $ 8.63 $ 8.18 $ 6.83 $ 6.31 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.19 0.16 0.12 0.11 0.11 Net Gains (Losses) on Securities (Realized and Unrealized)... 3.04 1.11 0.45 1.35 0.52 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 3.23 1.27 0.57 1.46 0.63 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.19) (0.15) (0.12) (0.11) (0.11) Net Realized Gains........................................... (0.01) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.20) (0.15) (0.12) (0.11) (0.11) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 12.78 $ 9.75 $ 8.63 $ 8.18 $ 6.83 =============================================================== ========== ========== ========== ========== ========== Total Return................................................... 33.58% 14.82% 6.97% 21.49% 10.28% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $4,103,753 $2,853,234 $2,432,872 $2,014,584 $1,444,886 Ratio of Expenses to Average Net Assets........................ 0.24% 0.24% 0.24% 0.25% 0.28% 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% 0.24% 0.25% 0.28% Ratio of Net Investment Income to Average Net Assets........... 1.72% 1.71% 1.39% 1.45% 1.82% Portfolio Turnover Rate........................................ 2% 6% 6% 5% 5% ----------------------------------------------------------------------------------------------------------------------------
Tax-Managed DFA International Value Portfolio ----------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year............................. $ 12.91 $ 12.99 $ 14.53 $ 13.49 $ 10.55 ---------- ---------- ---------- ---------- ---------- Income from Investment Operations --------------------------------- Net Investment Income (Loss) (A)............................. 0.39 0.42 0.46 0.31 0.32 Net Gains (Losses) on Securities (Realized and Unrealized)... 3.09 (0.10) (1.55) 1.03 3.00 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations............................ 3.48 0.32 (1.09) 1.34 3.32 ---------------------------------------------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income........................................ (0.40) (0.40) (0.45) (0.30) (0.38) Net Realized Gains........................................... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Distributions......................................... (0.40) (0.40) (0.45) (0.30) (0.38) ---------------------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Year................................... $ 15.99 $ 12.91 $ 12.99 $ 14.53 $ 13.49 =============================================================== ========== ========== ========== ========== ========== Total Return................................................... 27.39% 2.77% (7.81)% 10.34% 32.27% ---------------------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)............................ $2,758,384 $1,971,388 $1,843,496 $1,834,003 $1,637,834 Ratio of Expenses to Average Net Assets........................ 0.53% 0.55% 0.55% 0.55% 0.56% Ratio of Expenses to Average Net Assets (Excluding Waivers and Assumption of Expenses and/or Recovery of Previously Waived Fees and Fees Paid Indirectly)................................ 0.53% 0.55% 0.55% 0.55% 0.56% Ratio of Net Investment Income to Average Net Assets........... 2.70% 3.32% 3.16% 2.29% 2.92% Portfolio Turnover Rate........................................ 12% 18% 16% 28% 24% ----------------------------------------------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 46 DFA INVESTMENT DIMENSIONS GROUP INC. FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period)
T.A. World ex U.S. Core Equity Portfolio ------------------------------------------------------- Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ---------------------------------------------------------------------------------------- Net Asset Value, Beginning of Year.......................... $ 8.56 $ 8.39 $ 9.31 $ 8.13 $ 5.85 ---------- ---------- ---------- -------- -------- Income from Investment Operations ---------------------- Net Investment Income (Loss) (A)......................... 0.23 0.23 0.25 0.17 0.16 Net Gains (Losses) on Securities (Realized and Unrealized)................. 1.70 0.16 (0.93) 1.17 2.27 ---------- ---------- ---------- -------- -------- Total from Investment Operations................. 1.93 0.39 (0.68) 1.34 2.43 ---------------------------------------------------------------------------------------- Less Distributions ------------------ Net Investment Income......... (0.24) (0.22) (0.24) (0.16) (0.15) Net Realized Gains............ -- -- -- -- -- ---------- ---------- ---------- -------- -------- Total Distributions......... (0.24) (0.22) (0.24) (0.16) (0.15) ---------------------------------------------------------------------------------------- Net Asset Value, End of Year... $ 10.25 $ 8.56 $ 8.39 $ 9.31 $ 8.13 ============================= ========== ========== ========== ======== ======== Total Return................... 22.88% 4.90% (7.55)% 16.78% 42.13% ---------------------------------------------------------------------------------------- Net Assets, End of Year (thousands)................... $1,725,895 $1,240,607 $1,042,981 $966,999 $668,728 Ratio of Expenses to Average Net Assets.................... 0.46% 0.49% 0.48% 0.48% 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)......... 0.46% 0.49% 0.48% 0.48% 0.51% Ratio of Net Investment Income to Average Net Assets.. 2.45% 2.77% 2.63% 2.00% 2.38% Portfolio Turnover Rate........ 2% 3% 5% 2% 5% ----------------------------------------------------------------------------------------
See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 47 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 seventy-six operational portfolios, seven of which (the "Portfolios"), are included in this section of the report. The remaining sixty-nine 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, 2013, 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. 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 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 48 there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the 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 the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 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 the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the International Equity Portfolios use fair value pricing, the values assigned to the foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Portfolios are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Tax-Managed U.S. Marketwide Value Portfolio's 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 this 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. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes. The Portfolios recognize transfers between the levels as of the end of the period. As of October 31, 2013, the T.A. World Ex US Core Equity Portfolio had significant transfers of securities with a total value of $27,764 (in thousands) that transferred from Level 1 to Level 2. At October 31, 2013, the fair market value of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. 49 2. Foreign Currency Translation: Securities and other assets and liabilities of the International Equity Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and 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 amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan: Each eligible Director/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, 2013, 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 and foreign currency 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 gains 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. 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 they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The International Equity 50 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. T.A. World ex U.S. Core Equity Portfolio is subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes 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 receives no additional compensation for the investment advisory services it provides to the Feeder Fund. For the year ended October 31, 2013, 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 an Amended and Restated Fee Waiver and/or 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 Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Portfolios below will remain in effect through February 28, 2014, and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For the year ended October 31, 2013, 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% $42 $246 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 ordinary operating expenses of the Portfolio (excluding the expenses that the Portfolio incurs indirectly through investment in other investment companies) ("Portfolio Expenses") to the extent necessary to reduce the Portfolio's total operating expenses to the rate listed above as a percentage of the Portfolio's average net assets on an annualized basis (the "Expense Limitation Amount"). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above for the Portfolio, the Advisor retains the right to recover any 51 fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the Portfolio Expenses to exceed the Expense Limitation Amount. (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. (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 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 the Portfolio's 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. 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, 2013, expenses reduced were as follows (amounts in thousands):
Fees Paid Indirectly ---------- Tax-Managed DFA International Value Portfolio. $7 T.A. World ex U.S. Core Equity Portfolio...... 6
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, 2013, the total related amounts paid to the CCO by the Fund were $250 (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, 2013, 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... $73 Tax-Managed U.S. Equity Portfolio............. 90 Tax-Managed U.S. Targeted Value Portfolio..... 76 Tax-Managed U.S. Small Cap Portfolio.......... 44 T.A. U.S. Core Equity 2 Portfolio............. 70 Tax-Managed DFA International Value Portfolio. 67 T.A. World ex U.S. Core Equity Portfolio...... 30
52 E. Purchases and Sales of Securities: For the year ended October 31, 2013, 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............. $107,908 $ 48,806 Tax-Managed U.S. Targeted Value Portfolio..... 169,764 171,583 Tax-Managed U.S. Small Cap Portfolio.......... 178,701 114,756 T.A. U.S. Core Equity 2 Portfolio............. 410,172 62,102 Tax-Managed DFA International Value Portfolio. 564,855 277,501 T.A. World ex U.S. Core Equity Portfolio...... 242,063 24,451
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 Sub-chapter 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 or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2013, primarily attributable to net 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, non-deductible expenses, foreign capital gains tax, tax-equalization, 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... -- $ 411 $ (411) Tax-Managed U.S. Equity Portfolio............. -- 91 (91) Tax-Managed U.S. Targeted Value Portfolio..... $4,040 2,090 (6,130) Tax-Managed U.S. Small Cap Portfolio.......... -- 993 (993) T.A. U.S. Core Equity 2 Portfolio............. 2,201 (884) (1,317) Tax-Managed DFA International Value Portfolio. -- 15 (15) T.A. World ex U.S. Core Equity Portfolio...... 825 (763) (62)
The tax character of dividends and distributions declared and paid during the years ended October 31, 2012 and October 31, 2013 were as follows (amounts in thousands):
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- Tax-Managed U.S. Marketwide Value Portfolio 2012........................................ $38,619 $38,619 2013........................................ 45,918 -- 45,918
53
Net Investment Income and Short-Term Long-Term Capital Gains Capital Gains Total -------------- ------------- ------- Tax-Managed U.S. Equity Portfolio 2012.......................................... $26,579 $26,579 2013.......................................... 33,403 -- 33,403 Tax-Managed U.S. Targeted Value Portfolio 2012.......................................... 21,411 $ 3,466 24,877 2013.......................................... 34,487 51,974 86,461 Tax-Managed U.S. Small Cap Portfolio 2012.......................................... 10,665 10,665 2013.......................................... 19,758 -- 19,758 T.A. U.S. Core Equity 2 Portfolio 2012.......................................... 43,904 140 44,044 2013.......................................... 58,615 3,496 62,111 Tax-Managed DFA International Value Portfolio 2012.......................................... 60,106 60,106 2013.......................................... 64,636 -- 64,636 T.A. World ex U.S. Core Equity Portfolio 2012.......................................... 30,337 10 30,347 2013.......................................... 37,052 436 37,488
At October 31, 2013, 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. $1,189 $2,851 $4,040 T.A. U.S. Core Equity 2 Portfolio......... 1,315 886 2,201 T.A. World ex U.S. Core Equity Portfolio.. 746 80 826
At October 31, 2013, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands):
Undistributed Total Net Net Investment Distributable Income and Undistributed Unrealized Earnings Short-Term Long-Term Capital Loss Appreciation (Accumulated Capital Gains Capital Gains Carryfoward (Depreciation) Losses) -------------- ------------- ------------ -------------- ------------- Tax-Managed U.S. Marketwide Value Portfolio.......................... $6,823 -- $(112,900) $1,271,053 $1,164,976 Tax-Managed U.S. Equity Portfolio.... 4,298 -- (392,788) 954,728 566,238 Tax-Managed U.S. Targeted Value Portfolio.......................... 4,848 $83,814 -- 1,312,318 1,400,980 Tax-Managed U.S. Small Cap Portfolio. 2,623 -- (1,518) 843,717 844,822 T.A. U.S. Core Equity 2 Portfolio.... 6,680 39,411 -- 1,598,207 1,644,298 Tax-Managed DFA International Value Portfolio.......................... 5,723 -- (8,800) 399,221 396,144 T.A. World ex U.S. Core Equity Portfolio.......................... 6,920 3,988 -- 372,437 383,345
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 54 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, 2013, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands):
Expires on October 31, -------------------------- 2016 2017 Total -------- -------- -------- Tax-Managed U.S. Marketwide Value Portfolio... -- $112,900 $112,900 Tax-Managed U.S. Equity Portfolio............. $106,222 286,566 392,788 Tax-Managed U.S. Small Cap Portfolio.......... -- 1,518 1,518 Tax-Managed DFA International Value Portfolio. -- 8,800 8,800
During the year ended October 31, 2013, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): Tax-Managed U.S. Marketwide Value Portfolio... $27,871 Tax-Managed U.S. Equity Portfolio............. 31,253 Tax-Managed U.S. Small Cap Portfolio.......... 65,442 Tax-Managed DFA International Value Portfolio. 21,417
At October 31, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation Depreciation (Depreciation) ---------- ------------ ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio... $1,839,117 $1,271,053 -- $1,271,053 Tax-Managed U.S. Equity Portfolio............. 1,162,919 968,896 $ (14,168) 954,728 Tax-Managed U.S. Targeted Value Portfolio..... 2,244,771 1,403,739 (91,421) 1,312,318 Tax-Managed U.S. Small Cap Portfolio.......... 1,384,293 880,346 (36,629) 843,717 T.A. U.S. Core Equity 2 Portfolio............. 2,936,575 1,645,342 (47,135) 1,598,207 Tax-Managed DFA International Value Portfolio. 2,393,733 553,594 (154,468) 399,126 T.A. World ex U.S. Core Equity Portfolio...... 1,392,903 490,065 (117,662) 372,403
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. 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 positions and has concluded that no additional provision for income tax is required in any 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 fiscal years remain subject to examination by the Internal Revenue Service. G. Financial Instruments: In accordance with the Portfolios' investment objectives and policies, the Portfolios may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. 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 55 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 Portfolios' 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 of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 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. The following is a summary of Tax-Managed U.S. Targeted Value Portfolio's location and value of derivative instrument holdings on Tax-Managed U.S. Targeted Value Portfolio's Statement of Operations categorized by primary risk exposure for the year ended October 31, 2013 (amounts in thousands):
Equity Location on the Statement of Operations Contracts --------------------------------------- --------- Tax-Managed U.S. Targeted Net Realized Gain (Loss) on: Futures $(469) Value Portfolio*
* As of October 31, 2013, there were no futures contracts outstanding. During the year ended October 31, 2013, the Portfolio had limited activity in futures contracts. H. Line of Credit: The Fund, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. 56 The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the year ended October 31, 2013, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- Tax-Managed U.S. Equity Portfolio........ 0.85% $1,956 5 -- $3,683 Tax-Managed U.S. Targeted Value Portfolio.............................. 0.91% 562 7 -- 1,904 Tax-Managed U.S. Small Cap Portfolio..... 0.91% 807 4 -- 1,055 T.A. U.S. Core Equity 2 Portfolio........ 0.86% 1,498 6 -- 1,731 Tax-Managed DFA International Value Portfolio.............................. 0.88% 622 13 -- 4,443 T.A. World ex U.S. Core Equity Portfolio. 0.87% 985 16 -- 3,685
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that each Portfolio's available line of credit was utilized. There were no outstanding borrowings by the Portfolios under the lines of credit as of October 31, 2013. I. Securities Lending: As of October 31, 2013, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. In addition, the following Portfolio received non-cash collateral consisting of short and/or long term U.S. Treasury securities (amounts in thousands):
Market Value ------ T.A. World ex U.S. Core Equity Portfolio. $3,169
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 57 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 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 January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. 58 L. Other: At October 31, 2013, the following number of shareholders held the following approximate percentages of the stated fund outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors.
Approximate Percentage Number of of Outstanding Shareholders Shares ------------ -------------- Tax-Managed U.S. Marketwide Value Portfolio... 3 89% Tax-Managed U.S. Equity Portfolio............. 3 85% Tax-Managed U.S. Targeted Value Portfolio..... 3 95% Tax-Managed U.S. Small Cap Portfolio.......... 3 93% T.A. U.S. Core Equity 2 Portfolio............. 3 91% Tax-Managed DFA International Value Portfolio. 3 92% T.A. World ex U.S. Core Equity Portfolio...... 3 88%
M. Subsequent Event Evaluations: On December 13, 2013, the Board of DFAIDG voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Current Agreements") into a bundled Investment Management Agreement for the Tax-Managed U.S. Equity Portfolio. It is expected that the Investment Management Agreement will become effective on February 28, 2014. The nature and level of services to the Portfolio under the Investment Management Agreement will be the same as under the Current Agreements. When the Investment Management Agreement becomes effective, the Portfolio will pay the Advisor an investment management fee that is equal to the sum of the current investment advisory fee and current administration fee that is paid by the Portfolio to the Advisor under the Current Agreements. Management has evaluated the impact of all subsequent events on the Portfolios and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 59 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, 2013, 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 five years in the period then ended, 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, 2013 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 20, 2013 60 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHART (Unaudited) -------------------------------------------------------------------------------- THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES VS. RUSSELL 3000(R) VALUE INDEX October 31, 2003-October 31, 2013 [CHART] Growth of $10,000 The Tax-Managed U.S. Marketwide Value Series Russell 3000 Value Index ----------------------- ------------------------ 10/2003 $10,000 $10,000 11/2003 $10,271 $10,155 12/2003 $10,803 $10,760 01/2004 $11,039 $10,964 02/2004 $11,284 $11,197 03/2004 $11,266 $11,119 04/2004 $11,066 $10,823 05/2004 $11,153 $10,934 06/2004 $11,502 $11,215 07/2004 $11,100 $11,027 08/2004 $11,039 $11,180 09/2004 $11,441 $11,376 10/2004 $11,598 $11,564 11/2004 $12,376 $12,186 12/2004 $12,777 $12,583 01/2005 $12,507 $12,336 02/2005 $12,987 $12,731 03/2005 $12,856 $12,549 04/2005 $12,384 $12,289 05/2005 $12,926 $12,622 06/2005 $13,249 $12,796 07/2005 $13,965 $13,197 08/2005 $13,948 $13,118 09/2005 $14,201 $13,284 10/2005 $13,860 $12,947 11/2005 $14,410 $13,379 12/2005 $14,480 $13,443 01/2006 $15,284 $14,017 02/2006 $15,249 $14,094 03/2006 $15,607 $14,330 04/2006 $16,000 $14,663 05/2006 $15,546 $14,271 06/2006 $15,651 $14,370 07/2006 $15,555 $14,668 08/2006 $15,633 $14,931 09/2006 $15,939 $15,215 10/2006 $16,550 $15,738 11/2006 $16,961 $16,106 12/2006 $17,284 $16,447 01/2007 $17,738 $16,660 02/2007 $17,511 $16,406 03/2007 $17,712 $16,654 04/2007 $18,341 $17,229 05/2007 $19,205 $17,852 06/2007 $18,795 $17,435 07/2007 $17,773 $16,571 08/2007 $17,677 $16,769 09/2007 $18,122 $17,304 10/2007 $18,140 $17,321 11/2007 $17,074 $16,438 12/2007 $17,004 $16,281 01/2008 $16,332 $15,627 02/2008 $15,738 $14,975 03/2008 $15,450 $14,888 04/2008 $16,323 $15,594 05/2008 $16,690 $15,612 06/2008 $14,847 $14,119 07/2008 $14,734 $14,127 08/2008 $15,031 $14,402 09/2008 $13,755 $13,376 10/2008 $10,681 $11,030 11/2008 $ 9,624 $10,199 12/2008 $ 9,948 $10,379 01/2009 $ 8,655 $ 9,162 02/2009 $ 7,493 $ 7,934 03/2009 $ 8,279 $ 8,614 04/2009 $ 9,712 $ 9,573 05/2009 $10,445 $10,133 06/2009 $10,297 $10,062 07/2009 $11,354 $10,912 08/2009 $12,105 $11,478 09/2009 $12,646 $11,932 10/2009 $12,044 $11,533 11/2009 $12,603 $12,160 12/2009 $13,066 $12,430 01/2010 $12,699 $12,079 02/2010 $13,284 $12,475 03/2010 $14,332 $13,305 04/2010 $14,891 $13,699 05/2010 $13,616 $12,570 06/2010 $12,576 $11,830 07/2010 $13,581 $12,634 08/2010 $12,690 $12,061 09/2010 $13,956 $13,024 10/2010 $14,498 $13,424 11/2010 $14,533 $13,386 12/2010 $15,904 $14,447 01/2011 $16,297 $14,747 02/2011 $17,214 $15,308 03/2011 $17,328 $15,381 04/2011 $17,738 $15,777 05/2011 $17,459 $15,601 06/2011 $17,153 $15,276 07/2011 $16,428 $14,769 08/2011 $15,057 $13,816 09/2011 $13,528 $12,735 10/2011 $15,415 $14,222 11/2011 $15,293 $14,152 12/2011 $15,450 $14,432 01/2012 $16,253 $15,010 02/2012 $17,109 $15,579 03/2012 $17,476 $16,042 04/2012 $17,153 $15,873 05/2012 $15,948 $14,939 06/2012 $16,786 $15,679 07/2012 $16,934 $15,817 08/2012 $17,572 $16,171 09/2012 $18,201 $16,689 10/2012 $18,262 $16,598 11/2012 $18,376 $16,595 12/2012 $18,908 $16,964 01/2013 $20,157 $18,060 02/2013 $20,472 $18,315 03/2013 $21,485 $19,044 04/2013 $21,633 $19,308 05/2013 $22,341 $19,810 06/2013 $22,210 $19,642 Past performance is not predictive of 07/2013 $23,563 $20,718 future performance. 08/2013 $22,865 $19,922 09/2013 $23,703 $20,472 The returns shown do not reflect the 10/2013 $24,821 $21,350 deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Average Annual One Five Ten Total Return Year Years Years Russell data copyright (C) Russell ----------------------------------------------------- Investment Group 1995-2013, all rights 35.92% 18.37% 9.52% reserved.
-------------------------------------------------------------------------------- 61 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT'S DISCUSSION AND ANALYSIS U.S. Equity Market Review 12 Months Ended October 31, 2013 The one-year period ended October 31, 2013, was characterized by strong gains in U.S. equities. The broad U.S. equity market, as measured by the Russell 3000(R) Index, had positive returns in 10 of the 12 months. The size premium was positive during the period with small cap stocks outperforming large cap stocks as measured by the Russell indices. Micro cap stocks were the strongest performers.
Total Return for 12 Months Ended October 31, 2013 ------------------------------------------------- Russell 3000(R) Index........................ 28.99% Russell Microcap(R) Index (micro cap stocks). 38.72% Russell 2000(R) Index (small cap stocks)..... 36.28% Russell 1000(R) Index (large cap stocks)..... 28.40% Dow Jones U.S. Select REIT Index/SM/......... 9.96%
The value premium was negative in small cap stocks while the performance of large cap value and large cap growth was almost identical as measured by the Russell indices.
Total Return for 12 Months Ended October 31, 2013 ------------------------------------------------- Russell 2000(R) Value Index (small cap value stocks)... 32.83% Russell 2000(R) Growth Index (small cap growth stocks). 39.84% Russell 1000(R) Value Index (large cap value stocks)... 28.29% Russell 1000(R) Growth Index (large cap growth stocks). 28.30%
---------- Source: Russell data copyright (C) Russell Investment Group 1995-2013, all rights reserved. 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 book value, earnings, or dividends. For many Dimensional U.S. equity portfolios, differences in returns over the 12 months ended October 31, 2013, were primarily attributable 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 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. As of October 31, 2013, the Series held approximately 1,300 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series' assets. 62 For the 12 months ended October 31, 2013, total returns were 35.92% for the Series and 28.64% for the Russell 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. The Series had significantly greater exposure than the Index to stocks with lower valuations. These stocks generally outperformed, and the Series' higher weight helped relative performance. The Series invests in stocks across all size categories while the Index primarily holds large cap and mid-cap stocks. Small cap stocks outperformed during the period, and the Series' greater exposure to small caps benefited relative performance. The Series' exclusion of real estate investment trusts ("REITs") and highly regulated utilities contributed to outperformance relative to the Index as both sectors underperformed the overall Index during the period. 63 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, 2013 EXPENSE TABLES Beginning Ending Expenses Account Account Annualized Paid Value Value Expense During 05/01/13 10/31/13 Ratio* Period* --------- --------- ---------- -------- The Tax-Managed U.S. Marketwide Value Series -------------------------------------------- Actual Fund Return $1,000.00 $1,147.40 0.21% $1.14 Hypothetical 5% Annual Return................ $1,000.00 $1,024.15 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 (365) to reflect the six-month period. 64 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 27, 2013. 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 is held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 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....................... 18.9% Consumer Staples............................. 7.3% Energy....................................... 15.8% Financials................................... 18.9% Health Care.................................. 10.3% Industrials.................................. 14.2% Information Technology....................... 6.2% Materials.................................... 3.2% Other........................................ -- Real Estate Investment Trusts................ -- Telecommunication Services................... 4.9% Utilities.................................... 0.3% ----- 100.0%
65 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2013
Percentage Shares Value+ of Net Assets** ------ ------ --------------- COMMON STOCKS -- (95.6%) Consumer Discretionary -- (18.1%) Comcast Corp. Class A.................. 3,446,875 $ 164,002,312 3.7% Comcast Corp. Special Class A.......... 1,088,341 50,390,188 1.2% * General Motors Co...................... 674,707 24,930,424 0.6% * Liberty Interactive Corp. Class A...... 882,463 23,791,202 0.6% Time Warner Cable, Inc................. 693,942 83,377,131 1.9% Time Warner, Inc....................... 1,534,860 105,506,276 2.4% Twenty-First Century Fox, Inc. Class A. 1,287,383 43,874,013 1.0% Twenty-First Century Fox, Inc. Class B. 550,972 18,733,048 0.4% Other Securities....................... 310,888,189 7.0% -------------- ------ Total Consumer Discretionary............... 825,492,783 18.8% -------------- ------ Consumer Staples -- (7.0%) Archer-Daniels-Midland Co.............. 813,476 33,271,168 0.8% CVS Caremark Corp...................... 1,510,745 94,058,984 2.2% Mondelez International, Inc. Class A... 2,081,099 70,008,170 1.6% Other Securities....................... 122,020,688 2.7% -------------- ------ Total Consumer Staples..................... 319,359,010 7.3% -------------- ------ Energy -- (15.2%) Anadarko Petroleum Corp................ 845,068 80,526,530 1.8% Apache Corp............................ 289,715 25,726,692 0.6% Chevron Corp........................... 668,412 80,182,703 1.8% ConocoPhillips......................... 1,766,829 129,508,566 3.0% Hess Corp.............................. 378,130 30,704,156 0.7% Marathon Oil Corp...................... 903,937 31,872,819 0.7% Marathon Petroleum Corp................ 451,968 32,388,027 0.8% National Oilwell Varco, Inc............ 250,948 20,371,959 0.5% Phillips 66............................ 883,414 56,918,364 1.3% Pioneer Natural Resources Co........... 88,400 18,102,552 0.4% Valero Energy Corp..................... 605,899 24,944,862 0.6% Other Securities....................... 160,397,843 3.6% -------------- ------ Total Energy............................... 691,645,073 15.8% -------------- ------ Financials -- (18.0%) American International Group, Inc...... 849,581 43,880,859 1.0% Bank of America Corp................... 6,543,356 91,345,250 2.1% Capital One Financial Corp............. 356,632 24,489,919 0.6% Citigroup, Inc......................... 2,115,722 103,204,919 2.4% CME Group, Inc......................... 414,385 30,751,511 0.7% Goldman Sachs Group, Inc. (The)........ 143,685 23,113,169 0.5% JPMorgan Chase & Co.................... 1,148,419 59,189,515 1.4% MetLife, Inc........................... 1,126,173 53,279,245 1.2% Morgan Stanley......................... 1,476,248 42,412,605 1.0% Prudential Financial, Inc.............. 497,625 40,501,699 0.9% Other Securities....................... 310,800,746 7.0% -------------- ------ Total Financials........................... 822,969,437 18.8% -------------- ------ Health Care -- (9.8%) Aetna, Inc............................. 558,462 35,015,567 0.8% * Express Scripts Holding Co............. 493,239 30,837,302 0.7% Humana, Inc............................ 236,814 21,822,410 0.5% Pfizer, Inc............................ 3,950,849 121,212,047 2.8% Thermo Fisher Scientific, Inc.......... 499,520 48,843,066 1.1% WellPoint, Inc......................... 504,640 42,793,472 1.0%
66 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Percentage Shares Value+ of Net Assets** ------ ------ --------------- Health Care -- (Continued) Zoetis, Inc........................................ 1,007,044 $ 31,883,013 0.7% Other Securities................................... 116,226,691 2.6% -------------- ------ Total Health Care........................................ 448,633,568 10.2% -------------- ------ Industrials -- (13.6%) CSX Corp........................................... 1,242,950 32,391,277 0.8% FedEx Corp......................................... 142,324 18,644,444 0.4% General Electric Co................................ 5,021,489 131,261,722 3.0% Norfolk Southern Corp.............................. 545,229 46,900,599 1.1% Northrop Grumman Corp.............................. 337,038 36,234,955 0.8% Union Pacific Corp................................. 444,064 67,231,290 1.6% Other Securities................................... 286,950,482 6.4% -------------- ------ Total Industrials........................................ 619,614,769 14.1% -------------- ------ Information Technology -- (5.9%) Corning, Inc....................................... 1,201,485 20,533,379 0.5% * Yahoo!, Inc........................................ 1,048,770 34,535,996 0.8% Other Securities................................... 215,942,890 4.9% -------------- ------ Total Information Technology............................. 271,012,265 6.2% -------------- ------ Materials -- (3.1%) International Paper Co............................. 493,615 22,020,165 0.5% Other Securities................................... 118,633,840 2.7% -------------- ------ Total Materials.......................................... 140,654,005 3.2% -------------- ------ Other -- (0.0%) Other Securities................................... 54 0.0% -------------- ------ Real Estate Investment Trusts -- (0.0%) Other Securities................................... 235,004 0.0% -------------- ------ Telecommunication Services -- (4.6%) AT&T, Inc.......................................... 4,065,906 147,185,797 3.4% Verizon Communications, Inc........................ 547,535 27,655,993 0.6% Other Securities................................... 37,106,974 0.8% -------------- ------ Total Telecommunication Services......................... 211,948,764 4.8% -------------- ------ Utilities -- (0.3%) Other Securities................................... 14,803,017 0.3% -------------- ------ TOTAL COMMON STOCKS...................................... 4,366,367,749 99.5% -------------- ------ RIGHTS/WARRANTS -- (0.0%) Other Securities................................... -- 0.0% -------------- ------ TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.073%. 22,324,026 22,324,026 0.5% -------------- ------ Shares/ Face Amount ------- - - (000) SECURITIES LENDING COLLATERAL -- (3.9%) (S)@ DFA Short Term Investment Fund..................... 15,381,037 177,958,599 4.0% -------------- ------ TOTAL INVESTMENTS -- (100.0%) (Cost $2,775,925,201)................................... $4,566,650,374 104.0% ============== ======
67 THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED Summary of the Series' investments as of October 31, 2013, based on their valuation inputs, is as follows (See Security Valuation Note):
Investments in Securities (Market Value) -------------------------------------------------- Level 1 Level 2 Level 3 Total -------------- ------------ ------- -------------- Common Stocks Consumer Discretionary........ $ 825,492,783 -- -- $ 825,492,783 Consumer Staples.............. 319,359,010 -- -- 319,359,010 Energy........................ 691,645,073 -- -- 691,645,073 Financials.................... 822,962,861 $ 6,576 -- 822,969,437 Health Care................... 448,592,216 41,352 -- 448,633,568 Industrials................... 619,600,883 13,886 -- 619,614,769 Information Technology........ 271,012,265 -- -- 271,012,265 Materials..................... 140,654,005 -- -- 140,654,005 Other......................... -- 54 -- 54 Real Estate Investment Trusts. 235,004 -- -- 235,004 Telecommunication Services.... 211,948,764 -- -- 211,948,764 Utilities..................... 14,803,017 -- -- 14,803,017 Rights/Warrants................. -- -- -- -- Temporary Cash Investments...... 22,324,026 -- -- 22,324,026 Securities Lending Collateral... -- 177,958,599 -- 177,958,599 -------------- ------------ -- -------------- TOTAL........................... $4,388,629,907 $178,020,467 -- $4,566,650,374 ============== ============ == ==============
See accompanying Notes to Financial Statements. 68 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2013 (Amounts in thousands) ASSETS: Investments at Value (including $172,330 of securities on loan).......... $4,366,368 Temporary Cash Investments at Value & Cost............................... 22,324 Collateral from Securities on Loan Invested in Affiliate at Value & Cost. 177,959 Cash..................................................................... 116 Receivables: Dividends and Interest................................................. 4,910 Securities Lending Income.............................................. 85 ---------- Total Assets........................................................ 4,571,762 ---------- LIABILITIES: Payables: Upon Return of Securities Loaned....................................... 177,959 Investment Securities Purchased........................................ 3,011 Due to Advisor......................................................... 729 Accrued Expenses and Other Liabilities................................... 308 ---------- Total Liabilities................................................... 182,007 ---------- NET ASSETS............................................................... $4,389,755 ========== Investments at Cost...................................................... $2,575,643 ==========
See accompanying Notes to Financial Statements. 69 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2013 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $92).............. $ 77,058 Interest...................................................... 19 Income from Securities Lending................................ 700 ---------- Total Investment Income.................................... 77,777 ---------- Expenses Investment Advisory Services Fees............................. 7,684 Accounting & Transfer Agent Fees.............................. 264 Custodian Fees................................................ 45 Shareholders' Reports......................................... 12 Directors'/Trustees' Fees & Expenses.......................... 40 Professional Fees............................................. 116 Other......................................................... 54 ---------- Total Expenses............................................. 8,215 ---------- Net Investment Income (Loss).................................. 69,562 ---------- Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold.................................. 39,747 Change in Unrealized Appreciation (Depreciation) of: Investment Securities....................................... 1,056,586 ---------- Net Realized and Unrealized Gain (Loss)....................... 1,096,333 ---------- Net Increase (Decrease) in Net Assets Resulting from Operations. $1,165,895 ==========
See accompanying Notes to Financial Statements. 70 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, 2013 2012 ---------- ---------- Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......................................... $ 69,562 $ 61,545 Net Realized Gain (Loss) on: Investment Securities Sold.......................................... 39,747 64,448 Change in Unrealized Appreciation (Depreciation) of: Investment Securities............................................... 1,056,586 400,114 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations.... 1,165,895 526,107 ---------- ---------- Transactions in Interest: Contributions......................................................... 285,068 96,522 Withdrawals........................................................... (367,684) (217,478) ---------- ---------- Net Increase (Decrease) from Transactions in Interest.............. (82,616) (120,956) ---------- ---------- Total Increase (Decrease) in Net Assets............................ 1,083,279 405,151 Net Assets Beginning of Year..................................................... 3,306,476 2,901,325 ---------- ---------- End of Year........................................................... $4,389,755 $3,306,476 ========== ==========
See accompanying Notes to Financial Statements. 71 THE DFA INVESTMENT TRUST COMPANY THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES FINANCIAL HIGHLIGHTS
Year Year Year Year Year Ended Ended Ended Ended Ended Oct. 31, Oct. 31, Oct. 31, Oct. 31, Oct. 31, 2013 2012 2011 2010 2009 ----------------------------------------------------- ----------------------------------------------------------- Total Return......................................... 35.92% 18.47% 6.33% 20.38% 12.76% ----------------------------------------------------------------------------------------------------------------- Net Assets, End of Year (thousands).................. $4,389,755 $3,306,476 $2,901,325 $2,670,673 $2,289,927 Ratio of Expenses to Average Net Assets.............. 0.21% 0.22% 0.22% 0.22% 0.23% Ratio of Net Investment Income to Average Net Assets. 1.82% 1.99% 1.61% 1.40% 2.23% Portfolio Turnover Rate.............................. 5% 10% 20% 25% 28% -----------------------------------------------------------------------------------------------------------------
See accompanying Notes to Financial Statements. 72 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 eleven operational portfolios, one of which, The Tax-Managed U.S. Marketwide Value Series (the "Series"), is presented in this section of the report. The remaining ten portfolios are presented in separate reports. 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) 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 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. 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. A summary of the inputs used to value the Series' investments by each major security type, industry and/or country is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. 73 For the year ended October 31, 2013, there were no significant transfers between Level 1 and Level 2 and no Level 3 investments held by the Series. 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, 2013, 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 $102 (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, 2013, 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 gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series 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 the Series are directly charged. Common expenses of the Trust or its Series are allocated using methods approved by the Board, generally based on average net assets. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment advisory services to the Series. For the year ended October 31, 2013, 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, 2013, the total related amounts paid to the CCO by the Trust were $56 (in thousands). The total related amounts paid by the Series is included in Other Expenses on the Statement of Operations. 74 D. Purchases and Sales of Securities: For the year ended October 31, 2013, 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 Tax-Managed U.S. Marketwide Value Series. $199,899 $176,761
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, 2013, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes (amounts in thousands):
Net Unrealized Federal Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------- ------------ -------------- -------------- Tax Managed U.S. Marketwide Value Series. $2,776,577 $1,834,742 $(44,668) $1,790,074
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 in a tax return. Management has analyzed the Series' tax positions and has concluded that no additional provision for income tax is required in the Series' financial statements. The Series is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Series' federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. F. Financial Instruments: In accordance with the Series' investment objective and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. 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. G. Line of Credit: The Trust, together with other Dimensional-advised portfolios, entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon, which was terminated by The Bank of New York Mellon effective March 29, 2013. Prior to termination, each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable 75 for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic 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. 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 March 3, 2014. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. For the year ended October 31, 2013, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days):
Weighted Weighted Number of Interest Maximum Amount Average Average Days Expense Borrowed During Interest Rate Loan Balance Outstanding* Incurred the Period ------------- ------------ ------------ -------- --------------- The Tax-Managed U.S. Marketwide Value Series.............................. 0.91% $1,887 13 $1 $4,797
* Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2013, that the Series' available line of credit was utilized. There were no outstanding borrowings by the Series under the lines of credit as of October 31, 2013. H. Securities Lending: As of October 31, 2013, 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 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 76 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 January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. ASU No. 2011-11 is effective for annual periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating any impact ASU No. 2011-11 may have on the financial statements. K. Other: On December 13, 2013, the Board of DFAIDG voted to approve the combination of the Investment Advisory Agreement and the Administration Agreement (together, the "Current Agreements") into a bundled Investment Management Agreement for each of the following Fund: the Tax-Managed U.S. Equity Portfolio. It is expected that the Investment Management Agreement will become effective on February 28, 2014. The nature and level of services to the Fund under the Investment Management Agreement will be the same as under the Current Agreements. When the Investment Management Agreement becomes effective, the Fund will pay the Advisor an investment management fee that is equal to the sum of the current investment advisory fee and current administration fee that is paid by the Fund to the Advisor under the Current Agreements. 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, 2013, 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 and the financial highlights for each of the five years in the period then ended, 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, 2013 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 20, 2013 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 three standing committees, an Audit Committee, a Nominating Committee, and an Investment 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, 2013. 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. There was one Nominating Committee meeting held during the fiscal year ended October 31, 2013. 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, 2013. 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
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 Year of Birth Length of Service Overseen Other Directorships of Public Companies Held ------------------------------------------------------------------------------------------------------------------------------- Disinterested Trustees/Directors ------------------------------------------------------------------------------------------------------------------------------- George M. Constantinides Since Inception 106 portfolios in 4 Leo Melamed Professor of Finance, The University Director of DFAIDG and investment companies 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 1947 ------------------------------------------------------------------------------------------------------------------------------- John P. Gould Since Inception 106 portfolios in 4 Steven G. Rothmeier Distinguished Service Director of DFAIDG and investment companies Professor of Economics, The University of Chicago DIG. Trustee of DFAITC Booth School of Business (since 1965). Member and and DEM. Chair, Competitive Markets Advisory Committee, The University of Chicago Chicago Mercantile Exchange (futures trading Booth School of Business exchange) (since 2004). Formerly, Director of UNext, 5807 S. Woodlawn Inc. (1999-2006). Trustee, Harbor Fund (registered Avenue investment company) (30 Portfolios) (since 1994). Chicago, IL 60637 Formerly, Member of the Board of Milwaukee Mutual 1939 Insurance Company (1997-2010). ------------------------------------------------------------------------------------------------------------------------------- Roger G. Ibbotson Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale School of Director of DFAIDG and investment companies Management (since 1984). Chairman, CIO and DIG. Trustee of DFAITC Partner, Zebra Capital Management, LLC (hedge and DEM. fund manager) (since 2001). Consultant to Yale School of Morningstar, Inc. (since 2006). Formerly, Chairman, Management Ibbotson Associates, Inc., Chicago, IL (software data P.O. Box 208200 publishing and consulting) (1977-2006). Formerly, New Haven, Director, BIRR Portfolio Analysis, Inc. (software CT 06520-8200 products) (1990-2010). 1943 ------------------------------------------------------------------------------------------------------------------------------- Edward P. Lazear Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover Institution Director of DFAIDG and investment companies (since 2002). Jack Steele Parker Professor of DIG. Trustee of DFAITC Human Resources Management and Economics, and DEM. Graduate School of Business, Stanford University Stanford University (since 1995). Cornerstone Research (expert Graduate School of testimony and economic and financial analysis) Business (since 2009). Formerly, Chairman of the President 518 Memorial Way George W. Bush's Council of Economic Advisers Stanford, CA 94305-5015 (2006-2009). Formerly, Council of Economic 1948 Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005). ------------------------------------------------------------------------------------------------------------------------------- Myron S. Scholes Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of Finance, Director of DFAIDG and investment companies Stanford University (since 1981). Formerly, DIG. Trustee of DFAITC Chairman, Platinum Grove Asset Management, L.P. and DEM. (hedge fund) (formerly, Oak Hill Platinum Partners) c/o Dimensional Fund (1999-2009). Formerly, Managing Partner, Oak Hill Advisors, LP Capital Management (private equity firm) (until 6300 Bee Cave Road 2004). Director, American Century Fund Complex Building 1 (registered investment companies) (40 Portfolios) Austin, TX 78746 (since 1980). Formerly, Director, Chicago Mercantile 1941 Exchange (2001-2008). ------------------------------------------------------------------------------------------------------------------------------- Abbie J. Smith Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished Service Director of DFAIDG and investment companies Professor of Accounting, The University of Chicago DIG. Booth School of Business (since 1980). Co-Director Trustee of DFAITC and Investment Research, Fundamental Investment DEM. Advisors (hedge fund) (since 2008). Director, HNI The University of Chicago Corporation (formerly known as HON Industries Inc.) Booth School of Business (office furniture) (since 2000). Director, Ryder 5807 S. Woodlawn System Inc. (transportation, logistics and supply- Avenue chain management) (since 2003). Trustee, UBS Chicago, IL 60637 Funds (4 investment companies within the fund 1953 complex) (52 portfolios) (since 2009).
80
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 Year of Birth Length of Service Overseen Other Directorships of Public Companies Held ------------------------------------------------------------------------------------------------------------------------------- Interested Trustees/Directors* ------------------------------------------------------------------------------------------------------------------------------- David G. Booth Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Co-Chief Chairman, Director, investment companies Executive Officer (since January 2010) of Co-Chief Executive Dimensional Holdings Inc., Dimensional Fund Officer and President of Advisors LP, DFA Securities LLC, DEM, DFAIDG, DFAIDG and DIG. DIG and DFAITC. Director of Dimensional Fund Chairman, Trustee, Advisors Ltd., Dimensional Funds PLC, Dimensional Co-Chief Executive Funds II PLC, DFA Australia Limited, Dimensional Officer and President of Cayman Commodity Fund I Ltd., Dimensional Japan DFAITC and DEM. Ltd. and Dimensional Advisors Ltd. Chairman, 6300 Bee Cave Road, Director and Co-Chief Executive Officer of Building One Austin, Dimensional Fund Advisors Canada ULC. President, Texas 78746 Dimensional SmartNest (US) LLC. Limited Partner, 1946 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, DEM, DFAIDG, DIG , DFAITC, 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 106 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 Dimensional Fund Advisors LP, DFA Securities LLC, of DFAIDG and DIG. DEM, DFAIDG, DIG, DFAITC and Dimensional Trustee, Co-Chief Cayman Commodity Fund I Ltd. Director, Co-Chief Executive Officer and Executive Officer, President and Chief Investment Chief Investment Officer Officer of Dimensional Fund Advisors Canada ULC. of DFAITC and DEM. Chief Investment Officer, Vice President and Director 6300 Bee Cave Road, of DFA Australia Limited. Director of Dimensional Building One Fund Advisors Ltd., Dimensional Funds PLC, Austin, TX 78746 Dimensional Funds II PLC, Dimensional Japan Ltd. 1967 and Dimensional Advisors Ltd., Formerly President of Dimensional Holdings Inc, Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG, DFAITC 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. 81 Officers The name, year of birth, 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"), Dimensional Holdings Inc., 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 Year of Birth Service Principal Occupation(s) During Past 5 Years ------------------------------------------------------------------------------------------------------------------------- Officers ------------------------------------------------------------------------------------------------------------------------- April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President 1963 ------------------------------------------------------------------------------------------------------------------------- Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Vice President Business Development at Capson Physicians Insurance Company 1974 (2010-2012); Vice President at Charles Schwab (2007-2010). ------------------------------------------------------------------------------------------------------------------------- Darryl D. Avery Since 2005 Vice President of all the DFA Entities. Vice President 1966 ------------------------------------------------------------------------------------------------------------------------- Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Managing Vice President Director of DFAL (since September 2013). 1955 ------------------------------------------------------------------------------------------------------------------------- Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President 1968 ------------------------------------------------------------------------------------------------------------------------- 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 Fund Advisors Pte. 1967 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). 1964 ------------------------------------------------------------------------------------------------------------------------- Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (December 2010-January2012); Regional Director 1970 at Russell Investments (April 2006-December 2010). ------------------------------------------------------------------------------------------------------------------------- James G. Charles Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director for Vice President Dimensional (2008-2010); Vice President, Client Portfolio Manager at 1956 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 1966 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, 1972 North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). ------------------------------------------------------------------------------------------------------------------------- Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since September 2011). Formerly, Vice President at 1971 MullinTBG 92005-2011). ------------------------------------------------------------------------------------------------------------------------- Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since 2003). 1979 ------------------------------------------------------------------------------------------------------------------------- Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (August 2002-January 2012). 1976
82
Term of Office/1/ Name, Position with the Fund and Length of and Year of Birth Service Principal Occupation(s) During Past 5 Years --------------------------------------------------------------------------------------------------------------------------- Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Vice President 1949 --------------------------------------------------------------------------------------------------------------------------- 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 1955 Company (2007-2008). --------------------------------------------------------------------------------------------------------------------------- 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 and Dimensional SmartNest (US) LLC. Chief Compliance Officer of 1965 Dimensional Fund Advisors Canada ULC. --------------------------------------------------------------------------------------------------------------------------- James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President 1956 --------------------------------------------------------------------------------------------------------------------------- Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Vice President Dimensional Fund Advisors Canada ULC. 1957 --------------------------------------------------------------------------------------------------------------------------- Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate for Vice President Dimensional (since August 2008). 1972 --------------------------------------------------------------------------------------------------------------------------- Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Vice President 1970 --------------------------------------------------------------------------------------------------------------------------- Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Entities and Vice President and Assistant DFA Australia Limited. Secretary 1965 --------------------------------------------------------------------------------------------------------------------------- Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President 1971 --------------------------------------------------------------------------------------------------------------------------- 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 1974 Manager of Dimensional (since January 2012). --------------------------------------------------------------------------------------------------------------------------- Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Manager Vice President for Dimensional (since June 2006). 1970 --------------------------------------------------------------------------------------------------------------------------- Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Vice President 1967 --------------------------------------------------------------------------------------------------------------------------- Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director Vice President at BlackRock (2004-January 2012). 1968 --------------------------------------------------------------------------------------------------------------------------- Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President 1967 --------------------------------------------------------------------------------------------------------------------------- John T. Gray Since 2007 Vice President of all the DFA Entities. Vice President 1974 --------------------------------------------------------------------------------------------------------------------------- Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional (since 2012). Formerly, Senior Trader for Dimensional 1975 Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd. (2008-2009); Trader for Dimensional (2004-2008). --------------------------------------------------------------------------------------------------------------------------- Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Vice President 1967 --------------------------------------------------------------------------------------------------------------------------- Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities, Vice President and Fund Controller Dimensional Cayman Commodity Fund I Ltd. and Dimensional 1974 Japan Ltd.
83
Term of Office/1/ Name, Position with the Fund and Length of and Year of Birth Service Principal Occupation(s) During Past 5 Years ---------------------------------------------------------------------------------------------------------------------- Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President 1967 ---------------------------------------------------------------------------------------------------------------------- Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President 1967 ---------------------------------------------------------------------------------------------------------------------- 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). 1960 ---------------------------------------------------------------------------------------------------------------------- William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director For Vice President Dimensional (since 2012). Formerly, Vice President of Institutional 1957 Business Development at Eaton Vance (2005-2011). ---------------------------------------------------------------------------------------------------------------------- Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Vice President Commodity Fund I Ltd. 1973 ---------------------------------------------------------------------------------------------------------------------- Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager Vice President for Dimensional (October 2008-January 2012). 1968 ---------------------------------------------------------------------------------------------------------------------- Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Entities, Vice President Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan 1954 Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited and Chief Operating Officer of Dimensional. 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. and Dimensional Advisors Ltd. Director and Vice President of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd. ---------------------------------------------------------------------------------------------------------------------- Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since October 2004). 1977 ---------------------------------------------------------------------------------------------------------------------- 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). 1948 ---------------------------------------------------------------------------------------------------------------------- David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since June 2004). 1971 ---------------------------------------------------------------------------------------------------------------------- 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 1971 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 1971 Dimensional (April 2001-January 2012). ---------------------------------------------------------------------------------------------------------------------- Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate Vice President Investment Analytics and Data for Dimensional (January 2012- 1981 December 2012); Systems Developer for Dimensional (June 2007- December 2011). ---------------------------------------------------------------------------------------------------------------------- Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (2007-2010). 1968 ---------------------------------------------------------------------------------------------------------------------- Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Officer of Vice President Dimensional SmartNest (US) LLC (since 2012). 1967 ---------------------------------------------------------------------------------------------------------------------- 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). 1969 ---------------------------------------------------------------------------------------------------------------------- David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader for Vice President Dimensional (January 2010-December 2012); Trader for 1978 Dimensional (2000-2009).
84
Term of Office/1/ Name, Position with the Fund and Length of and Year of Birth Service Principal Occupation(s) During Past 5 Years --------------------------------------------------------------------------------------------------------------------------- Juliet H. Lee Since 2005 Vice President of all the DFA Entities. Vice President 1971 --------------------------------------------------------------------------------------------------------------------------- Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (July 2008-2010). 1980 --------------------------------------------------------------------------------------------------------------------------- John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since January 2008). 1960 --------------------------------------------------------------------------------------------------------------------------- Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since February 2004). 1969 --------------------------------------------------------------------------------------------------------------------------- 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 1972 September 2006). --------------------------------------------------------------------------------------------------------------------------- Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (Since August 2010). Formerly, Vice 1971 President, Sales and Business Development at AdvisorsIG (PPMG) (2009- 2010); Vice President at Credit Suisse (2007-2009). --------------------------------------------------------------------------------------------------------------------------- Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Vice President & Head of Global Human Resources of Dimensional. Human Resources 1970 --------------------------------------------------------------------------------------------------------------------------- David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of Vice President, Chief Financial Officer all the DFA Entities. Director, Vice President, Chief and Treasurer Financial Officer and Treasurer of Dimensional Fund 1956 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 (US) LLC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. --------------------------------------------------------------------------------------------------------------------------- Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Vice President Manager for Dimensional (Since 2012). Formerly, Regional 1978 Director for Dimensional (2008-2011; Senior Associate at Dimensional (2007-2010). --------------------------------------------------------------------------------------------------------------------------- Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment Vice President Systems at Dimensional (Since 2011). Formerly, Project 1971 Manager for Dimensional (2007-2010). --------------------------------------------------------------------------------------------------------------------------- Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Vice President and Secretary 1997 and Secretary Director, Vice President and Secretary of DFA Australia 1964 since 2000 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 (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). --------------------------------------------------------------------------------------------------------------------------- Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (2008-2010). 1964 --------------------------------------------------------------------------------------------------------------------------- Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Vice President Officer of Dimensional (since December 2012). Formerly 1961 Chief Compliance Officer of Wellington Management Company, LLP (2004-2011).
85
Term of Office/1/ Name, Position with the Fund and Length of and Year of Birth Service Principal Occupation(s) During Past 5 Years ----------------------------------------------------------------------------------------------------------------------- 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 1974 2011). Counsel for Dimensional (2007-2011). ----------------------------------------------------------------------------------------------------------------------- Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Vice President 1976 ----------------------------------------------------------------------------------------------------------------------- Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2005). 1973 ----------------------------------------------------------------------------------------------------------------------- Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Officer for Vice President Dimensional (since January 2008). Formerly, Compliance Officer 1978 (February 2006-December 2007). ----------------------------------------------------------------------------------------------------------------------- Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional Fund Advisors LP (since 2012). Formerly, Senior 1977 Consultant at Hewitt EnnisKnupp (June 2011-December 2011); Senior Investment Analyst and Consultant at Hewitt EnnisKnupp (July 2008-June 2011). ----------------------------------------------------------------------------------------------------------------------- Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Dimensional Vice President Fund Advisors LP (since 2009). Formerly, Vice President and 1976 Corporate Counsel at Mellon Capital Management (2006-2008). ----------------------------------------------------------------------------------------------------------------------- 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 1961 Canada ULC. ----------------------------------------------------------------------------------------------------------------------- Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since July 2006). 1970 ----------------------------------------------------------------------------------------------------------------------- Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). 1973 ----------------------------------------------------------------------------------------------------------------------- Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Analysis Vice President Manager for Dimensional (since July 2007). 1969 ----------------------------------------------------------------------------------------------------------------------- Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (June 2011-January 2012); Research 1981 Assistant for Dimensional (July 2004-August 2007). ----------------------------------------------------------------------------------------------------------------------- L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President 1971 ----------------------------------------------------------------------------------------------------------------------- Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Manager for Vice President Dimensional (since July 2008). 1959 ----------------------------------------------------------------------------------------------------------------------- Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (March 2006-January 2010). 1961 ----------------------------------------------------------------------------------------------------------------------- Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Operations Vice President Manager for Dimensional (since May 2007). 1965 ----------------------------------------------------------------------------------------------------------------------- Ted R. Simpson Since 2007 Vice President of all the DFA Entities. Vice President 1968 ----------------------------------------------------------------------------------------------------------------------- Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Vice President 1975 ----------------------------------------------------------------------------------------------------------------------- Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). 1968 ----------------------------------------------------------------------------------------------------------------------- Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. 1956
86
Term of Office/1/ Name, Position with the Fund and Length of and Year of Birth Service Principal Occupation(s) During Past 5 Years --------------------------------------------------------------------------------------------------------------------- Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President 1963 --------------------------------------------------------------------------------------------------------------------- Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President 1947 --------------------------------------------------------------------------------------------------------------------- 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. 1973 --------------------------------------------------------------------------------------------------------------------- Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since April 2010). Formerly, Principal, Investment 1971 Strategist at Barclays Global Investors (2004-2009). --------------------------------------------------------------------------------------------------------------------- Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment Vice President Analytics and Data for Dimensional (since 2012). Formerly, 1973 Research Assistant at Dimensional (2002-2011). --------------------------------------------------------------------------------------------------------------------- Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director for Vice President Dimensional (since 2010). Formerly, Senior Associate at 1980 Dimensional (2007-2009). --------------------------------------------------------------------------------------------------------------------- John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (January 2008-January 2012). 1978 --------------------------------------------------------------------------------------------------------------------- Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Technology Vice President for Dimensional (since March 2007). 1958 --------------------------------------------------------------------------------------------------------------------- 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 1966 Canada ULC. --------------------------------------------------------------------------------------------------------------------- Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Vice President Dimensional (since 2004). 1970 --------------------------------------------------------------------------------------------------------------------- Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President 1951 --------------------------------------------------------------------------------------------------------------------- Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Vice President 1976 --------------------------------------------------------------------------------------------------------------------- Paul E. Wise Since 2005 Vice President of all the DFA Entities. Vice President 1955 --------------------------------------------------------------------------------------------------------------------- Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Director Vice President for Dimensional (2005-2010). 1978
/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. 87 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. 88 NOTICE TO SHAREHOLDERS (Unaudited) For shareholders that do not have an October 31, 2013 tax year end, this notice is for informational purposes only. For shareholders with an October 31, 2013 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2012 to October 31, 2013, 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.
Qualifying For Net Corporate DFA Investment Investment Short-Term Long-Term Dividends Qualifying Foreign Foreign Dimensions Group Income Capital Gain Capital Gain Total Received Dividend Tax Source Inc. Distributions Distributions Distributions Distributions Deduction(1) Income(2) Credit(3) Income(4) ---------------- ------------- ------------- ------------- ------------- ------------ ---------- --------- --------- Tax-Managed U.S. Marketwide Value Portfolio......... 100% -- -- 100% 100% 100% -- 3% Tax-Managed U.S. Equity Portfolio.. 100% -- -- 100% 100% 100% -- -- Tax-Managed U.S. Targeted Value Portfolio......... 39% -- 61% 100% 100% 100% -- -- Tax-Managed U.S. Small Cap Portfolio......... 100% -- -- 100% 100% 100% -- -- T.A. U.S. Core Equity 2 Portfolio......... 93% -- 7% 100% 100% 100% -- -- Tax-Managed DFA International Value Portfolio... 100% -- -- 100% 100% 100% 8% 100% T.A. World ex U.S. Core Equity Portfolio......... 99% -- 1% 100% 100% 100% 7% 100%
Qualifying Short- DFA Investment Qualifying Term Dimensions Group Interest Capital Inc. Income(5) Gain(6) ---------------- ---------- ---------- Tax-Managed U.S. Marketwide Value Portfolio......... 100% 100% Tax-Managed U.S. Equity Portfolio.. 100% 100% Tax-Managed U.S. Targeted Value Portfolio......... 100% 100% Tax-Managed U.S. Small Cap Portfolio......... 100% 100% T.A. U.S. Core Equity 2 Portfolio......... 100% 100% Tax-Managed DFA International Value Portfolio... 100% 100% T.A. World ex U.S. Core Equity Portfolio......... 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 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). (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). 89 [LOGO] DFA103113-002A THE DFA SHORT TERM INVESTMENT FUND ANNUAL REPORT YEAR ENDED OCTOBER 31, 2013 TABLE OF CONTENTS INVESTMENT SUMMARY 1 SCHEDULE OF PORTFOLIO HOLDINGS 2 SCHEDULE OF INVESTMENTS 3 STATEMENT OF ASSETS AND LIABILITIES 9 STATEMENT OF OPERATIONS 10 STATEMENTS OF CHANGES IN NET ASSETS 11 FINANCIAL HIGHLIGHTS 12 NOTES TO FINANCIAL STATEMENTS 13 SUPPLEMENTAL INFORMATION 20 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 22 FUND MANAGEMENT 23
INVESTMENT SUMMARY CUMULATIVE PERFORMANCE OF $10,000 (LINE GRAPH)
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 1/31/2013 4/30/2013 7/31/2013 10/31/2013 DSTIF GROWTH OF 10K 1/31 4/30 7/31 10/31 1/31 4/30 7/31 10/31 The DFA Short Term Investment Fund 10,039.68 10,044.88 10,050.54 10,056.10 10,060.79 10,064.20 10,066.59 10,068.68 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 10022.38 10023.59 10024.15 10024.79
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 10/31/13
1 YEAR SINCE INCEPTION 7-DAY YIELD ------- ---------------- ------------ THE DFA SHORT TERM INVESTMENT FUND 0.13% 0.18% 0.08% CITIGROUP ONE-MONTH U.S. TREASURY BILL INDEX 0.04% 0.07% --
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 following table indicates the allocation of investments among the asset classes in the Fund as of October 31, 2013:
PERCENT OF SECURITY ALLOCATION INVESTMENTS ------------------- ----------- Commercial Paper 59.7% Repurchase Agreement 15.8 Yankee Certificate of Deposit 9.4 U.S. Government Agency Backed Securities 6.7 Yankee Bond 3.8 Corporate Bond 3.5 U.S. Treasury Obligations 1.1 ----- TOTAL INVESTMENTS 100.0%
See notes to financial statements. 2 THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments October 31, 2013
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ --------------------------------------------------------------------- ----- -------- -------------- --------------- CORPORATE BONDS - 3.5% (r)Bank of New York Mellon 0.55% 01/31/14 36,174,000 36,193,642 (r)Bank of New York Mellon 0.51% 07/28/14 8,620,000 8,634,645 (r)Berkshire Hathaway, Inc. 0.96% 08/15/14 86,165,000 86,667,945 (r)Coca-Cola Co. 0.20% 03/14/14 58,830,000 58,836,412 (r)General Electric Capital Corp. 1.09% 01/07/14 22,835,000 22,870,714 General Electric Capital Corp. 2.10% 01/07/14 24,250,000 24,327,964 (r)General Electric Capital Corp. 0.87% 04/07/14 34,000,000 34,099,144 (r)General Electric Capital Corp. 0.94% 04/24/14 13,180,000 13,234,486 (r)General Electric Capital Corp. 0.51% 09/15/14 15,935,000 15,971,284 (r)Mellon Funding Corp. 0.41% 05/15/14 5,600,000 5,602,386 (r)Toyota Motor Credit Corp. 0.64% 01/17/14 4,750,000 4,756,161 (r)Toyota Motor Credit Corp. 0.25% 06/11/14 150,000,000 149,986,201 (r)Toyota Motor Credit Corp. 0.24% 07/14/14 125,000,000 124,989,500 (r)Toyota Motor Credit Corp. 0.24% 07/14/14 45,000,000 44,996,220 (r)Toyota Motor Credit Corp. 0.28% 08/04/14 12,000,000 12,000,000 -------------- --------------- TOTAL CORPORATE BONDS (Cost $643,211,843) 642,339,000 643,166,704 -------------- --------------- YANKEE BONDS - 3.8% (r)Commonwealth Bank of Australia 0.98% 03/17/14 49,045,000 49,190,517 (y)International Bank for Reconstruction 0.02% 11/12/13 100,000,000 99,999,400 (y)International Bank for Reconstruction 0.15% 12/02/13 50,000,000 49,998,700 (r)National Australia Bank Ltd. 1.02% 12/10/13 5,000,000 5,004,125 (r)National Australia Bank Ltd. 0.97% 04/11/14 7,400,000 7,422,444 NRW Bank AG 1.63% 01/17/14 100,000,000 100,278,599 Rabobank Nederland 1.85% 01/10/14 18,000,000 18,057,366 (r)Rabobank Nederland 0.59% 04/14/14 8,929,000 8,942,626 (r)Rabobank Nederland NV NY 0.27% 07/11/14 75,000,000 75,002,325 Royal Bank of Canada NY 1.13% 01/15/14 13,100,000 13,124,510 (r)Royal Bank of Canada NY 0.54% 04/17/14 53,725,000 53,798,120 (r)Royal Bank of Canada NY 0.94% 10/30/14 5,647,000 5,685,366 (r)Toronto Dominion Bank NY 0.71% 11/01/13 40,000,000 40,000,000 (r)Toronto Dominion Bank NY 0.54% 07/14/14 83,087,000 83,264,557 (r)Total Capital Canada Ltd. 0.62% 01/17/14 27,001,000 27,027,542 (r)Westpac Banking Corp. 0.99% 12/09/13 11,505,000 11,513,548 (r)Westpac Banking Corp. 0.98% 03/31/14 47,100,000 47,254,300 -------------- --------------- TOTAL YANKEE BONDS (Cost $695,557,338) 694,539,000 695,564,045 -------------- --------------- COMMERCIAL PAPER - 59.7% (y)++Abbott Laboratories 0.07% 12/03/13 85,000,000 84,997,450 (y)++ANZ National International Ltd. 0.18% 01/13/14 100,000,000 99,967,000 (y)++ANZ National International Ltd. 0.19% 01/15/14 50,000,000 49,983,000 (y)++ANZ National International Ltd. 0.19% 01/16/14 100,000,000 99,966,000 (y)++ANZ National International Ltd. 0.23% 03/06/14 50,000,000 49,962,000 (y)++ANZ National International Ltd. 0.25% 04/10/14 91,000,000 90,891,710 (y)++ASB Finance Ltd. London 0.20% 02/10/14 50,000,000 49,973,500 (y)++ASB Finance Ltd. London 0.22% 02/24/14 50,000,000 49,967,000 (y)++Australia & New Zealand Banking Group 0.20% 12/02/13 12,600,000 12,598,992 (y)++Automatic Data Processing 0.05% 11/07/13 200,000,000 199,997,279 (y)Banque et Caisse d'Epargne de I'Etat 0.19% 11/12/13 50,000,000 49,998,500 (y)Banque et Caisse d'Epargne de I'Etat 0.12% 11/18/13 34,700,000 34,698,265 (y)Banque et Caisse d'Epargne de I'Etat 0.21% 12/09/13 40,000,000 39,994,400 (y)Banque et Caisse d'Epargne de I'Etat 0.12% 12/10/13 20,000,000 19,997,200 (y)Banque et Caisse d'Epargne de I'Etat 0.16% 12/17/13 25,000,000 24,995,750 (y)Banque et Caisse d'Epargne de I'Etat 0.23% 12/20/13 25,000,000 24,995,250 (y)Banque et Caisse d'Epargne de I'Etat 0.21% 01/15/14 40,000,000 39,986,400 (y)Banque et Caisse d'Epargne de I'Etat 0.22% 01/16/14 50,000,000 49,983,000 (y)Banque et Caisse d'Epargne de I'Etat 0.14% 01/24/14 82,000,000 81,968,020 (y)Banque et Caisse d'Epargne de I'Etat 0.19% 02/03/14 50,000,000 49,976,500 (y)Banque et Caisse d'Epargne de I'Etat 0.19% 03/03/14 50,000,000 49,963,500
See notes to financial statements. 3 THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2013
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ --------------------------------------------------------------------- ----- -------- -------------- --------------- COMMERCIAL PAPER - 59.7% (CONTINUED) (y)Banque et Caisse d'Epargne de I'Etat 0.17% 03/11/14 100,000,000 99,918,000 (y)Basin Electric Power Cooperative 0.08% 11/13/13 10,000,000 9,999,600 (y)++BNZ International Funding 0.21% 03/20/14 50,000,000 49,960,000 (y)Caisse des Depots et Consignations 0.22% 12/04/13 12,000,000 11,998,320 (y)Caisse des Depots et Consignations 0.17% 12/05/13 70,000,000 69,989,500 (y)Caisse des Depots et Consignations 0.17% 12/16/13 40,000,000 39,991,600 (y)Caisse des Depots et Consignations 0.19% 01/08/14 75,000,000 74,977,500 (y)Caisse des Depots et Consignations 0.24% 01/16/14 150,000,000 149,949,000 (y)Caisse des Depots et Consignations 0.14% 02/05/14 50,000,000 49,975,885 (y)Caisse des Depots et Consignations 0.25% 02/25/14 75,000,000 74,949,750 (y)Caisse des Depots et Consignations 0.19% 03/24/14 100,000,000 99,903,000 (y)++Coca-Cola Co. 0.06% 11/07/13 25,000,000 24,999,750 (y)++Coca-Cola Co. 0.12% 12/11/13 50,000,000 49,995,500 (y)++Coca-Cola Co. 0.13% 12/17/13 25,000,000 24,997,500 (y)++Coca-Cola Co. 0.13% 12/18/13 20,000,000 19,997,800 (y)++Coca-Cola Co. 0.17% 12/19/13 25,000,000 24,997,250 (y)++Coca-Cola Co. 0.17% 12/20/13 40,089,000 40,084,590 (y)Coca-Cola Co. 0.18% 01/22/14 40,000,000 39,991,200 (y)++Coca-Cola Co. 0.12% 01/24/14 47,600,000 47,589,052 (y)++Coca-Cola Co. 0.21% 02/07/14 42,000,000 41,987,400 (y)++Coca-Cola Co. 0.18% 02/12/14 30,000,000 29,990,100 (y)++Coca-Cola Co. 0.12% 02/20/14 135,000,000 134,948,700 (y)++Coca-Cola Co. 0.15% 03/17/14 15,000,000 14,992,200 (y)++Coca-Cola Co. 0.13% 04/09/14 25,000,000 24,983,333 (y)++Commonwealth Bank of Australia 0.21% 11/20/13 50,000,000 49,998,500 (y)++Commonwealth Bank of Australia 0.21% 12/05/13 125,000,000 124,988,750 (y)++Commonwealth Bank of Australia 0.21% 02/28/14 33,600,000 33,583,200 (y)CPPIB Capital, Inc. 0.15% 11/05/13 15,000,000 14,999,850 (y)CPPIB Capital, Inc. 0.15% 11/18/13 50,000,000 49,998,000 (y)CPPIB Capital, Inc. 0.12% 12/12/13 15,000,000 14,997,300 (y)CPPIB Capital, Inc. 0.14% 01/09/14 47,500,000 47,483,850 (y)CPPIB Capital, Inc. 0.17% 01/22/14 20,000,000 19,991,400 (y)CPPIB Capital, Inc. 0.14% 01/23/14 100,000,000 99,957,000 (y)CPPIB Capital, Inc. 0.17% 02/07/14 40,000,000 39,978,800 (y)CPPIB Capital, Inc. 0.17% 04/15/14 50,000,000 49,952,500 (y)CPPIB Capital, Inc. 0.17% 04/21/14 55,000,000 54,945,550 (y)++DBS Bank Ltd. 0.25% 12/02/13 75,000,000 74,991,750 (y)++DBS Bank Ltd. 0.24% 12/12/13 110,000,000 109,983,500 (y)++DBS Bank Ltd. 0.21% 01/15/14 30,000,000 29,989,800 (y)++DBS Bank Ltd. 0.24% 01/22/14 40,000,000 39,984,800 (y)++DBS Bank Ltd. 0.24% 01/23/14 20,000,000 19,992,200 (y)++DBS Bank Ltd. 0.24% 02/10/14 20,000,000 19,989,400 (y)++DBS Bank Ltd. 0.23% 02/14/14 10,000,000 9,994,400 (y)++DBS Bank Ltd. 0.22% 02/28/14 75,000,000 74,954,858 (y)++DBS Bank Ltd. 0.24% 04/01/14 25,000,000 24,973,250 (y)++DBS Bank Ltd. 0.23% 04/04/14 60,000,000 59,933,400 (y)++DBS Bank Ltd. 0.24% 04/14/14 80,000,000 79,900,800 (y)++DuPont E.I. de Nemours Co. 0.07% 11/05/13 50,000,000 49,999,500 (y)++DuPont E.I. de Nemours Co. 0.07% 11/15/13 35,000,000 34,998,600 (y)++DuPont E.I. de Nemours Co. 0.06% 11/20/13 40,000,000 39,998,000 (y)++Emerson Electric Co. 0.03% 11/01/13 25,000,000 24,999,958 (y)++Emerson Electric Co. 0.06% 12/17/13 29,000,000 28,997,100 (y)++Emerson Electric Co. 0.06% 12/18/13 35,000,000 34,996,150 (y)++Emerson Electric Co. 0.06% 12/19/13 35,000,000 34,996,150 (y)Export Development Canada 0.13% 02/19/14 12,600,000 12,596,472 (y)Export Development Canada 0.13% 02/28/14 17,000,000 16,994,390 (y)Export Development Canada 0.13% 03/12/14 25,000,000 24,990,500 (y)General Electric Capital Corp. 0.21% 12/04/13 60,000,000 59,995,800 (y)General Electric Capital Corp. 0.22% 12/12/13 125,000,000 124,988,750 (y)General Electric Capital Corp. 0.11% 12/17/13 75,000,000 74,991,750 (y)General Electric Capital Corp. 0.20% 03/10/14 100,000,000 99,948,000
See notes to financial statements. 4 THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2013
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ --------------------------------------------------------------------- ----- -------- -------------- --------------- COMMERCIAL PAPER - 59.7% (CONTINUED) (y)General Electric Capital Corp. 0.19% 03/24/14 100,000,000 99,935,000 (y)++Google, Inc. 0.05% 11/14/13 48,500,000 48,499,030 (y)++Google, Inc. 0.12% 03/25/14 53,500,000 53,476,995 (y)++Hydro-Quebec 0.07% 12/11/13 100,000,000 99,986,000 (y)++John Deere Capital Corp. 0.05% 11/06/13 18,200,000 18,199,818 (y)Kingdom of Denmark 0.08% 11/07/13 50,000,000 49,999,500 (y)Kingdom of Denmark 0.05% 11/25/13 75,000,000 74,997,000 (y)Kingdom of Denmark 0.06% 12/12/13 50,000,000 49,995,500 (y)++Koch Resources LLC 0.13% 11/14/13 31,000,000 30,999,070 (y)++Koch Resources LLC 0.05% 12/16/13 25,000,000 24,995,750 (y)++Kreditanstalt Fur Wiederaufbau 0.12% 11/12/13 19,000,000 18,999,810 (y)++Kreditanstalt Fur Wiederaufbau 0.16% 11/15/13 53,750,000 53,748,925 (y)++Kreditanstalt Fur Wiederaufbau 0.14% 11/19/13 49,100,000 49,098,527 (y)++Kreditanstalt Fur Wiederaufbau 0.16% 11/20/13 183,725,000 183,719,487 (y)++Kreditanstalt Fur Wiederaufbau 0.14% 12/12/13 40,000,000 39,997,200 (y)++Kreditanstalt Fur Wiederaufbau 0.14% 12/16/13 90,000,000 89,992,800 (y)++Kreditanstalt Fur Wiederaufbau 0.15% 01/10/14 40,000,000 39,993,200 (y)++Kreditanstalt Fur Wiederaufbau 0.15% 01/23/14 100,000,000 99,978,000 (y)++Medtronic, Inc. 0.07% 11/22/13 100,000,000 99,995,000 (y)++Medtronic, Inc. 0.07% 12/10/13 14,500,000 14,498,405 (y)++Medtronic, Inc. 0.07% 01/07/14 32,000,000 31,992,320 (y)++National Australia Funding 0.22% 12/04/13 50,000,000 49,995,500 (y)++National Australia Funding 0.14% 01/08/14 100,000,000 99,980,000 (y)++National Australia Funding 0.13% 01/22/14 75,000,000 74,979,750 (y)++National Australia Funding 0.22% 02/13/14 30,000,000 29,989,200 (y)National Rural Utilities Cooperative Finance Corp. 0.15% 11/06/13 80,000,000 79,998,400 (y)National Rural Utilities Cooperative Finance Corp. 0.09% 11/26/13 69,600,000 69,593,040 (y)++Nestle Capital Corp. 0.08% 11/13/13 20,000,000 19,999,800 (y)++Nestle Capital Corp. 0.08% 11/25/13 50,000,000 49,999,000 (y)++Nestle Capital Corp. 0.13% 04/03/14 138,000,000 137,932,380 (y)++Nordea North America, Inc. 0.17% 12/04/13 80,000,000 79,991,200 (y)++Nordea North America, Inc. 0.16% 12/17/13 25,000,000 24,995,750 (y)Nordea North America, Inc. 0.26% 02/04/14 25,000,000 24,987,250 (y)Nordea North America, Inc. 0.26% 02/05/14 100,000,000 99,949,000 (y)Nordea North America, Inc. 0.25% 02/14/14 25,000,000 24,986,000 (y)Nordea North America, Inc. 0.25% 02/25/14 100,000,000 99,938,000 (y)Nordea North America, Inc. 0.25% 02/26/14 50,000,000 49,969,000 (y)++Nordea North America, Inc. 0.22% 03/10/14 50,000,000 49,965,000 (y)++Nordea North America, Inc. 0.22% 03/12/14 25,000,000 24,982,250 (y)++NRW Bank AG 0.08% 11/04/13 150,000,000 149,998,500 (y)++NRW Bank AG 0.15% 11/14/13 50,000,000 49,998,000 (y)++NRW Bank AG 0.13% 11/18/13 100,000,000 99,994,000 (y)++NRW Bank AG 0.17% 12/03/13 60,000,000 59,992,200 (y)++NRW Bank AG 0.17% 12/04/13 21,000,000 20,997,270 (y)++NRW Bank AG 0.16% 12/12/13 50,000,000 49,992,000 (y)Oesterreich Kontrollbank AG 0.10% 11/29/13 72,160,000 72,152,784 (y)Oesterreich Kontrollbank AG 0.14% 02/18/14 92,000,000 91,944,800 (y)++Old Line Funding LLC 0.17% 01/13/14 25,000,000 24,996,000 (y)++Old Line Funding LLC 0.15% 01/17/14 22,763,000 22,758,903 (y)++Old Line Funding LLC 0.15% 01/21/14 7,750,000 7,748,450 (y)PACCAR Financial Corp. 0.07% 11/15/13 25,000,000 24,998,750 (y)PACCAR Financial Corp. 0.09% 12/12/13 47,300,000 47,291,486 (y)++Parker Hannifin Corp. 0.07% 11/04/13 15,000,000 14,999,850 (y)++PepsiCo, Inc. 0.05% 11/05/13 30,000,000 29,999,700 (y)++Procter & Gamble Co. 0.04% 11/07/13 11,400,000 11,399,886 (y)++Procter & Gamble Co. 0.08% 11/12/13 37,000,000 36,999,630 (y)++Procter & Gamble Co. 0.06% 11/15/13 35,000,000 34,999,650 (y)++Procter & Gamble Co. 0.07% 11/21/13 100,000,000 99,998,000 (y)++Procter & Gamble Co. 0.07% 12/10/13 25,000,000 24,998,750 (y)++Procter & Gamble Co. 0.08% 12/12/13 36,000,000 35,998,200 (y)++Procter & Gamble Co. 0.08% 12/18/13 75,000,000 74,994,750
See notes to financial statements. 5 THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (continued) October 31, 2013
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ --------------------------------------------------------------------- ----- -------- -------------- --------------- COMMERCIAL PAPER - 59.7% (CONTINUED) (y)Province of British Columbia 0.07% 11/15/13 64,650,000 64,649,354 (y)Province of British Columbia 0.07% 11/19/13 16,800,000 16,799,664 (y)Province of Ontario 0.07% 11/13/13 50,000,000 49,998,500 (y)Province of Ontario 0.08% 12/13/13 124,000,000 123,981,400 (y)++Province of Quebec 0.11% 11/01/13 30,000,000 30,000,000 (y)++Province of Quebec 0.10% 11/04/13 70,000,000 69,998,600 (y)++Province of Quebec 0.10% 12/20/13 120,000,000 119,970,000 (y)++Province of Quebec 0.08% 01/21/14 74,725,000 74,696,605 (y)++Province of Quebec 0.07% 01/22/14 100,000,000 99,962,000 (y)++Province of Quebec 0.08% 01/23/14 100,000,000 99,961,000 (y)++Province of Quebec 0.09% 01/31/14 45,000,000 44,980,200 (y)Queensland Treasury Corp. 0.14% 12/02/13 50,000,000 49,997,500 (y)Queensland Treasury Corp. 0.10% 01/23/14 100,000,000 99,961,000 (y)Rabobank USA Financial Corp. 0.23% 11/06/13 5,000,000 4,999,950 (y)Rabobank USA Financial Corp. 0.25% 12/12/13 37,000,000 36,994,820 (y)++Siemens Capital Co. LLC 0.08% 11/18/13 100,000,000 99,995,000 (y)++Siemens Capital Co. LLC 0.08% 12/17/13 100,000,000 99,982,640 (y)++Siemens Capital Co. LLC 0.08% 12/18/13 100,000,000 99,982,130 (y)++Standard Chartered Bank PLC 0.20% 11/04/13 34,975,000 34,974,650 (y)++Standard Chartered Bank PLC 0.18% 11/05/13 100,000,000 99,999,000 (y)++Standard Chartered Bank PLC 0.18% 11/07/13 75,000,000 74,999,250 (y)++Standard Chartered Bank PLC 0.18% 11/14/13 40,000,000 39,998,800 (y)++Standard Chartered Bank PLC 0.18% 11/20/13 40,000,000 39,998,000 (y)++Standard Chartered Bank PLC 0.17% 11/25/13 60,000,000 59,995,800 (y)++Standard Chartered Bank PLC 0.17% 12/05/13 50,000,000 49,994,500 (y)++Svenska Handelsbanken, Inc. 0.23% 11/01/13 75,000,000 75,000,000 (y)++Svenska Handelsbanken, Inc. 0.16% 12/19/13 24,025,000 24,019,955 (y)++Svenska Handelsbanken, Inc. 0.22% 04/22/14 100,000,000 99,887,000 (y)++Svenska Handelsbanken, Inc. 0.22% 04/24/14 170,000,000 169,804,500 (y)++Svenska Handelsbanken, Inc. 0.22% 04/28/14 100,000,000 99,881,000 (y)++Toronto Dominion Holdings 0.12% 11/14/13 80,000,000 79,998,400 (y)++Toronto Dominion Holdings 0.18% 12/12/13 50,000,000 49,995,500 (y)++Toronto Dominion Holdings 0.15% 12/18/13 50,000,000 49,994,500 (y)++Toronto Dominion Holdings 0.21% 05/09/14 86,750,000 86,663,250 (y)++Total Capital Canada Ltd. 0.21% 04/11/14 17,190,000 17,174,185 (y)Toyota Motor Credit Corp. 0.14% 11/06/13 100,000,000 99,999,000 (y)Toyota Motor Credit Corp. 0.13% 12/02/13 20,000,000 19,998,400 (y)Toyota Motor Credit Corp. 0.11% 01/14/14 50,000,000 49,986,500 (y)++United Parcel Service, Inc. 0.06% 11/01/13 30,000,000 30,000,000 (y)++United Parcel Service, Inc. 0.05% 11/04/13 50,000,000 49,999,500 (y)++United Parcel Service, Inc. 0.06% 11/18/13 33,000,000 32,999,010 (y)++Wal-Mart Stores, Inc. 0.06% 11/12/13 45,000,000 44,999,550 (y)++Walt Disney Co. 0.07% 12/09/13 27,000,000 26,997,030 (y)Wells Fargo & Co. 0.15% 11/12/13 200,000,000 199,991,999 (y)Wells Fargo & Co. 0.14% 12/19/13 100,000,000 99,978,000 (y)Wells Fargo & Co. 0.14% 12/20/13 100,000,000 99,977,000 -------------- --------------- TOTAL COMMERCIAL PAPER (Cost $10,961,747,574) 10,965,052,000 10,961,875,282 -------------- --------------- YANKEE CERTIFICATES OF DEPOSIT - 9.4% Australia & New Zealand Banking Group 0.18% 02/24/14 100,000,000 100,006,000 (r)National Australia Bank NY 1.49% 01/17/14 20,000,000 20,055,620 (r)National Australia Bank NY 0.26% 08/14/14 100,000,000 99,992,700 (r)National Australia Bank NY 0.24% 10/23/14 125,000,000 124,988,000 Nordea Bank Finland NY 0.22% 12/06/13 50,000,000 50,004,500 Nordea Bank Finland NY 0.24% 01/28/14 50,000,000 50,007,500 (r)Rabobank Nederland NV NY 0.59% 01/17/14 39,000,000 39,038,415 (r)Rabobank Nederland NV NY 0.28% 07/10/14 100,000,000 100,010,300 (r)Rabobank Nederland NV NY 0.28% 07/23/14 100,000,000 100,011,000 (r)Rabobank Nederland NV NY 0.30% 09/03/14 100,000,000 99,993,000 (r)Rabobank Nederland NV NY 0.33% 12/01/14 75,000,000 75,000,000 (r)Royal Bank of Canada NY 0.17% 03/13/14 80,000,000 79,986,400 (r)Royal Bank of Canada NY 0.25% 04/15/14 100,000,000 100,009,200
See notes to financial statements. 6 THE DFA SHORT TERM INVESTMENT FUND Schedule of Investments (concluded) October 31, 2013
SECURITY DESCRIPTION Rate Maturity Face Amount $ Fair Value $ --------------------------------------------------------------------- ----- -------- -------------- --------------- YANKEE CERTIFICATES OF DEPOSIT - 9.4% (CONTINUED) (r)Royal Bank of Canada NY 0.29% 04/17/14 100,000,000 100,028,000 (r)Royal Bank of Canada NY 0.28% 04/29/14 150,000,000 150,039,000 (r)Royal Bank of Canada NY 0.27% 10/17/14 50,000,000 49,990,500 Svenska Handelsbanken NY 0.20% 02/26/14 100,000,000 100,000,000 (r)Toronto Dominion Bank NY 0.23% 04/25/14 95,000,000 95,028,500 (r)Toronto Dominion Bank NY 0.22% 06/17/14 100,000,000 100,006,900 (r)Westpac Banking Corp. 0.26% 08/15/14 100,000,000 100,016,000 -------------- --------------- TOTAL YANKEE CERTIFICATES OF DEPOSIT (Cost $1,734,084,892) 1,734,000,000 1,734,211,535 -------------- --------------- U.S. GOVERNMENT AGENCY BACKED SECURITIES - 6.7% (y)Federal Home Loan Bank 0.14% 11/01/13 70,700,000 70,700,000 (y)Federal Home Loan Bank 0.04% 11/06/13 97,000,000 96,999,709 (y)Federal Home Loan Bank 0.04% 11/08/13 8,900,000 8,899,964 (y)Federal Home Loan Bank 0.03% 11/13/13 40,000,000 39,999,720 (y)Federal Home Loan Bank 0.03% 11/15/13 150,000,000 149,998,800 (y)Federal Home Loan Bank 0.05% 12/04/13 100,000,000 99,997,300 (y)Federal Home Loan Bank 0.09% 12/06/13 81,284,000 81,281,643 (y)Federal Home Loan Bank 0.03% 12/11/13 34,282,000 34,280,869 (y)Federal Home Loan Bank 0.09% 12/13/13 224,000,000 223,992,160 (y)Federal Home Loan Bank 0.09% 12/18/13 105,000,000 104,995,905 (y)Federal Home Loan Bank 0.05% 12/20/13 150,000,000 149,993,850 (y)Federal Home Loan Bank 0.04% 01/03/14 28,300,000 28,298,528 (y)Federal Home Loan Mortgage Corp. 0.06% 11/04/13 50,000,000 49,999,900 (y)Federal National Mortgage Assoc. 0.08% 11/18/13 97,675,000 97,674,121 -------------- --------------- TOTAL U.S. GOVERNMENT AGENCY BACKED SECURITIES (Cost $1,237,073,145) 1,237,141,000 1,237,112,469 -------------- --------------- REPURCHASE AGREEMENTS - 15.8% Barclays Capital Group LLC (Purchased on 10/31/13, Proceeds at maturity $700,001,556 collateralized by U.S. Treasury Securities, 0.25% - 4.25%, 11/15/13 - 05/15/19, market value $714,000,082) 0.08% 11/01/13 700,000,000 700,000,000 Deutsche Bank Securities, Inc. (Purchased on 10/31/13, Proceeds at maturity $450,001,250 collateralized by U.S. Treasury Securities, 0.00% - 4.25%, 02/15/15 - 08/15/23, market value $459,000,075) 0.10% 11/01/13 450,000,000 450,000,000 Deutsche Bank Securities, Inc. (Purchased on 10/31/13, Proceeds at maturity $350,001,069 collateralized by U.S. Government Agency Backed Securities, 0.00% - 5.3%, 11/15/13 - 07/15/23, market value $357,000,862) 0.11% 11/01/13 350,000,000 350,000,000 Goldman Sachs & Co. (Purchased on 10/31/13, Proceeds at maturity $600,001,666 collateralized by U.S. Government Agency Backed Securities, 1.63% - 12.5%, 11/15/13 - 09/20/43, market value $612,000,000) 0.10% 11/01/13 600,000,000 600,000,000 HSBC Securities (USA), Inc. (Purchased on 10/31/13, Proceeds at maturity $400,000,889 collateralized by U.S. Treasury Securities, 0.25% - 9.88%, 06/15/14 - 03/31/20, market value $408,001,707) 0.08% 11/01/13 400,000,000 400,000,000 JPMorgan Securities (Purchased on 10/31/13, Proceeds at maturity $100,000,250 collateralized by U.S. Government Agency Backed Securities, 0.00% - 6.25%, 06/27/14 - 08/06/23, market value $102,002,055) 0.09% 11/01/13 100,000,000 100,000,000 Toronto Dominion Bank NY (Purchased on 10/31/13, Proceeds at maturity $300,000,750 collateralized by U.S. Government Agency Backed Securities and U.S. Treasury Securities, 0.00% - 11.25%, 11/07/13 - 12/15/42, market value $306,001,896) 0.09% 11/01/13 300,000,000 300,000,000 -------------- --------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,900,000,000) 2,900,000,000 2,900,000,000 -------------- --------------- U.S. TREASURY OBLIGATIONS - 1.1% (y)U.S. Treasury Bill 0.03% 03/13/14 200,000,000 199,957,800 -------------- --------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $199,976,167) 200,000,000 199,957,800 -------------- --------------- TOTAL INVESTMENTS (Cost $18,371,650,959) - 100.0% $18,371,887,835 ===============
See notes to financial statements. 7 LLC--Limited Liability Co. NY--New York Shares PLC--Public Limited Company AG--Aktiengesellschaft (German & Swiss stock corporation) ++ 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, 2013 was $6,988,816,633 which represented 38.0% of the total investments of the Fund. (r) The adjustable/variable rate shown is effective as of 10/31/13. (y) The rate shown is the effective yield. See notes to financial statements. 8 THE DFA SHORT TERM INVESTMENT FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2013 ASSETS: Investments, at value $15,471,887,835 Repurchase agreements, at value and cost 2,900,000,000 --------------- Total Investments 18,371,887,835 --------------- Cash 1,420,491,607 Interest receivable 2,601,237 Receivable for investments sold 24,999,653 Prepaid expenses 2 --------------- Total Assets 19,819,980,334 --------------- LIABILITIES: Payable for investments purchased 324,979,667 Distributions payable 1,339,034 Accrued expenses and other payables: Investment Advisory Fees 798,157 Director/Trustee Fees 267,061 Administration Fees 55,634 Professional Fees 63,485 CCO Fees 2,241 Other Expenses 18,862 --------------- Total Liabilities 327,524,141 --------------- Net Assets $19,492,456,193 =============== NET ASSETS CONSIST OF: Capital $19,492,022,788 Undistributed Net Investment Income 56,299 Accumulated Net Realized Gains from Investment Transactions 140,230 Net Unrealized Appreciation on Investments 236,876 --------------- NET ASSETS $19,492,456,193 =============== Shares of Beneficial Interest (Unlimited Number of Shares Authorized, No Par value) 1,684,703,785 =============== Net Asset Value (Offering and Redemption Price Per Share) $ 11.57 =============== Investments at cost $15,471,650,959
See notes to financial statements. 9 THE DFA SHORT TERM INVESTMENT FUND STATEMENT OF OPERATIONS OCTOBER 31, 2013 INVESTMENT INCOME: Interest $27,990,134 ----------- Total Investment Income 27,990,134 ----------- EXPENSES: Investment Advisory Fees 8,092,378 Administration Fees 1,133,045 Professional Fees 152,489 Director/Trustee Fees 184,843 CCO Fees 22,293 Other Expenses 95,533 ----------- Total Expenses Before Fee Reductions 9,680,581 ----------- Fees Paid Indirectly (461,135) ----------- Net Expenses 9,219,446 ----------- Net Investment Income 18,770,688 ----------- REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS Net Realized Gains from Investment Transactions 140,936 Change in Unrealized Appreciation on Investments (977,445) ----------- Net Realized/Unrealized Gains (Losses) from Investments (836,509) ----------- CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $17,934,179 ===========
See notes to financial statements. 10 THE DFA SHORT TERM INVESTMENT FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR FOR THE YEAR ENDED ENDED OCTOBER 31, 2013 OCTOBER 31, 2012 ---------------- ---------------- FROM INVESTMENT ACTIVITIES: OPERATIONS: Net Investment Income $ 18,770,688 $ 32,503,772 Net Realized Gains from Investment Transactions 140,936 452,500 Net Change in Unrealized Appreciation/Depreciation on Investments (977,445) 1,214,321 ---------------- ---------------- Change in net assets resulting from operations 17,934,179 34,170,593 ---------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (18,714,389) (32,503,772) Net Realized Gain (449,921) (77,359) ---------------- ---------------- Change in Net Assets from Distributions to Shareholders (19,164,310) (32,581,131) ---------------- ---------------- CAPITAL TRANSACTIONS: Proceeds from Shares Issued 74,923,851,815 64,025,904,825 Dividends Reinvested 11,708 17,206 Cost of Shares Redeemed (69,873,964,028) (64,803,346,489) ---------------- ---------------- Change in Net Assets from Capital Transactions 5,049,899,495 (777,424,458) ---------------- ---------------- Change in Net Assets 5,048,669,364 (775,834,996) NET ASSETS: Beginning of Period 14,443,786,829 15,219,621,825 ---------------- ---------------- End of Period $ 19,492,456,193 $ 14,443,786,829 ================ ================ Accumulated Net Investment Income $ 56,299 $ -- ================ ================ SHARES TRANSACTIONS: Shares Issued 6,475,700,245 5,533,786,070(a) Reinvested 1,012 1,487(a) Shares Redeemed (6,039,236,304) (5,600,980,682)(a) ---------------- ---------------- Change in Shares 436,464,953 (67,193,125) ================ ================
(a) As described in Note I, amounts have been adjusted for a 1-for-11.57 reverse share split that occurred on May 7, 2012. See notes to financial statements. 11 THE DFA SHORT TERM INVESTMENT FUND FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, OCTOBER 31, OCTOBER 31, OCTOBER 31, 2013 2012+ 2011+ 2010*+ ----------- ----------- ----------- ----------- NET ASSET VALUE, BEGINNING OF PERIOD $ 11.57 $ 11.57 $ 11.57 $ 11.57 ----------- ----------- ----------- ----------- INVESTMENT ACTIVITIES: Net Investment Income 0.01 0.02 0.02 0.02 Net Realized and Unrealized Gain/(Losses) on Investments -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ ----------- ----------- ----------- ----------- Total from Investment Activities 0.01 0.02 0.02 0.02 ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income (0.01) (0.02) (0.02) (0.02) Net Realized Gains -- /(a)/ -- /(a)/ -- /(a)/ -- /(a)/ ----------- ----------- ----------- ----------- TOTAL DISTRIBUTIONS (0.01) (0.02) (0.02) (0.02) ----------- ----------- ----------- ----------- Net Asset Value, End of Period $ 11.57 $ 11.57 $ 11.57 $ 11.57 =========== =========== =========== =========== Total Return 0.13% 0.21% 0.18% 0.17%/(b)/ SUPPLEMENTAL DATA: NET ASSETS, END OF PERIOD (000'S) $19,492,456 $14,443,787 $15,219,622 $13,815,049 Ratios to Average Net Assets: Net Investment Income/(c)/ 0.12% 0.21% 0.18% 0.23% Gross Expenses/(c)/ 0.06% 0.06% 0.06% 0.06% Net Expenses/(c)(d)/ 0.06% 0.06% 0.06% 0.06%
* For the Period February 1, 2010 (commencement of operations) to October 31, 2010. + As described in Note I, amounts have been adjusted for a 1-for-11.57 reverse share split that occurred on May 7, 2012. (a) Amount less than $0.005. (b) Not annualized. (c) Annualized for periods less than one year. (d) Ratio as disclosed reflects the impact of custody fee credits earned by the fund on cash balances. See notes to financial statements. 12 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements October 31, 2013 A. ORGANIZATION The DFA Investment Trust Company (the "Trust") is an open-end management investment company registered under the Investment Company Act of 1940 (the "1940 Act"). The Trust consists of eleven 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 are in accordance with Rule 2a-7 under the 1940 Act. The Board is responsible for establishing the Trust's policies and for overseeing the management of the Trust. Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties 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 - 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) 13 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2013 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, 2013, only securities classified as Level 2 in the fair value hierarchy were held by the Fund. For the year ended October 31, 2013, there were no transfers between Level 1 and Level 2, and no Level 3 investments 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, 2013:
LEVEL 1 LEVEL 2 LEVEL 3 INVESTMENTS IN INVESTMENTS IN INVESTMENTS IN SECURITIES SECURITIES SECURITIES -------------- --------------- -------------- THE DFA SHORT TERM INVESTMENT FUND Corporate Bonds $-- $ 643,166,704 $-- Yankee Bonds -- 695,564,045 -- Commercial Paper -- 10,961,875,282 -- Yankee Certificates of Deposit -- 1,734,211,535 -- U.S. Government Agency Backed Securities -- 1,237,112,469 -- Repurchase Agreements -- 2,900,000,000 -- U.S. Treasury Obligations -- 199,957,800 -- --- --------------- --- Total Investments $-- $18,371,887,835 $-- === =============== ===
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 14 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2013 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, 2013, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. At October 31, 2013, the Fund's total liability of $222,600 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 yield 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 sale losses) or permanent (e.g., reclassification of certain gain/loss and distributions) in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains, as appropriate, in the period that the differences arise. There were no permanent differences as of October 31, 2013 attributable to distribution redesignations. As of October 31, 2013, 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. 15 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2013 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 period ended October 31, 2013 was as follows:
DISTRIBUTIONS PAID FROM --------------------------------------- NET INVESTMENT INCOME TAX-EXEMPT INCOME TOTAL DISTRIBUTIONS PAID --------------------- ----------------- ------------------------ The DFA Short Term Investment Fund 2013 $19,164,310 $-- $19,164,310 2012 $32,581,131 $-- $32,581,131
As of October 31, 2013, 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 $1,814,964 $-- $1,814,964 $(1,339,034) $-- $236,876 $712,806
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. 16 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2013 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 Advisor 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 Trust, together with other Dimensional-advised portfolios entered into a $250 million unsecured discretionary line of credit effective June 22, 2011 with The Bank of New York Mellon. Each portfolio was 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 did not exceed $250 million in the aggregate. Borrowings under the line of credit were charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio was individually, and not jointly, liable for its particular advances under the line of credit. There was no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit was terminated by The Bank of New York Mellon effective March 29, 2013. There were no borrowings by the Fund under this line of credit during the period ended March 29, 2013. The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million unsecured discretionary line of credit effective March 4, 2013 with its domestic custodian bank. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total 17 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (continued) October 31, 2013 borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The line of credit is scheduled to expire on March 3, 2014. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2013. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit effective January 11, 2013 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 10, 2014. There were no borrowings by the Fund under this line of credit during the year ended October 31, 2013. H. NEW ACCOUNTING PRONOUNCEMENTS In January 2013, the Financial Accounting Standards Board issued Accounting Standards Update ("ASU") No. 2013-01 "Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities" ("ASU 2013-01") which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 "Disclosures about Offsetting Assets and Liabilities" ("ASU 2011-11"). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity's financial statements to understand the effect of those arrangements on its financial position. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. The guidance in ASU 2013-01 and ASU 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. 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. 18 THE DFA SHORT TERM INVESTMENT FUND Notes to Financial Statements (concluded) October 31, 2013 J. 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. 19 OTHER FEDERAL INCOME TAX INFORMATION For the period ended October 31, 2013, 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 2013 Form 1099-DIV. For the period ended October 31, 2013, the Fund paid qualified interest income 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, 2013, 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 31.80%
For the period ended October 31, 2013, 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 $443,221
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, 2013 to October 31, 2013. 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 5/1/13 10/31/13 5/1/13-10/31/13 5/1/13-10/31/13 ------------- ------------- --------------- --------------- The DFA Short Term Investment Fund $1,000.00 $1,001.40 $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, 2013 to October 31, 2013 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. 20 Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED BEGINNING ENDING EXPENSE PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD * DURING PERIOD 5/1/13 10/31/13 5/1/13-10/31/13 5/1/13-10/31/13 ------------- ------------- --------------- --------------- The DFA Short Term Investment Fund $1,000.00 $1,024.90 $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, 2013 to October 31, 2013 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 1/st/ and ending June 30/th/. 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 The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 27, 2013. 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 the 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). 21 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, 2013, 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, 2013 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2013 22 FUND MANAGEMENT (UNAUDITED) TRUSTEES/DIRECTORS Each Board of Trustees/Directors (each, the "Board" and collectively, the "Boards") of The DFA Investment Trust Company ("DFAITC"), DFA Investment Dimensions Group Inc. ("DFAIDG"), Dimensional Investment Group Inc. ("DIG") and Dimensional Emerging Markets Value Fund ("DEM") (each, the "Fund" and collectively, the "Funds") is responsible for establishing the Funds' policies and for overseeing the management of the Funds. The Trustees/ Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the "Feeder Portfolios") that invest in certain series of DFAITC or DEM (the "Master Funds"). Each Board has three standing committees, an Audit Committee, a Nominating Committee, and an Investment 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, 2013. 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. There was one Nominating Committee meeting held during the fiscal year ended October 31, 2013. 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, 2013. 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. 23
NAME, POSITION PORTFOLIOS WITHIN THE PRINCIPAL OCCUPATION(S) DURING PAST 5 WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN COMPANIES HELD ------------------------------- ---------------------- -------------------------- -------------------------------------------- DISINTERESTED TRUSTEES/DIRECTORS George M. Constantinides Since Inception 106 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 1947 John P. Gould Director of Since Inception 106 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 School of Business 5807 S. Markets Advisory Committee, Chicago Woodlawn Avenue Chicago, IL Mercantile Exchange (futures trading 60637 exchange) (since 2004). Formerly, Director 1939 of UNext, Inc. (1999-2006). Trustee, Harbor Fund (registered investment company) (30 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Mutual Insurance Company (1997-2010). Roger G. Ibbotson Director of Since Inception 106 portfolios in 4 Professor in Practice of Finance, Yale DFAIDG and DIG. Trustee of investment companies School of Management (since 1984). DFAITC and DEM. Yale School Chairman, CIO and Partner, Zebra Capital of Management P.O. Box 208200 Management, LLC (hedge fund manager) New Haven, CT 06520-8200 (since 2001). Consultant to Morningstar, 1943 Inc. (since 2006). Formerly, Chairman, Ibbotson Associates, Inc., Chicago, IL (software data publishing and consulting) (19772006). Formerly, Director, BIRR Portfolio Analysis, Inc. (software products) (1990-2010). Edward P. Lazear Director of Since Inception 106 portfolios in 4 Morris Arnold Cox Senior Fellow, Hoover DFAIDG and DIG. Trustee of investment companies Institution (since 2002). Jack Steele DFAITC and DEM. Stanford Parker Professor of Human Resources University Graduate School of Management and Economics, Graduate School Business 518 Memorial Way of Business, Stanford University (since Stanford, CA 94305-5015 1995). Cornerstone Research (expert 1948 testimony and economic and financial analysis) (since 2009). Formerly, Chairman of the 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 of Since Inception 106 portfolios in 4 Frank E. Buck Professor Emeritus of DFAIDG and DIG. Trustee of investment companies Finance, Stanford University (since 1981). DFAITC and DEM. c/o Formerly, Chairman, Platinum Grove Asset Dimensional Fund Advisors, LP Management, L.P. (hedge fund) (formerly, 6300 Bee Cave Road Building 1 Oak Hill Platinum Partners) (1999-2009). Austin, TX 78746 Formerly, Managing Partner, Oak Hill 1941 Capital Management (private equity firm) (until 2004). Director, American Century Fund Complex (registered investment companies) (40 Portfolios) (since 1980). Formerly, Director, Chicago Mercantile Exchange (2001-2008). Abbie J. Smith Director of Since Inception 106 portfolios in 4 Boris and Irene Stern Distinguished DFAIDG and DIG. Trustee of investment companies Service Professor of Accounting, The DFAITC and DEM. The University of Chicago Booth School of University of Chicago Booth Business (since 1980). Co-Director School of Business 5807 S. Investment Research, Fundamental Woodlawn Avenue Chicago, IL Investment Advisors (hedge fund) (since 60637 2008). Director, HNI Corporation (formerly 1953 known as HON Industries Inc.) (office furniture) (since 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 PRINCIPAL OCCUPATION(S) DURING PAST 5 WITH THE FUND, TERM OF OFFICE/1/ AND DFA FUND COMPLEX/2/ YEARS AND OTHER DIRECTORSHIPS OF PUBLIC ADDRESS AND YEAR OF BIRTH LENGTH OF SERVICE OVERSEEN COMPANIES HELD ------------------------------- ---------------------- -------------------------- -------------------------------------------- INTERESTED TRUSTEES/DIRECTORS* David G. Booth Chairman, Since Inception 106 portfolios in 4 Chairman, Director/Trustee, President, and Director, Co-Chief Executive investment companies Co-Chief Executive Officer (since January Officer and President of 2010) of Dimensional Holdings Inc., DFAIDG and DIG. Chairman, Dimensional Fund Advisors LP, DFA Trustee, Co-Chief Executive Securities LLC, DEM, DFAIDG, DIG and Officer and President of DFAITC. Director of Dimensional Fund DFAITC and DEM. 6300 Bee Cave Advisors Ltd., Dimensional Funds PLC, Road, Building One Austin, Dimensional Funds II PLC, DFA Australia Texas 78746 1946 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, DEM, DFAIDG, DIG , DFAITC, 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 Director, Since 2009 106 portfolios in 4 Co-Chief Executive Officer (since January Co-Chief Executive Officer investment companies 2010), Chief Investment Officer (since and Chief Investment Officer March 2007) and Director/Trustee of of DFAIDG and DIG. Trustee, Dimensional Holdings Inc., Dimensional Co-Chief Executive Officer Fund Advisors LP, DFA Securities LLC, DEM, and Chief Investment Officer DFAIDG, DIG, DFAITC and Dimensional Cayman of DFAITC and DEM. 6300 Bee Commodity Fund I Ltd. Director, Co-Chief Cave Road, Building One Executive Officer, President and Chief Austin, TX 78746 1967 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., Formerly President of Dimensional Holdings Inc, Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG, DFAITC 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. 25 OFFICERS The name, year of birth, 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"), Dimensional Holdings Inc., 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.
NAME, POSITION WITH THE FUND TERM OF OFFICE/1/ AND YEAR OF BIRTH AND LENGTH OF SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------- ------------------ ------------------------------------------------------------------ OFFICERS April A. Aandal Since 2008 Vice President of all the DFA Entities. Vice President 1963 Robyn G. Alcorta Since 2012 Vice President of all the DFA Entities. Formerly, Vice Vice President President Business Development at Capson Physicians 1974 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 1966 Arthur H. Barlow Since 1993 Vice President of all the DFA Entities. Director and Vice President Managing Director of DFAL (since September 2013). 1955 Scott A. Bosworth Since 2007 Vice President of all the DFA Entities. Vice President 1968 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 1967 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). 1964 Douglas M. Byrkit Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (December 2010-January 2012); 1970 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, 1956 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. 1966 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 1972 Institutional, North America (since March 2012). Formerly, Head of Portfolio Management of Dimensional (January 2006-March 2012). Matt B. Cobb Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since September 2011). Formerly, Vice 1971 President at MullinTBG 92005-2011). Ryan Cooper Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since 2003). 1979 Jeffrey D. Cornell Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (August 2002-January 2012). 1976
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS --------------------------------------------------------------------------------------------------------------------------- Robert P. Cornell Since 2007 Vice President of all the DFA Entities. Vice President 1949 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 & 1955 Trust Company (2007-2008). 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., and Dimensional SmartNest (US) LLC. Chief 1965 Compliance Officer of Dimensional Fund Advisors Canada ULC. James L. Davis Since 1999 Vice President of all the DFA Entities. Vice President 1956 Robert T. Deere Since 1994 Vice President of all the DFA Entities, DFA Australia Vice President Limited and Dimensional Fund Advisors Canada ULC. 1957 Peter F. Dillard Since 2010 Vice President of all the DFA Entities. Research Associate Vice President for Dimensional (since August 2008). 1972 Robert W. Dintzner Since 2001 Vice President of all the DFA Entities. Vice President 1970 Richard A. Eustice Since 1998 Vice President and Assistant Secretary of all the DFA Vice President and Entities and DFA Australia Limited. Assistant Secretary 1965 Gretchen A. Flicker Since 2004 Vice President of all the DFA Entities. Vice President 1971 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. 1974 Portfolio Manager of Dimensional (since January 2012). Jeremy P. Freeman Since 2009 Vice President of all the DFA Entities. Senior Technology Vice President Manager for Dimensional (since June 2006). 1970 Mark R. Gochnour Since 2007 Vice President of all the DFA Entities. Vice President 1967 Tom M. Goodrum Since 2012 Vice President of all the DFA Entities. Formerly, Managing Vice President Director at BlackRock (2004-January 2012). 1968 Henry F. Gray Since 2000 Vice President of all the DFA Entities. Vice President 1967 John T. Gray Since 2007 Vice President of all the DFA Entities. Vice President 1974 Christian Gunther Since 2011 Vice President of all the DFA Entities. Senior Trader for Vice President Dimensional (since 2012). Formerly, Senior Trader for 1975 Dimensional Fund Advisors Ltd. (2009-2012); Trader for Dimensional Fund Ltd. (2008-2009); Trader for Dimensional (2004-2008). Joel H. Hefner Since 2007 Vice President of all the DFA Entities. Vice President 1967 Julie C. Henderson Since 2005 Vice President and Fund Controller of all the DFA Entities, Vice President and Dimensional Cayman Commodity Fund I Ltd. and Dimensional Fund Controller Japan Ltd. 1974
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------- ----------------------- ------------------------------------------------------------- Kevin B. Hight Since 2005 Vice President of all the DFA Entities. Vice President 1967 Christine W. Ho Since 2004 Vice President of all the DFA Entities. Vice President 1967 Michael C. Horvath Since 2011 Vice President of all the DFA Entities. Formerly, Managing Vice President Director, Co-Head Global Consultant Relations at BlackRock 1960 (2004-2011). William A. Irvine Since 2013 Vice President of all the DFA Entities, Regional Director Vice President For Dimensional (since 2012). Formerly, Vice President of 1957 Institutional Business Development at Eaton Vance (2005-2011). Jeff J. Jeon Since 2004 Vice President of all the DFA Entities and Dimensional Vice President Cayman Commodity Fund I Ltd. 1973 Stephen W. Jones Since 2012 Vice President of all the DFA Entities. Formerly, Vice President Facilities Manager for Dimensional (October 2008-January 2012). 1968 Patrick M. Keating Since 2003 Vice President and Chief Operating Officer of all the DFA Vice President Entities, Dimensional Cayman Commodity Fund I Ltd., 1954 Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Hong Kong Limited and Chief Operating Officer of Dimensional. 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. and Dimensional Advisors Ltd. Director and Vice President of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd. Andrew K. Keiper Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since October 2004). 1977 Glenn E. Kemp Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional Fund Advisors LP (April 1948 2006-January 2012). David M. Kershner Since 2010 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since June 2004). 1971 Timothy R. Kohn Since 2011 Vice President of all the DFA Entities. Head of Defined Vice President Contribution Sales for Dimensional (since August 2010). 1971 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, 1971 Portfolio Manager for Dimensional (April 2001-January 2012). Mark D. Krasniewski Since 2013 Vice President of all the DFA Entities. Formerly, Senior Vice President Associate Investment Analytics and Data for Dimensional 1981 (January 2012December 2012); Systems Developer for Dimensional (June 2007December 2011). Stephen W. Kurad Since 2011 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (2007-2010). 1968 Michael F. Lane Since 2004 Vice President of all the DFA Entities. Chief Executive Vice President Officer of Dimensional SmartNest (US) LLC (since 2012). 1967 Francis R. Lao Since 2011 Vice President of all the DFA Entities. Formerly, Vice Vice President President Global Operations at Janus Capital Group 1969 (2005-2011). David F. LaRusso Since 2013 Vice President of all the DFA Entities. Formerly, Senior Vice President Trader for Dimensional (January 2010-December 2012); Trader 1978 for Dimensional (2000-2009).
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------- ----------------------- ------------------------------------------------------------- Juliet H. Lee Since 2005 Vice President of all the DFA Entities. Vice President 1971 Marlena I. Lee Since 2011 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (July 2008-2010). 1980 John B. Lessley Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since January 2008). 1960 Apollo D. Lupescu Since 2009 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since February 2004). 1969 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 1972 September 2006). Rose C. Manziano Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (Since August 2010). Formerly, Vice 1971 President, Sales and Business Development at AdvisorsIG (PPMG) (2009-2010); Vice President at Credit Suisse (2007-2009). Aaron M. Marcus Since 2008 Vice President of all the DFA Entities and Head of Global Vice President & Head of Global Human Resources of Dimensional. Human Resources 1970 David R. Martin Since 2007 Vice President, Chief Financial Officer and Treasurer of Vice President, Chief Financial Officer all the DFA Entities. Director, Vice President, Chief and Treasurer Financial Officer and Treasurer of Dimensional Fund 1956 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 (US) LLC, and Dimensional Cayman Commodity Fund I Ltd. Director of Dimensional Funds PLC and Dimensional Funds II PLC. Statutory Auditor of Dimensional Japan Ltd. Matthew H. Miller Since 2013 Vice President of all the DFA Entities. Client Service Vice President Manager for Dimensional (Since 2012). Formerly, Regional 1978 Director for Dimensional (2008-2011; Senior Associate at Dimensional (2007-2010). Jonathan G. Nelson Since 2013 Vice President of all the DFA Entities. Manager, Investment Vice President Systems at Dimensional (Since 2011). Formerly, Project 1971 Manager for Dimensional (2007-2010). Catherine L. Newell Vice President since Vice President and Secretary of all the DFA Entities. Vice President and Secretary 1997 and Secretary Director, Vice President and Secretary of DFA Australia 1964 since 2000 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 (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). Pamela B. Noble Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (2008-2010). 1964 Selwyn J. Notelovitz Since 2012 Vice President of all DFA Entities. Deputy Chief Compliance Vice President Officer of Dimensional (since December 2012). Formerly 1961 Chief Compliance Officer of Wellington Management Company, LLP (2004-2011).
29
TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------- ----------------------- ------------------------------------------------------------- Carolyn L. O Since 2010 Vice President of all the DFA Entities and Dimensional Vice President Cayman Commodity Fund I Ltd. Deputy General Counsel, Funds 1974 (since 2011). Counsel for Dimensional (2007-2011). Gerard K. O'Reilly Since 2007 Vice President of all the DFA Entities. Vice President 1976 Daniel C. Ong Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since July 2005). 1973 Kyle K. Ozaki Since 2010 Vice President of all the DFA Entities. Senior Compliance Vice President Officer for Dimensional (since January 2008). Formerly, 1978 Compliance Officer (February 2006-December 2007). Matthew A. Pawlak Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional Fund Advisors LP (since 2012). Formerly, 1977 Senior Consultant at Hewitt EnnisKnupp (June 2011-December 2011); Senior Investment Analyst and Consultant at Hewitt EnnisKnupp (July 2008-June 2011). Brian P. Pitre Since 2013 Vice President of all the DFA Entities. Counsel for Vice President Dimensional Fund Advisors LP (since 2009). Formerly, Vice 1976 President and Corporate Counsel at Mellon Capital Management (2006-2008). David A. Plecha Since 1993 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd. and Dimensional 1961 Fund Advisors Canada ULC. Allen Pu Since 2011 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since July 2006). 1970 Theodore W. Randall Since 2008 Vice President of all the DFA Entities. Formerly, Research Vice President Associate of Dimensional (2006-2008). 1973 Mark A. Regier Since 2013 Vice President of all the DFA Entities. Planning and Vice President Analysis Manager for Dimensional (since July 2007). 1969 Savina B. Rizova Since 2012 Vice President of all the DFA Entities. Formerly, Research Vice President Associate for Dimensional (June 2011-January 2012); 1981 Research Assistant for Dimensional (July 2004-August 2007). L. Jacobo Rodriguez Since 2005 Vice President of all the DFA Entities. Vice President 1971 Julie A. Saft Since 2010 Vice President of all the DFA Entities. Client Systems Vice President Manager for Dimensional (since July 2008). 1959 Walid A. Shinnawi Since 2010 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (March 2006-January 2010). 1961 Bruce A. Simmons Since 2009 Vice President of all the DFA Entities. Investment Vice President Operations Manager for Dimensional (since May 2007). 1965 Ted R. Simpson Since 2007 Vice President of all the DFA Entities. Vice President 1968 Bryce D. Skaff Since 2007 Vice President of all the DFA Entities. Vice President 1975 Andrew D. Smith Since 2011 Vice President of all the DFA Entities. Project Manager for Vice President Dimensional (2007-2010). 1968 Grady M. Smith Since 2004 Vice President of all the DFA Entities and Dimensional Fund Vice President Advisors Canada ULC. 1956
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TERM OF OFFICE/1/ NAME, POSITION WITH THE FUND AND LENGTH OF AND YEAR OF BIRTH SERVICE PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS ---------------------------------------- ----------------------- ----------------------------------------------------------- Carl G. Snyder Since 2000 Vice President of all the DFA Entities. Vice President 1963 Lawrence R. Spieth Since 2004 Vice President of all the DFA Entities. Vice President 1947 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. 1973 Richard H. Tatlow Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since April 2010). Formerly, Principal, 1971 Investment Strategist at Barclays Global Investors (2004-2009). Blake T. Tatsuta Since 2013 Vice President of all the DFA Entities, Manager, Investment Vice President Analytics and Data for Dimensional (since 2012). Formerly, 1973 Research Assistant at Dimensional (2002-2011). Erik T. Totten Since 2013 Vice President of all the DFA Entities. Regional Director Vice President for Dimensional (since 2010). Formerly, Senior Associate at 1980 Dimensional (2007-2009). John H. Totten Since 2012 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (January 2008-January 2012). 1978 Robert C. Trotter Since 2009 Vice President of all the DFA Entities. Senior Manager, Vice President Technology for Dimensional (since March 2007). 1958 Karen E. Umland Since 1997 Vice President of all the DFA Entities, DFA Australia Vice President Limited, Dimensional Fund Advisors Ltd., and Dimensional 1966 Fund Advisors Canada ULC. Brian J. Walsh Since 2009 Vice President of all the DFA Entities. Portfolio Manager Vice President for Dimensional (since 2004). 1970 Weston J. Wellington Since 1997 Vice President of all the DFA Entities. Vice President 1951 Ryan J. Wiley Since 2007 Vice President of all the DFA Entities. Vice President 1976 Paul E. Wise Since 2005 Vice President of all the DFA Entities. Vice President 1955 Joseph L. Young Since 2011 Vice President of all the DFA Entities. Formerly, Regional Vice President Director for Dimensional (2005-2010). 1978 /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.
31 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, 2013: $206,957 Fiscal Year Ended October 31, 2012: $209,708 (b) Audit-Related Fees Fees for Registrant - Fiscal Year Ended October 31, 2013: $16,707 Fiscal Year Ended October 31, 2012: $19,329 For fiscal years ended October 31, 2013 and October 31, 2012, 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, 2013: $155,000 Fiscal Year Ended October 31, 2012: $170,000 For the fiscal years ended October 31, 2013 and October 31, 2012, 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, 2013: $91,483 Fiscal Year Ended October 31, 2012: $108,440 Tax Fees included, for the fiscal years ended October 31, 2013 and October 31, 2012, 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, 2013: $0 Fiscal Year Ended October 31, 2012: $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, 2013 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, 2013: $2,133,593 Fiscal Year Ended October 31, 2012: $1,854,127 (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 U.S. LARGE CAP VALUE SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value+ ---------- -------------- COMMON STOCKS -- (95.9%) Consumer Discretionary -- (12.1%) # Autoliv, Inc. 27,263 $ 2,432,677 Best Buy Co., Inc. 18,980 812,344 Carnival Corp. 2,385,423 82,654,907 CBS Corp. Class A 7,236 427,720 Comcast Corp. Class A 10,008,890 476,222,986 Comcast Corp. Special Class A 3,819,364 176,836,553 Dillard's, Inc. Class A 112,692 9,238,490 # DR Horton, Inc. 379,593 7,193,287 # GameStop Corp. Class A 598,147 32,790,419 * General Motors Co. 3,555,515 131,376,279 #* Hyatt Hotels Corp. Class A 26,622 1,267,207 # Kohl's Corp. 365,799 20,777,383 Lear Corp. 57,952 4,484,905 # Lennar Corp. Class A 203,031 7,217,752 # Lennar Corp. Class B 4,312 127,075 * Liberty Interactive Corp. Class A 2,586,058 69,720,124 * Liberty Media Corp. Class A 70,372 10,760,583 * Liberty Ventures Series A 122,067 13,106,334 #* MGM Resorts International 2,389,018 45,486,903 * Mohawk Industries, Inc. 365,371 48,382,428 * Murphy USA, Inc. 60,913 2,471,850 * News Corp. Class A 155,956 2,744,826 * News Corp. Class B 31,823 570,586 #* Penn National Gaming, Inc. 286,620 16,770,136 PVH Corp. 26,577 3,310,697 Royal Caribbean Cruises, Ltd. 1,043,290 43,859,912 #* Sears Holdings Corp. 530,407 30,806,039 Service Corp. International/US 219,283 3,949,287 # Staples, Inc. 1,418,648 22,868,606 Time Warner Cable, Inc. 1,876,119 225,415,698 Time Warner, Inc. 4,974,348 341,936,681 * Toll Brothers, Inc. 329,804 10,843,955 # Washington Post Co. (The) Class B 32,261 20,754,146 -------------- Total Consumer Discretionary 1,867,618,775 -------------- Consumer Staples -- (7.2%) Archer-Daniels-Midland Co. 3,189,248 130,440,243 Beam, Inc. 61,513 4,139,825 # Bunge, Ltd. 553,069 45,423,557 * Constellation Brands, Inc. Class A 470,339 30,713,137 CVS Caremark Corp. 7,147,441 444,999,677 JM Smucker Co. (The) 539,640 60,013,364 Molson Coors Brewing Co. Class B 763,563 41,232,402 Mondelez International, Inc. Class A 9,025,752 303,626,297 # Safeway, Inc. 196,076 6,843,052 # Tyson Foods, Inc. Class A 1,426,374 39,467,769 -------------- Total Consumer Staples 1,106,899,323 -------------- Energy -- (19.9%) Anadarko Petroleum Corp. 2,511,077 239,280,527
THE U.S. LARGE CAP VALUE SERIES CONTINUED
Shares Value+ ---------- -------------- Energy -- (Continued) Apache Corp. 1,526,796 $ 135,579,485 #* Atwood Oceanics, Inc. 4,143 220,118 Baker Hughes, Inc. 1,673,042 97,187,010 # Chesapeake Energy Corp. 3,251,150 90,902,154 Chevron Corp. 4,348,879 521,691,525 Cimarex Energy Co. 44,015 4,636,980 ConocoPhillips 6,993,622 512,632,493 #* Denbury Resources, Inc. 1,418,579 26,938,815 Devon Energy Corp. 1,479,247 93,517,995 # Helmerich & Payne, Inc. 515,834 40,002,927 Hess Corp. 1,606,476 130,445,851 HollyFrontier Corp. 271,670 12,513,120 Marathon Oil Corp. 3,640,872 128,377,147 Marathon Petroleum Corp. 1,791,952 128,411,280 Murphy Oil Corp. 728,510 43,943,723 Nabors Industries, Ltd. 1,355,841 23,700,101 National Oilwell Varco, Inc. 1,816,355 147,451,699 * Newfield Exploration Co. 17,702 539,026 Noble Corp. 660,905 24,916,118 Occidental Petroleum Corp. 1,521,584 146,193,791 # Patterson-UTI Energy, Inc. 732,485 17,770,086 # Peabody Energy Corp. 99,715 1,942,448 Phillips 66 2,926,797 188,573,531 Pioneer Natural Resources Co. 103,767 21,249,406 QEP Resources, Inc. 436,302 14,424,144 * Rowan Cos. P.L.C. Class A 595,894 21,499,856 * Superior Energy Services, Inc. 56,288 1,510,207 Tesoro Corp. 605,336 29,594,877 Tidewater, Inc. 227,025 13,671,446 # Transocean, Ltd. 1,280,391 60,268,004 Valero Energy Corp. 2,806,975 115,563,161 #* Weatherford International, Ltd. 1,408,739 23,159,669 * Whiting Petroleum Corp. 151,243 10,116,644 * WPX Energy, Inc. 32,758 725,262 -------------- Total Energy 3,069,150,626 -------------- Financials -- (23.9%) * Alleghany Corp. 666 270,010 Allied World Assurance Co. Holdings AG 188,355 20,396,963 * American Capital, Ltd. 802,500 11,243,025 American Financial Group, Inc. 491,543 27,654,209 American International Group, Inc. 8,251,823 426,206,658 American National Insurance Co. 70,315 7,106,737 Assurant, Inc. 396,269 23,173,811 Assured Guaranty, Ltd. 29,746 609,793 Axis Capital Holdings, Ltd. 613,817 29,107,202 Bank of America Corp. 39,239,978 547,790,093 Bank of New York Mellon Corp. (The) 3,633,937 115,559,197 Capital One Financial Corp. 1,875,702 128,804,456 Citigroup, Inc. 10,998,186 536,491,513 CME Group, Inc. 1,618,207 120,087,142 CNA Financial Corp. 533,469 21,653,507
THE U.S. LARGE CAP VALUE SERIES CONTINUED
Shares Value+ --------- -------------- Financials -- (Continued) * E*TRADE Financial Corp. 76,389 $ 1,291,738 Everest Re Group, Ltd. 167,110 25,691,492 First Niagara Financial Group, Inc. 53,740 592,752 * Genworth Financial, Inc. Class A 2,390,330 34,731,495 Goldman Sachs Group, Inc. (The) 207,016 33,300,594 Hartford Financial Services Group, Inc. 2,129,813 71,774,698 Hudson City Bancorp, Inc. 71,664 643,543 JPMorgan Chase & Co. 5,379,341 277,251,235 KeyCorp 1,914,825 23,992,757 # Legg Mason, Inc. 659,937 25,387,776 Leucadia National Corp. 99,168 2,810,421 Lincoln National Corp. 1,442,787 65,516,958 Loews Corp. 2,050,343 99,052,070 MetLife, Inc. 5,110,004 241,754,289 Morgan Stanley 7,883,626 226,496,575 # NASDAQ OMX Group, Inc. (The) 815,514 28,893,661 Old Republic International Corp. 1,047,684 17,590,614 PartnerRe, Ltd. 193,939 19,434,627 # People's United Financial, Inc. 138,880 2,004,038 # Principal Financial Group, Inc. 94,439 4,482,075 Prudential Financial, Inc. 2,327,738 189,454,596 Regions Financial Corp. 5,807,266 55,923,972 Reinsurance Group of America, Inc. 363,743 25,891,227 SunTrust Banks, Inc. 2,631,702 88,530,455 Unum Group 1,374,339 43,621,520 Validus Holdings, Ltd. 162,943 6,432,990 XL Group P.L.C. 1,435,288 43,876,754 # Zions BanCorp. 777,171 22,048,341 -------------- Total Financials 3,694,627,579 -------------- Health Care -- (7.7%) Aetna, Inc. 2,027,401 127,118,043 * Bio-Rad Laboratories, Inc. Class A 1,222 150,941 * Boston Scientific Corp. 6,689,559 78,200,945 * CareFusion Corp. 917,825 35,584,075 Cigna Corp. 335,579 25,832,871 Community Health Systems, Inc. 12,853 560,776 * Express Scripts Holding Co. 2,283,090 142,738,787 * Forest Laboratories, Inc. 437,448 20,573,180 #* Hologic, Inc. 1,229,548 27,529,580 Humana, Inc. 699,478 64,456,898 Omnicare, Inc. 574,710 31,695,257 PerkinElmer, Inc. 125,473 4,772,993 Pfizer, Inc. 7,744,869 237,612,581 # Teleflex, Inc. 91,713 8,454,104 Thermo Fisher Scientific, Inc. 1,932,026 188,913,502 UnitedHealth Group, Inc. 475,396 32,450,531 WellPoint, Inc. 1,824,634 154,728,963 -------------- Total Health Care 1,181,374,027 -------------- Industrials -- (11.7%) # ADT Corp. (The) 686,732 29,783,567
THE U.S. LARGE CAP VALUE SERIES CONTINUED
Shares Value+ ---------- -------------- Industrials -- (Continued) * AECOM Technology Corp. 9,284 $ 295,046 AGCO Corp. 253,578 14,803,884 #* CNH Industrial NV 25,391 297,836 CSX Corp. 5,687,103 148,205,904 Eaton Corp. P.L.C. 1,993,999 140,696,569 #* Engility Holdings, Inc. 52,752 1,633,729 FedEx Corp. 759,707 99,521,617 Fortune Brands Home & Security, Inc. 264,578 11,398,020 General Electric Co. 17,056,602 445,859,576 * Genesee & Wyoming, Inc. Class A 300 29,952 * Hertz Global Holdings, Inc. 1,017,021 23,350,802 * Jacobs Engineering Group, Inc. 103,271 6,280,942 # KBR, Inc. 49,346 1,704,411 # Kennametal, Inc. 20,362 936,652 L-3 Communications Holdings, Inc. 407,736 40,957,081 Manpowergroup, Inc. 17,135 1,338,243 Norfolk Southern Corp. 1,681,939 144,680,393 Northrop Grumman Corp. 1,364,645 146,712,984 * Owens Corning 579,048 20,805,195 Pentair, Ltd. 496,227 33,291,869 * Quanta Services, Inc. 554,686 16,757,064 Regal-Beloit Corp. 6,550 480,312 Republic Services, Inc. 1,137,001 38,055,423 Southwest Airlines Co. 3,905,821 67,258,238 SPX Corp. 22,870 2,074,538 Stanley Black & Decker, Inc. 574,963 45,473,824 Trinity Industries, Inc. 16,136 816,966 Triumph Group, Inc. 82,311 5,897,583 Union Pacific Corp. 1,891,022 286,300,731 #* United Rentals, Inc. 73,167 4,725,857 URS Corp. 378,541 20,524,493 #* WESCO International, Inc. 7,079 604,971 -------------- Total Industrials 1,801,554,272 -------------- Information Technology -- (5.6%) Activision Blizzard, Inc. 2,620,144 43,599,196 * Arrow Electronics, Inc. 568,882 27,317,714 Avnet, Inc. 711,662 28,252,981 Computer Sciences Corp. 382,606 18,847,172 Corning, Inc. 5,599,861 95,701,624 Fidelity National Information Services, Inc. 1,328,465 64,762,669 #* First Solar, Inc. 23,146 1,163,549 Hewlett-Packard Co. 9,295,748 226,537,379 * Ingram Micro, Inc. Class A 741,670 17,184,494 Jabil Circuit, Inc. 21,310 444,527 * Juniper Networks, Inc. 731,008 13,625,989 * Lam Research Corp. 152,965 8,295,292 # Leidos Holdings, Inc. 43,539 2,050,228 Marvell Technology Group, Ltd. 161,815 1,941,780 #* Micron Technology, Inc. 3,654,213 64,606,486 Molex, Inc. 12,162 469,453 Molex, Inc. Class A 1,663 64,025
THE U.S. LARGE CAP VALUE SERIES CONTINUED
Shares Value+ ----------- --------------- Information Technology -- (Continued) # NVIDIA Corp. 427,944 $ 6,496,190 SanDisk Corp. 4,626 321,507 # Science Applications International Corp. 20,933 737,888 Western Digital Corp. 902,209 62,820,813 Xerox Corp. 5,553,084 55,197,655 * Yahoo!, Inc. 3,936,872 129,641,195 --------------- Total Information Technology 870,079,806 --------------- Materials -- (3.1%) # Alcoa, Inc. 5,212,834 48,322,971 Ashland, Inc. 376,837 34,876,264 Freeport-McMoRan Copper & Gold, Inc. 3,340,516 122,797,368 International Paper Co. 2,043,676 91,168,386 MeadWestvaco Corp. 848,260 29,561,861 Mosaic Co. (The) 407,332 18,676,172 Newmont Mining Corp. 381,443 10,398,136 # Nucor Corp. 710,746 36,795,321 Reliance Steel & Aluminum Co. 363,907 26,670,744 Rock Tenn Co. Class A 104,397 11,171,523 Sealed Air Corp. 244,806 7,388,245 Steel Dynamics, Inc. 893,527 16,056,680 # Vulcan Materials Co. 576,439 30,868,309 Westlake Chemical Corp. 1,021 109,676 --------------- Total Materials 484,861,656 --------------- Telecommunication Services -- (4.4%) AT&T, Inc. 14,518,387 525,565,609 # CenturyLink, Inc. 2,353,137 79,677,219 # Frontier Communications Corp. 1,836,528 8,099,088 #* Sprint Corp. 3,652,160 24,579,037 T-Mobile US, Inc. 726,568 20,147,731 Telephone & Data Systems, Inc. 216,662 6,755,521 # United States Cellular Corp. 261,250 12,644,500 # Windstream Holdings, Inc. 90,929 777,443 --------------- Total Telecommunication Services 678,246,148 --------------- Utilities -- (0.3%) NRG Energy, Inc. 1,633,752 46,610,945 UGI Corp. 22,730 940,340 --------------- Total Utilities 47,551,285 --------------- TOTAL COMMON STOCKS 14,801,963,497 --------------- TEMPORARY CASH INVESTMENTS -- (0.7%) State Street Institutional Liquid Reserves, 0.073% 110,063,812 110,063,812 ---------------
THE U.S. LARGE CAP VALUE SERIES CONTINUED
Shares/ Face Amount (000) Value+ ---------- --------------- SECURITIES LENDING COLLATERAL -- (3.4%) (S)@ DFA Short Term Investment Fund 45,096,723 $ 521,769,090 --------------- TOTAL INVESTMENTS -- (100.0%) (Cost $10,087,346,593) $15,433,796,399 ===============
THE DFA INTERNATIONAL VALUE SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ --------- ------------ COMMON STOCKS -- (92.1%) AUSTRALIA -- (4.6%) * Alumina, Ltd. 4,595,906 $ 4,468,458 #* Alumina, Ltd. Sponsored ADR 172,484 669,238 Asciano, Ltd. 2,517,032 13,823,151 # Bank of Queensland, Ltd. 683,233 7,793,936 Bendigo and Adelaide Bank, Ltd. 975,485 10,042,414 * BlueScope Steel, Ltd. 855,334 4,034,507 # Boral, Ltd. 1,866,266 8,708,191 Caltex Australia, Ltd. 18,966 331,395 Downer EDI, Ltd. 337,397 1,567,544 Echo Entertainment Group, Ltd. 1,832,302 4,598,756 GrainCorp, Ltd. Class A 367,914 4,289,587 # Harvey Norman Holdings, Ltd. 1,068,950 3,289,338 Incitec Pivot, Ltd. 4,346,760 10,936,119 # Leighton Holdings, Ltd. 88,621 1,501,311 Lend Lease Group 869,454 9,376,079 Macquarie Group, Ltd. 735,198 35,362,719 # Metcash, Ltd. 287,685 910,413 National Australia Bank, Ltd. 178,885 5,978,487 # New Hope Corp., Ltd. 69,375 247,575 # Newcrest Mining, Ltd. 1,061,347 10,291,542 Origin Energy, Ltd. 2,782,880 38,471,819 # OZ Minerals, Ltd. 498,564 1,699,375 # Primary Health Care, Ltd. 601,739 2,807,367 #* Qantas Airways, Ltd. 3,249,999 3,820,906 QBE Insurance Group, Ltd. 352,524 4,936,845 Rio Tinto, Ltd. 120,548 7,253,637 Santos, Ltd. 2,748,054 39,330,197 # Seven Group Holdings, Ltd. 361,999 2,851,358 Seven West Media, Ltd. 46,084 109,800 #* Sims Metal Management, Ltd. 209,772 1,987,012 # Sims Metal Management, Ltd. Sponsored ADR 124,013 1,171,923 Suncorp Group, Ltd. 3,736,013 47,108,867 Tabcorp Holdings, Ltd. 1,777,555 6,045,951 Tatts Group, Ltd. 3,649,013 10,834,947 # Toll Holdings, Ltd. 1,715,759 9,347,131 Treasury Wine Estates, Ltd. 1,372,955 6,097,343 Washington H Soul Pattinson & Co., Ltd. 87,756 1,249,844 Wesfarmers, Ltd. 2,755,622 111,820,231 Woodside Petroleum, Ltd. 90,785 3,328,170 ------------ TOTAL AUSTRALIA 438,493,483 ------------ AUSTRIA -- (0.2%) Erste Group Bank AG 372,952 13,094,264 OMV AG 28,060 1,338,536 # Raiffeisen Bank International AG 57,158 2,096,553 ------------ TOTAL AUSTRIA 16,529,353 ------------ BELGIUM -- (1.2%) Ageas 508,017 21,587,807 Belgacom SA 93,033 2,545,527
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ --------- ------------ BELGIUM -- (Continued) D'ieteren SA 1,857 $ 87,509 # Delhaize Group SA 235,124 15,016,064 # Delhaize Group SA Sponsored ADR 52,900 3,382,426 KBC Groep NV 421,447 22,961,052 # Solvay SA 180,191 28,175,202 # UCB SA 292,847 19,223,013 ------------ TOTAL BELGIUM 112,978,600 ------------ CANADA -- (8.8%) Barrick Gold Corp. 1,551,822 30,089,829 # Bell Aliant, Inc. 62,911 1,593,516 #* BlackBerry, Ltd.(09228F103) 477,288 3,775,348 #* BlackBerry, Ltd.(BCBHZ31) 435,600 3,438,343 Bonavista Energy Corp. 21,356 246,404 Cameco Corp.(13321L108) 112,600 2,139,400 Cameco Corp.(2166160) 506,586 9,615,247 Canadian Natural Resources, Ltd.(136385101) 600,503 19,065,970 # Canadian Natural Resources, Ltd.(2171573) 1,849,320 58,690,835 # Canadian Tire Corp., Ltd. Class A 214,347 19,895,941 # Crescent Point Energy Corp. 260,862 10,130,247 # Eldorado Gold Corp.(284902103) 109,318 737,896 Eldorado Gold Corp.(2307873) 175,726 1,184,821 Empire Co., Ltd. 65,500 4,823,373 # Enerplus Corp. 401,965 6,935,549 Ensign Energy Services, Inc. 452,198 7,728,546 Fairfax Financial Holdings, Ltd. 54,622 23,836,388 # First Quantum Minerals, Ltd. 784,126 14,875,565 # Genworth MI Canada, Inc. 84,524 2,659,792 George Weston, Ltd. 36,010 2,933,573 Goldcorp, Inc.(2676302) 1,686,234 42,954,371 Goldcorp, Inc.(380956409) 23,874 607,116 # Husky Energy, Inc. 839,318 23,859,766 IAMGOLD Corp.(450913108) 573,940 2,927,094 IAMGOLD Corp.(2446646) 231,424 1,183,034 Industrial Alliance Insurance & Financial Services, Inc. 168,485 7,556,091 Kinross Gold Corp. 2,678,826 13,617,012 # Lightstream Resources, Ltd. 62,701 402,912 # Loblaw Cos., Ltd. 221,495 10,131,009 #* Lundin Mining Corp. 737,610 3,324,958 # Magna International, Inc. 583,936 49,458,004 # Manulife Financial Corp. 4,587,163 81,259,196 * MEG Energy Corp. 52,780 1,689,223 #* New Gold, Inc. 25,030 146,918 #* Osisko Mining Corp. 6,000 29,291 # Pacific Rubiales Energy Corp. 203,837 4,216,913 Pan American Silver Corp.(697900108) 118,576 1,258,091 Pan American Silver Corp.(2669272) 131,923 1,401,915 # Pengrowth Energy Corp. 695,258 4,467,682 # Penn West Petroleum, Ltd. 1,034,275 11,546,503 # Precision Drilling Corp. 706,616 7,475,159 Quebecor, Inc. Class B 1,628 40,253 # Sun Life Financial, Inc. 1,446,869 48,735,471
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ --------- ------------ CANADA -- (Continued) Suncor Energy, Inc. 3,750,370 $136,288,802 # Talisman Energy, Inc. 2,444,889 30,483,438 Teck Resources, Ltd. Class A 4,115 118,400 # Teck Resources, Ltd. Class B 1,483,730 39,702,745 # Thomson Reuters Corp. 1,557,384 58,522,328 # TransAlta Corp. 603,481 8,120,499 # Trican Well Service, Ltd. 6,065 85,218 #* Turquoise Hill Resources, Ltd.(900435108) 63,691 306,991 #* Turquoise Hill Resources, Ltd.(B7WJ1F5) 136,558 658,789 West Fraser Timber Co., Ltd. 29,672 2,719,755 Westjet Airlines, Ltd. 1,000 26,155 Yamana Gold, Inc. 1,425,140 14,133,168 ------------ TOTAL CANADA 833,850,853 ------------ DENMARK -- (1.5%) AP Moeller - Maersk A.S. Class A 900 8,126,880 AP Moeller - Maersk A.S. Class B 3,855 37,297,006 Carlsberg A.S. Class B 334,440 33,405,861 * Danske Bank A.S. 1,629,867 38,083,135 # FLSmidth & Co. A.S. 23,118 1,153,804 GN Store Nord A.S. 31,827 726,063 H Lundbeck A.S. 135,698 2,913,643 Rockwool International A.S. Class B 1,368 215,169 TDC A.S. 1,238,546 11,187,922 #* Vestas Wind Systems A.S. 169,081 4,530,837 ------------ TOTAL DENMARK 137,640,320 ------------ FINLAND -- (0.9%) Fortum Oyj 252,822 5,639,687 Kesko Oyj Class A 662 22,790 # Kesko Oyj Class B 138,917 4,616,215 Neste Oil Oyj 110,779 2,196,564 #* Nokia Oyj 4,254,629 32,338,492 Stora Enso Oyj Class R 1,455,180 13,512,611 Stora Enso Oyj Sponsored ADR 91,500 849,120 UPM-Kymmene Oyj 1,403,467 22,283,181 UPM-Kymmene Oyj Sponsored ADR 69,300 1,101,870 ------------ TOTAL FINLAND 82,560,530 ------------ FRANCE -- (9.7%) AXA SA 4,004,754 99,780,178 AXA SA Sponsored ADR 140,900 3,523,909 BNP Paribas SA 1,975,744 145,756,834 Bollore SA(4572709) 22,197 12,104,448 * Bollore SA(BDGTH22) 99 54,305 Bouygues SA 305,569 11,922,330 Cap Gemini SA 324,351 21,270,281 Casino Guichard Perrachon SA 142,758 16,046,690 * CGG 304,853 6,700,640 * CGG Sponsored ADR 141,089 3,096,904 Cie de St-Gobain 1,078,023 56,585,484
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ --------- ------------ FRANCE -- (Continued) Cie Generale des Etablissements Michelin 210,073 $ 21,889,167 CNP Assurances 345,489 6,086,166 * Credit Agricole SA 2,838,495 34,128,764 Eiffage SA 31,691 1,878,111 Electricite de France SA 498,285 17,438,928 # Eramet 5,005 475,280 GDF Suez 3,247,971 80,496,939 Groupe Eurotunnel SA 651,298 6,305,144 Lafarge SA 505,082 34,848,326 Lagardere SCA 221,491 8,046,602 Natixis 2,034,211 10,939,169 Orange 3,875,091 53,267,297 #* Peugeot SA 124,117 1,632,756 Renault SA 500,585 43,676,155 Rexel SA 267,968 6,710,671 SCOR SE 72,412 2,555,845 Societe Generale SA 1,823,515 103,009,458 STMicroelectronics NV 1,542,301 11,863,392 Vallourec SA 119,253 7,098,133 Vivendi SA 3,686,124 93,331,608 ------------ TOTAL FRANCE 922,519,914 ------------ GERMANY -- (8.4%) Allianz SE 518,031 86,978,602 Allianz SE ADR 2,811,910 47,324,445 Bayerische Motoren Werke AG 663,299 75,071,136 # Celesio AG 108,168 3,362,933 * Commerzbank AG 1,293,711 16,546,084 Daimler AG 2,088,586 171,002,503 Deutsche Bank AG(5750355) 1,538,807 74,369,159 Deutsche Bank AG(D18190898) 511,964 24,738,100 * Deutsche Lufthansa AG 464,311 8,976,535 Deutsche Telekom AG 2,186,066 34,353,384 # Deutsche Telekom AG Sponsored ADR 3,074,385 48,544,539 E.ON SE 3,638,090 66,316,888 Fraport AG Frankfurt Airport Services Worldwide 37,336 2,888,431 HeidelbergCement AG 243,824 19,198,613 Hochtief AG 8,149 737,036 Metro AG 30,139 1,413,097 Muenchener Rueckversicherungs AG 395,244 82,460,652 RWE AG 439,804 16,203,292 Volkswagen AG 62,518 15,288,518 # Wacker Chemie AG 1,454 136,542 ------------ TOTAL GERMANY 795,910,489 ------------ GREECE -- (0.0%) Hellenic Petroleum SA 334,517 4,349,753 * National Bank of Greece SA 67,810 385,147 ------------ TOTAL GREECE 4,734,900 ------------
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ---------- ------------ HONG KONG -- (2.1%) Cathay Pacific Airways, Ltd. 2,051,000 $ 4,063,024 Cheung Kong Holdings, Ltd. 750,000 11,732,109 * FIH Mobile, Ltd. 1,947,000 1,094,223 Great Eagle Holdings, Ltd. 794,324 2,833,659 Hang Lung Group, Ltd. 62,000 327,181 # Henderson Land Development Co., Ltd. 3,725,616 22,021,520 Hongkong & Shanghai Hotels (The) 1,903,131 2,994,965 Hopewell Holdings, Ltd. 1,244,169 4,198,037 Hutchison Whampoa, Ltd. 5,818,000 72,458,624 Kerry Properties, Ltd. 602,000 2,618,365 # New World Development Co., Ltd. 9,142,122 12,670,815 NWS Holdings, Ltd. 60,000 94,005 # Orient Overseas International, Ltd. 488,000 2,520,577 Shangri-La Asia, Ltd. 150,000 275,956 Sino Land Co., Ltd. 1,174,000 1,646,530 Sun Hung Kai Properties, Ltd. 676,000 8,837,305 Wharf Holdings, Ltd. 3,550,990 30,019,792 Wheelock & Co., Ltd. 3,482,000 17,814,626 ------------ TOTAL HONG KONG 198,221,313 ------------ IRELAND -- (0.1%) * Bank of Ireland 2,856,177 1,043,888 CRH P.L.C. 297,758 7,245,511 CRH P.L.C. Sponsored ADR 215,216 5,268,488 ------------ TOTAL IRELAND 13,557,887 ------------ ISRAEL -- (0.3%) Bank Hapoalim BM 2,967,547 15,886,697 * Bank Leumi Le-Israel BM 2,954,599 11,246,549 #* Israel Discount Bank, Ltd. Class A 381,656 761,615 Mizrahi Tefahot Bank, Ltd. 14,857 174,152 ------------ TOTAL ISRAEL 28,069,013 ------------ ITALY -- (1.5%) #* Banca Monte dei Paschi di Siena SpA 12,934,984 4,078,092 * Banco Popolare 2,933,385 5,827,428 #* Finmeccanica SpA 995,867 7,297,728 Intesa Sanpaolo SpA 9,982,247 24,764,684 Telecom Italia SpA 5,476,933 5,343,005 # Telecom Italia SpA Sponsored ADR 1,874,500 18,295,120 UniCredit SpA 8,189,815 61,477,549 Unione di Banche Italiane SCPA 1,854,721 12,818,782 ------------ TOTAL ITALY 139,902,388 ------------ JAPAN -- (17.7%) 77 Bank, Ltd. (The) 737,372 3,646,943 # Aeon Co., Ltd. 1,886,800 25,748,056 Aisin Seiki Co., Ltd. 131,900 5,358,358 Alfresa Holdings Corp. 89,400 4,886,268 # Amada Co., Ltd. 821,000 7,062,711 Aoyama Trading Co., Ltd. 20,400 520,152
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ --------- ----------- JAPAN -- (Continued) Asahi Glass Co., Ltd. 2,324,000 $14,353,086 Asahi Kasei Corp. 2,847,000 21,667,377 Asatsu-DK, Inc. 32,500 893,159 Autobacs Seven Co., Ltd. 214,800 3,131,886 Awa Bank, Ltd. (The) 65,600 342,593 Azbil Corp. 23,600 568,633 Bank of Kyoto, Ltd. (The) 709,400 6,250,736 Bank of Yokohama, Ltd. (The) 1,939,000 10,692,173 Brother Industries, Ltd. 147,900 1,680,484 Canon Marketing Japan, Inc. 124,900 1,673,261 Chiba Bank, Ltd. (The) 1,189,000 8,476,227 Chugoku Bank, Ltd. (The) 391,800 5,632,708 Citizen Holdings Co., Ltd. 601,600 4,292,188 Coca-Cola West Co., Ltd. 121,107 2,456,415 # COMSYS Holdings Corp. 207,400 2,879,471 #* Cosmo Oil Co., Ltd. 1,287,364 2,266,802 # Dai Nippon Printing Co., Ltd. 1,815,000 19,068,327 Dai-ichi Life Insurance Co., Ltd. (The) 333,800 4,765,262 # Daicel Corp. 552,000 4,652,686 # Daido Steel Co., Ltd. 594,000 3,415,723 Denki Kagaku Kogyo KK 664,000 2,784,642 Ebara Corp. 413,000 2,220,423 Fuji Media Holdings, Inc. 112,800 2,248,708 FUJIFILM Holdings Corp. 1,327,000 32,463,391 * Fujitsu, Ltd. 3,968,000 17,047,336 Fukuoka Financial Group, Inc. 1,800,000 8,118,818 # Fukuyama Transporting Co., Ltd. 85,000 543,302 # Furukawa Electric Co., Ltd. 633,000 1,467,153 Glory, Ltd. 119,600 2,965,708 Gunma Bank, Ltd. (The) 921,397 5,331,353 # H2O Retailing Corp. 269,000 2,285,843 Hachijuni Bank, Ltd. (The) 993,231 6,135,772 Hakuhodo DY Holdings, Inc. 452,000 3,495,843 Hankyu Hanshin Holdings, Inc. 849,000 4,761,907 Higo Bank, Ltd. (The) 282,000 1,605,302 Hiroshima Bank, Ltd. (The) 624,000 2,655,690 Hitachi Capital Corp. 47,000 1,264,078 Hitachi Chemical Co., Ltd. 149,400 2,292,061 Hitachi Construction Machinery Co., Ltd. 87,600 1,855,240 Hitachi High-Technologies Corp. 139,900 3,217,692 # Hitachi Transport System, Ltd. 94,400 1,496,900 Hokuhoku Financial Group, Inc. 2,620,000 5,402,312 House Foods Group, Inc. 148,300 2,349,019 # Ibiden Co., Ltd. 246,500 4,273,194 Idemitsu Kosan Co., Ltd. 52,124 4,363,471 # Inpex Corp. 1,335,200 15,424,189 Isetan Mitsukoshi Holdings, Ltd. 884,200 13,400,224 ITOCHU Corp. 2,941,000 35,363,001 Iyo Bank, Ltd. (The) 551,000 5,753,374 J Front Retailing Co., Ltd. 1,166,000 9,073,100 JFE Holdings, Inc. 1,235,400 28,086,421 # Joyo Bank, Ltd. (The) 1,376,000 7,147,142
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ---------- ------------ JAPAN -- (Continued) JTEKT Corp. 478,300 $ 6,140,546 JX Holdings, Inc. 6,192,133 30,618,036 # K's Holdings Corp. 41,100 1,206,813 Kagoshima Bank, Ltd. (The) 358,143 2,410,776 Kajima Corp. 1,900,000 8,064,175 Kamigumi Co., Ltd. 540,000 4,697,115 # Kaneka Corp. 653,542 4,147,074 Kawasaki Kisen Kaisha, Ltd. 1,904,000 4,364,781 Keiyo Bank, Ltd. (The) 418,000 2,128,760 Kewpie Corp. 47,400 713,179 # Kinden Corp. 207,000 2,273,434 * Kobe Steel, Ltd. 5,553,000 9,808,652 # Konica Minolta, Inc. 1,026,500 8,500,392 # Kuraray Co., Ltd. 241,900 2,840,228 # Kurita Water Industries, Ltd. 13,500 294,624 Kyocera Corp. 818,800 42,520,723 # Kyocera Corp. Sponsored ADR 27,200 1,440,240 Kyowa Hakko Kirin Co., Ltd. 571,000 6,306,678 Lintec Corp. 5,100 105,777 # LIXIL Group Corp. 371,200 8,713,055 Mabuchi Motor Co., Ltd. 20,400 1,084,636 Maeda Road Construction Co., Ltd. 36,000 640,114 # Marubeni Corp. 3,990,000 31,239,486 # Marui Group Co., Ltd. 542,642 5,194,536 # Maruichi Steel Tube, Ltd. 74,700 1,824,167 Matsumotokiyoshi Holdings Co., Ltd. 5,000 168,712 # Medipal Holdings Corp. 339,800 4,581,830 MEIJI Holdings Co., Ltd. 135,895 7,596,752 Mitsubishi Chemical Holdings Corp. 3,885,000 18,186,642 Mitsubishi Corp. 3,482,500 70,454,645 Mitsubishi Gas Chemical Co., Inc. 948,000 7,747,627 Mitsubishi Heavy Industries, Ltd. 2,000 12,711 # Mitsubishi Logistics Corp. 220,000 3,057,325 Mitsubishi Materials Corp. 2,533,000 9,910,148 Mitsubishi Tanabe Pharma Corp. 465,600 6,566,687 Mitsubishi UFJ Financial Group, Inc. 24,653,206 156,998,104 # Mitsubishi UFJ Financial Group, Inc. ADR 4,781,372 30,600,781 Mitsui & Co., Ltd. 4,220,700 60,296,595 # Mitsui & Co., Ltd. Sponsored ADR 11,723 3,352,778 # Mitsui Chemicals, Inc. 1,861,800 4,949,235 Mitsui Engineering & Shipbuilding Co., Ltd. 620,000 1,217,046 Mitsui Mining & Smelting Co., Ltd. 69,030 175,971 Mitsui OSK Lines, Ltd. 2,265,000 9,587,358 Mizuho Financial Group, Inc. 10,127,200 21,257,621 # Mizuho Financial Group, Inc. ADR 205,757 864,179 MS&AD Insurance Group Holdings 806,853 20,863,085 Nagase & Co., Ltd. 235,889 2,938,398 Nanto Bank, Ltd. (The) 319,000 1,263,057 NEC Corp. 6,055,101 13,600,869 Nippo Corp. 117,000 2,195,032 # Nippon Electric Glass Co., Ltd. 864,000 4,444,189 Nippon Express Co., Ltd. 1,952,238 9,803,255
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ---------- ----------- JAPAN -- (Continued) Nippon Meat Packers, Inc. 429,536 $ 6,288,951 # Nippon Paper Industries Co., Ltd. 231,700 3,691,904 # Nippon Shokubai Co., Ltd. 266,000 3,263,153 Nippon Steel & Sumitomo Metal Corp. 18,537,940 61,185,438 Nippon Television Holdings, Inc. 123,700 2,266,015 # Nippon Yusen KK 3,731,000 11,400,053 # Nishi-Nippon City Bank, Ltd. (The) 1,412,569 3,816,419 Nissan Motor Co., Ltd. 1,309,900 13,153,043 Nissan Shatai Co., Ltd. 72,000 1,241,356 # Nisshin Seifun Group, Inc. 464,199 5,032,577 Nisshin Steel Holdings Co., Ltd. 143,100 1,908,086 Nisshinbo Holdings, Inc. 305,000 2,693,840 # NKSJ Holdings, Inc. 190,100 4,920,771 # NOK Corp. 171,020 2,643,679 #* NTN Corp. 920,000 4,422,299 NTT DOCOMO, Inc. 3,091,700 49,049,894 NTT DOCOMO, Inc. Sponsored ADR 6,118 97,093 Obayashi Corp. 1,650,682 10,576,107 # Oji Holdings Corp. 1,997,000 9,126,346 Onward Holdings Co., Ltd. 278,000 2,300,944 Pola Orbis Holdings, Inc. 49,300 1,670,371 Rengo Co., Ltd. 421,000 2,251,700 Resona Holdings, Inc. 601,300 3,127,800 Ricoh Co., Ltd. 1,875,000 19,801,509 Rohm Co., Ltd. 233,700 9,592,835 Sankyo Co., Ltd. 82,500 3,923,611 SBI Holdings, Inc. 75,000 907,638 Seiko Epson Corp. 294,100 4,800,764 Seino Holdings Co., Ltd. 315,000 3,111,017 Sekisui Chemical Co., Ltd. 125,000 1,452,311 # Sekisui House, Ltd. 1,369,000 19,650,417 Shiga Bank, Ltd. (The) 451,185 2,465,887 # Shimizu Corp. 1,371,000 7,031,071 Shizuoka Bank, Ltd. (The) 1,051,000 11,825,206 # Showa Denko KK 3,281,000 4,448,857 Showa Shell Sekiyu KK 366,900 3,944,496 SKY Perfect JSAT Holdings, Inc. 340,000 1,963,296 Sohgo Security Services Co., Ltd. 101,200 2,045,761 Sojitz Corp. 2,690,300 5,224,001 Sony Corp. 975,200 17,012,057 # Sony Corp. Sponsored ADR 1,801,665 31,078,721 Sumitomo Bakelite Co., Ltd. 347,000 1,251,232 # Sumitomo Chemical Co., Ltd. 2,816,000 10,313,263 Sumitomo Corp. 3,241,900 42,187,813 # Sumitomo Electric Industries, Ltd. 2,606,700 39,059,664 Sumitomo Forestry Co., Ltd. 276,100 3,212,126 Sumitomo Heavy Industries, Ltd. 1,205,000 5,333,252 Sumitomo Metal Mining Co., Ltd. 1,187,000 16,440,653 Sumitomo Mitsui Financial Group, Inc. 134,600 6,506,008 Sumitomo Mitsui Trust Holdings, Inc. 1,987,629 9,817,070 Sumitomo Osaka Cement Co., Ltd. 196,000 790,817 # Suzuken Co. Ltd/Aichi Japan 149,300 5,391,182
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ --------- -------------- JAPAN -- (Continued) Suzuki Motor Corp. 774,300 $ 19,470,063 T&D Holdings, Inc. 240,100 2,882,576 Taisei Corp. 502,000 2,575,400 # Taisho Pharmaceutical Holdings Co., Ltd. 49,199 3,454,487 Taiyo Nippon Sanso Corp. 17,000 116,575 Takashimaya Co., Ltd. 639,634 6,102,779 Takata Corp. 29,200 736,478 # TDK Corp. 275,500 11,708,781 # Teijin, Ltd. 1,898,450 4,262,921 Toho Holdings Co., Ltd. 12,800 247,813 Tokai Rika Co., Ltd. 92,700 1,965,717 Tokio Marine Holdings, Inc. 10,200 334,401 Tokyo Broadcasting System Holdings, Inc. 85,300 1,123,935 # Toppan Printing Co., Ltd. 1,312,000 10,362,646 Toshiba TEC Corp. 36,000 221,732 Tosoh Corp. 1,128,000 4,316,480 Toyo Seikan Group Holdings, Ltd. 365,849 7,603,418 Toyobo Co., Ltd. 664,000 1,275,969 Toyoda Gosei Co., Ltd. 23,700 592,608 # Toyota Tsusho Corp. 443,700 12,324,651 Ube Industries, Ltd. 2,122,000 4,392,315 UNY Group Holdings Co., Ltd. 393,050 2,480,266 Ushio, Inc. 44,200 558,285 Wacoal Holdings Corp. 179,000 1,922,106 # Yamada Denki Co., Ltd. 1,608,100 4,510,698 Yamaguchi Financial Group, Inc. 492,148 4,637,816 Yamaha Corp. 355,900 5,313,749 # Yamato Kogyo Co., Ltd. 86,600 3,209,757 Yamazaki Baking Co., Ltd. 204,000 2,076,924 -------------- TOTAL JAPAN 1,680,734,643 -------------- NETHERLANDS -- (3.1%) Aegon NV 3,908,207 31,097,105 Akzo Nobel NV 448,015 32,523,367 # ArcelorMittal 2,499,882 39,374,694 * ING Groep NV 6,479,202 82,335,806 #* ING Groep NV Sponsored ADR 1,297,167 16,499,964 # Koninklijke Ahold NV 652,923 12,409,806 Koninklijke DSM NV 466,014 35,227,193 # Koninklijke Philips NV 1,120,476 39,598,403 TNT Express NV 72,118 664,891 -------------- TOTAL NETHERLANDS 289,731,229 -------------- NEW ZEALAND -- (0.1%) Auckland International Airport, Ltd. 242,713 687,080 Contact Energy, Ltd. 1,292,916 5,606,622 -------------- TOTAL NEW ZEALAND 6,293,702 -------------- NORWAY -- (0.7%) Aker ASA Class A 68,150 2,147,007 Cermaq ASA 8,375 148,423
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ---------- ------------ NORWAY -- (Continued) DNB ASA 1,551,198 $ 27,497,326 # Norsk Hydro ASA 3,357,025 14,981,632 Norsk Hydro ASA Sponsored ADR 59,900 265,956 Orkla ASA 365,732 2,964,687 Stolt-Nielsen, Ltd. 8,425 238,544 * Storebrand ASA 1,082,306 6,998,717 Subsea 7 SA 590,207 12,481,559 Wilh Wilhelmsen Holding ASA Class A 212 6,490 ------------ TOTAL NORWAY 67,730,341 ------------ PORTUGAL -- (0.1%) * Banco Espirito Santo SA 2,631,973 3,458,348 Cimpor Cimentos de Portugal SGPS SA 22,409 82,008 * EDP Renovaveis SA 517,656 2,845,872 ------------ TOTAL PORTUGAL 6,386,228 ------------ SINGAPORE -- (1.2%) CapitaLand, Ltd. 9,878,000 24,749,241 CapitaMalls Asia, Ltd. 1,267,000 2,057,582 DBS Group Holdings, Ltd. 1,172,308 15,804,432 Golden Agri-Resources, Ltd. 13,990,000 6,755,237 Hutchison Port Holdings Trust 3,401,000 2,482,016 Keppel Land, Ltd. 1,214,000 3,619,243 #* Neptune Orient Lines, Ltd. 1,246,004 1,061,308 Noble Group, Ltd. 7,305,000 6,035,517 # Olam International, Ltd. 2,188,000 2,706,893 # OUE, Ltd. 405,000 788,349 Singapore Airlines, Ltd. 1,585,600 13,300,620 # Singapore Land, Ltd. 532,000 3,713,958 # United Industrial Corp., Ltd. 2,152,000 5,314,579 UOL Group, Ltd. 1,376,600 7,286,150 Venture Corp., Ltd. 307,000 1,922,553 Wheelock Properties Singapore, Ltd. 861,000 1,178,225 # Wilmar International, Ltd. 3,792,000 10,547,597 ------------ TOTAL SINGAPORE 109,323,500 ------------ SPAIN -- (2.3%) # Acciona SA 101,533 6,436,410 # Banco de Sabadell SA 5,307,715 13,599,978 #* Banco Popular Espanol SA 3,430,914 19,461,405 Banco Santander SA 8,832,930 78,306,244 # Banco Santander SA Sponsored ADR 1,470,150 13,099,036 # CaixaBank 3,003,209 15,566,089 Iberdrola SA 7,444,256 46,726,442 Repsol SA 996,982 26,729,919 ------------ TOTAL SPAIN 219,925,523 ------------ SWEDEN -- (2.8%) Boliden AB 612,180 8,694,798 Holmen AB Class A 6,189 204,389 Meda AB Class A 280,396 3,146,459
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ---------- ------------ SWEDEN -- (Continued) Nordea Bank AB 5,366,449 $ 68,644,974 Skandinaviska Enskilda Banken AB 16,918 191,115 Skandinaviska Enskilda Banken AB Class A 3,481,813 42,112,740 # SSAB AB Class A 51,620 339,584 Svenska Cellulosa AB Class A 66,476 1,878,656 Svenska Cellulosa AB Class B 1,348,669 38,236,384 Tele2 AB Class B 127,737 1,539,667 Telefonaktiebolaget LM Ericsson Class A 28,098 317,281 Telefonaktiebolaget LM Ericsson Class B 4,713,081 56,374,169 # Telefonaktiebolaget LM Ericsson Sponsored ADR 952,162 11,416,422 TeliaSonera AB 3,717,354 30,738,764 ------------ TOTAL SWEDEN 263,835,402 ------------ SWITZERLAND -- (6.9%) ABB, Ltd. 820,669 20,908,636 Adecco SA 358,259 26,419,353 Alpiq Holding AG 1,593 210,392 Aryzta AG 169,876 12,673,160 Baloise Holding AG 200,163 23,253,706 Banque Cantonale Vaudoise 468 260,051 Clariant AG 581,272 10,241,918 Credit Suisse Group AG 1,928,358 59,987,253 # Credit Suisse Group AG Sponsored ADR 1,022,581 31,832,947 Givaudan SA 5,507 7,809,963 Holcim, Ltd. 887,877 66,039,798 Lonza Group AG 7,458 665,723 Novartis AG 69,068 5,361,235 Novartis AG ADR 506,359 39,268,140 PSP Swiss Property AG 17,947 1,542,522 Sulzer AG 50,596 7,915,245 Swiss Life Holding AG 123,557 24,498,922 Swiss Re AG 1,117,582 98,104,262 UBS AG(B18YFJ4) 6,496,062 125,640,734 UBS AG(H89231338) 991,339 19,192,323 Zurich Insurance Group AG 269,917 74,584,331 ------------ TOTAL SWITZERLAND 656,410,614 ------------ UNITED KINGDOM -- (17.9%) Anglo American P.L.C. 1,123,359 26,709,625 Aviva P.L.C. 4,454,616 31,979,282 Barclays P.L.C. 14,540,536 61,178,709 # Barclays P.L.C. Sponsored ADR 5,739,573 96,482,222 Barratt Developments P.L.C. 410,298 2,200,251 BP P.L.C. 1,823,857 14,157,877 BP P.L.C. Sponsored ADR 5,793,659 269,405,143 Carnival P.L.C. 658,867 23,417,634 # Carnival P.L.C. ADR 229,328 8,164,077 Coca-Cola HBC AG ADR 5,961 172,034 * Eurasian Natural Resources Corp. P.L.C. 408,931 1,473,405 * Evraz P.L.C. 436,689 825,329 Glencore Xstrata P.L.C. 15,896,454 86,511,958 HSBC Holdings P.L.C. 1,911,475 20,952,325
THE DFA INTERNATIONAL VALUE SERIES CONTINUED
Shares Value++ ---------- -------------- UNITED KINGDOM -- (Continued) # HSBC Holdings P.L.C. Sponsored ADR 1,694,884 $ 93,286,415 * International Consolidated Airlines Group SA 1,936,203 10,776,220 Investec P.L.C. 1,195,168 8,362,125 J Sainsbury P.L.C. 5,377,115 34,013,068 Kazakhmys P.L.C. 49,435 207,988 Kingfisher P.L.C. 8,609,963 52,085,475 * Lloyds Banking Group P.L.C. 82,680,839 102,259,365 #* Lloyds Banking Group P.L.C. ADR 3,082,996 15,507,470 Mondi P.L.C. 190,635 3,403,966 # Old Mutual P.L.C. 11,913,351 38,826,073 # Pearson P.L.C. Sponsored ADR 1,234,793 25,930,653 Resolution, Ltd. 3,422,696 19,597,545 * Royal Bank of Scotland Group P.L.C. 3,847,507 22,659,929 #* Royal Bank of Scotland Group P.L.C. Sponsored ADR 400,166 4,713,955 # Royal Dutch Shell P.L.C. ADR(780259107) 3,323,210 231,029,559 Royal Dutch Shell P.L.C. ADR(780259206) 547,088 36,468,886 Royal Dutch Shell P.L.C. Class A 547,861 18,246,404 Royal Dutch Shell P.L.C. Class B 255,146 8,833,156 RSA Insurance Group P.L.C. 4,956,241 10,207,516 Travis Perkins P.L.C. 38,182 1,135,439 Vedanta Resources P.L.C. 189,404 3,227,055 Vodafone Group P.L.C. 34,976,333 128,109,810 Vodafone Group P.L.C. Sponsored ADR 3,949,158 145,407,998 WM Morrison Supermarkets P.L.C. 8,127,143 36,669,870 -------------- TOTAL UNITED KINGDOM 1,694,595,811 -------------- TOTAL COMMON STOCKS 8,719,936,036 -------------- PREFERRED STOCKS -- (0.2%) GERMANY -- (0.2%) Porsche Automobil Holding SE 254,382 23,753,308 -------------- RIGHTS/WARRANTS -- (0.0%) HONG KONG -- (0.0%) * New Hotel Rights 12/31/13 109,252 -- -------------- SPAIN -- (0.0%) * Banco Santander SA Rights 10/30/13 8,832,930 1,906,872 -------------- TOTAL RIGHTS/WARRANTS 1,906,872 --------------
Shares/ Face Amount (000) Value+ ----------- ----------- SECURITIES LENDING COLLATERAL -- (7.7%) (S)@ DFA Short Term Investment Fund 62,748,487 726,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $796,375 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $720,177) to be repurchased at $706,058 $ 706 706,056
THE DFA INTERNATIONAL VALUE SERIES CONTINUED -------------- TOTAL SECURITIES LENDING COLLATERAL 726,706,056 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $7,742,743,361) $9,472,302,272 ==============
THE JAPANESE SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ ------- ---------- COMMON STOCKS -- (88.3%) Consumer Discretionary -- (18.9%) Accordia Golf Co., Ltd. 575,900 $6,320,624 Adastria Holdings Co., Ltd. 91,220 4,271,956 Aeon Fantasy Co., Ltd. 57,832 905,482 #* Agora Hospitality Group Co., Ltd. 339,000 182,664 Ahresty Corp. 115,300 914,785 * Aigan Co., Ltd. 96,200 275,266 Aisan Industry Co., Ltd. 170,000 1,712,520 # Akebono Brake Industry Co., Ltd. 83,700 402,986 Alpen Co., Ltd. 98,000 2,039,423 Alpha Corp. 30,400 322,561 Alpine Electronics, Inc. 272,000 3,292,925 Amiyaki Tei Co., Ltd. 23,500 851,340 Amuse, Inc. 34,099 649,393 #* Anrakutei Co., Ltd. 22,000 87,275 AOI Pro, Inc. 39,200 255,567 AOKI Holdings, Inc. 97,100 3,229,910 Aoyama Trading Co., Ltd. 315,900 8,054,712 Arata Corp. 91,000 322,149 Arcland Sakamoto Co., Ltd. 80,500 1,202,557 #* Arnest One Corp. 238,800 6,557,104 Asahi Broadcasting Corp. 28,200 193,467 # Asahi Co., Ltd. 78,200 1,325,578 # Asatsu-DK, Inc. 168,000 4,616,943 #* Ashimori Industry Co., Ltd. 319,000 426,053 # ASKUL Corp. 51,800 1,657,457 Atsugi Co., Ltd. 858,000 1,015,093 Autobacs Seven Co., Ltd. 378,000 5,511,419 # Avex Group Holdings, Inc. 191,300 4,847,456 Belluna Co., Ltd. 190,500 1,011,433 # Best Bridal, Inc. 91,100 641,621 #* Best Denki Co., Ltd. 396,500 618,906 # Bic Camera, Inc. 4,976 2,446,464 # Bookoff Corp. 48,800 327,727 Calsonic Kansei Corp. 903,000 4,341,406 # Can Do Co., Ltd. 64,500 1,059,599 # Central Sports Co., Ltd. 27,000 420,594 Chiyoda Co., Ltd. 134,600 2,954,327 Chofu Seisakusho Co., Ltd. 88,800 2,055,392 Chori Co., Ltd. 72,900 871,690 Chuo Spring Co., Ltd. 202,000 631,424 #* Clarion Co., Ltd. 101,000 135,087 Cleanup Corp. 133,500 1,171,376 Corona Corp. 80,400 907,897 # Cross Plus, Inc. 22,000 199,478 Daido Metal Co., Ltd. 172,000 1,804,316 # Daidoh, Ltd. 126,100 862,992 #* Daiei, Inc. (The) 685,650 2,377,358 Daiichikosho Co., Ltd. 104,300 2,980,435 Daikoku Denki Co., Ltd. 41,500 910,073 Daimaruenawin Co., Ltd. 400 2,794 Dainichi Co., Ltd. 54,900 460,586
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Consumer Discretionary -- (Continued) Daisyo Corp. 54,300 $ 716,275 # DCM Holdings Co., Ltd. 491,600 3,434,778 Descente, Ltd. 240,000 1,756,250 # Doshisha Co., Ltd. 126,700 1,837,588 Doutor Nichires Holdings Co., Ltd. 173,686 3,154,638 Dunlop Sports Co., Ltd. 77,500 964,626 Dynic Corp. 174,000 307,395 Eagle Industry Co., Ltd. 140,000 2,249,803 # EDION Corp. 528,800 2,647,129 Exedy Corp. 179,600 5,334,181 F-Tech, Inc. 23,800 415,425 FCC Co., Ltd. 193,300 4,415,920 Fields Corp. 78,500 1,390,918 Fine Sinter Co., Ltd. 49,000 165,422 First Juken Co., Ltd. 4,900 75,210 Foster Electric Co., Ltd. 129,400 2,531,780 # France Bed Holdings Co., Ltd. 672,000 1,391,944 # Fuji Co. Ltd/Ehime 105,000 1,889,535 Fuji Corp., Ltd. 127,000 870,590 # Fuji Kiko Co., Ltd. 148,000 508,539 Fuji Oozx, Inc. 6,000 30,931 # Fujibo Holdings, Inc. 732,000 1,491,596 Fujikura Rubber, Ltd. 72,900 324,972 Fujitsu General, Ltd. 329,000 3,986,259 FuKoKu Co., Ltd. 32,100 273,961 # Funai Electric Co., Ltd. 84,200 893,079 Furukawa Battery Co., Ltd. 81,000 457,279 * Futaba Industrial Co., Ltd. 315,800 1,176,619 G-7 Holdings, Inc. 29,200 232,227 G-Tekt Corp. 45,800 1,353,810 # Gakken Holdings Co., Ltd. 322,000 994,055 Genki Sushi Co., Ltd. 20,500 261,864 # Geo Holdings Corp. 184,700 1,721,763 # GLOBERIDE, Inc. 530,000 903,369 Goldwin, Inc. 188,000 896,365 # Gourmet Kineya Co., Ltd. 87,000 601,240 # GSI Creos Corp. 289,000 430,387 Gulliver International Co., Ltd. 314,400 1,874,605 Gunze, Ltd. 1,111,000 2,967,192 H-One Co., Ltd. 69,500 708,934 H2O Retailing Corp. 262,000 2,226,360 # Hagihara Industries, Inc. 11,600 158,260 #* Hajime Construction Co., Ltd. 24,500 1,696,786 Hakuyosha Co., Ltd. 65,000 156,155 Happinet Corp. 76,400 575,520 Hard Off Corp. Co., Ltd. 49,700 375,896 Haruyama Trading Co., Ltd. 47,900 328,852 * Haseko Corp. 1,339,000 9,924,834 Heiwa Corp. 34,200 573,405 HI-LEX Corp. 62,900 1,355,483 Hiday Hidaka Corp. 47,220 1,009,902 # Higashi Nihon House Co., Ltd. 206,000 1,101,225
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Consumer Discretionary -- (Continued) Himaraya Co., Ltd. 35,900 $ 514,106 Hiramatsu, Inc. 110,700 730,599 HIS Co., Ltd. 101,800 5,490,548 # Honeys Co., Ltd. 92,940 1,019,124 Hoosiers Holdings Co., Ltd. 153,500 1,215,009 # Ichibanya Co., Ltd. 33,700 1,441,403 #* Ichikoh Industries, Ltd. 294,000 563,709 * IJT Technology Holdings Co., Ltd. 128,280 687,517 # Ikyu Corp. 375 576,142 # Imasen Electric Industrial 77,900 1,102,429 # Imperial Hotel, Ltd. 15,900 389,478 # Intage, Inc. 72,400 955,818 * Izuhakone Railway Co., Ltd. 300 -- #* Izutsuya Co., Ltd. 555,000 497,370 * Janome Sewing Machine Co., Ltd. 822,000 686,562 Japan Vilene Co., Ltd. 154,000 888,597 Japan Wool Textile Co., Ltd. (The) 336,000 2,646,605 #* Joban Kosan Co., Ltd. 85,000 146,512 # Joshin Denki Co., Ltd. 209,000 1,701,796 # JVC Kenwood Corp. 874,630 1,713,152 # Kadokawa Corp. 113,300 4,133,643 Kasai Kogyo Co., Ltd. 141,000 855,464 # Kawai Musical Instruments Manufacturing Co., Ltd. 446,000 841,327 Keihin Corp. 260,200 4,251,198 # Keiyo Co., Ltd. 181,300 852,564 # Kentucky Fried Chicken Japan, Ltd. 77,000 1,646,048 # Kimoto Co., Ltd. 102,100 1,157,679 # Kinugawa Rubber Industrial Co., Ltd. 268,000 1,479,189 Kisoji Co., Ltd. 17,200 317,424 Kitamura Co., Ltd. 2,000 12,407 # Kohnan Shoji Co., Ltd. 194,000 2,040,690 #* Kojima Co., Ltd. 145,700 404,762 Komatsu Seiren Co., Ltd. 146,000 776,218 # Komeri Co., Ltd. 174,100 4,251,685 # Konaka Co., Ltd. 122,960 1,097,173 # Koshidaka Holdings Co., Ltd. 19,300 679,789 KU Holdings Co., Ltd. 68,200 906,501 Kura Corp. 63,100 1,022,919 Kurabo Industries, Ltd. 1,272,000 2,218,556 Kuraudia Co., Ltd. 5,700 64,212 KYB Co., Ltd. 892,000 5,164,980 Kyoritsu Maintenance Co., Ltd. 55,660 2,142,309 Kyoto Kimono Yuzen Co., Ltd. 59,800 628,421 LEC, Inc. 42,800 545,235 # Look, Inc. 219,000 662,212 Mamiya-Op Co., Ltd. 285,000 526,151 # Marche Corp. 23,000 194,264 # Mars Engineering Corp. 48,400 925,426 #* Maruzen CHI Holdings Co., Ltd. 29,800 86,544 Maruzen Co. Ltd 46,000 411,333 # Matsuya Foods Co., Ltd. 48,200 767,033 # Meiko Network Japan Co., Ltd. 72,300 834,643
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Consumer Discretionary -- (Continued) * Meiwa Estate Co., Ltd. 56,900 $ 243,280 Mikuni Corp. 108,000 343,274 Misawa Homes Co., Ltd. 150,900 2,705,185 Mitsuba Corp. 193,990 2,895,176 Mitsui Home Co., Ltd. 170,000 856,479 # Mizuno Corp. 564,000 3,184,889 Monogatari Corp. (The) 17,600 736,071 # MOS Food Services, Inc. 94,100 1,824,463 Mr Max Corp. 119,000 406,088 Murakami Corp. 11,000 157,288 # Musashi Seimitsu Industry Co., Ltd. 121,500 2,867,067 Nafco Co., Ltd. 32,000 456,760 Nagawa Co., Ltd. 8,500 157,717 #* Naigai Co., Ltd. 1,951,000 1,730,371 Nakayamafuku Co., Ltd. 9,500 73,952 Nice Holdings, Inc. 460,000 1,195,952 # Nifco, Inc. 277,500 7,395,022 Nihon Eslead Corp. 8,900 98,491 Nihon Plast Co., Ltd. 1,600 9,238 Nihon Tokushu Toryo Co., Ltd. 56,000 233,568 #* Nippon Columbia Co., Ltd. 39,399 262,285 Nippon Felt Co., Ltd. 67,200 300,996 # Nippon Piston Ring Co., Ltd. 470,000 867,268 Nippon Seiki Co., Ltd. 248,400 4,049,891 # Nishikawa Rubber Co., Ltd. 15,000 270,015 # Nishimatsuya Chain Co., Ltd. 290,300 2,152,398 Nissan Shatai Co., Ltd. 17,023 293,494 Nissan Tokyo Sales Holdings Co., Ltd. 236,000 700,355 Nissen Holdings Co., Ltd. 200,491 647,299 Nissin Kogyo Co., Ltd. 214,800 4,017,979 Nittan Valve Co., Ltd. 82,800 267,350 Noritsu Koki Co., Ltd. 101,700 675,607 Ohashi Technica, Inc. 22,000 191,087 # Ohsho Food Service Corp. 58,100 1,902,601 Onward Holdings Co., Ltd. 753,000 6,232,413 # OPT, Inc. 53,000 460,130 Otsuka Kagu, Ltd. 40,700 459,074 Pacific Industrial Co., Ltd. 213,100 1,525,700 Pal Co., Ltd. 61,100 1,707,412 # Paltac Corp. 189,534 2,550,374 PanaHome Corp. 460,200 3,113,213 # Parco Co., Ltd. 103,600 1,065,112 Paris Miki Holdings, Inc. 164,400 768,211 PIA Corp. 100 1,784 Piolax, Inc. 57,900 1,996,075 #* Pioneer Corp. 1,903,400 3,503,789 Plenus Co., Ltd. 120,400 2,731,106 Press Kogyo Co., Ltd. 558,000 2,447,727 # Pressance Corp. 30,800 986,240 # Proto Corp. 61,600 901,159 Renaissance, Inc. 39,400 298,336 #* Renown, Inc. 326,600 442,564
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ---------- Consumer Discretionary -- (Continued) Resort Solution Co., Ltd. 180,000 $ 416,236 Resorttrust, Inc. 200,608 7,641,738 Rhythm Watch Co., Ltd. 658,000 972,630 Riberesute Corp. 127 85,422 Right On Co., Ltd. 79,525 682,814 Riken Corp. 512,000 2,240,727 # Riso Kyoiku Co., Ltd. 105,910 715,152 Roland Corp. 92,800 1,114,724 Round One Corp. 424,200 2,250,601 # Royal Holdings Co., Ltd. 135,800 2,178,586 Sagami Chain Co., Ltd. 17,000 152,413 Saizeriya Co., Ltd. 166,500 2,058,080 # Sakai Ovex Co., Ltd. 307,000 465,951 San Holdings, Inc. 14,000 199,196 # Sanden Corp. 623,000 2,520,699 Sanei Architecture Planning Co., Ltd. 43,300 363,598 Sangetsu Co., Ltd. 168,325 4,467,557 # Sanko Marketing Foods Co., Ltd. 304 297,211 Sankyo Seiko Co., Ltd. 188,700 642,023 Sanoh Industrial Co., Ltd. 140,500 1,010,030 # Sanyo Electric Railway Co., Ltd. 68,000 289,918 Sanyo Housing Nagoya Co., Ltd. 51,800 601,862 Sanyo Shokai, Ltd. 678,000 1,870,921 Scroll Corp. 152,100 432,034 Seiko Holdings Corp. 783,407 3,526,223 Seiren Co., Ltd. 296,700 1,893,390 Senshukai Co., Ltd. 183,700 1,590,371 # Septeni Holdings Co., Ltd. 78,600 700,836 # Seria Co., Ltd. 95,700 3,195,984 # Shidax Corp. 85,200 430,067 # Shikibo, Ltd. 802,000 1,072,203 Shimachu Co., Ltd. 273,900 6,651,367 Shimojima Co., Ltd. 23,800 231,479 Shiroki Corp. 285,000 639,273 Shobunsha Publications, Inc. 279,800 1,755,070 # Showa Corp. 320,400 4,446,926 SKY Perfect JSAT Holdings, Inc. 900,500 5,199,846 SNT Corp. 110,200 421,540 Soft99 Corp. 70,600 498,934 Sotoh Co., Ltd. 49,700 457,673 SPK Corp. 17,200 309,130 St Marc Holdings Co., Ltd. 45,300 2,331,665 # Starbucks Coffee Japan, Ltd. 120,300 1,407,666 # Starts Corp., Inc. 86,000 859,142 Step Co., Ltd. 39,200 337,389 # Studio Alice Co., Ltd. 53,000 685,046 Suminoe Textile Co., Ltd. 342,000 1,012,342 Sumitomo Forestry Co., Ltd. 268,366 3,122,150 Suncall Corp. 28,000 161,149 T RAD Co., Ltd. 373,000 1,182,561 Tachi-S Co., Ltd. 167,540 2,674,049 Tachikawa Corp. 50,800 259,596
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Consumer Discretionary -- (Continued) * Tact Home Co., Ltd. 533 $1,290,084 # Taiho Kogyo Co., Ltd. 98,300 1,237,024 Taka-Q, Ltd. 22,500 74,038 Takamatsu Construction Group Co., Ltd. 90,500 1,694,320 Takata Corp. 1,500 37,833 # Take And Give Needs Co., Ltd. 50,170 1,027,856 Takihyo Co., Ltd. 76,000 313,197 # Tamron Co., Ltd. 95,200 2,031,298 # Tbk Co., Ltd. 116,000 643,547 * Ten Allied Co., Ltd. 50,000 164,381 Tigers Polymer Corp. 59,000 256,865 Toa Corp. 103,000 872,958 Toabo Corp. 529,000 431,738 Toei Animation Co., Ltd. 22,500 590,537 Toei Co., Ltd. 416,000 2,502,008 Tohokushinsha Film Corp. 24,300 237,937 Tokai Rika Co., Ltd. 295,500 6,266,121 Tokai Rubber Industries, Ltd. 225,500 2,075,840 Token Corp. 43,950 2,334,552 # Tokyo Derica Co., Ltd. 21,700 344,048 Tokyo Dome Corp. 984,200 6,768,438 Tokyo Soir Co., Ltd. 24,000 63,936 # Tokyu Recreation Co., Ltd. 79,000 461,889 # Tomy Co., Ltd. 379,793 1,957,268 Topre Corp. 214,500 3,009,639 # Toridoll.corp 94,600 890,700 # Tosho Co., Ltd. 21,200 325,892 #* Touei Housing Corp. 83,640 2,169,894 Toyo Tire & Rubber Co., Ltd. 1,080,000 6,310,337 TPR Co., Ltd. 117,900 2,240,892 TS Tech Co., Ltd. 78,700 2,948,523 TSI Holdings Co., Ltd. 516,595 3,651,450 # Tsukamoto Corp. Co., Ltd. 190,000 307,328 Tsutsumi Jewelry Co., Ltd. 49,300 1,201,223 Tv Tokyo Holdings Corp. 34,800 599,457 # U-Shin, Ltd. 148,800 1,106,874 # Unipres Corp. 205,800 4,152,663 # United Arrows, Ltd. 100,000 4,308,589 * Unitika, Ltd. 140,000 85,728 # Universal Entertainment Corp. 66,800 1,330,295 * Usen Corp. 659,680 1,640,684 # Village Vanguard Co., Ltd. 258 399,834 # VT Holdings Co., Ltd. 148,200 1,994,635 Wacoal Holdings Corp. 461,000 4,950,229 # Watabe Wedding Corp. 43,000 322,202 # WATAMI Co., Ltd. 120,300 1,849,088 # West Holdings Corp. 84,400 1,453,523 Wowow, Inc. 28,300 1,087,264 Xebio Co., Ltd. 145,500 3,146,266 Yachiyo Industry Co., Ltd. 8,800 62,801 # Yamato International, Inc. 20,400 90,801 Yellow Hat, Ltd. 95,400 1,737,534
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ Consumer Discretionary -- (Continued) Yondoshi Holdings, Inc. 99,820 $ 1,345,464 Yonex Co., Ltd. 40,000 221,804 Yorozu Corp. 92,300 1,821,177 Yutaka Giken Co., Ltd. 1,000 23,483 # Zenrin Co., Ltd. 150,200 1,581,193 # Zensho Holdings Co., Ltd. 313,600 3,578,940 Zojirushi Corp. 83,000 333,316 ------------ Total Consumer Discretionary 484,663,246 ------------ Consumer Staples -- (8.2%) Aderans Co., Ltd. 68,300 836,759 Aeon Hokkaido Corp. 339,700 2,237,467 Ain Pharmaciez, Inc. 68,500 2,971,346 Arcs Co., Ltd. 190,900 3,578,232 Ariake Japan Co., Ltd. 102,000 2,467,521 # Artnature, Inc. 29,800 636,053 Axial Retailing, Inc. 68,200 1,109,601 Belc Co., Ltd. 40,300 733,195 Cawachi, Ltd. 88,200 1,658,974 Chubu Shiryo Co., Ltd. 110,700 644,028 Chuo Gyorui Co., Ltd. 93,000 217,971 Coca-Cola Central Japan Co., Ltd. 225,264 3,989,567 Cocokara fine, Inc. 86,760 2,471,295 CREATE SD HOLDINGS Co., Ltd. 36,200 1,319,638 # Daikokutenbussan Co., Ltd. 32,600 978,258 # Dr Ci:Labo Co., Ltd. 684 2,263,888 Dydo Drinco, Inc. 49,800 2,109,027 Echo Trading Co., Ltd. 11,000 81,121 Ezaki Glico Co., Ltd. 380,000 4,221,714 # Fancl Corp. 232,200 2,761,360 #* First Baking Co., Ltd. 183,000 289,033 Fuji Oil Co. Ltd/Osaka 367,600 6,699,430 Fujicco Co., Ltd. 117,600 1,460,579 # Fujiya Co., Ltd. 363,000 716,959 Hagoromo Foods Corp. 39,000 431,186 Heiwado Co., Ltd. 176,800 2,757,263 Hokkaido Coca-Cola Bottling Co., Ltd. 87,000 437,180 # Hokuto Corp. 129,500 2,484,315 House Foods Group, Inc. 70,500 1,116,695 Inageya Co., Ltd. 172,800 1,784,261 Itochu-Shokuhin Co., Ltd. 27,400 906,918 Itoham Foods, Inc. 954,800 4,024,782 # Iwatsuka Confectionery Co., Ltd. 300 15,473 # Izumiya Co., Ltd. 447,000 2,110,681 J-Oil Mills, Inc. 512,000 1,617,512 Kakiyasu Honten Co., Ltd. 15,800 220,317 Kameda Seika Co., Ltd. 69,100 2,039,566 Kansai Super Market Ltd. 13,700 125,193 # Kasumi Co., Ltd. 234,300 1,445,603 Kato Sangyo Co., Ltd. 113,200 2,323,762 Kenko Mayonnaise Co., Ltd. 39,800 361,283 KEY Coffee, Inc. 101,600 1,609,062
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Consumer Staples -- (Continued) Kirindo Co., Ltd. 28,300 $ 188,546 # Kose Corp. 176,000 5,143,568 # Kotobuki Spirits Co., Ltd. 11,400 149,080 Kusuri No Aoki Co., Ltd. 25,100 1,567,588 Kyodo Shiryo Co., Ltd. 408,000 465,576 Kyokuyo Co., Ltd. 417,000 1,137,240 # Life Corp. 183,400 3,051,077 # Lion Corp. 57,000 342,089 # Mandom Corp. 106,500 3,656,230 Marudai Food Co., Ltd. 534,000 1,679,418 # Maruetsu, Inc. (The) 375,000 1,244,047 Maruha Nichiro Holdings, Inc. 2,315,069 4,439,691 Matsumotokiyoshi Holdings Co., Ltd. 175,300 5,915,032 Maxvalu Nishinihon Co., Ltd. 2,400 33,877 Maxvalu Tokai Co., Ltd. 57,500 817,394 Medical System Network Co., Ltd. 78,200 357,614 # Megmilk Snow Brand Co., Ltd. 259,000 3,678,065 Meito Sangyo Co., Ltd. 57,300 603,213 Milbon Co., Ltd. 50,514 2,102,450 # Ministop Co., Ltd. 86,700 1,353,175 Mitsubishi Shokuhin Co., Ltd. 87,800 2,459,017 Mitsui Sugar Co., Ltd. 529,850 1,901,332 # Miyoshi Oil & Fat Co., Ltd. 375,000 604,448 Morinaga & Co., Ltd. 1,075,000 2,287,515 # Morinaga Milk Industry Co., Ltd. 1,066,000 3,323,842 Morozoff, Ltd. 139,000 442,671 Nagatanien Co., Ltd. 125,000 1,134,971 Nakamuraya Co., Ltd. 189,000 779,493 Natori Co., Ltd. 20,300 199,537 Nichimo Co., Ltd. 170,000 346,435 # Nichirei Corp. 1,382,000 7,133,447 # Nihon Chouzai Co., Ltd. 6,780 192,021 Niitaka Co., Ltd. 7,260 77,142 Nippon Beet Sugar Manufacturing Co., Ltd. 619,000 1,166,032 Nippon Flour Mills Co., Ltd. 668,000 3,222,373 # Nippon Formula Feed Manufacturing Co., Ltd. 477,000 597,426 * Nippon Suisan Kaisha, Ltd. 1,326,000 2,704,638 # Nisshin Oillio Group, Ltd. (The) 639,000 2,147,123 Nissin Sugar Co., Ltd. 20,000 420,408 Nitto Fuji Flour Milling Co., Ltd. 64,000 201,351 Noevir Holdings Co., Ltd. 83,900 1,363,046 Oenon Holdings, Inc. 316,000 821,718 # OIE Sangyo Co., Ltd. 20,900 175,725 Okuwa Co., Ltd. 120,000 1,085,515 Olympic Group Corp. 64,900 481,184 # OUG Holdings, Inc. 29,000 53,444 # Pigeon Corp. 191,600 9,885,257 # Poplar Co., Ltd. 25,760 142,569 Prima Meat Packers, Ltd. 874,000 1,853,038 Qol Co., Ltd. 52,100 332,091 Riken Vitamin Co., Ltd. 79,200 1,975,299 Rock Field Co., Ltd. 56,700 1,087,824
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Consumer Staples -- (Continued) Rokko Butter Co., Ltd. 31,800 $ 268,742 S Foods, Inc. 77,762 781,145 # S&B Foods, Inc. 499 18,556 Sakata Seed Corp. 177,600 2,424,123 San-A Co., Ltd. 91,800 2,616,299 Sapporo Holdings, Ltd. 1,874,000 8,333,114 # Shoei Foods Corp. 44,000 348,928 # Showa Sangyo Co., Ltd. 524,000 1,619,799 Sogo Medical Co., Ltd. 27,700 1,053,193 ST Corp. 78,900 802,143 Starzen Co., Ltd. 328,000 907,538 Takara Holdings, Inc. 702,500 6,442,135 # Tobu Store Co., Ltd. 205,000 538,445 # Toho Co. Ltd/Kobe 194,000 700,781 # Tohto Suisan Co., Ltd. 143,000 312,133 Torigoe Co., Ltd. (The) 86,600 586,149 Toyo Sugar Refining Co., Ltd. 157,000 164,778 UNY Group Holdings Co., Ltd. 1,183,300 7,466,985 # Uoriki Co., Ltd. 2,400 34,157 Valor Co., Ltd. 201,400 2,906,867 Warabeya Nichiyo Co., Ltd. 80,760 1,506,843 # Welcia Holdings Co., Ltd. 43,100 2,607,096 Yaizu Suisankagaku Industry Co., Ltd. 44,800 396,585 # Yamatane Corp. 535,000 1,005,499 Yamaya Corp. 22,800 328,434 Yaoko Co., Ltd. 43,100 1,605,539 # Yokohama Reito Co., Ltd. 238,400 1,886,878 Yomeishu Seizo Co., Ltd. 100,000 828,214 Yuasa Funashoku Co., Ltd. 112,000 269,382 Yutaka Foods Corp. 6,000 103,915 ------------ Total Consumer Staples 209,651,365 ------------ Energy -- (0.8%) # BP Castrol KK 66,500 314,264 #* Cosmo Oil Co., Ltd. 1,894,000 3,334,971 Fuji Kosan Co., Ltd. 33,100 211,351 Fuji Oil Co., Ltd. 293,100 1,051,920 Itochu Enex Co., Ltd. 311,000 1,694,704 # Japan Drilling Co., Ltd. 2,400 166,959 Japan Oil Transportation Co., Ltd. 84,000 194,150 # Kanto Natural Gas Development, Ltd. 155,000 1,092,815 #* Kyoei Tanker Co., Ltd. 111,000 271,092 Mitsuuroko Holdings Co., Ltd. 195,800 942,918 Modec, Inc. 93,800 2,844,050 # Nippon Gas Co., Ltd. 154,000 1,722,025 Nippon Seiro Co., Ltd. 64,000 166,748 # Sala Corp. 128,500 695,091 San-Ai Oil Co., Ltd. 314,000 1,356,111 Shinko Plantech Co., Ltd. 227,900 1,840,010 # Sinanen Co., Ltd. 268,000 1,045,311 Toa Oil Co., Ltd. 427,000 800,740
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- Energy -- (Continued) Toyo Kanetsu KK 473,000 $ 1,391,037 ----------- Total Energy 21,136,267 ----------- Financials -- (9.7%) 77 Bank, Ltd. (The) 116,000 573,720 Aichi Bank, Ltd. (The) 54,200 2,463,230 # Airport Facilities Co., Ltd. 136,670 1,195,491 Aizawa Securities Co., Ltd. 179,600 1,222,475 Akita Bank, Ltd. (The) 1,120,400 2,813,003 Anabuki Kosan, Inc. 6,000 19,721 Aomori Bank, Ltd. (The) 1,136,000 2,963,061 Asax Co., Ltd. 1,700 24,344 Awa Bank, Ltd. (The) 1,095,000 5,718,585 # Bank of Iwate, Ltd. (The) 105,100 4,773,216 Bank of Kochi, Ltd. (The) 178,000 202,687 Bank of Nagoya, Ltd. (The) 955,297 3,276,080 Bank of Okinawa, Ltd. (The) 110,300 4,269,143 Bank of Saga, Ltd. (The) 771,000 1,656,802 Bank of the Ryukyus, Ltd. 226,180 2,468,285 * Chiba Kogyo Bank, Ltd. (The) 230,600 1,757,624 Chukyo Bank, Ltd. (The) 676,000 1,219,384 #* Cosmos Initia Co., Ltd. 27,300 175,340 # Daibiru Corp. 311,100 3,964,531 Daiichi Commodities Co., Ltd. 13,700 72,129 Daiko Clearing Services Corp. 43,000 297,831 Daikyo, Inc. 1,923,000 5,973,522 Daisan Bank, Ltd. (The) 750,000 1,229,174 Daishi Bank, Ltd. (The) 2,006,000 7,003,326 Daito Bank, Ltd. (The) 898,000 943,819 Dream Incubator, Inc. 13 23,130 Ehime Bank, Ltd. (The) 810,000 1,948,524 Eighteenth Bank, Ltd. (The) 1,093,000 2,517,740 FIDEA Holdings Co., Ltd. 542,500 1,070,197 Financial Products Group Co., Ltd. 7,200 79,006 Fukui Bank, Ltd. (The) 1,205,000 2,628,024 # Fukushima Bank, Ltd. (The) 1,368,000 1,214,070 Fuyo General Lease Co., Ltd. 84,500 3,505,674 Goldcrest Co., Ltd. 102,890 2,752,705 # Heiwa Real Estate Co., Ltd. 252,000 4,564,381 Higashi-Nippon Bank, Ltd. (The) 832,000 1,836,180 Higo Bank, Ltd. (The) 1,057,000 6,017,035 Hokkoku Bank, Ltd. (The) 1,620,000 5,987,282 Hokuetsu Bank, Ltd. (The) 1,206,000 2,501,199 Hyakugo Bank, Ltd. (The) 1,441,609 5,861,977 Hyakujushi Bank, Ltd. (The) 1,507,000 5,491,639 IBJ Leasing Co., Ltd. 69,100 1,945,738 Iwai Cosmo Holdings, Inc. 105,900 1,328,426 # Jimoto Holdings, Inc. 132,800 291,784 Jowa Holdings Co., Ltd. 37,700 1,128,688 Juroku Bank, Ltd. (The) 1,985,000 7,771,817 Kabuki-Za Co., Ltd. 39,000 1,939,337 Kagoshima Bank, Ltd. (The) 910,000 6,125,504
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Financials -- (Continued) Kansai Urban Banking Corp. 1,030,000 $1,227,573 Keihanshin Building Co., Ltd. 162,400 897,459 Keiyo Bank, Ltd. (The) 1,187,000 6,045,068 Kita-Nippon Bank, Ltd. (The) 50,006 1,230,814 * Kiyo Bank Ltd (The) 382,290 5,081,389 Kobayashi Yoko Co., Ltd. 36,700 98,681 # Kyokuto Securities Co., Ltd. 9,100 159,298 # Land Business Co., Ltd. 54,200 240,969 Marusan Securities Co., Ltd. 385,500 3,177,313 Michinoku Bank, Ltd. (The) 795,000 1,652,507 Mie Bank, Ltd. (The) 440,000 896,234 Minato Bank, Ltd. (The) 1,076,000 1,876,376 Mito Securities Co., Ltd. 274,000 1,315,755 Miyazaki Bank, Ltd. (The) 938,000 2,722,375 # Money Partners Group Co., Ltd. 52,400 147,662 Musashino Bank, Ltd. (The) 196,000 6,876,837 # Nagano Bank, Ltd. (The) 496,000 893,696 Nanto Bank, Ltd. (The) 918,000 3,634,752 * New Real Property K.K. 43,900 -- # Nisshin Fudosan Co. 105,500 841,603 North Pacific Bank, Ltd. 1,161,100 5,069,732 Ogaki Kyoritsu Bank, Ltd. (The) 2,012,000 5,667,424 Oita Bank, Ltd. (The) 973,900 3,572,499 Okasan Securities Group, Inc. 396,000 3,424,316 Relo Holdings, Inc. 42,900 1,988,996 Ricoh Leasing Co., Ltd. 97,500 2,791,825 SAMTY Co., Ltd. 45 43,094 San-In Godo Bank, Ltd. (The) 961,000 6,976,501 Sankyo Frontier Co., Ltd. 2,000 15,007 # Sawada Holdings Co., Ltd. 113,300 1,063,982 Senshu Ikeda Holdings, Inc. 1,024,200 5,045,059 Shiga Bank, Ltd. (The) 736,000 4,022,503 Shikoku Bank, Ltd. (The) 1,055,000 2,443,480 SHIMANE BANK, Ltd. (The) 15,600 205,082 Shimizu Bank, Ltd. (The) 46,300 1,302,111 # Sumitomo Real Estate Sales Co., Ltd. 61,360 2,008,920 Taiko Bank, Ltd. (The) 189,000 420,633 Takagi Securities Co., Ltd. 183,000 704,763 Takara Leben Co., Ltd. 21,300 84,060 # TOC Co., Ltd. 435,250 3,535,951 Tochigi Bank, Ltd. (The) 745,000 2,848,866 Toho Bank, Ltd. (The) 1,306,200 4,100,579 Tohoku Bank, Ltd. (The) 541,000 805,666 Tokyo Rakutenchi Co., Ltd. 218,000 1,092,462 Tokyo Theatres Co., Inc. 380,000 636,264 Tokyo Tomin Bank, Ltd. (The) 204,700 2,193,488 * Tokyu Fudosan Holdings Corp. 400,427 3,933,820 Tomato Bank, Ltd. 476,000 838,425 TOMONY Holdings, Inc. 854,850 3,229,205 # Tosei Corp. 46,800 375,660 Tottori Bank, Ltd. (The) 332,000 638,979 Towa Bank, Ltd. (The) 1,623,000 1,484,372
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ Financials -- (Continued) # Toyo Securities Co., Ltd. 380,000 $ 1,301,613 Tsukuba Bank, Ltd. (The) 462,800 1,618,398 Yachiyo Bank, Ltd. (The) 72,300 1,972,275 Yamagata Bank, Ltd. (The) 805,500 3,354,064 Yamanashi Chuo Bank, Ltd. (The) 938,000 3,960,287 ------------ Total Financials 248,593,302 ------------ Health Care -- (4.2%) # A.S. One Corp. 76,368 1,686,052 ASKA Pharmaceutical Co., Ltd. 131,000 972,196 Biofermin Pharmaceutical Co., Ltd. 5,600 140,783 BML, Inc. 60,900 2,080,785 # CMIC Holdings Co., Ltd. 63,300 870,242 Create Medic Co., Ltd. 28,000 269,866 Daito Pharmaceutical Co., Ltd. 44,100 635,392 Eiken Chemical Co., Ltd. 91,000 1,689,089 # EPS Corp. 1,606 1,668,782 FALCO SD HOLDINGS Co., Ltd. 38,700 505,374 Fuji Pharma Co., Ltd. 36,500 648,896 Fuso Pharmaceutical Industries, Ltd. 427,000 1,361,762 Hitachi Medical Corp. 86,000 1,203,437 Hogy Medical Co., Ltd. 66,800 3,886,780 Iwaki & Co., Ltd. 122,000 270,905 Japan Medical Dynamic Marketing, Inc. 44,900 137,619 # JMS Co., Ltd. 156,000 508,857 # Kaken Pharmaceutical Co., Ltd. 417,000 6,512,147 Kawasumi Laboratories, Inc. 67,700 440,159 Kissei Pharmaceutical Co., Ltd. 106,300 2,460,824 KYORIN Holdings, Inc. 265,900 5,668,506 # Mani, Inc. 12,100 464,188 # Message Co., Ltd. 81,400 2,297,663 # Mochida Pharmaceutical Co., Ltd. 65,599 4,152,012 Nagaileben Co., Ltd. 58,000 957,128 Nakanishi, Inc. 3,600 511,881 Nichi-iko Pharmaceutical Co., Ltd. 81,100 2,021,882 Nichii Gakkan Co. 260,500 2,610,908 Nihon Kohden Corp. 180,100 7,417,704 Nikkiso Co., Ltd. 350,000 4,330,008 Nippon Chemiphar Co., Ltd. 180,000 844,109 Nippon Shinyaku Co., Ltd. 269,000 4,636,916 # Nipro Corp. 372,600 3,414,480 Nissui Pharmaceutical Co., Ltd. 70,500 778,963 Paramount Bed Holdings Co., Ltd. 73,400 2,537,203 # Rion Co., Ltd. 23,000 348,464 Rohto Pharmaceutical Co., Ltd. 475,000 6,893,342 Seikagaku Corp. 179,800 2,332,681 Ship Healthcare Holdings, Inc. 185,700 7,620,076 Shofu, Inc. 24,800 224,237 Software Service, Inc. 11,200 421,101 Taiko Pharmaceutical Co., Ltd. 40,700 701,148 Techno Medica Co., Ltd. 17,400 378,920 Toho Holdings Co., Ltd. 270,300 5,233,112
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Health Care -- (Continued) Tokai Corp/Gifu 43,400 $ 1,153,585 Torii Pharmaceutical Co., Ltd. 65,200 1,690,635 # Towa Pharmaceutical Co., Ltd. 55,400 2,771,985 # Tsukui Corp. 170,000 1,884,190 Vital KSK Holdings, Inc. 184,400 1,293,386 #* Wakamoto Pharmaceutical Co., Ltd. 107,000 292,605 # ZERIA Pharmaceutical Co., Ltd. 105,599 2,503,449 ------------ Total Health Care 106,336,414 ------------ Industrials -- (26.4%) #* A&A Material Corp. 127,000 193,239 Advan Co., Ltd. 96,200 1,185,032 Advanex, Inc. 73,000 93,859 Aeon Delight Co., Ltd. 9,600 186,548 Aica Kogyo Co., Ltd. 282,300 5,779,148 # Aichi Corp. 172,400 911,488 Aida Engineering, Ltd. 302,300 2,922,203 Alinco, Inc. 47,300 452,929 Alps Logistics Co., Ltd. 50,700 510,355 Altech Corp. 43,850 470,420 Anest Iwata Corp. 169,000 828,526 Asahi Diamond Industrial Co., Ltd. 303,800 2,949,166 # Asahi Kogyosha Co., Ltd. 124,000 445,385 #* Asanuma Corp. 796,000 1,310,079 Asia Air Survey Co., Ltd. 26,000 80,310 Asunaro Aoki Construction Co., Ltd. 154,000 900,181 Bando Chemical Industries, Ltd. 452,000 1,763,608 Benefit One, Inc. 98,200 977,868 Bunka Shutter Co., Ltd. 284,000 1,592,403 Central Glass Co., Ltd. 1,125,000 3,912,593 Central Security Patrols Co., Ltd. 43,700 411,668 Chiyoda Integre Co., Ltd. 50,800 879,801 Chudenko Corp. 130,500 2,149,955 # Chugai Ro Co., Ltd. 384,000 1,004,995 CKD Corp. 322,100 2,990,056 # Cosel Co., Ltd. 127,900 1,601,331 CTI Engineering Co., Ltd. 60,700 547,116 Dai-Dan Co., Ltd. 156,000 833,713 Daido Kogyo Co., Ltd. 171,000 491,296 # Daifuku Co., Ltd. 505,000 6,493,984 Daihatsu Diesel Manufacturing Co., Ltd. 74,000 380,016 Daihen Corp. 586,000 2,503,726 # Daiho Corp. 763,000 2,866,467 Daiichi Jitsugyo Co., Ltd. 238,000 1,020,745 # Daiki Ataka Engineering Co., Ltd. 63,000 303,166 # Daiseki Co., Ltd. 200,163 3,931,172 Daiseki Eco. Solution Co., Ltd. 7,200 144,303 Daiwa Industries, Ltd. 178,000 1,120,089 * DANTO HOLDINGS Corp. 165,000 201,907 Denyo Co., Ltd. 85,100 1,048,348 Dijet Industrial Co., Ltd. 80,000 131,900 # DMG Mori Seiki Co., Ltd. 551,500 8,946,428
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Industrials -- (Continued) DMW Corp. 4,800 $ 78,132 Duskin Co., Ltd. 268,200 5,451,415 Ebara Jitsugyo Co., Ltd. 35,500 485,195 Eidai Co., Ltd. 71,000 386,390 Emori & Co., Ltd. 28,000 464,461 en-japan, Inc. 47,500 1,060,937 # Endo Lighting Corp. 44,500 1,025,771 * Enshu, Ltd. 281,000 459,971 * Fudo Tetra Corp. 842,500 1,633,835 Fujikura, Ltd. 2,042,000 9,317,972 #* Fujisash Co., Ltd. 296,200 735,932 Fujitec Co., Ltd. 384,000 4,721,847 Fukuda Corp. 511,000 2,119,250 Fukushima Industries Corp. 66,400 892,686 # Fukuyama Transporting Co., Ltd. 666,400 4,259,489 * FULLCAST Holdings Co., Ltd. 42,600 124,206 Funai Consulting, Inc. 112,400 897,887 Furukawa Co., Ltd. 1,536,000 3,202,202 # Furukawa Electric Co., Ltd. 3,973,000 9,208,531 Furusato Industries, Ltd. 50,600 524,089 Futaba Corp. 154,300 2,137,570 Gecoss Corp. 112,400 867,999 Glory, Ltd. 305,000 7,563,052 Hamakyorex Co., Ltd. 39,100 1,081,816 Hanwa Co., Ltd. 1,084,000 5,043,514 Harmonic Drive Systems, Inc. 700 15,070 # Hazama Ando Corp. 796,000 2,941,145 Hibiya Engineering, Ltd. 131,300 1,597,213 Hisaka Works, Ltd. 115,000 1,031,850 Hitachi Koki Co., Ltd. 291,400 2,136,046 # Hitachi Metals Techno, Ltd. 56,500 538,870 Hitachi Transport System, Ltd. 108,100 1,714,141 Hitachi Zosen Corp. 879,499 6,993,194 Hokuetsu Industries Co., Ltd. 85,000 274,480 Hokuriku Electrical Construction Co., Ltd. 64,000 261,432 Hosokawa Micron Corp. 166,000 1,181,141 Howa Machinery, Ltd. 70,500 644,354 Ichiken Co., Ltd. 87,000 165,830 ICHINEN HOLDINGS Co., Ltd. 100,300 716,880 # Idec Corp. 149,200 1,339,740 Iino Kaiun Kaisha, Ltd. 260,200 1,713,598 Inaba Denki Sangyo Co., Ltd. 128,500 3,868,193 Inaba Seisakusho Co., Ltd. 58,800 764,009 Inabata & Co., Ltd. 317,300 3,111,966 #* Inui Steamship Co., Ltd. 128,800 506,103 Inui Warehouse Co., Ltd. 23,600 241,692 # Iseki & Co., Ltd. 1,003,000 3,261,151 # Ishii Iron Works Co., Ltd. 57,000 165,198 Itoki Corp. 205,900 1,044,126 #* Iwasaki Electric Co., Ltd. 367,000 778,140 Iwatani Corp. 1,022,000 4,706,865 Jalux, Inc. 40,800 478,154
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Industrials -- (Continued) # Jamco Corp. 80,000 $1,133,770 # Japan Airport Terminal Co., Ltd. 155,700 3,775,266 # Japan Foundation Engineering Co., Ltd. 162,500 698,325 Japan Pulp & Paper Co., Ltd. 469,000 1,514,898 Japan Transcity Corp. 249,000 827,665 JK Holdings Co., Ltd. 92,540 573,173 Kamei Corp. 153,000 1,139,274 Kanaden Corp. 116,000 774,349 Kanagawa Chuo Kotsu Co., Ltd. 192,000 991,855 Kanamoto Co., Ltd. 135,000 3,646,529 Kandenko Co., Ltd. 576,000 3,639,613 Kanematsu Corp. 2,253,625 3,056,960 * Kanematsu-NNK Corp. 125,000 211,720 Katakura Industries Co., Ltd. 132,100 1,567,229 Kato Works Co., Ltd. 296,000 2,029,447 # KAWADA TECHNOLOGIES, Inc. 62,300 1,853,614 Kawasaki Kinkai Kisen Kaisha, Ltd. 99,000 294,927 # Kawasaki Kisen Kaisha, Ltd. 213,000 488,287 # Keihin Co. Ltd/Minato-Ku Tokyo Japan 245,000 465,378 * KI Holdings Co., Ltd. 54,000 113,846 King Jim Co., Ltd. 30,400 213,486 Kinki Sharyo Co., Ltd. 185,000 565,529 Kintetsu World Express, Inc. 84,200 3,213,711 Kitagawa Iron Works Co., Ltd. 502,000 1,054,119 Kitano Construction Corp. 242,000 572,057 Kitazawa Sangyo Co., Ltd. 37,000 67,067 Kito Corp. 46,900 739,547 Kitz Corp. 508,700 2,191,991 Koike Sanso Kogyo Co., Ltd. 149,000 348,032 Kokusai Co., Ltd. 19,600 181,920 Kokuyo Co., Ltd. 455,525 3,486,000 # KOMAIHALTEC, Inc. 213,000 707,085 Komatsu Wall Industry Co., Ltd. 48,300 1,019,359 Komori Corp. 407,800 6,412,688 Kondotec, Inc. 114,100 870,612 #* Kosaido Co., Ltd. 284,200 1,647,113 KRS Corp. 37,200 407,375 # Kuroda Electric Co., Ltd. 174,000 2,437,352 Kyodo Printing Co., Ltd. 540,000 1,503,636 * Kyokuto Boeki Kaisha, Ltd. 58,000 125,388 Kyokuto Kaihatsu Kogyo Co., Ltd. 210,100 2,627,052 Kyoritsu Printing Co., Ltd. 5,400 14,812 Kyosan Electric Manufacturing Co., Ltd. 278,000 923,141 Kyowa Exeo Corp. 482,300 5,727,079 Kyudenko Corp. 225,000 1,353,579 * Lonseal Corp. 116,000 147,995 Maeda Corp. 845,000 6,079,622 Maeda Road Construction Co., Ltd. 360,000 6,401,143 Maezawa Industries, Inc. 35,700 134,709 Maezawa Kasei Industries Co., Ltd. 50,700 539,341 Maezawa Kyuso Industries Co., Ltd. 52,800 689,320 Makino Milling Machine Co., Ltd. 576,000 3,771,587
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- Industrials -- (Continued) Marubeni Construction Material Lease Co., Ltd. 75,000 $ 170,667 Marufuji Sheet Piling Co., Ltd. 7,000 18,756 Maruka Machinery Co., Ltd. 28,100 419,788 # Maruyama Manufacturing Co., Inc. 237,000 653,493 Maruzen Showa Unyu Co., Ltd. 309,000 1,134,805 Matsuda Sangyo Co., Ltd. 82,582 1,156,590 Matsui Construction Co., Ltd. 128,600 547,138 Max Co., Ltd. 197,000 2,214,169 # Meidensha Corp. 989,050 3,699,073 # Meiji Shipping Co., Ltd. 114,200 504,151 Meisei Industrial Co., Ltd. 221,000 949,050 Meitec Corp. 156,900 4,182,431 Meito Transportation Co., Ltd. 22,000 144,992 # Meiwa Corp. 166,400 549,804 Mesco, Inc. 22,000 145,289 # Minebea Co., Ltd. 1,975,000 10,933,515 Mirait Holdings Corp. 358,985 3,185,008 Mitani Corp. 64,700 1,397,488 #* Mitsubishi Kakoki Kaisha, Ltd. 369,000 738,353 Mitsubishi Nichiyu Forklift Co., Ltd. 147,000 729,412 Mitsubishi Pencil Co., Ltd. 104,500 2,727,146 Mitsuboshi Belting Co., Ltd. 296,000 1,525,884 Mitsui Engineering & Shipbuilding Co., Ltd. 4,170,000 8,185,614 # Mitsui Matsushima Co., Ltd. 761,000 1,182,724 # Mitsui-Soko Co., Ltd. 220,000 1,105,241 Mitsumura Printing Co., Ltd. 93,000 248,880 # Miura Co., Ltd. 157,300 4,126,016 #* Miyaji Engineering Group, Inc. 674,175 1,495,206 Morita Holdings Corp. 239,000 2,102,359 Moshi Moshi Hotline, Inc. 240,800 3,026,761 # NAC Co., Ltd. 50,800 914,360 # Nachi-Fujikoshi Corp. 913,000 4,482,487 Nagase & Co., Ltd. 94,800 1,180,895 Nakabayashi Co., Ltd. 217,000 473,426 Nakano Corp. 5,500 14,077 Namura Shipbuilding Co., Ltd. 182,100 2,636,857 Narasaki Sangyo Co., Ltd. 56,000 115,996 NDS Co., Ltd. 231,000 665,696 NEC Capital Solutions, Ltd. 45,100 1,117,760 # Nichias Corp. 553,000 3,741,314 Nichiban Co., Ltd. 122,000 476,900 Nichiden Corp. 24,500 577,533 Nichiha Corp. 132,380 1,899,711 Nichireki Co., Ltd. 138,000 1,428,411 # Nihon M&A Center, Inc. 19,300 1,488,523 Nikkato Corp. 700 3,035 Nikko Co., Ltd. 149,000 866,153 Nippo Corp. 315,000 5,909,702 # Nippon Carbon Co., Ltd. 663,000 1,292,101 * Nippon Conveyor Co., Ltd. 170,000 263,931 Nippon Densetsu Kogyo Co., Ltd. 211,000 2,637,490 Nippon Filcon Co., Ltd. 70,900 317,262
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Industrials -- (Continued) Nippon Hume Corp. 112,000 $1,012,996 # Nippon Jogesuido Sekkei Co., Ltd. 29,500 372,108 # Nippon Kanzai Co., Ltd. 43,000 781,916 Nippon Koei Co., Ltd. 372,000 1,750,014 Nippon Konpo Unyu Soko Co., Ltd. 313,300 5,461,382 # Nippon Parking Development Co., Ltd. 7,887 611,403 Nippon Rietec Co., Ltd. 7,000 51,037 Nippon Road Co., Ltd. (The) 395,000 2,460,082 Nippon Seisen Co., Ltd. 103,000 470,693 # Nippon Sharyo, Ltd. 391,000 2,061,426 #* Nippon Sheet Glass Co., Ltd. 5,424,000 7,034,712 Nippon Signal Co., Ltd. 291,200 2,214,593 Nippon Steel & Sumikin Bussan 882,599 2,684,013 Nippon Steel & Sumikin Texeng 274,000 1,116,981 Nippon Thompson Co., Ltd. 375,000 2,040,986 Nippon Tungsten Co., Ltd. 62,000 100,228 Nishi-Nippon Railroad Co., Ltd. 627,000 2,401,978 Nishimatsu Construction Co., Ltd. 1,855,000 6,548,878 Nishio Rent All Co., Ltd. 84,700 2,292,377 # Nissei ASB Machine Co., Ltd. 6,900 146,097 # Nissei Corp. 37,900 347,409 Nissei Plastic Industrial Co., Ltd. 265,600 1,732,895 # Nisshinbo Holdings, Inc. 834,000 7,366,107 Nissin Corp. 377,000 1,105,766 # Nissin Electric Co., Ltd. 284,000 1,806,592 Nitta Corp. 112,800 2,375,859 Nitto Boseki Co., Ltd. 838,000 3,896,316 Nitto Kogyo Corp. 149,000 2,355,771 Nitto Kohki Co., Ltd. 68,300 1,290,568 Nitto Seiko Co., Ltd. 138,000 510,738 Nittoc Construction Co., Ltd. 154,100 672,936 # Nittoku Engineering Co., Ltd. 79,500 706,296 Noda Corp. 158,100 942,540 Nomura Co., Ltd. 220,000 1,994,424 Noritake Co., Ltd/Nagoya 588,000 1,598,845 Noritz Corp. 164,200 3,806,002 #* NS United Kaiun Kaisha, Ltd. 574,000 1,740,869 #* NTN Corp. 982,000 4,720,324 # Obara Group, Inc. 58,700 1,484,883 Obayashi Road Corp. 175,000 1,027,162 # Oiles Corp. 138,142 3,086,495 Okabe Co., Ltd. 217,600 2,913,372 * Okamoto Machine Tool Works, Ltd. 166,000 211,727 # Okamura Corp. 364,900 2,637,173 * OKI Electric Cable Co., Ltd. 90,000 154,774 # OKK Corp. 419,000 611,568 # OKUMA Corp. 792,000 6,690,276 Okumura Corp. 951,400 4,517,399 Onoken Co., Ltd. 75,600 909,193 Organo Corp. 221,000 1,071,326 OSG Corp. 401,700 6,498,156 # Outsourcing, Inc. 28,700 288,564
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Industrials -- (Continued) # Oyo Corp. 109,600 $1,810,516 # Pasco Corp. 101,000 419,669 Pasona Group, Inc. 969 759,254 Penta-Ocean Construction Co., Ltd. 1,646,000 4,976,595 Pilot Corp. 81,100 3,080,033 Prestige International, Inc. 65,200 612,107 Pronexus, Inc. 133,200 865,253 # PS Mitsubishi Construction Co., Ltd. 37,300 198,121 Raito Kogyo Co., Ltd. 286,500 2,378,633 Rheon Automatic Machinery Co., Ltd. 64,000 186,646 Ryobi, Ltd. 710,200 3,138,765 Sakai Heavy Industries, Ltd. 224,000 924,106 Sakai Moving Service Co., Ltd. 10,300 323,007 Sanki Engineering Co., Ltd. 340,000 2,122,854 # Sanko Metal Industrial Co., Ltd. 136,000 380,997 Sankyo Tateyama, Inc. 171,000 3,613,676 Sankyu, Inc. 1,545,000 5,530,234 Sanritsu Corp. 9,500 51,528 # Sanwa Holdings Corp. 1,215,000 7,786,723 Sanyo Denki Co., Ltd. 223,000 1,457,493 Sanyo Engineering & Construction, Inc. 48,000 207,309 Sanyo Industries, Ltd. 99,000 187,610 #* Sasebo Heavy Industries Co., Ltd. 701,000 730,149 # Sata Construction Co., Ltd. 384,000 618,593 # Sato Holdings Corp. 115,100 2,334,976 Sato Shoji Corp. 65,300 399,752 SBS Holdings, Inc. 6,000 88,575 Secom Joshinetsu Co., Ltd. 33,900 838,516 Seibu Electric Industry Co., Ltd. 67,000 297,660 Seika Corp. 322,000 784,580 #* Seikitokyu Kogyo Co., Ltd. 713,000 1,026,947 Seino Holdings Co., Ltd. 731,000 7,219,534 Sekisui Jushi Corp. 168,000 2,445,973 # Senko Co., Ltd. 497,000 2,680,426 # Senshu Electric Co., Ltd. 37,300 455,976 # Shibusawa Warehouse Co., Ltd. (The) 265,000 1,130,942 Shibuya Kogyo Co., Ltd. 44,100 834,937 Shima Seiki Manufacturing, Ltd. 152,300 3,124,572 Shin Nippon Air Technologies Co., Ltd. 88,780 557,446 Shin-Keisei Electric Railway Co., Ltd. 182,000 700,382 Shinmaywa Industries, Ltd. 473,000 3,705,926 Shinnihon Corp. 194,800 678,475 Shinsho Corp. 254,000 526,437 Shinwa Co. Ltd/Nagoya 8,400 97,609 Shoko Co., Ltd. 390,000 627,832 # Showa Aircraft Industry Co., Ltd. 27,000 312,717 # Sinfonia Technology Co., Ltd. 574,000 1,017,731 # Sinko Industries, Ltd. 87,000 716,710 Sintokogio, Ltd. 259,800 1,954,942 Soda Nikka Co., Ltd. 67,000 282,968 Sodick Co., Ltd. 259,300 1,212,080 Sohgo Security Services Co., Ltd. 338,100 6,834,701
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Industrials -- (Continued) Sotetsu Holdings, Inc. 625,000 $2,324,778 # Space Co., Ltd. 73,420 683,873 Srg Takamiya Co., Ltd. 10,200 89,361 Subaru Enterprise Co., Ltd. 59,000 227,275 Sugimoto & Co., Ltd. 34,100 313,149 Sumitomo Densetsu Co., Ltd. 98,100 1,448,908 #* Sumitomo Mitsui Construction Co., Ltd. 2,130,400 2,783,067 Sumitomo Precision Products Co., Ltd. 180,000 778,589 Sumitomo Warehouse Co., Ltd. (The) 754,000 4,422,103 * SWCC Showa Holdings Co., Ltd. 1,732,000 1,976,056 Tadano, Ltd. 213,579 2,936,982 Taihei Dengyo Kaisha, Ltd. 193,000 1,359,041 Taiheiyo Kouhatsu, Inc. 353,000 392,719 Taikisha, Ltd. 162,300 3,772,641 # Takada Kiko Co., Ltd. 90,000 208,280 Takano Co., Ltd. 51,100 251,244 # Takaoka Toko Holdings Co., Ltd. 44,820 910,302 Takara Printing Co., Ltd. 38,055 263,058 Takara Standard Co., Ltd. 509,000 4,095,310 Takasago Thermal Engineering Co., Ltd. 328,800 2,747,838 # Takashima & Co., Ltd. 192,000 541,962 # Takeei Corp. 83,400 1,312,255 # Takeuchi Manufacturing Co., Ltd. 66,400 1,400,589 # Takigami Steel Construction Co., Ltd. (The) 50,000 200,755 # Takisawa Machine Tool Co., Ltd. 349,000 520,320 # Takuma Co., Ltd. 392,000 3,341,219 # Tanseisha Co., Ltd. 106,000 716,577 Tatsuta Electric Wire and Cable Co., Ltd. 260,200 1,837,183 TECHNO ASSOCIE Co., Ltd. 58,400 601,185 Techno Ryowa, Ltd. 71,390 331,158 # Teikoku Electric Manufacturing Co., Ltd. 35,300 830,981 Teikoku Sen-I Co., Ltd. 119,000 1,093,651 #* Tekken Corp. 763,000 2,495,008 # Temp Holdings Co., Ltd. 48,600 1,415,619 # Teraoka Seisakusho Co., Ltd. 53,600 218,108 #* Toa Corp. 1,060,000 2,575,937 TOA ROAD Corp. 246,000 1,342,644 #* Tobishima Corp. 640,500 1,215,944 Tocalo Co., Ltd. 81,900 1,340,903 Toda Corp. 1,143,000 4,178,614 Toenec Corp. 212,000 1,322,348 TOKAI Holdings Corp. 484,300 1,715,229 Tokai Lease Co., Ltd. 154,000 280,932 Tokyo Energy & Systems, Inc. 143,000 760,933 # Tokyo Keiki, Inc. 319,000 988,836 #* Tokyo Kikai Seisakusho, Ltd. 225,000 273,926 Tokyo Sangyo Co., Ltd. 81,000 277,315 #* Tokyu Construction Co., Ltd. 102,920 604,771 Toli Corp. 252,000 529,973 # Tomoe Corp. 150,100 767,710 # Tomoe Engineering Co., Ltd. 36,200 576,447 Tonami Holdings Co., Ltd. 331,000 722,309
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Industrials -- (Continued) Toppan Forms Co., Ltd. 280,000 $ 2,611,447 Torishima Pump Manufacturing Co., Ltd. 111,200 989,976 Toshiba Machine Co., Ltd. 641,000 3,315,198 Toshiba Plant Systems & Services Corp. 228,450 4,030,852 # Tosho Printing Co., Ltd. 243,000 651,170 Totetsu Kogyo Co., Ltd. 140,300 3,159,868 # Toyo Construction Co., Ltd. 340,800 1,204,148 # Toyo Denki Seizo - Toyo Electric Manufacturing Co., Ltd. 213,000 695,439 Toyo Engineering Corp. 653,400 2,784,115 Toyo Machinery & Metal Co., Ltd. 42,400 167,804 # Toyo Tanso Co., Ltd. 68,900 1,305,791 # Toyo Wharf & Warehouse Co., Ltd. 317,000 858,974 Trancom Co., Ltd. 40,000 1,251,573 Trinity Industrial Corp. 19,000 81,248 Trusco Nakayama Corp. 107,400 2,286,585 Tsubakimoto Chain Co. 779,700 5,165,432 Tsubakimoto Kogyo Co., Ltd. 117,000 315,714 #* Tsudakoma Corp. 272,000 446,235 # Tsugami Corp. 368,000 1,849,680 Tsukishima Kikai Co., Ltd. 127,000 1,337,406 Tsurumi Manufacturing Co., Ltd. 94,000 963,018 TTK Co., Ltd. 62,000 269,579 Uchida Yoko Co., Ltd. 331,000 971,166 # Ueki Corp. 364,000 810,557 Union Tool Co. 64,700 1,487,242 Ushio, Inc. 267,800 3,382,551 Utoc Corp. 92,900 307,193 #* Wakachiku Construction Co., Ltd. 1,204,000 1,635,218 Wakita & Co., Ltd. 197,000 2,565,308 # Weathernews, Inc. 37,900 819,744 # Yahagi Construction Co., Ltd. 147,200 1,030,990 YAMABIKO Corp. 34,482 1,054,552 Yamato Corp. 82,000 298,661 Yamaura Corp. 25,000 74,502 Yamazen Corp. 305,500 1,937,327 Yasuda Warehouse Co., Ltd. (The) 100,100 1,250,045 Yokogawa Bridge Holdings Corp. 170,400 2,426,594 Yondenko Corp. 132,800 469,030 Yuasa Trading Co., Ltd. 996,000 2,011,072 Yuken Kogyo Co., Ltd. 183,000 404,041 Yurtec Corp. 256,000 831,483 Yusen Logistics Co., Ltd. 103,200 1,165,156 # Yushin Precision Equipment Co., Ltd. 29,134 590,711 ------------ Total Industrials 677,590,975 ------------ Information Technology -- (9.2%) # A&D Co., Ltd. 94,100 614,051 Ai Holdings Corp. 255,500 3,274,035 Aichi Tokei Denki Co., Ltd. 192,000 561,362 # Aiphone Co., Ltd. 84,900 1,390,495 # Allied Telesis Holdings KK 470,700 450,718 Alpha Systems, Inc. 35,560 486,449
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Information Technology -- (Continued) * Alps Electric Co., Ltd. 1,084,100 $9,513,585 Amano Corp. 351,700 3,445,665 Anritsu Corp. 500 6,556 AOI Electronic Co., Ltd. 35,200 532,728 Argo Graphics, Inc. 25,600 419,538 Arisawa Manufacturing Co., Ltd. 186,600 1,260,207 Asahi Net, Inc. 74,000 367,147 # Axell Corp. 43,600 832,774 Azbil Corp. 168,100 4,050,307 Bit-isle, Inc. 112,900 968,294 CAC Corp. 72,400 643,521 Canon Electronics, Inc. 127,100 2,375,634 Chino Corp. 165,000 385,117 CMK Corp. 263,200 758,472 Computer Engineering & Consulting, Ltd. 69,400 441,824 CONEXIO Corp. 99,100 852,484 Core Corp. 37,100 281,644 Cresco, Ltd. 23,200 180,178 Cybernet Systems Co., Ltd. 12,000 42,121 Cybozu, Inc. 1,157 337,901 # Dai-ichi Seiko Co., Ltd. 53,200 816,075 # Daishinku Corp. 193,000 730,359 Daito Electron Co., Ltd. 5,900 24,677 Daiwabo Holdings Co., Ltd. 1,152,000 2,207,672 Denki Kogyo Co., Ltd. 319,000 2,113,329 # DKK-Toa Corp. 38,200 201,040 DTS Corp. 114,800 1,965,546 Eizo Corp. 99,300 2,443,569 Elecom Co., Ltd. 43,500 617,537 # Elematec Corp. 39,871 580,521 # EM Systems Co., Ltd. 10,800 219,914 # Enplas Corp. 45,000 2,966,634 # ESPEC Corp. 123,100 958,592 Excel Co., Ltd. 36,400 432,735 # Faith, Inc. 27,910 293,714 # Ferrotec Corp. 179,000 880,015 # Fuji Electronics Co., Ltd. 55,100 755,003 Fuji Soft, Inc. 120,000 2,385,894 Fujitsu Frontech, Ltd. 77,500 636,081 # Furuno Electric Co., Ltd. 86,500 564,972 Furuya Metal Co., Ltd. 10,800 294,113 Future Architect, Inc. 114,800 671,456 GMO Payment Gateway, Inc. 11,700 386,832 # Gree, Inc. 70,200 603,756 # Gurunavi, Inc. 83,100 1,793,746 Hakuto Co., Ltd. 85,700 828,710 # Hioki EE Corp. 45,400 648,225 Hitachi Kokusai Electric, Inc. 189,500 2,545,850 Hochiki Corp. 97,000 489,528 Hokuriku Electric Industry Co., Ltd. 398,000 556,883 Horiba, Ltd. 218,850 7,996,873 Hosiden Corp. 351,400 1,920,699
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ---------- Information Technology -- (Continued) I-Net Corp/Kanagawa 47,800 $ 350,699 Icom, Inc. 49,700 1,147,331 #* Ikegami Tsushinki Co., Ltd. 268,000 290,364 Ines Corp. 202,300 1,339,841 # Infocom Corp. 73,800 650,670 Information Services International-Dentsu, Ltd. 76,700 865,614 Innotech Corp. 92,200 425,223 Internet Initiative Japan, Inc. 141,600 3,974,044 Iriso Electronics Co., Ltd. 45,400 1,789,287 IT Holdings Corp. 448,301 6,439,577 Itfor, Inc. 99,500 411,072 Iwatsu Electric Co., Ltd. 541,000 547,032 Japan Aviation Electronics Industry, Ltd. 349,600 3,519,621 Japan Digital Laboratory Co., Ltd. 117,300 1,400,018 #* Japan Radio Co., Ltd. 304,000 1,146,590 Jastec Co., Ltd. 61,400 538,059 # JBCC Holdings, Inc. 84,900 788,884 #* Justsystems Corp. 165,300 1,592,850 Kaga Electronics Co., Ltd. 116,400 1,171,150 Kanematsu Electronics, Ltd. 83,100 1,082,351 #* KLab, Inc. 128,600 1,034,267 Koa Corp. 189,200 1,778,807 Kyoden Co., Ltd. 1,300 1,880 # Kyoei Sangyo Co., Ltd. 97,000 190,823 Kyowa Electronics Instruments Co., Ltd. 56,000 245,084 LAC Co., Ltd. 61,400 380,127 # Lasertec Corp. 97,400 1,006,232 Macnica, Inc. 57,900 1,569,846 # Macromill, Inc. 211,600 1,331,199 Marubun Corp. 98,500 453,936 # Maruwa Co. Ltd/Aichi 53,800 1,953,019 Marvelous AQL, Inc. 163,400 1,008,989 Megachips Corp. 104,400 1,710,598 #* Meiko Electronics Co., Ltd. 70,200 533,963 # Melco Holdings, Inc. 77,000 1,054,668 Micronics Japan Co., Ltd. 28,000 187,157 Mimasu Semiconductor Industry Co., Ltd. 94,181 825,353 # Miraial Co., Ltd. 33,800 548,266 Miroku Jyoho Service Co., Ltd. 99,500 395,413 Mitsubishi Research Institute, Inc. 23,300 505,987 Mitsui High-Tec, Inc. 146,300 1,036,591 # Mitsui Knowledge Industry Co., Ltd. 364,300 571,176 * Mitsumi Electric Co., Ltd. 560,900 3,782,381 # MTI, Ltd. 36,800 462,772 # Mutoh Holdings Co., Ltd. 101,000 437,001 Nagano Keiki Co., Ltd. 5,500 38,301 Nakayo Telecommunications, Inc. 411,000 1,370,851 NEC Fielding, Ltd. 97,600 1,102,330 NEC Networks & System Integration Corp. 140,600 3,540,203 # NET One Systems Co., Ltd. 493,600 3,443,285 # Nichicon Corp. 302,300 3,165,944 Nidec Copal Electronics Corp. 87,400 540,195
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ---------- Information Technology -- (Continued) NIFTY Corp. 47,400 $ 617,911 # Nihon Dempa Kogyo Co., Ltd. 105,700 984,012 Nihon Unisys, Ltd. 272,875 2,433,453 # Nippon Ceramic Co., Ltd. 88,600 1,292,815 * Nippon Chemi-Con Corp. 781,000 3,529,511 Nippon Kodoshi Corp. 6,200 73,680 Nippon Systemware Co., Ltd. 27,900 117,412 Nohmi Bosai, Ltd. 135,000 1,363,425 # NS Solutions Corp. 97,800 2,229,935 NSD Co., Ltd. 202,500 2,476,688 Nuflare Technology, Inc. 15,200 2,034,983 OBIC Business Consultants, Ltd. 44,300 1,529,793 * Ohara, Inc. 47,600 296,113 Okaya Electric Industries Co., Ltd. 73,000 253,443 ONO Sokki Co., Ltd. 114,000 505,744 Optex Co., Ltd. 59,300 974,915 # Origin Electric Co., Ltd. 168,000 565,094 # Osaki Electric Co., Ltd. 173,000 1,140,528 Panasonic Industrial Devices SUNX Co., Ltd. 110,800 509,107 Panasonic Information Systems 15,700 415,880 PCA Corp. 2,500 30,505 Riken Keiki Co., Ltd. 82,300 630,526 Riso Kagaku Corp. 91,800 2,044,969 Ryoden Trading Co., Ltd. 173,000 1,183,125 Ryosan Co., Ltd. 189,600 3,671,085 Ryoyo Electro Corp. 113,200 1,037,181 # Sanken Electric Co., Ltd. 610,000 3,366,317 Sanshin Electronics Co., Ltd. 154,200 1,006,667 Satori Electric Co., Ltd. 79,080 477,782 Saxa Holdings, Inc. 307,000 495,513 Shibaura Electronics Co., Ltd. 15,900 201,529 #* Shibaura Mechatronics Corp. 199,000 496,322 Shindengen Electric Manufacturing Co., Ltd. 410,000 2,638,214 # Shinkawa, Ltd. 68,300 442,449 Shinko Electric Industries Co., Ltd. 403,000 3,592,677 Shinko Shoji Co., Ltd. 125,200 1,071,502 Shizuki Electric Co., Inc. 103,000 399,510 # Siix Corp. 87,200 1,064,149 # SMK Corp. 347,000 1,669,389 Softbank Technology Corp. 10,000 178,864 * Softbrain Co., Ltd. 7,700 10,678 Soshin Electric Co., Ltd. 4,600 17,284 # Square Enix Holdings Co., Ltd. 372,200 5,998,638 SRA Holdings 51,300 573,752 Star Micronics Co., Ltd. 221,600 2,384,594 Sumida Corp. 86,249 411,361 Sun-Wa Technos Corp. 16,500 153,681 Systena Corp. 117,600 858,278 #* Tabuchi Electric Co., Ltd. 21,000 111,652 Tachibana Eletech Co., Ltd. 63,300 725,279 # Taiyo Yuden Co., Ltd. 619,100 7,935,573 Tamura Corp. 422,000 1,109,917
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Information Technology -- (Continued) Tecmo Koei Holdings Co., Ltd. 150,730 $ 1,709,750 Teikoku Tsushin Kogyo Co., Ltd. 215,000 385,604 TKC Corp. 110,100 1,828,123 # Tokyo Electron Device, Ltd. 34,200 532,649 Tokyo Seimitsu Co., Ltd. 216,900 4,141,518 Tomen Devices Corp. 2,400 41,124 Tomen Electronics Corp. 61,000 692,184 Tose Co., Ltd. 22,100 154,275 Toshiba TEC Corp. 697,000 4,292,982 Toukei Computer Co., Ltd. 26,810 394,415 Towa Corp. 112,000 644,258 Toyo Corp. 153,600 1,713,492 Transcosmos, Inc. 137,700 2,382,664 UKC Holdings Corp. 59,800 1,192,046 * Ulvac, Inc. 238,300 2,436,880 #* Uniden Corp. 377,000 937,970 # UT Holdings Co., Ltd. 144,600 593,039 # Wellnet Corp. 31,500 448,323 Y A C Co., Ltd. 37,700 239,220 * Yamaichi Electronics Co., Ltd. 75,700 188,785 Yashima Denki Co., Ltd. 7,700 33,254 Yokowo Co., Ltd. 84,300 478,373 # Zappallas, Inc. 52,200 387,935 # Zuken, Inc. 94,600 781,333 ------------ Total Information Technology 236,643,878 ------------ Materials -- (10.5%) # Achilles Corp. 874,000 1,450,374 ADEKA Corp. 494,600 5,815,821 # Agro-Kanesho Co., Ltd. 14,000 98,600 Aichi Steel Corp. 587,000 3,008,875 Alconix Corp. 25,700 529,975 Arakawa Chemical Industries, Ltd. 79,200 795,541 # Araya Industrial Co., Ltd. 276,000 501,858 Asahi Holdings, Inc. 139,150 2,294,085 Asahi Organic Chemicals Industry Co., Ltd. 391,000 877,409 Asahi Printing Co., Ltd. 800 19,900 C Uyemura & Co., Ltd. 17,800 754,527 * Carlit Holdings Co., Ltd. 67,500 339,403 Chuetsu Pulp & Paper Co., Ltd. 568,000 920,149 #* Chugai Mining Co., Ltd. 1,012,400 351,028 Chugoku Marine Paints, Ltd. 341,000 1,947,967 Chuo Denki Kogyo Co., Ltd. 100,100 338,999 #* Co-Op Chemical Co., Ltd. 159,000 227,350 Dai Nippon Toryo Co., Ltd. 683,000 1,158,791 Dai-Ichi Kogyo Seiyaku Co., Ltd. 197,000 487,265 Daiichi Kigenso Kagaku-Kogyo Co., Ltd. 8,200 249,291 Daiken Corp. 401,000 1,092,089 Daiki Aluminium Industry Co., Ltd. 142,000 399,763 Dainichiseika Color & Chemicals Manufacturing Co., Ltd. 376,000 1,564,016 # Daio Paper Corp. 526,500 3,898,060 Daiso Co., Ltd. 411,000 1,247,391
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Materials -- (Continued) # DC Co., Ltd. 113,900 $ 834,085 Denki Kagaku Kogyo KK 387,000 1,622,976 Dynapac Co., Ltd. 25,000 61,573 # Earth Chemical Co., Ltd. 42,600 1,582,413 # FP Corp. 68,000 5,254,380 Fuji Seal International, Inc. 121,900 3,678,392 Fujikura Kasei Co., Ltd. 138,000 752,562 Fujimi, Inc. 108,700 1,460,435 Fujimori Kogyo Co., Ltd. 69,200 2,059,778 # Fumakilla, Ltd. 45,000 131,543 Fuso Chemical Co., Ltd. 2,900 72,447 Godo Steel, Ltd. 899,000 1,652,726 # Gun-Ei Chemical Industry Co., Ltd. 276,000 1,366,043 Harima Chemicals Group, Inc. 73,300 363,297 # Hodogaya Chemical Co., Ltd. 289,000 595,809 Hokkan Holdings, Ltd. 283,000 894,425 Hokko Chemical Industry Co., Ltd. 90,000 272,408 # Hokuetsu Kishu Paper Co., Ltd. 862,199 4,017,271 Honshu Chemical Industry Co., Ltd. 14,000 86,422 # Ihara Chemical Industry Co., Ltd. 211,000 1,586,251 Ise Chemical Corp. 83,000 717,374 * Ishihara Sangyo Kaisha, Ltd. 1,854,500 1,720,060 # Ishizuka Glass Co., Ltd. 119,000 451,824 JCU Corp. 11,900 487,930 JSP Corp. 103,900 1,652,727 #* Kanto Denka Kogyo Co., Ltd. 91,000 194,449 Katakura Chikkarin Co., Ltd. 43,000 119,790 Kawakin Holdings Co., Ltd. 11,000 31,350 Kawasaki Kasei Chemicals, Ltd. 84,000 110,358 Koatsu Gas Kogyo Co., Ltd. 163,493 908,961 Kogi Corp. 30,000 60,837 Kohsoku Corp. 61,900 591,411 Konishi Co., Ltd. 87,400 1,761,489 Krosaki Harima Corp. 260,000 644,366 # Kumiai Chemical Industry Co., Ltd. 271,000 2,011,654 Kureha Corp. 736,500 2,840,306 Kurimoto, Ltd. 702,000 2,000,727 # Kyoei Steel, Ltd. 95,200 1,970,069 Kyowa Leather Cloth Co., Ltd. 71,700 327,156 Lintec Corp. 264,300 5,481,745 MEC Co., Ltd. 76,500 324,894 Mitani Sekisan Co., Ltd. 17,000 269,016 #* Mitsubishi Paper Mills, Ltd. 1,542,000 1,398,277 Mitsubishi Steel Manufacturing Co., Ltd. 743,000 2,108,950 Mitsui Mining & Smelting Co., Ltd. 3,353,000 8,547,456 # MORESCO Corp. 12,300 198,016 Mory Industries, Inc. 156,000 656,922 * Nakayama Steel Works, Ltd. 422,000 483,672 Neturen Co., Ltd. 154,500 1,362,729 #* New Japan Chemical Co., Ltd. 182,300 564,255 Nichia Steel Works, Ltd. 175,900 643,390 Nihon Kagaku Sangyo Co., Ltd. 78,000 551,013
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Materials -- (Continued) Nihon Nohyaku Co., Ltd. 252,000 $3,020,517 Nihon Parkerizing Co., Ltd. 271,000 5,294,000 Nihon Yamamura Glass Co., Ltd. 491,000 904,653 # Nippon Carbide Industries Co., Inc. 369,000 1,206,166 #* Nippon Chemical Industrial Co., Ltd. 491,000 826,784 Nippon Chutetsukan KK 113,000 282,531 Nippon Coke & Engineering Co., Ltd. 1,410,500 1,787,337 # Nippon Concrete Industries Co., Ltd. 180,000 1,008,361 # Nippon Denko Co., Ltd. 514,000 1,496,914 Nippon Fine Chemical Co., Ltd. 85,600 560,211 # Nippon Kasei Chemical Co., Ltd. 183,000 266,769 #* Nippon Kinzoku Co., Ltd. 264,000 366,298 #* Nippon Koshuha Steel Co., Ltd. 458,000 503,797 Nippon Light Metal Holdings Co., Ltd. 3,010,700 4,310,639 # Nippon Paper Industries Co., Ltd. 174,000 2,772,513 Nippon Pillar Packing Co., Ltd. 113,000 775,201 Nippon Soda Co., Ltd. 785,000 4,809,234 Nippon Synthetic Chemical Industry Co., Ltd. (The) 289,000 2,786,331 # Nippon Valqua Industries, Ltd. 465,000 1,302,813 #* Nippon Yakin Kogyo Co., Ltd. 2,000 6,627 Nisshin Steel Holdings Co., Ltd. 453,992 6,053,499 Nittetsu Mining Co., Ltd. 375,000 2,151,813 # Nitto FC Co., Ltd. 72,000 436,418 NOF Corp. 833,000 5,792,184 Okamoto Industries, Inc. 414,000 1,320,144 Okura Industrial Co., Ltd. 305,000 1,080,539 Osaka Organic Chemical Industry, Ltd. 66,000 302,151 Osaka Steel Co., Ltd. 77,700 1,486,869 # OSAKA Titanium Technologies Co. 91,200 1,990,363 # Pacific Metals Co., Ltd. 823,000 3,015,879 Pack Corp. (The) 75,200 1,441,692 #* Rasa Industries, Ltd. 430,000 945,568 Rengo Co., Ltd. 1,219,000 6,519,768 Riken Technos Corp. 203,000 910,234 Sakai Chemical Industry Co., Ltd. 535,000 1,772,130 Sakata INX Corp. 242,000 2,296,865 Sanyo Chemical Industries, Ltd. 347,000 2,388,109 Sanyo Special Steel Co., Ltd. 592,300 3,194,041 Seiko PMC Corp. 13,500 66,179 Sekisui Plastics Co., Ltd. 235,000 664,450 Shikoku Chemicals Corp. 239,000 1,739,994 Shin-Etsu Polymer Co., Ltd. 249,100 876,193 Shinagawa Refractories Co., Ltd. 246,000 536,887 Shinko Wire Co., Ltd. 184,000 369,004 # Stella Chemifa Corp. 53,600 990,544 Sumitomo Bakelite Co., Ltd. 1,106,000 3,988,076 Sumitomo Osaka Cement Co., Ltd. 2,274,000 9,175,091 # Sumitomo Seika Chemicals Co., Ltd. 259,000 1,657,281 T Hasegawa Co., Ltd. 122,900 1,739,634 T&K Toka Co., Ltd. 34,100 725,457 Taisei Lamick Co., Ltd. 27,600 701,590 Taiyo Holdings Co., Ltd. 86,400 2,609,415
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Materials -- (Continued) Takasago International Corp. 433,000 $ 2,407,307 Takiron Co., Ltd. 304,000 1,293,605 * Tanaka Chemical Corp. 1,100 5,305 # Tayca Corp. 159,000 482,737 Tenma Corp. 87,000 1,126,997 Toagosei Co., Ltd. 1,252,000 5,677,446 # Toda Kogyo Corp. 220,000 670,820 # Toho Titanium Co., Ltd. 132,500 1,053,032 Toho Zinc Co., Ltd. 741,000 2,233,215 # Tokai Carbon Co., Ltd. 1,202,000 4,132,463 Tokushu Tokai Paper Co., Ltd. 551,580 1,134,427 Tokuyama Corp. 1,979,000 7,654,790 Tokyo Ohka Kogyo Co., Ltd. 180,800 3,994,015 #* Tokyo Rope Manufacturing Co., Ltd. 146,000 254,846 #* Tokyo Steel Manufacturing Co., Ltd. 654,900 3,519,067 Tokyo Tekko Co., Ltd. 232,000 997,253 Tomoegawa Co., Ltd. 125,000 225,613 Tomoku Co., Ltd. 320,000 1,021,497 Topy Industries, Ltd. 1,102,000 2,415,474 # Tosoh Corp. 27,000 103,320 Toyo Ink SC Holdings Co., Ltd. 1,076,000 5,485,367 Toyo Kohan Co., Ltd. 286,000 1,301,030 Toyobo Co., Ltd. 4,867,000 9,352,621 TYK Corp. 138,000 346,126 UACJ Corp. 1,263,415 4,155,278 Ube Industries, Ltd. 316,400 654,914 Wood One Co., Ltd. 169,000 478,378 Yodogawa Steel Works, Ltd. 786,500 3,557,870 Yuki Gosei Kogyo Co., Ltd. 64,000 192,263 Yushiro Chemical Industry Co., Ltd. 60,000 545,812 ------------ Total Materials 269,605,581 ------------ Telecommunication Services -- (0.0%) * Japan Communications, Inc. 244 14,533 Okinawa Cellular Telephone Co. 35,800 880,691 ------------ Total Telecommunication Services 895,224 ------------ Utilities -- (0.4%) # Hokkaido Gas Co., Ltd. 265,000 716,649 Hokuriku Gas Co., Ltd. 99,000 254,736 Okinawa Electric Power Co., Inc. (The) 93,671 3,254,946 Saibu Gas Co., Ltd. 1,628,000 4,047,541
THE JAPANESE SMALL COMPANY SERIES CONTINUED
Shares Value++ ----------- -------------- Utilities -- (Continued) Shizuoka Gas Co., Ltd. 307,000 $ 2,033,101 -------------- Total Utilities 10,306,973 -------------- TOTAL COMMON STOCKS 2,265,423,225 -------------- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (11.7%) (S)@ DFA Short Term Investment Fund 25,929,127 300,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $474,360 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $428,972) to be repurchased at $420,562 $ 421 420,561 -------------- TOTAL SECURITIES LENDING COLLATERAL 300,420,561 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,358,439,958) $2,565,843,786 ==============
THE ASIA PACIFIC SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ --------- ----------- COMMON STOCKS -- (81.3%) AUSTRALIA -- (40.8%) * AAT Corp., Ltd. 9,992 $ -- * ABM Resources NL 4,344,904 106,126 Adelaide Brighton, Ltd. 1,822,054 6,631,679 #* Aditya Birla Minerals, Ltd. 884,599 284,435 * AED Oil, Ltd. 363,401 -- Ainsworth Game Technology, Ltd. 381,562 1,571,677 #* AJ Lucas Group, Ltd. 317,969 359,709 * Alchemia, Ltd. 459,735 228,263 * Alcyone Resources, Ltd. 4,280,423 12,109 #* Alkane Resources, Ltd. 1,255,636 460,770 * Alliance Resources, Ltd. 399,488 50,859 # Altium, Ltd. 15,392 36,762 * Altona Mining, Ltd. 1,108,169 166,830 AMA Group, Ltd. 15,236 5,462 Amalgamated Holdings, Ltd. 462,896 3,549,147 Amcom Telecommunications, Ltd. 1,124,392 2,201,247 # Ansell, Ltd. 414,608 7,641,753 #* Antares Energy, Ltd. 1,044,143 477,474 AP Eagers, Ltd. 235,789 1,048,710 #* APN News & Media, Ltd. 2,462,431 1,081,250 #* Aquarius Platinum, Ltd. 1,647,462 1,078,215 #* Aquila Resources, Ltd. 401,161 855,771 * Arafura Resources, Ltd. 1,004,551 89,829 # ARB Corp., Ltd. 351,804 3,873,206 Aristocrat Leisure, Ltd. 2,580,305 12,320,792 Arrium, Ltd. 7,583,001 9,907,713 #* ASG Group, Ltd. 642,515 246,405 * Atlantic, Ltd. 96,276 17,183 # Atlas Iron, Ltd. 4,589,842 4,472,996 #* Aurora Oil & Gas, Ltd. 2,256,634 6,929,410 # Ausdrill, Ltd. 1,626,896 2,350,713 # Ausenco, Ltd. 520,273 809,050 #* Austal, Ltd. 1,105,762 788,497 # Austbrokers Holdings, Ltd. 186,297 2,166,266 # Austin Engineering, Ltd. 243,521 909,682 * Austpac Resources NL 1,539,067 46,368 #* Australian Agricultural Co., Ltd. 2,023,357 2,152,094 # Australian Infrastructure Fund 3,606,473 23,806 Australian Pharmaceutical Industries, Ltd. 2,452,401 1,495,719 Australian Vintage, Ltd. 4,096,187 1,723,477 # Automotive Holdings Group, Ltd. 871,968 2,993,303 * Avanco Resources, Ltd. 2,444,368 149,977 #* AVJennings, Ltd. 7,259,050 4,186,050 * AWE, Ltd. 2,810,321 3,315,709 #* Bandanna Energy, Ltd. 452,591 89,379 BC Iron, Ltd. 480,178 2,234,443 Beach Energy, Ltd. 7,442,568 10,052,661 Bega Cheese, Ltd. 18,783 78,302 * Berkeley Resources, Ltd. 434,006 107,080 Beyond International, Ltd. 61,256 114,453 #* Billabong International, Ltd. 2,120,641 789,142
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- AUSTRALIA -- (Continued) #* Bionomics, Ltd. 307,673 $ 204,142 Bisalloy Steel Group, Ltd. 53,237 46,376 # Blackmores, Ltd. 78,760 1,687,481 #* Blackthorn Resources, Ltd. 224,195 52,705 * BlueScope Steel, Ltd. 2,365,706 11,158,750 # Boart Longyear, Ltd. 2,638,658 1,069,456 * Boom Logistics, Ltd. 812,985 142,326 * Boulder Steel, Ltd. 165,585 2,504 # Bradken, Ltd. 1,201,799 7,089,963 Breville Group, Ltd. 609,977 4,639,332 Brickworks, Ltd. 141,459 1,910,301 BSA, Ltd. 375,573 46,395 BT Investment Management, Ltd. 265,218 1,252,733 * Buccaneer Energy, Ltd. 4,354,425 185,724 #* Buru Energy, Ltd. 466,308 733,465 # Cabcharge Australia, Ltd. 624,501 2,381,921 Calliden Group, Ltd. 389,687 134,959 * Cape Lambert Resources, Ltd. 373,413 45,724 * Capral, Ltd. 58,499 11,051 # Cardno, Ltd. 618,834 4,141,819 #* Carnarvon Petroleum, Ltd. 4,944,854 345,559 * Carnegie Wave Energy, Ltd. 263,165 13,454 # carsales.com, Ltd. 1,220,399 12,118,987 # Cash Converters International, Ltd. 1,725,031 1,550,461 * CDS Technologies, Ltd. 13,276 -- # Cedar Woods Properties, Ltd. 237,702 1,556,405 * Centaurus Metals, Ltd. 62,645 13,008 #* Central Petroleum, Ltd. 236,410 87,388 * Centrebet International, Ltd. Claim Units 81,336 -- * Ceramic Fuel Cells, Ltd. 3,660,727 124,748 # Chalice Gold Mines, Ltd. 320,684 48,464 Challenger, Ltd. 198,545 1,126,357 # Chandler Macleod Group, Ltd. 401,892 180,450 * ChemGenex Pharmaceuticals, Ltd. 115,291 -- #* Citigold Corp., Ltd. 3,765,806 173,026 * Clinuvel Pharmaceuticals, Ltd. 106,846 156,540 # Clough, Ltd. 1,569,739 2,154,631 Clover Corp., Ltd. 434,207 196,800 #* Coal of Africa, Ltd. 668,800 86,618 #* Coalspur Mines, Ltd. 1,239,823 223,072 Cockatoo Coal, Ltd.() 4,039,857 217,641 #* Cockatoo Coal, Ltd.(B0PB4N8) 2,891,788 156,767 # Codan, Ltd. 389,586 645,155 * Coffey International, Ltd. 1,048,636 242,481 # Collection House, Ltd. 1,912,452 3,109,732 # Collins Foods, Ltd. 220,087 348,607 * Comet Ridge, Ltd. 15,204 2,724 * Cooper Energy, Ltd. 336,842 136,810 Coventry Group, Ltd. 144,778 392,894 Credit Corp. Group, Ltd. 110,382 1,032,484 Crowe Horwath Australasia, Ltd. 1,245,672 737,285 # CSG, Ltd. 740,785 683,865
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ----------- AUSTRALIA -- (Continued) CSR, Ltd. 2,829,296 $ 6,679,778 CTI Logistics, Ltd. 7,200 13,570 #* Cudeco, Ltd. 399,317 755,526 #* Cue Energy Resources, Ltd. 1,378,665 169,458 # Data#3, Ltd. 378,295 414,836 # David Jones, Ltd. 3,241,419 8,330,548 # Decmil Group, Ltd. 728,820 1,742,160 #* Deep Yellow, Ltd. 1,039,981 19,535 #* Devine, Ltd. 497,498 471,285 #* Discovery Metals, Ltd. 1,368,337 86,650 # Domino's Pizza Enterprises, Ltd. 19,032 280,733 Downer EDI, Ltd. 2,414,160 11,216,171 * Dragon Mining, Ltd. 121,430 22,975 #* Drillsearch Energy, Ltd. 1,996,042 2,444,441 DUET Group 574,404 1,165,984 DuluxGroup, Ltd. 2,317,895 11,287,494 # DWS, Ltd. 382,927 535,160 # Echo Entertainment Group, Ltd. 1,349,940 3,388,112 * EHG Corp., Ltd. 482 -- #* Elders, Ltd. 1,419,921 153,984 * Elemental Minerals, Ltd. 388,188 175,709 Emeco Holdings, Ltd. 3,418,670 1,112,329 * Empire Oil & Gas NL 922,161 13,016 * Energy Resources of Australia, Ltd. 819,847 992,250 #* Energy World Corp., Ltd. 4,181,155 1,718,595 Envestra, Ltd. 6,189,006 6,576,924 #* Equatorial Resources, Ltd. 176,571 115,425 ERM Power, Ltd. 27,109 72,976 Ethane Pipeline Income Fund 166,602 280,142 Euroz, Ltd. 90,019 99,761 # Evolution Mining, Ltd. 1,832,000 1,447,725 # Fairfax Media, Ltd. 11,005,131 6,283,630 # Fantastic Holdings, Ltd. 335,900 709,988 #* FAR, Ltd. 8,567,778 315,556 # Finbar Group, Ltd. 111,165 165,039 * Finders Resources, Ltd. 7,442 1,406 FKP Property Group(6349699) 479,575 841,775 FKP Property Group(BG49KV5) 311,066 549,788 # Fleetwood Corp., Ltd. 369,568 1,178,200 FlexiGroup, Ltd. 620,491 2,761,329 * Flinders Mines, Ltd. 6,909,293 260,586 #* Focus Minerals, Ltd. 19,167,915 234,754 Forge Group, Ltd. 411,374 1,711,386 Funtastic, Ltd. 14,936 2,332 G8 Education, Ltd. 469,718 1,375,258 #* Galaxy Resources, Ltd. 760,450 42,591 Gazal Corp., Ltd. 75,960 209,660 * Geodynamics, Ltd. 1,015,653 86,662 #* Gindalbie Metals, Ltd. 2,927,610 359,584 Global Construction Services, Ltd. 4,832 2,669 Goodman Fielder, Ltd. 9,960,250 7,158,645 GrainCorp, Ltd. Class A 828,668 9,661,614
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- AUSTRALIA -- (Continued) # Grange Resources, Ltd. 1,397,864 $ 283,997 Greencross, Ltd. 7,711 47,766 #* Greenland Minerals & Energy, Ltd. 796,390 226,622 #* Gryphon Minerals, Ltd. 1,931,531 279,116 # GUD Holdings, Ltd. 521,492 2,922,178 * Gujarat NRE Coking Coal, Ltd. 119,865 7,862 #* Gunns, Ltd. 2,872,620 -- # GWA Group, Ltd. 1,383,060 4,051,957 Hansen Technologies, Ltd. 5,702 5,930 * Havilah Resources NL 132,053 34,950 # HFA Holdings, Ltd. 235,865 165,893 HGL, Ltd. 42,287 22,282 #* Highlands Pacific, Ltd. 2,651,500 152,579 * Hillgrove Resources, Ltd. 1,477,188 125,350 Hills Holdings, Ltd. 1,160,294 2,004,717 #* Horizon Oil, Ltd. 6,144,549 1,913,822 * Icon Energy, Ltd. 1,135,301 160,871 * IDM International, Ltd. 23,969 884 iiNET, Ltd. 756,542 4,653,983 # Imdex, Ltd. 1,175,904 799,848 IMF Australia, Ltd. 350,860 609,480 Independence Group NL 1,183,046 4,409,083 * Indophil Resources NL 3,118,946 455,983 #* Infigen Energy 2,081,316 511,854 # Infomedia, Ltd. 1,458,074 827,631 Integrated Research, Ltd. 336,657 291,284 #* Intrepid Mines, Ltd. 1,794,707 481,979 # Invocare, Ltd. 638,866 6,616,861 IOOF Holdings, Ltd. 1,239,793 10,543,213 # Iress, Ltd. 767,110 7,158,910 #* Iron Ore Holdings, Ltd. 336,216 292,878 #* Ivanhoe Australia, Ltd. 516,032 107,062 # JB Hi-Fi, Ltd. 639,044 13,169,341 Jumbo Interactive, Ltd. 79,818 182,289 #* Jupiter Mines, Ltd. 405,443 21,413 # K&S Corp., Ltd. 241,533 394,354 #* Kagara, Ltd. 1,945,393 220,643 * Kangaroo Resources, Ltd. 1,767,709 26,567 * Karoon Gas Australia, Ltd. 759,802 3,183,316 * Kasbah Resources, Ltd. 272,396 38,745 # Kingsgate Consolidated, Ltd. 796,949 1,071,101 #* Kingsrose Mining, Ltd. 760,046 275,162 * Lednium, Ltd. 195,019 -- #* Linc Energy, Ltd. 1,982,517 2,687,179 * Liquefied Natural Gas, Ltd. 366,175 115,654 LogiCamms, Ltd. 32,268 56,733 Lonestar Resources, Ltd. 819,137 213,013 # Lycopodium, Ltd. 80,228 372,095 # M2 Telecommunications Group, Ltd. 734,710 4,401,880 MACA, Ltd. 422,969 1,004,300 * Macmahon Holdings, Ltd. 6,319,933 896,769 Macquarie Atlas Roads Group 398,554 997,800
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- AUSTRALIA -- (Continued) # Macquarie Telecom Group, Ltd. 35,019 $ 279,612 Mastermyne Group, Ltd. 8,431 7,924 #* Matrix Composites & Engineering, Ltd. 167,126 107,253 #* Maverick Drilling & Exploration, Ltd. 518,714 250,443 # MaxiTRANS Industries, Ltd. 942,578 979,718 * Mayne Pharma Group, Ltd. 1,659,994 1,114,998 # McMillan Shakespeare, Ltd. 84,672 1,033,930 McPherson's, Ltd. 399,740 509,481 #* Medusa Mining, Ltd. 989,037 1,752,332 Melbourne IT, Ltd. 442,110 673,770 * MEO Australia, Ltd. 681,039 43,794 Mermaid Marine Australia, Ltd. 1,249,422 4,426,314 #* Mesoblast, Ltd. 99,585 620,319 * Metals X, Ltd. 513,853 77,457 * Metgasco, Ltd. 641,952 79,160 * Metminco, Ltd. 803,323 31,188 * MHM Metals, Ltd. 117,605 10,103 # Miclyn Express Offshore, Ltd. 669,144 1,326,873 # Mincor Resources NL 1,004,969 535,856 #* Mineral Deposits, Ltd. 375,518 1,109,002 # Mineral Resources, Ltd. 756,386 8,087,153 #* Mirabela Nickel, Ltd. 2,820,238 42,649 #* Molopo Energy, Ltd. 1,186,993 235,432 # Monadelphous Group, Ltd. 491,743 8,437,605 * Morning Star Gold NL 332,749 34,595 # Mortgage Choice, Ltd. 661,501 1,864,568 Mount Gibson Iron, Ltd. 3,718,184 3,118,707 # Myer Holdings, Ltd. 3,564,925 8,425,293 # MyState, Ltd. 153,682 719,217 #* Nanosonics, Ltd. 152,184 125,013 * National Energy Holdings, Ltd. 1,996 -- Navitas, Ltd. 1,192,373 6,531,773 #* Neon Energy, Ltd. 2,710,006 742,137 #* Newsat, Ltd. 664,971 301,847 #* Nexus Energy, Ltd. 6,106,883 449,950 # NIB Holdings, Ltd. 1,999,582 4,538,018 * Nido Petroleum, Ltd. 6,093,154 247,151 #* Noble Mineral Resources, Ltd. 405,717 3,451 #* Northern Iron, Ltd. 692,729 185,659 # Northern Star Resources, Ltd. 2,288,350 1,899,416 # NRW Holdings, Ltd. 1,589,102 2,098,258 * NuCoal Resources, Ltd. 429,538 32,239 # Nufarm, Ltd. 981,136 4,524,568 # Oakton, Ltd. 394,790 658,625 * OM Holdings, Ltd. 29,193 8,834 * OPUS Group, Ltd. 36,822 1,913 #* Orocobre, Ltd. 257,530 581,143 # OrotonGroup, Ltd. 119,625 607,208 #* Otto Energy, Ltd. 1,936,175 200,908 # OZ Minerals, Ltd. 1,655,291 5,642,126 # Pacific Brands, Ltd. 5,010,190 3,337,057 #* Paladin Energy, Ltd. 4,560,023 1,801,390
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- AUSTRALIA -- (Continued) * Pan Pacific Petroleum NL 1,094,343 $ 119,098 PanAust, Ltd. 2,083,184 3,953,382 * Pancontinental Oil & Gas NL 1,006,891 59,861 # Panoramic Resources, Ltd. 1,014,830 312,180 #* PaperlinX, Ltd. 2,814,406 140,926 Patties Foods, Ltd. 42,099 55,276 * Peak Resources, Ltd. 177,789 16,352 #* Peet, Ltd. 1,471,836 1,947,550 * Peninsula Energy, Ltd. 5,178,834 112,438 * Perilya, Ltd. 1,482,070 476,483 # Perpetual, Ltd. 234,074 10,190,785 #* Perseus Mining, Ltd. 1,772,366 723,287 #* Pharmaxis, Ltd. 825,833 97,601 * Phosphagenics, Ltd. 1,842,963 235,112 #* Platinum Australia, Ltd. 1,442,661 39,733 * Pluton Resources, Ltd. 385,090 25,584 * PMP, Ltd. 2,395,607 913,608 * Poseidon Nickel, Ltd. 436,181 40,695 Premier Investments, Ltd. 488,664 3,682,647 #* Prima Biomed, Ltd. 2,194,242 78,582 Primary Health Care, Ltd. 1,709,571 7,975,871 # Prime Media Group, Ltd. 1,777,139 1,695,007 PrimeAg Australia, Ltd. 271,248 113,367 Programmed Maintenance Services, Ltd. 626,706 1,633,237 #* QRxPharma, Ltd. 167,593 109,546 #* Quickstep Holdings, Ltd. 462,355 106,750 #* Ramelius Resources, Ltd. 1,512,836 191,229 #* Range Resources, Ltd. 1,456,711 42,782 RCG Corp., Ltd. 60,936 42,614 # RCR Tomlinson, Ltd. 1,056,974 3,542,535 # REA Group, Ltd. 133,312 5,232,204 # Reckon, Ltd. 288,752 626,260 * Red 5, Ltd. 9,022 4,136 #* Red Fork Energy, Ltd. 2,401,965 1,086,469 Redflex Holdings, Ltd. 377,855 434,788 # Reece Australia, Ltd. 238,257 6,301,473 * Reed Resources, Ltd. 432,070 8,974 # Regis Resources, Ltd. 1,462,905 4,766,643 # Reject Shop, Ltd. (The) 174,449 2,943,487 Resolute Mining, Ltd. 3,180,514 1,925,362 * Resource Equipment, Ltd. 118,411 19,607 #* Resource Generation, Ltd. 338,381 73,736 Retail Food Group, Ltd.() 32,571 134,220 # Retail Food Group, Ltd.(B15SCH6) 330,456 1,362,242 #* Rex Minerals, Ltd. 469,315 219,975 # Ridley Corp., Ltd. 1,296,000 1,045,952 * RiverCity Motorway Group 1,563,354 -- * Robust Resources, Ltd. 50,108 16,152 * Roc Oil Co., Ltd. 6,490,268 2,968,868 RungePincockMinarco, Ltd. 30,702 18,132 # Ruralco Holdings, Ltd. 96,796 293,283 # SAI Global, Ltd. 1,312,124 5,099,117
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- AUSTRALIA -- (Continued) Salmat, Ltd. 664,807 $ 1,338,901 #* Samson Oil & Gas, Ltd. 7,175,499 171,800 * Sandfire Resources NL 61,042 375,047 #* Santana Minerals, Ltd. 196,104 21,243 * Saracen Mineral Holdings, Ltd. 2,686,129 592,565 Schaffer Corp., Ltd. 33,766 172,821 # Sedgman, Ltd. 452,719 368,326 # Select Harvests, Ltd. 325,063 1,292,363 * Senex Energy, Ltd. 4,952,945 3,882,173 # Servcorp, Ltd. 301,327 1,143,206 # Service Stream, Ltd. 1,432,710 310,558 # Seven Group Holdings, Ltd. 57,659 454,163 # Seven West Media, Ltd. 2,360,983 5,625,293 Sigma Pharmaceuticals, Ltd. 6,163,437 3,322,338 * Sihayo Gold, Ltd. 574,042 18,248 #* Silex Systems, Ltd. 511,695 1,160,055 Silver Chef, Ltd. 50,018 387,373 #* Silver Lake Resources, Ltd. 1,794,629 1,293,382 #* Sims Metal Management, Ltd. 863,295 8,177,344 # Sirtex Medical, Ltd. 221,537 2,599,494 # Skilled Group, Ltd. 1,014,268 3,389,455 Slater & Gordon, Ltd. 193,115 706,666 # SMS Management & Technology, Ltd. 517,037 2,250,370 Southern Cross Electrical Engineering, Ltd. 21,171 21,034 Southern Cross Media Group, Ltd. 2,968,375 5,297,105 Spark Infrastructure Group 4,143,888 6,637,154 # Specialty Fashion Group, Ltd. 809,557 680,676 #* St Barbara, Ltd. 2,014,732 904,931 #* Starpharma Holdings, Ltd. 384,306 322,719 #* Straits Resources, Ltd. 917,602 7,751 * Strike Energy, Ltd. 1,315,724 118,093 Structural Systems, Ltd. 29,934 14,245 STW Communications Group, Ltd. 1,672,545 2,515,899 #* Sundance Energy Australia, Ltd. 1,575,618 1,685,425 #* Sundance Resources, Ltd. 8,756,539 867,640 Sunland Group, Ltd. 741,191 1,121,562 # Super Retail Group, Ltd. 1,291,875 16,364,147 Swick Mining Services, Ltd. 106,166 33,658 Tabcorp Holdings, Ltd. 609,316 2,072,451 * Talon Petroleum, Ltd. 12,647 504 #* Tanami Gold NL 987,316 47,673 * Tap Oil, Ltd. 1,450,696 746,535 Tassal Group, Ltd. 652,338 1,917,512 Technology One, Ltd. 1,322,653 2,535,605 #* Ten Network Holdings, Ltd. 9,497,468 2,517,370 # TFS Corp., Ltd. 1,393,854 989,451 # Thorn Group, Ltd. 390,102 944,593 #* Tiger Resources, Ltd. 3,098,111 1,156,631 * Toro Energy, Ltd. 70,156 5,498 Tox Free Solutions, Ltd. 677,565 2,112,823 # TPG Telecom, Ltd. 1,484,123 6,542,913 # Transfield Services, Ltd. 2,545,661 3,210,746
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ------------ AUSTRALIA -- (Continued) * Transpacific Industries Group, Ltd. 5,521,841 $ 5,976,366 # Treasury Group, Ltd. 21,218 184,432 #* Troy Resources, Ltd. 599,011 754,991 Trust Co., Ltd. (The) 89,605 706,764 # UGL, Ltd. 995,514 6,923,273 * Unity Mining, Ltd. 2,433,889 139,990 UXC, Ltd. 1,414,789 1,275,643 * Venture Minerals, Ltd. 412,390 70,272 * Villa World, Ltd. 79,120 132,643 Village Roadshow, Ltd. 855,994 5,686,302 #* Virgin Australia Holdings, Ltd. 7,648,897 3,003,038 * Virgin Australia Holdings, Ltd. (B7L5734) 7,648,897 7 * Vision Eye Institute, Ltd. 362,756 248,628 # Vocus Communications, Ltd. 122,731 301,746 Warrnambool Cheese & Butter Factory Co. Holding, Ltd. 3,311 25,952 * Watpac, Ltd. 718,644 670,081 WDS, Ltd. 375,342 298,085 # Webjet, Ltd. 390,881 1,163,508 Webster, Ltd. 180,921 162,685 # Western Areas, Ltd. 877,540 2,315,597 #* Western Desert Resources, Ltd. 241,493 165,384 #* White Energy Co., Ltd. 643,913 127,841 #* Whitehaven Coal, Ltd. 1,405,909 2,153,556 # Wide Bay Australia, Ltd. 84,697 469,217 #* Windimurra Vanadium, Ltd. 67,179 -- # Wotif.com Holdings, Ltd. 694,411 2,913,417 #* YTC Resources, Ltd. 104,200 25,077 ------------ TOTAL AUSTRALIA 632,321,027 ------------ BERMUDA -- (0.0%) * Playmates Toys, Ltd. 12,000 4,364 ------------ CAYMAN ISLANDS -- (0.0%) * Cw Group Holdings, Ltd. 46,000 11,453 Ka Shui International Holdings, Ltd. 34,000 11,100 ------------ TOTAL CAYMAN ISLANDS 22,553 ------------ CHINA -- (0.1%) Active Group Holdings, Ltd. 184,000 19,710 Century Sunshine Group Holdings, Ltd. 390,916 38,885 * China Resources and Transportation Group, Ltd. 500,000 28,970 * China WindPower Group, Ltd. 2,307,368 93,721 * Skyfame Realty Holdings, Ltd. 2,501,625 174,506 #* Sound Global, Ltd. 1,432,000 804,350 * Superb Summit International Group, Ltd. 21,451,600 940,666 ------------ TOTAL CHINA 2,100,808 ------------ HONG KONG -- (22.5%) Aeon Credit Service Asia Co., Ltd. 580,000 516,062 # Aeon Stores Hong Kong Co., Ltd. 248,000 374,382 Alco Holdings, Ltd. 1,426,000 303,590 Allan International Holdings 720,000 229,081
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ---------- HONG KONG -- (Continued) Allied Group, Ltd. 683,200 $2,555,501 Allied Overseas, Ltd. 50,000 54,688 Allied Properties HK, Ltd. 12,297,857 2,030,344 * Anxian Yuan China Holdings, Ltd. 1,960,000 49,267 * Apac Resources, Ltd. 12,780,000 248,977 APT Satellite Holdings, Ltd. 1,784,000 1,937,904 Arts Optical International Hldgs 730,000 181,106 Asia Financial Holdings, Ltd. 2,474,908 1,040,197 Asia Satellite Telecommunications Holdings, Ltd. 962,000 3,733,770 Asia Standard Hotel 11,777,218 1,200,544 Asia Standard International Group 13,425,937 3,045,142 # Associated International Hotels, Ltd. 980,000 2,883,926 Aupu Group Holding Co., Ltd. 2,504,000 277,713 * Bel Global Resources Holdings, Ltd. 2,576,000 -- * Birmingham International Holdings, Ltd. 6,502,000 -- Bonjour Holdings, Ltd. 10,366,000 2,243,226 Bossini International Hldg 3,807,500 228,298 #* Brightoil Petroleum Holdings, Ltd. 8,759,000 1,502,327 #* Brockman Mining, Ltd. 23,482,814 1,243,123 * Burwill Holdings, Ltd. 8,888,960 389,548 Cafe de Coral Holdings, Ltd. 1,352,000 4,648,777 Century City International Holdings, Ltd. 6,419,460 488,518 Champion Technology Holdings, Ltd. 14,881,730 309,426 * Chaoyue Group, Ltd. 1,095,000 53,644 Chen Hsong Holdings 1,212,000 382,789 Cheuk Nang Holdings, Ltd. 589,036 530,709 * Cheung Wo International Holdings, Ltd. 690,000 73,764 Chevalier International Holdings, Ltd. 751,318 1,321,336 * China Billion Resources, Ltd. 4,876,000 -- * China Daye Non-Ferrous Metals Mining, Ltd. 9,145,837 239,506 * China Digicontent Co., Ltd. 2,710,000 -- China Electronics Corp. Holdings Co., Ltd. 3,608,250 703,145 * China Energy Development Holdings, Ltd. 24,320,000 282,762 * China Environmental Investment Holdings, Ltd. 7,470,000 232,098 China Financial Services Holdings, Ltd. 954,000 79,992 * China Flavors & Fragrances Co., Ltd. 156,137 23,888 * China Gamma Group, Ltd. 3,975,000 70,934 * China Infrastructure Investment, Ltd. 7,776,000 153,116 China Metal International Holdings, Inc. 2,710,000 761,328 # China Motor Bus Co., Ltd. 50,000 432,061 * China Nuclear Industry 23 International Corp., Ltd. 946,000 136,549 * China Oriental Culture Group, Ltd. 144,000 5,653 * China Outdoor Media Group, Ltd. 7,765,000 44,011 * China Renji Medical Group, Ltd. 26,046,000 144,753 * China Solar Energy Holdings, Ltd. 1,669,500 38,760 China Star Entertainment, Ltd. 700,000 11,354 * China Strategic Holdings, Ltd. 12,585,000 218,719 China Ting Group Holdings, Ltd. 2,443,151 192,292 * China Tycoon Beverage Holdings, Ltd. 2,732,000 29,952 China-Hongkong Photo Products Holdings, Ltd. 1,967,000 162,331 Chinney Investment, Ltd. 1,144,000 175,876 # Chong Hing Bank, Ltd. 962,000 4,333,654
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ----------- ----------- HONG KONG -- (Continued) # Chow Sang Sang Holdings International, Ltd. 1,967,000 $ 6,379,263 Chu Kong Shipping Enterprise Group Co., Ltd. 2,188,000 609,141 Chuang's China Investments, Ltd. 3,550,494 233,362 Chuang's Consortium International, Ltd. 5,579,837 698,809 Chun Wo Development Holdings, Ltd. 1,852,926 118,217 CITIC Telecom International Holdings, Ltd. 10,730,125 3,334,834 CK Life Sciences International Holdings, Inc. 17,804,000 1,652,555 CNT Group, Ltd. 8,315,264 343,553 * COL Capital, Ltd. 2,209,840 675,722 Convenience Retail Asia, Ltd. 42,000 29,240 * Cosmos Machinery Enterprises, Ltd. 488,400 33,417 * CP Lotus Corp. 11,420,000 353,557 Cross-Harbour Holdings, Ltd. (The) 679,520 547,362 CSI Properties, Ltd. 32,156,383 1,118,510 * CST Mining Group, Ltd. 71,688,000 824,093 * Culture Landmark Investment, Ltd. 509,800 51,599 #* Culturecom Holdings, Ltd. 3,150,000 564,397 Dah Sing Banking Group, Ltd. 2,674,797 5,037,902 Dah Sing Financial Holdings, Ltd. 884,627 5,525,812 Dan Form Holdings Co., Ltd. 3,668,260 416,005 Dickson Concepts International, Ltd. 1,258,000 783,287 * Dingyi Group Investment, Ltd. 5,497,500 404,176 Dorsett Hospitality International, Ltd. 4,711,200 1,032,676 * DVN Holdings, Ltd. 823,000 67,927 Eagle Nice International Holdings, Ltd. 1,116,000 201,453 EcoGreen Fine Chemicals Group, Ltd. 1,202,000 263,987 * EganaGoldpfeil Holdings, Ltd 4,121,757 -- Emperor Capital Group, Ltd. 1,962,000 87,444 Emperor Entertainment Hotel, Ltd. 3,680,000 1,849,619 Emperor International Holdings 6,996,753 2,010,684 # Emperor Watch & Jewellery, Ltd. 25,370,000 2,030,837 * ENM Holdings, Ltd. 15,112,000 924,157 * Enviro Energy International Holdings, Ltd. 3,906,000 85,127 * EPI Holdings, Ltd. 21,859,927 647,545 # Esprit Holdings, Ltd. 13,005,750 23,980,456 * eSun Holdings, Ltd. 4,472,000 599,715 * Ezcom Holdings, Ltd. 72,576 -- Fairwood, Ltd. 622,100 1,274,263 Far East Consortium International, Ltd. 6,031,772 1,992,924 * FIH Mobile, Ltd. 2,713,000 1,524,719 * Fountain SET Holdings, Ltd. 4,898,000 663,772 Four Seas Mercantile Hldg 592,000 242,416 Fujikon Industrial Holdings, Ltd. 736,000 195,457 #* G-Resources Group, Ltd. 140,109,600 4,187,295 Get Nice Holdings, Ltd. 22,008,000 1,006,827 # Giordano International, Ltd. 9,084,000 8,521,138 # Glorious Sun Enterprises, Ltd. 2,702,000 616,919 Gold Peak Industries Holding, Ltd. 3,118,642 337,971 Golden Resources Development International, Ltd. 3,330,500 182,377 * Goldin Financial Holdings, Ltd. 480,000 142,947 #* Goldin Properties Holdings, Ltd. 3,044,000 1,404,880 * Grande Holdings, Ltd. (The) 882,000 46,643
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ---------- HONG KONG -- (Continued) Great Eagle Holdings, Ltd. 70,160 $ 250,288 * Greenheart Group, Ltd. 24,000 1,794 Guangnan Holdings, Ltd. 2,249,600 284,450 # Guotai Junan International Holdings, Ltd. 3,543,000 1,518,326 # Haitong International Securities Group, Ltd. 2,683,379 1,319,769 * Hang Fung Gold Technology, Ltd. 1,972,482 -- * Hao Tian Development Group, Ltd. 10,556,000 469,269 # Harbour Centre Development, Ltd. 963,500 1,767,577 High Fashion International 268,000 102,043 HKR International, Ltd. 5,934,336 2,902,095 Hon Kwok Land Investment Co., Ltd. 314,800 121,293 * Hong Fok Land, Ltd. 1,210,000 -- Hong Kong Aircraft Engineering Co., Ltd. 73,200 981,656 Hong Kong Ferry Holdings Co., Ltd. 809,300 812,703 # Hong Kong Television Network, Ltd. 2,401,751 786,763 Hongkong & Shanghai Hotels (The) 920,000 1,447,808 Hongkong Chinese, Ltd. 5,092,000 1,130,714 Hop Hing Group Holdings, Ltd. 1,292,000 54,947 Hopewell Holdings, Ltd. 1,804,000 6,087,002 Hsin Chong Construction Group, Ltd. 3,751,658 512,553 Hung Hing Printing Group, Ltd. 1,412,000 203,931 # Hutchison Telecommunications Hong Kong Holdings, Ltd. 9,652,000 4,272,800 * Hybrid Kinetic Group, Ltd. 4,936,000 75,110 * Hycomm Wireless, Ltd. 77,090 9,064 * Imagi International Holdings, Ltd. 43,000,000 515,517 #* Integrated Waste Solutions Group Holdings, Ltd. 952,000 166,996 IPE Group, Ltd. 2,655,000 191,713 * IRC, Ltd. 6,536,000 707,330 # IT, Ltd. 3,816,532 1,161,603 ITC Corp., Ltd. 856,708 56,303 ITC Properties Group, Ltd. 3,590,186 1,361,758 * Jinhui Holdings, Ltd. 121,000 27,641 * JLF Investment Co., Ltd. 1,623,500 112,835 Johnson Electric Holdings, Ltd. 5,796,000 4,171,793 # K Wah International Holdings, Ltd. 7,495,545 4,110,443 Kam Hing International Holdings, Ltd. 1,830,000 148,971 Kantone Holdings, Ltd. 8,515,145 114,252 Karrie International Hldgs 1,337,200 48,193 Keck Seng Investments 904,600 506,160 * King Pacific International Holdings, Ltd. 1,404,200 -- * King Stone Energy Group, Ltd. 7,296,000 327,767 Kingmaker Footwear Holdings, Ltd. 1,532,955 353,937 Kingston Financial Group, Ltd. 15,477,000 1,755,980 * Ko Yo Chemical Group, Ltd. 15,800,000 211,948 Kowloon Development Co., Ltd. 2,334,000 2,881,168 Kwoon Chung Bus Hldgs 260,000 64,570 * Lai Sun Development 71,467,466 2,046,488 * Lai Sun Garment International, Ltd. 2,948,000 537,473 Lam Soon Hong Kong, Ltd. 302,310 212,584 Landsea Green Properties Co., Ltd. 812,000 87,893 * Leading Spirit High-Tech Holdings Co., Ltd. 2,310,000 -- Lee's Pharmaceutical Holdings, Ltd. 505,000 468,821
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ----------- HONG KONG -- (Continued) Lerado Group Holdings Co. 1,900,000 $ 215,955 Lifestyle International Holdings, Ltd. 35,000 76,273 * Lifestyle Properties Development, Ltd. 1,750 354 Lippo China Resources, Ltd. 11,788,000 356,976 Lippo, Ltd. 1,195,700 599,744 * Lisi Group Holdings, Ltd. 3,758,000 179,207 # Liu Chong Hing Investment 837,200 1,859,367 Luen Thai Holdings, Ltd. 1,159,000 426,053 # Luk Fook Holdings International, Ltd. 2,289,000 8,142,153 Luks Group Vietnam Holdings Co., Ltd. 482,913 129,327 Lung Kee Bermuda Holdings 1,613,875 595,023 Magnificent Estates 13,558,000 656,432 Mainland Headwear Holdings, Ltd. 313,600 29,548 Man Wah Holdings, Ltd. 2,492,000 4,282,069 Man Yue Technology Holdings, Ltd. 980,000 122,576 Matrix Holdings, Ltd. 1,067,414 259,924 * Mei Ah Entertainment Group, Ltd. 11,040,000 157,878 Melbourne Enterprises, Ltd. 40,500 785,495 # Melco International Development, Ltd. 6,017,000 18,925,645 # Midland Holdings, Ltd. 4,946,000 2,015,597 Ming Fai International Holdings, Ltd. 1,765,000 193,425 * Ming Fung Jewellery Group, Ltd. 13,090,000 418,514 Miramar Hotel & Investment 870,000 1,115,700 * Mongolia Energy Corp., Ltd. 10,603,000 375,810 #* Mongolian Mining Corp. 8,710,500 1,438,400 NagaCorp, Ltd. 648,000 598,392 Nanyang Holdings 137,500 568,007 National Electronic Hldgs 2,498,000 312,341 Natural Beauty Bio-Technology, Ltd. 4,040,000 260,584 #* Neo-Neon Holdings, Ltd. 4,065,000 942,266 * Neptune Group, Ltd. 12,860,000 588,412 New Century Group Hong Kong, Ltd. 13,351,464 268,564 * New Smart Energy Group, Ltd. 15,176,250 260,527 #* New Times Energy Corp., Ltd. 1,297,600 115,499 Newocean Energy Holdings, Ltd. 7,110,000 4,347,637 * Next Media, Ltd. 4,095,183 449,012 * Norstar Founders Group, Ltd. 3,256,000 -- * North Asia Resources Holdings, Ltd. 998,600 19,711 * Orange Sky Golden Harvest Entertainment Holdings, Ltd. 6,229,706 301,459 # Orient Overseas International, Ltd. 95,000 490,686 * Orient Power Holdings, Ltd. 804,000 -- # Oriental Watch Holdings 3,160,800 1,011,078 Pacific Andes International Holdings, Ltd. 11,385,378 513,430 Pacific Basin Shipping, Ltd. 11,222,000 8,030,542 Pacific Textile Holdings, Ltd. 3,060,000 4,191,895 Paliburg Holdings, Ltd. 3,152,830 1,012,582 * Pan Asia Environmental Protection Group, Ltd. 80,000 14,858 * Paradise Entertainment, Ltd. 296,000 86,921 PCCW, Ltd. 3,996,000 1,809,522 #* Peace Mark Holdings, Ltd. 2,738,022 -- * Pearl Oriental Oil, Ltd. 11,918,400 409,428 Pegasus International Holdings, Ltd. 226,000 32,463
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ---------- HONG KONG -- (Continued) Pico Far East Holdings, Ltd. 4,822,000 $1,524,918 * Ping Shan Tea Group, Ltd. 2,633,325 77,429 Playmates Holdings, Ltd. 554,000 696,340 PNG Resources Holdings, Ltd. 28,866,362 479,771 Pokfulam Development Co. 234,000 376,504 * Poly Capital Holdings, Ltd. 1,154,000 18,166 Polytec Asset Holdings, Ltd. 10,878,526 1,390,014 Public Financial Holdings, Ltd. 3,194,000 1,669,428 PYI Corp., Ltd. 24,381,973 591,249 * Pyxis Group, Ltd. 1,936,000 42,451 Raymond Industrial, Ltd. 30,400 3,681 Regal Hotels International Holdings, Ltd. 2,809,800 1,536,638 Richfield Group Holdings, Ltd. 9,672,000 258,069 * Rising Development Holdings, Ltd. 2,148,000 138,862 Rivera Holdings, Ltd. 5,710,000 232,244 SA SA International Holdings, Ltd. 7,008,000 7,672,215 Safety Godown Co., Ltd. 398,000 513,694 Samsonite International SA 214,500 584,942 * San Miguel Brewery Hong Kong, Ltd. 158,800 26,011 * Sandmartin International Holdings, Ltd. 84,000 5,188 * Sanyuan Group, Ltd. 415,000 -- SAS Dragon Hldg, Ltd. 430,000 242,587 # SEA Holdings, Ltd. 1,158,000 657,242 # Shenyin Wanguo HK, Ltd. 1,937,500 689,080 * Shougang Concord Technology Holdings 5,219,809 319,805 * Shun Ho Resources Holdings, Ltd. 189,000 39,633 * Shun Ho Technology Holdings, Ltd. 1,037,452 225,233 Shun Tak Holdings, Ltd. 10,767,419 6,237,351 #* Silver base Group Holdings, Ltd. 4,977,677 827,184 * Sing Pao Media Enterprises, Ltd. 250,511 -- Sing Tao News Corp., Ltd. 1,974,000 285,103 Singamas Container Holdings, Ltd. 10,014,000 2,324,227 * Sino Distillery Group, Ltd. 2,230,000 135,082 * Sino-Tech International Holdings, Ltd. 29,380,000 125,035 * Sinocan Holdings, Ltd. 350,000 -- * Sinocop Resources Holdings, Ltd. 1,040,000 89,821 SIS International Holdings 34,000 12,929 Sitoy Group Holdings, Ltd. 448,000 245,847 # SmarTone Telecommunications Holdings, Ltd. 2,626,500 3,459,273 SOCAM Development, Ltd. 1,704,771 2,027,287 * Solomon Systech International, Ltd. 8,590,000 393,274 Soundwill Holdings, Ltd. 406,000 727,949 * South China China, Ltd. 6,744,000 645,544 * South China Land, Ltd. 15,207,170 339,181 Stella International Holdings, Ltd. 308,000 760,231 Stelux Holdings International, Ltd. 3,100,400 1,055,827 * Success Universe Group, Ltd. 5,948,000 361,094 Sun Hing Vision Group Holdings, Ltd. 358,000 124,219 Sun Hung Kai & Co., Ltd. 3,017,429 1,698,666 * Sun Innovation Holdings, Ltd. 9,295,655 159,140 * Sunway International Holdings, Ltd. 50,000 2,257 #* Sustainable Forest Holdings, Ltd. 1,128,374 25,767
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ----------- HONG KONG -- (Continued) TAI Cheung Holdings 2,019,000 $ 1,531,530 TAI Sang Land Developement, Ltd. 804,910 395,446 * Talent Property Group, Ltd. 4,701,420 79,318 # Tan Chong International, Ltd. 1,212,000 480,164 # Tao Heung Holdings, Ltd. 517,000 396,586 #* Taung Gold International, Ltd. 14,590,000 299,214 Television Broadcasts, Ltd. 536,900 3,135,578 Termbray Industries International 2,304,900 213,926 Tern Properties 51,200 28,900 Texwinca Holdings, Ltd. 3,322,000 3,393,919 Tian Teck Land 1,054,000 1,157,886 #* Titan Petrochemicals Group, Ltd. 13,140,000 4,237 * Tom Group, Ltd. 2,120,000 407,136 Tongda Group Holdings, Ltd. 17,440,000 989,880 * Topsearch International Holdings, Ltd. 186,000 5,628 * Town Health International Investments, Ltd. 1,175,165 309,328 Tradelink Electronic Commerce, Ltd. 2,816,000 697,084 # Transport International Holdings, Ltd. 1,001,741 2,255,785 Trinity, Ltd. 7,266,000 2,716,019 Tristate Holdings, Ltd. 188,000 79,403 * TSC Group Holdings, Ltd. 2,801,000 950,401 Tse Sui Luen Jewellery International, Ltd. 300,000 145,017 Tysan Holdings, Ltd. 1,040,773 362,963 * U-RIGHT International Holdings, Ltd. 142,380 7,346 #* United Laboratories International Holdings, Ltd. (The) 3,920,000 1,653,502 * Universal Technologies Holdings, Ltd. 7,630,000 443,085 * Up Energy Development Group, Ltd. 3,205,000 183,997 * Value Convergence Holdings, Ltd. 1,756,000 259,550 # Value Partners Group, Ltd. 4,879,000 2,961,189 Van Shung Chong Holdings, Ltd. 789,335 135,510 Vanke Property Overseas, Ltd. 4,000 5,716 Varitronix International, Ltd. 1,660,293 1,476,034 Vedan International Holdings, Ltd. 3,272,000 194,535 Victory City International Holdings, Ltd. 6,194,514 870,076 # Vitasoy International Holdings, Ltd. 4,145,000 5,344,997 VST Holdings, Ltd. 4,707,600 929,079 VTech Holdings, Ltd. 8,400 119,949 Wai Kee Holdings, Ltd. 7,864,738 2,092,502 Wang On Group, Ltd. 27,831,286 509,837 * Warderly International Holdings, Ltd. 520,000 32,194 Water Oasis Group, Ltd. 1,346,000 105,751 Win Hanverky Holdings, Ltd. 1,812,000 207,843 Wing Hang Bank, Ltd. 292,500 4,148,289 Wing On Co. International, Ltd. 781,000 2,246,058 Wing Tai Properties, Ltd. 1,957,331 1,188,799 Wong's International Hldgs 737,641 251,128 Wong's Kong King International 120,000 10,839 Xinyi Glass Holdings, Ltd. 12,292,000 12,189,775 * Xpress Group, Ltd. 440,000 19,357 Yangtzekiang Garment, Ltd. 606,500 228,568 Yau Lee Holdings, Ltd. 534,000 121,107 Yeebo International Hldg 572,000 84,079
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ------------ HONG KONG -- (Continued) # YGM Trading, Ltd. 460,000 $ 1,036,841 YT Realty Group, Ltd. 749,000 220,030 * Yugang International, Ltd. 93,492,000 627,022 * Zhuhai Holdings Investment Group, Ltd. 2,558,000 501,584 ------------ TOTAL HONG KONG 348,377,952 ------------ NEW ZEALAND -- (6.3%) #* A2 Corp., Ltd. 285,785 160,983 Abano Healthcare Group, Ltd. 29,547 167,088 # Air New Zealand, Ltd. 2,301,073 3,061,186 # Auckland International Airport, Ltd. 355,350 1,005,936 #* Bathurst Resources New Zealand, Ltd. 1,666,560 306,907 Briscoe Group, Ltd. 2,235 4,392 Cavalier Corp., Ltd. 283,674 426,367 # CDL Investments New Zealand, Ltd. 163,215 73,856 # Chorus, Ltd. 923,718 2,021,675 Colonial Motor Co., Ltd. (The) 148,846 605,761 #* Diligent Board Member SVCS 82,102 296,915 # Ebos Group, Ltd. 355,805 2,850,216 # Fisher & Paykel Healthcare Corp., Ltd. 3,375,400 10,265,529 # Freightways, Ltd. 842,276 3,040,371 # Hallenstein Glasson Holdings, Ltd. 245,661 999,778 Heartland New Zealand, Ltd. 179,542 124,408 # Hellaby Holdings, Ltd. 372,546 876,979 # Infratil, Ltd. 2,679,116 5,532,090 Kathmandu Holdings, Ltd. 224,000 718,935 Mainfreight, Ltd. 468,315 4,486,874 Methven, Ltd. 93,877 112,413 # Metlifecare, Ltd. 120,817 407,186 Michael Hill International, Ltd. 1,534,152 1,938,339 Millennium & Copthorne Hotels New Zealand, Ltd. 1,387,344 768,989 New Zealand Oil & Gas, Ltd. 2,036,646 1,413,145 # New Zealand Refining Co., Ltd. (The) 591,259 1,099,119 Northland Port Corp. NZ, Ltd. 152,795 359,136 # Nuplex Industries, Ltd. 1,092,713 3,158,622 # NZX, Ltd. 947,061 986,510 # Opus International Consultants, Ltd. 12,925 20,835 * Pacific Edge, Ltd. 88,020 90,972 PGG Wrightson, Ltd. 980,136 332,113 * Pike River Coal, Ltd. 490,805 -- Port of Tauranga, Ltd. 528,322 6,019,074 * Pumpkin Patch, Ltd. 606,913 496,200 * Rakon, Ltd. 224,519 38,919 # Restaurant Brands New Zealand, Ltd. 461,634 1,135,514 Richina Pacific, Ltd. 274,180 81,530 * Rubicon, Ltd. 1,485,105 436,571 # Ryman Healthcare, Ltd. 1,742,405 10,861,648 # Sanford Ltd. 393,618 1,484,709 Scott Technology, Ltd. 36,510 65,493 # Skellerup Holdings, Ltd. 507,716 712,436 Sky Network Television, Ltd. 1,319,448 6,757,325 # SKYCITY Entertainment Group, Ltd. 3,420,386 10,984,846
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- NEW ZEALAND -- (Continued) Steel & Tube Holdings, Ltd. 408,278 $ 1,071,110 Tourism Holdings, Ltd. 274,867 181,596 Tower, Ltd. 790,254 1,208,164 Trade Me, Ltd. 336,316 1,249,682 # TrustPower, Ltd. 68,345 389,529 Vector, Ltd. 1,076,417 2,319,893 Warehouse Group, Ltd. (The) 617,046 1,875,725 #* Xero, Ltd. 103,801 2,399,624 ----------- TOTAL NEW ZEALAND 97,483,213 ----------- PHILIPPINES -- (0.0%) # Del Monte Pacific, Ltd. 26,000 17,016 ----------- SINGAPORE -- (11.6%) #* Abterra, Ltd. 531,800 233,672 # Amara Holdings, Ltd. 950,000 423,883 Amtek Engineering, Ltd. 1,297,000 500,424 Armstrong Industrial Corp., Ltd. 1,815,000 584,611 # ASL Marine Holdings, Ltd. 816,600 436,629 Aspial Corp., Ltd. 67,000 21,303 # Ausgroup, Ltd. 3,323,000 789,519 # Baker Technology, Ltd. 1,272,000 265,898 Banyan Tree Holdings, Ltd. 1,053,000 572,724 # Biosensors International Group, Ltd. 5,984,237 4,524,790 Bonvests Holdings, Ltd. 978,000 920,614 Boustead Singapore, Ltd. 1,659,261 2,010,281 # Breadtalk Group, Ltd. 850,800 630,333 * Broadway Industrial Group, Ltd. 1,374,000 248,824 Bukit Sembawang Estates, Ltd. 614,003 3,038,136 # Bund Center Investment, Ltd. 2,717,000 446,958 Centurion Corp., Ltd. 26,000 11,578 CH Offshore, Ltd. 1,642,400 560,797 # China Aviation Oil Singapore Corp., Ltd. 1,322,000 989,559 # China Merchants Holdings Pacific, Ltd. 813,000 556,275 # Chip Eng Seng Corp., Ltd. 3,546,800 2,010,509 Chuan Hup Holdings, Ltd. 3,967,000 910,005 Cityspring Infrastructure Trust 1,268,000 489,614 # Cosco Corp. Singapore, Ltd. 6,840,000 4,311,915 Creative Technology, Ltd. 272,200 483,815 CSC Holdings, Ltd. 2,495,000 203,229 CSE Global, Ltd. 3,192,000 2,424,846 # CWT, Ltd. 1,393,700 1,558,636 Datapulse Technology, Ltd. 89,000 17,209 * Delong Holdings, Ltd. 1,361,000 393,121 DMX Technologies Group, Ltd. 2,096,000 370,443 # Dyna-Mac Holdings, Ltd. 2,015,000 647,965 # Elec & Eltek International Co., Ltd. 147,000 288,096 Ellipsiz, Ltd. 123,000 8,406 EnGro Corp., Ltd. 354,000 282,166 # Etika International Holdings, Ltd. 575,000 201,570 Eu Yan Sang International, Ltd. 809,800 488,376 * euNetworks Group, Ltd. 8,220 5,128
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ---------- SINGAPORE -- (Continued) # Ezion Holdings, Ltd. 854,000 $1,537,080 #* Ezra Holdings, Ltd. 4,875,000 5,254,031 # Falcon Energy Group, Ltd. 1,951,000 609,938 Far East Orchard, Ltd. 1,070,598 1,687,729 First Resources, Ltd. 139,000 218,080 FJ Benjamin Holdings, Ltd. 1,305,000 256,984 Food Empire Holdings, Ltd. 1,256,400 667,249 * Forterra Trust 98,000 171,196 # Fragrance Group, Ltd. 6,168,000 1,017,775 Freight Links Express Holdings, Ltd. 9,159,901 788,554 #* Gallant Venture, Ltd. 5,073,000 1,120,614 GK Goh Holdings, Ltd. 1,458,000 1,026,113 * Global Yellow Pages, Ltd. 299,000 22,160 # GMG Global, Ltd. 17,887,000 1,453,956 Goodpack, Ltd. 1,578,000 2,432,413 GP Batteries International, Ltd. 343,000 221,123 GP Industries, Ltd. 2,643,209 1,084,565 GuocoLand, Ltd. 410,314 742,893 # GuocoLeisure, Ltd. 3,287,000 2,180,409 * Hanwell Holdings, Ltd. 1,823,419 382,390 #* Healthway Medical Corp., Ltd. 8,042,776 433,897 HG Metal Manufacturing, Ltd. 1,768,000 112,217 Hi-P International, Ltd. 1,309,000 636,937 Hiap Hoe, Ltd. 353,000 229,807 Hiap Seng Engineering, Ltd. 612,000 130,545 * HLH Group, Ltd. 8,364,000 134,274 Ho Bee Land, Ltd. 1,652,000 2,735,172 Hong Fok Corp., Ltd. 3,323,640 1,911,569 Hong Leong Asia, Ltd. 702,000 821,737 Hotel Grand Central, Ltd. 1,331,073 1,134,238 Hotel Properties, Ltd. 1,385,400 3,500,131 Hour Glass, Ltd. (The) 622,744 847,383 HTL International Holdings, Ltd. 1,063,843 273,717 * Huan Hsin Holdings, Ltd. 343,400 10,228 HupSteel, Ltd. 1,572,875 279,088 Hwa Hong Corp., Ltd. 2,186,000 545,265 # Hyflux, Ltd. 3,212,500 2,995,828 IFS Capital, Ltd. 248,080 89,147 # Indofood Agri Resources, Ltd. 3,448,000 2,524,032 InnoTek, Ltd. 950,000 260,529 #* International Healthway Corp., Ltd. 637,656 185,141 IPC Corp., Ltd. 4,265,000 527,453 Isetan Singapore, Ltd. 122,500 436,014 Jaya Holdings, Ltd. 2,280,000 1,256,173 #* Jiutian Chemical Group, Ltd. 10,128,000 715,752 #* Jurong Technologies Industrial Corp., Ltd. 2,227,680 -- K-Green Trust 1,330,000 1,097,037 K1 Ventures, Ltd. 4,793,500 703,265 # Keppel Telecommunications & Transportation, Ltd. 1,409,600 1,767,886 Koh Brothers Group, Ltd. 1,432,000 340,186 * Lafe Corp., Ltd. 700,000 39,792 LC Development, Ltd. 3,569,504 442,208
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ---------- SINGAPORE -- (Continued) Lee Kim Tah Holdings, Ltd. 1,600,000 $1,162,981 * Li Heng Chemical Fibre Technologies, Ltd. 2,053,000 203,746 Lian Beng Group, Ltd. 1,917,000 855,792 # Low Keng Huat Singapore, Ltd. 878,000 484,185 Lum Chang Holdings, Ltd. 1,094,030 308,264 M1, Ltd. 1,533,000 4,200,936 * Manhattan Resources, Ltd. 911,000 245,122 Marco Polo Marine, Ltd. 963,000 290,082 mDR, Ltd. 3,997,000 35,320 * Mercator Lines Singapore, Ltd. 555,000 48,916 Mermaid Maritime PCL 1,066,000 278,710 # Metro Holdings, Ltd. 2,085,792 1,400,579 # Mewah International, Inc. 1,773,000 685,772 # Midas Holdings, Ltd. 8,006,000 3,214,613 # Nam Cheong Ltd 7,126,740 1,635,593 #* Neptune Orient Lines, Ltd. 595,000 506,803 New Toyo International Holdings, Ltd. 1,624,000 379,376 NSL, Ltd. 422,000 485,858 #* Oceanus Group, Ltd. 13,109,000 157,684 OKP Holdings, Ltd. 207,000 59,833 # OSIM International, Ltd. 1,539,000 2,613,370 #* Otto Marine, Ltd. 6,886,500 292,729 # OUE, Ltd. 1,863,000 3,626,406 Pan-United Corp., Ltd. 2,006,000 1,554,883 PEC, Ltd. 47,000 23,046 * Penguin International, Ltd. 400,000 37,301 # Petra Foods, Ltd. 804,000 2,299,083 Popular Holdings, Ltd. 2,763,650 567,730 QAF, Ltd. 1,184,483 800,274 #* Raffles Education Corp., Ltd. 4,104,710 991,105 Raffles Medical Group, Ltd. 543,330 1,395,181 Rickmers Maritime 888,000 207,162 Rotary Engineering, Ltd. 1,463,600 759,500 # Roxy-Pacific Holdings, Ltd. 297,500 144,388 * S I2I, Ltd. 17,004,000 245,998 San Teh, Ltd. 999,087 249,847 * Sapphire Corp., Ltd. 704,000 63,444 SBS Transit, Ltd. 953,500 986,226 See Hup Seng, Ltd. 1,706,000 410,596 # Sheng Siong Group, Ltd. 1,085,000 540,736 Sim Lian Group, Ltd. 2,281,855 1,644,008 # Sinarmas Land, Ltd. 5,725,000 2,529,236 # Sing Holdings, Ltd. 1,134,000 401,873 Sing Investments & Finance, Ltd. 297,675 325,850 # Singapore Post, Ltd. 9,103,120 9,596,310 Singapore Reinsurance Corp., Ltd. 1,514,530 309,188 Singapore Shipping Corp., Ltd. 1,689,000 285,890 Singapura Finance, Ltd. 174,062 217,081 #* Sino Grandness Food Industry Group, Ltd. 1,926,000 1,107,417 # SMRT Corp., Ltd. 1,592,000 1,664,979 Stamford Land Corp., Ltd. 3,258,000 1,493,453 Straco Corp., Ltd. 130,000 41,052
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED
Shares Value++ ----------- -------------- SINGAPORE -- (Continued) Sunningdale Tech, Ltd. 2,398,000 $ 244,672 * SunVic Chemical Holdings, Ltd. 1,650,000 577,647 Super Group, Ltd. 1,002,000 3,387,980 # Swiber Holdings, Ltd. 3,974,000 2,000,542 Swissco Holdings, Ltd. 295,000 67,577 # Tat Hong Holdings, Ltd. 2,072,800 1,557,323 #* Technics Oil & Gas, Ltd. 42,000 27,040 * Technovator International, Ltd. 34,000 13,882 Thakral Corp., Ltd. 5,601,000 130,881 # Tiong Woon Corp. Holding, Ltd. 2,152,250 561,430 #* Triyards holdings, Ltd. 348,900 190,572 Tuan Sing Holdings, Ltd. 4,074,495 1,049,486 # UMS Holdings, Ltd. 1,308,000 584,741 United Engineers, Ltd. 2,700,028 4,020,666 # United Envirotech, Ltd. 2,478,000 1,663,214 United Overseas Insurance, Ltd. 187,250 646,494 # UOB-Kay Hian Holdings, Ltd. 1,798,400 2,405,840 # UPP Holdings, Ltd. 3,060,000 650,675 #* Vard Holdings, Ltd. 3,815,000 2,696,040 # Venture Corp., Ltd. 1,600,000 10,019,818 Vicom, Ltd. 120,000 473,650 # Wee Hur Holdings, Ltd. 2,479,000 639,046 Wheelock Properties Singapore, Ltd. 1,210,000 1,655,810 Wing Tai Holdings, Ltd. 2,724,567 4,837,547 #* Xpress Holdings, Ltd. 1,281,000 24,715 # Yeo Hiap Seng, Ltd. 223,731 458,449 YHI International, Ltd. 1,174,000 252,728 # Yongnam Holdings, Ltd. 8,048,000 1,555,249 -------------- TOTAL SINGAPORE 179,312,978 -------------- TOTAL COMMON STOCKS 1,259,639,911 -------------- RIGHTS/WARRANTS -- (0.0%) AUSTRALIA -- (0.0%) * Centrebet International, Ltd. Litigation Rights 81,336 -- -------------- HONG KONG -- (0.0%) * Emperor Capital Group, Ltd. Rights 11/22/13 327 -- -------------- TOTAL RIGHTS/WARRANTS -- -------------- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (18.7%) (S)@ DFA Short Term Investment Fund 25,064,823 290,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.09%, 11/01/13 (Collateralized by $507,256 U.S. Treasury Note 2.375%, 09/30/14, valued at $518,619) to be repurchased at $506,216 $ 506 506,215
THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $51,657 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $46,714) to be repurchased at $45,798 46 $ 45,798 -------------- TOTAL SECURITIES LENDING COLLATERAL 290,552,013 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,443,079,348) $1,550,191,924 ==============
THE UNITED KINGDOM SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ ---------- ----------- COMMON STOCKS -- (98.5%) Consumer Discretionary -- (26.5%) 4imprint Group P.L.C. 97,044 $ 978,425 888 Holdings P.L.C. 787,950 2,008,050 * Aga Rangemaster Group P.L.C. 453,866 939,777 Barratt Developments P.L.C. 5,157,995 27,660,094 Bellway P.L.C. 652,849 15,724,768 Berkeley Group Holdings P.L.C. 650,346 24,378,283 Betfair Group P.L.C. 63,296 1,020,866 Bloomsbury Publishing P.L.C. 283,806 784,019 BOOT HENRY P.L.C. 432,804 1,252,428 Bovis Homes Group P.L.C. 875,787 11,017,797 Bwin.Party Digital Entertainment P.L.C. 2,880,414 5,659,185 * Carpetright P.L.C. 2,855 28,545 # Centaur Media P.L.C. 556,967 500,647 Chime Communications P.L.C. 304,315 1,544,867 Cineworld Group P.L.C. 701,265 4,170,251 Creston P.L.C. 22,394 36,016 Daily Mail & General Trust P.L.C. 1,328,069 17,321,746 Darty P.L.C. 55,620 73,232 Debenhams P.L.C. 6,498,732 10,601,548 Dignity P.L.C. 222,479 4,972,966 * Dixons Retail P.L.C. 16,850,562 13,202,433 Domino's Pizza Group P.L.C. 440,599 4,131,950 Dunelm Group P.L.C. 213,012 3,025,016 * Enterprise Inns P.L.C. 2,687,428 6,529,023 # Euromoney Institutional Investor P.L.C. 295,537 5,096,313 Fiberweb P.L.C. 729,920 1,190,105 * Findel P.L.C. 299,050 1,220,455 * Forminster P.L.C. 43,333 -- Fuller Smith & Turner P.L.C. 137,316 1,995,758 * Future P.L.C. 1,301,863 344,505 Games Workshop Group P.L.C. 101,889 1,274,033 Greene King P.L.C. 1,421,372 18,808,719 Halfords Group P.L.C. 1,072,399 7,263,247 Headlam Group P.L.C. 337,290 2,143,820 Home Retail Group P.L.C. 4,196,363 13,388,556 # Hornby P.L.C. 154,220 197,185 Howden Joinery Group P.L.C. 2,676,884 13,843,959 Huntsworth P.L.C. 912,563 957,242 Inchcape P.L.C. 2,319,770 23,684,611 Informa P.L.C. 3,121,619 27,964,781 ITV P.L.C. 2,941,998 8,995,393 JD Sports Fashion P.L.C. 120,013 2,186,775 JD Wetherspoon P.L.C. 481,499 5,445,036 John Menzies P.L.C. 247,022 3,245,468 #* Johnston Press P.L.C. 1,007,737 218,664 Ladbrokes P.L.C. 4,483,503 13,723,124 Laura Ashley Holdings P.L.C. 1,500,394 635,974 Lookers P.L.C. 1,351,597 2,814,336 Marston's P.L.C. 3,122,248 7,602,240 Mecom Group P.L.C. 332,622 357,489 Millennium & Copthorne Hotels P.L.C. 1,048,561 9,583,968
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ------------ Consumer Discretionary -- (Continued) * Mitchells & Butlers P.L.C. 1,030,286 $ 6,618,276 MJ Gleeson Group P.L.C. 195,875 976,880 * Mothercare P.L.C. 259,175 1,588,261 N Brown Group P.L.C. 874,754 7,351,050 #* Ocado Group P.L.C. 881,953 6,138,335 Pendragon P.L.C. 3,928,043 2,393,349 Persimmon P.L.C. 1,366,507 27,666,555 Photo-Me International P.L.C. 142,122 303,064 * Punch Taverns P.L.C. 2,668,837 579,987 Rank Group P.L.C. 89,209 205,000 Redrow P.L.C. 1,505,347 6,393,340 Restaurant Group P.L.C. (The) 949,028 8,757,959 Rightmove P.L.C. 319,449 13,574,746 Smiths News P.L.C. 973,222 3,281,392 Spirit Pub Co. P.L.C. 3,103,818 3,644,328 * Sportech P.L.C. 384,214 535,958 * Sports Direct International P.L.C. 716,338 8,050,265 * STV Group P.L.C. 4,868 24,611 * SuperGroup P.L.C. 193,888 3,644,303 Taylor Wimpey P.L.C. 15,614,170 27,549,112 Ted Baker P.L.C. 145,093 3,963,022 * Thomas Cook Group P.L.C. 7,517,966 17,303,141 Topps Tiles P.L.C. 816,215 1,156,426 * Torotrak P.L.C. 45,292 19,789 #* Trinity Mirror P.L.C. 1,688,565 3,604,539 TUI Travel P.L.C. 779,922 4,808,175 UBM P.L.C. 319,562 3,498,099 UTV Media P.L.C. 239,587 873,643 Vitec Group P.L.C. (The) 160,973 1,809,578 WH Smith P.L.C. 678,939 9,798,167 William Hill P.L.C. 3,678,697 23,618,931 Wilmington Group P.L.C. 346,234 1,197,644 ------------ Total Consumer Discretionary 532,671,613 ------------ Consumer Staples -- (3.7%) A.G.BARR P.L.C. 424,100 3,563,404 Anglo-Eastern Plantations 108,153 1,171,092 Booker Group P.L.C. 7,511,637 18,092,064 Britvic P.L.C. 1,227,439 12,289,137 Cranswick P.L.C. 262,115 4,506,528 Dairy Crest Group P.L.C. 747,197 6,434,829 Devro P.L.C. 891,696 4,529,757 Greencore Group P.L.C. 2,335,961 6,735,134 Greggs P.L.C. 483,318 3,561,256 Hilton Food Group P.L.C. 23,544 161,333 McBride P.L.C. 855,515 1,501,924 * Premier Foods P.L.C. 1,135,338 2,742,186 # PZ Cussons P.L.C. 1,325,039 8,361,573 REA Holdings P.L.C. 50,639 325,362 * Thorntons P.L.C. 229,538 421,078 ------------ Total Consumer Staples 74,396,657 ------------
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Energy -- (5.3%) * Afren P.L.C. 5,639,345 $ 14,254,859 AMEC P.L.C. 474,792 8,954,669 Anglo Pacific Group P.L.C. 438,805 1,561,756 * Cairn Energy P.L.C. 2,601,577 11,788,119 * Coalfield Resources P.L.C. 268,451 26,281 * EnQuest P.L.C. 3,400,510 7,270,159 * Essar Energy P.L.C. 1,162,294 2,213,585 * Exillon Energy P.L.C. 289,661 1,102,882 Fortune Oil P.L.C. 6,170,225 974,760 * Hardy Oil & Gas P.L.C. 74,781 127,028 * Heritage Oil P.L.C. 878,300 2,610,179 Hunting P.L.C. 639,376 9,134,602 James Fisher & Sons P.L.C. 212,309 3,790,333 #* JKX Oil & Gas P.L.C. 456,676 545,322 John Wood Group P.L.C. 1,377,126 17,930,742 * Lamprell P.L.C. 967,717 2,544,383 Premier Oil P.L.C. 2,484,308 13,823,320 * Salamander Energy P.L.C. 1,063,663 1,831,861 Soco International P.L.C. 1,018,017 6,495,153 ------------ Total Energy 106,979,993 ------------ Financials -- (14.2%) Admiral Group P.L.C. 11,519 235,842 Amlin P.L.C. 2,613,209 17,854,912 Ashmore Group P.L.C. 1,783,987 11,560,413 Bank of Georgia Holdings P.L.C. 88,710 2,804,672 Beazley P.L.C. 2,627,389 9,631,007 Brewin Dolphin Holdings P.L.C. 1,292,264 5,891,901 Capital & Counties Properties P.L.C. 474,174 2,637,229 Capital & Regional P.L.C. 1,493,345 1,034,733 Catlin Group, Ltd. 1,812,653 14,890,947 Charles Stanley Group P.L.C. 126,349 923,356 Charles Taylor P.L.C. 139,215 497,120 Chesnara P.L.C. 559,060 2,619,529 Close Brothers Group P.L.C. 777,213 15,739,934 Daejan Holdings P.L.C. 32,083 2,133,181 Development Securities P.L.C. 580,091 2,174,630 F&C Asset Management P.L.C. 2,273,162 3,697,628 Hansard Global P.L.C. 16,468 30,713 Hargreaves Lansdown P.L.C. 89,565 1,706,239 Helical Bar P.L.C. 668,916 3,218,316 Henderson Group P.L.C. 5,229,541 17,950,379 Hiscox, Ltd. 1,848,675 19,626,193 ICAP P.L.C. 2,874,272 17,748,601 IG Group Holdings P.L.C. 1,346,879 13,237,127 * Industrial & Commercial Holdings P.L.C. 5,000 -- Intermediate Capital Group P.L.C. 572,350 4,391,993 International Personal Finance P.L.C. 690,825 6,384,316 #* IP Group P.L.C. 1,255,608 2,959,794 Jardine Lloyd Thompson Group P.L.C. 584,697 9,370,860 Jupiter Fund Management P.L.C. 1,339,596 8,565,676 Lancashire Holdings, Ltd. 901,590 11,731,722
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Financials -- (Continued) Liontrust Asset Management P.L.C. 129,935 $ 479,419 London Stock Exchange Group P.L.C. 236,149 6,206,929 LSL Property Services P.L.C. 151,839 1,103,184 Man Group P.L.C. 9,800,117 13,947,727 Novae Group P.L.C. 276,081 2,455,336 Phoenix Group Holdings 592,146 7,384,181 * Puma Brandenburg, Ltd. Class A 1,193,004 -- * Puma Brandenburg, Ltd. Class B 1,193,004 -- * Quintain Estates & Development P.L.C. 2,680,731 4,173,662 Rathbone Brothers P.L.C. 165,692 4,333,024 Raven Russia Ltd 663,193 833,532 S&U P.L.C. 21,140 492,797 Savills P.L.C. 616,265 6,419,651 St James's Place P.L.C. 846,493 9,162,870 ST Modwen Properties P.L.C. 957,652 5,408,560 Tullett Prebon P.L.C. 1,071,415 5,457,603 Unite Group P.L.C. 901,444 5,730,076 * Waterloo Investment Holdings, Ltd. 5,979 671 ------------ Total Financials 284,838,185 ------------ Health Care -- (2.6%) #* Alizyme P.L.C. 660,805 -- Bioquell P.L.C. 90,893 217,418 * BTG P.L.C. 1,781,080 11,984,887 Consort Medical P.L.C. 138,858 1,980,026 Dechra Pharmaceuticals P.L.C. 429,068 4,752,960 Genus P.L.C. 281,441 5,947,661 Hikma Pharmaceuticals P.L.C. 713,706 13,730,269 * Optos P.L.C. 89,392 223,230 * Oxford Biomedica P.L.C. 2,821,652 123,159 * Renovo Group P.L.C. 87,461 27,354 Synergy Health P.L.C. 287,021 4,765,097 UDG Healthcare P.L.C. 973,852 4,861,941 * Vectura Group P.L.C. 1,829,761 3,236,298 * Vernalis P.L.C. 19,974 9,190 ------------ Total Health Care 51,859,490 ------------ Industrials -- (26.3%) Air Partner P.L.C. 37,086 294,578 Alumasc Group P.L.C. 124,366 272,357 Ashtead Group P.L.C. 2,598,958 27,310,230 Avon Rubber P.L.C. 57,807 504,773 Babcock International Group P.L.C. 283,438 5,796,024 Balfour Beatty P.L.C. 3,596,658 16,448,453 BBA Aviation P.L.C. 2,792,163 15,134,152 Berendsen P.L.C. 810,481 12,621,571 Bodycote P.L.C. 1,253,236 13,210,384 Braemar Shipping Services P.L.C. 83,345 716,948 Brammer P.L.C. 391,444 3,027,551 # Camellia P.L.C. 2,481 347,254 Cape P.L.C. 582,333 2,576,089 Carillion P.L.C. 2,233,191 10,880,111
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- Industrials -- (Continued) Carr's Milling Industries P.L.C. 35,419 $ 986,855 Castings P.L.C. 162,757 1,128,582 Chemring Group P.L.C. 1,217,006 4,247,037 Clarkson P.L.C. 66,882 2,155,173 Cobham P.L.C. 5,618,202 25,946,576 Communisis P.L.C. 986,522 998,708 Costain Group P.L.C. 93,673 424,534 DCC P.L.C. 431,941 19,342,514 De La Rue P.L.C. 276,166 3,785,030 easyJet P.L.C. 504,826 10,574,659 Fenner P.L.C. 863,361 5,531,502 Firstgroup P.L.C. 5,277,432 9,759,960 G4S P.L.C. 119,584 502,289 Galliford Try P.L.C. 336,277 6,190,821 Go-Ahead Group P.L.C. 207,850 5,602,779 Goodwin P.L.C. 24 1,422 Harvey Nash Group P.L.C. 46,693 69,067 Hays P.L.C. 7,041,541 14,054,156 Helphire P.L.C. 380,980 33,414 Hogg Robinson Group P.L.C. 134,014 163,909 Homeserve P.L.C. 1,339,416 5,032,527 Hyder Consulting P.L.C. 176,908 1,545,133 Interserve P.L.C. 664,484 6,549,498 Invensys P.L.C. 2,824,855 22,668,384 ITE Group P.L.C. 1,144,948 5,918,278 Keller Group P.L.C. 333,468 5,616,830 Kier Group P.L.C. 197,606 5,721,898 Latchways P.L.C. 36,248 741,338 Lavendon Group P.L.C. 779,655 2,297,185 Management Consulting Group P.L.C. 1,519,596 596,742 Mears Group P.L.C. 457,384 3,139,234 Meggitt P.L.C. 680,570 6,247,752 Melrose Industries P.L.C. 4,156,691 21,310,110 Michael Page International P.L.C. 1,282,180 9,952,519 Mitie Group P.L.C. 1,741,651 8,778,549 Morgan Advanced Materials P.L.C. 1,420,379 6,928,737 Morgan Sindall Group P.L.C. 187,649 2,392,269 National Express Group P.L.C. 2,235,488 9,357,242 Norcros P.L.C. 85,621 26,876 Northgate P.L.C. 752,381 5,457,246 PayPoint P.L.C. 164,846 2,750,129 QinetiQ Group P.L.C. 3,080,895 9,778,072 Regus PLC 3,367,250 11,049,752 * Renold P.L.C. 153,600 106,096 Rentokil Initial P.L.C. 3,997,872 6,688,380 Ricardo P.L.C. 248,447 2,428,888 * Richmond Oil & Gas P.L.C. 220,000 -- Robert Walters P.L.C. 387,999 2,016,709 Rotork P.L.C. 335,959 15,392,385 RPS Group P.L.C. 1,266,580 5,903,580 Senior P.L.C. 2,050,757 9,786,732 Serco Group P.L.C. 1,965,238 17,561,115
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Industrials -- (Continued) Severfield-Rowen P.L.C. 1,252,061 $ 1,278,846 Shanks Group P.L.C. 2,313,344 3,916,552 SIG P.L.C. 2,955,026 9,750,674 Speedy Hire P.L.C. 2,828,053 2,951,464 Spirax-Sarco Engineering P.L.C. 330,635 15,461,631 St Ives P.L.C. 672,895 1,946,333 Stagecoach Group P.L.C. 2,248,039 12,684,109 Sthree P.L.C. 334,391 1,922,409 # Stobart Group, Ltd. 199,854 454,654 T Clarke P.L.C. 147,457 158,362 Tarsus Group P.L.C. 208,165 825,750 Travis Perkins P.L.C. 79,590 2,366,810 Tribal Group P.L.C. 156,581 470,728 Trifast P.L.C. 443,600 561,283 UK Mail Group P.L.C. 197,261 1,846,692 Ultra Electronics Holdings P.L.C. 351,758 10,907,902 Vesuvius P.L.C. 1,449,566 11,269,234 # Volex P.L.C. 233,149 464,431 Vp P.L.C. 167,297 1,332,126 * Wincanton P.L.C. 487,185 992,565 WS Atkins P.L.C. 523,508 10,356,164 # XP Power, Ltd. 73,829 1,862,695 ------------ Total Industrials 528,161,061 ------------ Information Technology -- (7.7%) Acal P.L.C. 104,729 560,603 Anite P.L.C. 1,253,216 1,809,709 Aveva Group PLC 26,720 1,107,127 Computacenter P.L.C. 422,291 4,003,449 CSR P.L.C. 916,815 8,075,701 Diploma P.L.C. 564,734 6,272,569 Domino Printing Sciences P.L.C. 517,750 5,733,695 E2V Technologies P.L.C. 453,555 1,047,129 Electrocomponents P.L.C. 2,186,053 10,450,916 Fidessa Group P.L.C. 154,478 5,008,603 * Filtronic P.L.C. 4,262 4,499 Halma P.L.C. 1,738,128 15,266,910 * Imagination Technologies Group P.L.C. 205,118 913,437 * Innovation Group P.L.C. 4,509,376 2,296,534 * Kofax P.L.C. 354,254 2,154,224 Laird P.L.C. 1,350,522 5,402,558 Micro Focus International P.L.C. 678,082 8,887,453 Moneysupermarket.com Group P.L.C. 489,434 1,201,980 NCC Group P.L.C. 202,852 532,374 Oxford Instruments P.L.C. 147,050 3,066,487 Pace P.L.C. 1,487,713 7,265,368 Phoenix IT Group, Ltd. 204,614 480,397 Playtech P.L.C. 362,226 4,268,355 Premier Farnell P.L.C. 1,753,733 6,337,053 * PV Crystalox Solar P.L.C. 384,786 78,663 Renishaw P.L.C. 188,423 4,898,010 RM P.L.C. 363,499 666,537
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Information Technology -- (Continued) SDL P.L.C. 347,207 $ 1,403,775 Sepura P.L.C. 188,822 441,734 Spectris P.L.C. 582,385 21,564,398 Spirent Communications P.L.C. 2,633,737 4,666,960 Telecity Group P.L.C. 656,941 8,031,378 TT electronics P.L.C. 815,556 2,603,134 Vislink P.L.C. 274,226 214,544 * Wolfson Microelectronics P.L.C. 504,759 1,134,254 Xaar P.L.C. 265,195 3,562,155 Xchanging P.L.C. 1,285,220 2,609,212 ------------ Total Information Technology 154,021,884 ------------ Materials -- (7.5%) # African Barrick Gold P.L.C. 378,833 1,170,548 Alent P.L.C. 1,359,075 7,553,040 AZ Electronic Materials SA 786,307 3,612,267 British Polythene Industries P.L.C. 137,680 1,508,551 Carclo P.L.C. 200,519 1,208,321 * Centamin P.L.C. 4,259,698 3,428,925 Croda International P.L.C. 442,133 17,277,527 DS Smith P.L.C. 4,875,734 23,632,372 Elementis P.L.C. 2,357,537 9,786,488 Essentra PLC 895,518 11,259,255 * Evraz P.L.C. 54,653 103,292 Ferrexpo P.L.C. 955,423 2,774,349 * Gem Diamonds, Ltd. 470,255 1,200,709 Hill & Smith Holdings P.L.C. 427,877 3,296,635 Hochschild Mining P.L.C. 657,160 1,742,643 * International Ferro Metals, Ltd. 423,652 59,875 # Kazakhmys P.L.C. 206,718 869,727 * Lonmin P.L.C. 2,202,370 11,375,610 Low & Bonar P.L.C. 1,065,095 1,314,698 Marshalls P.L.C. 848,249 2,368,053 Mondi P.L.C. 691,204 12,342,094 # New World Resources P.L.C. Class A 133,089 191,202 * Petra Diamonds, Ltd. 1,141,429 2,038,805 # Petropavlovsk P.L.C. 708,130 908,741 RPC Group P.L.C. 746,324 6,105,456 Synthomer P.L.C. 1,165,169 4,543,104 # Vedanta Resources P.L.C. 480,809 8,191,998 Victrex P.L.C. 379,704 10,034,703 Zotefoams P.L.C. 96,852 280,924 ------------ Total Materials 150,179,912 ------------ Telecommunication Services -- (2.3%) Cable & Wireless Communications P.L.C. 6,118,769 4,590,487 * Colt Group SA 1,368,251 2,703,658 Inmarsat P.L.C. 2,097,288 24,206,344 Kcom Group P.L.C. 2,964,536 4,769,415 TalkTalk Telecom Group P.L.C. 2,542,439 10,883,485 ------------ Total Telecommunication Services 47,153,389 ------------
THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED
Shares Value++ ----------- -------------- Utilities -- (2.4%) Dee Valley Group P.L.C. 12,109 $ 289,267 Drax Group P.L.C. 2,103,725 21,477,657 Pennon Group P.L.C. 1,980,713 21,629,062 Telecom Plus P.L.C. 197,486 4,879,975 -------------- Total Utilities 48,275,961 -------------- TOTAL COMMON STOCKS 1,978,538,145 -------------- PREFERRED STOCKS -- (0.0%) McBride P.L.C. 28,231,995 45,267 REA Holdings P.L.C., 9.000% 3,038 5,607 -------------- TOTAL PREFERRED STOCKS 50,874 -------------- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (1.5%) (S)@ DFA Short Term Investment Fund 2,592,913 30,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $735,534 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $665,157) to be repurchased at $652,117 $ 652 652,115 -------------- TOTAL SECURITIES LENDING COLLATERAL 30,652,115 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $1,356,132,190) $2,009,241,134 ==============
THE CONTINENTAL SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ ------- ----------- COMMON STOCKS -- (86.7%) AUSTRIA -- (2.1%) * A-TEC Industries AG 21,828 $ -- Agrana Beteiligungs AG 17,354 2,115,960 AMAG Austria Metall AG 1,988 57,524 Atrium European Real Estate, Ltd. 614,001 3,666,994 Austria Technologie & Systemtechnik AG 71,774 684,159 BKS Bank AG 3,120 74,379 CA Immobilien Anlagen AG 163,483 2,486,113 Conwert Immobilien Invest SE 17,496 217,791 DO & Co. AG 14,838 710,662 # EVN AG 159,810 2,435,379 Flughafen Wien AG 47,263 3,646,075 Frauenthal Holding AG 4,212 52,695 # IMMOFINANZ AG 15,360 67,271 Josef Manner & Co. AG 870 67,555 # Kapsch TrafficCom AG 23,418 1,264,027 # Lenzing AG 51,434 3,836,909 Mayr Melnhof Karton AG 45,831 5,110,991 # Oberbank AG 37,973 2,475,436 # Oesterreichische Post AG 151,659 7,111,707 # Palfinger AG 57,325 2,115,643 POLYTEC Holding AG 82,397 793,148 RHI AG 113,647 4,193,671 Rosenbauer International AG 16,122 1,302,805 S IMMO AG 254,156 1,707,688 Schoeller-Bleckmann Oilfield Equipment AG 52,807 6,092,309 Semperit AG Holding 49,494 2,423,735 Strabag SE 102,680 2,698,947 Telekom Austria AG 560,193 4,605,230 UBM Realitaetenentwicklung AG 2,880 65,519 # UNIQA Insurance Group AG 361,548 4,420,079 # Wienerberger AG 533,293 9,250,481 #* Wolford AG 11,252 300,016 Zumtobel AG 145,385 2,594,422 ----------- TOTAL AUSTRIA 78,645,320 ----------- BELGIUM -- (2.6%) * Ablynx NV 129,167 1,267,548 Ackermans & van Haaren NV 118,073 12,787,617 * AGFA-Gevaert NV 898,617 2,134,031 Arseus NV 103,428 3,194,223 # Atenor Group 6,182 281,617 Banque Nationale de Belgique 968 3,795,454 Barco NV 60,150 4,552,962 Cie d'Entreprises CFE 41,428 3,273,640 Cie Immobiliere de Belgique SA 12,636 617,241 Cie Maritime Belge SA 66,098 1,759,371 Co.Br.Ha Societe Commerciale de Brasserie SA 115 271,344 D'ieteren SA 129,060 6,081,798 #* Deceuninck NV 364,236 864,772 # Econocom Group 265,744 2,582,049
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ----------- BELGIUM -- (Continued) # Elia System Operator SA 135,158 $ 6,180,723 * Euronav NV 101,119 712,377 EVS Broadcast Equipment SA 60,843 3,980,449 Exmar NV 132,340 1,909,467 * Floridienne SA 1,751 163,898 #* Galapagos NV 110,191 2,129,801 Gimv NV 13,949 706,958 * Hamon & CIE SA 4,508 86,398 * Ion Beam Applications 89,062 734,919 Jensen-Group NV 13,482 198,393 Kinepolis Group NV 19,582 2,857,112 Lotus Bakeries 1,361 1,264,430 #* MDxHealth 44,100 177,219 Melexis NV 95,956 3,120,095 Mobistar SA 87,167 1,510,946 # NV Bekaert SA 190,167 7,962,830 # Nyrstar 742,718 3,047,399 #* Picanol 26,648 880,721 #* RealDolmen NV/SA(B3M0622) 7,587 177,956 * RealDolmen NV/SA(5529094) 120 20 Recticel SA 101,580 681,945 # Resilux 4,519 510,873 * RHJ International 54,210 283,500 * Roularta Media Group NV 10,263 164,719 Sapec 2,832 179,946 Sioen Industries NV 52,140 617,642 Sipef SA 30,617 2,323,907 TER Beke SA 2,260 174,145 # Tessenderlo Chemie NV 132,614 3,319,529 #* ThromboGenics NV 155,245 4,274,664 Van de Velde NV 35,750 1,817,094 ----------- TOTAL BELGIUM 95,613,742 ----------- DENMARK -- (4.1%) ALK-Abello A.S. 29,336 2,787,150 * Alm Brand A.S. 484,611 1,896,868 # Ambu A.S. Class B 27,380 1,232,373 Arkil Holding A.S. Class B 504 55,968 * Atlantic Petroleum P/F 4,328 114,022 * Auriga Industries Class B 96,829 3,799,916 #* Bang & Olufsen A.S. 161,993 1,564,648 BankNordik P/F 942 24,608 * Bavarian Nordic A.S. 105,508 1,282,962 * BoConcept Holding A.S. Class B 5,365 90,950 Brodrene Hartmann A.S. 13,977 352,551 D/S Norden A.S. 110,869 4,876,451 Dfds A.S. 18,568 1,351,825 Djurslands Bank A.S. 8,970 288,157 * East Asiatic Co., Ltd. A.S. 55,571 949,720 FE Bording A.S. 426 48,818 # FLSmidth & Co. A.S. 118,320 5,905,275 Fluegger A.S. Class B 4,198 282,792
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ DENMARK -- (Continued) * Genmab A.S. 186,552 $ 8,105,183 GN Store Nord A.S. 772,340 17,619,238 * GPV Industri A.S. Series B 2,200 -- #* Greentech Energy Systems A.S. 12,775 33,915 Gronlandsbanken AB 1,125 139,105 * H+H International A.S. Class B 21,395 120,762 Harboes Bryggeri A.S. Class B 12,252 171,102 IC Companys A.S. 35,278 955,751 * Incentive A.S. 3,575 -- Jeudan A.S. 4,800 506,162 * Jyske Bank A.S. 252,239 14,261,538 Lan & Spar Bank 5,150 277,129 Lastas A.S. Class B 5,633 4,871 NKT Holding A.S. 110,421 5,358,684 Nordjyske Bank A.S. 17,600 355,361 Norresundby Bank A.S. 7,350 287,055 Pandora A.S. 68,274 3,254,437 * Parken Sport & Entertainment A.S. 33,556 477,783 PER Aarsleff A.S. Class B 7,270 905,308 Ringkjoebing Landbobank A.S. 18,956 3,815,493 Roblon A.S. Class B 2,700 117,199 Rockwool International A.S. Class B 30,614 4,815,202 Royal UNIBREW A.S. 45,850 5,886,053 Schouw & Co. 74,017 2,760,428 SimCorp A.S. 194,860 6,379,377 Solar A.S. Class B 22,896 1,303,515 * Spar Nord Bank A.S. 330,513 2,952,658 * Sydbank A.S. 317,330 9,383,342 Tivoli A.S. 969 513,209 * TK Development A.S. 358,493 446,911 * Topdanmark A.S. 507,925 13,824,624 * TopoTarget A.S. 546,711 255,797 * Topsil Semiconductor Matls 262,172 40,548 #* Torm A.S. 543,877 168,951 # United International Enterprises 8,918 1,708,492 #* Vestas Wind Systems A.S. 693,291 18,578,010 * Vestjysk Bank A.S. 35,584 81,219 #* Zealand Pharma A.S. 32,819 369,210 ------------ TOTAL DENMARK 153,138,676 ------------ FINLAND -- (5.5%) Afarak Group Oyj 604,909 287,629 Ahlstrom Oyj 44,038 546,632 Aktia Bank Oyj 33,238 344,571 Alma Media Oyj 277,852 1,187,098 Amer Sports Oyj 550,929 11,303,591 Apetit Oyj 19,402 500,717 Aspo Oyj 83,192 606,893 Atria P.L.C. 34,948 386,649 Bank of Aland P.L.C. Class B 22,078 245,503 BasWare Oyj 34,550 1,004,295 * Biotie Therapies Oyj 955,389 452,746
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- FINLAND -- (Continued) # Cargotec Oyj 158,389 $ 5,783,667 * Caverion Corp. 483,134 3,776,782 Citycon Oyj 1,334,997 4,759,049 #* Comptel Oyj 337,600 215,662 Cramo Oyj 148,755 2,974,137 Digia P.L.C. 48,912 264,782 * Efore Oyj 49,703 48,451 Elektrobit Corp. 79,135 151,745 # Elisa Oyj 663,319 16,618,626 eQ P.L.C. 29,413 97,704 # F-Secure Oyj 463,536 1,198,045 Finnair Oyj 407,001 1,553,515 * Finnlines Oyj 124,906 1,131,161 # Fiskars Oyj Abp 195,801 5,012,656 * GeoSentric Oyj 244,900 -- HKScan Oyj Class A 117,880 539,473 Huhtamaki Oyj 451,936 10,863,399 Ilkka-Yhtyma Oyj 61,503 255,195 Kemira Oyj 472,368 7,584,381 Kesko Oyj Class B 297,917 9,899,789 Konecranes Oyj 245,559 8,272,866 Lassila & Tikanoja Oyj 144,688 3,033,899 Lemminkainen Oyj 26,333 528,687 # Metsa Board Oyj 1,549,706 6,013,361 * Munksjo Oyj 10,815 69,084 # Neste Oil Oyj 596,102 11,819,716 Okmetic Oyj 59,222 431,189 Olvi Oyj Class A 67,692 2,439,674 Oriola-KD Oyj Class A 5,045 16,454 Oriola-KD Oyj Class B 491,691 1,594,559 Orion Oyj Class A 130,940 3,505,870 # Orion Oyj Class B 384,369 10,330,388 #* Outokumpu Oyj 4,209,557 2,337,769 # Outotec Oyj 697,608 6,898,704 PKC Group Oyj 87,713 2,860,680 Pohjola Bank P.L.C. Class A 150,090 2,733,244 Ponsse Oy 25,697 312,000 * Poyry Oyj 190,749 1,010,315 Raisio P.L.C. Class V 541,284 3,149,640 Ramirent Oyj 322,584 3,876,256 Rapala VMC Oyj 113,258 776,809 Rautaruukki Oyj 439,221 3,798,946 Revenio Group OYJ 1,070 16,809 Saga Furs Oyj 11,324 676,838 # Sanoma Oyj 349,325 3,030,830 Sievi Capital P.L.C. 123,479 177,873 SRV Group P.L.C. 9,181 51,409 Stockmann Oyj Abp(5462371) 43,914 732,875 # Stockmann Oyj Abp(5462393) 138,362 2,209,162 # Technopolis Oyj 323,578 2,195,957 Teleste Oyj 53,559 305,944 Tieto Oyj 302,101 6,637,073
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ------------ FINLAND -- (Continued) # Tikkurila Oyj 175,018 $ 4,537,597 # Uponor Oyj 244,992 4,839,065 Vacon P.L.C. 46,607 3,463,884 Vaisala Oyj Class A 40,712 994,923 * Viking Line Abp 10,366 254,481 YIT Oyj 500,865 6,496,796 ------------ TOTAL FINLAND 202,026,169 ------------ FRANCE -- (11.1%) ABC Arbitrage 22,399 153,066 #* Air France-KLM 722,730 7,537,473 Akka Technologies SA 8,290 248,546 Albioma 96,570 2,360,358 #* Alcatel-Lucent 12,082,064 46,287,055 Ales Groupe 669 12,038 Altamir 81,618 1,112,985 Alten SA 92,635 4,188,616 Altran Technologies SA 676,432 5,994,823 April 76,998 1,637,022 #* Archos 16,779 81,575 Assystem 65,144 1,773,312 * Atari SA 68,443 -- Aubay 10,285 96,020 #* Audika Groupe 22,298 299,723 Aurea SA 2,794 16,115 Axway Software SA 27,272 818,676 #* Beneteau SA 184,191 3,372,856 #* Bigben Interactive 20,361 203,933 BioMerieux 22,777 2,286,176 Boiron SA 29,446 1,992,271 Bonduelle SCA 77,754 1,940,140 Bongrain SA 34,266 2,506,101 # Bourbon SA 216,060 6,157,684 * Boursorama 92,227 925,456 * Bull 402,126 1,775,662 Burelle SA 3,866 3,071,043 * Cegedim SA 19,533 516,053 Cegid Group 22,946 669,927 * CGG 455,425 10,010,199 #* Chargeurs SA 41,322 305,958 # Cie des Alpes 17,687 359,683 Cie Industrielle et Financiere D'Entreprises 1,200 93,544 Ciments Francais SA 47,966 3,435,368 * Club Mediterranee SA 107,104 2,526,940 * Derichebourg SA 548,515 1,916,934 # Devoteam SA 27,431 487,859 Eiffage SA 169,719 10,058,094 # Electricite de Strasbourg 21,886 3,013,505 Eramet 8,545 811,443 Esso SA Francaise 11,770 757,510 Etablissements Maurel et Prom 419,398 6,752,241 Euler Hermes SA 52,633 6,948,846
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- FRANCE -- (Continued) * Euro Disney SCA 36,268 $ 236,633 Eurofins Scientific 20,557 5,627,625 Exel Industries Class A 10,680 577,598 Faiveley Transport SA 35,342 2,758,260 #* Faurecia 216,138 6,299,094 # Fimalac 31,490 1,954,830 Fleury Michon SA 4,694 295,164 * GameLoft SE 132,025 1,400,660 Gaumont SA 13,980 681,464 # GEA 2,218 242,973 #* GECI International 59,392 -- Gevelot SA 3,584 338,318 # GL Events 48,302 1,043,319 Groupe Crit 24,255 1,029,979 Groupe Eurotunnel SA 799,822 7,742,988 # Groupe Flo 35,997 158,389 * Groupe Fnac 9,578 267,673 Groupe Open 27,590 262,307 Groupe Steria SCA 135,577 2,505,113 Guerbet 6,577 893,094 * Haulotte Group SA 65,672 800,421 Havas SA 1,237,953 10,294,089 * Hi-Media SA 134,290 342,522 # Ingenico 98,460 7,396,171 Interparfums SA 29,888 1,177,028 Ipsen SA 62,390 2,732,834 IPSOS 159,746 6,724,375 Jacquet Metal Service 55,520 932,839 Korian 14,713 459,595 L.D.C. SA 19 3,059 Lagardere SCA 427,942 15,546,813 Lanson-BCC 7,992 351,026 Laurent-Perrier 12,675 1,183,994 * Le Noble Age 542 9,999 # Lectra 94,714 897,934 LISI 17,353 2,678,288 Maisons France Confort 15,380 567,140 # Manitou BF SA 48,911 921,279 Manutan International 14,553 888,460 Medica SA 183,725 4,721,182 Mersen 72,883 2,666,059 Metropole Television SA 236,930 5,450,202 # MGI Coutier 2,979 365,327 Montupet 30,887 1,160,271 * Mr Bricolage 30,731 421,507 Naturex 24,725 1,951,761 # Neopost SA 167,752 12,665,437 # Nexans SA 131,823 5,860,986 Nexity SA 110,520 4,327,357 NextRadioTV 10,035 231,188 * NicOx SA 3,470 11,639 Norbert Dentressangle SA 20,989 2,380,713
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- FRANCE -- (Continued) #* NRJ Group 72,524 $ 698,890 #* Orco Property Group 161,646 487,261 Orpea 128,403 6,925,626 * Osiatis SA 26,496 371,621 Paris Orleans SA 456 11,249 * Parrot SA 38,572 1,074,946 #* Peugeot SA 1,076,690 14,163,830 #* Pierre & Vacances SA 22,855 613,790 Plastic Omnium SA 324,906 9,282,252 PSB Industries SA 8,438 343,494 Rallye SA 106,948 4,551,274 #* Recylex SA 83,164 374,345 Robertet SA 3,167 773,515 Rubis SCA 157,540 9,834,840 Sa des Ciments Vicat 55,830 4,171,586 Saft Groupe SA 126,335 4,006,089 Samse SA 8,342 826,191 Sartorius Stedim Biotech 7,017 1,055,081 SEB SA 37,211 3,338,805 Seche Environnement SA 9,167 367,250 Securidev SA 2,500 118,755 #* Sequana SA 44,019 364,532 Soc Mar Tunnel Prado Car 2,292 90,016 Societe d'Edition de Canal + 272,836 2,249,664 Societe des Bains de Mer et du Cercle des Etrangers a Monaco 46,150 2,521,071 Societe Internationale de Plantations d'Heveas SA 7,778 583,150 Societe pour l'Informatique Industrielle 40,908 342,468 Societe Television Francaise 1 567,362 10,931,881 #* SOITEC 826,614 1,868,377 #* Solocal Group 630,719 1,469,308 # Somfy SA 21,738 5,417,923 Sopra Group SA 23,140 2,022,650 #* Spir Communication 4,687 95,684 #* Ste Industrielle d'Aviation Latecoere SA 30,831 553,995 Stef 29,121 1,957,598 * Store Electronic 8,638 155,360 Sword Group 30,562 644,021 # Synergie SA 60,624 1,094,033 * Technicolor SA 382,853 2,065,847 Teleperformance 275,593 14,588,498 Tessi SA 7,038 961,549 #* Theolia SA 281,335 527,135 Thermador Groupe 8,185 732,036 Tonnellerie Francois Freres 5,013 413,443 Total Gabon 1,307 838,668 Touax SA 4,773 127,817 * Trigano SA 38,518 817,524 * UBISOFT Entertainment 459,542 5,894,831 Union Financiere de France BQE SA 16,679 399,179 Valeo SA 17,099 1,691,591 * Valneva SE 114,605 745,138 # Vetoquinol SA 7,362 292,984
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ FRANCE -- (Continued) Viel et Co. 158,130 $ 521,798 # Vilmorin & Cie 22,432 2,646,310 Virbac SA 17,539 3,527,980 #* Vivalis SA 18,706 121,645 * VM Materiaux SA 6,914 263,406 # Vranken-Pommery Monopole SA 18,881 610,942 ------------ TOTAL FRANCE 409,490,547 ------------ GERMANY -- (12.5%) * Aareal Bank AG 423,110 16,227,581 Adler Modemaerkte AG 29,862 385,080 * ADVA Optical Networking SE 189,709 1,012,667 #* Air Berlin P.L.C. 105,821 243,765 #* Aixtron SE NA 409,853 5,882,335 * Aligna AG 318,087 -- Allgeier SE 24,659 519,126 Amadeus Fire AG 20,030 1,318,287 Analytik Jena AG 2,238 44,862 * AS Creation Tapeten 7,109 371,907 #* Asian Bamboo AG 8,245 26,678 Aurubis AG 153,470 9,669,371 # Balda AG 127,634 791,945 Basler AG 356 14,472 Bauer AG 45,945 1,126,829 # BayWa AG(5838057) 57,667 2,936,810 BayWa AG(5838068) 124 6,689 Bechtle AG 71,274 4,570,675 Bertrandt AG 23,001 3,008,221 Bijou Brigitte AG 18,449 1,944,101 Bilfinger SE 290 32,181 Biotest AG 20,784 1,718,568 * BKN International AG 33,408 136 Borussia Dortmund GmbH & Co. KGaA 264,935 1,368,226 CANCOM SE 50,978 1,954,906 Carl Zeiss Meditec AG 94,585 2,987,723 CAT Oil AG 73,663 1,797,482 # Celesio AG 406,712 12,644,638 CENIT AG 35,810 502,413 CENTROTEC Sustainable AG 43,285 1,076,175 Cewe Stiftung & Co. KGAA 22,058 1,233,382 * Colonia Real Estate AG 16,334 106,869 Comdirect Bank AG 179,407 2,039,025 # CompuGroup Medical AG 58,460 1,522,795 * Constantin Medien AG 351,622 786,484 CropEnergies AG 99,798 933,648 CTS Eventim AG 106,100 5,172,631 DAB Bank AG 130,043 654,563 Data Modul AG 11,455 249,118 # Delticom AG 25,992 1,370,749 * Deufol SE 76,487 140,244 # Deutsche Beteiligungs AG 29,148 765,221 # Deutsche Wohnen AG 816,056 15,347,428
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- GERMANY -- (Continued) * Deutz AG 440,031 $ 4,173,646 #* Dialog Semiconductor P.L.C. 289,462 5,561,639 DIC Asset AG 13,115 144,820 DMG MORI SEIKI AG 285,594 9,387,901 Dr Hoenle AG 21,610 358,803 Draegerwerk AG & Co. KGaA 6,123 605,991 Drillisch AG 228,312 5,883,752 Duerr AG 107,838 9,437,841 DVB Bank SE 21,139 696,575 Eckert & Ziegler AG 17,884 727,473 Elmos Semiconductor AG 47,055 618,109 ElringKlinger AG 140,315 5,966,083 Erlus AG 2,970 175,750 # Euromicron AG 30,517 723,285 #* Evotec AG 1,165,338 6,817,126 Fielmann AG 32,673 3,653,891 #* First Sensor AG 19,888 200,996 #* Francotyp-Postalia Holding AG Class A 40,875 234,788 Freenet AG 489,959 12,726,578 Fuchs Petrolub AG 99,499 6,764,192 * GAGFAH SA 281,532 3,990,666 GBW AG 21,076 642,217 Gerresheimer AG 149,928 9,917,553 # Gerry Weber International AG 89,543 3,710,494 Gesco AG 14,980 1,523,605 GFK SE 72,318 4,228,902 GFT Technologies AG 74,544 611,613 #* Gigaset AG 123,765 170,239 Grammer AG 56,930 2,648,931 Grenkeleasing AG 32,703 3,235,259 * GSW Immobilien AG 198,352 9,223,946 * H&R AG 50,783 614,717 Hamburger Hafen und Logistik AG 78,568 1,971,648 #* Hansa Group AG 146,815 292,366 # Hawesko Holding AG 19,480 1,004,562 #* Heidelberger Druckmaschinen AG 1,093,379 2,923,006 # Highlight Communications AG 98,062 503,293 Homag Group AG 25,484 615,171 Hornbach Baumarkt AG 131 4,708 Indus Holding AG 105,351 3,785,696 Init Innovation In Traffic Systems AG 6,404 202,798 * Intershop Communications AG 62,598 123,868 Isra Vision AG 15,060 722,179 * IVG Immobilien AG 278,810 26,678 Jenoptik AG 214,467 3,746,697 * Joyou AG 12,175 231,150 # K+S AG 46,883 1,191,278 * Kampa AG 7,101 424 * Kloeckner & Co. SE 486,189 6,857,914 Koenig & Bauer AG 23,909 456,252 Kontron AG 236,302 1,616,288 # Krones AG 72,618 6,356,042
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ----------- GERMANY -- (Continued) KSB AG 3,584 $ 2,348,139 # KUKA AG 130,343 5,932,144 KWS Saat AG 16,490 5,888,712 Leifheit AG 12,500 509,915 Leoni AG 158,380 10,719,775 LPKF Laser & Electronics AG 94,752 1,973,840 #* Manz AG 10,384 749,532 * MasterFlex SE 19,347 177,058 * Maxdata Computer AG 94,120 -- * Mediclin AG 119,554 701,647 #* Medigene AG 23,760 123,176 MLP AG 216,957 1,353,725 # Mobotix AG 13,494 289,543 * Morphosys AG 70,908 5,484,915 MTU Aero Engines AG 10,103 1,007,586 # Muehlbauer Holding AG & Co. KGaA 14,905 394,958 # MVV Energie AG 114,055 3,773,278 Nemetschek AG 24,668 1,628,106 Nexus AG 42,453 593,751 * Nordex SE 279,193 4,893,315 Norma Group SE 143,509 7,176,918 OHB AG 35,659 848,707 * Osram Licht AG 24,717 1,280,160 P&I Personal & Informatik AG 17,863 1,137,823 * Patrizia Immobilien AG 160,052 1,499,116 Pfeiffer Vacuum Technology AG 42,721 4,974,498 PNE Wind AG 250,637 991,964 * Powerland AG 4,118 18,544 Progress-Werk Oberkirch AG 7,812 444,557 # PSI AG Gesellschaft Fuer Produkte und Systeme der Informationstechnologie 28,155 468,626 Pulsion Medical Systems SE 6,063 127,454 # Puma SE 4,958 1,474,982 # PVA TePla AG 46,019 183,516 QSC AG 467,082 2,905,286 R Stahl AG 14,410 697,540 Rational AG 7,789 2,385,154 Rheinmetall AG 189,044 11,687,366 Rhoen Klinikum AG 500,406 13,984,605 RIB Software AG 85,906 765,450 * SAF-Holland SA 216,230 3,073,905 Salzgitter AG 169,702 7,468,475 Schaltbau Holding AG 14,476 800,807 Sektkellerei Schloss Wachenheim AG 7,479 103,897 * SER Systems AG 9,400 -- # SGL Carbon SE 229,387 8,945,413 # SHW AG 12,018 737,939 #* Singulus Technologies AG 236,814 579,472 Sinner AG 1,159 21,847 Sixt SE 81,198 2,446,807 SKW Stahl-Metallurgie Holding AG 25,308 411,690 # SMA Solar Technology AG 46,478 1,894,608 SMT Scharf AG 17,833 577,618
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ GERMANY -- (Continued) Softing AG 5,794 $ 109,688 Software AG 286,671 10,614,691 #* Solarworld AG 336,956 359,361 Stada Arzneimittel AG 287,980 16,553,592 STINAG Stuttgart Invest AG 1,594 34,650 * Stroeer Media AG 99,453 1,718,223 #* Suss Microtec AG 92,598 981,956 # Symrise AG 155,836 6,597,986 Syzygy AG 30,656 184,543 # TAG Immobilien AG 455,809 5,505,921 Takkt AG 126,507 2,512,030 # Technotrans 29,535 313,404 # Telegate AG 23,076 200,551 * Tipp24 SE 26,748 1,739,659 #* Tom Tailor Holding AG 83,114 1,894,371 # Tomorrow Focus AG 113,715 683,038 #* TUI AG 673,397 8,921,347 UMS United Medical Systems International AG 3,304 42,962 * VBH Holding AG 9,415 33,431 * Verbio AG 796 1,143 # Vossloh AG 37,975 3,917,166 VTG AG 47,714 995,138 # Wacker Chemie AG 12,207 1,146,335 # Wacker Neuson SE 83,600 1,284,164 Washtec AG 5,625 80,256 Wincor Nixdorf AG 141,991 9,388,197 Wirecard AG 112,653 4,098,692 XING AG 11,101 1,119,472 ------------ TOTAL GERMANY 462,205,231 ------------ GREECE -- (2.0%) * Aegean Airlines SA 5,746 49,678 * Alfa Alfa Energy S.A. 3,810 -- * Alpha Bank AE 514,289 460,665 * Alysida S.A. 2,376 -- * Astir Palace Hotel SA 93,886 508,925 Athens Water Supply & Sewage Co. SA (The) 116,677 1,316,587 * Atlantic Supermarkets SA 34,730 -- * Autohellas SA 19,769 230,513 * Babis Vovos International Construction SA 21,073 -- * Balafas S.A. 15,200 -- * Bank of Cyprus P.L.C. 4,342,301 -- Bank of Greece 133,571 2,904,446 * Daios Plastics SA 15,442 73,024 * Diagnostic & Therapeutic Center of Athens Hygeia SA 85,353 53,500 * Elektroniki Athinon SA 7,497 4,886 * Ellaktor SA 544,614 2,366,812 * Elval - Hellenic Aluminium Industry SA 28,590 76,962 * Etma Rayon SA 11,242 -- * Euromedica SA 14,719 7,541 * Folli Follie SA 150,049 4,456,755 * Fourlis Holdings SA 146,787 695,489
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- GREECE -- (Continued) * Frigoglass SA 115,348 $ 922,748 * GEK Terna Holding Real Estate Construction SA 296,155 1,260,846 * Halcor SA 142,942 167,431 Hellenic Exchanges SA Holding Clearing Settlement and Registry 296,505 3,116,581 Hellenic Petroleum SA 326,121 4,240,579 * Hellenic Telecommunications Organization SA 707,121 8,899,410 * Iaso SA 206,042 360,416 * Informatics S.A. 3,778 -- * Intracom Holdings SA 247,375 191,631 Intralot SA-Integrated Lottery Systems & Services 551,157 1,454,909 * Ipirotiki Software & Publications S.A. 22,110 -- * JUMBO SA 400,965 5,379,989 * Lamda Development SA 905 5,993 * Lan-Net S.A. 12,688 -- * Marfin Investment Group Holdings SA 2,380,237 1,517,556 Metka SA 101,638 1,908,288 Motor Oil Hellas Corinth Refineries SA 246,966 2,936,001 * Mytilineos Holdings SA 367,558 2,967,993 * National Bank of Greece SA 511,687 2,906,298 * Neorion Holdings SA 14,991 2,544 OPAP SA 168,712 2,095,011 * Piraeus Bank SA 235,090 490,746 Piraeus Port Authority 21,267 516,688 * Promota Hellas S.A. 8,860 -- * Proton Bank SA 141,214 -- Public Power Corp. SA 528,487 7,854,210 * Sarantis SA 74,884 595,392 * Sidenor Steel Products Manufacturing Co. SA 79,509 184,080 * T Bank SA 228,007 -- Terna Energy SA 150,484 744,097 * Themeliodomi S.A. 37,422 -- Thessaloniki Port Authority SA 6,936 235,232 Thessaloniki Water Supply & Sewage Co. SA 15,807 126,795 Thrace Plastics Co. SA 33,856 63,989 * Titan Cement Co. SA 203,501 5,535,370 * TT Hellenic Postbank SA 695,353 -- * Viohalco Hellenic Copper and Aluminum Industry SA 603,593 5,974,777 ----------- TOTAL GREECE 75,861,383 ----------- IRELAND -- (1.9%) Aer Lingus Group P.L.C. 752,359 1,429,367 * Aminex P.L.C. 496,086 18,523 C&C Group P.L.C.(B010DT8) 399,607 2,330,067 C&C Group P.L.C.(B011Y09) 1,014,594 5,939,754 Dragon Oil P.L.C. 953,523 8,982,244 FBD Holdings P.L.C. 125,728 2,651,574 Glanbia P.L.C.(4058629) 56,545 791,500 Glanbia P.L.C.(0066950) 700,613 9,858,118 IFG Group P.L.C. 271,865 515,586 Irish Continental Group P.L.C.(3333651) 23,420 810,205 Irish Continental Group P.L.C.(3339455) 14,903 522,907 * Kenmare Resources P.L.C. 4,546,361 1,466,217
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ----------- IRELAND -- (Continued) Kingspan Group P.L.C. 511,601 $ 8,555,934 Paddy Power P.L.C.(0258810) 175,221 14,181,124 Paddy Power P.L.C.(4828974) 6,799 553,844 Smurfit Kappa Group P.L.C. 554,973 13,433,965 ----------- TOTAL IRELAND 72,040,929 ----------- ISRAEL -- (2.3%) #* Africa Israel Investments, Ltd. 410,076 690,332 * Africa Israel Properties, Ltd. 57,169 890,335 Africa Israel Residences, Ltd. 594 8,795 * Airport City, Ltd. 142,471 1,231,589 * AL-ROV Israel, Ltd. 16,940 562,129 * Albaad Massuot Yitzhak, Ltd. 370 6,983 * Allot Communications, Ltd. 34,073 453,667 #* Alon Blue Square Israel, Ltd. 58,561 230,961 * Alrov Properties and Lodgings, Ltd. 10,610 308,159 Amot Investments, Ltd. 248,365 711,474 * AudioCodes, Ltd. 159,083 956,842 Avgol Industries 1953, Ltd. 420,938 378,382 #* Azorim-Investment Development & Construction Co., Ltd. 380,820 409,970 # Babylon, Ltd. 134,822 288,292 Bayside Land Corp. 2,689 695,037 Big Shopping Centers 2004, Ltd. 5,139 184,540 * Biocell, Ltd. 15,003 83,483 * BioLine RX, Ltd. 596,298 151,737 Blue Square Real Estate, Ltd. 3,962 145,867 * Cellcom Israel, Ltd. 167,563 1,951,076 * Ceragon Networks, Ltd. 77,319 268,292 #* Clal Biotechnology Industries, Ltd. 174,162 378,037 Clal Industries, Ltd. 305,278 1,360,590 Clal Insurance Enterprises Holdings, Ltd. 88,615 1,736,652 * Cohen Development & Industrial Buildings, Ltd. 944 27,949 * Compugen, Ltd. 69,314 687,324 Delek Automotive Systems, Ltd. 145,079 1,608,587 Delta-Galil Industries, Ltd. 47,407 1,118,336 Direct Insurance Financial Investments, Ltd. 39,020 216,805 * El Al Israel Airlines 77,144 12,666 Elbit Systems, Ltd. 94,354 5,035,768 Electra, Ltd. 7,074 891,490 * Elron Electronic Industries, Ltd. 60,778 445,371 * Equital, Ltd. 2,543 40,330 * Evogene, Ltd. 119,806 974,772 #* EZchip Semiconductor, Ltd. 106,730 2,811,214 # First International Bank Of Israel, Ltd. 98,118 1,610,010 FMS Enterprises Migun, Ltd. 10,227 120,171 Formula Systems 1985, Ltd. 36,549 949,080 Fox Wizel, Ltd. 6,519 152,715 # Frutarom Industries, Ltd. 174,875 3,133,218 * Gilat Satellite Networks, Ltd. 100,149 511,213 * Given Imaging, Ltd. 57,544 1,156,325 Golf & Co., Ltd. 74,605 260,493 * Hadera Paper, Ltd. 10,176 597,768
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- ISRAEL -- (Continued) Harel Insurance Investments & Financial Services, Ltd. 469,890 $ 2,755,316 # Industrial Buildings Corp. 347,656 627,476 #* Israel Discount Bank, Ltd. Class A 3,446,930 6,878,535 Israel Land Development Co., Ltd. (The) 22,310 92,085 Ituran Location and Control, Ltd. 84,441 1,544,721 #* Jerusalem Oil Exploration 39,274 1,450,410 #* Kamada, Ltd. 119,349 1,722,525 Kerur Holdings, Ltd. 2,133 37,122 Maabarot Products, Ltd. 21,999 243,827 Magic Software Enterprises, Ltd. 51,716 325,478 Matrix IT, Ltd. 182,457 959,919 Maytronics, Ltd. 6,672 12,040 #* Mazor Robotics, Ltd. 102,179 896,098 Meitav DS Investments, Ltd. 38,130 137,755 Melisron, Ltd. 52,829 1,398,304 Menorah Mivtachim Holdings, Ltd. 114,147 1,313,903 Migdal Insurance & Financial Holding, Ltd. 1,213,664 2,118,665 Mivtach Shamir 22,367 821,986 * Naphtha Israel Petroleum Corp., Ltd. 152,895 984,865 * Neto ME Holdings, Ltd. 5,411 287,823 #* Nitsba Holdings 1995, Ltd. 129,055 1,807,264 * Nova Measuring Instruments, Ltd. 72,188 633,960 #* Oil Refineries, Ltd. 3,757,899 1,214,646 * Ormat Industries 293,852 1,986,577 Osem Investments, Ltd. 92,442 2,039,216 * Partner Communications Co., Ltd. 372,802 3,061,149 * Paz Oil Co., Ltd. 20,326 3,155,156 * Perion Network, Ltd. 16,455 180,505 Phoenix Holdings, Ltd. (The) 234,055 920,110 Plasson Industries, Ltd. 12,320 408,041 # Rami Levi Chain Stores Hashikma Marketing 2006, Ltd. 33,735 1,825,457 Shikun & Binui, Ltd. 920,014 2,201,123 Shufersal, Ltd. 381,641 1,539,831 * Space Communication, Ltd. 17,611 214,285 Strauss Group, Ltd. 162,151 2,859,400 #* Tower Semiconductor, Ltd. 96,366 469,484 * Union Bank of Israel 130,630 585,712 ----------- TOTAL ISRAEL 86,155,595 ----------- ITALY -- (8.1%) # A2A SpA 4,407,721 4,959,410 ACEA SpA 280,731 2,921,027 #* Acotel Group SpA 3,478 108,622 Aeroporto di Firenze SpA 17,390 233,180 Aeroporto di Venezia Marco Polo SpA - SAVE 74,278 1,346,438 Alerion Cleanpower SpA 92,062 447,813 Amplifon SpA 350,657 1,869,426 Ansaldo STS SpA 481,426 5,108,589 * Arnoldo Mondadori Editore SpA 521,400 1,112,242 Ascopiave SpA 194,134 424,414 Astaldi SpA 258,925 2,522,349 * Autogrill SpA 492,715 4,422,983
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ----------- ITALY -- (Continued) Azimut Holding SpA 491,069 $12,457,026 #* Banca Carige SpA 3,160,296 2,526,853 # Banca Finnat Euramerica SpA 637,043 266,539 Banca Generali SpA 202,487 5,285,984 Banca IFIS SpA 102,347 1,536,269 #* Banca Monte dei Paschi di Siena SpA 8,733,630 2,753,505 * Banca Piccolo Credito Valtellinese Scarl 1,928,748 3,451,521 * Banca Popolare dell'Emilia Romagna S.c.r.l. 1,449,109 13,922,026 #* Banca Popolare dell'Etruria e del Lazio 261,735 244,171 #* Banca Popolare di Milano Scarl 13,321,904 8,899,056 Banca Popolare di Sondrio Scarl 1,200,453 6,909,509 Banca Profilo SpA 964,900 322,391 Banco di Desio e della Brianza SpA 232,296 729,293 * Banco Popolare 6,663,294 13,237,221 * BasicNet SpA 105,627 275,429 * Beghelli SpA 403,187 198,236 * Biesse SpA 54,004 312,543 Brembo SpA 162,145 4,288,463 * Brioschi Sviluppo Immobiliare SpA 174,780 20,744 # Brunello Cucinelli SpA 61,102 1,904,406 # Buzzi Unicem SpA 320,417 5,547,509 Cairo Communication SpA 113,404 793,811 * Caltagirone Editore SpA 6,277 10,187 Caltagirone SpA 210,067 499,536 * Carraro SpA 113,633 440,728 Cembre SpA 40,330 427,211 Cementir Holding SpA 336,239 1,547,663 * CIR-Compagnie Industriali Riunite SpA 1,837,842 3,057,022 Credito Bergamasco SpA 129,374 2,489,967 Credito Emiliano SpA 376,390 2,845,528 * d'Amico International Shipping SA 491,250 424,699 # Danieli & C Officine Meccaniche SpA 58,967 1,812,501 Datalogic SpA 65,558 711,833 Davide Campari-Milano SpA 188,852 1,645,835 De'Longhi SpA 275,556 4,255,366 * DeA Capital SpA 241,155 458,424 * Delclima 238,104 331,933 # DiaSorin SpA 89,009 4,212,552 # Ei Towers SpA 39,294 1,642,694 Engineering SpA 20,358 1,108,748 ERG SpA 242,145 2,957,074 Esprinet SpA 124,948 908,289 * Eurotech SpA 122,818 316,208 * Falck Renewables SpA 518,528 883,006 * Fiera Milano SpA 31,596 228,853 #* Finmeccanica SpA 1,838,316 13,471,206 #* Fondiaria-Sai SpA 1,930,203 4,945,313 Gas Plus 14,596 93,498 * Gefran SpA 6,645 28,851 * Gemina SpA 2,562,430 6,216,913 # Geox SpA 343,770 941,338 * Gruppo Editoriale L'Espresso SpA 670,242 1,335,526
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- ITALY -- (Continued) Gruppo MutuiOnline SpA 51,809 $ 288,447 Gtech Spa 185,318 5,627,922 # Hera SpA 2,829,591 5,700,920 * IMMSI SpA 743,533 459,064 Impregilo SpA 29,916 190,447 Indesit Co. SpA 185,473 1,915,464 Industria Macchine Automatiche SpA 58,626 2,008,954 #* Intek Group SpA 1,654,192 713,844 Interpump Group SpA 317,190 3,527,458 Irce SpA 10,392 23,843 Iren SpA 2,070,565 3,095,866 # Italcementi SpA 308,441 2,743,117 * Italmobiliare SpA 46,873 1,528,428 #* Juventus Football Club SpA 1,587,772 516,201 #* Landi Renzo SpA 203,171 342,439 MARR SpA 157,876 2,482,466 * Mediaset SpA 3,041,414 15,187,868 Mediolanum SpA 294,936 2,566,650 #* Milano Assicurazioni SpA 2,324,306 1,982,928 * Molecular Medicine SpA 109,512 117,710 Nice SpA 41,141 163,595 * Pagnossin SpA 9,000 -- # Piaggio & C SpA 736,724 2,125,992 * Pininfarina SpA 60,985 269,749 #* Poltrona Frau SpA 238,473 784,541 #* Prelios SpA 238,990 203,442 * Premafin Finanziaria SpA 916,383 208,482 * Prima Industrie SpA 1,958 26,143 Prysmian SpA 233,881 5,713,051 #* RCS MediaGroup SpA 103,476 227,687 Recordati SpA 408,182 5,361,675 Reply SpA 18,077 1,176,924 #* Retelit SpA 410,894 309,208 Richard-Ginori 1735 SpA 8,489 805 Sabaf SpA 24,109 434,249 SAES Getters SpA 30,068 291,962 * Safilo Group SpA 149,871 3,063,946 #* Saras SpA 946,607 1,171,650 * Snai SpA 95,483 131,468 Societa Cattolica di Assicurazioni S.c.r.l. 197,763 5,006,830 # Societa Iniziative Autostradali e Servizi SpA 244,650 2,563,009 Societa per la Bonifica dei Terreni Ferraresi e Imprese Agricole SpA 10,867 521,065 Sogefi SpA 220,168 1,252,089 SOL SpA 166,511 1,257,674 * Sorin SpA 1,208,532 3,329,494 Tamburi Investment Partners SpA 37,478 115,463 #* Tiscali SpA 3,467,783 206,307 Tod's SpA 11,806 1,964,649 Trevi Finanziaria Industriale SpA 154,707 1,422,415 TXT e-solutions SpA 2,695 57,932 * Uni Land SpA 51,835 -- Unione di Banche Italiane SCPA 2,765,965 19,116,785
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ ITALY -- (Continued) Unipol Gruppo Finanziario SpA 970,174 $ 5,144,206 Vianini Industria SpA 35,758 60,313 Vianini Lavori SpA 175,180 1,008,548 Vittoria Assicurazioni SpA 121,346 1,442,103 * World Duty Free SpA 492,715 5,458,905 * Yoox SpA 176,495 6,349,280 Zignago Vetro SpA 132,100 848,000 ------------ TOTAL ITALY 301,417,172 ------------ NETHERLANDS -- (5.0%) Aalberts Industries NV 480,099 14,334,222 # Accell Group 104,121 2,125,810 * AFC Ajax NV 18,134 191,232 * AMG Advanced Metallurgical Group NV 160,659 1,793,461 # Amsterdam Commodities NV 80,355 1,790,320 # APERAM 262,538 4,485,350 # Arcadis NV 294,666 9,240,797 ASM International NV 237,793 7,810,682 * Atag Group NV 4,630 -- * Ballast Nedam 2,824 43,594 # BE Semiconductor Industries NV 164,367 1,786,081 Beter Bed Holding NV 89,519 2,019,629 BinckBank NV 319,629 3,075,107 # Brunel International NV 53,003 3,111,275 Corbion NV 382,663 8,865,414 * Crown Van Gelder 9,818 49,996 Delta Lloyd NV 943,521 20,004,182 # DOCdata NV 22,463 454,588 # Exact Holding NV 64,831 1,713,203 * Grontmij 295,566 1,501,128 # Heijmans NV 100,443 1,332,353 Hunter Douglas NV 8,819 380,772 #* Kardan NV 24,655 12,454 KAS Bank NV 66,668 900,031 Kendrion NV 44,866 1,407,035 # Koninklijke BAM Groep NV 1,376,686 7,321,878 Koninklijke Ten Cate NV 147,968 4,492,591 Koninklijke Wessanen NV 405,178 1,515,738 # Macintosh Retail Group NV 53,398 586,698 Nederland Apparatenfabriek 28,810 1,138,198 Nutreco NV 359,256 17,562,430 #* Ordina NV 383,600 669,508 #* PostNL NV 2,402,055 12,551,522 * Roto Smeets Group NV 5,166 42,163 #* Royal Imtech NV 349,305 1,027,880 * SBM Offshore NV 948,481 19,852,164 Sligro Food Group NV 105,146 3,938,030 #* SNS REAAL NV 705,718 -- Telegraaf Media Groep NV 175,800 2,293,278 TKH Group NV 184,381 5,890,346 #* TomTom NV 562,433 4,342,710 Unit4 NV 143,180 6,736,231
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ NETHERLANDS -- (Continued) USG People NV 389,997 $ 5,155,420 * Van Lanschot NV 4,807 118,756 ------------ TOTAL NETHERLANDS 183,664,257 ------------ NORWAY -- (3.1%) ABG Sundal Collier Holding ASA 1,226,782 957,888 # AF Gruppen ASA 2,718 30,301 * Agasti Holding ASA 227,087 65,327 Aker ASA Class A 1,221 38,479 * Algeta ASA 148,632 5,889,879 #* American Shipping ASA 53,707 304,540 * Archer, Ltd. 918,943 835,292 Arendals Fossekompani A.S. 90 24,304 Atea ASA 305,277 3,382,737 Austevoll Seafood ASA 364,953 2,265,902 Bakkafrost P/F 102,768 1,443,899 #* Bionor Pharma ASA 529,166 249,826 Bonheur ASA 68,100 1,556,689 BW Offshore, Ltd. 1,547,023 2,117,224 * BWG Homes ASA 346,255 643,419 Cermaq ASA 285,677 5,062,800 * Deep Sea Supply PLC 373,810 705,951 #* Det Norske Oljeselskap ASA 224,182 3,190,097 * DNO International ASA 3,792,519 10,717,444 * DOF ASA 200,349 939,496 * Dolphin Group A.S. 148,224 119,449 # Ekornes ASA 112,551 1,830,807 #* Electromagnetic GeoServices A.S. 566,149 653,550 # Eltek ASA 1,292,456 1,521,188 Evry ASA 267,383 434,974 Farstad Shipping ASA 65,666 1,491,043 #* Frontline, Ltd. 239,174 508,270 # Ganger Rolf ASA 58,809 1,319,954 Golden Ocean Group Ltd. 1,246,862 1,878,901 * Grieg Seafood ASA 154,146 481,894 * Havila Shipping ASA 22,400 131,128 # Hexagon Composites ASA 187,185 581,614 * Hoegh LNG Holdings Ltd 118,259 910,133 #* Hurtigruten ASA 759,030 289,881 * InterOil Exploration and Production ASA 522,356 195,506 * Kongsberg Automotive Holding ASA 1,834,792 1,415,339 # Kongsberg Gruppen A.S. 673 14,026 # Kvaerner ASA 807,447 1,315,410 # Leroey Seafood Group ASA 83,018 2,565,397 #* Nordic Semiconductor ASA 580,280 2,459,085 #* Norske Skogindustrier ASA 660,997 360,949 Northern Offshore, Ltd. 350,656 546,116 #* Norwegian Air Shuttle A.S. 130,053 5,339,136 #* Norwegian Energy Co. A.S. 1,054,250 53,081 #* Odfjell SE Class A 138,810 995,509 Olav Thon Eindom A.S. 12,852 2,180,140 # Opera Software ASA 349,386 4,228,783
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ---------- ------------ NORWAY -- (Continued) #* Panoro Energy ASA 1,045,821 $ 554,199 #* PhotoCure ASA 52,582 316,210 Prosafe SE 781,319 6,696,633 * Q-Free ASA 143,444 391,057 #* REC Silicon ASA 8,044,553 4,005,829 #* REC Solar AS 138,239 1,764,837 * Salmar ASA 67,051 821,455 * Sevan Drilling A.S. 1,030,389 982,895 * Sevan Marine ASA 129,032 574,709 * Siem Offshore, Inc. 604,424 984,315 Solstad Offshore ASA 61,272 1,215,352 #* Songa Offshore 845,806 797,432 SpareBank 1 SMN 260,137 2,192,301 SpareBank 1 SR Bank ASA 153,761 1,381,837 Stolt-Nielsen, Ltd. 71,996 2,038,482 * Storebrand ASA 573,845 3,710,761 Tomra Systems ASA 669,803 6,132,589 TTS Group ASA 180,762 200,182 Veidekke ASA 333,849 2,718,871 # Veripos, Inc. 43,838 215,882 Wilh Wilhelmsen ASA 125,812 1,167,957 Wilh Wilhelmsen Holding ASA Class A 65,996 2,020,375 ------------ TOTAL NORWAY 115,126,917 ------------ PORTUGAL -- (1.5%) Altri SGPS SA 597,102 1,938,033 #* Banco BPI SA 2,123,556 3,362,480 #* Banco Comercial Portugues SA 42,664,897 6,362,258 * Banco Espirito Santo SA 5,775,466 7,588,821 Corticeira Amorim SGPS SA 207,426 575,519 * EDP Renovaveis SA 185,902 1,022,017 Ibersol SGPS SA 20,401 194,246 * Impresa SGPS SA 187,798 233,568 Mota-Engil SGPS SA 363,210 1,664,734 # Novabase SGPS SA 65,729 257,847 Portucel SA 895,166 3,444,380 # Portugal Telecom SGPS SA 1,886,010 8,501,199 # REN - Redes Energeticas Nacionais SGPS SA 914,989 2,745,374 Semapa-Sociedade de Investimento e Gestao 315,847 3,103,781 Sonae 4,329,208 6,253,000 #* Sonae Industria SGPS SA 443,755 362,351 Sonaecom - SGPS SA 571,867 1,854,268 * Sumol + Compal SA 67,967 95,794 Teixeira Duarte SA 734,737 725,661 # ZON OPTIMUS SGPS SA 784,218 5,379,092 ------------ TOTAL PORTUGAL 55,664,423 ------------ RUSSIA -- (0.0%) * Alliance Oil Co., Ltd. 111,934 994,896 ------------ SPAIN -- (5.3%) # Abengoa SA 199,714 617,297
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- SPAIN -- (Continued) # Abengoa SA Class B 873,976 $ 2,116,315 # Acciona SA 96,328 6,106,453 # Acerinox SA 458,116 6,038,697 # Adveo Group International SA 47,865 894,973 # Almirall SA 234,145 3,498,777 Atresmedia Corporacion de Medi 312,481 5,220,604 #* Azkoyen SA 61,293 160,856 Bankinter SA 2,085,446 12,715,217 * Baron de Ley 13,910 1,179,008 # Bolsas y Mercados Espanoles SA 338,781 12,667,129 #* Caja de Ahorros del Mediterraneo 116,412 -- #* Campofrio Food Group SA 107,600 861,621 #* Cementos Portland Valderrivas SA 53,170 491,328 Cie Automotive SA 140,218 1,521,003 #* Codere SA 91,938 178,199 Construcciones y Auxiliar de Ferrocarriles SA 7,857 4,079,656 * Deoleo SA 2,677,780 1,524,741 Dinamia Capital Privado Sociedad de Capital Riesgo SA 20,438 185,015 # Duro Felguera SA 251,747 1,647,384 Ebro Foods SA 378,733 8,543,315 # Elecnor SA 198,254 2,901,443 Ence Energia y Celulosa SA 962,189 3,864,324 #* Ercros SA 483,625 368,275 Faes Farma SA 1,136,955 4,085,260 # Fluidra SA 84,098 287,349 * Fomento de Construcciones y Contratas SA 212,074 4,879,636 * Gamesa Corp. Tecnologica SA 1,113,758 10,755,654 Grupo Catalana Occidente SA 200,421 6,780,625 #* Grupo Ezentis SA 1,994,998 1,114,690 Iberpapel Gestion SA 26,401 547,808 Indra Sistemas SA 480,367 7,921,641 #* Inmobiliaria Colonial SA 108,920 179,019 * Inmobiliaria del Sur SA 2,902 21,351 * Jazztel P.L.C. 1,025,473 11,231,832 Laboratorios Farmaceuticos Rovi SA 70,934 853,415 #* Mediaset Espana Comunicacion SA 793,096 9,679,170 # Melia Hotels International SA 232,123 2,628,075 Miquel y Costas & Miquel SA 37,628 1,454,037 * Natra SA 141,572 430,908 #* NH Hoteles SA 542,107 2,829,334 Obrascon Huarte Lain SA 193,959 8,123,862 Papeles y Cartones de Europa SA 232,611 1,247,171 * Pescanova SA 68,547 -- Prim SA 39,424 303,343 #* Promotora de Informaciones SA Class A 1,480,102 751,246 # Prosegur Cia de Seguridad SA 875,740 5,195,887 #* Realia Business SA 389,643 422,090 * Sacyr SA 1,283,635 6,908,384 * Service Point Solutions SA 174,903 39,245 * Sociedad Nacional de Industrias Apicaciones Celulosa Espanola SA 75,494 20,090 * Solaria Energia y Medio Ambiente SA 98,171 107,925 # Tecnicas Reunidas SA 137,591 7,082,072
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ SPAIN -- (Continued) * Telecomunicaciones y Energia 146,125 $ 254,123 Tubacex SA 520,966 2,005,647 Tubos Reunidos SA 495,225 1,234,006 Vidrala SA 77,869 3,333,881 # Viscofan SA 213,526 11,326,669 * Vocento SA 210,717 422,384 * Zeltia SA 845,734 2,913,785 ------------ TOTAL SPAIN 194,753,244 ------------ SWEDEN -- (8.7%) AarhusKarlshamn AB 111,342 6,587,379 Acando AB 282,290 553,824 * Active Biotech AB 20,884 231,745 AddNode Group AB 22,737 131,747 # AddTech AB Class B 86,417 3,939,921 AF AB Class B 133,333 4,212,062 * Arise AB 32,240 118,055 Atrium Ljungberg AB Class B 31,807 433,551 Avanza Bank Holding AB 55,019 1,768,958 # Axfood AB 94,702 4,897,451 # Axis Communications AB 183,851 6,344,242 B&B Tools AB Class B 104,242 1,428,724 #* BE Group AB 215,340 376,760 # Beijer AB G&L Class B 61,718 1,293,917 Beijer Alma AB 87,433 2,283,227 Beijer Electronics AB 55,826 587,635 Betsson AB 137,066 4,306,058 Bilia AB Class A 113,425 2,746,779 BillerudKorsnas AB 656,884 7,706,180 BioGaia AB Class B 61,692 2,101,360 Biotage AB 184,025 286,571 # Bjoern Borg AB 86,437 384,841 * Boras Waefveri AB Series B 6,564 -- Bure Equity AB 326,825 1,262,951 Byggmax Group AB 150,938 1,134,611 Castellum AB 739,664 11,357,362 * Catella AB 76,834 71,833 Catena AB 56,202 889,653 Cavotec SA 1,114 5,721 * CDON Group AB 33,297 130,604 Cision AB 14,615 73,566 # Clas Ohlson AB Class B 169,324 2,666,384 #* Cloetta AB Class B 269,107 841,287 Concentric AB 202,603 2,083,954 Concordia Maritime AB Class B 78,854 140,144 Connecta AB 40,724 244,823 Corem Property Group AB Class B 1,868 5,878 * CyberCom Group AB 256,878 93,965 # Dios Fastigheter AB 171,208 1,104,157 Doro AB 94,731 689,599 Duni AB 152,569 1,717,813 * East Capital Explorer AB 47,726 402,596
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- SWEDEN -- (Continued) # Enea AB 63,008 $ 526,973 #* Eniro AB 420,612 1,827,443 Fabege AB 585,887 6,741,212 Fagerhult AB 18,323 562,036 * Fastighets AB Balder 279,717 2,467,453 Fenix Outdoor AB 7,406 296,922 FinnvedenBulten AB 35,634 230,424 Gunnebo AB 190,542 1,094,203 Haldex AB 218,520 1,582,561 Heba Fastighets AB Class B 43,722 489,074 Hexpol AB 115,947 8,711,498 # HIQ International AB 254,170 1,473,086 HMS Networks AB 7,040 156,980 # Holmen AB Class B 273,916 9,098,680 Hufvudstaden AB Class A 189,483 2,480,097 Husqvarna AB Class A 37,223 218,505 # Husqvarna AB Class B 1,698,949 9,982,194 * ICA Gruppen AB 138,489 4,185,473 Industrial & Financial Systems Class B 89,522 2,056,111 Indutrade AB 60,615 2,370,393 Intrum Justitia AB 308,493 8,202,633 JM AB 372,482 10,610,995 * KappAhl AB 277,470 1,640,557 #* Karolinska Development AB Class B 58,197 298,708 Klovern AB 387,861 1,720,359 KNOW IT AB 75,523 642,455 Kungsleden AB 697,243 5,121,289 Lagercrantz AB Class B 76,298 1,324,519 * Lindab International AB 330,563 3,218,480 Loomis AB Class B 318,925 7,644,884 Meda AB Class A 976,572 10,958,586 #* Medivir AB Class B 157,903 2,066,487 # Mekonomen AB 93,737 3,091,064 #* Micronic Mydata AB 390,070 782,426 Modern Times Group AB Class B 234,304 12,780,214 MQ Holding AB 56,493 156,730 NCC AB Class A 24,456 764,033 NCC AB Class B 364,909 11,224,343 Nederman Holding AB 3,680 94,803 Net Entertainment NE AB Class B 138,086 2,672,028 * Net Insight AB Class B 1,189,130 251,171 New Wave Group AB Class B 197,176 1,120,053 # Nibe Industrier AB Class B 353,045 6,768,861 Nobia AB 666,139 5,798,958 Nolato AB Class B 89,994 1,836,415 Nordnet AB Class B 401,993 1,716,709 OEM International AB Class B 45,688 528,482 #* Orexo AB 23,599 472,714 # Oriflame Cosmetics SA 69,970 2,208,044 #* PA Resources AB 35,211 54,338 # Peab AB 716,499 4,212,824 # Pricer AB Class B 452,718 508,942
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ SWEDEN -- (Continued) Proact IT Group AB 41,297 $ 450,983 Probi AB 28,553 178,573 Proffice AB Class B 262,115 998,202 # Ratos AB Class B 655,025 5,668,535 * RaySearch Laboratories AB 56,125 224,412 ReadSoft AB Class B 87,941 266,231 * Rezidor Hotel Group AB 334,560 1,903,865 * rnb Retail and Brands AB 48,828 89,770 Saab AB Class B 253,955 5,083,814 Sagax AB Class B 46,219 168,853 * SAS AB 610,190 1,825,798 # Sectra AB 31,357 332,835 Securitas AB Class B 998,620 11,387,211 Semcon AB 81,791 890,800 SkiStar AB 97,008 1,294,228 # SSAB AB Class A 824,806 5,426,018 SSAB AB Class B 352,706 1,989,977 Sweco AB Class B 183,804 2,321,887 * Swedish Orphan Biovitrum AB 612,905 5,858,311 Swedol AB Class B 29,796 95,342 # Systemair AB 27,899 490,971 #* TradeDoubler AB 185,204 511,608 #* Transcom WorldWide SA 87,000 17,311 # Transmode AB 51,849 857,154 Trelleborg AB Class B 547,043 10,322,513 * Tribona AB 32,750 195,870 Unibet Group P.L.C. 132,830 5,328,668 Uniflex AB 12,408 65,780 VBG Group AB Class B 137 2,690 Vitrolife AB 60,303 738,004 # Wallenstam AB Class B 399,066 5,533,819 Wihlborgs Fastigheter AB 289,738 4,997,302 ------------ TOTAL SWEDEN 320,199,645 ------------ SWITZERLAND -- (10.7%) * Acino Holding AG 16,820 2,131,024 * Advanced Digital Broadcast Holdings SA 2,024 37,669 * AFG Arbonia-Forster Holding AG 79,104 2,741,869 Allreal Holding AG 51,373 7,063,130 # Alpiq Holding AG 3,712 490,255 ALSO Holding AG 16,195 845,506 ams AG 35,838 3,912,869 APG SGA SA 7,099 1,882,152 Ascom Holding AG 160,822 2,371,891 Autoneum Holding AG 16,853 2,243,782 # Bachem Holding AG Class B 24,136 1,379,337 Baloise Holding AG 5,851 679,733 Bank Coop AG 31,671 1,663,317 Banque Cantonale de Geneve 4,098 1,047,323 Banque Cantonale du Jura 4,442 323,956 Banque Cantonale Vaudoise 3,301 1,834,246 Banque Privee Edmond de Rothschild SA 157 2,757,094
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ----------- SWITZERLAND -- (Continued) Barry Callebaut AG 76 $ 79,385 Basilea Pharmaceutica 9,521 1,036,912 Basler Kantonalbank 4,602 387,288 Belimo Holding AG 1,851 4,770,847 Bell AG 352 861,521 Bellevue Group AG 27,747 397,967 # Berner Kantonalbank AG 23,232 5,788,358 BKW AG 36,260 1,259,429 * Bobst Group AG 45,114 1,592,363 Bossard Holding AG 14,138 2,875,669 Bucher Industries AG 33,342 9,233,400 Burckhardt Compression Holding AG 7,479 2,996,971 Burkhalter Holding AG 13,850 1,121,782 Calida Holding AG 10,227 316,295 Carlo Gavazzi Holding AG 1,334 305,977 Centralschweizerische Kraftwerke AG 26 8,301 Cham Paper Holding AG 1,836 484,363 * Charles Voegele Holding AG 38,302 493,083 Cicor Technologies 5,893 209,629 Cie Financiere Tradition SA 9,068 490,842 Clariant AG 634,620 11,181,902 Coltene Holding AG 16,093 831,475 Conzzeta AG 1,345 2,790,024 * Cosmo Pharmaceuticals SpA 1,287 89,816 Daetwyler Holding AG 29,754 3,783,552 * Dufry AG 73,187 11,824,599 # EFG International AG 242,627 3,569,817 * Elma Electronic AG 294 130,512 Emmi AG 13,244 3,810,555 Energiedienst Holding AG 71,249 2,438,739 * Evolva Holding SA 154,124 149,304 Flughafen Zuerich AG 18,960 10,507,375 Forbo Holding AG 6,983 5,475,568 Galenica AG 20,798 18,381,416 GAM Holding AG 806,220 15,064,909 #* Gategroup Holding AG 118,415 3,101,213 Georg Fischer AG 18,366 12,651,376 Gurit Holding AG 1,837 853,479 Helvetia Holding AG 27,336 12,892,724 Huber & Suhner AG 50,241 2,747,457 Implenia AG 65,242 4,393,697 Inficon Holding AG 8,083 2,519,077 Interroll Holding AG 2,488 1,197,314 Intershop Holdings 5,592 2,027,991 Jungfraubahn Holding AG 3,095 221,437 Kaba Holding AG Class B 12,166 5,205,706 Kardex AG 28,973 1,262,398 Komax Holding AG 15,293 2,092,879 Kudelski SA 201,663 2,781,288 Kuoni Reisen Holding AG 15,477 6,542,050 LEM Holding SA 3,667 2,706,106 # Liechtensteinische Landesbank AG 19,087 756,250
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- SWITZERLAND -- (Continued) * LifeWatch AG 27,517 $ 214,274 # Logitech International SA 693,935 7,107,513 Lonza Group AG 255,221 22,781,770 # Luzerner Kantonalbank AG 17,399 6,941,658 MCH Group AG 1,404 93,681 Metall Zug AG 690 1,657,364 #* Meyer Burger Technology AG 408,473 4,792,908 Micronas Semiconductor Holding AG 155,041 1,268,994 Mobilezone Holding AG 142,129 1,473,062 Mobimo Holding AG 26,956 5,644,913 Nobel Biocare Holding AG 493,843 8,147,120 OC Oerlikon Corp. AG 858,856 12,006,957 * Orascom Development Holding AG 17,941 255,621 #* Orell Fuessli Holding AG 5,198 522,577 Orior AG 20,502 1,152,263 Panalpina Welttransport Holding AG 22,115 3,305,127 * Parco Industriale e Immobiliare SA 600 -- Phoenix Mecano AG 3,100 1,854,361 PSP Swiss Property AG 148,327 12,748,515 PubliGroupe AG 8,975 888,606 Rieter Holding AG 16,400 3,433,542 Romande Energie Holding SA 2,714 3,392,374 Schaffner Holding AG 2,255 627,069 * Schmolz + Bickenbach AG 2,540,584 3,215,351 Schweiter Technologies AG 4,466 2,995,372 Schweizerische National-Versicherungs-Gesellschaft AG 59,799 2,955,451 Siegfried Holding AG 16,598 2,736,640 St Galler Kantonalbank AG 10,381 4,221,775 # Straumann Holding AG 6,047 1,201,907 Swiss Life Holding AG 62,436 12,379,830 Swisslog Holding AG 1,022,294 1,193,058 Swissquote Group Holding SA 47,450 1,942,318 Tamedia AG 14,891 1,769,694 Tecan Group AG 17,731 1,850,794 Temenos Group AG 151,121 3,850,772 * Tornos Holding AG 38,028 188,143 U-Blox AG 27,034 2,439,046 Valartis Group AG 936 19,139 Valiant Holding 61,598 5,746,270 Valora Holding AG 14,281 3,528,481 Vaudoise Assurances Holding SA Class B 4,108 1,737,017 Verwaltungs- und Privat-Bank AG 16,644 1,613,429 Vetropack Holding AG 877 1,752,196 #* Von Roll Holding AG 233,256 388,415 Vontobel Holding AG 121,104 4,847,423 Walliser Kantonalbank 1,440 1,204,284 Walter Meier AG 23,690 1,506,872 Ypsomed Holding AG 3,079 196,662 # Zehnder Group AG 45,677 2,151,421 * Zueblin Immobilien Holding AG 261,040 586,691 Zug Estates Holding AG 442 573,979
THE CONTINENTAL SMALL COMPANY SERIES CONTINUED
Shares Value++ ----------- -------------- SWITZERLAND -- (Continued) Zuger Kantonalbank AG 627 $ 3,276,104 -------------- TOTAL SWITZERLAND 394,476,343 -------------- UNITED KINGDOM -- (0.2%) Grafton Group P.L.C. 712,146 6,763,969 -------------- TOTAL COMMON STOCKS 3,208,238,458 -------------- RIGHTS/WARRANTS -- (0.0%) AUSTRIA -- (0.0%) * Intercell AG Rights 05/16/13 254,689 -- -------------- ISRAEL -- (0.0%) * Tower Semiconductor, Ltd. Warrants 06/27/17 1 1 -------------- ITALY -- (0.0%) #* Hera SpA Rights 11/19/13 2,829,591 51,097 #* Seat Pagine Gialle SpA Warrants 08/31/14 2,988,837 -- -------------- TOTAL ITALY 51,097 -------------- TOTAL RIGHTS/WARRANTS 51,098 -------------- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (13.3%) (S)@ DFA Short Term Investment Fund 42,437,338 491,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $123,381 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $111,576) to be repurchased at $109,388 $ 109 109,388 -------------- TOTAL SECURITIES LENDING COLLATERAL 491,109,388 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,907,677,627) $3,699,398,944 ==============
THE CANADIAN SMALL COMPANY SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ ------- ----------- COMMON STOCKS -- (77.1%) Consumer Discretionary -- (7.9%) AutoCanada, Inc. 44,402 $ 1,635,292 #* Ballard Power Systems, Inc. 559,352 756,425 * Bauer Performance Sports, Ltd. 35,354 435,037 # BMTC Group, Inc. Class A 17,481 224,496 * Brookfield Residential Properties, Inc. 22,148 491,328 # Cineplex, Inc. 271,135 10,921,853 #* Coastal Contacts, Inc. 95,324 701,224 Cogeco Cable, Inc. 66,264 3,133,185 # Cogeco, Inc. 11,406 516,341 # Corus Entertainment, Inc. Class B 369,716 8,616,601 # DHX Media, Ltd. 167,978 647,649 Dorel Industries, Inc. Class B 126,820 4,712,038 easyhome, Ltd. 3,600 49,858 Gamehost, Inc. 17,488 240,855 Glacier Media, Inc. 137,300 185,674 Glentel, Inc. 66,991 914,930 #* Great Canadian Gaming Corp. 302,800 3,723,106 #* Imax Corp. 211,609 6,155,566 Indigo Books & Music, Inc. 2,302 24,838 * Le Chateau, Inc. Class A 59,800 251,210 Leon's Furniture, Ltd. 143,275 1,817,991 Linamar Corp. 269,606 9,065,733 Martinrea International, Inc. 461,356 4,889,449 * MEGA Brands, Inc. 63,743 959,828 #* Mood Media Corp. 231,874 146,777 MTY Food Group, Inc. 8,644 262,475 Reitmans Canada, Ltd. 15,456 100,802 Reitmans Canada, Ltd. Class A 237,386 1,559,578 # RONA, Inc. 681,945 7,992,488 Sears Canada, Inc. 19,831 275,787 Torstar Corp. Class B 263,614 1,415,852 * TVA Group, Inc. Class B 7,000 55,052 Uni-Select, Inc. 69,172 1,605,488 Whistler Blackcomb Holdings, Inc. 68,216 948,671 ----------- Total Consumer Discretionary 75,433,477 ----------- Consumer Staples -- (3.3%) Alliance Grain Traders, Inc. 75,204 1,161,257 Andrew Peller, Ltd. Class A 3,400 45,001 * Atrium Innovations, Inc. 132,616 2,415,363 Canada Bread Co., Ltd. 9,888 660,907 # Colabor Group, Inc. 91,451 406,975 Corby Distilleries, Ltd. Class A 70,235 1,377,553 Cott Corp. 499,623 4,092,246 High Liner Foods, Inc. 8,197 322,330 # Liquor Stores N.A., Ltd. 106,130 1,529,884 # Maple Leaf Foods, Inc. 500,264 7,364,938 North West Co., Inc. (The) 232,610 5,784,853 Premium Brands Holdings Corp. 88,843 1,699,064 # Rogers Sugar, Inc. 364,859 1,907,142
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- Consumer Staples -- (Continued) * SunOpta, Inc. 265,791 $ 2,860,188 ----------- Total Consumer Staples 31,627,701 ----------- Energy -- (20.8%) * Advantage Oil & Gas, Ltd. 1,098,231 4,466,024 # Akita Drilling, Ltd. Class A 42,000 618,328 * Anderson Energy, Ltd. 371,504 51,665 #* Angle Energy, Inc. 364,568 1,311,207 * Antrim Energy, Inc. 271,991 24,782 Arsenal Energy, Inc. 54,565 261,665 * Artek Exploration, Ltd. 4,600 15,883 * Bankers Petroleum, Ltd. 1,277,846 4,902,301 #* Bellatrix Exploration, Ltd. 655,708 4,911,600 #* Birchcliff Energy, Ltd. 441,234 3,152,729 #* BlackPearl Resources, Inc. 1,165,485 2,168,552 * BNK Petroleum, Inc. 326,419 507,168 # Bonterra Energy Corp. 64,562 3,628,574 Calfrac Well Services, Ltd. 154,348 4,811,116 * Calvalley Petroleums, Inc. Class A 226,068 333,904 #* Canacol Energy, Ltd. 132,042 606,607 # Canadian Energy Services & Technology Corp. 179,083 3,223,889 # CanElson Drilling, Inc. 266,409 1,602,057 # Canyon Services Group, Inc. 213,370 2,339,058 Cathedral Energy Services, Ltd. 157,711 933,273 #* Cequence Energy, Ltd. 636,649 1,160,153 * Chinook Energy, Inc. 140,019 116,834 * Connacher Oil and Gas, Ltd. 2,187,935 409,195 * Corridor Resources, Inc. 367,780 271,607 * Crew Energy, Inc. 538,499 3,129,817 * Crocotta Energy, Inc. 249,334 726,970 * DeeThree Exploration, Ltd. 349,042 3,046,355 * Delphi Energy Corp. 630,904 980,257 #* Denison Mines Corp. 2,185,983 2,411,049 # Enbridge Income Fund Holdings, Inc. 227,285 5,090,016 Enerflex, Ltd. 279,959 3,965,851 Ensign Energy Services, Inc. 86,964 1,486,307 #* Epsilon Energy, Ltd. 231,416 705,800 Equal Energy, Ltd. 154,741 734,636 * Essential Energy Services Trust 620,641 1,755,998 #* Forsys Metals Corp. 109,974 42,190 #* Gasfrac Energy Services, Inc. 62,822 85,558 * Gran Tierra Energy, Inc. 1,391,012 10,486,121 * Ithaca Energy, Inc. 1,345,050 3,147,674 #* Ivanhoe Energy, Inc. 348,882 237,574 * Kelt Exploration, Ltd. 161,850 1,334,973 * Laramide Resources, Ltd. 20,368 7,326 * Legacy Oil + Gas, Inc. 745,800 5,049,967 # Lightstream Resources, Ltd. 863,190 5,546,804 #* Long Run Exploration, Ltd. 497,335 2,766,549 McCoy Corp. 4,500 31,031 * Mega Uranium, Ltd. 212,790 11,225 * MGM Energy Corp. 19,000 3,280
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Energy -- (Continued) # Mullen Group, Ltd. 458,025 $ 12,273,743 #* Niko Resources, Ltd. 178,719 574,218 * North American Energy Partners, Inc. 60,356 362,663 * NuVista Energy, Ltd. 568,645 3,626,806 * Parex Resources, Inc. 418,621 2,421,028 # Parkland Fuel Corp. 353,327 6,475,883 # Pason Systems, Inc. 285,137 5,926,168 # Pengrowth Energy Corp. 4,226 27,156 #* Perpetual Energy, Inc. 262,929 277,391 * Petrobank Energy & Resources, Ltd. 398,702 141,485 # Petrominerales, Ltd. 401,858 4,621,184 # PHX Energy Services Corp. 79,722 940,470 * Platino Energy Corp. 3,811 2,193 #* Poseidon Concepts Corp. 165,977 481 Pulse Seismic, Inc. 277,580 998,346 #* Questerre Energy Corp. Class A 745,460 979,504 * RMP Energy, Inc. 573,687 3,433,373 * Rock Energy, Inc. 114,652 343,082 #* Santonia Energy, Inc. 544,251 1,059,636 # Savanna Energy Services Corp. 441,805 3,322,065 Secure Energy Services, Inc. 437,854 6,210,963 * Serinus Energy, Inc. 13,570 51,669 ShawCor, Ltd. 69,896 2,938,226 * Sonde Resources Corp. 85,873 67,535 #* Southern Pacific Resource Corp. 1,650,425 1,028,894 #* SouthGobi Resources, Ltd. 455,682 533,191 # Sprott Resource Corp. 471,290 1,283,713 # Spyglass Resources Corp. 555,776 1,108,728 Strad Energy Services, Ltd. 12,700 44,337 # Surge Energy, Inc. 322,254 2,151,142 #* TAG Oil, Ltd. 123,522 502,310 * Tethys Petroleum, Ltd. 412,989 261,423 # TORC Oil & Gas, Ltd. 102,487 981,964 Total Energy Services, Inc. 129,922 2,300,254 * TransGlobe Energy Corp. 302,408 2,737,958 # Trican Well Service, Ltd. 643,185 9,037,223 Trinidad Drilling, Ltd. 604,997 5,860,519 #* Tuscany International Drilling, Inc. 275,042 34,293 # Twin Butte Energy, Ltd. 1,107,588 2,358,265 #* Uex Corp. 608,088 204,125 #* Ur-Energy, Inc. 69,660 74,160 # Veresen, Inc. 311,031 3,848,175 Western Energy Services Corp. 223,795 1,689,221 # Whitecap Resources, Inc. 784,268 9,108,987 * Xtreme Drilling and Coil Services Corp. 139,143 468,414 # Zargon Oil & Gas, Ltd. 130,524 965,175 ZCL Composites, Inc. 99,400 660,665 ------------ Total Energy 198,929,903 ------------ Financials -- (6.2%) # AGF Management, Ltd. Class B 381,468 5,037,946 # Alaris Royalty Corp. 52,216 1,781,849
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ----------- Financials -- (Continued) Altus Group, Ltd. 89,499 $ 1,201,732 Brookfield Real Estate Services, Inc. 8,075 106,722 Canaccord Financial, Inc. 409,969 2,602,978 # Canadian Western Bank 300,957 9,652,330 #* Cash Store Financial Services, Inc. (The) 51,170 79,995 Clairvest Group, Inc. 1,900 41,712 E-L Financial Corp., Ltd. 1,467 975,341 #* EGI Financial Holdings, Inc. 14,650 200,926 # Equitable Group, Inc. 52,295 2,452,621 * Equity Financial Holdings, Inc. 800 8,570 # Fiera Capital Corp. 36,300 483,930 Firm Capital Mortgage Investment Corp. 2,494 28,512 First National Financial Corp. 3,873 80,941 FirstService Corp. 135,548 5,634,346 * Genesis Land Development Corp. 71,917 247,621 # Genworth MI Canada, Inc. 149,254 4,696,709 Gluskin Sheff + Associates, Inc. 68,507 1,320,664 # GMP Capital, Inc. 298,487 1,777,782 Guardian Capital Group, Ltd. Class A 11,327 162,955 # Home Capital Group, Inc. 120,600 9,571,429 # Killam Properties, Inc. 251,323 2,653,878 * Kingsway Financial Services, Inc. 22,481 72,016 Laurentian Bank of Canada 147,250 6,574,102 * Mainstreet Equity Corp. 16,062 486,643 Melcor Developments, Ltd. 13,320 250,265 * Pacific & Western Credit Corp. 8,800 10,972 # Sprott, Inc. 623,708 1,579,234 ----------- Total Financials 59,774,721 ----------- Health Care -- (1.5%) Amica Mature Lifestyles, Inc. 31,703 266,358 * Burcon NutraScience Corp. 3,217 7,621 #* Cangene Corp. 140,432 336,719 # Extendicare Inc. 397,620 2,551,266 #* Imris, Inc. 73,479 111,348 # Leisureworld Senior Care Corp. 150,832 1,539,205 # Medical Facilities Corp. 62,816 1,004,911 * Nordion, Inc. 464,108 3,841,416 #* Oncolytics Biotech, Inc. 91,887 244,997 * Paladin Labs, Inc. 53,575 3,275,698 * Patheon, Inc. 6,080 33,005 QLT, Inc. 226,610 980,205 #* Resverlogix Corp. 111,820 56,840 * Theratechnologies, Inc. 10,101 2,034 * Transition Therapeutics, Inc. 50,610 244,641 * TSO3, Inc. 74,206 51,243 Zenith Epigenetics Corp. 111,820 46,116 ----------- Total Health Care 14,593,623 ----------- Industrials -- (11.2%) Aecon Group, Inc. 286,711 3,973,504 # AG Growth International, Inc. 77,232 2,814,766
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ ------- ------------ Industrials -- (Continued) #* Air Canada Class A 313,328 $ 1,727,939 Algoma Central Corp. 26,690 388,325 * ATS Automation Tooling Systems, Inc. 440,214 6,088,223 Badger Daylighting, Ltd. 35,896 2,548,336 # Bird Construction, Inc. 82,052 1,030,126 # Black Diamond Group, Ltd. 188,933 4,948,698 CanWel Building Materials Group, Ltd. 140,568 389,624 Cervus Equipment Corp. 4,680 92,868 Churchill Corp. Class A 91,759 871,255 # Clarke, Inc. 44,894 336,710 # Contrans Group, Inc. Class A 95,185 1,225,131 # DirectCash Payments, Inc. 35,598 629,234 # Exchange Income Corp. 38,940 746,569 Exco Technologies, Ltd. 74,981 524,971 Genivar, Inc. 181,860 5,204,721 * GLV, Inc. Class A 89,850 349,007 # Heroux-Devtek, Inc. 116,347 1,043,346 # HNZ Group, Inc. 23,888 518,931 Horizon North Logistics, Inc. 330,070 2,690,831 # IBI Group, Inc. 1,506 2,701 K-Bro Linen, Inc. 13,544 454,649 MacDonald Dettwiler & Associates, Ltd. 85,470 6,521,017 # Morneau Shepell, Inc. 185,852 2,548,970 # New Flyer Industries, Inc. 114,257 1,184,595 Newalta Corp. 202,821 3,161,024 Richelieu Hardware, Ltd. 64,393 2,840,296 # Ritchie Bros Auctioneers, Inc. 273,199 5,400,308 Rocky Mountain Dealerships, Inc. 63,591 725,779 # Russel Metals, Inc. 316,110 8,731,567 Stantec, Inc. 228,285 13,565,951 # Student Transportation, Inc. 329,852 2,075,317 Toromont Industries, Ltd. 69,776 1,545,893 Transcontinental, Inc. Class A 333,758 5,329,757 # TransForce, Inc. 388,103 8,594,733 Vicwest, Inc. 42,846 515,722 # Wajax Corp. 77,824 2,781,854 WaterFurnace Renewable Energy, Inc. 34,783 766,951 #* Westport Innovations, Inc. 125,441 2,937,965 ------------ Total Industrials 107,828,164 ------------ Information Technology -- (4.5%) #* 5N Plus, Inc. 219,748 575,372 Aastra Technologies, Ltd. 33,028 898,359 Absolute Software Corp. 175,557 1,242,613 * AgJunction, Inc. 20,300 20,054 Calian Technologies, Ltd. 20,165 423,356 #* Celestica, Inc. 949,607 10,428,236 * COM DEV International, Ltd. 396,424 1,596,874 Computer Modelling Group, Ltd. 107,601 2,763,684 # Davis + Henderson Corp. 334,212 8,606,524 * Descartes Systems Group, Inc. (The) 262,529 3,215,360 #* DragonWave, Inc. 162,023 233,093
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ----------- Information Technology -- (Continued) Enghouse Systems, Ltd. 52,143 $ 1,387,779 Evertz Technologies, Ltd. 133,981 2,145,958 #* EXFO, Inc. 104,830 591,186 Mediagrif Interactive Technologies, Inc. 7,276 136,078 #* Points International, Ltd. 37,659 801,832 * Pure Technologies, Ltd. 26,910 149,694 #* Redknee Solutions, Inc. 127,436 677,116 * Sandvine Corp. 627,376 1,594,539 * Sierra Wireless, Inc. 157,015 2,843,182 Vecima Networks, Inc. 6,059 34,286 Wi-Lan, Inc. 765,533 2,408,237 Wireless Matrix Corp. 102,939 2,962 ----------- Total Information Technology 42,776,374 ----------- Materials -- (17.4%) Aberdeen International, Inc. 122,333 18,773 Acadian Timber Corp. 12,109 150,978 * Ainsworth Lumber Co., Ltd. 532,862 2,013,596 # Alacer Gold Corp. 750,454 2,080,096 # Alamos Gold, Inc. 503,857 8,026,725 #* Alexco Resource Corp. 278,307 387,038 #* Almaden Minerals, Ltd. 98,343 132,992 #* Altius Minerals Corp. 112,600 1,168,496 Amerigo Resources, Ltd. 553,854 212,479 #* Argonaut Gold Inc. 368,728 2,051,141 #* Asanko Gold, Inc. 271,644 638,304 * Atna Resources, Ltd. 39,215 5,454 #* Augusta Resource Corp. 308,545 588,888 * Aura Minerals, Inc. 287,669 33,108 # AuRico Gold, Inc. 1,234,795 5,127,955 #* Avalon Rare Metals, Inc. 352,025 286,982 #* B2Gold Corp. 1,910,233 4,726,803 #* Brigus Gold Corp. 912,312 682,495 #* Canada Lithium Corp. 1,188,040 450,080 * Canam Group, Inc. Class A 194,100 2,103,611 # Canexus Corp. 434,301 3,024,050 * Canfor Corp. 362,555 7,514,327 # Canfor Pulp Products, Inc. 204,415 2,121,297 * Capstone Mining Corp. 1,548,856 4,114,833 #* Carpathian Gold, Inc. 587,371 45,068 Cascades, Inc. 489,976 2,744,411 CCL Industries, Inc. Class B 111,467 7,654,570 Centerra Gold, Inc. 137,301 549,125 #* China Gold International Resources Corp., Ltd. 727,257 1,953,023 * Claude Resources, Inc. 934,700 170,329 * Cline Mining Corp. 14,600 148 #* Copper Mountain Mining Corp. 637,731 1,052,028 * Dominion Diamond Corp. 379,239 5,121,263 #* Duluth Metals, Ltd. 388,214 346,271 #* Dundee Precious Metals, Inc. 515,238 2,199,021 * Dynasty Metals & Mining, Inc. 43,869 29,873 #* Eastern Platinum, Ltd. 3,210,960 184,777
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ---------- Materials -- (Continued) #* Eastmain Resources, Inc. 274,250 $ 85,485 #* Eco Oro Minerals Corp. 261,445 122,868 * EcoSynthetix, Inc. 1,500 4,676 #* Endeavour Mining Corp. 1,378,843 819,914 * Endeavour Silver Corp. 389,940 1,619,374 * Energy Fuels, Inc. 2,398,488 322,053 #* Entree Gold, Inc. 286,898 122,447 * Excellon Resources, Inc. 185,380 245,360 #* Exeter Resource Corp. 70,137 47,760 #* First Majestic Silver Corp. 431,070 4,878,558 #* Fortress Paper, Ltd. Class A 69,284 383,416 * Fortuna Silver Mines, Inc. 750,906 2,974,384 * Fortune Minerals, Ltd. 214,672 70,003 #* Golden Star Resources, Ltd. 1,155,362 576,213 * Great Panther Silver, Ltd. 708,280 577,411 #* Guyana Goldfields, Inc. 441,183 1,032,452 * Hanfeng Evergreen, Inc. 45,837 43,962 # HudBay Minerals, Inc. 872,492 7,112,820 IAMGOLD Corp. 908,918 4,646,365 * Imperial Metals Corp. 195,128 2,468,459 * International Forest Products, Ltd. Class A 313,641 3,552,583 International Minerals Corp. 77,900 211,439 #* International Tower Hill Mines, Ltd. 220,027 113,954 Intertape Polymer Group, Inc. 310,229 4,463,084 #* Jaguar Mining, Inc. 274,437 50,010 * Katanga Mining, Ltd. 1,025,162 540,775 #* Kirkland Lake Gold, Inc. 247,980 865,724 #* Labrador Iron Mines Holdings, Ltd. 123,133 36,019 #* Lake Shore Gold Corp. 1,419,989 537,952 * Lucara Diamond Corp. 16,700 20,502 #* MAG Silver Corp. 65,699 359,166 Major Drilling Group International 366,250 2,887,426 #* MBAC Fertilizer Corp. 125,459 243,061 * McEwen Mining - Minera Andes Andes Acquisition Corp. 117,215 245,076 * Mercator Minerals, Ltd. 443,725 31,918 # Migao Corp. 169,168 165,493 * Minco Base Metals Corp. 2,780 -- * Minco Silver Corp. 115,224 93,934 * Nautilus Minerals, Inc. 89,354 32,137 * Nevada Copper Corp. 160,491 281,685 Nevsun Resources, Ltd. 957,411 3,489,341 * New Millennium Iron Corp. 55,528 37,812 * NGEx Resources, Inc. 19,826 37,079 Norbord, Inc. 160,989 4,570,349 #* North American Palladium, Ltd. 565,789 515,513 #* Northern Dynasty Minerals, Ltd. 148,624 199,562 #* Novagold Resources, Inc. 476,822 1,028,964 #* OceanaGold Corp. 1,185,016 1,977,584 * Orvana Minerals Corp. 292,952 116,602 #* Osisko Mining Corp. 737,950 3,602,518 Pan American Silver Corp. 185,592 1,972,243 * Petaquilla Minerals, Ltd. 528,482 212,883
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ --------- ------------ Materials -- (Continued) * Phoscan Chemical Corp. 432,579 $ 120,316 #* Pilot Gold, Inc. 39,391 34,380 #* Platinum Group Metals, Ltd. 241,887 280,711 #* Polymet Mining Corp. 635,065 487,270 #* Primero Mining Corp. 421,644 2,402,115 * Richmont Mines, Inc. 114,244 149,016 #* Rubicon Minerals Corp. 508,405 702,156 #* Sabina Gold & Silver Corp. 383,055 312,278 #* San Gold Corp. 1,018,995 141,710 #* Sandstorm Gold, Ltd. 88,184 475,322 * Scorpio Mining Corp. 978,870 258,178 #* Seabridge Gold, Inc. 115,135 1,097,628 # SEMAFO, Inc. 1,168,020 3,170,284 # Sherritt International Corp. 1,628,826 5,577,048 * Shore Gold, Inc. 196,435 30,144 #* Silver Standard Resources, Inc. 340,397 1,916,396 * St Andrew Goldfields, Ltd. 774,028 211,574 Stella-Jones, Inc. 128,960 3,529,965 * Stornoway Diamond Corp. 297,297 262,325 * Sulliden Gold Corp., Ltd. 659,525 512,363 #* Tanzanian Royalty Exploration Corp. 344,717 810,010 * Taseko Mines, Ltd. 972,023 2,386,591 #* Tembec, Inc. 360,559 923,313 #* Teranga Gold Corp. 267,445 151,338 #* Thompson Creek Metals Co., Inc. 902,518 2,908,417 Timminco Ltd. 69,822 321 #* Timmins Gold Corp. 869,574 1,392,786 #* US Silver & Gold, Inc. 59,933 31,615 #* Veris Gold Corp. 158,868 85,327 * Virginia Mines, Inc. 59,773 611,116 * Wesdome Gold Mines, Ltd. 325,464 206,020 West Fraser Timber Co., Ltd. 24,266 2,224,238 # Western Forest Products, Inc. 576,980 824,534 Winpak, Ltd. 78,704 1,725,578 ------------ Total Materials 166,309,159 ------------ Telecommunication Services -- (0.3%) * Axia NetMedia Corp. 182,767 404,922 # Manitoba Telecom Services, Inc. 85,585 2,419,019 ------------ Total Telecommunication Services 2,823,941 ------------ Utilities -- (4.0%) # Algonquin Power & Utilities Corp. 912,415 5,889,371 #* Alterra Power Corp. 1,066,070 301,626 * Boralex, Inc. Class A 97,733 983,282 # Capital Power Corp. 376,609 7,801,999 # Capstone Infrastructure Corp. 387,978 1,462,383 # Innergex Renewable Energy, Inc. 441,574 3,870,893 # Just Energy Group, Inc. 594,078 4,216,350 * Maxim Power Corp. 92,234 341,460 # Northland Power, Inc. 277,107 4,390,551 * Ram Power Corp. 620,037 83,255
THE CANADIAN SMALL COMPANY SERIES CONTINUED
Shares Value++ ----------- ------------ Utilities -- (Continued) # Superior Plus Corp. 653,197 $ 6,966,432 Valener, Inc. 161,936 2,408,888 ------------ Total Utilities 38,716,490 ------------ TOTAL COMMON STOCKS 738,813,553 ------------ Shares/ Face Amount (000) Value+ ----------- ------------ SECURITIES LENDING COLLATERAL -- (22.9%) (S)@ DFA Short Term Investment Fund 18,928,263 219,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $753,495 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $681,400) to be repurchased at $668,041 $ 668 668,039 ------------ TOTAL SECURITIES LENDING COLLATERAL 219,668,039 ------------ TOTAL INVESTMENTS -- (100.0%) (Cost $1,032,941,509) $958,481,592 ============
THE EMERGING MARKETS SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ --------- ----------- COMMON STOCKS -- (90.1%) ARGENTINA -- (0.0%) * Celulosa Argentina 1 $ -- ----------- BRAZIL -- (7.7%) AES Tiete SA 53,084 467,067 All America Latina Logistica SA 508,831 1,819,127 Arteris SA 62,000 552,849 Banco Bradesco SA 653,682 10,528,114 Banco do Brasil SA 673,592 8,916,201 Banco Santander Brasil SA 223,400 1,520,133 # Banco Santander Brasil SA ADR 726,366 5,033,716 BM&FBovespa SA 2,134,108 12,028,075 BR Malls Participacoes SA 360,223 3,479,732 * Braskem SA Sponsored ADR 153,394 2,704,336 BRF SA 94,100 2,207,676 BRF SA ADR 564,360 13,222,955 CCR SA 880,368 7,256,695 Centrais Eletricas Brasileiras SA 132,500 419,940 # Centrais Eletricas Brasileiras SA ADR 86,923 460,692 Centrais Eletricas Brasileiras SA Sponsored ADR 100,200 316,632 CETIP SA - Mercados Organizados 191,000 2,110,804 # Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR 85,830 4,327,549 Cia de Bebidas das Americas ADR 622,039 23,139,851 Cia de Saneamento Basico do Estado de Sao Paulo 104,600 1,108,495 Cia de Saneamento Basico do Estado de Sao Paulo ADR 178,668 1,895,668 Cia Energetica de Minas Gerais 68,587 607,124 Cia Hering 108,600 1,573,056 Cia Paranaense de Energia 17,100 173,156 # Cia Paranaense de Energia Sponsored ADR 57,783 802,028 Cia Siderurgica Nacional SA 633,652 3,430,436 # Cia Siderurgica Nacional SA Sponsored ADR 202,748 1,123,224 Cielo SA 357,475 10,841,002 Cosan SA Industria e Comercio 133,169 2,663,202 CPFL Energia SA 83,360 711,632 CPFL Energia SA ADR 63,516 1,072,150 Cyrela Brazil Realty SA Empreendimentos e Participacoes 356,197 2,648,071 Duratex SA 321,230 1,995,554 EcoRodovias Infraestrutura e Logistica SA 150,488 1,019,782 EDP - Energias do Brasil SA 236,900 1,351,513 Embraer SA 164,400 1,194,338 Embraer SA ADR 133,319 3,918,245 #* Fibria Celulose SA Sponsored ADR 514,098 6,708,979 Gerdau SA 140,232 931,815 Gerdau SA Sponsored ADR 150,151 1,190,697 Grendene SA 91,864 828,214 Guararapes Confeccoes SA 6,056 270,407 Hypermarcas SA 939,724 8,194,939 Itau Unibanco Holding SA 237,236 3,442,428 Itau Unibanco Holding SA ADR 169,341 2,609,539 JBS SA 823,581 2,940,308 Kroton Educacional SA 206,884 3,056,808 Localiza Rent a Car SA 139,560 2,274,905
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ----------- ------------ BRAZIL -- (Continued) Lojas Americanas SA 126,010 $ 788,142 Lojas Renner SA 127,687 3,850,892 M Dias Branco SA 35,100 1,646,651 Multiplan Empreendimentos Imobiliarios SA 89,300 2,094,581 Natura Cosmeticos SA 173,400 3,460,575 Odontoprev SA 7,800 32,209 Oi SA 179,758 320,443 Oi SA ADR(670851104) 7,319 12,735 # Oi SA ADR(670851203) 107,889 186,648 Petroleo Brasileiro SA 462,400 4,030,344 Petroleo Brasileiro SA ADR 1,372,750 23,927,033 Petroleo Brasileiro SA Sponsored ADR 1,985,055 36,048,599 Porto Seguro SA 140,099 1,758,701 Raia Drogasil SA 229,600 1,675,954 Souza Cruz SA 378,070 4,089,650 Tim Participacoes SA 439,800 2,226,946 Tim Participacoes SA ADR 63,679 1,618,720 Totvs SA 114,575 1,935,228 Tractebel Energia SA 142,100 2,419,622 Transmissora Alianca de Energia Eletrica SA 304,634 2,936,453 Ultrapar Participacoes SA 76,200 2,025,714 Ultrapar Participacoes SA Sponsored ADR 254,308 6,772,222 * Usinas Siderurgicas de Minas Gerais SA 39,100 198,239 Vale SA 133,600 2,114,793 # Vale SA Sponsored ADR(91912E105) 1,249,020 19,996,810 Vale SA Sponsored ADR(91912E204) 502,843 7,361,622 WEG SA 248,866 3,241,398 ------------ TOTAL BRAZIL 307,860,783 ------------ CHILE -- (1.6%) AES Gener SA 2,043,503 1,224,745 Aguas Andinas SA Class A 1,962,055 1,328,423 # Banco de Chile ADR 35,284 3,240,130 Banco de Credito e Inversiones 36,262 2,116,492 # Banco Santander Chile ADR 160,077 3,931,491 Banmedica SA 2,996 5,495 CAP SA 68,804 1,428,332 Cencosud SA 1,142,664 4,659,769 Cencosud SA ADR 8,408 105,857 CFR Pharmaceuticals SA 1,737,925 440,674 Cia Cervecerias Unidas SA 9,296 124,224 Cia Cervecerias Unidas SA ADR 43,217 1,153,462 Cia General de Electricidad SA 9,973 56,635 Colbun SA 6,194,334 1,532,750 Corpbanca SA 112,194,160 1,255,815 # Corpbanca SA ADR 26,066 448,335 E.CL SA 16,312 25,462 Embotelladora Andina SA Class A ADR 22,244 576,120 Embotelladora Andina SA Class B ADR 19,587 669,875 # Empresa Nacional de Electricidad SA Sponsored ADR 100,815 4,546,756 Empresas CMPC SA 1,170,705 3,480,761 Empresas COPEC SA 471,084 6,868,784
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ----------- CHILE -- (Continued) Enersis SA Sponsored ADR 478,616 $ 7,897,164 ENTEL Chile SA 122,304 1,885,172 Gasco SA 4,891 52,083 Inversiones Aguas Metropolitanas SA 377,408 701,603 # Latam Airlines Group SA Sponsored ADR 184,752 3,057,646 Molibdenos y Metales SA 21,739 349,196 Ripley Corp. SA 704,487 618,312 SACI Falabella 712,387 7,084,757 Sigdo Koppers SA 338,893 565,587 Sociedad Quimica y Minera de Chile SA Sponsored ADR 91,271 2,519,992 Sonda SA 439,410 1,140,059 ----------- TOTAL CHILE 65,091,958 ----------- CHINA -- (14.1%) Agile Property Holdings, Ltd. 1,754,000 2,109,969 Agricultural Bank of China, Ltd. Class H 18,731,000 9,026,375 Air China, Ltd. Class H 1,690,000 1,150,621 #* Aluminum Corp. of China, Ltd. ADR 112,680 1,025,388 #* Aluminum Corp. of China, Ltd. Class H 796,000 294,347 #* Angang Steel Co., Ltd. Class H 1,422,000 860,947 # Anhui Conch Cement Co., Ltd. Class H 1,048,500 3,665,788 Bank of China, Ltd. Class H 65,514,100 30,844,677 Bank of Communications Co., Ltd. Class H 6,896,515 5,053,356 BBMG Corp. Class H 753,500 538,696 Beijing Capital International Airport Co., Ltd. Class H 198,000 139,104 # Beijing Enterprises Holdings, Ltd. 668,972 5,474,124 Belle International Holdings, Ltd. 3,431,000 4,811,254 Biostime International Holdings, Ltd. 48,000 368,609 Brilliance China Automotive Holdings, Ltd. 2,052,000 3,573,440 #* Byd Co., Ltd. Class H 415,886 2,064,558 China BlueChemical, Ltd. 1,502,000 963,534 China CITIC Bank Corp., Ltd. Class H 7,023,928 3,948,984 # China Coal Energy Co., Ltd. Class H 3,792,777 2,322,460 China Communications Construction Co., Ltd. Class H 3,581,000 2,918,245 China Communications Services Corp., Ltd. Class H 2,892,000 1,787,501 China Construction Bank Corp. Class H 56,443,590 43,914,613 #* China COSCO Holdings Co., Ltd. Class H 2,263,000 1,077,331 * China Eastern Airlines Corp., Ltd. ADR 2,800 47,348 * China Eastern Airlines Corp., Ltd. Class H 1,382,000 475,721 China Everbright International, Ltd. 627,000 626,671 # China Gas Holdings, Ltd. 2,348,000 2,609,603 China International Marine Containers Group Co., Ltd. Class H 330,000 621,424 China Life Insurance Co., Ltd. ADR 330,798 13,043,365 China Life Insurance Co., Ltd. Class H 784,000 2,069,586 China Longyuan Power Group Corp. Class H 1,745,000 2,005,409 China Mengniu Dairy Co., Ltd. 976,000 4,274,454 China Merchants Bank Co., Ltd. Class H 3,724,554 7,405,880 China Merchants Holdings International Co., Ltd. 1,023,426 3,621,437 # China Minsheng Banking Corp., Ltd. Class H 4,422,500 5,067,908 China Mobile, Ltd. 73,500 763,786 # China Mobile, Ltd. Sponsored ADR 877,340 45,639,227 China Molybdenum Co., Ltd. Class H 896,322 365,691
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- ----------- CHINA -- (Continued) # China National Building Material Co., Ltd. Class H 2,181,916 $ 2,130,521 China Oilfield Services, Ltd. Class H 1,184,000 3,308,906 China Overseas Land & Investment, Ltd. 3,042,000 9,407,583 China Pacific Insurance Group Co., Ltd. Class H 1,946,000 7,019,557 China Petroleum & Chemical Corp. ADR 138,384 11,121,898 China Petroleum & Chemical Corp. Class H 8,186,800 6,627,276 # China Railway Construction Corp., Ltd. Class H 2,554,000 2,794,679 China Railway Group, Ltd. Class H 3,077,000 1,741,534 China Resources Cement Holdings, Ltd. 1,609,335 1,074,774 China Resources Enterprise, Ltd. 1,055,000 3,729,566 China Resources Gas Group, Ltd. 572,000 1,480,068 China Resources Land, Ltd. 1,574,000 4,559,723 China Resources Power Holdings Co., Ltd. 1,180,000 3,096,457 China Shenhua Energy Co., Ltd. Class H 2,766,500 8,397,514 #* China Shipping Container Lines Co., Ltd. Class H 4,653,000 1,151,825 China Southern Airlines Co., Ltd. Class H 1,006,000 368,111 China Southern Airlines Co., Ltd. Sponsored ADR 10,900 201,650 China State Construction International Holdings, Ltd. 1,318,000 2,217,311 * China Taiping Insurance Holdings Co., Ltd. 536,800 837,358 China Telecom Corp., Ltd. ADR 50,817 2,626,223 China Telecom Corp., Ltd. Class H 3,562,000 1,860,628 China Unicom Hong Kong, Ltd. ADR 470,600 7,341,360 Chongqing Rural Commercial Bank Class H 26,000 13,135 # CITIC Pacific, Ltd. 1,669,000 2,367,193 # CITIC Securities Co., Ltd. Class H 896,000 1,876,482 CNOOC, Ltd. 3,105,000 6,299,613 CNOOC, Ltd. ADR 115,255 23,317,239 COSCO Pacific, Ltd. 2,285,058 3,316,636 Country Garden Holdings Co., Ltd. 3,575,769 2,461,236 CSR Corp., Ltd. 1,471,000 1,218,245 Datang International Power Generation Co., Ltd. Class H 1,616,000 740,153 Dongfang Electric Corp., Ltd. Class H 290,200 466,080 Dongfeng Motor Group Co., Ltd. Class H 2,302,000 3,242,736 ENN Energy Holdings, Ltd. 514,000 3,030,872 # Evergrande Real Estate Group, Ltd. 6,559,000 2,775,729 Fosun International, Ltd. 1,717,441 1,657,437 * GCL-Poly Energy Holdings, Ltd. 5,826,814 1,780,275 # Geely Automobile Holdings, Ltd. 3,655,000 1,847,148 # Golden Eagle Retail Group, Ltd. 414,000 613,693 Great Wall Motor Co., Ltd. Class H 712,000 4,175,748 # Greentown China Holdings, Ltd. 650,500 1,261,387 Guangdong Investment, Ltd. 1,630,000 1,401,072 Guangshen Railway Co., Ltd. Sponsored ADR 29,254 769,380 Guangzhou Automobile Group Co., Ltd. Class H 1,996,259 2,366,711 * Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 174,000 628,726 Guangzhou R&F Properties Co., Ltd. 1,225,600 2,147,290 Haier Electronics Group Co., Ltd. 639,000 1,362,369 Haitian International Holdings, Ltd. 79,000 190,427 * Hanergy Solar Group, Ltd. 6,844,000 1,164,777 Hengan International Group Co., Ltd. 545,500 6,682,917 Huadian Power International Corp., Ltd. Class H 856,000 396,501 Huaneng Power International, Inc. Class H 602,000 626,046
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ CHINA -- (Continued) Huaneng Power International, Inc. Sponsored ADR 34,452 $ 1,424,246 Industrial & Commercial Bank of China, Ltd. Class H 59,907,185 41,919,158 # Jiangsu Expressway Co., Ltd. Class H 820,000 1,028,845 Jiangxi Copper Co., Ltd. Class H 1,421,000 2,727,994 Kunlun Energy Co., Ltd. 2,312,000 3,788,068 # Lenovo Group, Ltd. 4,593,278 4,908,482 Longfor Properties Co., Ltd. 1,094,000 1,787,911 #* Metallurgical Corp. of China, Ltd. Class H 2,646,000 542,838 * New China Life Insurance Co., Ltd. Class H 395,800 1,115,752 New World China Land, Ltd. 2,554,000 1,405,596 # Nine Dragons Paper Holdings, Ltd. 1,905,000 1,569,343 # PetroChina Co., Ltd. ADR 145,110 16,436,610 PetroChina Co., Ltd. Class H 2,814,000 3,204,529 PICC Property & Casualty Co., Ltd. Class H 2,279,920 3,478,462 # Ping An Insurance Group Co. of China, Ltd. Class H 1,408,000 11,102,437 # Shandong Weigao Group Medical Polymer Co., Ltd. Class H 1,204,000 1,127,449 Shanghai Electric Group Co., Ltd. Class H 2,502,000 880,846 Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H 162,000 365,980 Shanghai Industrial Holdings, Ltd. 701,274 2,305,263 Shanghai Pharmaceuticals Holding Co., Ltd. Class H 495,400 1,025,536 Shenzhou International Group Holdings, Ltd. 390,000 1,337,165 # Shimao Property Holdings, Ltd. 1,956,371 4,901,753 Sihuan Pharmaceutical Holdings Group, Ltd. 704,000 524,549 Sino Biopharmaceutical 1,120,000 785,805 # Sino-Ocean Land Holdings, Ltd. 2,338,192 1,482,647 Sinopec Shanghai Petrochemical Co., Ltd. Class H 1,593,000 420,733 # Sinopec Shanghai Petrochemical Co., Ltd. Sponsored ADR 6,545 253,684 * Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 896,000 248,234 Sinopharm Group Co., Ltd. Class H 747,600 2,020,137 # SOHO China, Ltd. 2,899,263 2,545,194 Sun Art Retail Group, Ltd. 1,746,000 2,855,362 Tencent Holdings, Ltd. 763,600 41,659,099 Tingyi Cayman Islands Holding Corp. 1,440,000 4,068,319 Tsingtao Brewery Co., Ltd. Class H 186,000 1,522,039 # Uni-President China Holdings, Ltd. 759,000 756,397 Want Want China Holdings, Ltd. 4,391,000 6,728,884 Weichai Power Co., Ltd. Class H 428,200 1,713,920 # Yanzhou Coal Mining Co., Ltd. Class H 900,000 932,421 # Yanzhou Coal Mining Co., Ltd. Sponsored ADR 108,916 1,116,389 Zhaojin Mining Industry Co., Ltd. 178,500 143,475 Zhejiang Expressway Co., Ltd. Class H 968,000 883,750 # Zhuzhou CSR Times Electric Co., Ltd. Class H 276,000 979,992 # Zijin Mining Group Co., Ltd. Class H 4,821,000 1,122,815 # Zoomlion Heavy Industry Science and Technology Co., Ltd. 1,066,200 986,280 #* ZTE Corp. Class H 499,038 1,087,570 ------------ TOTAL CHINA 563,085,164 ------------ COLOMBIA -- (0.7%) Almacenes Exito SA 188,633 3,159,915 Banco de Bogota SA 20,555 727,982 Bancolombia SA 99,771 1,376,079 Bancolombia SA Sponsored ADR 89,105 5,001,464
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ------- ----------- COLOMBIA -- (Continued) Cementos Argos SA 322,140 $ 1,700,625 Ecopetrol SA 979,672 2,329,656 # Ecopetrol SA Sponsored ADR 220,479 10,441,885 Empresa de Energia de Bogota SA 831,271 698,455 Grupo Aval Acciones y Valores 620,146 435,857 Grupo de Inversiones Suramericana SA 1,578 31,271 Grupo Nutresa SA 19,691 280,951 Interconexion Electrica SA ESP 275,768 1,364,012 Isagen SA ESP 762,874 1,217,470 ----------- TOTAL COLOMBIA 28,765,622 ----------- CZECH REPUBLIC -- (0.3%) CEZ A.S. 198,179 5,702,935 Komercni Banka A.S. 16,129 3,995,282 Philip Morris CR A.S. 276 156,982 Telefonica Czech Republic A.S. 142,100 2,317,001 * Unipetrol A.S. 12,131 108,718 ----------- TOTAL CZECH REPUBLIC 12,280,918 ----------- EGYPT -- (0.1%) # Commercial International Bank Egypt S.A.E. GDR 276,614 1,599,823 * Egyptian Financial Group-Hermes Holding GDR 676 1,314 * Global Telecom Holding GDR 428,641 1,450,597 ----------- TOTAL EGYPT 3,051,734 ----------- HONG KONG -- (0.0%) * FU JI Food and Catering Services Holdings, Ltd. 28,900 6,042 ----------- HUNGARY -- (0.3%) Magyar Telekom Telecommunications P.L.C. 438,413 601,140 MOL Hungarian Oil and Gas P.L.C. 41,546 2,840,659 OTP Bank P.L.C. 250,935 5,205,691 Richter Gedeon Nyrt 145,205 2,761,122 * Tisza Chemical Group P.L.C. 23,981 350,730 ----------- TOTAL HUNGARY 11,759,342 ----------- INDIA -- (6.3%) ABB India, Ltd. 46,035 468,037 ACC, Ltd. 51,847 956,996 Adani Enterprises, Ltd. 217,318 733,235 Adani Ports and Special Economic Zone 403,387 952,985 * Adani Power, Ltd. 722,177 381,568 Aditya Birla Nuvo, Ltd. 40,385 803,220 Ambuja Cements, Ltd. 720,850 2,195,203 Apollo Hospitals Enterprise, Ltd. 79,561 1,170,109 Asian Paints, Ltd. 264,310 2,314,086 Axis Bank, Ltd. 270,273 5,381,461 Bajaj Auto, Ltd. 88,932 3,080,795 Bajaj Finserv, Ltd. 38,658 403,056 Bajaj Holdings and Investment, Ltd. 25,772 346,626 Bank of Baroda 95,903 1,006,132
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- ----------- INDIA -- (Continued) Bank of India 151,325 $ 521,283 Berger Paints India, Ltd. 41,763 155,793 Bharat Electronics, Ltd. 17,301 296,519 Bharat Heavy Electricals, Ltd. 637,403 1,462,669 Bharat Petroleum Corp., Ltd. 153,491 896,272 Bharti Airtel, Ltd. 712,612 4,246,448 Bhushan Steel, Ltd. 51,151 399,813 Bosch, Ltd. 11,944 1,706,929 Britannia Industries, Ltd. 15,574 237,646 Cadila Healthcare, Ltd. 39,235 421,314 Cairn India, Ltd. 401,975 2,087,453 Canara Bank 118,214 498,049 Cipla, Ltd. 360,392 2,425,164 Colgate-Palmolive India, Ltd. 41,197 830,204 Container Corp. Of India 54,732 675,928 Cummins India, Ltd. 67,546 434,537 Dabur India, Ltd. 495,434 1,432,160 Divi's Laboratories, Ltd. 41,087 649,578 DLF, Ltd. 486,202 1,198,200 Dr Reddy's Laboratories, Ltd. 23,076 911,834 # Dr Reddy's Laboratories, Ltd. ADR 74,598 2,957,811 Eicher Motors, Ltd. 5,958 383,634 Emami, Ltd. 51,759 417,703 Engineers India, Ltd. 41,692 119,991 * Essar Oil, Ltd. 395,013 334,745 Exide Industries, Ltd. 228,981 464,171 Federal Bank, Ltd. 455,880 611,517 GAIL India, Ltd. 217,415 1,245,732 GAIL India, Ltd. GDR 28,791 998,369 Gillette India, Ltd. 2,685 91,142 GlaxoSmithKline Consumer Healthcare, Ltd. 4,187 313,648 GlaxoSmithKline Pharmaceuticals, Ltd. 25,574 1,010,720 Glenmark Pharmaceuticals, Ltd. 101,902 930,363 GMR Infrastructure, Ltd. 454,854 160,388 Godrej Consumer Products, Ltd. 89,727 1,263,741 Godrej Industries, Ltd. 89,305 427,634 Grasim Industries, Ltd. 6,300 288,359 Havells India, Ltd. 28,408 342,427 HCL Technologies, Ltd. 209,838 3,732,976 HDFC Bank, Ltd. 1,530,953 17,028,382 Hero Motocorp, Ltd. 36,833 1,241,452 Hindalco Industries, Ltd. 1,207,587 2,264,666 Hindustan Petroleum Corp., Ltd. 73,212 239,649 ICICI Bank, Ltd. 8,735 158,592 ICICI Bank, Ltd. Sponsored ADR 208,679 7,787,900 IDBI Bank, Ltd. 346,191 380,816 Idea Cellular, Ltd. 805,036 2,254,294 IDFC, Ltd. 601,656 1,039,776 Indian Oil Corp., Ltd. 327,576 1,080,582 IndusInd Bank, Ltd. 190,939 1,382,314 Infosys, Ltd. 234,483 12,485,974 Infosys, Ltd. Sponsored ADR 233,468 12,387,812
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- ----------- INDIA -- (Continued) ING Vysya Bank, Ltd. 25,010 $ 240,093 Ipca Laboratories, Ltd. 18,943 209,565 ITC, Ltd. 2,259,060 12,277,426 Jaiprakash Associates, Ltd. 1,336,264 1,035,815 * Jaiprakash Power Ventures, Ltd. 454,730 136,166 Jindal Steel & Power, Ltd. 381,409 1,493,990 JSW Energy, Ltd. 592,161 446,727 JSW Steel, Ltd. 124,632 1,746,304 * Jubilant Foodworks, Ltd. 18,139 358,977 Kotak Mahindra Bank, Ltd. 289,527 3,550,852 Larsen & Toubro, Ltd. 312,837 4,952,513 Larsen & Toubro, Ltd. GDR 7,667 117,406 LIC Housing Finance, Ltd. 53,635 196,383 Lupin, Ltd. 134,973 1,945,126 Mahindra & Mahindra, Ltd. 332,035 4,781,557 * Mangalore Refinery & Petrochemicals, Ltd. 355,103 231,237 Marico, Ltd. 116,346 399,147 Maruti Suzuki India, Ltd. 33,769 899,561 Motherson Sumi Systems, Ltd. 134,808 588,886 Mphasis, Ltd. 73,800 507,909 National Aluminium Co., Ltd. 125,699 74,977 Nestle India, Ltd. 15,806 1,440,901 NHPC, Ltd. 2,574,565 756,822 NTPC, Ltd. 924,696 2,238,643 Oberoi Realty, Ltd. 13,876 42,609 Oil & Natural Gas Corp., Ltd. 699,873 3,334,065 Oil India, Ltd. 100,495 773,739 * Oracle Financial Services Software, Ltd. 19,531 1,017,053 Petronet LNG, Ltd. 201,679 405,207 Pidilite Industries, Ltd. 144,452 676,501 Piramal Enterprises, Ltd. 60,551 554,284 Power Grid Corp. of India, Ltd. 900,251 1,480,598 Procter & Gamble Hygiene & Health Care, Ltd. 7,944 355,821 * Ranbaxy Laboratories, Ltd. 137,683 875,833 Reliance Capital, Ltd. 97,310 588,408 Reliance Communications, Ltd. 594,072 1,428,562 Reliance Industries, Ltd. 1,433,931 21,342,373 Reliance Infrastructure, Ltd. 111,967 787,579 * Reliance Power, Ltd. 771,219 918,854 Rural Electrification Corp., Ltd. 47,495 150,372 Sesa Sterlite, Ltd. 1,599,539 5,231,607 Shree Cement, Ltd. 8,675 625,379 Shriram Transport Finance Co., Ltd. 76,457 764,579 Siemens, Ltd. 73,172 701,722 SJVN, Ltd. 381,249 119,239 State Bank of India 152,568 4,456,840 Steel Authority of India, Ltd. 346,711 350,380 Sun Pharmaceutical Industries, Ltd. 613,492 6,059,298 Sun TV Network, Ltd. 78,375 534,821 Tata Chemicals, Ltd. 6,064 26,463 Tata Consultancy Services, Ltd. 413,679 14,186,300 Tata Global Beverages, Ltd. 370,091 987,476
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ INDIA -- (Continued) Tata Motors, Ltd. 679,237 $ 4,210,233 # Tata Motors, Ltd. Sponsored ADR 81,024 2,537,672 Tata Power Co., Ltd. 763,990 1,020,502 Tata Steel, Ltd. 301,827 1,654,195 Tech Mahindra, Ltd. 56,640 1,427,703 Titan Industries, Ltd. 207,778 912,550 Torrent Power, Ltd. 5,032 6,857 Ultratech Cement, Ltd. 40,093 1,278,594 Union Bank of India 151,552 304,434 * Unitech, Ltd. 1,237,337 351,654 United Breweries, Ltd. 66,842 999,004 United Spirits, Ltd. 85,313 3,568,707 Wipro, Ltd. 491,956 3,838,164 Wockhardt, Ltd. 19,651 142,527 Yes Bank, Ltd. 161,542 968,023 Zee Entertainment Enterprises, Ltd. 389,718 1,685,695 ------------ TOTAL INDIA 251,818,041 ------------ INDONESIA -- (2.4%) Adaro Energy Tbk PT 12,163,000 1,099,592 AKR Corporindo Tbk PT 1,720,000 739,212 Alam Sutera Realty Tbk PT 12,012,500 647,773 Aneka Tambang Persero Tbk PT 1,281,500 181,612 Astra Agro Lestari Tbk PT 415,000 684,106 Astra International Tbk PT 17,653,110 10,408,071 Bank Central Asia Tbk PT 10,755,500 9,965,050 Bank Danamon Indonesia Tbk PT 3,627,079 1,384,556 Bank Mandiri Persero Tbk PT 9,040,117 6,903,025 Bank Negara Indonesia Persero Tbk PT 7,388,222 3,149,505 * Bank Pan Indonesia Tbk PT 7,175,000 457,130 Bank Rakyat Indonesia Persero Tbk PT 10,941,500 7,679,040 * Bank Tabungan Pensiunan Nasional Tbk PT 768,500 298,023 * Bayan Resources Tbk PT 79,500 61,323 Bumi Serpong Damai PT 7,524,500 1,043,790 Charoen Pokphand Indonesia Tbk PT 6,496,500 2,245,280 Ciputra Development Tbk PT 3,311,000 302,101 Global Mediacom Tbk PT 8,870,500 1,502,468 Gudang Garam Tbk PT 443,500 1,450,029 Holcim Indonesia Tbk PT 1,926,500 439,966 Indo Tambangraya Megah Tbk PT 355,000 941,292 Indocement Tunggal Prakarsa Tbk PT 1,284,500 2,380,443 Indofood CBP Sukses Makmur Tbk PT 998,500 991,299 Indofood Sukses Makmur Tbk PT 4,404,000 2,594,513 Indomobil Sukses Internasional Tbk PT 22,000 9,951 Indosat Tbk PT 1,006,500 392,592 Indosat Tbk PT ADR 1,674 34,317 * Inovisi Infracom Tbk PT 271,945 18,563 Japfa Comfeed Indonesia Tbk PT 853,500 105,919 Jasa Marga Persero Tbk PT 1,526,500 710,646 Kalbe Farma Tbk PT 21,762,500 2,505,587 * Lippo Karawaci Tbk PT 31,811,500 3,185,355 Mayora Indah Tbk PT 870,333 2,258,409
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ----------- INDONESIA -- (Continued) Media Nusantara Citra Tbk PT 4,428,000 $ 980,654 MNC Investama Tbk PT 13,972,500 433,494 * Panasia Indo Resources Tbk PT 75,100 2,765 Perusahaan Gas Negara Persero Tbk PT 8,045,500 3,638,921 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 8,500 1,205 Semen Indonesia Persero Tbk PT 2,585,500 3,289,513 Sinar Mas Agro Resources and Technology Tbk PT 1,116,500 643,574 Sumber Alfaria Trijaya Tbk PT 40,000 1,914 Surya Citra Media Tbk PT 2,348,500 489,471 Tambang Batubara Bukit Asam Persero Tbk PT 848,500 914,646 Telekomunikasi Indonesia Persero Tbk PT 39,175,700 8,148,953 * Tower Bersama Infrastructure Tbk PT 1,510,500 763,319 * Trada Maritime Tbk PT 3,944,000 531,694 Unilever Indonesia Tbk PT 1,381,500 3,673,378 United Tractors Tbk PT 1,461,196 2,267,886 Vale Indonesia Tbk PT 3,118,500 682,950 XL Axiata Tbk PT 2,210,000 876,631 ----------- TOTAL INDONESIA 94,111,506 ----------- MALAYSIA -- (4.1%) Aeon Co. M Bhd 46,100 233,520 Affin Holdings Bhd 532,900 719,766 # AirAsia BHD 1,748,600 1,484,466 Alliance Financial Group Bhd 1,339,200 2,201,353 AMMB Holdings Bhd 2,074,859 4,869,634 Axiata Group Bhd 2,713,975 5,907,866 Batu Kawan BHD 86,200 534,558 Berjaya Land Bhd 95,000 25,441 Berjaya Sports Toto Bhd 725,025 935,147 Boustead Holdings Bhd 454,586 753,459 British American Tobacco Malaysia Bhd 119,400 2,402,822 * Bumi Armada Bhd 1,127,700 1,415,219 # CIMB Group Holdings Bhd 5,147,141 12,234,882 Dialog Group BHD 1,706,900 1,486,691 DiGi.Com Bhd 3,544,020 5,613,007 DRB-Hicom Bhd 1,203,600 968,555 Fraser & Neave Holdings Bhd 90,500 533,870 Gamuda Bhd 1,929,900 2,978,409 Genting Bhd 1,894,300 6,289,120 # Genting Malaysia Bhd 3,181,700 4,354,954 Genting Plantations Bhd 282,600 974,103 Guinness Anchor Bhd 135,200 740,962 Hartalega Holdings Bhd 127,900 293,158 Hong Leong Bank Bhd 606,560 2,746,170 Hong Leong Financial Group Bhd 231,829 1,111,172 IJM Corp. Bhd 1,628,281 2,993,924 IOI Corp. Bhd 3,073,105 5,301,318 KPJ Healthcare Bhd 66,100 127,800 Kuala Lumpur Kepong Bhd 477,300 3,492,611 Kulim Malaysia BHD 470,200 506,583 Lafarge Malayan Bhd 343,580 1,084,725 Magnum Bhd 39,300 41,240
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ MALAYSIA -- (Continued) # Malayan Banking Bhd 5,003,321 $ 15,508,389 Malaysia Airports Holdings Bhd 811,351 2,163,257 Malaysia Marine and Heavy Engineering Holdings Bhd 414,500 509,731 * Malaysian Airline System Bhd 4,055,900 436,425 # Maxis Bhd 2,398,100 5,464,988 * MISC Bhd 1,391,098 2,251,541 MMC Corp. Bhd 1,092,100 927,246 Nestle Malaysia Bhd 189,300 4,077,784 # Parkson Holdings Bhd 585,720 697,999 Petronas Chemicals Group Bhd 2,844,500 6,409,586 Petronas Dagangan BHD 259,900 2,520,542 Petronas Gas Bhd 495,300 3,850,433 # PPB Group Bhd 531,900 2,476,808 Public Bank Bhd(B012W42) 67,739 393,149 Public Bank Bhd(B012W53) 1,029,701 5,977,690 RHB Capital Bhd 779,295 1,949,590 * Sapurakencana Petroleum Bhd 3,695,300 4,685,414 Shell Refining Co. Federation of Malaya Bhd 108,100 244,074 Sime Darby Bhd 2,858,620 8,634,345 SP Setia Bhd 623,400 606,817 Sunway Bhd 48,000 42,383 Telekom Malaysia Bhd 898,300 1,491,500 Tenaga Nasional Bhd 2,536,450 7,579,716 UEM Sunrise Bhd 2,094,637 1,552,038 UMW Holdings Bhd 593,466 2,406,662 United Plantations BHD 49,300 417,483 YTL Corp. Bhd 5,691,586 2,975,672 # YTL Power International Bhd 1,948,640 1,173,318 ------------ TOTAL MALAYSIA 162,781,085 ------------ MEXICO -- (5.2%) Alfa S.A.B. de C.V. Class A 3,254,340 8,909,542 # Alpek S.A. de C.V. 57,811 124,951 # America Movil S.A.B. de C.V. Series L 37,750,669 40,420,537 America Movil S.A.B. de C.V. Series L ADR 22,528 482,324 Arca Continental S.A.B. de C.V. 357,200 2,113,537 #* Cemex S.A.B. de C.V. 1,864,388 1,980,526 * Cemex S.A.B. de C.V. Sponsored ADR 1,285,964 13,605,497 # Coca-Cola Femsa S.A.B. de C.V. Series L 298,900 3,642,538 Coca-Cola Femsa S.A.B. de C.V. Sponsored ADR 13,716 1,667,043 Controladora Comercial Mexicana S.A.B. de C.V. 587,862 2,397,901 * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 8,726 5,952 El Puerto de Liverpool S.A.B. de C.V. 177,295 1,909,346 Fomento Economico Mexicano S.A.B. de C.V. 1,793,669 16,765,060 Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR 25,323 2,362,636 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 34,897 4,153,092 # Grupo Bimbo S.A.B. de C.V. Series A 1,661,379 5,590,031 # Grupo Carso S.A.B. de C.V. Series A1 704,241 3,837,168 Grupo Comercial Chedraui S.A. de C.V. 359,836 1,121,380 Grupo Financiero Banorte S.A.B. de C.V. 2,832,687 18,133,018 Grupo Financiero Inbursa S.A.B. de C.V. 2,146,713 5,531,625 Grupo Industrial Maseca S.A.B. de C.V. Class B 92,387 165,270
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ MEXICO -- (Continued) Grupo Mexico S.A.B. de C.V. Series B 3,796,416 $ 12,031,792 * Grupo Qumma S.A. de C.V. Series B 1,591 -- Grupo Televisa S.A.B. Series CPO 2,556,698 15,557,014 Grupo Televisa S.A.B. Sponsored ADR 116,618 3,549,852 #* Impulsora del Desarrollo y El Empleo en America Latina S.A.B. de C.V. 2,373,426 4,820,617 * Industrias CH S.A.B. de C.V. Series B 19,078 93,612 Industrias Penoles S.A.B. de C.V. 108,150 3,140,161 Kimberly-Clark de Mexico S.A.B. de C.V. Class A 1,823,400 5,544,025 Mexichem S.A.B. de C.V. 1,035,324 4,313,569 #* Minera Frisco S.A.B. de C.V. 783,633 2,012,049 #* OHL Mexico S.A.B. de C.V. 761,383 1,953,753 * Organizacion Soriana S.A.B. de C.V. Class B 1,112,475 3,599,892 #* Promotora y Operadora de Infraestructura S.A.B. de C.V. 34,023 345,491 Savia SA Class A 120,000 -- Wal-Mart de Mexico S.A.B. de C.V. Series V 5,418,775 14,087,631 ------------ TOTAL MEXICO 205,968,432 ------------ PERU -- (0.3%) Cementos Pacasmayo SAA ADR 3,559 42,067 # Cia de Minas Buenaventura SA ADR 103,995 1,507,928 Credicorp, Ltd. 63,638 8,692,951 ------------ TOTAL PERU 10,242,946 ------------ PHILIPPINES -- (1.3%) Aboitiz Equity Ventures, Inc. 1,585,460 1,867,483 Aboitiz Power Corp. 1,495,200 1,177,078 Alliance Global Group, Inc. 6,710,300 4,094,443 Ayala Corp. 183,605 2,563,503 Ayala Land, Inc. 5,882,318 4,004,506 Bank of the Philippine Islands 844,014 1,953,048 BDO Unibank, Inc. 1,533,841 2,877,595 China Banking Corp. 1,380 1,980 DMCI Holdings, Inc. 1,070,440 1,282,267 Energy Development Corp. 8,586,100 1,152,282 * Fwbc Holdings, Inc. 2,006,957 -- Globe Telecom, Inc. 34,395 1,385,633 International Container Terminal Services, Inc. 876,380 2,109,925 JG Summit Holdings, Inc. 168,900 170,691 Jollibee Foods Corp. 408,700 1,678,645 LT Group, Inc. 1,742,400 669,463 Manila Electric Co. 126,130 887,082 Megaworld Corp. 18,982,000 1,684,115 Metro Pacific Investments Corp. 9,128,100 1,030,550 Metropolitan Bank & Trust 1,146,499 2,363,902 Philippine Long Distance Telephone Co. 36,785 2,440,978 Philippine Long Distance Telephone Co. Sponsored ADR 3,998 264,468 * Philippine National Bank 349,520 780,771 Robinsons Land Corp. 2,175,300 1,141,102 San Miguel Corp. 427,890 752,713 Semirara Mining Corp. 112,800 720,168 SM Investments Corp. 294,252 5,829,165 SM Prime Holdings, Inc. 5,616,110 2,487,796
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- ----------- PHILIPPINES -- (Continued) Top Frontier Investment Holdings, Inc. 42,789 $ 38,125 Universal Robina Corp. 879,930 2,597,230 ----------- TOTAL PHILIPPINES 50,006,707 ----------- POLAND -- (1.7%) Bank Handlowy w Warszawie SA 36,694 1,410,312 * Bank Millennium SA 701,813 1,744,300 Bank Pekao SA 132,686 8,307,741 Bank Zachodni WBK SA 3,346 407,542 # BRE Bank SA 17,078 2,820,500 * Cyfrowy Polsat SA 86,412 628,642 Enea SA 73,778 347,175 Eurocash SA 72,770 1,117,844 * Getin Noble Bank SA 1,002,923 884,879 Grupa Azoty SA 27,128 717,156 * Grupa Lotos SA 25,811 314,854 Grupa Zywiec SA 11,564 1,654,765 * ING Bank Slaski SA 34,085 1,249,699 Jastrzebska Spolka Weglowa SA 38,639 834,216 * Kernel Holding SA 14,630 196,800 KGHM Polska Miedz SA 131,777 5,320,103 LPP SA 521 1,525,280 Lubelski Wegiel Bogdanka SA 9,469 349,917 PGE SA 920,894 5,379,332 Polski Koncern Naftowy Orlen SA 378,082 5,333,795 Polskie Gornictwo Naftowe i Gazownictwo SA 1,617,383 2,974,738 Powszechna Kasa Oszczednosci Bank Polski SA 854,863 11,324,324 Powszechny Zaklad Ubezpieczen SA 59,813 9,098,301 Synthos SA 506,543 857,880 Tauron Polska Energia SA 776,176 1,266,154 Telekomunikacja Polska SA 616,223 1,995,723 ----------- TOTAL POLAND 68,061,972 ----------- RUSSIA -- (5.2%) Eurasia Drilling Co., Ltd. GDR 126,471 5,352,340 Federal Hydrogenerating Co. JSC ADR 1,423,628 2,402,651 Gazprom OAO Sponsored ADR 6,850,921 64,038,306 Globaltrans Investment P.L.C. GDR 83,363 1,268,848 Lukoil OAO Sponsored ADR 556,966 36,477,853 Magnitogorsk Iron & Steel Works GDR 155,928 503,891 Mail.ru Group, Ltd. GDR 46,941 1,730,776 #* Mechel Sponsored ADR 170,001 537,203 MMC Norilsk Nickel OJSC ADR 532,268 8,040,268 Novolipetsk Steel OJSC GDR 97,820 1,666,731 Novorossiysk Commercial Sea Port PJSC GDR 33,123 273,313 O'Key Group SA GDR 35,623 421,309 Phosagro OAO GDR 52,146 539,336 * PIK Group GDR 2,241 4,513 Rosneft OAO GDR 1,224,426 9,660,424 Rostelecom OJSC Sponsored ADR 69,399 1,508,206 Sberbank of Russia Sponsored ADR 2,809,303 35,825,291 Severstal OAO GDR 247,044 2,151,943
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- ------------ RUSSIA -- (Continued) Tatneft OAO Sponsored ADR 241,102 $ 9,903,972 TMK OAO GDR 52,030 671,811 Uralkali OJSC GDR 271,413 7,242,402 # VimpelCom, Ltd. Sponsored ADR 610,357 8,783,037 VTB Bank OJSC GDR 1,820,217 5,043,262 * X5 Retail Group NV GDR 98,102 1,594,710 ------------ TOTAL RUSSIA 205,642,396 ------------ SOUTH AFRICA -- (7.1%) # African Bank Investments, Ltd. 709,671 1,198,912 African Rainbow Minerals, Ltd. 128,693 2,463,932 * Anglo American Platinum, Ltd. 74,041 2,993,122 # AngloGold Ashanti, Ltd. Sponsored ADR 331,815 5,010,406 * ArcelorMittal South Africa, Ltd. 203,913 803,388 Aspen Pharmacare Holdings, Ltd. 307,375 8,551,052 Assore, Ltd. 31,119 1,270,935 AVI, Ltd. 294,307 1,728,847 # Barclays Africa Group, Ltd. 365,243 5,641,249 Barloworld, Ltd. 275,602 2,468,889 # Bidvest Group, Ltd. 338,327 9,014,568 # Capitec Bank Holdings, Ltd. 44,862 955,715 Coronation Fund Managers, Ltd. 230,512 1,880,019 Discovery, Ltd. 357,805 3,023,665 Distell Group, Ltd. 16,261 217,697 # Exxaro Resources, Ltd. 142,511 2,182,475 FirstRand, Ltd. 3,444,432 12,365,468 Foschini Group, Ltd. (The) 229,375 2,642,421 # Gold Fields, Ltd. Sponsored ADR 710,430 3,267,978 Harmony Gold Mining Co., Ltd. 77,306 266,751 Impala Platinum Holdings, Ltd. 509,209 6,185,195 Imperial Holdings, Ltd. 227,001 4,824,722 Investec, Ltd. 266,068 1,885,783 # Kumba Iron Ore, Ltd. 74,255 3,105,361 Liberty Holdings, Ltd. 159,000 1,965,781 Life Healthcare Group Holdings, Ltd. 937,361 3,823,307 Massmart Holdings, Ltd. 103,729 1,663,046 Mediclinic International, Ltd. 306,464 2,309,490 MMI Holdings, Ltd. 1,346,403 3,300,819 Mondi, Ltd. 128,477 2,296,433 # Mr Price Group, Ltd. 238,341 3,751,202 # MTN Group, Ltd. 1,882,816 37,425,026 Nampak, Ltd. 704,489 2,328,997 # Naspers, Ltd. Class N 416,705 39,005,158 Nedbank Group, Ltd. 230,958 5,021,448 Netcare, Ltd. 1,050,827 2,607,564 # Pick n Pay Stores, Ltd. 244,318 1,154,662 PPC, Ltd. 60,146 190,005 PSG Group, Ltd. 61,341 504,395 Sanlam, Ltd. 1,983,108 10,640,506 Santam, Ltd. 38,343 727,798 # Sasol, Ltd. 19,082 975,048 # Sasol, Ltd. Sponsored ADR 583,774 29,784,149
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- ------------ SOUTH AFRICA -- (Continued) Shoprite Holdings, Ltd. 430,118 $ 7,876,581 Spar Group, Ltd. (The) 171,619 2,196,130 Standard Bank Group, Ltd. 1,209,908 15,392,568 #* Steinhoff International Holdings, Ltd. 1,482,591 5,723,271 # Tiger Brands, Ltd. 168,710 4,949,436 Truworths International, Ltd. 453,643 4,335,321 Tsogo Sun Holdings, Ltd. 288,868 810,061 # Vodacom Group, Ltd. 391,328 4,488,711 Woolworths Holdings, Ltd. 667,992 5,024,178 ------------ TOTAL SOUTH AFRICA 284,219,641 ------------ SOUTH KOREA -- (14.9%) Amorepacific Corp. 2,987 2,451,185 # AMOREPACIFIC Group 3,010 1,062,180 BS Financial Group, Inc. 221,660 3,558,705 # Celltrion, Inc. 55,053 2,394,059 Cheil Industries, Inc. 51,812 4,393,147 * Cheil Worldwide, Inc. 87,060 2,145,048 # CJ CheilJedang Corp. 8,825 2,141,755 # CJ Corp. 16,574 1,733,466 * CJ Korea Express Co., Ltd. 5,587 485,660 Coway Co., Ltd. 50,818 2,908,622 Daelim Industrial Co., Ltd. 36,223 3,362,334 #* Daewoo Engineering & Construction Co., Ltd. 133,508 1,081,754 # Daewoo International Corp. 45,753 1,685,213 Daewoo Securities Co., Ltd. 220,281 2,055,924 # Daewoo Shipbuilding & Marine Engineering Co., Ltd. 109,830 3,458,486 Dongbu Insurance Co., Ltd. 45,450 2,033,796 Doosan Corp. 9,398 1,259,008 # Doosan Heavy Industries & Construction Co., Ltd. 52,779 2,154,093 #* Doosan Infracore Co., Ltd. 100,420 1,437,335 E-Mart Co., Ltd. 25,293 6,052,515 # GS Engineering & Construction Corp. 38,637 1,304,484 GS Holdings 66,625 3,668,849 Hana Financial Group, Inc. 316,379 12,165,496 Hankook Tire Co., Ltd. 66,995 3,930,219 # Hanwha Chemical Corp. 98,760 2,167,636 Hanwha Corp. 47,620 1,802,446 Hanwha Life Insurance Co., Ltd. 204,320 1,366,221 Hite Jinro Co., Ltd. 22,640 555,726 # Hotel Shilla Co., Ltd. 31,278 2,020,508 Hyundai Department Store Co., Ltd. 17,135 2,728,457 Hyundai Engineering & Construction Co., Ltd. 77,500 4,446,185 Hyundai Glovis Co., Ltd. 11,990 2,658,328 # Hyundai Heavy Industries Co., Ltd. 44,760 10,688,559 Hyundai Hysco Co., Ltd. 35,114 1,390,074 Hyundai Marine & Fire Insurance Co., Ltd. 68,600 1,960,088 #* Hyundai Merchant Marine Co., Ltd. 47,685 617,006 Hyundai Mobis 70,280 19,824,583 Hyundai Motor Co. 158,812 37,835,980 Hyundai Steel Co. 70,734 5,824,103 Hyundai Wia Corp. 14,396 2,478,489
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ------- ------------ SOUTH KOREA -- (Continued) Industrial Bank of Korea 195,210 $ 2,255,001 # Kangwon Land, Inc. 114,660 3,150,952 KB Financial Group, Inc. 353,265 13,912,801 KB Financial Group, Inc. ADR 97,918 3,800,198 KCC Corp. 6,039 2,421,775 # KEPCO Engineering & Construction Co., Inc. 8,507 451,492 KEPCO Plant Service & Engineering Co., Ltd. 12,199 618,348 # Kia Motors Corp. 270,669 15,726,190 # Korea Aerospace Industries, Ltd. 35,900 947,386 * Korea Electric Power Corp. 197,690 5,279,505 Korea Gas Corp. 22,866 1,374,913 Korea Investment Holdings Co., Ltd. 32,780 1,278,863 Korea Zinc Co., Ltd. 9,259 2,684,088 * Korean Air Lines Co., Ltd. 31,881 1,016,863 KT Corp. 23,160 765,491 # KT&G Corp. 100,502 7,337,930 Kumho Petro chemical Co., Ltd. 15,006 1,468,977 LG Chem, Ltd. 47,843 13,495,647 LG Corp. 108,548 6,417,094 * LG Display Co., Ltd. 14,300 334,718 #* LG Display Co., Ltd. ADR 486,337 5,690,143 # LG Electronics, Inc. 113,853 7,292,964 # LG Household & Health Care, Ltd. 8,626 4,484,056 * LG Uplus Corp. 259,030 2,965,918 Lotte Chemical Corp. 21,503 4,405,953 Lotte Confectionery Co., Ltd. 263 451,000 Lotte Shopping Co., Ltd. 12,940 4,912,401 LS Corp. 17,345 1,296,403 Macquarie Korea Infrastructure Fund 200,980 1,250,062 # Mando Corp. 10,816 1,458,139 Naver Corp. 27,242 15,287,313 # NCSoft Corp. 14,464 2,803,631 # OCI Co., Ltd. 17,637 3,191,755 # Orion Corp/Republic of South Korea 3,321 3,238,551 POSCO 50,240 14,998,694 POSCO ADR 67,985 5,062,163 S-1 Corp. 16,316 973,019 S-Oil Corp. 47,441 3,461,862 Samsung C&T Corp. 143,779 8,531,551 Samsung Card Co., Ltd. 23,720 878,949 # Samsung Electro-Mechanics Co., Ltd. 57,281 4,393,962 Samsung Electronics Co., Ltd. 81,840 112,862,139 Samsung Electronics Co., Ltd. GDR 49,372 34,218,733 # Samsung Engineering Co., Ltd. 27,417 1,933,129 Samsung Fire & Marine Insurance Co., Ltd. 37,748 8,827,137 # Samsung Heavy Industries Co., Ltd. 168,600 6,182,114 Samsung Life Insurance Co., Ltd. 61,987 6,103,529 # Samsung SDI Co., Ltd. 39,230 6,539,296 Samsung Securities Co., Ltd. 68,528 3,037,852 Samsung Techwin Co., Ltd. 34,401 1,875,037 Shinhan Financial Group Co., Ltd. 374,876 16,345,946 Shinhan Financial Group Co., Ltd. ADR 86,082 3,730,794
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ SOUTH KOREA -- (Continued) Shinsegae Co., Ltd. 6,575 $ 1,655,278 SK C&C Co., Ltd. 21,215 2,286,460 SK Holdings Co., Ltd. 29,943 5,426,863 * SK Hynix, Inc. 512,610 15,424,892 SK Innovation Co., Ltd. 69,006 9,671,813 SK Networks Co., Ltd. 5,020 31,514 SK Telecom Co., Ltd. 8,002 1,743,798 Woori Finance Holdings Co., Ltd. 419,590 4,970,990 # Woori Finance Holdings Co., Ltd. ADR 1,223 42,854 Woori Investment & Securities Co., Ltd. 147,510 1,557,884 Young Poong Corp. 176 234,109 ------------ TOTAL SOUTH KOREA 593,756,604 ------------ TAIWAN -- (12.3%) #* Acer, Inc. 3,542,040 2,314,230 Advanced Semiconductor Engineering, Inc. 6,439,929 6,341,065 Advanced Semiconductor Engineering, Inc. ADR 77,739 383,253 Advantech Co., Ltd. 273,200 1,751,109 Asia Cement Corp. 2,445,802 3,317,699 # Asustek Computer, Inc. 834,180 6,366,541 #* AU Optronics Corp. 7,260,873 2,374,972 * AU Optronics Corp. Sponsored ADR 326,626 1,032,138 # Catcher Technology Co., Ltd. 762,429 4,432,855 Cathay Financial Holding Co., Ltd. 8,634,048 13,043,972 Cathay Real Estate Development Co., Ltd. 839,000 585,059 Chang Hwa Commercial Bank 5,665,043 3,398,232 Cheng Shin Rubber Industry Co., Ltd. 2,017,965 5,380,955 Cheng Uei Precision Industry Co., Ltd. 384,109 805,525 Chicony Electronics Co., Ltd. 507,574 1,264,980 * China Airlines, Ltd. 3,543,536 1,283,623 China Development Financial Holding Corp. 16,637,121 4,972,731 China Life Insurance Co., Ltd. 2,999,797 2,943,938 China Motor Corp. 649,000 620,199 China Petrochemical Development Corp. 2,243,613 1,128,319 China Steel Chemical Corp. 148,000 886,819 # China Steel Corp. 12,562,895 10,917,997 # Chipbond Technology Corp. 575,000 1,161,939 Chunghwa Telecom Co., Ltd. 947,000 3,040,317 # Chunghwa Telecom Co., Ltd. ADR 236,502 7,530,224 Clevo Co. 526,075 1,118,509 Compal Electronics, Inc. 5,806,541 4,543,343 CTBC Financial Holding Co., Ltd. 14,872,997 10,088,839 CTCI Corp. 638,000 1,115,795 Delta Electronics, Inc. 1,873,366 9,742,390 # E.Sun Financial Holding Co., Ltd. 5,847,651 3,916,182 Eclat Textile Co., Ltd. 159,120 1,749,919 # Epistar Corp. 1,169,000 2,027,153 * Eva Airways Corp. 1,930,600 1,074,689 * Evergreen Marine Corp. Taiwan, Ltd. 2,269,249 1,335,078 Far Eastern Department Stores Co., Ltd. 1,110,993 1,195,001 Far Eastern New Century Corp. 3,475,335 3,991,931 Far EasTone Telecommunications Co., Ltd. 1,630,000 3,734,004
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ----------- TAIWAN -- (Continued) Farglory Land Development Co., Ltd. 394,229 $ 724,138 Feng Hsin Iron & Steel Co. 214,000 389,438 Feng TAY Enterprise Co., Ltd. 53,000 138,916 First Financial Holding Co., Ltd. 8,434,371 5,220,114 Formosa Chemicals & Fibre Corp. 3,500,518 10,117,665 Formosa International Hotels Corp. 31,460 378,831 Formosa Petrochemical Corp. 1,179,000 3,167,377 Formosa Plastics Corp. 4,268,153 11,598,832 Formosa Taffeta Co., Ltd. 848,000 1,053,975 Foxconn Technology Co., Ltd. 996,237 2,503,636 Fubon Financial Holding Co., Ltd. 7,497,233 10,987,630 Giant Manufacturing Co., Ltd. 274,506 2,060,129 # Gourmet Master Co., Ltd. 33,000 219,690 #* HannStar Display Corp. 3,348,000 1,121,007 Highwealth Construction Corp. 384,200 829,360 # Hiwin Technologies Corp. 174,173 1,371,908 Hon Hai Precision Industry Co., Ltd. 12,590,056 32,007,618 # Hotai Motor Co., Ltd. 235,000 2,795,579 # HTC Corp. 813,235 3,991,612 Hua Nan Financial Holdings Co., Ltd. 6,620,828 3,925,446 #* Innolux Corp. 8,365,341 3,317,575 * Inotera Memories, Inc. 1,642,000 1,058,805 Inventec Corp. 3,189,551 2,854,837 Kenda Rubber Industrial Co., Ltd. 532,481 1,046,963 Kinsus Interconnect Technology Corp. 289,000 1,031,794 Largan Precision Co., Ltd. 97,860 3,332,456 LCY Chemical Corp. 434,123 573,073 Lite-On Technology Corp. 2,310,358 4,044,631 # Lung Yen Life Service Corp. 117,000 354,160 #* Macronix International 4,110,218 960,823 # MediaTek, Inc. 1,249,995 17,089,840 Mega Financial Holding Co., Ltd. 10,462,000 9,058,925 Merida Industry Co., Ltd. 194,750 1,474,336 Nan Kang Rubber Tire Co., Ltd. 534,780 687,258 Nan Ya Plastics Corp. 4,851,599 11,065,717 Novatek Microelectronics Corp. 582,000 2,305,554 Oriental Union Chemical Corp. 248,000 263,738 # Pegatron Corp. 2,039,345 2,841,563 # Phison Electronics Corp. 146,000 1,049,236 Pou Chen Corp. 2,701,487 3,290,669 Powertech Technology, Inc. 929,819 1,675,656 President Chain Store Corp. 556,831 4,061,504 # Quanta Computer, Inc. 2,553,000 6,052,631 # Radiant Opto-Electronics Corp. 474,170 1,774,342 # Realtek Semiconductor Corp. 398,950 927,507 # Ruentex Development Co., Ltd. 699,351 1,463,704 # Ruentex Industries, Ltd. 496,937 1,282,238 Sanyang Industry Co., Ltd. 418,000 731,492 ScinoPharm Taiwan, Ltd. 245,440 816,569 # Shin Kong Financial Holding Co., Ltd. 8,569,708 2,980,368 Siliconware Precision Industries Co. 2,997,324 3,641,645 Siliconware Precision Industries Co. Sponsored ADR 67,173 402,366
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ TAIWAN -- (Continued) Simplo Technology Co., Ltd. 298,000 $ 1,465,272 SinoPac Financial Holdings Co., Ltd. 7,945,105 3,931,743 St Shine Optical Co., Ltd. 42,000 1,236,997 Standard Foods Corp. 269,784 827,230 Synnex Technology International Corp. 1,493,756 2,383,034 Taishin Financial Holding Co., Ltd. 8,855,372 4,472,425 * Taiwan Business Bank 4,733,871 1,454,971 Taiwan Cement Corp. 4,100,720 5,968,142 Taiwan Cooperative Financial Holding 6,737,371 3,788,474 Taiwan FamilyMart Co., Ltd. 16,000 87,138 Taiwan Fertilizer Co., Ltd. 1,089,000 2,594,996 Taiwan Glass Industry Corp. 1,136,253 1,149,856 Taiwan Mobile Co., Ltd. 1,725,300 5,884,815 Taiwan Secom Co., Ltd. 49,000 118,743 # Taiwan Semiconductor Manufacturing Co., Ltd. 25,188,808 92,834,992 Teco Electric and Machinery Co., Ltd. 2,181,000 2,326,080 # Ton Yi Industrial Corp. 763,000 844,249 Transcend Information, Inc. 231,181 730,123 Tripod Technology Corp. 482,870 954,813 TSRC Corp. 633,300 1,170,961 U-Ming Marine Transport Corp. 551,860 906,256 Uni-President Enterprises Corp. 4,524,515 8,616,168 Unimicron Technology Corp. 1,848,896 1,462,342 # United Microelectronics Corp. 15,073,000 6,394,166 Vanguard International Semiconductor Corp. 834,000 901,496 * Walsin Lihwa Corp. 3,769,000 1,168,348 Wan Hai Lines, Ltd. 1,104,800 595,373 #* Wintek Corp. 1,832,760 684,604 # Wistron Corp. 3,015,444 2,830,976 WPG Holdings, Ltd. 1,645,869 2,001,870 * Yang Ming Marine Transport Corp. 1,741,300 772,204 Yuanta Financial Holding Co., Ltd. 10,373,577 5,656,796 Yulon Motor Co., Ltd. 1,075,000 1,897,486 Zhen Ding Technology Holding, Ltd. 247,700 580,935 ------------ TOTAL TAIWAN 489,720,474 ------------ THAILAND -- (2.6%) Advanced Info Service PCL 1,016,500 8,327,952 Airports of Thailand PCL 378,800 2,580,100 Bangkok Bank PCL(6368360) 605,300 4,006,162 Bangkok Bank PCL(6077019) 329,000 2,177,478 Bangkok Dusit Medical Services PCL 524,400 2,257,658 Bangkok Life Assurance PCL 435,800 882,101 Bank of Ayudhya PCL 2,590,200 3,183,137 Banpu PCL 1,185,500 1,104,562 BEC World PCL 645,300 1,207,670 Berli Jucker PCL 457,700 731,585 Big C Supercenter PCL(6368434) 255,200 1,598,843 Big C Supercenter PCL(6763932) 24,600 154,120 Bumrungrad Hospital PCL 239,000 668,048 Central Pattana PCL 1,159,900 1,788,761 Central Plaza Hotel PCL 290,900 366,838
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ---------- ------------ THAILAND -- (Continued) Charoen Pokphand Foods PCL 2,881,300 $ 2,249,497 CP ALL PCL 3,073,400 3,875,693 Delta Electronics Thailand PCL 429,500 658,912 Electricity Generating PCL 149,800 616,045 Glow Energy PCL 393,200 919,046 Home Product Center PCL 3,093,603 1,152,957 Indorama Ventures PCL 1,846,900 1,483,454 IRPC PCL 8,984,500 1,033,398 Jasmine International PCL 2,397,900 650,996 Kasikornbank PCL(6364766) 95,500 582,972 Kasikornbank PCL(6888794) 1,146,600 7,146,679 Krung Thai Bank PCL 5,908,587 3,853,633 Land and Houses PCL 3,400,100 1,201,642 Minor International PCL 1,438,700 1,282,696 Pruksa Real Estate PCL 483,900 346,698 PTT Exploration & Production PCL(B1359J0) 1,352,555 7,322,266 PTT Exploration & Production PCL(B1359L2) 65,409 354,102 PTT Global Chemical PCL 1,758,472 4,435,022 PTT PCL 1,015,400 10,341,584 Ratchaburi Electricity Generating Holding PCL 521,300 845,804 Robinson Department Store PCL 398,300 675,030 Siam Cement PCL(6609906) 124,800 1,764,241 Siam Cement PCL(6609928) 168,800 2,321,169 Siam City Cement PCL 94,913 1,213,667 Siam Commercial Bank PCL 1,160,966 6,135,868 Siam Global House PCL 956,200 586,777 Thai Airways International PCL 882,600 575,640 Thai Oil PCL 879,500 1,780,193 Thai Union Frozen Products PCL 452,560 817,879 TMB Bank PCL 19,864,000 1,748,670 Total Access Communication PCL(B1YWK08) 548,200 1,981,446 Total Access Communication PCL(B231MK7) 214,100 773,855 * True Corp. PCL 4,539,800 1,290,835 ------------ TOTAL THAILAND 103,053,381 ------------ TURKEY -- (1.9%) Akbank TAS 2,149,304 8,400,809 Anadolu Efes Biracilik Ve Malt Sanayii A.S. 224,564 2,859,777 Arcelik A.S. 270,945 1,725,393 # Aselsan Elektronik Sanayi Ve Ticaret A.S. 95,843 451,880 # BIM Birlesik Magazalar A.S. 207,155 4,334,075 Coca-Cola Icecek A.S. 64,801 1,853,182 * Dogan Yayin Holding A.S. 1 1 Enka Insaat ve Sanayi A.S. 458,239 1,339,836 Eregli Demir ve Celik Fabrikalari TAS 2,031,348 2,808,656 Ford Otomotiv Sanayi A.S. 74,222 1,042,001 KOC Holding A.S. 767,893 3,760,957 Koza Altin Isletmeleri A.S. 47,592 841,865 * Migros Ticaret A.S. 33,309 295,946 * Petkim Petrokimya Holding A.S. 80,883 127,319 TAV Havalimanlari Holding A.S. 170,054 1,230,461 Tofas Turk Otomobil Fabrikasi A.S. 132,651 876,940
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ --------- -------------- TURKEY -- (Continued) Tupras Turkiye Petrol Rafinerileri A.S. 127,754 $ 2,887,807 # Turk Hava Yollari 1,063,361 4,146,235 # Turk Telekomunikasyon A.S. 563,410 1,941,472 Turk Traktor ve Ziraat Makineleri A.S. 8,237 270,988 #* Turkcell Iletisim Hizmetleri A.S. 681,855 4,231,342 * Turkcell Iletisim Hizmetleri A.S. ADR 73,838 1,154,826 Turkiye Garanti Bankasi A.S. 2,626,667 10,532,489 Turkiye Halk Bankasi A.S. 715,217 5,746,955 Turkiye Is Bankasi 1,910,546 5,219,387 Turkiye Sise ve Cam Fabrikalari A.S. 711,487 1,044,005 Turkiye Vakiflar Bankasi Tao 943,516 2,257,591 Ulker Biskuvi Sanayi A.S. 90,680 691,726 Yapi ve Kredi Bankasi A.S. 1,054,650 2,434,261 -------------- TOTAL TURKEY 74,508,182 -------------- TOTAL COMMON STOCKS 3,585,792,930 -------------- PREFERRED STOCKS -- (3.8%) BRAZIL -- (3.7%) AES Tiete SA 91,098 892,833 Banco Bradesco SA 2,244,395 32,334,852 Banco do Estado do Rio Grande do Sul SA Class B 200,100 1,441,427 * Braskem SA Class A 73,800 652,039 Centrais Eletricas Brasileiras SA Class B 125,500 650,879 Cia Brasileira de Distribuicao Grupo Pao de Acucar 41,100 2,041,851 * Cia de Bebidas das Americas 171,064 6,364,236 Cia de Gas de Sao Paulo Class A 13,227 350,318 * Cia de Transmissao de Energia Eletrica Paulista 30,889 440,629 Cia Energetica de Minas Gerais 467,267 4,157,056 Cia Energetica de Sao Paulo Class B 149,110 1,556,629 Cia Paranaense de Energia 32,400 452,958 * Empresa Nacional de Comercio Redito e Participacoes SA 380 7,718 Gerdau SA 836,068 6,597,506 Itau Unibanco Holding SA 2,568,240 39,737,954 Klabin SA 663,777 3,529,767 Lojas Americanas SA 416,467 3,095,622 Marcopolo SA 290,900 749,941 Oi SA 463,558 775,094 Petroleo Brasileiro SA 947,300 8,589,281 Suzano Papel e Celulose SA Class A 419,600 1,694,728 Telefonica Brasil SA 248,684 5,463,029 * Usinas Siderurgicas de Minas Gerais SA Class A 609,817 3,223,050 Vale SA 1,529,491 22,387,437 -------------- TOTAL BRAZIL 147,186,834 -------------- CHILE -- (0.0%) Embotelladora Andina SA Class B 9,255 52,088 -------------- COLOMBIA -- (0.1%) Avianca Holdings SA 75,566 169,513 Banco Davivienda SA 114,619 1,503,339 Bancolombia SA 10,827 151,619
THE EMERGING MARKETS SERIES CONTINUED
Shares Value++ ----------- -------------- COLOMBIA -- (Continued) Grupo Aval Acciones y Valores 1,520,771 $ 1,056,788 Grupo de Inversiones Suramericana SA 41,562 825,815 -------------- TOTAL COLOMBIA 3,707,074 -------------- TOTAL PREFERRED STOCKS 150,945,996 -------------- RIGHTS/WARRANTS -- (0.0%) SOUTH KOREA -- (0.0%) * Hyundai Merchant Marine Co., Ltd. Rights 11/05/13 3,751 -- -------------- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (6.1%) (S)@ DFA Short Term Investment Fund 21,089,023 244,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $799,156 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $722,691) to be repurchased at $708,523 $ 709 708,521 -------------- TOTAL SECURITIES LENDING COLLATERAL 244,708,521 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,769,771,714) $3,981,447,447 ==============
THE EMERGING MARKETS SMALL CAP SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value++ --------- ----------- COMMON STOCKS -- (87.8%) ARGENTINA -- (0.0%) * Celulosa Argentina 1 $ 1 * Ferrum SA de Ceramica y Metalurgia 1 -- ----------- TOTAL ARGENTINA 1 ----------- BRAZIL -- (8.3%) Abril Educacao SA 196,623 2,808,877 Aliansce Shopping Centers SA 745,643 7,235,939 All America Latina Logistica SA 1,889,900 6,756,603 Alpargatas SA 100,394 570,913 Anhanguera Educacional Participacoes SA 2,379,735 14,230,629 Arezzo Industria e Comercio SA 397,935 5,919,095 Arteris SA 69,859 622,927 Autometal SA 285,059 2,164,730 * B2W Cia Digital 629,960 4,717,104 Banco Alfa de Investimento SA 500 1,428 Banco Mercantil do Brasil SA 1,327 9,170 Bematech SA 280,900 971,276 * BHG SA - Brazil Hospitality Group 155,302 1,134,883 Brasil Brokers Participacoes SA 1,107,611 2,877,866 Brasil Insurance Participacoes e Administracao SA 472,426 4,283,207 * BrasilAgro - Co. Brasileira de Propriedades Agricolas 40,600 183,468 * Brazil Pharma SA 711,000 2,638,122 * Brookfield Incorporacoes SA 1,364,667 852,216 CETIP SA - Mercados Organizados 423,659 4,681,994 Cia de Locacao das Americas 167,500 633,710 Cia de Saneamento de Minas Gerais-COPASA 475,121 7,708,550 Cia Hering 1,041,790 15,090,189 Cia Providencia Industria e Comercio SA 99,750 377,145 * Contax Participacoes SA 152,835 1,258,047 * CR2 Empreendimentos Imobiliarios SA 9,400 17,368 Cremer SA 114,546 799,576 CSU Cardsystem SA 8,900 11,882 Cyrela Commercial Properties SA Empreendimentos e Participacoes 46,800 421,041 Diagnosticos da America SA 2,097,741 10,768,045 Dimed SA Distribuidora da Medicamentos 300 29,270 Direcional Engenharia SA 670,009 3,879,914 EDP - Energias do Brasil SA 2,238,398 12,770,046 * Eneva SA 209,119 419,143 Equatorial Energia SA 1,308,435 13,571,943 Estacio Participacoes SA 2,460,804 19,001,453 Eternit SA 549,089 2,319,816 Even Construtora e Incorporadora SA 1,841,067 6,835,379 Ez Tec Empreendimentos e Participacoes SA 516,658 7,574,350 * Fertilizantes Heringer SA 131,400 503,207 Fleury SA 549,451 4,271,225 Forjas Taurus SA 35,969 44,787 * Gafisa SA 2,313,000 3,113,675 #* Gafisa SA ADR 1,094,820 2,945,066 * General Shopping Brasil SA 168,117 720,544 #* Gol Linhas Aereas Inteligentes SA ADR 195,800 1,012,286
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ----------- BRAZIL -- (Continued) Grendene SA 513,934 $ 4,633,453 Guararapes Confeccoes SA 32,100 1,433,300 Helbor Empreendimentos SA 1,145,093 4,554,321 * IdeiasNet SA 28,403 21,205 Iguatemi Empresa de Shopping Centers SA 606,900 6,977,608 * Industria de Bebidas Antarctica Polar SA 23,000 -- * Industrias Romi SA 125,500 350,396 * International Meal Co. Holdings SA 390,794 3,849,401 Iochpe-Maxion SA 641,608 7,809,540 JHSF Participacoes SA 782,247 1,945,172 Joao Fortes Engenharia SA 72,252 209,523 JSL SA 589,200 4,025,777 Kepler Weber SA 105,846 1,315,385 Kroton Educacional SA 59,172 874,294 Light SA 756,607 6,624,248 Localiza Rent a Car SA 408,452 6,657,993 * Log-in Logistica Intermodal SA 322,050 1,354,181 LPS Brasil Consultoria de Imoveis SA 571,540 3,993,923 M Dias Branco SA 19,441 912,038 Magnesita Refratarios SA 1,185,404 3,284,897 Mahle-Metal Leve SA Industria e Comercio 363,800 4,552,197 Marcopolo SA 28,000 69,921 * Marfrig Alimentos SA 1,809,559 3,658,755 Marisa Lojas SA 395,564 3,291,124 * Metalfrio Solutions SA 7,600 11,870 Mills Estruturas e Servicos de Engenharia SA 684,126 9,450,762 * Minerva SA 875,969 3,707,832 * MMX Mineracao e Metalicos SA 1,473,371 542,859 MRV Engenharia e Participacoes SA 2,831,833 12,175,228 Multiplus SA 373,684 4,603,314 Odontoprev SA 2,549,265 10,526,927 * Paranapanema SA 1,352,056 2,873,940 * PDG Realty SA Empreendimentos e Participacoes 11,912,853 10,700,850 * Plascar Participacoes Industriais SA 42,400 9,796 Portobello SA 146,700 324,689 Positivo Informatica SA 189,100 318,151 Profarma Distribuidora de Produtos Farmaceuticos SA 128,500 1,016,456 QGEP Participacoes SA 801,694 3,873,850 Raia Drogasil SA 379,275 2,768,500 Redentor Energia SA 7,800 17,514 * Refinaria de Petroleos de Manguinhos SA 221,289 29,827 Restoque Comercio e Confeccoes de Roupas SA 736,087 2,179,164 Rodobens Negocios Imobiliarios SA 150,738 914,992 * Rossi Residencial SA 3,233,729 3,967,147 Santos Brasil Participacoes SA 388,888 3,751,688 Sao Carlos Empreendimentos e Participacoes SA 47,859 838,087 Sao Martinho SA 420,562 5,923,292 SLC Agricola SA 371,218 3,444,326 Sonae Sierra Brasil SA 236,846 2,375,284 * Springs Global Participacoes SA 278,188 230,975 Sul America SA 1,675,809 12,241,484 * T4F Entretenimento SA 213,800 516,053
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ------------ BRAZIL -- (Continued) Technos SA 192,400 $ 1,492,038 * Tecnisa SA 1,078,756 4,470,392 Tegma Gestao Logistica 167,535 1,664,513 Tempo Participacoes SA 266,802 333,167 Tereos Internacional SA 428,383 565,050 Totvs SA 592,700 10,010,991 TPI - Triunfo Participacoes e Investimentos SA 255,201 1,172,167 Trisul SA 37,542 74,225 UNICASA Industria de Moveis SA 165,700 478,396 Valid Solucoes e Servicos de Seguranca em Meios de Pagamento e Identificacao S.A 363,250 5,585,318 * Vanguarda Agro SA 1,314,936 2,201,344 Via Varejo SA 53,803 720,512 * Viver Incorporadora e Construtora SA 790,989 106,522 ------------ TOTAL BRAZIL 379,366,248 ------------ CHILE -- (1.2%) * AquaChile SA 967,704 481,293 Banmedica SA 1,412,638 2,590,785 Besalco SA 2,143,635 3,014,367 Cementos BIO BIO SA 452,622 498,450 CFR Pharmaceuticals SA 2,301,492 583,573 Cia General de Electricidad SA 44,656 253,596 * Cia Pesquera Camanchaca SA 194,645 7,443 * Cia Sud Americana de Vapores SA 34,708,479 1,604,414 Cintac SA 324,650 88,750 Clinica LAS Condes SA 349 25,876 Cristalerias de Chile SA 156,836 1,335,873 Cruz Blanca Salud SA 1,629,752 1,111,652 E.CL SA 1,235,241 1,928,127 Empresa Electrica Pilmaiquen 46,897 222,781 Empresas Hites SA 1,245,628 1,016,327 Empresas Iansa SA 18,257,203 772,159 * Empresas La Polar SA 2,265,764 459,350 Enjoy SA 1,299,391 212,752 Forus SA 623,383 3,416,591 Gasco SA 126,150 1,343,340 Grupo Security SA 1,197,172 415,541 Inversiones Aguas Metropolitanas SA 2,369,141 4,404,245 Invexans SA 27,288,748 599,881 Latam Airlines Group SA 119,320 1,930,829 * Madeco SA 27,288,748 207,762 Masisa SA 13,451,218 992,026 Molibdenos y Metales SA 5,009 80,460 * Multiexport Foods SA 3,401,667 671,599 Parque Arauco SA 3,942,657 7,598,629 PAZ Corp. SA 932,240 529,198 Ripley Corp. SA 3,841,278 3,371,401 Salfacorp SA 1,851,976 2,105,380 Sigdo Koppers SA 524,501 875,353 Sociedad Matriz SAAM SA 20,281,523 2,030,582 Socovesa SA 2,895,998 821,730
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ----------- CHILE -- (Continued) Soquimich Comercial SA 472,478 $ 96,580 Vina Concha y Toro SA 3,097,218 5,686,019 Vina Concha y Toro SA Sponsored ADR 1,725 63,911 Vina San Pedro Tarapaca SA 40,093,814 238,602 ----------- TOTAL CHILE 53,687,227 ----------- CHINA -- (13.4%) # 361 Degrees International, Ltd. 2,057,000 589,082 Ajisen China Holdings, Ltd. 1,988,000 2,083,420 AMVIG Holdings, Ltd. 1,934,000 907,804 Anhui Expressway Co., Ltd. Class H 2,418,000 1,356,449 Anta Sports Products, Ltd. 3,936,000 5,635,637 # Anton Oilfield Services Group 4,904,000 3,108,079 Anxin-China Holdings, Ltd. 10,127,000 3,252,200 Asia Cement China Holdings Corp. 2,176,500 1,190,500 * Asia Energy Logistics Group, Ltd. 26,160,000 283,266 Asian Citrus Holdings, Ltd. 3,627,000 1,372,442 * Ausnutria Dairy Corp., Ltd. 365,000 68,735 * AVIC International Holdings, Ltd. 556,000 215,686 AviChina Industry & Technology Co., Ltd. Class H 8,290,788 3,935,740 # Baoxin Auto Group, Ltd. 810,000 835,566 Baoye Group Co., Ltd. Class H 1,860,000 1,345,816 * BaWang International Group Holding, Ltd. 3,546,000 212,680 BBMG Corp. Class H 162,500 116,175 Beijing Capital International Airport Co., Ltd. Class H 7,662,000 5,382,891 # Beijing Capital Land, Ltd. Class H 6,142,500 2,212,055 * Beijing Development HK, Ltd. 1,163,000 297,157 # Beijing Enterprises Water Group, Ltd. 13,727,660 6,108,070 Beijing Jingkelong Co., Ltd. Class H 377,749 131,635 Beijing Jingneng Clean Energy Co., Ltd. Class H 1,098,000 456,206 Beijing North Star Co., Ltd. Class H 2,408,000 540,984 * Beijing Properties Holdings, Ltd. 10,105,061 716,491 # Billion Industrial Holdings, Ltd. 240,500 130,933 Biostime International Holdings, Ltd. 593,000 4,553,860 Bloomage Biotechnology Corp., Ltd. 75,000 157,681 Boer Power Holdings, Ltd. 1,317,000 999,882 # Bosideng International Holdings, Ltd. 11,860,000 2,722,900 #* BYD Electronic International Co., Ltd. 3,864,815 1,813,913 C C Land Holdings, Ltd. 6,255,343 1,686,353 C.banner International Holdings, Ltd. 62,000 22,946 #* Carnival Group International Holdings, Ltd. 2,058,000 55,706 Carrianna Group Holdings Co., Ltd. 385,257 64,494 Central China Real Estate, Ltd. 2,902,626 948,535 * CGN Mining Co., Ltd. 4,825,000 429,664 Changshouhua Food Co., Ltd. 1,493,000 1,579,134 #* Chaoda Modern Agriculture Holdings, Ltd. 6,771,138 778,681 # Chaowei Power Holdings, Ltd. 2,063,000 876,009 * Chigo Holding, Ltd. 18,886,000 423,706 Chiho-Tiande Group, Ltd. 280,000 105,449 # China Aerospace International Holdings, Ltd. 9,854,500 1,130,789 China Agri-Industries Holdings, Ltd. 9,219,800 4,306,245 # China All Access Holdings, Ltd. 3,184,000 1,183,576
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- CHINA -- (Continued) China Aoyuan Property Group, Ltd. 5,252,000 $1,074,861 China Automation Group, Ltd. 3,231,000 679,134 China BlueChemical, Ltd. 4,840,000 3,104,862 * China Chengtong Development Group, Ltd. 1,562,000 58,325 # China Datang Corp. Renewable Power Co., Ltd. Class H 9,709,000 1,964,800 China Dongxiang Group Co. 13,246,985 2,066,258 * China Energine International Holdings, Ltd. 3,442,000 279,519 China Everbright International, Ltd. 9,335,800 9,330,899 China Everbright, Ltd. 3,554,000 5,271,199 China Fiber Optic Network System Group, Ltd. 1,752,000 311,644 #* China Foods, Ltd. 3,338,000 1,516,110 China Gas Holdings, Ltd. 5,635,500 6,263,380 * China Glass Holdings, Ltd. 3,396,000 425,060 * China Green Holdings, Ltd. 2,088,000 239,603 #* China Haidian Holdings, Ltd. 8,160,000 768,520 China High Precision Automation Group, Ltd. 1,289,000 202,835 #* China High Speed Transmission Equipment Group Co., Ltd. 5,250,000 2,816,742 # China Hongqiao Group, Ltd. 3,110,000 1,960,513 China Household Holdings, Ltd. 3,730,000 505,159 * China Huiyuan Juice Group, Ltd. 2,661,500 1,781,527 # China ITS Holdings Co., Ltd. 3,756,000 983,149 China Lesso Group Holdings, Ltd. 3,782,000 2,419,190 China Lilang, Ltd. 1,990,000 1,286,420 # China Lumena New Materials Corp. 14,530,000 3,111,137 # China Medical System Holdings, Ltd. 4,204,500 3,786,493 #* China Metal Recycling Holdings, Ltd. 2,401,686 1,460,589 * China Mining Resources Group, Ltd. 14,950,000 184,309 #* China Modern Dairy Holdings, Ltd. 5,468,000 2,546,318 China Molybdenum Co., Ltd. Class H 116,000 47,327 # China National Materials Co., Ltd. 3,927,000 855,831 #* China New Town Development Co., Ltd. 6,403,148 594,014 # China Oil & Gas Group, Ltd. 16,920,000 2,728,002 China Outfitters Holdings, Ltd. 24,000 3,940 # China Overseas Grand Oceans Group, Ltd. 3,221,500 3,830,710 # China Power International Development, Ltd. 9,896,000 3,878,549 * China Power New Energy Development Co., Ltd. 23,080,000 1,175,973 #* China Precious Metal Resources Holdings Co., Ltd. 13,354,318 2,153,761 * China Properties Group, Ltd. 2,464,000 634,644 * China Public Procurement, Ltd. 15,668,000 848,818 China Qinfa Group, Ltd. 2,656,000 208,985 * China Rare Earth Holdings, Ltd. 5,968,000 915,911 China Resources Cement Holdings, Ltd. 2,014 1,345 #* China Rongsheng Heavy Industries Group Holdings, Ltd. 14,764,500 1,750,859 * China Ruifeng Renewable Energy Holdings, Ltd. 3,376,000 936,367 China Sanjiang Fine Chemicals Co., Ltd. 2,889,000 1,277,609 China SCE Property Holdings, Ltd. 3,937,200 910,704 # China Shanshui Cement Group, Ltd. 7,599,000 2,696,836 China Shineway Pharmaceutical Group, Ltd. 1,376,200 2,135,206 #* China Shipping Development Co., Ltd. Class H 8,656,000 4,886,094 # China Singyes Solar Technologies Holdings, Ltd. 2,426,200 2,629,231 China South City Holdings, Ltd. 8,764,000 2,738,366 China Starch Holdings, Ltd. 6,470,000 186,042
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- CHINA -- (Continued) China Suntien Green Energy Corp., Ltd. Class H 5,846,000 $2,043,825 China Taifeng Beddings Holdings, Ltd. 1,500,000 330,545 * China Taiping Insurance Holdings Co., Ltd. 3,573,600 5,574,485 #* China Tian Lun Gas Holdings, Ltd. 499,500 450,910 China Tianyi Holdings, Ltd. 1,656,000 262,301 * China Tontine Wines Group, Ltd. 1,610,000 78,964 China Travel International Inv HK 14,349,900 2,776,494 * China Vanadium Titano - Magnetite Mining Co., Ltd. 5,311,000 834,988 China Water Affairs Group, Ltd. 5,682,000 2,132,185 * China WindPower Group, Ltd. 17,204,964 698,833 China Wireless Technologies, Ltd. 5,732,000 2,143,341 #* China Yurun Food Group, Ltd. 6,381,000 4,234,665 * China ZhengTong Auto Services Holdings, Ltd. 3,793,500 2,651,294 * China Zhongwang Holdings, Ltd. 6,878,400 2,245,031 #* Chinasoft International, Ltd. 4,104,000 1,201,718 #* ChinaVision Media Group, Ltd. 11,960,000 732,804 * Chinese People Holdings Co., Ltd. 6,172,000 145,001 * Chongqing Iron & Steel Co., Ltd. Class H 2,785,400 395,451 # Chongqing Machinery & Electric Co., Ltd. Class H 4,930,000 610,285 Chu Kong Petroleum & Natural Gas Steel Pipe Holdings, Ltd. 2,254,000 842,781 CIMC Enric Holdings, Ltd. 2,094,000 2,948,797 * Citic 21CN Co., Ltd. 5,441,200 337,331 * CITIC Dameng Holdings, Ltd. 274,000 22,240 * CITIC Resources Holdings, Ltd. 11,574,600 1,627,774 Clear Media, Ltd. 243,000 187,009 * Coastal Greenland, Ltd. 3,436,000 157,087 #* Comba Telecom Systems Holdings, Ltd. 2,461,577 809,339 * Comtec Solar Systems Group, Ltd. 2,114,000 462,963 Cosco International Holdings, Ltd. 2,703,000 1,166,436 # CP Pokphand Co., Ltd. 18,488,594 1,645,907 # CPMC Holdings, Ltd. 1,430,000 1,142,879 # CSPC Pharmaceutical Group, Ltd. 4,139,877 2,578,113 * DaChan Food Asia, Ltd. 1,725,955 215,959 # Dah Chong Hong Holdings, Ltd. 3,445,000 2,942,034 Dalian Port PDA Co., Ltd. Class H 4,986,000 1,157,090 # Daphne International Holdings, Ltd. 4,266,000 2,273,599 Dawnrays Pharmaceutical Holdings, Ltd. 1,358,943 673,489 #* DBA Telecommunication Asia Holdings, Ltd. 2,108,000 551,946 Digital China Holdings, Ltd. 3,218,800 4,235,162 Dongfang Electric Corp., Ltd. Class H 137,400 220,673 Dongjiang Environmental Co., Ltd. Class H 210,000 593,007 # Dongyue Group 5,029,000 2,367,336 #* Dynasty Fine Wines Group, Ltd. 1,614,000 299,776 Embry Holdings, Ltd. 473,000 293,002 EVA Precision Industrial Holdings, Ltd. 4,534,435 649,371 Evergreen International Holdings, Ltd. 1,246,000 244,433 * Extrawell Pharmaceutical Holdings, Ltd. 6,617,921 414,715 # Fantasia Holdings Group Co., Ltd. 8,451,000 1,448,446 # First Tractor Co., Ltd. Class H 3,351,176 2,393,680 # Franshion Properties China, Ltd. 13,522,300 4,714,898 Fufeng Group, Ltd. 5,262,600 2,240,766 * GCL-Poly Energy Holdings, Ltd. 12,832,000 3,920,581
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- CHINA -- (Continued) Geely Automobile Holdings, Ltd. 2,780,000 $1,404,944 * Global Bio-Chem Technology Group Co., Ltd. 9,198,800 711,277 * Global Sweeteners Holdings, Ltd. 770,951 52,599 #* Glorious Property Holdings, Ltd. 13,214,501 2,113,502 Goldbond Group Holdings, Ltd. 210,000 8,703 # Golden Eagle Retail Group, Ltd. 2,334,000 3,459,806 # Golden Meditech Holdings, Ltd. 6,215,367 745,761 Goldlion Holdings, Ltd. 1,017,962 497,725 # GOME Electrical Appliances Holding, Ltd. 43,306,000 6,758,009 Good Friend International Holdings, Inc. 404,667 138,041 Goodbaby International Holdings, Ltd. 2,969,000 1,470,222 * Great Wall Technology Co., Ltd. Class H 1,902,950 549,801 Greatview Aseptic Packaging Co., Ltd. 1,388,000 874,701 Greenland Hong Kong Holdings, Ltd. 1,309,000 924,869 Greentown China Holdings, Ltd. 879,648 1,705,729 Guangdong Land Holdings, Ltd. 4,396,800 1,174,754 # Guangshen Railway Co., Ltd. Class H 3,990,000 2,102,733 Guangshen Railway Co., Ltd. Sponsored ADR 5,067 133,262 * Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H 106,000 383,017 Guangzhou Shipyard International Co., Ltd. Class H 921,400 1,361,929 # Guodian Technology & Environment Group Co., Ltd. Class H 1,098,000 279,215 Haier Electronics Group Co., Ltd. 349,000 744,079 # Hainan Meilan International Airport Co., Ltd. Class H 720,000 760,403 Haitian International Holdings, Ltd. 2,189,000 5,276,517 #* Hanergy Solar Group, Ltd. 42,960,000 7,311,340 Harbin Electric Co., Ltd. Class H 3,099,413 1,946,221 Henderson Investment, Ltd. 596,000 46,887 * Heng Tai Consumables Group, Ltd. 14,673,193 270,738 # Hengdeli Holdings, Ltd. 11,125,399 2,640,631 #* Hi Sun Technology China, Ltd. 3,126,000 858,028 #* Hidili Industry International Development, Ltd. 5,079,000 843,420 # Hilong Holding, Ltd. 2,766,000 1,839,779 * Hisense Kelon Electrical Holdings Co., Ltd. Class H 1,906,000 1,791,196 # HKC Holdings, Ltd. 17,896,447 623,250 # Honghua Group, Ltd. 5,221,000 1,589,333 Hopefluent Group Holdings, Ltd. 281,670 107,818 # Hopewell Highway Infrastructure, Ltd. 3,920,000 1,931,462 * Hopson Development Holdings, Ltd. 3,476,000 4,262,890 HOSA International, Ltd. 94,000 34,920 # Hua Han Bio-Pharmaceutical Holdings, Ltd. 7,415,231 1,715,923 * Hua Lien International Holding Co., Ltd. 998,000 59,651 # Huabao International Holdings, Ltd. 8,548,014 3,751,003 # Huaneng Renewables Corp., Ltd. Class H 8,068,000 3,120,309 * Huili Resources Group, Ltd. 598,000 141,802 #* Hunan Nonferrous Metal Corp., Ltd. Class H 9,038,000 2,506,196 * Huscoke Resources Holdings, Ltd. 1,956,000 23,433 Hutchison Harbour Ring, Ltd. 7,098,000 558,303 Inspur International, Ltd. 10,280,000 424,238 * Interchina Holdings Co. 17,180,000 1,218,455 Intime Retail Group Co., Ltd. 4,317,500 5,111,397 #* Jinchuan Group International Resources Co., Ltd. 2,905,000 434,197 Jingwei Textile Machinery Class H 1,272,000 840,740
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- CHINA -- (Continued) # Ju Teng International Holdings, Ltd. 3,622,000 $2,634,990 * Kai Yuan Holdings, Ltd. 11,240,000 275,652 * Kaisa Group Holdings, Ltd. 7,073,000 2,155,919 * Kasen International Holdings, Ltd. 222,000 41,052 Kingboard Chemical Holdings, Ltd. 3,127,921 8,140,723 Kingboard Laminates Holdings, Ltd. 4,300,000 1,773,657 #* Kingdee International Software Group Co., Ltd. 5,253,200 1,693,415 # Kingsoft Corp., Ltd. 3,169,000 7,862,517 KWG Property Holding, Ltd. 5,039,450 3,282,079 # Labixiaoxin Snacks Group, Ltd. 1,639,000 849,301 Lai Fung Holdings, Ltd. 26,020,440 653,780 Le Saunda Holdings, Ltd. 1,132,000 516,774 Lee & Man Chemical Co., Ltd. 934,785 421,731 Lee & Man Paper Manufacturing, Ltd. 7,511,000 5,377,247 #* Li Ning Co., Ltd. 3,947,500 3,594,215 # Lianhua Supermarket Holdings Co., Ltd. Class H 1,517,600 973,894 # Lijun International Pharmaceutical Holding Co., Ltd. 6,948,000 1,875,570 # Lingbao Gold Co., Ltd. Class H 1,424,000 311,785 * LK Technology Holdings, Ltd. 837,500 165,387 * Lonking Holdings, Ltd. 10,823,000 2,192,334 * Loudong General Nice Resources China Holdings, Ltd. 7,842,140 515,180 * Luoyang Glass Co., Ltd. Class H 284,000 51,273 #* Maanshan Iron & Steel Class H 7,700,000 1,965,937 # Magic Holdings International, Ltd. 2,003,600 1,584,255 Maoye International Holdings, Ltd. 5,611,000 1,077,336 # Microport Scientific Corp. 1,885,000 1,279,066 # MIE Holdings Corp. 3,484,000 746,456 MIN XIN Holdings, Ltd. 418,000 221,174 #* Mingfa Group International Co., Ltd. 4,888,000 1,323,690 * Mingyuan Medicare Development Co., Ltd. 510,000 12,178 Minmetals Land, Ltd. 5,756,000 823,997 Minth Group, Ltd. 2,653,000 5,549,660 #* MMG, Ltd. 7,134,000 1,589,974 * Nan Hai Corp., Ltd. 21,750,000 182,385 Nanjing Panda Electronics Co., Ltd. Class H 886,000 412,301 Nature Flooring Holding Co., Ltd. 453,000 82,411 # NetDragon Websoft, Inc. 320,044 736,568 New World China Land, Ltd. 430,000 236,651 # New World Department Store China, Ltd. 2,189,462 1,265,405 # Nine Dragons Paper Holdings, Ltd. 7,473,000 6,156,274 * North Mining Shares Co., Ltd. 19,560,000 870,709 NVC Lighting Holdings, Ltd. 5,561,000 1,355,309 O-Net Communications Group, Ltd. 1,308,000 247,868 Overseas Chinese Town Asia Holdings, Ltd. 764,183 344,984 Pacific Online, Ltd. 1,117,365 519,152 # Parkson Retail Group, Ltd. 4,105,000 1,403,938 * PAX Global Technology, Ltd. 1,141,000 484,107 # Peak Sport Products Co., Ltd. 2,750,000 631,358 * PetroAsian Energy Holdings, Ltd. 3,192,000 66,804 # Phoenix Satellite Television Holdings, Ltd. 5,384,000 1,896,151 # Poly Property Group Co., Ltd. 8,597,000 5,292,911 Ports Design, Ltd. 1,600,000 1,191,516
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- CHINA -- (Continued) * Pou Sheng International Holdings, Ltd. 4,946,806 $ 261,353 Powerlong Real Estate Holdings, Ltd. 5,740,000 1,193,063 # Prince Frog International Holdings, Ltd. 883,000 530,734 * Prosperity International Holdings HK, Ltd. 5,020,000 191,064 Qingling Motors Co., Ltd. Class H 1,694,000 520,077 Qunxing Paper Holdings Co., Ltd. 669,913 174,369 * Real Gold Mining, Ltd. 300,500 54,263 Real Nutriceutical Group, Ltd. 3,141,000 814,251 Regent Manner International Holdings, Ltd. 2,844,000 491,308 #* Renhe Commercial Holdings Co., Ltd. 52,418,000 2,949,031 # REXLot Holdings, Ltd. 35,000,000 3,070,727 * Richly Field China Development, Ltd. 6,980,000 -- Road King Infrastructure, Ltd. 1,142,000 1,150,763 Royale Furniture Holdings, Ltd. 1,252,250 65,455 Samson Holding, Ltd. 3,281,000 456,593 Sany Heavy Equipment International Holdings Co., Ltd. 4,149,000 1,203,297 Sateri Holdings, Ltd. 119,500 23,162 #* Semiconductor Manufacturing International Corp. 94,444,000 6,986,736 Shandong Chenming Paper Holdings, Ltd. Class H 1,308,000 534,829 Shandong Molong Petroleum Machinery Co., Ltd. Class H 1,052,962 355,664 Shanghai Industrial Holdings, Ltd. 778,000 2,557,481 #* Shanghai Industrial Urban Development Group, Ltd. 6,934,000 1,718,132 Shanghai Jin Jiang International Hotels Group Co., Ltd. Class H 4,348,000 1,049,542 Shanghai Prime Machinery Co., Ltd. Class H 4,298,000 504,484 * Shanghai Zendai Property, Ltd. 8,390,000 164,957 Shengli Oil & Gas Pipe Holdings, Ltd. 4,506,000 244,334 # Shenguan Holdings Group, Ltd. 4,814,000 2,150,069 # Shenzhen Expressway Co., Ltd. Class H 3,242,400 1,371,848 Shenzhen International Holdings, Ltd. 44,424,276 5,442,561 Shenzhen Investment, Ltd. 12,530,912 5,014,207 Shenzhou International Group Holdings, Ltd. 1,630,000 5,588,663 * Shougang Concord Century Holdings, Ltd. 265,153 10,578 #* Shougang Concord International Enterprises Co., Ltd. 22,396,000 1,111,137 # Shougang Fushan Resources Group, Ltd. 21,052,000 7,061,956 Shui On Land, Ltd. 17,840,143 6,199,149 Sichuan Expressway Co., Ltd. Class H 3,964,000 1,181,183 Sihuan Pharmaceutical Holdings Group, Ltd. 8,615,000 6,419,025 * Sijia Group Co. 1,076,350 190,197 Silver Grant International 4,750,000 649,092 * SIM Technology Group, Ltd. 510,000 21,388 Sino Biopharmaceutical 13,536,000 9,497,013 * Sino Dragon New Energy Holdings, Ltd. 1,264,000 48,050 * Sino Oil And Gas Holdings, Ltd. 42,847,766 1,173,442 # Sino-Ocean Land Holdings, Ltd. 12,793,851 8,112,580 Sinofert Holdings, Ltd. 11,291,327 1,833,354 * Sinolink Worldwide Holdings, Ltd. 10,218,800 1,001,577 SinoMedia Holding, Ltd. 832,000 769,593 # Sinopec Kantons Holdings, Ltd. 3,946,000 3,599,817 #* Sinopec Yizheng Chemical Fibre Co., Ltd. Class H 4,164,000 1,153,625 #* Sinopoly Battery, Ltd. 23,980,000 1,144,319 Sinotrans Shipping, Ltd. 5,003,586 1,645,603 Sinotrans, Ltd. Class H 6,542,000 1,611,685
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- CHINA -- (Continued) Sinotruk Hong Kong, Ltd. 2,735,000 $1,432,191 SITC International Holdings Co., Ltd. 1,181,000 500,868 Skyworth Digital Holdings, Ltd. 9,088,892 4,409,084 * SMI Corp., Ltd. 7,948,066 204,294 * Solargiga Energy Holdings, Ltd. 5,579,000 266,274 Sparkle Roll Group, Ltd. 6,616,000 444,130 Springland International Holdings, Ltd. 1,099,000 601,341 SPT Energy Group, Inc. 386,000 212,461 * SRE Group, Ltd. 15,994,346 576,766 # Sunac China Holdings, Ltd. 5,986,000 4,153,992 # Sunny Optical Technology Group Co., Ltd. 2,178,000 2,120,735 TCC International Holdings, Ltd. 4,185,098 1,549,040 * TCL Communication Technology Holdings, Ltd. 2,285,198 2,080,303 TCL Multimedia Technology Holdings, Ltd. 2,874,510 1,183,338 * Tech Pro Technology Development, Ltd. 3,416,000 1,647,566 Tenfu Cayman Holdings Co Ltd 2,000 994 # Texhong Textile Group, Ltd. 1,108,000 1,938,713 Tian An China Investment 1,383,000 1,141,493 Tian Shan Development Holding, Ltd. 1,196,000 399,495 Tiangong International Co., Ltd. 5,884,000 1,509,882 Tianjin Capital Environmental Protection Group Co., Ltd. Class H 1,572,000 636,722 #* Tianjin Development Hldgs, Ltd. 2,116,000 1,405,478 Tianjin Port Development Holdings, Ltd. 8,746,800 1,522,723 # Tianneng Power International, Ltd. 3,112,048 1,175,539 # Tomson Group, Ltd. 1,060,443 328,492 # Tong Ren Tang Technologies Co., Ltd. Class H 1,085,000 3,289,565 * Tonic Industries Holdings, Ltd. 1,208,000 359,058 * Tonly Electronics Holdings, Ltd. 287,451 169,438 # Towngas China Co., Ltd. 3,915,000 3,864,534 TPV Technology, Ltd. 3,319,964 702,489 Travelsky Technology, Ltd. Class H 3,840,090 3,284,429 Trigiant Group, Ltd. 502,000 190,361 * Trony Solar Holdings Co., Ltd. 1,757,000 142,772 # Truly International Holdings 5,411,573 3,453,901 # Uni-President China Holdings, Ltd. 998,000 994,578 #* United Energy Group, Ltd. 13,030,450 2,036,338 Vinda International Holdings, Ltd. 2,394,000 3,402,112 * VODone, Ltd. 13,697,600 1,183,546 Wanguo International Mining Group, Ltd. 10,000 5,003 # Wasion Group Holdings, Ltd. 2,256,000 1,413,389 Weiqiao Textile Co. Class H 2,212,000 1,348,850 Welling Holding, Ltd. 3,774,000 793,397 # West China Cement, Ltd. 12,022,000 1,797,757 * Winsway Coking Coal Holdings, Ltd. 6,108,000 464,282 * Winteam Pharmaceutical Group, Ltd. 2,036,000 916,617 Wumart Stores, Inc. Class H 1,520,000 2,531,278 Xiamen International Port Co., Ltd. Class H 5,166,000 699,893 Xiangyu Dredging Holdings, Ltd. 1,233,000 314,706 Xingda International Holdings, Ltd. 4,284,000 2,603,230 Xinhua Winshare Publishing and Media Co., Ltd. Class H 307,103 180,355 # Xinjiang Goldwind Science & Technology Co., Ltd. Class H 1,852,800 1,891,596 #* Xinjiang Xinxin Mining Industry Co., Ltd. Class H 3,167,598 497,464
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ------------ CHINA -- (Continued) Xiwang Property Holdings Co., Ltd. 3,103,178 $ 443,883 XTEP International Holdings 2,918,000 1,438,111 #* Yanchang Petroleum International, Ltd. 18,300,000 802,818 Yantai North Andre Juice Co. Class H 306,000 76,327 Yingde Gases Group Co., Ltd. 3,681,500 3,769,916 Yip's Chemical Holdings, Ltd. 1,332,000 1,119,329 Youyuan International Holdings, Ltd. 1,081,700 314,604 Yuanda China Holdings, Ltd. 5,726,000 486,922 Yuexiu Property Co., Ltd. 21,725,432 6,056,018 # Yuexiu Transport Infrastructure, Ltd. 2,788,018 1,463,105 Yuzhou Properties Co. 4,016,120 984,486 Zall Development Group, Ltd. 602,000 244,603 # Zhaojin Mining Industry Co., Ltd. 3,187,000 2,561,652 Zhejiang Expressway Co., Ltd. Class H 5,900,000 5,386,491 Zhengzhou Coal Mining Machinery Group Co., Ltd. Class H 383,800 231,616 * Zhong An Real Estate, Ltd. 2,231,400 442,775 # Zhongsheng Group Holdings, Ltd. 2,473,000 3,939,427 * Zhuguang Holdings Group Co., Ltd. 306,758 91,334 # Zhuzhou CSR Times Electric Co., Ltd. Class H 1,824,000 6,476,469 ------------ TOTAL CHINA 608,184,916 ------------ COLOMBIA -- (0.0%) Constructora Conconcreto SA 223,636 165,451 Empresa de Telecomunicaciones de Bogota 679,989 139,422 * Fabricato SA 13,706,296 103,937 Grupo Odinsa SA 38,440 175,508 Mineros SA 101,104 181,921 ------------ TOTAL COLOMBIA 766,239 ------------ HONG KONG -- (0.0%) * China Water Industry Group, Ltd. 1,192,000 222,818 * Coslight Technology International Group, Ltd. 382,000 220,320 * EC-Founder Holdings Co., Ltd. 28,000 3,457 * FU JI Food and Catering Services Holdings, Ltd. 185,780 38,843 * Newton Resources, Ltd. 442,000 32,500 Tibet 5100 Water Resources Holdings, Ltd. 144,000 55,899 World Wide Touch Technology Holdings, Ltd. 2,920,000 211,055 ------------ TOTAL HONG KONG 784,892 ------------ HUNGARY -- (0.0%) * Danubius Hotel and SpA P.L.C. 44,003 961,309 #* FHB Mortgage Bank P.L.C. 27,009 44,067 * PannErgy 139,592 189,653 ------------ TOTAL HUNGARY 1,195,029 ------------ INDIA -- (6.5%) * 3M India, Ltd. 5,535 297,791 * ABG Shipyard, Ltd. 125,715 596,934 * Advanta Ltd. 148,946 275,375 Agro Tech Foods, Ltd. 54,133 457,107 AIA Engineering, Ltd. 44,197 279,405
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- INDIA -- (Continued) Ajanta Pharma, Ltd. 88,658 $1,276,618 Akzo Nobel India, Ltd. 67,372 913,603 Alembic Pharmaceuticals, Ltd. 454,040 1,466,411 Alembic, Ltd. 9,514 2,322 Allahabad Bank 720,193 1,073,269 * Alok Industries, Ltd. 5,145,694 665,376 Alstom India, Ltd. 123,147 698,133 Amara Raja Batteries, Ltd. 418,944 2,137,983 Amtek Auto, Ltd. 561,721 592,146 Amtek India, Ltd. 287,646 302,231 Anant Raj, Ltd. 1,147,745 1,033,626 Andhra Bank 622,304 593,810 * Andhra Pradesh Paper Mills 57,705 264,164 Apollo Hospitals Enterprise, Ltd. 97,353 1,431,777 Apollo Tyres, Ltd. 1,343,286 1,491,387 Arvind, Ltd. 1,340,968 2,320,144 * Asahi India Glass, Ltd. 257,301 182,264 Ashok Leyland, Ltd. 7,572,526 2,129,202 Asian Hotels East, Ltd. 4,536 10,097 Atul, Ltd. 47,893 294,145 Aurobindo Pharma, Ltd. 1,129,123 3,978,146 Automotive Axles, Ltd. 17,459 74,886 Bajaj Corp., Ltd. 186,590 743,455 Bajaj Electricals, Ltd. 210,674 566,183 Bajaj Finance, Ltd. 62,702 1,390,450 Bajaj Finserv, Ltd. 126,975 1,323,867 Bajaj Hindusthan, Ltd. 582,277 128,549 Bajaj Holdings and Investment, Ltd. 92,719 1,247,042 Balkrishna Industries, Ltd. 146,756 657,693 Ballarpur Industries, Ltd. 1,135,420 237,034 Balmer Lawrie & Co., Ltd. 56,620 284,992 Balrampur Chini Mills, Ltd. 939,117 626,512 Bank Of Maharashtra 849,337 544,100 Bannari Amman Sugars, Ltd. 15,663 191,399 BASF India, Ltd. 48,794 474,737 Bata India, Ltd. 145,561 2,161,823 BEML, Ltd. 23,278 71,200 Berger Paints India, Ltd. 749,837 2,797,193 Bharat Forge, Ltd. 664,519 3,222,917 Bhushan Steel, Ltd. 393,995 3,079,590 Biocon, Ltd. 489,923 2,753,495 Birla Corp., Ltd. 107,350 375,427 Blue Dart Express, Ltd. 21,966 1,005,725 Blue Star, Ltd. 153,266 377,293 Bombay Burmah Trading Co. 43,374 80,005 Bombay Dyeing & Manufacturing Co., Ltd. 785,565 873,424 * Bombay Rayon Fashions, Ltd. 17,322 53,826 Brigade Enterprises, Ltd. 43,783 39,760 Britannia Industries, Ltd. 230,022 3,509,936 Capital First, Ltd. 68,029 169,688 Carborundum Universal, Ltd. 329,688 607,887 Central Bank Of India 1,150,860 1,019,457
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- INDIA -- (Continued) Century Plyboards India, Ltd. 137,796 $ 62,414 Century Textiles & Industries, Ltd. 298,556 1,327,464 CESC, Ltd. 541,425 3,283,872 Chambal Fertilizers & Chemicals, Ltd. 925,327 523,274 * Chennai Petroleum Corp., Ltd. 204,192 174,766 Cholamandalam Investment and Finance Co., Ltd. 71,956 267,487 City Union Bank, Ltd. 1,261,325 987,978 Clariant Chemicals India, Ltd. 37,911 362,579 Claris Lifesciences, Ltd. 95,636 274,926 CMC, Ltd. 60,897 1,336,782 * Core Education & Technologies, Ltd. 72,685 22,449 Coromandel International, Ltd. 493,394 1,779,778 Corp. Bank 206,338 961,118 Cox & Kings, Ltd. 204,677 305,700 Crompton Greaves, Ltd. 2,205,917 3,788,887 Dalmia Bharat, Ltd. 57,965 113,384 DB Corp., Ltd. 39,040 168,053 * DB Realty, Ltd. 790,475 785,017 DCM Shriram Consolidated 213,725 192,507 Deepak Fertilisers & Petrochemicals Corp., Ltd. 147,728 252,060 Delta Corp., Ltd. 535,652 763,547 * DEN Networks, Ltd. 343,697 827,356 Dena Bank 565,693 493,673 * Development Credit Bank, Ltd. 1,459,229 1,216,219 Dewan Housing Finance Corp., Ltd. 27,941 69,620 * Dish TV India, Ltd. 3,087,132 2,694,249 Dredging Corp. Of India, Ltd. 21,673 89,293 eClerx Services, Ltd. 33,430 540,399 Edelweiss Financial Services, Ltd. 350,535 173,769 * Educomp Solutions, Ltd. 153,577 59,595 Eicher Motors, Ltd. 48,396 3,116,201 EID Parry India, Ltd. 333,058 774,724 EIH, Ltd. 476,626 426,228 Elder Pharmaceuticals, Ltd. 41,972 215,476 Electrosteel Castings, Ltd. 126,195 27,885 Elgi Equipments, Ltd. 224,474 293,174 Emami, Ltd. 123,047 993,014 Engineers India, Ltd. 270,237 777,753 Entertainment Network India, Ltd. 48,584 253,226 * Era Infra Engineering, Ltd. 461,515 284,667 Eros International Media, Ltd. 193,747 497,228 Escorts, Ltd. 404,569 636,580 Ess Dee Aluminium, Ltd. 99,250 819,806 * Essar Oil, Ltd. 1,888,952 1,600,749 Essar Ports, Ltd. 417,957 414,939 * Essar Shipping, Ltd. 112,311 32,556 Essel Propack, Ltd. 100,852 70,376 FAG Bearings India, Ltd. 28,675 628,067 FDC, Ltd. 316,669 455,964 Federal Bank, Ltd. 3,805,760 5,105,046 * Federal-Mogul Goetze India, Ltd. 61,495 196,932 Finolex Cables, Ltd. 211,462 208,171
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- INDIA -- (Continued) Finolex Industries, Ltd. 288,984 $ 605,610 * Firstsource Solutions, Ltd. 158,613 53,448 * Fortis Healthcare, Ltd. 691,308 1,103,026 * Fresenius Kabi Oncology, Ltd. 203,585 428,778 * Future Consumer Enterprise, Ltd. 651,339 62,184 * Future Lifestyle Fashions, Ltd. 21,868 25,264 Future Retail, Ltd. 2,575 3,184 Gammon India, Ltd. 105,203 22,718 Gateway Distriparks, Ltd. 272,978 505,407 Gillette India, Ltd. 12,677 430,317 * Gitanjali Gems, Ltd. 195,505 207,186 GMR Infrastructure, Ltd. 9,412,702 3,319,055 Godfrey Phillips India, Ltd. 3,364 143,450 Godrej Industries, Ltd. 212,412 1,017,127 Godrej Properties, Ltd. 141,925 844,598 * Gokul Refoils & Solvent, Ltd. 27,697 8,095 Graphite India, Ltd. 281,800 346,139 Gravita India, Ltd. 24,791 10,540 Great Eastern Shipping Co., Ltd. (The) 407,286 1,844,687 Greaves Cotton, Ltd. 497,355 485,077 Grindwell Norton, Ltd. 18,171 74,615 Gruh Finance, Ltd. 111,195 418,761 * GTL Infrastructure, Ltd. 1,914,832 49,884 Gujarat Alkalies & Chemicals, Ltd. 178,029 466,438 Gujarat Fluorochemicals, Ltd. 156,927 634,414 Gujarat Gas Co., Ltd. 49,046 230,504 Gujarat Industries Power Co., Ltd. 6,329 6,261 Gujarat Mineral Development Corp., Ltd. 511,414 855,675 Gujarat Narmada Valley Fertilizers & Chemicals, Ltd. 198,781 199,172 * Gujarat NRE Coke, Ltd. 1,687,048 357,233 * Gujarat Pipavav Port, Ltd. 935 760 Gujarat State Fertilisers & Chemicals, Ltd. 684,362 664,727 Gujarat State Petronet, Ltd. 1,082,636 985,639 Gulf Oil Corp., Ltd. 118,401 152,257 * GVK Power & Infrastructure, Ltd. 4,576,430 539,661 * Hathway Cable & Datacom, Ltd. 295,361 1,367,673 Havells India, Ltd. 371,251 4,475,025 * HCL Infosystems, Ltd. 690,722 264,052 HEG, Ltd. 60,181 168,511 * HeidelbergCement India, Ltd. 348,433 212,484 * Hexa Tradex, Ltd. 73,518 16,768 Hexaware Technologies, Ltd. 1,467,575 3,161,854 * Himachal Futuristic Communications, Ltd. 2,540,882 353,243 Hinduja Global Solutions, Ltd. 30,903 187,172 Hinduja Ventures, Ltd. 36,075 156,366 * Hindustan Construction Co., Ltd. 1,572,759 362,424 * Hindustan Oil Exploration Co., Ltd. 138,575 81,115 Hindustan Petroleum Corp., Ltd. 513,310 1,680,247 Honeywell Automation India, Ltd. 13,295 535,161 * Hotel Leela Venture, Ltd. 540,246 137,651 * Housing Development & Infrastructure, Ltd. 1,473,669 1,024,960 HSIL, Ltd. 84,508 112,062
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- INDIA -- (Continued) HT Media, Ltd. 99,860 $ 134,350 ICRA, Ltd. 12,942 275,384 IDBI Bank, Ltd. 893,575 982,947 IL&FS Transportation Networks, Ltd. 80,383 141,235 India Cements, Ltd. 1,151,087 936,095 India Infoline, Ltd. 1,083,761 1,004,418 Indiabulls Housing Finance, Ltd. 357,294 1,228,108 Indian Bank 257,317 352,981 Indian Hotels Co., Ltd. 2,327,743 1,856,006 Indian Overseas Bank 1,192,092 988,248 Indo Rama Synthetics India 40,886 12,577 Indoco Remedies, Ltd. 92,250 121,988 Indraprastha Gas, Ltd. 468,548 2,097,484 Info Edge India, Ltd. 124,415 790,521 Infotech Enterprises, Ltd. 187,578 767,476 ING Vysya Bank, Ltd. 21,126 202,807 Ingersoll-Rand India, Ltd. 38,417 207,552 Ipca Laboratories, Ltd. 370,908 4,103,323 IRB Infrastructure Developers, Ltd. 985,772 1,288,189 * IVRCL, Ltd. 370,522 78,845 Jagran Prakashan, Ltd. 390,304 542,578 Jai Corp., Ltd. 209,493 170,862 Jain Irrigation Systems, Ltd. 1,786,745 1,944,486 Jaiprakash Associates, Ltd. 4,691,232 3,636,442 * Jaiprakash Power Ventures, Ltd. 4,754,186 1,423,613 Jammu & Kashmir Bank, Ltd. 148,932 3,181,065 Jaypee Infratech, Ltd. 1,534,242 447,045 JB Chemicals & Pharmaceuticals, Ltd. 31,979 52,792 JBF Industries, Ltd. 138,719 183,110 * Jet Airways India, Ltd. 159,407 883,248 Jindal Drilling & Industries, Ltd. 13,908 39,073 Jindal Poly Films, Ltd. 90,006 204,479 * Jindal Poly Investments and Finance Co., Ltd. 22,502 1,904 Jindal Saw, Ltd. 798,003 618,778 * Jindal Stainless, Ltd. 282,767 176,412 JK Cement, Ltd. 111,995 353,147 JK Lakshmi Cement, Ltd. 204,789 224,194 JM Financial, Ltd. 2,073,645 939,550 JSW Energy, Ltd. 960,161 724,346 JSW Steel, Ltd. 28,661 401,585 * Jubilant Foodworks, Ltd. 278,198 5,505,626 Jubilant Life Sciences, Ltd. 293,887 477,292 Jyothy Laboratories, Ltd. 383,555 1,161,674 Kajaria Ceramics, Ltd. 172,532 677,683 Kakinada Fertilizers, Ltd. 632,948 115,456 Kalpataru Power Transmission, Ltd. 140,279 177,208 Kansai Nerolac Paints, Ltd. 10,598 198,379 Karnataka Bank, Ltd. 1,085,634 1,792,773 Karur Vysya Bank, Ltd. 204,356 1,139,339 Kaveri Seed Co., Ltd. 31,121 805,415 KEC International, Ltd. 399,666 235,744 Kesoram Industries, Ltd. 135,165 133,741
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- INDIA -- (Continued) Kewal Kiran Clothing, Ltd. 1,598 $ 24,754 Kirloskar Brothers, Ltd. 817 2,063 Kirloskar Oil Engines, Ltd. 218,179 530,781 KPIT Cummins Infosystems, Ltd. 732,821 1,739,757 KSB Pumps, Ltd. 27,708 108,422 * KSK Energy Ventures, Ltd. 53,677 52,123 Lakshmi Machine Works, Ltd. 19,503 746,318 Lakshmi Vilas Bank, Ltd. 238,720 284,416 * Lanco Infratech, Ltd. 3,460,422 345,682 * Mahanagar Telephone Nigam 462,353 108,019 Maharashtra Seamless, Ltd. 108,527 280,637 Mahindra & Mahindra Financial Services, Ltd. 454,445 2,097,918 Mahindra Holidays & Resorts India, Ltd. 45,208 159,187 Mahindra Lifespace Developers, Ltd. 61,546 428,733 Man Infraconstruction, Ltd. 25,035 48,610 Mandhana Industries, Ltd. 54,218 203,153 * Mangalore Refinery & Petrochemicals, Ltd. 104,167 67,832 Marico, Ltd. 323,452 1,109,663 MAX India, Ltd. 749,232 2,301,387 McLeod Russel India, Ltd. 298,850 1,332,622 * Mercator, Ltd. 612,469 125,262 Merck, Ltd. 20,801 189,632 MindTree, Ltd. 84,680 1,908,264 MOIL, Ltd. 158,280 601,590 Monnet Ispat & Energy, Ltd. 75,091 159,420 Monsanto India, Ltd. 25,633 291,960 Motherson Sumi Systems, Ltd. 942,233 4,115,996 Motilal Oswal Financial Services, Ltd. 4,879 5,585 Mphasis, Ltd. 214,064 1,473,240 MRF, Ltd. 9,265 2,359,746 * Nagarjuna Oil Refinery, Ltd. 575,408 39,850 Nahar Capital and Financial Services, Ltd. 6,766 5,111 Nahar Polyfilms, Ltd. 24,000 4,677 Natco Pharma, Ltd. 89,514 982,272 National Aluminium Co., Ltd. 36,830 21,968 Nava Bharat Ventures, Ltd. 13,117 33,285 Navneet Education, Ltd. 383,995 338,824 NCC, Ltd. 1,258,711 532,097 NESCO, Ltd. 38,589 441,874 NIIT Technologies, Ltd. 232,343 1,055,331 NIIT, Ltd. 167,888 54,224 Nitin Fire Protection Industries, Ltd. 618,739 612,517 Noida Toll Bridge Co., Ltd. 158,808 53,293 Oberoi Realty, Ltd. 72,388 222,282 OCL India, Ltd. 51,578 117,703 OMAXE, Ltd. 384,234 878,387 Orchid Chemicals & Pharmaceuticals, Ltd. 96,250 76,464 Orient Cement Ltd. 351,095 214,701 Orient Paper & Industries, Ltd. 139,559 17,584 Oriental Bank of Commerce 543,785 1,594,479 Orissa Minerals Development Co., Ltd. 6,645 229,939 * Oswal Chemicals & Fertilizers 29,723 10,632
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- INDIA -- (Continued) Page Industries, Ltd. 18,538 $1,350,777 * Panacea Biotec, Ltd. 45,996 79,447 * Parsvnath Developers, Ltd. 602,762 256,812 Peninsula Land, Ltd. 357,947 178,697 Persistent Systems, Ltd. 62,419 824,480 * Peter England Fashions and Retail, Ltd. 515 849 Petronet LNG, Ltd. 53,993 108,481 Pfizer, Ltd. 17,895 313,461 Phoenix Mills, Ltd. 158,394 602,549 PI Industries, Ltd. 27,020 90,688 Pidilite Industries, Ltd. 658,148 3,082,255 * Pipavav Defence & Offshore Engineering Co., Ltd. 1,532,809 1,283,985 Piramal Enterprises, Ltd. 237,828 2,177,078 * Plethico Pharmaceuticals, Ltd. 68,473 38,494 Polaris Financial Technology, Ltd. 331,305 772,170 Praj Industries, Ltd. 78,749 49,134 Prestige Estates Projects, Ltd. 503,561 1,173,025 * Prime Focus, Ltd. 113,893 59,261 * Prism Cement, Ltd. 594,068 258,325 Procter & Gamble Hygiene & Health Care, Ltd. 4,185 187,451 PTC India Financial Services, Ltd. 583,539 106,229 PTC India, Ltd. 1,436,908 1,308,637 * Punj Lloyd, Ltd. 1,344,331 615,731 Punjab & Sind Bank 252,456 181,764 Radico Khaitan, Ltd. 450,833 1,067,575 Rain Industries, Ltd. 546,486 322,009 Rajesh Exports, Ltd. 106,849 166,194 Rallis India, Ltd. 510,278 1,318,796 Ramco Cements, Ltd. (The) 423,183 1,221,414 Raymond, Ltd. 245,800 1,067,035 Redington India, Ltd. 799,018 803,894 REI Agro, Ltd. 3,516,058 365,713 Rolta India, Ltd. 724,825 740,411 Ruchi Soya Industries, Ltd. 516,585 293,825 S Mobility, Ltd. 70,822 42,757 Sadbhav Engineering, Ltd. 115,302 119,060 Sanofi India, Ltd. 24,044 960,325 * Sanwaria Agro Oils, Ltd. 161,301 44,435 * Schneider Electric Infrastructure, Ltd. 252,369 264,224 * Shipping Corp. of India, Ltd. 1,026,945 579,556 Shoppers Stop, Ltd. 156,909 873,134 Shree Cement, Ltd. 7,192 518,470 Shree Renuka Sugars, Ltd. 3,517,973 1,292,576 Sintex Industries, Ltd. 951,753 506,961 * SITI Cable Network, Ltd. 246,036 70,865 SJVN, Ltd. 530,895 166,042 SKF India, Ltd. 76,599 746,121 Sobha Developers, Ltd. 342,053 1,725,667 Solar Industries India, Ltd. 25,815 418,132 South Indian Bank, Ltd. 2,020,693 695,015 SREI Infrastructure Finance, Ltd. 223,216 74,730 SRF, Ltd. 111,948 298,093
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- INDIA -- (Continued) * Star Ferro and Cement, Ltd. 137,796 $ 51,571 State Bank of Bikaner & Jaipur 68,999 363,875 * Sterling Biotech, Ltd. 305,767 25,922 Sterlite Technologies, Ltd. 745,823 251,978 Strides Arcolab, Ltd. 338,221 4,800,945 Styrolution ABS India, Ltd. 23,441 146,721 * Sun Pharma Advanced Research Co., Ltd. 611,693 1,298,261 Sundaram Finance, Ltd. 34,562 298,151 Sundaram-Clayton, Ltd. 3,890 18,282 Sundram Fasteners, Ltd. 283,916 166,704 Supreme Industries, Ltd. 179,336 1,141,915 Supreme Petrochem, Ltd. 103,075 96,772 * Surana Industries, Ltd. 14,879 18,182 * Suzlon Energy, Ltd. 7,128,765 1,112,542 Swaraj Engines, Ltd. 3,100 24,981 Syndicate Bank 1,134,602 1,512,248 Tata Chemicals, Ltd. 421,074 1,837,563 Tata Communications, Ltd. 498,486 2,143,022 Tata Elxsi, Ltd. 51,574 182,374 Tata Global Beverages, Ltd. 1,757,293 4,688,806 Tata Investment Corp., Ltd. 26,714 175,023 * Tata Teleservices Maharashtra, Ltd. 2,634,052 301,154 Tech Mahindra, Ltd. 170,401 4,295,227 Techno Electric & Engineering Co., Ltd. 55,792 73,549 Texmaco Rail & Engineering, Ltd. 112,853 55,249 Thermax, Ltd. 210,007 2,154,122 Time Technoplast, Ltd. 99,668 55,115 Timken India, Ltd. 42,048 106,897 Titagarh Wagons, Ltd. 10,598 16,516 Torrent Pharmaceuticals, Ltd. 351,812 2,550,603 Torrent Power, Ltd. 363,939 495,927 Trent, Ltd. 44,342 664,013 Triveni Turbine, Ltd. 179,367 153,274 TTK Prestige, Ltd. 31,862 1,709,445 Tube Investments of India, Ltd. 428,458 1,020,790 * Tulip Telecom, Ltd. 73,866 9,039 * TV18 Broadcast, Ltd. 2,794,097 1,054,421 TVS Motor Co., Ltd. 1,379,292 1,140,762 UCO Bank 1,508,995 1,782,068 Uflex, Ltd. 11,351 12,420 Unichem Laboratories, Ltd. 226,126 658,496 Union Bank of India 406,464 816,496 * Unitech, Ltd. 12,550,150 3,566,786 United Bank of India 442,904 243,336 UPL, Ltd. 1,843,739 4,916,877 Usha Martin, Ltd. 643,299 263,488 * Uttam Galva Steels, Ltd. 95,387 90,711 V-Guard Industries, Ltd. 84,617 671,555 Vakrangee Software, Ltd. 374,075 409,723 * Vardhman Special Steels, Ltd. 15,258 3,499 Vardhman Textiles, Ltd. 79,246 458,191 Vesuvius India, Ltd. 1,802 11,213
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ----------- ------------ INDIA -- (Continued) * Videocon Industries, Ltd. 577,596 $ 1,630,706 Vijaya Bank 1,144,972 769,322 VIP Industries, Ltd. 74,251 68,840 Voltas, Ltd. 993,937 1,444,865 VST Industries, Ltd. 15,968 379,632 WABCO India, Ltd. 8,387 229,493 Welspun Corp., Ltd. 706,339 488,498 Wockhardt, Ltd. 46,231 335,309 Wyeth, Ltd. 39,587 408,988 Zensar Technologies, Ltd. 104,999 460,071 Zuari Agro Chemicals, Ltd. 42,970 65,811 Zuari Global, Ltd. 32,457 27,755 Zydus Wellness, Ltd. 65,928 606,199 ------------ TOTAL INDIA 294,353,584 ------------ INDONESIA -- (3.2%) Ace Hardware Indonesia Tbk PT 21,556,500 1,166,181 Adhi Karya Persero Tbk PT 8,423,000 1,455,691 * Agis Tbk PT 12,930,500 516,029 Agung Podomoro Land Tbk PT 33,252,000 824,420 AKR Corporindo Tbk PT 13,595,200 5,842,868 Alam Sutera Realty Tbk PT 78,688,000 4,243,244 Aneka Tambang Persero Tbk PT 27,240,000 3,860,411 Arwana Citramulia Tbk PT 14,106,500 1,125,995 Asahimas Flat Glass Tbk PT 983,000 719,926 Astra Graphia Tbk PT 2,211,000 325,469 * Bakrie and Brothers Tbk PT 319,498,500 1,417,159 * Bakrie Sumatera Plantations Tbk PT 69,505,000 308,387 * Bakrie Telecom Tbk PT 80,514,398 356,684 * Bakrieland Development Tbk PT 204,925,750 909,668 Bank Bukopin Tbk PT 24,854,666 1,431,769 * Bank Pan Indonesia Tbk PT 16,708,000 1,064,492 Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT 15,554,000 1,258,212 * Bank Permata Tbk PT 293,000 37,010 Bank Tabungan Negara Persero Tbk PT 23,216,749 1,998,316 * Barito Pacific Tbk PT 11,044,500 470,417 * Benakat Petroleum Energy Tbk PT 82,467,500 870,035 * Berau Coal Energy Tbk PT 31,804,500 510,777 * Berlian Laju Tanker Tbk PT 35,106,366 -- Bisi International PT 8,733,000 471,870 * Borneo Lumbung Energi & Metal Tbk PT 24,410,000 475,665 * Budi Starch & Sweetener Tbk PT 5,947,000 50,097 * Bumi Resources Minerals Tbk PT 3,718,000 77,403 Bumi Serpong Damai PT 555,200 77,017 BW Plantation Tbk PT 11,348,000 935,481 * Central Proteinaprima Tbk PT 21,920,000 97,237 * Chandra Asri Petrochemical Tbk PT 13,500 3,960 Charoen Pokphand Indonesia Tbk PT 6,711,500 2,319,587 Ciputra Development Tbk PT 59,766,080 5,453,158 Ciputra Property Tbk PT 18,522,000 1,292,938 Ciputra Surya Tbk PT 6,071,500 1,221,506 * Citra Marga Nusaphala Persada Tbk PT 12,250,000 3,448,748
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ----------- ---------- INDONESIA -- (Continued) Clipan Finance Indonesia Tbk PT 1,482,000 $ 55,367 * Darma Henwa Tbk PT 72,303,600 320,708 * Davomas Abadi Tbk PT 37,629,500 -- * Delta Dunia Makmur Tbk PT 31,079,000 239,384 Elnusa Tbk PT 6,082,500 167,173 * Energi Mega Persada Tbk PT 229,631,000 1,628,566 * Ever Shine Textile Tbk PT 3,654,640 55,115 * Exploitasi Energi Indonesia Tbk PT 50,011,000 1,153,340 * Fajar Surya Wisesa Tbk PT 672,500 119,237 Gajah Tunggal Tbk PT 11,176,500 2,278,091 * Garda Tujuh Buana Tbk PT 214,000 18,805 * Garuda Indonesia Persero Tbk PT 27,753,000 1,205,796 * Golden Eagle Energy Tbk PT 98,500 50,616 * Gozco Plantations Tbk PT 12,307,700 126,613 * Hanson International Tbk PT 30,099,500 1,414,432 Harum Energy Tbk PT 4,305,500 1,200,671 Hexindo Adiperkasa Tbk PT 1,326,000 370,441 Holcim Indonesia Tbk PT 5,818,000 1,328,689 * Indah Kiat Pulp & Paper Corp. Tbk PT 16,731,500 2,283,181 Indika Energy Tbk PT 10,721,500 741,138 * Indo-Rama Synthetics Tbk PT 485,000 47,467 * Inovisi Infracom Tbk PT 1,536,167 104,862 Intiland Development Tbk PT 27,837,532 912,316 Japfa Comfeed Indonesia Tbk PT 24,470,000 3,036,716 Jaya Real Property Tbk PT 9,837,500 767,881 Kawasan Industri Jababeka Tbk PT 112,345,945 2,436,548 * Krakatau Steel Persero Tbk PT 11,548,000 573,437 * Lippo Cikarang Tbk PT 2,907,500 1,736,155 Malindo Feedmill Tbk PT 7,671,000 2,293,712 Matahari Putra Prima Tbk PT 12,660,128 2,693,051 Mayora Indah Tbk PT 3,284,750 8,523,530 Medco Energi Internasional Tbk PT 9,957,000 2,163,637 Media Nusantara Citra Tbk PT 853,485 189,018 Mitra Adiperkasa Tbk PT 7,113,000 3,405,953 * Mitra International Resources Tbk PT 4,604,500 24,081 MNC Investama Tbk PT 114,931,400 3,565,720 Modern Internasional Tbk PT 4,017,800 304,589 * Modernland Realty Tbk PT 8,759,000 629,021 Multipolar Corp. Tbk PT 37,781,500 1,356,041 * Multistrada Arah Sarana Tbk PT 6,875,500 225,306 Nippon Indosari Corpindo Tbk PT 765,000 420,461 Nusantara Infrastructure Tbk PT 47,541,000 1,075,445 Pabrik Kertas Tjiwi Kimia Tbk PT 557,500 95,668 Pakuwon Jati Tbk PT 70,747,200 1,941,311 * Pan Brothers Tbk PT 207,000 10,828 * Panasia Indo Resources Tbk PT 79,000 2,908 * Panin Financial Tbk PT 98,786,000 1,750,983 Panin Insurance Tbk PT 8,124,500 512,984 Panin Sekuritas Tbk PT 31,500 12,360 Pembangunan Perumahan Persero Tbk PT 14,755,500 1,712,201 Perusahaan Perkebunan London Sumatra Indonesia Tbk PT 19,095,000 2,707,697 Petrosea Tbk PT 3,520,500 418,467
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ----------- ------------ INDONESIA -- (Continued) * Polaris Investama Tbk PT 2,730,500 $ 202,896 * Polychem Indonesia Tbk PT 5,091,000 135,327 * PT Texmaco Jaya Tbk 93,000 -- Ramayana Lestari Sentosa Tbk PT 23,532,000 2,566,978 Resource Alam Indonesia Tbk PT 2,489,000 562,331 Salim Ivomas Pratama Tbk PT 7,426,000 526,569 * Samindo Resources Tbk PT 475,750 26,604 Sampoerna Agro PT 5,147,500 811,947 Samudera Indonesia Tbk PT 142,500 40,804 Selamat Sempurna Tbk PT 5,414,500 1,344,525 * Sentul City Tbk PT 198,365,500 3,777,425 Sinar Mas Agro Resources and Technology Tbk PT 1,037,460 598,014 * Sugih Energy Tbk PT 50,950,000 2,077,840 Summarecon Agung Tbk PT 67,493,064 6,275,853 * Sunson Textile Manufacturer Tbk PT 2,325,500 22,877 Surabaya Agung Industri Pulp & Kertas Tbk PT 64,500 1,144 * Surya Dumai Industri Tbk 3,298,500 -- Surya Semesta Internusa Tbk PT 30,722,000 2,178,226 * Suryainti Permata Tbk PT 7,252,000 -- Tiga Pilar Sejahtera Food Tbk 15,893,000 1,859,577 Timah Persero Tbk PT 14,327,500 2,056,896 * Tiphone Mobile Indonesia Tbk PT 625,000 37,114 Total Bangun Persada Tbk PT 10,659,500 699,049 * Tower Bersama Infrastructure Tbk PT 1,804,000 911,637 * Trada Maritime Tbk PT 38,168,513 5,145,529 Trias Sentosa Tbk PT 38,725,600 1,031,045 * Trimegah Securities Tbk PT 9,740,000 57,951 * Truba Alam Manunggal Engineering PT 21,316,500 94,551 Tunas Baru Lampung Tbk PT 11,087,000 471,794 Tunas Ridean Tbk PT 13,838,000 699,454 * Ultrajaya Milk Industry & Trading Co. Tbk PT 3,595,500 1,569,668 Unggul Indah Cahaya Tbk PT 48,239 8,088 * Visi Media Asia Tbk PT 1,179,000 25,077 Wijaya Karya Persero Tbk PT 16,679,500 2,838,271 ------------ TOTAL INDONESIA 145,700,605 ------------ ISRAEL -- (0.0%) * Feuchtwanger Investments, Ltd. 4,200 -- * Knafaim Holdings, Ltd. 21,977 42,022 * Metis Capital, Ltd. 919 -- ------------ TOTAL ISRAEL 42,022 ------------ MACEDONIA -- (0.0%) * Daeho International Corp. 543 -- * Hankook Synthetics, Inc. 550 -- * ZeroOne Interactive Co., Ltd. 3,200 -- ------------ TOTAL MACEDONIA -- ------------ MALAYSIA -- (5.7%) Adventa Bhd 4,600 1,456 Aeon Co. M Bhd 1,071,100 5,425,664
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- MALAYSIA -- (Continued) Aeon Credit Service M Bhd 46,800 $ 240,799 Affin Holdings Bhd 1,147,100 1,549,342 Alam Maritim Resources Bhd 3,550,800 1,787,796 Allianz Malaysia Bhd 3,600 11,754 Amway Malaysia Hldgs 399,300 1,573,534 * Ann Joo Resources Bhd 1,116,650 424,539 * Anson Perdana Berhad. 10,000 -- APM Automotive Holdings Bhd 459,000 834,652 Benalec Holdings BHD 3,915,600 1,477,160 Berjaya Assets BHD 810,100 217,895 Berjaya Corp. Bhd 17,299,200 2,958,580 Berjaya Land Bhd 3,734,000 999,955 BIMB Holdings Bhd 2,694,600 4,113,273 Bintulu Port Holdings Bhd 25,900 60,780 BLD Plantation Bhd 21,400 57,644 Bonia Corp. Bhd 21,400 23,098 * Borneo Aqua Harvest Bhd 757,100 316,624 * Boustead Heavy Industries Corp. Bhd 5,400 4,530 Boustead Holdings Bhd 999,572 1,656,752 Bursa Malaysia Bhd 3,510,700 8,945,447 Cahya Mata Sarawak Bhd 1,012,300 1,635,333 Can-One Bhd 452,200 501,467 Carlsberg Brewery Malaysia Bhd Class B 1,041,100 4,221,456 Carotech Berhad 230,650 1,462 CB Industrial Product Holding Bhd 1,242,620 1,153,759 Chin Teck Plantations BHD 33,000 98,313 Coastal Contracts Bhd 1,270,566 1,413,182 CSC Steel Holdings Bhd 564,800 236,167 * Cycle & Carriage Bintang BHD 15,000 11,837 Cypark Resources Bhd 1,096,500 736,301 * D&O Green Technologies Bhd 149,900 15,689 Daibochi Plastic & Packaging Industry Bhd 46,200 52,156 * Datuk Keramik Holdings Berhad 24,000 -- Daya Materials Bhd 7,393,800 936,921 Dayang Enterprise Holdings Bhd 1,401,831 2,436,058 DRB-Hicom Bhd 6,363,800 5,121,046 Dutch Lady Milk Industries BHD 140,200 2,065,985 Eastern & Oriental Bhd 5,725,000 3,644,165 ECM Libra Financial Group Bhd 367,466 122,321 Eng Kah Corp. Bhd 21,890 19,066 Evergreen Fibreboard Bhd 1,239,400 186,526 Eversendai Corp. Bhd 1,025,700 481,181 Faber Group BHD 1,699,700 1,412,929 FAR East Holdings BHD 61,500 146,079 * Fountain View Development Berhad 808,200 -- Fraser & Neave Holdings Bhd 138,600 817,617 George Kent Malaysia BHD 34,200 11,482 Globetronics Technology BHD 1,731,760 1,656,931 Glomac Bhd 2,626,000 940,181 * Golden Plus Holding BHD 216,000 -- * Goldis BHD 586,677 369,807 Guan Chong Bhd 212,100 104,847
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- MALAYSIA -- (Continued) Guinness Anchor Bhd 806,500 $4,420,011 GuocoLand Malaysia Bhd 1,309,200 468,664 Hai-O Enterprise BHD 722,380 638,704 HAP Seng Consolidated Bhd 5,774,540 4,482,374 Hap Seng Plantations Holdings Bhd 1,608,500 1,350,301 Hartalega Holdings Bhd 1,461,900 3,350,800 Hiap Teck Venture Bhd 428,300 97,737 * HO WAH Genting BHD 1,947,000 135,715 Hock Seng LEE BHD 1,253,616 782,156 Hong Leong Industries Bhd 605,900 995,034 * Hovid Bhd 279,300 32,315 Hua Yang Bhd 1,328,400 909,477 HwangDBS Malaysia BHD 476,900 648,104 IGB Corp. Bhd 5,689,655 4,798,453 IGB REIT 149,838 56,966 IJM Land Bhd 3,149,900 2,791,102 IJM Plantations Bhd 1,645,600 1,690,327 Inch Kenneth Kajang Rubber 1,045,300 301,504 Insas Bhd 2,600,781 527,088 Integrated Logistics Bhd 379,715 237,132 Integrax BHD 152,000 93,944 Iris Corp. Bhd 6,882,100 588,623 * JAKS Resources Bhd 3,430,900 603,922 Jaya Tiasa Holdings BHD 1,610,727 1,086,427 JCY International Bhd 3,641,000 732,656 JobStreet Corp. Bhd 53,400 36,355 JT International Bhd 554,100 1,155,630 * K&N Kenanga Holdings BHD(6486615) 1,205,860 227,281 K&N Kenanga Holdings BHD(B987B91), 5.000% 79,091 14 * Karambunai Corp. Bhd 4,654,100 132,984 Keck Seng Malaysia Bhd 828,150 1,858,042 Kian JOO CAN Factory BHD 1,893,880 1,903,745 Kim Loong Resources Bhd 292,760 224,555 Kimlun Corp. Bhd 727,000 463,290 * Kinsteel Bhd 1,427,600 124,089 KLCC Property Holdings Bhd 926,400 1,895,373 * KNM Group Bhd 8,803,950 1,143,572 Kossan Rubber Industries 1,664,000 3,369,205 KPJ Healthcare Bhd 4,305,350 8,324,145 * Kretam Holdings BHD 472,200 519,129 * KSL Holdings BHD 1,254,066 820,514 * KUB Malaysia BHD 1,353,500 195,299 Kulim Malaysia BHD 2,000,900 2,155,726 * Kumpulan Europlus Bhd 2,356,500 925,967 Kumpulan Fima BHD 897,450 559,988 Kumpulan Perangsang Selangor Bhd 1,627,000 1,201,260 Kwantas Corp. BHD 390,200 255,443 * Land & General BHD 4,167,200 462,152 * Landmarks BHD 1,458,600 544,882 LBS Bina Group Bhd 1,845,000 1,040,330 Lingkaran Trans Kota Holdings Bhd 999,500 1,441,353 * Lion Corp. Bhd 374,800 12,456
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- MALAYSIA -- (Continued) Lion Industries Corp. Bhd 3,189,100 $ 893,644 LPI Capital Bhd 110,680 578,639 Magnum Bhd 2,819,000 2,958,145 Mah Sing Group Bhd 6,864,724 4,869,067 Malayan Flour Mills Bhd 1,546,650 666,387 Malaysia Building Society 1,341,300 1,190,159 * Malaysian Airline System Bhd 31,866,900 3,428,957 Malaysian Bulk Carriers Bhd 2,623,100 1,470,792 Malaysian Pacific Industries Bhd 348,113 310,952 Malaysian Resources Corp. Bhd 9,553,449 4,329,180 * Mancon Berhad 12,000 -- MBM Resources BHD 1,157,096 1,378,433 Media Chinese International, Ltd. 3,058,100 1,036,567 Media Prima Bhd 6,784,803 5,675,542 Mega First Corp. BHD 404,800 234,710 * MEMS Technology Berhad 1,917,000 -- MHC Plantations Bhd 22,300 7,491 MK Land Holdings BHD 775,500 89,691 MKH BHD 988,392 801,629 MNRB Holdings Bhd 717,300 795,776 Mudajaya Group Bhd 1,568,366 1,381,126 Muhibbah Engineering M Bhd 2,947,050 2,203,986 * Mulpha International Bhd 12,273,500 1,651,986 My EG Services Bhd 2,910,000 2,137,816 Naim Holdings Bhd 1,141,000 1,399,122 NCB Holdings Bhd 1,147,200 1,319,302 * Nikko Electronics Berhad 36,600 -- NTPM Holdings Bhd 1,433,180 304,305 Oldtown Bhd 1,454,600 1,143,195 Oriental Holdings BHD 182,700 511,715 OSK Holdings BHD 2,997,470 1,560,336 Pacific & Orient BHD 231,100 106,187 Padini Holdings Bhd 3,133,800 1,757,260 Panasonic Manufacturing Malaysia BHD 159,584 1,183,551 * Panglobal Berhad 14,000 -- Pantech Group Holdings Bhd 153,100 49,923 Paramount Corp. Bhd 310,100 154,207 Parkson Holdings Bhd 1,795,400 2,139,568 * Pelikan International Corp. Bhd 216,719 45,968 * Perdana Petroleum Bhd 3,194,100 2,063,721 * Perisai Petroleum Teknologi Bhd 7,311,700 3,267,158 Perusahaan Sadur Timah Malay 5,000 6,321 Pharmaniaga Bhd 286,060 431,188 Pie Industrial BHD 140,100 233,014 PJ Development Holdings Bhd 1,415,300 533,634 POS Malaysia BHD 2,861,100 5,175,559 Press Metal Bhd 1,190,100 926,340 Prestariang Berhad 494,200 363,323 * Prime Utilities Berhad 3,000 -- Protasco Bhd 457,600 201,516 Puncak Niaga Holding Bhd 1,353,220 1,449,744 QL Resources Bhd 2,530,920 3,174,797
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- MALAYSIA -- (Continued) RCE Capital Bhd 1,535,850 $ 133,448 Rimbunan Sawit Bhd 2,719,100 719,231 Salcon Bhd 3,242,600 693,765 Sarawak Oil Palms Bhd 451,660 829,918 Sarawak Plantation Bhd 106,600 86,186 Scientex BHD 221,862 395,782 * Scomi Energy Services Bhd 1,862,300 445,033 * Scomi Group Bhd 8,684,100 1,045,306 SEG International BHD 279,800 137,447 Selangor Dredging Bhd 1,118,200 320,895 Selangor Properties Bhd 151,500 201,087 Shangri-La Hotels Malaysia Bhd 357,100 782,283 Shell Refining Co. Federation of Malaya Bhd 30,000 67,736 SHL Consolidated BHD 277,400 201,353 Southern Acids Malaysia BHD 41,000 35,610 * SRI Hartemas Berhad 65,000 -- Star Publications Malaysia Bhd 1,356,800 1,070,775 Subur Tiasa Holdings Bhd 386,085 235,059 Sunway Bhd 4,942,660 4,364,224 Supermax Corp. Bhd 5,402,500 4,516,523 Suria Capital Holdings Bhd 672,900 435,057 Syarikat Takaful Malaysia Bhd 431,200 1,274,001 * Symphony Life Bhd 999,926 380,354 Ta Ann Holdings Bhd 908,008 1,076,615 TA Enterprise Bhd 8,027,400 1,844,922 TA Global Bhd 5,176,440 483,807 TAHPS Group Bhd 4,000 7,033 Tambun Indah Land BHD 92,600 42,262 TAN Chong Motor Holdings BHD 1,793,000 3,578,397 * Tanjung Offshore Bhd 537,900 105,619 Tasek Corp. Bhd 75,900 376,089 TDM BHD 4,751,200 1,362,810 * Tebrau Teguh Bhd 2,552,300 1,091,851 * TH Heavy Engineering Bhd 8,049,600 2,206,976 TH Plantations Bhd 1,619,060 897,867 * Time dotCom Bhd 1,821,888 2,337,187 Tiong NAM Logistics Holdings 144,100 221,501 Top Glove Corp. Bhd 2,915,360 5,273,506 TRC Synergy Bhd 155,520 28,348 Tropicana Corp. Bhd 2,444,700 1,123,434 TSH Resources Bhd 2,278,600 1,820,669 Uchi Technologies Bhd 1,476,400 678,096 Unico-Desa Plantations Bhd 1,853,775 680,950 Unisem M Bhd 4,082,790 1,144,672 United Malacca Bhd 396,150 905,281 United Plantations BHD 502,000 4,251,042 UOA Development Bhd 2,870,500 2,028,407 Uzma Bhd 138,500 207,173 VS Industry Bhd 344,026 147,200 Wah Seong Corp. Bhd 2,247,735 1,210,783 WCT Holdings Bhd 5,450,840 4,231,200 Wellcall Holdings Bhd 18,000 17,001
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ------------ MALAYSIA -- (Continued) Wing Tai Malaysia BHD 620,000 $ 514,373 WTK Holdings BHD 2,235,200 920,281 Yinson Holdings BHD 715,600 1,097,464 YNH Property Bhd 1,476,398 842,123 YTL E-Solutions BHD 3,485,600 717,544 * YTL Land & Development BHD 1,286,200 396,980 Zhulian Corp. Bhd 1,045,233 1,483,667 ------------ TOTAL MALAYSIA 257,359,685 ------------ MEXICO -- (3.8%) # Alsea S.A.B. de C.V. 3,553,447 11,057,499 Arca Continental S.A.B. de C.V. 849,825 5,028,377 #* Axtel S.A.B. de C.V. 7,002,008 2,205,695 # Banregio Grupo Financiero S.A.B. de C.V. 1,271,615 7,037,753 #* Bio Pappel S.A.B. de C.V. 435,627 1,078,112 # Bolsa Mexicana de Valores S.A.B. de C.V. 2,992,799 7,106,242 # Cia Minera Autlan S.A.B. de C.V. Series B 735,296 501,008 # Compartamos S.A.B. de C.V. 3,957,362 7,682,843 * Consorcio ARA S.A.B. de C.V. Series * 6,469,282 2,523,800 # Corp. Actinver S.A.B. de C.V. 10,600 11,813 #* Corp. GEO S.A.B. de C.V. Series B 3,194,830 119,806 Corp. Inmobiliaria Vesta S.A.B. de C.V. 457,816 877,227 * Corp. Interamericana de Entretenimiento S.A.B. de C.V. Class B 960,372 655,104 * Corp. Mexicana de Restaurantes S.A.B. de C.V. 1,323 507 Corp. Moctezuma S.A.B. de C.V. Series * 861,300 2,705,910 Corporativo Fragua S.A.B. de C.V. 3 52 Corporativo GBM S.A.B. de C.V. 22,477 15,677 #* Desarrolladora Homex S.A.B. de C.V. 1,527,543 378,747 #* Desarrolladora Homex S.A.B. de C.V. ADR 19,076 25,180 * Empaques Ponderosa SA de CV 206,000 -- #* Empresas ICA S.A.B. de C.V. 3,273,516 6,217,228 #* Empresas ICA S.A.B. de C.V. Sponsored ADR 741,219 5,640,677 #* Financiera Independencia S.A.B. de C.V. 199,935 70,950 #* Genomma Lab Internacional S.A.B. de C.V. Class B 6,587,305 17,544,605 #* Gruma S.A.B. de C.V. Class B 1,690,397 11,622,795 * Gruma S.A.B. de C.V. Sponsored ADR 33,070 904,795 * Grupo Aeromexico S.A.B. de C.V. 669,668 924,388 # Grupo Aeroportuario del Centro Norte S.A.B. de C.V. 1,406,017 4,794,397 Grupo Aeroportuario del Centro Norte S.A.B. de C.V. ADR 3,642 99,026 Grupo Aeroportuario del Pacifico S.A.B. de C.V. ADR 54,326 2,824,409 Grupo Aeroportuario del Pacifico S.A.B. de C.V. Class B 1,650,025 8,592,056 Grupo Aeroportuario del Sureste S.A.B. de C.V. ADR 57,721 6,869,376 # Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B 433,151 5,154,089 Grupo Cementos de Chihuahua S.A.B. de C.V. 822,000 2,469,355 # Grupo Comercial Chedraui S.A. de C.V. 466,263 1,453,046 * Grupo Famsa S.A.B. de C.V. Class A 1,631,348 3,094,588 # Grupo Herdez S.A.B. de C.V. Series * 1,102,908 3,888,464 Grupo Industrial Maseca S.A.B. de C.V. Class B 578,600 1,035,048 Grupo Industrial Saltillo S.A.B. de C.V. 214,861 358,177 Grupo KUO S.A.B. de C.V. Series B 659,643 1,269,006 * Grupo Pochteca S.A.B. de C.V. 547,728 736,335 Grupo Posadas S.A.B. de C.V. 198,900 396,359
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ------------ MEXICO -- (Continued) * Grupo Qumma S.A. de C.V. Series B 105,334 $ -- #* Grupo Simec S.A.B. de C.V. Series B 798,555 2,977,616 * Grupo Simec S.A.B. de C.V. Sponsored ADR 5,180 57,602 * Grupo Sports World S.A.B. de C.V. 304,575 441,202 # Industrias Bachoco S.A.B. de C.V. ADR 12,806 524,918 Industrias Bachoco S.A.B. de C.V. Series B 437,208 1,500,559 #* Industrias CH S.A.B. de C.V. Series B 1,655,914 8,125,208 * Inmuebles Carso S.A.B. de C.V. 340,447 339,214 Megacable Holdings S.A.B. de C.V. 516,937 1,705,657 * OHL Mexico S.A.B. de C.V. 287,968 738,943 # Organizacion Cultiba S.A.B. de C.V. 211,684 438,059 #* Promotora y Operadora de Infraestructura S.A.B. de C.V. 1,672,951 16,988,199 Qualitas Controladora S.A.B. de C.V. 12,200 28,837 * Sanluis Corp. S.A.B. de C.V. 4,642 -- * Sanluis Corp. S.A.B. de C.V. Class B 4,642 -- * Sanluis Rassini S.A.P.I. de C.V. Series A 3,300 -- * Savia SA Class A 610,700 -- TV Azteca S.A.B. de C.V. 7,199,982 3,592,472 #* Urbi Desarrollos Urbanos S.A.B. de C.V. 2,371,991 285,426 * Vitro S.A.B. de C.V. Series A 749,231 1,693,447 ------------ TOTAL MEXICO 174,407,880 ------------ PHILIPPINES -- (1.3%) A Soriano Corp. 3,430,211 557,297 Aboitiz Equity Ventures, Inc. 422,440 497,584 Alsons Consolidated Resources, Inc. 3,647,000 114,796 Atlas Consolidated Mining & Development 3,296,800 942,748 * Belle Corp. 24,859,400 2,993,355 Cebu Air, Inc. 1,101,140 1,343,810 Cebu Holdings, Inc. 3,291,900 443,874 Century Properties Group, Inc. 1,924,000 80,966 China Banking Corp. 657,192 942,799 COL Financial Group, Inc. 130,900 51,574 * East West Banking Corp. 458,300 270,941 EEI Corp. 2,776,700 693,286 * Empire East Land Holdings, Inc. 20,479,000 449,844 Filinvest Development Corp. 3,314,322 324,750 Filinvest Land, Inc. 78,973,577 2,936,750 First Gen Corp. 8,169,700 3,039,903 First Philippine Holdings Corp. 1,774,080 2,852,737 * Ginebra San Miguel, Inc. 604,800 365,061 * Global-Estate Resorts, Inc. 11,472,000 360,266 Jollibee Foods Corp. 161,598 663,728 Lafarge Republic, Inc. 2,026,082 436,321 Leisure & Resorts World Corp. 1,053,240 157,742 * Lepanto Consolidated Mining 37,540,000 372,543 Lopez Holdings Corp. 11,875,200 1,326,948 Macroasia Corp. 447,500 21,042 * Manila Mining Corp. 66,062,500 33,638 Manila Water Co., Inc. 5,507,400 3,184,911 * Megawide Construction Corp. 887,900 230,724 Megaworld Corp. 23,497,000 2,084,693
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ----------- ----------- PHILIPPINES -- (Continued) * Metro Pacific Corp. Series A 1,827,193 $ -- Pepsi-Cola Products Philippines, Inc. 7,629,900 856,546 * Philex Petroleum Corp. 287,100 58,064 * Philippine Bank of Communications 14,726 22,229 * Philippine National Bank 976,145 2,180,549 * Philippine National Construction Corp. 173,000 19,618 Philippine Savings Bank 356,863 1,027,895 Philippine Stock Exchange, Inc. 92,710 780,926 * Philippine Townships, Inc 318,732 35,038 Philodrill Corp. 172,100,000 151,501 Philtown Properties, Inc 111,562 3,976 Philweb Corp. 3,070,740 710,058 Phinma Corp. 135,549 42,370 Phoenix Petroleum Philippines, Inc. 892,880 113,135 RFM Corp. 8,590,268 1,093,081 Rizal Commercial Banking Corp. 1,793,640 1,950,982 Robinsons Land Corp. 6,756,005 3,544,013 San Miguel Pure Foods Co., Inc. 60,750 341,295 Security Bank Corp. 1,265,920 4,075,123 Semirara Mining Corp. 380,900 2,431,843 Shang Properties, Inc. 1,702,970 120,483 SM Prime Holdings, Inc. 7,712,945 3,416,642 Trans-Asia Oil & Energy Development 9,667,000 525,679 Union Bank Of Philippines 725,560 2,101,643 * Universal Rightfield Property Holdings, Inc. 1,062,000 -- Universal Robina Corp. 1,219,555 3,599,678 Vista Land & Lifescapes, Inc. 23,644,000 3,018,548 ----------- TOTAL PHILIPPINES 59,995,546 ----------- POLAND -- (2.2%) Action SA 8,018 147,040 * Agora SA 270,334 1,011,504 * Alchemia SA 380,695 650,556 Amica Wronki SA 1,509 52,380 * AmRest Holdings SE 55,733 1,979,101 Apator SA 50,701 647,627 Asseco Poland SA 564,202 9,216,429 ATM SA 64,541 280,946 * Bank Millennium SA 2,517 6,256 * Bioton SA 1 -- * Boryszew SA 12,075,930 2,034,347 Budimex SA 76,123 3,202,904 CCC SA 96,997 4,091,546 * CD Projekt Red SA 663,652 3,338,155 * Ciech SA 272,549 2,640,942 * Cinema City International NV 53,690 575,461 * City Interactive SA 11,086 32,380 ComArch SA 2,740 89,643 Dom Development SA 4,673 72,822 #* Eko Export SA 18,540 270,247 Elektrobudowa SA 8,568 442,399 Emperia Holding SA 70,149 1,556,491
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ----------- POLAND -- (Continued) Enea SA 42,782 $ 201,318 Fabryki Mebli Forte SA 58,639 634,381 * Famur SA 323,422 561,423 * Farmacol SA 50,868 1,147,806 Firma Oponiarska Debica SA 29,862 925,336 # Getin Holding SA 2,538,985 3,591,132 * Getin Noble Bank SA 1,920,184 1,694,179 Grupa Azoty SA 94,421 2,496,100 Grupa Kety SA 39,997 2,467,220 * Grupa Lotos SA 582,072 7,100,380 * Hawe SA 646,292 827,744 * Impexmetal SA 825,711 936,122 * Integer.pl SA 910 91,200 * Inter Cars SA 15,683 1,002,119 #* Kernel Holding SA 220,023 2,959,710 Kopex SA 201,538 720,750 * KRUK SA 12,760 340,679 * LC Corp. SA 95,326 57,570 Lentex SA 169,577 410,613 LPP SA 1,361 3,984,465 Lubelski Wegiel Bogdanka SA 266,391 9,844,205 * MCI Management SA 214,763 690,951 * Midas SA 225,978 56,376 * Netia SA 1,718,668 2,844,533 Neuca SA 11,588 1,086,639 Orbis SA 130,535 1,790,055 Pelion SA 47,210 1,714,011 * Petrolinvest SA 643,448 31,353 * Pfleiderer Grajewo SA 22,957 214,486 * Polimex-Mostostal SA 3,287,314 212,934 * Polnord SA 21,724 62,315 * Polski Koncern Miesny Duda SA 803,414 220,961 * PZ Cormay SA 141,320 346,180 * Rafako SA 249,590 525,177 * Rovese SA 2,130,455 1,527,158 * Stalexport Autostrady SA 109,683 81,575 Stalprodukt SA 8,713 612,838 * Sygnity SA 52,622 361,391 Synthos SA 1,211,292 2,051,441 * Trakcja SA 739,464 317,170 TVN SA 1,358,110 6,841,611 * Vistula Group SA 440,424 331,415 Warsaw Stock Exchange 157,683 2,283,520 Wawel SA 88 33,902 Zaklady Chemiczne Police SA 76,751 676,928 ----------- TOTAL POLAND 99,248,548 ----------- SOUTH AFRICA -- (7.4%) Adcock Ingram Holdings, Ltd. 945,633 6,784,701 Adcorp Holdings, Ltd. 398,758 1,375,878 Advtech, Ltd. 1,773,060 1,167,770 Aeci, Ltd. 770,360 9,389,010
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ----------- SOUTH AFRICA -- (Continued) Afgri, Ltd. 1,539,432 $ 1,013,190 # African Bank Investments, Ltd. 3,287,295 5,553,525 # African Oxygen, Ltd. 852,766 1,835,105 * AG Industries, Ltd. 32,496,618 -- Allied Electronics Corp., Ltd. 194,270 472,758 * ArcelorMittal South Africa, Ltd. 675,248 2,660,379 Argent Industrial, Ltd. 37,236 20,229 # Astral Foods, Ltd. 252,757 2,540,947 * Aveng, Ltd. 3,013,152 8,847,846 AVI, Ltd. 2,511,843 14,755,317 Barloworld, Ltd. 993,091 8,896,276 Basil Read Holdings, Ltd. 325,585 309,687 Bell Equipment, Ltd. 158,539 379,690 Blue Label Telecoms, Ltd. 2,551,512 2,396,858 * Brait SE 652,259 3,179,735 Business Connexion Group, Ltd. 1,486,408 831,568 # Capitec Bank Holdings, Ltd. 129,311 2,754,768 Cashbuild, Ltd. 158,655 2,470,620 Caxton and CTP Publishers and Printers, Ltd. 36,508 68,748 City Lodge Hotels, Ltd. 252,832 3,327,791 # Clicks Group, Ltd. 2,118,882 13,215,346 Clover Industries, Ltd. 563,523 922,627 * Consolidated Infrastructure Group, Ltd. 30,248 67,523 Coronation Fund Managers, Ltd. 1,607,942 13,114,119 * Corpgro, Ltd. 241,136 -- Cullinan Holdings, Ltd. 197,115 39,117 Datacentrix Holdings, Ltd. 641,400 300,769 DataTec, Ltd. 1,284,878 7,336,597 Delta EMD, Ltd. 61,447 38,159 Distell Group, Ltd. 256,918 3,439,534 * Distribution and Warehousing Network, Ltd. 258,997 246,185 DRDGOLD, Ltd. 2,685,729 1,326,573 ElementOne, Ltd. 325,845 288,152 EOH Holdings, Ltd. 691,206 5,596,464 Eqstra Holdings, Ltd. 1,486,392 1,227,724 * Evraz Highveld Steel and Vanadium, Ltd. 147,184 239,870 Famous Brands, Ltd. 315,951 3,144,768 * Gijima Group, Ltd. 2,583 235 # Grand Parade Investments, Ltd. 272,805 115,979 Grindrod, Ltd. 2,789,984 6,710,581 Group Five, Ltd. 779,789 3,505,129 # Harmony Gold Mining Co., Ltd. 290,786 1,003,383 # Harmony Gold Mining Co., Ltd. Sponsored ADR 1,317,466 4,479,384 Holdsport, Ltd. 74,922 366,867 Hudaco Industries, Ltd. 229,088 2,358,641 * Hulamin, Ltd. 429,395 242,283 Iliad Africa, Ltd. 233,033 117,702 Illovo Sugar, Ltd. 1,763,937 5,535,065 Invicta Holdings, Ltd. 2,017 20,007 * JCI, Ltd. 3,131,151 -- # JD Group, Ltd. 1,068,597 3,280,401 JSE, Ltd. 649,117 5,697,646
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ------------ SOUTH AFRICA -- (Continued) Kagiso Media, Ltd. 154,224 $ 424,327 KAP Industrial Holdings, Ltd. 1,915,640 721,572 Lewis Group, Ltd. 723,965 5,056,577 Mediclinic International, Ltd. 3,033 22,857 * Merafe Resources, Ltd. 5,558,867 449,648 Metair Investments, Ltd. 753,655 2,926,532 Mpact, Ltd. 873,665 2,376,550 * Murray & Roberts Holdings, Ltd. 3,176,473 9,670,849 Mustek, Ltd. 740,975 391,490 * Mvelaserve, Ltd. 144,333 132,482 Nampak, Ltd. 2,740,692 9,060,557 * Northam Platinum, Ltd. 1,810,493 7,437,133 Nu-World Holdings, Ltd. 28,894 47,224 Oceana Group, Ltd. 313,318 2,621,062 Octodec Investments, Ltd. 10,288 22,247 Omnia Holdings, Ltd. 486,127 10,032,055 * Palabora Mining Co., Ltd. 93,739 1,080,760 Peregrine Holdings, Ltd. 667,724 915,063 Petmin, Ltd. 1,215,428 267,967 # Pick n Pay Stores, Ltd. 856,714 4,048,883 Pinnacle Technology Holdings, Ltd. 1,058,779 2,586,376 Pioneer Foods, Ltd. 552,407 4,679,861 PPC, Ltd. 3,686,071 11,644,507 Premium Properties, Ltd. 34,094 64,653 PSG Group, Ltd. 770,528 6,335,902 Raubex Group, Ltd. 675,840 1,596,823 * RCL Foods, Ltd. 459,330 779,517 Redefine International P.L.C. 353,155 280,730 Resilient Property Income Fund, Ltd. 620,358 3,395,162 Reunert, Ltd. 1,171,205 8,207,620 * Royal Bafokeng Platinum, Ltd. 243,174 1,488,272 Santam, Ltd. 108,252 2,054,757 * Sappi, Ltd. 3,959,742 11,670,111 * Sentula Mining, Ltd. 1,367,857 47,881 Sibanye Gold, Ltd. 1,844,796 2,603,431 Sibanye Gold, Ltd. Sponsored ADR 447,093 2,512,663 Spar Group, Ltd. (The) 855,975 10,953,523 Spur Corp., Ltd. 524,160 1,670,904 * Stefanutti Stocks Holdings, Ltd. 504,993 514,310 Sun International, Ltd. 769,477 7,803,268 * Super Group, Ltd. 2,435,019 5,972,526 * Telkom SA SOC, Ltd. 1,822,082 4,754,154 * Times Media Group, Ltd. 82,884 178,245 Tongaat Hulett, Ltd. 734,460 9,252,131 Trencor, Ltd. 830,412 5,907,731 Tsogo Sun Holdings, Ltd. 56,352 158,026 Value Group, Ltd. 363,719 247,626 Wilson Bayly Holmes-Ovcon, Ltd. 429,071 7,512,647 Zeder Investments, Ltd. 2,617,771 1,128,992 ------------ TOTAL SOUTH AFRICA 338,717,410 ------------
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ---------- SOUTH KOREA -- (13.3%) * 3S Korea Co., Ltd. 164,067 $ 877,014 Able C&C Co., Ltd. 15,300 450,354 #* Actoz Soft Co., Ltd. 23,002 731,278 #* Advanced Nano Products Co., Ltd. 12,615 229,391 #* Advanced Process Systems Corp. 89,895 917,156 # Aekyung Petrochemical Co., Ltd. 6,167 346,075 # AfreecaTV Co., Ltd. 44,376 423,817 # Agabang&Company 100,920 529,438 # Ahnlab, Inc. 2,096 107,686 * AJ Rent A Car Co., Ltd. 9,060 89,467 AK Holdings, Inc. 12,678 479,738 #* Aminologics Co., Ltd. 129,600 198,860 AMOREPACIFIC Group 369 130,214 Anapass, Inc. 37,905 453,969 # Asia Cement Co., Ltd. 12,545 1,147,174 Asia Paper Manufacturing Co., Ltd. 19,360 391,215 * Asiana Airlines, Inc. 493,070 2,337,580 # AtlasBX Co., Ltd. 35,973 1,267,673 * AUK Corp. 199,140 460,548 # Autech Corp. 45,433 282,881 #* Avaco Co., Ltd. 44,746 164,742 # Baiksan Co., Ltd. 52,800 293,111 #* Basic House Co., Ltd. (The) 37,960 650,180 #* BH Co., Ltd. 57,838 689,789 # BHI Co., Ltd. 21,588 367,665 # Binggrae Co., Ltd. 26,150 2,203,386 # Bioland, Ltd. 43,535 493,887 # Biospace Co., Ltd. 48,097 367,528 #* Biotoxtech Co., Ltd. 17,509 84,134 Bluecom Co., Ltd. 9,689 126,811 * Bongshin Co., Ltd. 64 -- Bookook Securities Co., Ltd. 7,410 98,660 #* Boryung Medience Co., Ltd. 28,098 198,980 # Boryung Pharmaceutical Co., Ltd. 19,869 709,322 BS Financial Group, Inc. 56,570 908,220 Bukwang Pharmaceutical Co., Ltd. 77,638 1,057,433 Busan City Gas Co., Ltd. 32,560 889,599 BYC Co., Ltd. 710 126,389 # Byucksan Corp. 139,530 340,514 #* CammSys Corp. 168,828 433,845 # Capro Corp. 108,980 797,172 #* Celltrion Pharm, Inc. 52,300 608,373 #* Chabio & Diostech Co., Ltd. 205,282 1,992,294 #* Charm Engineering Co., Ltd. 42,800 95,230 * Cheil Worldwide, Inc. 31,545 777,229 Chemtronics Co., Ltd. 35,785 818,130 #* Chin Hung International, Inc. 199,911 307,923 * China Great Star International, Ltd. 258,074 450,420 #* China Ocean Resources Co., Ltd. 279,510 1,138,556 * Choa Pharmaceutical Co. 85,343 275,139 Chong Kun Dang Pharm Corp. 47,332 3,556,314 # Choong Ang Vaccine Laboratory 16,852 201,117
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ---------- SOUTH KOREA -- (Continued) Chosun Refractories Co., Ltd. 2,777 $ 205,929 # Chungdahm Learning, Inc. 17,619 226,536 # CJ CGV Co., Ltd. 60,100 2,826,497 * CJ E&M Corp. 94,096 3,253,374 CJ Freshway Corp. 2,560 69,335 #* CJ Korea Express Co., Ltd. 28,793 2,502,881 CJ O Shopping Co., Ltd. 3,994 1,332,866 #* CJ Seafood Corp. 91,710 219,910 CKD Bio Corp. 3,950 60,466 #* CNK International Co., Ltd. 59,774 295,511 #* Com2uSCorp 20,828 441,130 # Cosmax, Inc. 49,340 2,422,530 #* CosmoAM&T Co., Ltd. 20,020 100,182 #* Cosmochemical Co., Ltd. 47,000 427,322 Credu Corp. 11,472 523,159 # Crown Confectionery Co., Ltd. 3,089 705,049 #* CrucialTec Co., Ltd. 85,527 1,067,543 #* CTC BIO, Inc. 69,173 1,398,171 #* CUROCOM Co., Ltd. 109,505 138,935 #* D.I Corp. 126,500 1,195,156 # D.ID Corp. 68,169 282,395 Dae Dong Industrial Co., Ltd. 56,620 325,472 Dae Han Flour Mills Co., Ltd. 5,340 719,305 Dae Hyun Co., Ltd. 91,760 207,973 # Dae Won Kang Up Co., Ltd. 113,914 805,928 #* Dae Young Packaging Co., Ltd. 329,600 264,779 # Dae-Il Corp. 45,790 210,071 #* Daea TI Co., Ltd. 304,300 475,664 # Daechang Co., Ltd. 311,170 310,245 # Daeduck Electronics Co. 168,597 1,484,664 # Daeduck GDS Co., Ltd. 92,186 1,693,706 # Daegu Department Store 39,730 614,376 # Daehan Steel Co., Ltd. 60,820 377,474 # Daehwa Pharmaceutical Co., Ltd. 53,474 303,996 Daekyo Co., Ltd. 72,780 460,269 #* Daekyung Machinery & Engineering Co., Ltd. 139,260 231,405 Daelim Trading Co., Ltd. 14,030 53,225 # Daesang Corp. 100,230 3,273,148 Daesang Holdings Co., Ltd. 68,482 482,946 # Daesung Holdings Co., Ltd. 18,044 146,503 # Daewon Pharmaceutical Co., Ltd. 51,887 513,563 Daewon San Up Co., Ltd. 22,325 179,739 Daewoong Co., Ltd. 3,947 138,781 Daewoong Pharmaceutical Co., Ltd. 23,245 1,828,427 * Dahaam E-Tec Co., Ltd. 2,100 35,635 Daishin Securities Co., Ltd. 198,340 1,655,036 #* Danal Co., Ltd. 10,675 98,890 # Daou Data Corp. 57,148 236,348 Daou Technology, Inc. 167,950 2,301,634 #* Dasan Networks, Inc. 79,038 472,910 # Daum Communications Corp. 55,806 4,656,483 # Dayou Automotive Seat Technology Co., Ltd. 315,450 335,580
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ----------- SOUTH KOREA -- (Continued) #* Deutsch Motors, Inc. 15,505 $ 62,585 DGB Financial Group, Inc. 671,453 10,773,239 Digital Chosun Co., Ltd. 4,745 8,449 # Digital Power Communications Co., Ltd. 50,540 164,645 #* Digitech Systems Co., Ltd. 68,918 398,604 #* DIO Corp. 66,510 515,892 Dong Ah Tire & Rubber Co., Ltd. 23,935 399,236 #* Dong Yang Gang Chul Co., Ltd. 135,820 270,710 Dong-A Socio Holdings Co., Ltd. 8,876 1,262,817 * Dong-A ST Co., Ltd. 1,105 129,492 # Dong-Ah Geological Engineering Co., Ltd. 30,200 248,950 Dong-Il Corp. 3,402 164,679 # Dongaone Co., Ltd. 111,180 345,722 Dongbang Agro Co. 10,840 65,458 # Dongbang Transport Logistics Co., Ltd. 75,370 182,424 # Dongbu CNI Co., Ltd. 20,390 79,795 #* Dongbu Corp. 41,240 129,641 * Dongbu HiTek Co., Ltd. 135,273 770,345 Dongbu Securities Co., Ltd. 129,391 430,089 #* Dongbu Steel Co., Ltd. 118,046 278,851 Dongil Industries Co., Ltd. 4,963 246,450 # Dongjin Semichem Co., Ltd. 133,403 539,829 * Dongkook Industrial Co., Ltd. 97,720 267,632 # DongKook Pharmaceutical Co., Ltd. 16,245 539,457 # Dongkuk Steel Mill Co., Ltd. 188,990 2,641,305 DONGKUK STRUCTURES & CONSTRUCTION Co., Ltd. 95,369 370,635 Dongsuh Co., Inc. 8,129 212,937 # Dongsung Chemical Co., Ltd. 8,700 174,350 # Dongsung Holdings Co., Ltd. 82,800 406,494 # Dongsung Pharmaceutical Co., Ltd. 35,980 145,382 # Dongwha Pharm Co., Ltd. 102,730 538,745 # Dongwon F&B Co., Ltd. 6,814 696,559 Dongwon Industries Co., Ltd. 5,862 1,568,978 * Dongwon Systems Corp. 4,921 32,491 Dongyang E&P, Inc. 4,057 68,753 Dongyang Mechatronics Corp. 125,881 1,433,574 #* Doosan Engine Co., Ltd. 108,960 968,703 #* Doosan Engineering & Construction Co., Ltd. 143,196 312,958 #* Doosan Infracore Co., Ltd. 24,600 352,106 # Dragonfly GF Co., Ltd. 32,142 272,057 # DRB Holding Co., Ltd. 25,966 190,094 DRB Industrial Co., Ltd. 25,895 215,273 * Duksan Hi-Metal Co., Ltd. 63,992 1,263,058 # DuzonBIzon Co., Ltd. 109,890 1,030,923 # e-LITECOM Co., Ltd. 34,066 611,777 E1 Corp. 13,832 991,947 * Eagon Industries Co., Ltd. 6,060 73,644 Easy Bio, Inc. 180,267 788,447 #* Ecopro Co., Ltd. 49,386 426,629 EG Corp. 23,376 458,374 #* ELK Corp. 46,945 281,816 EMKOREA Co., Ltd. 32,210 293,006
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ---------- SOUTH KOREA -- (Continued) # ENF Technology Co., Ltd. 41,230 $ 381,574 Eo Technics Co., Ltd. 5,591 227,492 # Estechpharma Co., Ltd. 35,736 400,260 #* ESTsoft Corp. 14,111 274,388 Eugene Corp. 148,970 406,043 * Eugene Investment & Securities Co., Ltd. 247,273 510,574 # Eugene Technology Co., Ltd. 70,756 1,085,266 * Farmsco 7,490 44,978 Fila Korea, Ltd. 46,332 3,137,354 #* Finetex EnE, Inc. 86,393 220,160 # Firstec Co., Ltd. 164,190 286,782 #* Flexcom, Inc. 53,658 682,890 #* Foosung Co., Ltd. 113,049 427,006 Fursys, Inc. 14,315 421,717 #* GameHi Co., Ltd. 36,801 251,093 #* Gamevil, Inc. 28,066 1,341,535 Gaon Cable Co., Ltd. 10,754 198,194 #* Genexine Co., Ltd. 4,776 108,551 #* Genic Co., Ltd. 18,840 442,455 GIIR, Inc. 10,990 82,806 Global & Yuasa Battery Co., Ltd. 28,740 1,348,469 #* GNCO Co., Ltd. 206,634 311,313 # Golfzon Co., Ltd. 57,227 1,111,818 # Grand Korea Leisure Co., Ltd. 150,160 5,469,533 * Green Cross Cell Corp. 11,214 301,109 # Green Cross Corp. 33,326 4,114,300 Green Cross Holdings Corp. 96,840 1,206,517 * Green Non-Life Insurance Co., Ltd. 22,357 -- # GS Engineering & Construction Corp. 159,910 5,398,972 # GS Global Corp. 64,716 589,925 GS Home Shopping, Inc. 7,229 1,666,186 GSretail Co., Ltd. 23,080 637,947 # Gwangju Shinsegae Co., Ltd. 3,400 841,031 # Haesung Industrial Co., Ltd. 15,565 578,724 # Halla Corp. 75,562 379,278 # Halla Visteon Climate Control Corp. 72,110 2,696,382 # Han Kuk Carbon Co., Ltd. 138,853 1,165,593 * Hana Micron, Inc. 12,372 76,867 #* Hanall Biopharma Co., Ltd. 92,648 543,462 # Handok, Inc. 29,260 477,470 # Handsome Co., Ltd. 69,759 1,997,254 Hanil Cement Co., Ltd. 20,147 1,584,380 Hanil E-Wha Co., Ltd. 111,930 2,313,097 #* Hanjin Heavy Industries & Construction Co., Ltd. 239,542 2,776,781 Hanjin Heavy Industries & Construction Holdings Co., Ltd. 66,020 569,275 #* Hanjin P&C Co., Ltd. 110,818 86,189 #* Hanjin Shipping Co., Ltd. 426,928 3,110,560 * Hanjin Shipping Holdings Co., Ltd. 54,244 272,342 # Hanjin Transportation Co., Ltd. 48,021 830,114 Hankook Shell Oil Co., Ltd. 3,445 1,707,418 * Hankuk Glass Industries, Inc. 11,460 176,596 Hankuk Paper Manufacturing Co., Ltd. 11,500 256,823
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ----------- SOUTH KOREA -- (Continued) * Hanmi Pharm Co., Ltd. 24,178 $ 2,933,858 #* Hanmi Science Co., Ltd. 79,441 1,195,817 # Hanmi Semiconductor Co., Ltd. 53,050 627,475 Hansae Co., Ltd. 46,356 739,782 Hansae Yes24 Holdings Co., Ltd. 56,991 257,932 # Hansol Chemical Co., Ltd. 48,160 1,239,181 # Hansol CSN 205,620 616,332 #* Hansol HomeDeco Co., Ltd. 276,470 452,916 Hansol Paper Co. 203,390 2,356,220 #* Hansol Technics Co., Ltd. 71,999 1,286,764 Hanssem Co., Ltd. 49,360 1,999,905 Hanwha Corp. 148,570 5,623,466 * Hanwha General Insurance Co., Ltd. 83,588 330,652 * Hanwha Investment & Securities Co., Ltd. 293,301 992,043 Hanwha Timeworld Co., Ltd. 8,190 251,578 * Hanyang Eng Co., Ltd. 19,969 126,028 Hanyang Securities Co., Ltd. 15,710 92,107 * Harim Holdings Co., Ltd. 20,409 59,227 # Heung-A Shipping Co., Ltd. 447,027 669,795 * Heungkuk Fire & Marine Insurance Co., Ltd. 74,867 318,884 High Tech Pharm Co., Ltd. 16,915 231,230 # Hite Jinro Co., Ltd. 133,008 3,264,838 Hitejinro Holdings Co., Ltd. 36,750 400,024 HMC Investment Securities Co., Ltd. 90,880 912,752 # Hotel Shilla Co., Ltd. 161,958 10,462,226 # Huchems Fine Chemical Corp. 108,078 2,435,035 Humax Co., Ltd. 47,973 567,528 #* Hunus, Inc. 20,753 55,530 # Huons Co., Ltd. 29,809 784,101 # Husteel Co., Ltd. 19,550 357,225 Huvis Corp. 35,480 342,928 # Huvitz Co., Ltd. 29,082 507,830 Hwa Shin Co., Ltd. 87,220 1,051,759 Hwacheon Machine Tool Co., Ltd. 4,979 242,046 # Hy-Lok Corp. 39,193 985,975 Hyosung Corp. 121,019 8,158,566 * Hyundai BNG Steel Co., Ltd. 51,160 668,826 Hyundai Corp. 58,941 1,842,722 # Hyundai Development Co. 299,750 6,662,932 #* Hyundai Elevator Co., Ltd. 42,802 2,425,794 # Hyundai Engineering Plastics Co., Ltd. 93,890 601,618 # Hyundai Greenfood Co., Ltd. 232,990 3,711,097 Hyundai Home Shopping Network Corp. 27,099 4,290,341 Hyundai Hy Communications & Networks Co., Ltd. 114,410 513,047 Hyundai Marine & Fire Insurance Co., Ltd. 27,130 775,178 #* Hyundai Merchant Marine Co., Ltd. 215,410 2,787,235 # Hyundai Mipo Dockyard 2,711 431,485 Hyundai Securities Co., Ltd. 590,660 3,750,975 # Hyunjin Materials Co., Ltd. 65,164 430,303 * HyVision System, Inc. 40,533 624,320 #* ICD Co., Ltd. 26,262 280,738 #* IHQ, Inc. 102,820 227,523
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ---------- SOUTH KOREA -- (Continued) # Il Dong Pharmaceutical Co., Ltd. 46,965 $ 523,420 # Iljin Display Co., Ltd. 71,588 1,009,411 # Iljin Electric Co., Ltd. 81,849 473,285 #* Iljin Materials Co., Ltd. 66,150 760,236 # Ilshin Spinning Co., Ltd. 6,835 712,316 # Ilsung Pharmaceuticals Co., Ltd. 2,864 210,737 Ilyang Pharmaceutical Co., Ltd. 54,858 1,461,755 # IM Co., Ltd. 65,996 285,816 # iMarketKorea, Inc. 88,230 2,099,005 # iMBC Co., Ltd. 51,282 207,690 #* Infinitt Healthcare Co., Ltd. 24,327 191,886 #* Infopia Co., Ltd. 36,952 518,511 #* Infraware, Inc. 73,042 840,277 #* InkTec Co., Ltd. 30,071 871,328 # Innochips Technology, Inc. 15,800 221,703 # InnoWireless, Inc. 21,995 235,073 * Innox Corp. 43,492 1,045,072 Intelligent Digital Integrated Securities Co., Ltd. 4,817 84,104 #* Interflex Co., Ltd. 38,115 1,136,812 Intergis Co., Ltd. 5,610 37,623 # Interojo Co., Ltd. 34,343 550,946 # Interpark Corp. 155,486 1,479,414 INTOPS Co., Ltd. 34,086 725,683 Inzi Controls Co., Ltd. 45,990 228,985 INZI Display Co., Ltd. 64,622 116,548 #* IS Dongseo Co., Ltd. 52,132 807,891 # ISU Chemical Co., Ltd. 57,600 896,025 # IsuPetasys Co., Ltd. 140,580 932,594 Jahwa Electronics Co., Ltd. 49,810 988,012 * JB Financial Group Co., Ltd. 301,249 2,058,933 # JCEntertainment Corp. 33,920 579,638 * Jcontentree Corp. 68,358 307,100 # Jeil Pharmaceutical Co. 28,520 346,602 * Jeju Semiconductor Corp. 16,648 77,639 # Jinsung T.E.C. 70,489 398,112 # JNK Heaters Co., Ltd. 11,537 79,403 #* Joymax Co., Ltd. 21,192 795,958 #* Jusung Engineering Co., Ltd. 84,131 449,189 #* JVM Co., Ltd. 15,235 694,345 JW Holdings Co., Ltd. 167,258 422,156 JW Pharmaceutical Corp. 41,681 604,134 JW Shinyak Corp. 13,120 54,274 #* JYP Entertainment Corp. 97,185 433,495 # KC Cottrell Co., Ltd. 28,203 298,597 KC Green Holdings Co., Ltd. 26,340 259,307 # KC Tech Co., Ltd. 123,092 563,994 * KCO Energy, Inc. 120 -- # KCP Co., Ltd. 33,708 380,746 * Keangnam Enterprises, Ltd. 5,833 18,674 #* KEC Corp. 101,438 95,299 # KEPCO Plant Service & Engineering Co., Ltd. 22,636 1,147,384 Keyang Electric Machinery Co., Ltd. 66,240 203,974
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- SOUTH KOREA -- (Continued) * Keystone Global 96,405 $ 81,271 KG Chemical Corp. 12,790 211,052 # Kginicis Co., Ltd. 48,564 992,559 # KGMobilians Co., Ltd. 50,860 618,183 #* KH Vatec Co., Ltd. 54,402 1,385,424 # KISCO Corp. 18,970 508,101 KISCO Holdings Co., Ltd. 2,292 89,471 Kishin Corp. 49,420 372,875 # KISWIRE, Ltd. 25,959 904,576 KIWOOM Securities Co., Ltd. 60,791 3,184,860 * KMH Co., Ltd. 37,601 352,267 #* KMW Co., Ltd. 19,362 362,989 #* Koentec Co., Ltd. 194,086 376,633 # Koh Young Technology, Inc. 42,489 1,265,897 # Kolao Holdings 72,973 2,135,808 Kolon Corp. 34,739 650,748 #* Kolon Global Corp. 174,260 634,826 # Kolon Industries, Inc. 85,903 4,797,073 # Kolon Life Science, Inc. 14,779 1,077,549 #* Komipharm International Co., Ltd. 128,146 867,280 # KONA I Co., Ltd. 33,794 1,049,021 Kook Je Electric Korea Co., Ltd. 20,162 321,725 Kook Soon Dang Brewery Co., Ltd. 6,375 37,676 Korea Airport Service Co., Ltd. 5,490 112,232 # Korea Cast Iron Pipe Industries Co., Ltd. 8,530 30,884 #* Korea Circuit Co., Ltd. 51,766 656,989 Korea District Heating Corp. 15,021 1,405,166 Korea Electric Terminal Co., Ltd. 28,750 1,163,955 Korea Export Packaging Industrial Co., Ltd. 4,840 112,244 * Korea Flange Co., Ltd. 10,590 134,950 #* Korea Info & Comm 56,303 251,078 Korea Investment Holdings Co., Ltd. 153,470 5,987,403 # Korea Kolmar Co., Ltd. 58,990 1,272,765 # Korea Kolmar Holdings Co., Ltd. 33,913 330,834 #* Korea Petrochemical Ind Co., Ltd. 14,789 1,035,608 # Korea United Pharm, Inc. 49,100 494,498 * Korean Air Lines Co., Ltd. 17,100 545,414 Korean Reinsurance Co. 398,077 4,461,495 # Kortek Corp. 42,574 613,796 # KPF 42,149 277,558 KPX Chemical Co., Ltd. 6,479 423,604 * KSCB Co., Ltd. 7,972 36,494 * KT Hitel Co., Ltd. 34,702 272,822 KT Skylife Co., Ltd. 82,570 2,185,978 * KTB Investment & Securities Co., Ltd. 279,130 626,250 Kukdo Chemical Co., Ltd. 18,632 887,636 # Kumho Electric Co., Ltd. 18,040 445,697 * Kumho Industrial Co., Ltd. 28,638 281,547 * Kumho Investment Bank 1,231,520 759,380 * Kumho Tire Co., Inc. 277,399 3,236,664 #* Kun Wha Pharmaceutical Co., Ltd. 7,580 177,596 Kunsul Chemical Industrial Co., Ltd. 12,490 339,756
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- SOUTH KOREA -- (Continued) # Kwang Dong Pharmaceutical Co., Ltd. 178,847 $1,228,308 #* Kwang Myung Electric Engineering Co., Ltd. 192,960 426,807 #* Kyeryong Construction Industrial Co., Ltd. 10,030 82,828 Kyobo Securities Co. 98,440 423,362 # Kyung Dong Navien Co., Ltd. 28,750 492,131 Kyung-In Synthetic Corp. 81,020 328,605 * Kyungbang, Ltd. 2,309 250,902 Kyungchang Industrial Co., Ltd. 3,525 31,946 KyungDong City Gas Co., Ltd. 10,786 886,033 Kyungdong Pharm Co., Ltd. 26,493 315,869 Kyungnam Energy Co., Ltd. 78,800 405,742 # L&F Co., Ltd. 33,852 341,070 #* LB Semicon, Inc. 158,270 318,242 # LEENO Industrial, Inc. 50,300 1,009,833 # LG Fashion Corp. 97,025 2,971,887 LG Hausys, Ltd. 32,510 3,934,933 #* LG Innotek Co., Ltd. 52,323 4,225,524 LG International Corp. 156,201 4,383,160 #* LG Life Sciences, Ltd. 51,993 2,296,959 LIG Insurance Co., Ltd. 199,300 4,960,451 # Livart Furniture Co., Ltd. 42,050 417,741 LMS Co., Ltd. 10,935 174,935 # Lock & Lock Co., Ltd. 132,290 3,445,136 #* Logistics Energy Korea Co., Ltd. 149,840 400,877 # Lotte Chilsung Beverage Co., Ltd. 3,090 4,589,321 Lotte Confectionery Co., Ltd. 2,641 4,528,865 Lotte Food Co., Ltd. 3,776 2,330,304 # LOTTE Himart Co., Ltd. 35,877 2,821,465 * Lotte Non-Life Insurance Co., Ltd. 113,024 320,122 * Lotte Tour Development Co., Ltd. 4,400 26,175 LS Corp. 18,266 1,365,241 # LS Industrial Systems Co., Ltd. 72,572 4,548,100 #* Lumens Co., Ltd. 171,451 1,538,456 Macquarie Korea Infrastructure Fund 1,468,851 9,136,011 #* Macrogen, Inc. 26,706 763,079 # Maeil Dairy Industry Co., Ltd. 34,032 1,403,623 # Mando Corp. 60,934 8,214,702 #* Medifron DBT Co., Ltd. 122,134 479,624 * Medipost Co., Ltd. 3,841 280,247 Medy-Tox, Inc. 20,205 3,329,666 MegaStudy Co., Ltd. 23,359 1,630,290 # Melfas, Inc. 80,390 809,994 Meritz Finance Group, Inc. 97,142 500,560 Meritz Fire & Marine Insurance Co., Ltd. 249,565 3,510,454 Meritz Securities Co., Ltd. 1,043,095 1,653,532 Mi Chang Oil Industrial Co., Ltd. 2,078 153,776 Mirae Asset Securities Co., Ltd. 119,464 4,029,036 * Miwon Chemicals Co., Ltd. 1,890 60,506 Miwon Commercial Co., Ltd. 716 129,468 * Miwon Specialty Chemical Co., Ltd. 1,041 368,846 MK Electron Co., Ltd. 86,407 383,716 # MNTech Co., Ltd. 86,871 629,494
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ---------- SOUTH KOREA -- (Continued) # Modetour Network, Inc. 53,178 $1,121,413 # Monalisa Co., Ltd. 68,050 169,895 Moorim P&P Co., Ltd. 133,920 786,935 Motonic Corp. 55,530 498,900 Muhak Co., Ltd. 4,720 85,356 # Namhae Chemical Corp. 120,134 820,615 Namyang Dairy Products Co., Ltd. 1,390 1,133,846 National Plastic Co. 56,060 277,092 #* Neowiz Games Corp. 65,519 1,066,757 * NEOWIZ HOLDINGS Corp. 24,844 262,137 * Neowiz Internet Corp. 12,143 98,831 NEPES Corp. 94,472 906,990 # Nexen Corp. 33,168 2,337,815 # Nexen Tire Corp. 161,910 2,427,355 #* Nexolon Co., Ltd. 188,870 203,555 NH Investment & Securities Co., Ltd. 126,810 574,541 NICE Holdings Co., Ltd. 45,030 550,228 NICE Information Service Co., Ltd. 3,914 11,305 # NK Co., Ltd. 93,370 325,660 # Nong Shim Holdings Co., Ltd. 8,834 634,390 NongShim Co., Ltd. 16,201 3,923,176 Noroo Holdings Co., Ltd. 1,820 33,449 # OCI Materials Co., Ltd. 32,432 1,015,198 #* OPTRON-TEC, Inc. 75,216 813,063 #* Orientbio, Inc. 218,393 124,711 #* OSANGJAIEL Co., Ltd. 28,871 390,627 #* Osstem Implant Co., Ltd. 53,389 1,362,916 #* Osung LST Co., Ltd. 58,394 146,665 Ottogi Corp. 5,962 1,925,720 # Paik Kwang Industrial Co., Ltd. 63,931 226,466 # Pan-Pacific Co., Ltd. 31,120 91,530 #* PaperCorea, Inc. 147,900 111,627 # Paradise Co., Ltd. 30,135 772,318 # Partron Co., Ltd. 184,812 2,976,029 #* Pharmicell Co., Ltd. 129,934 550,175 # Poongsan Corp. 104,011 2,891,349 # Poongsan Holdings Corp. 16,717 442,999 # POSCO Chemtech Co., Ltd. 9,949 1,223,574 * POSCO Coated & Color Steel Co., Ltd. 4,130 54,541 # Posco ICT Co., Ltd. 199,854 1,541,787 # Posco M-Tech Co., Ltd. 73,994 493,509 #* Power Logics Co., Ltd. 112,474 544,522 #* PSK, Inc. 48,723 463,669 Pulmuone Holdings Co., Ltd. 4,811 237,826 # Pyeong Hwa Automotive Co., Ltd. 59,253 1,372,761 #* Redrover Co., Ltd. 93,761 789,148 Reyon Pharmaceutical Co., Ltd. 4,220 83,407 # RFsemi Technologies, Inc. 30,415 331,272 # S&T Corp. 5,003 88,588 S&T Dynamics Co., Ltd. 129,682 1,735,351 # S&T Holdings Co., Ltd. 21,808 406,579 # S&T Motiv Co., Ltd. 50,410 1,423,719
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ------- ---------- SOUTH KOREA -- (Continued) #* S&T Motors Co., Ltd. 188,180 $ 87,237 S-1 Corp. 68,527 4,086,666 # S-Energy Co., Ltd. 37,010 446,096 # S-MAC Co., Ltd. 72,183 916,112 # Saeron Automotive Corp. 2,640 20,172 #* Sajo Industries Co., Ltd. 11,014 306,339 * Sajodaerim Corp. 600 5,570 Sam Young Electronics Co., Ltd. 63,000 560,799 # Sam Yung Trading Co., Ltd. 54,602 870,997 Samchully Co., Ltd. 13,755 1,699,903 # SAMHWA Paints Industrial Co., Ltd. 9,000 78,304 #* Samick Musical Instruments Co., Ltd. 245,620 421,053 # Samick THK Co., Ltd. 35,630 265,445 # Samjin Pharmaceutical Co., Ltd. 57,606 733,101 # Samkwang Glass 14,944 747,417 # Samlip General Foods Co., Ltd. 9,750 456,766 # Samsung Fine Chemicals Co., Ltd. 93,648 4,232,869 * SAMT Co., Ltd. 34,735 71,543 #* Samyang Foods Co., Ltd. 17,230 396,174 Samyang Holdings Corp. 20,208 1,688,251 Samyang Tongsang Co., Ltd. 1,760 42,842 # Samyoung Chemical Co., Ltd. 173,170 399,770 # Sangbo Corp. 49,604 607,739 #* Sapphire Technology Co., Ltd. 17,767 750,100 # Satrec Initiative Co., Ltd. 5,805 103,918 SAVEZONE I&C Corp. 24,070 106,301 SBS Contents Hub Co., Ltd. 11,290 157,905 # SBS Media Holdings Co., Ltd. 192,730 839,441 #* SBW 340,780 247,543 # Seah Besteel Corp. 65,015 1,699,498 SeAH Holdings Corp. 4,622 428,452 SeAH Steel Corp. 10,931 929,365 # Sebang Co., Ltd. 51,495 926,906 #* Seegene, Inc. 35,327 1,925,749 # Sejong Industrial Co., Ltd. 48,360 758,015 Sempio Foods Co. 7,350 148,165 #* Seobu T&D 16,017 318,054 # Seohan Co., Ltd. 411,355 590,058 #* Seohee Construction Co., Ltd. 728,878 459,182 Seoul Semiconductor Co., Ltd. 36,969 1,538,274 Seowon Co., Ltd. 22,700 39,737 SEOWONINTECH Co., Ltd. 11,270 152,863 #* Sewon Cellontech Co., Ltd. 124,121 344,540 # SEWOONMEDICAL Co., Ltd. 95,161 313,358 # SFA Engineering Corp. 39,834 1,695,704 #* SG Corp. 575,100 377,257 #* SH Energy & Chemical Co., Ltd. 256,860 214,317 Shin Poong Pharmaceutical Co., Ltd. 133,125 638,770 * Shine Co., Ltd. 29,263 270,165 * Shinil Industrial Co., Ltd. 166,800 219,709 # Shinsegae Co., Ltd. 35,692 8,985,590 Shinsegae Information & Communication Co., Ltd. 3,374 221,350
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- SOUTH KOREA -- (Continued) # Shinsegae International Co., Ltd. 9,083 $ 773,061 #* Shinsung Solar Energy Co., Ltd. 225,762 252,942 * Shinsung Tongsang Co., Ltd. 256,840 265,898 * Shinwon Corp. 19,980 23,493 Shinyoung Securities Co., Ltd. 14,050 555,497 #* Signetics Corp. 154,978 370,452 # SIGONG TECH Co., Ltd. 67,831 217,439 # Silicon Works Co., Ltd. 44,743 1,011,092 # Silla Co., Ltd. 36,700 1,011,575 Simm Tech Co., Ltd. 114,351 848,645 # SIMPAC, Inc. 73,030 434,188 Sindoh Co., Ltd. 10,939 721,242 # SJM Co., Ltd. 35,860 351,586 * SK Broadband Co., Ltd. 706,389 3,019,124 SK Chemicals Co., Ltd. 72,371 3,538,011 #* SK Communications Co., Ltd. 79,814 399,404 SK Gas Co., Ltd. 18,415 1,299,632 SK Networks Co., Ltd. 660,780 4,148,210 * SK Securities Co., Ltd. 1,344,790 1,018,148 # SKC Co., Ltd. 103,527 3,142,213 # SL Corp. 65,030 905,690 #* SM Culture & Contents Co., Ltd. 124,158 338,909 #* SM Entertainment Co. 66,758 2,523,286 * Solborn, Inc. 16,585 64,672 * Solco Biomedical Co., Ltd. 56,341 39,042 # Songwon Industrial Co., Ltd. 74,660 804,712 #* Sonokong Co., Ltd. 86,999 223,570 Soulbrain Co., Ltd. 15,801 788,368 * Ssangyong Cement Industrial Co., Ltd. 99,641 555,264 # Steel Flower Co., Ltd. 29,816 173,473 * STS Semiconductor & Telecommunications 20,624 77,001 STX Corp. Co., Ltd. 172,778 290,052 * STX Engine Co., Ltd. 115,112 568,670 * STX Offshore & Shipbuilding Co., Ltd. 320,930 937,905 #* STX Pan Ocean Co., Ltd. 342,221 362,765 Suheung Capsule Co., Ltd. 32,370 1,154,315 Sun Kwang Co., Ltd. 15,705 264,721 #* Sung Jin Geotec Co., Ltd. 59,220 516,886 Sung Kwang Bend Co., Ltd. 31,103 851,481 #* Sungchang Enterprise Holdings, Ltd. 23,520 392,709 * Sungshin Cement Co., Ltd. 40,950 216,145 Sungwoo Hitech Co., Ltd. 120,168 1,858,937 Sunjin Co., Ltd. 23,265 468,650 * Sunny Electronics Corp. 55,680 213,782 #* Suprema, Inc. 57,629 1,305,595 #* Synopex, Inc. 261,562 496,066 # Tae Kyung Industrial Co., Ltd. 33,700 149,042 Taekwang Industrial Co., Ltd. 1,928 2,382,523 #* Taesan LCD Co., Ltd. 3,402 10,411 #* Taewoong Co., Ltd. 45,326 1,351,300 Taeyoung Engineering & Construction Co., Ltd. 200,500 1,081,639 * Taihan Electric Wire Co., Ltd. 165,058 318,363
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- SOUTH KOREA -- (Continued) Tailim Packaging Industrial Co., Ltd. 141,790 $ 347,576 # TCC Steel 35,939 123,461 #* Tera Resource Co., Ltd. 1,023,294 459,192 #* Tera Semicon Co., Ltd. 9,203 124,716 * TES Co Ltd/Korea 21,120 255,393 #* Theall Medi Bio 45,340 129,981 #* Theragen Etex Co., Ltd. 26,682 180,683 #* TK Chemical Corp. 222,222 350,188 # Tong Yang Moolsan Co., Ltd. 22,590 199,368 Tongyang Life Insurance 192,400 2,041,292 TONGYANG Securities, Inc. 12,966 29,511 #* Tongyang, Inc. 242,448 106,102 #* Top Engineering Co., Ltd. 43,811 194,402 #* Toptec Co., Ltd. 39,069 583,713 Tovis Co., Ltd. 29,767 236,495 #* Trais Co., Ltd. 69,289 182,545 # TS Corp. 18,630 491,341 #* UBCare Co., Ltd. 58,297 156,509 Ubiquoss, Inc. 8,722 64,827 #* Ubivelox, Inc. 15,537 259,250 # UI Display Co., Ltd. 34,401 378,976 # Uju Electronics Co., Ltd. 31,398 562,270 Unid Co., Ltd. 17,354 1,088,495 Union Steel 8,052 117,342 #* Uniquest Corp. 14,210 181,961 * Unison Co., Ltd. 99,851 419,093 # Value Added Technologies Co., Ltd. 39,778 460,142 #* VGX International, Inc. 145,790 199,943 # Vieworks Co., Ltd. 37,657 989,103 # Visang Education, Inc. 28,772 336,238 #* Webzen, Inc. 31,367 250,041 #* WeMade Entertainment Co., Ltd. 29,203 1,300,446 # Whanin Pharmaceutical Co., Ltd. 43,130 446,268 #* WillBes & Co. (The) 269,780 274,215 #* WiSoL Co., Ltd. 50,781 589,954 #* Wonik IPS Co., Ltd. 122,259 1,009,930 Woojeon & Handan Co., Ltd. 42,358 400,628 #* Woongjin Chemical Co., Ltd. 121,710 1,093,013 #* Woongjin Energy Co., Ltd. 212,231 429,766 #* Woongjin Thinkbig Co., Ltd. 72,299 412,892 # Wooree ETI Co., Ltd. 139,474 402,852 Woori Financial Co., Ltd. 54,928 1,147,105 Woori Investment & Securities Co., Ltd. 617,082 6,517,131 #* Wooridul Life Sciences, Ltd. 119,500 57,468 # WooSung Feed Co., Ltd. 86,370 226,904 # Y G-1 Co., Ltd. 70,378 812,395 YESCO Co., Ltd. 13,100 432,306 # YG Entertainment, Inc. 26,398 1,271,308 # Yoosung Enterprise Co., Ltd. 62,110 296,418 # YooSung T&S Co., Ltd. 23,393 47,426 Youlchon Chemical Co., Ltd. 59,750 701,014 # Young Poong Corp. 2,389 3,177,765
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ------------ SOUTH KOREA -- (Continued) * Young Poong Mining & Construction Corp. 1,580 $ -- # Young Poong Precision Corp. 35,929 338,019 # Youngone Corp. 103,584 3,505,263 # Youngone Holdings Co., Ltd. 28,420 1,730,847 Yuhan Corp. 44,525 7,832,835 YuHwa Securities Co., Ltd. 13,060 145,652 #* Yungjin Pharmaceutical Co., Ltd. 469,292 782,984 ------------ TOTAL SOUTH KOREA 604,680,519 ------------ TAIWAN -- (13.9%) # A-DATA Technology Co., Ltd. 1,078,000 3,174,165 Ability Enterprise Co., Ltd. 1,749,076 1,318,913 AcBel Polytech, Inc. 1,849,599 1,871,911 Accton Technology Corp. 2,461,763 1,344,908 # Ace Pillar Co., Ltd. 254,008 271,449 ACES Electronic Co., Ltd. 421,000 312,479 ACHEM TECHNOLOGY Corp. 831,764 478,374 #* Acme Electronics Corp. 542,295 696,054 Acter Co., Ltd. 180,000 769,533 * Action Electronics Co., Ltd. 761,635 160,876 Actron Technology Corp. 263,150 1,068,017 # Adlink Technology, Inc. 473,985 882,769 # Advanced Ceramic X Corp. 222,000 988,763 Advanced International Multitech Co., Ltd. 425,000 461,965 # Advancetek Enterprise Co., Ltd. 638,917 767,500 * AGV Products Corp. 2,428,801 793,830 # AimCore Technology Co., Ltd. 245,589 361,919 # Airtac International Group 19,260 139,375 # Alcor Micro Corp. 379,000 360,134 # ALI Corp. 1,479,000 1,603,907 Allis Electric Co., Ltd. 54,000 18,393 Alltop Technology Co., Ltd. 54,000 47,897 # Alpha Networks, Inc. 1,582,763 1,028,290 Altek Corp. 1,893,637 1,439,730 Ambassador Hotel (The) 1,385,000 1,378,868 # AMPOC Far-East Co., Ltd. 450,444 383,342 AmTRAN Technology Co., Ltd. 4,067,951 2,604,946 # Anpec Electronics Corp. 577,000 398,851 # Apacer Technology, Inc. 541,576 568,912 APCB, Inc. 719,000 447,541 # Apex Biotechnology Corp. 465,483 1,243,143 Apex International Co., Ltd. 255,000 327,041 # Apex Medical Corp. 325,500 393,487 Apex Science & Engineering 140,907 79,978 Arcadyan Technology Corp. 95,000 131,686 Ardentec Corp. 1,433,992 959,853 * Arima Communications Corp. 911,719 462,910 * Asia Optical Co., Inc. 1,143,000 1,135,380 # Asia Plastic Recycling Holding, Ltd. 289,726 864,836 Asia Polymer Corp. 1,439,484 1,261,395 Asia Vital Components Co., Ltd. 1,548,058 897,048 ASROCK, Inc. 192,000 646,010
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TAIWAN -- (Continued) Aten International Co., Ltd. 430,479 $1,124,863 Audix Corp. 519,000 550,538 AURAS Technology Co., Ltd. 99,585 67,999 Aurora Corp. 541,499 1,133,262 AV Tech Corp. 198,000 596,909 Avermedia Technologies 701,446 342,200 * Avision, Inc. 729,000 284,158 AVY Precision Technology, Inc. 235,000 400,228 Awea Mechantronic Co., Ltd. 137,200 164,926 Bank of Kaohsiung 1,946,054 628,765 Basso Industry Corp. 581,000 674,158 * BenQ Materials Corp. 751,000 547,699 # BES Engineering Corp. 6,859,750 2,100,050 # Bin Chuan Enterprise Co., Ltd. 172,542 158,858 # Bionet Corp. 191,000 302,363 # Biostar Microtech International Corp. 865,975 316,342 # Boardtek Electronics Corp. 783,000 957,661 * Bright Led Electronics Corp. 601,520 262,473 C Sun Manufacturing, Ltd. 698,221 495,121 Cameo Communications, Inc. 1,147,818 377,262 Capella Microsystems Taiwan, Inc. 161,598 572,637 # Capital Securities Corp. 8,209,142 2,811,949 # Career Technology MFG. Co., Ltd. 1,388,000 1,321,962 # Carnival Industrial Corp. 1,753,000 527,815 Cathay Chemical Works 30,000 17,883 Cathay Real Estate Development Co., Ltd. 3,801,000 2,650,549 Celxpert Energy Corp. 164,000 87,673 #* Center Laboratories, Inc. 487,693 1,101,432 Central Reinsurance Co., Ltd. 867,410 391,601 ChainQui Construction Development Co., Ltd. 360,083 262,901 Chaintech Technology Corp. 173,241 243,813 * Champion Building Materials Co., Ltd. 1,757,851 788,833 # Chang Wah Electromaterials, Inc. 196,132 534,165 Channel Well Technology Co., Ltd. 53,000 25,298 # Charoen Pokphand Enterprise 867,000 454,907 # Chaun-Choung Technology Corp. 330,000 635,971 CHC Resources Corp. 329,348 671,725 Chen Full International Co., Ltd. 152,000 136,466 Chenbro Micom Co., Ltd. 294,000 344,345 Cheng Loong Corp. 4,169,383 1,971,906 # Cheng Uei Precision Industry Co., Ltd. 1,982,331 4,157,201 #* Chenming Mold Industry Corp. 610,437 497,910 Chia Chang Co., Ltd. 547,000 710,960 * Chia Hsin Cement Corp. 2,128,121 1,086,225 # Chien Kuo Construction Co., Ltd. 1,436,312 690,682 Chilisin Electronics Corp. 505,572 485,976 Chime Ball Technology Co., Ltd. 143,000 328,477 # Chimei Materials Technology Corp. 698,000 714,566 # Chin-Poon Industrial Co. 1,754,207 2,927,670 China Chemical & Pharmaceutical Co., Ltd. 1,394,000 1,191,530 # China Ecotek Corp. 187,000 501,565 # China Electric Manufacturing Corp. 1,435,900 683,690
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- TAIWAN -- (Continued) China General Plastics Corp. 1,636,640 $1,012,277 China Glaze Co., Ltd. 654,139 315,774 * China Manmade Fibers Corp. 5,236,879 2,224,482 # China Metal Products 1,312,003 1,943,510 China Motor Corp. 586,609 560,576 * China Rebar Co., Ltd. 55,174 -- # China Steel Chemical Corp. 543,554 3,256,987 # China Steel Structure Co., Ltd. 655,000 815,054 China Synthetic Rubber Corp. 2,303,563 2,233,753 * China United Trust & Investment Corp 164,804 -- * China Wire & Cable Co., Ltd. 592,000 277,184 Chinese Gamer International Corp. 155,000 268,194 Chinese Maritime Transport, Ltd. 543,850 699,944 Chong Hong Construction Co. 657,646 2,161,230 * Chou Chin Industrial Co., Ltd 825 -- Chroma ATE, Inc. 1,531,821 3,263,037 * Chun YU Works & Co., Ltd. 1,148,000 436,371 Chun Yuan Steel 1,955,529 749,027 Chung Hsin Electric & Machinery Manufacturing Corp. 1,995,000 1,554,240 * Chung Hung Steel Corp. 3,863,979 1,106,503 * Chung Hwa Pulp Corp. 2,616,031 842,471 Chunghwa Chemical Synthesis & Biotech Co., Ltd. 256,000 515,799 * Chunghwa Picture Tubes, Ltd. 16,151,000 885,862 * Chyang Sheng Dyeing & Finishing Co., Ltd. 45,000 24,324 Cleanaway Co., Ltd. 173,000 1,080,658 Clevo Co. 2,044,200 4,346,256 #* CMC Magnetics Corp. 13,033,960 2,196,661 CoAsia Microelectronics Corp. 472,500 258,058 Collins Co., Ltd. 565,431 210,294 # Compal Communications, Inc. 1,459,000 2,496,168 Compeq Manufacturing Co. 4,826,000 2,438,111 * Concord Securities Corp. 1,491,000 390,612 Continental Holdings Corp. 1,959,067 713,675 Coretronic Corp. 3,332,000 2,914,289 * Cosmo Electronics Corp. 300,137 329,009 * Cosmos Bank Taiwan 1,044,926 521,264 # Coxon Precise Industrial Co., Ltd. 525,000 924,327 Creative Sensor, Inc. 85,000 51,172 #* Crystalwise Technology, Inc. 521,000 403,266 # CSBC Corp. Taiwan 1,909,610 1,218,105 Cub Elecparts, Inc. 7,000 22,954 CviLux Corp. 353,039 423,262 Cyberlink Corp. 413,697 1,205,332 # CyberPower Systems, Inc. 211,000 406,156 # CyberTAN Technology, Inc. 1,260,779 1,436,224 D-Link Corp. 2,875,665 1,740,211 DA CIN Construction Co., Ltd. 910,711 807,727 # Da-Li Construction Co., Ltd. 459,220 531,259 Dah Fung CATV Co., Ltd. 265,540 515,907 Darfon Electronics Corp. 1,333,550 1,011,466 Davicom Semiconductor, Inc. 351,888 238,685 # Daxin Materials Corp. 192,000 421,545
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TAIWAN -- (Continued) De Licacy Industrial Co. 70,000 $ 26,273 # Delpha Construction Co., Ltd. 991,931 403,406 Depo Auto Parts Ind Co., Ltd. 497,000 1,744,538 * Der Pao Construction Co., Ltd. 476,000 -- DFI, Inc. 164,524 180,961 Dimerco Express Corp. 373,000 234,453 # DYNACOLOR, Inc. 224,000 520,709 #* Dynamic Electronics Co., Ltd. 1,275,321 499,958 # Dynapack International Technology Corp. 607,000 1,729,915 #* E Ink Holdings, Inc. 3,975,000 2,231,585 # E-Lead Electronic Co., Ltd. 307,942 488,024 E-LIFE MALL Corp. 362,000 831,600 #* E-Ton Solar Tech Co., Ltd. 2,396,209 1,474,132 * Eastern Media International Corp. 4,196,337 692,736 Edimax Technology Co., Ltd. 850,108 378,864 Edison Opto Corp. 435,000 514,792 Edom Technology Co., Ltd. 172,776 83,501 # eGalax_eMPIA Technology, Inc. 220,255 560,825 # Elan Microelectronics Corp. 1,655,715 2,506,135 # Elite Advanced Laser Corp. 360,000 878,037 Elite Material Co., Ltd. 1,353,350 1,121,093 Elite Semiconductor Memory Technology, Inc. 1,242,200 1,633,417 Elitegroup Computer Systems Co., Ltd. 3,206,182 1,377,547 # eMemory Technology, Inc. 328,000 803,431 # ENG Electric Co., Ltd. 671,580 560,883 Entie Commercial Bank 1,833,603 944,730 * Episil Technologies, Inc. 873,000 302,762 Eternal Chemical Co., Ltd. 3,361,794 3,073,225 * Etron Technology, Inc. 1,395,000 676,578 * Everest Textile Co., Ltd. 1,017,562 298,280 Evergreen International Storage & Transport Corp. 2,516,000 1,709,198 Everlight Chemical Industrial Corp. 1,737,933 1,607,492 Everlight Electronics Co., Ltd. 1,685,000 3,183,685 #* Everspring Industry Co. 501,000 297,123 # Excelsior Medical Co., Ltd. 487,654 1,076,207 # Far Eastern International Bank 6,577,820 2,729,911 # Faraday Technology Corp. 1,679,648 1,914,998 * Farglory F T Z Investment Holding Co., Ltd. 142,000 108,926 Federal Corp. 2,183,666 1,721,940 Feedback Technology Corp. 172,000 332,288 Feng Hsin Iron & Steel Co. 1,688,100 3,072,008 Feng TAY Enterprise Co., Ltd. 1,346,806 3,530,043 Fine Blanking & Tool Co., Ltd. 13,000 18,812 # Firich Enterprises Co., Ltd. 788,719 3,243,018 #* First Copper Technology Co., Ltd. 929,000 301,740 First Hotel 720,212 463,744 First Insurance Co., Ltd. 1,054,179 698,622 First Steamship Co., Ltd. 1,788,218 1,234,361 # FLEXium Interconnect, Inc. 812,839 2,531,810 Flytech Technology Co., Ltd. 418,838 1,554,704 Forhouse Corp. 1,902,635 727,501 Formosa Advanced Technologies Co., Ltd. 604,000 372,995
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TAIWAN -- (Continued) #* Formosa Epitaxy, Inc. 1,937,811 $1,178,961 # Formosa International Hotels Corp. 158,243 1,905,510 #* Formosa Laboratories, Inc. 211,686 538,265 Formosa Oilseed Processing 304,567 147,258 # Formosa Optical Technology Co., Ltd. 239,000 852,822 Formosan Rubber Group, Inc. 2,028,000 1,924,275 # Formosan Union Chemical 1,222,218 586,315 # Fortune Electric Co., Ltd. 502,078 313,462 Founding Construction & Development Co., Ltd. 895,317 588,826 # Foxlink Image Technology Co., Ltd. 619,000 389,796 * Froch Enterprise Co., Ltd. 843,000 275,304 FSP Technology, Inc. 810,887 748,769 # Fullerton Technology Co., Ltd. 505,600 416,178 #* Fulltech Fiber Glass Corp. 1,411,084 571,274 Fwusow Industry Co., Ltd. 750,186 461,327 G Shank Enterprise Co., Ltd. 1,056,013 653,828 # G Tech Optoelectronics Corp. 798,000 1,395,843 * Gallant Precision Machining Co., Ltd. 21,000 8,996 * Gamania Digital Entertainment Co., Ltd. 604,000 494,583 GEM Terminal Industrial Co., Ltd. 23,386 9,240 # Gemtek Technology Corp. 1,447,219 1,404,712 General Plastic Industrial Co., Ltd. 137,553 145,695 #* Genesis Photonics, Inc. 975,363 574,040 # Genius Electronic Optical Co., Ltd. 243,427 989,044 Genmont Biotech, Inc. 242,000 380,633 # GeoVision, Inc. 223,527 1,467,521 # Getac Technology Corp. 2,105,360 1,159,260 #* Giantplus Technology Co., Ltd. 204,900 61,886 # Giga Solar Materials Corp. 87,400 914,538 # Giga Solution Tech Co., Ltd. 525,446 283,198 Gigabyte Technology Co., Ltd. 2,532,800 2,827,811 #* Gigastorage Corp. 1,377,561 1,111,030 * Gintech Energy Corp. 1,205,936 1,296,835 * Global Brands Manufacture, Ltd. 1,376,359 491,229 Global Lighting Technologies, Inc. 248,000 251,742 # Global Mixed Mode Technology, Inc. 381,000 1,014,420 # Global Unichip Corp. 398,000 990,468 * Globe Union Industrial Corp. 809,944 615,729 Gloria Material Technology Corp. 2,195,565 1,502,292 * Gold Circuit Electronics, Ltd. 2,165,227 565,611 Goldsun Development & Construction Co., Ltd. 6,500,722 2,687,588 Good Will Instrument Co., Ltd. 200,703 123,435 # Gourmet Master Co., Ltd. 202,000 1,344,771 Grand Pacific Petrochemical 4,244,000 3,275,654 Grape King Industrial Co. 460,000 2,214,326 # Great China Metal Industry 754,000 895,406 Great Taipei Gas Co., Ltd. 1,467,000 1,109,400 Great Wall Enterprise Co., Ltd. 1,939,057 1,747,624 #* Green Energy Technology, Inc. 977,457 865,208 #* GTM Corp. 679,000 366,912 # Gudeng Precision Industrial Co., Ltd. 170,200 304,353 Hannstar Board Corp. 1,493,049 606,688
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- TAIWAN -- (Continued) * HannStar Display Corp. 10,217,495 $3,421,113 * HannsTouch Solution, Inc. 3,934,130 1,274,467 * Harvatek Corp. 728,623 300,186 Hey Song Corp. 1,877,000 2,153,028 # Hi-Clearance, Inc. 104,000 322,379 Hiroca Holdings, Ltd. 12,100 34,211 #* HiTi Digital, Inc. 253,467 235,363 Hitron Technology, Inc. 991,213 531,764 * Hiyes International Co., Ltd. 5,043 6,828 Ho Tung Chemical Corp. 3,549,191 1,732,876 #* Hocheng Corp. 1,275,700 491,013 Hold-Key Electric Wire & Cable Co., Ltd. 205,908 73,646 # Holiday Entertainment Co., Ltd. 248,800 303,803 Holtek Semiconductor, Inc. 829,000 1,276,015 Holy Stone Enterprise Co., Ltd. 1,020,728 1,287,967 Hong Ho Precision Textile Co 40,000 45,609 Hong TAI Electric Industrial 1,201,000 408,837 Hong YI Fiber Industry Co. 75,652 25,305 Horizon Securities Co., Ltd. 1,910,000 578,016 #* Hota Industrial Manufacturing Co., Ltd. 817,000 1,343,579 #* Howarm Construction Co., Ltd. 683,811 413,276 Hsin Kuang Steel Co., Ltd. 1,317,443 839,683 Hsin Yung Chien Co., Ltd. 151,000 405,282 Hsing TA Cement Co. 620,000 234,002 Hu Lane Associate, Inc. 240,559 790,682 HUA ENG Wire & Cable 2,359,565 935,815 * Hua Yu Lien Development Co., Ltd. 3,701 6,690 Huaku Development Co., Ltd. 1,128,816 3,161,368 Huang Hsiang Construction Co. 568,800 1,142,455 Hung Ching Development & Construction Co., Ltd. 449,000 288,850 Hung Poo Real Estate Development Corp. 1,293,185 1,343,369 Hung Sheng Construction Co., Ltd. 2,545,400 2,174,604 Huxen Corp. 268,244 423,892 * Hwa Fong Rubber Co., Ltd. 970,670 440,392 # I-Chiun Precision Industry Co., Ltd. 924,313 600,711 I-Sheng Electric Wire & Cable Co., Ltd. 547,000 800,482 Ibase Technology, Inc. 433,719 628,172 Ichia Technologies, Inc. 1,679,000 882,079 # ICP Electronics, Inc. 905,300 1,247,806 # ILI Technology Corp. 302,383 622,996 Infortrend Technology, Inc. 864,163 519,012 * Inotera Memories, Inc. 5,086,000 3,279,587 # Insyde Software Corp. 107,000 190,025 # Integrated Memory Logic, Ltd. 263,001 601,826 International Games System Co., Ltd. 299,000 586,763 ITE Technology, Inc. 619,095 525,017 ITEQ Corp. 1,193,614 1,327,537 #* J Touch Corp. 601,000 456,283 * Janfusun Fancyworld Corp. 823,564 161,130 * Jenn Feng New Energy Co., Ltd. 286,000 100,922 Jentech Precision Industrial Co., Ltd. 290,868 612,668 Jess-Link Products Co., Ltd. 776,900 721,904
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TAIWAN -- (Continued) Jih Sun Financial Holdings Co., Ltd. 2,960,142 $ 849,235 # Johnson Health Tech Co., Ltd. 294,221 840,611 # K Laser Technology, Inc. 228,000 131,375 Kang Na Hsiung Enterprise Co., Ltd. 489,020 290,930 * Kao Hsing Chang Iron & Steel 784,000 307,679 # Kaori Heat Treatment Co., Ltd. 341,210 689,047 Kaulin Manufacturing Co., Ltd. 664,330 550,284 KD Holding Corp. 40,000 257,280 KEE TAI Properties Co., Ltd. 1,903,473 1,367,241 * Kenmec Mechanical Engineering Co., Ltd. 842,000 433,901 Kerry TJ Logistics Co., Ltd. 1,609,000 2,256,451 Keysheen Cayman Holdings Co., Ltd. 2,000 3,837 # Kindom Construction Co. 1,646,000 2,034,626 King Slide Works Co., Ltd. 241,550 2,138,049 King Yuan Electronics Co., Ltd. 5,488,979 3,827,433 King's Town Bank 3,714,701 3,304,646 #* King's Town Construction Co., Ltd. 929,210 899,106 Kinik Co. 594,000 1,483,960 # Kinko Optical Co., Ltd. 747,000 766,843 Kinpo Electronics 5,249,157 2,339,341 # KMC Kuei Meng International, Inc. 35,875 158,656 KS Terminals, Inc. 407,482 395,755 Kung Long Batteries Industrial Co., Ltd. 308,000 846,996 # Kung Sing Engineering Corp. 1,486,000 743,121 # Kuo Toong International Co., Ltd. 649,000 878,040 # Kuoyang Construction Co., Ltd. 2,228,384 1,489,920 Kwong Fong Industries 1,305,760 972,226 KYE Systems Corp. 1,372,903 591,084 L&K Engineering Co., Ltd. 623,048 650,923 LAN FA Textile 826,933 267,484 Laser Tek Taiwan Co., Ltd. 46,504 27,846 LCY Chemical Corp. 441,383 582,657 # Leader Electronics, Inc. 653,000 324,528 # Leadtrend Technology Corp. 162,086 212,238 Lealea Enterprise Co., Ltd. 3,260,542 1,198,673 Ledtech Electronics Corp. 207,000 130,404 # LEE CHI Enterprises Co., Ltd. 886,000 440,379 #* Leofoo Development Co. 1,394,000 594,530 # LES Enphants Co., Ltd. 850,754 656,157 # Lextar Electronics Corp. 1,179,500 1,007,825 * Li Peng Enterprise Co., Ltd. 2,720,388 1,349,879 # Lian HWA Food Corp. 312,289 416,285 Lien Hwa Industrial Corp. 2,446,676 1,581,787 Lingsen Precision Industries, Ltd. 1,727,506 896,664 Lite-On Semiconductor Corp. 1,454,730 876,930 # Long Bon International Co., Ltd. 1,495,945 1,200,157 Long Chen Paper Co., Ltd. 2,107,239 832,207 # Longwell Co. 539,000 478,345 Lotes Co., Ltd. 273,778 672,085 * Lucky Cement Corp. 677,000 185,520 # Lumax International Corp., Ltd. 448,769 1,145,194 Macroblock, Inc. 141,000 323,706
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- TAIWAN -- (Continued) #* Macronix International 17,113,481 $4,000,524 MacroWell OMG Digital Entertainment Co., Ltd. 38,000 107,288 Mag Layers Scientific-Technics Co., Ltd. 7,337 12,084 Makalot Industrial Co., Ltd. 683,202 4,124,280 Marketech International Corp. 612,000 373,298 Masterlink Securities Corp. 4,448,000 1,467,762 Mayer Steel Pipe Corp. 842,567 406,561 Maywufa Co., Ltd. 170,322 96,458 #* Medigen Biotechnology Corp. 428,290 3,015,808 Meiloon Industrial Co. 393,809 304,227 Mercuries & Associates, Ltd. 1,478,991 1,111,547 Merry Electronics Co., Ltd. 966,169 3,308,291 Micro-Star International Co., Ltd. 3,332,075 2,239,650 #* Microbio Co., Ltd. 1,664,607 1,964,804 #* Microelectronics Technology, Inc. 1,074,019 694,723 Microlife Corp. 167,600 473,054 # MIN AIK Technology Co., Ltd. 674,316 3,408,397 Mirle Automation Corp. 698,009 596,288 * Mitac Holdings Corp. 2,729,000 2,507,973 * Mosel Vitelic, Inc. 1,924,014 440,841 * Motech Industries, Inc. 1,592,000 2,962,093 MPI Corp. 320,000 558,650 # Nak Sealing Technologies Corp. 248,954 642,263 # Namchow Chemical Industrial, Ltd. 760,000 1,281,486 # Nan Kang Rubber Tire Co., Ltd. 2,218,952 2,851,626 * Nan Ren Lake Leisure Amusement Co., Ltd. 917,000 421,085 #* Nan Ya Printed Circuit Board Corp. 1,197,000 1,616,810 # Nantex Industry Co., Ltd. 1,232,844 875,102 * Nanya Technology Corp. 2,937,000 407,692 National Petroleum Co., Ltd. 763,824 731,740 #* Neo Solar Power Corp. 2,859,190 3,046,775 Netronix, Inc. 319,000 795,484 New Asia Construction & Development Corp. 732,835 193,951 New Era Electronics Co., Ltd. 380,000 487,030 #* Newmax Technology Co., Ltd. 370,009 1,225,372 Nexcom International Co., Ltd. 232,257 179,714 Nichidenbo Corp. 451,340 396,216 Nien Hsing Textile Co., Ltd. 1,173,436 1,273,139 Nishoku Technology, Inc. 124,000 175,191 # Nuvoton Technology Corp. 308,000 242,009 O-TA Precision Industry Co., Ltd. 17,000 11,920 #* Ocean Plastics Co., Ltd. 812,200 1,017,104 Oneness Biotech Co., Ltd. 281,000 483,261 OptoTech Corp. 2,758,886 1,140,880 * Orient Semiconductor Electronics, Ltd. 2,708,000 469,400 Oriental Union Chemical Corp. 2,859,267 3,040,712 # Orise Technology Co., Ltd. 343,000 532,387 P-Two Industries, Inc. 49,000 24,668 # Pacific Construction Co. 950,921 336,229 * Pan Jit International, Inc. 1,533,541 662,170 # Pan-International Industrial 1,761,331 1,409,601 Parade Technologies, Ltd. 50,401 376,831
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- TAIWAN -- (Continued) Paragon Technologies Co., Ltd. 371,246 $ 477,168 # PChome Online, Inc. 262,000 1,522,396 * PharmaEngine, Inc. 159,755 1,436,156 Phihong Technology Co., Ltd. 1,170,901 722,702 Phoenix Tours International, Inc. 273,000 525,375 #* Phytohealth Corp. 472,929 698,573 * Picvue Electronics, Ltd. 72,760 -- #* Pihsiang Machinery Manufacturing Co., Ltd. 547,534 590,727 Pixart Imaging, Inc. 666,150 1,264,092 Plotech Co., Ltd. 115,000 40,927 # Polytronics Technology Corp. 280,027 568,931 # Portwell, Inc. 457,000 427,191 Posiflex Technologies, Inc. 86,940 278,278 * Potrans Electrical Corp. 228,000 -- * Power Quotient International Co., Ltd. 796,600 503,148 * Powercom Co., Ltd. 867,140 165,975 Powertech Industrial Co., Ltd. 367,000 212,099 Poya Co., Ltd. 254,520 1,338,487 President Securities Corp. 3,460,488 1,949,604 # Prime Electronics Satellitics, Inc. 670,822 524,570 Prince Housing & Development Corp. 4,234,760 2,728,229 * Procomp Informatics, Ltd. 21,675 -- * Prodisc Technology, Inc. 1,707,199 -- # Promate Electronic Co., Ltd. 732,000 765,783 # Promise Technology, Inc. 638,286 727,975 * Protop Technology Co., Ltd 192,000 -- * Qisda Corp. 6,881,900 1,596,802 # Qualipoly Chemical Corp. 275,000 242,767 Quanta Storage, Inc. 723,000 752,917 * Quintain Steel Co., Ltd. 1,777,824 412,035 # Radium Life Tech Co., Ltd. 2,397,235 2,097,663 Ralec Electronic Corp. 103,209 151,954 Realtek Semiconductor Corp. 931,644 2,165,952 Rechi Precision Co., Ltd. 1,169,448 1,167,844 * Rexon Industrial Corp., Ltd. 94,392 41,614 # Rich Development Co., Ltd. 2,669,036 1,146,423 Richtek Technology Corp. 654,000 2,947,208 #* Ritek Corp. 13,129,387 2,131,163 Rotam Global Agrosciences, Ltd. 12,000 22,056 Ruentex Engineering & Construction Co. 35,000 67,824 # Run Long Construction Co., Ltd. 380,000 413,906 * Sainfoin Technology Corp. 131,260 -- Sampo Corp. 2,833,327 993,999 San Fang Chemical Industry Co., Ltd. 612,632 585,298 San Shing Fastech Corp. 248,040 560,814 Sanyang Industry Co., Ltd. 3,375,628 5,907,287 Sanyo Electric Taiwan Co., Ltd. 496,400 652,486 SCI Pharmtech, Inc. 136,091 324,749 # SDI Corp. 601,000 669,827 Senao International Co., Ltd. 445,541 1,422,843 # Sercomm Corp. 839,000 1,171,384 # Sesoda Corp. 692,212 744,842
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TAIWAN -- (Continued) Shan-Loong Transportation Co., Ltd. 29,000 $ 23,836 Sheng Yu Steel Co., Ltd. 605,980 463,470 # ShenMao Technology, Inc. 441,891 516,082 Shih Her Technologies, Inc. 95,000 207,599 Shih Wei Navigation Co., Ltd. 996,183 714,852 Shihlin Electric & Engineering Corp. 1,301,000 1,644,731 * Shihlin Paper Corp. 555,000 882,674 Shin Hai Gas Corp. 1,113 1,484 # Shin Zu Shing Co., Ltd. 615,144 1,355,219 #* Shining Building Business Co., Ltd. 1,208,770 940,631 Shinkong Insurance Co., Ltd. 1,052,131 819,127 Shinkong Synthetic Fibers Corp. 7,179,395 2,480,749 Shinkong Textile Co., Ltd. 1,068,542 1,436,301 Shiny Chemical Industrial Co., Ltd. 243,000 424,375 Shuttle, Inc. 1,381,152 604,309 Sigurd Microelectronics Corp. 1,698,974 1,645,925 #* Silicon Integrated Systems Corp. 2,908,820 905,112 Silicon Power Computer & Communications, Inc. 228,000 312,827 # Silitech Technology Corp. 459,848 594,257 # Sinbon Electronics Co., Ltd. 934,000 1,111,253 Sincere Navigation Corp. 1,460,786 1,357,844 # Singatron Enterprise Co., Ltd. 437,000 234,905 * Sinkang Industries, Ltd. 153,521 55,033 Sinmag Equipment Corp. 138,810 666,125 #* Sino-American Silicon Products, Inc. 2,409,000 3,339,500 # Sinon Corp. 1,748,510 979,348 # Sinphar Pharmaceutical Co., Ltd. 572,588 1,004,270 Sinyi Realty Co. 832,286 1,523,545 # Sirtec International Co., Ltd. 603,000 1,158,880 Sitronix Technology Corp. 524,879 875,549 * Siward Crystal Technology Co., Ltd. 536,000 252,177 Soft-World International Corp. 550,000 1,240,689 Solar Applied Materials Technology Co. 1,603,581 1,365,332 #* Solartech Energy Corp. 254,000 216,404 Solomon Technology Corp. 142,723 62,308 #* Solytech Enterprise Corp. 974,000 361,089 Sonix Technology Co., Ltd. 806,000 1,097,413 # Southeast Cement Co., Ltd. 1,053,700 609,495 Spirox Corp. 66,000 27,956 # Sporton International, Inc. 188,829 680,098 St Shine Optical Co., Ltd. 177,000 5,213,059 Standard Chemical & Pharma 461,571 807,267 * Star Comgistic Capital Co., Ltd. 1,020,713 420,382 Stark Technology, Inc. 598,860 621,236 Sunonwealth Electric Machine Industry Co., Ltd. 662,487 384,336 * Sunplus Technology Co., Ltd. 1,808,000 661,321 Sunrex Technology Corp. 914,736 383,257 Sunspring Metal Corp. 221,000 654,429 * Super Dragon Technology Co., Ltd. 159,382 111,178 Supreme Electronics Co., Ltd. 856,000 434,400 Swancor Ind Co., Ltd. 211,000 452,611 Sweeten Construction Co., Ltd. 577,206 374,256
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- TAIWAN -- (Continued) Syncmold Enterprise Corp. 525,000 $ 901,342 # Synmosa Biopharma Corp. 448,695 663,574 Sysage Technology Co., Ltd. 352,800 376,508 Systex Corp. 242,388 460,007 TA Chen Stainless Pipe 2,808,248 1,344,898 * Ta Chong Bank, Ltd. 7,611,897 2,670,041 * Ta Chong Securities Co., Ltd. 209,000 63,966 Ta Ya Electric Wire & Cable 2,645,306 628,374 Ta Yih Industrial Co., Ltd. 194,000 386,982 # TA-I Technology Co., Ltd. 774,972 401,459 # Tah Hsin Industrial Co., Ltd. 474,000 463,077 TAI Roun Products Co., Ltd. 239,000 81,338 # Tai Tung Communication Co., Ltd. 115,000 145,861 # Taichung Commercial Bank 9,445,069 3,502,722 # TaiDoc Technology Corp. 184,000 499,391 Taiflex Scientific Co., Ltd. 865,000 1,795,190 # Taimide Tech, Inc. 446,000 366,124 Tainan Enterprises Co., Ltd. 643,370 729,313 Tainan Spinning Co., Ltd. 4,952,172 3,732,490 #* Taisun Enterprise Co., Ltd. 1,425,428 731,378 * Taita Chemical Co., Ltd. 741,951 317,403 # Taiwan Acceptance Corp. 390,480 979,656 Taiwan Calsonic Co., Ltd. 33,000 32,740 Taiwan Chinsan Electronic Industrial Co., Ltd. 378,000 613,676 Taiwan Cogeneration Corp. 1,625,566 1,006,850 Taiwan FamilyMart Co., Ltd. 20,000 108,923 Taiwan Fire & Marine Insurance Co. 1,055,338 841,821 * Taiwan Flourescent Lamp Co., Ltd. 176,000 -- Taiwan FU Hsing Industrial Co., Ltd. 670,000 752,192 Taiwan Hon Chuan Enterprise Co., Ltd. 1,216,814 2,564,838 Taiwan Hopax Chemicals Manufacturing Co., Ltd. 795,120 602,715 * Taiwan Kolin Co., Ltd. 1,356,000 -- #* Taiwan Land Development Corp. 3,367,798 1,292,605 * Taiwan Life Insurance Co., Ltd. 1,897,586 1,682,291 Taiwan Line Tek Electronic 404,529 342,368 Taiwan Mask Corp. 1,038,412 337,631 Taiwan Navigation Co., Ltd. 697,777 647,063 Taiwan Paiho, Ltd. 1,274,287 1,766,068 # Taiwan PCB Techvest Co., Ltd. 1,040,238 1,192,615 # Taiwan Prosperity Chemical Corp. 483,000 494,837 #* Taiwan Pulp & Paper Corp. 1,940,980 849,490 # Taiwan Sakura Corp. 1,398,003 904,227 Taiwan Secom Co., Ltd. 1,069,332 2,591,350 Taiwan Semiconductor Co., Ltd. 1,215,000 999,200 Taiwan Sogo Shin Kong SEC 997,278 1,239,703 * Taiwan Styrene Monomer 2,424,961 1,848,479 Taiwan Surface Mounting Technology Co., Ltd. 1,061,550 1,512,061 #* Taiwan TEA Corp. 3,021,897 2,484,886 # Taiwan Union Technology Corp. 798,000 610,326 # Taiyen Biotech Co., Ltd. 969,000 829,159 * Tang Eng Iron Works Co., Ltd. 60,000 59,644 * Tatung Co., Ltd. 10,752,015 2,980,916
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TAIWAN -- (Continued) # Te Chang Construction Co., Ltd. 392,840 $ 357,804 * Tecom Co., Ltd. 108,114 10,962 #* Tekcore Co., Ltd. 326,000 147,157 # Ten Ren Tea Co., Ltd. 187,980 278,573 Test Research, Inc. 757,821 1,031,220 Test-Rite International Co., Ltd. 1,680,495 1,308,249 ThaiLin Semiconductor Corp. 226,000 135,604 Thinking Electronic Industrial Co., Ltd. 403,204 467,606 Thye Ming Industrial Co., Ltd. 873,669 1,008,399 # Ton Yi Industrial Corp. 2,146,644 2,375,233 # Tong Hsing Electronic Industries, Ltd. 625,963 3,311,411 Tong Yang Industry Co., Ltd. 1,818,741 2,832,068 Tong-Tai Machine & Tool Co., Ltd. 932,599 894,806 Topco Scientific Co., Ltd. 691,572 1,212,344 Topco Technologies Corp. 114,000 281,428 # Topoint Technology Co., Ltd. 725,776 556,661 # Toung Loong Textile Manufacturing 373,000 1,422,277 Trade-Van Information Services Co. 239,000 217,608 # Transasia Airways Corp. 578,000 241,599 Transcend Information, Inc. 22,651 71,537 Tsann Kuen Enterprise Co., Ltd. 514,686 724,728 TSC Auto ID Technology Co., Ltd. 63,000 401,116 Ttet Union Corp. 270,000 614,875 TTFB Co., Ltd. 9,000 88,180 # TTY Biopharm Co., Ltd. 851,902 3,317,723 # Tung Ho Steel Enterprise Corp. 3,686,000 3,305,216 Tung Ho Textile Co., Ltd. 598,000 203,661 # Tung Thih Electronic Co., Ltd. 298,600 887,033 TURVO International Co., Ltd. 114,400 479,946 TXC Corp. 1,349,053 1,665,383 * TYC Brother Industrial Co., Ltd. 573,980 327,690 * Tycoons Group Enterprise 2,368,182 471,876 * Tyntek Corp. 1,563,393 382,301 TZE Shin International Co., Ltd. 336,232 135,029 # Ubright Optronics Corp. 149,500 347,806 Unic Technology Corp. 72,723 29,069 * Union Bank Of Taiwan 3,518,043 1,287,423 Unitech Computer Co., Ltd. 281,804 134,543 * Unitech Printed Circuit Board Corp. 2,859,370 1,228,111 United Integrated Services Co., Ltd. 1,093,439 1,207,420 # Unity Opto Technology Co., Ltd. 1,413,500 1,107,183 Universal Cement Corp. 1,746,191 1,603,241 * Unizyx Holding Corp. 1,809,430 941,003 UPC Technology Corp. 3,551,447 1,716,238 Userjoy Technology Co., Ltd. 74,000 122,586 USI Corp. 3,673,734 2,695,078 Ve Wong Corp. 503,696 424,853 #* Via Technologies, Inc. 794,500 649,746 Viking Tech Corp. 43,000 38,315 Visual Photonics Epitaxy Co., Ltd. 806,696 814,956 # Vivotek, Inc. 243,225 1,414,072 * Wafer Works Corp. 1,310,580 707,399
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ------------ TAIWAN -- (Continued) # Wah Hong Industrial Corp. 331,021 $ 354,994 Wah Lee Industrial Corp. 819,000 1,313,037 * Walsin Lihwa Corp. 3,797,000 1,177,028 * Walsin Technology Corp. 2,427,873 650,932 * Walton Advanced Engineering, Inc. 1,443,197 515,421 Wan Hai Lines, Ltd. 1,440,000 776,011 WAN HWA Enterprise Co. 633,992 322,786 Waterland Financial Holdings Co., Ltd. 5,334,504 1,834,816 Ways Technical Corp., Ltd. 295,000 429,707 * WEI Chih Steel Industrial Co., Ltd. 433,000 71,596 # Wei Chuan Foods Corp. 1,836,000 3,477,177 * Wei Mon Industry Co., Ltd. 1,682,282 552,311 Weikeng Industrial Co., Ltd. 957,100 709,824 Well Shin Technology Co., Ltd. 328,000 558,499 Weltrend Semiconductor 1,018,650 974,548 Win Semiconductors Corp. 2,659,000 2,345,303 #* Winbond Electronics Corp. 14,866,138 3,752,489 #* Wintek Corp. 8,975,000 3,352,494 # Wisdom Marine Lines Co., Ltd. 792,120 950,540 Wistron NeWeb Corp. 1,133,021 2,728,854 # WT Microelectronics Co., Ltd. 1,366,879 1,632,798 WUS Printed Circuit Co., Ltd. 1,582,000 711,254 X-Legend Entertainment Co., Ltd. 10,500 47,696 # XAC Automation Corp. 241,000 330,832 # Xxentria Technology Materials Corp. 587,000 1,124,718 Yageo Corp. 6,829,200 2,325,899 YC INOX Co., Ltd. 1,562,171 1,095,423 # YeaShin International Development Co., Ltd. 940,508 736,463 # Yem Chio Co., Ltd. 1,667,642 1,270,182 YFY, Inc. 6,150,212 3,263,855 * Yi Jinn Industrial Co., Ltd. 735,312 199,810 * Yieh Phui Enterprise Co., Ltd. 4,730,338 1,496,377 Young Fast Optoelectronics Co., Ltd. 617,872 678,223 # Young Optics, Inc. 264,111 552,121 # Youngtek Electronics Corp. 485,245 972,216 Yufo Electronics Co., Ltd. 98,000 64,743 Yung Chi Paint & Varnish Manufacturing Co., Ltd. 333,869 787,961 # Yungshin Construction & Development Co. 39,000 95,208 YungShin Global Holding Corp. 800,300 1,562,157 # Yungtay Engineering Co., Ltd. 1,597,000 4,686,169 Zeng Hsing Industrial Co., Ltd. 238,349 1,399,466 Zenitron Corp. 902,000 585,337 #* Zig Sheng Industrial Co., Ltd. 2,268,732 814,624 Zinwell Corp. 1,425,586 1,535,153 Zippy Technology Corp. 581,948 579,925 # ZongTai Real Estate Development Co., Ltd. 352,800 433,731 ------------ TOTAL TAIWAN 632,416,334 ------------ THAILAND -- (4.5%) AAPICO Hitech PCL 964,380 523,631 Aeon Thana Sinsap Thailand PCL 142,500 414,337 AJ Plast PCL 1,601,288 524,759
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ----------- ---------- THAILAND -- (Continued) Amarin Printing & Publishing PCL 70,600 $ 47,634 Amata Corp. PCL 4,023,200 2,210,336 AP Thailand PCL 9,955,060 1,743,135 * Apex Development PCL 3,536 -- * Asia Green Energy PCL 1,555,700 129,954 Asia Plus Securities PCL 10,379,800 1,260,583 Asian Insulators PCL 1,794,300 899,312 Bangchak Petroleum PCL 4,164,400 4,448,717 Bangkok Aviation Fuel Services PCL 1,389,217 1,138,154 Bangkok Chain Hospital PCL 8,478,437 1,729,737 Bangkok Expressway PCL 2,873,100 3,346,181 Bangkok Insurance PCL 128,701 1,529,940 Bangkok Life Assurance PCL 1,442,500 2,919,759 * Bangkok Metro PCL 44,329,600 1,566,669 * Bangkok Rubber PCL 14,600 -- Bangkokland PCL 81,318,070 4,493,721 Bumrungrad Hospital PCL 1,589,500 4,442,940 CalComp Electronics Thailand PCL 11,679,200 1,163,230 * Central Paper Industry P.L.C. 20 -- Central Plaza Hotel PCL 3,664,700 4,621,349 CH Karnchang PCL 5,788,200 4,128,451 Charoong Thai Wire & Cable PCL 1,317,400 444,424 Christiani & Nielsen Thai 417,800 95,305 Country Group Securities PCL 6,720,500 267,740 CS Loxinfo PCL 1,759,200 627,377 Delta Electronics Thailand PCL 3,559,200 5,460,299 Demco PCL 604,000 145,542 Dhipaya Insurance PCL 608,900 567,329 Diamond Building Products PCL 2,479,600 720,976 DSG International Thailand PCL 2,799,600 908,465 Dynasty Ceramic PCL 1,353,400 2,326,326 Eastern Water Resources Development and Management PCL 4,333,100 1,768,044 Electricity Generating PCL 544,900 2,240,874 Erawan Group PCL (The) 8,149,270 1,235,809 Esso Thailand PCL 11,141,600 2,505,741 * G J Steel PCL 130,617,600 293,758 * G Steel PCL (Foreign) 27,015,300 121,515 * GFPT PCL 4,603,000 1,404,932 * GMM Grammy PCL 1,791,660 892,232 * Golden Land Property Development PCL 1,978,400 495,792 * Grand Canal Land PCL 2,499,000 240,867 Gunkul Engineering PCL 2,024,500 1,066,725 Hana Microelectronics PCL 2,170,996 1,590,320 Hemaraj Land and Development PCL 33,959,700 3,796,940 ICC International PCL 204,600 262,940 * Italian-Thai Development PCL 19,673,827 3,697,731 * ITV PCL 2,785,600 93,972 Jasmine International PCL 4,221,100 1,145,969 Jaymart PCL 1,324,100 935,910 Jubilee Enterprise PCL 159,300 125,905 Kang Yong Electric PCL 23,900 190,432 KCE Electronics PCL 1,786,218 1,050,210
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ---------- THAILAND -- (Continued) KGI Securities Thailand PCL 9,781,400 $ 905,074 Khon Kaen Sugar Industry PCL 4,776,000 1,933,417 Kiatnakin Bank PCL 3,023,300 4,055,350 Laguna Resorts & Hotels PCL 197,000 205,703 Lanna Resources PCL 1,894,350 754,697 LH Financial Group PCL 26,770,146 1,143,913 Loxley PCL 7,850,565 1,200,600 LPN Development PCL(B00PXK5) 411,500 289,537 LPN Development PCL(B00Q643) 4,549,000 3,200,742 Major Cineplex Group PCL 3,105,500 1,905,704 Maybank Kim Eng Securities Thailand PCL 277,100 201,204 MBK PCL 554,700 2,673,253 MCOT PCL 2,352,600 2,626,598 * MDX PCL 463,800 151,992 Modernform Group PCL 413,900 123,671 * Muang Thai Insurance PCL 43,788 125,561 Muramoto Electron Thailand PCL 14,000 66,683 * Nation Multimedia Group PCL 14,377,900 692,911 * Natural Park PCL 51,018,000 98,348 Nava Nakorn PCL 1,715,500 139,996 Noble Development PCL 585,900 199,535 Polyplex Thailand PCL 2,300,700 753,964 Precious Shipping PCL 3,208,300 1,979,096 Premier Marketing PCL 136,500 37,716 President Rice Products PCL 3,375 4,337 Property Perfect PCL 21,874,700 766,054 Pruksa Real Estate PCL 7,084,800 5,076,017 Quality Houses PCL 33,101,508 3,233,047 * Raimon Land PCL 13,557,900 544,494 * Regional Container Lines PCL 2,243,400 475,709 Robinson Department Store PCL 101,625 172,232 Rojana Industrial Park PCL 5,372,000 1,320,347 RS PCL 3,358,700 922,631 Saha Pathana Inter-Holding PCL 680,300 485,226 Saha-Union PCL 746,600 911,512 * Sahaviriya Steel Industries PCL 74,435,600 884,857 Samart Corp. PCL 3,447,700 2,237,543 Samart I-Mobile PCL 11,322,300 1,244,089 Samart Telcoms PCL 2,212,100 1,201,108 Sansiri PCL 33,810,908 2,433,299 SC Asset Corp PCL 14,046,225 1,696,829 SE Education PCL 168,069 26,999 * Siam Commercial Samaggi Insurance PCL (The) 65,700 46,439 Siam Future Development PCL 6,419,521 1,371,560 Siam Global House PCL 6,084,983 3,734,078 Siamgas & Petrochemicals PCL 2,476,700 1,098,103 Singer Thailand PCL 386,400 255,738 Sino Thai Engineering & Construction PCL 5,251,500 3,914,371 SNC Former PCL 869,400 550,271 Somboon Advance Technology PCL 1,715,637 903,982 * SPCG PCL 2,243,900 1,658,143 Sri Ayudhya Capital PCL 27,000 20,472
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- ------------ THAILAND -- (Continued) Sri Trang Agro-Industry PCL 4,616,690 $ 2,002,420 Srithai Superware PCL 992,900 586,967 STP & I PCL 5,087,440 3,318,073 Supalai PCL 5,976,633 3,398,760 Susco PCL 849,100 102,028 * SVI PCL 7,584,900 901,659 Symphony Communication PCL 414,300 170,379 * Tata Steel Thailand PCL 18,704,100 510,795 Thai Airways International PCL(6364971) 141,400 92,222 Thai Airways International PCL(6888868) 6,320,600 4,122,351 Thai Carbon Black PCL 504,600 363,961 Thai Central Chemical PCL 194,300 174,792 Thai Factory Development PCL 5,343,780 1,528,021 Thai Metal Trade PCL 583,600 215,627 Thai Rayon PCL 9,400 9,060 * Thai Reinsurance PCL(6609995) 833,200 105,472 * Thai Reinsurance PCL(6609575) 6,335,500 801,988 Thai Rung Union Car PCL 655,100 144,175 Thai Stanley Electric PCL 206,600 1,526,683 Thai Steel Cable PCL 3,400 1,759 Thai Tap Water Supply PCL 12,968,800 4,291,683 Thai Vegetable Oil PCL 2,939,475 1,718,826 Thai Wacoal PCL 78,000 123,108 Thai-German Ceramic PCL 3,855,000 421,108 Thaicom PCL 3,837,200 4,900,521 Thanachart Capital PCL 4,752,800 5,268,164 Thitikorn PCL 742,400 274,300 * Thoresen Thai Agencies PCL 3,744,920 2,129,641 Ticon Industrial Connection PCL 3,708,187 2,120,666 Tipco Asphalt PCL 684,790 1,309,076 * TIPCO Foods PCL 1,278,482 386,112 Tisco Financial Group PCL(B3KFW10) 677,900 958,316 Tisco Financial Group PCL(B3KFW76) 2,220,100 3,138,455 Toyo-Thai Corp. PCL(B5ML0B6) 347,500 429,839 Toyo-Thai Corp. PCL(B5ML0D8) 1,290,600 1,596,405 TPI Polene PCL 7,578,660 3,141,035 * Tycoons Worldwide Group Thailand PCL 764,600 104,649 Union Mosaic Industry PCL 3,273,200 1,083,179 Unique Engineering & Construction PCL 3,212,300 846,293 Univanich Palm Oil PCL 939,000 322,805 Univentures PCL 7,086,000 1,764,386 Vanachai Group PCL 3,287,866 295,776 Vibhavadi Medical Center PCL 3,907,320 1,255,364 Vinythai PCL 2,792,934 1,049,874 Workpoint Entertainment PCL 827,100 876,925 ------------ TOTAL THAILAND 202,541,380 ------------ TURKEY -- (3.1%) Adana Cimento Sanayii TAS Class A 457,995 938,235 # Adel Kalemcilik Ticaret ve Sanayi A.S. 22,284 652,480 #* Adese Alisveris Merkezleri Ticaret A.S. 39,999 176,012 Akcansa Cimento A.S. 429,680 2,400,072
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TURKEY -- (Continued) #* Akenerji Elektrik Uretim A.S. 1,856,419 $1,243,516 #* Akfen Holding A.S. 747,158 1,620,930 * AKIS Gayrimenkul Yatirimi A.S. 45,283 71,382 # Aksa Akrilik Kimya Sanayii 843,653 3,479,617 Aksigorta A.S. 995,287 1,384,876 * Aktas Elektrik Ticaret A.S. 370 -- Alarko Holding A.S. 682,424 2,018,964 #* Albaraka Turk Katilim Bankasi A.S. 2,591,157 2,305,314 * Altinyildiz Mensucat ve Konfeksiyon Fabrikalari A.S. 110,344 2,748,250 * Anadolu Anonim Tuerk Sigorta Sirketi 1,799,570 1,188,721 Anadolu Cam Sanayii A.S. 981,166 1,191,427 Anadolu Hayat Emeklilik A.S. 737,241 1,806,245 #* Anadolu Isuzu Otomotiv Sanayi Ve Ticaret A.S. 42,525 438,461 Aselsan Elektronik Sanayi Ve Ticaret A.S. 1 4 #* Asya Katilim Bankasi A.S. 5,934,410 6,012,532 # Aygaz A.S. 124,525 566,850 # Bagfas Bandirma Gubre Fabrik 34,971 734,053 * Banvit Bandirma Vitaminli Yem Sanayii ASA 297,934 432,482 #* Baticim Bati Anadolu Cimento Sanayii A.S. 263,956 871,916 #* Besiktas Futbol Yatirimlari Sanayi ve Ticaret A.S. 885,060 1,049,360 Bizim Toptan Satis Magazalari A.S. 181,001 2,172,691 Bolu Cimento Sanayii A.S. 514,692 734,958 Borusan Mannesmann Boru Sanayi ve Ticaret A.S. 89,035 1,463,975 #* Bosch Fren Sistemleri 989 69,180 * Boyner Buyuk Magazacilik 31,905 153,152 Brisa Bridgestone Sabanci Sanayi ve Ticaret A.S. 219,974 646,288 Bursa Cimento Fabrikasi A.S. 207,615 459,793 Celebi Hava Servisi A.S. 45,555 326,140 Cimsa Cimento Sanayi VE Tica 457,606 2,959,297 #* Deva Holding A.S. 683,187 720,423 Dogan Gazetecilik A.S. 59,365 48,385 * Dogan Sirketler Grubu Holding A.S. 6,403,075 2,881,196 #* Dogan Yayin Holding A.S. 4,269,738 1,470,815 Dogus Otomotiv Servis ve Ticaret A.S. 595,613 2,851,653 * Dyo Boya Fabrikalari Sanayi ve Ticaret A.S. 491,290 441,501 * Eczacibasi Yapi Gerecleri Sanayi ve Ticaret A.S. 265,518 580,955 # Eczacibasi Yatirim Holding Ortakligi A.S. 354,065 1,136,202 EGE Seramik Sanayi ve Ticaret A.S. 652,859 875,867 EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret A.S. 1,950,686 2,468,634 Fenerbahce Futbol A.S. 12,739 222,230 #* Galatasaray Sportif Sinai ve Ticari Yatirimlar A.S. 25,537 403,382 Gentas Genel Metal Sanayi ve Ticaret A.S. 463,448 268,962 Global Yatirim Holding A.S. 2,001,945 1,381,570 Goldas Kuyumculuk Sanayi Ithalat ve Ihracat A.S. 8,540 898 Goltas Goller Bolgesi Cimento Sanayi ve Ticaret A.S. 46,627 1,332,926 Goodyear Lastikleri TAS 37,464 1,174,251 * Gozde Girisim Sermayesi Yatirim Ortakligi A.S. 389,125 1,173,303 #* GSD Holding 2,411,631 1,517,914 #* Gubre Fabrikalari TAS 203,105 1,697,656 * Gunes Sigorta 330,927 312,944 #* Hurriyet Gazetecilik A.S. 1,130,609 428,780 #* Ihlas Holding A.S. 6,179,444 2,287,018
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ --------- ---------- TURKEY -- (Continued) #* Ihlas Madencilik A.S. 111,106 $ 398,843 # Indeks Bilgisayar Sistemleri Muhendislik Sanayi ve Ticaret A.S. 82,829 167,842 #* Ipek Dogal Enerji Kaynaklari Ve Uretim A.S. 1,329,455 3,366,422 * Is Finansal Kiralama A.S. 951,417 466,334 Is Yatirim Menkul Degerler A.S. Class A 254,709 183,634 * Isiklar Yatirim Holding A.S. 237,725 63,125 #* Izmir Demir Celik Sanayi A.S. 545,301 752,347 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class A 1,448,775 1,401,534 #* Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class B 692,748 1,502,353 * Kardemir Karabuk Demir Celik Sanayi ve Ticaret A.S. Class D 6,197,721 3,892,861 #* Karsan Otomotiv Sanayii Ve Ticaret A.S. 1,639,695 972,048 # Kartonsan Karton Sanayi ve Ticaret A.S. 8,767 1,104,640 #* Kerevitas Gida Sanayi ve Ticaret A.S. 5,801 105,368 # Konya Cimento Sanayii A.S. 8,645 1,255,985 Kordsa Global Endustriyel Iplik ve Kord Bezi Sanayi ve Ticaret A.S. 116,486 211,234 * Koza Anadolu Metal Madencilik Isletmeleri A.S. 1,427,863 3,098,545 Mardin Cimento Sanayii ve Ticaret A.S. 285,454 649,199 #* Marshall Boya ve Vernik 28,715 638,715 * Menderes Tekstil Sanayi ve Ticaret A.S. 831,656 220,153 * Metro Ticari ve Mali Yatirimlar Holding A.S. 1,233,710 413,360 * Migros Ticaret A.S. 218,349 1,940,004 * Milpa 38,030 33,409 * Mondi Tire Kutsan Kagit Ve Ambalaj Sanayii A.S. 149,549 88,188 * Mudurnu Tavukculuk A.S. 1,740 -- Mutlu Aku ve Malzemeleri Sanayi AS 110,210 399,561 * Mutlu Yatirim Proje ve Gayrimenkul Gelistirme AS 2,459 31,436 * Nergis Holding A.S. 1,784 -- # NET Holding A.S. 1,387,517 1,655,180 #* Net Turizm Ticaret ve Sanayi SA 1,076,216 473,323 # Netas Telekomunikasyon A.S. 216,273 804,112 Nuh Cimento Sanayi A.S. 339,327 1,906,175 Otokar Otomotiv Ve Savunma Sanayi A.S. 107,742 3,478,397 * Park Elektrik Uretim Madencilik Sanayi ve Ticaret A.S. 546,545 1,577,345 #* Petkim Petrokimya Holding A.S. 4,055,738 6,384,172 Pinar Entegre Et ve Un Sanayi A.S. 139,619 538,124 Pinar SUT Mamulleri Sanayii A.S. 130,977 1,134,714 #* Polyester Sanayi A.S. 756,712 419,652 * Raks Elektronik Sanayi ve Ticaret A.S. 2,730 -- * Reysas Tasimacilik ve Lojistik Ticaret A.S. 1 -- Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret A.S. 248,999 380,441 * Sekerbank TAS 2,761,333 2,612,670 # Selcuk Ecza Deposu Ticaret ve Sanayi A.S. 1,289,594 1,283,231 Soda Sanayii A.S. 987,383 1,304,438 * TAT Konserve Sanayii A.S. 638,808 817,418 TAV Havalimanlari Holding A.S. 12,381 89,585 Tekfen Holding A.S. 1,158,399 2,786,245 * Teknosa Ic Ve Dis Ticaret A.S. 15,820 104,413 #* Tekstil Bankasi A.S. 1,337,315 1,029,098 Tofas Turk Otomobil Fabrikasi A.S. 1 7 # Trakya Cam Sanayi A.S. 2,590,405 3,208,551 Turcas Petrol A.S. 628,196 985,591 Turk Traktor ve Ziraat Makineleri A.S. 124,115 4,083,247
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ---------- -------------- TURKEY -- (Continued) Turkiye Sinai Kalkinma Bankasi A.S. 5,576,356 $ 5,430,780 Ulker Biskuvi Sanayi A.S. 463,570 3,536,212 * Uzel Makina Sanayii A.S. 172,635 -- #* Vestel Beyaz Esya Sanayi ve Ticaret A.S. 464,135 689,379 #* Vestel Elektronik Sanayi ve Ticaret A.S. 1,090,031 1,116,094 * Yapi Kredi Sigorta A.S. 194,413 1,830,802 #* Zorlu Enerji Elektrik Uretim A.S. 1,483,938 979,452 -------------- TOTAL TURKEY 141,990,626 -------------- TOTAL COMMON STOCKS 3,995,438,691 -------------- PREFERRED STOCKS -- (1.3%) BRAZIL -- (1.3%) Alpargatas SA 907,380 6,253,160 Banco ABC Brasil SA 578,128 3,557,544 Banco Alfa de Investimento SA 2,600 6,567 Banco Daycoval SA 328,827 1,308,253 Banco do Estado do Rio Grande do Sul SA Class B 712,347 5,131,415 Banco Industrial e Comercial SA 484,320 1,621,438 Banco Indusval SA 11,800 31,962 Banco Mercantil do Brasil SA 8,069 39,689 * Banco Panamericano SA 1,003,800 2,370,712 Banco Pine SA 181,035 849,921 Banco Sofisa SA 92,600 114,140 Bardella SA Industrias Mecanicas 500 11,334 * Battistella Adm Participacoes SA 35,500 15,676 * Bombril SA 4,300 11,951 * Centrais Eletricas de Santa Catarina SA 78,000 621,219 Cia de Gas de Sao Paulo Class A 128,087 3,392,391 Cia de Saneamento do Parana 185,001 569,762 * Cia de Tecidos do Norte de Minas - Coteminas 2 2 * Cia de Transmissao de Energia Eletrica Paulista 81,500 1,162,590 Cia Energetica de Sao Paulo Class B 276,200 2,883,380 Cia Energetica do Ceara Class A 188,311 3,316,160 Cia Ferro Ligas da Bahia - Ferbasa 286,249 1,749,517 Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 995,500 4,428,846 * Empresa Metropolitana de Aguas e Energia SA 23,900 61,158 Energisa SA 71,200 72,559 Eucatex SA Industria e Comercio 206,827 620,177 Forjas Taurus SA 553,232 532,798 Fras-Le Middle East Class A 30,300 74,747 * Gol Linhas Aereas Inteligentes SA 176,800 891,162 * Inepar SA Industria e Construcoes 248,468 123,944 Marcopolo SA 3,359,100 8,659,771 Parana Banco SA 52,900 336,812 Randon Participacoes SA 1,174,526 6,661,139 Saraiva SA Livreiros Editores 167,673 2,128,518 Schulz SA 9,000 43,397 * Sharp SA Equipamentos Eletronicos 30,200,000 -- Unipar Participacoes SA Class B 2,790,948 595,865
THE EMERGING MARKETS SMALL CAP SERIES CONTINUED
Shares Value++ ----------- -------------- BRAZIL -- (Continued) Whirlpool SA 139,716 $ 273,228 -------------- TOTAL BRAZIL 60,522,904 -------------- CHILE -- (0.0%) Coca-Cola Embonor SA Class B 8,190 20,680 -------------- COLOMBIA -- (0.0%) Avianca Holdings SA 118,433 265,674 -------------- TOTAL PREFERRED STOCKS 60,809,258 -------------- RIGHTS/WARRANTS -- (0.0%) BRAZIL -- (0.0%) * Cia de Saneamento do Parana Rights 11/19/13 27,940 -- * LLX Logistica SA Rights 11/12/13 279,761 2,498 * Refinaria de Petroleos de Manguinhos SA Rights 01/02/14 50,052 1,564 -------------- TOTAL BRAZIL 4,062 -------------- CHILE -- (0.0%) * Salfacorp SA Rights 11/08/13 158,270 93 -------------- MALAYSIA -- (0.0%) * Malaysian Resources Corp. Bhd Warrants 09/16/18 2,745,965 221,901 -------------- POLAND -- (0.0%) * Polimex-Mostostal SA Rights 2,699,832 -- -------------- SOUTH KOREA -- (0.0%) * Hanwha General Insurance Co., Ltd. Rights 11/08/13 59,982 16,964 * Hyundai Merchant Marine Co., Ltd. Rights 11/05/13 16,952 -- -------------- TOTAL SOUTH KOREA 16,964 -------------- THAILAND -- (0.0%) * G J Steel PCL Rights 02/07/20 5,379,492 34,567 -------------- TOTAL RIGHTS/WARRANTS 277,587 -------------- Shares/ Face Amount (000) Value+ ----------- -------------- SECURITIES LENDING COLLATERAL -- (10.9%) (S)@ DFA Short Term Investment Fund 42,610,199 493,000,000 @ Repurchase Agreement, Deutsche Bank Securities, Inc. 0.12%, 11/01/13 (Collateralized by $943,517 FNMA, rates ranging from 2.500% to 4.500%, maturities ranging from 04/01/27 to 10/01/43, valued at $853,240) to be repurchased at $836,513 $ 837 836,510 -------------- TOTAL SECURITIES LENDING COLLATERAL 493,836,510 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $4,088,232,390) $4,550,362,046 ==============
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES SCHEDULE OF INVESTMENTS October 31, 2013
Shares Value+ --------- ------------ COMMON STOCKS -- (95.6%) Consumer Discretionary -- (18.1%) * 1-800-Flowers.com, Inc. Class A 44,330 $ 240,712 # AH Belo Corp. Class A 14,556 117,030 * ALCO Stores, Inc. 700 7,714 Arctic Cat, Inc. 3,436 180,046 #* Ascent Capital Group, Inc. Class A 8,564 722,973 # Autoliv, Inc. 9,404 839,119 * Ballantyne Strong, Inc. 9,030 45,060 #* Barnes & Noble, Inc. 12,200 172,386 Bassett Furniture Industries, Inc. 2,900 40,600 # Beasley Broadcasting Group, Inc. Class A 9,471 82,114 #* Beazer Homes USA, Inc. 12,516 227,416 # bebe stores, Inc. 19,551 117,893 Belo Corp. Class A 62,627 859,869 Best Buy Co., Inc. 197,800 8,465,840 Big 5 Sporting Goods Corp. 8,501 160,754 * Biglari Holdings, Inc. 1,953 851,547 # Bob Evans Farms, Inc. 52,387 2,990,774 # Bon-Ton Stores, Inc. (The) 2,986 34,190 #* Books-A-Million, Inc. 14,887 37,366 Brown Shoe Co., Inc. 74,697 1,676,201 * Build-A-Bear Workshop, Inc. 25,874 203,370 #* Cabela's, Inc. 53,051 3,146,985 * Cache, Inc. 26,610 160,458 Callaway Golf Co. 122,359 1,031,486 * Cambium Learning Group, Inc. 37,733 55,090 Canterbury Park Holding Corp. 2,755 31,159 Carnival Corp. 489,649 16,966,338 Carriage Services, Inc. 20,916 420,202 #* Cavco Industries, Inc. 7,600 445,132 CBS Corp. Class A 28,263 1,670,626 CBS Corp. Class B 201,625 11,924,102 * Christopher & Banks Corp. 56,231 324,453 Churchill Downs, Inc. 7,682 659,961 * Citi Trends, Inc. 3,415 50,132 * Coast Distribution System (The) 547 1,884 Columbia Sportswear Co. 4,317 288,678 Comcast Corp. Class A 3,446,875 164,002,312 Comcast Corp. Special Class A 1,088,341 50,390,188 #* Conn's, Inc. 25,450 1,538,198 Core-Mark Holding Co., Inc. 24,059 1,701,693 * Corinthian Colleges, Inc. 36,345 77,778 CSS Industries, Inc. 13,050 337,865 # CST Brands, Inc. 54,449 1,755,436 Culp, Inc. 10,036 194,197 #* dELiA*s, Inc. 22,143 30,557 #* Delta Apparel, Inc. 7,532 142,355 Destination Maternity Corp. 200 6,248 * Destination XL Group, Inc. 15,601 108,427 # DeVry, Inc. 6,079 218,236 * Digital Generation, Inc. 8,748 110,662 Dillard's, Inc. Class A 120,300 9,862,194
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ----------- Consumer Discretionary -- (Continued) * Discovery Communications, Inc. Class B 3,762 $ 332,373 * Dixie Group, Inc. (The) 11,800 148,680 # Dorman Products, Inc. 20,712 1,006,810 Dover Downs Gaming & Entertainment, Inc. 5,935 8,962 Dover Motorsports, Inc. 15,098 35,631 # DR Horton, Inc. 208,125 3,943,969 #* DreamWorks Animation SKG, Inc. Class A 46,429 1,589,729 #* Education Management Corp. 13,202 201,991 Educational Development Corp. 1,679 4,802 Escalade, Inc. 277 2,443 #* EW Scripps Co. Class A 41,061 813,829 #* Federal-Mogul Corp. 38,585 790,607 #* Flanigan's Enterprises, Inc. 865 9,584 # Flexsteel Industries, Inc. 2,068 56,787 Foot Locker, Inc. 15,700 544,790 Fred's, Inc. Class A 47,275 765,855 Frisch's Restaurants, Inc. 600 14,442 * Fuel Systems Solutions, Inc. 3,398 61,028 #* Full House Resorts, Inc. 2,574 7,079 * G-III Apparel Group, Ltd. 11,394 646,268 * Gaiam, Inc. Class A 5,988 37,545 # GameStop Corp. Class A 104,752 5,742,505 Gaming Partners International Corp. 500 4,150 Gannett Co., Inc. 119,639 3,310,411 * General Motors Co. 674,707 24,930,424 #* Genesco, Inc. 6,456 439,718 #* Gray Television, Inc. 46,874 396,085 # Group 1 Automotive, Inc. 57,936 3,707,904 * Hallwood Group, Inc. (The) 296 2,828 Harte-Hanks, Inc. 12,432 99,083 # Hastings Entertainment, Inc. 300 618 # Haverty Furniture Cos., Inc. 33,479 931,051 * Helen of Troy, Ltd. 64,389 3,008,254 #* hhgregg, Inc. 36,388 564,378 * Hollywood Media Corp. 19,037 35,599 # Hooker Furniture Corp. 14,814 234,061 * Hyatt Hotels Corp. Class A 12,101 576,008 #* Iconix Brand Group, Inc. 95,618 3,450,854 International Speedway Corp. Class A 24,844 812,647 * Isle of Capri Casinos, Inc. 15,434 125,170 # JAKKS Pacific, Inc. 13,103 84,383 * Jarden Corp. 162,075 8,972,472 #* JC Penney Co., Inc. 85,215 639,113 Johnson Outdoors, Inc. Class A 15,588 427,579 Jones Group, Inc. (The) 103,143 1,602,842 * Journal Communications, Inc. Class A 77,674 648,578 # KB Home 30,800 522,676 * Kid Brands, Inc. 9,776 13,638 Kohl's Corp. 14,353 815,250 La-Z-Boy, Inc. 56,332 1,300,143 * Lakeland Industries, Inc. 11,757 63,841 #* Lee Enterprises, Inc. 38,128 104,852
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ----------- Consumer Discretionary -- (Continued) # Lennar Corp. Class A 224,100 $ 7,966,755 Lennar Corp. Class B 7,868 231,870 * Liberty Interactive Corp. Class A 882,463 23,791,202 #* Liberty Interactive Corp. Class B 35,706 963,348 * Liberty Media Corp. Class A 96,383 14,737,925 * Liberty Media Corp. Class B 7,622 1,149,169 * Liberty Ventures Series A 38,401 4,123,115 * Liberty Ventures Series B 1,785 192,584 #* Life Time Fitness, Inc. 13,317 604,858 Lifetime Brands, Inc. 16,431 257,309 Lithia Motors, Inc. Class A 34,933 2,195,539 * Live Nation Entertainment, Inc. 145,347 2,825,546 Loral Space & Communications, Inc. 26,050 1,859,188 Lowe's Cos., Inc. 139,546 6,946,600 * Luby's, Inc. 44,415 340,219 #* M/I Homes, Inc. 37,930 776,427 Mac-Gray Corp. 13,104 276,232 * Madison Square Garden Co. (The) Class A 29,558 1,788,850 Marcus Corp. 18,899 271,390 * MarineMax, Inc. 29,164 429,586 * Marriott Vacations Worldwide Corp. 662 33,153 * Martha Stewart Living Omnimedia Class A 980 2,509 Matthews International Corp. Class A 3,202 130,001 #* McClatchy Co. (The) Class A 60,603 170,900 MDC Holdings, Inc. 18,400 537,096 #* Media General, Inc. Class A 25,196 367,358 Men's Wearhouse, Inc. (The) 52,860 2,235,978 # Meredith Corp. 32,676 1,676,279 * Meritage Homes Corp. 28,156 1,278,001 #* MGM Resorts International 251,100 4,780,944 * Modine Manufacturing Co. 14,650 195,138 * Mohawk Industries, Inc. 98,740 13,075,151 * Monarch Casino & Resort, Inc. 1,103 18,652 * Motorcar Parts of America, Inc. 13,074 178,852 Movado Group, Inc. 36,900 1,720,647 * MTR Gaming Group, Inc. 24,536 127,587 * Multimedia Games Holding Co., Inc. 23,224 755,012 * Murphy USA, Inc. 47,356 1,921,706 NACCO Industries, Inc. Class A 6,832 389,219 * New York & Co., Inc. 6,926 35,461 * News Corp. Class A 402,247 7,079,547 * News Corp. Class B 99,903 1,791,261 * Office Depot, Inc. 94,997 531,033 OfficeMax, Inc. 32,198 482,326 * Orient-Express Hotels, Ltd. Class A 75,198 1,000,885 #* Pacific Sunwear of California, Inc. 43,900 118,091 * Penn National Gaming, Inc. 63,446 3,712,225 Penske Automotive Group, Inc. 43,845 1,737,139 * Pep Boys-Manny Moe & Jack (The) 75,098 971,768 * Perfumania Holdings, Inc. 537 2,497 Perry Ellis International, Inc. 21,492 408,563 #* Pinnacle Entertainment, Inc. 71,930 1,683,162
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Consumer Discretionary -- (Continued) PulteGroup, Inc. 143,221 $ 2,527,851 PVH Corp. 31,964 3,981,755 #* Quiksilver, Inc. 74,010 615,763 #* Radio One, Inc. Class D 13,955 41,865 #* RadioShack Corp. 46,847 131,640 * Red Lion Hotels Corp. 8,907 53,620 * Red Robin Gourmet Burgers, Inc. 31,175 2,374,911 # Regis Corp. 54,292 787,234 # Rent-A-Center, Inc. 76,435 2,617,134 #* Rick's Cabaret International, Inc. 12,026 135,774 Rocky Brands, Inc. 8,729 132,332 Royal Caribbean Cruises, Ltd. 322,500 13,557,900 * Ruby Tuesday, Inc. 70,361 417,241 Saga Communications, Inc. Class A 8,693 413,874 #* Saks, Inc. 95,502 1,527,077 Salem Communications Corp. Class A 10,922 90,216 # Scholastic Corp. 30,900 886,521 * Scientific Games Corp. Class A 41,635 761,088 #* Sears Holdings Corp. 70,001 4,065,658 Service Corp. International/US 274,069 4,935,983 Shiloh Industries, Inc. 24,793 407,101 # Shoe Carnival, Inc. 33,450 869,365 * Skechers U.S.A., Inc. Class A 49,610 1,445,635 Spartan Motors, Inc. 16,820 114,208 Speedway Motorsports, Inc. 52,187 952,935 * Sport Chalet, Inc. Class A 875 1,006 * Sport Chalet, Inc. Class B 299 387 # Stage Stores, Inc. 53,575 1,106,324 # Standard Motor Products, Inc. 37,342 1,350,287 * Stanley Furniture Co., Inc. 15,798 61,454 # Staples, Inc. 497,525 8,020,103 * Starz Class A 96,383 2,905,947 * Starz Class B 7,622 230,337 # Stein Mart, Inc. 22,915 338,455 * Steiner Leisure, Ltd. 2,225 124,645 # Stewart Enterprises, Inc. Class A 85,569 1,130,366 * Stoneridge, Inc. 19,361 247,046 # Strattec Security Corp. 5,224 211,676 Superior Industries International, Inc. 37,089 695,419 Superior Uniform Group, Inc. 8,978 135,568 Systemax, Inc. 11,750 111,625 #* Tandy Leather Factory, Inc. 500 4,150 Time Warner Cable, Inc. 693,942 83,377,131 Time Warner, Inc. 1,534,860 105,506,276 #* Toll Brothers, Inc. 203,299 6,684,471 Trans World Entertainment Corp. 5,781 25,032 #* Tuesday Morning Corp. 60,500 856,075 Twenty-First Century Fox, Inc. Class A 1,287,383 43,874,013 Twenty-First Century Fox, Inc. Class B 550,972 18,733,048 * Unifi, Inc. 43,422 1,059,063 * Universal Electronics, Inc. 3,206 124,745 Vail Resorts, Inc. 11,600 817,220
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Consumer Discretionary -- (Continued) * Valuevision Media, Inc. Class A 3,998 $ 21,349 #* VOXX International Corp. 24,496 379,933 Walt Disney Co. (The) 26,220 1,798,430 # Washington Post Co. (The) Class B 5,780 3,718,390 # Wendy's Co. (The) 242,704 2,109,098 * West Marine, Inc. 26,468 323,174 #* Wet Seal, Inc. (The) Class A 13,619 45,079 Whirlpool Corp. 30,049 4,387,454 Wyndham Worldwide Corp. 144,114 9,569,170 * Zale Corp. 23,799 371,978 ------------ Total Consumer Discretionary 825,492,783 ------------ Consumer Staples -- (7.0%) Alico, Inc. 960 38,362 * Alliance One International, Inc. 35,084 104,199 Andersons, Inc. (The) 15,774 1,170,115 Archer-Daniels-Midland Co. 813,476 33,271,168 Beam, Inc. 131,553 8,853,517 * Boulder Brands, Inc. 76,099 1,247,263 Bunge, Ltd. 121,368 9,967,954 # CCA Industries, Inc. 8,323 25,718 #* Central Garden and Pet Co. 25,184 191,147 * Central Garden and Pet Co. Class A 54,453 400,774 #* Chiquita Brands International, Inc. 69,284 717,089 * Constellation Brands, Inc. Class A 249,042 16,262,443 * Constellation Brands, Inc. Class B 12,715 815,095 * Craft Brew Alliance, Inc. 9,754 158,210 CVS Caremark Corp. 1,510,745 94,058,984 * Dole Food Co., Inc. 19,567 265,133 * Farmer Bros Co. 6,695 120,912 Fresh Del Monte Produce, Inc. 39,437 1,048,630 # Griffin Land & Nurseries, Inc. 1,500 49,500 #* Hain Celestial Group, Inc. (The) 43,646 3,632,657 Ingles Markets, Inc. Class A 11,437 295,189 Ingredion, Inc. 62,117 4,084,814 JM Smucker Co. (The) 108,204 12,033,367 John B Sanfilippo & Son, Inc. 10,428 256,320 Kraft Foods Group, Inc. 214,436 11,661,030 * Mannatech, Inc. 717 16,914 MGP Ingredients, Inc. 4,788 25,328 Molson Coors Brewing Co. Class A 1,908 105,121 Molson Coors Brewing Co. Class B 186,550 10,073,700 Mondelez International, Inc. Class A 2,081,099 70,008,170 Nash Finch Co. 1,082 30,361 Nutraceutical International Corp. 14,615 351,491 # Oil-Dri Corp. of America 5,047 179,118 * Omega Protein Corp. 25,852 241,975 * Pantry, Inc. (The) 22,475 300,940 * Post Holdings, Inc. 50,201 2,156,133 * Prestige Brands Holdings, Inc. 111,489 3,481,801 Safeway, Inc. 157,807 5,507,464 Sanderson Farms, Inc. 16,100 1,017,681
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Consumer Staples -- (Continued) Seaboard Corp. 1,812 $ 4,946,760 * Seneca Foods Corp. Class A 6,301 184,745 * Seneca Foods Corp. Class B 300 8,850 Snyders-Lance, Inc. 28,337 849,827 # Spartan Stores, Inc. 32,983 776,090 Spectrum Brands Holdings, Inc. 46,130 3,040,890 #* Susser Holdings Corp. 12,360 677,822 * TreeHouse Foods, Inc. 22,732 1,665,346 Tyson Foods, Inc. Class A 405,030 11,207,180 # Universal Corp. 22,290 1,182,039 Weis Markets, Inc. 11,602 593,674 ------------ Total Consumer Staples 319,359,010 ------------ Energy -- (15.2%) Adams Resources & Energy, Inc. 6,004 310,827 # Alon USA Energy, Inc. 33,484 404,487 #* Alpha Natural Resources, Inc. 170,794 1,195,558 Anadarko Petroleum Corp. 845,068 80,526,530 Apache Corp. 289,715 25,726,692 #* Approach Resources, Inc. 6,883 193,756 # Arch Coal, Inc. 60,743 257,550 #* Atwood Oceanics, Inc. 4,600 244,398 Baker Hughes, Inc. 84,672 4,918,596 * Barnwell Industries, Inc. 8,038 28,535 #* Bill Barrett Corp. 51,500 1,425,005 Bolt Technology Corp. 9,574 171,279 Bristow Group, Inc. 43,589 3,507,607 #* C&J Energy Services, Inc. 37,416 862,065 Cabot Oil & Gas Corp. 568 20,062 * Callon Petroleum Co. 5,219 35,646 # Chesapeake Energy Corp. 624,655 17,465,354 Chevron Corp. 668,412 80,182,703 * Cloud Peak Energy, Inc. 33,115 516,925 # Comstock Resources, Inc. 32,421 554,723 ConocoPhillips 1,766,829 129,508,566 Contango Oil & Gas Co. 1,064 45,604 * Dawson Geophysical Co. 17,055 498,688 Delek US Holdings, Inc. 52,256 1,335,141 * Denbury Resources, Inc. 289,460 5,496,845 Devon Energy Corp. 42,463 2,684,511 * Double Eagle Petroleum Co. 7,844 21,806 * Emerald Oil, Inc. 32,065 278,965 #* Endeavour International Corp. 4,300 25,542 EOG Resources, Inc. 6,045 1,078,428 * EPL Oil & Gas, Inc. 27,489 876,349 * Era Group, Inc. 36,653 1,158,235 #* Exterran Holdings, Inc. 69,200 1,975,660 # Green Plains Renewable Energy, Inc. 26,534 427,993 Gulf Island Fabrication, Inc. 15,018 378,754 Gulfmark Offshore, Inc. Class A 35,505 1,767,439 #* Harvest Natural Resources, Inc. 48,645 243,225 * Helix Energy Solutions Group, Inc. 103,010 2,437,217
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ----------- Energy -- (Continued) # Helmerich & Payne, Inc. 108,670 $ 8,427,358 * Hercules Offshore, Inc. 107,413 730,408 Hess Corp. 378,130 30,704,156 * HKN, Inc. 564 42,018 HollyFrontier Corp. 7,105 327,256 * Hornbeck Offshore Services, Inc. 29,719 1,642,569 #* James River Coal Co. 10,139 19,467 #* Key Energy Services, Inc. 49,745 389,006 Knightsbridge Tankers, Ltd. 14,861 122,455 #* Magnum Hunter Resources Corp. 82,198 586,072 Marathon Oil Corp. 903,937 31,872,819 Marathon Petroleum Corp. 451,968 32,388,027 * Matador Resources Co. 6,400 117,824 * Matrix Service Co. 15,423 320,644 * McDermott International, Inc. 63,698 450,345 Murphy Oil Corp. 189,426 11,426,176 Nabors Industries, Ltd. 272,782 4,768,229 National Oilwell Varco, Inc. 250,948 20,371,959 * Natural Gas Services Group, Inc. 15,026 420,578 * Newfield Exploration Co. 40,262 1,225,978 #* Newpark Resources, Inc. 97,395 1,241,786 Noble Corp. 74,243 2,798,961 Noble Energy, Inc. 133,794 10,025,184 #* Northern Oil and Gas, Inc. 16,372 268,992 Occidental Petroleum Corp. 32,222 3,095,890 #* Overseas Shipholding Group, Inc. 2,355 8,125 * Parker Drilling Co. 142,573 1,026,526 # Patterson-UTI Energy, Inc. 152,325 3,695,404 * PDC Energy, Inc. 24,103 1,634,424 * Penn Virginia Corp. 35,279 300,224 * PHI, Inc.(69336T106) 1,099 41,344 * PHI, Inc.(69336T205) 21,843 869,788 Phillips 66 883,414 56,918,364 * Pioneer Energy Services Corp. 98,221 825,056 Pioneer Natural Resources Co. 88,400 18,102,552 QEP Resources, Inc. 33,043 1,092,402 * Renewable Energy Group, Inc. 2,882 31,443 * REX American Resources Corp. 4,050 116,802 #* Rex Energy Corp. 35,100 754,650 * Rowan Cos. P.L.C. Class A 121,858 4,396,637 # SEACOR Holdings, Inc. 36,653 3,584,663 SemGroup Corp. Class A 4,727 285,464 # Ship Finance International, Ltd. 40,467 669,729 * Stone Energy Corp. 1,115 38,869 * Superior Energy Services, Inc. 72,294 1,939,648 #* Swift Energy Co. 34,900 478,828 # Teekay Corp. 37,720 1,638,180 * Tesco Corp. 3,745 64,339 Tesoro Corp. 168,807 8,252,974 * TETRA Technologies, Inc. 25,510 330,865 TGC Industries, Inc. 1,787 13,170 Tidewater, Inc. 49,127 2,958,428
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Energy -- (Continued) # Transocean, Ltd. 274,265 $ 12,909,654 * Triangle Petroleum Corp. 7,779 82,224 * Unit Corp. 57,000 2,930,370 #* USEC, Inc. 6,111 49,255 Valero Energy Corp. 605,899 24,944,862 * Weatherford International, Ltd. 281,383 4,625,937 # Western Refining, Inc. 68,485 2,210,011 * Whiting Petroleum Corp. 16,007 1,070,708 * Willbros Group, Inc. 18,620 181,731 ------------ Total Energy 691,645,073 ------------ Financials -- (18.0%) # 1st Source Corp. 41,187 1,292,448 1st United Bancorp Inc/Boca Raton 863 6,593 ACE, Ltd. 46,348 4,423,453 * Alexander & Baldwin, Inc. 66,838 2,473,006 * Alleghany Corp. 2,626 1,064,633 Allied World Assurance Co. Holdings AG 25,477 2,758,904 Allstate Corp. (The) 157,339 8,348,407 * American Capital, Ltd. 422,803 5,923,470 # American Equity Investment Life Holding Co. 88,700 1,848,508 American Financial Group, Inc. 173,596 9,766,511 * American Independence Corp. 173 1,917 American International Group, Inc. 849,581 43,880,859 American National Insurance Co. 37,287 3,768,597 * Ameris Bancorp 12,022 220,003 AmeriServ Financial, Inc. 33,075 103,856 Argo Group International Holdings, Ltd. 42,675 1,791,496 Aspen Insurance Holdings, Ltd. 102,623 4,003,323 Associated Banc-Corp. 31,434 511,117 Assurant, Inc. 65,820 3,849,154 Assured Guaranty, Ltd. 122,989 2,521,274 Asta Funding, Inc. 7,527 64,582 # Astoria Financial Corp. 19,344 255,534 * Atlantic Coast Financial Corp. 379 1,478 #* Atlanticus Holdings Corp. 19,218 67,071 #* AV Homes, Inc. 15,767 301,150 Axis Capital Holdings, Ltd. 800 37,936 Baldwin & Lyons, Inc. Class A 300 8,060 # Baldwin & Lyons, Inc. Class B 6,556 179,175 # Banc of California, Inc. 810 11,429 * Bancorp, Inc. 459 7,422 Bank Mutual Corp. 51,232 325,836 Bank of America Corp. 6,543,356 91,345,250 Bank of New York Mellon Corp. (The) 491,755 15,637,809 BankFinancial Corp. 39,867 370,364 Banner Corp. 7,943 303,899 BCB Bancorp, Inc. 1,059 11,713 Berkshire Hills Bancorp, Inc. 25,980 659,113 #* BofI Holding, Inc. 8,208 495,927 * Capital Bank Financial Corp. Class A 233 5,177 #* Capital City Bank Group, Inc. 16,844 207,181
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Financials -- (Continued) Capital One Financial Corp. 356,632 $ 24,489,919 Capital Southwest Corp. 27,628 908,132 Cathay General Bancorp 17,730 436,690 Centerstate Banks, Inc. 747 7,365 Century Bancorp, Inc. Class A 495 16,088 CFS Bancorp, Inc. 14,148 176,709 Chicopee Bancorp, Inc. 1,000 17,550 * CIT Group, Inc. 39,411 1,898,034 Citigroup, Inc. 2,115,722 103,204,919 Citizens Community Bancorp, Inc. 10,355 79,009 CME Group, Inc. 414,385 30,751,511 CNA Financial Corp. 277,671 11,270,666 CNO Financial Group, Inc. 301,264 4,693,693 # Codorus Valley Bancorp, Inc. 126 2,646 * Community West Bancshares 400 2,350 * Cowen Group, Inc. Class A 15,961 63,365 Donegal Group, Inc. Class A 27,472 435,431 Donegal Group, Inc. Class B 300 6,300 * E*TRADE Financial Corp. 89,699 1,516,810 Eastern Insurance Holdings, Inc. 23,026 562,755 * Eastern Virginia Bankshares, Inc. 307 1,851 EMC Insurance Group, Inc. 18,341 624,328 #* Encore Capital Group, Inc. 627 30,629 # Endurance Specialty Holdings, Ltd. 76,288 4,217,964 Enterprise Financial Services Corp. 3,235 58,327 # ESB Financial Corp. 432 5,750 ESSA Bancorp, Inc. 8,217 90,058 Evans Bancorp, Inc. 1,681 33,998 Everest Re Group, Ltd. 34,913 5,367,525 * Farmers Capital Bank Corp. 302 6,203 FBL Financial Group, Inc. Class A 24,660 1,103,288 Federal Agricultural Mortgage Corp. Class A 177 5,182 Federal Agricultural Mortgage Corp. Class C 9,200 328,348 Federated National Holding Co. Class C 13,665 140,066 Fidelity National Financial, Inc. Class A 46,321 1,303,936 Fidelity Southern Corp. 7,185 109,716 * First Acceptance Corp. 39,006 66,310 # First American Financial Corp. 61,982 1,602,855 #* First BanCorp 7,500 41,625 First Bancorp 16,138 241,747 * First Bancshares, Inc. 400 3,400 # First Business Financial Services, Inc. 482 16,976 First Citizens BancShares, Inc. Class A 8,627 1,826,595 First Commonwealth Financial Corp. 30,547 265,453 First Community Bancshares, Inc. 183 3,054 First Defiance Financial Corp. 10,880 280,922 First Federal of Northern Michigan Bancorp, Inc. 900 4,266 First Financial Holdings, Inc. 8,549 512,342 # First Financial Northwest, Inc. 25,371 275,022 # First Merchants Corp. 37,631 707,463 # First Midwest Bancorp, Inc. 7,168 119,204 First Niagara Financial Group, Inc. 20,401 225,023
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ----------- Financials -- (Continued) * First South Bancorp, Inc. 2,278 $ 15,399 Fox Chase Bancorp, Inc. 351 6,062 * Genworth Financial, Inc. Class A 34,964 508,027 # German American Bancorp, Inc. 7,459 202,736 GFI Group, Inc. 2,875 9,976 #* Gleacher & Co., Inc. 450 5,931 * Global Indemnity P.L.C. 8,282 203,986 Goldman Sachs Group, Inc. (The) 143,685 23,113,169 # Great Southern Bancorp, Inc. 1,616 45,377 Guaranty Bancorp 15,867 214,204 #* Guaranty Federal Bancshares, Inc. 1,684 18,970 * Hallmark Financial Services, Inc. 25,666 218,418 # Hampden Bancorp, Inc. 5,886 101,239 Hanover Insurance Group, Inc. (The) 88,829 5,200,050 Hartford Financial Services Group, Inc. 308,762 10,405,279 HCC Insurance Holdings, Inc. 17,700 808,005 # Heartland Financial USA, Inc. 465 12,318 Heritage Commerce Corp. 14,483 112,823 HF Financial Corp. 400 5,332 #* Hilltop Holdings, Inc. 26,171 453,805 # Hingham Institution for Savings 500 36,360 * HMN Financial, Inc. 3,456 29,756 * Home Bancorp, Inc. 719 13,064 Home Federal Bancorp, Inc. 9,420 146,858 HopFed Bancorp, Inc. 6,781 73,574 Horace Mann Educators Corp. 58,206 1,612,306 Hudson City Bancorp, Inc. 28,191 253,155 * ICG Group, Inc. 1,184 19,311 * Imperial Holdings, Inc. 2,882 16,889 Independence Holding Co. 24,172 331,640 Infinity Property & Casualty Corp. 15,800 1,083,564 International Bancshares Corp. 800 18,280 * Intervest Bancshares Corp. Class A 2,078 15,149 * Investment Technology Group, Inc. 23,677 379,306 Investors Title Co. 1,169 91,346 # Janus Capital Group, Inc. 24,840 245,171 JPMorgan Chase & Co. 1,148,419 59,189,515 Kemper Corp. 67,002 2,480,414 # Kentucky First Federal Bancorp 2,800 22,652 KeyCorp 526,210 6,593,411 # Lakeland Bancorp, Inc. 8,324 94,894 Landmark Bancorp, Inc. 1,875 37,706 # Legg Mason, Inc. 93,283 3,588,597 Lincoln National Corp. 378,093 17,169,203 LNB Bancorp, Inc. 13,395 130,333 Loews Corp. 243,798 11,777,881 #* Louisiana Bancorp, Inc. 5,606 100,319 * Macatawa Bank Corp. 18,892 92,760 * Magyar Bancorp, Inc. 500 3,663 Maiden Holdings, Ltd. 5,792 63,422 MainSource Financial Group, Inc. 45,000 729,900 Marlin Business Services Corp. 14,241 392,624
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ----------- Financials -- (Continued) MB Financial, Inc. 19,678 $ 584,437 #* MBIA, Inc. 82,267 935,376 * MBT Financial Corp. 23,185 89,030 MCG Capital Corp. 11,930 56,190 # Meadowbrook Insurance Group, Inc. 26,353 174,984 # Medallion Financial Corp. 9,550 144,969 Mercantile Bank Corp. 4,422 96,576 # Meta Financial Group, Inc. 1,083 40,309 MetLife, Inc. 1,126,173 53,279,245 * Metro Bancorp, Inc. 26,598 567,601 MetroCorp Bancshares, Inc. 2,250 32,243 #* MGIC Investment Corp. 72,733 592,047 MicroFinancial, Inc. 5,900 50,681 MidWestOne Financial Group, Inc. 346 9,141 Montpelier Re Holdings, Ltd. 38,746 1,069,777 Morgan Stanley 1,476,248 42,412,605 MutualFirst Financial, Inc. 2,300 39,100 NASDAQ OMX Group, Inc. (The) 42,129 1,492,630 National Western Life Insurance Co. Class A 900 187,200 * Navigators Group, Inc. (The) 3,685 207,244 #* New Century Bancorp, Inc. 600 3,966 # New Hampshire Thrift Bancshares, Inc. 3,667 52,071 * NewBridge Bancorp 11,413 85,141 * NewStar Financial, Inc. 41,166 716,700 * North Valley Bancorp 907 17,142 Northeast Community Bancorp, Inc. 18,190 137,334 Northrim BanCorp, Inc. 5,734 143,923 NYSE Euronext 8,639 380,289 OFG Bancorp 30,191 447,129 Old Republic International Corp. 280,714 4,713,188 #* Old Second Bancorp, Inc. 4,874 23,249 # Oppenheimer Holdings, Inc. Class A 3,097 61,414 * Pacific Mercantile Bancorp 16,236 100,988 PacWest Bancorp 1,076 40,942 Park Sterling Corp. 3,253 21,177 PartnerRe, Ltd. 52,224 5,233,367 # People's United Financial, Inc. 68,700 991,341 Peoples Bancorp of North Carolina, Inc. 250 3,273 Peoples Bancorp, Inc. 17,608 394,771 #* PHH Corp. 91,804 2,207,886 #* Phoenix Cos., Inc. (The) 2,631 101,478 #* Pinnacle Financial Partners, Inc. 23,924 741,644 * Piper Jaffray Cos. 312 11,198 Platinum Underwriters Holdings, Ltd. 21,715 1,350,456 * Popular, Inc. 56,536 1,427,534 * Porter Bancorp, Inc. 1,737 1,945 * Portfolio Recovery Associates, Inc. 28,203 1,676,668 Premier Financial Bancorp, Inc. 1,301 15,638 Principal Financial Group, Inc. 217,722 10,333,086 Protective Life Corp. 98,037 4,517,545 # Provident Financial Holdings, Inc. 544 8,247 Provident Financial Services, Inc. 21,059 394,646
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ----------- Financials -- (Continued) Prudential Financial, Inc. 497,625 $40,501,699 Pulaski Financial Corp. 4,550 49,550 # Radian Group, Inc. 161,945 2,359,539 Regions Financial Corp. 1,302,555 12,543,605 Reinsurance Group of America, Inc. 169,166 12,041,236 # Renasant Corp. 42,102 1,207,485 * Republic First Bancorp, Inc. 2,174 6,848 Resource America, Inc. Class A 21,051 181,670 * Riverview Bancorp, Inc. 15,319 40,749 # Safety Insurance Group, Inc. 11,042 603,887 Sandy Spring Bancorp, Inc. 9,125 223,471 Selective Insurance Group, Inc. 45,200 1,187,404 SI Financial Group, Inc. 5,661 64,139 (degrees) Southern Community Financial 29,890 6,576 * Southern First Bancshares, Inc. 1,216 16,343 * Southwest Bancorp, Inc. 16,974 271,754 StanCorp Financial Group, Inc. 15,636 920,960 State Auto Financial Corp. 56,823 1,079,637 StellarOne Corp. 24,952 580,883 Sterling Bancorp 70,552 826,869 # Stewart Information Services Corp. 12,271 384,328 * Stratus Properties, Inc. 3,069 47,201 * Suffolk Bancorp 205 4,008 #* Sun Bancorp, Inc. 4,075 13,448 SunTrust Banks, Inc. 491,691 16,540,485 Susquehanna Bancshares, Inc. 97,547 1,149,591 Symetra Financial Corp. 20,319 380,575 Synovus Financial Corp. 159,578 518,628 Teche Holding Co. 600 30,180 TF Financial Corp. 630 17,483 Timberland Bancorp, Inc. 2,500 22,175 Travelers Cos., Inc. (The) 28,000 2,416,400 # Tree.com, Inc. 5,635 166,289 # Trustmark Corp. 4,194 113,909 # Umpqua Holdings Corp. 34,932 571,837 Unico American Corp. 1,900 23,826 # Union First Market Bankshares Corp. 12,742 307,337 United Financial Bancorp, Inc. 6,824 107,000 United Fire Group, Inc. 38,612 1,224,000 * United Security Bancshares 390 2,004 Unity Bancorp, Inc. 3,306 24,497 Unum Group 517,445 16,423,704 Validus Holdings, Ltd. 4,399 173,673 * Virginia Commerce Bancorp, Inc. 22,274 357,052 Washington Federal, Inc. 1,243 28,316 #* Waterstone Financial, Inc. 1,300 13,832 # WesBanco, Inc. 31,462 924,983 West BanCorp., Inc. 13,957 192,886 Westfield Financial, Inc. 10,811 77,947 # Wintrust Financial Corp. 24,224 1,053,986 XL Group P.L.C. 240,766 7,360,217 #* Yadkin Financial Corp. 5,570 91,459
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Financials -- (Continued) Zions BanCorp. 53,325 $ 1,512,830 * ZipRealty, Inc. 10,028 55,154 ------------ Total Financials 822,969,437 ------------ Health Care -- (9.8%) * Addus HomeCare Corp. 2,044 52,837 Aetna, Inc. 558,462 35,015,567 #* Affymetrix, Inc. 42,297 299,040 * Albany Molecular Research, Inc. 34,587 453,090 * Alere, Inc. 74,130 2,500,405 * Allied Healthcare Products 1,000 2,330 #* Allscripts Healthcare Solutions, Inc. 187,470 2,592,710 * Alphatec Holdings, Inc. 5,644 10,272 #* Amedisys, Inc. 19,727 321,156 * AMN Healthcare Services, Inc. 8,600 106,640 * Amsurg Corp. 30,743 1,318,567 Analogic Corp. 2,988 275,583 * AngioDynamics, Inc. 44,530 700,012 #* Anika Therapeutics, Inc. 14,671 438,223 #* Arrhythmia Research Technology, Inc. 1,200 3,918 #* Baxano Surgical, Inc. 5,997 7,256 * BioScrip, Inc. 36,570 256,356 * BioTelemetry, Inc. 5,328 48,698 * Boston Scientific Corp. 1,204,199 14,077,086 * Cambrex Corp. 43,567 732,797 #* Capital Senior Living Corp. 54,559 1,210,119 * CareFusion Corp. 207,163 8,031,709 * Celldex Therapeutics, Inc. 4,759 109,029 Cigna Corp. 42,954 3,306,599 Community Health Systems, Inc. 105,314 4,594,850 CONMED Corp. 43,239 1,568,278 Cooper Cos., Inc. (The) 13,956 1,803,255 * Cross Country Healthcare, Inc. 28,968 172,070 CryoLife, Inc. 17,502 157,343 #* Cumberland Pharmaceuticals, Inc. 23,319 114,030 #* Cutera, Inc. 23,864 239,833 * Cynosure, Inc. Class A 8,077 174,544 Daxor Corp. 545 4,071 * Digirad Corp. 29,111 96,940 * Emergent Biosolutions, Inc. 8,678 169,481 * Endo Health Solutions, Inc. 54,588 2,387,133 * Enzo Biochem, Inc. 47,997 119,513 * Exactech, Inc. 3,390 76,953 * Express Scripts Holding Co. 493,239 30,837,302 * Five Star Quality Care, Inc. 28,953 146,792 * Forest Laboratories, Inc. 78,471 3,690,491 * Gentiva Health Services, Inc. 31,640 362,278 * Greatbatch, Inc. 41,672 1,588,537 #* Hanger, Inc. 16,897 620,120 * Harvard Bioscience, Inc. 32,107 189,110 * Health Net, Inc. 44,958 1,366,723 #* Healthways, Inc. 46,297 445,840
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Health Care -- (Continued) * Hologic, Inc. 305,036 $ 6,829,756 Humana, Inc. 236,814 21,822,410 * Impax Laboratories, Inc. 4,700 95,222 Invacare Corp. 30,851 662,371 Kewaunee Scientific Corp. 1,631 28,314 # Kindred Healthcare, Inc. 59,114 820,502 * Lannett Co., Inc. 3,649 86,153 * LCA-Vision, Inc. 700 2,303 LeMaitre Vascular, Inc. 5,100 41,004 #* LHC Group, Inc. 1,418 29,211 * Life Technologies Corp. 94,990 7,153,697 * LifePoint Hospitals, Inc. 82,208 4,245,221 * Magellan Health Services, Inc. 17,899 1,050,671 (degrees)* Maxygen, Inc. 43,105 1,293 * MedAssets, Inc. 44,682 1,029,026 (degrees)* MedCath Corp. 29,240 40,059 * Medical Action Industries, Inc. 24,509 148,525 #* Merit Medical Systems, Inc. 13,395 214,186 * Misonix, Inc. 4,083 17,067 * Molina Healthcare, Inc. 24,941 789,133 # National Healthcare Corp. 6,484 313,696 #* Natus Medical, Inc. 15,698 309,722 * NuVasive, Inc. 2,045 64,990 Omnicare, Inc. 197,388 10,885,948 * Omnicell, Inc. 35,405 816,793 #* PDI, Inc. 14,978 71,445 PerkinElmer, Inc. 76,500 2,910,060 Pfizer, Inc. 3,950,849 121,212,047 #* PharMerica Corp. 33,305 491,582 #* Repligen Corp. 21,271 232,705 #* RTI Biologics, Inc. 73,086 203,910 * Sciclone Pharmaceuticals, Inc. 13,028 61,622 Select Medical Holdings Corp. 42,204 357,890 #* Skilled Healthcare Group, Inc. Class A 9,380 39,959 #* Solta Medical, Inc. 4,035 7,465 #* Sucampo Pharmaceuticals, Inc. Class A 3,605 22,351 * SunLink Health Systems, Inc. 1,750 1,409 * SurModics, Inc. 5,593 131,883 * Symmetry Medical, Inc. 77,051 624,113 # Teleflex, Inc. 37,223 3,431,216 Thermo Fisher Scientific, Inc. 499,520 48,843,066 #* Triple-S Management Corp. Class B 20,684 368,382 UnitedHealth Group, Inc. 89,716 6,124,014 # Universal American Corp. 84,328 625,714 * VCA Antech, Inc. 62,638 1,782,051 * ViroPharma, Inc. 103,479 4,017,055 * WellCare Health Plans, Inc. 18,375 1,225,245 WellPoint, Inc. 504,640 42,793,472 #* Wright Medical Group, Inc. 32,357 879,140 Zoetis, Inc. 1,007,044 31,883,013 ------------ Total Health Care 448,633,568 ------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ---------- Industrials -- (13.6%) AAR Corp. 32,906 $ 963,488 ABM Industries, Inc. 64,500 1,774,395 Aceto Corp. 31,686 505,392 Acme United Corp. 1,030 15,079 Actuant Corp. Class A 44,986 1,689,674 * Adept Technology, Inc. 20,476 170,360 # ADT Corp. (The) 197,193 8,552,260 * AECOM Technology Corp. 23,177 736,565 * Aegion Corp. 83,805 1,718,002 #* Aerovironment, Inc. 35,065 950,612 AGCO Corp. 58,973 3,442,844 * Air Transport Services Group, Inc. 6,308 45,670 Alamo Group, Inc. 22,751 1,073,620 Alaska Air Group, Inc. 52,626 3,718,553 Albany International Corp. Class A 20,551 756,482 Alliant Techsystems, Inc. 38,805 4,224,700 (degrees) Allied Defense Group, Inc. (The) 2,645 13,886 AMERCO 29,431 5,943,002 #* Ameresco, Inc. Class A 981 10,261 # American Railcar Industries, Inc. 20,003 819,323 Ampco-Pittsburgh Corp. 4,007 73,769 #* AMREP Corp. 1,159 9,330 # Apogee Enterprises, Inc. 36,374 1,137,779 Argan, Inc. 21 467 Arkansas Best Corp. 12,135 332,135 #* Ascent Solar Technologies, Inc. 1,951 1,834 Astec Industries, Inc. 22,925 775,094 * Atlas Air Worldwide Holdings, Inc. 36,746 1,360,704 * Avis Budget Group, Inc. 94,608 2,964,069 Baltic Trading, Ltd. 40 179 # Barnes Group, Inc. 36,400 1,293,656 Barrett Business Services, Inc. 12,955 1,078,763 * BlueLinx Holdings, Inc. 17,052 31,717 Brady Corp. Class A 38,500 1,123,815 # Briggs & Stratton Corp. 41,033 752,545 * Builders FirstSource, Inc. 12,182 90,269 #* CAI International, Inc. 17,082 373,925 * Casella Waste Systems, Inc. Class A 14,362 84,879 #* CBIZ, Inc. 38,149 311,296 CDI Corp. 39,837 639,384 # Ceco Environmental Corp. 3,773 66,593 Celadon Group, Inc. 24,642 456,863 # Chicago Rivet & Machine Co. 700 23,240 CIRCOR International, Inc. 6,849 505,251 * CNH Industrial NV 26,635 312,429 * Columbus McKinnon Corp. 17,542 456,267 Comfort Systems USA, Inc. 44,560 830,153 # Compx International, Inc. 500 7,095 * Consolidated Graphics, Inc. 12,008 769,593 * Costa, Inc. 18,022 362,603 Courier Corp. 8,245 140,083 Covanta Holding Corp. 94,292 1,618,994
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Industrials -- (Continued) * Covenant Transportation Group, Inc. Class A 7,080 $ 46,232 #* CPI Aerostructures, Inc. 4,626 57,362 * CRA International, Inc. 7,613 145,028 CSX Corp. 1,242,950 32,391,277 Curtiss-Wright Corp. 46,353 2,307,452 * DigitalGlobe, Inc. 21,971 699,117 Douglas Dynamics, Inc. 30,234 458,650 #* Ducommun, Inc. 16,645 413,795 * Dycom Industries, Inc. 39,867 1,182,057 Dynamic Materials Corp. 1,436 31,736 Eastern Co. (The) 10,193 168,694 Eaton Corp. P.L.C. 78,508 5,539,524 Ecology and Environment, Inc. Class A 900 9,900 EMCOR Group, Inc. 50,540 1,873,012 Encore Wire Corp. 19,966 988,916 * Energy Recovery, Inc. 1,783 10,413 #* EnerNOC, Inc. 13,197 219,466 EnerSys, Inc. 43,239 2,868,908 * Engility Holdings, Inc. 7,988 247,388 Ennis, Inc. 48,483 860,573 #* EnPro Industries, Inc. 17,635 1,052,280 # ESCO Technologies, Inc. 17,601 635,044 # Espey Manufacturing & Electronics Corp. 1,671 54,307 * Esterline Technologies Corp. 44,968 3,604,635 Exelis, Inc. 73,253 1,207,942 * Federal Signal Corp. 65,358 894,751 FedEx Corp. 142,324 18,644,444 * Flow International Corp. 24,393 97,328 Fortune Brands Home & Security, Inc. 149,626 6,445,888 * Franklin Covey Co. 3,046 57,265 # FreightCar America, Inc. 9,404 209,145 * FTI Consulting, Inc. 25,736 1,044,367 * Furmanite Corp. 31,044 349,245 G&K Services, Inc. Class A 29,714 1,854,154 GATX Corp. 65,445 3,373,690 #* Genco Shipping & Trading, Ltd. 7,630 20,372 * Gencor Industries, Inc. 8,766 80,034 # General Cable Corp. 8,357 275,196 General Dynamics Corp. 28,674 2,484,029 General Electric Co. 5,021,489 131,261,722 * Genesee & Wyoming, Inc. Class A 1,200 119,808 * Gibraltar Industries, Inc. 42,111 674,197 * GP Strategies Corp. 18,583 520,696 Granite Construction, Inc. 27,179 879,241 # Great Lakes Dredge & Dock Corp. 69,820 566,938 #* Greenbrier Cos., Inc. 22,451 595,850 # Griffon Corp. 67,323 843,557 * H&E Equipment Services, Inc. 59,629 1,492,514 Hardinge, Inc. 19,132 282,962 Harsco Corp. 54,994 1,533,233 #* Hawaiian Holdings, Inc. 18,070 149,077 Heidrick & Struggles International, Inc. 18,234 337,694
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ----------- Industrials -- (Continued) * Hertz Global Holdings, Inc. 278,411 $ 6,392,317 * Hill International, Inc. 27,154 93,410 * Hudson Global, Inc. 15,880 51,610 Huntington Ingalls Industries, Inc. 47,666 3,410,502 Hurco Cos., Inc. 7,910 193,716 * Huron Consulting Group, Inc. 4,001 234,339 Hyster-Yale Materials Handling, Inc. 12,246 960,576 * ICF International, Inc. 31,660 1,096,069 Ingersoll-Rand P.L.C. 213,109 14,391,251 Insteel Industries, Inc. 17,578 291,619 International Shipholding Corp. 11,354 281,806 # Intersections, Inc. 26,279 225,211 #* JetBlue Airways Corp. 324,893 2,303,491 Kadant, Inc. 5,786 207,139 KAR Auction Services, Inc. 18,100 537,932 KBR, Inc. 3,600 124,344 Kelly Services, Inc. Class A 41,722 870,321 Kennametal, Inc. 1,000 46,000 * Key Technology, Inc. 3,199 46,290 Kimball International, Inc. Class B 31,258 365,719 * Korn/Ferry International 33,148 788,922 * Kratos Defense & Security Solutions, Inc. 2,711 22,989 L-3 Communications Holdings, Inc. 100,470 10,092,211 * Lawson Products, Inc. 8,847 116,073 #* Layne Christensen Co. 31,561 610,390 LB Foster Co. Class A 6,682 312,383 #* LMI Aerospace, Inc. 13,807 216,770 LS Starrett Co. (The) Class A 4,097 46,583 LSI Industries, Inc. 27,715 255,255 * Lydall, Inc. 14,605 266,103 Manpowergroup, Inc. 22,886 1,787,397 Marten Transport, Ltd. 47,782 842,874 Matson, Inc. 62,316 1,688,140 # McGrath RentCorp 17,552 626,080 * Metalico, Inc. 27,024 44,319 * Mfri, Inc. 8,900 105,376 Miller Industries, Inc. 20,099 376,655 * Mobile Mini, Inc. 54,461 1,967,131 * Moog, Inc. Class A 35,339 2,110,798 Mueller Industries, Inc. 15,456 931,842 Mueller Water Products, Inc. Class A 185,957 1,593,651 Multi-Color Corp. 308 10,728 * MYR Group, Inc. 19,582 517,944 # National Presto Industries, Inc. 571 40,284 * National Technical Systems, Inc. 15,600 357,084 * Navigant Consulting, Inc. 12,297 213,353 # NL Industries, Inc. 51,251 597,587 NN, Inc. 18,396 295,808 Norfolk Southern Corp. 545,229 46,900,599 Northrop Grumman Corp. 337,038 36,234,955 * Northwest Pipe Co. 8,801 317,100 #* Ocean Power Technologies, Inc. 8,400 19,740
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ----------- Industrials -- (Continued) * On Assignment, Inc. 53,951 $ 1,823,004 * Orbital Sciences Corp. 39,656 914,864 * Orion Energy Systems, Inc. 1,043 4,433 * Oshkosh Corp. 14,466 688,437 * Owens Corning 149,300 5,364,349 PAM Transportation Services, Inc. 19,428 338,047 Pentair, Ltd. 117,934 7,912,192 * PGT, Inc. 500 5,225 # Pike Electric Corp. 22,013 237,961 * Powell Industries, Inc. 7,529 473,047 #* PowerSecure International, Inc. 19,459 351,819 # Providence and Worcester Railroad Co. 850 17,400 Quad/Graphics, Inc. 2,390 83,459 Quanex Building Products Corp. 21,431 381,043 * Quanta Services, Inc. 168,307 5,084,554 Raytheon Co. 96,954 7,986,101 # RCM Technologies, Inc. 20,293 130,890 #* Real Goods Solar, Inc. Class A 2,471 8,278 Regal-Beloit Corp. 16,070 1,178,413 * Republic Airways Holdings, Inc. 48,736 574,110 Republic Services, Inc. 429,755 14,383,900 Resources Connection, Inc. 25,955 331,186 * Roadrunner Transportation Systems, Inc. 879 23,294 #* Rush Enterprises, Inc. Class A 32,603 933,098 * Rush Enterprises, Inc. Class B 18,522 450,270 Ryder System, Inc. 89,844 5,914,431 * Saia, Inc. 8,925 290,330 Schawk, Inc. 44,631 652,505 SIFCO Industries, Inc. 6,623 146,898 SkyWest, Inc. 38,506 579,130 SL Industries, Inc. 300 8,100 Southwest Airlines Co. 645,761 11,120,004 * Sparton Corp. 9,132 240,993 SPX Corp. 12,803 1,161,360 * Standard Register Co. (The) 6,086 51,731 Standex International Corp. 22,341 1,374,195 Stanley Black & Decker, Inc. 154,919 12,252,544 Steelcase, Inc. Class A 55,469 909,137 * Sterling Construction Co., Inc. 18,633 178,877 * Supreme Industries, Inc. Class A 1,433 8,770 Sypris Solutions, Inc. 8,460 26,987 # TAL International Group, Inc. 24,053 1,162,000 * Tecumseh Products Co. Class A 12,600 98,280 * Tecumseh Products Co. Class B 1,400 10,206 * Terex Corp. 27,578 963,851 #* Tetra Tech, Inc. 45,222 1,181,651 #* Titan Machinery, Inc. 2,883 50,856 * TRC Cos., Inc. 28,708 220,765 Trinity Industries, Inc. 91,907 4,653,251 Triumph Group, Inc. 57,456 4,116,722 * Tufco Technologies, Inc. 900 4,545 * Tutor Perini Corp. 33,844 776,720
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ------------ Industrials -- (Continued) Twin Disc, Inc. 900 $ 23,283 Tyco International, Ltd. 240,619 8,794,624 * Ultralife Corp. 10,710 41,769 UniFirst Corp. 18,705 1,923,248 Union Pacific Corp. 444,064 67,231,290 # United Stationers, Inc. 24,021 1,067,493 Universal Forest Products, Inc. 31,800 1,682,856 URS Corp. 84,698 4,592,326 * USA Truck, Inc. 15,105 200,594 # UTi Worldwide, Inc. 16,157 245,586 * Versar, Inc. 5,526 26,138 Viad Corp. 27,114 723,944 * Virco Manufacturing Corp. 12,601 25,580 # VSE Corp. 305 13,359 # Waste Connections, Inc. 2,800 119,672 Watts Water Technologies, Inc. Class A 53,615 3,097,875 # Werner Enterprises, Inc. 34,105 789,872 #* Wesco Aircraft Holdings, Inc. 6,228 114,097 #* WESCO International, Inc. 11,687 998,771 * Willdan Group, Inc. 1,000 3,820 #* Willis Lease Finance Corp. 6,713 117,008 * XPO Logistics, Inc. 12,216 246,519 ------------ Total Industrials 619,614,769 ------------ Information Technology -- (5.9%) * Accelrys, Inc. 41,733 390,204 * Active Network, Inc. (The) 5,247 75,767 Activision Blizzard, Inc. 982,162 16,343,176 * Acxiom Corp. 7,769 258,164 * Advanced Energy Industries, Inc. 47,985 1,001,927 * Agilysys, Inc. 16,899 198,563 * Alpha & Omega Semiconductor, Ltd. 419 3,084 * Amtech Systems, Inc. 8,571 68,568 #* ANADIGICS, Inc. 33,721 68,116 * Anaren, Inc. 9,602 239,858 # AOL, Inc. 105,592 3,826,654 * ARRIS Group, Inc. 140,787 2,514,456 * Arrow Electronics, Inc. 182,170 8,747,803 Astro-Med, Inc. 6,285 79,694 * ATMI, Inc. 31,034 848,470 * Aviat Networks, Inc. 44,931 92,558 Avnet, Inc. 139,400 5,534,180 AVX Corp. 172,540 2,286,155 # Aware, Inc. 14,326 74,925 * Axcelis Technologies, Inc. 17,951 38,954 * AXT, Inc. 20,506 46,344 #* Bankrate, Inc. 4,453 74,989 Bel Fuse, Inc. Class A 4,174 86,068 Bel Fuse, Inc. Class B 18,286 384,737 * Benchmark Electronics, Inc. 93,903 2,134,415 Black Box Corp. 26,448 662,258 #* Blucora, Inc. 81,156 1,917,716
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ----------- Information Technology -- (Continued) * Brocade Communications Systems, Inc. 461,513 $ 3,701,334 Brooks Automation, Inc. 50,847 490,165 #* Bsquare Corp. 4,065 13,089 #* BTU International, Inc. 1,600 5,296 #* CACI International, Inc. Class A 24,830 1,787,263 * Calix, Inc. 16,027 162,995 * Cascade Microtech, Inc. 24,071 246,487 * Ceva, Inc. 3,580 51,301 * Checkpoint Systems, Inc. 27,235 463,540 * CIBER, Inc. 85,855 279,029 Cohu, Inc. 40,815 390,191 Communications Systems, Inc. 12,612 143,903 Computer Sciences Corp. 205,559 10,125,836 Comtech Telecommunications Corp. 15,569 467,381 Concurrent Computer Corp. 13,740 101,264 Convergys Corp. 197,364 3,895,965 * CoreLogic, Inc. 96,545 3,212,052 Corning, Inc. 1,201,485 20,533,379 #* Cray, Inc. 12,866 287,684 CSP, Inc. 2,414 18,250 # CTS Corp. 66,936 1,246,348 * CyberOptics Corp. 9,134 46,309 * Datalink Corp. 1,412 14,501 * Dataram Corp. 1,257 3,067 * Digi International, Inc. 31,089 313,377 * Digital River, Inc. 22,145 395,067 * Diodes, Inc. 4,709 114,052 * DSP Group, Inc. 46,713 348,012 * Dynamics Research Corp. 16,772 124,113 EarthLink, Inc. 83,735 423,699 * EchoStar Corp. Class A 23,551 1,129,506 * Edgewater Technology, Inc. 13,603 93,181 Electro Rent Corp. 40,561 735,777 Electro Scientific Industries, Inc. 36,298 434,850 * Electronics for Imaging, Inc. 58,110 1,993,754 #* Emcore Corp. 744 3,966 * Emulex Corp. 52,269 393,586 #* Entropic Communications, Inc. 3,600 15,408 EPIQ Systems, Inc. 23,453 350,857 ePlus, Inc. 8,745 475,378 * Euronet Worldwide, Inc. 23,278 1,010,265 * Exar Corp. 51,341 591,962 * Fabrinet 4,055 67,881 * Fairchild Semiconductor International, Inc. 118,008 1,495,161 Fidelity National Information Services, Inc. 151,857 7,403,029 * Finisar Corp. 61,526 1,415,713 #* First Solar, Inc. 28,266 1,420,932 * FormFactor, Inc. 30,568 159,565 Frequency Electronics, Inc. 16,953 188,348 * Globecomm Systems, Inc. 26,554 372,553 * GSE Systems, Inc. 17,638 29,985 * GSI Technology, Inc. 9,236 64,837
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ----------- Information Technology -- (Continued) Hackett Group, Inc. (The) 53,321 $ 379,646 * Harmonic, Inc. 35,712 261,055 Hewlett-Packard Co. 337,265 8,219,148 * Hutchinson Technology, Inc. 22,425 83,421 IAC/InterActiveCorp 125,298 6,689,660 * ID Systems, Inc. 17,291 89,913 * Identive Group, Inc. 10,175 6,511 * Imation Corp. 28,996 134,831 * Ingram Micro, Inc. Class A 277,679 6,433,822 * Insight Enterprises, Inc. 42,100 887,047 * Integrated Device Technology, Inc. 177,893 1,892,782 * Integrated Silicon Solution, Inc. 42,178 454,679 * Internap Network Services Corp. 32,386 235,446 * International Rectifier Corp. 79,000 2,057,160 * Interphase Corp. 2,999 12,206 Intersil Corp. Class A 119,798 1,336,946 #* Intevac, Inc. 7,954 40,565 * IntraLinks Holdings, Inc. 3,070 31,897 * IntriCon Corp. 2,835 12,559 #* Itron, Inc. 33,397 1,425,050 IXYS Corp. 3,055 35,530 * Juniper Networks, Inc. 138,384 2,579,478 #* Kemet Corp. 2,700 15,309 * Key Tronic Corp. 17,623 191,210 * Kulicke & Soffa Industries, Inc. 71,688 924,775 * KVH Industries, Inc. 35,149 482,947 * Lattice Semiconductor Corp. 108,469 556,446 # Leidos Holdings, Inc. 10,850 510,926 Lexmark International, Inc. Class A 33,976 1,207,847 * Limelight Networks, Inc. 18,463 35,449 * LTX-Credence Corp. 20,165 123,611 # ManTech International Corp. Class A 12,385 346,037 Marchex, Inc. Class B 32,883 293,316 Marvell Technology Group, Ltd. 38,293 459,516 #* Maxwell Technologies, Inc. 2,521 18,907 #* Measurement Specialties, Inc. 251 13,988 Mentor Graphics Corp. 35,620 786,490 #* Mercury Systems, Inc. 339 3,126 Methode Electronics, Inc. 79,272 2,027,778 * Micron Technology, Inc. 758,908 13,417,493 MKS Instruments, Inc. 61,200 1,813,968 #* ModusLink Global Solutions, Inc. 68,955 284,095 Molex, Inc. 14,869 573,943 #* Nanometrics, Inc. 13,265 246,464 * NCI, Inc. Class A 686 3,910 * NETGEAR, Inc. 428 12,309 * Newport Corp. 64,756 1,027,678 * Novatel Wireless, Inc. 22,113 67,776 * Official Payments Holdings, Inc. 2,151 17,939 #* OmniVision Technologies, Inc. 37,132 520,219 * Oplink Communications, Inc. 38,456 701,822 Optical Cable Corp. 10,793 43,064
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ---------- Information Technology -- (Continued) * PAR Technology Corp. 22,705 $ 126,240 Park Electrochemical Corp. 1,642 46,058 PC Connection, Inc. 39,267 784,947 PC-Tel, Inc. 33,870 311,943 * PCM, Inc. 10,471 110,155 Perceptron, Inc. 8,428 117,908 * Performance Technologies, Inc. 24,790 76,849 * Pericom Semiconductor Corp. 37,284 301,255 #* Photronics, Inc. 79,712 669,581 * Planar Systems, Inc. 3,449 7,208 * Plexus Corp. 8,982 343,831 * PMC - Sierra, Inc. 102,988 604,540 * Polycom, Inc. 36,977 384,561 * Qualstar Corp. 12,400 16,244 * Qumu Corp. 800 11,984 * Radisys Corp. 9,762 29,481 * Rambus, Inc. 1,069 9,343 * RealNetworks, Inc. 30,402 233,183 #* Reis, Inc. 13,511 243,063 RF Industries, Ltd. 2,823 25,943 Richardson Electronics, Ltd. 24,525 282,528 * Rofin-Sinar Technologies, Inc. 4,978 130,672 * Rogers Corp. 7,543 459,821 * Rosetta Stone, Inc. 1,466 22,254 * Rovi Corp. 19,000 318,440 #* Rudolph Technologies, Inc. 45,996 487,558 SanDisk Corp. 13,097 910,241 * Sanmina Corp. 39,846 580,158 * ScanSource, Inc. 14,745 567,093 # Science Applications International Corp. 6,199 218,515 * Seachange International, Inc. 39,044 554,034 * ShoreTel, Inc. 3,200 25,440 * Sigma Designs, Inc. 11,784 64,105 #* Smith Micro Software, Inc. 500 405 * SMTC Corp. 1,200 2,340 #* Sonus Networks, Inc. 33,110 99,330 #* Spansion, Inc. Class A 21,173 253,441 #* Speed Commerce, Inc. 336 1,233 * SS&C Technologies Holdings, Inc. 25,793 1,013,665 * StarTek, Inc. 27,060 169,396 #* STR Holdings, Inc. 1,100 2,189 #* SunEdison, Inc. 154,224 1,434,283 #* SunPower Corp. 18,322 553,141 * Super Micro Computer, Inc. 5,886 81,933 Supertex, Inc. 9,913 252,881 * support.com, Inc. 25,400 113,284 * Sykes Enterprises, Inc. 20,292 379,866 * Symmetricom, Inc. 87,926 630,429 * SYNNEX Corp. 55,900 3,426,670 * Tech Data Corp. 82,952 4,318,481 #* TeleCommunication Systems, Inc. Class A 54,047 123,227 * Telenav, Inc. 9,865 71,521
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ --------- ------------ Information Technology -- (Continued) Tellabs, Inc. 232,891 $ 568,254 #* Teradyne, Inc. 26,789 468,540 # Tessco Technologies, Inc. 8,689 307,851 Tessera Technologies, Inc. 48,635 925,038 * TheStreet, Inc. 35,273 82,892 * TriQuint Semiconductor, Inc. 59,493 471,779 TSR, Inc. 550 1,865 * TTM Technologies, Inc. 62,635 548,056 United Online, Inc. 124,466 1,075,386 #* Veeco Instruments, Inc. 15,978 466,717 * Viasystems Group, Inc. 11,376 170,640 * Vicon Industries, Inc. 5,787 17,072 * Video Display Corp. 600 2,172 * Virtusa Corp. 30,064 934,389 #* Vishay Intertechnology, Inc. 228,349 2,801,842 * Vishay Precision Group, Inc. 24,277 398,143 * Westell Technologies, Inc. Class A 16,329 58,621 Western Digital Corp. 212,781 14,815,941 Xerox Corp. 1,188,277 11,811,473 * XO Group, Inc. 6,284 87,222 Xyratex, Ltd. 28,153 279,841 * Yahoo!, Inc. 1,048,770 34,535,996 #* Zygo Corp. 18,732 289,222 #* Zynga, Inc. Class A 170,882 613,466 ------------ Total Information Technology 271,012,265 ------------ Materials -- (3.1%) A Schulman, Inc. 32,960 1,091,635 # Alcoa, Inc. 888,828 8,239,435 # Allegheny Technologies, Inc. 22,777 753,919 #* AM Castle & Co. 36,370 520,455 * American Pacific Corp. 7,647 348,091 Ashland, Inc. 112,560 10,417,428 Axiall Corp. 26,423 1,027,590 # Bemis Co., Inc. 24,092 961,271 Cabot Corp. 46,280 2,157,111 #* Century Aluminum Co. 15,822 137,335 * Chemtura Corp. 49,368 1,209,516 * Clearwater Paper Corp. 16,822 878,445 # Cliffs Natural Resources, Inc. 35,738 917,752 * Coeur Mining Inc 128,160 1,564,834 Commercial Metals Co. 85,208 1,564,419 * Continental Materials Corp. 100 1,749 * Core Molding Technologies, Inc. 11,847 127,948 Cytec Industries, Inc. 64,700 5,375,923 Domtar Corp. 30,917 2,618,979 Dow Chemical Co. (The) 14,000 552,580 * Ferro Corp. 42,247 542,029 Freeport-McMoRan Copper & Gold, Inc. 96,952 3,563,955 Friedman Industries, Inc. 16,110 159,811 FutureFuel Corp. 6,104 106,271 * Graphic Packaging Holding Co. 154,000 1,293,600
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ------- ------------ Materials -- (Continued) Greif, Inc. Class A 4,885 $ 261,299 #* Headwaters, Inc. 23,663 206,578 # Hecla Mining Co. 203,366 634,502 #* Horsehead Holding Corp. 49,015 711,208 Huntsman Corp. 50,242 1,166,619 International Paper Co. 493,615 22,020,165 # Kaiser Aluminum Corp. 27,181 1,833,358 KapStone Paper and Packaging Corp. 40,492 2,103,964 * Kraton Performance Polymers, Inc. 5,435 115,602 Kronos Worldwide, Inc. 4,331 67,174 * Landec Corp. 37,056 433,926 * Louisiana-Pacific Corp. 173,457 2,950,504 LyondellBasell Industries NV Class A 71,793 5,355,758 Materion Corp. 18,497 551,396 MeadWestvaco Corp. 188,451 6,567,517 #* Mercer International, Inc. 21,725 173,800 Minerals Technologies, Inc. 34,280 1,941,276 Myers Industries, Inc. 64,720 1,153,310 Neenah Paper, Inc. 7,684 316,120 * Northern Technologies International Corp. 3,035 51,625 # Nucor Corp. 83,945 4,345,833 # Olin Corp. 62,261 1,401,495 # Olympic Steel, Inc. 9,986 273,317 * OM Group, Inc. 42,299 1,438,166 * Penford Corp. 26,122 355,259 PH Glatfelter Co. 50,600 1,325,720 PolyOne Corp. 8,983 272,185 Reliance Steel & Aluminum Co. 93,801 6,874,675 * Resolute Forest Products, Inc. 1,817 29,054 Rock Tenn Co. Class A 26,305 2,814,898 * RTI International Metals, Inc. 50,032 1,696,085 # Schnitzer Steel Industries, Inc. Class A 14,397 418,089 Sealed Air Corp. 46,499 1,403,340 Sensient Technologies Corp. 38,101 1,986,205 Steel Dynamics, Inc. 94,919 1,705,694 * Stillwater Mining Co. 59,549 649,680 * SunCoke Energy, Inc. 62,210 1,244,200 Synalloy Corp. 5,144 82,767 #* Texas Industries, Inc. 33,762 1,813,019 # Tredegar Corp. 40,177 1,173,972 Tronox, Ltd. Class A 1,600 36,944 #* Universal Stainless & Alloy Products, Inc. 9,093 293,886 Vulcan Materials Co. 58,246 3,119,073 Wausau Paper Corp. 14,684 171,803 Westlake Chemical Corp. 79,076 8,494,344 Worthington Industries, Inc. 47,320 1,918,353 * Zoltek Cos., Inc. 34,022 568,167 ------------ Total Materials 140,654,005 ------------ Other -- (0.0%) (degrees)* Gerber Scientific, Inc. Escrow Shares 47,409 -- (degrees)* Petrocorp, Inc. Escrow Shares 900 54
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares Value+ ---------- -------------- Other -- (Continued) (degrees)* Price Communications Liquidation Trust 47,738 $ -- -------------- Total Other 54 -------------- Real Estate Investment Trusts -- (0.0%) Geo Group, Inc. (The) 6,663 235,004 -------------- Telecommunication Services -- (4.6%) AT&T, Inc. 4,065,906 147,185,797 Atlantic Tele-Network, Inc. 84 4,655 * Cbeyond, Inc. 11,274 72,605 # CenturyLink, Inc. 510,163 17,274,119 # Frontier Communications Corp. 696,949 3,073,545 * General Communication, Inc. Class A 44,167 420,028 * Iridium Communications, Inc. 14,800 89,244 * Leap Wireless International, Inc. 8,393 135,128 Lumos Networks Corp. 500 11,005 #* ORBCOMM, Inc. 44,499 268,329 * Premiere Global Services, Inc. 2,000 18,020 Shenandoah Telecommunications Co. 3,026 83,911 #* Sprint Corp. 824,326 5,547,714 T-Mobile US, Inc. 113,786 3,155,286 Telephone & Data Systems, Inc. 154,629 4,821,332 United States Cellular Corp. 33,568 1,624,691 USA Mobility, Inc. 12,522 186,828 Verizon Communications, Inc. 547,535 27,655,993 * Vonage Holdings Corp. 85,934 320,534 -------------- Total Telecommunication Services 211,948,764 -------------- Utilities -- (0.3%) * Calpine Corp. 62,921 1,269,117 # Consolidated Water Co., Ltd. 6,656 100,106 * Genie Energy, Ltd. Class B 5,000 51,650 NRG Energy, Inc. 367,799 10,493,305 # Ormat Technologies, Inc. 20,134 524,893 # SJW Corp. 6,569 185,443 UGI Corp. 52,659 2,178,503 -------------- Total Utilities 14,803,017 -------------- TOTAL COMMON STOCKS 4,366,367,749 -------------- RIGHTS/WARRANTS -- (0.0%) (degrees)* CVR Energy, Inc. Contingent Value Rights 44,674 -- Magnum Hunter Resources Corp. Warrants (degrees)#* 04/15/16 8,219 -- -------------- TOTAL RIGHTS/WARRANTS -- -------------- TEMPORARY CASH INVESTMENTS -- (0.5%) State Street Institutional Liquid Reserves, 0.073% 22,324,026 22,324,026 --------------
THE TAX-MANAGED U.S. MARKETWIDE VALUE SERIES CONTINUED
Shares/ Face Amount (000) Value+ ---------- -------------- SECURITIES LENDING COLLATERAL -- (3.9%) (S)@ DFA Short Term Investment Fund 15,381,037 $ 177,958,599 -------------- TOTAL INVESTMENTS -- (100.0%) (Cost $2,775,925,201) $4,566,650,374 ==============
(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 2, 2014 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 2, 2014 By: /s/ David R. Martin ---------------------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company Date: January 2, 2014 EX-99.CODE ETH 2 d613245dex99codeeth.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. [LOGO DIMENSIONAL] 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 [LOGO DIMENSIONAL] . 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 [LOGO DIMENSIONAL] 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. 4 [LOGO DIMENSIONAL] The Funds will comply with the following procedures in investigating and enforcing this Code: . 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 [LOGO DIMENSIONAL] 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 [LOGO DIMENSIONAL] 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 [LOGO DIMENSIONAL] EX-99.CERT 3 d613245dex99cert.txt CERTIFICATIONS PURSUANT TO SECTION 302 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 2, 2014 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 2, 2014 By: /s/ David R. Martin ---------------------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company EX-99.906CERT 4 d613245dex99906cert.txt CERTIFICATIONS PURSUANT TO SECTION 906 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, 2013 (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 2, 2014 By: /s/ David R. Martin ---------------------------------------- David R. Martin Principal Financial Officer The DFA Investment Trust Company Date: January 2, 2014